Carma Stocks ex US
(95709284)
Subscription terms. Subscriptions to this system cost $49.00 per month.
Shortterm Reversal
Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a shortterm time frame (up to one month).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2015  +1.0%  +5.1%  (0.1%)    (2.6%)  (3.5%)  (0.2%)  
2016  +1.1%  (1.4%)  +2.9%  +1.8%  +4.1%  +3.8%  +0.8%  +1.1%  +1.5%  +1.2%  +3.0%  +1.9%  +24.0% 
2017  (3%)  (2.2%)  +0.1%  (1.8%)  +0.1%    (0.2%)  (1%)      (1.3%)  +0.9%  (8.2%) 
2018    (0.8%)  +1.7%  +2.0%  (0.8%)  +4.7%  +4.2%    (0.5%)  +1.3%  +3.6%  +2.9%  +19.6% 
2019  (2%)  +0.7%  +3.0%  (0.2%)  +1.5% 
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.
Started  $100,000  
Buy Power  $116,877  
Cash  $117,967  
Equity  ($1,089)  
Cumulative $  $57,495  
Includes dividends and cashsettled expirations:  $630  Itemized 
Total System Equity  $157,495  
Margined  $0  
Open P/L  ($1,157) 
Trading Record
Statistics

Strategy began7/6/2015

Suggested Minimum Cap$15,000

Strategy Age (days)1389.44

Age46 months ago

What it tradesStocks

# Trades469

# Profitable314

% Profitable67.00%

Avg trade duration4.0 days

Max peaktovalley drawdown10.85%

drawdown periodDec 20, 2016  Feb 11, 2018

Annual Return (Compounded)8.8%

Avg win$437.40

Avg loss$519.22
 Model Account Values (Raw)

Cash$117,967

Margin Used$0

Buying Power$116,877
 Ratios

W:L ratio1.72:1

Sharpe Ratio1.325

Sortino Ratio1.993

Calmar Ratio1.589
 CORRELATION STATISTICS

Correlation to SP5000.15200
 Return Statistics

Ann Return (w trading costs)8.8%

Ann Return (Compnd, No Fees)12.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss6.00%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)709

Popularity (Last 6 weeks)846

C2 Score96.7
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days10
 Win / Loss

Avg Loss$519

Avg Win$437

# Winners314

# Losers155

% Winners67.0%
 Frequency

Avg Position Time (mins)5705.05

Avg Position Time (hrs)95.08

Avg Trade Length4.0 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.09967

SD0.08700

Sharpe ratio (Glass type estimate)1.14559

Sharpe ratio (Hedges UMVUE)1.12547

df43.00000

t2.19363

p0.01686

Lowerbound of 95% confidence interval for Sharpe Ratio0.08766

Upperbound of 95% confidence interval for Sharpe Ratio2.19095

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.07464

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.17630
 Statistics related to Sortino ratio

Sortino ratio2.58399

Upside Potential Ratio4.14363

Upside part of mean0.15982

Downside part of mean0.06016

Upside SD0.08208

Downside SD0.03857

N nonnegative terms27.00000

N negative terms17.00000
 Statistics related to linear regression on benchmark

N of observations44.00000

Mean of predictor0.07346

Mean of criterion0.09967

SD of predictor0.13005

SD of criterion0.08700

Covariance0.00015

r0.01294

b (slope, estimate of beta)0.00865

a (intercept, estimate of alpha)0.09903

Mean Square Error0.00775

DF error42.00000

t(b)0.08384

p(b)0.46679

t(a)2.12561

p(a)0.01973

Lowerbound of 95% confidence interval for beta0.19965

Upperbound of 95% confidence interval for beta0.21696

Lowerbound of 95% confidence interval for alpha0.00501

Upperbound of 95% confidence interval for alpha0.19306

Treynor index (mean / b)11.51730

Jensen alpha (a)0.09903
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09546

SD0.08505

Sharpe ratio (Glass type estimate)1.12239

Sharpe ratio (Hedges UMVUE)1.10268

df43.00000

t2.14921

p0.01864

Lowerbound of 95% confidence interval for Sharpe Ratio0.06570

Upperbound of 95% confidence interval for Sharpe Ratio2.16676

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.05292

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.15243
 Statistics related to Sortino ratio

Sortino ratio2.44187

Upside Potential Ratio3.99641

Upside part of mean0.15624

Downside part of mean0.06077

Upside SD0.07938

Downside SD0.03909

N nonnegative terms27.00000

N negative terms17.00000
 Statistics related to linear regression on benchmark

N of observations44.00000

Mean of predictor0.06487

Mean of criterion0.09546

SD of predictor0.12973

SD of criterion0.08505

Covariance0.00016

r0.01455

b (slope, estimate of beta)0.00954

a (intercept, estimate of alpha)0.09485

Mean Square Error0.00740

DF error42.00000

t(b)0.09428

p(b)0.46267

t(a)2.08838

p(a)0.02143

Lowerbound of 95% confidence interval for beta0.19461

Upperbound of 95% confidence interval for beta0.21368

Lowerbound of 95% confidence interval for alpha0.00319

Upperbound of 95% confidence interval for alpha0.18650

Treynor index (mean / b)10.01030

Jensen alpha (a)0.09485
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03191

Expected Shortfall on VaR0.04175
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00964

Expected Shortfall on VaR0.02039
 ORDER STATISTICS
 Quartiles of return rates

Number of observations44.00000

Minimum0.96148

Quartile 10.99927

Median1.00898

Quartile 31.02163

Maximum1.10523

Mean of quarter 10.98339

Mean of quarter 21.00241

Mean of quarter 31.01524

Mean of quarter 41.04150

Inter Quartile Range0.02236

Number outliers low1.00000

Percentage of outliers low0.02273

Mean of outliers low0.96148

Number of outliers high1.00000

Percentage of outliers high0.02273

Mean of outliers high1.10523
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)3.18765

VaR(95%) (moments method)0.00669

Expected Shortfall (moments method)0.00672

Extreme Value Index (regression method)0.16962

VaR(95%) (regression method)0.01496

Expected Shortfall (regression method)0.02115
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00039

Quartile 10.00776

Median0.03684

Quartile 30.06429

Maximum0.06676

Mean of quarter 10.00039

Mean of quarter 20.01022

Mean of quarter 30.06346

Mean of quarter 40.06676

Inter Quartile Range0.05653

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.15601

Compounded annual return (geometric extrapolation)0.13130

Calmar ratio (compounded annual return / max draw down)1.96677

Compounded annual return / average of 25% largest draw downs1.96677

Compounded annual return / Expected Shortfall lognormal3.14481

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.09870

SD0.07446

Sharpe ratio (Glass type estimate)1.32568

Sharpe ratio (Hedges UMVUE)1.32466

df967.00000

t2.54816

p0.00549

Lowerbound of 95% confidence interval for Sharpe Ratio0.30397

Upperbound of 95% confidence interval for Sharpe Ratio2.34674

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.30328

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.34604
 Statistics related to Sortino ratio

Sortino ratio1.99299

Upside Potential Ratio6.86684

Upside part of mean0.34009

Downside part of mean0.24138

Upside SD0.05588

Downside SD0.04953

N nonnegative terms420.00000

N negative terms548.00000
 Statistics related to linear regression on benchmark

N of observations968.00000

Mean of predictor0.07527

Mean of criterion0.09870

SD of predictor0.13894

SD of criterion0.07446

Covariance0.00159

r0.15416

b (slope, estimate of beta)0.08261

a (intercept, estimate of alpha)0.09200

Mean Square Error0.00542

DF error966.00000

t(b)4.84936

p(b)0.00000

t(a)2.41391

p(a)0.00798

Lowerbound of 95% confidence interval for beta0.04918

Upperbound of 95% confidence interval for beta0.11604

Lowerbound of 95% confidence interval for alpha0.01730

Upperbound of 95% confidence interval for alpha0.16767

Treynor index (mean / b)1.19481

Jensen alpha (a)0.09249
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.09591

SD0.07446

Sharpe ratio (Glass type estimate)1.28803

Sharpe ratio (Hedges UMVUE)1.28703

df967.00000

t2.47579

p0.00673

Lowerbound of 95% confidence interval for Sharpe Ratio0.26642

Upperbound of 95% confidence interval for Sharpe Ratio2.30899

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.26575

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.30832
 Statistics related to Sortino ratio

Sortino ratio1.91622

Upside Potential Ratio6.76336

Upside part of mean0.33851

Downside part of mean0.24260

Upside SD0.05540

Downside SD0.05005

N nonnegative terms420.00000

N negative terms548.00000
 Statistics related to linear regression on benchmark

N of observations968.00000

Mean of predictor0.06560

Mean of criterion0.09591

SD of predictor0.13916

SD of criterion0.07446

Covariance0.00161

r0.15552

b (slope, estimate of beta)0.08321

a (intercept, estimate of alpha)0.09045

Mean Square Error0.00542

DF error966.00000

t(b)4.89315

p(b)0.00000

t(a)2.36141

p(a)0.00920

Lowerbound of 95% confidence interval for beta0.04984

Upperbound of 95% confidence interval for beta0.11659

Lowerbound of 95% confidence interval for alpha0.01528

Upperbound of 95% confidence interval for alpha0.16562

Treynor index (mean / b)1.15253

Jensen alpha (a)0.09045
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00717

Expected Shortfall on VaR0.00908
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00223

Expected Shortfall on VaR0.00498
 ORDER STATISTICS
 Quartiles of return rates

Number of observations968.00000

Minimum0.96124

Quartile 10.99967

Median1.00000

Quartile 31.00120

Maximum1.03954

Mean of quarter 10.99660

Mean of quarter 20.99995

Mean of quarter 31.00041

Mean of quarter 41.00498

Inter Quartile Range0.00153

Number outliers low85.00000

Percentage of outliers low0.08781

Mean of outliers low0.99245

Number of outliers high118.00000

Percentage of outliers high0.12190

Mean of outliers high1.00793
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.59291

VaR(95%) (moments method)0.00303

Expected Shortfall (moments method)0.00893

Extreme Value Index (regression method)0.40201

VaR(95%) (regression method)0.00302

Expected Shortfall (regression method)0.00661
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations51.00000

Minimum0.00003

Quartile 10.00060

Median0.00197

Quartile 30.00878

Maximum0.08297

Mean of quarter 10.00028

Mean of quarter 20.00138

Mean of quarter 30.00532

Mean of quarter 40.02889

Inter Quartile Range0.00818

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high6.00000

Percentage of outliers high0.11765

Mean of outliers high0.04618
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.37208

VaR(95%) (moments method)0.02745

Expected Shortfall (moments method)0.05259

Extreme Value Index (regression method)0.25220

VaR(95%) (regression method)0.03204

Expected Shortfall (regression method)0.05547
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.15699

Compounded annual return (geometric extrapolation)0.13181

Calmar ratio (compounded annual return / max draw down)1.58868

Compounded annual return / average of 25% largest draw downs4.56163

Compounded annual return / Expected Shortfall lognormal14.51630

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

Mean0.15490

SD0.10321

Sharpe ratio (Glass type estimate)1.50081

Sharpe ratio (Hedges UMVUE)1.49213

df130.00000

t1.06123

p0.45366

Lowerbound of 95% confidence interval for Sharpe Ratio1.27978

Upperbound of 95% confidence interval for Sharpe Ratio4.27583

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.28560

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.26987
 Statistics related to Sortino ratio

Sortino ratio2.26698

Upside Potential Ratio7.69505

Upside part of mean0.52578

Downside part of mean0.37089

Upside SD0.07742

Downside SD0.06833

N nonnegative terms66.00000

N negative terms65.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.09737

Mean of criterion0.15490

SD of predictor0.18263

SD of criterion0.10321

Covariance0.00094

r0.04971

b (slope, estimate of beta)0.02809

a (intercept, estimate of alpha)0.15763

Mean Square Error0.01071

DF error129.00000

t(b)0.56530

p(b)0.53163

t(a)1.07655

p(a)0.44002

Lowerbound of 95% confidence interval for beta0.12642

Upperbound of 95% confidence interval for beta0.07023

Lowerbound of 95% confidence interval for alpha0.13207

Upperbound of 95% confidence interval for alpha0.44733

Treynor index (mean / b)5.51378

Jensen alpha (a)0.15763
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.14954

SD0.10336

Sharpe ratio (Glass type estimate)1.44678

Sharpe ratio (Hedges UMVUE)1.43842

df130.00000

t1.02303

p0.45532

Lowerbound of 95% confidence interval for Sharpe Ratio1.33326

Upperbound of 95% confidence interval for Sharpe Ratio4.22151

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.33889

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.21574
 Statistics related to Sortino ratio

Sortino ratio2.15790

Upside Potential Ratio7.54357

Upside part of mean0.52277

Downside part of mean0.37323

Upside SD0.07671

Downside SD0.06930

N nonnegative terms66.00000

N negative terms65.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.08082

Mean of criterion0.14954

SD of predictor0.18246

SD of criterion0.10336

Covariance0.00089

r0.04708

b (slope, estimate of beta)0.02667

a (intercept, estimate of alpha)0.15170

Mean Square Error0.01074

DF error129.00000

t(b)0.53529

p(b)0.52996

t(a)1.03453

p(a)0.44233

Lowerbound of 95% confidence interval for beta0.12524

Upperbound of 95% confidence interval for beta0.07190

Lowerbound of 95% confidence interval for alpha0.13842

Upperbound of 95% confidence interval for alpha0.44182

Treynor index (mean / b)5.60743

Jensen alpha (a)0.15170
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00988

Expected Shortfall on VaR0.01252
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00315

Expected Shortfall on VaR0.00700
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96124

Quartile 10.99886

Median1.00012

Quartile 31.00226

Maximum1.02947

Mean of quarter 10.99490

Mean of quarter 20.99969

Mean of quarter 31.00108

Mean of quarter 41.00713

Inter Quartile Range0.00340

Number outliers low8.00000

Percentage of outliers low0.06107

Mean of outliers low0.98759

Number of outliers high11.00000

Percentage of outliers high0.08397

Mean of outliers high1.01433
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.53264

VaR(95%) (moments method)0.00442

Expected Shortfall (moments method)0.01096

Extreme Value Index (regression method)0.43462

VaR(95%) (regression method)0.00480

Expected Shortfall (regression method)0.01040
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00119

Quartile 10.00544

Median0.00785

Quartile 30.02617

Maximum0.03876

Mean of quarter 10.00194

Mean of quarter 20.00648

Mean of quarter 30.01650

Mean of quarter 40.03584

Inter Quartile Range0.02073

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.18556

Compounded annual return (geometric extrapolation)0.19417

Calmar ratio (compounded annual return / max draw down)5.00993

Compounded annual return / average of 25% largest draw downs5.41744

Compounded annual return / Expected Shortfall lognormal15.50950
Strategy Description
 Long only
 Exposition per symbol: 5%15% (usually 10%)
 Entry and exit logic very close to "brother" system Carma Stocks
Backtest available for subscribers
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.