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JC Alpha
(78115907)

Created by: JCAlpha JCAlpha
Started: 12/2012
Stocks
Last trade: Yesterday

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 $100.00 per month.

7.3%
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.

(26.5%)
Max Drawdown
2243
Num Trades
66.9%
Win Trades
1.4 : 1
Profit Factor
57.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                             (1.1%)(1.1%)
2013(0.7%)(0.6%)(3.2%)(2.3%)+1.4%(2.2%)+1.8%+4.1%+1.6%+0.9%(3.2%)+5.7%+3.1%
2014  -  +5.7%+2.4%+5.2%(3.3%)(14.7%)+18.1%+1.6%(5%)+2.2%(0.9%)+6.8%+15.5%
2015+1.3%+4.0%+0.7%+1.9%+5.5%(2%)+2.3%(5.8%)(2.6%)+5.2%+3.0%+3.3%+17.1%
2016(2%)+5.7%  -  +0.3%+1.9%+3.5%(0.7%)(0.2%)(0.1%)+1.2%+2.5%+0.6%+13.2%
2017+1.2%+1.6%+1.4%(0.1%)(1.6%)+1.3%+1.0%(1%)(4.5%)(0.6%)(1.5%)(0.7%)(3.7%)
2018(2.2%)(4.3%)+0.5%+2.3%+0.7%(2.2%)+0.8%+0.9%+0.1%(4.2%)+9.0%(0.1%)+0.7%
2019+1.3%+1.4%+0.4%                                                      +3.2%

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.

Trading Record

This strategy has placed 3,150 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/5/19 15:26 UNP UNION PACIFIC LONG 28 167.50 3/25 15:37 161.99 n/a ($155)
Includes Typical Broker Commissions trade costs of $0.56
3/19/19 14:54 CRM SALESFORCE.COM SHORT 28 164.31 3/25 15:36 160.91 n/a $94
Includes Typical Broker Commissions trade costs of $0.56
1/14/19 9:53 AXP AMERICAN EXPRESS SHORT 89 103.94 3/25 15:36 108.98 n/a ($451)
Includes Typical Broker Commissions trade costs of $1.78
3/19/19 14:54 UNH UNITEDHEALTH GROUP SHORT 18 257.50 3/22 14:11 248.39 0.01%
Trade id #122975730
Max drawdown($19)
Time3/20/19 9:08
Quant open-18
Worst price258.61
Drawdown as % of equity-0.01%
$164
Includes Typical Broker Commissions trade costs of $0.36
3/14/19 15:19 V VISA SHORT 30 154.41 3/22 14:10 153.51 0.04%
Trade id #122916232
Max drawdown($72)
Time3/15/19 15:07
Quant open-30
Worst price156.82
Drawdown as % of equity-0.04%
$26
Includes Typical Broker Commissions trade costs of $0.60
3/12/19 9:31 YUM YUM BRANDS SHORT 48 98.04 3/22 14:10 99.12 0.09%
Trade id #122876786
Max drawdown($160)
Time3/18/19 9:36
Quant open-48
Worst price101.39
Drawdown as % of equity-0.09%
($53)
Includes Typical Broker Commissions trade costs of $0.96
3/5/19 15:26 CVX CHEVRON SHORT 38 122.73 3/21 9:30 124.87 0.09%
Trade id #122794730
Max drawdown($159)
Time3/19/19 9:40
Quant open-38
Worst price126.92
Drawdown as % of equity-0.09%
($82)
Includes Typical Broker Commissions trade costs of $0.76
3/18/19 13:57 GS GOLDMAN SACHS GROUP SHORT 23 202.74 3/20 14:15 196.47 0.05%
Trade id #122957145
Max drawdown($85)
Time3/19/19 9:47
Quant open-23
Worst price206.45
Drawdown as % of equity-0.05%
$144
Includes Typical Broker Commissions trade costs of $0.46
3/14/19 15:19 BAC BANK OF AMERICA CORP SHORT 158 29.47 3/20 14:14 29.29 0.07%
Trade id #122916241
Max drawdown($113)
Time3/18/19 18:01
Quant open-158
Worst price30.19
Drawdown as % of equity-0.07%
$26
Includes Typical Broker Commissions trade costs of $3.16
3/15/19 14:28 CMCSA COMCAST SHORT 116 40.15 3/20 14:14 39.54 0.02%
Trade id #122932136
Max drawdown($37)
Time3/15/19 16:20
Quant open-116
Worst price40.47
Drawdown as % of equity-0.02%
$69
Includes Typical Broker Commissions trade costs of $2.32
3/19/19 14:53 WFC WELLS FARGO SHORT 90 51.75 3/20 9:30 51.14 0%
Trade id #122975699
Max drawdown($5)
Time3/19/19 14:56
Quant open-90
Worst price51.81
Drawdown as % of equity-0.00%
$53
Includes Typical Broker Commissions trade costs of $1.80
3/19/19 14:53 MS MORGAN STANLEY SHORT 105 44.23 3/20 9:30 43.70 0%
Trade id #122975717
Max drawdown($7)
Time3/19/19 14:57
Quant open-105
Worst price44.30
Drawdown as % of equity-0.00%
$54
Includes Typical Broker Commissions trade costs of $2.10
2/28/19 15:54 HPQ HEWLETT-PACKARD LONG 236 19.72 3/19 14:55 20.09 0.17%
Trade id #122738899
Max drawdown($297)
Time3/8/19 9:32
Quant open236
Worst price18.46
Drawdown as % of equity-0.17%
$83
Includes Typical Broker Commissions trade costs of $4.72
3/18/19 13:58 ADBE ADOBE INC LONG 18 256.20 3/19 10:23 257.70 n/a $27
Includes Typical Broker Commissions trade costs of $0.36
2/27/19 9:30 HD HOME DEPOT LONG 25 187.79 3/18 13:58 182.95 0.12%
Trade id #122711967
Max drawdown($206)
Time3/8/19 14:15
Quant open25
Worst price179.52
Drawdown as % of equity-0.12%
($122)
Includes Typical Broker Commissions trade costs of $0.50
3/12/19 10:44 COP CONOCOPHILLIPS LONG 71 65.87 3/18 13:57 67.81 0.03%
Trade id #122878590
Max drawdown($51)
Time3/12/19 11:15
Quant open71
Worst price65.15
Drawdown as % of equity-0.03%
$137
Includes Typical Broker Commissions trade costs of $1.42
3/7/19 15:53 CRM SALESFORCE.COM LONG 30 155.22 3/14 15:19 160.80 0.09%
Trade id #122826159
Max drawdown($149)
Time3/8/19 9:32
Quant open30
Worst price150.25
Drawdown as % of equity-0.09%
$166
Includes Typical Broker Commissions trade costs of $0.60
3/8/19 15:20 SCHW CHARLES SCHWAB LONG 108 43.25 3/13 15:29 44.43 0.01%
Trade id #122841047
Max drawdown($13)
Time3/8/19 15:37
Quant open108
Worst price43.12
Drawdown as % of equity-0.01%
$126
Includes Typical Broker Commissions trade costs of $2.16
3/8/19 15:19 PFE PFIZER LONG 114 40.86 3/13 15:28 41.94 0.01%
Trade id #122841037
Max drawdown($10)
Time3/8/19 15:31
Quant open114
Worst price40.77
Drawdown as % of equity-0.01%
$121
Includes Typical Broker Commissions trade costs of $2.28
3/7/19 15:57 AMGN AMGEN LONG 26 181.69 3/13 15:28 187.24 0.04%
Trade id #122826278
Max drawdown($69)
Time3/8/19 10:07
Quant open26
Worst price179.01
Drawdown as % of equity-0.04%
$143
Includes Typical Broker Commissions trade costs of $0.52
2/27/19 15:44 UNH UNITEDHEALTH GROUP LONG 19 249.82 3/13 15:28 251.31 0.17%
Trade id #122722691
Max drawdown($292)
Time3/8/19 8:32
Quant open19
Worst price234.40
Drawdown as % of equity-0.17%
$28
Includes Typical Broker Commissions trade costs of $0.38
3/8/19 15:20 FDX FEDEX LONG 27 171.17 3/13 15:27 178.87 0%
Trade id #122841069
Max drawdown($2)
Time3/8/19 15:25
Quant open27
Worst price171.06
Drawdown as % of equity-0.00%
$207
Includes Typical Broker Commissions trade costs of $0.54
3/7/19 15:51 LOW LOWE'S COMPANIES LONG 46 100.58 3/13 15:27 100.91 0.08%
Trade id #122826116
Max drawdown($139)
Time3/11/19 10:56
Quant open46
Worst price97.55
Drawdown as % of equity-0.08%
$14
Includes Typical Broker Commissions trade costs of $0.92
3/5/19 9:32 ANTM ANTHEM INC LONG 16 292.59 3/13 15:26 304.05 0.05%
Trade id #122787744
Max drawdown($92)
Time3/7/19 11:24
Quant open16
Worst price286.81
Drawdown as % of equity-0.05%
$183
Includes Typical Broker Commissions trade costs of $0.32
3/6/19 15:51 JPM JPMORGAN CHASE LONG 45 103.76 3/13 15:26 104.25 0.06%
Trade id #122809439
Max drawdown($97)
Time3/8/19 8:51
Quant open45
Worst price101.60
Drawdown as % of equity-0.06%
$21
Includes Typical Broker Commissions trade costs of $0.90
3/8/19 15:19 CB CHUBB LONG 35 132.11 3/13 15:25 134.55 0.01%
Trade id #122841031
Max drawdown($12)
Time3/8/19 15:39
Quant open35
Worst price131.76
Drawdown as % of equity-0.01%
$85
Includes Typical Broker Commissions trade costs of $0.70
3/8/19 15:18 HON HONEYWELL INTERNATIONAL LONG 31 151.17 3/13 15:25 154.75 0.01%
Trade id #122841011
Max drawdown($19)
Time3/11/19 9:33
Quant open31
Worst price150.55
Drawdown as % of equity-0.01%
$110
Includes Typical Broker Commissions trade costs of $0.62
3/6/19 15:51 ADBE ADOBE INC LONG 18 256.40 3/13 15:24 266.38 0.08%
Trade id #122809445
Max drawdown($131)
Time3/8/19 9:31
Quant open18
Worst price249.09
Drawdown as % of equity-0.08%
$180
Includes Typical Broker Commissions trade costs of $0.36
3/7/19 15:56 MU MICRON TECHNOLOGY LONG 123 37.87 3/12 14:17 39.32 0.09%
Trade id #122826263
Max drawdown($159)
Time3/8/19 9:33
Quant open123
Worst price36.57
Drawdown as % of equity-0.09%
$177
Includes Typical Broker Commissions trade costs of $2.46
3/5/19 15:31 VLO VALERO ENERGY LONG 57 80.99 3/12 14:17 84.70 0.08%
Trade id #122794859
Max drawdown($139)
Time3/8/19 10:25
Quant open57
Worst price78.55
Drawdown as % of equity-0.08%
$211
Includes Typical Broker Commissions trade costs of $1.14

Statistics

  • Strategy began
    12/12/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2294.72
  • Age
    77 months ago
  • What it trades
    Stocks
  • # Trades
    2243
  • # Profitable
    1501
  • % Profitable
    66.90%
  • Avg trade duration
    13.4 days
  • Max peak-to-valley drawdown
    26.48%
  • drawdown period
    Dec 03, 2016 - Oct 26, 2018
  • Annual Return (Compounded)
    7.3%
  • Avg win
    $209.40
  • Avg loss
    $328.21
  • Model Account Values (Raw)
  • Cash
    $217,282
  • Margin Used
    $105,994
  • Buying Power
    $108,698
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    0.47
  • Sortino Ratio
    0.737
  • Calmar Ratio
    0.398
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.26300
  • Return Statistics
  • Ann Return (w trading costs)
    7.3%
  • Ann Return (Compnd, No Fees)
    9.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.00%
  • Chance of 20% account loss
    21.50%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    523
  • Popularity (Last 6 weeks)
    791
  • C2 Score
    81.2
  • 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
    $328
  • Avg Win
    $209
  • # Winners
    1501
  • # Losers
    742
  • % Winners
    66.9%
  • Frequency
  • Avg Position Time (mins)
    19260.90
  • Avg Position Time (hrs)
    321.02
  • Avg Trade Length
    13.4 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
    0.07096
  • SD
    0.14920
  • Sharpe ratio (Glass type estimate)
    0.47560
  • Sharpe ratio (Hedges UMVUE)
    0.47070
  • df
    73.00000
  • t
    1.18105
  • p
    0.12071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26365
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77064
  • Upside Potential Ratio
    2.28633
  • Upside part of mean
    0.21052
  • Downside part of mean
    -0.13956
  • Upside SD
    0.11790
  • Downside SD
    0.09208
  • N nonnegative terms
    43.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.08778
  • Mean of criterion
    0.07096
  • SD of predictor
    0.11134
  • SD of criterion
    0.14920
  • Covariance
    0.00247
  • r
    0.14879
  • b (slope, estimate of beta)
    0.19938
  • a (intercept, estimate of alpha)
    0.05346
  • Mean Square Error
    0.02207
  • DF error
    72.00000
  • t(b)
    1.27670
  • p(b)
    0.10290
  • t(a)
    0.87101
  • p(a)
    0.19332
  • Lowerbound of 95% confidence interval for beta
    -0.11194
  • Upperbound of 95% confidence interval for beta
    0.51070
  • Lowerbound of 95% confidence interval for alpha
    -0.06889
  • Upperbound of 95% confidence interval for alpha
    0.17581
  • Treynor index (mean / b)
    0.35590
  • Jensen alpha (a)
    0.05346
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05988
  • SD
    0.14714
  • Sharpe ratio (Glass type estimate)
    0.40693
  • Sharpe ratio (Hedges UMVUE)
    0.40274
  • df
    73.00000
  • t
    1.01053
  • p
    0.15779
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38644
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38922
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19470
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62461
  • Upside Potential Ratio
    2.12367
  • Upside part of mean
    0.20358
  • Downside part of mean
    -0.14371
  • Upside SD
    0.11166
  • Downside SD
    0.09586
  • N nonnegative terms
    43.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.08113
  • Mean of criterion
    0.05988
  • SD of predictor
    0.11202
  • SD of criterion
    0.14714
  • Covariance
    0.00282
  • r
    0.17137
  • b (slope, estimate of beta)
    0.22510
  • a (intercept, estimate of alpha)
    0.04161
  • Mean Square Error
    0.02131
  • DF error
    72.00000
  • t(b)
    1.47599
  • p(b)
    0.07215
  • t(a)
    0.69277
  • p(a)
    0.24534
  • Lowerbound of 95% confidence interval for beta
    -0.07892
  • Upperbound of 95% confidence interval for beta
    0.52912
  • Lowerbound of 95% confidence interval for alpha
    -0.07813
  • Upperbound of 95% confidence interval for alpha
    0.16136
  • Treynor index (mean / b)
    0.26601
  • Jensen alpha (a)
    0.04161
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06282
  • Expected Shortfall on VaR
    0.07919
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02357
  • Expected Shortfall on VaR
    0.04974
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    74.00000
  • Minimum
    0.88279
  • Quartile 1
    0.99365
  • Median
    1.00889
  • Quartile 3
    1.02559
  • Maximum
    1.18805
  • Mean of quarter 1
    0.95984
  • Mean of quarter 2
    1.00094
  • Mean of quarter 3
    1.01536
  • Mean of quarter 4
    1.05682
  • Inter Quartile Range
    0.03194
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.08108
  • Mean of outliers low
    0.92186
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05405
  • Mean of outliers high
    1.11342
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15127
  • VaR(95%) (moments method)
    0.02317
  • Expected Shortfall (moments method)
    0.03131
  • Extreme Value Index (regression method)
    0.01021
  • VaR(95%) (regression method)
    0.05006
  • Expected Shortfall (regression method)
    0.07745
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00288
  • Quartile 1
    0.01872
  • Median
    0.06090
  • Quartile 3
    0.12367
  • Maximum
    0.15103
  • Mean of quarter 1
    0.00901
  • Mean of quarter 2
    0.04810
  • Mean of quarter 3
    0.07548
  • Mean of quarter 4
    0.14226
  • Inter Quartile Range
    0.10495
  • 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)
    -0.93478
  • VaR(95%) (moments method)
    0.14958
  • Expected Shortfall (moments method)
    0.15206
  • Extreme Value Index (regression method)
    0.52449
  • VaR(95%) (regression method)
    0.15315
  • Expected Shortfall (regression method)
    0.18540
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11648
  • Compounded annual return (geometric extrapolation)
    0.09175
  • Calmar ratio (compounded annual return / max draw down)
    0.60753
  • Compounded annual return / average of 25% largest draw downs
    0.64499
  • Compounded annual return / Expected Shortfall lognormal
    1.15861
  • 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
    0.07126
  • SD
    0.15146
  • Sharpe ratio (Glass type estimate)
    0.47052
  • Sharpe ratio (Hedges UMVUE)
    0.47030
  • df
    1616.00000
  • t
    1.16892
  • p
    0.48547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25957
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31880
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25941
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73728
  • Upside Potential Ratio
    7.49395
  • Upside part of mean
    0.72435
  • Downside part of mean
    -0.65309
  • Upside SD
    0.11663
  • Downside SD
    0.09666
  • N nonnegative terms
    773.00000
  • N negative terms
    844.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1617.00000
  • Mean of predictor
    0.08959
  • Mean of criterion
    0.07126
  • SD of predictor
    0.13046
  • SD of criterion
    0.15146
  • Covariance
    0.00552
  • r
    0.27950
  • b (slope, estimate of beta)
    0.32449
  • a (intercept, estimate of alpha)
    0.04200
  • Mean Square Error
    0.02116
  • DF error
    1615.00000
  • t(b)
    11.69860
  • p(b)
    0.32441
  • t(a)
    0.71996
  • p(a)
    0.48860
  • Lowerbound of 95% confidence interval for beta
    0.27009
  • Upperbound of 95% confidence interval for beta
    0.37890
  • Lowerbound of 95% confidence interval for alpha
    -0.07276
  • Upperbound of 95% confidence interval for alpha
    0.15715
  • Treynor index (mean / b)
    0.21962
  • Jensen alpha (a)
    0.04219
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05987
  • SD
    0.15067
  • Sharpe ratio (Glass type estimate)
    0.39734
  • Sharpe ratio (Hedges UMVUE)
    0.39716
  • df
    1616.00000
  • t
    0.98711
  • p
    0.48773
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39176
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18621
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61169
  • Upside Potential Ratio
    7.33226
  • Upside part of mean
    0.71764
  • Downside part of mean
    -0.65777
  • Upside SD
    0.11455
  • Downside SD
    0.09787
  • N nonnegative terms
    773.00000
  • N negative terms
    844.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1617.00000
  • Mean of predictor
    0.08104
  • Mean of criterion
    0.05987
  • SD of predictor
    0.13063
  • SD of criterion
    0.15067
  • Covariance
    0.00555
  • r
    0.28182
  • b (slope, estimate of beta)
    0.32506
  • a (intercept, estimate of alpha)
    0.03352
  • Mean Square Error
    0.02091
  • DF error
    1615.00000
  • t(b)
    11.80380
  • p(b)
    0.32299
  • t(a)
    0.57549
  • p(a)
    0.49089
  • Lowerbound of 95% confidence interval for beta
    0.27105
  • Upperbound of 95% confidence interval for beta
    0.37908
  • Lowerbound of 95% confidence interval for alpha
    -0.08073
  • Upperbound of 95% confidence interval for alpha
    0.14778
  • Treynor index (mean / b)
    0.18417
  • Jensen alpha (a)
    0.03352
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01497
  • Expected Shortfall on VaR
    0.01879
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00583
  • Expected Shortfall on VaR
    0.01211
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1617.00000
  • Minimum
    0.94976
  • Quartile 1
    0.99748
  • Median
    0.99996
  • Quartile 3
    1.00255
  • Maximum
    1.09726
  • Mean of quarter 1
    0.99140
  • Mean of quarter 2
    0.99887
  • Mean of quarter 3
    1.00110
  • Mean of quarter 4
    1.01017
  • Inter Quartile Range
    0.00508
  • Number outliers low
    93.00000
  • Percentage of outliers low
    0.05751
  • Mean of outliers low
    0.97929
  • Number of outliers high
    129.00000
  • Percentage of outliers high
    0.07978
  • Mean of outliers high
    1.02079
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56859
  • VaR(95%) (moments method)
    0.00874
  • Expected Shortfall (moments method)
    0.02240
  • Extreme Value Index (regression method)
    0.29475
  • VaR(95%) (regression method)
    0.00742
  • Expected Shortfall (regression method)
    0.01284
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    63.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00177
  • Median
    0.00668
  • Quartile 3
    0.01804
  • Maximum
    0.23074
  • Mean of quarter 1
    0.00083
  • Mean of quarter 2
    0.00378
  • Mean of quarter 3
    0.01030
  • Mean of quarter 4
    0.07414
  • Inter Quartile Range
    0.01628
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.11085
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40297
  • VaR(95%) (moments method)
    0.06445
  • Expected Shortfall (moments method)
    0.13149
  • Extreme Value Index (regression method)
    0.38320
  • VaR(95%) (regression method)
    0.08645
  • Expected Shortfall (regression method)
    0.17872
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11649
  • Compounded annual return (geometric extrapolation)
    0.09174
  • Calmar ratio (compounded annual return / max draw down)
    0.39761
  • Compounded annual return / average of 25% largest draw downs
    1.23745
  • Compounded annual return / Expected Shortfall lognormal
    4.88313
  • 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
    0.15171
  • SD
    0.18421
  • Sharpe ratio (Glass type estimate)
    0.82354
  • Sharpe ratio (Hedges UMVUE)
    0.81878
  • df
    130.00000
  • t
    0.58233
  • p
    0.47450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95164
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59238
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29844
  • Upside Potential Ratio
    8.38178
  • Upside part of mean
    0.97930
  • Downside part of mean
    -0.82760
  • Upside SD
    0.14181
  • Downside SD
    0.11684
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10160
  • Mean of criterion
    0.15171
  • SD of predictor
    0.19439
  • SD of criterion
    0.18421
  • Covariance
    0.01611
  • r
    0.45003
  • b (slope, estimate of beta)
    0.42646
  • a (intercept, estimate of alpha)
    0.19503
  • Mean Square Error
    0.02727
  • DF error
    129.00000
  • t(b)
    5.72365
  • p(b)
    0.22349
  • t(a)
    0.83467
  • p(a)
    0.45338
  • Lowerbound of 95% confidence interval for beta
    0.27905
  • Upperbound of 95% confidence interval for beta
    0.57388
  • Lowerbound of 95% confidence interval for alpha
    -0.26728
  • Upperbound of 95% confidence interval for alpha
    0.65734
  • Treynor index (mean / b)
    0.35573
  • Jensen alpha (a)
    0.19503
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13492
  • SD
    0.18337
  • Sharpe ratio (Glass type estimate)
    0.73576
  • Sharpe ratio (Hedges UMVUE)
    0.73151
  • df
    130.00000
  • t
    0.52026
  • p
    0.47721
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03882
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50768
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04172
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50474
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14118
  • Upside Potential Ratio
    8.19913
  • Upside part of mean
    0.96936
  • Downside part of mean
    -0.83444
  • Upside SD
    0.13950
  • Downside SD
    0.11823
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12036
  • Mean of criterion
    0.13492
  • SD of predictor
    0.19438
  • SD of criterion
    0.18337
  • Covariance
    0.01613
  • r
    0.45264
  • b (slope, estimate of beta)
    0.42701
  • a (intercept, estimate of alpha)
    0.18631
  • Mean Square Error
    0.02694
  • DF error
    129.00000
  • t(b)
    5.76542
  • p(b)
    0.22201
  • t(a)
    0.80201
  • p(a)
    0.45520
  • Lowerbound of 95% confidence interval for beta
    0.28047
  • Upperbound of 95% confidence interval for beta
    0.57355
  • Lowerbound of 95% confidence interval for alpha
    -0.27331
  • Upperbound of 95% confidence interval for alpha
    0.64594
  • Treynor index (mean / b)
    0.31596
  • Jensen alpha (a)
    0.18631
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01796
  • Expected Shortfall on VaR
    0.02259
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00717
  • Expected Shortfall on VaR
    0.01475
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96495
  • Quartile 1
    0.99755
  • Median
    1.00014
  • Quartile 3
    1.00367
  • Maximum
    1.05544
  • Mean of quarter 1
    0.98868
  • Mean of quarter 2
    0.99899
  • Mean of quarter 3
    1.00148
  • Mean of quarter 4
    1.01361
  • Inter Quartile Range
    0.00612
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.97938
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02241
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21574
  • VaR(95%) (moments method)
    0.00857
  • Expected Shortfall (moments method)
    0.01431
  • Extreme Value Index (regression method)
    0.04757
  • VaR(95%) (regression method)
    0.01234
  • Expected Shortfall (regression method)
    0.01899
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00311
  • Median
    0.02802
  • Quartile 3
    0.06324
  • Maximum
    0.10095
  • Mean of quarter 1
    0.00062
  • Mean of quarter 2
    0.01424
  • Mean of quarter 3
    0.04205
  • Mean of quarter 4
    0.09802
  • Inter Quartile Range
    0.06012
  • 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)
    0.16964
  • Compounded annual return (geometric extrapolation)
    0.17683
  • Calmar ratio (compounded annual return / max draw down)
    1.75163
  • Compounded annual return / average of 25% largest draw downs
    1.80408
  • Compounded annual return / Expected Shortfall lognormal
    7.82947

Strategy Description

Using a list of 60 US listed companies, the model uses extreme situations of fear and greed in each stock to detect signals that indicate reverse to the means. Usually each name is traded 5 to 10 times a year, both on the long and short side, with an average holding period of 13 working days. The idea is to have the minimum market exposure with a consistent positive performance. The model is based on a back-test since 2007. On average, the model has net long exposure of 10%,. During this period of back-test, the annual returns were the following: 2007 = 12.5%, 2008 = 58%, 2009 = 24%, 2010 = 5.7%, 2011 = 16,3% , 2012 = 7.05%, 75% of positive monthly return, worst month had a performance of -19% (October 2008 ) and the best month 24% (November 2008).
Each new position represents 3% but can go up to 9% in extreme situations of fear/greed sentiment on the stock. The maximum exposure is 150% of the value of the portfolio.
These results represent hypothetical backtesting.
Target return 10%-12%.

Summary Statistics

Strategy began
2012-12-12
Suggested Minimum Capital
$35,000
# Trades
2243
# Profitable
1501
% Profitable
66.9%
Net Dividends
Correlation S&P500
0.263
Sharpe Ratio
0.470

Latest Activity

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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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