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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/30/2014
Most recent certification approved 11/4/14 8:03 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 200%
# trading signals issued by system since certification 1,617
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 1,588
Percent signals followed since 10/30/2014 98.2%
This information was last updated 12/8/17 9:30 ET

Warning: System trading results are still hypothetical.

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

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

Carma Stocks (81128026)

Created by: CarmaAdvisory CarmaAdvisory
Started: 05/2013
Stocks
Last trade: 6 days ago

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 $100.00 per month.

11.2%
Annual Return (Compounded)
7.0%
Max Drawdown
1230
Num Trades
68.5%
Win Trades
2.1 : 1
Profit Factor
69.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                            (0.5%)+7.2%(1%)(1.7%)+1.2%+5.2%+3.4%+1.1%+15.5%
2014(0.6%)(1.2%)+1.8%+7.9%(0.5%)(0.2%)(1.8%)+1.6%+0.6%+2.0%+0.8%+2.1%+12.7%
2015+2.6%+0.1%+1.3%(0.1%)+1.5%+2.2%+4.0%(1.3%)+2.4%(1.3%)+0.4%+1.0%+13.6%
2016+0.3%+1.9%+0.7%+0.6%+0.9%(1.2%)+1.0%+0.2%+0.9%+0.5%+1.9%(1.3%)+6.5%
2017+1.9%+1.6%+0.9%  -  (4%)+0.6%(0.1%)+0.5%+0.1%(0.5%)+0.2%+1.8%+2.9%

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.

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

Trading Record

This strategy has placed 1,745 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/30/17 12:31 MU MICRON TECHNOLOGY LONG 73 43.27 12/8 9:30 44.03 0.77%
Trade id #115123376
Max drawdown($306)
Time12/4/17 10:58
Quant open73
Worst price39.07
Drawdown as % of equity-0.77%
$54
Includes Typical Broker Commissions trade costs of $1.46
12/4/17 10:04 ADSK AUTODESK LONG 29 106.19 12/8 9:30 109.60 0.07%
Trade id #115172105
Max drawdown($29)
Time12/4/17 10:20
Quant open29
Worst price105.16
Drawdown as % of equity-0.07%
$98
Includes Typical Broker Commissions trade costs of $0.58
12/4/17 10:08 LRCX LAM RESEARCH LONG 17 180.69 12/7 9:36 187.92 0.21%
Trade id #115172327
Max drawdown($83)
Time12/5/17 9:31
Quant open17
Worst price175.80
Drawdown as % of equity-0.21%
$123
Includes Typical Broker Commissions trade costs of $0.34
12/5/17 9:30 AMAT APPLIED MATERIALS LONG 64 49.27 12/6 15:14 51.25 0.16%
Trade id #115197424
Max drawdown($64)
Time12/5/17 9:32
Quant open64
Worst price48.26
Drawdown as % of equity-0.16%
$126
Includes Typical Broker Commissions trade costs of $1.28
12/5/17 9:30 NVDA NVIDIA LONG 17 182.59 12/6 9:38 189.62 0.09%
Trade id #115197310
Max drawdown($34)
Time12/5/17 9:32
Quant open17
Worst price180.58
Drawdown as % of equity-0.09%
$119
Includes Typical Broker Commissions trade costs of $0.34
12/5/17 9:35 ORLY O'REILLY AUTOMOTIVE SHORT 6 262.91 12/6 9:30 249.53 0.01%
Trade id #115197891
Max drawdown($2)
Time12/5/17 9:37
Quant open-6
Worst price263.26
Drawdown as % of equity-0.01%
$80
Includes Typical Broker Commissions trade costs of $0.12
11/29/17 12:51 GPS GAP SHORT 49 32.53 12/1 11:12 31.59 0.04%
Trade id #115102562
Max drawdown($14)
Time11/30/17 9:42
Quant open-49
Worst price32.83
Drawdown as % of equity-0.04%
$45
Includes Typical Broker Commissions trade costs of $0.98
11/21/17 9:40 GGP GGP INC LONG 136 23.31 11/30 9:30 23.30 0.07%
Trade id #114958062
Max drawdown($27)
Time11/28/17 10:06
Quant open136
Worst price23.11
Drawdown as % of equity-0.07%
($4)
Includes Typical Broker Commissions trade costs of $2.72
11/16/17 15:59 MRO MARATHON OIL LONG 219 14.50 11/24 9:30 14.94 0.08%
Trade id #114904071
Max drawdown($30)
Time11/21/17 13:14
Quant open219
Worst price14.36
Drawdown as % of equity-0.08%
$92
Includes Typical Broker Commissions trade costs of $4.38
10/31/17 9:33 PRGO PERRIGO COMPANY PLC LONG 38 83.19 11/7 9:30 83.22 0.29%
Trade id #114607985
Max drawdown($117)
Time10/31/17 11:17
Quant open38
Worst price80.08
Drawdown as % of equity-0.29%
$0
Includes Typical Broker Commissions trade costs of $0.76
11/1/17 13:04 GPS GAP LONG 123 25.78 11/3 9:30 26.24 0.02%
Trade id #114633183
Max drawdown($6)
Time11/1/17 13:45
Quant open123
Worst price25.72
Drawdown as % of equity-0.02%
$55
Includes Typical Broker Commissions trade costs of $2.46
10/27/17 9:32 MU MICRON TECHNOLOGY LONG 78 40.31 10/31 9:30 42.29 0.05%
Trade id #114566180
Max drawdown($21)
Time10/27/17 11:20
Quant open78
Worst price40.04
Drawdown as % of equity-0.05%
$153
Includes Typical Broker Commissions trade costs of $1.56
10/11/17 10:08 GPS GAP LONG 111 28.44 10/23 9:30 27.04 0.63%
Trade id #114154456
Max drawdown($251)
Time10/18/17 11:18
Quant open111
Worst price26.17
Drawdown as % of equity-0.63%
($157)
Includes Typical Broker Commissions trade costs of $2.22
10/2/17 9:30 KSS KOHL'S LONG 70 45.21 10/18 9:30 43.31 0.64%
Trade id #113969825
Max drawdown($254)
Time10/16/17 9:44
Quant open70
Worst price41.57
Drawdown as % of equity-0.64%
($134)
Includes Typical Broker Commissions trade costs of $1.40
10/5/17 9:36 GPS GAP LONG 110 28.85 10/6 9:30 29.26 0.01%
Trade id #114036930
Max drawdown($2)
Time10/5/17 9:38
Quant open110
Worst price28.82
Drawdown as % of equity-0.01%
$43
Includes Typical Broker Commissions trade costs of $2.20
9/20/17 9:35 PRGO PERRIGO COMPANY PLC LONG 37 85.00 10/3 9:30 86.67 0.21%
Trade id #113762202
Max drawdown($85)
Time9/28/17 14:29
Quant open37
Worst price82.70
Drawdown as % of equity-0.21%
$61
Includes Typical Broker Commissions trade costs of $0.74
9/28/17 9:30 ILMN ILLUMINA LONG 16 197.20 10/2 9:40 201.57 0.05%
Trade id #113909759
Max drawdown($19)
Time9/28/17 9:39
Quant open16
Worst price196.00
Drawdown as % of equity-0.05%
$70
Includes Typical Broker Commissions trade costs of $0.32
9/22/17 9:40 RL RALPH LAUREN LONG 36 88.01 9/28 9:30 88.06 0.04%
Trade id #113810279
Max drawdown($16)
Time9/27/17 10:55
Quant open36
Worst price87.54
Drawdown as % of equity-0.04%
$1
Includes Typical Broker Commissions trade costs of $0.72
9/19/17 10:02 REGN REGENERON PHARMACEUTICALS LONG 7 430.46 9/21 9:30 434.49 0.07%
Trade id #113743325
Max drawdown($27)
Time9/19/17 11:05
Quant open7
Worst price426.47
Drawdown as % of equity-0.07%
$28
Includes Typical Broker Commissions trade costs of $0.14
9/12/17 9:36 ALXN ALEXION PHARMACEUTICALS LONG 22 139.83 9/13 9:30 143.20 0.03%
Trade id #113641591
Max drawdown($11)
Time9/12/17 9:39
Quant open22
Worst price139.30
Drawdown as % of equity-0.03%
$74
Includes Typical Broker Commissions trade costs of $0.44
8/29/17 9:29 NFLX NETFLIX LONG 19 164.97 8/30 9:31 170.49 0.01%
Trade id #113404430
Max drawdown($4)
Time8/29/17 9:31
Quant open19
Worst price164.73
Drawdown as % of equity-0.01%
$105
Includes Typical Broker Commissions trade costs of $0.38
8/17/17 9:30 KORS MICHAEL KORS HOLDINGS LONG 72 43.90 8/28 9:30 42.05 0.44%
Trade id #113194997
Max drawdown($174)
Time8/23/17 9:31
Quant open72
Worst price41.47
Drawdown as % of equity-0.44%
($134)
Includes Typical Broker Commissions trade costs of $1.44
8/14/17 10:08 NFLX NETFLIX LONG 18 169.00 8/23 9:30 168.35 0.22%
Trade id #113129227
Max drawdown($85)
Time8/21/17 10:23
Quant open18
Worst price164.23
Drawdown as % of equity-0.22%
($12)
Includes Typical Broker Commissions trade costs of $0.36
8/15/17 9:31 FCX FREEPORT-MCMORAN INC LONG 227 13.99 8/17 9:30 14.62 0.06%
Trade id #113149826
Max drawdown($24)
Time8/15/17 19:19
Quant open227
Worst price13.88
Drawdown as % of equity-0.06%
$138
Includes Typical Broker Commissions trade costs of $4.54
8/9/17 9:32 WDC WESTERN DIGITAL LONG 39 80.66 8/15 9:30 82.99 0.23%
Trade id #113056278
Max drawdown($91)
Time8/11/17 9:39
Quant open39
Worst price78.31
Drawdown as % of equity-0.23%
$90
Includes Typical Broker Commissions trade costs of $0.78
7/31/17 10:32 NFLX NETFLIX LONG 17 181.17 8/8 9:30 181.34 0.14%
Trade id #112895622
Max drawdown($57)
Time8/2/17 10:47
Quant open17
Worst price177.81
Drawdown as % of equity-0.14%
$3
Includes Typical Broker Commissions trade costs of $0.34
7/31/17 9:30 VRTX VERTEX LONG 20 153.59 8/3 9:30 155.67 0.15%
Trade id #112892882
Max drawdown($58)
Time8/1/17 9:56
Quant open20
Worst price150.64
Drawdown as % of equity-0.15%
$42
Includes Typical Broker Commissions trade costs of $0.40
6/26/17 10:52 NVDA NVIDIA LONG 14 150.17 7/10 9:30 149.80 0.42%
Trade id #112214530
Max drawdown($166)
Time7/5/17 5:11
Quant open14
Worst price138.26
Drawdown as % of equity-0.42%
($5)
Includes Typical Broker Commissions trade costs of $0.28
6/12/17 11:08 BBY BEST BUY LONG 38 57.08 6/26 9:33 56.04 0.23%
Trade id #112015400
Max drawdown($92)
Time6/22/17 10:10
Quant open38
Worst price54.65
Drawdown as % of equity-0.23%
($41)
Includes Typical Broker Commissions trade costs of $0.76
6/21/17 10:24 REGN REGENERON PHARMACEUTICALS SHORT 3 520.26 6/23 9:30 508.12 0.18%
Trade id #112151807
Max drawdown($69)
Time6/22/17 9:50
Quant open-3
Worst price543.55
Drawdown as % of equity-0.18%
$36
Includes Typical Broker Commissions trade costs of $0.06

Statistics

  • Strategy began
    5/28/2013
  • Starting Unit Size
    $7,000
  • Strategy Age (days)
    1660.62
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    1230
  • # Profitable
    842
  • % Profitable
    68.50%
  • Avg trade duration
    4.9 days
  • Max peak-to-valley drawdown
    7.01%
  • drawdown period
    Jan 05, 2016 - Jan 20, 2016
  • Annual Return (Compounded)
    11.2%
  • Avg win
    $46.83
  • Avg loss
    $49.34
  • Model Account Values (Raw)
  • Cash
    $39,269
  • Margin Used
    $0
  • Buying Power
    $39,250
  • Ratios
  • W:L ratio
    2.12:1
  • Sharpe Ratio
    2.242
  • Sortino Ratio
    3.954
  • Calmar Ratio
    4.299
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.26800
  • Return Statistics
  • Ann Return (w trading costs)
    11.2%
  • Ann Return (Compnd, No Fees)
    17.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    682
  • Popularity (Last 6 weeks)
    945
  • C2 Score
    80.7
  • Trades-Own-System Certification
  • Trades Own System?
    469
  • TOS percent
    200%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $49
  • Avg Win
    $47
  • # Winners
    842
  • # Losers
    388
  • % Winners
    68.5%
  • Frequency
  • Avg Position Time (mins)
    7055.20
  • Avg Position Time (hrs)
    117.59
  • Avg Trade Length
    4.9 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13078
  • SD
    0.06130
  • Sharpe ratio (Glass type estimate)
    2.13348
  • Sharpe ratio (Hedges UMVUE)
    2.10314
  • df
    53.00000
  • t
    4.52579
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.11614
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11010
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.31398
  • Upside Potential Ratio
    10.48300
  • Upside part of mean
    0.14720
  • Downside part of mean
    -0.01642
  • Upside SD
    0.07012
  • Downside SD
    0.01404
  • N nonnegative terms
    43.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.08007
  • Mean of criterion
    0.13078
  • SD of predictor
    0.10461
  • SD of criterion
    0.06130
  • Covariance
    -0.00112
  • r
    -0.17417
  • b (slope, estimate of beta)
    -0.10206
  • a (intercept, estimate of alpha)
    0.13895
  • Mean Square Error
    0.00371
  • DF error
    52.00000
  • t(b)
    -1.27548
  • p(b)
    0.89610
  • t(a)
    4.72095
  • p(a)
    0.00001
  • Lowerbound of 95% confidence interval for beta
    -0.26262
  • Upperbound of 95% confidence interval for beta
    0.05850
  • Lowerbound of 95% confidence interval for alpha
    0.07989
  • Upperbound of 95% confidence interval for alpha
    0.19801
  • Treynor index (mean / b)
    -1.28144
  • Jensen alpha (a)
    0.13895
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12801
  • SD
    0.05961
  • Sharpe ratio (Glass type estimate)
    2.14734
  • Sharpe ratio (Hedges UMVUE)
    2.11680
  • df
    53.00000
  • t
    4.55519
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.12889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10881
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12479
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.06310
  • Upside Potential Ratio
    10.22960
  • Upside part of mean
    0.14449
  • Downside part of mean
    -0.01648
  • Upside SD
    0.06822
  • Downside SD
    0.01412
  • N nonnegative terms
    43.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.07431
  • Mean of criterion
    0.12801
  • SD of predictor
    0.10419
  • SD of criterion
    0.05961
  • Covariance
    -0.00109
  • r
    -0.17541
  • b (slope, estimate of beta)
    -0.10037
  • a (intercept, estimate of alpha)
    0.13547
  • Mean Square Error
    0.00351
  • DF error
    52.00000
  • t(b)
    -1.28486
  • p(b)
    0.89773
  • t(a)
    4.74863
  • p(a)
    0.00001
  • Lowerbound of 95% confidence interval for beta
    -0.25712
  • Upperbound of 95% confidence interval for beta
    0.05638
  • Lowerbound of 95% confidence interval for alpha
    0.07822
  • Upperbound of 95% confidence interval for alpha
    0.19272
  • Treynor index (mean / b)
    -1.27544
  • Jensen alpha (a)
    0.13547
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01748
  • Expected Shortfall on VaR
    0.02450
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00150
  • Expected Shortfall on VaR
    0.00402
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.97993
  • Quartile 1
    1.00390
  • Median
    1.00911
  • Quartile 3
    1.02116
  • Maximum
    1.07830
  • Mean of quarter 1
    0.99724
  • Mean of quarter 2
    1.00623
  • Mean of quarter 3
    1.01392
  • Mean of quarter 4
    1.03507
  • Inter Quartile Range
    0.01726
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.06743
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.72224
  • VaR(95%) (moments method)
    0.00290
  • Expected Shortfall (moments method)
    0.00374
  • Extreme Value Index (regression method)
    0.54858
  • VaR(95%) (regression method)
    0.00392
  • Expected Shortfall (regression method)
    0.01214
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00434
  • Median
    0.00555
  • Quartile 3
    0.00863
  • Maximum
    0.02607
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.00437
  • Mean of quarter 3
    0.00673
  • Mean of quarter 4
    0.01767
  • Inter Quartile Range
    0.00428
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.02607
  • 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)
    0.22601
  • Compounded annual return (geometric extrapolation)
    0.16873
  • Calmar ratio (compounded annual return / max draw down)
    6.47147
  • Compounded annual return / average of 25% largest draw downs
    9.55054
  • Compounded annual return / Expected Shortfall lognormal
    6.88579
  • 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
    0.13148
  • SD
    0.05861
  • Sharpe ratio (Glass type estimate)
    2.24337
  • Sharpe ratio (Hedges UMVUE)
    2.24195
  • df
    1185.00000
  • t
    4.77302
  • p
    0.41284
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.31730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16854
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16757
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95365
  • Upside Potential Ratio
    10.11840
  • Upside part of mean
    0.33650
  • Downside part of mean
    -0.20502
  • Upside SD
    0.04891
  • Downside SD
    0.03326
  • N nonnegative terms
    633.00000
  • N negative terms
    553.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1186.00000
  • Mean of predictor
    0.08375
  • Mean of criterion
    0.13148
  • SD of predictor
    0.12039
  • SD of criterion
    0.05861
  • Covariance
    0.00194
  • r
    0.27468
  • b (slope, estimate of beta)
    0.13373
  • a (intercept, estimate of alpha)
    0.12000
  • Mean Square Error
    0.00318
  • DF error
    1184.00000
  • t(b)
    9.82959
  • p(b)
    0.36266
  • t(a)
    4.53500
  • p(a)
    0.43467
  • Lowerbound of 95% confidence interval for beta
    0.10704
  • Upperbound of 95% confidence interval for beta
    0.16042
  • Lowerbound of 95% confidence interval for alpha
    0.06825
  • Upperbound of 95% confidence interval for alpha
    0.17232
  • Treynor index (mean / b)
    0.98322
  • Jensen alpha (a)
    0.12028
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12973
  • SD
    0.05847
  • Sharpe ratio (Glass type estimate)
    2.21873
  • Sharpe ratio (Hedges UMVUE)
    2.21732
  • df
    1185.00000
  • t
    4.72058
  • p
    0.41378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.29275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14284
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.88344
  • Upside Potential Ratio
    10.03670
  • Upside part of mean
    0.33528
  • Downside part of mean
    -0.20555
  • Upside SD
    0.04862
  • Downside SD
    0.03340
  • N nonnegative terms
    633.00000
  • N negative terms
    553.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1186.00000
  • Mean of predictor
    0.07648
  • Mean of criterion
    0.12973
  • SD of predictor
    0.12051
  • SD of criterion
    0.05847
  • Covariance
    0.00194
  • r
    0.27465
  • b (slope, estimate of beta)
    0.13326
  • a (intercept, estimate of alpha)
    0.11954
  • Mean Square Error
    0.00316
  • DF error
    1184.00000
  • t(b)
    9.82861
  • p(b)
    0.36267
  • t(a)
    4.51829
  • p(a)
    0.43490
  • Lowerbound of 95% confidence interval for beta
    0.10666
  • Upperbound of 95% confidence interval for beta
    0.15986
  • Lowerbound of 95% confidence interval for alpha
    0.06763
  • Upperbound of 95% confidence interval for alpha
    0.17144
  • Treynor index (mean / b)
    0.97350
  • Jensen alpha (a)
    0.11954
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00543
  • Expected Shortfall on VaR
    0.00693
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00168
  • Expected Shortfall on VaR
    0.00366
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1186.00000
  • Minimum
    0.97994
  • Quartile 1
    0.99957
  • Median
    1.00021
  • Quartile 3
    1.00136
  • Maximum
    1.02214
  • Mean of quarter 1
    0.99713
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00066
  • Mean of quarter 4
    1.00468
  • Inter Quartile Range
    0.00179
  • Number outliers low
    97.00000
  • Percentage of outliers low
    0.08179
  • Mean of outliers low
    0.99404
  • Number of outliers high
    116.00000
  • Percentage of outliers high
    0.09781
  • Mean of outliers high
    1.00819
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33999
  • VaR(95%) (moments method)
    0.00271
  • Expected Shortfall (moments method)
    0.00519
  • Extreme Value Index (regression method)
    0.11811
  • VaR(95%) (regression method)
    0.00287
  • Expected Shortfall (regression method)
    0.00463
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    111.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00073
  • Median
    0.00239
  • Quartile 3
    0.00786
  • Maximum
    0.03971
  • Mean of quarter 1
    0.00030
  • Mean of quarter 2
    0.00129
  • Mean of quarter 3
    0.00449
  • Mean of quarter 4
    0.01764
  • Inter Quartile Range
    0.00713
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.07207
  • Mean of outliers high
    0.03022
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06977
  • VaR(95%) (moments method)
    0.01755
  • Expected Shortfall (moments method)
    0.02420
  • Extreme Value Index (regression method)
    0.14931
  • VaR(95%) (regression method)
    0.01664
  • Expected Shortfall (regression method)
    0.02350
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23002
  • Compounded annual return (geometric extrapolation)
    0.17074
  • Calmar ratio (compounded annual return / max draw down)
    4.29916
  • Compounded annual return / average of 25% largest draw downs
    9.67874
  • Compounded annual return / Expected Shortfall lognormal
    24.63450
  • 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
    0.03302
  • SD
    0.02250
  • Sharpe ratio (Glass type estimate)
    1.46725
  • Sharpe ratio (Hedges UMVUE)
    1.45877
  • df
    130.00000
  • t
    1.03750
  • p
    0.45469
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31870
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23624
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86474
  • Upside Potential Ratio
    9.82936
  • Upside part of mean
    0.11328
  • Downside part of mean
    -0.08026
  • Upside SD
    0.01933
  • Downside SD
    0.01152
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15085
  • Mean of criterion
    0.03302
  • SD of predictor
    0.06651
  • SD of criterion
    0.02250
  • Covariance
    0.00032
  • r
    0.21286
  • b (slope, estimate of beta)
    0.07202
  • a (intercept, estimate of alpha)
    0.02215
  • Mean Square Error
    0.00049
  • DF error
    129.00000
  • t(b)
    2.47435
  • p(b)
    0.36552
  • t(a)
    0.70276
  • p(a)
    0.46071
  • Lowerbound of 95% confidence interval for beta
    0.01443
  • Upperbound of 95% confidence interval for beta
    0.12961
  • Lowerbound of 95% confidence interval for alpha
    -0.04021
  • Upperbound of 95% confidence interval for alpha
    0.08451
  • Treynor index (mean / b)
    0.45842
  • Jensen alpha (a)
    0.02215
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03276
  • SD
    0.02246
  • Sharpe ratio (Glass type estimate)
    1.45865
  • Sharpe ratio (Hedges UMVUE)
    1.45022
  • df
    130.00000
  • t
    1.03142
  • p
    0.45495
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32161
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22762
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.83925
  • Upside Potential Ratio
    9.80088
  • Upside part of mean
    0.11308
  • Downside part of mean
    -0.08032
  • Upside SD
    0.01927
  • Downside SD
    0.01154
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14860
  • Mean of criterion
    0.03276
  • SD of predictor
    0.06654
  • SD of criterion
    0.02246
  • Covariance
    0.00032
  • r
    0.21340
  • b (slope, estimate of beta)
    0.07203
  • a (intercept, estimate of alpha)
    0.02206
  • Mean Square Error
    0.00049
  • DF error
    129.00000
  • t(b)
    2.48093
  • p(b)
    0.36518
  • t(a)
    0.70137
  • p(a)
    0.46079
  • Lowerbound of 95% confidence interval for beta
    0.01459
  • Upperbound of 95% confidence interval for beta
    0.12947
  • Lowerbound of 95% confidence interval for alpha
    -0.04016
  • Upperbound of 95% confidence interval for alpha
    0.08427
  • Treynor index (mean / b)
    0.45481
  • Jensen alpha (a)
    0.02206
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00215
  • Expected Shortfall on VaR
    0.00273
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00076
  • Expected Shortfall on VaR
    0.00155
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99610
  • Quartile 1
    0.99993
  • Median
    1.00002
  • Quartile 3
    1.00038
  • Maximum
    1.00834
  • Mean of quarter 1
    0.99902
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00020
  • Mean of quarter 4
    1.00172
  • Inter Quartile Range
    0.00045
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99821
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.00266
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36647
  • VaR(95%) (moments method)
    0.00138
  • Expected Shortfall (moments method)
    0.00191
  • Extreme Value Index (regression method)
    -0.00145
  • VaR(95%) (regression method)
    0.00149
  • Expected Shortfall (regression method)
    0.00236
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00023
  • Median
    0.00133
  • Quartile 3
    0.00418
  • Maximum
    0.00700
  • Mean of quarter 1
    0.00005
  • Mean of quarter 2
    0.00070
  • Mean of quarter 3
    0.00260
  • Mean of quarter 4
    0.00539
  • Inter Quartile Range
    0.00395
  • 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)
    -0.73053
  • VaR(95%) (moments method)
    0.00614
  • Expected Shortfall (moments method)
    0.00669
  • Extreme Value Index (regression method)
    0.76249
  • VaR(95%) (regression method)
    0.00691
  • Expected Shortfall (regression method)
    0.01920
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06160
  • Compounded annual return (geometric extrapolation)
    0.06254
  • Calmar ratio (compounded annual return / max draw down)
    8.93938
  • Compounded annual return / average of 25% largest draw downs
    11.60630
  • Compounded annual return / Expected Shortfall lognormal
    22.88400

Strategy Description

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

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

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

Backtesting results available for subscribers.

Summary Statistics

Strategy began
2013-05-28
Minimum Capital Required
$7,000
# Trades
1230
# Profitable
842
% Profitable
68.5%
Net Dividends
Correlation S&P500
0.268
Sharpe Ratio
2.242

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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