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

extreme-os
(13202557)

Created by: UyenLe UyenLe
Started: 02/2005
Stocks
Last trade: 5 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 $100.00 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).
28.7%
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.

(62.9%)
Max Drawdown
3950
Num Trades
72.2%
Win Trades
1.4 : 1
Profit Factor
70.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005       (0.1%)+21.1%+3.3%+7.2%+0.6%+12.7%+6.2%+6.2%+16.2%+2.0%+11.0%+125.3%
2006+11.1%+4.3%+16.5%+2.9%+12.2%+0.4%+13.3%+9.1%+3.2%+3.1%+4.8%+4.5%+125.2%
2007+10.7%+2.0%+0.7%(5.2%)+12.0%(5.3%)+2.8%+4.0%+4.4%+15.4%(9.6%)+12.4%+50.0%
2008+13.3%+14.0%(12.5%)+8.5%+10.5%(0.3%)+15.1%+8.3%+14.6%(29.5%)(18.5%)+6.3%+17.9%
2009(11.8%)(15.2%)(6.9%)+13.3%+6.6%(1.7%)+8.9%+0.8%(3.3%)+0.8%+4.4%+4.5%(3.6%)
2010(10.4%)+15.7%+6.7%+4.3%+12.7%(1.6%)+10.7%(12%)+5.8%+6.6%(0.5%)+9.8%+53.4%
2011+1.2%+2.0%+7.5%+5.5%+14.0%+0.1%+3.9%(21%)(16.3%)+5.2%(6.4%)+5.8%(4.5%)
2012+2.6%+3.2%+2.4%(3.8%)(12%)+17.6%+2.3%(1.7%)+7.3%+3.1%+5.1%+2.7%+29.7%
2013(0.4%)+5.5%+4.5%+6.4%(1.6%)+6.2%+4.0%+7.6%(0.9%)+1.3%+5.2%+1.9%+47.1%
2014+0.6%+4.7%+7.3%+2.1%+7.1%+0.7%(3.4%)+5.8%(1.9%)+2.5%(0.7%)(2.3%)+24.3%
2015+0.6%+5.0%+4.1%+1.4%(1.6%)(7.3%)+1.3%(0.4%)(8.3%)+10.1%+6.1%(8.4%)+0.6%
2016(6.2%)+0.1%+4.2%+2.5%(0.2%)+2.0%+2.9%(3.8%)+4.5%(1%)+5.6%(5.3%)+4.7%
2017+1.3%(1.1%)(3.3%)+0.2%(1.1%)+7.3%(1.1%)+2.1%+7.3%(0.7%)+2.4%(0.1%)+13.3%
2018(0.2%)(11.7%)+16.2%+0.6%+9.3%+2.8%+4.9%+5.1%+3.0%(13.3%)+6.4%(6.3%)+13.7%
2019+7.5%(0.9%)+0.1%+2.4%(5.3%)+8.1%+1.5%+0.9%(0.3%)+0.4%(0.8%)+0.9%+14.6%
2020+0.1%+3.1%(11.6%)+8.7%+2.7%                                          +1.8%

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 96 hours.

Trading Record

This strategy has placed 5,523 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/6/20 12:03 CINF CINCINNATI FINANCIAL CORP LONG 800 54.80 5/20 13:50 53.98 1.67%
Trade id #128892894
Max drawdown($6,984)
Time5/14/20 0:00
Quant open800
Worst price46.07
Drawdown as % of equity-1.67%
($661)
Includes Typical Broker Commissions trade costs of $5.00
5/4/20 15:46 LUV SOUTHWEST AIRLINES LONG 2,000 27.71 5/19 11:58 28.34 2.51%
Trade id #128861331
Max drawdown($10,490)
Time5/14/20 0:00
Quant open2,000
Worst price22.46
Drawdown as % of equity-2.51%
$1,255
Includes Typical Broker Commissions trade costs of $5.00
5/4/20 10:20 PLAY DAVE & BUSTERS ENTERTAINMENT LONG 5,000 11.34 5/18 13:12 11.47 3.48%
Trade id #128855749
Max drawdown($14,545)
Time5/14/20 0:00
Quant open5,000
Worst price8.43
Drawdown as % of equity-3.48%
$650
Includes Typical Broker Commissions trade costs of $5.00
5/13/20 11:13 BCO BRINK'S COMPANY LONG 1,400 33.77 5/14 14:07 34.37 0.16%
Trade id #129001792
Max drawdown($658)
Time5/14/20 0:00
Quant open1,400
Worst price33.30
Drawdown as % of equity-0.16%
$835
Includes Typical Broker Commissions trade costs of $5.00
5/4/20 9:44 DAL DELTA AIR LINES LONG 2,000 21.57 5/4 10:19 22.49 n/a $1,825
Includes Typical Broker Commissions trade costs of $5.00
4/9/20 15:49 OXY OCCIDENTAL PETROLEUM LONG 2,500 15.25 4/29 9:50 16.26 2.14%
Trade id #128503271
Max drawdown($9,375)
Time4/21/20 0:00
Quant open2,500
Worst price11.50
Drawdown as % of equity-2.14%
$2,520
Includes Typical Broker Commissions trade costs of $5.00
4/28/20 12:23 ARCH ARCH RESOURCES INC LONG 1,000 24.77 4/29 9:50 27.36 0.1%
Trade id #128772465
Max drawdown($441)
Time4/28/20 15:18
Quant open1,000
Worst price24.33
Drawdown as % of equity-0.10%
$2,585
Includes Typical Broker Commissions trade costs of $5.00
4/27/20 15:50 PENN PENN NATIONAL GAMING LONG 1,800 15.44 4/28 10:22 15.82 0.23%
Trade id #128758757
Max drawdown($1,036)
Time4/28/20 0:00
Quant open1,800
Worst price14.86
Drawdown as % of equity-0.23%
$691
Includes Typical Broker Commissions trade costs of $5.00
4/24/20 13:52 SPG SIMON PROPERTY GROUP LONG 600 51.07 4/27 13:33 57.55 0.02%
Trade id #128731524
Max drawdown($102)
Time4/24/20 13:55
Quant open600
Worst price50.90
Drawdown as % of equity-0.02%
$3,883
Includes Typical Broker Commissions trade costs of $5.00
4/9/20 15:52 ERI ELDORADO RESORTS INC. COMMON LONG 1,500 18.01 4/27 13:33 20.35 1.16%
Trade id #128503323
Max drawdown($5,085)
Time4/16/20 0:00
Quant open1,500
Worst price14.62
Drawdown as % of equity-1.16%
$3,505
Includes Typical Broker Commissions trade costs of $5.00
4/14/20 15:41 RTX RAYTHEON TECHNOLOGIES CORP LONG 800 64.82 4/21 15:51 62.69 0.64%
Trade id #128562771
Max drawdown($2,872)
Time4/15/20 0:00
Quant open800
Worst price61.23
Drawdown as % of equity-0.64%
($1,709)
Includes Typical Broker Commissions trade costs of $5.00
4/8/20 15:02 PLAY DAVE & BUSTERS ENTERTAINMENT LONG 3,000 12.95 4/9 9:54 14.99 0.25%
Trade id #128480454
Max drawdown($1,101)
Time4/8/20 15:41
Quant open3,000
Worst price12.58
Drawdown as % of equity-0.25%
$6,124
Includes Typical Broker Commissions trade costs of $5.00
4/7/20 11:29 WD WALKER & DUNLOP LONG 1,600 32.00 4/7 12:41 32.86 0.24%
Trade id #128454742
Max drawdown($1,056)
Time4/7/20 11:33
Quant open1,600
Worst price31.34
Drawdown as % of equity-0.24%
$1,371
Includes Typical Broker Commissions trade costs of $5.00
4/3/20 9:42 OXY OCCIDENTAL PETROLEUM LONG 2,000 13.66 4/7 10:34 14.61 1.03%
Trade id #128403926
Max drawdown($4,300)
Time4/3/20 12:13
Quant open2,000
Worst price11.51
Drawdown as % of equity-1.03%
$1,895
Includes Typical Broker Commissions trade costs of $5.00
4/2/20 15:57 MAR MARRIOT INTERNATIONAL CLASS A LONG 600 62.43 4/6 9:39 66.33 0.77%
Trade id #128391910
Max drawdown($3,258)
Time4/3/20 0:00
Quant open600
Worst price57.00
Drawdown as % of equity-0.77%
$2,335
Includes Typical Broker Commissions trade costs of $5.00
4/3/20 9:36 SHAK SHAKE SHACK INC LONG 1,200 31.29 4/3 14:16 32.59 0.18%
Trade id #128403750
Max drawdown($756)
Time4/3/20 10:44
Quant open1,200
Worst price30.66
Drawdown as % of equity-0.18%
$1,555
Includes Typical Broker Commissions trade costs of $5.00
4/2/20 10:30 OXY OCCIDENTAL PETROLEUM LONG 2,000 11.80 4/2 10:42 13.91 n/a $4,215
Includes Typical Broker Commissions trade costs of $5.00
3/30/20 11:20 RCL ROYAL CARIBBEAN CRUISES LONG 1,200 31.09 3/31 10:45 33.29 0.86%
Trade id #128316672
Max drawdown($3,588)
Time3/30/20 14:48
Quant open1,200
Worst price28.10
Drawdown as % of equity-0.86%
$2,635
Includes Typical Broker Commissions trade costs of $5.00
3/12/20 13:06 JACK JACK IN THE BOX LONG 500 43.28 3/26 14:11 36.01 3.37%
Trade id #128009757
Max drawdown($13,233)
Time3/18/20 0:00
Quant open500
Worst price16.81
Drawdown as % of equity-3.37%
($3,644)
Includes Typical Broker Commissions trade costs of $10.00
3/12/20 13:05 AER AERCAP HOLDINGS NV LONG 700 30.94 3/26 14:10 26.45 3.66%
Trade id #128009692
Max drawdown($14,362)
Time3/18/20 0:00
Quant open700
Worst price10.42
Drawdown as % of equity-3.66%
($3,146)
Includes Typical Broker Commissions trade costs of $5.00
3/4/20 15:51 SCHW CHARLES SCHWAB LONG 1,200 37.08 3/25 12:47 34.32 2.5%
Trade id #127857604
Max drawdown($10,893)
Time3/16/20 0:00
Quant open1,200
Worst price28.00
Drawdown as % of equity-2.50%
($3,315)
Includes Typical Broker Commissions trade costs of $5.00
3/13/20 12:34 LEN LENNAR LONG 600 42.69 3/25 12:47 41.58 2.64%
Trade id #128034265
Max drawdown($10,362)
Time3/18/20 0:00
Quant open600
Worst price25.42
Drawdown as % of equity-2.64%
($671)
Includes Typical Broker Commissions trade costs of $5.00
3/20/20 9:30 DAL DELTA AIR LINES LONG 800 23.14 3/24 11:47 26.90 0.53%
Trade id #128157629
Max drawdown($2,028)
Time3/23/20 0:00
Quant open800
Worst price20.60
Drawdown as % of equity-0.53%
$3,003
Includes Typical Broker Commissions trade costs of $5.00
3/13/20 12:34 PLAY DAVE & BUSTERS ENTERTAINMENT LONG 1,600 8.74 3/24 9:35 13.06 1.68%
Trade id #128034290
Max drawdown($6,609)
Time3/18/20 0:00
Quant open1,600
Worst price4.61
Drawdown as % of equity-1.68%
$6,910
Includes Typical Broker Commissions trade costs of $7.50
3/18/20 15:18 NXPI NXP SEMICONDUCTOR LONG 500 64.42 3/19 11:21 69.50 0.38%
Trade id #128122627
Max drawdown($1,405)
Time3/18/20 15:40
Quant open500
Worst price61.61
Drawdown as % of equity-0.38%
$2,530
Includes Typical Broker Commissions trade costs of $10.00
3/17/20 9:49 JWN NORDSTROM LONG 1,000 15.02 3/17 14:57 17.08 0.25%
Trade id #128085259
Max drawdown($960)
Time3/17/20 9:57
Quant open1,000
Worst price14.06
Drawdown as % of equity-0.25%
$2,055
Includes Typical Broker Commissions trade costs of $5.00
3/9/20 10:04 WFC WELLS FARGO LONG 800 33.50 3/13 11:32 28.22 1.13%
Trade id #127919336
Max drawdown($5,103)
Time3/12/20 0:00
Quant open800
Worst price27.12
Drawdown as % of equity-1.13%
($4,229)
Includes Typical Broker Commissions trade costs of $5.00
3/12/20 10:03 AIG AMERICAN INTERNATIONAL LONG 500 27.58 3/13 11:32 25.39 0.3%
Trade id #128002735
Max drawdown($1,242)
Time3/13/20 0:00
Quant open500
Worst price25.09
Drawdown as % of equity-0.30%
($1,101)
Includes Typical Broker Commissions trade costs of $10.00
3/12/20 13:05 AAAU PERTH MINT PHYSICAL GOLD ETF LONG 500 15.98 3/12 15:16 15.71 0.03%
Trade id #128009735
Max drawdown($133)
Time3/12/20 14:40
Quant open500
Worst price15.71
Drawdown as % of equity-0.03%
($144)
Includes Typical Broker Commissions trade costs of $10.00
3/12/20 10:02 WDC WESTERN DIGITAL LONG 500 39.85 3/12 13:26 40.92 0.07%
Trade id #128002710
Max drawdown($291)
Time3/12/20 12:13
Quant open500
Worst price39.27
Drawdown as % of equity-0.07%
$524
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    2/17/2005
  • Suggested Minimum Cap
    $75,000
  • Strategy Age (days)
    5577.87
  • Age
    186 months ago
  • What it trades
    Stocks
  • # Trades
    3950
  • # Profitable
    2850
  • % Profitable
    72.20%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    62.88%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    28.7%
  • Avg win
    $767.31
  • Avg loss
    $1,516
  • Model Account Values (Raw)
  • Cash
    $503,961
  • Margin Used
    $0
  • Buying Power
    $451,100
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.79
  • Sortino Ratio
    1.19
  • Calmar Ratio
    0.2
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4510.76%
  • Correlation to SP500
    0.38440
  • Return Percent SP500 (cumu) during strategy life
    149.16%
  • Return Statistics
  • Ann Return (w trading costs)
    28.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.03%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.287%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    31.50%
  • Chance of 30% account loss
    13.50%
  • Chance of 40% account loss
    8.50%
  • Chance of 100% 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 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    514
  • Popularity (Last 6 weeks)
    937
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    37
  • Popularity (7 days, Percentile 1000 scale)
    864
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,531
  • Avg Win
    $767
  • Sum Trade PL (losers)
    $1,683,910.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    184
  • Win / Loss
  • Sum Trade PL (winners)
    $2,186,840.000
  • # Winners
    2850
  • Num Months Winners
    130
  • Dividends
  • Dividends Received in Model Acct
    39999
  • AUM
  • AUM (AutoTrader live capital)
    49674
  • Win / Loss
  • # Losers
    1100
  • % Winners
    72.2%
  • Frequency
  • Avg Position Time (mins)
    5373.03
  • Avg Position Time (hrs)
    89.55
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.86
  • Daily leverage (max)
    2.72
  • Regression
  • Alpha
    0.07
  • Beta
    0.56
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    66.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    88.24
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.17
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    11.768
  • 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
    0.875
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.040
  • Hold-and-Hope Ratio
    0.088
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20928
  • SD
    0.33036
  • Sharpe ratio (Glass type estimate)
    0.63352
  • Sharpe ratio (Hedges UMVUE)
    0.63084
  • df
    178.00000
  • t
    2.44677
  • p
    0.40981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14253
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80763
  • Upside Potential Ratio
    1.77176
  • Upside part of mean
    0.45913
  • Downside part of mean
    -0.24984
  • Upside SD
    0.21219
  • Downside SD
    0.25914
  • N nonnegative terms
    120.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    179.00000
  • Mean of predictor
    0.04303
  • Mean of criterion
    0.20928
  • SD of predictor
    0.20345
  • SD of criterion
    0.33036
  • Covariance
    0.03370
  • r
    0.50144
  • b (slope, estimate of beta)
    0.81421
  • a (intercept, estimate of alpha)
    0.17425
  • Mean Square Error
    0.08215
  • DF error
    177.00000
  • t(b)
    7.71072
  • p(b)
    0.19471
  • t(a)
    2.34356
  • p(a)
    0.39011
  • Lowerbound of 95% confidence interval for beta
    0.60583
  • Upperbound of 95% confidence interval for beta
    1.02260
  • Lowerbound of 95% confidence interval for alpha
    0.02752
  • Upperbound of 95% confidence interval for alpha
    0.32098
  • Treynor index (mean / b)
    0.25704
  • Jensen alpha (a)
    0.17425
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12246
  • SD
    0.48218
  • Sharpe ratio (Glass type estimate)
    0.25396
  • Sharpe ratio (Hedges UMVUE)
    0.25289
  • df
    178.00000
  • t
    0.98086
  • p
    0.46334
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25453
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.76178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76104
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27873
  • Upside Potential Ratio
    0.99581
  • Upside part of mean
    0.43749
  • Downside part of mean
    -0.31504
  • Upside SD
    0.19859
  • Downside SD
    0.43933
  • N nonnegative terms
    120.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    179.00000
  • Mean of predictor
    0.02141
  • Mean of criterion
    0.12246
  • SD of predictor
    0.21104
  • SD of criterion
    0.48218
  • Covariance
    0.04461
  • r
    0.43838
  • b (slope, estimate of beta)
    1.00159
  • a (intercept, estimate of alpha)
    0.10101
  • Mean Square Error
    0.18888
  • DF error
    177.00000
  • t(b)
    6.48895
  • p(b)
    0.23014
  • t(a)
    0.89727
  • p(a)
    0.45719
  • Lowerbound of 95% confidence interval for beta
    0.69698
  • Upperbound of 95% confidence interval for beta
    1.30620
  • Lowerbound of 95% confidence interval for alpha
    -0.12115
  • Upperbound of 95% confidence interval for alpha
    0.32317
  • Treynor index (mean / b)
    0.12226
  • Jensen alpha (a)
    0.10101
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19648
  • Expected Shortfall on VaR
    0.24089
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03380
  • Expected Shortfall on VaR
    0.08319
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    179.00000
  • Minimum
    0.21165
  • Quartile 1
    0.99487
  • Median
    1.02687
  • Quartile 3
    1.05559
  • Maximum
    1.28186
  • Mean of quarter 1
    0.92087
  • Mean of quarter 2
    1.01080
  • Mean of quarter 3
    1.04023
  • Mean of quarter 4
    1.10763
  • Inter Quartile Range
    0.06072
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.05587
  • Mean of outliers low
    0.76626
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03911
  • Mean of outliers high
    1.19043
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.80274
  • VaR(95%) (moments method)
    0.04317
  • Expected Shortfall (moments method)
    0.25396
  • Extreme Value Index (regression method)
    0.50400
  • VaR(95%) (regression method)
    0.05987
  • Expected Shortfall (regression method)
    0.15876
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00128
  • Quartile 1
    0.01592
  • Median
    0.06434
  • Quartile 3
    0.11006
  • Maximum
    0.78835
  • Mean of quarter 1
    0.00849
  • Mean of quarter 2
    0.03273
  • Mean of quarter 3
    0.09048
  • Mean of quarter 4
    0.33943
  • Inter Quartile Range
    0.09414
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.53753
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.25727
  • VaR(95%) (moments method)
    0.32380
  • Expected Shortfall (moments method)
    0.55284
  • Extreme Value Index (regression method)
    0.47079
  • VaR(95%) (regression method)
    0.52872
  • Expected Shortfall (regression method)
    1.21707
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56452
  • Compounded annual return (geometric extrapolation)
    0.16226
  • Calmar ratio (compounded annual return / max draw down)
    0.20582
  • Compounded annual return / average of 25% largest draw downs
    0.47802
  • Compounded annual return / Expected Shortfall lognormal
    0.67357
  • 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
    0.98006
  • SD
    1.73978
  • Sharpe ratio (Glass type estimate)
    0.56332
  • Sharpe ratio (Hedges UMVUE)
    0.56322
  • df
    3913.00000
  • t
    2.17730
  • p
    0.01476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05604
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07046
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60299
  • Upside Potential Ratio
    4.81698
  • Upside part of mean
    2.94508
  • Downside part of mean
    -1.96502
  • Upside SD
    1.62970
  • Downside SD
    0.61140
  • N nonnegative terms
    2137.00000
  • N negative terms
    1777.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3914.00000
  • Mean of predictor
    0.09559
  • Mean of criterion
    0.98006
  • SD of predictor
    0.38329
  • SD of criterion
    1.73978
  • Covariance
    0.19269
  • r
    0.28896
  • b (slope, estimate of beta)
    1.31164
  • a (intercept, estimate of alpha)
    0.85500
  • Mean Square Error
    2.77481
  • DF error
    3912.00000
  • t(b)
    18.87890
  • p(b)
    0.00000
  • t(a)
    1.98288
  • p(a)
    0.02373
  • Lowerbound of 95% confidence interval for beta
    1.17543
  • Upperbound of 95% confidence interval for beta
    1.44786
  • Lowerbound of 95% confidence interval for alpha
    0.00961
  • Upperbound of 95% confidence interval for alpha
    1.69975
  • Treynor index (mean / b)
    0.74720
  • Jensen alpha (a)
    0.85468
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12495
  • SD
    1.27441
  • Sharpe ratio (Glass type estimate)
    0.09805
  • Sharpe ratio (Hedges UMVUE)
    0.09803
  • df
    3913.00000
  • t
    0.37895
  • p
    0.35237
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60514
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60513
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13057
  • Upside Potential Ratio
    2.52750
  • Upside part of mean
    2.41866
  • Downside part of mean
    -2.29371
  • Upside SD
    0.84145
  • Downside SD
    0.95694
  • N nonnegative terms
    2137.00000
  • N negative terms
    1777.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3914.00000
  • Mean of predictor
    0.02264
  • Mean of criterion
    0.12495
  • SD of predictor
    0.38204
  • SD of criterion
    1.27441
  • Covariance
    0.15406
  • r
    0.31644
  • b (slope, estimate of beta)
    1.05557
  • a (intercept, estimate of alpha)
    0.10105
  • Mean Square Error
    1.46187
  • DF error
    3912.00000
  • t(b)
    20.86390
  • p(b)
    0.00000
  • t(a)
    0.32303
  • p(a)
    0.37334
  • Lowerbound of 95% confidence interval for beta
    0.95638
  • Upperbound of 95% confidence interval for beta
    1.15476
  • Lowerbound of 95% confidence interval for alpha
    -0.51226
  • Upperbound of 95% confidence interval for alpha
    0.71436
  • Treynor index (mean / b)
    0.11837
  • Jensen alpha (a)
    0.10105
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12105
  • Expected Shortfall on VaR
    0.14914
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01531
  • Expected Shortfall on VaR
    0.03691
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3914.00000
  • Minimum
    0.17741
  • Quartile 1
    0.99651
  • Median
    1.00085
  • Quartile 3
    1.00596
  • Maximum
    5.71618
  • Mean of quarter 1
    0.97124
  • Mean of quarter 2
    0.99906
  • Mean of quarter 3
    1.00307
  • Mean of quarter 4
    1.04202
  • Inter Quartile Range
    0.00945
  • Number outliers low
    292.00000
  • Percentage of outliers low
    0.07460
  • Mean of outliers low
    0.92262
  • Number of outliers high
    275.00000
  • Percentage of outliers high
    0.07026
  • Mean of outliers high
    1.12174
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.03071
  • VaR(95%) (moments method)
    0.02211
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.77517
  • VaR(95%) (regression method)
    0.01661
  • Expected Shortfall (regression method)
    0.08010
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    117.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00210
  • Median
    0.01055
  • Quartile 3
    0.03942
  • Maximum
    0.82599
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00533
  • Mean of quarter 3
    0.02240
  • Mean of quarter 4
    0.23855
  • Inter Quartile Range
    0.03732
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.18803
  • Mean of outliers high
    0.29686
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51847
  • VaR(95%) (moments method)
    0.18201
  • Expected Shortfall (moments method)
    0.45425
  • Extreme Value Index (regression method)
    0.34170
  • VaR(95%) (regression method)
    0.24091
  • Expected Shortfall (regression method)
    0.48624
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58981
  • Compounded annual return (geometric extrapolation)
    0.16516
  • Calmar ratio (compounded annual return / max draw down)
    0.19995
  • Compounded annual return / average of 25% largest draw downs
    0.69234
  • Compounded annual return / Expected Shortfall lognormal
    1.10742
  • 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
    0.05042
  • SD
    0.23880
  • Sharpe ratio (Glass type estimate)
    0.21115
  • Sharpe ratio (Hedges UMVUE)
    0.20993
  • df
    130.00000
  • t
    0.14931
  • p
    0.49345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98272
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98186
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29989
  • Upside Potential Ratio
    6.81849
  • Upside part of mean
    1.14645
  • Downside part of mean
    -1.09602
  • Upside SD
    0.16831
  • Downside SD
    0.16814
  • 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
    -0.01456
  • Mean of criterion
    0.05042
  • SD of predictor
    0.44394
  • SD of criterion
    0.23880
  • Covariance
    0.05760
  • r
    0.54337
  • b (slope, estimate of beta)
    0.29228
  • a (intercept, estimate of alpha)
    0.05468
  • Mean Square Error
    0.04050
  • DF error
    129.00000
  • t(b)
    7.35149
  • p(b)
    0.17195
  • t(a)
    0.19213
  • p(a)
    0.48923
  • Lowerbound of 95% confidence interval for beta
    0.21362
  • Upperbound of 95% confidence interval for beta
    0.37094
  • Lowerbound of 95% confidence interval for alpha
    -0.50841
  • Upperbound of 95% confidence interval for alpha
    0.61777
  • Treynor index (mean / b)
    0.17252
  • Jensen alpha (a)
    0.05468
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02216
  • SD
    0.23858
  • Sharpe ratio (Glass type estimate)
    0.09290
  • Sharpe ratio (Hedges UMVUE)
    0.09236
  • df
    130.00000
  • t
    0.06569
  • p
    0.49712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.67905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.67947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86419
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12955
  • Upside Potential Ratio
    6.62000
  • Upside part of mean
    1.13253
  • Downside part of mean
    -1.11037
  • Upside SD
    0.16498
  • Downside SD
    0.17108
  • 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
    -0.11323
  • Mean of criterion
    0.02216
  • SD of predictor
    0.44712
  • SD of criterion
    0.23858
  • Covariance
    0.05865
  • r
    0.54978
  • b (slope, estimate of beta)
    0.29335
  • a (intercept, estimate of alpha)
    0.05538
  • Mean Square Error
    0.04002
  • DF error
    129.00000
  • t(b)
    7.47535
  • p(b)
    0.16853
  • t(a)
    0.19572
  • p(a)
    0.48903
  • VAR (95 Confidence Intrvl)
    0.12100
  • Lowerbound of 95% confidence interval for beta
    0.21571
  • Upperbound of 95% confidence interval for beta
    0.37100
  • Lowerbound of 95% confidence interval for alpha
    -0.50446
  • Upperbound of 95% confidence interval for alpha
    0.61522
  • Treynor index (mean / b)
    0.07555
  • Jensen alpha (a)
    0.05538
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02387
  • Expected Shortfall on VaR
    0.02985
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00830
  • Expected Shortfall on VaR
    0.01810
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95282
  • Quartile 1
    0.99726
  • Median
    1.00072
  • Quartile 3
    1.00405
  • Maximum
    1.06669
  • Mean of quarter 1
    0.98416
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00203
  • Mean of quarter 4
    1.01548
  • Inter Quartile Range
    0.00679
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.97059
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02683
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51934
  • VaR(95%) (moments method)
    0.01280
  • Expected Shortfall (moments method)
    0.03187
  • Extreme Value Index (regression method)
    0.13092
  • VaR(95%) (regression method)
    0.01229
  • Expected Shortfall (regression method)
    0.01973
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00175
  • Quartile 1
    0.00255
  • Median
    0.00424
  • Quartile 3
    0.01482
  • Maximum
    0.21090
  • Mean of quarter 1
    0.00191
  • Mean of quarter 2
    0.00364
  • Mean of quarter 3
    0.00599
  • Mean of quarter 4
    0.11728
  • Inter Quartile Range
    0.01227
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.21090
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -267338000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05070
  • Compounded annual return (geometric extrapolation)
    0.05134
  • Calmar ratio (compounded annual return / max draw down)
    0.24346
  • Compounded annual return / average of 25% largest draw downs
    0.43781
  • Compounded annual return / Expected Shortfall lognormal
    1.72015

Strategy Description

Visit www.extremetradinginc.com for further description.
You can follow me on twitter at twitter.com/xtremetrading

Summary Statistics

Strategy began
2005-02-17
Suggested Minimum Capital
$75,000
# Trades
3950
# Profitable
2850
% Profitable
72.2%
Net Dividends
Correlation S&P500
0.384
Sharpe Ratio
0.79
Sortino Ratio
1.19
Beta
0.56
Alpha
0.07
Leverage
0.86 Average
2.72 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.