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

Market MASTER
(138743391)

Created by: DWurz DWurz
Started: 12/2021
Stocks
Last trade: 100 days ago
Trading style: Equity Momentum 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 $20.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
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).
-2.9%
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.

(46.6%)
Max Drawdown
21
Num Trades
57.1%
Win Trades
1.2 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +0.6%+0.6%
2022+22.3%  -  (3.9%)+18.3%+0.1%+18.4%(16.6%)(4.6%)+19.3%(1.9%)(11.2%)+12.6%+53.3%
2023+4.0%(5.8%)(14.8%)+3.4%(4.8%)(9.4%)+3.5%(2%)+6.7%+5.1%(5.3%)(4.4%)(23.3%)
2024(6.1%)(8.7%)(7.5%)                                                      (20.7%)

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 15 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 378 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/26/23 9:46 SSO PROSHARES ULTRA S&P 500 LONG 640 49.65 11/2 9:32 51.95 0.9%
Trade id #146243768
Max drawdown($582)
Time10/27/23 0:00
Quant open320
Worst price48.59
Drawdown as % of equity-0.90%
$1,462
Includes Typical Broker Commissions trade costs of $12.80
10/11/23 9:59 ICSH ISHARES LIQUIDITY INC ETF LONG 1,253 50.26 10/27 13:21 50.36 0.04%
Trade id #146098943
Max drawdown($25)
Time10/11/23 13:25
Quant open1,253
Worst price50.24
Drawdown as % of equity-0.04%
$111
Includes Typical Broker Commissions trade costs of $8.13
10/16/23 15:39 SDS PROSHARES ULTRASHORT S&P500 LONG 440 35.76 10/23 9:46 38.93 0.2%
Trade id #146144358
Max drawdown($126)
Time10/17/23 0:00
Quant open440
Worst price35.47
Drawdown as % of equity-0.20%
$1,386
Includes Typical Broker Commissions trade costs of $8.80
10/3/23 14:31 SSO PROSHARES ULTRA S&P 500 LONG 300 51.66 10/11 9:55 55.28 0.03%
Trade id #146014613
Max drawdown($21)
Time10/3/23 15:34
Quant open300
Worst price51.59
Drawdown as % of equity-0.03%
$1,080
Includes Typical Broker Commissions trade costs of $6.00
8/28/23 10:05 SDS PROSHARES ULTRASHORT S&P500 LONG 1,690 34.47 9/27 13:15 35.95 3.19%
Trade id #145661438
Max drawdown($1,861)
Time9/1/23 0:00
Quant open1,690
Worst price33.37
Drawdown as % of equity-3.19%
$2,473
Includes Typical Broker Commissions trade costs of $21.88
8/14/23 9:37 SSO PROSHARES ULTRA S&P 500 LONG 1,039 57.64 8/25 15:56 56.89 4.85%
Trade id #145519516
Max drawdown($2,825)
Time8/18/23 0:00
Quant open1,039
Worst price54.92
Drawdown as % of equity-4.85%
($802)
Includes Typical Broker Commissions trade costs of $18.09
8/10/23 10:06 SDS PROSHARES ULTRASHORT S&P500 LONG 888 33.47 8/11 10:22 34.28 0.04%
Trade id #145493360
Max drawdown($22)
Time8/10/23 10:09
Quant open888
Worst price33.45
Drawdown as % of equity-0.04%
$714
Includes Typical Broker Commissions trade costs of $5.00
7/6/23 9:46 SSO PROSHARES ULTRA S&P 500 LONG 505 56.93 7/18 15:34 59.89 0.41%
Trade id #145131224
Max drawdown($237)
Time7/6/23 11:20
Quant open505
Worst price56.46
Drawdown as % of equity-0.41%
$1,487
Includes Typical Broker Commissions trade costs of $7.55
6/28/23 11:39 SDS PROSHARES ULTRASHORT S&P500 LONG 826 35.28 7/6 9:46 35.01 1.65%
Trade id #145054718
Max drawdown($958)
Time6/30/23 0:00
Quant open826
Worst price34.12
Drawdown as % of equity-1.65%
($228)
Includes Typical Broker Commissions trade costs of $5.00
5/15/23 11:56 SDS PROSHARES ULTRASHORT S&P500 LONG 1,629 39.90 6/13 15:14 35.78 11.84%
Trade id #144615976
Max drawdown($6,939)
Time6/13/23 13:07
Quant open1,629
Worst price35.64
Drawdown as % of equity-11.84%
($6,716)
Includes Typical Broker Commissions trade costs of $5.00
4/27/23 13:07 SSO PROSHARES ULTRA S&P 500 LONG 1,320 50.01 5/15 11:55 50.34 3.18%
Trade id #144448265
Max drawdown($2,039)
Time5/4/23 0:00
Quant open1,320
Worst price48.47
Drawdown as % of equity-3.18%
$431
Includes Typical Broker Commissions trade costs of $5.00
3/15/23 15:46 SDS PROSHARES ULTRASHORT S&P500 LONG 1,585 45.07 4/27 13:06 40.17 15.4%
Trade id #143917793
Max drawdown($9,741)
Time4/18/23 0:00
Quant open1,585
Worst price38.92
Drawdown as % of equity-15.40%
($7,768)
Includes Typical Broker Commissions trade costs of $5.00
1/10/23 14:19 SSO PROSHARES ULTRA S&P 500 LONG 1,624 46.13 3/15 15:45 44.91 6.46%
Trade id #143166968
Max drawdown($4,616)
Time3/13/23 0:00
Quant open1,624
Worst price43.29
Drawdown as % of equity-6.46%
($1,983)
Includes Typical Broker Commissions trade costs of $5.00
12/23/22 15:32 SDS PROSHARES ULTRASHORT S&P500 LONG 1,667 46.00 1/10/23 14:18 44.22 5.94%
Trade id #142987389
Max drawdown($4,449)
Time1/9/23 0:00
Quant open1,667
Worst price43.33
Drawdown as % of equity-5.94%
($2,979)
Includes Typical Broker Commissions trade costs of $5.00
12/19/22 12:19 SSO PROSHARES ULTRA S&P 500 LONG 1,734 44.57 12/23 15:32 44.43 3.99%
Trade id #142928413
Max drawdown($3,155)
Time12/22/22 0:00
Quant open1,734
Worst price42.75
Drawdown as % of equity-3.99%
($245)
Includes Typical Broker Commissions trade costs of $7.50
10/26/22 15:46 SDS PROSHARES ULTRASHORT S&P500 LONG 1,680 46.90 12/19 10:52 46.06 15.52%
Trade id #142332875
Max drawdown($11,120)
Time12/13/22 0:00
Quant open1,680
Worst price40.28
Drawdown as % of equity-15.52%
($1,407)
Includes Typical Broker Commissions trade costs of $5.00
9/9/22 15:54 SDS PROSHARES ULTRASHORT S&P500 LONG 1,545 42.72 9/26 11:46 51.02 2.29%
Trade id #141728820
Max drawdown($1,514)
Time9/12/22 0:00
Quant open1,545
Worst price41.74
Drawdown as % of equity-2.29%
$12,808
Includes Typical Broker Commissions trade costs of $11.83
8/12/22 15:41 SSO PROSHARES ULTRA S&P 500 LONG 1,154 56.92 8/16 13:57 58.09 0.81%
Trade id #141405232
Max drawdown($528)
Time8/15/22 0:00
Quant open1,154
Worst price56.46
Drawdown as % of equity-0.81%
$1,353
Includes Typical Broker Commissions trade costs of $5.00
3/21/22 12:48 SDS PROSHARES ULTRASHORT S&P500 LONG 2,252 40.90 8/12 15:40 42.43 8.37%
Trade id #139860236
Max drawdown($4,869)
Time3/29/22 0:00
Quant open1,576
Worst price35.82
Drawdown as % of equity-8.37%
$3,428
Includes Typical Broker Commissions trade costs of $18.05
12/29/21 11:41 SDS PROSHARES ULTRASHORT S&P500 LONG 1,428 35.05 1/24/22 13:13 43.19 1.44%
Trade id #138743409
Max drawdown($714)
Time1/4/22 0:00
Quant open1,428
Worst price34.55
Drawdown as % of equity-1.44%
$11,619
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/29/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    817.4
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    21
  • # Profitable
    12
  • % Profitable
    57.10%
  • Avg trade duration
    31.8 days
  • Max peak-to-valley drawdown
    46.56%
  • drawdown period
    June 16, 2022 - March 25, 2024
  • Annual Return (Compounded)
    -2.9%
  • Avg win
    $3,205
  • Avg loss
    $4,189
  • Model Account Values (Raw)
  • Cash
    $27,855
  • Margin Used
    $0
  • Buying Power
    $6,663
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    -0.05
  • Sortino Ratio
    -0.08
  • Calmar Ratio
    -0.03
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -15.17%
  • Correlation to SP500
    -0.47530
  • Return Percent SP500 (cumu) during strategy life
    9.50%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.9%
  • Slump
  • Current Slump as Pcnt Equity
    87.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.79%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.029%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.50%
  • Chance of 20% account loss
    63.50%
  • Chance of 30% account loss
    30.50%
  • Chance of 40% account loss
    9.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    520
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    215
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,731
  • Avg Win
    $3,206
  • Sum Trade PL (losers)
    $42,580.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $38,468.000
  • # Winners
    12
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    2644
  • Win / Loss
  • # Losers
    9
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    45564.30
  • Avg Position Time (hrs)
    759.40
  • Avg Trade Length
    31.6 days
  • Last Trade Ago
    98
  • Leverage
  • Daily leverage (average)
    1.75
  • Daily leverage (max)
    3.05
  • Regression
  • Alpha
    0.00
  • Beta
    -0.63
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.33
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.12
  • Avg(MAE) / Avg(PL) - All trades
    -17.652
  • 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
    0.43
  • Avg(MAE) / Avg(PL) - Winning trades
    0.326
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.526
  • Hold-and-Hope Ratio
    -0.053
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13416
  • SD
    0.35155
  • Sharpe ratio (Glass type estimate)
    0.38162
  • Sharpe ratio (Hedges UMVUE)
    0.36844
  • df
    22.00000
  • t
    0.52833
  • p
    0.30128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78833
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64182
  • Upside Potential Ratio
    2.54409
  • Upside part of mean
    0.53178
  • Downside part of mean
    -0.39763
  • Upside SD
    0.27571
  • Downside SD
    0.20903
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    -0.01176
  • Mean of criterion
    0.13416
  • SD of predictor
    0.19095
  • SD of criterion
    0.35155
  • Covariance
    -0.05411
  • r
    -0.80604
  • b (slope, estimate of beta)
    -1.48393
  • a (intercept, estimate of alpha)
    0.11670
  • Mean Square Error
    0.04535
  • DF error
    21.00000
  • t(b)
    -6.24084
  • p(b)
    0.95025
  • t(a)
    0.75854
  • p(a)
    0.39650
  • Lowerbound of 95% confidence interval for beta
    -1.97841
  • Upperbound of 95% confidence interval for beta
    -0.98944
  • Lowerbound of 95% confidence interval for alpha
    -0.20325
  • Upperbound of 95% confidence interval for alpha
    0.43666
  • Treynor index (mean / b)
    -0.09041
  • Jensen alpha (a)
    0.11670
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07623
  • SD
    0.34413
  • Sharpe ratio (Glass type estimate)
    0.22152
  • Sharpe ratio (Hedges UMVUE)
    0.21386
  • df
    22.00000
  • t
    0.30668
  • p
    0.38099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19817
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63624
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63099
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34217
  • Upside Potential Ratio
    2.22933
  • Upside part of mean
    0.49668
  • Downside part of mean
    -0.42045
  • Upside SD
    0.25323
  • Downside SD
    0.22279
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    -0.02930
  • Mean of criterion
    0.07623
  • SD of predictor
    0.19215
  • SD of criterion
    0.34413
  • Covariance
    -0.05283
  • r
    -0.79895
  • b (slope, estimate of beta)
    -1.43090
  • a (intercept, estimate of alpha)
    0.03430
  • Mean Square Error
    0.04487
  • DF error
    21.00000
  • t(b)
    -6.08791
  • p(b)
    0.94756
  • t(a)
    0.22395
  • p(a)
    0.46894
  • Lowerbound of 95% confidence interval for beta
    -1.91970
  • Upperbound of 95% confidence interval for beta
    -0.94211
  • Lowerbound of 95% confidence interval for alpha
    -0.28422
  • Upperbound of 95% confidence interval for alpha
    0.35282
  • Treynor index (mean / b)
    -0.05328
  • Jensen alpha (a)
    0.03430
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14534
  • Expected Shortfall on VaR
    0.17954
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06631
  • Expected Shortfall on VaR
    0.12576
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.83810
  • Quartile 1
    0.93091
  • Median
    1.00764
  • Quartile 3
    1.06046
  • Maximum
    1.23671
  • Mean of quarter 1
    0.89291
  • Mean of quarter 2
    0.98577
  • Mean of quarter 3
    1.04067
  • Mean of quarter 4
    1.13921
  • Inter Quartile Range
    0.12955
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07459
  • VaR(95%) (moments method)
    0.11829
  • Expected Shortfall (moments method)
    0.15034
  • Extreme Value Index (regression method)
    0.61942
  • VaR(95%) (regression method)
    0.11706
  • Expected Shortfall (regression method)
    0.22042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.31812
  • Quartile 1
    0.31812
  • Median
    0.31812
  • Quartile 3
    0.31812
  • Maximum
    0.31812
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11526
  • Compounded annual return (geometric extrapolation)
    0.10976
  • Calmar ratio (compounded annual return / max draw down)
    0.34502
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.61130
  • 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
    -0.00500
  • SD
    0.27018
  • Sharpe ratio (Glass type estimate)
    -0.01852
  • Sharpe ratio (Hedges UMVUE)
    -0.01849
  • df
    511.00000
  • t
    -0.02588
  • p
    0.51032
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38356
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02642
  • Upside Potential Ratio
    7.34878
  • Upside part of mean
    1.39163
  • Downside part of mean
    -1.39663
  • Upside SD
    0.19234
  • Downside SD
    0.18937
  • N nonnegative terms
    227.00000
  • N negative terms
    285.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    512.00000
  • Mean of predictor
    0.03543
  • Mean of criterion
    -0.00500
  • SD of predictor
    0.19937
  • SD of criterion
    0.27018
  • Covariance
    -0.02549
  • r
    -0.47327
  • b (slope, estimate of beta)
    -0.64137
  • a (intercept, estimate of alpha)
    0.01800
  • Mean Square Error
    0.05676
  • DF error
    510.00000
  • t(b)
    -12.13280
  • p(b)
    1.00000
  • t(a)
    0.10398
  • p(a)
    0.45861
  • Lowerbound of 95% confidence interval for beta
    -0.74522
  • Upperbound of 95% confidence interval for beta
    -0.53751
  • Lowerbound of 95% confidence interval for alpha
    -0.31712
  • Upperbound of 95% confidence interval for alpha
    0.35256
  • Treynor index (mean / b)
    0.00780
  • Jensen alpha (a)
    0.01772
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04141
  • SD
    0.27013
  • Sharpe ratio (Glass type estimate)
    -0.15330
  • Sharpe ratio (Hedges UMVUE)
    -0.15308
  • df
    511.00000
  • t
    -0.21430
  • p
    0.58480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24884
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24900
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21438
  • Upside Potential Ratio
    7.11039
  • Upside part of mean
    1.37348
  • Downside part of mean
    -1.41489
  • Upside SD
    0.18847
  • Downside SD
    0.19317
  • N nonnegative terms
    227.00000
  • N negative terms
    285.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    512.00000
  • Mean of predictor
    0.01558
  • Mean of criterion
    -0.04141
  • SD of predictor
    0.19948
  • SD of criterion
    0.27013
  • Covariance
    -0.02549
  • r
    -0.47310
  • b (slope, estimate of beta)
    -0.64067
  • a (intercept, estimate of alpha)
    -0.03143
  • Mean Square Error
    0.05675
  • DF error
    510.00000
  • t(b)
    -12.12730
  • p(b)
    1.00000
  • t(a)
    -0.18444
  • p(a)
    0.57313
  • Lowerbound of 95% confidence interval for beta
    -0.74446
  • Upperbound of 95% confidence interval for beta
    -0.53688
  • Lowerbound of 95% confidence interval for alpha
    -0.36622
  • Upperbound of 95% confidence interval for alpha
    0.30336
  • Treynor index (mean / b)
    0.06464
  • Jensen alpha (a)
    -0.03143
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02723
  • Expected Shortfall on VaR
    0.03397
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01307
  • Expected Shortfall on VaR
    0.02604
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    512.00000
  • Minimum
    0.92109
  • Quartile 1
    0.99385
  • Median
    1.00000
  • Quartile 3
    1.00657
  • Maximum
    1.08679
  • Mean of quarter 1
    0.98085
  • Mean of quarter 2
    0.99806
  • Mean of quarter 3
    1.00213
  • Mean of quarter 4
    1.01931
  • Inter Quartile Range
    0.01272
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.05273
  • Mean of outliers low
    0.96103
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.05078
  • Mean of outliers high
    1.04082
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14461
  • VaR(95%) (moments method)
    0.01685
  • Expected Shortfall (moments method)
    0.02555
  • Extreme Value Index (regression method)
    -0.03593
  • VaR(95%) (regression method)
    0.01919
  • Expected Shortfall (regression method)
    0.02675
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00308
  • Quartile 1
    0.01989
  • Median
    0.03085
  • Quartile 3
    0.06580
  • Maximum
    0.44258
  • Mean of quarter 1
    0.00943
  • Mean of quarter 2
    0.02534
  • Mean of quarter 3
    0.04720
  • Mean of quarter 4
    0.20916
  • Inter Quartile Range
    0.04591
  • 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
    0.09091
  • Mean of outliers high
    0.44258
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27757
  • VaR(95%) (moments method)
    0.19896
  • Expected Shortfall (moments method)
    0.36034
  • Extreme Value Index (regression method)
    2.04587
  • VaR(95%) (regression method)
    0.51429
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01333
  • Compounded annual return (geometric extrapolation)
    -0.01341
  • Calmar ratio (compounded annual return / max draw down)
    -0.03031
  • Compounded annual return / average of 25% largest draw downs
    -0.06413
  • Compounded annual return / Expected Shortfall lognormal
    -0.39484
  • 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
    -0.40383
  • SD
    0.20175
  • Sharpe ratio (Glass type estimate)
    -2.00166
  • Sharpe ratio (Hedges UMVUE)
    -1.99009
  • df
    130.00000
  • t
    -1.41539
  • p
    0.56160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.78037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.77243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79225
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.15085
  • Upside Potential Ratio
    3.59301
  • Upside part of mean
    0.67461
  • Downside part of mean
    -1.07844
  • Upside SD
    0.07591
  • Downside SD
    0.18776
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31888
  • Mean of criterion
    -0.40383
  • SD of predictor
    0.14100
  • SD of criterion
    0.20175
  • Covariance
    -0.01439
  • r
    -0.50578
  • b (slope, estimate of beta)
    -0.72371
  • a (intercept, estimate of alpha)
    -0.17306
  • Mean Square Error
    0.03053
  • DF error
    129.00000
  • t(b)
    -6.65907
  • p(b)
    0.80768
  • t(a)
    -0.69360
  • p(a)
    0.53878
  • Lowerbound of 95% confidence interval for beta
    -0.93874
  • Upperbound of 95% confidence interval for beta
    -0.50869
  • Lowerbound of 95% confidence interval for alpha
    -0.66670
  • Upperbound of 95% confidence interval for alpha
    0.32059
  • Treynor index (mean / b)
    0.55800
  • Jensen alpha (a)
    -0.17306
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.42501
  • SD
    0.20690
  • Sharpe ratio (Glass type estimate)
    -2.05415
  • Sharpe ratio (Hedges UMVUE)
    -2.04228
  • df
    130.00000
  • t
    -1.45250
  • p
    0.56319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.83331
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73276
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.82518
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74062
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.19554
  • Upside Potential Ratio
    3.46980
  • Upside part of mean
    0.67168
  • Downside part of mean
    -1.09668
  • Upside SD
    0.07549
  • Downside SD
    0.19358
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30886
  • Mean of criterion
    -0.42501
  • SD of predictor
    0.14035
  • SD of criterion
    0.20690
  • Covariance
    -0.01462
  • r
    -0.50334
  • b (slope, estimate of beta)
    -0.74202
  • a (intercept, estimate of alpha)
    -0.19583
  • Mean Square Error
    0.03221
  • DF error
    129.00000
  • t(b)
    -6.61606
  • p(b)
    0.80634
  • t(a)
    -0.76446
  • p(a)
    0.54272
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.96392
  • Upperbound of 95% confidence interval for beta
    -0.52012
  • Lowerbound of 95% confidence interval for alpha
    -0.70266
  • Upperbound of 95% confidence interval for alpha
    0.31100
  • Treynor index (mean / b)
    0.57277
  • Jensen alpha (a)
    -0.19583
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02239
  • Expected Shortfall on VaR
    0.02759
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00899
  • Expected Shortfall on VaR
    0.01984
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92109
  • Quartile 1
    0.99643
  • Median
    1.00042
  • Quartile 3
    1.00410
  • Maximum
    1.01677
  • Mean of quarter 1
    0.98509
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00201
  • Mean of quarter 4
    1.00846
  • Inter Quartile Range
    0.00767
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.96013
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01643
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57716
  • VaR(95%) (moments method)
    0.01373
  • Expected Shortfall (moments method)
    0.03669
  • Extreme Value Index (regression method)
    0.60879
  • VaR(95%) (regression method)
    0.01206
  • Expected Shortfall (regression method)
    0.03304
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00551
  • Quartile 1
    0.02186
  • Median
    0.03821
  • Quartile 3
    0.15991
  • Maximum
    0.28160
  • Mean of quarter 1
    0.00551
  • Mean of quarter 2
    0.03821
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28160
  • Inter Quartile Range
    0.13805
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -521987000
  • Max Equity Drawdown (num days)
    648
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.36016
  • Compounded annual return (geometric extrapolation)
    -0.32773
  • Calmar ratio (compounded annual return / max draw down)
    -1.16382
  • Compounded annual return / average of 25% largest draw downs
    -1.16382
  • Compounded annual return / Expected Shortfall lognormal
    -11.87890

Strategy Description

This strategy is a quantitative strategy based on my own proprietary M.A.S.T.E.R. (Market Amplitude and Short Term Extreme Readings) indicator. It is primarily a trend-following strategy that seeks to profit on short term positive and negative trends. This strategy will also seek to capitalize on short term reversal opportunities when markets are extremely oversold or extremely overbought. When my indicator goes positive or when markets are extremely oversold, this strategy will buy SSO. When my indicator goes negative or when markets are extremely overbought, this strategy will buy SDS. This strategy is fairly active and may trade as often as daily. However, there can be long periods of time with no trading activity if there is no change to our indicators. Sometimes the strategy will hold cash at certain indicator readings. Typical activity is 1-3 trades per month. Learn more about me at www.wurzfinancialservices.com

Summary Statistics

Strategy began
2021-12-29
Suggested Minimum Capital
$15,000
# Trades
21
# Profitable
12
% Profitable
57.1%
Net Dividends
Correlation S&P500
-0.475
Sharpe Ratio
-0.05
Sortino Ratio
-0.08
Beta
-0.63
Alpha
0.00
Leverage
1.75 Average
3.05 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.