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Carma Stocks ex US
(95709284)

Created by: CarmaAdvisory CarmaAdvisory
Started: 07/2015
Stocks
Last trade: 2 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 $49.00 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).
10.9%
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.

(10.9%)
Max Drawdown
519
Num Trades
67.8%
Win Trades
1.9 : 1
Profit Factor
59.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                          +1.0%+5.1%(0.1%)  -  (2.6%)(3.5%)(0.2%)
2016+1.1%(1.4%)+2.9%+1.8%+4.1%+3.8%+0.8%+1.1%+1.5%+1.2%+3.0%+1.9%+24.0%
2017(3%)(2.2%)+0.1%(1.8%)+0.1%  -  (0.2%)(1%)  -    -  (1.3%)+0.9%(8.2%)
2018  -  (0.8%)+1.7%+2.0%(0.8%)+4.7%+4.2%  -  (0.5%)+1.3%+3.6%+2.9%+19.6%
2019(2%)+0.7%+3.0%+0.3%+2.6%+6.0%+0.7%                              +11.8%

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 281 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/5/19 5:17 LSE.KAZ KAZ MINERALS PLC LONG 2,101 £5.588 7/12 4:12 £5.378 n/a ($577)
Includes Typical Broker Commissions trade costs of $23.04
7/5/19 3:44 LSE.FXPO FERREXPO PLC LONG 4,463 £2.628 7/11 4:00 £2.672 n/a $223
Includes Typical Broker Commissions trade costs of $23.66
7/5/19 8:53 LSE.AVV AVEVA GROUP PLC LONG 299 £39.220 7/11 4:00 £39.780 n/a $186
Includes Typical Broker Commissions trade costs of $23.62
7/8/19 7:01 LSE.FERG FERGUSON PLC LONG 211 £54.720 7/9 4:00 £57.540 n/a $721
Includes Typical Broker Commissions trade costs of $23.69
7/3/19 3:42 LSE.JUP JUPITER FUND MANAGEMENT PLC LONG 2,938 £3.997 7/5 4:10 £4.065 n/a $227
Includes Typical Broker Commissions trade costs of $23.68
7/2/19 9:30 TSX.FR FIRST MAJESTIC SILVER CORP LONG 2,071 CAD 9.79 7/3 9:30 CAD 10.46 n/a $1,015
Includes Typical Broker Commissions trade costs of $41.94
6/27/19 10:53 TSX.TXG TOREX GOLD RESOURCES INC LONG 1,517 CAD 13.24 7/2 15:41 CAD 13.60 n/a $375
Includes Typical Broker Commissions trade costs of $40.72
6/26/19 10:03 TSX.SMF SEMAFO LONG 4,100 CAD 4.90 6/28 10:03 CAD 5.03 n/a $364
Includes Typical Broker Commissions trade costs of $40.71
6/27/19 9:49 TSX.TA TRANSALTA CORP PFD SER G CR RA LONG 2,517 CAD 7.98 6/28 9:39 CAD 8.23 n/a $439
Includes Typical Broker Commissions trade costs of $40.80
6/26/19 9:30 TSX.SHOP SHOPIFY INC LONG 51 CAD 380.00 6/27 13:50 CAD 394.46 n/a $521
Includes Typical Broker Commissions trade costs of $39.50
6/20/19 3:35 LSE.EVR EVRAZ PLC LONG 1,744 £6.440 6/25 4:30 £6.502 n/a $115
Includes Typical Broker Commissions trade costs of $22.57
6/19/19 10:08 LSE.OCDO OCADO GROUP PLC LONG 1,049 £10.967 6/21 3:35 £11.210 n/a $298
Includes Typical Broker Commissions trade costs of $23.26
6/18/19 7:00 LSE.OSB ONESAVINGS BANK PLC LONG 3,029 £3.682 6/19 4:00 £3.876 n/a $714
Includes Typical Broker Commissions trade costs of $22.89
6/14/19 9:31 TSX.CRON CRONOS GROUP INC LONG 916 CAD 21.30 6/18 9:44 CAD 21.58 0.47%
Trade id #124083337
Max drawdown($787)
Time6/17/19 9:37
Quant open916
Worst price20.15
Drawdown as % of equity-0.47%
$153
Includes Typical Broker Commissions trade costs of $39.28
6/14/19 10:23 LSE.MKS MARKS AND SPENCER GROUP PLC LONG 5,766 £1.850 6/17 4:00 £2.161 n/a $2,240
Includes Typical Broker Commissions trade costs of $23.13
6/4/19 4:53 LSE.FGP FIRSTGROUP PLC LONG 10,189 £1.076 6/17 3:35 £1.012 0.69%
Trade id #123926293
Max drawdown($1,145)
Time6/13/19 4:53
Quant open10,189
Worst price0.987
Drawdown as % of equity-0.69%
($846)
Includes Typical Broker Commissions trade costs of $21.27
6/13/19 3:00 LSE.TSCO TESCO PLC LONG 4,937 £2.200 6/14 4:00 £2.286 0%
Trade id #124061442
Max drawdown$0
Time6/13/19 3:19
Quant open4,937
Worst price2.200
Drawdown as % of equity0.00%
$516
Includes Typical Broker Commissions trade costs of $22.15
6/10/19 11:11 TSX.SSL SANDSTORM GOLD LTD WTS LONG 2,772 CAD 7.04 6/12 10:20 CAD 7.19 0.06%
Trade id #124004215
Max drawdown($103)
Time6/10/19 13:42
Quant open2,772
Worst price6.99
Drawdown as % of equity-0.06%
$274
Includes Typical Broker Commissions trade costs of $39.44
6/10/19 9:30 TSX.KL KIRKLAND LAKE GOLD INC LONG 406 CAD 48.00 6/11 9:36 CAD 49.95 0.09%
Trade id #124001620
Max drawdown($148)
Time6/10/19 9:38
Quant open406
Worst price47.51
Drawdown as % of equity-0.09%
$557
Includes Typical Broker Commissions trade costs of $39.77
6/4/19 3:03 LSE.MCRO MICRO FOCUS INTERNATIONAL PLC LONG 591 £18.530 6/7 9:31 £19.392 0.12%
Trade id #123971975
Max drawdown($193)
Time6/4/19 4:17
Quant open591
Worst price18.272
Drawdown as % of equity-0.12%
$625
Includes Typical Broker Commissions trade costs of $22.41
5/29/19 3:05 LSE.HWDN HOWDEN JOINERY GROUP PLC LONG 2,307 £4.695 6/7 9:31 £5.016 n/a $918
Includes Typical Broker Commissions trade costs of $22.40
6/4/19 3:06 LSE.BDEV BARRATT DEVELOPMENTS PLC LONG 2,030 £5.401 6/7 9:31 £5.606 0.07%
Trade id #123971968
Max drawdown($116)
Time6/4/19 3:23
Quant open2,030
Worst price5.356
Drawdown as % of equity-0.07%
$506
Includes Typical Broker Commissions trade costs of $22.34
6/4/19 9:50 LSE.OCDO OCADO GROUP PLC LONG 969 £11.305 6/6 4:56 £11.530 0.14%
Trade id #123930081
Max drawdown($221)
Time6/4/19 11:36
Quant open969
Worst price11.125
Drawdown as % of equity-0.14%
$254
Includes Typical Broker Commissions trade costs of $22.12
6/4/19 3:35 LSE.SOPH SOPHOS GROUP PLC LONG 2,798 £3.900 6/5 3:40 £4.048 0.2%
Trade id #123925210
Max drawdown($333)
Time6/4/19 4:59
Quant open2,798
Worst price3.806
Drawdown as % of equity-0.20%
$504
Includes Typical Broker Commissions trade costs of $22.24
5/23/19 7:11 LSE.GNC GREENCORE GROUP PLC LONG 5,219 £2.105 5/30 3:00 £2.084 0.39%
Trade id #123791632
Max drawdown($634)
Time5/29/19 11:21
Quant open5,219
Worst price2.009
Drawdown as % of equity-0.39%
($161)
Includes Typical Broker Commissions trade costs of $21.87
5/29/19 5:07 LSE.OCDO OCADO GROUP PLC LONG 953 £11.500 5/30 3:00 £12.260 0.07%
Trade id #123856062
Max drawdown($120)
Time5/29/19 6:19
Quant open953
Worst price11.400
Drawdown as % of equity-0.07%
$893
Includes Typical Broker Commissions trade costs of $22.64
5/28/19 5:42 LSE.QLT QUILTER PLC LONG 8,410 £1.304 5/29 4:00 £1.298 0.08%
Trade id #123840201
Max drawdown($131)
Time5/29/19 3:50
Quant open8,410
Worst price1.291
Drawdown as % of equity-0.08%
($80)
Includes Typical Broker Commissions trade costs of $21.88
5/22/19 15:32 TSX.FM FIRST QUANTUM MINERALS LONG 1,931 CAD 9.90 5/23 9:55 CAD 9.83 0.31%
Trade id #123784685
Max drawdown($508)
Time5/23/19 9:31
Quant open1,931
Worst price9.55
Drawdown as % of equity-0.31%
($139)
Includes Typical Broker Commissions trade costs of $38.10
5/13/19 9:30 TSX.ATZ ARITZIA INC LONG 1,036 CAD 17.68 5/15 15:09 CAD 18.28 0.08%
Trade id #123641793
Max drawdown($124)
Time5/13/19 11:59
Quant open1,036
Worst price17.52
Drawdown as % of equity-0.08%
$426
Includes Typical Broker Commissions trade costs of $37.26
5/13/19 9:30 TSX.SHOP SHOPIFY INC LONG 55 CAD 332.51 5/15 9:45 CAD 343.66 0.15%
Trade id #123641706
Max drawdown($240)
Time5/14/19 9:42
Quant open55
Worst price326.69
Drawdown as % of equity-0.15%
$420
Includes Typical Broker Commissions trade costs of $37.19

Statistics

  • Strategy began
    7/6/2015
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1475.15
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    519
  • # Profitable
    352
  • % Profitable
    67.80%
  • Avg trade duration
    4.0 days
  • Max peak-to-valley drawdown
    10.85%
  • drawdown period
    Dec 20, 2016 - Feb 11, 2018
  • Annual Return (Compounded)
    10.9%
  • Avg win
    $449.78
  • Avg loss
    $513.60
  • Model Account Values (Raw)
  • Cash
    $159,289
  • Margin Used
    $0
  • Buying Power
    $158,495
  • Ratios
  • W:L ratio
    1.86:1
  • Sharpe Ratio
    0.92
  • Sortino Ratio
    1.34
  • Calmar Ratio
    1.822
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14670
  • Return Statistics
  • Ann Return (w trading costs)
    10.9%
  • Ann Return (Compnd, No Fees)
    14.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • 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)
    381
  • Popularity (Last 6 weeks)
    875
  • C2 Score
    0.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    10
  • Win / Loss
  • Avg Loss
    $514
  • Avg Win
    $450
  • # Winners
    352
  • # Losers
    167
  • % Winners
    67.8%
  • Frequency
  • Avg Position Time (mins)
    5702.27
  • Avg Position Time (hrs)
    95.04
  • Avg Trade Length
    4.0 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.28
  • Daily leverage (max)
    1.79
  • Unknown
  • Alpha
    0.02
  • Beta
    0.09
  • Treynor Index
    0.28
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11537
  • SD
    0.08792
  • Sharpe ratio (Glass type estimate)
    1.31226
  • Sharpe ratio (Hedges UMVUE)
    1.29024
  • df
    45.00000
  • t
    2.56926
  • p
    0.00679
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32619
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05838
  • Upside Potential Ratio
    4.58374
  • Upside part of mean
    0.17292
  • Downside part of mean
    -0.05754
  • Upside SD
    0.08514
  • Downside SD
    0.03772
  • N nonnegative terms
    29.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.07255
  • Mean of criterion
    0.11537
  • SD of predictor
    0.12776
  • SD of criterion
    0.08792
  • Covariance
    0.00019
  • r
    0.01670
  • b (slope, estimate of beta)
    0.01149
  • a (intercept, estimate of alpha)
    0.11454
  • Mean Square Error
    0.00790
  • DF error
    44.00000
  • t(b)
    0.11079
  • p(b)
    0.45614
  • t(a)
    2.48859
  • p(a)
    0.00834
  • Lowerbound of 95% confidence interval for beta
    -0.19757
  • Upperbound of 95% confidence interval for beta
    0.22055
  • Lowerbound of 95% confidence interval for alpha
    0.02178
  • Upperbound of 95% confidence interval for alpha
    0.20730
  • Treynor index (mean / b)
    10.03920
  • Jensen alpha (a)
    0.11454
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11092
  • SD
    0.08598
  • Sharpe ratio (Glass type estimate)
    1.29005
  • Sharpe ratio (Hedges UMVUE)
    1.26841
  • df
    45.00000
  • t
    2.52577
  • p
    0.00757
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24765
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30320
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90089
  • Upside Potential Ratio
    4.42125
  • Upside part of mean
    0.16905
  • Downside part of mean
    -0.05813
  • Upside SD
    0.08243
  • Downside SD
    0.03824
  • N nonnegative terms
    29.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.06425
  • Mean of criterion
    0.11092
  • SD of predictor
    0.12743
  • SD of criterion
    0.08598
  • Covariance
    0.00021
  • r
    0.01884
  • b (slope, estimate of beta)
    0.01271
  • a (intercept, estimate of alpha)
    0.11010
  • Mean Square Error
    0.00756
  • DF error
    44.00000
  • t(b)
    0.12499
  • p(b)
    0.45055
  • t(a)
    2.45318
  • p(a)
    0.00910
  • Lowerbound of 95% confidence interval for beta
    -0.19224
  • Upperbound of 95% confidence interval for beta
    0.21766
  • Lowerbound of 95% confidence interval for alpha
    0.01965
  • Upperbound of 95% confidence interval for alpha
    0.20055
  • Treynor index (mean / b)
    8.72623
  • Jensen alpha (a)
    0.11010
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03109
  • Expected Shortfall on VaR
    0.04104
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00891
  • Expected Shortfall on VaR
    0.01916
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    46.00000
  • Minimum
    0.96148
  • Quartile 1
    0.99970
  • Median
    1.00915
  • Quartile 3
    1.02382
  • Maximum
    1.10523
  • Mean of quarter 1
    0.98474
  • Mean of quarter 2
    1.00326
  • Mean of quarter 3
    1.01650
  • Mean of quarter 4
    1.04293
  • Inter Quartile Range
    0.02412
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02174
  • Mean of outliers low
    0.96148
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02174
  • Mean of outliers high
    1.10523
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.23372
  • VaR(95%) (moments method)
    0.00204
  • Expected Shortfall (moments method)
    0.00204
  • Extreme Value Index (regression method)
    -0.23852
  • VaR(95%) (regression method)
    0.01481
  • Expected Shortfall (regression method)
    0.02066
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00776
  • Median
    0.03684
  • Quartile 3
    0.06429
  • Maximum
    0.06676
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.01022
  • Mean of quarter 3
    0.06346
  • Mean of quarter 4
    0.06676
  • Inter Quartile Range
    0.05653
  • 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)
    0.18329
  • Compounded annual return (geometric extrapolation)
    0.14892
  • Calmar ratio (compounded annual return / max draw down)
    2.23065
  • Compounded annual return / average of 25% largest draw downs
    2.23065
  • Compounded annual return / Expected Shortfall lognormal
    3.62826
  • 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
    0.11564
  • SD
    0.07409
  • Sharpe ratio (Glass type estimate)
    1.56077
  • Sharpe ratio (Hedges UMVUE)
    1.55962
  • df
    1022.00000
  • t
    3.08407
  • p
    0.45199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56543
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55380
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38559
  • Upside Potential Ratio
    7.28502
  • Upside part of mean
    0.35314
  • Downside part of mean
    -0.23750
  • Upside SD
    0.05644
  • Downside SD
    0.04848
  • N nonnegative terms
    449.00000
  • N negative terms
    574.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1023.00000
  • Mean of predictor
    0.07481
  • Mean of criterion
    0.11564
  • SD of predictor
    0.13791
  • SD of criterion
    0.07409
  • Covariance
    0.00157
  • r
    0.15376
  • b (slope, estimate of beta)
    0.08261
  • a (intercept, estimate of alpha)
    0.10900
  • Mean Square Error
    0.00537
  • DF error
    1021.00000
  • t(b)
    4.97233
  • p(b)
    0.40250
  • t(a)
    2.95129
  • p(a)
    0.44153
  • Lowerbound of 95% confidence interval for beta
    0.05001
  • Upperbound of 95% confidence interval for beta
    0.11521
  • Lowerbound of 95% confidence interval for alpha
    0.03668
  • Upperbound of 95% confidence interval for alpha
    0.18224
  • Treynor index (mean / b)
    1.39986
  • Jensen alpha (a)
    0.10946
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11286
  • SD
    0.07409
  • Sharpe ratio (Glass type estimate)
    1.52341
  • Sharpe ratio (Hedges UMVUE)
    1.52229
  • df
    1022.00000
  • t
    3.01025
  • p
    0.45313
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52899
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51711
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52821
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51636
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30412
  • Upside Potential Ratio
    7.17655
  • Upside part of mean
    0.35153
  • Downside part of mean
    -0.23867
  • Upside SD
    0.05597
  • Downside SD
    0.04898
  • N nonnegative terms
    449.00000
  • N negative terms
    574.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1023.00000
  • Mean of predictor
    0.06527
  • Mean of criterion
    0.11286
  • SD of predictor
    0.13812
  • SD of criterion
    0.07409
  • Covariance
    0.00159
  • r
    0.15495
  • b (slope, estimate of beta)
    0.08311
  • a (intercept, estimate of alpha)
    0.10744
  • Mean Square Error
    0.00536
  • DF error
    1021.00000
  • t(b)
    5.01168
  • p(b)
    0.40175
  • t(a)
    2.89793
  • p(a)
    0.44258
  • Lowerbound of 95% confidence interval for beta
    0.05057
  • Upperbound of 95% confidence interval for beta
    0.11565
  • Lowerbound of 95% confidence interval for alpha
    0.03469
  • Upperbound of 95% confidence interval for alpha
    0.18019
  • Treynor index (mean / b)
    1.35798
  • Jensen alpha (a)
    0.10744
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00707
  • Expected Shortfall on VaR
    0.00897
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00218
  • Expected Shortfall on VaR
    0.00487
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1023.00000
  • Minimum
    0.96124
  • Quartile 1
    0.99966
  • Median
    1.00000
  • Quartile 3
    1.00128
  • Maximum
    1.03954
  • Mean of quarter 1
    0.99666
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00045
  • Mean of quarter 4
    1.00514
  • Inter Quartile Range
    0.00162
  • Number outliers low
    87.00000
  • Percentage of outliers low
    0.08504
  • Mean of outliers low
    0.99248
  • Number of outliers high
    122.00000
  • Percentage of outliers high
    0.11926
  • Mean of outliers high
    1.00821
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56761
  • VaR(95%) (moments method)
    0.00299
  • Expected Shortfall (moments method)
    0.00833
  • Extreme Value Index (regression method)
    0.39763
  • VaR(95%) (regression method)
    0.00299
  • Expected Shortfall (regression method)
    0.00649
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00064
  • Median
    0.00197
  • Quartile 3
    0.00871
  • Maximum
    0.08297
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.00140
  • Mean of quarter 3
    0.00504
  • Mean of quarter 4
    0.02796
  • Inter Quartile Range
    0.00807
  • 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
    0.10526
  • Mean of outliers high
    0.04618
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49126
  • VaR(95%) (moments method)
    0.02799
  • Expected Shortfall (moments method)
    0.06231
  • Extreme Value Index (regression method)
    0.40060
  • VaR(95%) (regression method)
    0.02938
  • Expected Shortfall (regression method)
    0.05803
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18764
  • Compounded annual return (geometric extrapolation)
    0.15116
  • Calmar ratio (compounded annual return / max draw down)
    1.82196
  • Compounded annual return / average of 25% largest draw downs
    5.40536
  • Compounded annual return / Expected Shortfall lognormal
    16.85460
  • 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
    0.22046
  • SD
    0.06114
  • Sharpe ratio (Glass type estimate)
    3.60558
  • Sharpe ratio (Hedges UMVUE)
    3.58474
  • df
    130.00000
  • t
    2.54953
  • p
    0.39089
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.40511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.39059
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.69616
  • Upside Potential Ratio
    15.58780
  • Upside part of mean
    0.44652
  • Downside part of mean
    -0.22606
  • Upside SD
    0.05545
  • Downside SD
    0.02865
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26024
  • Mean of criterion
    0.22046
  • SD of predictor
    0.10848
  • SD of criterion
    0.06114
  • Covariance
    0.00042
  • r
    0.06321
  • b (slope, estimate of beta)
    0.03563
  • a (intercept, estimate of alpha)
    0.21119
  • Mean Square Error
    0.00375
  • DF error
    129.00000
  • t(b)
    0.71936
  • p(b)
    0.45979
  • t(a)
    2.41123
  • p(a)
    0.36875
  • Lowerbound of 95% confidence interval for beta
    -0.06236
  • Upperbound of 95% confidence interval for beta
    0.13362
  • Lowerbound of 95% confidence interval for alpha
    0.03790
  • Upperbound of 95% confidence interval for alpha
    0.38448
  • Treynor index (mean / b)
    6.18785
  • Jensen alpha (a)
    0.21119
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21850
  • SD
    0.06094
  • Sharpe ratio (Glass type estimate)
    3.58550
  • Sharpe ratio (Hedges UMVUE)
    3.56478
  • df
    130.00000
  • t
    2.53533
  • p
    0.39147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77304
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.38465
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.37025
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.61087
  • Upside Potential Ratio
    15.49860
  • Upside part of mean
    0.44495
  • Downside part of mean
    -0.22645
  • Upside SD
    0.05517
  • Downside SD
    0.02871
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25424
  • Mean of criterion
    0.21850
  • SD of predictor
    0.10852
  • SD of criterion
    0.06094
  • Covariance
    0.00041
  • r
    0.06126
  • b (slope, estimate of beta)
    0.03440
  • a (intercept, estimate of alpha)
    0.20975
  • Mean Square Error
    0.00373
  • DF error
    129.00000
  • t(b)
    0.69706
  • p(b)
    0.46103
  • t(a)
    2.40379
  • p(a)
    0.36913
  • Lowerbound of 95% confidence interval for beta
    -0.06324
  • Upperbound of 95% confidence interval for beta
    0.13204
  • Lowerbound of 95% confidence interval for alpha
    0.03711
  • Upperbound of 95% confidence interval for alpha
    0.38240
  • Treynor index (mean / b)
    6.35165
  • Jensen alpha (a)
    0.20975
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00534
  • Expected Shortfall on VaR
    0.00691
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00190
  • Expected Shortfall on VaR
    0.00376
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99340
  • Quartile 1
    0.99906
  • Median
    1.00029
  • Quartile 3
    1.00242
  • Maximum
    1.01571
  • Mean of quarter 1
    0.99702
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00126
  • Mean of quarter 4
    1.00573
  • Inter Quartile Range
    0.00336
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.99344
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01183
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.30212
  • VaR(95%) (moments method)
    0.00253
  • Expected Shortfall (moments method)
    0.00313
  • Extreme Value Index (regression method)
    -0.43276
  • VaR(95%) (regression method)
    0.00343
  • Expected Shortfall (regression method)
    0.00418
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00129
  • Median
    0.00256
  • Quartile 3
    0.00847
  • Maximum
    0.01588
  • Mean of quarter 1
    0.00057
  • Mean of quarter 2
    0.00157
  • Mean of quarter 3
    0.00464
  • Mean of quarter 4
    0.01282
  • Inter Quartile Range
    0.00718
  • 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)
    -4.98618
  • VaR(95%) (moments method)
    0.01377
  • Expected Shortfall (moments method)
    0.01377
  • Extreme Value Index (regression method)
    -1.66712
  • VaR(95%) (regression method)
    0.01731
  • Expected Shortfall (regression method)
    0.01764
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26223
  • Compounded annual return (geometric extrapolation)
    0.27942
  • Calmar ratio (compounded annual return / max draw down)
    17.59580
  • Compounded annual return / average of 25% largest draw downs
    21.79570
  • Compounded annual return / Expected Shortfall lognormal
    40.45490

Strategy Description

- Markets traded: Canada, UK
- Long only
- Exposition per symbol: 5%-15% (usually 10%)
- Entry and exit logic very close to "brother" system Carma Stocks

Backtest available for subscribers

Summary Statistics

Strategy began
2015-07-06
Suggested Minimum Capital
$15,000
# Trades
519
# Profitable
352
% Profitable
67.8%
Net Dividends
Correlation S&P500
0.147
Sharpe Ratio
0.92
Sortino Ratio
1.34
Beta
0.09
Alpha
0.02
Leverage
0.28 Average
1.79 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.