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WOversold
(98996797)

Created by: JohnWax JohnWax
Started: 01/2016
Stocks
Last trade: 6 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $25.00 per month.

5.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(9.9%)
Max Drawdown
680
Num Trades
57.4%
Win Trades
1.4 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016+1.4%+0.4%+4.3%+3.3%  -  +0.1%+1.6%(1.2%)+2.1%(1.5%)+5.5%+1.1%+18.3%
2017+0.8%(0.2%)+1.9%+0.8%(1.2%)(0.7%)+2.5%(1%)(1.3%)+0.6%+0.3%+0.1%+2.5%
2018(0.9%)(3.9%)+2.1%(1.1%)+0.2%+0.4%(0.4%)  -  +1.1%+0.4%(1.2%)(1.9%)(5%)
2019+2.3%+0.4%+0.9%+0.2%                                                +3.9%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 522 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/18/19 10:23 XLB MATERIALS SELECT SECTOR SPDR LONG 148 57.60 4/18 15:54 57.76 0.01%
Trade id #123358724
Max drawdown($11)
Time4/18/19 10:51
Quant open148
Worst price57.52
Drawdown as % of equity-0.01%
$21
Includes Typical Broker Commissions trade costs of $2.96
4/18/19 9:34 HSY HERSHEY COMPANY LONG 59 116.51 4/18 15:54 116.92 0.01%
Trade id #123357002
Max drawdown($6)
Time4/18/19 9:40
Quant open59
Worst price116.39
Drawdown as % of equity-0.01%
$23
Includes Typical Broker Commissions trade costs of $1.18
4/15/19 9:30 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 178 83.83 4/18 9:30 83.90 0%
Trade id #123312695
Max drawdown($3)
Time4/16/19 15:09
Quant open178
Worst price83.81
Drawdown as % of equity-0.00%
$8
Includes Typical Broker Commissions trade costs of $3.56
4/17/19 9:31 PLD PROLOGIS LONG 78 72.57 4/17 15:54 72.42 0.05%
Trade id #123340856
Max drawdown($66)
Time4/17/19 9:46
Quant open78
Worst price71.72
Drawdown as % of equity-0.05%
($14)
Includes Typical Broker Commissions trade costs of $1.56
4/16/19 9:48 NSC NORFOLK SOUTHERN LONG 31 193.09 4/17 15:54 197.32 0.01%
Trade id #123327061
Max drawdown($7)
Time4/16/19 9:53
Quant open31
Worst price192.84
Drawdown as % of equity-0.01%
$130
Includes Typical Broker Commissions trade costs of $0.62
4/17/19 9:33 SPG SIMON PROPERTY GROUP LONG 34 176.40 4/17 15:54 178.15 0.03%
Trade id #123340961
Max drawdown($35)
Time4/17/19 9:41
Quant open34
Worst price175.37
Drawdown as % of equity-0.03%
$58
Includes Typical Broker Commissions trade costs of $0.68
4/15/19 9:37 NFLX NETFLIX LONG 11 349.17 4/17 10:00 354.01 0.21%
Trade id #123313175
Max drawdown($254)
Time4/16/19 16:02
Quant open11
Worst price326.00
Drawdown as % of equity-0.21%
$53
Includes Typical Broker Commissions trade costs of $0.22
4/16/19 9:47 KMB KIMBERLY-CLARK LONG 73 122.72 4/17 9:30 123.40 0.05%
Trade id #123327046
Max drawdown($56)
Time4/16/19 12:51
Quant open73
Worst price121.95
Drawdown as % of equity-0.05%
$49
Includes Typical Broker Commissions trade costs of $1.46
4/16/19 9:30 XLB MATERIALS SELECT SECTOR SPDR LONG 147 57.71 4/16 15:54 58.06 0.02%
Trade id #123326388
Max drawdown($27)
Time4/16/19 10:58
Quant open147
Worst price57.52
Drawdown as % of equity-0.02%
$48
Includes Typical Broker Commissions trade costs of $2.94
4/15/19 9:33 TMUS T-MOBILE US INC. COMMON STOCK LONG 90 73.43 4/16 15:54 73.94 0.02%
Trade id #123312904
Max drawdown($21)
Time4/15/19 10:34
Quant open90
Worst price73.19
Drawdown as % of equity-0.02%
$44
Includes Typical Broker Commissions trade costs of $1.80
4/16/19 9:31 PLD PROLOGIS LONG 77 73.49 4/16 14:00 72.42 0.07%
Trade id #123326437
Max drawdown($82)
Time4/16/19 14:00
Quant open0
Worst price72.42
Drawdown as % of equity-0.07%
($84)
Includes Typical Broker Commissions trade costs of $1.54
4/16/19 9:33 SPG SIMON PROPERTY GROUP LONG 33 183.85 4/16 10:37 180.94 0.08%
Trade id #123326492
Max drawdown($96)
Time4/16/19 10:37
Quant open0
Worst price180.94
Drawdown as % of equity-0.08%
($97)
Includes Typical Broker Commissions trade costs of $0.66
4/11/19 9:30 SAND SANDSTORM GOLD LONG 557 5.55 4/15 15:54 5.61 0.18%
Trade id #123280012
Max drawdown($222)
Time4/12/19 19:29
Quant open557
Worst price5.15
Drawdown as % of equity-0.18%
$28
Includes Typical Broker Commissions trade costs of $5.00
4/11/19 9:30 HSY HERSHEY COMPANY LONG 59 116.05 4/12 15:55 116.18 0.04%
Trade id #123280141
Max drawdown($48)
Time4/11/19 13:32
Quant open59
Worst price115.23
Drawdown as % of equity-0.04%
$7
Includes Typical Broker Commissions trade costs of $1.18
4/12/19 9:30 ADC AGREE REALTY LONG 107 68.50 4/12 15:54 68.79 0.04%
Trade id #123293650
Max drawdown($51)
Time4/12/19 9:34
Quant open107
Worst price68.02
Drawdown as % of equity-0.04%
$29
Includes Typical Broker Commissions trade costs of $2.14
4/12/19 9:30 SPG SIMON PROPERTY GROUP LONG 33 183.62 4/12 15:54 185.15 0.03%
Trade id #123293860
Max drawdown($42)
Time4/12/19 9:36
Quant open33
Worst price182.32
Drawdown as % of equity-0.03%
$49
Includes Typical Broker Commissions trade costs of $0.66
4/12/19 9:33 REGN REGENERON PHARMACEUTICALS LONG 11 391.40 4/12 13:43 381.50 0.09%
Trade id #123293941
Max drawdown($109)
Time4/12/19 13:43
Quant open0
Worst price381.50
Drawdown as % of equity-0.09%
($109)
Includes Typical Broker Commissions trade costs of $0.22
4/8/19 9:34 NFLX NETFLIX LONG 11 363.52 4/12 9:39 355.80 0.07%
Trade id #123237984
Max drawdown($85)
Time4/12/19 9:39
Quant open0
Worst price355.80
Drawdown as % of equity-0.07%
($85)
Includes Typical Broker Commissions trade costs of $0.22
4/5/19 9:37 KMB KIMBERLY-CLARK LONG 73 121.63 4/11 15:54 122.63 0.05%
Trade id #123218841
Max drawdown($62)
Time4/9/19 10:16
Quant open73
Worst price120.77
Drawdown as % of equity-0.05%
$72
Includes Typical Broker Commissions trade costs of $1.46
4/9/19 15:55 ADC AGREE REALTY LONG 108 67.70 4/11 9:30 68.84 0.01%
Trade id #123259491
Max drawdown($6)
Time4/9/19 15:59
Quant open108
Worst price67.64
Drawdown as % of equity-0.01%
$121
Includes Typical Broker Commissions trade costs of $2.16
4/5/19 9:30 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 177 83.87 4/10 15:54 83.92 0%
Trade id #123217737
Max drawdown($3)
Time4/8/19 15:15
Quant open177
Worst price83.85
Drawdown as % of equity-0.00%
$5
Includes Typical Broker Commissions trade costs of $3.54
4/9/19 9:33 REGN REGENERON PHARMACEUTICALS LONG 11 399.07 4/10 15:54 407.43 0.04%
Trade id #123252641
Max drawdown($52)
Time4/10/19 9:39
Quant open11
Worst price394.33
Drawdown as % of equity-0.04%
$92
Includes Typical Broker Commissions trade costs of $0.22
4/9/19 9:36 SPG SIMON PROPERTY GROUP LONG 33 182.90 4/9 15:54 182.37 0.02%
Trade id #123252800
Max drawdown($28)
Time4/9/19 11:40
Quant open33
Worst price182.03
Drawdown as % of equity-0.02%
($18)
Includes Typical Broker Commissions trade costs of $0.66
4/8/19 9:31 TMUS T-MOBILE US INC. COMMON STOCK LONG 94 70.10 4/9 9:30 70.96 0.03%
Trade id #123237811
Max drawdown($31)
Time4/8/19 9:48
Quant open94
Worst price69.77
Drawdown as % of equity-0.03%
$79
Includes Typical Broker Commissions trade costs of $1.88
4/4/19 10:30 REGN REGENERON PHARMACEUTICALS LONG 11 405.82 4/8 9:54 398.49 0.07%
Trade id #123201021
Max drawdown($81)
Time4/8/19 9:54
Quant open0
Worst price398.49
Drawdown as % of equity-0.07%
($81)
Includes Typical Broker Commissions trade costs of $0.22
4/3/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 119 123.61 4/8 9:30 123.82 0.05%
Trade id #123183165
Max drawdown($64)
Time4/5/19 8:44
Quant open119
Worst price123.07
Drawdown as % of equity-0.05%
$23
Includes Typical Broker Commissions trade costs of $2.38
4/5/19 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 184 57.43 4/5 15:54 58.09 n/a $117
Includes Typical Broker Commissions trade costs of $3.68
4/2/19 9:30 ADC AGREE REALTY LONG 107 68.36 4/5 15:54 68.28 0.13%
Trade id #123165847
Max drawdown($154)
Time4/2/19 11:20
Quant open107
Worst price66.92
Drawdown as % of equity-0.13%
($11)
Includes Typical Broker Commissions trade costs of $2.14
4/4/19 9:30 DG DOLLAR GENERAL LONG 64 117.96 4/4 15:54 120.13 0.02%
Trade id #123199041
Max drawdown($24)
Time4/4/19 10:17
Quant open64
Worst price117.58
Drawdown as % of equity-0.02%
$138
Includes Typical Broker Commissions trade costs of $1.28
4/4/19 10:23 QQQ POWERSHARES QQQ LONG 38 183.55 4/4 15:54 183.72 0.03%
Trade id #123200759
Max drawdown($34)
Time4/4/19 12:48
Quant open38
Worst price182.65
Drawdown as % of equity-0.03%
$5
Includes Typical Broker Commissions trade costs of $0.76

Statistics

  • Strategy began
    1/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1206.54
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    680
  • # Profitable
    390
  • % Profitable
    57.40%
  • Avg trade duration
    3.5 days
  • Max peak-to-valley drawdown
    9.85%
  • drawdown period
    Aug 16, 2017 - Aug 17, 2018
  • Annual Return (Compounded)
    5.5%
  • Avg win
    $222.72
  • Avg loss
    $227.67
  • Model Account Values (Raw)
  • Cash
    $118,736
  • Margin Used
    $0
  • Buying Power
    $118,780
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.658
  • Sortino Ratio
    0.959
  • Calmar Ratio
    0.816
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31100
  • Return Statistics
  • Ann Return (w trading costs)
    5.5%
  • Ann Return (Compnd, No Fees)
    6.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    686
  • C2 Score
    87.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $228
  • Avg Win
    $223
  • # Winners
    390
  • # Losers
    290
  • % Winners
    57.4%
  • Frequency
  • Avg Position Time (mins)
    5089.98
  • Avg Position Time (hrs)
    84.83
  • Avg Trade Length
    3.5 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04016
  • SD
    0.06984
  • Sharpe ratio (Glass type estimate)
    0.57498
  • Sharpe ratio (Hedges UMVUE)
    0.56355
  • df
    38.00000
  • t
    1.03656
  • p
    0.15324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66608
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65810
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93009
  • Upside Potential Ratio
    2.38893
  • Upside part of mean
    0.10314
  • Downside part of mean
    -0.06298
  • Upside SD
    0.05498
  • Downside SD
    0.04317
  • N nonnegative terms
    20.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.09218
  • Mean of criterion
    0.04016
  • SD of predictor
    0.11496
  • SD of criterion
    0.06984
  • Covariance
    0.00523
  • r
    0.65096
  • b (slope, estimate of beta)
    0.39546
  • a (intercept, estimate of alpha)
    0.00370
  • Mean Square Error
    0.00289
  • DF error
    37.00000
  • t(b)
    5.21610
  • p(b)
    0.00000
  • t(a)
    0.12094
  • p(a)
    0.45220
  • Lowerbound of 95% confidence interval for beta
    0.24184
  • Upperbound of 95% confidence interval for beta
    0.54908
  • Lowerbound of 95% confidence interval for alpha
    -0.05832
  • Upperbound of 95% confidence interval for alpha
    0.06573
  • Treynor index (mean / b)
    0.10154
  • Jensen alpha (a)
    0.00370
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03764
  • SD
    0.06961
  • Sharpe ratio (Glass type estimate)
    0.54074
  • Sharpe ratio (Hedges UMVUE)
    0.52999
  • df
    38.00000
  • t
    0.97484
  • p
    0.16790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62369
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85291
  • Upside Potential Ratio
    2.29853
  • Upside part of mean
    0.10144
  • Downside part of mean
    -0.06380
  • Upside SD
    0.05377
  • Downside SD
    0.04413
  • N nonnegative terms
    20.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.08523
  • Mean of criterion
    0.03764
  • SD of predictor
    0.11489
  • SD of criterion
    0.06961
  • Covariance
    0.00521
  • r
    0.65178
  • b (slope, estimate of beta)
    0.39489
  • a (intercept, estimate of alpha)
    0.00398
  • Mean Square Error
    0.00286
  • DF error
    37.00000
  • t(b)
    5.22760
  • p(b)
    0.00000
  • t(a)
    0.13121
  • p(a)
    0.44816
  • Lowerbound of 95% confidence interval for beta
    0.24183
  • Upperbound of 95% confidence interval for beta
    0.54795
  • Lowerbound of 95% confidence interval for alpha
    -0.05754
  • Upperbound of 95% confidence interval for alpha
    0.06551
  • Treynor index (mean / b)
    0.09532
  • Jensen alpha (a)
    0.00398
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02947
  • Expected Shortfall on VaR
    0.03756
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01173
  • Expected Shortfall on VaR
    0.02455
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.93982
  • Quartile 1
    0.99725
  • Median
    1.00318
  • Quartile 3
    1.01638
  • Maximum
    1.06361
  • Mean of quarter 1
    0.98385
  • Mean of quarter 2
    1.00042
  • Mean of quarter 3
    1.00926
  • Mean of quarter 4
    1.02953
  • Inter Quartile Range
    0.01914
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.93982
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05128
  • Mean of outliers high
    1.05454
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29311
  • VaR(95%) (moments method)
    0.01183
  • Expected Shortfall (moments method)
    0.02166
  • Extreme Value Index (regression method)
    0.12291
  • VaR(95%) (regression method)
    0.01624
  • Expected Shortfall (regression method)
    0.02638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00083
  • Quartile 1
    0.00958
  • Median
    0.01798
  • Quartile 3
    0.02211
  • Maximum
    0.07332
  • Mean of quarter 1
    0.00520
  • Mean of quarter 2
    0.01798
  • Mean of quarter 3
    0.02211
  • Mean of quarter 4
    0.07332
  • Inter Quartile Range
    0.01254
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.07332
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07305
  • Compounded annual return (geometric extrapolation)
    0.06774
  • Calmar ratio (compounded annual return / max draw down)
    0.92394
  • Compounded annual return / average of 25% largest draw downs
    0.92394
  • Compounded annual return / Expected Shortfall lognormal
    1.80358
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03985
  • SD
    0.06047
  • Sharpe ratio (Glass type estimate)
    0.65906
  • Sharpe ratio (Hedges UMVUE)
    0.65848
  • df
    857.00000
  • t
    1.19267
  • p
    0.11667
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74239
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74200
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95862
  • Upside Potential Ratio
    7.08330
  • Upside part of mean
    0.29447
  • Downside part of mean
    -0.25462
  • Upside SD
    0.04393
  • Downside SD
    0.04157
  • N nonnegative terms
    414.00000
  • N negative terms
    444.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    858.00000
  • Mean of predictor
    0.09561
  • Mean of criterion
    0.03985
  • SD of predictor
    0.12980
  • SD of criterion
    0.06047
  • Covariance
    0.00251
  • r
    0.32031
  • b (slope, estimate of beta)
    0.14922
  • a (intercept, estimate of alpha)
    0.02600
  • Mean Square Error
    0.00329
  • DF error
    856.00000
  • t(b)
    9.89263
  • p(b)
    0.00000
  • t(a)
    0.80697
  • p(a)
    0.20995
  • Lowerbound of 95% confidence interval for beta
    0.11961
  • Upperbound of 95% confidence interval for beta
    0.17882
  • Lowerbound of 95% confidence interval for alpha
    -0.03664
  • Upperbound of 95% confidence interval for alpha
    0.08781
  • Treynor index (mean / b)
    0.26707
  • Jensen alpha (a)
    0.02559
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03802
  • SD
    0.06048
  • Sharpe ratio (Glass type estimate)
    0.62862
  • Sharpe ratio (Hedges UMVUE)
    0.62807
  • df
    857.00000
  • t
    1.13757
  • p
    0.12781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71191
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71154
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90833
  • Upside Potential Ratio
    7.01177
  • Upside part of mean
    0.29348
  • Downside part of mean
    -0.25546
  • Upside SD
    0.04367
  • Downside SD
    0.04186
  • N nonnegative terms
    414.00000
  • N negative terms
    444.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    858.00000
  • Mean of predictor
    0.08715
  • Mean of criterion
    0.03802
  • SD of predictor
    0.13003
  • SD of criterion
    0.06048
  • Covariance
    0.00252
  • r
    0.32048
  • b (slope, estimate of beta)
    0.14907
  • a (intercept, estimate of alpha)
    0.02503
  • Mean Square Error
    0.00329
  • DF error
    856.00000
  • t(b)
    9.89865
  • p(b)
    0.00000
  • t(a)
    0.78939
  • p(a)
    0.21505
  • Lowerbound of 95% confidence interval for beta
    0.11951
  • Upperbound of 95% confidence interval for beta
    0.17863
  • Lowerbound of 95% confidence interval for alpha
    -0.03720
  • Upperbound of 95% confidence interval for alpha
    0.08725
  • Treynor index (mean / b)
    0.25504
  • Jensen alpha (a)
    0.02503
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00598
  • Expected Shortfall on VaR
    0.00753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00224
  • Expected Shortfall on VaR
    0.00481
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    858.00000
  • Minimum
    0.97173
  • Quartile 1
    0.99917
  • Median
    1.00004
  • Quartile 3
    1.00128
  • Maximum
    1.02699
  • Mean of quarter 1
    0.99655
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00056
  • Mean of quarter 4
    1.00414
  • Inter Quartile Range
    0.00211
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.06294
  • Mean of outliers low
    0.99204
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.07343
  • Mean of outliers high
    1.00828
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49127
  • VaR(95%) (moments method)
    0.00328
  • Expected Shortfall (moments method)
    0.00747
  • Extreme Value Index (regression method)
    0.40204
  • VaR(95%) (regression method)
    0.00299
  • Expected Shortfall (regression method)
    0.00592
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00049
  • Median
    0.00243
  • Quartile 3
    0.00887
  • Maximum
    0.08351
  • Mean of quarter 1
    0.00025
  • Mean of quarter 2
    0.00125
  • Mean of quarter 3
    0.00551
  • Mean of quarter 4
    0.02925
  • Inter Quartile Range
    0.00838
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13889
  • Mean of outliers high
    0.04153
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01419
  • VaR(95%) (moments method)
    0.02365
  • Expected Shortfall (moments method)
    0.03308
  • Extreme Value Index (regression method)
    0.32948
  • VaR(95%) (regression method)
    0.03978
  • Expected Shortfall (regression method)
    0.07674
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07358
  • Compounded annual return (geometric extrapolation)
    0.06815
  • Calmar ratio (compounded annual return / max draw down)
    0.81606
  • Compounded annual return / average of 25% largest draw downs
    2.32978
  • Compounded annual return / Expected Shortfall lognormal
    9.04693
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02664
  • SD
    0.03039
  • Sharpe ratio (Glass type estimate)
    0.87671
  • Sharpe ratio (Hedges UMVUE)
    0.87165
  • df
    130.00000
  • t
    0.61993
  • p
    0.47285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89871
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90218
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64548
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34534
  • Upside Potential Ratio
    9.61815
  • Upside part of mean
    0.19046
  • Downside part of mean
    -0.16382
  • Upside SD
    0.02295
  • Downside SD
    0.01980
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10517
  • Mean of criterion
    0.02664
  • SD of predictor
    0.18317
  • SD of criterion
    0.03039
  • Covariance
    0.00092
  • r
    0.16485
  • b (slope, estimate of beta)
    0.02735
  • a (intercept, estimate of alpha)
    0.02377
  • Mean Square Error
    0.00091
  • DF error
    129.00000
  • t(b)
    1.89829
  • p(b)
    0.39553
  • t(a)
    0.55816
  • p(a)
    0.46876
  • Lowerbound of 95% confidence interval for beta
    -0.00116
  • Upperbound of 95% confidence interval for beta
    0.05585
  • Lowerbound of 95% confidence interval for alpha
    -0.06048
  • Upperbound of 95% confidence interval for alpha
    0.10801
  • Treynor index (mean / b)
    0.97414
  • Jensen alpha (a)
    0.02377
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02618
  • SD
    0.03037
  • Sharpe ratio (Glass type estimate)
    0.86195
  • Sharpe ratio (Hedges UMVUE)
    0.85697
  • df
    130.00000
  • t
    0.60949
  • p
    0.47331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63073
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32015
  • Upside Potential Ratio
    9.59031
  • Upside part of mean
    0.19018
  • Downside part of mean
    -0.16400
  • Upside SD
    0.02291
  • Downside SD
    0.01983
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08852
  • Mean of criterion
    0.02618
  • SD of predictor
    0.18301
  • SD of criterion
    0.03037
  • Covariance
    0.00092
  • r
    0.16519
  • b (slope, estimate of beta)
    0.02741
  • a (intercept, estimate of alpha)
    0.02375
  • Mean Square Error
    0.00090
  • DF error
    129.00000
  • t(b)
    1.90236
  • p(b)
    0.39532
  • t(a)
    0.55829
  • p(a)
    0.46876
  • Lowerbound of 95% confidence interval for beta
    -0.00110
  • Upperbound of 95% confidence interval for beta
    0.05593
  • Lowerbound of 95% confidence interval for alpha
    -0.06042
  • Upperbound of 95% confidence interval for alpha
    0.10793
  • Treynor index (mean / b)
    0.95495
  • Jensen alpha (a)
    0.02375
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00298
  • Expected Shortfall on VaR
    0.00376
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00149
  • Expected Shortfall on VaR
    0.00283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99569
  • Quartile 1
    0.99929
  • Median
    1.00004
  • Quartile 3
    1.00126
  • Maximum
    1.00657
  • Mean of quarter 1
    0.99794
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00057
  • Mean of quarter 4
    1.00254
  • Inter Quartile Range
    0.00197
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.99596
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.00568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06455
  • VaR(95%) (moments method)
    0.00206
  • Expected Shortfall (moments method)
    0.00272
  • Extreme Value Index (regression method)
    -0.37518
  • VaR(95%) (regression method)
    0.00204
  • Expected Shortfall (regression method)
    0.00243
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00069
  • Median
    0.00108
  • Quartile 3
    0.00475
  • Maximum
    0.03496
  • Mean of quarter 1
    0.00032
  • Mean of quarter 2
    0.00105
  • Mean of quarter 3
    0.00442
  • Mean of quarter 4
    0.02002
  • Inter Quartile Range
    0.00406
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.03496
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05482
  • Compounded annual return (geometric extrapolation)
    0.05558
  • Calmar ratio (compounded annual return / max draw down)
    1.58966
  • Compounded annual return / average of 25% largest draw downs
    2.77559
  • Compounded annual return / Expected Shortfall lognormal
    14.76820

Strategy Description

WOversold is designed to consider trading long stocks and ETFs.
by combining proprietary technical and fundamental indicators.

This strategy is optimized to trade each ticker individually and then the
aggregate strategy is traded into this one account (with appropriate
position adjustments for the combined risk). Currently shorts are
never taken. I believe the fundamental strategy can be modified to
trade long many instrument and I might expand it to trade more
individual instruments (stocks and ETFs) as time goes on. The goal behind
each additional symbol that is added is to increase the total account value by
taking high probability trades.
Margin is not used.

WOversold posts trades at around 3:45 Eastern Time as limit orders to
be filled in the market before the close. Each day the strategy looks
if a ticker is oversold "enough" and when it is found to be so it will
put on an opening trade. When a ticker is no longer oversold the
strategy will exit. A typical trade should have you in the market
long for 2-3 days and there can be a gap of 3-4 days between trades on
any given symbol.

There is currently no stop loss logic in place, so if you decide to
trade this strategy and you desire that logic you should enforce it
yourself. The placement of these stops is somewhat dependent on how
much capital you can risk and is therefore more of a trader dependent
consideration.

I have backtested this strategy on the current symbol list from 2000
to the present date and it has seemed to perform well. I can provide
these backtest results to paying strategy subscribers.

Summary Statistics

Strategy began
2016-01-03
Suggested Minimum Capital
$35,000
# Trades
680
# Profitable
390
% Profitable
57.4%
Net Dividends
Correlation S&P500
0.311
Sharpe Ratio
0.658

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.