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Dutch Volatrader
(113101763)

Created by: DutchVolatrader DutchVolatrader
Started: 08/2017
Stocks
Last trade: 268 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.

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).
-26.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(73.2%)
Max Drawdown
217
Num Trades
51.2%
Win Trades
0.7 : 1
Profit Factor
32.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +4.4%(0.5%)(0.2%)(0.1%)(0.5%)+3.0%
2018(2.9%)+2.3%+3.6%(0.7%)+1.3%+1.7%+10.0%+3.7%+3.7%(9%)(0.1%)(6.7%)+5.5%
2019+0.8%+2.8%(0.7%)+0.5%(3.5%)  -  (2.8%)(5%)(1.1%)+1.6%(3.1%)(0.2%)(10.5%)
2020(5.9%)(2.6%)(60.6%)+1.1%  -    -    -    -    -    -    -        

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. The most recent trade in a real-money brokerage account occurred more than 701 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/9/20 10:03 MTOR MERITOR LONG 111 15.05 3/12 9:57 14.35 0.79%
Trade id #127919293
Max drawdown($77)
Time3/12/20 9:57
Quant open111
Worst price14.35
Drawdown as % of equity-0.79%
($80)
Includes Typical Broker Commissions trade costs of $2.22
3/9/20 9:49 ATH ATHENE HOLDING LTD LONG 55 32.00 3/12 9:33 28.30 1.47%
Trade id #127918573
Max drawdown($194)
Time3/12/20 9:30
Quant open55
Worst price28.46
Drawdown as % of equity-1.47%
($205)
Includes Typical Broker Commissions trade costs of $1.10
3/9/20 9:30 NOV NATIONAL OILWELL VARCO LONG 131 11.68 3/12 9:31 9.66 1.2%
Trade id #127918115
Max drawdown($193)
Time3/11/20 0:00
Quant open131
Worst price10.20
Drawdown as % of equity-1.20%
($268)
Includes Typical Broker Commissions trade costs of $2.62
3/9/20 14:32 MOS MOSAIC LONG 144 12.30 3/12 9:30 10.64 0.94%
Trade id #127928945
Max drawdown($152)
Time3/11/20 0:00
Quant open144
Worst price11.24
Drawdown as % of equity-0.94%
($242)
Includes Typical Broker Commissions trade costs of $2.88
3/9/20 9:30 DVN DEVON ENERGY LONG 154 9.14 3/12 9:30 7.76 1.41%
Trade id #127916545
Max drawdown($203)
Time3/10/20 0:00
Quant open154
Worst price7.82
Drawdown as % of equity-1.41%
($216)
Includes Typical Broker Commissions trade costs of $3.08
3/9/20 10:47 WAL WESTERN ALLIANCE BANCORP LONG 52 34.07 3/12 9:30 29.58 1.07%
Trade id #127920878
Max drawdown($155)
Time3/9/20 14:36
Quant open52
Worst price31.08
Drawdown as % of equity-1.07%
($234)
Includes Typical Broker Commissions trade costs of $1.04
3/9/20 9:32 CXO CONCHO RESOURCES LONG 35 39.80 3/12 9:30 42.20 1.22%
Trade id #127918203
Max drawdown($196)
Time3/9/20 9:59
Quant open35
Worst price34.20
Drawdown as % of equity-1.22%
$83
Includes Typical Broker Commissions trade costs of $0.70
3/9/20 9:30 SLB SCHLUMBERGER LONG 86 17.90 3/12 9:30 15.62 2.67%
Trade id #127917972
Max drawdown($429)
Time3/9/20 9:55
Quant open86
Worst price12.91
Drawdown as % of equity-2.67%
($198)
Includes Typical Broker Commissions trade costs of $1.72
2/25/20 13:54 IRDM IRIDIUM COMMUNICATIONS LONG 89 26.36 3/12 9:30 21.18 1.98%
Trade id #127703912
Max drawdown($320)
Time3/11/20 0:00
Quant open89
Worst price22.75
Drawdown as % of equity-1.98%
($463)
Includes Typical Broker Commissions trade costs of $1.78
3/9/20 9:31 AA ALCOA LONG 187 9.47 3/12 9:30 8.35 1.77%
Trade id #127918153
Max drawdown($233)
Time3/12/20 9:30
Quant open187
Worst price8.22
Drawdown as % of equity-1.77%
($213)
Includes Typical Broker Commissions trade costs of $3.74
3/9/20 9:30 GTLS CHART INDUSTRIES LONG 41 42.96 3/12 9:30 28.47 4.27%
Trade id #127917974
Max drawdown($564)
Time3/12/20 9:30
Quant open41
Worst price29.19
Drawdown as % of equity-4.27%
($595)
Includes Typical Broker Commissions trade costs of $0.82
3/9/20 10:01 WLK WESTLAKE CHEMICAL LONG 40 43.94 3/12 9:30 35.29 2.61%
Trade id #127919215
Max drawdown($346)
Time3/12/20 9:30
Quant open40
Worst price35.29
Drawdown as % of equity-2.61%
($347)
Includes Typical Broker Commissions trade costs of $0.80
3/9/20 15:53 NXST NEXSTAR MEDIA GROUP LONG 21 84.07 3/12 9:30 75.57 0.53%
Trade id #127931505
Max drawdown($85)
Time3/11/20 0:00
Quant open21
Worst price80.00
Drawdown as % of equity-0.53%
($179)
Includes Typical Broker Commissions trade costs of $0.42
3/9/20 9:30 CDLX CARDLYTICS INC. COMMON STOCK LONG 43 41.00 3/12 9:30 39.04 0.8%
Trade id #127916548
Max drawdown($105)
Time3/12/20 9:30
Quant open43
Worst price38.55
Drawdown as % of equity-0.80%
($85)
Includes Typical Broker Commissions trade costs of $0.86
3/9/20 9:51 NCLH NORWEGIAN CRUISE LINE HOLDINGS LONG 76 23.31 3/12 9:30 11.49 7.07%
Trade id #127918701
Max drawdown($935)
Time3/12/20 9:30
Quant open76
Worst price11.00
Drawdown as % of equity-7.07%
($900)
Includes Typical Broker Commissions trade costs of $1.52
3/9/20 15:50 CWH CAMPING WORLD HOLDINGS INC LONG 203 8.71 3/12 9:30 6.51 1.63%
Trade id #127931339
Max drawdown($264)
Time3/11/20 0:00
Quant open203
Worst price7.41
Drawdown as % of equity-1.63%
($451)
Includes Typical Broker Commissions trade costs of $4.06
3/9/20 9:50 NTNX NUTANIX INC. CLASS A COMMON STOCK LONG 102 17.41 3/12 9:30 14.30 1.19%
Trade id #127918611
Max drawdown($192)
Time3/11/20 0:00
Quant open102
Worst price15.52
Drawdown as % of equity-1.19%
($319)
Includes Typical Broker Commissions trade costs of $2.04
3/9/20 9:30 EOG EOG RESOURCES LONG 37 38.29 3/12 9:30 35.19 0.78%
Trade id #127918003
Max drawdown($125)
Time3/9/20 10:05
Quant open37
Worst price34.89
Drawdown as % of equity-0.78%
($116)
Includes Typical Broker Commissions trade costs of $0.74
3/9/20 10:59 AIG AMERICAN INTERNATIONAL LONG 54 32.53 3/12 9:30 29.66 1.17%
Trade id #127921254
Max drawdown($154)
Time3/12/20 9:30
Quant open54
Worst price29.66
Drawdown as % of equity-1.17%
($156)
Includes Typical Broker Commissions trade costs of $1.08
3/9/20 9:30 FANG DIAMONDBACK ENERGY INC LONG 42 29.50 3/12 9:30 23.66 1.6%
Trade id #127918058
Max drawdown($257)
Time3/9/20 9:59
Quant open42
Worst price23.37
Drawdown as % of equity-1.60%
($246)
Includes Typical Broker Commissions trade costs of $0.84
3/9/20 9:49 UAA UNDER ARMOUR LONG 163 10.81 3/12 9:30 10.62 0.51%
Trade id #127918587
Max drawdown($66)
Time3/12/20 9:30
Quant open163
Worst price10.40
Drawdown as % of equity-0.51%
($34)
Includes Typical Broker Commissions trade costs of $3.26
3/9/20 9:30 HAL HALLIBURTON LONG 157 9.74 3/9 15:19 8.00 1.97%
Trade id #127918056
Max drawdown($288)
Time3/9/20 15:11
Quant open157
Worst price7.90
Drawdown as % of equity-1.97%
($276)
Includes Typical Broker Commissions trade costs of $3.14
3/9/20 9:33 APY APERGY CORP LONG 133 12.91 3/9 15:19 9.21 3.13%
Trade id #127918229
Max drawdown($493)
Time3/9/20 13:57
Quant open133
Worst price9.20
Drawdown as % of equity-3.13%
($495)
Includes Typical Broker Commissions trade costs of $2.66
3/9/20 9:30 TRGP TARGA RESOURCES LONG 74 21.35 3/9 15:18 14.19 3.72%
Trade id #127918057
Max drawdown($543)
Time3/9/20 14:49
Quant open74
Worst price14.00
Drawdown as % of equity-3.72%
($531)
Includes Typical Broker Commissions trade costs of $1.48
2/26/20 13:38 SEAS SEAWORLD ENTERTAINMENT INC LONG 86 26.96 3/9 15:18 16.69 5.65%
Trade id #127726020
Max drawdown($891)
Time3/9/20 13:59
Quant open86
Worst price16.59
Drawdown as % of equity-5.65%
($885)
Includes Typical Broker Commissions trade costs of $1.72
2/25/20 13:48 ERI ELDORADO RESORTS INC. COMMON LONG 41 57.73 3/9 15:18 27.04 9.06%
Trade id #127703783
Max drawdown($1,325)
Time3/9/20 14:51
Quant open41
Worst price25.39
Drawdown as % of equity-9.06%
($1,259)
Includes Typical Broker Commissions trade costs of $0.82
2/24/20 9:30 RCL ROYAL CARIBBEAN GROUP LONG 24 99.95 3/9 12:55 49.29 7.7%
Trade id #127676362
Max drawdown($1,262)
Time3/9/20 11:14
Quant open24
Worst price47.36
Drawdown as % of equity-7.70%
($1,216)
Includes Typical Broker Commissions trade costs of $0.48
2/21/20 10:37 OIS OIL STATES INTERNATIONAL LONG 255 9.55 3/9 12:55 3.27 9.86%
Trade id #127637714
Max drawdown($1,616)
Time3/9/20 11:14
Quant open255
Worst price3.21
Drawdown as % of equity-9.86%
($1,606)
Includes Typical Broker Commissions trade costs of $5.10
2/24/20 10:37 PPC PILGRIMS PRIDE CORPORATION COM LONG 106 22.85 3/9 10:47 21.12 1.22%
Trade id #127678673
Max drawdown($277)
Time2/28/20 0:00
Quant open106
Worst price20.23
Drawdown as % of equity-1.22%
($185)
Includes Typical Broker Commissions trade costs of $2.12
3/6/20 12:20 HP HELMERICH & PAYNE LONG 81 27.58 3/9 10:47 22.72 4.56%
Trade id #127893823
Max drawdown($735)
Time3/9/20 9:55
Quant open81
Worst price18.50
Drawdown as % of equity-4.56%
($396)
Includes Typical Broker Commissions trade costs of $1.62

Statistics

  • Strategy began
    8/11/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1205.39
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    217
  • # Profitable
    111
  • % Profitable
    51.20%
  • Avg trade duration
    12.2 days
  • Max peak-to-valley drawdown
    73.23%
  • drawdown period
    Sept 21, 2018 - March 12, 2020
  • Annual Return (Compounded)
    -26.9%
  • Avg win
    $207.35
  • Avg loss
    $327.56
  • Model Account Values (Raw)
  • Cash
    $13,629
  • Margin Used
    $0
  • Buying Power
    $13,629
  • Ratios
  • W:L ratio
    0.68:1
  • Sharpe Ratio
    -1.12
  • Sortino Ratio
    -1.17
  • Calmar Ratio
    -0.329
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -113.57%
  • Correlation to SP500
    0.24290
  • Return Percent SP500 (cumu) during strategy life
    51.52%
  • Return Statistics
  • Ann Return (w trading costs)
    -26.9%
  • Slump
  • Current Slump as Pcnt Equity
    269.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.66%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.269%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -16.7%
  • 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)
    358
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    1
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $328
  • Avg Win
    $207
  • Sum Trade PL (losers)
    $34,721.000
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $23,016.000
  • # Winners
    111
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    334
  • Win / Loss
  • # Losers
    106
  • % Winners
    51.1%
  • Frequency
  • Avg Position Time (mins)
    17615.10
  • Avg Position Time (hrs)
    293.59
  • Avg Trade Length
    12.2 days
  • Last Trade Ago
    262
  • Leverage
  • Daily leverage (average)
    0.41
  • Daily leverage (max)
    3.54
  • Regression
  • Alpha
    -0.09
  • Beta
    0.24
  • Treynor Index
    -0.35
  • 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)
    -0.55
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -4.876
  • 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
    0.560
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.445
  • Hold-and-Hope Ratio
    -0.205
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17386
  • SD
    0.33144
  • Sharpe ratio (Glass type estimate)
    -0.52455
  • Sharpe ratio (Hedges UMVUE)
    -0.51174
  • df
    31.00000
  • t
    -0.85659
  • p
    0.80088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72766
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68685
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69523
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54531
  • Upside Potential Ratio
    0.48125
  • Upside part of mean
    0.15344
  • Downside part of mean
    -0.32730
  • Upside SD
    0.08539
  • Downside SD
    0.31883
  • N nonnegative terms
    15.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.12459
  • Mean of criterion
    -0.17386
  • SD of predictor
    0.20218
  • SD of criterion
    0.33144
  • Covariance
    0.02860
  • r
    0.42681
  • b (slope, estimate of beta)
    0.69970
  • a (intercept, estimate of alpha)
    -0.26104
  • Mean Square Error
    0.09284
  • DF error
    30.00000
  • t(b)
    2.58498
  • p(b)
    0.00742
  • t(a)
    -1.37670
  • p(a)
    0.91060
  • Lowerbound of 95% confidence interval for beta
    0.14690
  • Upperbound of 95% confidence interval for beta
    1.25250
  • Lowerbound of 95% confidence interval for alpha
    -0.64827
  • Upperbound of 95% confidence interval for alpha
    0.12620
  • Treynor index (mean / b)
    -0.24848
  • Jensen alpha (a)
    -0.26104
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25464
  • SD
    0.44807
  • Sharpe ratio (Glass type estimate)
    -0.56829
  • Sharpe ratio (Hedges UMVUE)
    -0.55441
  • df
    31.00000
  • t
    -0.92802
  • p
    0.81972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64466
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76255
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65372
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57958
  • Upside Potential Ratio
    0.34046
  • Upside part of mean
    0.14958
  • Downside part of mean
    -0.40422
  • Upside SD
    0.08289
  • Downside SD
    0.43935
  • N nonnegative terms
    15.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.10552
  • Mean of criterion
    -0.25464
  • SD of predictor
    0.19087
  • SD of criterion
    0.44807
  • Covariance
    0.03998
  • r
    0.46747
  • b (slope, estimate of beta)
    1.09736
  • a (intercept, estimate of alpha)
    -0.37043
  • Mean Square Error
    0.16213
  • DF error
    30.00000
  • t(b)
    2.89636
  • p(b)
    0.00349
  • t(a)
    -1.48295
  • p(a)
    0.92574
  • Lowerbound of 95% confidence interval for beta
    0.32359
  • Upperbound of 95% confidence interval for beta
    1.87113
  • Lowerbound of 95% confidence interval for alpha
    -0.88057
  • Upperbound of 95% confidence interval for alpha
    0.13971
  • Treynor index (mean / b)
    -0.23204
  • Jensen alpha (a)
    -0.37043
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20862
  • Expected Shortfall on VaR
    0.24941
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06316
  • Expected Shortfall on VaR
    0.14251
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.49344
  • Quartile 1
    0.97929
  • Median
    1.00143
  • Quartile 3
    1.01965
  • Maximum
    1.06997
  • Mean of quarter 1
    0.90617
  • Mean of quarter 2
    0.98946
  • Mean of quarter 3
    1.00870
  • Mean of quarter 4
    1.04703
  • Inter Quartile Range
    0.04036
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03125
  • Mean of outliers low
    0.49344
  • 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)
    0.94384
  • VaR(95%) (moments method)
    0.08403
  • Expected Shortfall (moments method)
    1.44704
  • Extreme Value Index (regression method)
    0.95134
  • VaR(95%) (regression method)
    0.04594
  • Expected Shortfall (regression method)
    0.62124
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01605
  • Quartile 1
    0.01609
  • Median
    0.01612
  • Quartile 3
    0.30663
  • Maximum
    0.59713
  • Mean of quarter 1
    0.01605
  • Mean of quarter 2
    0.01612
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.59713
  • Inter Quartile Range
    0.29054
  • 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)
    -0.17014
  • Compounded annual return (geometric extrapolation)
    -0.20286
  • Calmar ratio (compounded annual return / max draw down)
    -0.33973
  • Compounded annual return / average of 25% largest draw downs
    -0.33973
  • Compounded annual return / Expected Shortfall lognormal
    -0.81337
  • 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
    -0.23003
  • SD
    0.19716
  • Sharpe ratio (Glass type estimate)
    -1.16671
  • Sharpe ratio (Hedges UMVUE)
    -1.16547
  • df
    708.00000
  • t
    -1.91926
  • p
    0.97232
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.02669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02752
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.24133
  • Upside Potential Ratio
    2.23956
  • Upside part of mean
    0.41502
  • Downside part of mean
    -0.64505
  • Upside SD
    0.06841
  • Downside SD
    0.18531
  • N nonnegative terms
    279.00000
  • N negative terms
    430.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    709.00000
  • Mean of predictor
    0.13699
  • Mean of criterion
    -0.23003
  • SD of predictor
    0.24824
  • SD of criterion
    0.19716
  • Covariance
    0.01352
  • r
    0.27621
  • b (slope, estimate of beta)
    0.21938
  • a (intercept, estimate of alpha)
    -0.26000
  • Mean Square Error
    0.03596
  • DF error
    707.00000
  • t(b)
    7.64166
  • p(b)
    -0.00000
  • t(a)
    -2.25494
  • p(a)
    0.98778
  • Lowerbound of 95% confidence interval for beta
    0.16302
  • Upperbound of 95% confidence interval for beta
    0.27574
  • Lowerbound of 95% confidence interval for alpha
    -0.48653
  • Upperbound of 95% confidence interval for alpha
    -0.03363
  • Treynor index (mean / b)
    -1.04855
  • Jensen alpha (a)
    -0.26009
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25133
  • SD
    0.21088
  • Sharpe ratio (Glass type estimate)
    -1.19183
  • Sharpe ratio (Hedges UMVUE)
    -1.19056
  • df
    708.00000
  • t
    -1.96059
  • p
    0.97484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.38449
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00164
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.38363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00250
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.25557
  • Upside Potential Ratio
    2.06154
  • Upside part of mean
    0.41267
  • Downside part of mean
    -0.66400
  • Upside SD
    0.06767
  • Downside SD
    0.20017
  • N nonnegative terms
    279.00000
  • N negative terms
    430.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    709.00000
  • Mean of predictor
    0.10620
  • Mean of criterion
    -0.25133
  • SD of predictor
    0.24822
  • SD of criterion
    0.21088
  • Covariance
    0.01517
  • r
    0.28976
  • b (slope, estimate of beta)
    0.24617
  • a (intercept, estimate of alpha)
    -0.27748
  • Mean Square Error
    0.04079
  • DF error
    707.00000
  • t(b)
    8.04993
  • p(b)
    -0.00000
  • t(a)
    -2.25916
  • p(a)
    0.98791
  • Lowerbound of 95% confidence interval for beta
    0.18613
  • Upperbound of 95% confidence interval for beta
    0.30621
  • Lowerbound of 95% confidence interval for alpha
    -0.51862
  • Upperbound of 95% confidence interval for alpha
    -0.03634
  • Treynor index (mean / b)
    -1.02098
  • Jensen alpha (a)
    -0.27748
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02214
  • Expected Shortfall on VaR
    0.02744
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00618
  • Expected Shortfall on VaR
    0.01425
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    709.00000
  • Minimum
    0.79955
  • Quartile 1
    0.99890
  • Median
    1.00000
  • Quartile 3
    1.00158
  • Maximum
    1.04769
  • Mean of quarter 1
    0.99063
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00043
  • Mean of quarter 4
    1.00609
  • Inter Quartile Range
    0.00268
  • Number outliers low
    80.00000
  • Percentage of outliers low
    0.11284
  • Mean of outliers low
    0.98243
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.08886
  • Mean of outliers high
    1.01132
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82017
  • VaR(95%) (moments method)
    0.00658
  • Expected Shortfall (moments method)
    0.04073
  • Extreme Value Index (regression method)
    0.54203
  • VaR(95%) (regression method)
    0.00670
  • Expected Shortfall (regression method)
    0.01809
  • 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
    0.60832
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00272
  • Mean of quarter 3
    0.00660
  • Mean of quarter 4
    0.14350
  • 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
    0.32314
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.25221
  • VaR(95%) (moments method)
    0.10529
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.22680
  • VaR(95%) (regression method)
    0.12971
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.16766
  • Compounded annual return (geometric extrapolation)
    -0.20022
  • Calmar ratio (compounded annual return / max draw down)
    -0.32915
  • Compounded annual return / average of 25% largest draw downs
    -1.39532
  • Compounded annual return / Expected Shortfall lognormal
    -7.29749
  • 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
    -1.44374
  • SD
    0.40270
  • Sharpe ratio (Glass type estimate)
    -3.58513
  • Sharpe ratio (Hedges UMVUE)
    -3.56441
  • df
    130.00000
  • t
    -2.53507
  • p
    0.60852
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.38427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.77268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.36987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75895
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.52733
  • Upside Potential Ratio
    0.48856
  • Upside part of mean
    0.19997
  • Downside part of mean
    -1.64371
  • Upside SD
    0.03687
  • Downside SD
    0.40930
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35078
  • Mean of criterion
    -1.44374
  • SD of predictor
    0.49389
  • SD of criterion
    0.40270
  • Covariance
    0.04987
  • r
    0.25073
  • b (slope, estimate of beta)
    0.20444
  • a (intercept, estimate of alpha)
    -1.51546
  • Mean Square Error
    0.15315
  • DF error
    129.00000
  • t(b)
    2.94174
  • p(b)
    0.34207
  • t(a)
    -2.73556
  • p(a)
    0.64770
  • Lowerbound of 95% confidence interval for beta
    0.06694
  • Upperbound of 95% confidence interval for beta
    0.34193
  • Lowerbound of 95% confidence interval for alpha
    -2.61153
  • Upperbound of 95% confidence interval for alpha
    -0.41938
  • Treynor index (mean / b)
    -7.06204
  • Jensen alpha (a)
    -1.51546
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.53793
  • SD
    0.43822
  • Sharpe ratio (Glass type estimate)
    -3.50952
  • Sharpe ratio (Hedges UMVUE)
    -3.48924
  • df
    130.00000
  • t
    -2.48161
  • p
    0.60634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.30737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.69861
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.29330
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68517
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.45406
  • Upside Potential Ratio
    0.44754
  • Upside part of mean
    0.19927
  • Downside part of mean
    -1.73721
  • Upside SD
    0.03667
  • Downside SD
    0.44526
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22979
  • Mean of criterion
    -1.53793
  • SD of predictor
    0.49356
  • SD of criterion
    0.43822
  • Covariance
    0.05819
  • r
    0.26905
  • b (slope, estimate of beta)
    0.23888
  • a (intercept, estimate of alpha)
    -1.59283
  • Mean Square Error
    0.17951
  • DF error
    129.00000
  • t(b)
    3.17284
  • p(b)
    0.33081
  • t(a)
    -2.65719
  • p(a)
    0.64376
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.08992
  • Upperbound of 95% confidence interval for beta
    0.38785
  • Lowerbound of 95% confidence interval for alpha
    -2.77883
  • Upperbound of 95% confidence interval for alpha
    -0.40682
  • Treynor index (mean / b)
    -6.43800
  • Jensen alpha (a)
    -1.59283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04915
  • Expected Shortfall on VaR
    0.05980
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01805
  • Expected Shortfall on VaR
    0.04015
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.79955
  • Quartile 1
    0.99897
  • Median
    1.00000
  • Quartile 3
    1.00022
  • Maximum
    1.01700
  • Mean of quarter 1
    0.97557
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00314
  • Inter Quartile Range
    0.00125
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.18321
  • Mean of outliers low
    0.96708
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.00498
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.46891
  • VaR(95%) (moments method)
    0.01490
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.04974
  • VaR(95%) (regression method)
    0.01774
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.53381
  • Quartile 1
    0.53381
  • Median
    0.53381
  • Quartile 3
    0.53381
  • Maximum
    0.53381
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -304411000
  • Max Equity Drawdown (num days)
    538
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.05999
  • Compounded annual return (geometric extrapolation)
    -0.77910
  • Calmar ratio (compounded annual return / max draw down)
    -1.45951
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -13.02810

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
# Trades
217
# Profitable
111
% Profitable
51.2%
Net Dividends
Correlation S&P500
0.243
Sharpe Ratio
-1.12
Sortino Ratio
-1.17
Beta
0.24
Alpha
-0.09
Leverage
0.41 Average
3.54 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.