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

Mean Reversal System
(76677623)

Created by: MeanReversalTradin MeanReversalTradin
Started: 09/2012
Stocks
Last trade: 4,025 days ago
Subscriptions not currently available.

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 $99.00 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.

42.2%
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.

-
Max Drawdown
55
Num Trades
74.5%
Win Trades
41.3 : 1
Profit Factor
65.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                        +3.3%(1.7%)(2.9%)+5.0%+3.5%
2013(4.8%)+3.1%+3.2%+3.1%+14.4%  -  +12.0%+3.0%(0.9%)+3.2%(1.1%)+1.2%+41.2%
2014+11.2%+7.0%(5.3%)(3.8%)+18.7%+4.2%(7.8%)+10.0%(4.7%)+3.7%+2.2%+4.3%+43.3%
2015+16.6%+4.2%(2.1%)+6.1%+6.9%+4.1%+10.3%(9.8%)(1.1%)+7.8%(0.1%)(0.8%)+47.9%
2016(5.3%)(3.8%)+5.2%(6.4%)+15.0%(4.4%)+3.9%+6.5%+3.1%+2.6%+0.1%+0.8%+16.4%
2017+6.8%+2.9%+3.3%+2.1%+17.7%(7.8%)+13.2%+1.3%(0.9%)+2.5%(3%)+1.0%+43.5%
2018+20.4%+2.2%+1.7%(3.3%)+11.9%+7.9%(11.4%)+0.3%+1.4%(19.2%)(7.7%)(14%)(15.6%)
2019+32.7%+5.6%+1.3%  -    -  (13.3%)(3.2%)+3.1%+4.9%+7.4%+42.1%
2020+4.5%(2.4%)+0.8%+14.5%(0.1%)+9.2%+7.7%+4.8%(6.6%)(0.2%)(1.6%)+9.9%+46.1%
2021+3.8%(2.7%)(4.3%)+3.7%+0.2%+3.5%+1.0%+3.3%+4.1%+5.2%(4.9%)+3.8%+17.1%
2022(18%)(9%)+3.4%(19.9%)+0.9%(5.9%)+7.2%(1.3%)(4.9%)+6.4%+3.0%(3.1%)(37.4%)
2023+9.0%(5.8%)+4.8%(0.8%)+5.7%+9.3%+4.8%(5.4%)(5.9%)+1.9%+13.0%+4.2%+38.0%
2024+8.3%+2.8%+0.5%                                                      +11.9%

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
3/12/13 10:30 BA BOEING SHORT 248 84.60 3/21 9:30 85.20 0.45%
Trade id #79662744
Max drawdown($468)
Time3/15/13 16:00
Quant open-248
Worst price86.49
Drawdown as % of equity-0.45%
($154)
Includes Typical Broker Commissions trade costs of $4.96
3/18/13 10:30 HUM HUMANA SHORT 293 71.19 3/21 9:30 69.07 0.05%
Trade id #79754816
Max drawdown($52)
Time3/18/13 10:32
Quant open-293
Worst price71.37
Drawdown as % of equity-0.05%
$615
Includes Typical Broker Commissions trade costs of $5.86
2/20/13 9:39 CTRP CTRIP.COM INTERNATIONAL LONG 1,092 19.98 3/7 9:30 19.97 1.03%
Trade id #79305824
Max drawdown($1,048)
Time3/5/13 10:32
Quant open1,092
Worst price19.02
Drawdown as % of equity-1.03%
($16)
Includes Typical Broker Commissions trade costs of $5.00
2/26/13 10:22 FSLR FIRST SOLAR INC LONG 836 31.72 3/7 9:30 26.01 5.97%
Trade id #79417404
Max drawdown($6,069)
Time3/4/13 15:36
Quant open836
Worst price24.46
Drawdown as % of equity-5.97%
($4,779)
Includes Typical Broker Commissions trade costs of $5.00
2/13/13 10:17 BBRY BLACKBERRY LIMITED COMMON STOC LONG 1,495 14.85 3/7 9:30 13.46 3.37%
Trade id #79187641
Max drawdown($3,438)
Time3/5/13 15:59
Quant open1,495
Worst price12.55
Drawdown as % of equity-3.37%
($2,083)
Includes Typical Broker Commissions trade costs of $5.00
2/21/13 9:36 WCRX WARNER CHILCOTT LONG 1,553 14.13 3/5 9:30 13.72 1.43%
Trade id #79334465
Max drawdown($1,521)
Time2/26/13 12:10
Quant open1,553
Worst price13.15
Drawdown as % of equity-1.43%
($642)
Includes Typical Broker Commissions trade costs of $5.00
2/21/13 9:31 LIFE ATYR PHARMA INC. COMMON STOCK LONG 382 57.35 3/4 9:30 59.10 0.24%
Trade id #79333919
Max drawdown($259)
Time2/26/13 12:13
Quant open382
Worst price56.67
Drawdown as % of equity-0.24%
$661
Includes Typical Broker Commissions trade costs of $7.64
2/27/13 9:44 STZ CONSTELLATION BRANDS SHORT 479 44.71 3/4 9:30 43.62 0.09%
Trade id #79443716
Max drawdown($100)
Time2/27/13 14:53
Quant open-479
Worst price44.92
Drawdown as % of equity-0.09%
$512
Includes Typical Broker Commissions trade costs of $9.58
2/20/13 11:37 STX SEAGATE TECHNOLOGY LONG 656 33.29 3/1 9:30 32.03 1.87%
Trade id #79310244
Max drawdown($1,987)
Time2/26/13 9:33
Quant open656
Worst price30.26
Drawdown as % of equity-1.87%
($832)
Includes Typical Broker Commissions trade costs of $5.00
2/21/13 9:33 SNDK SANDISK LONG 443 49.54 2/27 9:30 50.08 0.27%
Trade id #79334375
Max drawdown($291)
Time2/21/13 14:14
Quant open443
Worst price48.88
Drawdown as % of equity-0.27%
$230
Includes Typical Broker Commissions trade costs of $8.86
2/21/13 9:56 VMED Virgin Media, Inc. LONG 500 43.92 2/25 9:31 44.25 0.12%
Trade id #79335252
Max drawdown($135)
Time2/21/13 10:05
Quant open500
Worst price43.65
Drawdown as % of equity-0.12%
$155
Includes Typical Broker Commissions trade costs of $10.00
2/15/13 9:30 ADM ARCHER-DANIELS MIDLAND SHORT 695 32.04 2/22 9:30 32.40 0.67%
Trade id #79236184
Max drawdown($736)
Time2/19/13 16:00
Quant open-695
Worst price33.10
Drawdown as % of equity-0.67%
($255)
Includes Typical Broker Commissions trade costs of $5.00
2/19/13 10:13 NFLX NETFLIX SHORT 807 27.06 2/21 9:30 26.04 0.45%
Trade id #79280887
Max drawdown($488)
Time2/20/13 9:31
Quant open-113
Worst price197.62
Drawdown as % of equity-0.45%
$820
Includes Typical Broker Commissions trade costs of $5.00
1/31/13 9:30 STX SEAGATE TECHNOLOGY LONG 622 33.17 2/7 9:30 34.39 0.01%
Trade id #78952526
Max drawdown($6)
Time2/4/13 9:46
Quant open622
Worst price33.16
Drawdown as % of equity-0.01%
$754
Includes Typical Broker Commissions trade costs of $5.00
1/29/13 9:30 BBRY BLACKBERRY LIMITED COMMON STOC LONG 3,135 15.08 2/6 13:37 15.52 4.86%
Trade id #78903639
Max drawdown($4,888)
Time2/4/13 9:33
Quant open3,135
Worst price13.52
Drawdown as % of equity-4.86%
$1,359
Includes Typical Broker Commissions trade costs of $7.50
2/5/13 9:30 FOSL FOSSIL GROUP INC. COMMON STOC LONG 256 98.56 2/6 9:30 102.95 0.79%
Trade id #79033069
Max drawdown($798)
Time2/5/13 9:32
Quant open256
Worst price95.44
Drawdown as % of equity-0.79%
$1,119
Includes Typical Broker Commissions trade costs of $5.12
1/24/13 13:22 CTRP CTRIP.COM INTERNATIONAL LONG 2,179 22.66 2/6 9:30 20.58 7.65%
Trade id #78832763
Max drawdown($7,954)
Time1/28/13 10:39
Quant open2,179
Worst price19.01
Drawdown as % of equity-7.65%
($4,544)
Includes Typical Broker Commissions trade costs of $7.50
1/30/13 9:30 PSX PHILLIPS 66 SHORT 344 62.38 2/6 9:30 60.79 0.29%
Trade id #78928184
Max drawdown($299)
Time2/1/13 13:30
Quant open-344
Worst price63.25
Drawdown as % of equity-0.29%
$540
Includes Typical Broker Commissions trade costs of $6.88
1/24/13 9:30 ALTR ALTAIR ENGINEERING INC. CLASS A LONG 640 32.97 2/4 9:31 34.44 0.65%
Trade id #78825265
Max drawdown($710)
Time1/24/13 9:32
Quant open640
Worst price31.86
Drawdown as % of equity-0.65%
$936
Includes Typical Broker Commissions trade costs of $5.00
1/7/13 9:31 SPY SPDR S&P 500 SHORT 136 145.85 2/1 9:30 150.65 0.66%
Trade id #78504492
Max drawdown($692)
Time1/30/13 9:51
Quant open-136
Worst price150.94
Drawdown as % of equity-0.66%
($656)
Includes Typical Broker Commissions trade costs of $2.72
1/22/13 14:29 FAS DIREXION DAILY FINANCIAL BULL SHORT 1,884 11.67 1/31 9:30 11.82 0.7%
Trade id #78784717
Max drawdown($726)
Time1/28/13 9:31
Quant open-157
Worst price144.68
Drawdown as % of equity-0.70%
($280)
Includes Typical Broker Commissions trade costs of $5.00
1/23/13 15:20 EA ELECTRONIC ARTS LONG 1,564 14.02 1/28 9:30 14.98 0.04%
Trade id #78809649
Max drawdown($46)
Time1/23/13 15:22
Quant open1,564
Worst price13.99
Drawdown as % of equity-0.04%
$1,496
Includes Typical Broker Commissions trade costs of $5.00
1/9/13 9:31 V VISA SHORT 2,144 10.16 1/15 9:30 9.99 0.03%
Trade id #78551767
Max drawdown($29)
Time1/10/13 9:31
Quant open-134
Worst price162.77
Drawdown as % of equity-0.03%
$359
Includes Typical Broker Commissions trade costs of $5.00
1/8/13 10:20 GMCR KEURIG GREEN MOUNTAIN INC. CO LONG 548 39.27 1/14 9:30 40.99 0.22%
Trade id #78529329
Max drawdown($241)
Time1/10/13 13:17
Quant open548
Worst price38.83
Drawdown as % of equity-0.22%
$938
Includes Typical Broker Commissions trade costs of $5.00
1/8/13 12:44 FSLR FIRST SOLAR INC LONG 707 30.43 1/10 9:30 32.30 n/a $1,317
Includes Typical Broker Commissions trade costs of $5.00
12/24/12 9:30 SPY SPDR S&P 500 LONG 140 142.48 1/4/13 9:30 145.97 0.41%
Trade id #78300012
Max drawdown($415)
Time12/28/12 16:01
Quant open140
Worst price139.51
Drawdown as % of equity-0.41%
$486
Includes Typical Broker Commissions trade costs of $2.80
12/20/12 10:21 EA ELECTRONIC ARTS LONG 2,911 13.77 1/2/13 9:31 14.42 1.07%
Trade id #78257541
Max drawdown($1,071)
Time12/21/12 10:46
Quant open2,911
Worst price13.40
Drawdown as % of equity-1.07%
$1,867
Includes Typical Broker Commissions trade costs of $10.00
12/24/12 10:42 NFLX NETFLIX LONG 1,579 12.62 1/2/13 9:31 13.33 0.36%
Trade id #78301884
Max drawdown($362)
Time12/27/12 12:53
Quant open221
Worst price88.54
Drawdown as % of equity-0.36%
$1,107
Includes Typical Broker Commissions trade costs of $5.00
12/31/12 9:36 GMCR KEURIG GREEN MOUNTAIN INC. CO LONG 504 39.77 1/2/13 9:30 42.11 0.1%
Trade id #78396865
Max drawdown($95)
Time12/31/12 10:31
Quant open504
Worst price39.58
Drawdown as % of equity-0.10%
$1,174
Includes Typical Broker Commissions trade costs of $5.00
12/24/12 9:30 FSLR FIRST SOLAR INC LONG 1,327 30.05 1/2/13 9:30 32.02 0.75%
Trade id #78299946
Max drawdown($759)
Time12/28/12 9:37
Quant open1,327
Worst price29.48
Drawdown as % of equity-0.75%
$2,605
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    9/19/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4200.56
  • Age
    140 months ago
  • What it trades
    Stocks
  • # Trades
    55
  • # Profitable
    41
  • % Profitable
    74.50%
  • Avg trade duration
    227.0 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    42.2%
  • Avg win
    $22,924
  • Avg loss
    $1,645
  • Model Account Values (Raw)
  • Cash
    $72,795
  • Margin Used
    $0
  • Buying Power
    $984,162
  • Ratios
  • W:L ratio
    41.32:1
  • Sharpe Ratio
    0.72
  • Sortino Ratio
    1.1
  • Calmar Ratio
    2.157
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    28.49%
  • Correlation to SP500
    0.52380
  • Return Percent SP500 (cumu) during strategy life
    259.23%
  • Return Statistics
  • Ann Return (w trading costs)
    42.2%
  • Slump
  • Current Slump as Pcnt Equity
    7.70%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.422%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $22,924
  • Avg Loss
    $1,646
  • Sum Trade PL (losers)
    $23,039.000
  • # Winners
    41
  • Num Months Winners
    90
  • Age
  • Num Months filled monthly returns table
    139
  • Win / Loss
  • Sum Trade PL (winners)
    $939,895.000
  • Dividends
  • Dividends Received in Model Acct
    11986
  • Win / Loss
  • # Losers
    14
  • % Winners
    74.5%
  • Frequency
  • Avg Position Time (mins)
    326841.00
  • Avg Position Time (hrs)
    5447.35
  • Avg Trade Length
    227.0 days
  • Last Trade Ago
    4018
  • Regression
  • Alpha
    0.04
  • Beta
    0.87
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.92
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.12
  • Avg(MAE) / Avg(PL) - All trades
    0.077
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    90.53
  • MAE:Equity, 95th Percentile Value for this strat
    0.06
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.033
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.651
  • Hold-and-Hope Ratio
    15.428
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.42300
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.04600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    37
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

The system trades several individual swing trading strategies using the mean reversal statistical method. All of the strategies are robust in nature with a minimum 10 years of backtesting period including realistic slippages and commissions.

The system would trade both long and short positions.

Summary Statistics

Strategy began
2012-09-19
Suggested Minimum Capital
$100,000
# Trades
55
# Profitable
41
% Profitable
74.5%
Net Dividends
Correlation S&P500
0.524
Sharpe Ratio
0.72
Sortino Ratio
1.10
Beta
0.87
Alpha
0.04

Latest Activity

#PERSONNAME#
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.