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These are hypothetical performance results that have certain inherent limitations. Learn more

JWB Stock and ETF ORB
(128743489)

Created by: JohnBennett JohnBennett
Started: 04/2020
Stocks
Last trade: 6 days ago
Trading style: Equity Momentum 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 $200.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

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

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
40.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(13.4%)
Max Drawdown
960
Num Trades
53.9%
Win Trades
1.3 : 1
Profit Factor
63.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                     +3.2%+3.5%+1.7%+15.1%+9.9%(2.6%)(2.2%)+15.8%+8.8%+65.0%
2021+9.4%+3.5%(7.6%)+2.8%+4.3%+7.9%(1.4%)(2.6%)(0.1%)(0.7%)+12.6%+3.7%+34.6%
2022+1.3%+2.5%+1.0%+4.2%(1.4%)(8.4%)+7.3%(2.1%)(0.1%)                  +3.8%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 1,316 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/23/22 9:44 NRG NRG ENERGY LONG 1,522 40.24 9/23 15:59 40.57 0.11%
Trade id #141905875
Max drawdown($252)
Time9/23/22 13:09
Quant open1,522
Worst price40.07
Drawdown as % of equity-0.11%
$497
Includes Typical Broker Commissions trade costs of $5.00
9/23/22 10:22 AES AES LONG 2,530 24.28 9/23 15:59 24.28 0.78%
Trade id #141906822
Max drawdown($1,806)
Time9/23/22 12:28
Quant open2,530
Worst price23.57
Drawdown as % of equity-0.78%
($19)
Includes Typical Broker Commissions trade costs of $5.00
9/23/22 9:32 WMB WILLIAMS COMPANIES LONG 2,047 30.13 9/23 15:59 29.14 1.17%
Trade id #141905449
Max drawdown($2,663)
Time9/23/22 14:56
Quant open2,047
Worst price28.82
Drawdown as % of equity-1.17%
($2,027)
Includes Typical Broker Commissions trade costs of $5.00
9/16/22 9:33 CHRW CH ROBINSON WORLDWIDE LONG 577 102.03 9/16 15:59 103.85 0.12%
Trade id #141828182
Max drawdown($287)
Time9/16/22 9:36
Quant open577
Worst price101.53
Drawdown as % of equity-0.12%
$1,048
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 9:32 OXY OCCIDENTAL PETROLEUM LONG 976 64.81 9/7 15:59 65.42 0.12%
Trade id #141685357
Max drawdown($268)
Time9/7/22 9:52
Quant open976
Worst price64.53
Drawdown as % of equity-0.12%
$590
Includes Typical Broker Commissions trade costs of $5.00
8/25/22 9:37 CF CF INDUSTRIES HOLDINGS SHORT 543 116.05 8/25 15:59 117.32 0.36%
Trade id #141535483
Max drawdown($824)
Time8/25/22 15:47
Quant open543
Worst price117.57
Drawdown as % of equity-0.36%
($692)
Includes Typical Broker Commissions trade costs of $5.00
8/23/22 11:39 SJM J.M. SMUCKER LONG 730 142.87 8/23 15:59 142.56 0.39%
Trade id #141509426
Max drawdown($895)
Time8/23/22 12:29
Quant open730
Worst price141.64
Drawdown as % of equity-0.39%
($225)
Includes Typical Broker Commissions trade costs of $5.00
8/23/22 9:38 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 3,100 16.79 8/23 12:33 16.38 0.78%
Trade id #141505881
Max drawdown($1,818)
Time8/23/22 10:34
Quant open3,100
Worst price16.20
Drawdown as % of equity-0.78%
($1,275)
Includes Typical Broker Commissions trade costs of $5.00
8/22/22 14:44 ANSS ANSYS LONG 249 262.83 8/22 15:59 262.74 0.09%
Trade id #141498909
Max drawdown($200)
Time8/22/22 15:45
Quant open249
Worst price262.02
Drawdown as % of equity-0.09%
($26)
Includes Typical Broker Commissions trade costs of $4.98
8/18/22 11:24 NFLX NETFLIX LONG 410 244.51 8/18 15:59 244.90 0.1%
Trade id #141462934
Max drawdown($242)
Time8/18/22 13:14
Quant open410
Worst price243.92
Drawdown as % of equity-0.10%
$150
Includes Typical Broker Commissions trade costs of $8.20
8/18/22 10:30 BOIL PROSHARES ULTRA BLOOMBERG NATU LONG 470 113.65 8/18 11:31 99.21 2.92%
Trade id #141461890
Max drawdown($6,886)
Time8/18/22 11:31
Quant open470
Worst price99.00
Drawdown as % of equity-2.92%
($6,795)
Includes Typical Broker Commissions trade costs of $9.40
8/17/22 9:35 JDST DIREXION DAILY JR GOLD BEAR 2X LONG 4,200 12.48 8/17 15:59 13.07 n/a $2,492
Includes Typical Broker Commissions trade costs of $5.00
8/16/22 11:30 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 2,000 26.11 8/16 15:59 26.16 0.2%
Trade id #141434633
Max drawdown($465)
Time8/16/22 11:49
Quant open2,000
Worst price25.88
Drawdown as % of equity-0.20%
$80
Includes Typical Broker Commissions trade costs of $5.00
8/16/22 11:16 ETSY ETSY INC. COMMON STOCK LONG 850 119.87 8/16 15:59 120.89 0.12%
Trade id #141434260
Max drawdown($291)
Time8/16/22 11:22
Quant open850
Worst price119.53
Drawdown as % of equity-0.12%
$857
Includes Typical Broker Commissions trade costs of $5.00
8/16/22 9:31 CF CF INDUSTRIES HOLDINGS LONG 1,000 105.01 8/16 9:34 104.06 0.57%
Trade id #141430764
Max drawdown($1,361)
Time8/16/22 9:34
Quant open1,000
Worst price103.65
Drawdown as % of equity-0.57%
($954)
Includes Typical Broker Commissions trade costs of $5.00
8/15/22 10:02 DIS WALT DISNEY SHORT 492 125.29 8/15 15:59 124.29 n/a $485
Includes Typical Broker Commissions trade costs of $9.84
8/12/22 11:52 ILF ISHARES S&P LATIN AMERICA 40 I LONG 4,000 25.51 8/12 15:59 25.84 n/a $1,326
Includes Typical Broker Commissions trade costs of $5.00
8/12/22 9:59 CDNS CADENCE DESIGN SYSTEMS LONG 540 189.17 8/12 15:59 188.88 0.32%
Trade id #141399642
Max drawdown($756)
Time8/12/22 10:48
Quant open540
Worst price187.77
Drawdown as % of equity-0.32%
($161)
Includes Typical Broker Commissions trade costs of $5.00
8/12/22 13:51 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,100 92.23 8/12 15:59 93.46 0.1%
Trade id #141403963
Max drawdown($227)
Time8/12/22 14:07
Quant open1,100
Worst price92.02
Drawdown as % of equity-0.10%
$1,348
Includes Typical Broker Commissions trade costs of $5.00
8/12/22 9:59 CAH CARDINAL HEALTH SHORT 929 68.01 8/12 15:59 69.34 0.61%
Trade id #141399631
Max drawdown($1,429)
Time8/12/22 12:36
Quant open929
Worst price69.55
Drawdown as % of equity-0.61%
($1,236)
Includes Typical Broker Commissions trade costs of $5.00
8/11/22 10:03 ISRG INTUITIVE SURGICAL LONG 420 241.45 8/11 12:31 237.26 0.81%
Trade id #141384441
Max drawdown($1,923)
Time8/11/22 12:28
Quant open420
Worst price236.87
Drawdown as % of equity-0.81%
($1,767)
Includes Typical Broker Commissions trade costs of $8.40
8/11/22 9:40 BYND BEYOND MEAT INC. COMMON STOCK LONG 1,350 38.66 8/11 12:31 36.65 1.29%
Trade id #141383533
Max drawdown($3,044)
Time8/11/22 12:13
Quant open1,350
Worst price36.41
Drawdown as % of equity-1.29%
($2,729)
Includes Typical Broker Commissions trade costs of $5.00
8/10/22 9:31 CVNA CARVANA CO LONG 2,400 46.64 8/10 9:42 45.23 1.85%
Trade id #141366845
Max drawdown($4,483)
Time8/10/22 9:42
Quant open2,400
Worst price44.77
Drawdown as % of equity-1.85%
($3,384)
Includes Typical Broker Commissions trade costs of $5.00
8/10/22 9:31 RDFN REDFIN CORPORATION COMMON STOCK LONG 9,000 11.99 8/10 9:42 11.72 1.87%
Trade id #141366859
Max drawdown($4,523)
Time8/10/22 9:42
Quant open9,000
Worst price11.49
Drawdown as % of equity-1.87%
($2,438)
Includes Typical Broker Commissions trade costs of $5.00
8/10/22 9:31 ETSY ETSY INC. COMMON STOCK LONG 920 115.48 8/10 9:42 113.49 0.91%
Trade id #141366915
Max drawdown($2,197)
Time8/10/22 9:42
Quant open920
Worst price113.09
Drawdown as % of equity-0.91%
($1,830)
Includes Typical Broker Commissions trade costs of $5.00
8/10/22 9:31 NET CLOUDFLARE INC LONG 1,400 77.24 8/10 9:41 75.61 1.08%
Trade id #141366927
Max drawdown($2,709)
Time8/10/22 9:40
Quant open1,400
Worst price75.30
Drawdown as % of equity-1.08%
($2,284)
Includes Typical Broker Commissions trade costs of $5.00
8/5/22 9:37 CVNA CARVANA CO LONG 3,000 38.33 8/5 10:04 42.71 2.09%
Trade id #141315250
Max drawdown($4,943)
Time8/5/22 9:41
Quant open3,000
Worst price36.68
Drawdown as % of equity-2.09%
$13,134
Includes Typical Broker Commissions trade costs of $5.00
8/4/22 9:50 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 1,400 35.71 8/4 15:59 36.98 0.14%
Trade id #141301654
Max drawdown($326)
Time8/4/22 9:53
Quant open1,400
Worst price35.48
Drawdown as % of equity-0.14%
$1,764
Includes Typical Broker Commissions trade costs of $5.00
8/3/22 11:40 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,220 85.02 8/3 15:59 85.80 0.17%
Trade id #141286495
Max drawdown($391)
Time8/3/22 11:52
Quant open1,220
Worst price84.70
Drawdown as % of equity-0.17%
$940
Includes Typical Broker Commissions trade costs of $5.00
8/3/22 9:40 AMZN AMAZON.COM LONG 750 137.61 8/3 15:59 139.58 0.29%
Trade id #141282968
Max drawdown($685)
Time8/3/22 10:36
Quant open750
Worst price136.70
Drawdown as % of equity-0.29%
$1,471
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    4/26/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    885.49
  • Age
    30 months ago
  • What it trades
    Stocks
  • # Trades
    960
  • # Profitable
    517
  • % Profitable
    53.90%
  • Avg trade duration
    5.4 hours
  • Max peak-to-valley drawdown
    13.38%
  • drawdown period
    May 12, 2022 - July 15, 2022
  • Annual Return (Compounded)
    40.9%
  • Avg win
    $1,143
  • Avg loss
    $1,013
  • Model Account Values (Raw)
  • Cash
    $242,334
  • Margin Used
    $0
  • Buying Power
    $242,334
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    1.64
  • Sortino Ratio
    2.75
  • Calmar Ratio
    4.038
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    99.43%
  • Correlation to SP500
    0.06710
  • Return Percent SP500 (cumu) during strategy life
    31.10%
  • Return Statistics
  • Ann Return (w trading costs)
    40.9%
  • Slump
  • Current Slump as Pcnt Equity
    8.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.409%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    44.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.00%
  • Chance of 20% account loss
    1.00%
  • 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
    81.49%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    771
  • Popularity (Last 6 weeks)
    952
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    951
  • Popularity (7 days, Percentile 1000 scale)
    892
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,013
  • Avg Win
    $1,144
  • Sum Trade PL (losers)
    $448,886.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $591,220.000
  • # Winners
    517
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    2762690
  • Win / Loss
  • # Losers
    443
  • % Winners
    53.9%
  • Frequency
  • Avg Position Time (mins)
    321.73
  • Avg Position Time (hrs)
    5.36
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    0.97
  • Daily leverage (max)
    3.31
  • Regression
  • Alpha
    0.09
  • Beta
    0.06
  • Treynor Index
    1.51
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.42
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -381.196
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.488
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.377
  • Hold-and-Hope Ratio
    -0.003
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37444
  • SD
    0.19717
  • Sharpe ratio (Glass type estimate)
    1.89909
  • Sharpe ratio (Hedges UMVUE)
    1.84576
  • df
    27.00000
  • t
    2.90090
  • p
    0.00366
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.26244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22005
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.79950
  • Upside Potential Ratio
    6.24730
  • Upside part of mean
    0.48739
  • Downside part of mean
    -0.11295
  • Upside SD
    0.20756
  • Downside SD
    0.07802
  • N nonnegative terms
    20.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.12442
  • Mean of criterion
    0.37444
  • SD of predictor
    0.17101
  • SD of criterion
    0.19717
  • Covariance
    0.01158
  • r
    0.34339
  • b (slope, estimate of beta)
    0.39592
  • a (intercept, estimate of alpha)
    0.32518
  • Mean Square Error
    0.03561
  • DF error
    26.00000
  • t(b)
    1.86432
  • p(b)
    0.03680
  • t(a)
    2.57401
  • p(a)
    0.00805
  • Lowerbound of 95% confidence interval for beta
    -0.04061
  • Upperbound of 95% confidence interval for beta
    0.83244
  • Lowerbound of 95% confidence interval for alpha
    0.06550
  • Upperbound of 95% confidence interval for alpha
    0.58485
  • Treynor index (mean / b)
    0.94574
  • Jensen alpha (a)
    0.32518
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35038
  • SD
    0.19037
  • Sharpe ratio (Glass type estimate)
    1.84048
  • Sharpe ratio (Hedges UMVUE)
    1.78879
  • df
    27.00000
  • t
    2.81137
  • p
    0.00454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45265
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19859
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15772
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.35477
  • Upside Potential Ratio
    5.79471
  • Upside part of mean
    0.46623
  • Downside part of mean
    -0.11585
  • Upside SD
    0.19673
  • Downside SD
    0.08046
  • N nonnegative terms
    20.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.10954
  • Mean of criterion
    0.35038
  • SD of predictor
    0.17077
  • SD of criterion
    0.19037
  • Covariance
    0.01114
  • r
    0.34278
  • b (slope, estimate of beta)
    0.38214
  • a (intercept, estimate of alpha)
    0.30852
  • Mean Square Error
    0.03321
  • DF error
    26.00000
  • t(b)
    1.86056
  • p(b)
    0.03708
  • t(a)
    2.54111
  • p(a)
    0.00868
  • Lowerbound of 95% confidence interval for beta
    -0.04004
  • Upperbound of 95% confidence interval for beta
    0.80432
  • Lowerbound of 95% confidence interval for alpha
    0.05895
  • Upperbound of 95% confidence interval for alpha
    0.55808
  • Treynor index (mean / b)
    0.91689
  • Jensen alpha (a)
    0.30852
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05936
  • Expected Shortfall on VaR
    0.08053
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01429
  • Expected Shortfall on VaR
    0.03300
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.92688
  • Quartile 1
    0.99730
  • Median
    1.03068
  • Quartile 3
    1.06939
  • Maximum
    1.15271
  • Mean of quarter 1
    0.96518
  • Mean of quarter 2
    1.01540
  • Mean of quarter 3
    1.04325
  • Mean of quarter 4
    1.11030
  • Inter Quartile Range
    0.07209
  • 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)
    -0.18458
  • VaR(95%) (moments method)
    0.02321
  • Expected Shortfall (moments method)
    0.03129
  • Extreme Value Index (regression method)
    -0.56412
  • VaR(95%) (regression method)
    0.04649
  • Expected Shortfall (regression method)
    0.05639
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00722
  • Quartile 1
    0.01270
  • Median
    0.04720
  • Quartile 3
    0.06757
  • Maximum
    0.09246
  • Mean of quarter 1
    0.00996
  • Mean of quarter 2
    0.04720
  • Mean of quarter 3
    0.06757
  • Mean of quarter 4
    0.09246
  • Inter Quartile Range
    0.05487
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60743
  • Compounded annual return (geometric extrapolation)
    0.45978
  • Calmar ratio (compounded annual return / max draw down)
    4.97272
  • Compounded annual return / average of 25% largest draw downs
    4.97272
  • Compounded annual return / Expected Shortfall lognormal
    5.70966
  • 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
    0.35287
  • SD
    0.16667
  • Sharpe ratio (Glass type estimate)
    2.11716
  • Sharpe ratio (Hedges UMVUE)
    2.11464
  • df
    630.00000
  • t
    3.28562
  • p
    0.00054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84631
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38297
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.58381
  • Upside Potential Ratio
    9.89751
  • Upside part of mean
    0.97454
  • Downside part of mean
    -0.62167
  • Upside SD
    0.13607
  • Downside SD
    0.09846
  • N nonnegative terms
    286.00000
  • N negative terms
    345.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    631.00000
  • Mean of predictor
    0.09628
  • Mean of criterion
    0.35287
  • SD of predictor
    0.18831
  • SD of criterion
    0.16667
  • Covariance
    0.00196
  • r
    0.06241
  • b (slope, estimate of beta)
    0.05524
  • a (intercept, estimate of alpha)
    0.34800
  • Mean Square Error
    0.02772
  • DF error
    629.00000
  • t(b)
    1.56817
  • p(b)
    0.05867
  • t(a)
    3.23823
  • p(a)
    0.00063
  • Lowerbound of 95% confidence interval for beta
    -0.01393
  • Upperbound of 95% confidence interval for beta
    0.12440
  • Lowerbound of 95% confidence interval for alpha
    0.13679
  • Upperbound of 95% confidence interval for alpha
    0.55832
  • Treynor index (mean / b)
    6.38855
  • Jensen alpha (a)
    0.34756
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33878
  • SD
    0.16635
  • Sharpe ratio (Glass type estimate)
    2.03659
  • Sharpe ratio (Hedges UMVUE)
    2.03416
  • df
    630.00000
  • t
    3.16058
  • p
    0.00083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30372
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30209
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.37512
  • Upside Potential Ratio
    9.61736
  • Upside part of mean
    0.96536
  • Downside part of mean
    -0.62657
  • Upside SD
    0.13413
  • Downside SD
    0.10038
  • N nonnegative terms
    286.00000
  • N negative terms
    345.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    631.00000
  • Mean of predictor
    0.07847
  • Mean of criterion
    0.33878
  • SD of predictor
    0.18899
  • SD of criterion
    0.16635
  • Covariance
    0.00194
  • r
    0.06162
  • b (slope, estimate of beta)
    0.05424
  • a (intercept, estimate of alpha)
    0.33453
  • Mean Square Error
    0.02761
  • DF error
    629.00000
  • t(b)
    1.54848
  • p(b)
    0.06100
  • t(a)
    3.12330
  • p(a)
    0.00094
  • Lowerbound of 95% confidence interval for beta
    -0.01455
  • Upperbound of 95% confidence interval for beta
    0.12303
  • Lowerbound of 95% confidence interval for alpha
    0.12420
  • Upperbound of 95% confidence interval for alpha
    0.54486
  • Treynor index (mean / b)
    6.24588
  • Jensen alpha (a)
    0.33453
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01549
  • Expected Shortfall on VaR
    0.01970
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00569
  • Expected Shortfall on VaR
    0.01202
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    631.00000
  • Minimum
    0.91685
  • Quartile 1
    0.99732
  • Median
    1.00000
  • Quartile 3
    1.00384
  • Maximum
    1.05729
  • Mean of quarter 1
    0.99145
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    1.00155
  • Mean of quarter 4
    1.01351
  • Inter Quartile Range
    0.00652
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.04437
  • Mean of outliers low
    0.97862
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.08558
  • Mean of outliers high
    1.02420
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44511
  • VaR(95%) (moments method)
    0.00842
  • Expected Shortfall (moments method)
    0.01741
  • Extreme Value Index (regression method)
    0.25115
  • VaR(95%) (regression method)
    0.00745
  • Expected Shortfall (regression method)
    0.01223
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00389
  • Median
    0.01019
  • Quartile 3
    0.03673
  • Maximum
    0.10970
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.00752
  • Mean of quarter 3
    0.02414
  • Mean of quarter 4
    0.06893
  • Inter Quartile Range
    0.03284
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02703
  • Mean of outliers high
    0.10970
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.47781
  • VaR(95%) (moments method)
    0.06980
  • Expected Shortfall (moments method)
    0.07191
  • Extreme Value Index (regression method)
    -0.47268
  • VaR(95%) (regression method)
    0.08003
  • Expected Shortfall (regression method)
    0.09168
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58897
  • Compounded annual return (geometric extrapolation)
    0.44295
  • Calmar ratio (compounded annual return / max draw down)
    4.03793
  • Compounded annual return / average of 25% largest draw downs
    6.42626
  • Compounded annual return / Expected Shortfall lognormal
    22.48300
  • 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
    -0.03063
  • SD
    0.15625
  • Sharpe ratio (Glass type estimate)
    -0.19606
  • Sharpe ratio (Hedges UMVUE)
    -0.19493
  • df
    130.00000
  • t
    -0.13864
  • p
    0.50608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57621
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.96684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57698
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.30184
  • Upside Potential Ratio
    7.34197
  • Upside part of mean
    0.74515
  • Downside part of mean
    -0.77578
  • Upside SD
    0.11802
  • Downside SD
    0.10149
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.42301
  • Mean of criterion
    -0.03063
  • SD of predictor
    0.24847
  • SD of criterion
    0.15625
  • Covariance
    0.00311
  • r
    0.08013
  • b (slope, estimate of beta)
    0.05039
  • a (intercept, estimate of alpha)
    -0.00932
  • Mean Square Error
    0.02444
  • DF error
    129.00000
  • t(b)
    0.91301
  • p(b)
    0.44904
  • t(a)
    -0.04192
  • p(a)
    0.50235
  • Lowerbound of 95% confidence interval for beta
    -0.05880
  • Upperbound of 95% confidence interval for beta
    0.15957
  • Lowerbound of 95% confidence interval for alpha
    -0.44922
  • Upperbound of 95% confidence interval for alpha
    0.43058
  • Treynor index (mean / b)
    -0.60799
  • Jensen alpha (a)
    -0.00932
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04268
  • SD
    0.15557
  • Sharpe ratio (Glass type estimate)
    -0.27432
  • Sharpe ratio (Hedges UMVUE)
    -0.27273
  • df
    130.00000
  • t
    -0.19397
  • p
    0.50850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.04584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.04474
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49927
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.41669
  • Upside Potential Ratio
    7.20810
  • Upside part of mean
    0.73824
  • Downside part of mean
    -0.78092
  • Upside SD
    0.11634
  • Downside SD
    0.10242
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.45415
  • Mean of criterion
    -0.04268
  • SD of predictor
    0.24961
  • SD of criterion
    0.15557
  • Covariance
    0.00309
  • r
    0.07962
  • b (slope, estimate of beta)
    0.04962
  • a (intercept, estimate of alpha)
    -0.02014
  • Mean Square Error
    0.02424
  • DF error
    129.00000
  • t(b)
    0.90719
  • p(b)
    0.44937
  • t(a)
    -0.09090
  • p(a)
    0.50509
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.05860
  • Upperbound of 95% confidence interval for beta
    0.15785
  • Lowerbound of 95% confidence interval for alpha
    -0.45850
  • Upperbound of 95% confidence interval for alpha
    0.41822
  • Treynor index (mean / b)
    -0.86000
  • Jensen alpha (a)
    -0.02014
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01585
  • Expected Shortfall on VaR
    0.01978
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00804
  • Expected Shortfall on VaR
    0.01545
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97491
  • Quartile 1
    0.99665
  • Median
    1.00000
  • Quartile 3
    1.00246
  • Maximum
    1.04396
  • Mean of quarter 1
    0.98977
  • Mean of quarter 2
    0.99875
  • Mean of quarter 3
    1.00062
  • Mean of quarter 4
    1.01084
  • Inter Quartile Range
    0.00582
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97959
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.02234
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32259
  • VaR(95%) (moments method)
    0.00997
  • Expected Shortfall (moments method)
    0.01772
  • Extreme Value Index (regression method)
    0.02617
  • VaR(95%) (regression method)
    0.00872
  • Expected Shortfall (regression method)
    0.01215
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00720
  • Median
    0.01554
  • Quartile 3
    0.05968
  • Maximum
    0.10970
  • Mean of quarter 1
    0.00270
  • Mean of quarter 2
    0.01303
  • Mean of quarter 3
    0.01804
  • Mean of quarter 4
    0.09163
  • Inter Quartile Range
    0.05247
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -321112000
  • Max Equity Drawdown (num days)
    64
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01471
  • Compounded annual return (geometric extrapolation)
    -0.01466
  • Calmar ratio (compounded annual return / max draw down)
    -0.13365
  • Compounded annual return / average of 25% largest draw downs
    -0.16001
  • Compounded annual return / Expected Shortfall lognormal
    -0.74106

Strategy Description

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

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

***ALL SUBSCRIBERS ARE ENTILED TO FREE ACCESS TO MY OTHER PROGRAM - SPXL/SPXS NEURAL NETWORK

Summary Statistics

Strategy began
2020-04-26
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 4.9%
Rank # 
#39
# Trades
960
# Profitable
517
% Profitable
53.9%
Correlation S&P500
0.067
Sharpe Ratio
1.64
Sortino Ratio
2.75
Beta
0.06
Alpha
0.09
Leverage
0.97 Average
3.31 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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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.