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

SuperBands by BWO
(132135910)

Created by: BWorldOmnimedia BWorldOmnimedia
Started: 11/2020
Stocks
Last trade: 105 days ago
Trading style: Equity Sector: Technology 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 $175.00 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
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
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).
13.6%
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.

(11.7%)
Max Drawdown
165
Num Trades
73.9%
Win Trades
3.2 : 1
Profit Factor
30.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      (0.4%)(0.4%)(0.8%)
2021+2.8%+7.1%+12.3%(0.2%)+1.7%(0.3%)+0.1%(0.3%)(0.3%)+0.3%(0.6%)(0.4%)+23.5%
2022(0.2%)+6.9%(0.1%)(1.1%)(0.3%)(0.2%)(0.3%)(0.7%)  -                    +3.7%

Model Account Details

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

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

Trading Record

This strategy has placed 217 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 244 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/16/22 14:55 NXPI NXP SEMICONDUCTOR LONG 12 156.21 6/17 9:30 159.37 n/a $38
Includes Typical Broker Commissions trade costs of $0.24
6/16/22 13:58 CHTR CHARTER COMMUNICATIONS LONG 4 408.62 6/17 9:30 415.02 0.01%
Trade id #140788611
Max drawdown($3)
Time6/16/22 14:53
Quant open4
Worst price407.75
Drawdown as % of equity-0.01%
$26
Includes Typical Broker Commissions trade costs of $0.08
4/11/22 9:30 MRNA MODERNA INC. COMMON STOCK SHORT 31 156.00 4/12 13:34 159.89 0.42%
Trade id #140095575
Max drawdown($272)
Time4/12/22 10:05
Quant open31
Worst price164.78
Drawdown as % of equity-0.42%
($122)
Includes Typical Broker Commissions trade costs of $0.62
4/8/22 15:58 LCID LUCID GROUP INC SHORT 14 21.65 4/12 13:33 21.57 0.02%
Trade id #140080051
Max drawdown($14)
Time4/12/22 9:31
Quant open14
Worst price22.69
Drawdown as % of equity-0.02%
$1
Includes Typical Broker Commissions trade costs of $0.28
4/12/22 13:31 DDOG DATADOG INC. LONG 45 138.32 4/12 13:33 138.29 0%
Trade id #140114603
Max drawdown($1)
Time4/12/22 13:33
Quant open45
Worst price138.29
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commissions trade costs of $0.90
4/8/22 9:36 NXPI NXP SEMICONDUCTOR LONG 11 165.83 4/12 13:33 167.50 0.02%
Trade id #140072247
Max drawdown($11)
Time4/11/22 0:00
Quant open11
Worst price164.75
Drawdown as % of equity-0.02%
$18
Includes Typical Broker Commissions trade costs of $0.22
4/11/22 9:30 NXP NUVEEN SELECT TAXFREE INCOME C SHORT 11 14.07 4/12 13:32 14.16 0%
Trade id #140095590
Max drawdown($1)
Time4/11/22 9:48
Quant open11
Worst price14.22
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $0.22
4/7/22 12:57 MRVL MARVELL TECHNOLOGY LONG 31 63.53 4/12 13:32 61.31 0.15%
Trade id #140062295
Max drawdown($94)
Time4/11/22 0:00
Quant open31
Worst price60.47
Drawdown as % of equity-0.15%
($70)
Includes Typical Broker Commissions trade costs of $0.62
4/7/22 12:49 DDOG DATADOG INC. LONG 28 135.57 4/12 13:30 138.02 0.05%
Trade id #140062174
Max drawdown($30)
Time4/11/22 0:00
Quant open14
Worst price130.69
Drawdown as % of equity-0.05%
$67
Includes Typical Broker Commissions trade costs of $0.56
4/7/22 11:30 SWKS SKYWORKS SOLUTIONS LONG 16 120.96 4/11 9:30 121.41 0.02%
Trade id #140059842
Max drawdown($10)
Time4/7/22 11:34
Quant open16
Worst price120.30
Drawdown as % of equity-0.02%
$7
Includes Typical Broker Commissions trade costs of $0.32
4/7/22 12:04 NVDA NVIDIA LONG 24 236.41 4/11 9:30 222.14 0.58%
Trade id #140061382
Max drawdown($373)
Time4/11/22 9:30
Quant open24
Worst price220.85
Drawdown as % of equity-0.58%
($342)
Includes Typical Broker Commissions trade costs of $0.48
4/6/22 11:39 MRNA MODERNA INC. COMMON STOCK LONG 12 153.17 4/8 15:59 160.80 0.05%
Trade id #140044962
Max drawdown($29)
Time4/6/22 14:20
Quant open12
Worst price150.71
Drawdown as % of equity-0.05%
$92
Includes Typical Broker Commissions trade costs of $0.24
4/7/22 9:48 LCID LUCID GROUP INC LONG 264 22.32 4/8 15:57 21.65 0.35%
Trade id #140057385
Max drawdown($227)
Time4/7/22 12:50
Quant open264
Worst price21.46
Drawdown as % of equity-0.35%
($182)
Includes Typical Broker Commissions trade costs of $5.28
2/24/22 9:30 ANSS ANSYS LONG 6 280.12 3/1 9:44 322.27 n/a $253
Includes Typical Broker Commissions trade costs of $0.12
3/1/22 9:31 VRSK VERISK ANALYTICS SHORT 1 177.31 3/1 9:44 178.11 0%
Trade id #139587959
Max drawdown($1)
Time3/1/22 9:44
Quant open1
Worst price178.37
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $0.02
3/1/22 9:30 A AGILENT TECHNOLOGIES SHORT 6 130.83 3/1 9:44 131.34 0.01%
Trade id #139587945
Max drawdown($4)
Time3/1/22 9:42
Quant open6
Worst price131.54
Drawdown as % of equity-0.01%
($3)
Includes Typical Broker Commissions trade costs of $0.12
2/24/22 9:30 JD JD.COM INC LONG 29 66.16 3/1 9:30 72.42 n/a $181
Includes Typical Broker Commissions trade costs of $0.58
2/24/22 9:30 MELI MERCADOLIBRE LONG 2 861.89 3/1 9:30 1129.73 n/a $536
Includes Typical Broker Commissions trade costs of $0.04
2/24/22 9:30 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 12 154.22 3/1 9:30 201.33 n/a $565
Includes Typical Broker Commissions trade costs of $0.24
2/24/22 9:30 PYPL PAYPAL HOLDINGS CORP LONG 20 94.96 3/1 9:30 112.73 n/a $355
Includes Typical Broker Commissions trade costs of $0.40
2/24/22 9:30 OKTA OKTA INC. CL A COMMON STOCK LONG 12 152.77 3/1 9:30 185.08 n/a $388
Includes Typical Broker Commissions trade costs of $0.24
2/24/22 9:30 NVDA NVIDIA LONG 9 210.14 3/1 9:30 242.91 n/a $295
Includes Typical Broker Commissions trade costs of $0.18
2/24/22 9:30 FTNT FORTINET LONG 6 277.51 3/1 9:30 346.05 n/a $411
Includes Typical Broker Commissions trade costs of $0.12
2/24/22 9:30 ADSK AUTODESK LONG 9 201.86 3/1 9:30 220.94 0.02%
Trade id #139526918
Max drawdown($9)
Time2/24/22 9:33
Quant open9
Worst price200.78
Drawdown as % of equity-0.02%
$172
Includes Typical Broker Commissions trade costs of $0.18
2/24/22 9:30 NFLX NETFLIX LONG 5 355.67 3/1 9:30 391.60 n/a $180
Includes Typical Broker Commissions trade costs of $0.10
2/23/22 15:03 TSLA TESLA INC. LONG 4 736.31 3/1 9:30 785.03 0.23%
Trade id #139513383
Max drawdown($141)
Time2/24/22 0:00
Quant open2
Worst price700.00
Drawdown as % of equity-0.23%
$195
Includes Typical Broker Commissions trade costs of $0.08
2/24/22 9:30 AAPL APPLE LONG 12 152.62 3/1 9:30 164.69 n/a $145
Includes Typical Broker Commissions trade costs of $0.24
2/24/22 9:30 FB META PLATFORMS INC LONG 10 190.64 3/1 9:30 209.87 n/a $192
Includes Typical Broker Commissions trade costs of $0.20
2/24/22 9:30 MTCH MATCH GROUP LONG 19 100.67 3/1 9:30 111.49 n/a $205
Includes Typical Broker Commissions trade costs of $0.38
2/24/22 9:30 VRSK VERISK ANALYTICS LONG 11 175.11 3/1 9:30 177.31 0%
Trade id #139526914
Max drawdown($0)
Time2/24/22 14:02
Quant open11
Worst price175.02
Drawdown as % of equity-0.00%
$24
Includes Typical Broker Commissions trade costs of $0.22

Statistics

  • Strategy began
    11/8/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    682.85
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    165
  • # Profitable
    122
  • % Profitable
    73.90%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    11.72%
  • drawdown period
    March 08, 2021 - March 08, 2021
  • Annual Return (Compounded)
    13.6%
  • Avg win
    $220.11
  • Avg loss
    $196.09
  • Model Account Values (Raw)
  • Cash
    $68,437
  • Margin Used
    $0
  • Buying Power
    $68,437
  • Ratios
  • W:L ratio
    3.19:1
  • Sharpe Ratio
    0.83
  • Sortino Ratio
    1.66
  • Calmar Ratio
    3.067
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    19.92%
  • Correlation to SP500
    0.07190
  • Return Percent SP500 (cumu) during strategy life
    3.73%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    13.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • Return Statistics
  • Return Pcnt Since TOS Status
    32.300%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.136%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.00%
  • Chance of 20% account loss
    n/a
  • 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
    65.62%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    416
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    1
  • Popularity (7 days, Percentile 1000 scale)
    302
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $196
  • Avg Win
    $220
  • Sum Trade PL (losers)
    $8,432.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $26,854.000
  • # Winners
    122
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    18
  • AUM
  • AUM (AutoTrader live capital)
    68292
  • Win / Loss
  • # Losers
    43
  • % Winners
    73.9%
  • Frequency
  • Avg Position Time (mins)
    3206.17
  • Avg Position Time (hrs)
    53.44
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    98
  • Leverage
  • Daily leverage (average)
    0.54
  • Daily leverage (max)
    3.62
  • Regression
  • Alpha
    0.03
  • Beta
    0.05
  • Treynor Index
    0.69
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.21
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.930
  • 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
    0.579
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.607
  • Hold-and-Hope Ratio
    0.518
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17406
  • SD
    0.16968
  • Sharpe ratio (Glass type estimate)
    1.02579
  • Sharpe ratio (Hedges UMVUE)
    0.98467
  • df
    19.00000
  • t
    1.32430
  • p
    0.31758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53480
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.00190
  • Upside Potential Ratio
    18.24460
  • Upside part of mean
    0.19845
  • Downside part of mean
    -0.02440
  • Upside SD
    0.17251
  • Downside SD
    0.01088
  • N nonnegative terms
    8.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.04030
  • Mean of criterion
    0.17406
  • SD of predictor
    0.18245
  • SD of criterion
    0.16968
  • Covariance
    0.00354
  • r
    0.11436
  • b (slope, estimate of beta)
    0.10636
  • a (intercept, estimate of alpha)
    0.16977
  • Mean Square Error
    0.02999
  • DF error
    18.00000
  • t(b)
    0.48841
  • p(b)
    0.44282
  • t(a)
    1.26284
  • p(a)
    0.35736
  • Lowerbound of 95% confidence interval for beta
    -0.35117
  • Upperbound of 95% confidence interval for beta
    0.56389
  • Lowerbound of 95% confidence interval for alpha
    -0.11267
  • Upperbound of 95% confidence interval for alpha
    0.45222
  • Treynor index (mean / b)
    1.63646
  • Jensen alpha (a)
    0.16977
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16044
  • SD
    0.15489
  • Sharpe ratio (Glass type estimate)
    1.03581
  • Sharpe ratio (Hedges UMVUE)
    0.99428
  • df
    19.00000
  • t
    1.33722
  • p
    0.31600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53014
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55646
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54503
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.73340
  • Upside Potential Ratio
    16.97400
  • Upside part of mean
    0.18483
  • Downside part of mean
    -0.02440
  • Upside SD
    0.15754
  • Downside SD
    0.01089
  • N nonnegative terms
    8.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.02431
  • Mean of criterion
    0.16044
  • SD of predictor
    0.18316
  • SD of criterion
    0.15489
  • Covariance
    0.00361
  • r
    0.12732
  • b (slope, estimate of beta)
    0.10767
  • a (intercept, estimate of alpha)
    0.15782
  • Mean Square Error
    0.02491
  • DF error
    18.00000
  • t(b)
    0.54460
  • p(b)
    0.43634
  • t(a)
    1.28983
  • p(a)
    0.35456
  • Lowerbound of 95% confidence interval for beta
    -0.30769
  • Upperbound of 95% confidence interval for beta
    0.52303
  • Lowerbound of 95% confidence interval for alpha
    -0.09924
  • Upperbound of 95% confidence interval for alpha
    0.41488
  • Treynor index (mean / b)
    1.49008
  • Jensen alpha (a)
    0.15782
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05840
  • Expected Shortfall on VaR
    0.07570
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00520
  • Expected Shortfall on VaR
    0.00807
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.99238
  • Quartile 1
    1.00000
  • Median
    1.00009
  • Quartile 3
    1.00578
  • Maximum
    1.21212
  • Mean of quarter 1
    0.99723
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00301
  • Mean of quarter 4
    1.06709
  • Inter Quartile Range
    0.00578
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.08233
  • 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)
    -0.04944
  • VaR(95%) (regression method)
    0.00434
  • Expected Shortfall (regression method)
    0.00689
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00128
  • Quartile 1
    0.00203
  • Median
    0.00247
  • Quartile 3
    0.00391
  • Maximum
    0.00762
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.00228
  • Mean of quarter 3
    0.00267
  • Mean of quarter 4
    0.00762
  • Inter Quartile Range
    0.00188
  • 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
    0.25000
  • Mean of outliers high
    0.00762
  • 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)
    0.22126
  • Compounded annual return (geometric extrapolation)
    0.20725
  • Calmar ratio (compounded annual return / max draw down)
    27.19840
  • Compounded annual return / average of 25% largest draw downs
    27.19840
  • Compounded annual return / Expected Shortfall lognormal
    2.73760
  • 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
    0.16503
  • SD
    0.11437
  • Sharpe ratio (Glass type estimate)
    1.44291
  • Sharpe ratio (Hedges UMVUE)
    1.44045
  • df
    440.00000
  • t
    1.87201
  • p
    0.03093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07159
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07325
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95415
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51721
  • Upside Potential Ratio
    6.32248
  • Upside part of mean
    0.29665
  • Downside part of mean
    -0.13162
  • Upside SD
    0.10466
  • Downside SD
    0.04692
  • N nonnegative terms
    55.00000
  • N negative terms
    386.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    441.00000
  • Mean of predictor
    0.02390
  • Mean of criterion
    0.16503
  • SD of predictor
    0.18980
  • SD of criterion
    0.11437
  • Covariance
    0.00164
  • r
    0.07578
  • b (slope, estimate of beta)
    0.04566
  • a (intercept, estimate of alpha)
    0.16400
  • Mean Square Error
    0.01303
  • DF error
    439.00000
  • t(b)
    1.59232
  • p(b)
    0.05602
  • t(a)
    1.86281
  • p(a)
    0.03158
  • Lowerbound of 95% confidence interval for beta
    -0.01070
  • Upperbound of 95% confidence interval for beta
    0.10202
  • Lowerbound of 95% confidence interval for alpha
    -0.00903
  • Upperbound of 95% confidence interval for alpha
    0.33690
  • Treynor index (mean / b)
    3.61405
  • Jensen alpha (a)
    0.16393
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15859
  • SD
    0.11238
  • Sharpe ratio (Glass type estimate)
    1.41114
  • Sharpe ratio (Hedges UMVUE)
    1.40873
  • df
    440.00000
  • t
    1.83079
  • p
    0.03390
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10484
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92230
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.32083
  • Upside Potential Ratio
    6.10034
  • Upside part of mean
    0.29132
  • Downside part of mean
    -0.13273
  • Upside SD
    0.10206
  • Downside SD
    0.04775
  • N nonnegative terms
    55.00000
  • N negative terms
    386.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    441.00000
  • Mean of predictor
    0.00589
  • Mean of criterion
    0.15859
  • SD of predictor
    0.19015
  • SD of criterion
    0.11238
  • Covariance
    0.00160
  • r
    0.07507
  • b (slope, estimate of beta)
    0.04437
  • a (intercept, estimate of alpha)
    0.15832
  • Mean Square Error
    0.01259
  • DF error
    439.00000
  • t(b)
    1.57727
  • p(b)
    0.05773
  • t(a)
    1.83086
  • p(a)
    0.03390
  • Lowerbound of 95% confidence interval for beta
    -0.01092
  • Upperbound of 95% confidence interval for beta
    0.09965
  • Lowerbound of 95% confidence interval for alpha
    -0.01163
  • Upperbound of 95% confidence interval for alpha
    0.32828
  • Treynor index (mean / b)
    3.57447
  • Jensen alpha (a)
    0.15832
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01076
  • Expected Shortfall on VaR
    0.01362
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00160
  • Expected Shortfall on VaR
    0.00362
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    441.00000
  • Minimum
    0.95323
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06698
  • Mean of quarter 1
    0.99837
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00460
  • Inter Quartile Range
    0.00000
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.10204
  • Mean of outliers low
    0.99598
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.14513
  • Mean of outliers high
    1.00790
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75728
  • VaR(95%) (moments method)
    0.00103
  • Expected Shortfall (moments method)
    0.00714
  • Extreme Value Index (regression method)
    0.85147
  • VaR(95%) (regression method)
    0.00110
  • Expected Shortfall (regression method)
    0.01253
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00086
  • Median
    0.01108
  • Quartile 3
    0.02489
  • Maximum
    0.06684
  • Mean of quarter 1
    0.00028
  • Mean of quarter 2
    0.00614
  • Mean of quarter 3
    0.01675
  • Mean of quarter 4
    0.04994
  • Inter Quartile Range
    0.02403
  • 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
    0.14286
  • Mean of outliers high
    0.06684
  • 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)
    0.21908
  • Compounded annual return (geometric extrapolation)
    0.20502
  • Calmar ratio (compounded annual return / max draw down)
    3.06723
  • Compounded annual return / average of 25% largest draw downs
    4.10547
  • Compounded annual return / Expected Shortfall lognormal
    15.05360
  • 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
    -0.01711
  • SD
    0.01687
  • Sharpe ratio (Glass type estimate)
    -1.01408
  • Sharpe ratio (Hedges UMVUE)
    -1.00822
  • df
    130.00000
  • t
    -0.71707
  • p
    0.53138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.78274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76629
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45114
  • Upside Potential Ratio
    2.66731
  • Upside part of mean
    0.03145
  • Downside part of mean
    -0.04856
  • Upside SD
    0.01202
  • Downside SD
    0.01179
  • N nonnegative terms
    6.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.30139
  • Mean of criterion
    -0.01711
  • SD of predictor
    0.26368
  • SD of criterion
    0.01687
  • Covariance
    0.00014
  • r
    0.03116
  • b (slope, estimate of beta)
    0.00199
  • a (intercept, estimate of alpha)
    -0.01651
  • Mean Square Error
    0.00029
  • DF error
    129.00000
  • t(b)
    0.35405
  • p(b)
    0.48017
  • t(a)
    -0.68783
  • p(a)
    0.53846
  • Lowerbound of 95% confidence interval for beta
    -0.00915
  • Upperbound of 95% confidence interval for beta
    0.01313
  • Lowerbound of 95% confidence interval for alpha
    -0.06399
  • Upperbound of 95% confidence interval for alpha
    0.03098
  • Treynor index (mean / b)
    -8.58202
  • Jensen alpha (a)
    -0.01651
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01725
  • SD
    0.01687
  • Sharpe ratio (Glass type estimate)
    -1.02215
  • Sharpe ratio (Hedges UMVUE)
    -1.01624
  • df
    130.00000
  • t
    -0.72277
  • p
    0.53163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.79481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75437
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.79080
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75832
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45822
  • Upside Potential Ratio
    2.65219
  • Upside part of mean
    0.03137
  • Downside part of mean
    -0.04862
  • Upside SD
    0.01199
  • Downside SD
    0.01183
  • N nonnegative terms
    6.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.33619
  • Mean of criterion
    -0.01725
  • SD of predictor
    0.26445
  • SD of criterion
    0.01687
  • Covariance
    0.00014
  • r
    0.03172
  • b (slope, estimate of beta)
    0.00202
  • a (intercept, estimate of alpha)
    -0.01657
  • Mean Square Error
    0.00029
  • DF error
    129.00000
  • t(b)
    0.36044
  • p(b)
    0.47981
  • t(a)
    -0.68979
  • p(a)
    0.53857
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.00909
  • Upperbound of 95% confidence interval for beta
    0.01313
  • Lowerbound of 95% confidence interval for alpha
    -0.06409
  • Upperbound of 95% confidence interval for alpha
    0.03095
  • Treynor index (mean / b)
    -8.52205
  • Jensen alpha (a)
    -0.01657
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00178
  • Expected Shortfall on VaR
    0.00221
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00063
  • Expected Shortfall on VaR
    0.00136
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99251
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00585
  • Mean of quarter 1
    0.99966
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00050
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.99630
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.00183
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.96997
  • VaR(95%) (moments method)
    -55.68820
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.18258
  • VaR(95%) (regression method)
    -0.00402
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01108
  • Quartile 1
    0.01108
  • Median
    0.01108
  • Quartile 3
    0.01108
  • Maximum
    0.01108
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -307880000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01069
  • Compounded annual return (geometric extrapolation)
    0.01072
  • Calmar ratio (compounded annual return / max draw down)
    0.96725
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.84041

Strategy Description

Thus, to fully automate all of Beau World Omnimedia's algorithms here is the final throw to what you should do if you want to trade with me:

Allocation:

ETF Pairs Arbitrage 40% of capital is recommended $100 monthly 80-125% APR's over any 2-3 year period with less than 70% drawdown at 3:1
SuperBands 60% on when not price physique pair trading ($175 monthly 95% APR and 15% drawdown when using SuperBands by BWO to put on trades only when a price physique pairs arbitrage trade isn't on) You dip buy NASDAQ-100 stocks with 60%.
60% Power Professional Price Physics Pairs Arbitrage ($250 monthly for 250% APR and 40% drawdown) is on with the last 2 of the 2-1-2 pyramid and that's at a cost of $350 per month.And finally power professional's price is being raised to $250 and the scale is allowable to $400,000 before you must subscribe with additional subscription money.

Sound good?

Here are the links boys:

40% of equity no more than 60% in a short trend
Subscription to ETF Pairs Arbitrage @$100 monthly at https://www.wealthsignals.com/Strategy/Detail/ETF-Pairs-Arbitrage-9IP7Vx

60% of equity on when no Price Physics Pairs Trade is on in Power Professional with the remaining 60% actually going in 60%*4/3 or 1.6^(4/3)-1 is the exact percentage your sizing should be and note the 60% can use 2:1 margin up to 6:1 since we exit on the next day and do not day trade.

Finally, the key to most of my research was the combination of ETF Pairs Arbitrage and its Trend Follower Price Physics such that Power Professional puts on 4:1 TQQQ or SQQQ positions by purchasing only when they are in agreement and the first one to say sell exits so

60% of Equity Power Professional on collective2.com at [url]https://collective2.com/details/136764442[/ur]

Subscription to SuperBands by BWO @$175 monthly 2:1 margin 95% apr with 15% drawdown when using SuperBands as SuperBands Pairs Arbitrage such that trades only occur when the power professional position is not on or will come on in the next day and this drawdown is uncorrelated with any strategy Price Physics or Pairs Arbitrage available
SuperBands by BWO is available at https://collective2.com/details/132135910
Power Professional is Price Physics Pairs Arbitrage and when one of these trades happens you go all in at 4:3's equity the only time when 4:1 leveraged trading should ever be encountered or engaged in.

Will be adding this final description of how to use every one of my strategies and the proper allocation is 40% EPA, 60% SuperBands, 60% Power Professional where 60% of SuperBands and Power Professional can use margin up to 2:1 in SuperBands and 4/3's of equity for a 4:1 delta hedged leverage factor when positions in Pairs Arbitrage Price Physics Agree. See description above for APR's and drawdowns of strategies and note, no backtest has been correspondended with to compute except for Power Professional that this algorithm earns 250% APR with 40% Drawdown and that is superb combinatorial options trading strategy but because it uses two algoriothms can never be a Strategic Fund since a Strategic Fund like Stratus-Pairs Strategic Fund is a managed account only for placing 100% of equity positions on in TQQQ or SQQQ following ETF Pairs Arbitrage by BWO.

Thank You for asking these questions guys, no, I'm not a one trick pony, and I used Stanford Topological Economics Economicists Empiricial Analysis to determine the 2:1:2 pyramid is properly scaled so that's what you guys need to do to be able to follow all of the strategy WealthSignals and Collective2 automated trades.

Thus, please consider subscribing to all of my strategies for $450 monthly gets you a $100 subscription to ETF Pairs Arbitrage, a $175 monthly subscription allocating 60% at 2:1 margin to SuperBands on collective2 as C2Star App SuperBands a top 100 c2 strategy at the moment and eligible for its first c2 star what I had started the strategy for in the first place. And finally the Power Professional gets 250% APR's with 40% drawdowns typically 15-20% draws every trade for 40-60% wins possible when in place allocating 60% of equity up to 4:3 of equity is how to size this $250 monthly subscription and will hammer away the losses you may have had you not followed the recession warning advice to only use 40% of equity and I will let all of you know particularly a day after once either the trend changes or a TQQQ or an SQQQ position has been put on in Power Professioonal using Price Physics Pairs Arbitrage for a 2:1:2 pyramid allocated first as 40% to EPA, 20% to any price physics trade but only the final 2 in the pyrmaid are available to put on for significant margin of safety and risk management such that the Price Physics signal on collective2 usually follows the Pairs Arbitrage signal so it happens in the middle of the day and both of my collective2 strategies require automation and thats both systems at 60% so you'll have 40% trading in ETF Pairs Arbitrage and when not in a Power Professional Trade you should trade 60% of your account in SuperBands simulatenously with C2Star Power Professional such that when Price Physics Pairs Trades are on you'll have the only time I'd ever recommend a 4:1 position and that's all trading based on a benchmark of TQQQ and inverse SQQQ.

Good luck everyone!

Happy Trading!

Beau Wolinsky
Beau WorldOmnimedia
BWO
B.W.O.
Stratus-Pairs Strategic Fund Roboadvisor
ETF Pairs Arbitrage(40% of equity recommended when following the other two strategies I offer)
SuperBands by BWO (60% of equity recommended to trade when not in a position in Power Professional 2:1 margin on that 60% for a 120% exposure )
Power Prof PPPA by BWO(60% of equity is used on 4:3 of equity of 60% for a position that should be 4:1 leverage in either TQQQ or SQQQ with trades occuring either on the open the same as EPA at the same time, or with a middle of the day automated signal from collective2 sent by my Trading Station where all of my strategies are operated)

Software Packages Used

An IQFeed datafeed is used across the Wealth Lab 7 executing SuperBands and EPA has been automated and hard coded forever to be on WealthSignals.com such that the Price Physics portion of Pairs Arbitrage Price Physics uses Multicharts OpenBeta 64 to push trades done in my Multicharts platform to Collective2 trading only TQQQ and SQQQ at a size of 60% times 4/3's is 80% of your portfolio)


Thus, the way a maximal allocation looks is
40% EPA, 20% PP, 80% PPPA Triple PA is Price Physics Pairs Arbitrage and is the trading style which only executes a trade when Price Physics and Pairs Arbitrage agree exiting when one of them does not agree so you'll have 140% or up to 133% of equity when using all of my trading algorithms allocated the way they were meant to be in a 2:1:2 pyramid developed as Quant Master earning 225% in less than 2.5 years on worldcupadvisor.com and where performance summaries up to September 2014 before leaving in October 2014 for wealthsignals.com is how my career progressed passed covestor, thank you all very much.

So, that's how to use every one of my algorithms for $525 monthly, $100 monthly on WealthSignals.com follows ETF Pairs Arbitrage, and $175 monthly on SuperBands by BWO, and $250 monthly for Power Prof PPPA by BWO

Summary Statistics

Strategy began
2020-11-08
Suggested Minimum Capital
$15,000
# Trades
165
# Profitable
122
% Profitable
73.9%
Net Dividends
Correlation S&P500
0.072
Sharpe Ratio
0.83
Sortino Ratio
1.66
Beta
0.05
Alpha
0.03
Leverage
0.54 Average
3.62 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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