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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 09/07/2021
Most recent certification approved 9/7/21 9:30 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 3,179
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 3,179
Percent signals followed since 09/07/2021 100%
This information was last updated 3/28/24 7:08 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/07/2021, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Carma Stocks
(81128026)

Created by: CarmaAdvisory CarmaAdvisory
Started: 05/2013
Stocks
Last trade: 3 days ago
Trading style: Equity Short-term Reversal

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $50.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
11.5%
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.

(25.3%)
Max Drawdown
3720
Num Trades
60.1%
Win Trades
1.4 : 1
Profit Factor
64.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                            (0.4%)+7.3%(1%)(1.6%)+1.3%+5.3%+3.5%+1.2%+16.2%
2014(0.6%)(1.1%)+1.8%+7.9%(0.5%)(0.2%)(1.7%)+1.6%+0.7%+2.0%+0.9%+2.1%+13.5%
2015+2.7%+0.2%+1.4%  -  +1.6%+2.2%+4.0%(1.2%)+2.4%(1.2%)+0.4%+1.0%+14.2%
2016+0.3%+2.0%+0.7%+0.7%+0.9%(1.1%)+1.0%+0.3%+0.9%+0.5%+1.9%(1.2%)+7.0%
2017+1.9%+1.6%+1.0%  -  (3.9%)+0.6%(0.1%)+0.5%+0.1%(0.4%)+0.3%+2.3%+4.0%
2018(2%)(4.6%)+1.3%  -  (0.3%)(2.5%)+0.9%+0.6%+1.4%(2.2%)+0.7%(0.3%)(7%)
2019+0.1%(0.5%)+3.5%+1.5%(8.2%)+2.8%(0.6%)+0.7%(1.4%)(1.3%)+1.9%+2.3%+0.3%
2020(6.1%)(4.8%)+11.6%+2.1%+4.8%+5.5%+5.7%+4.2%+7.3%+3.3%+7.7%+8.5%+60.6%
2021(3.4%)+6.1%+4.4%+0.1%+3.5%(2.2%)(2.5%)+0.8%(2.9%)+5.7%(2.3%)+7.0%+14.3%
2022(7.3%)+0.6%+4.4%(8.5%)+8.6%(11.2%)+2.4%(0.7%)(1.9%)+5.5%+6.4%(4.6%)(8.2%)
2023+6.5%(4.2%)(6.9%)(1.7%)(2.8%)+10.5%+8.6%+0.2%(2.4%)+0.9%+1.6%+0.3%+9.6%
2024+4.7%+6.1%+1.7%                                                      +13.0%

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 6,514 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
3/19/24 9:30 SMCI SUPER MICRO COMPUTER LONG 7 885.40 3/25 9:46 1010.08 0.34%
Trade id #147681886
Max drawdown($212)
Time3/20/24 0:00
Quant open7
Worst price855.00
Drawdown as % of equity-0.34%
$873
Includes Typical Broker Commissions trade costs of $0.14
3/22/24 9:31 KMX CARMAX SHORT 72 86.36 3/25 9:30 85.96 0.02%
Trade id #147711468
Max drawdown($14)
Time3/22/24 9:39
Quant open72
Worst price86.55
Drawdown as % of equity-0.02%
$27
Includes Typical Broker Commissions trade costs of $1.44
3/11/24 9:35 MRVL MARVELL TECHNOLOGY LONG 85 72.81 3/21 11:58 68.44 1.26%
Trade id #147589546
Max drawdown($794)
Time3/19/24 0:00
Quant open85
Worst price63.46
Drawdown as % of equity-1.26%
($373)
Includes Typical Broker Commissions trade costs of $1.70
2/20/24 9:40 MDB MONGODB INC. CLASS A COMMON STOCK LONG 13 448.89 3/21 9:30 366.85 2.23%
Trade id #147377782
Max drawdown($1,411)
Time3/19/24 0:00
Quant open13
Worst price340.35
Drawdown as % of equity-2.23%
($1,067)
Includes Typical Broker Commissions trade costs of $0.26
3/14/24 15:00 TTD THE TRADE DESK INC. CLASS A LONG 81 77.36 3/19 13:04 79.60 0.12%
Trade id #147642201
Max drawdown($76)
Time3/15/24 0:00
Quant open81
Worst price76.42
Drawdown as % of equity-0.12%
$179
Includes Typical Broker Commissions trade costs of $1.62
3/11/24 9:30 TSX.CLS CELESTICA INC LONG 110 CAD 59.70 3/18 9:35 CAD 61.67 n/a $148
Includes Typical Broker Commissions trade costs of $13.35
12/5/23 9:30 FICO FAIR ISAAC LONG 2 1121.80 3/18/24 9:30 1225.63 0.08%
Trade id #146613597
Max drawdown($44)
Time12/7/23 0:00
Quant open2
Worst price1099.74
Drawdown as % of equity-0.08%
$208
Includes Typical Broker Commissions trade costs of $0.04
12/5/23 9:30 NWS NEWS CORPORATION LONG 80 22.95 3/18/24 9:30 26.62 0.1%
Trade id #146613591
Max drawdown($58)
Time12/7/23 0:00
Quant open80
Worst price22.21
Drawdown as % of equity-0.10%
$292
Includes Typical Broker Commissions trade costs of $1.60
3/7/24 10:00 FMC FMC SHORT 97 63.92 3/11 9:30 62.53 0.09%
Trade id #147565086
Max drawdown($56)
Time3/8/24 0:00
Quant open97
Worst price64.51
Drawdown as % of equity-0.09%
$133
Includes Typical Broker Commissions trade costs of $1.94
3/7/24 11:27 NVDA NVIDIA SHORT 3 921.61 3/8 11:31 887.27 0.24%
Trade id #147566182
Max drawdown($157)
Time3/8/24 10:30
Quant open3
Worst price974.00
Drawdown as % of equity-0.24%
$103
Includes Typical Broker Commissions trade costs of $0.06
3/7/24 9:43 DXCM DEXCOM SHORT 46 137.75 3/8 9:30 133.35 n/a $201
Includes Typical Broker Commissions trade costs of $0.92
2/26/24 9:30 NVDA NVIDIA LONG 4 796.95 3/7 11:27 921.61 0.16%
Trade id #147449216
Max drawdown($102)
Time2/28/24 0:00
Quant open4
Worst price771.25
Drawdown as % of equity-0.16%
$499
Includes Typical Broker Commissions trade costs of $0.08
3/4/24 10:11 URI UNITED RENTALS SHORT 9 728.20 3/5 9:30 699.89 0.06%
Trade id #147527991
Max drawdown($37)
Time3/4/24 10:17
Quant open9
Worst price732.37
Drawdown as % of equity-0.06%
$255
Includes Typical Broker Commissions trade costs of $0.18
12/5/23 9:30 AMGN AMGEN LONG 7 271.76 3/4/24 9:30 282.70 0.06%
Trade id #146613599
Max drawdown($35)
Time12/7/23 0:00
Quant open7
Worst price266.63
Drawdown as % of equity-0.06%
$77
Includes Typical Broker Commissions trade costs of $0.14
2/28/24 11:39 CEG CONSTELLATION ENERGY CORPORATION SHORT 44 162.93 3/1 9:30 167.50 0.58%
Trade id #147473568
Max drawdown($368)
Time2/29/24 0:00
Quant open44
Worst price171.31
Drawdown as % of equity-0.58%
($202)
Includes Typical Broker Commissions trade costs of $0.88
2/23/24 9:34 NVDA NVIDIA SHORT 4 815.89 2/26 9:30 796.93 0.05%
Trade id #147433077
Max drawdown($32)
Time2/23/24 9:38
Quant open4
Worst price823.94
Drawdown as % of equity-0.05%
$76
Includes Typical Broker Commissions trade costs of $0.08
12/5/23 9:30 NVDA NVIDIA LONG 4 454.44 2/23/24 9:34 815.96 0.01%
Trade id #146613593
Max drawdown($6)
Time12/5/23 9:36
Quant open4
Worst price452.71
Drawdown as % of equity-0.01%
$1,446
Includes Typical Broker Commissions trade costs of $0.08
2/12/24 9:45 ENPH ENPHASE ENERGY SHORT 60 128.04 2/13 9:30 119.83 0.46%
Trade id #147287446
Max drawdown($290)
Time2/12/24 11:02
Quant open60
Worst price132.88
Drawdown as % of equity-0.46%
$492
Includes Typical Broker Commissions trade costs of $1.20
2/1/24 9:57 CFG CITIZENS FINANCIAL GROUP INC LONG 189 31.57 2/12 9:31 31.68 0.4%
Trade id #147192595
Max drawdown($245)
Time2/7/24 0:00
Quant open189
Worst price30.27
Drawdown as % of equity-0.40%
$18
Includes Typical Broker Commissions trade costs of $3.78
2/7/24 9:30 FTNT FORTINET SHORT 20 73.82 2/9 9:30 68.39 n/a $109
Includes Typical Broker Commissions trade costs of $0.40
2/5/24 9:31 CTLT CATALENT INC SHORT 132 59.06 2/7 9:30 58.47 0.24%
Trade id #147226653
Max drawdown($150)
Time2/5/24 9:57
Quant open132
Worst price60.20
Drawdown as % of equity-0.24%
$75
Includes Typical Broker Commissions trade costs of $2.64
2/1/24 12:42 TSX.SHOP SHOPIFY INC LONG 61 CAD 102.00 2/5 9:30 CAD 110.95 n/a $395
Includes Typical Broker Commissions trade costs of $12.99
1/17/24 9:55 TSX.BHC BAUSCH HEALTH COS INC LONG 571 CAD 10.77 1/29 9:30 CAD 11.02 n/a $94
Includes Typical Broker Commissions trade costs of $12.44
1/16/24 13:38 DVA DAVITA INC LONG 56 105.28 1/23 9:38 106.41 0.15%
Trade id #147016625
Max drawdown($90)
Time1/18/24 0:00
Quant open56
Worst price103.67
Drawdown as % of equity-0.15%
$62
Includes Typical Broker Commissions trade costs of $1.12
1/18/24 9:30 AMD ADVANCED MICRO DEVICES INC. C SHORT 19 166.51 1/23 9:30 166.38 0.26%
Trade id #147048627
Max drawdown($155)
Time1/22/24 0:00
Quant open19
Worst price174.72
Drawdown as % of equity-0.26%
$3
Includes Typical Broker Commissions trade costs of $0.38
1/17/24 11:24 BXP BOSTON PROPERTIES LONG 86 67.04 1/22 9:30 68.88 0.19%
Trade id #147032456
Max drawdown($114)
Time1/18/24 0:00
Quant open86
Worst price65.71
Drawdown as % of equity-0.19%
$156
Includes Typical Broker Commissions trade costs of $1.72
1/2/24 9:54 NCLH NORWEGIAN CRUISE LINE HOLDINGS LONG 297 19.34 1/19 9:30 17.56 n/a ($534)
Includes Typical Broker Commissions trade costs of $5.94
1/11/24 10:53 SIRI SIRIUS XM HOLDINGS INC. COMMON LONG 1,125 5.18 1/18 9:55 5.29 0.22%
Trade id #146974857
Max drawdown($126)
Time1/17/24 0:00
Quant open1,125
Worst price5.07
Drawdown as % of equity-0.22%
$119
Includes Typical Broker Commissions trade costs of $5.00
12/14/23 11:32 AMD ADVANCED MICRO DEVICES INC. C LONG 16 137.65 1/18/24 9:30 166.51 0.11%
Trade id #146701267
Max drawdown($62)
Time1/3/24 0:00
Quant open16
Worst price133.74
Drawdown as % of equity-0.11%
$462
Includes Typical Broker Commissions trade costs of $0.32
1/9/24 9:48 CTLT CATALENT INC SHORT 146 48.80 1/12 9:33 50.44 0.58%
Trade id #146949880
Max drawdown($339)
Time1/11/24 0:00
Quant open146
Worst price51.13
Drawdown as % of equity-0.58%
($242)
Includes Typical Broker Commissions trade costs of $2.92

Statistics

  • Strategy began
    5/28/2013
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    3956.8
  • Age
    132 months ago
  • What it trades
    Stocks
  • # Trades
    3720
  • # Profitable
    2235
  • % Profitable
    60.10%
  • Avg trade duration
    8.6 days
  • Max peak-to-valley drawdown
    25.33%
  • drawdown period
    Jan 05, 2022 - July 13, 2022
  • Annual Return (Compounded)
    11.5%
  • Avg win
    $94.25
  • Avg loss
    $102.14
  • Model Account Values (Raw)
  • Cash
    $67,201
  • Margin Used
    $0
  • Buying Power
    $70,894
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.71
  • Sortino Ratio
    1.06
  • Calmar Ratio
    1.053
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.32%
  • Correlation to SP500
    0.31290
  • Return Percent SP500 (cumu) during strategy life
    216.16%
  • Return Statistics
  • Ann Return (w trading costs)
    11.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    130.370%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.115%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    0.50%
  • 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
    8.78%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    650
  • Popularity (Last 6 weeks)
    914
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    976
  • Popularity (7 days, Percentile 1000 scale)
    813
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $102
  • Avg Win
    $94
  • Sum Trade PL (losers)
    $151,671.000
  • Age
  • Num Months filled monthly returns table
    131
  • Win / Loss
  • Sum Trade PL (winners)
    $210,651.000
  • # Winners
    2235
  • Num Months Winners
    86
  • Dividends
  • Dividends Received in Model Acct
    3059
  • AUM
  • AUM (AutoTrader live capital)
    76242
  • Win / Loss
  • # Losers
    1485
  • % Winners
    60.1%
  • Frequency
  • Avg Position Time (mins)
    12380.30
  • Avg Position Time (hrs)
    206.34
  • Avg Trade Length
    8.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.59
  • Daily leverage (max)
    3.29
  • Regression
  • Alpha
    0.02
  • Beta
    0.20
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    49.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    90.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.09
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.331
  • 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
    0.644
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.793
  • Hold-and-Hope Ratio
    0.099
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10746
  • SD
    0.08810
  • Sharpe ratio (Glass type estimate)
    1.21973
  • Sharpe ratio (Hedges UMVUE)
    1.21256
  • df
    128.00000
  • t
    3.99914
  • p
    0.33337
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60136
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83363
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82853
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10994
  • Upside Potential Ratio
    3.26482
  • Upside part of mean
    0.16628
  • Downside part of mean
    -0.05882
  • Upside SD
    0.07791
  • Downside SD
    0.05093
  • N nonnegative terms
    89.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.08826
  • Mean of criterion
    0.10746
  • SD of predictor
    0.13421
  • SD of criterion
    0.08810
  • Covariance
    0.00425
  • r
    0.35936
  • b (slope, estimate of beta)
    0.23591
  • a (intercept, estimate of alpha)
    0.08664
  • Mean Square Error
    0.00681
  • DF error
    127.00000
  • t(b)
    4.33965
  • p(b)
    0.27625
  • t(a)
    3.38076
  • p(a)
    0.31962
  • Lowerbound of 95% confidence interval for beta
    0.12834
  • Upperbound of 95% confidence interval for beta
    0.34348
  • Lowerbound of 95% confidence interval for alpha
    0.03593
  • Upperbound of 95% confidence interval for alpha
    0.13736
  • Treynor index (mean / b)
    0.45552
  • Jensen alpha (a)
    0.08664
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10293
  • SD
    0.08790
  • Sharpe ratio (Glass type estimate)
    1.17095
  • Sharpe ratio (Hedges UMVUE)
    1.16407
  • df
    128.00000
  • t
    3.83921
  • p
    0.33933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54952
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77863
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95037
  • Upside Potential Ratio
    3.08809
  • Upside part of mean
    0.16297
  • Downside part of mean
    -0.06004
  • Upside SD
    0.07593
  • Downside SD
    0.05277
  • N nonnegative terms
    89.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.07863
  • Mean of criterion
    0.10293
  • SD of predictor
    0.13676
  • SD of criterion
    0.08790
  • Covariance
    0.00437
  • r
    0.36322
  • b (slope, estimate of beta)
    0.23346
  • a (intercept, estimate of alpha)
    0.08457
  • Mean Square Error
    0.00676
  • DF error
    127.00000
  • t(b)
    4.39329
  • p(b)
    0.27396
  • t(a)
    3.32658
  • p(a)
    0.32220
  • Lowerbound of 95% confidence interval for beta
    0.12831
  • Upperbound of 95% confidence interval for beta
    0.33862
  • Lowerbound of 95% confidence interval for alpha
    0.03426
  • Upperbound of 95% confidence interval for alpha
    0.13488
  • Treynor index (mean / b)
    0.44088
  • Jensen alpha (a)
    0.08457
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03262
  • Expected Shortfall on VaR
    0.04278
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00770
  • Expected Shortfall on VaR
    0.01859
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    129.00000
  • Minimum
    0.89819
  • Quartile 1
    0.99968
  • Median
    1.00876
  • Quartile 3
    1.02275
  • Maximum
    1.07830
  • Mean of quarter 1
    0.98343
  • Mean of quarter 2
    1.00482
  • Mean of quarter 3
    1.01538
  • Mean of quarter 4
    1.04238
  • Inter Quartile Range
    0.02307
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03876
  • Mean of outliers low
    0.94013
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03876
  • Mean of outliers high
    1.07155
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46580
  • VaR(95%) (moments method)
    0.00588
  • Expected Shortfall (moments method)
    0.01434
  • Extreme Value Index (regression method)
    0.65016
  • VaR(95%) (regression method)
    0.01447
  • Expected Shortfall (regression method)
    0.05394
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00437
  • Median
    0.00957
  • Quartile 3
    0.03581
  • Maximum
    0.10749
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.00852
  • Mean of quarter 3
    0.03228
  • Mean of quarter 4
    0.08925
  • Inter Quartile Range
    0.03145
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.10465
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.71008
  • VaR(95%) (moments method)
    0.07559
  • Expected Shortfall (moments method)
    0.07570
  • Extreme Value Index (regression method)
    -2.43883
  • VaR(95%) (regression method)
    0.12504
  • Expected Shortfall (regression method)
    0.12596
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28666
  • Compounded annual return (geometric extrapolation)
    0.13978
  • Calmar ratio (compounded annual return / max draw down)
    1.30039
  • Compounded annual return / average of 25% largest draw downs
    1.56612
  • Compounded annual return / Expected Shortfall lognormal
    3.26757
  • 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
    0.10738
  • SD
    0.09068
  • Sharpe ratio (Glass type estimate)
    1.18416
  • Sharpe ratio (Hedges UMVUE)
    1.18384
  • df
    2819.00000
  • t
    3.88492
  • p
    0.00005
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78205
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79753
  • Upside Potential Ratio
    7.86417
  • Upside part of mean
    0.46978
  • Downside part of mean
    -0.36240
  • Upside SD
    0.06852
  • Downside SD
    0.05974
  • N nonnegative terms
    1416.00000
  • N negative terms
    1404.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2820.00000
  • Mean of predictor
    0.09419
  • Mean of criterion
    0.10738
  • SD of predictor
    0.17361
  • SD of criterion
    0.09068
  • Covariance
    0.00502
  • r
    0.31883
  • b (slope, estimate of beta)
    0.16653
  • a (intercept, estimate of alpha)
    0.09200
  • Mean Square Error
    0.00739
  • DF error
    2818.00000
  • t(b)
    17.85700
  • p(b)
    0.00000
  • t(a)
    3.49750
  • p(a)
    0.00024
  • Lowerbound of 95% confidence interval for beta
    0.14825
  • Upperbound of 95% confidence interval for beta
    0.18482
  • Lowerbound of 95% confidence interval for alpha
    0.04029
  • Upperbound of 95% confidence interval for alpha
    0.14310
  • Treynor index (mean / b)
    0.64479
  • Jensen alpha (a)
    0.09169
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10324
  • SD
    0.09058
  • Sharpe ratio (Glass type estimate)
    1.13986
  • Sharpe ratio (Hedges UMVUE)
    1.13956
  • df
    2819.00000
  • t
    3.73962
  • p
    0.00009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73771
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71394
  • Upside Potential Ratio
    7.75948
  • Upside part of mean
    0.46741
  • Downside part of mean
    -0.36417
  • Upside SD
    0.06792
  • Downside SD
    0.06024
  • N nonnegative terms
    1416.00000
  • N negative terms
    1404.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2820.00000
  • Mean of predictor
    0.07904
  • Mean of criterion
    0.10324
  • SD of predictor
    0.17420
  • SD of criterion
    0.09058
  • Covariance
    0.00503
  • r
    0.31862
  • b (slope, estimate of beta)
    0.16567
  • a (intercept, estimate of alpha)
    0.09015
  • Mean Square Error
    0.00737
  • DF error
    2818.00000
  • t(b)
    17.84380
  • p(b)
    0.00000
  • t(a)
    3.44290
  • p(a)
    0.00029
  • Lowerbound of 95% confidence interval for beta
    0.14747
  • Upperbound of 95% confidence interval for beta
    0.18388
  • Lowerbound of 95% confidence interval for alpha
    0.03881
  • Upperbound of 95% confidence interval for alpha
    0.14149
  • Treynor index (mean / b)
    0.62319
  • Jensen alpha (a)
    0.09015
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00877
  • Expected Shortfall on VaR
    0.01108
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00311
  • Expected Shortfall on VaR
    0.00672
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2820.00000
  • Minimum
    0.96503
  • Quartile 1
    0.99914
  • Median
    1.00012
  • Quartile 3
    1.00197
  • Maximum
    1.05154
  • Mean of quarter 1
    0.99485
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00084
  • Mean of quarter 4
    1.00654
  • Inter Quartile Range
    0.00283
  • Number outliers low
    241.00000
  • Percentage of outliers low
    0.08546
  • Mean of outliers low
    0.98963
  • Number of outliers high
    259.00000
  • Percentage of outliers high
    0.09184
  • Mean of outliers high
    1.01166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49073
  • VaR(95%) (moments method)
    0.00411
  • Expected Shortfall (moments method)
    0.00973
  • Extreme Value Index (regression method)
    0.16933
  • VaR(95%) (regression method)
    0.00455
  • Expected Shortfall (regression method)
    0.00768
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    188.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00077
  • Median
    0.00291
  • Quartile 3
    0.00949
  • Maximum
    0.13304
  • Mean of quarter 1
    0.00034
  • Mean of quarter 2
    0.00170
  • Mean of quarter 3
    0.00596
  • Mean of quarter 4
    0.02880
  • Inter Quartile Range
    0.00872
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.11170
  • Mean of outliers high
    0.04691
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49729
  • VaR(95%) (moments method)
    0.02976
  • Expected Shortfall (moments method)
    0.06568
  • Extreme Value Index (regression method)
    0.50813
  • VaR(95%) (regression method)
    0.02493
  • Expected Shortfall (regression method)
    0.05273
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28826
  • Compounded annual return (geometric extrapolation)
    0.14014
  • Calmar ratio (compounded annual return / max draw down)
    1.05333
  • Compounded annual return / average of 25% largest draw downs
    4.86522
  • Compounded annual return / Expected Shortfall lognormal
    12.64300
  • 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
    0.24038
  • SD
    0.07885
  • Sharpe ratio (Glass type estimate)
    3.04865
  • Sharpe ratio (Hedges UMVUE)
    3.03103
  • df
    130.00000
  • t
    2.15572
  • p
    0.40711
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.83940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.82721
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.34400
  • Upside Potential Ratio
    11.91300
  • Upside part of mean
    0.53586
  • Downside part of mean
    -0.29548
  • Upside SD
    0.06608
  • Downside SD
    0.04498
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36048
  • Mean of criterion
    0.24038
  • SD of predictor
    0.11714
  • SD of criterion
    0.07885
  • Covariance
    0.00330
  • r
    0.35719
  • b (slope, estimate of beta)
    0.24043
  • a (intercept, estimate of alpha)
    0.15371
  • Mean Square Error
    0.00547
  • DF error
    129.00000
  • t(b)
    4.34350
  • p(b)
    0.27753
  • t(a)
    1.44407
  • p(a)
    0.41992
  • Lowerbound of 95% confidence interval for beta
    0.13091
  • Upperbound of 95% confidence interval for beta
    0.34995
  • Lowerbound of 95% confidence interval for alpha
    -0.05689
  • Upperbound of 95% confidence interval for alpha
    0.36430
  • Treynor index (mean / b)
    0.99979
  • Jensen alpha (a)
    0.15371
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23717
  • SD
    0.07865
  • Sharpe ratio (Glass type estimate)
    3.01535
  • Sharpe ratio (Hedges UMVUE)
    2.99792
  • df
    130.00000
  • t
    2.13217
  • p
    0.40809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.80556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20226
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.79358
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.24918
  • Upside Potential Ratio
    11.81070
  • Upside part of mean
    0.53364
  • Downside part of mean
    -0.29647
  • Upside SD
    0.06567
  • Downside SD
    0.04518
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35341
  • Mean of criterion
    0.23717
  • SD of predictor
    0.11700
  • SD of criterion
    0.07865
  • Covariance
    0.00328
  • r
    0.35654
  • b (slope, estimate of beta)
    0.23968
  • a (intercept, estimate of alpha)
    0.15246
  • Mean Square Error
    0.00544
  • DF error
    129.00000
  • t(b)
    4.33442
  • p(b)
    0.27792
  • t(a)
    1.43645
  • p(a)
    0.42033
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.13028
  • Upperbound of 95% confidence interval for beta
    0.34909
  • Lowerbound of 95% confidence interval for alpha
    -0.05754
  • Upperbound of 95% confidence interval for alpha
    0.36247
  • Treynor index (mean / b)
    0.98951
  • Jensen alpha (a)
    0.15246
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00706
  • Expected Shortfall on VaR
    0.00908
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00221
  • Expected Shortfall on VaR
    0.00482
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98563
  • Quartile 1
    0.99968
  • Median
    1.00052
  • Quartile 3
    1.00293
  • Maximum
    1.01926
  • Mean of quarter 1
    0.99572
  • Mean of quarter 2
    1.00010
  • Mean of quarter 3
    1.00150
  • Mean of quarter 4
    1.00679
  • Inter Quartile Range
    0.00325
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.99159
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.01280
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33590
  • VaR(95%) (moments method)
    0.00265
  • Expected Shortfall (moments method)
    0.00339
  • Extreme Value Index (regression method)
    0.04415
  • VaR(95%) (regression method)
    0.00467
  • Expected Shortfall (regression method)
    0.00746
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00116
  • Median
    0.00641
  • Quartile 3
    0.00999
  • Maximum
    0.02741
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00294
  • Mean of quarter 3
    0.00777
  • Mean of quarter 4
    0.01910
  • Inter Quartile Range
    0.00884
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.02626
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.59778
  • VaR(95%) (moments method)
    0.02080
  • Expected Shortfall (moments method)
    0.02170
  • Extreme Value Index (regression method)
    -1.61031
  • VaR(95%) (regression method)
    0.02684
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.02777
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -333590000
  • Max Equity Drawdown (num days)
    189
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28345
  • Compounded annual return (geometric extrapolation)
    0.30353
  • Calmar ratio (compounded annual return / max draw down)
    11.07570
  • Compounded annual return / average of 25% largest draw downs
    15.89040
  • Compounded annual return / Expected Shortfall lognormal
    33.44700

Strategy Description

Carma Stocks blends a primary mean reverting strategy with a secondary momentum approach, targeting a wide array of market opportunities. The system focuses on identifying optimal entry points for oversold and overbought conditions in highly liquid stocks, engaging in both long and short positions.
Signals for new trades and updates for existing positions' exit prices are generated daily, after the market close, ensuring a disciplined and methodical approach. The system does not adjust exit prices during the trading day, maintaining a clear and consistent strategy for each position from entry to exit.
To ensure subscribers can seamlessly follow the strategy, it's recommended to opt for autotrading due to Carma Stocks' integration with the Broker Transmit functionality. This approach guarantees efficient and accurate execution of the trading system's operations.
Carma Stocks is primarily concentrated on US stocks within the S&P 500 and Nasdaq 100, with a portion of the portfolio allocated to long-only positions in the TSX 60 index stocks (Canada), aiming for diversified exposure and potential gains.
Backtesting results are available to subscribers, providing insights into the system's historical performance and strategic effectiveness.

Summary Statistics

Strategy began
2013-05-28
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 2.4%
Rank # 
#19
# Trades
3720
# Profitable
2235
% Profitable
60.1%
Net Dividends
Correlation S&P500
0.313
Sharpe Ratio
0.71
Sortino Ratio
1.06
Beta
0.20
Alpha
0.02
Leverage
0.59 Average
3.29 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.