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Carma Dynamic
(106183568)

Started: 10/2016
Stocks
Last trade: 4 days ago
Trading style: Equity Momentum 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 $99.00 per month.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
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).
9.8%
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.

(17.5%)
Max Drawdown
442
Num Trades
63.1%
Win Trades
1.3 : 1
Profit Factor
71.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               (1.2%)+5.0%+0.6%+4.4%
2017+10.5%+3.8%+2.9%+0.4%(8.2%)+2.0%+0.5%+1.6%+0.6%(1.6%)+1.7%+5.4%+20.1%
2018(1.7%)(11.5%)+5.7%+2.3%(1.2%)(4.7%)+5.4%+2.3%+3.0%(2.1%)+0.6%+1.3%(2%)
2019+1.2%(1.2%)+2.3%+1.1%                                                +3.4%

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.

Trading Record

This strategy has placed 212 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/16/19 9:35 SPY SPDR S&P 500 LONG 600 290.87 4/16 10:26 290.48 0.17%
Trade id #123326667
Max drawdown($234)
Time4/16/19 10:26
Quant open0
Worst price290.48
Drawdown as % of equity-0.17%
($239)
Includes Typical Broker Commissions trade costs of $5.00
4/11/19 10:11 IDXX IDEXX LABORATORIES LONG 115 222.83 4/16 9:39 227.16 0.11%
Trade id #123281592
Max drawdown($152)
Time4/11/19 10:22
Quant open115
Worst price221.50
Drawdown as % of equity-0.11%
$496
Includes Typical Broker Commissions trade costs of $2.30
4/12/19 10:29 ANTM ANTHEM INC LONG 98 262.47 4/15 13:45 262.97 0.97%
Trade id #123295838
Max drawdown($1,305)
Time4/12/19 15:27
Quant open98
Worst price249.15
Drawdown as % of equity-0.97%
$47
Includes Typical Broker Commissions trade costs of $1.96
4/12/19 9:35 SPY SPDR S&P 500 LONG 600 289.96 4/12 10:40 289.62 0.15%
Trade id #123294006
Max drawdown($204)
Time4/12/19 10:40
Quant open0
Worst price289.62
Drawdown as % of equity-0.15%
($209)
Includes Typical Broker Commissions trade costs of $5.00
4/8/19 9:30 COO COOPER LONG 88 288.23 4/12 9:38 293.13 0.24%
Trade id #123237401
Max drawdown($321)
Time4/8/19 9:48
Quant open88
Worst price284.58
Drawdown as % of equity-0.24%
$429
Includes Typical Broker Commissions trade costs of $1.76
4/8/19 9:30 ANET ARISTA NETWORKS INC LONG 82 310.21 4/10 12:34 322.64 0.19%
Trade id #123237391
Max drawdown($255)
Time4/8/19 9:44
Quant open82
Worst price307.09
Drawdown as % of equity-0.19%
$1,017
Includes Typical Broker Commissions trade costs of $1.64
4/5/19 9:46 SPY SPDR S&P 500 LONG 600 288.10 4/5 15:59 288.48 0.1%
Trade id #123219111
Max drawdown($129)
Time4/5/19 9:53
Quant open600
Worst price287.88
Drawdown as % of equity-0.10%
$223
Includes Typical Broker Commissions trade costs of $5.00
3/27/19 12:47 ADI ANALOG DEVICES LONG 242 104.00 4/2 9:30 108.13 0.13%
Trade id #123101127
Max drawdown($169)
Time3/28/19 12:17
Quant open242
Worst price103.30
Drawdown as % of equity-0.13%
$994
Includes Typical Broker Commissions trade costs of $4.84
4/1/19 9:35 SPY SPDR S&P 500 LONG 600 284.85 4/1 15:59 286.02 0.2%
Trade id #123150776
Max drawdown($270)
Time4/1/19 9:50
Quant open600
Worst price284.40
Drawdown as % of equity-0.20%
$697
Includes Typical Broker Commissions trade costs of $5.00
3/22/19 9:53 SYF SYNCHRONY FINANCIAL LONG 780 32.22 4/1 9:33 32.25 0.66%
Trade id #123030058
Max drawdown($858)
Time3/25/19 14:28
Quant open780
Worst price31.12
Drawdown as % of equity-0.66%
$18
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 9:35 SPY SPDR S&P 500 LONG 600 282.18 3/29 10:45 281.44 0.34%
Trade id #123125368
Max drawdown($444)
Time3/29/19 10:45
Quant open0
Worst price281.44
Drawdown as % of equity-0.34%
($449)
Includes Typical Broker Commissions trade costs of $5.00
3/8/19 9:30 MNST MONSTER BEVERAGE LONG 395 61.22 3/27 9:30 55.43 2.49%
Trade id #122833850
Max drawdown($3,270)
Time3/22/19 10:26
Quant open395
Worst price52.94
Drawdown as % of equity-2.49%
($2,295)
Includes Typical Broker Commissions trade costs of $7.90
3/19/19 9:35 SPY SPDR S&P 500 LONG 600 283.47 3/19 10:59 283.00 0.21%
Trade id #122969338
Max drawdown($282)
Time3/19/19 10:59
Quant open0
Worst price283.00
Drawdown as % of equity-0.21%
($287)
Includes Typical Broker Commissions trade costs of $5.00
3/8/19 9:30 EBAY EBAY LONG 671 36.02 3/19 9:30 36.68 0.27%
Trade id #122833828
Max drawdown($342)
Time3/8/19 10:07
Quant open671
Worst price35.51
Drawdown as % of equity-0.27%
$438
Includes Typical Broker Commissions trade costs of $5.00
3/18/19 9:47 SPY SPDR S&P 500 LONG 600 282.13 3/18 11:21 281.85 0.12%
Trade id #122951019
Max drawdown($168)
Time3/18/19 11:21
Quant open0
Worst price281.85
Drawdown as % of equity-0.12%
($173)
Includes Typical Broker Commissions trade costs of $5.00
3/8/19 9:30 HPE HEWLETT PACKARD ENTERPRISE CO LONG 1,552 15.52 3/18 9:30 16.00 0.46%
Trade id #122833904
Max drawdown($605)
Time3/12/19 10:25
Quant open1,552
Worst price15.13
Drawdown as % of equity-0.46%
$740
Includes Typical Broker Commissions trade costs of $5.00
3/8/19 9:30 XLNX XILINX LONG 202 117.90 3/13 11:34 124.31 0.22%
Trade id #122833843
Max drawdown($268)
Time3/8/19 9:32
Quant open202
Worst price116.57
Drawdown as % of equity-0.22%
$1,291
Includes Typical Broker Commissions trade costs of $4.04
3/8/19 9:30 GRMN GARMIN LONG 293 82.51 3/13 9:30 84.71 0.05%
Trade id #122833841
Max drawdown($64)
Time3/8/19 13:37
Quant open293
Worst price82.29
Drawdown as % of equity-0.05%
$639
Includes Typical Broker Commissions trade costs of $5.86
3/8/19 9:37 INCY INCYTE LONG 296 81.68 3/13 9:30 85.48 0.18%
Trade id #122834254
Max drawdown($224)
Time3/8/19 12:54
Quant open296
Worst price80.92
Drawdown as % of equity-0.18%
$1,119
Includes Typical Broker Commissions trade costs of $5.92
3/8/19 9:30 ADI ANALOG DEVICES LONG 230 104.78 3/13 9:30 108.42 0.12%
Trade id #122833723
Max drawdown($151)
Time3/8/19 9:32
Quant open230
Worst price104.12
Drawdown as % of equity-0.12%
$832
Includes Typical Broker Commissions trade costs of $4.60
3/8/19 9:30 WHR WHIRLPOOL LONG 176 136.91 3/13 9:30 141.52 0.3%
Trade id #122833739
Max drawdown($378)
Time3/11/19 8:05
Quant open176
Worst price134.76
Drawdown as % of equity-0.30%
$807
Includes Typical Broker Commissions trade costs of $3.52
3/8/19 9:30 ANET ARISTA NETWORKS INC LONG 90 268.73 3/12 9:30 283.04 0.08%
Trade id #122833845
Max drawdown($99)
Time3/8/19 9:32
Quant open90
Worst price267.63
Drawdown as % of equity-0.08%
$1,286
Includes Typical Broker Commissions trade costs of $1.80
3/8/19 9:30 KLAC KLA-TENCOR LONG 213 113.29 3/12 9:30 117.43 0.15%
Trade id #122833825
Max drawdown($187)
Time3/8/19 9:40
Quant open213
Worst price112.41
Drawdown as % of equity-0.15%
$878
Includes Typical Broker Commissions trade costs of $4.26
3/8/19 9:30 ALXN ALEXION PHARMACEUTICALS LONG 191 126.70 3/8 10:42 126.70 0.15%
Trade id #122833894
Max drawdown($191)
Time3/8/19 10:07
Quant open191
Worst price125.70
Drawdown as % of equity-0.15%
($4)
Includes Typical Broker Commissions trade costs of $3.82
3/8/19 9:30 BA BOEING LONG 58 416.43 3/8 10:42 420.58 0.03%
Trade id #122833812
Max drawdown($36)
Time3/8/19 9:32
Quant open58
Worst price415.80
Drawdown as % of equity-0.03%
$240
Includes Typical Broker Commissions trade costs of $1.16
3/8/19 9:30 SYF SYNCHRONY FINANCIAL LONG 771 31.20 3/8 10:42 31.42 0.02%
Trade id #122833865
Max drawdown($30)
Time3/8/19 9:32
Quant open771
Worst price31.16
Drawdown as % of equity-0.02%
$165
Includes Typical Broker Commissions trade costs of $5.00
3/8/19 9:30 BSX BOSTON SCIENTIFIC LONG 615 39.33 3/8 10:42 39.10 0.17%
Trade id #122833760
Max drawdown($212)
Time3/8/19 10:14
Quant open615
Worst price38.98
Drawdown as % of equity-0.17%
($146)
Includes Typical Broker Commissions trade costs of $5.00
2/22/19 14:45 MCHP MICROCHIP TECHNOLOGY LONG 281 88.47 3/8 10:42 84.18 1.23%
Trade id #122649838
Max drawdown($1,523)
Time3/8/19 9:32
Quant open281
Worst price83.05
Drawdown as % of equity-1.23%
($1,211)
Includes Typical Broker Commissions trade costs of $5.62
3/7/19 9:46 TDG TRANSDIGM GROUP LONG 57 424.36 3/8 10:42 425.41 0.11%
Trade id #122818091
Max drawdown($135)
Time3/7/19 10:26
Quant open57
Worst price421.98
Drawdown as % of equity-0.11%
$59
Includes Typical Broker Commissions trade costs of $1.14
3/6/19 11:40 EL ESTEE LAUDER COS LONG 159 154.36 3/8 10:42 155.49 0.17%
Trade id #122805417
Max drawdown($217)
Time3/6/19 13:09
Quant open159
Worst price152.99
Drawdown as % of equity-0.17%
$177
Includes Typical Broker Commissions trade costs of $3.18

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    930.37
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    442
  • # Profitable
    279
  • % Profitable
    63.10%
  • Avg trade duration
    6.0 days
  • Max peak-to-valley drawdown
    17.55%
  • drawdown period
    Jan 03, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    9.8%
  • Avg win
    $522.26
  • Avg loss
    $706.78
  • Model Account Values (Raw)
  • Cash
    $83,917
  • Margin Used
    $0
  • Buying Power
    $81,777
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.747
  • Sortino Ratio
    1.031
  • Calmar Ratio
    0.783
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.30800
  • Return Statistics
  • Ann Return (w trading costs)
    9.8%
  • Ann Return (Compnd, No Fees)
    11.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    423
  • Popularity (Last 6 weeks)
    770
  • C2 Score
    93.7
  • 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
    $707
  • Avg Win
    $522
  • # Winners
    279
  • # Losers
    163
  • % Winners
    63.1%
  • Frequency
  • Avg Position Time (mins)
    8693.98
  • Avg Position Time (hrs)
    144.90
  • Avg Trade Length
    6.0 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09930
  • SD
    0.11688
  • Sharpe ratio (Glass type estimate)
    0.84961
  • Sharpe ratio (Hedges UMVUE)
    0.82741
  • df
    29.00000
  • t
    1.34334
  • p
    0.09479
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10112
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08516
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33611
  • Upside Potential Ratio
    2.58824
  • Upside part of mean
    0.19236
  • Downside part of mean
    -0.09306
  • Upside SD
    0.09221
  • Downside SD
    0.07432
  • N nonnegative terms
    21.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.09558
  • Mean of criterion
    0.09930
  • SD of predictor
    0.09402
  • SD of criterion
    0.11688
  • Covariance
    0.00353
  • r
    0.32113
  • b (slope, estimate of beta)
    0.39918
  • a (intercept, estimate of alpha)
    0.06115
  • Mean Square Error
    0.01269
  • DF error
    28.00000
  • t(b)
    1.79431
  • p(b)
    0.04178
  • t(a)
    0.82240
  • p(a)
    0.20890
  • Lowerbound of 95% confidence interval for beta
    -0.05653
  • Upperbound of 95% confidence interval for beta
    0.85490
  • Lowerbound of 95% confidence interval for alpha
    -0.09115
  • Upperbound of 95% confidence interval for alpha
    0.21344
  • Treynor index (mean / b)
    0.24876
  • Jensen alpha (a)
    0.06115
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09208
  • SD
    0.11722
  • Sharpe ratio (Glass type estimate)
    0.78558
  • Sharpe ratio (Hedges UMVUE)
    0.76506
  • df
    29.00000
  • t
    1.24211
  • p
    0.11207
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03487
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02019
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19131
  • Upside Potential Ratio
    2.43004
  • Upside part of mean
    0.18783
  • Downside part of mean
    -0.09575
  • Upside SD
    0.08952
  • Downside SD
    0.07730
  • N nonnegative terms
    21.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.09073
  • Mean of criterion
    0.09208
  • SD of predictor
    0.09414
  • SD of criterion
    0.11722
  • Covariance
    0.00348
  • r
    0.31497
  • b (slope, estimate of beta)
    0.39220
  • a (intercept, estimate of alpha)
    0.05650
  • Mean Square Error
    0.01282
  • DF error
    28.00000
  • t(b)
    1.75607
  • p(b)
    0.04501
  • t(a)
    0.75920
  • p(a)
    0.22704
  • Lowerbound of 95% confidence interval for beta
    -0.06529
  • Upperbound of 95% confidence interval for beta
    0.84968
  • Lowerbound of 95% confidence interval for alpha
    -0.09594
  • Upperbound of 95% confidence interval for alpha
    0.20894
  • Treynor index (mean / b)
    0.23479
  • Jensen alpha (a)
    0.05650
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04685
  • Expected Shortfall on VaR
    0.06016
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01198
  • Expected Shortfall on VaR
    0.02858
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.90500
  • Quartile 1
    1.00193
  • Median
    1.01001
  • Quartile 3
    1.02282
  • Maximum
    1.07588
  • Mean of quarter 1
    0.97329
  • Mean of quarter 2
    1.00567
  • Mean of quarter 3
    1.01412
  • Mean of quarter 4
    1.04916
  • Inter Quartile Range
    0.02089
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.92710
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.06864
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.23551
  • VaR(95%) (regression method)
    0.03507
  • Expected Shortfall (regression method)
    0.07062
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01338
  • Quartile 1
    0.01711
  • Median
    0.02084
  • Quartile 3
    0.05892
  • Maximum
    0.09700
  • Mean of quarter 1
    0.01338
  • Mean of quarter 2
    0.02084
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09700
  • Inter Quartile Range
    0.04181
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.13993
  • Compounded annual return (geometric extrapolation)
    0.12749
  • Calmar ratio (compounded annual return / max draw down)
    1.31427
  • Compounded annual return / average of 25% largest draw downs
    1.31427
  • Compounded annual return / Expected Shortfall lognormal
    2.11913
  • 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
    0.09395
  • SD
    0.12571
  • Sharpe ratio (Glass type estimate)
    0.74737
  • Sharpe ratio (Hedges UMVUE)
    0.74652
  • df
    659.00000
  • t
    1.18619
  • p
    0.11799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48842
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98206
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03088
  • Upside Potential Ratio
    6.49992
  • Upside part of mean
    0.59236
  • Downside part of mean
    -0.49841
  • Upside SD
    0.08664
  • Downside SD
    0.09113
  • N nonnegative terms
    318.00000
  • N negative terms
    342.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    660.00000
  • Mean of predictor
    0.09749
  • Mean of criterion
    0.09395
  • SD of predictor
    0.12612
  • SD of criterion
    0.12571
  • Covariance
    0.00500
  • r
    0.31533
  • b (slope, estimate of beta)
    0.31431
  • a (intercept, estimate of alpha)
    0.06300
  • Mean Square Error
    0.01425
  • DF error
    658.00000
  • t(b)
    8.52364
  • p(b)
    0.00000
  • t(a)
    0.84067
  • p(a)
    0.20042
  • Lowerbound of 95% confidence interval for beta
    0.24190
  • Upperbound of 95% confidence interval for beta
    0.38671
  • Lowerbound of 95% confidence interval for alpha
    -0.08456
  • Upperbound of 95% confidence interval for alpha
    0.21117
  • Treynor index (mean / b)
    0.29891
  • Jensen alpha (a)
    0.06331
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08600
  • SD
    0.12608
  • Sharpe ratio (Glass type estimate)
    0.68216
  • Sharpe ratio (Hedges UMVUE)
    0.68139
  • df
    659.00000
  • t
    1.08270
  • p
    0.13967
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55351
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55405
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91682
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92935
  • Upside Potential Ratio
    6.36032
  • Upside part of mean
    0.58860
  • Downside part of mean
    -0.50260
  • Upside SD
    0.08565
  • Downside SD
    0.09254
  • N nonnegative terms
    318.00000
  • N negative terms
    342.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    660.00000
  • Mean of predictor
    0.08951
  • Mean of criterion
    0.08600
  • SD of predictor
    0.12633
  • SD of criterion
    0.12608
  • Covariance
    0.00506
  • r
    0.31782
  • b (slope, estimate of beta)
    0.31716
  • a (intercept, estimate of alpha)
    0.05762
  • Mean Square Error
    0.01431
  • DF error
    658.00000
  • t(b)
    8.59822
  • p(b)
    0.00000
  • t(a)
    0.76366
  • p(a)
    0.22267
  • Lowerbound of 95% confidence interval for beta
    0.24473
  • Upperbound of 95% confidence interval for beta
    0.38960
  • Lowerbound of 95% confidence interval for alpha
    -0.09053
  • Upperbound of 95% confidence interval for alpha
    0.20576
  • Treynor index (mean / b)
    0.27116
  • Jensen alpha (a)
    0.05762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01241
  • Expected Shortfall on VaR
    0.01561
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00436
  • Expected Shortfall on VaR
    0.00963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    660.00000
  • Minimum
    0.94920
  • Quartile 1
    0.99882
  • Median
    1.00000
  • Quartile 3
    1.00248
  • Maximum
    1.05425
  • Mean of quarter 1
    0.99284
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00107
  • Mean of quarter 4
    1.00818
  • Inter Quartile Range
    0.00366
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.08030
  • Mean of outliers low
    0.98451
  • Number of outliers high
    61.00000
  • Percentage of outliers high
    0.09242
  • Mean of outliers high
    1.01450
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51546
  • VaR(95%) (moments method)
    0.00535
  • Expected Shortfall (moments method)
    0.01318
  • Extreme Value Index (regression method)
    0.36082
  • VaR(95%) (regression method)
    0.00618
  • Expected Shortfall (regression method)
    0.01255
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00290
  • Median
    0.00798
  • Quartile 3
    0.02251
  • Maximum
    0.15399
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00647
  • Mean of quarter 3
    0.01267
  • Mean of quarter 4
    0.05982
  • Inter Quartile Range
    0.01961
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10345
  • Mean of outliers high
    0.10188
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.61735
  • VaR(95%) (moments method)
    0.06689
  • Expected Shortfall (moments method)
    0.18206
  • Extreme Value Index (regression method)
    1.42590
  • VaR(95%) (regression method)
    0.06313
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13194
  • Compounded annual return (geometric extrapolation)
    0.12065
  • Calmar ratio (compounded annual return / max draw down)
    0.78349
  • Compounded annual return / average of 25% largest draw downs
    2.01700
  • Compounded annual return / Expected Shortfall lognormal
    7.72876
  • 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
    0.10032
  • SD
    0.12459
  • Sharpe ratio (Glass type estimate)
    0.80517
  • Sharpe ratio (Hedges UMVUE)
    0.80051
  • df
    130.00000
  • t
    0.56934
  • p
    0.47506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57403
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25715
  • Upside Potential Ratio
    5.92743
  • Upside part of mean
    0.47298
  • Downside part of mean
    -0.37267
  • Upside SD
    0.09526
  • Downside SD
    0.07980
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05545
  • Mean of criterion
    0.10032
  • SD of predictor
    0.18398
  • SD of criterion
    0.12459
  • Covariance
    0.00273
  • r
    0.11910
  • b (slope, estimate of beta)
    0.08065
  • a (intercept, estimate of alpha)
    0.09584
  • Mean Square Error
    0.01542
  • DF error
    129.00000
  • t(b)
    1.36246
  • p(b)
    0.42436
  • t(a)
    0.54565
  • p(a)
    0.46946
  • Lowerbound of 95% confidence interval for beta
    -0.03647
  • Upperbound of 95% confidence interval for beta
    0.19778
  • Lowerbound of 95% confidence interval for alpha
    -0.25168
  • Upperbound of 95% confidence interval for alpha
    0.44337
  • Treynor index (mean / b)
    1.24376
  • Jensen alpha (a)
    0.09584
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09262
  • SD
    0.12413
  • Sharpe ratio (Glass type estimate)
    0.74617
  • Sharpe ratio (Hedges UMVUE)
    0.74186
  • df
    130.00000
  • t
    0.52762
  • p
    0.47689
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02845
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51814
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51513
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14008
  • Upside Potential Ratio
    5.76676
  • Upside part of mean
    0.46852
  • Downside part of mean
    -0.37589
  • Upside SD
    0.09340
  • Downside SD
    0.08124
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03867
  • Mean of criterion
    0.09262
  • SD of predictor
    0.18383
  • SD of criterion
    0.12413
  • Covariance
    0.00269
  • r
    0.11785
  • b (slope, estimate of beta)
    0.07958
  • a (intercept, estimate of alpha)
    0.08955
  • Mean Square Error
    0.01531
  • DF error
    129.00000
  • t(b)
    1.34790
  • p(b)
    0.42515
  • t(a)
    0.51165
  • p(a)
    0.47136
  • Lowerbound of 95% confidence interval for beta
    -0.03723
  • Upperbound of 95% confidence interval for beta
    0.19638
  • Lowerbound of 95% confidence interval for alpha
    -0.25673
  • Upperbound of 95% confidence interval for alpha
    0.43582
  • Treynor index (mean / b)
    1.16397
  • Jensen alpha (a)
    0.08955
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01219
  • Expected Shortfall on VaR
    0.01534
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00356
  • Expected Shortfall on VaR
    0.00794
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95370
  • Quartile 1
    0.99909
  • Median
    1.00000
  • Quartile 3
    1.00160
  • Maximum
    1.05425
  • Mean of quarter 1
    0.99466
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00057
  • Mean of quarter 4
    1.00679
  • Inter Quartile Range
    0.00251
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98757
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01535
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61000
  • VaR(95%) (moments method)
    0.00423
  • Expected Shortfall (moments method)
    0.01245
  • Extreme Value Index (regression method)
    0.69607
  • VaR(95%) (regression method)
    0.00462
  • Expected Shortfall (regression method)
    0.01703
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00162
  • Median
    0.00633
  • Quartile 3
    0.02346
  • Maximum
    0.07339
  • Mean of quarter 1
    0.00049
  • Mean of quarter 2
    0.00316
  • Mean of quarter 3
    0.01385
  • Mean of quarter 4
    0.04352
  • Inter Quartile Range
    0.02183
  • 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
    0.10000
  • Mean of outliers high
    0.07339
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.10454
  • VaR(95%) (moments method)
    0.04868
  • Expected Shortfall (moments method)
    0.06298
  • Extreme Value Index (regression method)
    1.57418
  • VaR(95%) (regression method)
    0.08776
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12424
  • Compounded annual return (geometric extrapolation)
    0.12810
  • Calmar ratio (compounded annual return / max draw down)
    1.74534
  • Compounded annual return / average of 25% largest draw downs
    2.94341
  • Compounded annual return / Expected Shortfall lognormal
    8.34919

Strategy Description

Key elements:
- Signals generated once a day, before market opens.
- Exposure per symbol: 20%
- Maximum exposure: 200% (10 positions)
- Long/short
- Only higly liquid US stocks traded

Summary Statistics

Includes fees & commissions
Strategy began
2016-10-03
Suggested Minimum Capital
$35,000
# Trades
442
# Profitable
279
% Profitable
63.1%
Net Dividends
Correlation S&P500
0.308
Sharpe Ratio
0.747

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.

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