Alpha Reversion
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2012 | +1.0% | +2.2% | ||||||||||
| 2013 | +2.5% | +0.7% | +0.6% | +0.5% | +2.1% |
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| Instruments | Stocks |
|---|---|
| Strategies | Technical analysis, Arbitrage |
| System started | 11/11/2012 (6 months ago) |
| System developer |
SmartStone Capital 
(Last login to C2: 5/18/13 8:38) C2 Score: 992  |
Live brokerage trade data is available for this system. Show broker data?
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 5/14/13 9:30 | BUY | 141 | VOD | VODAFONE GROUP PLC ADR | 29.34 | 5/16 9:30 |
30.14 | Low | $110 |
| 5/14/13 9:30 | BUY | 35 | PX | PRAXAIR INC | 113.42 | 5/15 9:30 |
114.10 | Low | $22 |
| 5/14/13 9:31 | BUY | 73 | DD | DUPONT E I NEMOURS & CO | 54.55 | 5/15 9:30 |
54.98 | Low | $29 |
| 5/13/13 9:30 | BUY | 45 | XOM | EXXON MOBIL CORP | 89.87 | 5/14 9:30 |
90.14 | Low | $10 |
| 5/1/13 9:30 | BUY | 282 | PFE | PFIZER INC | 28.94 | 5/14 9:30 |
29.37 | Low | $115 |
| 5/10/13 9:30 | BUY | 113 | MCHP | MICROCHIP TECHNOLOGY INC | 37.25 | 5/13 9:30 |
36.88 | Low | ($44) |
| 5/10/13 9:30 | BUY | 140 | VOD | VODAFONE GROUP PLC ADR | 29.85 | 5/13 9:30 |
29.81 | Low | ($9) |
| 5/8/13 9:30 | BUY | 155 | GILD | GILEAD SCIENCES INC | 52.78 | 5/10 9:30 |
52.83 | Low | $4 |
| 5/8/13 9:30 | BUY | 201 | CSCO | CISCO SYSTEMS INC | 20.44 | 5/10 9:30 |
20.91 | n/a | $90 |
| 5/8/13 9:30 | BUY | 195 | HPQ | HEWLETT-PACKARD CO | 20.46 | 5/9 9:30 |
21.01 | n/a | $103 |
| 5/8/13 9:30 | BUY | 52 | WMT | WAL-MART STORES INC | 78.52 | 5/9 9:30 |
78.46 | Low | ($5) |
| 4/26/13 14:23 | BUY | 219 | T | AT&T INC | 37.13 | 5/8 9:30 |
37.43 | Low | $61 |
| 4/30/13 9:30 | BUY | 80 | GILD | GILEAD SCIENCES INC | 50.86 | 5/7 9:30 |
54.31 | Low | $274 |
| 5/6/13 9:30 | BUY | 59 | BBBY | BED BATH & BEYOND INC | 68.75 | 5/7 9:30 |
69.66 | Low | $52 |
| 4/29/13 9:30 | BUY | 89 | UTX | UNITED TECHNOLOGIES CORP. | 91.31 | 5/6 9:31 |
92.91 | Low | $140 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 397 |
| # Profitable | 245 (61.7%) |
| # months tracked | 7 |
| Profitable months | 7 (100.0%) |
| Avg trade duration | 4.6 days |
| Annual return (compounded) | 29.4% |
| Average win | $56 |
| Average loss | $44 |
| Profit factor | 2.1:1 |
| Max peak-to-valley drawdown (historical) | 2.24% |
| drawdown period | Jan 03, 2013 to Jan 18, 2013 |
| Correlation w/ S&P | 0.145 |
| Sharpe ratio | 2.925 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 0.0% |
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.30 |
| Average P/L per unit traded | $0.30 |
| Sum of dividends and cash expir. in model account | $100 |
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System Description
Alpha Reversion is an algorithm-driven system based on the mean reversion of stock prices. It trades blue-chip stocks from the S&P500 Index.
The system was designed to match index performance during good times, but not to lose much in bad times. It generates most outperformance during big market corrections.
When losses occur they are very reasonable in relation to portfolio size, due to the highly diversified and balanced approach. All exits are dynamically managed by the trading system.
However, past performance does not guarantee future results and only time will show how the system performs during the next market correction. While no system can guarantee risk-free trading, we do make an effort to control risk as good as possible.
Assumption:
If stock prices are the estimated value of something (discounted corporate earnings, dividends, etc.) then they are too volatile in relation to the tangible manifestation of that something .
Stock prices swing more than the fundamentals they are supposed to reflect.
In situations when a price does not reflect the long term value of a security and overshoots in different directions, the trading system exploits the differential in order to generate a return.
The system was designed to match index performance during good times, but not to lose much in bad times. It generates most outperformance during big market corrections.
When losses occur they are very reasonable in relation to portfolio size, due to the highly diversified and balanced approach. All exits are dynamically managed by the trading system.
However, past performance does not guarantee future results and only time will show how the system performs during the next market correction. While no system can guarantee risk-free trading, we do make an effort to control risk as good as possible.
Assumption:
If stock prices are the estimated value of something (discounted corporate earnings, dividends, etc.) then they are too volatile in relation to the tangible manifestation of that something .
Stock prices swing more than the fundamentals they are supposed to reflect.
In situations when a price does not reflect the long term value of a security and overshoots in different directions, the trading system exploits the differential in order to generate a return.
- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
