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Carma Stocks ex US
(95709284)

Created by: CarmaAdvisory CarmaAdvisory
Started: 07/2015
Stocks
Last trade: Today
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 $49.00 per month.

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).
8.7%
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.

(10.9%)
Max Drawdown
427
Num Trades
67.2%
Win Trades
1.7 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                          +1.0%+5.1%(0.1%)  -  (2.6%)(3.5%)(0.2%)
2016+1.1%(1.4%)+2.9%+1.8%+4.1%+3.8%+0.8%+1.1%+1.5%+1.2%+3.0%+1.9%+24.0%
2017(3%)(2.2%)+0.1%(1.8%)+0.1%  -  (0.2%)(1%)  -    -  (1.3%)+0.9%(8.2%)
2018  -  (0.8%)+1.7%+2.0%(0.8%)+4.7%+4.2%  -  (0.5%)+1.3%+3.6%+2.9%+19.6%
2019(2%)+1.7%                                                            (0.4%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 281 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/19/19 3:50 LSE.PLUS PLUS500 LTD LONG 1,439 £7.255 2/20 3:00 £7.390 0.4%
Trade id #122580158
Max drawdown($610)
Time2/19/19 8:58
Quant open1,439
Worst price6.930
Drawdown as % of equity-0.40%
$230
Includes Typical Broker Commissions trade costs of $21.07
2/13/19 9:35 TSX.ABX BARRICK GOLD CORP LONG 1,039 CAD 16.96 2/19 9:30 CAD 17.38 n/a $294
Includes Typical Broker Commissions trade costs of $35.68
2/13/19 9:30 TSX.WFT WEST FRASER TIMBER CO LTD LONG 263 CAD 67.00 2/14 9:30 CAD 72.09 8.52%
Trade id #122499657
Max drawdown($13,144)
Time2/13/19 9:35
Quant open263
Worst price0.86
Drawdown as % of equity-8.52%
$973
Includes Typical Broker Commissions trade costs of $36.58
2/7/19 3:01 LSE.OCDO OCADO GROUP PLC LONG 1,084 £9.558 2/11 7:07 £9.342 1.11%
Trade id #122409372
Max drawdown($1,668)
Time2/7/19 9:10
Quant open1,084
Worst price8.364
Drawdown as % of equity-1.11%
($323)
Includes Typical Broker Commissions trade costs of $20.49
1/29/19 7:41 LSE.PETS PETS AT HOME GROUP PLC LONG 7,603 £1.359 2/11 3:00 £1.300 0.71%
Trade id #122238008
Max drawdown($1,067)
Time2/8/19 3:01
Quant open7,603
Worst price1.250
Drawdown as % of equity-0.71%
($611)
Includes Typical Broker Commissions trade costs of $20.21
2/5/19 7:00 LSE.PDG PENDRAGON PLC LONG 42,092 £0.247 2/6 4:00 £0.250 0.07%
Trade id #122359157
Max drawdown($108)
Time2/6/19 3:14
Quant open42,092
Worst price0.245
Drawdown as % of equity-0.07%
$143
Includes Typical Broker Commissions trade costs of $20.92
2/1/19 5:31 LSE.GNC GREENCORE GROUP PLC LONG 5,447 £1.899 2/5 3:00 £1.960 0.3%
Trade id #122308960
Max drawdown($461)
Time2/1/19 11:21
Quant open5,447
Worst price1.833
Drawdown as % of equity-0.30%
$413
Includes Typical Broker Commissions trade costs of $21.02
1/30/19 11:25 LSE.MTRO METRO BANK PLC LONG 854 £12.090 2/4 3:00 £12.030 1.07%
Trade id #122269887
Max drawdown($1,612)
Time1/31/19 10:03
Quant open854
Worst price10.630
Drawdown as % of equity-1.07%
($88)
Includes Typical Broker Commissions trade costs of $20.59
2/1/19 3:00 LSE.PDG PENDRAGON PLC LONG 40,844 £0.250 2/4 3:00 £0.260 n/a $515
Includes Typical Broker Commissions trade costs of $20.83
1/29/19 3:08 LSE.DOM DOMINO'S PIZZA GROUP PLC LONG 4,195 £2.460 1/30 3:00 £2.513 0.07%
Trade id #122235080
Max drawdown($102)
Time1/29/19 3:11
Quant open4,195
Worst price2.441
Drawdown as % of equity-0.07%
$271
Includes Typical Broker Commissions trade costs of $20.86
1/23/19 3:09 LSE.MARS MARSTON'S PLC LONG 10,593 £0.981 1/28 3:00 £0.974 0.41%
Trade id #122124647
Max drawdown($626)
Time1/24/19 10:01
Quant open10,593
Worst price0.935
Drawdown as % of equity-0.41%
($110)
Includes Typical Broker Commissions trade costs of $20.71
1/14/19 9:41 LSE.AZN ASTRAZENECA PLC LONG 188 £55.830 1/21 4:00 £55.830 0.23%
Trade id #121950568
Max drawdown($354)
Time1/15/19 2:56
Quant open188
Worst price54.399
Drawdown as % of equity-0.23%
($21)
Includes Typical Broker Commissions trade costs of $21.00
1/9/19 11:01 TSX.PVG PRETIUM RESOURCES INC. LONG 1,643 CAD 11.05 1/17 13:18 CAD 9.24 3.6%
Trade id #121871787
Max drawdown($5,436)
Time1/17/19 9:39
Quant open1,643
Worst price6.65
Drawdown as % of equity-3.60%
($2,280)
Includes Typical Broker Commissions trade costs of $33.34
12/21/18 11:00 LSE.BATS BRITISH AMERICAN TOBACCO PLC LONG 403 £24.975 1/2/19 4:00 £24.995 0.2%
Trade id #121619261
Max drawdown($302)
Time12/27/18 6:44
Quant open403
Worst price24.385
Drawdown as % of equity-0.20%
($10)
Includes Typical Broker Commissions trade costs of $20.13
12/17/18 10:19 TSX.PKI PARKLAND FUEL CORP LONG 520 CAD 34.91 12/27 9:32 CAD 33.05 0.47%
Trade id #121526960
Max drawdown($722)
Time12/27/18 9:32
Quant open0
Worst price33.05
Drawdown as % of equity-0.47%
($757)
Includes Typical Broker Commissions trade costs of $35.34
12/20/18 3:00 LSE.RRS Randgold Resources Ltd LONG 166 £64.940 12/27 3:00 £66.300 0.16%
Trade id #121588355
Max drawdown($241)
Time12/20/18 3:38
Quant open166
Worst price63.800
Drawdown as % of equity-0.16%
$263
Includes Typical Broker Commissions trade costs of $21.79
12/17/18 10:01 LSE.GRG GREGGS PLC LONG 860 £12.540 12/20 3:01 £12.790 0%
Trade id #121526382
Max drawdown$0
Time12/17/18 10:03
Quant open860
Worst price12.540
Drawdown as % of equity0.00%
$249
Includes Typical Broker Commissions trade costs of $21.78
12/17/18 3:00 LSE.ACA ACACIA MINING PLC LONG 5,783 £1.853 12/19 3:00 £1.911 0.54%
Trade id #121521621
Max drawdown($830)
Time12/18/18 3:01
Quant open5,783
Worst price1.739
Drawdown as % of equity-0.54%
$404
Includes Typical Broker Commissions trade costs of $21.76
12/10/18 11:34 TSX.MEG MEG ENERGY CORP LONG 2,279 CAD 7.93 12/11 9:30 CAD 8.27 n/a $542
Includes Typical Broker Commissions trade costs of $36.92
12/6/18 3:02 LSE.LRE LANCASHIRE HOLDINGS LIMITED LONG 1,763 £5.995 12/11 3:00 £6.130 0.12%
Trade id #121368569
Max drawdown($184)
Time12/10/18 11:36
Quant open1,763
Worst price5.912
Drawdown as % of equity-0.12%
$282
Includes Typical Broker Commissions trade costs of $21.38
12/6/18 4:33 LSE.INDV INDIVIOR PLC LONG 12,587 £0.842 12/7 5:44 £0.830 0.42%
Trade id #121368684
Max drawdown($653)
Time12/6/18 6:36
Quant open12,587
Worst price0.801
Drawdown as % of equity-0.42%
($213)
Includes Typical Broker Commissions trade costs of $21.05
12/4/18 5:03 LSE.KIE KIER GROUP PLC LONG 2,643 £4.014 12/5 3:43 £4.276 0.4%
Trade id #121327466
Max drawdown($600)
Time12/4/18 5:45
Quant open2,643
Worst price3.835
Drawdown as % of equity-0.40%
$865
Includes Typical Broker Commissions trade costs of $21.91
12/4/18 3:30 LSE.TCG THOMAS COOK GROUP PLC LONG 49,884 £0.213 12/5 3:00 £0.228 0.7%
Trade id #121326991
Max drawdown($1,054)
Time12/4/18 4:12
Quant open49,884
Worst price0.196
Drawdown as % of equity-0.70%
$907
Includes Typical Broker Commissions trade costs of $21.98
12/3/18 11:06 LSE.GRI GRAINGER PLC LONG 4,656 £2.278 12/4 4:00 £2.302 0.03%
Trade id #121311225
Max drawdown($47)
Time12/4/18 3:02
Quant open4,656
Worst price2.270
Drawdown as % of equity-0.03%
$121
Includes Typical Broker Commissions trade costs of $21.33
11/29/18 9:30 TSX.BNE BONTERRA ENERGY CORP LONG 2,426 CAD 7.45 12/3 9:30 CAD 7.61 n/a $255
Includes Typical Broker Commissions trade costs of $36.53
11/30/18 9:12 LSE.KIE KIER GROUP PLC LONG 1,566 £6.750 12/3 3:00 £5.095 2.31%
Trade id #121269691
Max drawdown($3,478)
Time11/30/18 11:28
Quant open1,566
Worst price5.005
Drawdown as % of equity-2.31%
($3,328)
Includes Typical Broker Commissions trade costs of $18.55
11/30/18 11:28 LSE.TCG THOMAS COOK GROUP PLC LONG 35,006 £0.303 12/3 3:00 £0.307 0.05%
Trade id #121273777
Max drawdown($81)
Time11/30/18 11:56
Quant open35,006
Worst price0.301
Drawdown as % of equity-0.05%
$167
Includes Typical Broker Commissions trade costs of $21.35
11/16/18 0:00 LSE.RSA RSA INSURANCE GROUP PLC LONG 2,092 £4.815 11/23 4:00 £5.320 6.59%
Trade id #121128112
Max drawdown($9,994)
Time11/16/18 4:53
Quant open2,092
Worst price1.065
Drawdown as % of equity-6.59%
$1,340
Includes Typical Broker Commissions trade costs of $21.20
11/16/18 0:00 LSE.RMG ROYAL MAIL PLC LONG 3,441 £2.929 11/23 4:00 £3.270 5.39%
Trade id #121128111
Max drawdown($8,171)
Time11/16/18 4:53
Quant open3,441
Worst price1.065
Drawdown as % of equity-5.39%
$1,490
Includes Typical Broker Commissions trade costs of $21.33
11/20/18 9:30 TSX.MEG MEG ENERGY CORP LONG 1,985 CAD 8.54 11/22 11:51 CAD 8.48 0.06%
Trade id #121070944
Max drawdown($90)
Time11/22/18 11:51
Quant open0
Worst price8.48
Drawdown as % of equity-0.06%
($124)
Includes Typical Broker Commissions trade costs of $33.78

Statistics

  • Strategy began
    7/6/2015
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1326.53
  • Age
    44 months ago
  • What it trades
    Stocks
  • # Trades
    427
  • # Profitable
    287
  • % Profitable
    67.20%
  • Avg trade duration
    4.0 days
  • Max peak-to-valley drawdown
    10.85%
  • drawdown period
    Dec 20, 2016 - Feb 11, 2018
  • Annual Return (Compounded)
    8.7%
  • Avg win
    $438.01
  • Avg loss
    $518.03
  • Model Account Values (Raw)
  • Cash
    $139,988
  • Margin Used
    $0
  • Buying Power
    $140,148
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    1.284
  • Sortino Ratio
    1.925
  • Calmar Ratio
    1.564
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.15800
  • Return Statistics
  • Ann Return (w trading costs)
    8.7%
  • Ann Return (Compnd, No Fees)
    12.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    514
  • Popularity (Last 6 weeks)
    871
  • C2 Score
    95.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    10
  • Win / Loss
  • Avg Loss
    $518
  • Avg Win
    $438
  • # Winners
    287
  • # Losers
    140
  • % Winners
    67.2%
  • Frequency
  • Avg Position Time (mins)
    5708.17
  • Avg Position Time (hrs)
    95.14
  • Avg Trade Length
    4.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10052
  • SD
    0.08897
  • Sharpe ratio (Glass type estimate)
    1.12976
  • Sharpe ratio (Hedges UMVUE)
    1.10895
  • df
    41.00000
  • t
    2.11359
  • p
    0.02034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04763
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03416
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18373
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54610
  • Upside Potential Ratio
    4.14244
  • Upside part of mean
    0.16354
  • Downside part of mean
    -0.06302
  • Upside SD
    0.08373
  • Downside SD
    0.03948
  • N nonnegative terms
    25.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.06251
  • Mean of criterion
    0.10052
  • SD of predictor
    0.13232
  • SD of criterion
    0.08897
  • Covariance
    0.00016
  • r
    0.01381
  • b (slope, estimate of beta)
    0.00929
  • a (intercept, estimate of alpha)
    0.09994
  • Mean Square Error
    0.00811
  • DF error
    40.00000
  • t(b)
    0.08738
  • p(b)
    0.46540
  • t(a)
    2.05630
  • p(a)
    0.02316
  • Lowerbound of 95% confidence interval for beta
    -0.20556
  • Upperbound of 95% confidence interval for beta
    0.22414
  • Lowerbound of 95% confidence interval for alpha
    0.00171
  • Upperbound of 95% confidence interval for alpha
    0.19816
  • Treynor index (mean / b)
    10.82160
  • Jensen alpha (a)
    0.09994
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09615
  • SD
    0.08698
  • Sharpe ratio (Glass type estimate)
    1.10537
  • Sharpe ratio (Hedges UMVUE)
    1.08501
  • df
    41.00000
  • t
    2.06796
  • p
    0.02250
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02456
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17346
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15865
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40277
  • Upside Potential Ratio
    3.99389
  • Upside part of mean
    0.15981
  • Downside part of mean
    -0.06367
  • Upside SD
    0.08096
  • Downside SD
    0.04001
  • N nonnegative terms
    25.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.05374
  • Mean of criterion
    0.09615
  • SD of predictor
    0.13196
  • SD of criterion
    0.08698
  • Covariance
    0.00017
  • r
    0.01521
  • b (slope, estimate of beta)
    0.01002
  • a (intercept, estimate of alpha)
    0.09561
  • Mean Square Error
    0.00775
  • DF error
    40.00000
  • t(b)
    0.09620
  • p(b)
    0.46192
  • t(a)
    2.01715
  • p(a)
    0.02521
  • Lowerbound of 95% confidence interval for beta
    -0.20058
  • Upperbound of 95% confidence interval for beta
    0.22063
  • Lowerbound of 95% confidence interval for alpha
    -0.00019
  • Upperbound of 95% confidence interval for alpha
    0.19140
  • Treynor index (mean / b)
    9.59147
  • Jensen alpha (a)
    0.09561
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03274
  • Expected Shortfall on VaR
    0.04279
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01046
  • Expected Shortfall on VaR
    0.02174
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.96148
  • Quartile 1
    0.99857
  • Median
    1.00898
  • Quartile 3
    1.02243
  • Maximum
    1.10523
  • Mean of quarter 1
    0.98339
  • Mean of quarter 2
    1.00233
  • Mean of quarter 3
    1.01525
  • Mean of quarter 4
    1.04150
  • Inter Quartile Range
    0.02385
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02381
  • Mean of outliers low
    0.96148
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02381
  • Mean of outliers high
    1.10523
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.18765
  • VaR(95%) (moments method)
    0.00669
  • Expected Shortfall (moments method)
    0.00672
  • Extreme Value Index (regression method)
    -0.16962
  • VaR(95%) (regression method)
    0.01528
  • Expected Shortfall (regression method)
    0.02143
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00776
  • Median
    0.03684
  • Quartile 3
    0.06429
  • Maximum
    0.06676
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.01022
  • Mean of quarter 3
    0.06346
  • Mean of quarter 4
    0.06676
  • Inter Quartile Range
    0.05653
  • 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)
    0.15534
  • Compounded annual return (geometric extrapolation)
    0.13208
  • Calmar ratio (compounded annual return / max draw down)
    1.97833
  • Compounded annual return / average of 25% largest draw downs
    1.97833
  • Compounded annual return / Expected Shortfall lognormal
    3.08626
  • 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
    0.09694
  • SD
    0.07545
  • Sharpe ratio (Glass type estimate)
    1.28489
  • Sharpe ratio (Hedges UMVUE)
    1.28384
  • df
    922.00000
  • t
    2.41165
  • p
    0.00804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23866
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23796
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32972
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92454
  • Upside Potential Ratio
    6.73952
  • Upside part of mean
    0.33947
  • Downside part of mean
    -0.24253
  • Upside SD
    0.05643
  • Downside SD
    0.05037
  • N nonnegative terms
    394.00000
  • N negative terms
    529.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    923.00000
  • Mean of predictor
    0.06600
  • Mean of criterion
    0.09694
  • SD of predictor
    0.14080
  • SD of criterion
    0.07545
  • Covariance
    0.00168
  • r
    0.15847
  • b (slope, estimate of beta)
    0.08492
  • a (intercept, estimate of alpha)
    0.09100
  • Mean Square Error
    0.00556
  • DF error
    921.00000
  • t(b)
    4.87070
  • p(b)
    0.00000
  • t(a)
    2.29909
  • p(a)
    0.01086
  • Lowerbound of 95% confidence interval for beta
    0.05070
  • Upperbound of 95% confidence interval for beta
    0.11913
  • Lowerbound of 95% confidence interval for alpha
    0.01337
  • Upperbound of 95% confidence interval for alpha
    0.16930
  • Treynor index (mean / b)
    1.14160
  • Jensen alpha (a)
    0.09133
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09407
  • SD
    0.07545
  • Sharpe ratio (Glass type estimate)
    1.24669
  • Sharpe ratio (Hedges UMVUE)
    1.24568
  • df
    922.00000
  • t
    2.33996
  • p
    0.00975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29217
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29146
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84778
  • Upside Potential Ratio
    6.63653
  • Upside part of mean
    0.33786
  • Downside part of mean
    -0.24379
  • Upside SD
    0.05594
  • Downside SD
    0.05091
  • N nonnegative terms
    394.00000
  • N negative terms
    529.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    923.00000
  • Mean of predictor
    0.05607
  • Mean of criterion
    0.09407
  • SD of predictor
    0.14102
  • SD of criterion
    0.07545
  • Covariance
    0.00170
  • r
    0.15987
  • b (slope, estimate of beta)
    0.08554
  • a (intercept, estimate of alpha)
    0.08927
  • Mean Square Error
    0.00555
  • DF error
    921.00000
  • t(b)
    4.91498
  • p(b)
    0.00000
  • t(a)
    2.24769
  • p(a)
    0.01242
  • Lowerbound of 95% confidence interval for beta
    0.05139
  • Upperbound of 95% confidence interval for beta
    0.11970
  • Lowerbound of 95% confidence interval for alpha
    0.01133
  • Upperbound of 95% confidence interval for alpha
    0.16722
  • Treynor index (mean / b)
    1.09967
  • Jensen alpha (a)
    0.08927
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00728
  • Expected Shortfall on VaR
    0.00921
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00226
  • Expected Shortfall on VaR
    0.00504
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    923.00000
  • Minimum
    0.96124
  • Quartile 1
    0.99970
  • Median
    1.00000
  • Quartile 3
    1.00112
  • Maximum
    1.03954
  • Mean of quarter 1
    0.99658
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00038
  • Mean of quarter 4
    1.00500
  • Inter Quartile Range
    0.00142
  • Number outliers low
    87.00000
  • Percentage of outliers low
    0.09426
  • Mean of outliers low
    0.99265
  • Number of outliers high
    123.00000
  • Percentage of outliers high
    0.13326
  • Mean of outliers high
    1.00763
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59757
  • VaR(95%) (moments method)
    0.00301
  • Expected Shortfall (moments method)
    0.00905
  • Extreme Value Index (regression method)
    0.40101
  • VaR(95%) (regression method)
    0.00308
  • Expected Shortfall (regression method)
    0.00684
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00057
  • Median
    0.00189
  • Quartile 3
    0.00878
  • Maximum
    0.08297
  • Mean of quarter 1
    0.00026
  • Mean of quarter 2
    0.00128
  • Mean of quarter 3
    0.00514
  • Mean of quarter 4
    0.03054
  • Inter Quartile Range
    0.00822
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.12766
  • Mean of outliers high
    0.04618
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06600
  • VaR(95%) (moments method)
    0.02456
  • Expected Shortfall (moments method)
    0.03601
  • Extreme Value Index (regression method)
    -0.00555
  • VaR(95%) (regression method)
    0.03670
  • Expected Shortfall (regression method)
    0.05383
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15238
  • Compounded annual return (geometric extrapolation)
    0.12973
  • Calmar ratio (compounded annual return / max draw down)
    1.56362
  • Compounded annual return / average of 25% largest draw downs
    4.24705
  • Compounded annual return / Expected Shortfall lognormal
    14.08190
  • 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
    0.14498
  • SD
    0.11496
  • Sharpe ratio (Glass type estimate)
    1.26113
  • Sharpe ratio (Hedges UMVUE)
    1.25384
  • df
    130.00000
  • t
    0.89175
  • p
    0.46101
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51721
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.03475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.02983
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90140
  • Upside Potential Ratio
    7.69907
  • Upside part of mean
    0.58706
  • Downside part of mean
    -0.44208
  • Upside SD
    0.08592
  • Downside SD
    0.07625
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03668
  • Mean of criterion
    0.14498
  • SD of predictor
    0.19040
  • SD of criterion
    0.11496
  • Covariance
    0.00134
  • r
    0.06137
  • b (slope, estimate of beta)
    0.03706
  • a (intercept, estimate of alpha)
    0.14634
  • Mean Square Error
    0.01327
  • DF error
    129.00000
  • t(b)
    0.69837
  • p(b)
    0.46095
  • t(a)
    0.89827
  • p(a)
    0.44986
  • Lowerbound of 95% confidence interval for beta
    -0.06793
  • Upperbound of 95% confidence interval for beta
    0.14204
  • Lowerbound of 95% confidence interval for alpha
    -0.17599
  • Upperbound of 95% confidence interval for alpha
    0.46867
  • Treynor index (mean / b)
    3.91245
  • Jensen alpha (a)
    0.14634
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13836
  • SD
    0.11507
  • Sharpe ratio (Glass type estimate)
    1.20247
  • Sharpe ratio (Hedges UMVUE)
    1.19552
  • df
    130.00000
  • t
    0.85028
  • p
    0.46282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97114
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79144
  • Upside Potential Ratio
    7.55278
  • Upside part of mean
    0.58335
  • Downside part of mean
    -0.44499
  • Upside SD
    0.08513
  • Downside SD
    0.07724
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05466
  • Mean of criterion
    0.13836
  • SD of predictor
    0.19038
  • SD of criterion
    0.11507
  • Covariance
    0.00138
  • r
    0.06312
  • b (slope, estimate of beta)
    0.03815
  • a (intercept, estimate of alpha)
    0.14045
  • Mean Square Error
    0.01329
  • DF error
    129.00000
  • t(b)
    0.71833
  • p(b)
    0.45984
  • t(a)
    0.86135
  • p(a)
    0.45191
  • Lowerbound of 95% confidence interval for beta
    -0.06693
  • Upperbound of 95% confidence interval for beta
    0.14323
  • Lowerbound of 95% confidence interval for alpha
    -0.18216
  • Upperbound of 95% confidence interval for alpha
    0.46307
  • Treynor index (mean / b)
    3.62687
  • Jensen alpha (a)
    0.14045
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01110
  • Expected Shortfall on VaR
    0.01403
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00389
  • Expected Shortfall on VaR
    0.00846
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96124
  • Quartile 1
    0.99879
  • Median
    1.00009
  • Quartile 3
    1.00219
  • Maximum
    1.02947
  • Mean of quarter 1
    0.99384
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00092
  • Mean of quarter 4
    1.00822
  • Inter Quartile Range
    0.00339
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98731
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.01385
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49264
  • VaR(95%) (moments method)
    0.00498
  • Expected Shortfall (moments method)
    0.01171
  • Extreme Value Index (regression method)
    0.67178
  • VaR(95%) (regression method)
    0.00512
  • Expected Shortfall (regression method)
    0.01720
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00079
  • Quartile 1
    0.00636
  • Median
    0.01885
  • Quartile 3
    0.02445
  • Maximum
    0.03876
  • Mean of quarter 1
    0.00315
  • Mean of quarter 2
    0.01554
  • Mean of quarter 3
    0.02418
  • Mean of quarter 4
    0.03584
  • Inter Quartile Range
    0.01809
  • 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)
    -9.94480
  • VaR(95%) (moments method)
    0.03465
  • Expected Shortfall (moments method)
    0.03465
  • Extreme Value Index (regression method)
    -1.54031
  • VaR(95%) (regression method)
    0.04370
  • Expected Shortfall (regression method)
    0.04449
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17338
  • Compounded annual return (geometric extrapolation)
    0.18089
  • Calmar ratio (compounded annual return / max draw down)
    4.66746
  • Compounded annual return / average of 25% largest draw downs
    5.04712
  • Compounded annual return / Expected Shortfall lognormal
    12.89110

Strategy Description

- Markets traded: Canada, UK
- Long only
- Exposition per symbol: 5%-15% (usually 10%)
- Entry and exit logic very close to "brother" system Carma Stocks

Backtest available for subscribers

Summary Statistics

Strategy began
2015-07-06
Suggested Minimum Capital
$15,000
# Trades
427
# Profitable
287
% Profitable
67.2%
Net Dividends
Correlation S&P500
0.158
Sharpe Ratio
1.284

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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