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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/30/2014
Most recent certification approved 11/4/14 8:03 ET
Trades at broker Interactive Brokers (Stocks / Options)
Scaling percentage used 200%
# trading signals issued by system since certification 1,778
# trading signals executed in manager's Interactive Brokers (Stocks / Options) account 1,749
Percent signals followed since 10/30/2014 98.4%
This information was last updated 10/16/18 13:29 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/30/2014, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Carma Stocks
(81128026)

Created by: CarmaAdvisory CarmaAdvisory
Started: 05/2013
Stocks
Last trade: 7 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 $50.00 per month.

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).
10.0%
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.

(8.7%)
Max Drawdown
1310
Num Trades
67.7%
Win Trades
1.8 : 1
Profit Factor
69.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                            (0.3%)+7.5%(0.8%)(1.5%)+1.4%+5.4%+3.6%+1.3%+17.5%
2014(0.4%)(1%)+2.0%+7.9%(0.3%)  -  (1.6%)+1.7%+0.8%+2.1%+1.0%+2.2%+15.0%
2015+2.7%+0.3%+1.5%+0.1%+1.6%+2.2%+4.0%(1%)+2.5%(1%)+0.5%+1.1%+15.3%
2016+0.4%+2.0%+0.8%+0.7%+1.0%(1%)+1.1%+0.3%+1.0%+0.6%+1.9%(1%)+8.1%
2017+2.0%+1.6%+1.0%+0.1%(3.6%)+0.7%  -  +0.6%+0.2%(0.3%)+0.4%+2.3%+5.0%
2018(1.8%)(4.3%)+1.3%+0.1%(0.1%)(2.3%)+0.9%+0.8%+1.4%(1.2%)            (5.3%)

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 48 hours.

Trading Record

This strategy has placed 1,907 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/10/18 9:37 TDG TRANSDIGM GROUP LONG 10 335.00 10/16 13:28 340.59 0.47%
Trade id #120272537
Max drawdown($179)
Time10/11/18 14:47
Quant open10
Worst price317.05
Drawdown as % of equity-0.47%
$56
Includes Typical Broker Commissions trade costs of $0.20
10/10/18 11:38 INTU INTUIT LONG 16 209.62 10/12 9:55 208.72 0.44%
Trade id #120277332
Max drawdown($169)
Time10/11/18 14:47
Quant open16
Worst price199.00
Drawdown as % of equity-0.44%
($14)
Includes Typical Broker Commissions trade costs of $0.32
10/4/18 13:42 M MACY'S LONG 103 32.56 10/12 9:42 33.43 0.18%
Trade id #120187755
Max drawdown($69)
Time10/11/18 14:47
Quant open103
Worst price31.89
Drawdown as % of equity-0.18%
$88
Includes Typical Broker Commissions trade costs of $2.06
10/8/18 11:42 ADBE ADOBE INC LONG 13 250.05 10/12 9:31 248.15 0.52%
Trade id #120234872
Max drawdown($202)
Time10/10/18 18:37
Quant open13
Worst price234.51
Drawdown as % of equity-0.52%
($25)
Includes Typical Broker Commissions trade costs of $0.26
10/8/18 11:41 ISRG INTUITIVE SURGICAL LONG 6 521.27 10/12 9:30 522.21 0.36%
Trade id #120234831
Max drawdown($139)
Time10/11/18 5:56
Quant open6
Worst price498.00
Drawdown as % of equity-0.36%
$6
Includes Typical Broker Commissions trade costs of $0.12
10/8/18 11:41 PYPL PAYPAL HOLDINGS CORP LONG 42 79.02 10/12 9:30 79.00 0.6%
Trade id #120234819
Max drawdown($232)
Time10/11/18 6:35
Quant open42
Worst price73.49
Drawdown as % of equity-0.60%
($2)
Includes Typical Broker Commissions trade costs of $0.84
10/10/18 11:08 NVDA NVIDIA LONG 13 252.26 10/12 9:30 246.06 0.61%
Trade id #120276498
Max drawdown($233)
Time10/11/18 14:47
Quant open13
Worst price234.26
Drawdown as % of equity-0.61%
($81)
Includes Typical Broker Commissions trade costs of $0.26
10/8/18 11:39 CRM SALESFORCE.COM LONG 22 147.31 10/12 9:30 145.74 0.69%
Trade id #120234674
Max drawdown($269)
Time10/11/18 8:01
Quant open22
Worst price135.05
Drawdown as % of equity-0.69%
($35)
Includes Typical Broker Commissions trade costs of $0.44
10/4/18 13:46 ALGN ALIGN TECHNOLOGY LONG 9 356.49 10/12 9:30 320.38 1.2%
Trade id #120187806
Max drawdown($467)
Time10/11/18 8:01
Quant open9
Worst price304.60
Drawdown as % of equity-1.20%
($325)
Includes Typical Broker Commissions trade costs of $0.18
10/10/18 10:03 AMD ADVANCED MICRO DEVICES INC. C LONG 130 25.95 10/11 9:58 26.00 0.75%
Trade id #120273801
Max drawdown($292)
Time10/11/18 7:40
Quant open130
Worst price23.70
Drawdown as % of equity-0.75%
$4
Includes Typical Broker Commissions trade costs of $2.60
10/8/18 11:25 KSS KOHL'S LONG 47 71.12 10/10 10:23 73.78 0.06%
Trade id #120233923
Max drawdown($24)
Time10/8/18 11:36
Quant open47
Worst price70.60
Drawdown as % of equity-0.06%
$124
Includes Typical Broker Commissions trade costs of $0.94
10/2/18 13:28 AMD ADVANCED MICRO DEVICES INC. C LONG 113 29.97 10/9 11:13 27.52 1.18%
Trade id #120139872
Max drawdown($471)
Time10/9/18 7:57
Quant open113
Worst price25.80
Drawdown as % of equity-1.18%
($279)
Includes Typical Broker Commissions trade costs of $2.26
10/2/18 9:39 CMG CHIPOTLE MEXICAN GRILL LONG 7 446.00 10/9 10:03 455.29 0.26%
Trade id #120133981
Max drawdown($101)
Time10/3/18 11:58
Quant open7
Worst price431.44
Drawdown as % of equity-0.26%
$65
Includes Typical Broker Commissions trade costs of $0.14
9/19/18 9:32 JWN NORDSTROM LONG 53 63.77 9/27 9:30 60.18 0.57%
Trade id #119926917
Max drawdown($227)
Time9/25/18 13:27
Quant open53
Worst price59.47
Drawdown as % of equity-0.57%
($191)
Includes Typical Broker Commissions trade costs of $1.06
9/6/18 10:06 TRIP TRIPADVISOR LONG 65 51.13 9/25 9:30 51.43 0.33%
Trade id #119744880
Max drawdown($133)
Time9/17/18 15:41
Quant open65
Worst price49.08
Drawdown as % of equity-0.33%
$19
Includes Typical Broker Commissions trade costs of $1.30
9/18/18 15:46 UA UNDERARMOUR CLASS C LONG 194 17.43 9/20 9:39 17.98 0.19%
Trade id #119917517
Max drawdown($74)
Time9/19/18 9:34
Quant open194
Worst price17.04
Drawdown as % of equity-0.19%
$103
Includes Typical Broker Commissions trade costs of $3.88
9/14/18 12:56 KR KROGER LONG 119 28.29 9/17 13:03 28.92 0.22%
Trade id #119868476
Max drawdown($89)
Time9/17/18 9:34
Quant open119
Worst price27.54
Drawdown as % of equity-0.22%
$73
Includes Typical Broker Commissions trade costs of $2.38
9/13/18 9:38 AMD ADVANCED MICRO DEVICES INC. C SHORT 49 33.83 9/14 9:30 31.42 0.04%
Trade id #119840106
Max drawdown($15)
Time9/13/18 9:43
Quant open-49
Worst price34.14
Drawdown as % of equity-0.04%
$117
Includes Typical Broker Commissions trade costs of $0.98
9/7/18 9:32 ILMN ILLUMINA LONG 9 344.63 9/12 9:30 351.66 0.04%
Trade id #119759159
Max drawdown($14)
Time9/10/18 10:18
Quant open9
Worst price342.99
Drawdown as % of equity-0.04%
$63
Includes Typical Broker Commissions trade costs of $0.18
8/28/18 10:33 RL RALPH LAUREN LONG 24 135.13 9/11 9:30 132.46 0.35%
Trade id #119625361
Max drawdown($138)
Time9/4/18 10:27
Quant open24
Worst price129.37
Drawdown as % of equity-0.35%
($64)
Includes Typical Broker Commissions trade costs of $0.48
8/29/18 9:38 CTL CENTURYLINK LONG 150 22.34 9/7 9:30 21.92 0.49%
Trade id #119643201
Max drawdown($192)
Time9/4/18 9:35
Quant open150
Worst price21.06
Drawdown as % of equity-0.49%
($66)
Includes Typical Broker Commissions trade costs of $3.00
8/30/18 14:23 KORS MICHAEL KORS HOLDINGS LONG 46 72.14 9/6 9:31 74.90 0.07%
Trade id #119669817
Max drawdown($26)
Time9/5/18 10:42
Quant open46
Worst price71.56
Drawdown as % of equity-0.07%
$126
Includes Typical Broker Commissions trade costs of $0.92
9/5/18 9:30 AMD ADVANCED MICRO DEVICES INC. C SHORT 56 29.47 9/6 9:30 28.13 0.07%
Trade id #119728472
Max drawdown($26)
Time9/5/18 9:33
Quant open-56
Worst price29.94
Drawdown as % of equity-0.07%
$74
Includes Typical Broker Commissions trade costs of $1.12
8/27/18 9:31 AMD ADVANCED MICRO DEVICES INC. C SHORT 66 25.18 8/29 9:30 24.35 0.35%
Trade id #119603103
Max drawdown($139)
Time8/27/18 13:45
Quant open-66
Worst price27.30
Drawdown as % of equity-0.35%
$54
Includes Typical Broker Commissions trade costs of $1.32
8/7/18 14:15 APC ANADARKO PETROLEUM LONG 52 64.86 8/23 9:30 63.07 0.44%
Trade id #119324792
Max drawdown($172)
Time8/21/18 8:33
Quant open52
Worst price61.55
Drawdown as % of equity-0.44%
($94)
Includes Typical Broker Commissions trade costs of $1.04
8/13/18 10:49 HOLX HOLOGIC LONG 87 38.62 8/22 15:00 39.03 0.17%
Trade id #119409153
Max drawdown($67)
Time8/20/18 10:58
Quant open87
Worst price37.84
Drawdown as % of equity-0.17%
$34
Includes Typical Broker Commissions trade costs of $1.74
8/15/18 9:30 TRIP TRIPADVISOR LONG 63 53.52 8/22 9:34 54.26 0.55%
Trade id #119447481
Max drawdown($216)
Time8/21/18 17:23
Quant open63
Worst price50.09
Drawdown as % of equity-0.55%
$46
Includes Typical Broker Commissions trade costs of $1.26
8/3/18 11:30 ALXN ALEXION PHARMACEUTICALS LONG 26 124.84 8/22 9:30 116.52 0.69%
Trade id #119272448
Max drawdown($271)
Time8/16/18 9:31
Quant open26
Worst price114.40
Drawdown as % of equity-0.69%
($217)
Includes Typical Broker Commissions trade costs of $0.52
8/14/18 9:35 MU MICRON TECHNOLOGY LONG 66 51.02 8/21 9:30 48.95 0.91%
Trade id #119427957
Max drawdown($356)
Time8/17/18 9:34
Quant open66
Worst price45.62
Drawdown as % of equity-0.91%
($138)
Includes Typical Broker Commissions trade costs of $1.32
8/14/18 9:49 NFLX NETFLIX LONG 10 339.07 8/20 13:38 329.46 0.72%
Trade id #119428599
Max drawdown($281)
Time8/20/18 9:43
Quant open10
Worst price310.93
Drawdown as % of equity-0.72%
($96)
Includes Typical Broker Commissions trade costs of $0.20

Statistics

  • Strategy began
    5/28/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1973.62
  • Age
    66 months ago
  • What it trades
    Stocks
  • # Trades
    1310
  • # Profitable
    887
  • % Profitable
    67.70%
  • Avg trade duration
    5.1 days
  • Max peak-to-valley drawdown
    8.7%
  • drawdown period
    Dec 18, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    10.0%
  • Avg win
    $48.76
  • Avg loss
    $57.29
  • Model Account Values (Raw)
  • Cash
    $39,686
  • Margin Used
    $0
  • Buying Power
    $39,686
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    1.688
  • Sortino Ratio
    2.703
  • Calmar Ratio
    2.214
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.29200
  • Return Statistics
  • Ann Return (w trading costs)
    10.0%
  • Ann Return (Compnd, No Fees)
    13.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • 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)
    672
  • Popularity (Last 6 weeks)
    937
  • C2 Score
    98.9
  • Trades-Own-System Certification
  • Trades Own System?
    469
  • TOS percent
    200%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $57
  • Avg Win
    $49
  • # Winners
    887
  • # Losers
    423
  • % Winners
    67.7%
  • Frequency
  • Avg Position Time (mins)
    7353.40
  • Avg Position Time (hrs)
    122.56
  • Avg Trade Length
    5.1 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10383
  • SD
    0.06262
  • Sharpe ratio (Glass type estimate)
    1.65808
  • Sharpe ratio (Hedges UMVUE)
    1.63826
  • df
    63.00000
  • t
    3.82916
  • p
    0.00015
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.75564
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54870
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74266
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53386
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.60034
  • Upside Potential Ratio
    5.79371
  • Upside part of mean
    0.13076
  • Downside part of mean
    -0.02693
  • Upside SD
    0.06518
  • Downside SD
    0.02257
  • N nonnegative terms
    47.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    64.00000
  • Mean of predictor
    0.08119
  • Mean of criterion
    0.10383
  • SD of predictor
    0.10113
  • SD of criterion
    0.06262
  • Covariance
    -0.00049
  • r
    -0.07783
  • b (slope, estimate of beta)
    -0.04819
  • a (intercept, estimate of alpha)
    0.10774
  • Mean Square Error
    0.00396
  • DF error
    62.00000
  • t(b)
    -0.61469
  • p(b)
    0.72950
  • t(a)
    3.85015
  • p(a)
    0.00014
  • Lowerbound of 95% confidence interval for beta
    -0.20490
  • Upperbound of 95% confidence interval for beta
    0.10852
  • Lowerbound of 95% confidence interval for alpha
    0.05180
  • Upperbound of 95% confidence interval for alpha
    0.16368
  • Treynor index (mean / b)
    -2.15456
  • Jensen alpha (a)
    0.10774
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10128
  • SD
    0.06124
  • Sharpe ratio (Glass type estimate)
    1.65386
  • Sharpe ratio (Hedges UMVUE)
    1.63409
  • df
    63.00000
  • t
    3.81942
  • p
    0.00015
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.75169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73872
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52946
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.43710
  • Upside Potential Ratio
    5.62562
  • Upside part of mean
    0.12841
  • Downside part of mean
    -0.02713
  • Upside SD
    0.06345
  • Downside SD
    0.02283
  • N nonnegative terms
    47.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    64.00000
  • Mean of predictor
    0.07576
  • Mean of criterion
    0.10128
  • SD of predictor
    0.10070
  • SD of criterion
    0.06124
  • Covariance
    -0.00047
  • r
    -0.07667
  • b (slope, estimate of beta)
    -0.04663
  • a (intercept, estimate of alpha)
    0.10482
  • Mean Square Error
    0.00379
  • DF error
    62.00000
  • t(b)
    -0.60549
  • p(b)
    0.72647
  • t(a)
    3.84175
  • p(a)
    0.00014
  • Lowerbound of 95% confidence interval for beta
    -0.20057
  • Upperbound of 95% confidence interval for beta
    0.10731
  • Lowerbound of 95% confidence interval for alpha
    0.05028
  • Upperbound of 95% confidence interval for alpha
    0.15935
  • Treynor index (mean / b)
    -2.17215
  • Jensen alpha (a)
    0.10482
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02043
  • Expected Shortfall on VaR
    0.02762
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00312
  • Expected Shortfall on VaR
    0.00774
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    64.00000
  • Minimum
    0.96503
  • Quartile 1
    1.00211
  • Median
    1.00752
  • Quartile 3
    1.01901
  • Maximum
    1.07830
  • Mean of quarter 1
    0.99336
  • Mean of quarter 2
    1.00482
  • Mean of quarter 3
    1.01239
  • Mean of quarter 4
    1.03335
  • Inter Quartile Range
    0.01690
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01562
  • Mean of outliers low
    0.96503
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.06184
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.54314
  • VaR(95%) (moments method)
    0.00350
  • Expected Shortfall (moments method)
    0.00456
  • Extreme Value Index (regression method)
    0.60657
  • VaR(95%) (regression method)
    0.00753
  • Expected Shortfall (regression method)
    0.02705
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00435
  • Median
    0.00673
  • Quartile 3
    0.01767
  • Maximum
    0.03497
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.00555
  • Mean of quarter 3
    0.00926
  • Mean of quarter 4
    0.03052
  • Inter Quartile Range
    0.01332
  • 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)
    0.18595
  • Compounded annual return (geometric extrapolation)
    0.13791
  • Calmar ratio (compounded annual return / max draw down)
    3.94374
  • Compounded annual return / average of 25% largest draw downs
    4.51844
  • Compounded annual return / Expected Shortfall lognormal
    4.99378
  • 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
    0.10137
  • SD
    0.06003
  • Sharpe ratio (Glass type estimate)
    1.68869
  • Sharpe ratio (Hedges UMVUE)
    1.68779
  • df
    1408.00000
  • t
    3.91611
  • p
    0.44810
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84033
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53526
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70301
  • Upside Potential Ratio
    8.53115
  • Upside part of mean
    0.31993
  • Downside part of mean
    -0.21856
  • Upside SD
    0.04726
  • Downside SD
    0.03750
  • N nonnegative terms
    721.00000
  • N negative terms
    688.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1409.00000
  • Mean of predictor
    0.07409
  • Mean of criterion
    0.10137
  • SD of predictor
    0.12421
  • SD of criterion
    0.06003
  • Covariance
    0.00226
  • r
    0.30310
  • b (slope, estimate of beta)
    0.14648
  • a (intercept, estimate of alpha)
    0.09100
  • Mean Square Error
    0.00327
  • DF error
    1407.00000
  • t(b)
    11.93060
  • p(b)
    0.31004
  • t(a)
    3.66566
  • p(a)
    0.43818
  • Lowerbound of 95% confidence interval for beta
    0.12240
  • Upperbound of 95% confidence interval for beta
    0.17056
  • Lowerbound of 95% confidence interval for alpha
    0.04208
  • Upperbound of 95% confidence interval for alpha
    0.13895
  • Treynor index (mean / b)
    0.69202
  • Jensen alpha (a)
    0.09051
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09954
  • SD
    0.05995
  • Sharpe ratio (Glass type estimate)
    1.66032
  • Sharpe ratio (Hedges UMVUE)
    1.65944
  • df
    1408.00000
  • t
    3.85033
  • p
    0.44896
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.81266
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50744
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50683
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63980
  • Upside Potential Ratio
    8.45430
  • Upside part of mean
    0.31879
  • Downside part of mean
    -0.21925
  • Upside SD
    0.04699
  • Downside SD
    0.03771
  • N nonnegative terms
    721.00000
  • N negative terms
    688.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1409.00000
  • Mean of predictor
    0.06635
  • Mean of criterion
    0.09954
  • SD of predictor
    0.12444
  • SD of criterion
    0.05995
  • Covariance
    0.00227
  • r
    0.30391
  • b (slope, estimate of beta)
    0.14642
  • a (intercept, estimate of alpha)
    0.08983
  • Mean Square Error
    0.00326
  • DF error
    1407.00000
  • t(b)
    11.96550
  • p(b)
    0.30955
  • t(a)
    3.64379
  • p(a)
    0.43854
  • Lowerbound of 95% confidence interval for beta
    0.12241
  • Upperbound of 95% confidence interval for beta
    0.17042
  • Lowerbound of 95% confidence interval for alpha
    0.04147
  • Upperbound of 95% confidence interval for alpha
    0.13818
  • Treynor index (mean / b)
    0.67984
  • Jensen alpha (a)
    0.08983
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00570
  • Expected Shortfall on VaR
    0.00723
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00184
  • Expected Shortfall on VaR
    0.00404
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1409.00000
  • Minimum
    0.97840
  • Quartile 1
    0.99960
  • Median
    1.00015
  • Quartile 3
    1.00130
  • Maximum
    1.02214
  • Mean of quarter 1
    0.99693
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00060
  • Mean of quarter 4
    1.00450
  • Inter Quartile Range
    0.00170
  • Number outliers low
    118.00000
  • Percentage of outliers low
    0.08375
  • Mean of outliers low
    0.99346
  • Number of outliers high
    136.00000
  • Percentage of outliers high
    0.09652
  • Mean of outliers high
    1.00796
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42807
  • VaR(95%) (moments method)
    0.00288
  • Expected Shortfall (moments method)
    0.00622
  • Extreme Value Index (regression method)
    0.15546
  • VaR(95%) (regression method)
    0.00305
  • Expected Shortfall (regression method)
    0.00514
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    111.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00076
  • Median
    0.00243
  • Quartile 3
    0.00830
  • Maximum
    0.06140
  • Mean of quarter 1
    0.00032
  • Mean of quarter 2
    0.00135
  • Mean of quarter 3
    0.00470
  • Mean of quarter 4
    0.01954
  • Inter Quartile Range
    0.00754
  • 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
    0.08108
  • Mean of outliers high
    0.03368
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13148
  • VaR(95%) (moments method)
    0.01912
  • Expected Shortfall (moments method)
    0.02783
  • Extreme Value Index (regression method)
    0.30086
  • VaR(95%) (regression method)
    0.01911
  • Expected Shortfall (regression method)
    0.03123
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18307
  • Compounded annual return (geometric extrapolation)
    0.13592
  • Calmar ratio (compounded annual return / max draw down)
    2.21380
  • Compounded annual return / average of 25% largest draw downs
    6.95723
  • Compounded annual return / Expected Shortfall lognormal
    18.79270
  • 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
    -0.01867
  • SD
    0.06759
  • Sharpe ratio (Glass type estimate)
    -0.27614
  • Sharpe ratio (Hedges UMVUE)
    -0.27455
  • df
    130.00000
  • t
    -0.19526
  • p
    0.50856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.04767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.04656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49746
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34006
  • Upside Potential Ratio
    4.63203
  • Upside part of mean
    0.25424
  • Downside part of mean
    -0.27291
  • Upside SD
    0.03902
  • Downside SD
    0.05489
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04101
  • Mean of criterion
    -0.01867
  • SD of predictor
    0.10805
  • SD of criterion
    0.06759
  • Covariance
    0.00305
  • r
    0.41793
  • b (slope, estimate of beta)
    0.26145
  • a (intercept, estimate of alpha)
    -0.02939
  • Mean Square Error
    0.00380
  • DF error
    129.00000
  • t(b)
    5.22490
  • p(b)
    0.24190
  • t(a)
    -0.33702
  • p(a)
    0.51888
  • Lowerbound of 95% confidence interval for beta
    0.16245
  • Upperbound of 95% confidence interval for beta
    0.36045
  • Lowerbound of 95% confidence interval for alpha
    -0.20192
  • Upperbound of 95% confidence interval for alpha
    0.14314
  • Treynor index (mean / b)
    -0.07139
  • Jensen alpha (a)
    -0.02939
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02094
  • SD
    0.06783
  • Sharpe ratio (Glass type estimate)
    -0.30873
  • Sharpe ratio (Hedges UMVUE)
    -0.30695
  • df
    130.00000
  • t
    -0.21830
  • p
    0.50957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.08031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46381
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.07900
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46511
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.37858
  • Upside Potential Ratio
    4.58211
  • Upside part of mean
    0.25346
  • Downside part of mean
    -0.27440
  • Upside SD
    0.03883
  • Downside SD
    0.05532
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03519
  • Mean of criterion
    -0.02094
  • SD of predictor
    0.10836
  • SD of criterion
    0.06783
  • Covariance
    0.00309
  • r
    0.42039
  • b (slope, estimate of beta)
    0.26315
  • a (intercept, estimate of alpha)
    -0.03020
  • Mean Square Error
    0.00382
  • DF error
    129.00000
  • t(b)
    5.26222
  • p(b)
    0.24048
  • t(a)
    -0.34559
  • p(a)
    0.51936
  • Lowerbound of 95% confidence interval for beta
    0.16421
  • Upperbound of 95% confidence interval for beta
    0.36209
  • Lowerbound of 95% confidence interval for alpha
    -0.20311
  • Upperbound of 95% confidence interval for alpha
    0.14271
  • Treynor index (mean / b)
    -0.07958
  • Jensen alpha (a)
    -0.03020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00695
  • Expected Shortfall on VaR
    0.00868
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00268
  • Expected Shortfall on VaR
    0.00589
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97840
  • Quartile 1
    0.99996
  • Median
    1.00000
  • Quartile 3
    1.00104
  • Maximum
    1.01564
  • Mean of quarter 1
    0.99612
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.00372
  • Inter Quartile Range
    0.00108
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.99210
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.00635
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68960
  • VaR(95%) (moments method)
    0.00307
  • Expected Shortfall (moments method)
    0.01253
  • Extreme Value Index (regression method)
    0.51775
  • VaR(95%) (regression method)
    0.00393
  • Expected Shortfall (regression method)
    0.01157
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00002
  • Median
    0.00042
  • Quartile 3
    0.00664
  • Maximum
    0.03592
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00015
  • Mean of quarter 3
    0.00078
  • Mean of quarter 4
    0.03012
  • Inter Quartile Range
    0.00662
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.03012
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -24.84380
  • VaR(95%) (moments method)
    0.03207
  • Expected Shortfall (moments method)
    0.03207
  • Extreme Value Index (regression method)
    -2.29404
  • VaR(95%) (regression method)
    0.04297
  • Expected Shortfall (regression method)
    0.04342
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00698
  • Compounded annual return (geometric extrapolation)
    0.00699
  • Calmar ratio (compounded annual return / max draw down)
    0.19460
  • Compounded annual return / average of 25% largest draw downs
    0.23207
  • Compounded annual return / Expected Shortfall lognormal
    0.80488

Strategy Description

Carma Stocks is a mean reversion swing trading system that looks for oversold and overbought stocks. The system trades only highly liquid stocks in both sides, long and short.

Single position size can be 5% or 10% of total system equity (it depends on the strength of the signal that generated the trade). Max leverage is 1.
Once a new position is entered the exit price is established.

Every day, before market open, the system generates new entry signals and updates, if necessary, the exit price of existing positions. Before market close Carma Stocks updates exit price for open positions if necessary.

Backtesting results available for subscribers.

Summary Statistics

Strategy began
2013-05-28
Suggested Minimum Capital
$35,000
# Trades
1310
# Profitable
887
% Profitable
67.7%
Net Dividends
Correlation S&P500
0.292
Sharpe Ratio
1.688

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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.