Collective2 Collective2
Featured Strategy Easiest Followed by live capital $433,000 Hypothetical

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

ARS
(13992325)

Created by: GeraldPeraus GeraldPeraus
Started: 04/2005
Stocks
Last trade: 4,391 days ago

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 $199.00 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.

0.1%
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.

(53.5%)
Max Drawdown
686
Num Trades
63.8%
Win Trades
1.1 : 1
Profit Factor
21.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005                     (0.9%)+7.2%(2.4%)+3.2%(5.6%)+2.2%(0.1%)+4.6%+0.9%+8.8%
2006+2.0%+6.5%+1.3%+1.7%+1.8%(3.8%)+8.1%+6.5%+3.0%+7.1%+0.7%+1.7%+42.6%
2007+6.2%(1.5%)(2.4%)+2.5%+2.3%(2.3%)(4.7%)+0.3%(1%)(5.1%)+4.1%(13.7%)(15.7%)
2008(4.8%)(4.6%)+7.1%+3.6%+2.8%(15.8%)+1.6%+41.3%(12.1%)(4.5%)(5.4%)(0.9%)(1.5%)
2009(9.9%)(12.7%)(10.1%)+5.1%+4.2%+4.2%+2.5%+3.3%+9.7%(15%)+3.1%+5.1%(13.6%)
2010(3.8%)+2.5%+2.7%(1.4%)+5.2%(4.9%)+0.8%(5.9%)+3.5%+4.3%(0.8%)+4.9%+6.3%
2011(0.5%)+1.8%+0.3%+1.6%+1.7%(3.5%)(0.8%)(3.2%)(10.2%)+5.6%(2.7%)(3.5%)(13.5%)
2012+2.1%+4.2%(5.8%)(0.7%)  -    -    -    -    -    -    -    -  (0.6%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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

This strategy has placed 72 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6168 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/16/12 9:30 VZ VERIZON COMMUNICATIONS LONG 915 37.33 4/18 9:31 37.53 0.08%
Trade id #72684690
Max drawdown($109)
Time4/16/12 10:46
Quant open915
Worst price37.21
Drawdown as % of equity-0.08%
 $178
Includes Typical Broker Commissions trade costs of $5.00
4/16/12 9:30 NFLX NETFLIX LONG 1,357 14.64 4/18 9:30 14.91 0.56%
Trade id #72684659
Max drawdown($799)
Time4/16/12 11:35
Quant open190
Worst price100.40
Drawdown as % of equity-0.56%
 $353
Includes Typical Broker Commissions trade costs of $5.00
4/13/12 9:30 SJM J.M. SMUCKER LONG 230 79.34 4/18 9:30 79.67 0.09%
Trade id #72630463
Max drawdown($126)
Time4/16/12 16:01
Quant open230
Worst price78.79
Drawdown as % of equity-0.09%
 $71
Includes Typical Broker Commissions trade costs of $4.60
4/12/12 9:30 SE SEA LTD ADS LONG 663 30.13 4/18 9:30 30.31 0.13%
Trade id #72595631
Max drawdown($185)
Time4/16/12 12:21
Quant open663
Worst price29.85
Drawdown as % of equity-0.13%
 $114
Includes Typical Broker Commissions trade costs of $5.00
3/23/12 9:30 MMI MARCUS & MILLICHAP INC LONG 993 39.23 4/16 9:30 39.14 0.34%
Trade id #71958394
Max drawdown($476)
Time4/9/12 9:31
Quant open993
Worst price38.75
Drawdown as % of equity-0.34%
 ($94)
Includes Typical Broker Commissions trade costs of $5.00
3/14/12 9:30 NEM NEWMONT CORP LONG 712 53.36 4/13 9:30 49.48 2.95%
Trade id #71481283
Max drawdown($4,192)
Time4/5/12 13:58
Quant open712
Worst price47.47
Drawdown as % of equity-2.95%
 ($2,771)
Includes Typical Broker Commissions trade costs of $9.62
3/2/12 9:30 HPQ HEWLETT-PACKARD LONG 1,550 25.25 3/28 9:30 23.70 2.5%
Trade id #71123549
Max drawdown($3,627)
Time3/22/12 9:36
Quant open1,550
Worst price22.91
Drawdown as % of equity-2.50%
 ($2,408)
Includes Typical Broker Commissions trade costs of $5.00
2/24/12 9:36 LUV SOUTHWEST AIRLINES LONG 4,432 8.89 3/19 9:30 8.34 2.62%
Trade id #70929141
Max drawdown($3,812)
Time3/14/12 11:19
Quant open4,432
Worst price8.03
Drawdown as % of equity-2.62%
 ($2,446)
Includes Typical Broker Commissions trade costs of $7.50
3/2/12 9:30 NBL NOBLE ENERGY LONG 400 47.79 3/14 9:30 48.85 0.27%
Trade id #71123593
Max drawdown($402)
Time3/5/12 9:31
Quant open200
Worst price93.57
Drawdown as % of equity-0.27%
 $416
Includes Typical Broker Commissions trade costs of $8.00
3/2/12 9:30 WFR MEMC Electronic Materials Inc. LONG 5,000 3.84 3/12 9:30 3.82 1.13%
Trade id #71123571
Max drawdown($1,700)
Time3/5/12 13:05
Quant open5,000
Worst price3.50
Drawdown as % of equity-1.13%
 ($105)
Includes Typical Broker Commissions trade costs of $5.00
2/15/12 9:30 PEP PEPSICO LONG 300 63.34 3/2 9:30 62.54 0.27%
Trade id #70648098
Max drawdown($402)
Time3/1/12 16:01
Quant open300
Worst price62.00
Drawdown as % of equity-0.27%
 ($246)
Includes Typical Broker Commissions trade costs of $6.00
2/17/12 9:31 PBI PITNEY BOWES LONG 1,075 17.73 3/2 9:30 18.17 0.01%
Trade id #70743291
Max drawdown($10)
Time2/23/12 9:38
Quant open1,075
Worst price17.72
Drawdown as % of equity-0.01%
 $468
Includes Typical Broker Commissions trade costs of $5.00
2/17/12 9:31 SJM J.M. SMUCKER LONG 275 72.08 3/2 9:30 75.99 0.05%
Trade id #70743307
Max drawdown($74)
Time2/22/12 9:31
Quant open275
Worst price71.81
Drawdown as % of equity-0.05%
 $1,070
Includes Typical Broker Commissions trade costs of $5.50
2/16/12 9:35 NSC NORFOLK SOUTHERN LONG 280 67.90 2/24 9:30 69.01 0%
Trade id #70698225
Max drawdown$0
Time2/23/12 9:51
Quant open280
Worst price67.90
Drawdown as % of equity0.00%
 $305
Includes Typical Broker Commissions trade costs of $5.60
2/8/12 10:56 TJX TJX COMPANIES LONG 563 34.59 2/24 9:30 35.91 0.23%
Trade id #70406778
Max drawdown($337)
Time2/15/12 15:28
Quant open563
Worst price33.99
Drawdown as % of equity-0.23%
 $735
Includes Typical Broker Commissions trade costs of $8.13
2/2/12 12:05 OKE ONEOK LONG 450 40.87 2/17 9:31 41.53 0.23%
Trade id #70211897
Max drawdown($339)
Time2/15/12 13:47
Quant open225
Worst price80.22
Drawdown as % of equity-0.23%
 $288
Includes Typical Broker Commissions trade costs of $9.00
1/26/12 9:30 BMY BRISTOL-MYERS SQUIBB LONG 600 32.03 2/17 9:30 32.65 0.1%
Trade id #70015819
Max drawdown($139)
Time2/10/12 9:48
Quant open120
Worst price31.65
Drawdown as % of equity-0.10%
 $362
Includes Typical Broker Commissions trade costs of $8.50
1/26/12 9:30 WLP WELLPOINT LONG 550 65.97 2/15 9:31 65.91 0.8%
Trade id #70016036
Max drawdown($1,166)
Time2/6/12 13:47
Quant open550
Worst price63.85
Drawdown as % of equity-0.80%
 ($41)
Includes Typical Broker Commissions trade costs of $8.00
2/6/12 9:30 KMX CARMAX LONG 131 29.52 2/8 9:30 30.36 0.02%
Trade id #70290800
Max drawdown($24)
Time2/6/12 9:34
Quant open131
Worst price29.33
Drawdown as % of equity-0.02%
 $107
Includes Typical Broker Commissions trade costs of $2.62
1/19/12 9:30 RRD R.R. DONNELLEY & SONS CO LONG 648 11.90 2/6 9:30 11.92 0.29%
Trade id #69838206
Max drawdown($421)
Time1/30/12 9:51
Quant open648
Worst price11.25
Drawdown as % of equity-0.29%
 $8
Includes Typical Broker Commissions trade costs of $5.00
1/26/12 9:31 VZ VERIZON COMMUNICATIONS LONG 100 37.80 2/2 9:31 37.94 0.05%
Trade id #70015917
Max drawdown($73)
Time1/30/12 9:31
Quant open100
Worst price37.07
Drawdown as % of equity-0.05%
 $12
Includes Typical Broker Commissions trade costs of $2.00
1/19/12 9:30 D DOMINION RESOURCES LONG 76 50.49 2/2 9:30 50.47 0.08%
Trade id #69838248
Max drawdown($123)
Time1/30/12 13:01
Quant open76
Worst price48.87
Drawdown as % of equity-0.08%
 ($4)
Includes Typical Broker Commissions trade costs of $1.52
1/19/12 9:30 CEG CONSTELLATION ENERGY CORPORATION LONG 105 36.38 1/26 9:31 36.64 0.08%
Trade id #69838012
Max drawdown($113)
Time1/25/12 10:24
Quant open105
Worst price35.30
Drawdown as % of equity-0.08%
 $25
Includes Typical Broker Commissions trade costs of $2.10
1/19/12 9:30 EQT EQT LONG 155 48.80 1/24 9:31 49.28 0.29%
Trade id #69838364
Max drawdown($428)
Time1/20/12 15:44
Quant open155
Worst price46.03
Drawdown as % of equity-0.29%
 $71
Includes Typical Broker Commissions trade costs of $3.10
1/12/12 10:22 CL COLGATE-PALMOLIVE LONG 360 44.26 1/18 9:30 44.88 0.08%
Trade id #69668723
Max drawdown($118)
Time1/13/12 11:25
Quant open180
Worst price87.85
Drawdown as % of equity-0.08%
 $216
Includes Typical Broker Commissions trade costs of $7.20
1/6/12 9:30 TGT TARGET LONG 330 48.81 1/17 9:30 49.93 0.12%
Trade id #69526278
Max drawdown($174)
Time1/9/12 14:43
Quant open330
Worst price48.28
Drawdown as % of equity-0.12%
 $363
Includes Typical Broker Commissions trade costs of $6.60
1/6/12 9:30 KSS KOHL'S LONG 344 46.32 1/17 9:30 47.26 0.17%
Trade id #69527089
Max drawdown($240)
Time1/11/12 11:21
Quant open344
Worst price45.62
Drawdown as % of equity-0.17%
 $316
Includes Typical Broker Commissions trade costs of $6.88
12/15/11 10:26 SHLD GLOBAL X DEFENSE TECH ETF LONG 830 37.64 1/12/12 9:30 30.99 4.66%
Trade id #69003077
Max drawdown($6,683)
Time1/5/12 11:49
Quant open300
Worst price28.89
Drawdown as % of equity-4.66%
 ($5,527)
Includes Typical Broker Commissions trade costs of $8.00
1/3/12 9:30 ROST ROSS STORES LONG 666 24.24 1/6 9:30 25.24 0.33%
Trade id #69429921
Max drawdown($472)
Time1/3/12 15:06
Quant open333
Worst price47.05
Drawdown as % of equity-0.33%
 $661
Includes Typical Broker Commissions trade costs of $5.00
12/15/11 9:30 FSLR FIRST SOLAR INC LONG 940 33.55 1/6/12 9:30 35.69 1.39%
Trade id #68997063
Max drawdown($1,976)
Time12/29/11 10:10
Quant open940
Worst price31.45
Drawdown as % of equity-1.39%
 $1,997
Includes Typical Broker Commissions trade costs of $11.90
Next

Statistics

  • Strategy began
    4/26/2005
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6934.07
  • Age
    231 months ago
  • What it trades
    Stocks
  • # Trades
    686
  • # Profitable
    438
  • % Profitable
    63.80%
  • Avg trade duration
    10.5 days
  • Max peak-to-valley drawdown
    53.53%
  • drawdown period
    Sept 12, 2008 - March 06, 2009
  • Annual Return (Compounded)
    0.1%
  • Avg win
    $1,006
  • Avg loss
    $1,671
  • Model Account Values (Raw)
  • Cash
    $143,999
  • Margin Used
    $0
  • Buying Power
    $143,999
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    -0.05
  • Sortino Ratio
    -0.07
  • Calmar Ratio
    -0.033
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -329.61%
  • Correlation to SP500
    0.26110
  • Return Percent SP500 (cumu) during strategy life
    338.33%
  • Return Statistics
  • Ann Return (w trading costs)
    0.1%
  • Slump
  • Current Slump as Pcnt Equity
    65.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.001%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $1,671
  • Avg Win
    $1,007
  • Sum Trade PL (losers)
    $414,526.000
  • Age
  • Num Months filled monthly returns table
    229
  • Win / Loss
  • Sum Trade PL (winners)
    $441,028.000
  • # Winners
    438
  • Num Months Winners
    53
  • Dividends
  • Dividends Received in Model Acct
    17516
  • Win / Loss
  • # Losers
    248
  • % Winners
    63.9%
  • Frequency
  • Avg Position Time (mins)
    15066.80
  • Avg Position Time (hrs)
    251.11
  • Avg Trade Length
    10.5 days
  • Last Trade Ago
    4385
  • Regression
  • Alpha
    -0.01
  • Beta
    0.20
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    56.50
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    81.24
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.59
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -890.324
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.749
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.042
  • Hold-and-Hope Ratio
    -0.001
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01584
  • SD
    0.24165
  • Sharpe ratio (Glass type estimate)
    0.06553
  • Sharpe ratio (Hedges UMVUE)
    0.06506
  • df
    104.00000
  • t
    0.19385
  • p
    0.49050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72771
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08671
  • Upside Potential Ratio
    1.23063
  • Upside part of mean
    0.22475
  • Downside part of mean
    -0.20891
  • Upside SD
    0.15654
  • Downside SD
    0.18263
  • N nonnegative terms
    70.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    105.00000
  • Mean of predictor
    0.16338
  • Mean of criterion
    0.01584
  • SD of predictor
    0.23556
  • SD of criterion
    0.24165
  • Covariance
    0.02067
  • r
    0.36318
  • b (slope, estimate of beta)
    0.37258
  • a (intercept, estimate of alpha)
    -0.04504
  • Mean Square Error
    0.05118
  • DF error
    103.00000
  • t(b)
    3.95604
  • p(b)
    0.27398
  • t(a)
    -0.57727
  • p(a)
    0.53613
  • Lowerbound of 95% confidence interval for beta
    0.18579
  • Upperbound of 95% confidence interval for beta
    0.55936
  • Lowerbound of 95% confidence interval for alpha
    -0.19976
  • Upperbound of 95% confidence interval for alpha
    0.10969
  • Treynor index (mean / b)
    0.04250
  • Jensen alpha (a)
    -0.04504
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01501
  • SD
    0.25509
  • Sharpe ratio (Glass type estimate)
    -0.05886
  • Sharpe ratio (Hedges UMVUE)
    -0.05843
  • df
    104.00000
  • t
    -0.17410
  • p
    0.50853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60391
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72107
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60420
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07121
  • Upside Potential Ratio
    1.01530
  • Upside part of mean
    0.21406
  • Downside part of mean
    -0.22908
  • Upside SD
    0.14148
  • Downside SD
    0.21083
  • N nonnegative terms
    70.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    105.00000
  • Mean of predictor
    0.13347
  • Mean of criterion
    -0.01501
  • SD of predictor
    0.24650
  • SD of criterion
    0.25509
  • Covariance
    0.02720
  • r
    0.43252
  • b (slope, estimate of beta)
    0.44760
  • a (intercept, estimate of alpha)
    -0.07476
  • Mean Square Error
    0.05341
  • DF error
    103.00000
  • t(b)
    4.86857
  • p(b)
    0.23349
  • t(a)
    -0.94524
  • p(a)
    0.55895
  • Lowerbound of 95% confidence interval for beta
    0.26526
  • Upperbound of 95% confidence interval for beta
    0.62993
  • Lowerbound of 95% confidence interval for alpha
    -0.23161
  • Upperbound of 95% confidence interval for alpha
    0.08209
  • Treynor index (mean / b)
    -0.03354
  • Jensen alpha (a)
    -0.07476
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11518
  • Expected Shortfall on VaR
    0.14168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02892
  • Expected Shortfall on VaR
    0.06895
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    105.00000
  • Minimum
    0.65796
  • Quartile 1
    0.99330
  • Median
    1.00000
  • Quartile 3
    1.02990
  • Maximum
    1.35449
  • Mean of quarter 1
    0.93300
  • Mean of quarter 2
    0.99927
  • Mean of quarter 3
    1.01008
  • Mean of quarter 4
    1.06555
  • Inter Quartile Range
    0.03659
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.10476
  • Mean of outliers low
    0.86479
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02857
  • Mean of outliers high
    1.18741
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75072
  • VaR(95%) (moments method)
    0.04403
  • Expected Shortfall (moments method)
    0.20486
  • Extreme Value Index (regression method)
    0.56498
  • VaR(95%) (regression method)
    0.07049
  • Expected Shortfall (regression method)
    0.20825
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01267
  • Quartile 1
    0.18082
  • Median
    0.29876
  • Quartile 3
    0.36587
  • Maximum
    0.38150
  • Mean of quarter 1
    0.01267
  • Mean of quarter 2
    0.23687
  • Mean of quarter 3
    0.36066
  • Mean of quarter 4
    0.38150
  • Inter Quartile Range
    0.18505
  • 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)
    -0.01407
  • Compounded annual return (geometric extrapolation)
    -0.01490
  • Calmar ratio (compounded annual return / max draw down)
    -0.03906
  • Compounded annual return / average of 25% largest draw downs
    -0.03906
  • Compounded annual return / Expected Shortfall lognormal
    -0.10518
  • 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
    0.27589
  • SD
    0.77437
  • Sharpe ratio (Glass type estimate)
    0.35627
  • Sharpe ratio (Hedges UMVUE)
    0.35615
  • df
    2301.00000
  • t
    1.05604
  • p
    0.14553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30515
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01745
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57447
  • Upside Potential Ratio
    4.29418
  • Upside part of mean
    2.06224
  • Downside part of mean
    -1.78636
  • Upside SD
    0.60750
  • Downside SD
    0.48024
  • N nonnegative terms
    1531.00000
  • N negative terms
    771.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2302.00000
  • Mean of predictor
    0.25902
  • Mean of criterion
    0.27589
  • SD of predictor
    0.52395
  • SD of criterion
    0.77437
  • Covariance
    0.18815
  • r
    0.46374
  • b (slope, estimate of beta)
    0.68538
  • a (intercept, estimate of alpha)
    0.09800
  • Mean Square Error
    0.47090
  • DF error
    2300.00000
  • t(b)
    25.10230
  • p(b)
    0.00000
  • t(a)
    0.42466
  • p(a)
    0.33556
  • Lowerbound of 95% confidence interval for beta
    0.63184
  • Upperbound of 95% confidence interval for beta
    0.73893
  • Lowerbound of 95% confidence interval for alpha
    -0.35584
  • Upperbound of 95% confidence interval for alpha
    0.55255
  • Treynor index (mean / b)
    0.40253
  • Jensen alpha (a)
    0.09836
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01495
  • SD
    0.76345
  • Sharpe ratio (Glass type estimate)
    -0.01958
  • Sharpe ratio (Hedges UMVUE)
    -0.01958
  • df
    2301.00000
  • t
    -0.05805
  • p
    0.52314
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64164
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68080
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64164
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02699
  • Upside Potential Ratio
    3.44916
  • Upside part of mean
    1.91058
  • Downside part of mean
    -1.92553
  • Upside SD
    0.52514
  • Downside SD
    0.55393
  • N nonnegative terms
    1531.00000
  • N negative terms
    771.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2302.00000
  • Mean of predictor
    0.12327
  • Mean of criterion
    -0.01495
  • SD of predictor
    0.52092
  • SD of criterion
    0.76345
  • Covariance
    0.18945
  • r
    0.47636
  • b (slope, estimate of beta)
    0.69814
  • a (intercept, estimate of alpha)
    -0.10101
  • Mean Square Error
    0.45080
  • DF error
    2300.00000
  • t(b)
    25.98280
  • p(b)
    0.00000
  • t(a)
    -0.44590
  • p(a)
    0.67215
  • Lowerbound of 95% confidence interval for beta
    0.64545
  • Upperbound of 95% confidence interval for beta
    0.75083
  • Lowerbound of 95% confidence interval for alpha
    -0.54525
  • Upperbound of 95% confidence interval for alpha
    0.34322
  • Treynor index (mean / b)
    -0.02142
  • Jensen alpha (a)
    -0.10101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07470
  • Expected Shortfall on VaR
    0.09262
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01109
  • Expected Shortfall on VaR
    0.02782
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2302.00000
  • Minimum
    0.60015
  • Quartile 1
    0.99801
  • Median
    1.00000
  • Quartile 3
    1.00302
  • Maximum
    1.53507
  • Mean of quarter 1
    0.97306
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00064
  • Mean of quarter 4
    1.03082
  • Inter Quartile Range
    0.00501
  • Number outliers low
    269.00000
  • Percentage of outliers low
    0.11686
  • Mean of outliers low
    0.94788
  • Number of outliers high
    257.00000
  • Percentage of outliers high
    0.11164
  • Mean of outliers high
    1.06165
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.21003
  • VaR(95%) (moments method)
    0.01882
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.79042
  • VaR(95%) (regression method)
    0.01666
  • Expected Shortfall (regression method)
    0.09350
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.04377
  • Quartile 1
    0.14380
  • Median
    0.31962
  • Quartile 3
    0.41036
  • Maximum
    0.45192
  • Mean of quarter 1
    0.10422
  • Mean of quarter 2
    0.26236
  • Mean of quarter 3
    0.38394
  • Mean of quarter 4
    0.43297
  • Inter Quartile Range
    0.26656
  • 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)
    -0.17063
  • VaR(95%) (moments method)
    0.44368
  • Expected Shortfall (moments method)
    0.46044
  • Extreme Value Index (regression method)
    2.37227
  • VaR(95%) (regression method)
    0.49190
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01401
  • Compounded annual return (geometric extrapolation)
    -0.01484
  • Calmar ratio (compounded annual return / max draw down)
    -0.03284
  • Compounded annual return / average of 25% largest draw downs
    -0.03428
  • Compounded annual return / Expected Shortfall lognormal
    -0.16023
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.96139
  • Mean of criterion
    0.00000
  • SD of predictor
    0.53518
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81138
  • Mean of criterion
    0.00000
  • SD of predictor
    0.55387
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.07500
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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)
    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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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?
    -357913000
  • Max Equity Drawdown (num days)
    175
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

ARS is a countertrend-based system, which generates (long)entries in oversold stocks. The signals are computed on a daily basis (after market is closed), there is only long-entry (buy to open, sell to close). Signals could be market or limit orders and will be sent out by mail (at least 1 hour before stock market opens).
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2005-04-26
Suggested Minimum Capital
$100,000
# Trades
686
# Profitable
438
% Profitable
63.8%
Net Dividends
$17,516
Correlation S&P500
0.261
Sharpe Ratio
-0.05
Sortino Ratio
-0.07
Beta
0.20
Alpha
-0.01

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.