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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 09/07/2021
Most recent certification approved 9/7/21 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 3,513
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 3,513
Percent signals followed since 09/07/2021 100%
This information was last updated 10/31/24 19:53 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 09/07/2021, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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)

Powered by BrokerTransmit.
Read important disclosures.

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 $50.00 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).
9.5%
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.

(25.3%)
Max Drawdown
3872
Num Trades
59.6%
Win Trades
1.3 : 1
Profit Factor
62.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                            (0.4%)+7.3%(1%)(1.6%)+1.3%+5.3%+3.5%+1.2%+16.2%
2014(0.6%)(1.1%)+1.8%+7.9%(0.5%)(0.2%)(1.7%)+1.6%+0.7%+2.0%+0.9%+2.1%+13.5%
2015+2.7%+0.2%+1.4%  -  +1.6%+2.2%+4.0%(1.2%)+2.4%(1.2%)+0.4%+1.0%+14.2%
2016+0.3%+2.0%+0.7%+0.7%+0.9%(1.1%)+1.0%+0.3%+0.9%+0.5%+1.9%(1.2%)+7.0%
2017+1.9%+1.6%+1.0%  -  (3.9%)+0.6%(0.1%)+0.5%+0.1%(0.4%)+0.3%+2.3%+4.0%
2018(2%)(4.6%)+1.3%  -  (0.3%)(2.5%)+0.9%+0.6%+1.4%(2.2%)+0.7%(0.3%)(7%)
2019+0.1%(0.5%)+3.5%+1.5%(8.2%)+2.8%(0.6%)+0.7%(1.4%)(1.3%)+1.9%+2.3%+0.3%
2020(6.1%)(4.8%)+11.6%+2.1%+4.8%+5.5%+5.7%+4.2%+7.3%+3.3%+7.7%+8.5%+60.6%
2021(3.4%)+6.1%+4.4%+0.1%+3.5%(2.2%)(2.5%)+0.8%(2.9%)+5.7%(2.3%)+7.0%+14.3%
2022(7.3%)+0.6%+4.4%(8.5%)+8.6%(11.2%)+2.4%(0.7%)(1.9%)+5.5%+6.4%(4.6%)(8.2%)
2023+6.5%(4.2%)(6.9%)(1.7%)(2.8%)+10.5%+8.6%+0.2%(2.4%)+0.9%+1.6%+0.3%+9.6%
2024+4.8%+5.9%+1.8%(0.9%)(2.2%)+1.1%(0.5%)(9.4%)+0.8%(2.9%)            (2.3%)

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.

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

Trading Record

This strategy has placed 6,848 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/23/24 14:06 BLDR BUILDERS FIRSTSOURCE LONG 30 178.41 10/28 9:36 185.76 0.04%
Trade id #149810110
Max drawdown($22)
Time10/24/24 0:00
Quant open30
Worst price177.67
Drawdown as % of equity-0.04%
$220
Includes Typical Broker Commissions trade costs of $0.60
10/1/24 13:24 FSLR FIRST SOLAR INC LONG 23 239.12 10/28 9:30 203.90 1.96%
Trade id #149552784
Max drawdown($1,111)
Time10/23/24 0:00
Quant open23
Worst price190.81
Drawdown as % of equity-1.96%
($810)
Includes Typical Broker Commissions trade costs of $0.46
10/15/24 10:14 AMD ADVANCED MICRO DEVICES INC. C LONG 35 159.47 10/25 9:42 157.02 0.55%
Trade id #149662798
Max drawdown($313)
Time10/23/24 0:00
Quant open35
Worst price150.52
Drawdown as % of equity-0.55%
($87)
Includes Typical Broker Commissions trade costs of $0.70
10/2/24 9:30 TSLA TESLA INC. LONG 22 248.32 10/24 9:30 245.09 1.41%
Trade id #149558592
Max drawdown($796)
Time10/23/24 0:00
Quant open22
Worst price212.11
Drawdown as % of equity-1.41%
($71)
Includes Typical Broker Commissions trade costs of $0.44
10/14/24 9:37 PDD PINDUODUO INC. ADS LONG 40 137.94 10/22 9:48 129.18 1.1%
Trade id #149651704
Max drawdown($624)
Time10/17/24 0:00
Quant open40
Worst price122.32
Drawdown as % of equity-1.10%
($351)
Includes Typical Broker Commissions trade costs of $0.80
10/16/24 9:46 PLTR PALANTIR TECHNOLOGIES INC LONG 133 40.95 10/21 9:30 42.97 0.14%
Trade id #149673090
Max drawdown($77)
Time10/16/24 10:09
Quant open133
Worst price40.36
Drawdown as % of equity-0.14%
$266
Includes Typical Broker Commissions trade costs of $2.66
10/16/24 9:42 UAL UNITED AIRLINES HOLDINGS INC SHORT 21 68.85 10/21 9:30 73.70 0.23%
Trade id #149673011
Max drawdown($128)
Time10/18/24 0:00
Quant open21
Worst price74.95
Drawdown as % of equity-0.23%
($102)
Includes Typical Broker Commissions trade costs of $0.42
10/8/24 9:34 TSX.FM FIRST QUANTUM MINERALS LONG 355 CAD 17.98 10/21 9:30 CAD 18.32 n/a $74
Includes Typical Broker Commissions trade costs of $12.88
9/9/24 9:31 MO ALTRIA LONG 46 53.79 10/14 9:30 49.69 0.35%
Trade id #149321538
Max drawdown($199)
Time10/8/24 0:00
Quant open46
Worst price49.46
Drawdown as % of equity-0.35%
($190)
Includes Typical Broker Commissions trade costs of $0.92
6/24/24 9:30 AXP AMERICAN EXPRESS LONG 9 231.61 10/14 9:30 275.90 0.14%
Trade id #148481950
Max drawdown($86)
Time8/5/24 0:00
Quant open9
Worst price222.03
Drawdown as % of equity-0.14%
$399
Includes Typical Broker Commissions trade costs of $0.18
10/9/24 11:15 PLTR PALANTIR TECHNOLOGIES INC SHORT 128 43.09 10/11 12:26 43.18 0.29%
Trade id #149617292
Max drawdown($164)
Time10/11/24 9:42
Quant open128
Worst price44.38
Drawdown as % of equity-0.29%
($14)
Includes Typical Broker Commissions trade costs of $2.56
7/29/24 9:30 CL COLGATE-PALMOLIVE LONG 20 100.77 10/8 9:35 98.10 0.1%
Trade id #148761999
Max drawdown($57)
Time10/8/24 9:34
Quant open20
Worst price97.92
Drawdown as % of equity-0.10%
($53)
Includes Typical Broker Commissions trade costs of $0.40
10/3/24 10:52 VST VISTRA CORP SHORT 10 134.78 10/7 13:05 132.44 0.16%
Trade id #149569308
Max drawdown($90)
Time10/7/24 9:30
Quant open10
Worst price143.87
Drawdown as % of equity-0.16%
$23
Includes Typical Broker Commissions trade costs of $0.20
9/25/24 15:22 CCL CARNIVAL LONG 302 18.07 10/7 9:51 18.16 0.51%
Trade id #149507128
Max drawdown($292)
Time10/3/24 0:00
Quant open302
Worst price17.11
Drawdown as % of equity-0.51%
$21
Includes Typical Broker Commissions trade costs of $6.04
10/1/24 10:06 NCLH NORWEGIAN CRUISE LINE HOLDINGS LONG 278 19.79 10/4 9:46 20.47 0.24%
Trade id #149549450
Max drawdown($141)
Time10/3/24 0:00
Quant open278
Worst price19.28
Drawdown as % of equity-0.24%
$184
Includes Typical Broker Commissions trade costs of $5.56
9/18/24 9:30 RMD RESMED LONG 22 234.63 9/30 9:37 246.99 0.03%
Trade id #149427013
Max drawdown($14)
Time9/18/24 9:35
Quant open22
Worst price233.96
Drawdown as % of equity-0.03%
$272
Includes Typical Broker Commissions trade costs of $0.44
9/26/24 11:44 UAL UNITED AIRLINES HOLDINGS INC SHORT 24 58.17 9/30 9:30 57.77 0.09%
Trade id #149515135
Max drawdown($49)
Time9/27/24 0:00
Quant open24
Worst price60.23
Drawdown as % of equity-0.09%
$9
Includes Typical Broker Commissions trade costs of $0.48
9/25/24 14:05 TECH BIO-TECHNE CORP COMMON STOCK LONG 73 74.71 9/26 9:46 78.75 0.02%
Trade id #149506396
Max drawdown($10)
Time9/25/24 14:18
Quant open73
Worst price74.57
Drawdown as % of equity-0.02%
$294
Includes Typical Broker Commissions trade costs of $1.46
9/17/24 9:31 GEV GE VERNOVA INC SHORT 6 239.34 9/26 9:35 255.78 0.2%
Trade id #149417794
Max drawdown($115)
Time9/26/24 9:31
Quant open6
Worst price258.64
Drawdown as % of equity-0.20%
($99)
Includes Typical Broker Commissions trade costs of $0.12
9/16/24 9:32 BLDR BUILDERS FIRSTSOURCE SHORT 36 191.28 9/23 9:30 199.00 0.74%
Trade id #149400563
Max drawdown($420)
Time9/19/24 0:00
Quant open29
Worst price203.14
Drawdown as % of equity-0.74%
($279)
Includes Typical Broker Commissions trade costs of $0.72
9/19/24 9:30 PHM PULTEGROUP SHORT 37 145.24 9/20 15:49 141.01 0%
Trade id #149453025
Max drawdown($2)
Time9/19/24 15:57
Quant open37
Worst price145.31
Drawdown as % of equity-0.00%
$156
Includes Typical Broker Commissions trade costs of $0.74
9/19/24 9:30 BBWI BATH & BODY WORKS INC SHORT 223 30.70 9/20 9:33 29.72 0.08%
Trade id #149453016
Max drawdown($48)
Time9/19/24 9:38
Quant open223
Worst price30.92
Drawdown as % of equity-0.08%
$215
Includes Typical Broker Commissions trade costs of $4.46
9/12/24 9:30 DAL DELTA AIR LINES SHORT 31 46.29 9/20 9:33 46.90 0.09%
Trade id #149369248
Max drawdown($52)
Time9/18/24 0:00
Quant open31
Worst price47.97
Drawdown as % of equity-0.09%
($20)
Includes Typical Broker Commissions trade costs of $0.62
9/18/24 14:01 DLTR DOLLAR TREE STORES SHORT 91 75.85 9/20 9:30 73.68 0.18%
Trade id #149440850
Max drawdown($102)
Time9/19/24 0:00
Quant open91
Worst price76.98
Drawdown as % of equity-0.18%
$196
Includes Typical Broker Commissions trade costs of $1.82
9/13/24 10:36 UAL UNITED AIRLINES HOLDINGS INC SHORT 132 51.58 9/19 15:34 52.65 0.66%
Trade id #149383659
Max drawdown($375)
Time9/18/24 0:00
Quant open132
Worst price54.43
Drawdown as % of equity-0.66%
($143)
Includes Typical Broker Commissions trade costs of $2.64
9/17/24 10:07 PODD INSULET SHORT 29 241.38 9/18 9:55 234.02 0.13%
Trade id #149418651
Max drawdown($75)
Time9/17/24 10:20
Quant open29
Worst price243.98
Drawdown as % of equity-0.13%
$212
Includes Typical Broker Commissions trade costs of $0.58
9/16/24 9:33 ORCL ORACLE CORP SHORT 41 167.19 9/18 9:31 167.28 0.49%
Trade id #149400665
Max drawdown($278)
Time9/16/24 12:35
Quant open41
Worst price173.99
Drawdown as % of equity-0.49%
($4)
Includes Typical Broker Commissions trade costs of $0.82
9/3/24 9:48 FMC FMC LONG 96 62.34 9/12 14:15 62.06 0.49%
Trade id #149205212
Max drawdown($275)
Time9/11/24 0:00
Quant open96
Worst price59.48
Drawdown as % of equity-0.49%
($29)
Includes Typical Broker Commissions trade costs of $1.92
9/3/24 14:02 HWM HOWMET AEROSPACE INC LONG 64 93.28 9/12 10:32 94.86 0.29%
Trade id #149234888
Max drawdown($164)
Time9/6/24 0:00
Quant open64
Worst price90.72
Drawdown as % of equity-0.29%
$99
Includes Typical Broker Commissions trade costs of $1.28
8/23/24 12:43 MU MICRON TECHNOLOGY LONG 60 100.58 9/11 13:48 88.91 1.67%
Trade id #149021641
Max drawdown($942)
Time9/10/24 0:00
Quant open60
Worst price84.87
Drawdown as % of equity-1.67%
($702)
Includes Typical Broker Commissions trade costs of $1.20

Statistics

  • Strategy began
    5/28/2013
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    4174.36
  • Age
    139 months ago
  • What it trades
    Stocks
  • # Trades
    3872
  • # Profitable
    2308
  • % Profitable
    59.60%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    25.33%
  • drawdown period
    Jan 05, 2022 - July 13, 2022
  • Annual Return (Compounded)
    9.5%
  • Avg win
    $97.45
  • Avg loss
    $111.29
  • Model Account Values (Raw)
  • Cash
    $45,325
  • Margin Used
    $0
  • Buying Power
    $45,577
  • Ratios
  • W:L ratio
    1.31:1
  • Sharpe Ratio
    0.57
  • Sortino Ratio
    0.83
  • Calmar Ratio
    0.92
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -61.47%
  • Correlation to SP500
    0.31860
  • Return Percent SP500 (cumu) during strategy life
    243.69%
  • Return Statistics
  • Ann Return (w trading costs)
    9.5%
  • Slump
  • Current Slump as Pcnt Equity
    16.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    130.370%
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.095%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    12.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.00%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    8.43%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    746
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    425
  • Popularity (7 days, Percentile 1000 scale)
    352
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $111
  • Avg Win
    $97
  • Sum Trade PL (losers)
    $174,052.000
  • Age
  • Num Months filled monthly returns table
    138
  • Win / Loss
  • Sum Trade PL (winners)
    $224,907.000
  • # Winners
    2308
  • Num Months Winners
    88
  • Dividends
  • Dividends Received in Model Acct
    3246
  • AUM
  • AUM (AutoTrader live capital)
    68065
  • Win / Loss
  • # Losers
    1564
  • % Winners
    59.6%
  • Frequency
  • Avg Position Time (mins)
    12977.50
  • Avg Position Time (hrs)
    216.29
  • Avg Trade Length
    9.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.60
  • Daily leverage (max)
    3.29
  • Regression
  • Alpha
    0.02
  • Beta
    0.21
  • Treynor Index
    0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    49.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    90.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    15.097
  • 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
    0.640
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.790
  • Hold-and-Hope Ratio
    0.066
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09195
  • SD
    0.08965
  • Sharpe ratio (Glass type estimate)
    1.02565
  • Sharpe ratio (Hedges UMVUE)
    1.01994
  • df
    135.00000
  • t
    3.45284
  • p
    0.32114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42896
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61873
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61471
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70280
  • Upside Potential Ratio
    2.93691
  • Upside part of mean
    0.15859
  • Downside part of mean
    -0.06664
  • Upside SD
    0.07594
  • Downside SD
    0.05400
  • N nonnegative terms
    90.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    136.00000
  • Mean of predictor
    0.09180
  • Mean of criterion
    0.09195
  • SD of predictor
    0.13202
  • SD of criterion
    0.08965
  • Covariance
    0.00391
  • r
    0.33077
  • b (slope, estimate of beta)
    0.22462
  • a (intercept, estimate of alpha)
    0.07133
  • Mean Square Error
    0.00721
  • DF error
    134.00000
  • t(b)
    4.05734
  • p(b)
    0.33461
  • t(a)
    2.77208
  • p(a)
    0.38356
  • Lowerbound of 95% confidence interval for beta
    0.11513
  • Upperbound of 95% confidence interval for beta
    0.33412
  • Lowerbound of 95% confidence interval for alpha
    0.02044
  • Upperbound of 95% confidence interval for alpha
    0.12222
  • Treynor index (mean / b)
    0.40935
  • Jensen alpha (a)
    0.07133
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08743
  • SD
    0.08956
  • Sharpe ratio (Glass type estimate)
    0.97627
  • Sharpe ratio (Hedges UMVUE)
    0.97084
  • df
    135.00000
  • t
    3.28662
  • p
    0.32888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37724
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56444
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56478
  • Upside Potential Ratio
    2.78197
  • Upside part of mean
    0.15544
  • Downside part of mean
    -0.06801
  • Upside SD
    0.07400
  • Downside SD
    0.05587
  • N nonnegative terms
    90.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    136.00000
  • Mean of predictor
    0.08244
  • Mean of criterion
    0.08743
  • SD of predictor
    0.13447
  • SD of criterion
    0.08956
  • Covariance
    0.00402
  • r
    0.33353
  • b (slope, estimate of beta)
    0.22213
  • a (intercept, estimate of alpha)
    0.06912
  • Mean Square Error
    0.00718
  • DF error
    134.00000
  • t(b)
    4.09539
  • p(b)
    0.33324
  • t(a)
    2.70352
  • p(a)
    0.38629
  • Lowerbound of 95% confidence interval for beta
    0.11486
  • Upperbound of 95% confidence interval for beta
    0.32941
  • Lowerbound of 95% confidence interval for alpha
    0.01855
  • Upperbound of 95% confidence interval for alpha
    0.11968
  • Treynor index (mean / b)
    0.39360
  • Jensen alpha (a)
    0.06912
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03462
  • Expected Shortfall on VaR
    0.04495
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00940
  • Expected Shortfall on VaR
    0.02197
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    136.00000
  • Minimum
    0.89819
  • Quartile 1
    0.99857
  • Median
    1.00799
  • Quartile 3
    1.02184
  • Maximum
    1.07830
  • Mean of quarter 1
    0.98077
  • Mean of quarter 2
    1.00372
  • Mean of quarter 3
    1.01426
  • Mean of quarter 4
    1.04121
  • Inter Quartile Range
    0.02327
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02941
  • Mean of outliers low
    0.92721
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03676
  • Mean of outliers high
    1.07155
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34690
  • VaR(95%) (moments method)
    0.00785
  • Expected Shortfall (moments method)
    0.01592
  • Extreme Value Index (regression method)
    0.50845
  • VaR(95%) (regression method)
    0.01670
  • Expected Shortfall (regression method)
    0.04504
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00555
  • Median
    0.01066
  • Quartile 3
    0.04713
  • Maximum
    0.10749
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.00906
  • Mean of quarter 3
    0.03228
  • Mean of quarter 4
    0.09109
  • Inter Quartile Range
    0.04158
  • 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)
    -79.75380
  • VaR(95%) (moments method)
    0.09133
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.53328
  • VaR(95%) (regression method)
    0.11270
  • Expected Shortfall (regression method)
    0.11337
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23786
  • Compounded annual return (geometric extrapolation)
    0.12225
  • Calmar ratio (compounded annual return / max draw down)
    1.13733
  • Compounded annual return / average of 25% largest draw downs
    1.34218
  • Compounded annual return / Expected Shortfall lognormal
    2.71957
  • 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
    0.09173
  • SD
    0.09156
  • Sharpe ratio (Glass type estimate)
    1.00179
  • Sharpe ratio (Hedges UMVUE)
    1.00154
  • df
    2974.00000
  • t
    3.37574
  • p
    0.00037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41934
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58373
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48085
  • Upside Potential Ratio
    7.52651
  • Upside part of mean
    0.46620
  • Downside part of mean
    -0.37447
  • Upside SD
    0.06765
  • Downside SD
    0.06194
  • N nonnegative terms
    1487.00000
  • N negative terms
    1488.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2975.00000
  • Mean of predictor
    0.09563
  • Mean of criterion
    0.09173
  • SD of predictor
    0.17165
  • SD of criterion
    0.09156
  • Covariance
    0.00511
  • r
    0.32505
  • b (slope, estimate of beta)
    0.17339
  • a (intercept, estimate of alpha)
    0.07500
  • Mean Square Error
    0.00750
  • DF error
    2973.00000
  • t(b)
    18.74120
  • p(b)
    -0.00000
  • t(a)
    2.92208
  • p(a)
    0.00175
  • Lowerbound of 95% confidence interval for beta
    0.15525
  • Upperbound of 95% confidence interval for beta
    0.19153
  • Lowerbound of 95% confidence interval for alpha
    0.02472
  • Upperbound of 95% confidence interval for alpha
    0.12557
  • Treynor index (mean / b)
    0.52901
  • Jensen alpha (a)
    0.07514
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08751
  • SD
    0.09153
  • Sharpe ratio (Glass type estimate)
    0.95615
  • Sharpe ratio (Hedges UMVUE)
    0.95591
  • df
    2974.00000
  • t
    3.22195
  • p
    0.00064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53824
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53806
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40019
  • Upside Potential Ratio
    7.42212
  • Upside part of mean
    0.46389
  • Downside part of mean
    -0.37638
  • Upside SD
    0.06706
  • Downside SD
    0.06250
  • N nonnegative terms
    1487.00000
  • N negative terms
    1488.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2975.00000
  • Mean of predictor
    0.08082
  • Mean of criterion
    0.08751
  • SD of predictor
    0.17222
  • SD of criterion
    0.09153
  • Covariance
    0.00512
  • r
    0.32474
  • b (slope, estimate of beta)
    0.17258
  • a (intercept, estimate of alpha)
    0.07357
  • Mean Square Error
    0.00750
  • DF error
    2973.00000
  • t(b)
    18.72090
  • p(b)
    -0.00000
  • t(a)
    2.86197
  • p(a)
    0.00212
  • Lowerbound of 95% confidence interval for beta
    0.15450
  • Upperbound of 95% confidence interval for beta
    0.19065
  • Lowerbound of 95% confidence interval for alpha
    0.02317
  • Upperbound of 95% confidence interval for alpha
    0.12397
  • Treynor index (mean / b)
    0.50709
  • Jensen alpha (a)
    0.07357
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00893
  • Expected Shortfall on VaR
    0.01126
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00322
  • Expected Shortfall on VaR
    0.00697
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2975.00000
  • Minimum
    0.96078
  • Quartile 1
    0.99908
  • Median
    1.00011
  • Quartile 3
    1.00198
  • Maximum
    1.05154
  • Mean of quarter 1
    0.99469
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00084
  • Mean of quarter 4
    1.00649
  • Inter Quartile Range
    0.00290
  • Number outliers low
    247.00000
  • Percentage of outliers low
    0.08303
  • Mean of outliers low
    0.98920
  • Number of outliers high
    263.00000
  • Percentage of outliers high
    0.08840
  • Mean of outliers high
    1.01170
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51932
  • VaR(95%) (moments method)
    0.00427
  • Expected Shortfall (moments method)
    0.01057
  • Extreme Value Index (regression method)
    0.22529
  • VaR(95%) (regression method)
    0.00462
  • Expected Shortfall (regression method)
    0.00813
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    193.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00079
  • Median
    0.00292
  • Quartile 3
    0.00994
  • Maximum
    0.13304
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00175
  • Mean of quarter 3
    0.00606
  • Mean of quarter 4
    0.03117
  • Inter Quartile Range
    0.00915
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.11399
  • Mean of outliers high
    0.05065
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54483
  • VaR(95%) (moments method)
    0.03191
  • Expected Shortfall (moments method)
    0.07704
  • Extreme Value Index (regression method)
    0.29961
  • VaR(95%) (regression method)
    0.02536
  • Expected Shortfall (regression method)
    0.04251
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23852
  • Compounded annual return (geometric extrapolation)
    0.12234
  • Calmar ratio (compounded annual return / max draw down)
    0.91958
  • Compounded annual return / average of 25% largest draw downs
    3.92550
  • Compounded annual return / Expected Shortfall lognormal
    10.86200
  • 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
    -0.21232
  • SD
    0.11233
  • Sharpe ratio (Glass type estimate)
    -1.89019
  • Sharpe ratio (Hedges UMVUE)
    -1.87926
  • df
    130.00000
  • t
    -1.33656
  • p
    0.55821
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.66799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89464
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.66046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90194
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.11765
  • Upside Potential Ratio
    4.19521
  • Upside part of mean
    0.42062
  • Downside part of mean
    -0.63294
  • Upside SD
    0.05139
  • Downside SD
    0.10026
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23737
  • Mean of criterion
    -0.21232
  • SD of predictor
    0.13087
  • SD of criterion
    0.11233
  • Covariance
    0.00744
  • r
    0.50578
  • b (slope, estimate of beta)
    0.43410
  • a (intercept, estimate of alpha)
    -0.31536
  • Mean Square Error
    0.00946
  • DF error
    129.00000
  • t(b)
    6.65905
  • p(b)
    0.19232
  • t(a)
    -2.27803
  • p(a)
    0.62438
  • Lowerbound of 95% confidence interval for beta
    0.30512
  • Upperbound of 95% confidence interval for beta
    0.56308
  • Lowerbound of 95% confidence interval for alpha
    -0.58926
  • Upperbound of 95% confidence interval for alpha
    -0.04146
  • Treynor index (mean / b)
    -0.48910
  • Jensen alpha (a)
    -0.31536
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21873
  • SD
    0.11347
  • Sharpe ratio (Glass type estimate)
    -1.92766
  • Sharpe ratio (Hedges UMVUE)
    -1.91652
  • df
    130.00000
  • t
    -1.36306
  • p
    0.55935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.70573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.69810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86506
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.15101
  • Upside Potential Ratio
    4.12301
  • Upside part of mean
    0.41926
  • Downside part of mean
    -0.63799
  • Upside SD
    0.05118
  • Downside SD
    0.10169
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22872
  • Mean of criterion
    -0.21873
  • SD of predictor
    0.13114
  • SD of criterion
    0.11347
  • Covariance
    0.00751
  • r
    0.50451
  • b (slope, estimate of beta)
    0.43653
  • a (intercept, estimate of alpha)
    -0.31857
  • Mean Square Error
    0.00967
  • DF error
    129.00000
  • t(b)
    6.63668
  • p(b)
    0.19302
  • t(a)
    -2.27718
  • p(a)
    0.62434
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.30639
  • Upperbound of 95% confidence interval for beta
    0.56666
  • Lowerbound of 95% confidence interval for alpha
    -0.59537
  • Upperbound of 95% confidence interval for alpha
    -0.04178
  • Treynor index (mean / b)
    -0.50107
  • Jensen alpha (a)
    -0.31857
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01229
  • Expected Shortfall on VaR
    0.01518
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00571
  • Expected Shortfall on VaR
    0.01209
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96078
  • Quartile 1
    0.99798
  • Median
    0.99989
  • Quartile 3
    1.00216
  • Maximum
    1.01266
  • Mean of quarter 1
    0.99159
  • Mean of quarter 2
    0.99905
  • Mean of quarter 3
    1.00087
  • Mean of quarter 4
    1.00572
  • Inter Quartile Range
    0.00418
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98085
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.00972
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57689
  • VaR(95%) (moments method)
    0.00787
  • Expected Shortfall (moments method)
    0.02107
  • Extreme Value Index (regression method)
    0.33831
  • VaR(95%) (regression method)
    0.00864
  • Expected Shortfall (regression method)
    0.01666
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00163
  • Quartile 1
    0.03314
  • Median
    0.06464
  • Quartile 3
    0.09615
  • Maximum
    0.12766
  • Mean of quarter 1
    0.00163
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12766
  • Inter Quartile Range
    0.06301
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -402976000
  • Max Equity Drawdown (num days)
    189
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.18200
  • Compounded annual return (geometric extrapolation)
    -0.17372
  • Calmar ratio (compounded annual return / max draw down)
    -1.36087
  • Compounded annual return / average of 25% largest draw downs
    -1.36087
  • Compounded annual return / Expected Shortfall lognormal
    -11.44780

Strategy Description

Carma Stocks blends a primary mean reverting strategy with a secondary momentum approach, targeting a wide array of market opportunities. The system focuses on identifying optimal entry points for oversold and overbought conditions in highly liquid stocks, engaging in both long and short positions.
Signals for new trades and updates for existing positions' exit prices are generated daily, after the market close, ensuring a disciplined and methodical approach. The system does not adjust exit prices during the trading day, maintaining a clear and consistent strategy for each position from entry to exit.
To ensure subscribers can seamlessly follow the strategy, it's recommended to opt for autotrading due to Carma Stocks' integration with the Broker Transmit functionality. This approach guarantees efficient and accurate execution of the trading system's operations.
Carma Stocks is primarily concentrated on US stocks within the S&P 500 and Nasdaq 100, with a portion of the portfolio allocated to long-only positions in the TSX 60 index stocks (Canada), aiming for diversified exposure and potential gains.
Backtesting results are available to subscribers, providing insights into the system's historical performance and strategic effectiveness.

Summary Statistics

Strategy began
2013-05-28
Suggested Minimum Capital
$5,000
# Trades
3872
# Profitable
2308
% Profitable
59.6%
Net Dividends
Correlation S&P500
0.319
Sharpe Ratio
0.57
Sortino Ratio
0.83
Beta
0.21
Alpha
0.02
Leverage
0.60 Average
3.29 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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No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.