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WOversold
(98996797)

Created by: JohnWax JohnWax
Started: 01/2016
Stocks
Last trade: 6 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 $75.00 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).
5.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(10.4%)
Max Drawdown
1070
Num Trades
54.2%
Win Trades
1.4 : 1
Profit Factor
59.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016+1.3%+0.4%+4.2%+3.3%  -    -  +1.6%(1.4%)+2.1%(1.5%)+5.5%+1.0%+17.6%
2017+0.8%(0.2%)+1.8%+0.8%(1.3%)(0.8%)+2.5%(1.1%)(1.3%)+0.5%+0.3%+0.1%+2.1%
2018(1%)(4%)+2.1%(1.1%)+0.2%+0.3%(0.5%)  -  +1.0%+0.4%(1.2%)(1.9%)(5.6%)
2019+2.3%+0.3%+0.9%+0.6%+1.0%(0.1%)  -  +0.4%                        +5.5%

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 72 hours.

Trading Record

This strategy has placed 522 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/16/19 9:30 GLD SPDR GOLD SHARES LONG 46 142.75 8/16 15:53 142.63 0.04%
Trade id #124963185
Max drawdown($43)
Time8/16/19 9:30
Quant open46
Worst price141.80
Drawdown as % of equity-0.04%
($7)
Includes Typical Broker Commissions trade costs of $0.92
8/16/19 9:30 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 111 38.48 8/16 15:53 38.72 0.01%
Trade id #124963221
Max drawdown($12)
Time8/16/19 9:30
Quant open111
Worst price38.37
Drawdown as % of equity-0.01%
$25
Includes Typical Broker Commissions trade costs of $2.22
8/16/19 9:30 CINF CINCINNATI FINANCIAL CORP LONG 36 108.73 8/16 15:52 109.99 0%
Trade id #124963140
Max drawdown($5)
Time8/16/19 9:30
Quant open36
Worst price108.59
Drawdown as % of equity-0.00%
$44
Includes Typical Broker Commissions trade costs of $0.72
8/15/19 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 47 76.47 8/16 15:52 77.59 0.01%
Trade id #124948170
Max drawdown($12)
Time8/15/19 9:30
Quant open47
Worst price76.20
Drawdown as % of equity-0.01%
$52
Includes Typical Broker Commissions trade costs of $0.94
8/15/19 13:53 EIX EDISON INTERNATIONAL LONG 18 71.88 8/16 15:52 72.51 0%
Trade id #124954099
Max drawdown($4)
Time8/15/19 13:53
Quant open18
Worst price71.62
Drawdown as % of equity-0.00%
$11
Includes Typical Broker Commissions trade costs of $0.36
8/15/19 9:30 SAND SANDSTORM GOLD LONG 334 6.21 8/16 10:46 6.10 0.06%
Trade id #124948081
Max drawdown($70)
Time8/15/19 9:30
Quant open334
Worst price6.00
Drawdown as % of equity-0.06%
($44)
Includes Typical Broker Commissions trade costs of $6.68
8/15/19 9:30 O REALTY INCOME LONG 52 71.84 8/16 9:30 72.32 0.01%
Trade id #124948020
Max drawdown($11)
Time8/15/19 9:30
Quant open52
Worst price71.62
Drawdown as % of equity-0.01%
$24
Includes Typical Broker Commissions trade costs of $1.04
8/15/19 9:30 ADC AGREE REALTY LONG 60 70.73 8/16 9:30 71.90 0.01%
Trade id #124948108
Max drawdown($9)
Time8/15/19 9:30
Quant open60
Worst price70.58
Drawdown as % of equity-0.01%
$69
Includes Typical Broker Commissions trade costs of $1.20
8/15/19 9:40 SHW SHERWIN-WILLIAMS LONG 7 516.03 8/16 9:30 524.90 0.01%
Trade id #124948791
Max drawdown($6)
Time8/15/19 9:40
Quant open7
Worst price515.15
Drawdown as % of equity-0.01%
$62
Includes Typical Broker Commissions trade costs of $0.14
8/15/19 9:30 PSA PUBLIC STORAGE LONG 21 255.88 8/16 9:30 260.00 0.01%
Trade id #124948116
Max drawdown($14)
Time8/15/19 9:30
Quant open21
Worst price255.21
Drawdown as % of equity-0.01%
$87
Includes Typical Broker Commissions trade costs of $0.42
8/15/19 9:30 PLD PROLOGIS LONG 38 80.15 8/16 9:30 81.87 0.02%
Trade id #124948056
Max drawdown($28)
Time8/15/19 9:30
Quant open38
Worst price79.39
Drawdown as % of equity-0.02%
$64
Includes Typical Broker Commissions trade costs of $0.76
8/15/19 9:30 ALL ALLSTATE LONG 43 101.69 8/15 15:53 102.05 0.02%
Trade id #124948013
Max drawdown($24)
Time8/15/19 9:30
Quant open43
Worst price101.13
Drawdown as % of equity-0.02%
$14
Includes Typical Broker Commissions trade costs of $0.86
8/15/19 10:29 DG DOLLAR GENERAL LONG 23 134.08 8/15 13:53 132.90 0.02%
Trade id #124950377
Max drawdown($25)
Time8/15/19 10:29
Quant open23
Worst price132.98
Drawdown as % of equity-0.02%
($27)
Includes Typical Broker Commissions trade costs of $0.46
8/13/19 9:30 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 110 38.44 8/13 15:54 38.47 0.03%
Trade id #124904576
Max drawdown($38)
Time8/13/19 9:30
Quant open110
Worst price38.09
Drawdown as % of equity-0.03%
$1
Includes Typical Broker Commissions trade costs of $2.20
8/12/19 9:30 O REALTY INCOME LONG 51 72.62 8/13 15:54 72.34 0.04%
Trade id #124880025
Max drawdown($42)
Time8/12/19 9:30
Quant open51
Worst price71.79
Drawdown as % of equity-0.04%
($15)
Includes Typical Broker Commissions trade costs of $1.02
8/12/19 9:30 KO COCA-COLA LONG 77 53.28 8/13 15:53 53.48 0.03%
Trade id #124880133
Max drawdown($33)
Time8/12/19 9:30
Quant open77
Worst price52.85
Drawdown as % of equity-0.03%
$13
Includes Typical Broker Commissions trade costs of $1.54
8/12/19 9:30 CHD CHURCH & DWIGHT COMPANY LONG 47 76.79 8/13 15:53 78.36 0.01%
Trade id #124880070
Max drawdown($13)
Time8/12/19 9:30
Quant open47
Worst price76.50
Drawdown as % of equity-0.01%
$73
Includes Typical Broker Commissions trade costs of $0.94
8/13/19 9:56 ADC AGREE REALTY LONG 59 70.77 8/13 15:53 70.73 0.01%
Trade id #124906462
Max drawdown($17)
Time8/13/19 9:56
Quant open59
Worst price70.48
Drawdown as % of equity-0.01%
($3)
Includes Typical Broker Commissions trade costs of $1.18
8/13/19 9:30 KMB KIMBERLY-CLARK LONG 32 138.34 8/13 15:53 139.51 0.02%
Trade id #124904567
Max drawdown($19)
Time8/13/19 9:30
Quant open32
Worst price137.73
Drawdown as % of equity-0.02%
$36
Includes Typical Broker Commissions trade costs of $0.64
8/13/19 9:30 DG DOLLAR GENERAL LONG 22 134.12 8/13 15:53 135.18 0.02%
Trade id #124904453
Max drawdown($24)
Time8/13/19 9:30
Quant open22
Worst price133.00
Drawdown as % of equity-0.02%
$23
Includes Typical Broker Commissions trade costs of $0.44
8/12/19 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 46 77.07 8/13 15:53 77.56 0.01%
Trade id #124880039
Max drawdown($13)
Time8/12/19 9:30
Quant open46
Worst price76.77
Drawdown as % of equity-0.01%
$21
Includes Typical Broker Commissions trade costs of $0.92
8/12/19 9:30 EIX EDISON INTERNATIONAL LONG 17 74.09 8/13 15:53 73.31 0.02%
Trade id #124880050
Max drawdown($24)
Time8/12/19 9:30
Quant open17
Worst price72.62
Drawdown as % of equity-0.02%
($13)
Includes Typical Broker Commissions trade costs of $0.34
8/13/19 9:30 FIS FIDELITY NATIONAL INFO LONG 33 132.20 8/13 15:52 134.77 0%
Trade id #124904518
Max drawdown($2)
Time8/13/19 9:30
Quant open33
Worst price132.12
Drawdown as % of equity-0.00%
$84
Includes Typical Broker Commissions trade costs of $0.66
8/13/19 9:30 VTR VENTAS LONG 53 71.70 8/13 10:01 70.67 0.04%
Trade id #124904545
Max drawdown($50)
Time8/13/19 9:30
Quant open53
Worst price70.75
Drawdown as % of equity-0.04%
($56)
Includes Typical Broker Commissions trade costs of $1.06
8/12/19 9:30 PSA PUBLIC STORAGE LONG 21 256.59 8/13 9:52 256.12 0.02%
Trade id #124880081
Max drawdown($28)
Time8/12/19 9:30
Quant open21
Worst price255.22
Drawdown as % of equity-0.02%
($10)
Includes Typical Broker Commissions trade costs of $0.42
8/13/19 9:35 SAND SANDSTORM GOLD LONG 348 6.53 8/13 9:49 6.36 0.03%
Trade id #124904824
Max drawdown($38)
Time8/13/19 9:35
Quant open348
Worst price6.42
Drawdown as % of equity-0.03%
($65)
Includes Typical Broker Commissions trade costs of $6.96
8/12/19 9:30 ROST ROSS STORES LONG 18 105.18 8/13 9:32 102.27 0.04%
Trade id #124880101
Max drawdown($52)
Time8/12/19 9:30
Quant open18
Worst price102.26
Drawdown as % of equity-0.04%
($52)
Includes Typical Broker Commissions trade costs of $0.36
8/12/19 9:31 ALL ALLSTATE LONG 41 103.76 8/13 9:32 102.30 0.06%
Trade id #124880261
Max drawdown($70)
Time8/12/19 9:31
Quant open41
Worst price102.04
Drawdown as % of equity-0.06%
($61)
Includes Typical Broker Commissions trade costs of $0.82
8/12/19 9:30 CINF CINCINNATI FINANCIAL CORP LONG 35 109.97 8/12 15:54 108.81 0.04%
Trade id #124880016
Max drawdown($53)
Time8/12/19 9:30
Quant open35
Worst price108.44
Drawdown as % of equity-0.04%
($41)
Includes Typical Broker Commissions trade costs of $0.70
8/12/19 9:30 FB FACEBOOK LONG 13 186.85 8/12 15:53 185.61 0.03%
Trade id #124880056
Max drawdown($31)
Time8/12/19 9:30
Quant open13
Worst price184.46
Drawdown as % of equity-0.03%
($16)
Includes Typical Broker Commissions trade costs of $0.26

Statistics

  • Strategy began
    1/3/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1327.34
  • Age
    44 months ago
  • What it trades
    Stocks
  • # Trades
    1070
  • # Profitable
    580
  • % Profitable
    54.20%
  • Avg trade duration
    2.7 days
  • Max peak-to-valley drawdown
    10.42%
  • drawdown period
    Aug 16, 2017 - Aug 17, 2018
  • Annual Return (Compounded)
    5.0%
  • Avg win
    $169.91
  • Avg loss
    $153.02
  • Model Account Values (Raw)
  • Cash
    $126,884
  • Margin Used
    $0
  • Buying Power
    $126,884
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    0.64
  • Calmar Ratio
    0.819
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31310
  • Return Statistics
  • Ann Return (w trading costs)
    5.0%
  • Ann Return (Compnd, No Fees)
    6.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    463
  • C2 Score
    155
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $153
  • Avg Win
    $170
  • # Winners
    580
  • # Losers
    490
  • % Winners
    54.2%
  • Frequency
  • Avg Position Time (mins)
    3850.48
  • Avg Position Time (hrs)
    64.17
  • Avg Trade Length
    2.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.57
  • Daily leverage (max)
    2.18
  • Regression
  • Alpha
    0.01
  • Beta
    0.14
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    8.231
  • Avg(MAE) / Avg(PL) - Winning trades
    0.554
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.702
  • Hold-and-Hope Ratio
    0.121
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04057
  • SD
    0.06663
  • Sharpe ratio (Glass type estimate)
    0.60886
  • Sharpe ratio (Hedges UMVUE)
    0.59791
  • df
    42.00000
  • t
    1.15254
  • p
    0.12781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64879
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64116
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98557
  • Upside Potential Ratio
    2.39746
  • Upside part of mean
    0.09868
  • Downside part of mean
    -0.05811
  • Upside SD
    0.05271
  • Downside SD
    0.04116
  • N nonnegative terms
    23.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.07961
  • Mean of criterion
    0.04057
  • SD of predictor
    0.11335
  • SD of criterion
    0.06663
  • Covariance
    0.00476
  • r
    0.63045
  • b (slope, estimate of beta)
    0.37059
  • a (intercept, estimate of alpha)
    0.01106
  • Mean Square Error
    0.00274
  • DF error
    41.00000
  • t(b)
    5.20053
  • p(b)
    0.00000
  • t(a)
    0.39194
  • p(a)
    0.34857
  • Lowerbound of 95% confidence interval for beta
    0.22667
  • Upperbound of 95% confidence interval for beta
    0.51450
  • Lowerbound of 95% confidence interval for alpha
    -0.04594
  • Upperbound of 95% confidence interval for alpha
    0.06807
  • Treynor index (mean / b)
    0.10946
  • Jensen alpha (a)
    0.01106
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03825
  • SD
    0.06641
  • Sharpe ratio (Glass type estimate)
    0.57606
  • Sharpe ratio (Hedges UMVUE)
    0.56570
  • df
    42.00000
  • t
    1.09046
  • p
    0.14086
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46997
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60813
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90929
  • Upside Potential Ratio
    2.30814
  • Upside part of mean
    0.09710
  • Downside part of mean
    -0.05885
  • Upside SD
    0.05157
  • Downside SD
    0.04207
  • N nonnegative terms
    23.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.07293
  • Mean of criterion
    0.03825
  • SD of predictor
    0.11326
  • SD of criterion
    0.06641
  • Covariance
    0.00475
  • r
    0.63121
  • b (slope, estimate of beta)
    0.37010
  • a (intercept, estimate of alpha)
    0.01126
  • Mean Square Error
    0.00272
  • DF error
    41.00000
  • t(b)
    5.21101
  • p(b)
    0.00000
  • t(a)
    0.40188
  • p(a)
    0.34493
  • Lowerbound of 95% confidence interval for beta
    0.22667
  • Upperbound of 95% confidence interval for beta
    0.51353
  • Lowerbound of 95% confidence interval for alpha
    -0.04533
  • Upperbound of 95% confidence interval for alpha
    0.06785
  • Treynor index (mean / b)
    0.10336
  • Jensen alpha (a)
    0.01126
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02795
  • Expected Shortfall on VaR
    0.03568
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01046
  • Expected Shortfall on VaR
    0.02229
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.93982
  • Quartile 1
    0.99777
  • Median
    1.00565
  • Quartile 3
    1.01422
  • Maximum
    1.06361
  • Mean of quarter 1
    0.98512
  • Mean of quarter 2
    1.00099
  • Mean of quarter 3
    1.00881
  • Mean of quarter 4
    1.02820
  • Inter Quartile Range
    0.01646
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.93982
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04651
  • Mean of outliers high
    1.05454
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27388
  • VaR(95%) (moments method)
    0.00911
  • Expected Shortfall (moments method)
    0.01665
  • Extreme Value Index (regression method)
    0.06978
  • VaR(95%) (regression method)
    0.01555
  • Expected Shortfall (regression method)
    0.02494
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00083
  • Quartile 1
    0.00330
  • Median
    0.01378
  • Quartile 3
    0.02108
  • Maximum
    0.07332
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00958
  • Mean of quarter 3
    0.01798
  • Mean of quarter 4
    0.04772
  • Inter Quartile Range
    0.01778
  • 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
    0.16667
  • Mean of outliers high
    0.07332
  • 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)
    0.07466
  • Compounded annual return (geometric extrapolation)
    0.06840
  • Calmar ratio (compounded annual return / max draw down)
    0.93289
  • Compounded annual return / average of 25% largest draw downs
    1.43345
  • Compounded annual return / Expected Shortfall lognormal
    1.91716
  • 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
    0.03995
  • SD
    0.05809
  • Sharpe ratio (Glass type estimate)
    0.68778
  • Sharpe ratio (Hedges UMVUE)
    0.68724
  • df
    942.00000
  • t
    1.30484
  • p
    0.09613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34595
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72080
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99970
  • Upside Potential Ratio
    7.05355
  • Upside part of mean
    0.28188
  • Downside part of mean
    -0.24193
  • Upside SD
    0.04218
  • Downside SD
    0.03996
  • N nonnegative terms
    465.00000
  • N negative terms
    478.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    943.00000
  • Mean of predictor
    0.08441
  • Mean of criterion
    0.03995
  • SD of predictor
    0.13128
  • SD of criterion
    0.05809
  • Covariance
    0.00241
  • r
    0.31638
  • b (slope, estimate of beta)
    0.13999
  • a (intercept, estimate of alpha)
    0.02800
  • Mean Square Error
    0.00304
  • DF error
    941.00000
  • t(b)
    10.23070
  • p(b)
    -0.00000
  • t(a)
    0.96736
  • p(a)
    0.16681
  • Lowerbound of 95% confidence interval for beta
    0.11313
  • Upperbound of 95% confidence interval for beta
    0.16684
  • Lowerbound of 95% confidence interval for alpha
    -0.02894
  • Upperbound of 95% confidence interval for alpha
    0.08521
  • Treynor index (mean / b)
    0.28539
  • Jensen alpha (a)
    0.02813
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03826
  • SD
    0.05810
  • Sharpe ratio (Glass type estimate)
    0.65851
  • Sharpe ratio (Hedges UMVUE)
    0.65799
  • df
    942.00000
  • t
    1.24931
  • p
    0.10593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69152
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95095
  • Upside Potential Ratio
    6.98372
  • Upside part of mean
    0.28096
  • Downside part of mean
    -0.24271
  • Upside SD
    0.04194
  • Downside SD
    0.04023
  • N nonnegative terms
    465.00000
  • N negative terms
    478.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    943.00000
  • Mean of predictor
    0.07576
  • Mean of criterion
    0.03826
  • SD of predictor
    0.13153
  • SD of criterion
    0.05810
  • Covariance
    0.00242
  • r
    0.31651
  • b (slope, estimate of beta)
    0.13980
  • a (intercept, estimate of alpha)
    0.02767
  • Mean Square Error
    0.00304
  • DF error
    941.00000
  • t(b)
    10.23540
  • p(b)
    -0.00000
  • t(a)
    0.95128
  • p(a)
    0.17085
  • Lowerbound of 95% confidence interval for beta
    0.11300
  • Upperbound of 95% confidence interval for beta
    0.16661
  • Lowerbound of 95% confidence interval for alpha
    -0.02941
  • Upperbound of 95% confidence interval for alpha
    0.08474
  • Treynor index (mean / b)
    0.27366
  • Jensen alpha (a)
    0.02767
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00574
  • Expected Shortfall on VaR
    0.00723
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00210
  • Expected Shortfall on VaR
    0.00453
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    943.00000
  • Minimum
    0.97173
  • Quartile 1
    0.99923
  • Median
    1.00008
  • Quartile 3
    1.00125
  • Maximum
    1.02699
  • Mean of quarter 1
    0.99671
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00057
  • Mean of quarter 4
    1.00394
  • Inter Quartile Range
    0.00202
  • Number outliers low
    62.00000
  • Percentage of outliers low
    0.06575
  • Mean of outliers low
    0.99255
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.06787
  • Mean of outliers high
    1.00822
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48165
  • VaR(95%) (moments method)
    0.00315
  • Expected Shortfall (moments method)
    0.00707
  • Extreme Value Index (regression method)
    0.36607
  • VaR(95%) (regression method)
    0.00296
  • Expected Shortfall (regression method)
    0.00566
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00046
  • Median
    0.00243
  • Quartile 3
    0.00887
  • Maximum
    0.08351
  • Mean of quarter 1
    0.00022
  • Mean of quarter 2
    0.00117
  • Mean of quarter 3
    0.00570
  • Mean of quarter 4
    0.02745
  • Inter Quartile Range
    0.00841
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.04153
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27042
  • VaR(95%) (moments method)
    0.02549
  • Expected Shortfall (moments method)
    0.04352
  • Extreme Value Index (regression method)
    0.49217
  • VaR(95%) (regression method)
    0.03551
  • Expected Shortfall (regression method)
    0.08255
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07471
  • Compounded annual return (geometric extrapolation)
    0.06840
  • Calmar ratio (compounded annual return / max draw down)
    0.81912
  • Compounded annual return / average of 25% largest draw downs
    2.49233
  • Compounded annual return / Expected Shortfall lognormal
    9.46038
  • 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
    0.04081
  • SD
    0.02328
  • Sharpe ratio (Glass type estimate)
    1.75258
  • Sharpe ratio (Hedges UMVUE)
    1.74245
  • df
    130.00000
  • t
    1.23926
  • p
    0.44597
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03067
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52929
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03744
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52233
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.56821
  • Upside Potential Ratio
    10.05560
  • Upside part of mean
    0.15977
  • Downside part of mean
    -0.11897
  • Upside SD
    0.01708
  • Downside SD
    0.01589
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08094
  • Mean of criterion
    0.04081
  • SD of predictor
    0.12959
  • SD of criterion
    0.02328
  • Covariance
    0.00101
  • r
    0.33398
  • b (slope, estimate of beta)
    0.06000
  • a (intercept, estimate of alpha)
    0.03595
  • Mean Square Error
    0.00049
  • DF error
    129.00000
  • t(b)
    4.02430
  • p(b)
    0.29141
  • t(a)
    1.15295
  • p(a)
    0.43582
  • Lowerbound of 95% confidence interval for beta
    0.03050
  • Upperbound of 95% confidence interval for beta
    0.08951
  • Lowerbound of 95% confidence interval for alpha
    -0.02574
  • Upperbound of 95% confidence interval for alpha
    0.09764
  • Treynor index (mean / b)
    0.68005
  • Jensen alpha (a)
    0.03595
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04053
  • SD
    0.02328
  • Sharpe ratio (Glass type estimate)
    1.74067
  • Sharpe ratio (Hedges UMVUE)
    1.73061
  • df
    130.00000
  • t
    1.23084
  • p
    0.44634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.51038
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54732
  • Upside Potential Ratio
    10.03160
  • Upside part of mean
    0.15961
  • Downside part of mean
    -0.11908
  • Upside SD
    0.01706
  • Downside SD
    0.01591
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07255
  • Mean of criterion
    0.04053
  • SD of predictor
    0.12999
  • SD of criterion
    0.02328
  • Covariance
    0.00101
  • r
    0.33368
  • b (slope, estimate of beta)
    0.05977
  • a (intercept, estimate of alpha)
    0.03619
  • Mean Square Error
    0.00049
  • DF error
    129.00000
  • t(b)
    4.02029
  • p(b)
    0.29158
  • t(a)
    1.16079
  • p(a)
    0.43539
  • Lowerbound of 95% confidence interval for beta
    0.03035
  • Upperbound of 95% confidence interval for beta
    0.08918
  • Lowerbound of 95% confidence interval for alpha
    -0.02550
  • Upperbound of 95% confidence interval for alpha
    0.09788
  • Treynor index (mean / b)
    0.67811
  • Jensen alpha (a)
    0.03619
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00221
  • Expected Shortfall on VaR
    0.00281
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00094
  • Expected Shortfall on VaR
    0.00193
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99520
  • Quartile 1
    0.99957
  • Median
    1.00028
  • Quartile 3
    1.00108
  • Maximum
    1.00395
  • Mean of quarter 1
    0.99847
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00063
  • Mean of quarter 4
    1.00199
  • Inter Quartile Range
    0.00151
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.99601
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.00369
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06625
  • VaR(95%) (moments method)
    0.00174
  • Expected Shortfall (moments method)
    0.00234
  • Extreme Value Index (regression method)
    -0.18002
  • VaR(95%) (regression method)
    0.00176
  • Expected Shortfall (regression method)
    0.00227
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00033
  • Median
    0.00078
  • Quartile 3
    0.00372
  • Maximum
    0.01120
  • Mean of quarter 1
    0.00020
  • Mean of quarter 2
    0.00055
  • Mean of quarter 3
    0.00197
  • Mean of quarter 4
    0.00657
  • Inter Quartile Range
    0.00340
  • 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
    0.05263
  • Mean of outliers high
    0.01120
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.09920
  • VaR(95%) (moments method)
    0.00713
  • Expected Shortfall (moments method)
    0.00893
  • Extreme Value Index (regression method)
    0.50243
  • VaR(95%) (regression method)
    0.00887
  • Expected Shortfall (regression method)
    0.01763
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06962
  • Compounded annual return (geometric extrapolation)
    0.07083
  • Calmar ratio (compounded annual return / max draw down)
    6.32518
  • Compounded annual return / average of 25% largest draw downs
    10.77850
  • Compounded annual return / Expected Shortfall lognormal
    25.22170

Strategy Description

WOversold is designed to consider trading long stocks and ETFs. I do
this by combining proprietary technical and fundamental indicators.

This strategy is optimized to trade each ticker individually and then
the aggregate strategy is traded into this one account (with
appropriate position adjustments for the combined risk). Currently
shorts are never taken. I believe the fundamental strategy can be
modified to trade long many instrument and I might expand it to trade
more individual instruments (stocks and ETFs) as time goes on. The
goal behind each additional symbol that is added is to increase the
total account value by taking high probability trades.

Each day the strategy looks if a ticker is oversold "enough" and when
it is found to be so it will put on an opening trade. When a ticker
is no longer oversold the strategy will exit. A typical trade should
have you in the market long for 2-3 days and there can be a gap of 3-4
days between trades on any given symbol. The strategy should have a
positions on most days.

WOversold posts trades at around 3:45 ET and after the close most days
and adjusts its stop-losss periodically.

The current version of this strategy changed on Jan 1st 2019 where I
implemented very strict stop loss logic that quickly exits any loosing
trades. The core strategy in selecting when to trade a stocks has not
changed, only the strict limit on the amount I am willing to loose on
a given trade. This is enforced with automatic stoplosses that are
entered with each open and adjusted periodically. The version before
Jan 1st 2019 did not have stops and resulted in draw-downs that I was
uncomfortable with.

Summary Statistics

Strategy began
2016-01-03
Suggested Minimum Capital
$35,000
# Trades
1070
# Profitable
580
% Profitable
54.2%
Net Dividends
Correlation S&P500
0.313
Sharpe Ratio
0.44
Sortino Ratio
0.64
Beta
0.14
Alpha
0.01
Leverage
0.57 Average
2.18 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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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.