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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 1,678
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 1,650
Percent signals followed since 10/30/2014 98.3%
This information was last updated 6/15/18 9:32 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: 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 $100.00 per month.

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).
8.8%
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.

10.9%
Max Drawdown
1262
Num Trades
68.0%
Win Trades
1.9 : 1
Profit Factor
66.1%
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%+2.3%+3.4%
2018(2.1%)(4.8%)+1.3%(0.1%)(0.3%)+0.3%                                    (5.8%)

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 1,807 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/4/18 9:32 MU MICRON TECHNOLOGY LONG 53 56.88 6/8 11:10 60.13 0.03%
Trade id #118247877
Max drawdown($13)
Time6/4/18 10:03
Quant open53
Worst price56.62
Drawdown as % of equity-0.03%
$171
Includes Typical Broker Commissions trade costs of $1.06
6/7/18 10:05 SIG SIGNET JEWELERS SHORT 27 54.89 6/8 9:30 53.99 0.01%
Trade id #118311398
Max drawdown($3)
Time6/7/18 10:09
Quant open-27
Worst price55.03
Drawdown as % of equity-0.01%
$23
Includes Typical Broker Commissions trade costs of $0.54
4/4/18 9:31 HPE HEWLETT PACKARD ENTERPRISE CO LONG 180 16.87 4/12 13:00 17.48 0.12%
Trade id #117363632
Max drawdown($46)
Time4/6/18 14:59
Quant open180
Worst price16.61
Drawdown as % of equity-0.12%
$106
Includes Typical Broker Commissions trade costs of $3.60
3/27/18 14:58 MU MICRON TECHNOLOGY LONG 58 52.72 4/10 10:55 49.88 0.86%
Trade id #117261286
Max drawdown($337)
Time4/5/18 19:45
Quant open58
Worst price46.90
Drawdown as % of equity-0.86%
($166)
Includes Typical Broker Commissions trade costs of $1.16
3/27/18 15:47 WDC WESTERN DIGITAL LONG 33 91.86 4/10 10:44 92.11 0.4%
Trade id #117263641
Max drawdown($155)
Time4/6/18 14:59
Quant open33
Worst price87.15
Drawdown as % of equity-0.40%
$7
Includes Typical Broker Commissions trade costs of $0.66
3/28/18 9:39 GPS GAP LONG 100 30.34 4/5 9:30 32.10 0.04%
Trade id #117274933
Max drawdown($15)
Time4/2/18 14:01
Quant open100
Worst price30.19
Drawdown as % of equity-0.04%
$174
Includes Typical Broker Commissions trade costs of $2.00
3/15/18 10:03 DVA DAVITA INC LONG 44 69.38 3/29 9:30 66.07 0.53%
Trade id #117060198
Max drawdown($209)
Time3/26/18 11:18
Quant open44
Worst price64.62
Drawdown as % of equity-0.53%
($147)
Includes Typical Broker Commissions trade costs of $0.88
3/19/18 11:13 INTC INTEL LONG 60 50.50 3/26 11:53 51.34 0.17%
Trade id #117117242
Max drawdown($68)
Time3/23/18 16:00
Quant open60
Worst price49.36
Drawdown as % of equity-0.17%
$49
Includes Typical Broker Commissions trade costs of $1.20
2/21/18 14:51 MRO MARATHON OIL LONG 197 15.48 3/6 9:30 15.26 0.61%
Trade id #116648892
Max drawdown($238)
Time3/2/18 9:43
Quant open197
Worst price14.27
Drawdown as % of equity-0.61%
($47)
Includes Typical Broker Commissions trade costs of $3.94
2/26/18 10:40 TRIP TRIPADVISOR LONG 74 41.25 3/5 14:26 41.28 0.56%
Trade id #116723941
Max drawdown($220)
Time3/2/18 9:49
Quant open74
Worst price38.27
Drawdown as % of equity-0.56%
$1
Includes Typical Broker Commissions trade costs of $1.48
3/1/18 9:33 GPS GAP LONG 97 31.20 3/2 9:30 34.00 0.12%
Trade id #116797559
Max drawdown($45)
Time3/1/18 10:29
Quant open97
Worst price30.73
Drawdown as % of equity-0.12%
$270
Includes Typical Broker Commissions trade costs of $1.94
2/2/18 14:23 FOXA TWENTY-FIRST CENTURY FOX INC. LONG 86 36.66 2/15 14:31 37.04 0.57%
Trade id #116255792
Max drawdown($218)
Time2/9/18 12:35
Quant open86
Worst price34.12
Drawdown as % of equity-0.57%
$31
Includes Typical Broker Commissions trade costs of $1.72
2/1/18 10:17 DVA DAVITA INC LONG 41 77.20 2/15 9:30 75.00 0.72%
Trade id #116222787
Max drawdown($274)
Time2/6/18 9:32
Quant open41
Worst price70.50
Drawdown as % of equity-0.72%
($91)
Includes Typical Broker Commissions trade costs of $0.82
1/31/18 11:10 NFX NEWFIELD EXPLORATION LONG 101 31.45 2/13 9:30 26.42 1.83%
Trade id #116200946
Max drawdown($695)
Time2/9/18 13:40
Quant open101
Worst price24.56
Drawdown as % of equity-1.83%
($510)
Includes Typical Broker Commissions trade costs of $2.02
2/2/18 9:45 NTAP NETAPP LONG 51 61.13 2/13 9:30 59.54 0.97%
Trade id #116247606
Max drawdown($370)
Time2/6/18 9:31
Quant open51
Worst price53.86
Drawdown as % of equity-0.97%
($82)
Includes Typical Broker Commissions trade costs of $1.02
1/31/18 9:29 MYL MYLAN N.V. ORDINARY SHARES LONG 72 44.00 2/12 13:39 40.86 1.12%
Trade id #116197369
Max drawdown($424)
Time2/9/18 13:41
Quant open72
Worst price38.10
Drawdown as % of equity-1.12%
($227)
Includes Typical Broker Commissions trade costs of $1.44
2/2/18 9:32 GWW W.W. GRAINGER LONG 12 264.23 2/9 15:51 268.95 0.53%
Trade id #116246902
Max drawdown($204)
Time2/6/18 9:31
Quant open12
Worst price247.17
Drawdown as % of equity-0.53%
$57
Includes Typical Broker Commissions trade costs of $0.24
1/29/18 9:37 COTY COTY INC LONG 160 19.96 2/8 9:30 19.60 1.44%
Trade id #116149177
Max drawdown($553)
Time2/6/18 9:31
Quant open160
Worst price16.50
Drawdown as % of equity-1.44%
($61)
Includes Typical Broker Commissions trade costs of $3.20
1/31/18 9:32 HES HESS LONG 63 50.33 2/6 15:38 46.27 1.15%
Trade id #116197689
Max drawdown($441)
Time2/6/18 8:27
Quant open63
Worst price43.33
Drawdown as % of equity-1.15%
($257)
Includes Typical Broker Commissions trade costs of $1.26
2/2/18 9:33 FL FOOT LOCKER LONG 65 48.54 2/6 12:39 47.46 0.74%
Trade id #116246946
Max drawdown($282)
Time2/6/18 9:32
Quant open65
Worst price44.19
Drawdown as % of equity-0.74%
($71)
Includes Typical Broker Commissions trade costs of $1.30
1/26/18 9:33 JWN NORDSTROM LONG 64 49.38 2/6 12:20 48.39 0.6%
Trade id #116116206
Max drawdown($229)
Time2/6/18 9:03
Quant open64
Worst price45.80
Drawdown as % of equity-0.60%
($64)
Includes Typical Broker Commissions trade costs of $1.28
1/12/18 9:33 KSS KOHL'S SHORT 24 64.18 1/17 9:32 63.39 0.06%
Trade id #115853841
Max drawdown($24)
Time1/16/18 10:20
Quant open-24
Worst price65.22
Drawdown as % of equity-0.06%
$19
Includes Typical Broker Commissions trade costs of $0.48
1/10/18 9:30 CF CF INDUSTRIES HOLDINGS LONG 74 42.22 1/12 9:30 43.39 0.1%
Trade id #115797576
Max drawdown($38)
Time1/10/18 9:52
Quant open74
Worst price41.70
Drawdown as % of equity-0.10%
$86
Includes Typical Broker Commissions trade costs of $1.48
1/3/18 9:40 GPS GAP LONG 96 33.55 1/12 9:30 33.16 0.49%
Trade id #115665003
Max drawdown($196)
Time1/10/18 8:26
Quant open96
Worst price31.50
Drawdown as % of equity-0.49%
($39)
Includes Typical Broker Commissions trade costs of $1.92
1/3/18 9:30 LB L BRANDS INC LONG 54 59.88 1/12 9:30 49.81 2.02%
Trade id #115664398
Max drawdown($810)
Time1/10/18 4:01
Quant open54
Worst price44.87
Drawdown as % of equity-2.02%
($545)
Includes Typical Broker Commissions trade costs of $1.08
12/21/17 9:32 DISCA DISCOVERY COMMUNICATIONS SHORT 69 23.49 12/27 9:30 23.73 0.1%
Trade id #115461064
Max drawdown($41)
Time12/26/17 9:39
Quant open-69
Worst price24.09
Drawdown as % of equity-0.10%
($18)
Includes Typical Broker Commissions trade costs of $1.38
12/15/17 15:39 ORLY O'REILLY AUTOMOTIVE LONG 13 240.63 12/19 9:30 245.21 0.03%
Trade id #115381247
Max drawdown($13)
Time12/15/17 15:48
Quant open13
Worst price239.58
Drawdown as % of equity-0.03%
$60
Includes Typical Broker Commissions trade costs of $0.26
12/1/17 9:30 QCOM QUALCOMM LONG 48 65.30 12/19 9:30 65.11 0.18%
Trade id #115139222
Max drawdown($72)
Time12/4/17 11:48
Quant open48
Worst price63.80
Drawdown as % of equity-0.18%
($10)
Includes Typical Broker Commissions trade costs of $0.96
12/14/17 9:37 LRCX LAM RESEARCH LONG 17 181.13 12/18 9:30 187.65 0.01%
Trade id #115349421
Max drawdown($2)
Time12/14/17 9:39
Quant open17
Worst price181.00
Drawdown as % of equity-0.01%
$111
Includes Typical Broker Commissions trade costs of $0.34
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

Statistics

  • Strategy began
    5/28/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1846.83
  • Age
    62 months ago
  • What it trades
    Stocks
  • # Trades
    1262
  • # Profitable
    858
  • % Profitable
    68.00%
  • Avg trade duration
    5.0 days
  • Max peak-to-valley drawdown
    10.85%
  • drawdown period
    March 15, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    8.8%
  • Avg win
    $47.42
  • Avg loss
    $53.28
  • Model Account Values (Raw)
  • Cash
    $33,784
  • Margin Used
    $0
  • Buying Power
    $33,769
  • Ratios
  • W:L ratio
    1.95:1
  • Sharpe Ratio
    1.891
  • Sortino Ratio
    3.178
  • Calmar Ratio
    2.382
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27800
  • Return Statistics
  • Ann Return (w trading costs)
    8.8%
  • Ann Return (Compnd, No Fees)
    14.5%
  • 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)
    330
  • Popularity (Last 6 weeks)
    881
  • C2 Score
    77.8
  • Trades-Own-System Certification
  • Trades Own System?
    469
  • TOS percent
    200%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $53
  • Avg Win
    $47
  • # Winners
    858
  • # Losers
    404
  • % Winners
    68.0%
  • Frequency
  • Avg Position Time (mins)
    7162.90
  • Avg Position Time (hrs)
    119.38
  • Avg Trade Length
    5.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11169
  • SD
    0.06268
  • Sharpe ratio (Glass type estimate)
    1.78174
  • Sharpe ratio (Hedges UMVUE)
    1.75899
  • df
    59.00000
  • t
    3.98409
  • p
    0.00009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69120
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.22339
  • Upside Potential Ratio
    6.29791
  • Upside part of mean
    0.13466
  • Downside part of mean
    -0.02298
  • Upside SD
    0.06668
  • Downside SD
    0.02138
  • N nonnegative terms
    45.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.08032
  • Mean of criterion
    0.11169
  • SD of predictor
    0.10353
  • SD of criterion
    0.06268
  • Covariance
    -0.00067
  • r
    -0.10258
  • b (slope, estimate of beta)
    -0.06211
  • a (intercept, estimate of alpha)
    0.11668
  • Mean Square Error
    0.00395
  • DF error
    58.00000
  • t(b)
    -0.78539
  • p(b)
    0.78229
  • t(a)
    4.04659
  • p(a)
    0.00008
  • Lowerbound of 95% confidence interval for beta
    -0.22041
  • Upperbound of 95% confidence interval for beta
    0.09619
  • Lowerbound of 95% confidence interval for alpha
    0.05896
  • Upperbound of 95% confidence interval for alpha
    0.17439
  • Treynor index (mean / b)
    -1.79815
  • Jensen alpha (a)
    0.11668
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10905
  • SD
    0.06124
  • Sharpe ratio (Glass type estimate)
    1.78085
  • Sharpe ratio (Hedges UMVUE)
    1.75812
  • df
    59.00000
  • t
    3.98211
  • p
    0.00009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84086
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70751
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82596
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69027
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.03746
  • Upside Potential Ratio
    6.10698
  • Upside part of mean
    0.13221
  • Downside part of mean
    -0.02315
  • Upside SD
    0.06488
  • Downside SD
    0.02165
  • N nonnegative terms
    45.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.07466
  • Mean of criterion
    0.10905
  • SD of predictor
    0.10310
  • SD of criterion
    0.06124
  • Covariance
    -0.00064
  • r
    -0.10113
  • b (slope, estimate of beta)
    -0.06006
  • a (intercept, estimate of alpha)
    0.11354
  • Mean Square Error
    0.00378
  • DF error
    58.00000
  • t(b)
    -0.77411
  • p(b)
    0.77899
  • t(a)
    4.04289
  • p(a)
    0.00008
  • Lowerbound of 95% confidence interval for beta
    -0.21538
  • Upperbound of 95% confidence interval for beta
    0.09525
  • Lowerbound of 95% confidence interval for alpha
    0.05732
  • Upperbound of 95% confidence interval for alpha
    0.16975
  • Treynor index (mean / b)
    -1.81565
  • Jensen alpha (a)
    0.11354
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01979
  • Expected Shortfall on VaR
    0.02698
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00250
  • Expected Shortfall on VaR
    0.00642
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    60.00000
  • Minimum
    0.96503
  • Quartile 1
    1.00240
  • Median
    1.00799
  • Quartile 3
    1.01901
  • Maximum
    1.07830
  • Mean of quarter 1
    0.99467
  • Mean of quarter 2
    1.00512
  • Mean of quarter 3
    1.01269
  • Mean of quarter 4
    1.03406
  • Inter Quartile Range
    0.01661
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01667
  • Mean of outliers low
    0.96503
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.06184
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04762
  • VaR(95%) (moments method)
    0.00280
  • Expected Shortfall (moments method)
    0.00487
  • Extreme Value Index (regression method)
    0.90863
  • VaR(95%) (regression method)
    0.00524
  • Expected Shortfall (regression method)
    0.07396
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00435
  • Median
    0.00673
  • Quartile 3
    0.01767
  • Maximum
    0.03497
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.00555
  • Mean of quarter 3
    0.00926
  • Mean of quarter 4
    0.03052
  • Inter Quartile Range
    0.01332
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19668
  • Compounded annual return (geometric extrapolation)
    0.14678
  • Calmar ratio (compounded annual return / max draw down)
    4.19761
  • Compounded annual return / average of 25% largest draw downs
    4.80931
  • Compounded annual return / Expected Shortfall lognormal
    5.43970
  • 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
    0.11029
  • SD
    0.05829
  • Sharpe ratio (Glass type estimate)
    1.89205
  • Sharpe ratio (Hedges UMVUE)
    1.89097
  • df
    1317.00000
  • t
    4.24366
  • p
    0.42623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.01487
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76781
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.17824
  • Upside Potential Ratio
    9.15646
  • Upside part of mean
    0.31775
  • Downside part of mean
    -0.20746
  • Upside SD
    0.04730
  • Downside SD
    0.03470
  • N nonnegative terms
    678.00000
  • N negative terms
    640.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1318.00000
  • Mean of predictor
    0.08240
  • Mean of criterion
    0.11029
  • SD of predictor
    0.12506
  • SD of criterion
    0.05829
  • Covariance
    0.00211
  • r
    0.28961
  • b (slope, estimate of beta)
    0.13499
  • a (intercept, estimate of alpha)
    0.09900
  • Mean Square Error
    0.00312
  • DF error
    1316.00000
  • t(b)
    10.97630
  • p(b)
    0.35520
  • t(a)
    3.98173
  • p(a)
    0.44545
  • Lowerbound of 95% confidence interval for beta
    0.11086
  • Upperbound of 95% confidence interval for beta
    0.15911
  • Lowerbound of 95% confidence interval for alpha
    0.05031
  • Upperbound of 95% confidence interval for alpha
    0.14803
  • Treynor index (mean / b)
    0.81706
  • Jensen alpha (a)
    0.09917
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10856
  • SD
    0.05818
  • Sharpe ratio (Glass type estimate)
    1.86595
  • Sharpe ratio (Hedges UMVUE)
    1.86489
  • df
    1317.00000
  • t
    4.18512
  • p
    0.42723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98886
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74238
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74165
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.11315
  • Upside Potential Ratio
    9.07886
  • Upside part of mean
    0.31661
  • Downside part of mean
    -0.20804
  • Upside SD
    0.04703
  • Downside SD
    0.03487
  • N nonnegative terms
    678.00000
  • N negative terms
    640.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1318.00000
  • Mean of predictor
    0.07455
  • Mean of criterion
    0.10856
  • SD of predictor
    0.12528
  • SD of criterion
    0.05818
  • Covariance
    0.00212
  • r
    0.29024
  • b (slope, estimate of beta)
    0.13479
  • a (intercept, estimate of alpha)
    0.09852
  • Mean Square Error
    0.00310
  • DF error
    1316.00000
  • t(b)
    11.00250
  • p(b)
    0.35488
  • t(a)
    3.96441
  • p(a)
    0.44568
  • Lowerbound of 95% confidence interval for beta
    0.11076
  • Upperbound of 95% confidence interval for beta
    0.15883
  • Lowerbound of 95% confidence interval for alpha
    0.04977
  • Upperbound of 95% confidence interval for alpha
    0.14727
  • Treynor index (mean / b)
    0.80541
  • Jensen alpha (a)
    0.09852
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00548
  • Expected Shortfall on VaR
    0.00697
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00175
  • Expected Shortfall on VaR
    0.00381
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1318.00000
  • Minimum
    0.97994
  • Quartile 1
    0.99960
  • Median
    1.00016
  • Quartile 3
    1.00124
  • Maximum
    1.02214
  • Mean of quarter 1
    0.99709
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00059
  • Mean of quarter 4
    1.00447
  • Inter Quartile Range
    0.00164
  • Number outliers low
    113.00000
  • Percentage of outliers low
    0.08574
  • Mean of outliers low
    0.99399
  • Number of outliers high
    135.00000
  • Percentage of outliers high
    0.10243
  • Mean of outliers high
    1.00772
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36569
  • VaR(95%) (moments method)
    0.00274
  • Expected Shortfall (moments method)
    0.00544
  • Extreme Value Index (regression method)
    0.05936
  • VaR(95%) (regression method)
    0.00292
  • Expected Shortfall (regression method)
    0.00458
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    111.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00076
  • Median
    0.00243
  • Quartile 3
    0.00830
  • Maximum
    0.06140
  • Mean of quarter 1
    0.00032
  • Mean of quarter 2
    0.00135
  • Mean of quarter 3
    0.00470
  • Mean of quarter 4
    0.01954
  • Inter Quartile Range
    0.00754
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.08108
  • Mean of outliers high
    0.03368
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13148
  • VaR(95%) (moments method)
    0.01912
  • Expected Shortfall (moments method)
    0.02783
  • Extreme Value Index (regression method)
    0.30086
  • VaR(95%) (regression method)
    0.01911
  • Expected Shortfall (regression method)
    0.03123
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19616
  • Compounded annual return (geometric extrapolation)
    0.14622
  • Calmar ratio (compounded annual return / max draw down)
    2.38152
  • Compounded annual return / average of 25% largest draw downs
    7.48432
  • Compounded annual return / Expected Shortfall lognormal
    20.96470
  • 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
    -0.08393
  • SD
    0.05433
  • Sharpe ratio (Glass type estimate)
    -1.54476
  • Sharpe ratio (Hedges UMVUE)
    -1.53583
  • df
    130.00000
  • t
    -1.09231
  • p
    0.54768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.32001
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.31391
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24226
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.83015
  • Upside Potential Ratio
    3.22361
  • Upside part of mean
    0.14784
  • Downside part of mean
    -0.23177
  • Upside SD
    0.02921
  • Downside SD
    0.04586
  • N nonnegative terms
    42.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06115
  • Mean of criterion
    -0.08393
  • SD of predictor
    0.16173
  • SD of criterion
    0.05433
  • Covariance
    0.00370
  • r
    0.42100
  • b (slope, estimate of beta)
    0.14144
  • a (intercept, estimate of alpha)
    -0.09258
  • Mean Square Error
    0.00245
  • DF error
    129.00000
  • t(b)
    5.27162
  • p(b)
    0.24012
  • t(a)
    -1.32284
  • p(a)
    0.57349
  • Lowerbound of 95% confidence interval for beta
    0.08835
  • Upperbound of 95% confidence interval for beta
    0.19452
  • Lowerbound of 95% confidence interval for alpha
    -0.23106
  • Upperbound of 95% confidence interval for alpha
    0.04589
  • Treynor index (mean / b)
    -0.59343
  • Jensen alpha (a)
    -0.09258
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08541
  • SD
    0.05452
  • Sharpe ratio (Glass type estimate)
    -1.56661
  • Sharpe ratio (Hedges UMVUE)
    -1.55755
  • df
    130.00000
  • t
    -1.10776
  • p
    0.54835
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.34205
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21464
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.33582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22071
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.84937
  • Upside Potential Ratio
    3.19164
  • Upside part of mean
    0.14740
  • Downside part of mean
    -0.23281
  • Upside SD
    0.02906
  • Downside SD
    0.04618
  • N nonnegative terms
    42.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04807
  • Mean of criterion
    -0.08541
  • SD of predictor
    0.16258
  • SD of criterion
    0.05452
  • Covariance
    0.00376
  • r
    0.42467
  • b (slope, estimate of beta)
    0.14241
  • a (intercept, estimate of alpha)
    -0.09226
  • Mean Square Error
    0.00246
  • DF error
    129.00000
  • t(b)
    5.32757
  • p(b)
    0.23801
  • t(a)
    -1.31633
  • p(a)
    0.57313
  • Lowerbound of 95% confidence interval for beta
    0.08952
  • Upperbound of 95% confidence interval for beta
    0.19530
  • Lowerbound of 95% confidence interval for alpha
    -0.23092
  • Upperbound of 95% confidence interval for alpha
    0.04641
  • Treynor index (mean / b)
    -0.59975
  • Jensen alpha (a)
    -0.09226
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00585
  • Expected Shortfall on VaR
    0.00725
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00242
  • Expected Shortfall on VaR
    0.00525
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97997
  • Quartile 1
    0.99988
  • Median
    1.00000
  • Quartile 3
    1.00043
  • Maximum
    1.01489
  • Mean of quarter 1
    0.99678
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.00231
  • Inter Quartile Range
    0.00056
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.99445
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.00364
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29514
  • VaR(95%) (moments method)
    0.00243
  • Expected Shortfall (moments method)
    0.00495
  • Extreme Value Index (regression method)
    0.38188
  • VaR(95%) (regression method)
    0.00308
  • Expected Shortfall (regression method)
    0.00716
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06140
  • Quartile 1
    0.06140
  • Median
    0.06140
  • Quartile 3
    0.06140
  • Maximum
    0.06140
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05668
  • Compounded annual return (geometric extrapolation)
    -0.05588
  • Calmar ratio (compounded annual return / max draw down)
    -0.91013
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -7.71149

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
Suggested Minimum Capital
$35,000
# Trades
1262
# Profitable
858
% Profitable
68.0%
Net Dividends
Correlation S&P500
0.278
Sharpe Ratio
1.891

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.