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Dutch Volatrader
(113101763)

Created by: DutchVolatrader DutchVolatrader
Started: 08/2017
Stocks
Last trade: Today
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.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-3.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(33.7%)
Max Drawdown
192
Num Trades
58.9%
Win Trades
1.1 : 1
Profit Factor
41.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +4.5%(0.4%)(0.1%)  -  (0.4%)+3.6%
2018(2.7%)+2.4%+3.7%(0.6%)+1.4%+1.8%+10.0%+3.8%+3.8%(8.8%)  -  (6.5%)+7.0%
2019+0.9%+2.9%(0.6%)+0.6%(3.3%)+0.1%(2.6%)(4.6%)(1.1%)+1.8%(2.8%)(0.1%)(8.8%)
2020(5.6%)(4%)                                                            (9.3%)

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

This strategy has placed 114 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/14/20 9:44 ALKS ALKERMES LONG 145 16.81 2/20 9:30 18.70 0.09%
Trade id #127513226
Max drawdown($23)
Time2/14/20 9:51
Quant open145
Worst price16.65
Drawdown as % of equity-0.09%
$271
Includes Typical Broker Commissions trade costs of $2.90
1/15/20 9:34 TNK TEEKAY TANKERS LONG 113 21.77 2/14 9:30 15.92 3.6%
Trade id #127008139
Max drawdown($884)
Time2/10/20 0:00
Quant open113
Worst price13.94
Drawdown as % of equity-3.60%
($663)
Includes Typical Broker Commissions trade costs of $2.26
1/7/20 11:25 RAD RITE AID LONG 149 12.65 2/7 9:30 12.62 0.76%
Trade id #126899664
Max drawdown($192)
Time1/14/20 0:00
Quant open149
Worst price11.36
Drawdown as % of equity-0.76%
($7)
Includes Typical Broker Commissions trade costs of $2.98
1/22/20 15:24 ETRN EQUITRANS MIDSTREAM CORP LONG 208 11.84 2/6 9:30 10.31 2.11%
Trade id #127161150
Max drawdown($509)
Time1/31/20 0:00
Quant open208
Worst price9.39
Drawdown as % of equity-2.11%
($322)
Includes Typical Broker Commissions trade costs of $4.16
1/21/20 13:19 ICPT NTERCEPT PHARMACEUTICALS LONG 24 101.82 2/5 9:30 98.53 1.08%
Trade id #127128920
Max drawdown($261)
Time1/31/20 0:00
Quant open24
Worst price90.94
Drawdown as % of equity-1.08%
($79)
Includes Typical Broker Commissions trade costs of $0.48
1/30/20 13:11 AAOI APPLIED OPTOELECTRONICS INC. LONG 215 11.27 2/5 9:30 12.41 0.1%
Trade id #127293629
Max drawdown($24)
Time2/3/20 0:00
Quant open215
Worst price11.15
Drawdown as % of equity-0.10%
$241
Includes Typical Broker Commissions trade costs of $4.30
1/23/20 9:37 PDCE PDC ENERGY LONG 119 20.56 2/5 9:30 22.92 0.17%
Trade id #127172430
Max drawdown($41)
Time1/28/20 0:00
Quant open119
Worst price20.21
Drawdown as % of equity-0.17%
$279
Includes Typical Broker Commissions trade costs of $2.38
1/31/20 13:13 OIS OIL STATES INTERNATIONAL LONG 233 10.42 2/4 9:30 11.61 0.04%
Trade id #127313775
Max drawdown($10)
Time1/31/20 13:21
Quant open233
Worst price10.38
Drawdown as % of equity-0.04%
$272
Includes Typical Broker Commissions trade costs of $4.66
1/14/20 14:02 ASMB ASSEMBLY BIOSCIENCES INC. COM LONG 133 18.49 1/30 9:30 17.41 1.23%
Trade id #126993630
Max drawdown($300)
Time1/27/20 0:00
Quant open133
Worst price16.23
Drawdown as % of equity-1.23%
($147)
Includes Typical Broker Commissions trade costs of $2.66
1/16/20 12:29 INSM INSMED LONG 108 22.89 1/29 9:30 20.75 1.53%
Trade id #127045087
Max drawdown($373)
Time1/27/20 0:00
Quant open108
Worst price19.43
Drawdown as % of equity-1.53%
($233)
Includes Typical Broker Commissions trade costs of $2.16
1/8/20 12:07 REGI RENEWABLE ENERGY GROUP LONG 97 25.22 1/15 9:30 26.34 0.35%
Trade id #126916299
Max drawdown($88)
Time1/13/20 0:00
Quant open97
Worst price24.31
Drawdown as % of equity-0.35%
$107
Includes Typical Broker Commissions trade costs of $1.94
12/30/19 9:51 EDIT EDITAS MEDICINE INC. COMMON STOCK LONG 84 29.09 1/9/20 9:30 31.53 0.33%
Trade id #126788853
Max drawdown($82)
Time1/6/20 0:00
Quant open84
Worst price28.11
Drawdown as % of equity-0.33%
$203
Includes Typical Broker Commissions trade costs of $1.68
11/15/19 9:30 CNP CENTERPOINT ENERGY LONG 96 25.52 12/5 9:30 24.67 0.48%
Trade id #126224880
Max drawdown($121)
Time11/21/19 0:00
Quant open96
Worst price24.25
Drawdown as % of equity-0.48%
($84)
Includes Typical Broker Commissions trade costs of $1.92
11/18/19 9:44 TPC TUTOR PERINI LONG 146 16.92 11/27 9:30 16.25 0.97%
Trade id #126251172
Max drawdown($243)
Time11/21/19 0:00
Quant open146
Worst price15.25
Drawdown as % of equity-0.97%
($101)
Includes Typical Broker Commissions trade costs of $2.92
11/12/19 9:31 ETRN EQUITRANS MIDSTREAM CORP LONG 219 11.25 11/26 9:30 10.29 1.49%
Trade id #126167465
Max drawdown($374)
Time11/21/19 0:00
Quant open219
Worst price9.54
Drawdown as % of equity-1.49%
($214)
Includes Typical Broker Commissions trade costs of $4.38
10/28/19 9:30 CWEN CLEARWAY ENERGY INC CLASS C LONG 133 18.47 11/7 9:30 19.28 0.78%
Trade id #125972572
Max drawdown($201)
Time10/29/19 0:00
Quant open133
Worst price16.95
Drawdown as % of equity-0.78%
$105
Includes Typical Broker Commissions trade costs of $2.66
10/23/19 12:59 SHAK SHAKE SHACK INC LONG 29 84.20 11/5 9:30 69.15 1.68%
Trade id #125920011
Max drawdown($440)
Time11/5/19 9:30
Quant open29
Worst price69.01
Drawdown as % of equity-1.68%
($437)
Includes Typical Broker Commissions trade costs of $0.58
10/18/19 11:09 PDCE PDC ENERGY LONG 112 21.89 10/24 9:30 22.41 0.61%
Trade id #125853707
Max drawdown($160)
Time10/22/19 0:00
Quant open112
Worst price20.46
Drawdown as % of equity-0.61%
$56
Includes Typical Broker Commissions trade costs of $2.24
10/2/19 10:54 EHTH EHEALTH LONG 40 59.79 10/18 9:30 59.25 1.09%
Trade id #125593247
Max drawdown($283)
Time10/14/19 0:00
Quant open40
Worst price52.71
Drawdown as % of equity-1.09%
($23)
Includes Typical Broker Commissions trade costs of $0.80
10/8/19 9:43 CYRX CRYOPORT INC. COMMON STOCK LONG 189 12.78 10/18 9:30 15.00 0.28%
Trade id #125674853
Max drawdown($71)
Time10/8/19 9:45
Quant open189
Worst price12.40
Drawdown as % of equity-0.28%
$416
Includes Typical Broker Commissions trade costs of $3.78
9/17/19 9:42 OSTK OVERSTOCK.COM LONG 130 18.78 10/8 9:30 11.18 4.92%
Trade id #125382800
Max drawdown($1,232)
Time10/2/19 0:00
Quant open130
Worst price9.30
Drawdown as % of equity-4.92%
($991)
Includes Typical Broker Commissions trade costs of $2.60
9/26/19 14:25 MRNA MODERNA INC. COMMON STOCK LONG 149 16.26 10/7 9:30 15.45 1.1%
Trade id #125523121
Max drawdown($275)
Time10/3/19 0:00
Quant open149
Worst price14.41
Drawdown as % of equity-1.10%
($124)
Includes Typical Broker Commissions trade costs of $2.98
9/26/19 13:10 GH GUARDANT HEALTH INC LONG 38 63.41 10/7 9:30 64.48 1.07%
Trade id #125522196
Max drawdown($269)
Time10/2/19 0:00
Quant open38
Worst price56.33
Drawdown as % of equity-1.07%
$40
Includes Typical Broker Commissions trade costs of $0.76
9/26/19 10:25 SONO SONOS INC. COMMON STOCK LONG 185 13.16 10/7 9:30 13.30 0.27%
Trade id #125518098
Max drawdown($66)
Time10/3/19 0:00
Quant open185
Worst price12.80
Drawdown as % of equity-0.27%
$22
Includes Typical Broker Commissions trade costs of $3.70
9/10/19 9:34 NVCR NOVOCURE LIMITED ORDINARY SHARES LONG 33 74.58 10/7 9:30 76.53 0.44%
Trade id #125289010
Max drawdown($109)
Time10/2/19 0:00
Quant open33
Worst price71.28
Drawdown as % of equity-0.44%
$63
Includes Typical Broker Commissions trade costs of $0.66
9/25/19 11:33 MTCH MATCH GROUP INC. COMMON STOCK LONG 35 68.69 10/4 9:30 74.70 0.29%
Trade id #125503811
Max drawdown($74)
Time9/25/19 11:37
Quant open35
Worst price66.57
Drawdown as % of equity-0.29%
$209
Includes Typical Broker Commissions trade costs of $0.70
9/25/19 9:50 AYX ALTERYX INC LONG 23 106.29 10/4 9:30 111.08 0.42%
Trade id #125501020
Max drawdown($103)
Time10/2/19 0:00
Quant open23
Worst price101.77
Drawdown as % of equity-0.42%
$110
Includes Typical Broker Commissions trade costs of $0.46
9/20/19 11:25 LE LANDS END INC. COMMON STOCK LONG 208 11.79 10/2 9:30 11.58 0.59%
Trade id #125436654
Max drawdown($153)
Time9/26/19 0:00
Quant open208
Worst price11.05
Drawdown as % of equity-0.59%
($48)
Includes Typical Broker Commissions trade costs of $4.16
9/18/19 11:11 FOSL FOSSIL GROUP INC. COMMON STOC LONG 205 11.90 10/1 9:30 12.55 0.31%
Trade id #125401705
Max drawdown($79)
Time9/24/19 0:00
Quant open205
Worst price11.51
Drawdown as % of equity-0.31%
$129
Includes Typical Broker Commissions trade costs of $4.10
9/10/19 14:44 SBAC SBA COMMUNICATIONS LONG 10 239.16 9/18 9:30 252.70 0.06%
Trade id #125294684
Max drawdown($15)
Time9/11/19 0:00
Quant open10
Worst price237.57
Drawdown as % of equity-0.06%
$135
Includes Typical Broker Commissions trade costs of $0.20

Statistics

  • Strategy began
    8/11/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    931.25
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    192
  • # Profitable
    113
  • % Profitable
    58.90%
  • Avg trade duration
    12.9 days
  • Max peak-to-valley drawdown
    33.68%
  • drawdown period
    Sept 21, 2018 - Feb 28, 2020
  • Annual Return (Compounded)
    -3.5%
  • Avg win
    $203.39
  • Avg loss
    $274.03
  • Model Account Values (Raw)
  • Cash
    $8,772
  • Margin Used
    $0
  • Buying Power
    $6,716
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    -0.39
  • Sortino Ratio
    -0.56
  • Calmar Ratio
    0.087
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -28.23%
  • Correlation to SP500
    0.40810
  • Return Percent SP500 (cumu) during strategy life
    22.01%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.51%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.56%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.035%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.50%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    705
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    843
  • Popularity (7 days, Percentile 1000 scale)
    512
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $274
  • Avg Win
    $203
  • Sum Trade PL (losers)
    $21,678.000
  • Age
  • Num Months filled monthly returns table
    31
  • Win / Loss
  • Sum Trade PL (winners)
    $22,925.000
  • # Winners
    113
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    230
  • Win / Loss
  • # Losers
    79
  • % Winners
    58.9%
  • Frequency
  • Avg Position Time (mins)
    18628.30
  • Avg Position Time (hrs)
    310.47
  • Avg Trade Length
    12.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.38
  • Daily leverage (max)
    1.20
  • Regression
  • Alpha
    -0.02
  • Beta
    0.30
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    48.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    61.25
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -60.572
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.564
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.621
  • Hold-and-Hope Ratio
    0.002
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01778
  • SD
    0.11412
  • Sharpe ratio (Glass type estimate)
    0.15583
  • Sharpe ratio (Hedges UMVUE)
    0.15176
  • df
    29.00000
  • t
    0.24639
  • p
    0.40356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08571
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39477
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39196
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25562
  • Upside Potential Ratio
    2.34073
  • Upside part of mean
    0.16284
  • Downside part of mean
    -0.14506
  • Upside SD
    0.08818
  • Downside SD
    0.06957
  • N nonnegative terms
    15.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.07559
  • Mean of criterion
    0.01778
  • SD of predictor
    0.10579
  • SD of criterion
    0.11412
  • Covariance
    0.00371
  • r
    0.30737
  • b (slope, estimate of beta)
    0.33155
  • a (intercept, estimate of alpha)
    -0.00728
  • Mean Square Error
    0.01221
  • DF error
    28.00000
  • t(b)
    1.70918
  • p(b)
    0.04924
  • t(a)
    -0.10190
  • p(a)
    0.54022
  • Lowerbound of 95% confidence interval for beta
    -0.06581
  • Upperbound of 95% confidence interval for beta
    0.72891
  • Lowerbound of 95% confidence interval for alpha
    -0.15357
  • Upperbound of 95% confidence interval for alpha
    0.13902
  • Treynor index (mean / b)
    0.05364
  • Jensen alpha (a)
    -0.00728
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01154
  • SD
    0.11290
  • Sharpe ratio (Glass type estimate)
    0.10222
  • Sharpe ratio (Hedges UMVUE)
    0.09955
  • df
    29.00000
  • t
    0.16162
  • p
    0.43636
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13849
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14030
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33940
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16313
  • Upside Potential Ratio
    2.24377
  • Upside part of mean
    0.15873
  • Downside part of mean
    -0.14719
  • Upside SD
    0.08560
  • Downside SD
    0.07074
  • N nonnegative terms
    15.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.06975
  • Mean of criterion
    0.01154
  • SD of predictor
    0.10651
  • SD of criterion
    0.11290
  • Covariance
    0.00381
  • r
    0.31706
  • b (slope, estimate of beta)
    0.33605
  • a (intercept, estimate of alpha)
    -0.01190
  • Mean Square Error
    0.01187
  • DF error
    28.00000
  • t(b)
    1.76897
  • p(b)
    0.04390
  • t(a)
    -0.16955
  • p(a)
    0.56671
  • Lowerbound of 95% confidence interval for beta
    -0.05308
  • Upperbound of 95% confidence interval for beta
    0.72519
  • Lowerbound of 95% confidence interval for alpha
    -0.15565
  • Upperbound of 95% confidence interval for alpha
    0.13186
  • Treynor index (mean / b)
    0.03434
  • Jensen alpha (a)
    -0.01190
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05128
  • Expected Shortfall on VaR
    0.06405
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02827
  • Expected Shortfall on VaR
    0.04815
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.95230
  • Quartile 1
    0.98037
  • Median
    1.00226
  • Quartile 3
    1.02086
  • Maximum
    1.06997
  • Mean of quarter 1
    0.96700
  • Mean of quarter 2
    0.99090
  • Mean of quarter 3
    1.00940
  • Mean of quarter 4
    1.04703
  • Inter Quartile Range
    0.04049
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.21920
  • VaR(95%) (moments method)
    0.03618
  • Expected Shortfall (moments method)
    0.03779
  • Extreme Value Index (regression method)
    -1.63300
  • VaR(95%) (regression method)
    0.03610
  • Expected Shortfall (regression method)
    0.03683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01605
  • Quartile 1
    0.01609
  • Median
    0.01612
  • Quartile 3
    0.10027
  • Maximum
    0.18442
  • Mean of quarter 1
    0.01605
  • Mean of quarter 2
    0.01612
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18442
  • Inter Quartile Range
    0.08419
  • 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)
    0.04146
  • Compounded annual return (geometric extrapolation)
    0.04024
  • Calmar ratio (compounded annual return / max draw down)
    0.21817
  • Compounded annual return / average of 25% largest draw downs
    0.21817
  • Compounded annual return / Expected Shortfall lognormal
    0.62822
  • 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
    -0.00253
  • SD
    0.09859
  • Sharpe ratio (Glass type estimate)
    -0.02568
  • Sharpe ratio (Hedges UMVUE)
    -0.02565
  • df
    656.00000
  • t
    -0.04067
  • p
    0.51621
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26338
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26335
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21205
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03694
  • Upside Potential Ratio
    6.42271
  • Upside part of mean
    0.44023
  • Downside part of mean
    -0.44276
  • Upside SD
    0.07076
  • Downside SD
    0.06854
  • N nonnegative terms
    274.00000
  • N negative terms
    383.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    657.00000
  • Mean of predictor
    0.05379
  • Mean of criterion
    -0.00253
  • SD of predictor
    0.14461
  • SD of criterion
    0.09859
  • Covariance
    0.00615
  • r
    0.43130
  • b (slope, estimate of beta)
    0.29403
  • a (intercept, estimate of alpha)
    -0.01800
  • Mean Square Error
    0.00792
  • DF error
    655.00000
  • t(b)
    12.23470
  • p(b)
    -0.00000
  • t(a)
    -0.32634
  • p(a)
    0.62786
  • Lowerbound of 95% confidence interval for beta
    0.24684
  • Upperbound of 95% confidence interval for beta
    0.34122
  • Lowerbound of 95% confidence interval for alpha
    -0.12875
  • Upperbound of 95% confidence interval for alpha
    0.09206
  • Treynor index (mean / b)
    -0.00861
  • Jensen alpha (a)
    -0.01835
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00737
  • SD
    0.09843
  • Sharpe ratio (Glass type estimate)
    -0.07490
  • Sharpe ratio (Hedges UMVUE)
    -0.07482
  • df
    656.00000
  • t
    -0.11862
  • p
    0.54719
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31261
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16280
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16289
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10668
  • Upside Potential Ratio
    6.33373
  • Upside part of mean
    0.43772
  • Downside part of mean
    -0.44509
  • Upside SD
    0.06998
  • Downside SD
    0.06911
  • N nonnegative terms
    274.00000
  • N negative terms
    383.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    657.00000
  • Mean of predictor
    0.04329
  • Mean of criterion
    -0.00737
  • SD of predictor
    0.14513
  • SD of criterion
    0.09843
  • Covariance
    0.00621
  • r
    0.43459
  • b (slope, estimate of beta)
    0.29474
  • a (intercept, estimate of alpha)
    -0.02013
  • Mean Square Error
    0.00787
  • DF error
    655.00000
  • t(b)
    12.34970
  • p(b)
    -0.00000
  • t(a)
    -0.35932
  • p(a)
    0.64027
  • Lowerbound of 95% confidence interval for beta
    0.24788
  • Upperbound of 95% confidence interval for beta
    0.34161
  • Lowerbound of 95% confidence interval for alpha
    -0.13016
  • Upperbound of 95% confidence interval for alpha
    0.08989
  • Treynor index (mean / b)
    -0.02501
  • Jensen alpha (a)
    -0.02013
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00998
  • Expected Shortfall on VaR
    0.01249
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00423
  • Expected Shortfall on VaR
    0.00880
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    657.00000
  • Minimum
    0.97106
  • Quartile 1
    0.99886
  • Median
    1.00000
  • Quartile 3
    1.00173
  • Maximum
    1.04769
  • Mean of quarter 1
    0.99374
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.00636
  • Inter Quartile Range
    0.00287
  • Number outliers low
    69.00000
  • Percentage of outliers low
    0.10502
  • Mean of outliers low
    0.98898
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.08219
  • Mean of outliers high
    1.01219
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37071
  • VaR(95%) (moments method)
    0.00462
  • Expected Shortfall (moments method)
    0.00918
  • Extreme Value Index (regression method)
    0.02586
  • VaR(95%) (regression method)
    0.00587
  • Expected Shortfall (regression method)
    0.00895
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00141
  • Median
    0.00377
  • Quartile 3
    0.01344
  • Maximum
    0.23932
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00272
  • Mean of quarter 3
    0.00660
  • Mean of quarter 4
    0.06970
  • Inter Quartile Range
    0.01204
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.13864
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.93883
  • VaR(95%) (moments method)
    0.07140
  • Expected Shortfall (moments method)
    1.13490
  • Extreme Value Index (regression method)
    2.46379
  • VaR(95%) (regression method)
    0.08218
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02107
  • Compounded annual return (geometric extrapolation)
    0.02075
  • Calmar ratio (compounded annual return / max draw down)
    0.08669
  • Compounded annual return / average of 25% largest draw downs
    0.29767
  • Compounded annual return / Expected Shortfall lognormal
    1.66104
  • 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
    -0.18039
  • SD
    0.09881
  • Sharpe ratio (Glass type estimate)
    -1.82569
  • Sharpe ratio (Hedges UMVUE)
    -1.81514
  • df
    130.00000
  • t
    -1.29096
  • p
    0.55625
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.60298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95838
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.59571
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96544
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.15874
  • Upside Potential Ratio
    4.61398
  • Upside part of mean
    0.38556
  • Downside part of mean
    -0.56596
  • Upside SD
    0.05320
  • Downside SD
    0.08356
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01570
  • Mean of criterion
    -0.18039
  • SD of predictor
    0.13736
  • SD of criterion
    0.09881
  • Covariance
    0.00803
  • r
    0.59171
  • b (slope, estimate of beta)
    0.42565
  • a (intercept, estimate of alpha)
    -0.18708
  • Mean Square Error
    0.00639
  • DF error
    129.00000
  • t(b)
    8.33661
  • p(b)
    0.14662
  • t(a)
    -1.65427
  • p(a)
    0.59144
  • Lowerbound of 95% confidence interval for beta
    0.32463
  • Upperbound of 95% confidence interval for beta
    0.52667
  • Lowerbound of 95% confidence interval for alpha
    -0.41082
  • Upperbound of 95% confidence interval for alpha
    0.03667
  • Treynor index (mean / b)
    -0.42381
  • Jensen alpha (a)
    -0.18708
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18531
  • SD
    0.09927
  • Sharpe ratio (Glass type estimate)
    -1.86683
  • Sharpe ratio (Hedges UMVUE)
    -1.85604
  • df
    130.00000
  • t
    -1.32005
  • p
    0.55750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.64440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91777
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.63701
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92494
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.19751
  • Upside Potential Ratio
    4.55503
  • Upside part of mean
    0.38412
  • Downside part of mean
    -0.56943
  • Upside SD
    0.05290
  • Downside SD
    0.08433
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00623
  • Mean of criterion
    -0.18531
  • SD of predictor
    0.13857
  • SD of criterion
    0.09927
  • Covariance
    0.00815
  • r
    0.59259
  • b (slope, estimate of beta)
    0.42450
  • a (intercept, estimate of alpha)
    -0.18796
  • Mean Square Error
    0.00644
  • DF error
    129.00000
  • t(b)
    8.35565
  • p(b)
    0.14617
  • t(a)
    -1.65575
  • p(a)
    0.59152
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.32398
  • Upperbound of 95% confidence interval for beta
    0.52502
  • Lowerbound of 95% confidence interval for alpha
    -0.41255
  • Upperbound of 95% confidence interval for alpha
    0.03664
  • Treynor index (mean / b)
    -0.43654
  • Jensen alpha (a)
    -0.18796
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01074
  • Expected Shortfall on VaR
    0.01327
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00527
  • Expected Shortfall on VaR
    0.01085
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97204
  • Quartile 1
    0.99796
  • Median
    1.00000
  • Quartile 3
    1.00207
  • Maximum
    1.01726
  • Mean of quarter 1
    0.99217
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00069
  • Mean of quarter 4
    1.00537
  • Inter Quartile Range
    0.00411
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98439
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01198
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48106
  • VaR(95%) (moments method)
    0.00752
  • Expected Shortfall (moments method)
    0.01680
  • Extreme Value Index (regression method)
    0.17887
  • VaR(95%) (regression method)
    0.00666
  • Expected Shortfall (regression method)
    0.01057
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00166
  • Quartile 1
    0.00286
  • Median
    0.00405
  • Quartile 3
    0.05724
  • Maximum
    0.11043
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00405
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11043
  • Inter Quartile Range
    0.05438
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -264573000
  • Max Equity Drawdown (num days)
    525
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.15137
  • Compounded annual return (geometric extrapolation)
    -0.14564
  • Calmar ratio (compounded annual return / max draw down)
    -1.31891
  • Compounded annual return / average of 25% largest draw downs
    -1.31891
  • Compounded annual return / Expected Shortfall lognormal
    -10.97870

Strategy Description

We trade a quantified Long pullback strategy on all stocks of the Russel 3000 index. End of day.

We only go long.
Orders are given well before US market opens. (So, you have time enough to manually place orders)
@limitorders are used for the entry and @marketorders for the exit.
We trade 10% of then accountvalue for each stock we trade.

Good to know:
Historically, only 10/15 % of the limitorders are filled. The rest of them expires at the end of the day.
During volatile markets we sometimes can place a lot of orders ( 100)
We use dynamic stops for exiting and do not place stoploss orders in the market.
We only trade at the opening of the market and place our orders well before the opening of the US stock markets.
On some days there are no orders. Then we do nothing.

If you have any questions, please do not hesitate to contact us or visit our website
Best regards,
Team Dutch Volatrader.

Summary Statistics

Strategy began
2017-08-11
Suggested Minimum Capital
$15,000
Rank at C2 
#102
# Trades
192
# Profitable
113
% Profitable
58.9%
Net Dividends
Correlation S&P500
0.408
Sharpe Ratio
-0.39
Sortino Ratio
-0.56
Beta
0.30
Alpha
-0.02
Leverage
0.38 Average
1.20 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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.