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Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

4Timing Machine Learning
(97088697)

Created by: Timing Timing
Started: 09/2015
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 $50.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
4.8%
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.

(18.1%)
Max Drawdown
4141
Num Trades
54.9%
Win Trades
1.3 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                        (3.3%)+2.5%+1.6%+0.2%+0.9%
2016(4.2%)(0.1%)+3.7%(3.6%)(1%)(8.7%)+0.5%+0.7%+1.1%  -  +1.1%(0.8%)(11.4%)
2017+1.5%+0.5%+1.0%+0.1%+1.2%+1.3%+1.5%(0.3%)+0.2%+2.5%+1.1%+0.6%+12.0%
2018+1.6%(2.3%)(1.6%)+0.8%+0.4%+0.2%+0.4%+1.2%(0.3%)(4%)+0.6%  -  (3.1%)
2019  -    -    -  (0.1%)(2%)+2.5%(0.5%)+0.6%+1.1%  -  +2.2%+1.5%+5.3%
2020(1.4%)+1.7%  -  +0.9%+2.8%+1.9%+0.2%+0.5%+0.3%(0.6%)+3.0%+0.8%+10.5%
2021+0.1%+1.1%+5.9%+1.5%+1.1%+0.5%+4.9%+1.6%(3.3%)+2.1%(0.3%)+2.0%+18.2%
2022(1.7%)(0.9%)+0.7%(1%)(0.4%)(4.3%)+3.8%(1.7%)(1.1%)+1.2%+4.6%+0.4%(0.8%)
2023+1.7%(0.7%)+1.0%+0.9%(1.7%)+1.4%+1.0%(1.6%)(4.6%)(3.5%)+5.4%+2.8%+1.8%
2024+1.8%+1.4%+1.2%(3.3%)+2.4%(0.4%)+4.1%+1.5%+0.8%(1.3%)+8.3%(2.1%)+15.0%

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 48 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/4/24 9:30 BRK.B BERKSHIRE HATHAWAY CL B LONG 7 455.01 12/19 9:32 451.73 0.11%
Trade id #149577324
Max drawdown($119)
Time11/4/24 0:00
Quant open7
Worst price437.90
Drawdown as % of equity-0.11%
 ($23)
Includes Typical Broker Commissions trade costs of $0.14
12/13/24 9:30 NEE NEXTERA ENERGY LONG 36 73.05 12/19 9:30 70.52 0.09%
Trade id #150318074
Max drawdown($96)
Time12/19/24 9:30
Quant open36
Worst price70.38
Drawdown as % of equity-0.09%
 ($92)
Includes Typical Broker Commissions trade costs of $0.72
11/21/24 9:30 BAC BANK OF AMERICA CORPORATION LONG 58 46.39 12/19 9:30 43.97 0.16%
Trade id #150140901
Max drawdown($176)
Time12/18/24 0:00
Quant open58
Worst price43.35
Drawdown as % of equity-0.16%
 ($141)
Includes Typical Broker Commissions trade costs of $1.16
12/17/24 9:30 VZ VERIZON COMMUNICATIONS LONG 62 40.66 12/19 9:30 40.05 0.04%
Trade id #150342314
Max drawdown($45)
Time12/19/24 9:30
Quant open62
Worst price39.93
Drawdown as % of equity-0.04%
 ($39)
Includes Typical Broker Commissions trade costs of $1.24
12/5/24 10:17 JPM JPMORGAN CHASE LONG 12 246.22 12/19 9:30 232.27 0.18%
Trade id #150251463
Max drawdown($200)
Time12/18/24 0:00
Quant open12
Worst price229.53
Drawdown as % of equity-0.18%
 ($167)
Includes Typical Broker Commissions trade costs of $0.24
10/9/24 9:30 CAT CATERPILLAR LONG 8 388.35 12/19 9:30 372.21 0.16%
Trade id #149615399
Max drawdown($177)
Time12/18/24 0:00
Quant open7
Worst price363.03
Drawdown as % of equity-0.16%
 ($129)
Includes Typical Broker Commissions trade costs of $0.16
12/5/24 9:30 MO ALTRIA LONG 50 56.65 12/18 9:30 54.02 0.12%
Trade id #150250485
Max drawdown($137)
Time12/18/24 9:30
Quant open50
Worst price53.90
Drawdown as % of equity-0.12%
 ($133)
Includes Typical Broker Commissions trade costs of $1.00
12/10/24 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 14 234.84 12/17 9:30 229.32 0.08%
Trade id #150288122
Max drawdown($88)
Time12/17/24 9:30
Quant open14
Worst price228.51
Drawdown as % of equity-0.08%
 ($77)
Includes Typical Broker Commissions trade costs of $0.28
11/21/24 9:30 HON HONEYWELL INTERNATIONAL LONG 11 228.00 12/17 9:30 238.16 0.05%
Trade id #150140947
Max drawdown($53)
Time12/3/24 0:00
Quant open11
Worst price223.16
Drawdown as % of equity-0.05%
 $112
Includes Typical Broker Commissions trade costs of $0.22
10/24/24 9:30 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 15 174.26 12/16 9:30 231.79 0.22%
Trade id #149816765
Max drawdown($250)
Time11/27/24 0:00
Quant open15
Worst price157.54
Drawdown as % of equity-0.22%
 $863
Includes Typical Broker Commissions trade costs of $0.30
7/17/24 9:30 LIN LINDE PLC LONG 5 447.10 12/16 9:30 435.72 0.06%
Trade id #148668898
Max drawdown($71)
Time12/13/24 0:00
Quant open5
Worst price432.75
Drawdown as % of equity-0.06%
 ($57)
Includes Typical Broker Commissions trade costs of $0.10
12/4/24 9:30 MET METLIFE LONG 29 85.52 12/12 9:30 82.50 0.14%
Trade id #150240705
Max drawdown($160)
Time12/11/24 0:00
Quant open29
Worst price79.97
Drawdown as % of equity-0.14%
 ($89)
Includes Typical Broker Commissions trade costs of $0.58
12/10/24 9:30 CHTR CHARTER COMMUNICATIONS LONG 7 368.79 12/11 9:30 378.00 0.01%
Trade id #150288137
Max drawdown($15)
Time12/10/24 9:34
Quant open7
Worst price366.53
Drawdown as % of equity-0.01%
 $64
Includes Typical Broker Commissions trade costs of $0.14
11/20/24 9:30 CMCSA COMCAST LONG 70 42.75 12/10 9:30 39.07 0.23%
Trade id #150130813
Max drawdown($257)
Time12/10/24 9:30
Quant open70
Worst price39.07
Drawdown as % of equity-0.23%
 ($259)
Includes Typical Broker Commissions trade costs of $1.40
11/27/24 9:30 DUK DUKE ENERGY LONG 24 117.68 12/9 9:30 111.71 0.13%
Trade id #150193351
Max drawdown($143)
Time12/9/24 9:30
Quant open24
Worst price111.71
Drawdown as % of equity-0.13%
 ($143)
Includes Typical Broker Commissions trade costs of $0.48
11/22/24 9:30 XOM EXXON MOBIL LONG 20 121.82 12/5 9:30 114.71 0.14%
Trade id #150152069
Max drawdown($159)
Time12/4/24 0:00
Quant open20
Worst price113.86
Drawdown as % of equity-0.14%
 ($142)
Includes Typical Broker Commissions trade costs of $0.40
11/27/24 9:30 SO SOUTHERN LONG 28 89.68 12/4 9:30 86.17 0.09%
Trade id #150193342
Max drawdown($101)
Time12/4/24 9:30
Quant open28
Worst price86.05
Drawdown as % of equity-0.09%
 ($99)
Includes Typical Broker Commissions trade costs of $0.56
10/22/24 9:30 BLK BLACKROCK LONG 2 997.11 12/4 9:30 1038.00 0.05%
Trade id #149782621
Max drawdown($56)
Time10/25/24 0:00
Quant open2
Worst price968.95
Drawdown as % of equity-0.05%
 $82
Includes Typical Broker Commissions trade costs of $0.04
10/22/24 9:30 AIG AMERICAN INTERNATIONAL LONG 32 76.81 12/4 9:30 75.19 0.08%
Trade id #149782616
Max drawdown($84)
Time11/5/24 0:00
Quant open32
Worst price74.18
Drawdown as % of equity-0.08%
 ($53)
Includes Typical Broker Commissions trade costs of $0.64
11/19/24 9:30 CHTR CHARTER COMMUNICATIONS LONG 8 380.00 12/2 9:30 395.95 n/a $128
Includes Typical Broker Commissions trade costs of $0.16
11/15/24 9:30 GOOGL ALPHABET INC CLASS A LONG 15 173.73 11/27 9:30 169.00 0.13%
Trade id #150094755
Max drawdown($150)
Time11/21/24 0:00
Quant open15
Worst price163.70
Drawdown as % of equity-0.13%
 ($71)
Includes Typical Broker Commissions trade costs of $0.30
11/18/24 9:30 GILD GILEAD SCIENCES LONG 37 88.39 11/27 9:30 91.44 0.08%
Trade id #150109960
Max drawdown($85)
Time11/19/24 0:00
Quant open37
Worst price86.08
Drawdown as % of equity-0.08%
 $112
Includes Typical Broker Commissions trade costs of $0.74
11/15/24 9:30 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 1 4970.00 11/26 9:30 5110.00 0.06%
Trade id #150094750
Max drawdown($62)
Time11/20/24 0:00
Quant open1
Worst price4907.03
Drawdown as % of equity-0.06%
 $140
Includes Typical Broker Commissions trade costs of $0.02
11/15/24 9:30 UNH UNITEDHEALTH GROUP LONG 4 591.92 11/26 9:30 608.24 0.05%
Trade id #150094685
Max drawdown($60)
Time11/19/24 0:00
Quant open4
Worst price576.77
Drawdown as % of equity-0.05%
 $65
Includes Typical Broker Commissions trade costs of $0.08
11/20/24 9:30 COF CAPITAL ONE FINANCIAL LONG 18 181.32 11/25 9:30 188.59 0.02%
Trade id #150130790
Max drawdown($24)
Time11/20/24 14:10
Quant open18
Worst price179.95
Drawdown as % of equity-0.02%
 $131
Includes Typical Broker Commissions trade costs of $0.36
11/20/24 9:30 TMUS T-MOBILE US INC. COMMON STOCK LONG 12 233.20 11/25 9:30 239.34 n/a $74
Includes Typical Broker Commissions trade costs of $0.24
11/15/24 9:30 TSLA TESLA INC. LONG 8 310.57 11/25 9:30 360.14 0.01%
Trade id #150094762
Max drawdown($10)
Time11/15/24 9:39
Quant open8
Worst price309.22
Drawdown as % of equity-0.01%
 $397
Includes Typical Broker Commissions trade costs of $0.16
11/19/24 9:30 CRM SALESFORCE INC LONG 10 319.00 11/22 9:30 338.95 0.02%
Trade id #150121347
Max drawdown($19)
Time11/19/24 9:34
Quant open10
Worst price317.09
Drawdown as % of equity-0.02%
 $200
Includes Typical Broker Commissions trade costs of $0.20
7/11/24 12:07 JNJ JOHNSON & JOHNSON LONG 15 150.09 11/19 9:30 153.94 0.02%
Trade id #148624830
Max drawdown($18)
Time7/15/24 0:00
Quant open15
Worst price148.87
Drawdown as % of equity-0.02%
 $58
Includes Typical Broker Commissions trade costs of $0.30
10/4/24 9:30 MO ALTRIA LONG 58 49.70 11/19 9:30 56.29 0.04%
Trade id #149577322
Max drawdown($47)
Time10/18/24 0:00
Quant open57
Worst price48.86
Drawdown as % of equity-0.04%
 $381
Includes Typical Broker Commissions trade costs of $1.16
Next

Statistics

  • Strategy began
    9/8/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3392.19
  • Age
    113 months ago
  • What it trades
    Stocks
  • # Trades
    4141
  • # Profitable
    2272
  • % Profitable
    54.90%
  • Avg trade duration
    11.7 days
  • Max peak-to-valley drawdown
    18.08%
  • drawdown period
    July 27, 2023 - Oct 17, 2023
  • Annual Return (Compounded)
    4.8%
  • Avg win
    $74.12
  • Avg loss
    $69.58
  • Model Account Values (Raw)
  • Cash
    $47,312
  • Margin Used
    $1,600
  • Buying Power
    $46,124
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.37
  • Sortino Ratio
    0.52
  • Calmar Ratio
    0.39
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -146.36%
  • Correlation to SP500
    0.37790
  • Return Percent SP500 (cumu) during strategy life
    201.15%
  • Return Statistics
  • Ann Return (w trading costs)
    4.8%
  • Slump
  • Current Slump as Pcnt Equity
    2.20%
  • Instruments
  • Percent Trades Futures
    0.04%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.048%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.95%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.00%
  • Chance of 20% account loss
    20.50%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    746
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    464
  • Popularity (7 days, Percentile 1000 scale)
    485
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $70
  • Avg Win
    $74
  • Sum Trade PL (losers)
    $130,048.000
  • Age
  • Num Months filled monthly returns table
    112
  • Win / Loss
  • Sum Trade PL (winners)
    $168,397.000
  • # Winners
    2272
  • Num Months Winners
    71
  • Dividends
  • Dividends Received in Model Acct
    6728
  • Win / Loss
  • # Losers
    1869
  • % Winners
    54.9%
  • Frequency
  • Avg Position Time (mins)
    16847.40
  • Avg Position Time (hrs)
    280.79
  • Avg Trade Length
    11.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.52
  • Daily leverage (max)
    2.10
  • Regression
  • Alpha
    0.00
  • Beta
    0.14
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    64.22
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    73.55
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.34
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.678
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.241
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.830
  • Hold-and-Hope Ratio
    0.168
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02669
  • SD
    0.07341
  • Sharpe ratio (Glass type estimate)
    0.36359
  • Sharpe ratio (Hedges UMVUE)
    0.36108
  • df
    109.00000
  • t
    1.10082
  • p
    0.43337
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01191
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28805
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01021
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52344
  • Upside Potential Ratio
    2.05467
  • Upside part of mean
    0.10477
  • Downside part of mean
    -0.07808
  • Upside SD
    0.05291
  • Downside SD
    0.05099
  • N nonnegative terms
    68.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.10405
  • Mean of criterion
    0.02669
  • SD of predictor
    0.15740
  • SD of criterion
    0.07341
  • Covariance
    0.00603
  • r
    0.52221
  • b (slope, estimate of beta)
    0.24357
  • a (intercept, estimate of alpha)
    0.00135
  • Mean Square Error
    0.00396
  • DF error
    108.00000
  • t(b)
    6.36362
  • p(b)
    0.23889
  • t(a)
    0.06375
  • p(a)
    0.49693
  • Lowerbound of 95% confidence interval for beta
    0.16770
  • Upperbound of 95% confidence interval for beta
    0.31944
  • Lowerbound of 95% confidence interval for alpha
    -0.04058
  • Upperbound of 95% confidence interval for alpha
    0.04328
  • Treynor index (mean / b)
    0.10959
  • Jensen alpha (a)
    0.00135
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02394
  • SD
    0.07341
  • Sharpe ratio (Glass type estimate)
    0.32607
  • Sharpe ratio (Hedges UMVUE)
    0.32382
  • df
    109.00000
  • t
    0.98723
  • p
    0.44016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97413
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97260
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46031
  • Upside Potential Ratio
    1.98385
  • Upside part of mean
    0.10317
  • Downside part of mean
    -0.07923
  • Upside SD
    0.05181
  • Downside SD
    0.05201
  • N nonnegative terms
    68.00000
  • N negative terms
    42.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    0.09118
  • Mean of criterion
    0.02394
  • SD of predictor
    0.15743
  • SD of criterion
    0.07341
  • Covariance
    0.00596
  • r
    0.51568
  • b (slope, estimate of beta)
    0.24048
  • a (intercept, estimate of alpha)
    0.00201
  • Mean Square Error
    0.00399
  • DF error
    108.00000
  • t(b)
    6.25497
  • p(b)
    0.24216
  • t(a)
    0.09505
  • p(a)
    0.49543
  • Lowerbound of 95% confidence interval for beta
    0.16427
  • Upperbound of 95% confidence interval for beta
    0.31669
  • Lowerbound of 95% confidence interval for alpha
    -0.03994
  • Upperbound of 95% confidence interval for alpha
    0.04396
  • Treynor index (mean / b)
    0.09954
  • Jensen alpha (a)
    0.00201
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03233
  • Expected Shortfall on VaR
    0.04083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01238
  • Expected Shortfall on VaR
    0.02643
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    110.00000
  • Minimum
    0.94041
  • Quartile 1
    0.99725
  • Median
    1.00633
  • Quartile 3
    1.01401
  • Maximum
    1.07067
  • Mean of quarter 1
    0.97807
  • Mean of quarter 2
    1.00195
  • Mean of quarter 3
    1.00989
  • Mean of quarter 4
    1.02840
  • Inter Quartile Range
    0.01677
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.08182
  • Mean of outliers low
    0.95657
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.05455
  • Mean of outliers high
    1.04948
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.74309
  • VaR(95%) (moments method)
    0.01112
  • Expected Shortfall (moments method)
    0.01269
  • Extreme Value Index (regression method)
    -0.36730
  • VaR(95%) (regression method)
    0.02436
  • Expected Shortfall (regression method)
    0.03150
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00264
  • Quartile 1
    0.01046
  • Median
    0.01909
  • Quartile 3
    0.05590
  • Maximum
    0.12990
  • Mean of quarter 1
    0.00572
  • Mean of quarter 2
    0.01445
  • Mean of quarter 3
    0.04992
  • Mean of quarter 4
    0.09580
  • Inter Quartile Range
    0.04544
  • 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
    0.07692
  • Mean of outliers high
    0.12990
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.28457
  • VaR(95%) (moments method)
    0.09942
  • Expected Shortfall (moments method)
    0.10341
  • Extreme Value Index (regression method)
    0.05797
  • VaR(95%) (regression method)
    0.11066
  • Expected Shortfall (regression method)
    0.14573
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06637
  • Compounded annual return (geometric extrapolation)
    0.05321
  • Calmar ratio (compounded annual return / max draw down)
    0.40965
  • Compounded annual return / average of 25% largest draw downs
    0.55547
  • Compounded annual return / Expected Shortfall lognormal
    1.30321
  • 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
    0.02693
  • SD
    0.06709
  • Sharpe ratio (Glass type estimate)
    0.40134
  • Sharpe ratio (Hedges UMVUE)
    0.40122
  • df
    2402.00000
  • t
    1.21546
  • p
    0.11216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04859
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04849
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55942
  • Upside Potential Ratio
    6.51557
  • Upside part of mean
    0.31362
  • Downside part of mean
    -0.28670
  • Upside SD
    0.04675
  • Downside SD
    0.04813
  • N nonnegative terms
    1182.00000
  • N negative terms
    1221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2403.00000
  • Mean of predictor
    0.10874
  • Mean of criterion
    0.02693
  • SD of predictor
    0.18084
  • SD of criterion
    0.06709
  • Covariance
    0.00467
  • r
    0.38515
  • b (slope, estimate of beta)
    0.14289
  • a (intercept, estimate of alpha)
    0.01100
  • Mean Square Error
    0.00384
  • DF error
    2401.00000
  • t(b)
    20.45000
  • p(b)
    -0.00000
  • t(a)
    0.55656
  • p(a)
    0.28894
  • Lowerbound of 95% confidence interval for beta
    0.12919
  • Upperbound of 95% confidence interval for beta
    0.15660
  • Lowerbound of 95% confidence interval for alpha
    -0.02874
  • Upperbound of 95% confidence interval for alpha
    0.05152
  • Treynor index (mean / b)
    0.18845
  • Jensen alpha (a)
    0.01139
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02467
  • SD
    0.06717
  • Sharpe ratio (Glass type estimate)
    0.36728
  • Sharpe ratio (Hedges UMVUE)
    0.36716
  • df
    2402.00000
  • t
    1.11230
  • p
    0.13306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28001
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01442
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50797
  • Upside Potential Ratio
    6.43468
  • Upside part of mean
    0.31251
  • Downside part of mean
    -0.28784
  • Upside SD
    0.04641
  • Downside SD
    0.04857
  • N nonnegative terms
    1182.00000
  • N negative terms
    1221.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2403.00000
  • Mean of predictor
    0.09229
  • Mean of criterion
    0.02467
  • SD of predictor
    0.18150
  • SD of criterion
    0.06717
  • Covariance
    0.00469
  • r
    0.38458
  • b (slope, estimate of beta)
    0.14233
  • a (intercept, estimate of alpha)
    0.01153
  • Mean Square Error
    0.00385
  • DF error
    2401.00000
  • t(b)
    20.41420
  • p(b)
    -0.00000
  • t(a)
    0.56300
  • p(a)
    0.28674
  • Lowerbound of 95% confidence interval for beta
    0.12865
  • Upperbound of 95% confidence interval for beta
    0.15600
  • Lowerbound of 95% confidence interval for alpha
    -0.02864
  • Upperbound of 95% confidence interval for alpha
    0.05171
  • Treynor index (mean / b)
    0.17334
  • Jensen alpha (a)
    0.01153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00671
  • Expected Shortfall on VaR
    0.00843
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00249
  • Expected Shortfall on VaR
    0.00540
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2403.00000
  • Minimum
    0.95271
  • Quartile 1
    0.99908
  • Median
    1.00008
  • Quartile 3
    1.00146
  • Maximum
    1.03728
  • Mean of quarter 1
    0.99609
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00067
  • Mean of quarter 4
    1.00433
  • Inter Quartile Range
    0.00237
  • Number outliers low
    160.00000
  • Percentage of outliers low
    0.06658
  • Mean of outliers low
    0.99112
  • Number of outliers high
    150.00000
  • Percentage of outliers high
    0.06242
  • Mean of outliers high
    1.00906
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56797
  • VaR(95%) (moments method)
    0.00368
  • Expected Shortfall (moments method)
    0.00967
  • Extreme Value Index (regression method)
    0.34181
  • VaR(95%) (regression method)
    0.00341
  • Expected Shortfall (regression method)
    0.00643
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    92.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00105
  • Median
    0.00308
  • Quartile 3
    0.00962
  • Maximum
    0.13825
  • Mean of quarter 1
    0.00049
  • Mean of quarter 2
    0.00174
  • Mean of quarter 3
    0.00564
  • Mean of quarter 4
    0.03765
  • Inter Quartile Range
    0.00856
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.13043
  • Mean of outliers high
    0.05922
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.60992
  • VaR(95%) (moments method)
    0.03770
  • Expected Shortfall (moments method)
    0.10791
  • Extreme Value Index (regression method)
    0.49206
  • VaR(95%) (regression method)
    0.04230
  • Expected Shortfall (regression method)
    0.09960
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06756
  • Compounded annual return (geometric extrapolation)
    0.05398
  • Calmar ratio (compounded annual return / max draw down)
    0.39047
  • Compounded annual return / average of 25% largest draw downs
    1.43381
  • Compounded annual return / Expected Shortfall lognormal
    6.40471
  • 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
    0.18508
  • SD
    0.09972
  • Sharpe ratio (Glass type estimate)
    1.85604
  • Sharpe ratio (Hedges UMVUE)
    1.84531
  • df
    130.00000
  • t
    1.31242
  • p
    0.44282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92844
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63350
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62618
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88977
  • Upside Potential Ratio
    9.08938
  • Upside part of mean
    0.58215
  • Downside part of mean
    -0.39707
  • Upside SD
    0.07679
  • Downside SD
    0.06405
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    0.18508
  • SD of predictor
    0.14146
  • SD of criterion
    0.09972
  • Covariance
    0.00766
  • r
    0.54292
  • b (slope, estimate of beta)
    0.38272
  • a (intercept, estimate of alpha)
    0.13046
  • Mean Square Error
    0.00707
  • DF error
    129.00000
  • t(b)
    7.34289
  • p(b)
    0.17219
  • t(a)
    1.09519
  • p(a)
    0.43899
  • Lowerbound of 95% confidence interval for beta
    0.27960
  • Upperbound of 95% confidence interval for beta
    0.48585
  • Lowerbound of 95% confidence interval for alpha
    -0.10522
  • Upperbound of 95% confidence interval for alpha
    0.36614
  • Treynor index (mean / b)
    0.48359
  • Jensen alpha (a)
    0.13046
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18008
  • SD
    0.09957
  • Sharpe ratio (Glass type estimate)
    1.80855
  • Sharpe ratio (Hedges UMVUE)
    1.79809
  • df
    130.00000
  • t
    1.27884
  • p
    0.44427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58567
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98232
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57850
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78097
  • Upside Potential Ratio
    8.94451
  • Upside part of mean
    0.57918
  • Downside part of mean
    -0.39911
  • Upside SD
    0.07596
  • Downside SD
    0.06475
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    0.18008
  • SD of predictor
    0.14181
  • SD of criterion
    0.09957
  • Covariance
    0.00768
  • r
    0.54395
  • b (slope, estimate of beta)
    0.38193
  • a (intercept, estimate of alpha)
    0.12939
  • Mean Square Error
    0.00703
  • DF error
    129.00000
  • t(b)
    7.36259
  • p(b)
    0.17164
  • t(a)
    1.08900
  • p(a)
    0.43933
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    0.27929
  • Upperbound of 95% confidence interval for beta
    0.48456
  • Lowerbound of 95% confidence interval for alpha
    -0.10569
  • Upperbound of 95% confidence interval for alpha
    0.36447
  • Treynor index (mean / b)
    0.47149
  • Jensen alpha (a)
    0.12939
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00939
  • Expected Shortfall on VaR
    0.01193
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00299
  • Expected Shortfall on VaR
    0.00662
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96723
  • Quartile 1
    0.99833
  • Median
    1.00080
  • Quartile 3
    1.00320
  • Maximum
    1.03728
  • Mean of quarter 1
    0.99476
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00179
  • Mean of quarter 4
    1.00716
  • Inter Quartile Range
    0.00488
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98027
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01926
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48142
  • VaR(95%) (moments method)
    0.00519
  • Expected Shortfall (moments method)
    0.01131
  • Extreme Value Index (regression method)
    0.64143
  • VaR(95%) (regression method)
    0.00492
  • Expected Shortfall (regression method)
    0.01393
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00109
  • Quartile 1
    0.00244
  • Median
    0.00848
  • Quartile 3
    0.02232
  • Maximum
    0.04696
  • Mean of quarter 1
    0.00137
  • Mean of quarter 2
    0.00532
  • Mean of quarter 3
    0.01264
  • Mean of quarter 4
    0.03654
  • Inter Quartile Range
    0.01988
  • 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)
    -0.53740
  • VaR(95%) (moments method)
    0.04171
  • Expected Shortfall (moments method)
    0.04594
  • Extreme Value Index (regression method)
    1.01365
  • VaR(95%) (regression method)
    0.04813
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -357570000
  • Max Equity Drawdown (num days)
    82
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21918
  • Compounded annual return (geometric extrapolation)
    0.23119
  • Calmar ratio (compounded annual return / max draw down)
    4.92364
  • Compounded annual return / average of 25% largest draw downs
    6.32672
  • Compounded annual return / Expected Shortfall lognormal
    19.38400

Strategy Description

From 07-2016 4Timing Machine Learning use a pattern recognition model based on a machine learning algorithm to predict all types of price movements.
The model is 100% systematic and trained on multiple financial markets and thousands of past events.

In the case of exceptional events (as was the case during the covid 19 period) the model goes into suspension.
Suspension is established through a statistical model that measures the exceptional nature of the event and is applied systematically and without discretionary intervention.

When a price rise forecast is produced, a buy order is generated and the size is weighted for historical volatility and the strength of the prediction.
The strategy has a stoploss based on voaltility which once touched closes the position which will be reopened only when there will be a new bullish forecast. We do not employ martingale strategies that increase the position in the case of a loss

All orders are long only and are generated before the opening (2/3 hours) and are at market at the opening price.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-09-08
Suggested Minimum Capital
$100,000
# Trades
4141
# Profitable
2272
% Profitable
54.9%
Net Dividends
$6,728
Correlation S&P500
0.378
Sharpe Ratio
0.37
Sortino Ratio
0.52
Beta
0.14
Alpha
0.00
Leverage
0.52 Average
2.10 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.