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WOversold
(98996797)

Created by: JohnWax JohnWax
Started: 01/2016
Stocks
Last trade: 3 days ago
Trading style: Equity Short-term Reversal

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 $75.00 per month.

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
5.3%
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.

(10.4%)
Max Drawdown
761
Num Trades
56.9%
Win Trades
1.4 : 1
Profit Factor
61.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016+1.3%+0.4%+4.2%+3.3%  -    -  +1.6%(1.4%)+2.1%(1.5%)+5.5%+1.0%+17.6%
2017+0.8%(0.2%)+1.8%+0.8%(1.3%)(0.8%)+2.5%(1.1%)(1.3%)+0.5%+0.3%+0.1%+2.1%
2018(1%)(4%)+2.1%(1.1%)+0.2%+0.3%(0.5%)  -  +1.0%+0.4%(1.2%)(1.9%)(5.6%)
2019+2.3%+0.3%+0.9%+0.6%+0.9%                                          +5.2%

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
5/20/19 9:30 QQQ POWERSHARES QQQ LONG 39 180.54 5/20 15:55 180.14 0.04%
Trade id #123736252
Max drawdown($46)
Time5/20/19 9:39
Quant open39
Worst price179.34
Drawdown as % of equity-0.04%
($17)
Includes Typical Broker Commissions trade costs of $0.78
5/17/19 9:30 KMB KIMBERLY-CLARK LONG 80 128.11 5/20 15:55 130.11 0.02%
Trade id #123708654
Max drawdown($23)
Time5/17/19 9:45
Quant open80
Worst price127.82
Drawdown as % of equity-0.02%
$158
Includes Typical Broker Commissions trade costs of $1.60
5/20/19 9:30 FB FACEBOOK LONG 24 182.25 5/20 15:55 183.02 0.01%
Trade id #123736289
Max drawdown($12)
Time5/20/19 9:51
Quant open24
Worst price181.75
Drawdown as % of equity-0.01%
$18
Includes Typical Broker Commissions trade costs of $0.48
5/17/19 9:30 SAND SANDSTORM GOLD LONG 1,088 5.11 5/17 15:54 5.22 n/a $115
Includes Typical Broker Commissions trade costs of $5.00
5/16/19 9:32 NFLX NETFLIX LONG 13 354.45 5/17 9:30 355.30 0.01%
Trade id #123693282
Max drawdown($9)
Time5/17/19 5:24
Quant open13
Worst price353.71
Drawdown as % of equity-0.01%
$11
Includes Typical Broker Commissions trade costs of $0.26
5/16/19 9:30 FB FACEBOOK LONG 28 185.70 5/17 9:30 185.11 0.03%
Trade id #123693190
Max drawdown($33)
Time5/17/19 8:03
Quant open28
Worst price184.50
Drawdown as % of equity-0.03%
($18)
Includes Typical Broker Commissions trade costs of $0.56
5/16/19 9:30 GLD SPDR GOLD SHARES LONG 141 122.03 5/17 9:30 121.06 0.12%
Trade id #123693153
Max drawdown($146)
Time5/17/19 9:29
Quant open141
Worst price120.99
Drawdown as % of equity-0.12%
($140)
Includes Typical Broker Commissions trade costs of $2.82
5/16/19 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 212 58.05 5/16 15:55 58.42 0.03%
Trade id #123693128
Max drawdown($33)
Time5/16/19 9:33
Quant open212
Worst price57.89
Drawdown as % of equity-0.03%
$74
Includes Typical Broker Commissions trade costs of $4.24
5/16/19 9:30 SAND SANDSTORM GOLD LONG 1,074 5.14 5/16 15:55 5.17 0.03%
Trade id #123693151
Max drawdown($32)
Time5/16/19 9:47
Quant open1,074
Worst price5.11
Drawdown as % of equity-0.03%
$27
Includes Typical Broker Commissions trade costs of $5.00
5/13/19 9:30 XLP SPDR CONSUMER STAPLES SELECT LONG 148 56.82 5/15 15:54 57.48 0.03%
Trade id #123641821
Max drawdown($38)
Time5/13/19 13:03
Quant open148
Worst price56.56
Drawdown as % of equity-0.03%
$95
Includes Typical Broker Commissions trade costs of $2.96
5/13/19 9:30 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 218 35.86 5/15 15:54 36.51 0.01%
Trade id #123641790
Max drawdown($13)
Time5/13/19 10:05
Quant open218
Worst price35.80
Drawdown as % of equity-0.01%
$138
Includes Typical Broker Commissions trade costs of $4.36
5/14/19 9:34 DG DOLLAR GENERAL LONG 57 117.18 5/15 15:54 118.09 0.05%
Trade id #123660593
Max drawdown($58)
Time5/15/19 10:13
Quant open57
Worst price116.15
Drawdown as % of equity-0.05%
$51
Includes Typical Broker Commissions trade costs of $1.14
5/14/19 15:34 PSA PUBLIC STORAGE LONG 44 226.94 5/14 15:55 227.93 0.01%
Trade id #123669923
Max drawdown($7)
Time5/14/19 15:38
Quant open44
Worst price226.78
Drawdown as % of equity-0.01%
$43
Includes Typical Broker Commissions trade costs of $0.88
5/13/19 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 89 74.49 5/14 9:31 73.23 0.09%
Trade id #123641747
Max drawdown($113)
Time5/13/19 19:20
Quant open89
Worst price73.21
Drawdown as % of equity-0.09%
($114)
Includes Typical Broker Commissions trade costs of $1.78
5/10/19 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 188 56.87 5/13 15:55 58.64 0.01%
Trade id #123615717
Max drawdown($9)
Time5/10/19 9:33
Quant open188
Worst price56.82
Drawdown as % of equity-0.01%
$329
Includes Typical Broker Commissions trade costs of $3.76
5/9/19 9:30 SAND SANDSTORM GOLD LONG 894 5.11 5/13 15:55 5.22 0.04%
Trade id #123587902
Max drawdown($53)
Time5/10/19 16:00
Quant open894
Worst price5.05
Drawdown as % of equity-0.04%
$93
Includes Typical Broker Commissions trade costs of $5.00
5/13/19 9:30 FB FACEBOOK LONG 24 183.51 5/13 15:33 181.22 0.04%
Trade id #123641862
Max drawdown($55)
Time5/13/19 15:33
Quant open0
Worst price181.22
Drawdown as % of equity-0.04%
($55)
Includes Typical Broker Commissions trade costs of $0.48
5/13/19 9:30 DG DOLLAR GENERAL LONG 63 120.07 5/13 11:19 118.32 0.09%
Trade id #123641730
Max drawdown($110)
Time5/13/19 11:19
Quant open0
Worst price118.32
Drawdown as % of equity-0.09%
($111)
Includes Typical Broker Commissions trade costs of $1.26
5/13/19 9:30 NFLX NETFLIX LONG 11 352.35 5/13 9:51 346.05 0.06%
Trade id #123641810
Max drawdown($69)
Time5/13/19 9:51
Quant open0
Worst price346.05
Drawdown as % of equity-0.06%
($69)
Includes Typical Broker Commissions trade costs of $0.22
5/10/19 9:30 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 220 35.62 5/10 15:55 36.02 0%
Trade id #123615718
Max drawdown($5)
Time5/10/19 11:31
Quant open220
Worst price35.59
Drawdown as % of equity-0.00%
$84
Includes Typical Broker Commissions trade costs of $4.40
5/9/19 11:07 PSA PUBLIC STORAGE LONG 50 221.76 5/10 15:55 224.72 0.01%
Trade id #123591450
Max drawdown($10)
Time5/9/19 11:28
Quant open50
Worst price221.55
Drawdown as % of equity-0.01%
$147
Includes Typical Broker Commissions trade costs of $1.00
5/9/19 9:30 ADC AGREE REALTY LONG 118 64.50 5/10 15:55 66.70 n/a $258
Includes Typical Broker Commissions trade costs of $2.36
5/10/19 9:30 KMB KIMBERLY-CLARK LONG 71 126.05 5/10 11:49 125.27 0.04%
Trade id #123615716
Max drawdown($55)
Time5/10/19 11:49
Quant open0
Worst price125.27
Drawdown as % of equity-0.04%
($56)
Includes Typical Broker Commissions trade costs of $1.42
5/10/19 9:30 FB FACEBOOK LONG 24 188.04 5/10 11:02 184.65 0.06%
Trade id #123615501
Max drawdown($81)
Time5/10/19 11:02
Quant open0
Worst price184.65
Drawdown as % of equity-0.06%
($81)
Includes Typical Broker Commissions trade costs of $0.48
5/10/19 9:30 NFLX NETFLIX LONG 11 361.19 5/10 10:32 356.69 0.04%
Trade id #123615514
Max drawdown($50)
Time5/10/19 10:32
Quant open0
Worst price356.69
Drawdown as % of equity-0.04%
($50)
Includes Typical Broker Commissions trade costs of $0.22
5/9/19 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 91 72.30 5/9 15:55 74.19 0%
Trade id #123587896
Max drawdown($3)
Time5/9/19 9:32
Quant open91
Worst price72.26
Drawdown as % of equity-0.00%
$170
Includes Typical Broker Commissions trade costs of $1.82
5/9/19 9:30 PLD PROLOGIS LONG 77 74.26 5/9 15:55 74.60 0.05%
Trade id #123587894
Max drawdown($56)
Time5/9/19 10:07
Quant open77
Worst price73.53
Drawdown as % of equity-0.05%
$24
Includes Typical Broker Commissions trade costs of $1.54
5/8/19 9:35 NFLX NETFLIX LONG 10 365.31 5/9 10:03 354.61 0.09%
Trade id #123572292
Max drawdown($107)
Time5/9/19 10:03
Quant open0
Worst price354.61
Drawdown as % of equity-0.09%
($107)
Includes Typical Broker Commissions trade costs of $0.20
5/7/19 9:30 KO COCA-COLA LONG 159 48.23 5/9 9:52 47.60 0.08%
Trade id #123555889
Max drawdown($103)
Time5/9/19 4:26
Quant open159
Worst price47.58
Drawdown as % of equity-0.08%
($103)
Includes Typical Broker Commissions trade costs of $3.18
5/9/19 9:30 INTC INTEL LONG 107 47.99 5/9 9:37 47.24 0.06%
Trade id #123587945
Max drawdown($80)
Time5/9/19 9:37
Quant open0
Worst price47.24
Drawdown as % of equity-0.06%
($82)
Includes Typical Broker Commissions trade costs of $2.14

Statistics

  • Strategy began
    1/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1236.1
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    761
  • # Profitable
    433
  • % Profitable
    56.90%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    10.42%
  • drawdown period
    Aug 16, 2017 - Aug 17, 2018
  • Annual Return (Compounded)
    5.3%
  • Avg win
    $209.76
  • Avg loss
    $207.87
  • Model Account Values (Raw)
  • Cash
    $105,280
  • Margin Used
    $0
  • Buying Power
    $105,352
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.46
  • Sortino Ratio
    0.67
  • Calmar Ratio
    0.85
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31330
  • Return Statistics
  • Ann Return (w trading costs)
    5.3%
  • Ann Return (Compnd, No Fees)
    7.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • 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)
    344
  • Popularity (Last 6 weeks)
    760
  • C2 Score
    88.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $208
  • Avg Win
    $209
  • # Winners
    434
  • # Losers
    327
  • % Winners
    57.0%
  • Frequency
  • Avg Position Time (mins)
    4687.30
  • Avg Position Time (hrs)
    78.12
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.59
  • Daily leverage (max)
    2.18
  • Unknown
  • Alpha
    0.01
  • Beta
    0.15
  • Treynor Index
    0.06
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06999
  • SD
    0.06902
  • Sharpe ratio (Glass type estimate)
    1.01394
  • Sharpe ratio (Hedges UMVUE)
    0.99429
  • df
    39.00000
  • t
    1.85119
  • p
    0.03586
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08896
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10167
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09025
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77275
  • Upside Potential Ratio
    3.04632
  • Upside part of mean
    0.12027
  • Downside part of mean
    -0.05028
  • Upside SD
    0.05912
  • Downside SD
    0.03948
  • N nonnegative terms
    26.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.11133
  • Mean of criterion
    0.06999
  • SD of predictor
    0.11461
  • SD of criterion
    0.06902
  • Covariance
    0.00504
  • r
    0.63673
  • b (slope, estimate of beta)
    0.38348
  • a (intercept, estimate of alpha)
    0.02729
  • Mean Square Error
    0.00291
  • DF error
    38.00000
  • t(b)
    5.09028
  • p(b)
    0.00001
  • t(a)
    0.88903
  • p(a)
    0.18979
  • Lowerbound of 95% confidence interval for beta
    0.23097
  • Upperbound of 95% confidence interval for beta
    0.53599
  • Lowerbound of 95% confidence interval for alpha
    -0.03486
  • Upperbound of 95% confidence interval for alpha
    0.08944
  • Treynor index (mean / b)
    0.18250
  • Jensen alpha (a)
    0.02729
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06748
  • SD
    0.06880
  • Sharpe ratio (Glass type estimate)
    0.98081
  • Sharpe ratio (Hedges UMVUE)
    0.96181
  • df
    39.00000
  • t
    1.79071
  • p
    0.04055
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12042
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05634
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66803
  • Upside Potential Ratio
    2.93079
  • Upside part of mean
    0.11856
  • Downside part of mean
    -0.05108
  • Upside SD
    0.05795
  • Downside SD
    0.04045
  • N nonnegative terms
    26.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.10446
  • Mean of criterion
    0.06748
  • SD of predictor
    0.11451
  • SD of criterion
    0.06880
  • Covariance
    0.00502
  • r
    0.63757
  • b (slope, estimate of beta)
    0.38308
  • a (intercept, estimate of alpha)
    0.02746
  • Mean Square Error
    0.00288
  • DF error
    38.00000
  • t(b)
    5.10167
  • p(b)
    0.00000
  • t(a)
    0.90228
  • p(a)
    0.18630
  • Lowerbound of 95% confidence interval for beta
    0.23107
  • Upperbound of 95% confidence interval for beta
    0.53508
  • Lowerbound of 95% confidence interval for alpha
    -0.03416
  • Upperbound of 95% confidence interval for alpha
    0.08908
  • Treynor index (mean / b)
    0.17615
  • Jensen alpha (a)
    0.02746
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02668
  • Expected Shortfall on VaR
    0.03470
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00731
  • Expected Shortfall on VaR
    0.01683
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.93982
  • Quartile 1
    0.99750
  • Median
    1.00464
  • Quartile 3
    1.01566
  • Maximum
    1.06361
  • Mean of quarter 1
    0.98385
  • Mean of quarter 2
    1.00042
  • Mean of quarter 3
    1.00953
  • Mean of quarter 4
    1.02953
  • Inter Quartile Range
    0.01816
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02500
  • Mean of outliers low
    0.93982
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05000
  • 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)
    0.01165
  • Expected Shortfall (moments method)
    0.02141
  • Extreme Value Index (regression method)
    0.12291
  • VaR(95%) (regression method)
    0.01602
  • Expected Shortfall (regression method)
    0.02613
  • 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)
    0.07567
  • Compounded annual return (geometric extrapolation)
    0.06981
  • Calmar ratio (compounded annual return / max draw down)
    0.95212
  • Compounded annual return / average of 25% largest draw downs
    0.95212
  • Compounded annual return / Expected Shortfall lognormal
    2.01175
  • 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
    0.07035
  • SD
    0.05981
  • Sharpe ratio (Glass type estimate)
    1.17615
  • Sharpe ratio (Hedges UMVUE)
    1.17515
  • df
    878.00000
  • t
    2.15430
  • p
    0.01574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10436
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24729
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24661
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73851
  • Upside Potential Ratio
    7.57627
  • Upside part of mean
    0.30658
  • Downside part of mean
    -0.23623
  • Upside SD
    0.04422
  • Downside SD
    0.04047
  • N nonnegative terms
    525.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    879.00000
  • Mean of predictor
    0.10778
  • Mean of criterion
    0.07035
  • SD of predictor
    0.13026
  • SD of criterion
    0.05981
  • Covariance
    0.00247
  • r
    0.31709
  • b (slope, estimate of beta)
    0.14561
  • a (intercept, estimate of alpha)
    0.05500
  • Mean Square Error
    0.00322
  • DF error
    877.00000
  • t(b)
    9.90126
  • p(b)
    -0.00000
  • t(a)
    1.76148
  • p(a)
    0.03925
  • Lowerbound of 95% confidence interval for beta
    0.11674
  • Upperbound of 95% confidence interval for beta
    0.17447
  • Lowerbound of 95% confidence interval for alpha
    -0.00624
  • Upperbound of 95% confidence interval for alpha
    0.11555
  • Treynor index (mean / b)
    0.48314
  • Jensen alpha (a)
    0.05466
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06855
  • SD
    0.05983
  • Sharpe ratio (Glass type estimate)
    1.14589
  • Sharpe ratio (Hedges UMVUE)
    1.14491
  • df
    878.00000
  • t
    2.09888
  • p
    0.01806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21696
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21630
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68241
  • Upside Potential Ratio
    7.50007
  • Upside part of mean
    0.30561
  • Downside part of mean
    -0.23705
  • Upside SD
    0.04396
  • Downside SD
    0.04075
  • N nonnegative terms
    525.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    879.00000
  • Mean of predictor
    0.09927
  • Mean of criterion
    0.06855
  • SD of predictor
    0.13050
  • SD of criterion
    0.05983
  • Covariance
    0.00248
  • r
    0.31722
  • b (slope, estimate of beta)
    0.14543
  • a (intercept, estimate of alpha)
    0.05412
  • Mean Square Error
    0.00322
  • DF error
    877.00000
  • t(b)
    9.90570
  • p(b)
    -0.00000
  • t(a)
    1.74420
  • p(a)
    0.04074
  • Lowerbound of 95% confidence interval for beta
    0.11661
  • Upperbound of 95% confidence interval for beta
    0.17424
  • Lowerbound of 95% confidence interval for alpha
    -0.00678
  • Upperbound of 95% confidence interval for alpha
    0.11501
  • Treynor index (mean / b)
    0.47140
  • Jensen alpha (a)
    0.05412
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00580
  • Expected Shortfall on VaR
    0.00733
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00174
  • Expected Shortfall on VaR
    0.00393
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    879.00000
  • Minimum
    0.97173
  • Quartile 1
    0.99920
  • Median
    1.00006
  • Quartile 3
    1.00129
  • Maximum
    1.02699
  • Mean of quarter 1
    0.99660
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00059
  • Mean of quarter 4
    1.00409
  • Inter Quartile Range
    0.00209
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.06371
  • Mean of outliers low
    0.99219
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.07167
  • Mean of outliers high
    1.00828
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49078
  • VaR(95%) (moments method)
    0.00323
  • Expected Shortfall (moments method)
    0.00737
  • Extreme Value Index (regression method)
    0.40524
  • VaR(95%) (regression method)
    0.00295
  • Expected Shortfall (regression method)
    0.00586
  • 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)
    0.07708
  • Compounded annual return (geometric extrapolation)
    0.07096
  • Calmar ratio (compounded annual return / max draw down)
    0.84972
  • Compounded annual return / average of 25% largest draw downs
    2.42586
  • Compounded annual return / Expected Shortfall lognormal
    9.67489
  • 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
    0.05797
  • SD
    0.02582
  • Sharpe ratio (Glass type estimate)
    2.24493
  • Sharpe ratio (Hedges UMVUE)
    2.23195
  • df
    130.00000
  • t
    1.58741
  • p
    0.43105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.02589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.01700
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.38034
  • Upside Potential Ratio
    10.98310
  • Upside part of mean
    0.18836
  • Downside part of mean
    -0.13038
  • Upside SD
    0.01951
  • Downside SD
    0.01715
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10006
  • Mean of criterion
    0.05797
  • SD of predictor
    0.17217
  • SD of criterion
    0.02582
  • Covariance
    0.00127
  • r
    0.28453
  • b (slope, estimate of beta)
    0.04268
  • a (intercept, estimate of alpha)
    0.05370
  • Mean Square Error
    0.00062
  • DF error
    129.00000
  • t(b)
    3.37103
  • p(b)
    0.32133
  • t(a)
    1.52697
  • p(a)
    0.41543
  • Lowerbound of 95% confidence interval for beta
    0.01763
  • Upperbound of 95% confidence interval for beta
    0.06773
  • Lowerbound of 95% confidence interval for alpha
    -0.01588
  • Upperbound of 95% confidence interval for alpha
    0.12328
  • Treynor index (mean / b)
    1.35837
  • Jensen alpha (a)
    0.05370
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05763
  • SD
    0.02582
  • Sharpe ratio (Glass type estimate)
    2.23180
  • Sharpe ratio (Hedges UMVUE)
    2.21890
  • df
    130.00000
  • t
    1.57812
  • p
    0.43145
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.01261
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.00380
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35586
  • Upside Potential Ratio
    10.95630
  • Upside part of mean
    0.18817
  • Downside part of mean
    -0.13053
  • Upside SD
    0.01948
  • Downside SD
    0.01717
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08536
  • Mean of criterion
    0.05763
  • SD of predictor
    0.17196
  • SD of criterion
    0.02582
  • Covariance
    0.00127
  • r
    0.28646
  • b (slope, estimate of beta)
    0.04302
  • a (intercept, estimate of alpha)
    0.05396
  • Mean Square Error
    0.00062
  • DF error
    129.00000
  • t(b)
    3.39591
  • p(b)
    0.32016
  • t(a)
    1.53553
  • p(a)
    0.41496
  • Lowerbound of 95% confidence interval for beta
    0.01796
  • Upperbound of 95% confidence interval for beta
    0.06808
  • Lowerbound of 95% confidence interval for alpha
    -0.01557
  • Upperbound of 95% confidence interval for alpha
    0.12349
  • Treynor index (mean / b)
    1.33974
  • Jensen alpha (a)
    0.05396
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00240
  • Expected Shortfall on VaR
    0.00307
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00101
  • Expected Shortfall on VaR
    0.00207
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99569
  • Quartile 1
    0.99944
  • Median
    1.00015
  • Quartile 3
    1.00128
  • Maximum
    1.00426
  • Mean of quarter 1
    0.99818
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00071
  • Mean of quarter 4
    1.00215
  • Inter Quartile Range
    0.00183
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.99627
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.00426
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40390
  • VaR(95%) (moments method)
    0.00202
  • Expected Shortfall (moments method)
    0.00245
  • Extreme Value Index (regression method)
    -0.12212
  • VaR(95%) (regression method)
    0.00180
  • Expected Shortfall (regression method)
    0.00231
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00047
  • Median
    0.00102
  • Quartile 3
    0.00339
  • Maximum
    0.02728
  • Mean of quarter 1
    0.00028
  • Mean of quarter 2
    0.00072
  • Mean of quarter 3
    0.00228
  • Mean of quarter 4
    0.01247
  • Inter Quartile Range
    0.00292
  • 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
    0.07692
  • Mean of outliers high
    0.02728
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.74841
  • VaR(95%) (moments method)
    0.01268
  • Expected Shortfall (moments method)
    0.05323
  • Extreme Value Index (regression method)
    1.90712
  • VaR(95%) (regression method)
    0.02078
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05847
  • Compounded annual return (geometric extrapolation)
    0.05933
  • Calmar ratio (compounded annual return / max draw down)
    2.17459
  • Compounded annual return / average of 25% largest draw downs
    4.75597
  • Compounded annual return / Expected Shortfall lognormal
    19.35000

Strategy Description

WOversold is designed to consider trading long stocks and ETFs.
I do this 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.

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.
The strategy should have a positions on most days.

WOversold posts trades at around 3:45 ET and after the close.

We currently implement very strict stop loss logic quickly
exiting any loosing trades.

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
761
# Profitable
433
% Profitable
56.9%
Net Dividends
Correlation S&P500
0.313
Sharpe Ratio
0.46
Sortino Ratio
0.67
Beta
0.15
Alpha
0.01
Leverage
0.59 Average
2.18 Maximum

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total nominal value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.