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

QUANT
(113045319)

Created by: MrQuant MrQuant
Started: 08/2017
Stocks
Last trade: 2,045 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).
0.5%
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.

(19.2%)
Max Drawdown
287
Num Trades
56.1%
Win Trades
1.2 : 1
Profit Factor
8.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +3.0%+6.7%+2.4%+2.4%(3.3%)+11.4%
2018+2.3%(7%)+2.9%(8%)+15.0%(3.1%)(2.2%)(5.4%)  -    -    -    -  (7.1%)
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/15/18 10:42 ZGNX ZOGENIX LONG 54 46.18 8/22 11:17 46.85 0.52%
Trade id #119450863
Max drawdown($55)
Time8/15/18 12:08
Quant open54
Worst price45.15
Drawdown as % of equity-0.52%
$35
Includes Typical Broker Commissions trade costs of $1.08
8/10/18 9:30 RDUS SCHNITZER STEEL INDUSTRIES INC. CLASS A LONG 113 22.14 8/22 11:17 21.20 1.65%
Trade id #119375990
Max drawdown($177)
Time8/14/18 10:07
Quant open113
Worst price20.57
Drawdown as % of equity-1.65%
($109)
Includes Typical Broker Commissions trade costs of $2.26
8/15/18 9:30 NXPI NXP SEMICONDUCTOR LONG 28 89.70 8/22 11:17 91.17 0.79%
Trade id #119447317
Max drawdown($84)
Time8/15/18 11:07
Quant open28
Worst price86.67
Drawdown as % of equity-0.79%
$40
Includes Typical Broker Commissions trade costs of $0.56
8/15/18 9:31 EDU NEW ORIENTAL LONG 30 82.00 8/22 11:17 78.71 1.23%
Trade id #119447585
Max drawdown($135)
Time8/22/18 10:06
Quant open30
Worst price77.50
Drawdown as % of equity-1.23%
($100)
Includes Typical Broker Commissions trade costs of $0.60
8/15/18 9:30 CTRP CTRIP.COM INTERNATIONAL LONG 64 38.55 8/22 11:17 39.34 0.31%
Trade id #119447336
Max drawdown($33)
Time8/15/18 17:29
Quant open64
Worst price38.02
Drawdown as % of equity-0.31%
$50
Includes Typical Broker Commissions trade costs of $1.28
8/15/18 11:03 EXAS EXACT SCIENCES LONG 52 47.85 8/22 11:16 62.96 0.03%
Trade id #119451633
Max drawdown($3)
Time8/15/18 11:05
Quant open52
Worst price47.79
Drawdown as % of equity-0.03%
$785
Includes Typical Broker Commissions trade costs of $1.04
8/10/18 9:30 RYAAY RYANAIR HOLDINGS LONG 25 95.96 8/15 15:00 97.80 0.31%
Trade id #119376027
Max drawdown($36)
Time8/10/18 9:32
Quant open25
Worst price94.50
Drawdown as % of equity-0.31%
$46
Includes Typical Broker Commissions trade costs of $0.50
8/9/18 9:30 TSU TIM HOLDING LONG 161 15.54 8/14 15:01 15.10 1.62%
Trade id #119357510
Max drawdown($185)
Time8/13/18 12:36
Quant open161
Worst price14.39
Drawdown as % of equity-1.62%
($74)
Includes Typical Broker Commissions trade costs of $3.22
8/9/18 9:50 NTES NETEASE LONG 11 231.12 8/14 10:56 208.00 2.36%
Trade id #119358108
Max drawdown($254)
Time8/14/18 10:56
Quant open0
Worst price208.00
Drawdown as % of equity-2.36%
($254)
Includes Typical Broker Commissions trade costs of $0.22
8/14/18 9:30 YY YY INC. LONG 30 80.33 8/14 9:53 76.12 1.15%
Trade id #119427497
Max drawdown($126)
Time8/14/18 9:53
Quant open0
Worst price76.12
Drawdown as % of equity-1.15%
($127)
Includes Typical Broker Commissions trade costs of $0.60
8/8/18 9:30 JOBS 51JOB LONG 34 73.16 8/13 15:02 72.60 0.29%
Trade id #119337128
Max drawdown($32)
Time8/13/18 9:32
Quant open34
Worst price72.19
Drawdown as % of equity-0.29%
($20)
Includes Typical Broker Commissions trade costs of $0.68
8/8/18 9:39 VGR VECTOR GROUP LONG 148 16.94 8/13 15:01 16.56 0.64%
Trade id #119337758
Max drawdown($74)
Time8/10/18 14:48
Quant open148
Worst price16.44
Drawdown as % of equity-0.64%
($59)
Includes Typical Broker Commissions trade costs of $2.96
8/8/18 9:52 SINA SINA LONG 32 78.65 8/13 15:01 71.07 2.23%
Trade id #119338255
Max drawdown($243)
Time8/13/18 14:55
Quant open32
Worst price71.03
Drawdown as % of equity-2.23%
($244)
Includes Typical Broker Commissions trade costs of $0.64
8/8/18 9:30 BECN BEACON ROOFING SUPPLY LONG 68 35.43 8/13 15:00 35.21 0.23%
Trade id #119337000
Max drawdown($26)
Time8/13/18 13:12
Quant open68
Worst price35.04
Drawdown as % of equity-0.23%
($16)
Includes Typical Broker Commissions trade costs of $1.36
8/8/18 10:37 NOAH NOAH HOLDINGS LONG 57 43.83 8/13 15:00 42.21 1.15%
Trade id #119340192
Max drawdown($131)
Time8/13/18 11:15
Quant open57
Worst price41.52
Drawdown as % of equity-1.15%
($93)
Includes Typical Broker Commissions trade costs of $1.14
8/9/18 9:30 PDCE PDC ENERGY LONG 48 48.96 8/10 9:30 51.43 n/a $118
Includes Typical Broker Commissions trade costs of $0.96
8/6/18 10:33 CLVS CLOVIS ONCOLOGY LONG 68 36.57 8/9 15:01 34.91 1.43%
Trade id #119297224
Max drawdown($169)
Time8/8/18 10:27
Quant open68
Worst price34.07
Drawdown as % of equity-1.43%
($114)
Includes Typical Broker Commissions trade costs of $1.36
8/1/18 9:30 EDU NEW ORIENTAL LONG 29 85.34 8/6 15:02 86.86 0.83%
Trade id #119223612
Max drawdown($93)
Time8/2/18 12:24
Quant open29
Worst price82.10
Drawdown as % of equity-0.83%
$43
Includes Typical Broker Commissions trade costs of $0.58
8/1/18 11:45 FEYE FIREEYE INC. COMMON STOCK LONG 163 15.38 8/6 15:00 15.17 1.24%
Trade id #119228661
Max drawdown($141)
Time8/2/18 10:17
Quant open163
Worst price14.51
Drawdown as % of equity-1.24%
($37)
Includes Typical Broker Commissions trade costs of $3.26
7/27/18 9:31 NCR NCR LONG 182 27.42 8/6 11:38 28.33 1.29%
Trade id #119155816
Max drawdown($153)
Time8/1/18 11:54
Quant open182
Worst price26.58
Drawdown as % of equity-1.29%
$161
Includes Typical Broker Commissions trade costs of $3.64
7/31/18 9:30 TXRH TEXAS ROADHOUSE LONG 41 60.50 8/3 15:02 63.00 n/a $102
Includes Typical Broker Commissions trade costs of $0.82
7/31/18 9:30 ARRS ARRIS INTERNATIONAL PLC ORDINARY SHARES LONG 102 24.44 8/3 15:00 23.65 1.88%
Trade id #119201323
Max drawdown($215)
Time8/2/18 11:18
Quant open102
Worst price22.33
Drawdown as % of equity-1.88%
($83)
Includes Typical Broker Commissions trade costs of $2.04
7/31/18 9:30 IPGP IPG PHOTONICS LONG 12 170.43 8/3 15:00 170.41 0.9%
Trade id #119201205
Max drawdown($106)
Time7/31/18 10:08
Quant open12
Worst price161.51
Drawdown as % of equity-0.90%
$0
Includes Typical Broker Commissions trade costs of $0.24
7/30/18 9:33 RDUS SCHNITZER STEEL INDUSTRIES INC. CLASS A LONG 102 24.54 8/2 15:01 22.38 2.04%
Trade id #119181989
Max drawdown($233)
Time8/2/18 9:39
Quant open102
Worst price22.25
Drawdown as % of equity-2.04%
($222)
Includes Typical Broker Commissions trade costs of $2.04
7/30/18 9:45 HTHT HUAZHU GROUP LTD ADS LONG 63 39.50 8/2 9:34 35.54 2.08%
Trade id #119182662
Max drawdown($249)
Time8/2/18 9:34
Quant open0
Worst price35.54
Drawdown as % of equity-2.08%
($250)
Includes Typical Broker Commissions trade costs of $1.26
7/27/18 9:30 CLGX CORELOGIC INC. LONG 50 49.61 8/1 15:02 49.03 0.73%
Trade id #119155597
Max drawdown($86)
Time7/31/18 11:20
Quant open50
Worst price47.89
Drawdown as % of equity-0.73%
($30)
Includes Typical Broker Commissions trade costs of $1.00
7/26/18 9:32 WSO WATSCO LONG 15 168.09 7/31 15:01 171.91 0.52%
Trade id #119134070
Max drawdown($62)
Time7/26/18 10:24
Quant open15
Worst price163.95
Drawdown as % of equity-0.52%
$57
Includes Typical Broker Commissions trade costs of $0.30
7/26/18 9:42 HPP HUDSON PACIFIC PROPERTIES LONG 75 33.50 7/31 15:01 34.23 0.35%
Trade id #119134730
Max drawdown($42)
Time7/30/18 10:02
Quant open75
Worst price32.94
Drawdown as % of equity-0.35%
$54
Includes Typical Broker Commissions trade costs of $1.50
7/26/18 9:30 ATHN ATHENA TECHNOLOGY ACQUISITION CORP LONG 17 146.50 7/31 15:00 154.16 n/a $130
Includes Typical Broker Commissions trade costs of $0.34
7/25/18 9:30 GIL GILDAN LONG 95 26.13 7/30 15:01 25.37 0.62%
Trade id #119111937
Max drawdown($72)
Time7/30/18 14:35
Quant open95
Worst price25.36
Drawdown as % of equity-0.62%
($74)
Includes Typical Broker Commissions trade costs of $1.90

Statistics

  • Strategy began
    8/8/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2420.07
  • Age
    81 months ago
  • What it trades
    Stocks
  • # Trades
    287
  • # Profitable
    161
  • % Profitable
    56.10%
  • Avg trade duration
    3.2 days
  • Max peak-to-valley drawdown
    19.21%
  • drawdown period
    May 22, 2018 - Aug 15, 2018
  • Annual Return (Compounded)
    0.5%
  • Avg win
    $54.24
  • Avg loss
    $56.77
  • Model Account Values (Raw)
  • Cash
    $11,629
  • Margin Used
    $0
  • Buying Power
    $11,629
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    -0.14
  • Sortino Ratio
    -0.19
  • Calmar Ratio
    0.607
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -107.97%
  • Correlation to SP500
    0.04930
  • Return Percent SP500 (cumu) during strategy life
    112.07%
  • Return Statistics
  • Ann Return (w trading costs)
    0.5%
  • Slump
  • Current Slump as Pcnt Equity
    13.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.005%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    2.26%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $57
  • Avg Win
    $54
  • Sum Trade PL (losers)
    $7,153.000
  • Age
  • Num Months filled monthly returns table
    80
  • Win / Loss
  • Sum Trade PL (winners)
    $8,732.000
  • # Winners
    161
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    57
  • Win / Loss
  • # Losers
    126
  • % Winners
    56.1%
  • Frequency
  • Avg Position Time (mins)
    4570.60
  • Avg Position Time (hrs)
    76.18
  • Avg Trade Length
    3.2 days
  • Last Trade Ago
    2041
  • Regression
  • Alpha
    -0.00
  • Beta
    0.02
  • Treynor Index
    -0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    51.18
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    62.58
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.62
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -52.202
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.626
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.597
  • Hold-and-Hope Ratio
    -0.019
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06856
  • SD
    0.14761
  • Sharpe ratio (Glass type estimate)
    0.46447
  • Sharpe ratio (Hedges UMVUE)
    0.44679
  • df
    20.00000
  • t
    0.61444
  • p
    0.43194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93484
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03533
  • Upside Potential Ratio
    2.90697
  • Upside part of mean
    0.19250
  • Downside part of mean
    -0.12394
  • Upside SD
    0.12945
  • Downside SD
    0.06622
  • N nonnegative terms
    6.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.36596
  • Mean of criterion
    0.06856
  • SD of predictor
    0.31768
  • SD of criterion
    0.14761
  • Covariance
    -0.00096
  • r
    -0.02054
  • b (slope, estimate of beta)
    -0.00954
  • a (intercept, estimate of alpha)
    0.07205
  • Mean Square Error
    0.02293
  • DF error
    19.00000
  • t(b)
    -0.08953
  • p(b)
    0.51307
  • t(a)
    0.59587
  • p(a)
    0.41404
  • Lowerbound of 95% confidence interval for beta
    -0.23261
  • Upperbound of 95% confidence interval for beta
    0.21353
  • Lowerbound of 95% confidence interval for alpha
    -0.18104
  • Upperbound of 95% confidence interval for alpha
    0.32514
  • Treynor index (mean / b)
    -7.18528
  • Jensen alpha (a)
    0.07205
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05838
  • SD
    0.14232
  • Sharpe ratio (Glass type estimate)
    0.41021
  • Sharpe ratio (Hedges UMVUE)
    0.39460
  • df
    20.00000
  • t
    0.54265
  • p
    0.43977
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88123
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86450
  • Upside Potential Ratio
    2.72886
  • Upside part of mean
    0.18428
  • Downside part of mean
    -0.12590
  • Upside SD
    0.12253
  • Downside SD
    0.06753
  • N nonnegative terms
    6.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.31562
  • Mean of criterion
    0.05838
  • SD of predictor
    0.30282
  • SD of criterion
    0.14232
  • Covariance
    -0.00045
  • r
    -0.01036
  • b (slope, estimate of beta)
    -0.00487
  • a (intercept, estimate of alpha)
    0.05992
  • Mean Square Error
    0.02132
  • DF error
    19.00000
  • t(b)
    -0.04514
  • p(b)
    0.50659
  • t(a)
    0.51877
  • p(a)
    0.42494
  • Lowerbound of 95% confidence interval for beta
    -0.23053
  • Upperbound of 95% confidence interval for beta
    0.22080
  • Lowerbound of 95% confidence interval for alpha
    -0.18182
  • Upperbound of 95% confidence interval for alpha
    0.30166
  • Treynor index (mean / b)
    -11.99510
  • Jensen alpha (a)
    0.05992
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06079
  • Expected Shortfall on VaR
    0.07667
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02940
  • Expected Shortfall on VaR
    0.05197
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.95205
  • Quartile 1
    0.98625
  • Median
    1.00000
  • Quartile 3
    1.01587
  • Maximum
    1.14157
  • Mean of quarter 1
    0.96967
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00317
  • Mean of quarter 4
    1.06700
  • Inter Quartile Range
    0.02962
  • 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
    1.10787
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14042
  • VaR(95%) (moments method)
    0.03124
  • Expected Shortfall (moments method)
    0.04003
  • Extreme Value Index (regression method)
    -1.03174
  • VaR(95%) (regression method)
    0.03299
  • Expected Shortfall (regression method)
    0.03505
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01375
  • Quartile 1
    0.04201
  • Median
    0.07027
  • Quartile 3
    0.07116
  • Maximum
    0.07205
  • Mean of quarter 1
    0.01375
  • Mean of quarter 2
    0.07027
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07205
  • Inter Quartile Range
    0.02915
  • 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)
    0.09314
  • Compounded annual return (geometric extrapolation)
    0.09012
  • Calmar ratio (compounded annual return / max draw down)
    1.25080
  • Compounded annual return / average of 25% largest draw downs
    1.25080
  • Compounded annual return / Expected Shortfall lognormal
    1.17549
  • 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
    0.06239
  • SD
    0.12147
  • Sharpe ratio (Glass type estimate)
    0.51362
  • Sharpe ratio (Hedges UMVUE)
    0.51281
  • df
    476.00000
  • t
    0.69303
  • p
    0.24432
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93959
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96575
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73970
  • Upside Potential Ratio
    5.12173
  • Upside part of mean
    0.43200
  • Downside part of mean
    -0.36961
  • Upside SD
    0.08732
  • Downside SD
    0.08435
  • N nonnegative terms
    146.00000
  • N negative terms
    331.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    477.00000
  • Mean of predictor
    0.45588
  • Mean of criterion
    0.06239
  • SD of predictor
    0.38675
  • SD of criterion
    0.12147
  • Covariance
    0.00237
  • r
    0.05053
  • b (slope, estimate of beta)
    0.01587
  • a (intercept, estimate of alpha)
    0.05500
  • Mean Square Error
    0.01475
  • DF error
    475.00000
  • t(b)
    1.10270
  • p(b)
    0.13536
  • t(a)
    0.61117
  • p(a)
    0.27069
  • Lowerbound of 95% confidence interval for beta
    -0.01241
  • Upperbound of 95% confidence interval for beta
    0.04415
  • Lowerbound of 95% confidence interval for alpha
    -0.12218
  • Upperbound of 95% confidence interval for alpha
    0.23249
  • Treynor index (mean / b)
    3.93108
  • Jensen alpha (a)
    0.05516
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05503
  • SD
    0.12127
  • Sharpe ratio (Glass type estimate)
    0.45381
  • Sharpe ratio (Hedges UMVUE)
    0.45309
  • df
    476.00000
  • t
    0.61232
  • p
    0.27031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90647
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90595
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64272
  • Upside Potential Ratio
    5.00121
  • Upside part of mean
    0.42823
  • Downside part of mean
    -0.37320
  • Upside SD
    0.08577
  • Downside SD
    0.08563
  • N nonnegative terms
    146.00000
  • N negative terms
    331.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    477.00000
  • Mean of predictor
    0.37537
  • Mean of criterion
    0.05503
  • SD of predictor
    0.40894
  • SD of criterion
    0.12127
  • Covariance
    0.00244
  • r
    0.04913
  • b (slope, estimate of beta)
    0.01457
  • a (intercept, estimate of alpha)
    0.04957
  • Mean Square Error
    0.01470
  • DF error
    475.00000
  • t(b)
    1.07199
  • p(b)
    0.14213
  • t(a)
    0.55068
  • p(a)
    0.29106
  • Lowerbound of 95% confidence interval for beta
    -0.01214
  • Upperbound of 95% confidence interval for beta
    0.04127
  • Lowerbound of 95% confidence interval for alpha
    -0.12730
  • Upperbound of 95% confidence interval for alpha
    0.22643
  • Treynor index (mean / b)
    3.77755
  • Jensen alpha (a)
    0.04957
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01204
  • Expected Shortfall on VaR
    0.01512
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00390
  • Expected Shortfall on VaR
    0.00863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    477.00000
  • Minimum
    0.95399
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00084
  • Maximum
    1.06709
  • Mean of quarter 1
    0.99469
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00010
  • Mean of quarter 4
    1.00664
  • Inter Quartile Range
    0.00084
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.13627
  • Mean of outliers low
    0.99032
  • Number of outliers high
    82.00000
  • Percentage of outliers high
    0.17191
  • Mean of outliers high
    1.00897
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64870
  • VaR(95%) (moments method)
    0.00301
  • Expected Shortfall (moments method)
    0.01140
  • Extreme Value Index (regression method)
    0.42240
  • VaR(95%) (regression method)
    0.00482
  • Expected Shortfall (regression method)
    0.01299
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00139
  • Median
    0.00598
  • Quartile 3
    0.03436
  • Maximum
    0.14247
  • Mean of quarter 1
    0.00034
  • Mean of quarter 2
    0.00293
  • Mean of quarter 3
    0.01836
  • Mean of quarter 4
    0.09451
  • Inter Quartile Range
    0.03298
  • 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
    0.16667
  • Mean of outliers high
    0.11580
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.18346
  • VaR(95%) (moments method)
    0.10145
  • Expected Shortfall (moments method)
    0.10171
  • Extreme Value Index (regression method)
    -0.48036
  • VaR(95%) (regression method)
    0.14986
  • Expected Shortfall (regression method)
    0.17916
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08953
  • Compounded annual return (geometric extrapolation)
    0.08648
  • Calmar ratio (compounded annual return / max draw down)
    0.60699
  • Compounded annual return / average of 25% largest draw downs
    0.91504
  • Compounded annual return / Expected Shortfall lognormal
    5.71761
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.82833
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41711
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.74061
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41785
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6825500000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -64920399999999997597853513940992.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345783000
  • Max Equity Drawdown (num days)
    85
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

QUANT sends orders before the market opens, the entry price is always pre-determined. Trades are then automatically executed.

Summary Statistics

Strategy began
2017-08-08
Suggested Minimum Capital
$15,000
# Trades
287
# Profitable
161
% Profitable
56.1%
Net Dividends
Correlation S&P500
0.049
Sharpe Ratio
-0.14
Sortino Ratio
-0.19
Beta
0.02
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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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.