Collective2 Collective2
Featured Strategy MT3 Algotrading +75.5% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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4Timing Machine Learning
(97088697)

Created by: Timing Timing
Started: 09/2015
Stocks
Last trade: 5 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).
4.7%
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.

(18.1%)
Max Drawdown
4154
Num Trades
54.9%
Win Trades
1.4 : 1
Profit Factor
61.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                        (3.3%)+2.5%+1.6%+0.2%+0.9%
2016(4.2%)(0.1%)+3.7%(3.6%)(1%)(8.7%)+0.5%+0.7%+1.1%  -  +1.1%(0.8%)(11.4%)
2017+1.5%+0.5%+1.0%+0.1%+1.2%+1.3%+1.5%(0.3%)+0.2%+2.5%+1.1%+0.6%+12.0%
2018+1.6%(2.3%)(1.6%)+0.8%+0.4%+0.2%+0.4%+1.2%(0.3%)(4%)+0.6%  -  (3.1%)
2019  -    -    -  (0.1%)(2%)+2.5%(0.5%)+0.6%+1.1%  -  +2.2%+1.5%+5.3%
2020(1.4%)+1.7%  -  +0.9%+2.8%+1.9%+0.2%+0.5%+0.3%(0.6%)+3.0%+0.8%+10.5%
2021+0.1%+1.1%+5.9%+1.5%+1.1%+0.5%+4.9%+1.6%(3.3%)+2.1%(0.3%)+2.0%+18.2%
2022(1.7%)(0.9%)+0.7%(1%)(0.4%)(4.3%)+3.8%(1.7%)(1.1%)+1.2%+4.6%+0.4%(0.8%)
2023+1.7%(0.7%)+1.0%+0.9%(1.7%)+1.4%+1.0%(1.6%)(4.6%)(3.5%)+5.4%+2.8%+1.8%
2024+1.8%+1.4%+1.2%(3.3%)+2.4%(0.4%)+4.1%+1.5%+0.8%(1.3%)+8.3%(2%)+15.1%
2025(0.7%)                                                                  (0.7%)

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/19/24 9:32 AXP AMERICAN EXPRESS LONG 11 293.02 1/10/25 9:30 300.43 0.02%
Trade id #150363337
Max drawdown($20)
Time12/19/24 10:23
Quant open11
Worst price291.20
Drawdown as % of equity-0.02%
 $82
Includes Typical Broker Commissions trade costs of $0.22
12/19/24 9:30 MET METLIFE LONG 42 79.52 1/10/25 9:30 82.28 0.02%
Trade id #150363180
Max drawdown($20)
Time12/19/24 10:25
Quant open42
Worst price79.03
Drawdown as % of equity-0.02%
 $115
Includes Typical Broker Commissions trade costs of $0.84
12/19/24 9:30 FDX FEDEX LONG 10 274.52 1/10/25 9:30 274.51 0.08%
Trade id #150363182
Max drawdown($94)
Time12/23/24 0:00
Quant open10
Worst price265.09
Drawdown as % of equity-0.08%
 $0
Includes Typical Broker Commissions trade costs of $0.20
11/22/24 9:30 EMR EMERSON ELECTRIC LONG 19 128.69 1/8/25 9:33 120.50 0.16%
Trade id #150152045
Max drawdown($181)
Time1/8/25 9:33
Quant open19
Worst price119.15
Drawdown as % of equity-0.16%
 ($156)
Includes Typical Broker Commissions trade costs of $0.38
1/2/25 9:30 TSLA TESLA INC. LONG 7 390.10 1/7 9:30 405.83 0.11%
Trade id #150462420
Max drawdown($119)
Time1/2/25 13:05
Quant open7
Worst price373.04
Drawdown as % of equity-0.11%
 $110
Includes Typical Broker Commissions trade costs of $0.14
12/31/24 9:30 GOOGL ALPHABET INC CLASS A LONG 14 191.07 1/7/25 9:30 197.11 0.04%
Trade id #150444590
Max drawdown($50)
Time1/2/25 0:00
Quant open14
Worst price187.50
Drawdown as % of equity-0.04%
 $84
Includes Typical Broker Commissions trade costs of $0.28
11/22/24 9:30 PG PROCTER & GAMBLE LONG 14 174.15 1/3/25 9:30 166.25 0.1%
Trade id #150152070
Max drawdown($114)
Time1/3/25 9:30
Quant open14
Worst price165.98
Drawdown as % of equity-0.10%
 ($111)
Includes Typical Broker Commissions trade costs of $0.28
12/5/24 9:30 DE DEERE LONG 7 457.98 1/3/25 9:30 419.83 0.25%
Trade id #150250505
Max drawdown($274)
Time1/3/25 9:30
Quant open7
Worst price418.82
Drawdown as % of equity-0.25%
 ($267)
Includes Typical Broker Commissions trade costs of $0.14
12/19/24 9:30 MS MORGAN STANLEY LONG 27 124.78 12/27 9:30 127.05 0.11%
Trade id #150363187
Max drawdown($120)
Time12/19/24 15:59
Quant open27
Worst price120.30
Drawdown as % of equity-0.11%
 $60
Includes Typical Broker Commissions trade costs of $0.54
12/19/24 9:30 AMZN AMAZON.COM LONG 15 224.91 12/27 9:30 225.60 0.08%
Trade id #150363223
Max drawdown($92)
Time12/20/24 0:00
Quant open15
Worst price218.73
Drawdown as % of equity-0.08%
 $10
Includes Typical Broker Commissions trade costs of $0.30
12/20/24 9:30 GOOGL ALPHABET INC CLASS A LONG 17 185.78 12/27 9:30 194.95 0.01%
Trade id #150374160
Max drawdown($9)
Time12/20/24 9:33
Quant open17
Worst price185.22
Drawdown as % of equity-0.01%
 $156
Includes Typical Broker Commissions trade costs of $0.34
12/17/24 9:30 ORCL ORACLE CORP LONG 19 170.75 12/27 9:30 170.38 0.09%
Trade id #150342312
Max drawdown($102)
Time12/18/24 0:00
Quant open19
Worst price165.36
Drawdown as % of equity-0.09%
 ($7)
Includes Typical Broker Commissions trade costs of $0.38
12/4/24 9:30 GM GENERAL MOTORS LONG 58 53.62 12/27 9:30 53.81 0.19%
Trade id #150240678
Max drawdown($212)
Time12/18/24 0:00
Quant open58
Worst price49.96
Drawdown as % of equity-0.19%
 $10
Includes Typical Broker Commissions trade costs of $1.16
11/20/24 9:30 GS GOLDMAN SACHS GROUP LONG 6 583.83 12/27 9:30 577.00 0.21%
Trade id #150130811
Max drawdown($236)
Time12/18/24 0:00
Quant open6
Worst price544.49
Drawdown as % of equity-0.21%
 ($41)
Includes Typical Broker Commissions trade costs of $0.12
12/19/24 2:34 @MESH5 MICRO E-MINI S&P 500 LONG 1 5955.75 12/25 14:03 6098.00 0.41%
Trade id #150361152
Max drawdown($450)
Time12/20/24 0:00
Quant open1
Worst price5865.75
Drawdown as % of equity-0.41%
 $710
Includes Typical Broker Commissions trade costs of $0.94
12/12/24 9:30 WMT WALMART INC LONG 29 95.68 12/24 9:30 90.37 0.15%
Trade id #150308511
Max drawdown($161)
Time12/23/24 0:00
Quant open29
Worst price90.10
Drawdown as % of equity-0.15%
 ($155)
Includes Typical Broker Commissions trade costs of $0.58
12/19/24 9:30 LOW LOWE'S COMPANIES LONG 13 249.00 12/20 9:31 244.53 0.06%
Trade id #150363171
Max drawdown($65)
Time12/20/24 9:30
Quant open13
Worst price244.00
Drawdown as % of equity-0.06%
 ($58)
Includes Typical Broker Commissions trade costs of $0.26
12/17/24 9:30 SBUX STARBUCKS LONG 27 93.01 12/20 9:30 87.86 0.13%
Trade id #150342315
Max drawdown($141)
Time12/20/24 9:30
Quant open27
Worst price87.77
Drawdown as % of equity-0.13%
 ($140)
Includes Typical Broker Commissions trade costs of $0.54
11/6/24 9:31 HD HOME DEPOT LONG 8 394.04 12/20 9:30 383.37 0.09%
Trade id #150007323
Max drawdown($98)
Time11/6/24 11:02
Quant open8
Worst price381.72
Drawdown as % of equity-0.09%
 ($85)
Includes Typical Broker Commissions trade costs of $0.16
10/4/24 9:30 BRK.B BERKSHIRE HATHAWAY CL B LONG 7 455.01 12/19 9:32 451.73 0.11%
Trade id #149577324
Max drawdown($119)
Time11/4/24 0:00
Quant open7
Worst price437.90
Drawdown as % of equity-0.11%
 ($23)
Includes Typical Broker Commissions trade costs of $0.14
12/13/24 9:30 NEE NEXTERA ENERGY LONG 36 73.05 12/19 9:30 70.52 0.09%
Trade id #150318074
Max drawdown($96)
Time12/19/24 9:30
Quant open36
Worst price70.38
Drawdown as % of equity-0.09%
 ($92)
Includes Typical Broker Commissions trade costs of $0.72
11/21/24 9:30 BAC BANK OF AMERICA CORPORATION LONG 58 46.39 12/19 9:30 43.97 0.16%
Trade id #150140901
Max drawdown($176)
Time12/18/24 0:00
Quant open58
Worst price43.35
Drawdown as % of equity-0.16%
 ($141)
Includes Typical Broker Commissions trade costs of $1.16
12/17/24 9:30 VZ VERIZON COMMUNICATIONS LONG 62 40.66 12/19 9:30 40.05 0.04%
Trade id #150342314
Max drawdown($45)
Time12/19/24 9:30
Quant open62
Worst price39.93
Drawdown as % of equity-0.04%
 ($39)
Includes Typical Broker Commissions trade costs of $1.24
12/5/24 10:17 JPM JPMORGAN CHASE LONG 12 246.22 12/19 9:30 232.27 0.18%
Trade id #150251463
Max drawdown($200)
Time12/18/24 0:00
Quant open12
Worst price229.53
Drawdown as % of equity-0.18%
 ($167)
Includes Typical Broker Commissions trade costs of $0.24
10/9/24 9:30 CAT CATERPILLAR LONG 8 388.35 12/19 9:30 372.21 0.16%
Trade id #149615399
Max drawdown($177)
Time12/18/24 0:00
Quant open7
Worst price363.03
Drawdown as % of equity-0.16%
 ($129)
Includes Typical Broker Commissions trade costs of $0.16
12/5/24 9:30 MO ALTRIA LONG 50 56.65 12/18 9:30 54.02 0.12%
Trade id #150250485
Max drawdown($137)
Time12/18/24 9:30
Quant open50
Worst price53.90
Drawdown as % of equity-0.12%
 ($133)
Includes Typical Broker Commissions trade costs of $1.00
12/10/24 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 14 234.84 12/17 9:30 229.32 0.08%
Trade id #150288122
Max drawdown($88)
Time12/17/24 9:30
Quant open14
Worst price228.51
Drawdown as % of equity-0.08%
 ($77)
Includes Typical Broker Commissions trade costs of $0.28
11/21/24 9:30 HON HONEYWELL INTERNATIONAL LONG 11 228.00 12/17 9:30 238.16 0.05%
Trade id #150140947
Max drawdown($53)
Time12/3/24 0:00
Quant open11
Worst price223.16
Drawdown as % of equity-0.05%
 $112
Includes Typical Broker Commissions trade costs of $0.22
10/24/24 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 15 174.26 12/16 9:30 231.79 0.22%
Trade id #149816765
Max drawdown($250)
Time11/27/24 0:00
Quant open15
Worst price157.54
Drawdown as % of equity-0.22%
 $863
Includes Typical Broker Commissions trade costs of $0.30
7/17/24 9:30 LIN LINDE PLC LONG 5 447.10 12/16 9:30 435.72 0.06%
Trade id #148668898
Max drawdown($71)
Time12/13/24 0:00
Quant open5
Worst price432.75
Drawdown as % of equity-0.06%
 ($57)
Includes Typical Broker Commissions trade costs of $0.10
Next

Statistics

  • Strategy began
    9/8/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3417.16
  • Age
    114 months ago
  • What it trades
    Stocks
  • # Trades
    4154
  • # Profitable
    2279
  • % Profitable
    54.90%
  • Avg trade duration
    11.9 days
  • Max peak-to-valley drawdown
    18.08%
  • drawdown period
    July 27, 2023 - Oct 17, 2023
  • Annual Return (Compounded)
    4.7%
  • Avg win
    $74.50
  • Avg loss
    $70.37
  • Model Account Values (Raw)
  • Cash
    $59,739
  • Margin Used
    $0
  • Buying Power
    $59,965
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    0.35
  • Sortino Ratio
    0.5
  • Calmar Ratio
    0.386
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -142.89%
  • Correlation to SP500
    0.37980
  • Return Percent SP500 (cumu) during strategy life
    196.68%
  • Return Statistics
  • Ann Return (w trading costs)
    4.7%
  • Slump
  • Current Slump as Pcnt Equity
    3.00%
  • Instruments
  • Percent Trades Futures
    0.04%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.047%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.00%
  • Chance of 20% account loss
    23.00%
  • Chance of 30% account loss
    3.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    647
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    451
  • Popularity (7 days, Percentile 1000 scale)
    375
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $71
  • Avg Win
    $75
  • Sum Trade PL (losers)
    $132,362.000
  • Age
  • Num Months filled monthly returns table
    113
  • Win / Loss
  • Sum Trade PL (winners)
    $169,940.000
  • # Winners
    2279
  • Num Months Winners
    71
  • Dividends
  • Dividends Received in Model Acct
    6877
  • Win / Loss
  • # Losers
    1875
  • % Winners
    54.9%
  • Frequency
  • Avg Position Time (mins)
    17152.60
  • Avg Position Time (hrs)
    285.88
  • Avg Trade Length
    11.9 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.52
  • Daily leverage (max)
    2.10
  • Regression
  • Alpha
    0.00
  • Beta
    0.15
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    64.22
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    73.55
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.522
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.247
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.841
  • Hold-and-Hope Ratio
    0.159
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02669
  • SD
    0.07341
  • Sharpe ratio (Glass type estimate)
    0.36359
  • Sharpe ratio (Hedges UMVUE)
    0.36108
  • df
    109.00000
  • t
    1.10082
  • p
    0.43337
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01191
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28805
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01021
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52344
  • Upside Potential Ratio
    2.05467
  • Upside part of mean
    0.10477
  • Downside part of mean
    -0.07808
  • Upside SD
    0.05291
  • Downside SD
    0.05099
  • N nonnegative terms
    68.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.10405
  • Mean of criterion
    0.02669
  • SD of predictor
    0.15740
  • SD of criterion
    0.07341
  • Covariance
    0.00603
  • r
    0.52221
  • b (slope, estimate of beta)
    0.24357
  • a (intercept, estimate of alpha)
    0.00135
  • Mean Square Error
    0.00396
  • DF error
    108.00000
  • t(b)
    6.36362
  • p(b)
    0.23889
  • t(a)
    0.06375
  • p(a)
    0.49693
  • Lowerbound of 95% confidence interval for beta
    0.16770
  • Upperbound of 95% confidence interval for beta
    0.31944
  • Lowerbound of 95% confidence interval for alpha
    -0.04058
  • Upperbound of 95% confidence interval for alpha
    0.04328
  • Treynor index (mean / b)
    0.10959
  • Jensen alpha (a)
    0.00135
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02394
  • SD
    0.07341
  • Sharpe ratio (Glass type estimate)
    0.32607
  • Sharpe ratio (Hedges UMVUE)
    0.32382
  • df
    109.00000
  • t
    0.98723
  • p
    0.44016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97413
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97260
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46031
  • Upside Potential Ratio
    1.98385
  • Upside part of mean
    0.10317
  • Downside part of mean
    -0.07923
  • Upside SD
    0.05181
  • Downside SD
    0.05201
  • N nonnegative terms
    68.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.09118
  • Mean of criterion
    0.02394
  • SD of predictor
    0.15743
  • SD of criterion
    0.07341
  • Covariance
    0.00596
  • r
    0.51568
  • b (slope, estimate of beta)
    0.24048
  • a (intercept, estimate of alpha)
    0.00201
  • Mean Square Error
    0.00399
  • DF error
    108.00000
  • t(b)
    6.25497
  • p(b)
    0.24216
  • t(a)
    0.09505
  • p(a)
    0.49543
  • Lowerbound of 95% confidence interval for beta
    0.16427
  • Upperbound of 95% confidence interval for beta
    0.31669
  • Lowerbound of 95% confidence interval for alpha
    -0.03994
  • Upperbound of 95% confidence interval for alpha
    0.04396
  • Treynor index (mean / b)
    0.09954
  • Jensen alpha (a)
    0.00201
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03233
  • Expected Shortfall on VaR
    0.04083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01238
  • Expected Shortfall on VaR
    0.02643
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    110.00000
  • Minimum
    0.94041
  • Quartile 1
    0.99725
  • Median
    1.00633
  • Quartile 3
    1.01401
  • Maximum
    1.07067
  • Mean of quarter 1
    0.97807
  • Mean of quarter 2
    1.00195
  • Mean of quarter 3
    1.00989
  • Mean of quarter 4
    1.02840
  • Inter Quartile Range
    0.01677
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.08182
  • Mean of outliers low
    0.95657
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.05455
  • Mean of outliers high
    1.04948
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.74309
  • VaR(95%) (moments method)
    0.01112
  • Expected Shortfall (moments method)
    0.01269
  • Extreme Value Index (regression method)
    -0.36730
  • VaR(95%) (regression method)
    0.02436
  • Expected Shortfall (regression method)
    0.03150
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00264
  • Quartile 1
    0.01046
  • Median
    0.01909
  • Quartile 3
    0.05590
  • Maximum
    0.12990
  • Mean of quarter 1
    0.00572
  • Mean of quarter 2
    0.01445
  • Mean of quarter 3
    0.04992
  • Mean of quarter 4
    0.09580
  • Inter Quartile Range
    0.04544
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.12990
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.28457
  • VaR(95%) (moments method)
    0.09942
  • Expected Shortfall (moments method)
    0.10341
  • Extreme Value Index (regression method)
    0.05797
  • VaR(95%) (regression method)
    0.11066
  • Expected Shortfall (regression method)
    0.14573
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06637
  • Compounded annual return (geometric extrapolation)
    0.05321
  • Calmar ratio (compounded annual return / max draw down)
    0.40965
  • Compounded annual return / average of 25% largest draw downs
    0.55547
  • Compounded annual return / Expected Shortfall lognormal
    1.30321
  • 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
    0.02641
  • SD
    0.06739
  • Sharpe ratio (Glass type estimate)
    0.39183
  • Sharpe ratio (Hedges UMVUE)
    0.39170
  • df
    2418.00000
  • t
    1.19059
  • p
    0.11697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25333
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25342
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03683
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54597
  • Upside Potential Ratio
    6.53535
  • Upside part of mean
    0.31609
  • Downside part of mean
    -0.28968
  • Upside SD
    0.04694
  • Downside SD
    0.04837
  • N nonnegative terms
    1189.00000
  • N negative terms
    1230.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2419.00000
  • Mean of predictor
    0.10627
  • Mean of criterion
    0.02641
  • SD of predictor
    0.18055
  • SD of criterion
    0.06739
  • Covariance
    0.00471
  • r
    0.38692
  • b (slope, estimate of beta)
    0.14443
  • a (intercept, estimate of alpha)
    0.01100
  • Mean Square Error
    0.00386
  • DF error
    2417.00000
  • t(b)
    20.62900
  • p(b)
    -0.00000
  • t(a)
    0.54020
  • p(a)
    0.29455
  • Lowerbound of 95% confidence interval for beta
    0.13070
  • Upperbound of 95% confidence interval for beta
    0.15816
  • Lowerbound of 95% confidence interval for alpha
    -0.02908
  • Upperbound of 95% confidence interval for alpha
    0.05120
  • Treynor index (mean / b)
    0.18284
  • Jensen alpha (a)
    0.01106
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02413
  • SD
    0.06747
  • Sharpe ratio (Glass type estimate)
    0.35763
  • Sharpe ratio (Hedges UMVUE)
    0.35752
  • df
    2418.00000
  • t
    1.08668
  • p
    0.13864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00263
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.49449
  • Upside Potential Ratio
    6.45467
  • Upside part of mean
    0.31497
  • Downside part of mean
    -0.29084
  • Upside SD
    0.04660
  • Downside SD
    0.04880
  • N nonnegative terms
    1189.00000
  • N negative terms
    1230.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2419.00000
  • Mean of predictor
    0.08988
  • Mean of criterion
    0.02413
  • SD of predictor
    0.18120
  • SD of criterion
    0.06747
  • Covariance
    0.00472
  • r
    0.38636
  • b (slope, estimate of beta)
    0.14386
  • a (intercept, estimate of alpha)
    0.01120
  • Mean Square Error
    0.00387
  • DF error
    2417.00000
  • t(b)
    20.59370
  • p(b)
    -0.00000
  • t(a)
    0.54646
  • p(a)
    0.29240
  • Lowerbound of 95% confidence interval for beta
    0.13016
  • Upperbound of 95% confidence interval for beta
    0.15756
  • Lowerbound of 95% confidence interval for alpha
    -0.02899
  • Upperbound of 95% confidence interval for alpha
    0.05139
  • Treynor index (mean / b)
    0.16773
  • Jensen alpha (a)
    0.01120
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00674
  • Expected Shortfall on VaR
    0.00847
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00252
  • Expected Shortfall on VaR
    0.00545
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2419.00000
  • Minimum
    0.95271
  • Quartile 1
    0.99907
  • Median
    1.00008
  • Quartile 3
    1.00146
  • Maximum
    1.03728
  • Mean of quarter 1
    0.99605
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00068
  • Mean of quarter 4
    1.00436
  • Inter Quartile Range
    0.00239
  • Number outliers low
    162.00000
  • Percentage of outliers low
    0.06697
  • Mean of outliers low
    0.99107
  • Number of outliers high
    152.00000
  • Percentage of outliers high
    0.06284
  • Mean of outliers high
    1.00908
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56883
  • VaR(95%) (moments method)
    0.00371
  • Expected Shortfall (moments method)
    0.00977
  • Extreme Value Index (regression method)
    0.33546
  • VaR(95%) (regression method)
    0.00343
  • Expected Shortfall (regression method)
    0.00644
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    93.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00106
  • Median
    0.00324
  • Quartile 3
    0.01009
  • Maximum
    0.13825
  • Mean of quarter 1
    0.00051
  • Mean of quarter 2
    0.00183
  • Mean of quarter 3
    0.00593
  • Mean of quarter 4
    0.03876
  • Inter Quartile Range
    0.00902
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.13978
  • Mean of outliers high
    0.05740
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56260
  • VaR(95%) (moments method)
    0.03766
  • Expected Shortfall (moments method)
    0.09744
  • Extreme Value Index (regression method)
    0.44219
  • VaR(95%) (regression method)
    0.04385
  • Expected Shortfall (regression method)
    0.09594
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06680
  • Compounded annual return (geometric extrapolation)
    0.05341
  • Calmar ratio (compounded annual return / max draw down)
    0.38635
  • Compounded annual return / average of 25% largest draw downs
    1.37809
  • Compounded annual return / Expected Shortfall lognormal
    6.30720
  • 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
    0.13696
  • SD
    0.10517
  • Sharpe ratio (Glass type estimate)
    1.30226
  • Sharpe ratio (Hedges UMVUE)
    1.29473
  • df
    130.00000
  • t
    0.92083
  • p
    0.45975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07616
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48154
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07100
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98211
  • Upside Potential Ratio
    8.82817
  • Upside part of mean
    0.61000
  • Downside part of mean
    -0.47304
  • Upside SD
    0.07920
  • Downside SD
    0.06910
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06219
  • Mean of criterion
    0.13696
  • SD of predictor
    0.14616
  • SD of criterion
    0.10517
  • Covariance
    0.00896
  • r
    0.58274
  • b (slope, estimate of beta)
    0.41932
  • a (intercept, estimate of alpha)
    0.11088
  • Mean Square Error
    0.00736
  • DF error
    129.00000
  • t(b)
    8.14445
  • p(b)
    0.15124
  • t(a)
    0.91352
  • p(a)
    0.44902
  • Lowerbound of 95% confidence interval for beta
    0.31746
  • Upperbound of 95% confidence interval for beta
    0.52119
  • Lowerbound of 95% confidence interval for alpha
    -0.12927
  • Upperbound of 95% confidence interval for alpha
    0.35103
  • Treynor index (mean / b)
    0.32662
  • Jensen alpha (a)
    0.11088
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13143
  • SD
    0.10503
  • Sharpe ratio (Glass type estimate)
    1.25133
  • Sharpe ratio (Hedges UMVUE)
    1.24409
  • df
    130.00000
  • t
    0.88482
  • p
    0.46131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52695
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02501
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.02002
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88306
  • Upside Potential Ratio
    8.69442
  • Upside part of mean
    0.60684
  • Downside part of mean
    -0.47541
  • Upside SD
    0.07837
  • Downside SD
    0.06980
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05154
  • Mean of criterion
    0.13143
  • SD of predictor
    0.14651
  • SD of criterion
    0.10503
  • Covariance
    0.00898
  • r
    0.58381
  • b (slope, estimate of beta)
    0.41853
  • a (intercept, estimate of alpha)
    0.10986
  • Mean Square Error
    0.00733
  • DF error
    129.00000
  • t(b)
    8.16705
  • p(b)
    0.15069
  • t(a)
    0.90722
  • p(a)
    0.44936
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    0.31714
  • Upperbound of 95% confidence interval for beta
    0.51993
  • Lowerbound of 95% confidence interval for alpha
    -0.12973
  • Upperbound of 95% confidence interval for alpha
    0.34945
  • Treynor index (mean / b)
    0.31403
  • Jensen alpha (a)
    0.10986
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01012
  • Expected Shortfall on VaR
    0.01280
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00379
  • Expected Shortfall on VaR
    0.00802
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96723
  • Quartile 1
    0.99806
  • Median
    1.00065
  • Quartile 3
    1.00361
  • Maximum
    1.03728
  • Mean of quarter 1
    0.99386
  • Mean of quarter 2
    0.99925
  • Mean of quarter 3
    1.00185
  • Mean of quarter 4
    1.00759
  • Inter Quartile Range
    0.00555
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98204
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02180
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23327
  • VaR(95%) (moments method)
    0.00552
  • Expected Shortfall (moments method)
    0.00899
  • Extreme Value Index (regression method)
    0.35004
  • VaR(95%) (regression method)
    0.00626
  • Expected Shortfall (regression method)
    0.01161
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00136
  • Quartile 1
    0.00455
  • Median
    0.01264
  • Quartile 3
    0.03220
  • Maximum
    0.04696
  • Mean of quarter 1
    0.00208
  • Mean of quarter 2
    0.00937
  • Mean of quarter 3
    0.02232
  • Mean of quarter 4
    0.03853
  • Inter Quartile Range
    0.02765
  • 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)
    -0.46262
  • VaR(95%) (moments method)
    0.04357
  • Expected Shortfall (moments method)
    0.04726
  • Extreme Value Index (regression method)
    1.16527
  • VaR(95%) (regression method)
    0.04992
  • 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?
    -379255000
  • Max Equity Drawdown (num days)
    82
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16586
  • Compounded annual return (geometric extrapolation)
    0.17273
  • Calmar ratio (compounded annual return / max draw down)
    3.67868
  • Compounded annual return / average of 25% largest draw downs
    4.48264
  • Compounded annual return / Expected Shortfall lognormal
    13.49720

Strategy Description

From 07-2016 4Timing Machine Learning use a pattern recognition model based on a machine learning algorithm to predict all types of price movements.
The model is 100% systematic and trained on multiple financial markets and thousands of past events.

In the case of exceptional events (as was the case during the covid 19 period) the model goes into suspension.
Suspension is established through a statistical model that measures the exceptional nature of the event and is applied systematically and without discretionary intervention.

When a price rise forecast is produced, a buy order is generated and the size is weighted for historical volatility and the strength of the prediction.
The strategy has a stoploss based on voaltility which once touched closes the position which will be reopened only when there will be a new bullish forecast. We do not employ martingale strategies that increase the position in the case of a loss

All orders are long only and are generated before the opening (2/3 hours) and are at market at the opening price.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-09-08
Suggested Minimum Capital
$100,000
# Trades
4154
# Profitable
2279
% Profitable
54.9%
Net Dividends
$6,876
Correlation S&P500
0.380
Sharpe Ratio
0.35
Sortino Ratio
0.50
Beta
0.15
Alpha
0.00
Leverage
0.52 Average
2.10 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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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.