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

Crono
(143274851)

Created by: Francesca Francesca
Started: 01/2023
Stocks
Last trade: 344 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 $90.00 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).
5.1%
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.

(9.0%)
Max Drawdown
191
Num Trades
66.0%
Win Trades
1.8 : 1
Profit Factor
28.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023+0.6%(2.3%)+4.6%+0.8%(0.1%)+3.4%+2.1%(0.8%)(3.8%)(1.1%)+5.6%  -  +9.1%
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/15/23 9:30 GILD GILEAD SCIENCES LONG 34 74.33 11/21 9:30 76.15 0.02%
Trade id #146446243
Max drawdown($11)
Time11/16/23 0:00
Quant open34
Worst price73.99
Drawdown as % of equity-0.02%
 $61
Includes Typical Broker Commissions trade costs of $0.68
11/10/23 9:45 BIIB BIOGEN INC. COMMON STOCK LONG 11 222.59 11/16 9:30 231.66 0.04%
Trade id #146395960
Max drawdown($19)
Time11/13/23 0:00
Quant open11
Worst price220.86
Drawdown as % of equity-0.04%
 $100
Includes Typical Broker Commissions trade costs of $0.22
11/10/23 9:41 INCY INCYTE LONG 48 52.29 11/15 9:40 54.81 0.07%
Trade id #146395841
Max drawdown($39)
Time11/10/23 11:51
Quant open48
Worst price51.47
Drawdown as % of equity-0.07%
 $120
Includes Typical Broker Commissions trade costs of $0.96
11/10/23 9:31 OKTA OKTA INC. CL A COMMON STOCK LONG 38 66.00 11/15 9:39 71.51 0%
Trade id #146395480
Max drawdown($0)
Time11/10/23 9:39
Quant open38
Worst price65.98
Drawdown as % of equity-0.00%
 $208
Includes Typical Broker Commissions trade costs of $0.76
11/10/23 9:30 JD JD.COM INC LONG 97 25.64 11/15 9:30 28.45 0.05%
Trade id #146395316
Max drawdown($26)
Time11/10/23 10:57
Quant open97
Worst price25.37
Drawdown as % of equity-0.05%
 $271
Includes Typical Broker Commissions trade costs of $1.94
11/10/23 10:04 TXN TEXAS INSTRUMENTS LONG 18 143.17 11/15 9:30 151.10 0%
Trade id #146396423
Max drawdown($1)
Time11/10/23 10:16
Quant open18
Worst price143.08
Drawdown as % of equity-0.00%
 $143
Includes Typical Broker Commissions trade costs of $0.36
11/10/23 9:32 ALGN ALIGN TECHNOLOGY LONG 14 186.12 11/14 11:01 204.65 n/a $259
Includes Typical Broker Commissions trade costs of $0.28
11/10/23 9:32 FFIN FIRST FINANCIAL BANKSHS LONG 102 24.40 11/14 10:21 26.60 0.03%
Trade id #146395574
Max drawdown($18)
Time11/10/23 9:36
Quant open102
Worst price24.22
Drawdown as % of equity-0.03%
 $222
Includes Typical Broker Commissions trade costs of $2.04
10/24/23 9:54 EXPO EXPONENT LONG 30 84.88 11/14 9:30 75.55 1.19%
Trade id #146218300
Max drawdown($608)
Time10/27/23 0:00
Quant open30
Worst price64.61
Drawdown as % of equity-1.19%
 ($281)
Includes Typical Broker Commissions trade costs of $0.60
11/9/23 13:40 REPX RILEY EXPLORATION PERMIAN INC LONG 97 25.33 11/10 11:54 26.04 0.19%
Trade id #146389164
Max drawdown($98)
Time11/9/23 15:56
Quant open97
Worst price24.31
Drawdown as % of equity-0.19%
 $67
Includes Typical Broker Commissions trade costs of $1.94
10/20/23 9:31 INTU INTUIT LONG 5 519.38 11/3 14:59 502.45 0.44%
Trade id #146184357
Max drawdown($229)
Time10/26/23 0:00
Quant open5
Worst price473.56
Drawdown as % of equity-0.44%
 ($85)
Includes Typical Broker Commissions trade costs of $0.10
10/27/23 9:53 NKE NIKE LONG 25 99.50 11/3 9:30 106.43 0.08%
Trade id #146256762
Max drawdown($42)
Time10/27/23 15:47
Quant open25
Worst price97.81
Drawdown as % of equity-0.08%
 $173
Includes Typical Broker Commissions trade costs of $0.50
10/27/23 9:30 BIIB BIOGEN INC. COMMON STOCK LONG 11 239.30 11/3 9:30 244.20 0.12%
Trade id #146255769
Max drawdown($60)
Time10/27/23 15:52
Quant open11
Worst price233.76
Drawdown as % of equity-0.12%
 $54
Includes Typical Broker Commissions trade costs of $0.22
10/24/23 9:30 ALGN ALIGN TECHNOLOGY LONG 10 264.64 11/3 9:30 194.60 1.74%
Trade id #146217498
Max drawdown($883)
Time10/30/23 0:00
Quant open10
Worst price176.34
Drawdown as % of equity-1.74%
 ($700)
Includes Typical Broker Commissions trade costs of $0.20
10/23/23 9:30 FFIN FIRST FINANCIAL BANKSHS LONG 108 22.99 11/3 9:30 26.07 0.03%
Trade id #146203321
Max drawdown($16)
Time10/25/23 0:00
Quant open108
Worst price22.84
Drawdown as % of equity-0.03%
 $331
Includes Typical Broker Commissions trade costs of $2.16
10/16/23 9:30 TSLA TESLA INC. LONG 10 250.20 11/3 9:30 221.15 1.09%
Trade id #146138375
Max drawdown($561)
Time10/31/23 0:00
Quant open10
Worst price194.07
Drawdown as % of equity-1.09%
 ($291)
Includes Typical Broker Commissions trade costs of $0.20
9/18/23 9:30 TXN TEXAS INSTRUMENTS LONG 16 162.24 11/3 9:30 149.23 0.72%
Trade id #145853695
Max drawdown($364)
Time10/30/23 0:00
Quant open16
Worst price139.48
Drawdown as % of equity-0.72%
 ($208)
Includes Typical Broker Commissions trade costs of $0.32
10/19/23 9:40 MA MASTERCARD LONG 7 392.54 11/2 9:30 380.40 0.45%
Trade id #146172287
Max drawdown($229)
Time10/27/23 0:00
Quant open7
Worst price359.77
Drawdown as % of equity-0.45%
 ($85)
Includes Typical Broker Commissions trade costs of $0.14
10/23/23 9:30 AAPL APPLE LONG 15 171.02 11/2 9:30 175.48 0.15%
Trade id #146203318
Max drawdown($80)
Time10/26/23 0:00
Quant open15
Worst price165.67
Drawdown as % of equity-0.15%
 $67
Includes Typical Broker Commissions trade costs of $0.30
10/23/23 9:30 MU MICRON TECHNOLOGY LONG 37 66.91 11/2 9:30 70.26 0.22%
Trade id #146203267
Max drawdown($112)
Time10/26/23 0:00
Quant open37
Worst price63.88
Drawdown as % of equity-0.22%
 $123
Includes Typical Broker Commissions trade costs of $0.74
10/20/23 10:11 META META PLATFORMS INC. CLASS A LONG 8 311.75 11/2 9:30 317.09 0.5%
Trade id #146185467
Max drawdown($258)
Time10/26/23 0:00
Quant open8
Worst price279.40
Drawdown as % of equity-0.50%
 $43
Includes Typical Broker Commissions trade costs of $0.16
10/20/23 9:33 NVDA NVIDIA LONG 6 418.20 11/2 9:30 433.28 0.3%
Trade id #146184504
Max drawdown($155)
Time10/31/23 0:00
Quant open6
Worst price392.30
Drawdown as % of equity-0.30%
 $90
Includes Typical Broker Commissions trade costs of $0.12
10/20/23 9:30 V VISA LONG 11 233.40 11/2 9:30 239.91 0.12%
Trade id #146184118
Max drawdown($59)
Time10/27/23 0:00
Quant open11
Worst price228.03
Drawdown as % of equity-0.12%
 $72
Includes Typical Broker Commissions trade costs of $0.22
10/20/23 10:13 INCY INCYTE LONG 45 55.48 11/1 15:12 54.55 0.46%
Trade id #146185534
Max drawdown($234)
Time10/31/23 0:00
Quant open45
Worst price50.27
Drawdown as % of equity-0.46%
 ($43)
Includes Typical Broker Commissions trade costs of $0.90
10/26/23 9:30 QCOM QUALCOMM LONG 24 104.43 11/1 9:30 109.33 0%
Trade id #146243127
Max drawdown($2)
Time10/26/23 12:19
Quant open24
Worst price104.33
Drawdown as % of equity-0.00%
 $118
Includes Typical Broker Commissions trade costs of $0.48
10/26/23 10:21 ADBE ADOBE INC LONG 10 517.60 11/1 9:30 535.00 0.21%
Trade id #146244571
Max drawdown($106)
Time10/27/23 0:00
Quant open10
Worst price506.92
Drawdown as % of equity-0.21%
 $174
Includes Typical Broker Commissions trade costs of $0.20
10/23/23 9:30 GILD GILEAD SCIENCES LONG 32 77.70 11/1 9:30 78.95 0.09%
Trade id #146203394
Max drawdown($43)
Time10/27/23 0:00
Quant open32
Worst price76.33
Drawdown as % of equity-0.09%
 $39
Includes Typical Broker Commissions trade costs of $0.64
10/23/23 9:30 NTES NETEASE LONG 25 100.40 10/30 9:30 108.26 0.05%
Trade id #146203286
Max drawdown($24)
Time10/23/23 9:45
Quant open25
Worst price99.42
Drawdown as % of equity-0.05%
 $197
Includes Typical Broker Commissions trade costs of $0.50
10/23/23 9:30 AMZN AMAZON.COM LONG 20 124.65 10/27 9:43 127.94 0.24%
Trade id #146203463
Max drawdown($126)
Time10/26/23 0:00
Quant open20
Worst price118.35
Drawdown as % of equity-0.24%
 $66
Includes Typical Broker Commissions trade costs of $0.40
10/18/23 9:30 JD JD.COM INC LONG 94 26.20 10/27 9:30 26.22 0.39%
Trade id #146159628
Max drawdown($206)
Time10/23/23 0:00
Quant open94
Worst price24.01
Drawdown as % of equity-0.39%
 ($1)
Includes Typical Broker Commissions trade costs of $1.88
Next

Statistics

  • Strategy began
    1/19/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    638.29
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    191
  • # Profitable
    126
  • % Profitable
    66.00%
  • Avg trade duration
    13.4 days
  • Max peak-to-valley drawdown
    8.99%
  • drawdown period
    July 31, 2023 - Sept 27, 2023
  • Annual Return (Compounded)
    5.1%
  • Avg win
    $109.71
  • Avg loss
    $122.54
  • Model Account Values (Raw)
  • Cash
    $56,009
  • Margin Used
    $0
  • Buying Power
    $56,009
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    0.49
  • Sortino Ratio
    0.72
  • Calmar Ratio
    2.007
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -41.31%
  • Correlation to SP500
    0.45210
  • Return Percent SP500 (cumu) during strategy life
    49.78%
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.69%
  • 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)
    0.051%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    16.00%
  • 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
    n/a
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $123
  • Avg Win
    $110
  • Sum Trade PL (losers)
    $7,965.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $13,824.000
  • # Winners
    126
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    147
  • Win / Loss
  • # Losers
    65
  • % Winners
    66.0%
  • Frequency
  • Avg Position Time (mins)
    19324.20
  • Avg Position Time (hrs)
    322.07
  • Avg Trade Length
    13.4 days
  • Last Trade Ago
    333
  • Leverage
  • Daily leverage (average)
    0.45
  • Daily leverage (max)
    1.46
  • Regression
  • Alpha
    -0.00
  • Beta
    0.23
  • Treynor Index
    0.04
  • 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)
    2.13
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.959
  • 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
    0.725
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.085
  • Hold-and-Hope Ratio
    0.167
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09799
  • SD
    0.05706
  • Sharpe ratio (Glass type estimate)
    1.71745
  • Sharpe ratio (Hedges UMVUE)
    1.58476
  • df
    10.00000
  • t
    1.64433
  • p
    0.06557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74649
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.38896
  • Upside Potential Ratio
    6.12442
  • Upside part of mean
    0.13674
  • Downside part of mean
    -0.03875
  • Upside SD
    0.05711
  • Downside SD
    0.02233
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.28848
  • Mean of criterion
    0.09799
  • SD of predictor
    0.17744
  • SD of criterion
    0.05706
  • Covariance
    0.00071
  • r
    0.07025
  • b (slope, estimate of beta)
    0.02259
  • a (intercept, estimate of alpha)
    0.09148
  • Mean Square Error
    0.00360
  • DF error
    9.00000
  • t(b)
    0.21128
  • p(b)
    0.41869
  • t(a)
    1.30975
  • p(a)
    0.11136
  • Lowerbound of 95% confidence interval for beta
    -0.21927
  • Upperbound of 95% confidence interval for beta
    0.26445
  • Lowerbound of 95% confidence interval for alpha
    -0.06652
  • Upperbound of 95% confidence interval for alpha
    0.24947
  • Treynor index (mean / b)
    4.33799
  • Jensen alpha (a)
    0.09148
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09592
  • SD
    0.05645
  • Sharpe ratio (Glass type estimate)
    1.69925
  • Sharpe ratio (Hedges UMVUE)
    1.56798
  • df
    10.00000
  • t
    1.62691
  • p
    0.06741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51282
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83729
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59140
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72735
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.27319
  • Upside Potential Ratio
    6.00653
  • Upside part of mean
    0.13483
  • Downside part of mean
    -0.03891
  • Upside SD
    0.05621
  • Downside SD
    0.02245
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.27099
  • Mean of criterion
    0.09592
  • SD of predictor
    0.17128
  • SD of criterion
    0.05645
  • Covariance
    0.00073
  • r
    0.07515
  • b (slope, estimate of beta)
    0.02477
  • a (intercept, estimate of alpha)
    0.08921
  • Mean Square Error
    0.00352
  • DF error
    9.00000
  • t(b)
    0.22609
  • p(b)
    0.41309
  • t(a)
    1.29824
  • p(a)
    0.11324
  • Lowerbound of 95% confidence interval for beta
    -0.22304
  • Upperbound of 95% confidence interval for beta
    0.27257
  • Lowerbound of 95% confidence interval for alpha
    -0.06623
  • Upperbound of 95% confidence interval for alpha
    0.24465
  • Treynor index (mean / b)
    3.87306
  • Jensen alpha (a)
    0.08921
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01863
  • Expected Shortfall on VaR
    0.02528
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00606
  • Expected Shortfall on VaR
    0.01230
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.98436
  • Quartile 1
    0.99861
  • Median
    1.00888
  • Quartile 3
    1.02294
  • Maximum
    1.03673
  • Mean of quarter 1
    0.99125
  • Mean of quarter 2
    1.00583
  • Mean of quarter 3
    1.01641
  • Mean of quarter 4
    1.03046
  • Inter Quartile Range
    0.02432
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.81356
  • VaR(95%) (moments method)
    0.00733
  • Expected Shortfall (moments method)
    0.00733
  • Extreme Value Index (regression method)
    -0.34201
  • VaR(95%) (regression method)
    0.01696
  • Expected Shortfall (regression method)
    0.02187
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00779
  • Quartile 1
    0.01045
  • Median
    0.01310
  • Quartile 3
    0.01576
  • Maximum
    0.01841
  • Mean of quarter 1
    0.00779
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01841
  • Inter Quartile Range
    0.00531
  • 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)
    0.13113
  • Compounded annual return (geometric extrapolation)
    0.13182
  • Calmar ratio (compounded annual return / max draw down)
    7.15874
  • Compounded annual return / average of 25% largest draw downs
    7.15874
  • Compounded annual return / Expected Shortfall lognormal
    5.21527
  • 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
    0.09435
  • SD
    0.07489
  • Sharpe ratio (Glass type estimate)
    1.25983
  • Sharpe ratio (Hedges UMVUE)
    1.25602
  • df
    248.00000
  • t
    1.22818
  • p
    0.11027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26953
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86444
  • Upside Potential Ratio
    8.54786
  • Upside part of mean
    0.43255
  • Downside part of mean
    -0.33820
  • Upside SD
    0.05531
  • Downside SD
    0.05060
  • N nonnegative terms
    115.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    249.00000
  • Mean of predictor
    0.39388
  • Mean of criterion
    0.09435
  • SD of predictor
    0.15847
  • SD of criterion
    0.07489
  • Covariance
    0.00539
  • r
    0.45388
  • b (slope, estimate of beta)
    0.21450
  • a (intercept, estimate of alpha)
    0.01000
  • Mean Square Error
    0.00447
  • DF error
    247.00000
  • t(b)
    8.00538
  • p(b)
    -0.00000
  • t(a)
    0.14208
  • p(a)
    0.44357
  • Lowerbound of 95% confidence interval for beta
    0.16172
  • Upperbound of 95% confidence interval for beta
    0.26727
  • Lowerbound of 95% confidence interval for alpha
    -0.12682
  • Upperbound of 95% confidence interval for alpha
    0.14654
  • Treynor index (mean / b)
    0.43985
  • Jensen alpha (a)
    0.00986
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09153
  • SD
    0.07491
  • Sharpe ratio (Glass type estimate)
    1.22185
  • Sharpe ratio (Hedges UMVUE)
    1.21815
  • df
    248.00000
  • t
    1.19115
  • p
    0.11737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79271
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23399
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79518
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23148
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79775
  • Upside Potential Ratio
    8.46530
  • Upside part of mean
    0.43098
  • Downside part of mean
    -0.33946
  • Upside SD
    0.05503
  • Downside SD
    0.05091
  • N nonnegative terms
    115.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    249.00000
  • Mean of predictor
    0.38110
  • Mean of criterion
    0.09153
  • SD of predictor
    0.15802
  • SD of criterion
    0.07491
  • Covariance
    0.00538
  • r
    0.45446
  • b (slope, estimate of beta)
    0.21543
  • a (intercept, estimate of alpha)
    0.00942
  • Mean Square Error
    0.00447
  • DF error
    247.00000
  • t(b)
    8.01834
  • p(b)
    -0.00000
  • t(a)
    0.13591
  • p(a)
    0.44600
  • Lowerbound of 95% confidence interval for beta
    0.16251
  • Upperbound of 95% confidence interval for beta
    0.26835
  • Lowerbound of 95% confidence interval for alpha
    -0.12716
  • Upperbound of 95% confidence interval for alpha
    0.14600
  • Treynor index (mean / b)
    0.42485
  • Jensen alpha (a)
    0.00942
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00724
  • Expected Shortfall on VaR
    0.00915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00308
  • Expected Shortfall on VaR
    0.00639
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    249.00000
  • Minimum
    0.97873
  • Quartile 1
    0.99879
  • Median
    1.00000
  • Quartile 3
    1.00215
  • Maximum
    1.01842
  • Mean of quarter 1
    0.99541
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00090
  • Mean of quarter 4
    1.00593
  • Inter Quartile Range
    0.00335
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.06024
  • Mean of outliers low
    0.98986
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.07229
  • Mean of outliers high
    1.01043
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58480
  • VaR(95%) (moments method)
    0.00458
  • Expected Shortfall (moments method)
    0.01238
  • Extreme Value Index (regression method)
    0.20476
  • VaR(95%) (regression method)
    0.00417
  • Expected Shortfall (regression method)
    0.00688
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00081
  • Median
    0.00205
  • Quartile 3
    0.00892
  • Maximum
    0.06321
  • Mean of quarter 1
    0.00044
  • Mean of quarter 2
    0.00152
  • Mean of quarter 3
    0.00528
  • Mean of quarter 4
    0.02626
  • Inter Quartile Range
    0.00810
  • 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
    0.10526
  • Mean of outliers high
    0.04780
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64954
  • VaR(95%) (moments method)
    0.03091
  • Expected Shortfall (moments method)
    0.09238
  • Extreme Value Index (regression method)
    2.71440
  • VaR(95%) (regression method)
    0.03626
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12648
  • Compounded annual return (geometric extrapolation)
    0.12686
  • Calmar ratio (compounded annual return / max draw down)
    2.00698
  • Compounded annual return / average of 25% largest draw downs
    4.83125
  • Compounded annual return / Expected Shortfall lognormal
    13.85980
  • 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
    0.03320
  • SD
    0.08064
  • Sharpe ratio (Glass type estimate)
    0.41164
  • Sharpe ratio (Hedges UMVUE)
    0.40926
  • df
    130.00000
  • t
    0.29108
  • p
    0.48724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36134
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.36299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18152
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57904
  • Upside Potential Ratio
    6.86695
  • Upside part of mean
    0.39367
  • Downside part of mean
    -0.36048
  • Upside SD
    0.05631
  • Downside SD
    0.05733
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49772
  • Mean of criterion
    0.03320
  • SD of predictor
    0.17223
  • SD of criterion
    0.08064
  • Covariance
    0.00537
  • r
    0.38692
  • b (slope, estimate of beta)
    0.18116
  • a (intercept, estimate of alpha)
    -0.05697
  • Mean Square Error
    0.00557
  • DF error
    129.00000
  • t(b)
    4.76581
  • p(b)
    0.25997
  • t(a)
    -0.53119
  • p(a)
    0.52973
  • Lowerbound of 95% confidence interval for beta
    0.10595
  • Upperbound of 95% confidence interval for beta
    0.25637
  • Lowerbound of 95% confidence interval for alpha
    -0.26917
  • Upperbound of 95% confidence interval for alpha
    0.15523
  • Treynor index (mean / b)
    0.18324
  • Jensen alpha (a)
    -0.05697
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02996
  • SD
    0.08072
  • Sharpe ratio (Glass type estimate)
    0.37116
  • Sharpe ratio (Hedges UMVUE)
    0.36901
  • df
    130.00000
  • t
    0.26245
  • p
    0.48849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14118
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51889
  • Upside Potential Ratio
    6.79034
  • Upside part of mean
    0.39206
  • Downside part of mean
    -0.36210
  • Upside SD
    0.05600
  • Downside SD
    0.05774
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48257
  • Mean of criterion
    0.02996
  • SD of predictor
    0.17158
  • SD of criterion
    0.08072
  • Covariance
    0.00538
  • r
    0.38877
  • b (slope, estimate of beta)
    0.18290
  • a (intercept, estimate of alpha)
    -0.05830
  • Mean Square Error
    0.00557
  • DF error
    129.00000
  • t(b)
    4.79266
  • p(b)
    0.25888
  • t(a)
    -0.54399
  • p(a)
    0.53045
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    0.10740
  • Upperbound of 95% confidence interval for beta
    0.25841
  • Lowerbound of 95% confidence interval for alpha
    -0.27035
  • Upperbound of 95% confidence interval for alpha
    0.15375
  • Treynor index (mean / b)
    0.16380
  • Jensen alpha (a)
    -0.05830
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00806
  • Expected Shortfall on VaR
    0.01012
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00346
  • Expected Shortfall on VaR
    0.00725
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97873
  • Quartile 1
    0.99907
  • Median
    1.00000
  • Quartile 3
    1.00126
  • Maximum
    1.01842
  • Mean of quarter 1
    0.99489
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.00575
  • Inter Quartile Range
    0.00219
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.99133
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.00887
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38323
  • VaR(95%) (moments method)
    0.00378
  • Expected Shortfall (moments method)
    0.00765
  • Extreme Value Index (regression method)
    0.27216
  • VaR(95%) (regression method)
    0.00495
  • Expected Shortfall (regression method)
    0.00919
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00075
  • Median
    0.00127
  • Quartile 3
    0.01700
  • Maximum
    0.06321
  • Mean of quarter 1
    0.00021
  • Mean of quarter 2
    0.00094
  • Mean of quarter 3
    0.00160
  • Mean of quarter 4
    0.06321
  • Inter Quartile Range
    0.01625
  • 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
    0.25000
  • Mean of outliers high
    0.06321
  • 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?
    -366339000
  • Max Equity Drawdown (num days)
    58
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05871
  • Compounded annual return (geometric extrapolation)
    0.05957
  • Calmar ratio (compounded annual return / max draw down)
    0.94249
  • Compounded annual return / average of 25% largest draw downs
    0.94249
  • Compounded annual return / Expected Shortfall lognormal
    5.88736

Strategy Description

Trading system that works on a selected American stocks with Limit orders and no stop loss.
Orders are changed daily to both buy and sell.

Take advantage of oversold moments in the market.

His simulation from 2000 to the present has a maximum drawdown of 20% in 2008 and 2022, an average annual percentage return of 22%. An average of 240 trades per year with 71% wins. Avarege winning trade equal to $245 and average loss trade equal to $305 for each trade are invested 5.000 $. Backtesting data in hypotetical and it has been verified by C2.

The capital used is equal to 40k paid into the Tmargin account on an interactive broker
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-01-19
Suggested Minimum Capital
$15,000
# Trades
191
# Profitable
126
% Profitable
66.0%
Net Dividends
$147
Correlation S&P500
0.452
Sharpe Ratio
0.49
Sortino Ratio
0.72
Beta
0.23
Alpha
-0.00
Leverage
0.45 Average
1.46 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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