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WOversold
(98996797)

Created by: JohnWax JohnWax
Started: 01/2016
Stocks
Last trade: 4 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.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

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).
5.2%
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
934
Num Trades
55.1%
Win Trades
1.4 : 1
Profit Factor
60.5%
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%+1.0%(0.1%)+0.5%                              +5.5%

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
7/16/19 9:30 VTR VENTAS LONG 55 68.34 7/16 15:49 68.08 0.03%
Trade id #124474252
Max drawdown($41)
Time7/16/19 9:30
Quant open55
Worst price67.59
Drawdown as % of equity-0.03%
($15)
Includes Typical Broker Commissions trade costs of $1.10
7/16/19 9:30 FB FACEBOOK LONG 12 203.89 7/16 15:49 204.11 0.01%
Trade id #124474231
Max drawdown($9)
Time7/16/19 9:30
Quant open12
Worst price203.10
Drawdown as % of equity-0.01%
$3
Includes Typical Broker Commissions trade costs of $0.24
7/16/19 9:35 NFLX NETFLIX LONG 4 367.02 7/16 15:49 366.48 0.01%
Trade id #124474668
Max drawdown($8)
Time7/16/19 9:35
Quant open4
Worst price364.92
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $0.08
7/12/19 9:53 GLD SPDR GOLD SHARES LONG 52 132.77 7/15 15:51 133.41 0.01%
Trade id #124435612
Max drawdown($12)
Time7/12/19 9:53
Quant open52
Worst price132.53
Drawdown as % of equity-0.01%
$32
Includes Typical Broker Commissions trade costs of $1.04
7/12/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 62 129.92 7/15 15:51 131.02 0.01%
Trade id #124434417
Max drawdown($14)
Time7/12/19 9:30
Quant open62
Worst price129.68
Drawdown as % of equity-0.01%
$67
Includes Typical Broker Commissions trade costs of $1.24
7/11/19 9:30 HSY HERSHEY COMPANY LONG 27 138.51 7/15 15:51 138.32 0.04%
Trade id #124415895
Max drawdown($52)
Time7/11/19 9:30
Quant open27
Worst price136.55
Drawdown as % of equity-0.04%
($6)
Includes Typical Broker Commissions trade costs of $0.54
7/12/19 9:30 DHR DANAHER LONG 23 142.32 7/15 15:51 140.89 0.05%
Trade id #124434279
Max drawdown($64)
Time7/12/19 9:30
Quant open23
Worst price139.51
Drawdown as % of equity-0.05%
($33)
Includes Typical Broker Commissions trade costs of $0.46
7/15/19 12:09 PLD PROLOGIS LONG 38 80.10 7/15 15:51 80.01 0%
Trade id #124463718
Max drawdown($4)
Time7/15/19 12:09
Quant open38
Worst price79.98
Drawdown as % of equity-0.00%
($4)
Includes Typical Broker Commissions trade costs of $0.76
7/12/19 9:35 KMB KIMBERLY-CLARK LONG 32 137.50 7/12 15:51 138.48 0%
Trade id #124434907
Max drawdown($0)
Time7/12/19 9:35
Quant open32
Worst price137.49
Drawdown as % of equity-0.00%
$30
Includes Typical Broker Commissions trade costs of $0.64
7/12/19 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 46 78.20 7/12 15:51 78.89 0.01%
Trade id #124434448
Max drawdown($8)
Time7/12/19 9:30
Quant open46
Worst price78.01
Drawdown as % of equity-0.01%
$31
Includes Typical Broker Commissions trade costs of $0.92
7/12/19 9:30 VTR VENTAS LONG 55 69.44 7/12 15:51 69.01 0.04%
Trade id #124434352
Max drawdown($46)
Time7/12/19 9:30
Quant open55
Worst price68.60
Drawdown as % of equity-0.04%
($25)
Includes Typical Broker Commissions trade costs of $1.10
7/11/19 9:30 EIX EDISON INTERNATIONAL LONG 19 69.60 7/12 15:51 70.58 0.01%
Trade id #124415839
Max drawdown($6)
Time7/11/19 9:30
Quant open19
Worst price69.25
Drawdown as % of equity-0.01%
$19
Includes Typical Broker Commissions trade costs of $0.38
7/12/19 9:30 NFLX NETFLIX LONG 4 378.80 7/12 15:51 373.03 0.02%
Trade id #124434397
Max drawdown($24)
Time7/12/19 9:30
Quant open4
Worst price372.79
Drawdown as % of equity-0.02%
($23)
Includes Typical Broker Commissions trade costs of $0.08
7/11/19 9:30 SHW SHERWIN-WILLIAMS LONG 8 457.83 7/12 9:30 466.50 0.01%
Trade id #124415916
Max drawdown($6)
Time7/11/19 9:30
Quant open8
Worst price457.04
Drawdown as % of equity-0.01%
$69
Includes Typical Broker Commissions trade costs of $0.16
7/11/19 9:32 FIS FIDELITY NATIONAL INFO LONG 37 126.67 7/11 15:51 127.81 0%
Trade id #124415960
Max drawdown($4)
Time7/11/19 9:32
Quant open37
Worst price126.55
Drawdown as % of equity-0.00%
$41
Includes Typical Broker Commissions trade costs of $0.74
7/8/19 10:43 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 97 84.47 7/11 15:51 84.49 0.01%
Trade id #124372241
Max drawdown($6)
Time7/8/19 10:43
Quant open97
Worst price84.40
Drawdown as % of equity-0.01%
$0
Includes Typical Broker Commissions trade costs of $1.94
7/11/19 9:30 CINF CINCINNATI FINANCIAL CORP LONG 36 107.13 7/11 15:51 106.63 0.04%
Trade id #124415878
Max drawdown($50)
Time7/11/19 9:30
Quant open36
Worst price105.73
Drawdown as % of equity-0.04%
($19)
Includes Typical Broker Commissions trade costs of $0.72
7/9/19 9:30 NSC NORFOLK SOUTHERN LONG 16 197.83 7/11 15:51 201.51 0.01%
Trade id #124386175
Max drawdown($13)
Time7/9/19 9:30
Quant open16
Worst price197.00
Drawdown as % of equity-0.01%
$59
Includes Typical Broker Commissions trade costs of $0.32
7/11/19 9:30 GLD SPDR GOLD SHARES LONG 52 133.58 7/11 13:27 132.56 0.04%
Trade id #124415925
Max drawdown($53)
Time7/11/19 13:27
Quant open52
Worst price132.56
Drawdown as % of equity-0.04%
($54)
Includes Typical Broker Commissions trade costs of $1.04
7/11/19 9:30 ALL ALLSTATE LONG 41 103.42 7/11 12:36 102.33 0.04%
Trade id #124415780
Max drawdown($45)
Time7/11/19 12:36
Quant open41
Worst price102.33
Drawdown as % of equity-0.04%
($46)
Includes Typical Broker Commissions trade costs of $0.82
7/11/19 9:30 PLD PROLOGIS LONG 37 83.00 7/11 11:41 81.54 0.05%
Trade id #124415885
Max drawdown($54)
Time7/11/19 11:41
Quant open37
Worst price81.54
Drawdown as % of equity-0.05%
($55)
Includes Typical Broker Commissions trade costs of $0.74
7/9/19 9:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 61 132.66 7/11 9:30 131.32 0.07%
Trade id #124386546
Max drawdown($83)
Time7/9/19 9:31
Quant open61
Worst price131.29
Drawdown as % of equity-0.07%
($82)
Includes Typical Broker Commissions trade costs of $1.22
7/9/19 9:30 XLP SPDR CONSUMER STAPLES SELECT LONG 77 59.36 7/10 15:51 59.55 0.03%
Trade id #124386204
Max drawdown($34)
Time7/9/19 9:30
Quant open77
Worst price58.91
Drawdown as % of equity-0.03%
$12
Includes Typical Broker Commissions trade costs of $1.54
7/9/19 9:30 DG DOLLAR GENERAL LONG 22 138.20 7/10 15:51 140.94 0%
Trade id #124386180
Max drawdown($0)
Time7/9/19 9:30
Quant open22
Worst price138.19
Drawdown as % of equity-0.00%
$60
Includes Typical Broker Commissions trade costs of $0.44
7/9/19 9:30 KO COCA-COLA LONG 80 51.72 7/10 15:51 51.77 0.02%
Trade id #124386317
Max drawdown($23)
Time7/9/19 9:30
Quant open80
Worst price51.43
Drawdown as % of equity-0.02%
$2
Includes Typical Broker Commissions trade costs of $1.60
7/9/19 9:30 SAND SANDSTORM GOLD LONG 492 5.38 7/10 15:51 5.60 0.02%
Trade id #124386269
Max drawdown($24)
Time7/9/19 9:30
Quant open492
Worst price5.33
Drawdown as % of equity-0.02%
$98
Includes Typical Broker Commissions trade costs of $9.84
7/8/19 9:30 PSA PUBLIC STORAGE LONG 22 245.38 7/9 15:53 247.89 0.01%
Trade id #124370408
Max drawdown($11)
Time7/8/19 9:30
Quant open22
Worst price244.85
Drawdown as % of equity-0.01%
$55
Includes Typical Broker Commissions trade costs of $0.44
7/9/19 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 48 75.35 7/9 15:53 75.28 0.01%
Trade id #124386320
Max drawdown($13)
Time7/9/19 9:30
Quant open48
Worst price75.08
Drawdown as % of equity-0.01%
($4)
Includes Typical Broker Commissions trade costs of $0.96
7/8/19 9:30 ADC AGREE REALTY LONG 65 65.14 7/9 15:53 65.84 0.02%
Trade id #124370063
Max drawdown($19)
Time7/8/19 9:30
Quant open65
Worst price64.84
Drawdown as % of equity-0.02%
$45
Includes Typical Broker Commissions trade costs of $1.30
7/8/19 9:56 CHD CHURCH & DWIGHT COMPANY LONG 50 74.38 7/9 9:44 73.57 0.11%
Trade id #124371182
Max drawdown($137)
Time7/8/19 9:56
Quant open50
Worst price71.64
Drawdown as % of equity-0.11%
($41)
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    1/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1293.79
  • Age
    43 months ago
  • What it trades
    Stocks
  • # Trades
    934
  • # Profitable
    515
  • % Profitable
    55.10%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    10.42%
  • drawdown period
    Aug 16, 2017 - Aug 17, 2018
  • Annual Return (Compounded)
    5.2%
  • Avg win
    $185.60
  • Avg loss
    $172.21
  • Model Account Values (Raw)
  • Cash
    $114,518
  • Margin Used
    $0
  • Buying Power
    $114,381
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    0.47
  • Sortino Ratio
    0.67
  • Calmar Ratio
    0.843
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31340
  • Return Statistics
  • Ann Return (w trading costs)
    5.2%
  • Ann Return (Compnd, No Fees)
    6.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    659
  • C2 Score
    61.6
  • 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
    $172
  • Avg Win
    $186
  • # Winners
    515
  • # Losers
    419
  • % Winners
    55.1%
  • Frequency
  • Avg Position Time (mins)
    4253.13
  • Avg Position Time (hrs)
    70.89
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.57
  • 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
    0.04254
  • SD
    0.06733
  • Sharpe ratio (Glass type estimate)
    0.63187
  • Sharpe ratio (Hedges UMVUE)
    0.62023
  • df
    41.00000
  • t
    1.18213
  • p
    0.12198
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67644
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02256
  • Upside Potential Ratio
    2.42833
  • Upside part of mean
    0.10103
  • Downside part of mean
    -0.05849
  • Upside SD
    0.05334
  • Downside SD
    0.04160
  • N nonnegative terms
    23.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.09134
  • Mean of criterion
    0.04254
  • SD of predictor
    0.11250
  • SD of criterion
    0.06733
  • Covariance
    0.00479
  • r
    0.63268
  • b (slope, estimate of beta)
    0.37864
  • a (intercept, estimate of alpha)
    0.00796
  • Mean Square Error
    0.00279
  • DF error
    40.00000
  • t(b)
    5.16700
  • p(b)
    0.00000
  • t(a)
    0.27446
  • p(a)
    0.39257
  • Lowerbound of 95% confidence interval for beta
    0.23054
  • Upperbound of 95% confidence interval for beta
    0.52675
  • Lowerbound of 95% confidence interval for alpha
    -0.05065
  • Upperbound of 95% confidence interval for alpha
    0.06657
  • Treynor index (mean / b)
    0.11235
  • Jensen alpha (a)
    0.00796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04017
  • SD
    0.06711
  • Sharpe ratio (Glass type estimate)
    0.59864
  • Sharpe ratio (Hedges UMVUE)
    0.58761
  • df
    41.00000
  • t
    1.11995
  • p
    0.13463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46773
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64294
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94472
  • Upside Potential Ratio
    2.33776
  • Upside part of mean
    0.09941
  • Downside part of mean
    -0.05924
  • Upside SD
    0.05218
  • Downside SD
    0.04253
  • N nonnegative terms
    23.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.08465
  • Mean of criterion
    0.04017
  • SD of predictor
    0.11241
  • SD of criterion
    0.06711
  • Covariance
    0.00478
  • r
    0.63369
  • b (slope, estimate of beta)
    0.37832
  • a (intercept, estimate of alpha)
    0.00815
  • Mean Square Error
    0.00276
  • DF error
    40.00000
  • t(b)
    5.18080
  • p(b)
    0.00000
  • t(a)
    0.28331
  • p(a)
    0.38920
  • Lowerbound of 95% confidence interval for beta
    0.23073
  • Upperbound of 95% confidence interval for beta
    0.52591
  • Lowerbound of 95% confidence interval for alpha
    -0.04999
  • Upperbound of 95% confidence interval for alpha
    0.06629
  • Treynor index (mean / b)
    0.10619
  • Jensen alpha (a)
    0.00815
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02812
  • Expected Shortfall on VaR
    0.03593
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01033
  • Expected Shortfall on VaR
    0.02213
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.93982
  • Quartile 1
    0.99776
  • Median
    1.00587
  • Quartile 3
    1.01458
  • Maximum
    1.06361
  • Mean of quarter 1
    0.98512
  • Mean of quarter 2
    1.00121
  • Mean of quarter 3
    1.00881
  • Mean of quarter 4
    1.02820
  • Inter Quartile Range
    0.01682
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02381
  • Mean of outliers low
    0.93982
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    1.05454
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27388
  • VaR(95%) (moments method)
    0.00924
  • Expected Shortfall (moments method)
    0.01683
  • Extreme Value Index (regression method)
    0.06978
  • VaR(95%) (regression method)
    0.01575
  • Expected Shortfall (regression method)
    0.02515
  • 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)
    0.07688
  • Compounded annual return (geometric extrapolation)
    0.07045
  • Calmar ratio (compounded annual return / max draw down)
    0.96091
  • Compounded annual return / average of 25% largest draw downs
    0.96091
  • Compounded annual return / Expected Shortfall lognormal
    1.96104
  • 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
    0.04186
  • SD
    0.05868
  • Sharpe ratio (Glass type estimate)
    0.71333
  • Sharpe ratio (Hedges UMVUE)
    0.71275
  • df
    918.00000
  • t
    1.33597
  • p
    0.09094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33426
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75976
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03771
  • Upside Potential Ratio
    7.08014
  • Upside part of mean
    0.28561
  • Downside part of mean
    -0.24375
  • Upside SD
    0.04265
  • Downside SD
    0.04034
  • N nonnegative terms
    453.00000
  • N negative terms
    466.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    919.00000
  • Mean of predictor
    0.09202
  • Mean of criterion
    0.04186
  • SD of predictor
    0.12904
  • SD of criterion
    0.05868
  • Covariance
    0.00240
  • r
    0.31661
  • b (slope, estimate of beta)
    0.14399
  • a (intercept, estimate of alpha)
    0.02900
  • Mean Square Error
    0.00310
  • DF error
    917.00000
  • t(b)
    10.10740
  • p(b)
    -0.00000
  • t(a)
    0.96120
  • p(a)
    0.16835
  • Lowerbound of 95% confidence interval for beta
    0.11603
  • Upperbound of 95% confidence interval for beta
    0.17194
  • Lowerbound of 95% confidence interval for alpha
    -0.02981
  • Upperbound of 95% confidence interval for alpha
    0.08703
  • Treynor index (mean / b)
    0.29073
  • Jensen alpha (a)
    0.02861
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04013
  • SD
    0.05870
  • Sharpe ratio (Glass type estimate)
    0.68375
  • Sharpe ratio (Hedges UMVUE)
    0.68319
  • df
    918.00000
  • t
    1.28057
  • p
    0.10033
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73016
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98819
  • Upside Potential Ratio
    7.00958
  • Upside part of mean
    0.28468
  • Downside part of mean
    -0.24454
  • Upside SD
    0.04240
  • Downside SD
    0.04061
  • N nonnegative terms
    453.00000
  • N negative terms
    466.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    919.00000
  • Mean of predictor
    0.08366
  • Mean of criterion
    0.04013
  • SD of predictor
    0.12926
  • SD of criterion
    0.05870
  • Covariance
    0.00240
  • r
    0.31677
  • b (slope, estimate of beta)
    0.14385
  • a (intercept, estimate of alpha)
    0.02810
  • Mean Square Error
    0.00310
  • DF error
    917.00000
  • t(b)
    10.11340
  • p(b)
    -0.00000
  • t(a)
    0.94400
  • p(a)
    0.17271
  • Lowerbound of 95% confidence interval for beta
    0.11593
  • Upperbound of 95% confidence interval for beta
    0.17176
  • Lowerbound of 95% confidence interval for alpha
    -0.03032
  • Upperbound of 95% confidence interval for alpha
    0.08652
  • Treynor index (mean / b)
    0.27900
  • Jensen alpha (a)
    0.02810
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00579
  • Expected Shortfall on VaR
    0.00730
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00212
  • Expected Shortfall on VaR
    0.00457
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    919.00000
  • Minimum
    0.97173
  • Quartile 1
    0.99923
  • Median
    1.00008
  • Quartile 3
    1.00126
  • Maximum
    1.02699
  • Mean of quarter 1
    0.99668
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00058
  • Mean of quarter 4
    1.00399
  • Inter Quartile Range
    0.00203
  • Number outliers low
    61.00000
  • Percentage of outliers low
    0.06638
  • Mean of outliers low
    0.99249
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.06964
  • Mean of outliers high
    1.00822
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48930
  • VaR(95%) (moments method)
    0.00317
  • Expected Shortfall (moments method)
    0.00722
  • Extreme Value Index (regression method)
    0.38329
  • VaR(95%) (regression method)
    0.00292
  • Expected Shortfall (regression method)
    0.00568
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00046
  • Median
    0.00241
  • Quartile 3
    0.00810
  • Maximum
    0.08351
  • Mean of quarter 1
    0.00022
  • Mean of quarter 2
    0.00117
  • Mean of quarter 3
    0.00536
  • Mean of quarter 4
    0.02720
  • Inter Quartile Range
    0.00765
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.03794
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32997
  • VaR(95%) (moments method)
    0.02582
  • Expected Shortfall (moments method)
    0.04704
  • Extreme Value Index (regression method)
    0.55742
  • VaR(95%) (regression method)
    0.03521
  • Expected Shortfall (regression method)
    0.09150
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07685
  • Compounded annual return (geometric extrapolation)
    0.07041
  • Calmar ratio (compounded annual return / max draw down)
    0.84313
  • Compounded annual return / average of 25% largest draw downs
    2.58851
  • Compounded annual return / Expected Shortfall lognormal
    9.64628
  • 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
    0.08850
  • SD
    0.02298
  • Sharpe ratio (Glass type estimate)
    3.85153
  • Sharpe ratio (Hedges UMVUE)
    3.82926
  • df
    130.00000
  • t
    2.72344
  • p
    0.38384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.03336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.65537
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01865
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.63988
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.36061
  • Upside Potential Ratio
    13.41580
  • Upside part of mean
    0.18667
  • Downside part of mean
    -0.09817
  • Upside SD
    0.01898
  • Downside SD
    0.01391
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23640
  • Mean of criterion
    0.08850
  • SD of predictor
    0.10972
  • SD of criterion
    0.02298
  • Covariance
    0.00069
  • r
    0.27201
  • b (slope, estimate of beta)
    0.05697
  • a (intercept, estimate of alpha)
    0.07504
  • Mean Square Error
    0.00049
  • DF error
    129.00000
  • t(b)
    3.21055
  • p(b)
    0.32899
  • t(a)
    2.36921
  • p(a)
    0.37091
  • Lowerbound of 95% confidence interval for beta
    0.02186
  • Upperbound of 95% confidence interval for beta
    0.09207
  • Lowerbound of 95% confidence interval for alpha
    0.01237
  • Upperbound of 95% confidence interval for alpha
    0.13770
  • Treynor index (mean / b)
    1.55361
  • Jensen alpha (a)
    0.07504
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08822
  • SD
    0.02297
  • Sharpe ratio (Glass type estimate)
    3.84010
  • Sharpe ratio (Hedges UMVUE)
    3.81790
  • df
    130.00000
  • t
    2.71536
  • p
    0.38416
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.02217
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.64371
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00752
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.62829
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.33182
  • Upside Potential Ratio
    13.38410
  • Upside part of mean
    0.18647
  • Downside part of mean
    -0.09825
  • Upside SD
    0.01896
  • Downside SD
    0.01393
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23029
  • Mean of criterion
    0.08822
  • SD of predictor
    0.10979
  • SD of criterion
    0.02297
  • Covariance
    0.00068
  • r
    0.27134
  • b (slope, estimate of beta)
    0.05678
  • a (intercept, estimate of alpha)
    0.07514
  • Mean Square Error
    0.00049
  • DF error
    129.00000
  • t(b)
    3.20194
  • p(b)
    0.32940
  • t(a)
    2.37378
  • p(a)
    0.37067
  • Lowerbound of 95% confidence interval for beta
    0.02169
  • Upperbound of 95% confidence interval for beta
    0.09186
  • Lowerbound of 95% confidence interval for alpha
    0.01251
  • Upperbound of 95% confidence interval for alpha
    0.13777
  • Treynor index (mean / b)
    1.55374
  • Jensen alpha (a)
    0.07514
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00200
  • Expected Shortfall on VaR
    0.00259
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00071
  • Expected Shortfall on VaR
    0.00153
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99520
  • Quartile 1
    0.99968
  • Median
    1.00041
  • Quartile 3
    1.00131
  • Maximum
    1.00426
  • Mean of quarter 1
    0.99871
  • Mean of quarter 2
    1.00010
  • Mean of quarter 3
    1.00079
  • Mean of quarter 4
    1.00219
  • Inter Quartile Range
    0.00163
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.99611
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00410
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12187
  • VaR(95%) (moments method)
    0.00159
  • Expected Shortfall (moments method)
    0.00216
  • Extreme Value Index (regression method)
    -0.07071
  • VaR(95%) (regression method)
    0.00154
  • Expected Shortfall (regression method)
    0.00206
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00037
  • Median
    0.00078
  • Quartile 3
    0.00246
  • Maximum
    0.00746
  • Mean of quarter 1
    0.00023
  • Mean of quarter 2
    0.00058
  • Mean of quarter 3
    0.00177
  • Mean of quarter 4
    0.00501
  • Inter Quartile Range
    0.00209
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    0.00659
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.78248
  • VaR(95%) (moments method)
    0.00488
  • Expected Shortfall (moments method)
    0.00499
  • Extreme Value Index (regression method)
    -0.40273
  • VaR(95%) (regression method)
    0.00637
  • Expected Shortfall (regression method)
    0.00752
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11956
  • Compounded annual return (geometric extrapolation)
    0.12313
  • Calmar ratio (compounded annual return / max draw down)
    16.50700
  • Compounded annual return / average of 25% largest draw downs
    24.57800
  • Compounded annual return / Expected Shortfall lognormal
    47.59200

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 most days
and adjusts its stop-losss periodically.

The current version of this strategy changed on Jan 1st 2019 where I
implemented very strict stop loss logic that quickly exits any loosing
trades. The core strategy in selecting when to trade a stocks has not
changed, only the strict limit on the amount I am willing to loose on
a given trade. This is enforced with automatic stoplosses that are
entered with each open and adjusted periodically. The version before
Jan 1st 2019 did not have stops and resulted in draw-downs that I was
uncomfortable with.

Summary Statistics

Strategy began
2016-01-03
Suggested Minimum Capital
$35,000
# Trades
934
# Profitable
515
% Profitable
55.1%
Net Dividends
Correlation S&P500
0.313
Sharpe Ratio
0.47
Sortino Ratio
0.67
Beta
0.15
Alpha
0.01
Leverage
0.57 Average
2.18 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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 notional 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

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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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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.