Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Carma Stocks ex US
(95709284)

Created by: CarmaAdvisory CarmaAdvisory
Started: 07/2015
Stocks
Last trade: 2 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 $49.00 per month.

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).
16.7%
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.

(10.9%)
Max Drawdown
397
Num Trades
68.0%
Win Trades
2.3 : 1
Profit Factor
53.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
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%+32.0%      +48.2%

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 281 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/15/18 6:00 LSE.DEB DEBENHAMS PLC LONG 211,551 £0.047 11/16 3:00 £0.063 0.13%
Trade id #120956741
Max drawdown($184)
Time11/15/18 6:10
Quant open211,551
Worst price0.046
Drawdown as % of equity-0.13%
$4,274
Includes Typical Broker Commissions trade costs of $23.11
11/13/18 4:11 LSE.MCS MCCARTHY & STONE PLC LONG 7,616 £1.317 11/15 4:00 £1.424 0.03%
Trade id #120899664
Max drawdown($40)
Time11/13/18 4:14
Quant open7,616
Worst price1.313
Drawdown as % of equity-0.03%
$1,025
Includes Typical Broker Commissions trade costs of $20.87
11/12/18 3:00 LSE.RTN RESTAURANT GROUP PLC LONG 4,346 £2.220 11/13 3:46 £2.380 n/a $874
Includes Typical Broker Commissions trade costs of $19.99
11/9/18 10:13 TSX.IFP INTERFOR CORP LONG 1,152 CAD 14.66 11/12 11:57 CAD 14.49 0.1%
Trade id #120850502
Max drawdown($148)
Time11/12/18 11:57
Quant open0
Worst price14.49
Drawdown as % of equity-0.10%
($182)
Includes Typical Broker Commissions trade costs of $33.58
11/2/18 10:04 LSE.PSON PEARSON PLC LONG 1,175 £8.537 11/5 4:00 £9.001 n/a $688
Includes Typical Broker Commissions trade costs of $20.61
10/24/18 4:44 LSE.ETO ENTERTAINMENT ONE LTD. LONG 2,363 £4.130 10/30 4:44 £3.962 0.86%
Trade id #120505277
Max drawdown($1,237)
Time10/29/18 5:23
Quant open2,363
Worst price3.726
Drawdown as % of equity-0.86%
($532)
Includes Typical Broker Commissions trade costs of $19.12
10/23/18 8:13 LSE.CINE CINEWORLD GROUP PLC LONG 3,485 £2.800 10/29 11:48 £2.760 0.44%
Trade id #120482912
Max drawdown($641)
Time10/24/18 3:08
Quant open3,485
Worst price2.658
Drawdown as % of equity-0.44%
($201)
Includes Typical Broker Commissions trade costs of $19.38
10/26/18 5:20 LSE.TLW TULLOW OIL PLC LONG 4,667 £2.129 10/29 4:25 £2.222 0.14%
Trade id #120557005
Max drawdown($199)
Time10/26/18 6:48
Quant open4,667
Worst price2.096
Drawdown as % of equity-0.14%
$536
Includes Typical Broker Commissions trade costs of $20.31
10/25/18 3:14 LSE.HSTG HASTINGS GROUP HOLDINGS PLC LONG 4,921 £1.981 10/26 3:00 £1.905 0.6%
Trade id #120529069
Max drawdown($906)
Time10/25/18 3:29
Quant open4,921
Worst price1.836
Drawdown as % of equity-0.60%
($502)
Includes Typical Broker Commissions trade costs of $19.12
10/19/18 4:25 LSE.ACA ACACIA MINING PLC LONG 6,458 £1.506 10/23 11:23 £1.517 1.06%
Trade id #120434055
Max drawdown($1,536)
Time10/19/18 5:06
Quant open6,458
Worst price1.321
Drawdown as % of equity-1.06%
$68
Includes Typical Broker Commissions trade costs of $19.53
10/16/18 3:00 LSE.GNC GREENCORE GROUP PLC LONG 5,052 £1.890 10/17 3:00 £1.985 0.15%
Trade id #120372161
Max drawdown($224)
Time10/16/18 3:04
Quant open5,052
Worst price1.857
Drawdown as % of equity-0.15%
$609
Includes Typical Broker Commissions trade costs of $19.58
10/11/18 9:30 TSX.CP CANADIAN PACIFIC LTD LONG 61 CAD 267.32 10/16 9:32 CAD 271.15 2.12%
Trade id #120296491
Max drawdown($2,996)
Time10/11/18 16:00
Quant open61
Worst price202.98
Drawdown as % of equity-2.12%
$146
Includes Typical Broker Commissions trade costs of $32.85
10/10/18 13:02 TSX.MX METHANEX CORP LONG 164 CAD 99.85 10/16 9:30 CAD 97.96 7.95%
Trade id #120280351
Max drawdown($11,422)
Time10/15/18 9:37
Quant open164
Worst price8.61
Drawdown as % of equity-7.95%
($270)
Includes Typical Broker Commissions trade costs of $32.45
10/10/18 5:30 LSE.VCT VICTREX PLC LONG 329 £29.120 10/16 8:06 £27.060 1.08%
Trade id #120268633
Max drawdown($1,538)
Time10/12/18 6:04
Quant open329
Worst price25.540
Drawdown as % of equity-1.08%
($909)
Includes Typical Broker Commissions trade costs of $18.48
10/10/18 10:30 LSE.LSE LONDON STOCK EXCHANGE GROUP PLC LONG 226 £42.250 10/16 7:10 £41.310 8.69%
Trade id #120275142
Max drawdown($12,351)
Time10/12/18 6:40
Quant open226
Worst price0.410
Drawdown as % of equity-8.69%
($299)
Includes Typical Broker Commissions trade costs of $18.89
10/9/18 6:47 LSE.RTO RENTOKIL INITIAL PLC LONG 3,051 £3.139 10/16 4:17 £3.038 0.53%
Trade id #120247637
Max drawdown($757)
Time10/15/18 7:38
Quant open3,051
Worst price2.949
Drawdown as % of equity-0.53%
($423)
Includes Typical Broker Commissions trade costs of $18.85
10/11/18 9:47 TSX.CCO CAMECO CORP LONG 1,114 CAD 14.73 10/15 9:30 CAD 15.00 5.35%
Trade id #120297517
Max drawdown($7,619)
Time10/12/18 14:31
Quant open1,114
Worst price5.77
Drawdown as % of equity-5.35%
$198
Includes Typical Broker Commissions trade costs of $33.12
10/10/18 9:48 TSX.AC AIR CANADA LONG 681 CAD 24.08 10/15 9:30 CAD 24.26 n/a $62
Includes Typical Broker Commissions trade costs of $32.92
10/9/18 8:27 LSE.ETO ENTERTAINMENT ONE LTD. LONG 2,469 £3.876 10/15 4:00 £3.978 0.36%
Trade id #120249010
Max drawdown($503)
Time10/11/18 3:14
Quant open2,469
Worst price3.720
Drawdown as % of equity-0.36%
$310
Includes Typical Broker Commissions trade costs of $19.39
10/11/18 3:02 LSE.GNC GREENCORE GROUP PLC LONG 5,071 £1.889 10/15 4:00 £2.250 0%
Trade id #120292539
Max drawdown$0
Time10/11/18 3:05
Quant open5,071
Worst price1.889
Drawdown as % of equity0.00%
$2,395
Includes Typical Broker Commissions trade costs of $20.99
10/11/18 4:33 LSE.CSP COUNTRYSIDE PROPERTIES PLC LONG 3,365 £2.848 10/15 4:00 £2.828 0.33%
Trade id #120293457
Max drawdown($465)
Time10/15/18 3:07
Quant open3,365
Worst price2.742
Drawdown as % of equity-0.33%
($108)
Includes Typical Broker Commissions trade costs of $19.10
10/11/18 3:00 LSE.EVR EVRAZ PLC LONG 1,814 £5.262 10/15 3:20 £5.392 0.33%
Trade id #120292502
Max drawdown($469)
Time10/11/18 5:40
Quant open1,814
Worst price5.064
Drawdown as % of equity-0.33%
$292
Includes Typical Broker Commissions trade costs of $19.33
10/10/18 10:02 LSE.OCDO OCADO GROUP PLC LONG 1,251 £7.656 10/11 9:14 £7.882 0.41%
Trade id #120273687
Max drawdown($576)
Time10/11/18 3:03
Quant open1,251
Worst price7.306
Drawdown as % of equity-0.41%
$354
Includes Typical Broker Commissions trade costs of $19.44
10/3/18 3:05 LSE.TSCO TESCO PLC LONG 4,240 £2.225 10/9 10:56 £2.156 0.52%
Trade id #120154087
Max drawdown($741)
Time10/9/18 3:03
Quant open4,240
Worst price2.092
Drawdown as % of equity-0.52%
($399)
Includes Typical Broker Commissions trade costs of $18.57
10/8/18 5:03 LSE.EVR EVRAZ PLC LONG 1,770 £5.412 10/9 4:00 £5.502 0%
Trade id #120226668
Max drawdown($4)
Time10/8/18 5:05
Quant open1,770
Worst price5.410
Drawdown as % of equity-0.00%
$189
Includes Typical Broker Commissions trade costs of $19.32
10/1/18 14:53 TSX.AC AIR CANADA LONG 640 CAD 26.28 10/5 9:50 CAD 25.82 0.16%
Trade id #120122635
Max drawdown($230)
Time10/5/18 9:50
Quant open0
Worst price25.82
Drawdown as % of equity-0.16%
($263)
Includes Typical Broker Commissions trade costs of $33.34
10/4/18 9:48 LSE.SKG SMURFIT KAPPA GROUP PLC LONG 335 £28.540 10/5 9:06 £29.614 0.23%
Trade id #120181338
Max drawdown($325)
Time10/5/18 3:41
Quant open335
Worst price27.800
Drawdown as % of equity-0.23%
$449
Includes Typical Broker Commissions trade costs of $19.48
9/27/18 3:02 LSE.DCC DCC PLC LONG 140 £69.650 10/1 4:46 £71.200 0.21%
Trade id #120058922
Max drawdown($302)
Time9/27/18 10:03
Quant open140
Worst price68.000
Drawdown as % of equity-0.21%
$265
Includes Typical Broker Commissions trade costs of $19.72
9/25/18 9:07 LSE.TALK TALKTALK TELECOM GROUP PLC LONG 7,563 £1.272 9/28 9:25 £1.257 0.58%
Trade id #120019030
Max drawdown($834)
Time9/26/18 10:20
Quant open7,563
Worst price1.187
Drawdown as % of equity-0.58%
($168)
Includes Typical Broker Commissions trade costs of $19.13
9/26/18 11:24 LSE.INDV INDIVIOR PLC LONG 4,154 £2.317 9/28 3:00 £1.894 2.38%
Trade id #120045258
Max drawdown($3,364)
Time9/27/18 7:51
Quant open4,154
Worst price1.693
Drawdown as % of equity-2.38%
($2,329)
Includes Typical Broker Commissions trade costs of $17.49

Statistics

  • Strategy began
    7/6/2015
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1231.15
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    397
  • # Profitable
    270
  • % Profitable
    68.00%
  • Avg trade duration
    3.9 days
  • Max peak-to-valley drawdown
    10.85%
  • drawdown period
    Dec 20, 2016 - Feb 11, 2018
  • Annual Return (Compounded)
    16.7%
  • Avg win
    $552.24
  • Avg loss
    $503.67
  • Model Account Values (Raw)
  • Cash
    $66,469
  • Margin Used
    $0
  • Buying Power
    $100,688
  • Ratios
  • W:L ratio
    2.35:1
  • Sharpe Ratio
    1.254
  • Sortino Ratio
    2.998
  • Calmar Ratio
    2.256
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.11500
  • Return Statistics
  • Ann Return (w trading costs)
    16.7%
  • Ann Return (Compnd, No Fees)
    20.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • 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)
    464
  • Popularity (Last 6 weeks)
    788
  • C2 Score
    95.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    10
  • Win / Loss
  • Avg Loss
    $504
  • Avg Win
    $552
  • # Winners
    270
  • # Losers
    127
  • % Winners
    68.0%
  • Frequency
  • Avg Position Time (mins)
    5641.92
  • Avg Position Time (hrs)
    94.03
  • Avg Trade Length
    3.9 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09106
  • SD
    0.08809
  • Sharpe ratio (Glass type estimate)
    1.03377
  • Sharpe ratio (Hedges UMVUE)
    1.01321
  • df
    38.00000
  • t
    1.86365
  • p
    0.03506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08429
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12401
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25543
  • Upside Potential Ratio
    3.84086
  • Upside part of mean
    0.15507
  • Downside part of mean
    -0.06401
  • Upside SD
    0.08137
  • Downside SD
    0.04037
  • N nonnegative terms
    23.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.07145
  • Mean of criterion
    0.09106
  • SD of predictor
    0.12823
  • SD of criterion
    0.08809
  • Covariance
    0.00069
  • r
    0.06118
  • b (slope, estimate of beta)
    0.04203
  • a (intercept, estimate of alpha)
    0.08806
  • Mean Square Error
    0.00794
  • DF error
    37.00000
  • t(b)
    0.37283
  • p(b)
    0.35570
  • t(a)
    1.75847
  • p(a)
    0.04347
  • Lowerbound of 95% confidence interval for beta
    -0.18637
  • Upperbound of 95% confidence interval for beta
    0.27042
  • Lowerbound of 95% confidence interval for alpha
    -0.01341
  • Upperbound of 95% confidence interval for alpha
    0.18952
  • Treynor index (mean / b)
    2.16679
  • Jensen alpha (a)
    0.08806
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08687
  • SD
    0.08611
  • Sharpe ratio (Glass type estimate)
    1.00879
  • Sharpe ratio (Hedges UMVUE)
    0.98872
  • df
    38.00000
  • t
    1.81862
  • p
    0.03843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09841
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.12211
  • Upside Potential Ratio
    3.70250
  • Upside part of mean
    0.15156
  • Downside part of mean
    -0.06469
  • Upside SD
    0.07860
  • Downside SD
    0.04093
  • N nonnegative terms
    23.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.06313
  • Mean of criterion
    0.08687
  • SD of predictor
    0.12796
  • SD of criterion
    0.08611
  • Covariance
    0.00070
  • r
    0.06338
  • b (slope, estimate of beta)
    0.04265
  • a (intercept, estimate of alpha)
    0.08417
  • Mean Square Error
    0.00758
  • DF error
    37.00000
  • t(b)
    0.38627
  • p(b)
    0.35075
  • t(a)
    1.72455
  • p(a)
    0.04648
  • Lowerbound of 95% confidence interval for beta
    -0.18106
  • Upperbound of 95% confidence interval for beta
    0.26636
  • Lowerbound of 95% confidence interval for alpha
    -0.01472
  • Upperbound of 95% confidence interval for alpha
    0.18307
  • Treynor index (mean / b)
    2.03677
  • Jensen alpha (a)
    0.08417
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03309
  • Expected Shortfall on VaR
    0.04304
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01072
  • Expected Shortfall on VaR
    0.02228
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.96148
  • Quartile 1
    0.99892
  • Median
    1.00894
  • Quartile 3
    1.02203
  • Maximum
    1.10523
  • Mean of quarter 1
    0.98275
  • Mean of quarter 2
    1.00233
  • Mean of quarter 3
    1.01494
  • Mean of quarter 4
    1.04015
  • Inter Quartile Range
    0.02311
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.96148
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02564
  • Mean of outliers high
    1.10523
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.00476
  • VaR(95%) (moments method)
    0.00685
  • Expected Shortfall (moments method)
    0.00689
  • Extreme Value Index (regression method)
    -0.25072
  • VaR(95%) (regression method)
    0.01614
  • Expected Shortfall (regression method)
    0.02194
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00039
  • Quartile 1
    0.03193
  • Median
    0.06346
  • Quartile 3
    0.06511
  • Maximum
    0.06676
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.06346
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06676
  • Inter Quartile Range
    0.03319
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13911
  • Compounded annual return (geometric extrapolation)
    0.12162
  • Calmar ratio (compounded annual return / max draw down)
    1.82168
  • Compounded annual return / average of 25% largest draw downs
    1.82168
  • Compounded annual return / Expected Shortfall lognormal
    2.82577
  • 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
    0.15049
  • SD
    0.11991
  • Sharpe ratio (Glass type estimate)
    1.25493
  • Sharpe ratio (Hedges UMVUE)
    1.25383
  • df
    856.00000
  • t
    2.26965
  • p
    0.01174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16927
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33992
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33915
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99799
  • Upside Potential Ratio
    7.55470
  • Upside part of mean
    0.37921
  • Downside part of mean
    -0.22873
  • Upside SD
    0.10922
  • Downside SD
    0.05020
  • N nonnegative terms
    367.00000
  • N negative terms
    490.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    857.00000
  • Mean of predictor
    0.06651
  • Mean of criterion
    0.15049
  • SD of predictor
    0.13334
  • SD of criterion
    0.11991
  • Covariance
    0.00196
  • r
    0.12259
  • b (slope, estimate of beta)
    0.11024
  • a (intercept, estimate of alpha)
    0.14300
  • Mean Square Error
    0.01418
  • DF error
    855.00000
  • t(b)
    3.61180
  • p(b)
    0.00016
  • t(a)
    2.17317
  • p(a)
    0.01502
  • Lowerbound of 95% confidence interval for beta
    0.05033
  • Upperbound of 95% confidence interval for beta
    0.17015
  • Lowerbound of 95% confidence interval for alpha
    0.01386
  • Upperbound of 95% confidence interval for alpha
    0.27244
  • Treynor index (mean / b)
    1.36502
  • Jensen alpha (a)
    0.14315
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14369
  • SD
    0.11434
  • Sharpe ratio (Glass type estimate)
    1.25674
  • Sharpe ratio (Hedges UMVUE)
    1.25564
  • df
    856.00000
  • t
    2.27293
  • p
    0.01164
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17108
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17031
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34097
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.83085
  • Upside Potential Ratio
    7.36157
  • Upside part of mean
    0.37367
  • Downside part of mean
    -0.22998
  • Upside SD
    0.10276
  • Downside SD
    0.05076
  • N nonnegative terms
    367.00000
  • N negative terms
    490.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    857.00000
  • Mean of predictor
    0.05759
  • Mean of criterion
    0.14369
  • SD of predictor
    0.13366
  • SD of criterion
    0.11434
  • Covariance
    0.00197
  • r
    0.12900
  • b (slope, estimate of beta)
    0.11036
  • a (intercept, estimate of alpha)
    0.13734
  • Mean Square Error
    0.01287
  • DF error
    855.00000
  • t(b)
    3.80392
  • p(b)
    0.00008
  • t(a)
    2.18865
  • p(a)
    0.01445
  • Lowerbound of 95% confidence interval for beta
    0.05341
  • Upperbound of 95% confidence interval for beta
    0.16730
  • Lowerbound of 95% confidence interval for alpha
    0.01418
  • Upperbound of 95% confidence interval for alpha
    0.26050
  • Treynor index (mean / b)
    1.30209
  • Jensen alpha (a)
    0.13734
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01101
  • Expected Shortfall on VaR
    0.01392
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00212
  • Expected Shortfall on VaR
    0.00478
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    857.00000
  • Minimum
    0.96124
  • Quartile 1
    0.99974
  • Median
    1.00000
  • Quartile 3
    1.00109
  • Maximum
    1.17078
  • Mean of quarter 1
    0.99679
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00038
  • Mean of quarter 4
    1.00562
  • Inter Quartile Range
    0.00135
  • Number outliers low
    77.00000
  • Percentage of outliers low
    0.08985
  • Mean of outliers low
    0.99270
  • Number of outliers high
    117.00000
  • Percentage of outliers high
    0.13652
  • Mean of outliers high
    1.00868
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65016
  • VaR(95%) (moments method)
    0.00286
  • Expected Shortfall (moments method)
    0.00978
  • Extreme Value Index (regression method)
    0.39533
  • VaR(95%) (regression method)
    0.00283
  • Expected Shortfall (regression method)
    0.00630
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00056
  • Median
    0.00173
  • Quartile 3
    0.00859
  • Maximum
    0.08297
  • Mean of quarter 1
    0.00023
  • Mean of quarter 2
    0.00111
  • Mean of quarter 3
    0.00411
  • Mean of quarter 4
    0.02895
  • Inter Quartile Range
    0.00803
  • 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
    0.11364
  • Mean of outliers high
    0.04819
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56369
  • VaR(95%) (moments method)
    0.02924
  • Expected Shortfall (moments method)
    0.07544
  • Extreme Value Index (regression method)
    0.52024
  • VaR(95%) (regression method)
    0.03099
  • Expected Shortfall (regression method)
    0.07398
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23019
  • Compounded annual return (geometric extrapolation)
    0.18720
  • Calmar ratio (compounded annual return / max draw down)
    2.25641
  • Compounded annual return / average of 25% largest draw downs
    6.46738
  • Compounded annual return / Expected Shortfall lognormal
    13.44760
  • 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
    0.68121
  • SD
    0.26786
  • Sharpe ratio (Glass type estimate)
    2.54318
  • Sharpe ratio (Hedges UMVUE)
    2.52848
  • df
    130.00000
  • t
    1.79830
  • p
    0.42210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.32732
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26031
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.31727
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.03160
  • Upside Potential Ratio
    13.83610
  • Upside part of mean
    1.04359
  • Downside part of mean
    -0.36238
  • Upside SD
    0.25939
  • Downside SD
    0.07543
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04134
  • Mean of criterion
    0.68121
  • SD of predictor
    0.13287
  • SD of criterion
    0.26786
  • Covariance
    0.00338
  • r
    0.09511
  • b (slope, estimate of beta)
    0.19174
  • a (intercept, estimate of alpha)
    0.67328
  • Mean Square Error
    0.07165
  • DF error
    129.00000
  • t(b)
    1.08515
  • p(b)
    0.43954
  • t(a)
    1.77825
  • p(a)
    0.40192
  • Lowerbound of 95% confidence interval for beta
    -0.15785
  • Upperbound of 95% confidence interval for beta
    0.54134
  • Lowerbound of 95% confidence interval for alpha
    -0.07583
  • Upperbound of 95% confidence interval for alpha
    1.42239
  • Treynor index (mean / b)
    3.55274
  • Jensen alpha (a)
    0.67328
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64760
  • SD
    0.25147
  • Sharpe ratio (Glass type estimate)
    2.57525
  • Sharpe ratio (Hedges UMVUE)
    2.56036
  • df
    130.00000
  • t
    1.82097
  • p
    0.42114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21892
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34958
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.46800
  • Upside Potential Ratio
    13.24390
  • Upside part of mean
    1.01284
  • Downside part of mean
    -0.36524
  • Upside SD
    0.24188
  • Downside SD
    0.07648
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03255
  • Mean of criterion
    0.64760
  • SD of predictor
    0.13324
  • SD of criterion
    0.25147
  • Covariance
    0.00336
  • r
    0.10015
  • b (slope, estimate of beta)
    0.18902
  • a (intercept, estimate of alpha)
    0.64145
  • Mean Square Error
    0.06309
  • DF error
    129.00000
  • t(b)
    1.14321
  • p(b)
    0.43635
  • t(a)
    1.80560
  • p(a)
    0.40046
  • Lowerbound of 95% confidence interval for beta
    -0.13811
  • Upperbound of 95% confidence interval for beta
    0.51615
  • Lowerbound of 95% confidence interval for alpha
    -0.06143
  • Upperbound of 95% confidence interval for alpha
    1.34433
  • Treynor index (mean / b)
    3.42609
  • Jensen alpha (a)
    0.64145
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02282
  • Expected Shortfall on VaR
    0.02913
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00278
  • Expected Shortfall on VaR
    0.00646
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96124
  • Quartile 1
    0.99942
  • Median
    1.00054
  • Quartile 3
    1.00298
  • Maximum
    1.17078
  • Mean of quarter 1
    0.99477
  • Mean of quarter 2
    1.00001
  • Mean of quarter 3
    1.00152
  • Mean of quarter 4
    1.01450
  • Inter Quartile Range
    0.00357
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98469
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02749
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63112
  • VaR(95%) (moments method)
    0.00360
  • Expected Shortfall (moments method)
    0.01175
  • Extreme Value Index (regression method)
    0.69547
  • VaR(95%) (regression method)
    0.00449
  • Expected Shortfall (regression method)
    0.01783
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00167
  • Median
    0.00641
  • Quartile 3
    0.01939
  • Maximum
    0.03876
  • Mean of quarter 1
    0.00049
  • Mean of quarter 2
    0.00312
  • Mean of quarter 3
    0.01344
  • Mean of quarter 4
    0.02807
  • Inter Quartile Range
    0.01772
  • 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)
    -0.49279
  • VaR(95%) (moments method)
    0.03189
  • Expected Shortfall (moments method)
    0.03632
  • Extreme Value Index (regression method)
    1.05651
  • VaR(95%) (regression method)
    0.03811
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.80359
  • Compounded annual return (geometric extrapolation)
    0.96503
  • Calmar ratio (compounded annual return / max draw down)
    24.90000
  • Compounded annual return / average of 25% largest draw downs
    34.37990
  • Compounded annual return / Expected Shortfall lognormal
    33.13380

Strategy Description

- Markets traded: Australia, Canada, Germany, UK
- Long only
- Exposition per symbol: 5%-15% (usually 10%)
- Entry and exit logic very close to "brother" system Carma Stocks

Backtest available for subscribers
Special

$1 Subscription

One Free Month AutoTrade

Subscribe to "Carma Stocks ex US", and get your first month free... plus receive your first month of AutoTrade Service (normally $49). Get it all for $1.

Basically, it's $97 dollars of free stuff.

Offer valid only for limited time.
Learn More

Summary Statistics

Strategy began
2015-07-06
Suggested Minimum Capital
$15,000
# Trades
397
# Profitable
270
% Profitable
68.0%
Net Dividends
Correlation S&P500
0.115
Sharpe Ratio
1.254

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.