Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $28,700 Hypothetical

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Market MASTER

By DWurz

Equity · Stocks · Started Dec 2021

hypothetical · Annual Return (Compounded)
-19.6%
Max Drawdown
80.1%
Trades
21
Win Trades
57.1%
Profit Factor
0.60
Win Months
41.2%

About this strategy

This strategy is a quantitative strategy based on my own proprietary M.A.S.T.E.R. (Market Amplitude and Short Term Extreme Readings) indicator. It is primarily a trend-following strategy that seeks to profit on short term positive and negative trends. This strategy will also seek to capitalize on short term reversal opportunities when markets are extremely oversold or extremely overbought. When my indicator goes positive or when markets are extremely oversold, this strategy will buy SSO. When my indicator goes negative or when markets are extremely overbought, this strategy will buy SDS. This strategy is fairly active and may trade as often as daily. However, there can be long periods of time with no trading activity if there is no change to our indicators. Sometimes the strategy will hold cash at certain indicator readings. Typical activity is 1-3 trades per month. Learn more about me at www.wurzfinancialservices.com

Momentum Short-term Reversal

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20210.60.6
202222.30.0-3.918.30.118.4-16.6-4.619.3-1.9-11.212.653.3
20234.0-5.8-14.83.4-4.8-9.43.5-2.06.75.1-5.3-4.4-23.2
2024-6.0-8.6-6.611.9-10.9-10.00.60.0
2025-19.9-8.9-6.5-15.4-4.1-6.7-9.13.41.2-58.7
2026-3.64.411.3-21.2-11.5-0.23.6-9.50.3-26.6

Statistics

Overview

Strategy began12/29/2021
Suggested Minimum Capital$50,000
Age57 months
What it tradesStocks
# Trades21
# Profitable12
% Profitable57.1%
Avg trade duration74.4 days
Max peak-to-valley drawdown80.1%
drawdown periodJune 16, 2022 - Aug 11, 2026
Annual Return (Compounded)-19.6%
Avg win$3,206
Avg loss$8,686

Ratios

W:L ratio0.61
Sharpe Ratio-0.66
Sortino Ratio-0.83
Calmar Ratio-0.45

CORRELATION STATISTICS

Correlation to SP500-0.64
Return Percent SP500 (cumu) during strategy life59.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-124.2%

Return Statistics

Ann Return (w trading costs)-19.6%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-18.2%

Slump

Current Slump as Pcnt Equity388.5%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss82.5%
Chance of 30% account loss52.0%
Chance of 40% account loss16.5%
Chance of 50% account loss4.5%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$8,686
Avg Win$3,206
# Winners12
Sum Trade PL (losers)$78,176
Sum Trade PL (winners)$38,468
Num Months Winners21
# Losers9
% Winners57.1%

Dividends

Dividends Received in Model Acct9129

Age

Num Months filled monthly returns table51

Frequency

Avg Position Time (mins)107091.07
Avg Position Time (hrs)1784.85
Avg Trade Length74.40
Last Trade Ago995

Leverage

Daily leverage (average)2.10
Daily leverage (max)4.37

Regression

Alpha-0.03
Beta-1.12
Treynor Index0.06

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.11
MAE:Equity, 95th Percentile Value for this strat1.50
MAE:Equity, average, losing trades0.24
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-3.27
MAE:PL (avg, all trades)-1.35
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.33
Avg(MAE) / Avg(PL) - Losing trades-1.51
Hold-and-Hope Ratio-0.47

RATIO STATISTICS

Mean-0.32
SD0.50
Sharpe ratio (Glass type estimate)-0.64
Sharpe ratio (Hedges UMVUE)-0.62
df25
t-0.95
p0.82
Lowerbound of 95% confidence interval for Sharpe Ratio-1.98
Upperbound of 95% confidence interval for Sharpe Ratio0.71
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.97
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72
Sortino ratio-0.76
Upside Potential Ratio1.10
Upside part of mean0.47
Downside part of mean-0.79
Upside SD0.26
Downside SD0.43
N nonnegative terms14
N negative terms12
N of observations26
Mean of predictor0.22
Mean of criterion-0.32
SD of predictor0.27
SD of criterion0.50
Covariance-0.12
r-0.91
b (slope, estimate of beta)-1.72
a (intercept, estimate of alpha)0.06
Mean Square Error0.04
DF error24
t(b)-10.92
p(b)1
t(a)0.43
p(a)0.34
Lowerbound of 95% confidence interval for beta-2.04
Upperbound of 95% confidence interval for beta-1.39
Lowerbound of 95% confidence interval for alpha-0.24
Upperbound of 95% confidence interval for alpha0.36
Treynor index (mean / b)0.19
Jensen alpha (a)0.06
Mean-0.46
SD0.55
Sharpe ratio (Glass type estimate)-0.84
Sharpe ratio (Hedges UMVUE)-0.82
df25
t-1.24
p0.89
Lowerbound of 95% confidence interval for Sharpe Ratio-2.19
Upperbound of 95% confidence interval for Sharpe Ratio0.52
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.17
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.53
Sortino ratio-0.92
Upside Potential Ratio0.87
Upside part of mean0.44
Downside part of mean-0.90
Upside SD0.24
Downside SD0.50
N nonnegative terms14
N negative terms12
N of observations26
Mean of predictor0.19
Mean of criterion-0.46
SD of predictor0.26
SD of criterion0.55
Covariance-0.13
r-0.90
b (slope, estimate of beta)-1.95
a (intercept, estimate of alpha)-0.09
Mean Square Error0.06
DF error24
t(b)-10.39
p(b)1
t(a)-0.57
p(a)0.71
Lowerbound of 95% confidence interval for beta-2.34
Upperbound of 95% confidence interval for beta-1.56
Lowerbound of 95% confidence interval for alpha-0.44
Upperbound of 95% confidence interval for alpha0.25
Treynor index (mean / b)0.24
Jensen alpha (a)-0.09
VaR(95%)0.26
Expected Shortfall on VaR0.31
VaR(95%)0.15
Expected Shortfall on VaR0.27
Mean-0.38
SD0.40
Sharpe ratio (Glass type estimate)-0.97
Sharpe ratio (Hedges UMVUE)-0.97
df567
t-1.43
p0.92
Lowerbound of 95% confidence interval for Sharpe Ratio-2.30
Upperbound of 95% confidence interval for Sharpe Ratio0.36
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.30
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.37
Sortino ratio-1.27
Upside Potential Ratio5.39
Upside part of mean1.63
Downside part of mean-2.01
Upside SD0.26
Downside SD0.30
N nonnegative terms246
N negative terms322
N of observations568
Mean of predictor0.22
Mean of criterion-0.38
SD of predictor0.23
SD of criterion0.40
Covariance-0.06
r-0.66
b (slope, estimate of beta)-1.15
a (intercept, estimate of alpha)-0.14
Mean Square Error0.09
DF error566
t(b)-20.97
p(b)1
t(a)-0.68
p(a)0.75
Lowerbound of 95% confidence interval for beta-1.26
Upperbound of 95% confidence interval for beta-1.04
Lowerbound of 95% confidence interval for alpha-0.53
Upperbound of 95% confidence interval for alpha0.26
Treynor index (mean / b)0.33
Jensen alpha (a)-0.14
Mean-0.46
SD0.40
Sharpe ratio (Glass type estimate)-1.16
Sharpe ratio (Hedges UMVUE)-1.16
df567
t-1.71
p0.96
Lowerbound of 95% confidence interval for Sharpe Ratio-2.49
Upperbound of 95% confidence interval for Sharpe Ratio0.17
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.49
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.17
Sortino ratio-1.48
Upside Potential Ratio5.08
Upside part of mean1.60
Downside part of mean-2.06
Upside SD0.25
Downside SD0.31
N nonnegative terms246
N negative terms322
N of observations568
Mean of predictor0.19
Mean of criterion-0.46
SD of predictor0.23
SD of criterion0.40
Covariance-0.06
r-0.66
b (slope, estimate of beta)-1.16
a (intercept, estimate of alpha)-0.24
Mean Square Error0.09
DF error566
t(b)-20.98
p(b)1
t(a)-1.20
p(a)0.88
Lowerbound of 95% confidence interval for beta-1.27
Upperbound of 95% confidence interval for beta-1.05
Lowerbound of 95% confidence interval for alpha-0.65
Upperbound of 95% confidence interval for alpha0.16
Treynor index (mean / b)0.40
Jensen alpha (a)-0.24
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.02
Expected Shortfall on VaR0.04
Mean-2.21
SD0.65
Sharpe ratio (Glass type estimate)-3.41
Sharpe ratio (Hedges UMVUE)-3.39
df130
t-2.41
p0.60
Lowerbound of 95% confidence interval for Sharpe Ratio-6.21
Upperbound of 95% confidence interval for Sharpe Ratio-0.60
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-6.19
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.59
Sortino ratio-4.11
Upside Potential Ratio3.66
Upside part of mean1.97
Downside part of mean-4.18
Upside SD0.38
Downside SD0.54
N nonnegative terms51
N negative terms80
N of observations131
Mean of predictor1.15
Mean of criterion-2.21
SD of predictor0.28
SD of criterion0.65
Covariance-0.17
r-0.91
b (slope, estimate of beta)-2.07
a (intercept, estimate of alpha)0.16
Mean Square Error0.08
DF error129
t(b)-24.48
p(b)0.98
t(a)0.40
p(a)0.48
Lowerbound of 95% confidence interval for beta-2.24
Upperbound of 95% confidence interval for beta-1.90
Lowerbound of 95% confidence interval for alpha-0.63
Upperbound of 95% confidence interval for alpha0.95
Treynor index (mean / b)1.07
Jensen alpha (a)0.16
Mean-2.43
SD0.66
Sharpe ratio (Glass type estimate)-3.71
Sharpe ratio (Hedges UMVUE)-3.69
df130
t-2.62
p0.61
Lowerbound of 95% confidence interval for Sharpe Ratio-6.51
Upperbound of 95% confidence interval for Sharpe Ratio-0.89
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-6.49
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.88
Sortino ratio-4.31
Upside Potential Ratio3.36
Upside part of mean1.90
Downside part of mean-4.33
Upside SD0.36
Downside SD0.56
N nonnegative terms51
N negative terms80
N of observations131
Mean of predictor1.10
Mean of criterion-2.43
SD of predictor0.28
SD of criterion0.66
Covariance-0.17
r-0.91
b (slope, estimate of beta)-2.12
a (intercept, estimate of alpha)-0.09
Mean Square Error0.07
DF error129
t(b)-24.97
p(b)0.98
t(a)-0.23
p(a)0.51
Lowerbound of 95% confidence interval for beta-2.29
VAR (95 Confidence Intrvl)0.04
Upperbound of 95% confidence interval for beta-1.95
Lowerbound of 95% confidence interval for alpha-0.88
Upperbound of 95% confidence interval for alpha0.69
Treynor index (mean / b)1.15
Jensen alpha (a)-0.09
VaR(95%)0.07
Expected Shortfall on VaR0.09
VaR(95%)0.04
Expected Shortfall on VaR0.08

ORDER STATISTICS

Number of observations26
Minimum0.62
Quartile 10.91
Median1.00
Quartile 31.06
Maximum1.24
Mean of quarter 10.80
Mean of quarter 20.96
Mean of quarter 31.03
Mean of quarter 41.13
Inter Quartile Range0.15
Number outliers low1
Percentage of outliers low0.04
Mean of outliers low0.62
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)-0.13
VaR(95%) (moments method)0.20
Expected Shortfall (moments method)0.26
Extreme Value Index (regression method)-0.31
VaR(95%) (regression method)0.22
Expected Shortfall (regression method)0.27
Number of observations568
Minimum0.86
Quartile 10.99
Median1
Quartile 31.01
Maximum1.16
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.02
Inter Quartile Range0.01
Number outliers low43
Percentage of outliers low0.08
Mean of outliers low0.94
Number of outliers high32
Percentage of outliers high0.06
Mean of outliers high1.05
Extreme Value Index (moments method)0.39
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.05
Extreme Value Index (regression method)0.18
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.04
Number of observations131
Minimum0.86
Quartile 10.99
Median1.00
Quartile 31.00
Maximum1.16
Mean of quarter 10.94
Mean of quarter 20.99
Mean of quarter 31.00
Mean of quarter 41.03
Inter Quartile Range0.02
Number outliers low19
Percentage of outliers low0.15
Mean of outliers low0.92
Number of outliers high10
Percentage of outliers high0.08
Mean of outliers high1.07
Extreme Value Index (moments method)0.02
VaR(95%) (moments method)0.04
Expected Shortfall (moments method)0.06
Extreme Value Index (regression method)-0.23
VaR(95%) (regression method)0.06
Expected Shortfall (regression method)0.08

DRAW DOWN STATISTICS

Number of observations1
Minimum0.78
Quartile 10.78
Median0.78
Quartile 30.78
Maximum0.78
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations11
Minimum0.00
Quartile 10.02
Median0.03
Quartile 30.07
Maximum0.78
Mean of quarter 10.01
Mean of quarter 20.03
Mean of quarter 30.05
Mean of quarter 40.32
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.09
Mean of outliers high0.78
Extreme Value Index (moments method)0.85
VaR(95%) (moments method)0.31
Expected Shortfall (moments method)2.42
Extreme Value Index (regression method)3.07
VaR(95%) (regression method)1.11
Expected Shortfall (regression method)0
Number of observations2
Minimum0.01
Quartile 10.18
Median0.36
Quartile 30.54
Maximum0.72
Mean of quarter 10.01
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.72
Inter Quartile Range0.36
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-562567168
Max Equity Drawdown (num days)1517
Last 4 Months - Pcnt Negative0.5%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.28
Compounded annual return (geometric extrapolation)-0.35
Calmar ratio (compounded annual return / max draw down)-0.45
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-1.16
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.28
Compounded annual return (geometric extrapolation)-0.35
Calmar ratio (compounded annual return / max draw down)-0.45
Compounded annual return / average of 25% largest draw downs-1.10
Compounded annual return / Expected Shortfall lognormal-6.88
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)-1.40
Compounded annual return (geometric extrapolation)-0.91
Calmar ratio (compounded annual return / max draw down)-1.26
Compounded annual return / average of 25% largest draw downs-1.26
Compounded annual return / Expected Shortfall lognormal-10.26

Trading record

Placed 15 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
SSO long640Oct 26, 2023Nov 2, 2023$1,462
ICSH long1253Oct 11, 2023Oct 27, 2023$111
SDS long440Oct 16, 2023Oct 23, 2023$1,386
SSO long300Oct 3, 2023Oct 11, 2023$1,080
SDS long1690Aug 28, 2023Sep 27, 2023$2,473
SSO long1039Aug 14, 2023Aug 25, 2023($802)
SDS long888Aug 10, 2023Aug 11, 2023$714
SSO long505Jul 6, 2023Jul 18, 2023$1,487
SDS long826Jun 28, 2023Jul 6, 2023($228)
SDS long1629May 15, 2023Jun 13, 2023($6,716)
SSO long1320Apr 27, 2023May 15, 2023$431
SDS long1585Mar 15, 2023Apr 27, 2023($7,768)
SSO long1624Jan 10, 2023Mar 15, 2023($1,983)
SDS long1667Dec 23, 2022Jan 10, 2023($2,979)
SSO long1734Dec 19, 2022Dec 23, 2022($245)
SDS long1680Oct 26, 2022Dec 19, 2022($1,407)
SDS long1545Sep 9, 2022Sep 26, 2022$12,808
SSO long1154Aug 12, 2022Aug 16, 2022$1,353
SDS long2252Mar 21, 2022Aug 12, 2022$3,428
SDS long1428Dec 29, 2021Jan 24, 2022$11,619

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.