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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 09/07/2021
Most recent certification approved 9/7/21 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 3,361
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 3,361
Percent signals followed since 09/07/2021 100%
This information was last updated 7/19/24 2:59 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 09/07/2021, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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)

Powered by BrokerTransmit.
Read important disclosures.

Created by: CarmaAdvisory CarmaAdvisory
Started: 05/2013
Stocks
Last trade: 3 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.

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.

(25.3%)
Max Drawdown
3804
Num Trades
59.9%
Win Trades
1.4 : 1
Profit Factor
63.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                            (0.4%)+7.3%(1%)(1.6%)+1.3%+5.3%+3.5%+1.2%+16.2%
2014(0.6%)(1.1%)+1.8%+7.9%(0.5%)(0.2%)(1.7%)+1.6%+0.7%+2.0%+0.9%+2.1%+13.5%
2015+2.7%+0.2%+1.4%  -  +1.6%+2.2%+4.0%(1.2%)+2.4%(1.2%)+0.4%+1.0%+14.2%
2016+0.3%+2.0%+0.7%+0.7%+0.9%(1.1%)+1.0%+0.3%+0.9%+0.5%+1.9%(1.2%)+7.0%
2017+1.9%+1.6%+1.0%  -  (3.9%)+0.6%(0.1%)+0.5%+0.1%(0.4%)+0.3%+2.3%+4.0%
2018(2%)(4.6%)+1.3%  -  (0.3%)(2.5%)+0.9%+0.6%+1.4%(2.2%)+0.7%(0.3%)(7%)
2019+0.1%(0.5%)+3.5%+1.5%(8.2%)+2.8%(0.6%)+0.7%(1.4%)(1.3%)+1.9%+2.3%+0.3%
2020(6.1%)(4.8%)+11.6%+2.1%+4.8%+5.5%+5.7%+4.2%+7.3%+3.3%+7.7%+8.5%+60.6%
2021(3.4%)+6.1%+4.4%+0.1%+3.5%(2.2%)(2.5%)+0.8%(2.9%)+5.7%(2.3%)+7.0%+14.3%
2022(7.3%)+0.6%+4.4%(8.5%)+8.6%(11.2%)+2.4%(0.7%)(1.9%)+5.5%+6.4%(4.6%)(8.2%)
2023+6.5%(4.2%)(6.9%)(1.7%)(2.8%)+10.5%+8.6%+0.2%(2.4%)+0.9%+1.6%+0.3%+9.6%
2024+4.8%+5.9%+1.8%(0.9%)(2.2%)+1.1%(0.9%)                              +9.8%

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 6,696 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/11/24 9:30 UAL UNITED AIRLINES HOLDINGS INC LONG 139 44.72 7/16 15:24 46.86 0.21%
Trade id #148620635
Max drawdown($137)
Time7/11/24 9:38
Quant open139
Worst price43.73
Drawdown as % of equity-0.21%
$295
Includes Typical Broker Commissions trade costs of $2.78
7/10/24 10:18 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 17 372.41 7/16 9:30 378.21 0.21%
Trade id #148610561
Max drawdown($139)
Time7/15/24 0:00
Quant open17
Worst price364.21
Drawdown as % of equity-0.21%
$99
Includes Typical Broker Commissions trade costs of $0.34
7/12/24 9:38 MRNA MODERNA INC. COMMON STOCK SHORT 62 126.74 7/15 9:30 120.79 0.25%
Trade id #148633184
Max drawdown($164)
Time7/12/24 9:49
Quant open62
Worst price129.39
Drawdown as % of equity-0.25%
$368
Includes Typical Broker Commissions trade costs of $1.24
7/9/24 10:55 NOW SERVICENOW LONG 9 739.56 7/15 9:30 766.62 0.11%
Trade id #148600538
Max drawdown($72)
Time7/10/24 0:00
Quant open9
Worst price731.55
Drawdown as % of equity-0.11%
$244
Includes Typical Broker Commissions trade costs of $0.18
7/8/24 9:30 INTC INTEL SHORT 232 33.08 7/11 9:40 34.59 0.77%
Trade id #148588319
Max drawdown($495)
Time7/9/24 0:00
Quant open232
Worst price35.22
Drawdown as % of equity-0.77%
($355)
Includes Typical Broker Commissions trade costs of $4.64
6/17/24 10:36 FSLR FIRST SOLAR INC LONG 24 262.85 7/11 9:30 236.60 1.81%
Trade id #148427503
Max drawdown($1,163)
Time7/2/24 0:00
Quant open24
Worst price214.37
Drawdown as % of equity-1.81%
($630)
Includes Typical Broker Commissions trade costs of $0.48
7/3/24 9:30 PARA PARAMOUNT GLOBAL CLASS B COMMON STOCK SHORT 694 12.07 7/8 9:50 11.47 n/a $407
Includes Typical Broker Commissions trade costs of $6.31
7/2/24 9:30 TSLA TESLA INC. SHORT 35 220.01 7/8 9:34 246.39 1.76%
Trade id #148553796
Max drawdown($1,132)
Time7/5/24 0:00
Quant open35
Worst price252.37
Drawdown as % of equity-1.76%
($924)
Includes Typical Broker Commissions trade costs of $0.70
6/21/24 9:30 MU MICRON TECHNOLOGY LONG 45 137.40 7/3 11:53 135.28 0.71%
Trade id #148466768
Max drawdown($456)
Time7/1/24 0:00
Quant open45
Worst price127.27
Drawdown as % of equity-0.71%
($97)
Includes Typical Broker Commissions trade costs of $0.90
6/28/24 10:05 CHTR CHARTER COMMUNICATIONS SHORT 21 305.55 7/1 9:30 293.92 0.03%
Trade id #148529906
Max drawdown($16)
Time6/28/24 10:37
Quant open21
Worst price306.35
Drawdown as % of equity-0.03%
$244
Includes Typical Broker Commissions trade costs of $0.42
6/24/24 15:52 MPWR MONOLITHIC POWER SYSTEMS LONG 8 796.05 6/28 10:10 832.55 0.01%
Trade id #148487729
Max drawdown($3)
Time6/24/24 15:57
Quant open8
Worst price795.64
Drawdown as % of equity-0.01%
$292
Includes Typical Broker Commissions trade costs of $0.16
6/3/24 9:30 SNPS SYNOPSYS LONG 4 565.39 6/24 9:30 598.93 0.1%
Trade id #148313368
Max drawdown($61)
Time6/3/24 13:11
Quant open4
Worst price549.97
Drawdown as % of equity-0.10%
$134
Includes Typical Broker Commissions trade costs of $0.08
6/3/24 9:30 FANG DIAMONDBACK ENERGY INC LONG 11 198.61 6/24 9:30 192.09 0.24%
Trade id #148313362
Max drawdown($148)
Time6/4/24 0:00
Quant open11
Worst price185.09
Drawdown as % of equity-0.24%
($72)
Includes Typical Broker Commissions trade costs of $0.22
6/3/24 9:30 FICO FAIR ISAAC LONG 2 1289.84 6/24 9:30 1426.85 0.05%
Trade id #148313354
Max drawdown($30)
Time6/3/24 9:56
Quant open2
Worst price1274.55
Drawdown as % of equity-0.05%
$274
Includes Typical Broker Commissions trade costs of $0.04
6/3/24 9:30 LRCX LAM RESEARCH LONG 2 947.34 6/24 9:30 1047.06 0.12%
Trade id #148313373
Max drawdown($74)
Time6/4/24 0:00
Quant open2
Worst price910.26
Drawdown as % of equity-0.12%
$199
Includes Typical Broker Commissions trade costs of $0.04
5/31/24 10:17 CEG CONSTELLATION ENERGY CORPORATION LONG 38 216.65 6/24 9:30 213.01 1.2%
Trade id #148299567
Max drawdown($776)
Time6/6/24 0:00
Quant open38
Worst price196.21
Drawdown as % of equity-1.20%
($139)
Includes Typical Broker Commissions trade costs of $0.76
6/3/24 9:30 CDNS CADENCE DESIGN SYSTEMS LONG 7 287.77 6/24 9:30 317.08 0.07%
Trade id #148313358
Max drawdown($45)
Time6/3/24 12:33
Quant open7
Worst price281.26
Drawdown as % of equity-0.07%
$205
Includes Typical Broker Commissions trade costs of $0.14
6/18/24 9:32 MU MICRON TECHNOLOGY SHORT 41 153.72 6/20 10:19 148.12 0.24%
Trade id #148437121
Max drawdown($156)
Time6/18/24 10:36
Quant open41
Worst price157.53
Drawdown as % of equity-0.24%
$229
Includes Typical Broker Commissions trade costs of $0.82
6/4/24 9:44 TSX.K KINROSS GOLD CORP LONG 621 CAD 10.59 6/18 13:28 CAD 10.33 n/a ($130)
Includes Typical Broker Commissions trade costs of $13.00
6/13/24 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES SHORT 5 1711.92 6/17 9:30 1796.56 0.68%
Trade id #148397746
Max drawdown($440)
Time6/17/24 9:30
Quant open5
Worst price1800.05
Drawdown as % of equity-0.68%
($423)
Includes Typical Broker Commissions trade costs of $0.10
6/12/24 12:40 FSLR FIRST SOLAR INC SHORT 20 306.05 6/13 10:32 295.00 0.02%
Trade id #148391733
Max drawdown($14)
Time6/12/24 12:43
Quant open20
Worst price306.77
Drawdown as % of equity-0.02%
$221
Includes Typical Broker Commissions trade costs of $0.40
5/31/24 10:19 TSX.CLS CELESTICA INC LONG 87 CAD 75.33 6/13 9:30 CAD 76.54 n/a $64
Includes Typical Broker Commissions trade costs of $13.21
6/4/24 10:19 VST VISTRA CORP LONG 68 89.92 6/11 10:53 91.38 0.73%
Trade id #148324985
Max drawdown($470)
Time6/6/24 0:00
Quant open68
Worst price83.01
Drawdown as % of equity-0.73%
$98
Includes Typical Broker Commissions trade costs of $1.36
5/23/24 9:30 ANET ARISTA NETWORKS INC LONG 20 304.18 6/11 9:30 298.37 0.46%
Trade id #148233245
Max drawdown($295)
Time5/23/24 10:50
Quant open20
Worst price289.41
Drawdown as % of equity-0.46%
($116)
Includes Typical Broker Commissions trade costs of $0.40
6/6/24 9:43 EXPE EXPEDIA SHORT 64 119.04 6/11 9:30 122.86 0.48%
Trade id #148343957
Max drawdown($303)
Time6/10/24 0:00
Quant open64
Worst price123.78
Drawdown as % of equity-0.48%
($246)
Includes Typical Broker Commissions trade costs of $1.28
6/4/24 9:52 TSX.CCO CAMECO CORP LONG 93 CAD 70.83 6/6 9:32 CAD 75.03 n/a $271
Includes Typical Broker Commissions trade costs of $13.57
5/31/24 10:35 MU MICRON TECHNOLOGY LONG 50 121.89 6/5 12:22 130.93 0.07%
Trade id #148299901
Max drawdown($43)
Time5/31/24 10:47
Quant open50
Worst price121.01
Drawdown as % of equity-0.07%
$451
Includes Typical Broker Commissions trade costs of $1.00
5/23/24 14:45 RMD RESMED LONG 29 210.67 6/4 10:59 211.72 0.26%
Trade id #148238710
Max drawdown($164)
Time5/31/24 0:00
Quant open29
Worst price205.00
Drawdown as % of equity-0.26%
$30
Includes Typical Broker Commissions trade costs of $0.58
5/23/24 13:45 PODD INSULET LONG 36 172.84 6/3 9:54 181.25 0.12%
Trade id #148238081
Max drawdown($78)
Time5/23/24 15:59
Quant open36
Worst price170.67
Drawdown as % of equity-0.12%
$302
Includes Typical Broker Commissions trade costs of $0.72
4/22/24 9:32 WFC WELLS FARGO LONG 34 60.38 6/3 9:37 59.47 0.1%
Trade id #147973692
Max drawdown($66)
Time5/29/24 0:00
Quant open34
Worst price58.42
Drawdown as % of equity-0.10%
($32)
Includes Typical Broker Commissions trade costs of $0.68

Statistics

  • Strategy began
    5/28/2013
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    4069.62
  • Age
    136 months ago
  • What it trades
    Stocks
  • # Trades
    3804
  • # Profitable
    2279
  • % Profitable
    59.90%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    25.33%
  • drawdown period
    Jan 05, 2022 - July 13, 2022
  • Annual Return (Compounded)
    10.9%
  • Avg win
    $96.01
  • Avg loss
    $105.72
  • Model Account Values (Raw)
  • Cash
    $62,991
  • Margin Used
    $11,429
  • Buying Power
    $51,059
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    0.67
  • Sortino Ratio
    1
  • Calmar Ratio
    1.009
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -16.65%
  • Correlation to SP500
    0.31510
  • Return Percent SP500 (cumu) during strategy life
    234.00%
  • Return Statistics
  • Ann Return (w trading costs)
    10.9%
  • Slump
  • Current Slump as Pcnt Equity
    3.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Return Statistics
  • Return Pcnt Since TOS Status
    130.370%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.109%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.50%
  • Chance of 20% account loss
    14.50%
  • Chance of 30% account loss
    2.50%
  • 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
    8.59%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    454
  • Popularity (Last 6 weeks)
    812
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    400
  • Popularity (7 days, Percentile 1000 scale)
    650
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $106
  • Avg Win
    $96
  • Sum Trade PL (losers)
    $161,228.000
  • Age
  • Num Months filled monthly returns table
    135
  • Win / Loss
  • Sum Trade PL (winners)
    $218,803.000
  • # Winners
    2279
  • Num Months Winners
    87
  • Dividends
  • Dividends Received in Model Acct
    3124
  • AUM
  • AUM (AutoTrader live capital)
    149558
  • Win / Loss
  • # Losers
    1525
  • % Winners
    59.9%
  • Frequency
  • Avg Position Time (mins)
    12658.70
  • Avg Position Time (hrs)
    210.98
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.59
  • Daily leverage (max)
    3.29
  • Regression
  • Alpha
    0.02
  • Beta
    0.21
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    49.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    90.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.09
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    11.820
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.635
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.780
  • Hold-and-Hope Ratio
    0.088
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10460
  • SD
    0.08740
  • Sharpe ratio (Glass type estimate)
    1.19688
  • Sharpe ratio (Hedges UMVUE)
    1.19002
  • df
    131.00000
  • t
    3.96961
  • p
    0.29519
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58631
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80315
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79828
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07119
  • Upside Potential Ratio
    3.23532
  • Upside part of mean
    0.16340
  • Downside part of mean
    -0.05879
  • Upside SD
    0.07708
  • Downside SD
    0.05050
  • N nonnegative terms
    90.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.08969
  • Mean of criterion
    0.10460
  • SD of predictor
    0.13366
  • SD of criterion
    0.08740
  • Covariance
    0.00420
  • r
    0.35972
  • b (slope, estimate of beta)
    0.23521
  • a (intercept, estimate of alpha)
    0.08351
  • Mean Square Error
    0.00670
  • DF error
    130.00000
  • t(b)
    4.39563
  • p(b)
    0.32014
  • t(a)
    3.32121
  • p(a)
    0.36017
  • Lowerbound of 95% confidence interval for beta
    0.12935
  • Upperbound of 95% confidence interval for beta
    0.34108
  • Lowerbound of 95% confidence interval for alpha
    0.03376
  • Upperbound of 95% confidence interval for alpha
    0.13325
  • Treynor index (mean / b)
    0.44472
  • Jensen alpha (a)
    0.08351
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10016
  • SD
    0.08719
  • Sharpe ratio (Glass type estimate)
    1.14881
  • Sharpe ratio (Hedges UMVUE)
    1.14222
  • df
    131.00000
  • t
    3.81017
  • p
    0.30232
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75381
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74914
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91436
  • Upside Potential Ratio
    3.06098
  • Upside part of mean
    0.16015
  • Downside part of mean
    -0.05999
  • Upside SD
    0.07512
  • Downside SD
    0.05232
  • N nonnegative terms
    90.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.08013
  • Mean of criterion
    0.10016
  • SD of predictor
    0.13615
  • SD of criterion
    0.08719
  • Covariance
    0.00432
  • r
    0.36360
  • b (slope, estimate of beta)
    0.23283
  • a (intercept, estimate of alpha)
    0.08150
  • Mean Square Error
    0.00665
  • DF error
    130.00000
  • t(b)
    4.45025
  • p(b)
    0.31820
  • t(a)
    3.26838
  • p(a)
    0.36222
  • Lowerbound of 95% confidence interval for beta
    0.12932
  • Upperbound of 95% confidence interval for beta
    0.33633
  • Lowerbound of 95% confidence interval for alpha
    0.03217
  • Upperbound of 95% confidence interval for alpha
    0.13084
  • Treynor index (mean / b)
    0.43019
  • Jensen alpha (a)
    0.08150
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03251
  • Expected Shortfall on VaR
    0.04259
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00786
  • Expected Shortfall on VaR
    0.01885
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    132.00000
  • Minimum
    0.89819
  • Quartile 1
    0.99966
  • Median
    1.00867
  • Quartile 3
    1.02224
  • Maximum
    1.07830
  • Mean of quarter 1
    0.98311
  • Mean of quarter 2
    1.00442
  • Mean of quarter 3
    1.01486
  • Mean of quarter 4
    1.04179
  • Inter Quartile Range
    0.02258
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03788
  • Mean of outliers low
    0.94013
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03788
  • Mean of outliers high
    1.07155
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38296
  • VaR(95%) (moments method)
    0.00558
  • Expected Shortfall (moments method)
    0.01206
  • Extreme Value Index (regression method)
    0.65053
  • VaR(95%) (regression method)
    0.01255
  • Expected Shortfall (regression method)
    0.04638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00496
  • Median
    0.01012
  • Quartile 3
    0.03560
  • Maximum
    0.10749
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.00852
  • Mean of quarter 3
    0.02390
  • Mean of quarter 4
    0.07589
  • Inter Quartile Range
    0.03064
  • 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
    0.14286
  • Mean of outliers high
    0.10465
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.71008
  • VaR(95%) (moments method)
    0.07555
  • Expected Shortfall (moments method)
    0.07569
  • Extreme Value Index (regression method)
    -2.43883
  • VaR(95%) (regression method)
    0.12480
  • Expected Shortfall (regression method)
    0.12589
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28098
  • Compounded annual return (geometric extrapolation)
    0.13663
  • Calmar ratio (compounded annual return / max draw down)
    1.27108
  • Compounded annual return / average of 25% largest draw downs
    1.80031
  • Compounded annual return / Expected Shortfall lognormal
    3.20791
  • 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
    0.10217
  • SD
    0.09008
  • Sharpe ratio (Glass type estimate)
    1.13429
  • Sharpe ratio (Hedges UMVUE)
    1.13400
  • df
    2900.00000
  • t
    3.77441
  • p
    0.00008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54427
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72374
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71781
  • Upside Potential Ratio
    7.84819
  • Upside part of mean
    0.46680
  • Downside part of mean
    -0.36463
  • Upside SD
    0.06792
  • Downside SD
    0.05948
  • N nonnegative terms
    1454.00000
  • N negative terms
    1447.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2901.00000
  • Mean of predictor
    0.09589
  • Mean of criterion
    0.10217
  • SD of predictor
    0.17204
  • SD of criterion
    0.09008
  • Covariance
    0.00498
  • r
    0.32113
  • b (slope, estimate of beta)
    0.16814
  • a (intercept, estimate of alpha)
    0.08600
  • Mean Square Error
    0.00728
  • DF error
    2899.00000
  • t(b)
    18.25760
  • p(b)
    -0.00000
  • t(a)
    3.35405
  • p(a)
    0.00040
  • Lowerbound of 95% confidence interval for beta
    0.15008
  • Upperbound of 95% confidence interval for beta
    0.18619
  • Lowerbound of 95% confidence interval for alpha
    0.03575
  • Upperbound of 95% confidence interval for alpha
    0.13636
  • Treynor index (mean / b)
    0.60768
  • Jensen alpha (a)
    0.08605
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09809
  • SD
    0.08997
  • Sharpe ratio (Glass type estimate)
    1.09025
  • Sharpe ratio (Hedges UMVUE)
    1.08997
  • df
    2900.00000
  • t
    3.62784
  • p
    0.00015
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67965
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63568
  • Upside Potential Ratio
    7.74484
  • Upside part of mean
    0.46447
  • Downside part of mean
    -0.36638
  • Upside SD
    0.06733
  • Downside SD
    0.05997
  • N nonnegative terms
    1454.00000
  • N negative terms
    1447.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2901.00000
  • Mean of predictor
    0.08101
  • Mean of criterion
    0.09809
  • SD of predictor
    0.17262
  • SD of criterion
    0.08997
  • Covariance
    0.00498
  • r
    0.32090
  • b (slope, estimate of beta)
    0.16726
  • a (intercept, estimate of alpha)
    0.08454
  • Mean Square Error
    0.00726
  • DF error
    2899.00000
  • t(b)
    18.24290
  • p(b)
    -0.00000
  • t(a)
    3.29938
  • p(a)
    0.00049
  • Lowerbound of 95% confidence interval for beta
    0.14929
  • Upperbound of 95% confidence interval for beta
    0.18524
  • Lowerbound of 95% confidence interval for alpha
    0.03430
  • Upperbound of 95% confidence interval for alpha
    0.13479
  • Treynor index (mean / b)
    0.58647
  • Jensen alpha (a)
    0.08454
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00873
  • Expected Shortfall on VaR
    0.01103
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00313
  • Expected Shortfall on VaR
    0.00676
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2901.00000
  • Minimum
    0.96503
  • Quartile 1
    0.99910
  • Median
    1.00011
  • Quartile 3
    1.00198
  • Maximum
    1.05154
  • Mean of quarter 1
    0.99484
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00085
  • Mean of quarter 4
    1.00649
  • Inter Quartile Range
    0.00287
  • Number outliers low
    242.00000
  • Percentage of outliers low
    0.08342
  • Mean of outliers low
    0.98957
  • Number of outliers high
    258.00000
  • Percentage of outliers high
    0.08893
  • Mean of outliers high
    1.01171
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49314
  • VaR(95%) (moments method)
    0.00415
  • Expected Shortfall (moments method)
    0.00983
  • Extreme Value Index (regression method)
    0.17378
  • VaR(95%) (regression method)
    0.00455
  • Expected Shortfall (regression method)
    0.00766
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    193.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00079
  • Median
    0.00292
  • Quartile 3
    0.00994
  • Maximum
    0.13304
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00175
  • Mean of quarter 3
    0.00606
  • Mean of quarter 4
    0.02917
  • Inter Quartile Range
    0.00915
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.11399
  • Mean of outliers high
    0.04629
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.45717
  • VaR(95%) (moments method)
    0.02954
  • Expected Shortfall (moments method)
    0.06132
  • Extreme Value Index (regression method)
    0.45678
  • VaR(95%) (regression method)
    0.02504
  • Expected Shortfall (regression method)
    0.04934
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27416
  • Compounded annual return (geometric extrapolation)
    0.13428
  • Calmar ratio (compounded annual return / max draw down)
    1.00931
  • Compounded annual return / average of 25% largest draw downs
    4.60349
  • Compounded annual return / Expected Shortfall lognormal
    12.17650
  • 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
    0.09701
  • SD
    0.07942
  • Sharpe ratio (Glass type estimate)
    1.22155
  • Sharpe ratio (Hedges UMVUE)
    1.21449
  • df
    130.00000
  • t
    0.86377
  • p
    0.46223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55653
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99504
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99022
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95889
  • Upside Potential Ratio
    10.45150
  • Upside part of mean
    0.51760
  • Downside part of mean
    -0.42059
  • Upside SD
    0.06199
  • Downside SD
    0.04952
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27436
  • Mean of criterion
    0.09701
  • SD of predictor
    0.10749
  • SD of criterion
    0.07942
  • Covariance
    0.00457
  • r
    0.53592
  • b (slope, estimate of beta)
    0.39594
  • a (intercept, estimate of alpha)
    -0.01162
  • Mean Square Error
    0.00453
  • DF error
    129.00000
  • t(b)
    7.20959
  • p(b)
    0.17594
  • t(a)
    -0.12058
  • p(a)
    0.50676
  • Lowerbound of 95% confidence interval for beta
    0.28728
  • Upperbound of 95% confidence interval for beta
    0.50460
  • Lowerbound of 95% confidence interval for alpha
    -0.20230
  • Upperbound of 95% confidence interval for alpha
    0.17906
  • Treynor index (mean / b)
    0.24501
  • Jensen alpha (a)
    -0.01162
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09386
  • SD
    0.07925
  • Sharpe ratio (Glass type estimate)
    1.18441
  • Sharpe ratio (Hedges UMVUE)
    1.17756
  • df
    130.00000
  • t
    0.83750
  • p
    0.46337
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59331
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95306
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88842
  • Upside Potential Ratio
    10.37400
  • Upside part of mean
    0.51564
  • Downside part of mean
    -0.42177
  • Upside SD
    0.06161
  • Downside SD
    0.04970
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26846
  • Mean of criterion
    0.09386
  • SD of predictor
    0.10745
  • SD of criterion
    0.07925
  • Covariance
    0.00455
  • r
    0.53490
  • b (slope, estimate of beta)
    0.39452
  • a (intercept, estimate of alpha)
    -0.01205
  • Mean Square Error
    0.00452
  • DF error
    129.00000
  • t(b)
    7.19043
  • p(b)
    0.17649
  • t(a)
    -0.12527
  • p(a)
    0.50702
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.28596
  • Upperbound of 95% confidence interval for beta
    0.50307
  • Lowerbound of 95% confidence interval for alpha
    -0.20237
  • Upperbound of 95% confidence interval for alpha
    0.17827
  • Treynor index (mean / b)
    0.23792
  • Jensen alpha (a)
    -0.01205
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00767
  • Expected Shortfall on VaR
    0.00969
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00349
  • Expected Shortfall on VaR
    0.00666
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98850
  • Quartile 1
    0.99757
  • Median
    1.00057
  • Quartile 3
    1.00319
  • Maximum
    1.01926
  • Mean of quarter 1
    0.99463
  • Mean of quarter 2
    0.99925
  • Mean of quarter 3
    1.00180
  • Mean of quarter 4
    1.00627
  • Inter Quartile Range
    0.00562
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98877
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01805
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14796
  • VaR(95%) (moments method)
    0.00534
  • Expected Shortfall (moments method)
    0.00669
  • Extreme Value Index (regression method)
    -0.12356
  • VaR(95%) (regression method)
    0.00562
  • Expected Shortfall (regression method)
    0.00716
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00139
  • Median
    0.00641
  • Quartile 3
    0.01641
  • Maximum
    0.03182
  • Mean of quarter 1
    0.00062
  • Mean of quarter 2
    0.00363
  • Mean of quarter 3
    0.00933
  • Mean of quarter 4
    0.02790
  • Inter Quartile Range
    0.01501
  • 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)
    -2.47347
  • VaR(95%) (moments method)
    0.03060
  • Expected Shortfall (moments method)
    0.03083
  • Extreme Value Index (regression method)
    -0.40900
  • VaR(95%) (regression method)
    0.03234
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.03496
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -359550000
  • Max Equity Drawdown (num days)
    189
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12555
  • Compounded annual return (geometric extrapolation)
    0.12949
  • Calmar ratio (compounded annual return / max draw down)
    4.07006
  • Compounded annual return / average of 25% largest draw downs
    4.64146
  • Compounded annual return / Expected Shortfall lognormal
    13.36110

Strategy Description

Carma Stocks blends a primary mean reverting strategy with a secondary momentum approach, targeting a wide array of market opportunities. The system focuses on identifying optimal entry points for oversold and overbought conditions in highly liquid stocks, engaging in both long and short positions.
Signals for new trades and updates for existing positions' exit prices are generated daily, after the market close, ensuring a disciplined and methodical approach. The system does not adjust exit prices during the trading day, maintaining a clear and consistent strategy for each position from entry to exit.
To ensure subscribers can seamlessly follow the strategy, it's recommended to opt for autotrading due to Carma Stocks' integration with the Broker Transmit functionality. This approach guarantees efficient and accurate execution of the trading system's operations.
Carma Stocks is primarily concentrated on US stocks within the S&P 500 and Nasdaq 100, with a portion of the portfolio allocated to long-only positions in the TSX 60 index stocks (Canada), aiming for diversified exposure and potential gains.
Backtesting results are available to subscribers, providing insights into the system's historical performance and strategic effectiveness.

Summary Statistics

Strategy began
2013-05-28
Suggested Minimum Capital
$5,000
# Trades
3804
# Profitable
2279
% Profitable
59.9%
Net Dividends
Correlation S&P500
0.315
Sharpe Ratio
0.67
Sortino Ratio
1.00
Beta
0.21
Alpha
0.02
Leverage
0.59 Average
3.29 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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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.