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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

JWB Stock and ETF ORB
(128743489)

Created by: JohnBennett JohnBennett
Started: 04/2020
Stocks
Last trade: 413 days ago
Trading style: Equity Momentum Short-term Reversal
Subscriptions not currently available.

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 $200.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
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).
19.0%
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.

(13.7%)
Max Drawdown
1130
Num Trades
52.3%
Win Trades
1.2 : 1
Profit Factor
41.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                     +3.2%+3.5%+1.7%+15.1%+9.8%(2.7%)(2.2%)+15.8%+8.7%+64.2%
2021+9.3%+3.4%(7.8%)+2.7%+4.3%+7.9%(1.5%)(2.6%)(0.2%)(0.8%)+12.7%+3.7%+33.7%
2022+1.3%+2.5%+1.0%+4.2%(1.5%)(8.6%)+7.3%(2.2%)(0.3%)+2.1%(0.3%)(1.6%)+3.2%
2023+4.1%(0.4%)(3.4%)+0.1%(0.5%)(4%)+5.7%(1.5%)(3.3%)  -    -    -  (3.5%)
2024  -    -    -    -    -    -    -    -    -    -              0.0

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 24 hours.

Trading Record

This strategy has placed 1,624 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 462 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/13/23 13:52 KSS KOHL'S LONG 2,617 22.62 9/13 15:59 22.44 0.73%
Trade id #145813019
Max drawdown($798)
Time9/13/23 15:14
Quant open2,617
Worst price22.32
Drawdown as % of equity-0.73%
 ($476)
Includes Typical Broker Commissions trade costs of $5.00
9/11/23 14:32 NFLX NETFLIX LONG 220 447.55 9/11 15:59 445.17 0.55%
Trade id #145790538
Max drawdown($602)
Time9/11/23 15:56
Quant open220
Worst price444.81
Drawdown as % of equity-0.55%
 ($528)
Includes Typical Broker Commissions trade costs of $4.40
9/11/23 9:34 NFLX NETFLIX LONG 220 447.61 9/11 12:49 442.93 0.95%
Trade id #145785363
Max drawdown($1,058)
Time9/11/23 12:45
Quant open220
Worst price442.80
Drawdown as % of equity-0.95%
 ($1,034)
Includes Typical Broker Commissions trade costs of $4.40
9/5/23 11:02 MSFT MICROSOFT LONG 300 332.56 9/5 15:59 333.63 n/a $315
Includes Typical Broker Commissions trade costs of $6.00
9/1/23 9:38 BIDU BAIDU LONG 700 146.78 9/1 15:59 146.57 0.99%
Trade id #145710219
Max drawdown($1,123)
Time9/1/23 9:49
Quant open700
Worst price145.18
Drawdown as % of equity-0.99%
 ($152)
Includes Typical Broker Commissions trade costs of $5.00
9/1/23 9:42 ILMN ILLUMINA LONG 610 170.77 9/1 12:31 168.19 1.47%
Trade id #145710428
Max drawdown($1,653)
Time9/1/23 12:14
Quant open610
Worst price168.06
Drawdown as % of equity-1.47%
 ($1,579)
Includes Typical Broker Commissions trade costs of $5.00
8/28/23 10:42 BIDU BAIDU LONG 750 137.61 8/28 15:59 137.17 0.62%
Trade id #145662143
Max drawdown($697)
Time8/28/23 15:41
Quant open750
Worst price136.68
Drawdown as % of equity-0.62%
 ($335)
Includes Typical Broker Commissions trade costs of $5.00
8/23/23 10:22 MSFT MICROSOFT LONG 300 327.08 8/23 15:59 326.72 0.11%
Trade id #145614236
Max drawdown($126)
Time8/23/23 15:58
Quant open300
Worst price326.66
Drawdown as % of equity-0.11%
 ($114)
Includes Typical Broker Commissions trade costs of $6.00
8/15/23 13:10 HBAN HUNTINGTON BANCSHARES LONG 53 11.32 8/15 15:59 11.31 0%
Trade id #145535171
Max drawdown($3)
Time8/15/23 15:30
Quant open53
Worst price11.26
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $1.06
8/15/23 13:02 MTB M&T BANK LONG 2 128.70 8/15 15:59 127.46 0%
Trade id #145535103
Max drawdown($3)
Time8/15/23 15:32
Quant open2
Worst price126.96
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.04
8/15/23 9:49 SLG SL GREEN REALTY LONG 1,849 32.57 8/15 15:59 32.25 1.3%
Trade id #145531659
Max drawdown($1,479)
Time8/15/23 15:31
Quant open1,849
Worst price31.77
Drawdown as % of equity-1.30%
 ($597)
Includes Typical Broker Commissions trade costs of $5.00
8/15/23 9:44 CFG CITIZENS FINANCIAL GROUP INC LONG 2,112 28.60 8/15 15:59 28.36 0.73%
Trade id #145531460
Max drawdown($823)
Time8/15/23 15:30
Quant open2,112
Worst price28.21
Drawdown as % of equity-0.73%
 ($512)
Includes Typical Broker Commissions trade costs of $5.00
8/15/23 9:38 CMA COMERICA LONG 1,249 48.53 8/15 15:59 47.83 1.1%
Trade id #145531249
Max drawdown($1,249)
Time8/15/23 15:30
Quant open1,249
Worst price47.53
Drawdown as % of equity-1.10%
 ($879)
Includes Typical Broker Commissions trade costs of $5.00
8/14/23 11:15 MNST MONSTER BEVERAGE LONG 1,700 59.09 8/14 15:59 59.00 0.52%
Trade id #145521905
Max drawdown($595)
Time8/14/23 14:55
Quant open1,700
Worst price58.74
Drawdown as % of equity-0.52%
 ($158)
Includes Typical Broker Commissions trade costs of $5.00
8/11/23 9:51 OXY OCCIDENTAL PETROLEUM LONG 1,600 64.65 8/11 15:59 65.73 0.14%
Trade id #145504139
Max drawdown($160)
Time8/11/23 9:58
Quant open1,600
Worst price64.55
Drawdown as % of equity-0.14%
 $1,723
Includes Typical Broker Commissions trade costs of $5.00
8/10/23 9:51 MNST MONSTER BEVERAGE LONG 1,700 58.52 8/10 15:59 58.16 0.65%
Trade id #145492941
Max drawdown($748)
Time8/10/23 15:43
Quant open1,700
Worst price58.08
Drawdown as % of equity-0.65%
 ($617)
Includes Typical Broker Commissions trade costs of $5.00
7/25/23 9:44 AAL AMERICAN AIRLINES GROUP INC. C LONG 3,706 16.32 7/25 15:59 16.64 0.42%
Trade id #145315573
Max drawdown($471)
Time7/25/23 9:48
Quant open3,706
Worst price16.19
Drawdown as % of equity-0.42%
 $1,172
Includes Typical Broker Commissions trade costs of $5.00
7/21/23 9:48 ALB ALBEMARLE LONG 320 214.00 7/21 15:59 216.09 0.71%
Trade id #145284297
Max drawdown($777)
Time7/21/23 10:29
Quant open320
Worst price211.57
Drawdown as % of equity-0.71%
 $664
Includes Typical Broker Commissions trade costs of $6.40
7/21/23 9:32 CMA COMERICA SHORT 1,224 54.86 7/21 15:59 50.71 n/a $5,076
Includes Typical Broker Commissions trade costs of $5.00
7/21/23 9:31 ETSY ETSY INC. COMMON STOCK LONG 1,100 98.50 7/21 15:59 96.83 1.73%
Trade id #145283374
Max drawdown($1,962)
Time7/21/23 15:59
Quant open1,100
Worst price96.72
Drawdown as % of equity-1.73%
 ($1,841)
Includes Typical Broker Commissions trade costs of $5.00
7/20/23 10:43 KEY KEYCORP SHORT 5,140 11.81 7/20 15:59 11.88 1.17%
Trade id #145273314
Max drawdown($1,285)
Time7/20/23 14:04
Quant open5,140
Worst price12.06
Drawdown as % of equity-1.17%
 ($391)
Includes Typical Broker Commissions trade costs of $5.00
7/19/23 11:33 ETSY ETSY INC. COMMON STOCK LONG 1,100 96.37 7/19 15:59 96.15 0.71%
Trade id #145262835
Max drawdown($786)
Time7/19/23 13:09
Quant open1,100
Worst price95.66
Drawdown as % of equity-0.71%
 ($251)
Includes Typical Broker Commissions trade costs of $5.00
7/19/23 9:56 SLG SL GREEN REALTY SHORT 1,839 35.05 7/19 15:59 35.86 1.73%
Trade id #145260246
Max drawdown($1,921)
Time7/19/23 14:57
Quant open1,839
Worst price36.09
Drawdown as % of equity-1.73%
 ($1,500)
Includes Typical Broker Commissions trade costs of $5.00
7/19/23 9:40 SHOP SHOPIFY INC LONG 1,500 68.54 7/19 12:24 68.23 0.77%
Trade id #145259901
Max drawdown($860)
Time7/19/23 10:55
Quant open1,500
Worst price67.97
Drawdown as % of equity-0.77%
 ($474)
Includes Typical Broker Commissions trade costs of $5.00
7/19/23 9:31 BYND BEYOND MEAT INC. COMMON STOCK LONG 3,000 17.35 7/19 12:24 17.47 0.45%
Trade id #145259439
Max drawdown($500)
Time7/19/23 9:44
Quant open3,000
Worst price17.18
Drawdown as % of equity-0.45%
 $362
Includes Typical Broker Commissions trade costs of $5.00
7/18/23 10:50 CVNA CARVANA CO LONG 2,800 39.95 7/18 15:59 39.76 1.21%
Trade id #145247129
Max drawdown($1,368)
Time7/18/23 15:55
Quant open2,800
Worst price39.46
Drawdown as % of equity-1.21%
 ($527)
Includes Typical Broker Commissions trade costs of $5.00
7/14/23 10:04 NVDA NVIDIA SHORT 144 477.32 7/14 15:59 453.96 0.45%
Trade id #145219590
Max drawdown($512)
Time7/14/23 10:19
Quant open144
Worst price480.88
Drawdown as % of equity-0.45%
 $3,361
Includes Typical Broker Commissions trade costs of $2.88
7/14/23 9:31 BYND BEYOND MEAT INC. COMMON STOCK LONG 2,800 18.11 7/14 12:33 17.72 2.09%
Trade id #145218311
Max drawdown($2,373)
Time7/14/23 10:52
Quant open2,800
Worst price17.26
Drawdown as % of equity-2.09%
 ($1,083)
Includes Typical Broker Commissions trade costs of $5.00
7/14/23 9:34 ROKU ROKU INC. CLASS A COMMON STOCK LONG 660 78.26 7/14 12:31 75.75 1.99%
Trade id #145218683
Max drawdown($2,261)
Time7/14/23 10:50
Quant open660
Worst price74.83
Drawdown as % of equity-1.99%
 ($1,659)
Includes Typical Broker Commissions trade costs of $5.00
7/12/23 10:35 MANU MANCHESTER UNITED LONG 410 22.55 7/12 15:59 22.90 0.05%
Trade id #145194031
Max drawdown($58)
Time7/12/23 11:41
Quant open410
Worst price22.41
Drawdown as % of equity-0.05%
 $134
Includes Typical Broker Commissions trade costs of $8.20
Next

Statistics

  • Strategy began
    4/26/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1639.59
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    1130
  • # Profitable
    591
  • % Profitable
    52.30%
  • Avg trade duration
    5.3 hours
  • Max peak-to-valley drawdown
    13.71%
  • drawdown period
    May 12, 2022 - July 15, 2022
  • Annual Return (Compounded)
    19.0%
  • Avg win
    $608.45
  • Avg loss
    $537.32
  • Model Account Values (Raw)
  • Cash
    $119,975
  • Margin Used
    $0
  • Buying Power
    $119,975
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.63
  • Calmar Ratio
    2.581
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    12.41%
  • Correlation to SP500
    0.06810
  • Return Percent SP500 (cumu) during strategy life
    105.86%
  • Return Statistics
  • Ann Return (w trading costs)
    19.0%
  • Slump
  • Current Slump as Pcnt Equity
    12.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.190%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    83.70%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    343
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    365
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $537
  • Avg Win
    $608
  • Sum Trade PL (losers)
    $289,616.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $359,591.000
  • # Winners
    591
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    539
  • % Winners
    52.3%
  • Frequency
  • Avg Position Time (mins)
    316.10
  • Avg Position Time (hrs)
    5.27
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    405
  • Leverage
  • Daily leverage (average)
    0.97
  • Daily leverage (max)
    3.31
  • Regression
  • Alpha
    0.04
  • Beta
    0.05
  • Treynor Index
    0.83
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.26
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -13.403
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.267
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.809
  • Hold-and-Hope Ratio
    -0.075
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23851
  • SD
    0.17466
  • Sharpe ratio (Glass type estimate)
    1.36559
  • Sharpe ratio (Hedges UMVUE)
    1.34043
  • df
    41.00000
  • t
    2.55479
  • p
    0.00722
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44619
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25336
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42751
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33710
  • Upside Potential Ratio
    4.94809
  • Upside part of mean
    0.35365
  • Downside part of mean
    -0.11514
  • Upside SD
    0.17150
  • Downside SD
    0.07147
  • N nonnegative terms
    26.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.19643
  • Mean of criterion
    0.23851
  • SD of predictor
    0.21798
  • SD of criterion
    0.17466
  • Covariance
    0.00666
  • r
    0.17505
  • b (slope, estimate of beta)
    0.14026
  • a (intercept, estimate of alpha)
    0.21096
  • Mean Square Error
    0.03031
  • DF error
    40.00000
  • t(b)
    1.12447
  • p(b)
    0.13376
  • t(a)
    2.19225
  • p(a)
    0.01712
  • Lowerbound of 95% confidence interval for beta
    -0.11184
  • Upperbound of 95% confidence interval for beta
    0.39236
  • Lowerbound of 95% confidence interval for alpha
    0.01647
  • Upperbound of 95% confidence interval for alpha
    0.40545
  • Treynor index (mean / b)
    1.70049
  • Jensen alpha (a)
    0.21096
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22163
  • SD
    0.16867
  • Sharpe ratio (Glass type estimate)
    1.31399
  • Sharpe ratio (Hedges UMVUE)
    1.28978
  • df
    41.00000
  • t
    2.45825
  • p
    0.00914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37398
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01766
  • Upside Potential Ratio
    4.61778
  • Upside part of mean
    0.33915
  • Downside part of mean
    -0.11752
  • Upside SD
    0.16270
  • Downside SD
    0.07344
  • N nonnegative terms
    26.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.17300
  • Mean of criterion
    0.22163
  • SD of predictor
    0.20727
  • SD of criterion
    0.16867
  • Covariance
    0.00663
  • r
    0.18964
  • b (slope, estimate of beta)
    0.15432
  • a (intercept, estimate of alpha)
    0.19493
  • Mean Square Error
    0.02811
  • DF error
    40.00000
  • t(b)
    1.22156
  • p(b)
    0.11451
  • t(a)
    2.11312
  • p(a)
    0.02044
  • Lowerbound of 95% confidence interval for beta
    -0.10101
  • Upperbound of 95% confidence interval for beta
    0.40965
  • Lowerbound of 95% confidence interval for alpha
    0.00849
  • Upperbound of 95% confidence interval for alpha
    0.38137
  • Treynor index (mean / b)
    1.43612
  • Jensen alpha (a)
    0.19493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05976
  • Expected Shortfall on VaR
    0.07855
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01836
  • Expected Shortfall on VaR
    0.03837
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.92688
  • Quartile 1
    0.98939
  • Median
    1.01431
  • Quartile 3
    1.03895
  • Maximum
    1.15270
  • Mean of quarter 1
    0.96792
  • Mean of quarter 2
    1.00347
  • Mean of quarter 3
    1.02751
  • Mean of quarter 4
    1.08870
  • Inter Quartile Range
    0.04955
  • 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
    0.04762
  • Mean of outliers high
    1.14331
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22790
  • VaR(95%) (moments method)
    0.03138
  • Expected Shortfall (moments method)
    0.05075
  • Extreme Value Index (regression method)
    -0.12828
  • VaR(95%) (regression method)
    0.03757
  • Expected Shortfall (regression method)
    0.05017
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00722
  • Quartile 1
    0.01270
  • Median
    0.04720
  • Quartile 3
    0.06757
  • Maximum
    0.09245
  • Mean of quarter 1
    0.00996
  • Mean of quarter 2
    0.04720
  • Mean of quarter 3
    0.06757
  • Mean of quarter 4
    0.09245
  • Inter Quartile Range
    0.05487
  • 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)
    0.39856
  • Compounded annual return (geometric extrapolation)
    0.28343
  • Calmar ratio (compounded annual return / max draw down)
    3.06566
  • Compounded annual return / average of 25% largest draw downs
    3.06566
  • Compounded annual return / Expected Shortfall lognormal
    3.60842
  • 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
    0.23281
  • SD
    0.15088
  • Sharpe ratio (Glass type estimate)
    1.54301
  • Sharpe ratio (Hedges UMVUE)
    1.54175
  • df
    917.00000
  • t
    2.88828
  • p
    0.00198
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59120
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.58341
  • Upside Potential Ratio
    8.67516
  • Upside part of mean
    0.78177
  • Downside part of mean
    -0.54897
  • Upside SD
    0.12176
  • Downside SD
    0.09012
  • N nonnegative terms
    347.00000
  • N negative terms
    571.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    918.00000
  • Mean of predictor
    0.19184
  • Mean of criterion
    0.23281
  • SD of predictor
    0.19512
  • SD of criterion
    0.15088
  • Covariance
    0.00194
  • r
    0.06581
  • b (slope, estimate of beta)
    0.05089
  • a (intercept, estimate of alpha)
    0.22300
  • Mean Square Error
    0.02269
  • DF error
    916.00000
  • t(b)
    1.99621
  • p(b)
    0.02310
  • t(a)
    2.76655
  • p(a)
    0.00289
  • Lowerbound of 95% confidence interval for beta
    0.00086
  • Upperbound of 95% confidence interval for beta
    0.10093
  • Lowerbound of 95% confidence interval for alpha
    0.06482
  • Upperbound of 95% confidence interval for alpha
    0.38127
  • Treynor index (mean / b)
    4.57450
  • Jensen alpha (a)
    0.22304
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22136
  • SD
    0.15050
  • Sharpe ratio (Glass type estimate)
    1.47079
  • Sharpe ratio (Hedges UMVUE)
    1.46959
  • df
    917.00000
  • t
    2.75309
  • p
    0.00301
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42117
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51964
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51882
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41337
  • Upside Potential Ratio
    8.44324
  • Upside part of mean
    0.77442
  • Downside part of mean
    -0.55306
  • Upside SD
    0.12000
  • Downside SD
    0.09172
  • N nonnegative terms
    347.00000
  • N negative terms
    571.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    918.00000
  • Mean of predictor
    0.17278
  • Mean of criterion
    0.22136
  • SD of predictor
    0.19486
  • SD of criterion
    0.15050
  • Covariance
    0.00192
  • r
    0.06536
  • b (slope, estimate of beta)
    0.05048
  • a (intercept, estimate of alpha)
    0.21263
  • Mean Square Error
    0.02258
  • DF error
    916.00000
  • t(b)
    1.98238
  • p(b)
    0.02387
  • t(a)
    2.64486
  • p(a)
    0.00416
  • Lowerbound of 95% confidence interval for beta
    0.00050
  • Upperbound of 95% confidence interval for beta
    0.10046
  • Lowerbound of 95% confidence interval for alpha
    0.05485
  • Upperbound of 95% confidence interval for alpha
    0.37041
  • Treynor index (mean / b)
    4.38489
  • Jensen alpha (a)
    0.21263
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01435
  • Expected Shortfall on VaR
    0.01816
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00545
  • Expected Shortfall on VaR
    0.01145
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    918.00000
  • Minimum
    0.91684
  • Quartile 1
    0.99797
  • Median
    1.00000
  • Quartile 3
    1.00249
  • Maximum
    1.05729
  • Mean of quarter 1
    0.99226
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00071
  • Mean of quarter 4
    1.01136
  • Inter Quartile Range
    0.00452
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.06863
  • Mean of outliers low
    0.98367
  • Number of outliers high
    100.00000
  • Percentage of outliers high
    0.10893
  • Mean of outliers high
    1.01945
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39626
  • VaR(95%) (moments method)
    0.00689
  • Expected Shortfall (moments method)
    0.01364
  • Extreme Value Index (regression method)
    0.27148
  • VaR(95%) (regression method)
    0.00654
  • Expected Shortfall (regression method)
    0.01127
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00389
  • Median
    0.01019
  • Quartile 3
    0.03673
  • Maximum
    0.10970
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.00752
  • Mean of quarter 3
    0.02414
  • Mean of quarter 4
    0.07139
  • Inter Quartile Range
    0.03284
  • 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
    0.05405
  • Mean of outliers high
    0.10272
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.26581
  • VaR(95%) (moments method)
    0.07220
  • Expected Shortfall (moments method)
    0.07529
  • Extreme Value Index (regression method)
    -0.51616
  • VaR(95%) (regression method)
    0.08353
  • Expected Shortfall (regression method)
    0.09528
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39813
  • Compounded annual return (geometric extrapolation)
    0.28308
  • Calmar ratio (compounded annual return / max draw down)
    2.58054
  • Compounded annual return / average of 25% largest draw downs
    3.96499
  • Compounded annual return / Expected Shortfall lognormal
    15.58690
  • 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
    -0.06988
  • SD
    0.13800
  • Sharpe ratio (Glass type estimate)
    -0.50634
  • Sharpe ratio (Hedges UMVUE)
    -0.50341
  • df
    130.00000
  • t
    -0.35804
  • p
    0.51569
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.27787
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.27590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26907
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.79974
  • Upside Potential Ratio
    5.05437
  • Upside part of mean
    0.44162
  • Downside part of mean
    -0.51150
  • Upside SD
    0.10622
  • Downside SD
    0.08737
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67658
  • Mean of criterion
    -0.06988
  • SD of predictor
    0.21425
  • SD of criterion
    0.13800
  • Covariance
    0.00318
  • r
    0.10756
  • b (slope, estimate of beta)
    0.06928
  • a (intercept, estimate of alpha)
    -0.11675
  • Mean Square Error
    0.01897
  • DF error
    129.00000
  • t(b)
    1.22876
  • p(b)
    0.43166
  • t(a)
    -0.58821
  • p(a)
    0.53291
  • Lowerbound of 95% confidence interval for beta
    -0.04227
  • Upperbound of 95% confidence interval for beta
    0.18083
  • Lowerbound of 95% confidence interval for alpha
    -0.50945
  • Upperbound of 95% confidence interval for alpha
    0.27595
  • Treynor index (mean / b)
    -1.00859
  • Jensen alpha (a)
    -0.11675
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07925
  • SD
    0.13719
  • Sharpe ratio (Glass type estimate)
    -0.57769
  • Sharpe ratio (Hedges UMVUE)
    -0.57435
  • df
    130.00000
  • t
    -0.40849
  • p
    0.51790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.34930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.34703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19834
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89660
  • Upside Potential Ratio
    4.93322
  • Upside part of mean
    0.43606
  • Downside part of mean
    -0.51532
  • Upside SD
    0.10435
  • Downside SD
    0.08839
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.65341
  • Mean of criterion
    -0.07925
  • SD of predictor
    0.21071
  • SD of criterion
    0.13719
  • Covariance
    0.00317
  • r
    0.10953
  • b (slope, estimate of beta)
    0.07131
  • a (intercept, estimate of alpha)
    -0.12585
  • Mean Square Error
    0.01874
  • DF error
    129.00000
  • t(b)
    1.25154
  • p(b)
    0.43041
  • t(a)
    -0.63836
  • p(a)
    0.53571
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.04142
  • Upperbound of 95% confidence interval for beta
    0.18405
  • Lowerbound of 95% confidence interval for alpha
    -0.51590
  • Upperbound of 95% confidence interval for alpha
    0.26421
  • Treynor index (mean / b)
    -1.11137
  • Jensen alpha (a)
    -0.12585
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01414
  • Expected Shortfall on VaR
    0.01762
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00602
  • Expected Shortfall on VaR
    0.01241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96657
  • Quartile 1
    0.99993
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04860
  • Mean of quarter 1
    0.99260
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00677
  • Inter Quartile Range
    0.00007
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.24427
  • Mean of outliers low
    0.99237
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.00931
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.47657
  • VaR(95%) (moments method)
    0.00291
  • Expected Shortfall (moments method)
    0.00360
  • Extreme Value Index (regression method)
    0.11305
  • VaR(95%) (regression method)
    0.00786
  • Expected Shortfall (regression method)
    0.01357
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02367
  • Quartile 1
    0.04081
  • Median
    0.05795
  • Quartile 3
    0.06229
  • Maximum
    0.06663
  • Mean of quarter 1
    0.02367
  • Mean of quarter 2
    0.05795
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06663
  • Inter Quartile Range
    0.02148
  • 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?
    -358094000
  • Max Equity Drawdown (num days)
    64
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05069
  • Compounded annual return (geometric extrapolation)
    -0.05005
  • Calmar ratio (compounded annual return / max draw down)
    -0.75120
  • Compounded annual return / average of 25% largest draw downs
    -0.75120
  • Compounded annual return / Expected Shortfall lognormal
    -2.84003

Strategy Description

For the ORB strategy, there is a universe of symbols that are tracked daily, and buy orders are placed above the open for a sub-set of symbols that have a short-term pullback from a bullish trend. This strategy exits at the close of each day so there is no overnight risk.

As a complement to the first strategy, mean reversion positions are entered for overvalued and undervalued stocks selected from the S&P 500. The selected stocks must match a specific pattern in order to be considered for the trading day. A trade is initiated if the stocks continue to reverse during the trading day. Once a position is entered, it is exited by the close.

***ALL SUBSCRIBERS ARE ENTILED TO FREE ACCESS TO MY OTHER PROGRAM - SPXL/SPXS NEURAL NETWORK
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-04-26
Suggested Minimum Capital
$15,000
# Trades
1130
# Profitable
591
% Profitable
52.3%
Correlation S&P500
0.068
Sharpe Ratio
0.98
Sortino Ratio
1.63
Beta
0.05
Alpha
0.04
Leverage
0.97 Average
3.31 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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