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JWB Stock and ETF ORB
(128743489)

Created by: JohnBennett JohnBennett
Started: 04/2020
Stocks
Last trade: 3 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).
56.4%
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.

(11.4%)
Max Drawdown
698
Num Trades
55.3%
Win Trades
1.4 : 1
Profit Factor
65.0%
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%)+7.4%      +23.9%

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 823 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
11/24/21 11:12 ETSY ETSY INC. COMMON STOCK LONG 360 290.92 11/24 15:59 297.36 0.03%
Trade id #138328510
Max drawdown($66)
Time11/24/21 11:15
Quant open360
Worst price290.74
Drawdown as % of equity-0.03%
$2,310
Includes Typical Broker Commissions trade costs of $7.20
11/22/21 10:36 MRNA MODERNA INC. COMMON STOCK LONG 190 275.12 11/22 15:59 282.81 0.06%
Trade id #138293838
Max drawdown($131)
Time11/22/21 11:10
Quant open190
Worst price274.43
Drawdown as % of equity-0.06%
$1,457
Includes Typical Broker Commissions trade costs of $3.80
11/22/21 12:03 TTWO TAKE-TWO INTERACTIVE SFTW LONG 302 164.95 11/22 15:58 164.80 0.11%
Trade id #138296657
Max drawdown($220)
Time11/22/21 12:09
Quant open302
Worst price164.22
Drawdown as % of equity-0.11%
($51)
Includes Typical Broker Commissions trade costs of $6.04
11/22/21 9:40 NVDA NVIDIA SHORT 146 341.41 11/22 15:58 320.69 0.36%
Trade id #138291899
Max drawdown($738)
Time11/22/21 10:47
Quant open146
Worst price346.47
Drawdown as % of equity-0.36%
$3,022
Includes Typical Broker Commissions trade costs of $2.92
11/22/21 9:34 AMD ADVANCED MICRO DEVICES INC. C LONG 340 158.80 11/22 12:38 154.79 0.95%
Trade id #138291513
Max drawdown($1,897)
Time11/22/21 12:24
Quant open340
Worst price153.22
Drawdown as % of equity-0.95%
($1,370)
Includes Typical Broker Commissions trade costs of $6.80
11/22/21 9:49 SPXL DIREXION DAILY S&P500 BULL 3X LONG 720 141.57 11/22 12:34 139.80 1%
Trade id #138292307
Max drawdown($2,030)
Time11/22/21 11:58
Quant open720
Worst price138.75
Drawdown as % of equity-1.00%
($1,279)
Includes Typical Broker Commissions trade costs of $5.00
11/22/21 9:31 ETSY ETSY INC. COMMON STOCK LONG 350 299.79 11/22 10:54 284.82 2.63%
Trade id #138291155
Max drawdown($5,348)
Time11/22/21 10:54
Quant open350
Worst price284.51
Drawdown as % of equity-2.63%
($5,247)
Includes Typical Broker Commissions trade costs of $7.00
11/22/21 9:46 TSLA TESLA INC. LONG 95 1188.37 11/22 10:05 1187.80 0.15%
Trade id #138292156
Max drawdown($307)
Time11/22/21 9:59
Quant open95
Worst price1185.13
Drawdown as % of equity-0.15%
($56)
Includes Typical Broker Commissions trade costs of $1.90
11/19/21 9:53 LCID LUCID GROUP INC LONG 950 49.67 11/19 15:59 55.33 n/a $5,374
Includes Typical Broker Commissions trade costs of $5.00
11/19/21 10:03 NVDA NVIDIA LONG 340 327.70 11/19 15:59 329.89 0.88%
Trade id #138266458
Max drawdown($1,761)
Time11/19/21 11:16
Quant open340
Worst price322.52
Drawdown as % of equity-0.88%
$738
Includes Typical Broker Commissions trade costs of $6.80
11/19/21 13:09 TSLA TESLA INC. LONG 90 1111.99 11/19 13:10 1116.10 n/a $368
Includes Typical Broker Commissions trade costs of $1.80
11/18/21 11:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 173.45 11/18 15:59 174.18 0.46%
Trade id #138247380
Max drawdown($906)
Time11/18/21 14:31
Quant open600
Worst price171.94
Drawdown as % of equity-0.46%
$433
Includes Typical Broker Commissions trade costs of $5.00
11/18/21 10:03 AMZN AMAZON.COM LONG 30 3602.00 11/18 15:59 3697.01 0.08%
Trade id #138244222
Max drawdown($166)
Time11/18/21 10:10
Quant open30
Worst price3596.46
Drawdown as % of equity-0.08%
$2,849
Includes Typical Broker Commissions trade costs of $0.60
11/18/21 9:41 SOXL DIREXION DAILY SEMICONDCT BULL LONG 770 68.65 11/18 12:41 67.22 1.02%
Trade id #138243297
Max drawdown($2,017)
Time11/18/21 11:04
Quant open770
Worst price66.03
Drawdown as % of equity-1.02%
($1,106)
Includes Typical Broker Commissions trade costs of $5.00
11/18/21 9:44 AMD ADVANCED MICRO DEVICES INC. C LONG 340 158.56 11/18 12:34 155.19 0.87%
Trade id #138243397
Max drawdown($1,717)
Time11/18/21 10:21
Quant open340
Worst price153.51
Drawdown as % of equity-0.87%
($1,152)
Includes Typical Broker Commissions trade costs of $6.80
11/15/21 9:41 FNKO FUNKO INC. CLASS A COMMON STOCK LONG 2,800 18.05 11/15 15:59 18.14 0.01%
Trade id #138195249
Max drawdown($14)
Time11/15/21 12:20
Quant open2,800
Worst price18.04
Drawdown as % of equity-0.01%
$267
Includes Typical Broker Commissions trade costs of $5.00
11/15/21 9:31 LCID LUCID GROUP INC LONG 1,100 45.42 11/15 12:31 43.86 1.11%
Trade id #138194121
Max drawdown($2,211)
Time11/15/21 10:30
Quant open1,100
Worst price43.41
Drawdown as % of equity-1.11%
($1,721)
Includes Typical Broker Commissions trade costs of $5.00
11/12/21 9:34 STX SEAGATE TECHNOLOGY SHORT 455 109.80 11/12 9:51 115.92 1.58%
Trade id #138173414
Max drawdown($3,216)
Time11/12/21 9:51
Quant open455
Worst price116.87
Drawdown as % of equity-1.58%
($2,794)
Includes Typical Broker Commissions trade costs of $9.10
11/11/21 14:34 AMD ADVANCED MICRO DEVICES INC. C LONG 340 146.27 11/11 15:59 145.98 0.23%
Trade id #138165199
Max drawdown($476)
Time11/11/21 15:11
Quant open340
Worst price144.87
Drawdown as % of equity-0.23%
($106)
Includes Typical Broker Commissions trade costs of $6.80
11/11/21 11:11 LCID LUCID GROUP INC LONG 1,100 44.99 11/11 15:59 45.01 0.41%
Trade id #138161925
Max drawdown($825)
Time11/11/21 12:28
Quant open1,100
Worst price44.24
Drawdown as % of equity-0.41%
$17
Includes Typical Broker Commissions trade costs of $5.00
11/11/21 9:53 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 700 80.88 11/11 15:59 81.64 0.25%
Trade id #138160043
Max drawdown($511)
Time11/11/21 9:57
Quant open700
Worst price80.15
Drawdown as % of equity-0.25%
$527
Includes Typical Broker Commissions trade costs of $5.00
11/11/21 9:44 FNKO FUNKO INC. CLASS A COMMON STOCK LONG 2,700 18.50 11/11 12:32 18.09 0.71%
Trade id #138159524
Max drawdown($1,444)
Time11/11/21 12:18
Quant open2,700
Worst price17.97
Drawdown as % of equity-0.71%
($1,126)
Includes Typical Broker Commissions trade costs of $5.00
11/9/21 12:46 AMZN AMAZON.COM LONG 30 3579.79 11/9 15:59 3579.51 0.25%
Trade id #138133525
Max drawdown($496)
Time11/9/21 15:21
Quant open30
Worst price3563.25
Drawdown as % of equity-0.25%
($9)
Includes Typical Broker Commissions trade costs of $0.60
11/9/21 9:32 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 700 74.33 11/9 15:59 75.11 0.98%
Trade id #138127394
Max drawdown($1,973)
Time11/9/21 10:06
Quant open700
Worst price71.51
Drawdown as % of equity-0.98%
$541
Includes Typical Broker Commissions trade costs of $5.00
11/9/21 9:32 NVDA NVIDIA SHORT 155 320.83 11/9 15:58 306.64 0.13%
Trade id #138127378
Max drawdown($266)
Time11/9/21 9:45
Quant open155
Worst price322.55
Drawdown as % of equity-0.13%
$2,196
Includes Typical Broker Commissions trade costs of $3.10
11/8/21 10:06 AMD ADVANCED MICRO DEVICES INC. C LONG 370 141.17 11/8 15:59 149.97 0.18%
Trade id #138114352
Max drawdown($362)
Time11/8/21 10:44
Quant open370
Worst price140.19
Drawdown as % of equity-0.18%
$3,249
Includes Typical Broker Commissions trade costs of $7.40
11/8/21 9:33 MU MICRON TECHNOLOGY LONG 1,400 74.08 11/8 15:59 74.47 0.67%
Trade id #138113076
Max drawdown($1,344)
Time11/8/21 10:31
Quant open1,400
Worst price73.12
Drawdown as % of equity-0.67%
$541
Includes Typical Broker Commissions trade costs of $5.00
11/8/21 9:48 FNKO FUNKO INC. CLASS A COMMON STOCK LONG 5,300 20.00 11/8 12:33 19.02 2.57%
Trade id #138113595
Max drawdown($5,194)
Time11/8/21 12:32
Quant open5,300
Worst price19.02
Drawdown as % of equity-2.57%
($5,199)
Includes Typical Broker Commissions trade costs of $5.00
11/5/21 14:07 NLSN NIELSEN NV LONG 4,800 21.39 11/5 15:59 21.33 0.34%
Trade id #138095580
Max drawdown($672)
Time11/5/21 15:02
Quant open4,800
Worst price21.25
Drawdown as % of equity-0.34%
($293)
Includes Typical Broker Commissions trade costs of $5.00
11/5/21 10:12 LCID LUCID GROUP INC LONG 1,350 37.89 11/5 15:59 41.77 n/a $5,233
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    4/26/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    580.2
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    698
  • # Profitable
    386
  • % Profitable
    55.30%
  • Avg trade duration
    5.8 hours
  • Max peak-to-valley drawdown
    11.39%
  • drawdown period
    July 13, 2020 - July 17, 2020
  • Annual Return (Compounded)
    56.4%
  • Avg win
    $1,016
  • Avg loss
    $897.25
  • Model Account Values (Raw)
  • Cash
    $212,515
  • Margin Used
    $0
  • Buying Power
    $212,515
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    2.05
  • Sortino Ratio
    3.45
  • Calmar Ratio
    7.372
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    42.43%
  • Correlation to SP500
    0.06240
  • Return Percent SP500 (cumu) during strategy life
    61.97%
  • Return Statistics
  • Ann Return (w trading costs)
    56.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.564%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    60.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    78.11%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    976
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    947
  • Popularity (7 days, Percentile 1000 scale)
    990
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $897
  • Avg Win
    $1,017
  • Sum Trade PL (losers)
    $279,942.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $392,457.000
  • # Winners
    386
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    2091
  • Win / Loss
  • # Losers
    312
  • % Winners
    55.3%
  • Frequency
  • Avg Position Time (mins)
    346.42
  • Avg Position Time (hrs)
    5.77
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.03
  • Daily leverage (max)
    3.31
  • Regression
  • Alpha
    0.12
  • Beta
    0.07
  • Treynor Index
    1.71
  • 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)
    -0.08
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    63.380
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.522
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.400
  • Hold-and-Hope Ratio
    0.016
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46139
  • SD
    0.20518
  • Sharpe ratio (Glass type estimate)
    2.24870
  • Sharpe ratio (Hedges UMVUE)
    2.14776
  • df
    17.00000
  • t
    2.75408
  • p
    0.16553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.98911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90336
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.54984
  • Upside Potential Ratio
    7.80386
  • Upside part of mean
    0.54973
  • Downside part of mean
    -0.08834
  • Upside SD
    0.22921
  • Downside SD
    0.07044
  • N nonnegative terms
    14.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.29904
  • Mean of criterion
    0.46139
  • SD of predictor
    0.13342
  • SD of criterion
    0.20518
  • Covariance
    0.00850
  • r
    0.31050
  • b (slope, estimate of beta)
    0.47752
  • a (intercept, estimate of alpha)
    0.31859
  • Mean Square Error
    0.04042
  • DF error
    16.00000
  • t(b)
    1.30659
  • p(b)
    0.34475
  • t(a)
    1.61555
  • p(a)
    0.31275
  • Lowerbound of 95% confidence interval for beta
    -0.29724
  • Upperbound of 95% confidence interval for beta
    1.25229
  • Lowerbound of 95% confidence interval for alpha
    -0.09946
  • Upperbound of 95% confidence interval for alpha
    0.73665
  • Treynor index (mean / b)
    0.96622
  • Jensen alpha (a)
    0.31859
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43343
  • SD
    0.19662
  • Sharpe ratio (Glass type estimate)
    2.20437
  • Sharpe ratio (Hedges UMVUE)
    2.10542
  • df
    17.00000
  • t
    2.69979
  • p
    0.16958
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41662
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93889
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85522
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.97297
  • Upside Potential Ratio
    7.22301
  • Upside part of mean
    0.52414
  • Downside part of mean
    -0.09071
  • Upside SD
    0.21657
  • Downside SD
    0.07256
  • N nonnegative terms
    14.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.28660
  • Mean of criterion
    0.43343
  • SD of predictor
    0.13146
  • SD of criterion
    0.19662
  • Covariance
    0.00780
  • r
    0.30185
  • b (slope, estimate of beta)
    0.45145
  • a (intercept, estimate of alpha)
    0.30404
  • Mean Square Error
    0.03733
  • DF error
    16.00000
  • t(b)
    1.26646
  • p(b)
    0.34908
  • t(a)
    1.61763
  • p(a)
    0.31255
  • Lowerbound of 95% confidence interval for beta
    -0.30423
  • Upperbound of 95% confidence interval for beta
    1.20714
  • Lowerbound of 95% confidence interval for alpha
    -0.09440
  • Upperbound of 95% confidence interval for alpha
    0.70249
  • Treynor index (mean / b)
    0.96007
  • Jensen alpha (a)
    0.30404
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05564
  • Expected Shortfall on VaR
    0.07757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00882
  • Expected Shortfall on VaR
    0.02269
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.93243
  • Quartile 1
    1.00817
  • Median
    1.03068
  • Quartile 3
    1.08525
  • Maximum
    1.15271
  • Mean of quarter 1
    0.97679
  • Mean of quarter 2
    1.02178
  • Mean of quarter 3
    1.04413
  • Mean of quarter 4
    1.11728
  • Inter Quartile Range
    0.07708
  • 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)
    -0.10940
  • VaR(95%) (regression method)
    0.04513
  • Expected Shortfall (regression method)
    0.07102
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00722
  • Quartile 1
    0.02721
  • Median
    0.04720
  • Quartile 3
    0.05739
  • Maximum
    0.06757
  • Mean of quarter 1
    0.00722
  • Mean of quarter 2
    0.04720
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06757
  • Inter Quartile Range
    0.03018
  • 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)
    0.66514
  • Compounded annual return (geometric extrapolation)
    0.58619
  • Calmar ratio (compounded annual return / max draw down)
    8.67483
  • Compounded annual return / average of 25% largest draw downs
    8.67483
  • Compounded annual return / Expected Shortfall lognormal
    7.55723
  • 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
    0.46623
  • SD
    0.17681
  • Sharpe ratio (Glass type estimate)
    2.63685
  • Sharpe ratio (Hedges UMVUE)
    2.63204
  • df
    411.00000
  • t
    3.30662
  • p
    0.00051
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.06198
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05875
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20533
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.50500
  • Upside Potential Ratio
    10.50390
  • Upside part of mean
    1.08705
  • Downside part of mean
    -0.62083
  • Upside SD
    0.14597
  • Downside SD
    0.10349
  • N nonnegative terms
    199.00000
  • N negative terms
    213.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    412.00000
  • Mean of predictor
    0.28238
  • Mean of criterion
    0.46623
  • SD of predictor
    0.15946
  • SD of criterion
    0.17681
  • Covariance
    0.00131
  • r
    0.04663
  • b (slope, estimate of beta)
    0.05170
  • a (intercept, estimate of alpha)
    0.45200
  • Mean Square Error
    0.03127
  • DF error
    410.00000
  • t(b)
    0.94513
  • p(b)
    0.17258
  • t(a)
    3.18362
  • p(a)
    0.00078
  • Lowerbound of 95% confidence interval for beta
    -0.05583
  • Upperbound of 95% confidence interval for beta
    0.15923
  • Lowerbound of 95% confidence interval for alpha
    0.17276
  • Upperbound of 95% confidence interval for alpha
    0.73049
  • Treynor index (mean / b)
    9.01801
  • Jensen alpha (a)
    0.45163
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45021
  • SD
    0.17666
  • Sharpe ratio (Glass type estimate)
    2.54843
  • Sharpe ratio (Hedges UMVUE)
    2.54378
  • df
    411.00000
  • t
    3.19574
  • p
    0.00075
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.97432
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97117
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11639
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.25021
  • Upside Potential Ratio
    10.16270
  • Upside part of mean
    1.07649
  • Downside part of mean
    -0.62628
  • Upside SD
    0.14383
  • Downside SD
    0.10593
  • N nonnegative terms
    199.00000
  • N negative terms
    213.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    412.00000
  • Mean of predictor
    0.26947
  • Mean of criterion
    0.45021
  • SD of predictor
    0.16007
  • SD of criterion
    0.17666
  • Covariance
    0.00128
  • r
    0.04515
  • b (slope, estimate of beta)
    0.04983
  • a (intercept, estimate of alpha)
    0.43678
  • Mean Square Error
    0.03122
  • DF error
    410.00000
  • t(b)
    0.91508
  • p(b)
    0.18034
  • t(a)
    3.08315
  • p(a)
    0.00109
  • Lowerbound of 95% confidence interval for beta
    -0.05721
  • Upperbound of 95% confidence interval for beta
    0.15686
  • Lowerbound of 95% confidence interval for alpha
    0.15830
  • Upperbound of 95% confidence interval for alpha
    0.71527
  • Treynor index (mean / b)
    9.03557
  • Jensen alpha (a)
    0.43678
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01610
  • Expected Shortfall on VaR
    0.02057
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00546
  • Expected Shortfall on VaR
    0.01178
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    412.00000
  • Minimum
    0.91685
  • Quartile 1
    0.99730
  • Median
    1.00001
  • Quartile 3
    1.00446
  • Maximum
    1.05729
  • Mean of quarter 1
    0.99145
  • Mean of quarter 2
    0.99929
  • Mean of quarter 3
    1.00201
  • Mean of quarter 4
    1.01480
  • Inter Quartile Range
    0.00717
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.03155
  • Mean of outliers low
    0.97506
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.08738
  • Mean of outliers high
    1.02547
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36894
  • VaR(95%) (moments method)
    0.00805
  • Expected Shortfall (moments method)
    0.01506
  • Extreme Value Index (regression method)
    0.18619
  • VaR(95%) (regression method)
    0.00725
  • Expected Shortfall (regression method)
    0.01128
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00389
  • Median
    0.00912
  • Quartile 3
    0.04475
  • Maximum
    0.08315
  • Mean of quarter 1
    0.00225
  • Mean of quarter 2
    0.00792
  • Mean of quarter 3
    0.02545
  • Mean of quarter 4
    0.06539
  • Inter Quartile Range
    0.04086
  • 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)
    -1.17835
  • VaR(95%) (moments method)
    0.07005
  • Expected Shortfall (moments method)
    0.07261
  • Extreme Value Index (regression method)
    -0.85042
  • VaR(95%) (regression method)
    0.07157
  • Expected Shortfall (regression method)
    0.07544
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71281
  • Compounded annual return (geometric extrapolation)
    0.61303
  • Calmar ratio (compounded annual return / max draw down)
    7.37239
  • Compounded annual return / average of 25% largest draw downs
    9.37464
  • Compounded annual return / Expected Shortfall lognormal
    29.79990
  • 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
    0.18887
  • SD
    0.10996
  • Sharpe ratio (Glass type estimate)
    1.71755
  • Sharpe ratio (Hedges UMVUE)
    1.70762
  • df
    130.00000
  • t
    1.21449
  • p
    0.44704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.48719
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54054
  • Upside Potential Ratio
    9.19127
  • Upside part of mean
    0.68329
  • Downside part of mean
    -0.49442
  • Upside SD
    0.08130
  • Downside SD
    0.07434
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15696
  • Mean of criterion
    0.18887
  • SD of predictor
    0.10630
  • SD of criterion
    0.10996
  • Covariance
    0.00201
  • r
    0.17179
  • b (slope, estimate of beta)
    0.17772
  • a (intercept, estimate of alpha)
    0.16097
  • Mean Square Error
    0.01183
  • DF error
    129.00000
  • t(b)
    1.98063
  • p(b)
    0.39117
  • t(a)
    1.04233
  • p(a)
    0.44190
  • Lowerbound of 95% confidence interval for beta
    0.00019
  • Upperbound of 95% confidence interval for beta
    0.35525
  • Lowerbound of 95% confidence interval for alpha
    -0.14458
  • Upperbound of 95% confidence interval for alpha
    0.46653
  • Treynor index (mean / b)
    1.06273
  • Jensen alpha (a)
    0.16097
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18277
  • SD
    0.11009
  • Sharpe ratio (Glass type estimate)
    1.66028
  • Sharpe ratio (Hedges UMVUE)
    1.65068
  • df
    130.00000
  • t
    1.17400
  • p
    0.44879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43628
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12837
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.42974
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.43501
  • Upside Potential Ratio
    9.05855
  • Upside part of mean
    0.67994
  • Downside part of mean
    -0.49717
  • Upside SD
    0.08074
  • Downside SD
    0.07506
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.18277
  • SD of predictor
    0.10647
  • SD of criterion
    0.11009
  • Covariance
    0.00201
  • r
    0.17130
  • b (slope, estimate of beta)
    0.17712
  • a (intercept, estimate of alpha)
    0.15598
  • Mean Square Error
    0.01185
  • DF error
    129.00000
  • t(b)
    1.97475
  • p(b)
    0.39149
  • t(a)
    1.00909
  • p(a)
    0.44373
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.00034
  • Upperbound of 95% confidence interval for beta
    0.35458
  • Lowerbound of 95% confidence interval for alpha
    -0.14985
  • Upperbound of 95% confidence interval for alpha
    0.46181
  • Treynor index (mean / b)
    1.03190
  • Jensen alpha (a)
    0.15598
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01043
  • Expected Shortfall on VaR
    0.01324
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00435
  • Expected Shortfall on VaR
    0.00911
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96793
  • Quartile 1
    0.99800
  • Median
    1.00007
  • Quartile 3
    1.00373
  • Maximum
    1.02356
  • Mean of quarter 1
    0.99322
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00192
  • Mean of quarter 4
    1.00870
  • Inter Quartile Range
    0.00573
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98047
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01607
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37513
  • VaR(95%) (moments method)
    0.00645
  • Expected Shortfall (moments method)
    0.01225
  • Extreme Value Index (regression method)
    0.30070
  • VaR(95%) (regression method)
    0.00630
  • Expected Shortfall (regression method)
    0.01098
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00370
  • Median
    0.00422
  • Quartile 3
    0.01208
  • Maximum
    0.05130
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.00386
  • Mean of quarter 3
    0.00646
  • Mean of quarter 4
    0.03724
  • Inter Quartile Range
    0.00838
  • 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
    0.12500
  • Mean of outliers high
    0.05130
  • 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?
    -330129000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22218
  • Compounded annual return (geometric extrapolation)
    0.23452
  • Calmar ratio (compounded annual return / max draw down)
    4.57166
  • Compounded annual return / average of 25% largest draw downs
    6.29670
  • Compounded annual return / Expected Shortfall lognormal
    17.71340

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 5.3%
Rank # 
#43
# Trades
698
# Profitable
386
% Profitable
55.3%
Correlation S&P500
0.062
Sharpe Ratio
2.05
Sortino Ratio
3.45
Beta
0.07
Alpha
0.12
Leverage
1.03 Average
3.31 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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