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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).
30.6%
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
3810
Num Trades
72.0%
Win Trades
1.3 : 1
Profit Factor
69.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005       (0.3%)+21.9%+3.5%+7.2%+0.9%+12.8%+6.7%+6.6%+16.3%+2.3%+11.1%+130.7%
2006+11.0%+4.5%+16.3%+2.9%+12.2%+0.6%+13.1%+9.0%+3.3%+3.1%+4.8%+4.5%+125.3%
2007+10.7%+2.1%+0.8%(4.9%)+12.0%(5%)+3.0%+4.2%+4.4%+15.2%(9%)+12.1%+51.7%
2008+13.0%+13.7%(11.9%)+8.3%+10.3%(0.2%)+14.6%+8.1%+14.3%(28.8%)(17.9%)+6.1%+18.6%
2009(11.1%)(14.4%)(6.5%)+12.5%+6.3%(1.6%)+8.5%+0.8%(3%)+0.9%+4.2%+4.4%(2.6%)
2010(9.8%)+14.9%+6.4%+4.2%+12.4%(1.4%)+10.3%(11.3%)+5.8%+6.4%(0.4%)+9.4%+52.9%
2011+1.3%+2.0%+7.2%+5.3%+13.6%+0.2%+3.9%(20%)(15.4%)+4.9%(6%)+5.5%(3.1%)
2012+2.5%+3.0%+2.3%(3.5%)(11.3%)+16.5%+2.3%(1.5%)+6.9%+2.9%+4.9%+2.6%+28.3%
2013(0.4%)+5.3%+4.3%+6.2%(1.4%)+6.0%+3.9%+7.3%(0.8%)+1.3%+5.0%+1.9%+45.5%
2014+0.7%+4.5%+7.1%+2.1%+6.9%+0.8%(3.2%)+5.6%(1.7%)+2.6%(0.6%)(2.1%)+24.3%
2015+0.6%+4.8%+4.1%+1.4%(1.5%)(6.9%)+1.3%(0.2%)(7.9%)+9.7%+5.9%(7.9%)+1.6%
2016(5.7%)+0.2%+4.1%+2.4%  -  +2.0%+2.8%(3.5%)+4.4%(0.8%)+5.3%(4.9%)+5.5%
2017+1.2%(1%)(3%)+0.2%(1%)+6.9%(1.1%)+1.9%+6.9%(0.7%)+2.2%(0.1%)+12.6%
2018(0.2%)(11.1%)+15.2%+0.6%+8.8%+2.7%+4.7%+4.9%+2.9%(12.8%)+6.1%(6.1%)+12.8%
2019+7.1%(0.9%)+0.1%+2.3%(5.1%)+4.1%                                    +7.4%

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 5,241 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/17/19 9:41 SWKS SKYWORKS SOLUTIONS LONG 1,000 72.28 6/10 10:06 72.61 1.56%
Trade id #123709552
Max drawdown($7,983)
Time6/4/19 16:16
Quant open1,000
Worst price64.30
Drawdown as % of equity-1.56%
$316
Includes Typical Broker Commissions trade costs of $10.00
6/6/19 11:16 DELL DELL TECHNOLOGIES INC LONG 800 52.87 6/7 11:05 54.84 0.11%
Trade id #123963900
Max drawdown($551)
Time6/6/19 14:28
Quant open800
Worst price52.18
Drawdown as % of equity-0.11%
$1,568
Includes Typical Broker Commissions trade costs of $8.00
5/24/19 15:03 BC BRUNSWICK LONG 1,000 43.50 6/4 11:37 43.24 0.5%
Trade id #123817813
Max drawdown($2,476)
Time6/3/19 9:31
Quant open1,000
Worst price41.02
Drawdown as % of equity-0.50%
($267)
Includes Typical Broker Commissions trade costs of $10.00
5/30/19 11:36 CLR CONTINENTAL RESOURCES LONG 1,200 36.02 6/4 9:35 38.34 0.34%
Trade id #123876004
Max drawdown($1,689)
Time6/3/19 13:03
Quant open1,200
Worst price34.61
Drawdown as % of equity-0.34%
$2,774
Includes Typical Broker Commissions trade costs of $12.00
5/17/19 15:35 FN FABRINET LONG 1,500 47.16 5/31 14:50 44.94 0.67%
Trade id #123720538
Max drawdown($3,369)
Time5/31/19 14:38
Quant open700
Worst price42.35
Drawdown as % of equity-0.67%
($3,347)
Includes Typical Broker Commissions trade costs of $15.00
5/28/19 11:43 LOW LOWE'S COMPANIES LONG 800 93.52 5/30 11:36 94.00 0.35%
Trade id #123846002
Max drawdown($1,792)
Time5/29/19 8:42
Quant open800
Worst price91.28
Drawdown as % of equity-0.35%
$377
Includes Typical Broker Commissions trade costs of $8.00
5/23/19 12:09 KSS KOHL'S LONG 1,000 51.13 5/28 12:14 52.04 0.14%
Trade id #123799093
Max drawdown($728)
Time5/24/19 9:31
Quant open1,000
Worst price50.40
Drawdown as % of equity-0.14%
$902
Includes Typical Broker Commissions trade costs of $10.00
5/22/19 12:00 QRVO QORVO INC. COMMON STOCK LONG 1,000 60.37 5/24 9:34 61.97 0.36%
Trade id #123781842
Max drawdown($1,850)
Time5/23/19 9:42
Quant open1,000
Worst price58.52
Drawdown as % of equity-0.36%
$1,586
Includes Typical Broker Commissions trade costs of $10.00
5/14/19 12:49 TGT TARGET LONG 1,200 70.77 5/14 15:25 71.49 n/a $849
Includes Typical Broker Commissions trade costs of $12.00
5/13/19 11:58 MCHP MICROCHIP TECHNOLOGY LONG 1,000 84.15 5/14 9:40 84.48 0.24%
Trade id #123646585
Max drawdown($1,248)
Time5/13/19 13:22
Quant open1,000
Worst price82.90
Drawdown as % of equity-0.24%
$326
Includes Typical Broker Commissions trade costs of $10.00
5/8/19 15:39 NRG NRG ENERGY LONG 1,200 37.10 5/10 14:47 37.09 0.21%
Trade id #123578862
Max drawdown($1,078)
Time5/10/19 9:34
Quant open1,200
Worst price36.20
Drawdown as % of equity-0.21%
($21)
Includes Typical Broker Commissions trade costs of $12.00
5/8/19 12:22 VLO VALERO ENERGY LONG 1,000 82.43 5/10 12:39 82.94 0.71%
Trade id #123576383
Max drawdown($3,640)
Time5/9/19 10:27
Quant open1,000
Worst price78.79
Drawdown as % of equity-0.71%
$497
Includes Typical Broker Commissions trade costs of $10.00
5/9/19 10:48 PSX PHILLIPS 66 LONG 1,000 84.30 5/10 9:43 86.60 0.06%
Trade id #123590936
Max drawdown($295)
Time5/9/19 10:57
Quant open1,000
Worst price84.00
Drawdown as % of equity-0.06%
$2,296
Includes Typical Broker Commissions trade costs of $10.00
5/9/19 10:47 KLAC KLA-TENCOR LONG 800 112.15 5/10 9:41 115.40 0.12%
Trade id #123590929
Max drawdown($599)
Time5/9/19 11:08
Quant open800
Worst price111.40
Drawdown as % of equity-0.12%
$2,590
Includes Typical Broker Commissions trade costs of $8.00
5/8/19 12:36 CC CHEMOURS CO LONG 1,400 28.50 5/8 15:39 29.21 0.03%
Trade id #123576506
Max drawdown($158)
Time5/8/19 12:44
Quant open1,400
Worst price28.39
Drawdown as % of equity-0.03%
$973
Includes Typical Broker Commissions trade costs of $14.00
5/7/19 10:01 PSX PHILLIPS 66 LONG 1,200 85.54 5/8 9:51 86.69 0.06%
Trade id #123557036
Max drawdown($320)
Time5/7/19 10:17
Quant open1,200
Worst price85.27
Drawdown as % of equity-0.06%
$1,371
Includes Typical Broker Commissions trade costs of $12.00
5/2/19 12:51 CLR CONTINENTAL RESOURCES LONG 2,400 42.75 5/3 10:12 43.02 0.18%
Trade id #123509766
Max drawdown($942)
Time5/2/19 13:11
Quant open2,400
Worst price42.36
Drawdown as % of equity-0.18%
$618
Includes Typical Broker Commissions trade costs of $24.00
4/29/19 11:23 TSLA TESLA INC. LONG 150 241.56 5/2 14:33 244.22 0.32%
Trade id #123464319
Max drawdown($1,658)
Time5/2/19 7:14
Quant open150
Worst price230.50
Drawdown as % of equity-0.32%
$397
Includes Typical Broker Commissions trade costs of $2.00
5/1/19 11:37 JBHT J.B. HUNT TRANSPORT LONG 1,000 92.95 5/2 14:32 94.50 0.29%
Trade id #123492255
Max drawdown($1,528)
Time5/2/19 9:41
Quant open1,000
Worst price91.42
Drawdown as % of equity-0.29%
$1,545
Includes Typical Broker Commissions trade costs of $10.00
2/21/19 10:27 CVS CVS HEALTH CORP LONG 2,700 59.60 5/1 15:51 57.09 4.2%
Trade id #122620585
Max drawdown($20,700)
Time3/8/19 9:31
Quant open2,700
Worst price51.93
Drawdown as % of equity-4.20%
($6,802)
Includes Typical Broker Commissions trade costs of $27.00
5/1/19 9:39 CHRW CH ROBINSON WORLDWIDE LONG 1,200 78.82 5/1 9:50 80.23 0.09%
Trade id #123489796
Max drawdown($492)
Time5/1/19 9:41
Quant open1,200
Worst price78.41
Drawdown as % of equity-0.09%
$1,681
Includes Typical Broker Commissions trade costs of $12.00
4/25/19 12:13 MMSI MERIT MEDICAL SYSTEMS LONG 1,000 53.23 4/25 15:58 54.36 0.16%
Trade id #123430925
Max drawdown($841)
Time4/25/19 12:50
Quant open1,000
Worst price52.39
Drawdown as % of equity-0.16%
$1,121
Includes Typical Broker Commissions trade costs of $10.00
4/23/19 10:32 MRK MERCK LONG 1,800 74.17 4/23 12:05 74.65 0.07%
Trade id #123400809
Max drawdown($360)
Time4/23/19 10:39
Quant open1,800
Worst price73.97
Drawdown as % of equity-0.07%
$846
Includes Typical Broker Commissions trade costs of $18.00
4/22/19 12:08 GPC GENUINE PARTS LONG 500 103.83 4/23 11:48 104.73 0.14%
Trade id #123388695
Max drawdown($745)
Time4/23/19 9:43
Quant open500
Worst price102.34
Drawdown as % of equity-0.14%
$444
Includes Typical Broker Commissions trade costs of $5.00
4/22/19 13:56 SNBR SLEEP NUMBER CORP LONG 1,000 36.57 4/23 10:32 37.29 0.1%
Trade id #123391718
Max drawdown($501)
Time4/22/19 15:22
Quant open1,000
Worst price36.07
Drawdown as % of equity-0.10%
$713
Includes Typical Broker Commissions trade costs of $10.00
4/17/19 12:32 BAX BAXTER INTERNATIONAL LONG 1,400 75.03 4/23 9:41 75.40 0.45%
Trade id #123346452
Max drawdown($2,312)
Time4/18/19 10:12
Quant open1,400
Worst price73.38
Drawdown as % of equity-0.45%
$504
Includes Typical Broker Commissions trade costs of $14.00
4/15/19 15:19 PLAY DAVE & BUSTERS ENTERTAINMENT LONG 1,400 48.96 4/17 12:29 49.88 0.21%
Trade id #123319623
Max drawdown($1,085)
Time4/16/19 11:12
Quant open1,400
Worst price48.18
Drawdown as % of equity-0.21%
$1,284
Includes Typical Broker Commissions trade costs of $14.00
4/9/19 11:47 TWOU 2U INC. COMMON STOCK LONG 1,200 65.54 4/9 14:38 66.97 0.04%
Trade id #123256112
Max drawdown($232)
Time4/9/19 11:52
Quant open1,200
Worst price65.35
Drawdown as % of equity-0.04%
$1,698
Includes Typical Broker Commissions trade costs of $12.00
4/5/19 12:25 PDD PINDUODUO INC. AMERICAN DEPOSITARY SHARES LONG 1,500 21.57 4/8 14:49 21.86 0.08%
Trade id #123221947
Max drawdown($402)
Time4/5/19 13:17
Quant open1,500
Worst price21.30
Drawdown as % of equity-0.08%
$420
Includes Typical Broker Commissions trade costs of $15.00
4/4/19 15:15 LW LAMB WESTON HOLDINGS INC LONG 1,200 70.83 4/5 14:46 71.35 0.28%
Trade id #123206982
Max drawdown($1,428)
Time4/5/19 9:42
Quant open1,200
Worst price69.64
Drawdown as % of equity-0.28%
$608
Includes Typical Broker Commissions trade costs of $12.00

Statistics

  • Strategy began
    2/17/2005
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    5232.8
  • Age
    174 months ago
  • What it trades
    Stocks
  • # Trades
    3810
  • # Profitable
    2742
  • % Profitable
    72.00%
  • Avg trade duration
    3.6 days
  • Max peak-to-valley drawdown
    62.88%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    30.2%
  • Avg win
    $747.46
  • Avg loss
    $1,479
  • Model Account Values (Raw)
  • Cash
    $458,544
  • Margin Used
    $0
  • Buying Power
    $426,475
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.82
  • Sortino Ratio
    1.25
  • Calmar Ratio
    0.208
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.38880
  • Return Statistics
  • Ann Return (w trading costs)
    30.2%
  • Ann Return (Compnd, No Fees)
    31.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.50%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    12.50%
  • Chance of 40% account loss
    4.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    576
  • Popularity (Last 6 weeks)
    938
  • C2 Score
    60.6
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,483
  • Avg Win
    $747
  • # Winners
    2742
  • # Losers
    1068
  • % Winners
    72.0%
  • Frequency
  • Avg Position Time (mins)
    5117.18
  • Avg Position Time (hrs)
    85.29
  • Avg Trade Length
    3.6 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    0.86
  • Daily leverage (max)
    2.61
  • Unknown
  • Alpha
    0.07
  • Beta
    0.61
  • Treynor Index
    0.13
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22152
  • SD
    0.33495
  • Sharpe ratio (Glass type estimate)
    0.66135
  • Sharpe ratio (Hedges UMVUE)
    0.65838
  • df
    167.00000
  • t
    2.47455
  • p
    0.38098
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18898
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12982
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18694
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84264
  • Upside Potential Ratio
    1.78557
  • Upside part of mean
    0.46940
  • Downside part of mean
    -0.24788
  • Upside SD
    0.21565
  • Downside SD
    0.26289
  • N nonnegative terms
    114.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    168.00000
  • Mean of predictor
    0.04160
  • Mean of criterion
    0.22152
  • SD of predictor
    0.18659
  • SD of criterion
    0.33495
  • Covariance
    0.03014
  • r
    0.48222
  • b (slope, estimate of beta)
    0.86563
  • a (intercept, estimate of alpha)
    0.18551
  • Mean Square Error
    0.08662
  • DF error
    166.00000
  • t(b)
    7.09201
  • p(b)
    0.25889
  • t(a)
    2.35352
  • p(a)
    0.41015
  • Lowerbound of 95% confidence interval for beta
    0.62465
  • Upperbound of 95% confidence interval for beta
    1.10661
  • Lowerbound of 95% confidence interval for alpha
    0.02989
  • Upperbound of 95% confidence interval for alpha
    0.34114
  • Treynor index (mean / b)
    0.25591
  • Jensen alpha (a)
    0.18551
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13106
  • SD
    0.49340
  • Sharpe ratio (Glass type estimate)
    0.26563
  • Sharpe ratio (Hedges UMVUE)
    0.26444
  • df
    167.00000
  • t
    0.99390
  • p
    0.45123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78902
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29108
  • Upside Potential Ratio
    0.99293
  • Upside part of mean
    0.44708
  • Downside part of mean
    -0.31602
  • Upside SD
    0.20172
  • Downside SD
    0.45027
  • N nonnegative terms
    114.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    168.00000
  • Mean of predictor
    0.02376
  • Mean of criterion
    0.13106
  • SD of predictor
    0.19057
  • SD of criterion
    0.49340
  • Covariance
    0.04088
  • r
    0.43480
  • b (slope, estimate of beta)
    1.12572
  • a (intercept, estimate of alpha)
    0.10432
  • Mean Square Error
    0.19861
  • DF error
    166.00000
  • t(b)
    6.22085
  • p(b)
    0.28260
  • t(a)
    0.87528
  • p(a)
    0.46611
  • Lowerbound of 95% confidence interval for beta
    0.76844
  • Upperbound of 95% confidence interval for beta
    1.48300
  • Lowerbound of 95% confidence interval for alpha
    -0.13099
  • Upperbound of 95% confidence interval for alpha
    0.33964
  • Treynor index (mean / b)
    0.11643
  • Jensen alpha (a)
    0.10432
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20017
  • Expected Shortfall on VaR
    0.24536
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03282
  • Expected Shortfall on VaR
    0.08144
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    168.00000
  • Minimum
    0.21165
  • Quartile 1
    0.99520
  • Median
    1.02691
  • Quartile 3
    1.05756
  • Maximum
    1.28186
  • Mean of quarter 1
    0.92092
  • Mean of quarter 2
    1.01130
  • Mean of quarter 3
    1.04132
  • Mean of quarter 4
    1.10962
  • Inter Quartile Range
    0.06236
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05357
  • Mean of outliers low
    0.75981
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.19043
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85981
  • VaR(95%) (moments method)
    0.04458
  • Expected Shortfall (moments method)
    0.36418
  • Extreme Value Index (regression method)
    0.46696
  • VaR(95%) (regression method)
    0.05937
  • Expected Shortfall (regression method)
    0.14842
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00128
  • Quartile 1
    0.01290
  • Median
    0.07605
  • Quartile 3
    0.10966
  • Maximum
    0.78835
  • Mean of quarter 1
    0.00727
  • Mean of quarter 2
    0.03725
  • Mean of quarter 3
    0.09409
  • Mean of quarter 4
    0.37204
  • Inter Quartile Range
    0.09675
  • 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
    0.15790
  • Mean of outliers high
    0.53753
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.03177
  • VaR(95%) (moments method)
    0.30332
  • Expected Shortfall (moments method)
    0.44506
  • Extreme Value Index (regression method)
    0.37303
  • VaR(95%) (regression method)
    0.56712
  • Expected Shortfall (regression method)
    1.16904
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58992
  • Compounded annual return (geometric extrapolation)
    0.17230
  • Calmar ratio (compounded annual return / max draw down)
    0.21856
  • Compounded annual return / average of 25% largest draw downs
    0.46313
  • Compounded annual return / Expected Shortfall lognormal
    0.70225
  • 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
    1.04202
  • SD
    1.79625
  • Sharpe ratio (Glass type estimate)
    0.58011
  • Sharpe ratio (Hedges UMVUE)
    0.57999
  • df
    3668.00000
  • t
    2.17087
  • p
    0.01500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05616
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10400
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10391
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65243
  • Upside Potential Ratio
    4.89261
  • Upside part of mean
    3.08529
  • Downside part of mean
    -2.04326
  • Upside SD
    1.68289
  • Downside SD
    0.63060
  • N nonnegative terms
    2005.00000
  • N negative terms
    1664.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3669.00000
  • Mean of predictor
    0.09777
  • Mean of criterion
    1.04202
  • SD of predictor
    0.38626
  • SD of criterion
    1.79625
  • Covariance
    0.20333
  • r
    0.29306
  • b (slope, estimate of beta)
    1.36286
  • a (intercept, estimate of alpha)
    0.90900
  • Mean Square Error
    2.95019
  • DF error
    3667.00000
  • t(b)
    18.56170
  • p(b)
    -0.00000
  • t(a)
    1.97972
  • p(a)
    0.02391
  • Lowerbound of 95% confidence interval for beta
    1.21890
  • Upperbound of 95% confidence interval for beta
    1.50681
  • Lowerbound of 95% confidence interval for alpha
    0.00877
  • Upperbound of 95% confidence interval for alpha
    1.80879
  • Treynor index (mean / b)
    0.76459
  • Jensen alpha (a)
    0.90878
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13095
  • SD
    1.31542
  • Sharpe ratio (Glass type estimate)
    0.09955
  • Sharpe ratio (Hedges UMVUE)
    0.09953
  • df
    3668.00000
  • t
    0.37253
  • p
    0.35476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62330
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42423
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62328
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13257
  • Upside Potential Ratio
    2.55549
  • Upside part of mean
    2.52429
  • Downside part of mean
    -2.39334
  • Upside SD
    0.86844
  • Downside SD
    0.98779
  • N nonnegative terms
    2005.00000
  • N negative terms
    1664.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3669.00000
  • Mean of predictor
    0.02374
  • Mean of criterion
    0.13095
  • SD of predictor
    0.38480
  • SD of criterion
    1.31542
  • Covariance
    0.16210
  • r
    0.32024
  • b (slope, estimate of beta)
    1.09472
  • a (intercept, estimate of alpha)
    0.10496
  • Mean Square Error
    1.55330
  • DF error
    3667.00000
  • t(b)
    20.47030
  • p(b)
    -0.00000
  • t(a)
    0.31514
  • p(a)
    0.37634
  • Lowerbound of 95% confidence interval for beta
    0.98987
  • Upperbound of 95% confidence interval for beta
    1.19957
  • Lowerbound of 95% confidence interval for alpha
    -0.54802
  • Upperbound of 95% confidence interval for alpha
    0.75794
  • Treynor index (mean / b)
    0.11962
  • Jensen alpha (a)
    0.10496
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12469
  • Expected Shortfall on VaR
    0.15353
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01591
  • Expected Shortfall on VaR
    0.03834
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3669.00000
  • Minimum
    0.17741
  • Quartile 1
    0.99646
  • Median
    1.00093
  • Quartile 3
    1.00608
  • Maximum
    5.71618
  • Mean of quarter 1
    0.97008
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00322
  • Mean of quarter 4
    1.04404
  • Inter Quartile Range
    0.00962
  • Number outliers low
    278.00000
  • Percentage of outliers low
    0.07577
  • Mean of outliers low
    0.92017
  • Number of outliers high
    258.00000
  • Percentage of outliers high
    0.07032
  • Mean of outliers high
    1.12792
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.03955
  • VaR(95%) (moments method)
    0.02286
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.77011
  • VaR(95%) (regression method)
    0.01734
  • Expected Shortfall (regression method)
    0.08239
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    113.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00210
  • Median
    0.01055
  • Quartile 3
    0.03942
  • Maximum
    0.82599
  • Mean of quarter 1
    0.00122
  • Mean of quarter 2
    0.00541
  • Mean of quarter 3
    0.02235
  • Mean of quarter 4
    0.23954
  • 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
    21.00000
  • Percentage of outliers high
    0.18584
  • Mean of outliers high
    0.30095
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57171
  • VaR(95%) (moments method)
    0.18825
  • Expected Shortfall (moments method)
    0.51966
  • Extreme Value Index (regression method)
    0.37102
  • VaR(95%) (regression method)
    0.23504
  • Expected Shortfall (regression method)
    0.48969
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58910
  • Compounded annual return (geometric extrapolation)
    0.17217
  • Calmar ratio (compounded annual return / max draw down)
    0.20844
  • Compounded annual return / average of 25% largest draw downs
    0.71876
  • Compounded annual return / Expected Shortfall lognormal
    1.12140
  • 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
    0.05156
  • SD
    0.11809
  • Sharpe ratio (Glass type estimate)
    0.43663
  • Sharpe ratio (Hedges UMVUE)
    0.43411
  • df
    130.00000
  • t
    0.30874
  • p
    0.48647
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.33641
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20810
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.33820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.20641
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61117
  • Upside Potential Ratio
    7.65545
  • Upside part of mean
    0.64587
  • Downside part of mean
    -0.59430
  • Upside SD
    0.08205
  • Downside SD
    0.08437
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16600
  • Mean of criterion
    0.05156
  • SD of predictor
    0.15928
  • SD of criterion
    0.11809
  • Covariance
    0.01269
  • r
    0.67481
  • b (slope, estimate of beta)
    0.50031
  • a (intercept, estimate of alpha)
    -0.03149
  • Mean Square Error
    0.00765
  • DF error
    129.00000
  • t(b)
    10.38550
  • p(b)
    0.10571
  • t(a)
    -0.25396
  • p(a)
    0.51423
  • Lowerbound of 95% confidence interval for beta
    0.40499
  • Upperbound of 95% confidence interval for beta
    0.59562
  • Lowerbound of 95% confidence interval for alpha
    -0.27679
  • Upperbound of 95% confidence interval for alpha
    0.21382
  • Treynor index (mean / b)
    0.10306
  • Jensen alpha (a)
    -0.03149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04462
  • SD
    0.11825
  • Sharpe ratio (Glass type estimate)
    0.37735
  • Sharpe ratio (Hedges UMVUE)
    0.37517
  • df
    130.00000
  • t
    0.26683
  • p
    0.48830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39556
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39701
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14735
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52410
  • Upside Potential Ratio
    7.54600
  • Upside part of mean
    0.64246
  • Downside part of mean
    -0.59784
  • Upside SD
    0.08146
  • Downside SD
    0.08514
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15340
  • Mean of criterion
    0.04462
  • SD of predictor
    0.15878
  • SD of criterion
    0.11825
  • Covariance
    0.01267
  • r
    0.67502
  • b (slope, estimate of beta)
    0.50273
  • a (intercept, estimate of alpha)
    -0.03250
  • Mean Square Error
    0.00767
  • DF error
    129.00000
  • t(b)
    10.39150
  • p(b)
    0.10561
  • t(a)
    -0.26190
  • p(a)
    0.51467
  • Lowerbound of 95% confidence interval for beta
    0.40701
  • Upperbound of 95% confidence interval for beta
    0.59845
  • Lowerbound of 95% confidence interval for alpha
    -0.27799
  • Upperbound of 95% confidence interval for alpha
    0.21300
  • Treynor index (mean / b)
    0.08876
  • Jensen alpha (a)
    -0.03250
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01178
  • Expected Shortfall on VaR
    0.01478
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00525
  • Expected Shortfall on VaR
    0.01078
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96873
  • Quartile 1
    0.99777
  • Median
    1.00008
  • Quartile 3
    1.00294
  • Maximum
    1.02214
  • Mean of quarter 1
    0.99181
  • Mean of quarter 2
    0.99939
  • Mean of quarter 3
    1.00140
  • Mean of quarter 4
    1.00864
  • Inter Quartile Range
    0.00518
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98388
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.01604
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23834
  • VaR(95%) (moments method)
    0.00713
  • Expected Shortfall (moments method)
    0.01187
  • Extreme Value Index (regression method)
    0.31314
  • VaR(95%) (regression method)
    0.00858
  • Expected Shortfall (regression method)
    0.01572
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00129
  • Quartile 1
    0.00226
  • Median
    0.00361
  • Quartile 3
    0.04681
  • Maximum
    0.08745
  • Mean of quarter 1
    0.00174
  • Mean of quarter 2
    0.00308
  • Mean of quarter 3
    0.02544
  • Mean of quarter 4
    0.07259
  • Inter Quartile Range
    0.04455
  • 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)
    -1.10530
  • VaR(95%) (moments method)
    0.07687
  • Expected Shortfall (moments method)
    0.08063
  • Extreme Value Index (regression method)
    0.44226
  • VaR(95%) (regression method)
    0.09675
  • Expected Shortfall (regression method)
    0.16912
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07386
  • Compounded annual return (geometric extrapolation)
    0.07522
  • Calmar ratio (compounded annual return / max draw down)
    0.86022
  • Compounded annual return / average of 25% largest draw downs
    1.03623
  • Compounded annual return / Expected Shortfall lognormal
    5.08791

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
$60,000
# Trades
3810
# Profitable
2742
% Profitable
72.0%
Net Dividends
Correlation S&P500
0.389
Sharpe Ratio
0.82
Sortino Ratio
1.25
Beta
0.61
Alpha
0.07
Leverage
0.86 Average
2.61 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

AGM - Access to Global Markets 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.

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.

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