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extreme-os
(13202557)

Created by: UyenLe UyenLe
Started: 02/2005
Stocks
Last trade: 6 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.

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).
31.8%
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.

(62.9%)
Max Drawdown
3727
Num Trades
71.8%
Win Trades
1.3 : 1
Profit Factor
70.5%
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%)+4.5%      +18.3%

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 5,069 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/2/18 13:50 AAPL APPLE LONG 400 207.06 11/7 12:09 207.54 0.71%
Trade id #120703361
Max drawdown($3,555)
Time11/5/18 10:25
Quant open400
Worst price198.17
Drawdown as % of equity-0.71%
$187
Includes Typical Broker Commissions trade costs of $4.00
11/6/18 15:13 WCG WELLCARE HEALTH PLANS LONG 300 256.63 11/7 9:33 263.22 0.08%
Trade id #120772904
Max drawdown($392)
Time11/6/18 15:47
Quant open300
Worst price255.32
Drawdown as % of equity-0.08%
$1,976
Includes Typical Broker Commissions trade costs of $3.50
11/5/18 10:33 QRVO QORVO INC. COMMON STOCK LONG 1,000 67.63 11/6 9:37 70.06 0.07%
Trade id #120729434
Max drawdown($347)
Time11/5/18 10:37
Quant open1,000
Worst price67.28
Drawdown as % of equity-0.07%
$2,418
Includes Typical Broker Commissions trade costs of $10.00
10/31/18 12:23 IBM INTERNATIONAL BUSINESS MACHINE LONG 800 115.10 11/1 15:12 116.39 0.03%
Trade id #120644853
Max drawdown($167)
Time10/31/18 15:23
Quant open800
Worst price114.89
Drawdown as % of equity-0.03%
$1,026
Includes Typical Broker Commissions trade costs of $8.00
10/25/18 15:41 AMD ADVANCED MICRO DEVICES INC. C LONG 1,500 19.09 11/1 15:12 20.04 0.96%
Trade id #120546977
Max drawdown($4,380)
Time10/30/18 9:31
Quant open1,500
Worst price16.17
Drawdown as % of equity-0.96%
$1,412
Includes Typical Broker Commissions trade costs of $15.00
10/4/18 13:46 VAC MARRIOTT VACATIONS WORLDWIDE LONG 1,000 103.80 11/1 11:14 94.79 4.54%
Trade id #120187808
Max drawdown($20,686)
Time10/30/18 9:30
Quant open1,000
Worst price83.11
Drawdown as % of equity-4.54%
($9,016)
Includes Typical Broker Commissions trade costs of $10.00
10/25/18 15:40 EQT EQT LONG 2,400 33.66 10/31 11:21 34.20 1.63%
Trade id #120546972
Max drawdown($7,519)
Time10/29/18 15:14
Quant open2,400
Worst price30.53
Drawdown as % of equity-1.63%
$1,271
Includes Typical Broker Commissions trade costs of $24.00
10/29/18 10:08 AIG AMERICAN INTERNATIONAL LONG 1,500 41.25 10/31 9:38 41.70 0.64%
Trade id #120595176
Max drawdown($2,936)
Time10/30/18 11:19
Quant open1,500
Worst price39.29
Drawdown as % of equity-0.64%
$656
Includes Typical Broker Commissions trade costs of $15.00
10/29/18 12:43 AMZN AMAZON.COM LONG 50 1567.75 10/31 9:38 1586.00 1%
Trade id #120600391
Max drawdown($4,569)
Time10/30/18 9:31
Quant open50
Worst price1476.36
Drawdown as % of equity-1.00%
$910
Includes Typical Broker Commissions trade costs of $2.00
10/9/18 9:51 PKG PACKAGING CORP OF AMERICA LONG 600 94.87 10/25 9:52 90.10 1.44%
Trade id #120252101
Max drawdown($6,800)
Time10/24/18 16:00
Quant open600
Worst price83.54
Drawdown as % of equity-1.44%
($2,871)
Includes Typical Broker Commissions trade costs of $6.00
9/25/18 15:34 AOS A.O.SMITH CORP LONG 1,200 55.69 10/24 15:02 44.76 2.85%
Trade id #120030936
Max drawdown($13,658)
Time10/23/18 10:19
Quant open1,200
Worst price44.31
Drawdown as % of equity-2.85%
($13,136)
Includes Typical Broker Commissions trade costs of $12.00
10/24/18 11:59 VLO VALERO ENERGY LONG 800 88.12 10/24 15:02 87.83 0.25%
Trade id #120513549
Max drawdown($1,217)
Time10/24/18 12:44
Quant open800
Worst price86.60
Drawdown as % of equity-0.25%
($240)
Includes Typical Broker Commissions trade costs of $8.00
10/24/18 11:17 NVDA NVIDIA LONG 500 210.82 10/24 11:59 213.47 0.22%
Trade id #120512104
Max drawdown($1,024)
Time10/24/18 11:34
Quant open500
Worst price208.77
Drawdown as % of equity-0.22%
$1,322
Includes Typical Broker Commissions trade costs of $5.00
10/23/18 9:57 DHR DANAHER LONG 1,000 96.76 10/23 15:57 97.30 0.23%
Trade id #120486568
Max drawdown($1,105)
Time10/23/18 10:35
Quant open1,000
Worst price95.65
Drawdown as % of equity-0.23%
$535
Includes Typical Broker Commissions trade costs of $10.00
10/9/18 13:42 AAL AMERICAN AIRLINES GROUP INC. C LONG 1,500 34.01 10/16 15:29 33.21 1.14%
Trade id #120259418
Max drawdown($5,741)
Time10/11/18 5:40
Quant open1,500
Worst price30.18
Drawdown as % of equity-1.14%
($1,208)
Includes Typical Broker Commissions trade costs of $15.00
10/12/18 13:08 URI UNITED RENTALS LONG 600 137.44 10/16 11:33 139.99 0.14%
Trade id #120327597
Max drawdown($716)
Time10/16/18 9:56
Quant open600
Worst price136.25
Drawdown as % of equity-0.14%
$1,521
Includes Typical Broker Commissions trade costs of $6.00
10/11/18 11:47 SQ SQUARE INC LONG 1,000 68.88 10/11 14:18 69.07 0.09%
Trade id #120302656
Max drawdown($430)
Time10/11/18 13:54
Quant open1,000
Worst price68.45
Drawdown as % of equity-0.09%
$179
Includes Typical Broker Commissions trade costs of $10.00
10/5/18 14:26 MCHP MICROCHIP TECHNOLOGY LONG 1,000 69.59 10/10 14:37 66.43 0.87%
Trade id #120211299
Max drawdown($4,456)
Time10/10/18 10:18
Quant open1,000
Worst price65.13
Drawdown as % of equity-0.87%
($3,162)
Includes Typical Broker Commissions trade costs of $10.00
10/10/18 10:20 CRM SALESFORCE.COM LONG 600 142.92 10/10 14:36 139.71 0.45%
Trade id #120274810
Max drawdown($2,308)
Time10/10/18 12:08
Quant open600
Worst price139.07
Drawdown as % of equity-0.45%
($1,933)
Includes Typical Broker Commissions trade costs of $6.00
10/10/18 10:21 TRIP TRIPADVISOR LONG 800 45.50 10/10 13:55 45.00 0.33%
Trade id #120274832
Max drawdown($1,676)
Time10/10/18 11:47
Quant open800
Worst price43.40
Drawdown as % of equity-0.33%
($401)
Includes Typical Broker Commissions trade costs of $8.00
10/4/18 10:09 AKAM AKAMAI TECHNOLOGIES LONG 1,000 67.19 10/9 15:28 64.89 0.51%
Trade id #120182140
Max drawdown($2,699)
Time10/8/18 13:01
Quant open1,000
Worst price64.49
Drawdown as % of equity-0.51%
($2,310)
Includes Typical Broker Commissions trade costs of $10.00
10/8/18 12:03 PENN PENN NATIONAL GAMING LONG 2,300 28.54 10/9 12:02 28.66 0.39%
Trade id #120236098
Max drawdown($2,054)
Time10/9/18 10:18
Quant open2,300
Worst price27.64
Drawdown as % of equity-0.39%
$251
Includes Typical Broker Commissions trade costs of $23.00
10/2/18 12:42 SHOO STEVEN MADDEN LONG 1,200 50.55 10/3 11:56 50.74 0.18%
Trade id #120138839
Max drawdown($975)
Time10/2/18 15:12
Quant open1,200
Worst price49.74
Drawdown as % of equity-0.18%
$213
Includes Typical Broker Commissions trade costs of $12.00
10/2/18 13:56 FRC FIRST REPUBLIC BANK (SAN LONG 800 93.78 10/3 11:56 95.37 0.07%
Trade id #120140464
Max drawdown($407)
Time10/2/18 15:32
Quant open800
Worst price93.27
Drawdown as % of equity-0.07%
$1,268
Includes Typical Broker Commissions trade costs of $8.00
9/24/18 15:53 SITE SITEONE LANDSCAPE SUPPLY INC LONG 800 80.18 9/25 11:18 81.77 n/a $1,267
Includes Typical Broker Commissions trade costs of $8.00
9/20/18 14:24 SITE SITEONE LANDSCAPE SUPPLY INC LONG 1,200 81.77 9/21 10:02 82.05 0.08%
Trade id #119956871
Max drawdown($439)
Time9/21/18 9:31
Quant open1,200
Worst price81.40
Drawdown as % of equity-0.08%
$328
Includes Typical Broker Commissions trade costs of $12.00
9/19/18 13:03 HFC HOLLYFRONTIER LONG 1,800 67.03 9/21 10:02 67.17 0.97%
Trade id #119933942
Max drawdown($5,312)
Time9/20/18 9:38
Quant open1,800
Worst price64.08
Drawdown as % of equity-0.97%
$227
Includes Typical Broker Commissions trade costs of $18.00
9/17/18 13:01 CREE CREE LONG 1,500 40.61 9/20 9:35 40.95 0.22%
Trade id #119891691
Max drawdown($1,204)
Time9/19/18 13:10
Quant open1,500
Worst price39.81
Drawdown as % of equity-0.22%
$493
Includes Typical Broker Commissions trade costs of $15.00
9/19/18 15:28 MAN MANPOWERGROUP LONG 1,500 84.03 9/20 9:35 84.77 0.01%
Trade id #119936914
Max drawdown($72)
Time9/19/18 16:00
Quant open1,500
Worst price83.98
Drawdown as % of equity-0.01%
$1,095
Includes Typical Broker Commissions trade costs of $15.00
9/18/18 11:35 LYB LYONDELLBASELL INDUSTRIES LONG 1,500 101.70 9/19 12:41 102.50 0.7%
Trade id #119910757
Max drawdown($3,879)
Time9/19/18 9:31
Quant open1,500
Worst price99.11
Drawdown as % of equity-0.70%
$1,187
Includes Typical Broker Commissions trade costs of $15.00

Statistics

  • Strategy began
    2/17/2005
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    5017.17
  • Age
    167 months ago
  • What it trades
    Stocks
  • # Trades
    3727
  • # Profitable
    2677
  • % Profitable
    71.80%
  • Avg trade duration
    3.4 days
  • Max peak-to-valley drawdown
    62.88%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    31.4%
  • Avg win
    $738.55
  • Avg loss
    $1,446
  • Model Account Values (Raw)
  • Cash
    $400,052
  • Margin Used
    $0
  • Buying Power
    $363,939
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.592
  • Sortino Ratio
    1.687
  • Calmar Ratio
    0.216
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.39200
  • Return Statistics
  • Ann Return (w trading costs)
    31.4%
  • Ann Return (Compnd, No Fees)
    33.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.00%
  • Chance of 20% account loss
    26.00%
  • Chance of 30% account loss
    11.50%
  • Chance of 40% account loss
    4.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    328
  • Popularity (Last 6 weeks)
    923
  • C2 Score
    69.7
  • 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
    $1,447
  • Avg Win
    $739
  • # Winners
    2677
  • # Losers
    1050
  • % Winners
    71.8%
  • Frequency
  • Avg Position Time (mins)
    4956.35
  • Avg Position Time (hrs)
    82.61
  • Avg Trade Length
    3.4 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23122
  • SD
    0.34168
  • Sharpe ratio (Glass type estimate)
    0.67671
  • Sharpe ratio (Hedges UMVUE)
    0.67353
  • df
    160.00000
  • t
    2.47869
  • p
    0.40385
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13549
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21368
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86152
  • Upside Potential Ratio
    1.81074
  • Upside part of mean
    0.48597
  • Downside part of mean
    -0.25475
  • Upside SD
    0.22011
  • Downside SD
    0.26838
  • N nonnegative terms
    111.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    161.00000
  • Mean of predictor
    0.04215
  • Mean of criterion
    0.23122
  • SD of predictor
    0.18870
  • SD of criterion
    0.34168
  • Covariance
    0.03120
  • r
    0.48385
  • b (slope, estimate of beta)
    0.87612
  • a (intercept, estimate of alpha)
    0.19429
  • Mean Square Error
    0.08998
  • DF error
    159.00000
  • t(b)
    6.97152
  • p(b)
    0.20445
  • t(a)
    2.36752
  • p(a)
    0.38319
  • Lowerbound of 95% confidence interval for beta
    0.62792
  • Upperbound of 95% confidence interval for beta
    1.12432
  • Lowerbound of 95% confidence interval for alpha
    0.03221
  • Upperbound of 95% confidence interval for alpha
    0.35636
  • Treynor index (mean / b)
    0.26391
  • Jensen alpha (a)
    0.19429
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13691
  • SD
    0.50385
  • Sharpe ratio (Glass type estimate)
    0.27173
  • Sharpe ratio (Hedges UMVUE)
    0.27045
  • df
    160.00000
  • t
    0.99531
  • p
    0.46078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26546
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80636
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29773
  • Upside Potential Ratio
    1.00625
  • Upside part of mean
    0.46273
  • Downside part of mean
    -0.32582
  • Upside SD
    0.20588
  • Downside SD
    0.45986
  • N nonnegative terms
    111.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    161.00000
  • Mean of predictor
    0.02390
  • Mean of criterion
    0.13691
  • SD of predictor
    0.19280
  • SD of criterion
    0.50385
  • Covariance
    0.04242
  • r
    0.43669
  • b (slope, estimate of beta)
    1.14122
  • a (intercept, estimate of alpha)
    0.10963
  • Mean Square Error
    0.20675
  • DF error
    159.00000
  • t(b)
    6.12096
  • p(b)
    0.23110
  • t(a)
    0.88258
  • p(a)
    0.45559
  • Lowerbound of 95% confidence interval for beta
    0.77299
  • Upperbound of 95% confidence interval for beta
    1.50945
  • Lowerbound of 95% confidence interval for alpha
    -0.13570
  • Upperbound of 95% confidence interval for alpha
    0.35496
  • Treynor index (mean / b)
    0.11997
  • Jensen alpha (a)
    0.10963
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20374
  • Expected Shortfall on VaR
    0.24963
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03283
  • Expected Shortfall on VaR
    0.08196
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    161.00000
  • Minimum
    0.21165
  • Quartile 1
    0.99562
  • Median
    1.02769
  • Quartile 3
    1.05886
  • Maximum
    1.28186
  • Mean of quarter 1
    0.91987
  • Mean of quarter 2
    1.01333
  • Mean of quarter 3
    1.04356
  • Mean of quarter 4
    1.11217
  • Inter Quartile Range
    0.06323
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05590
  • Mean of outliers low
    0.75981
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.19043
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84857
  • VaR(95%) (moments method)
    0.03791
  • Expected Shortfall (moments method)
    0.29062
  • Extreme Value Index (regression method)
    0.48935
  • VaR(95%) (regression method)
    0.05896
  • Expected Shortfall (regression method)
    0.15444
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00128
  • Quartile 1
    0.01290
  • Median
    0.05262
  • Quartile 3
    0.10966
  • Maximum
    0.78835
  • Mean of quarter 1
    0.00727
  • Mean of quarter 2
    0.03202
  • 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)
    0.60579
  • Compounded annual return (geometric extrapolation)
    0.17918
  • Calmar ratio (compounded annual return / max draw down)
    0.22728
  • Compounded annual return / average of 25% largest draw downs
    0.48161
  • Compounded annual return / Expected Shortfall lognormal
    0.71778
  • 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
    1.08583
  • SD
    1.83419
  • Sharpe ratio (Glass type estimate)
    0.59199
  • Sharpe ratio (Hedges UMVUE)
    0.59187
  • df
    3517.00000
  • t
    2.16927
  • p
    0.01506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12692
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68673
  • Upside Potential Ratio
    4.95504
  • Upside part of mean
    3.18979
  • Downside part of mean
    -2.10396
  • Upside SD
    1.71854
  • Downside SD
    0.64375
  • N nonnegative terms
    1929.00000
  • N negative terms
    1589.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3518.00000
  • Mean of predictor
    0.09819
  • Mean of criterion
    1.08583
  • SD of predictor
    0.39295
  • SD of criterion
    1.83419
  • Covariance
    0.21153
  • r
    0.29349
  • b (slope, estimate of beta)
    1.36994
  • a (intercept, estimate of alpha)
    0.95100
  • Mean Square Error
    3.07535
  • DF error
    3516.00000
  • t(b)
    18.20430
  • p(b)
    0.00000
  • t(a)
    1.98757
  • p(a)
    0.02347
  • Lowerbound of 95% confidence interval for beta
    1.22240
  • Upperbound of 95% confidence interval for beta
    1.51749
  • Lowerbound of 95% confidence interval for alpha
    0.01289
  • Upperbound of 95% confidence interval for alpha
    1.88974
  • Treynor index (mean / b)
    0.79261
  • Jensen alpha (a)
    0.95132
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13595
  • SD
    1.34314
  • Sharpe ratio (Glass type estimate)
    0.10122
  • Sharpe ratio (Hedges UMVUE)
    0.10119
  • df
    3517.00000
  • t
    0.37089
  • p
    0.35537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63609
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63607
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13479
  • Upside Potential Ratio
    2.58262
  • Upside part of mean
    2.60486
  • Downside part of mean
    -2.46891
  • Upside SD
    0.88673
  • Downside SD
    1.00861
  • N nonnegative terms
    1929.00000
  • N negative terms
    1589.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3518.00000
  • Mean of predictor
    0.02158
  • Mean of criterion
    0.13595
  • SD of predictor
    0.39145
  • SD of criterion
    1.34314
  • Covariance
    0.16853
  • r
    0.32053
  • b (slope, estimate of beta)
    1.09977
  • a (intercept, estimate of alpha)
    0.11221
  • Mean Square Error
    1.61914
  • DF error
    3516.00000
  • t(b)
    20.06450
  • p(b)
    0.00000
  • t(a)
    0.32314
  • p(a)
    0.37330
  • Lowerbound of 95% confidence interval for beta
    0.99230
  • Upperbound of 95% confidence interval for beta
    1.20724
  • Lowerbound of 95% confidence interval for alpha
    -0.56863
  • Upperbound of 95% confidence interval for alpha
    0.79305
  • Treynor index (mean / b)
    0.12362
  • Jensen alpha (a)
    0.11221
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12713
  • Expected Shortfall on VaR
    0.15648
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01633
  • Expected Shortfall on VaR
    0.03937
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3518.00000
  • Minimum
    0.17741
  • Quartile 1
    0.99640
  • Median
    1.00096
  • Quartile 3
    1.00619
  • Maximum
    5.71618
  • Mean of quarter 1
    0.96917
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00331
  • Mean of quarter 4
    1.04550
  • Inter Quartile Range
    0.00979
  • Number outliers low
    269.00000
  • Percentage of outliers low
    0.07646
  • Mean of outliers low
    0.91817
  • Number of outliers high
    256.00000
  • Percentage of outliers high
    0.07277
  • Mean of outliers high
    1.12876
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.05043
  • VaR(95%) (moments method)
    0.02358
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.77486
  • VaR(95%) (regression method)
    0.01786
  • Expected Shortfall (regression method)
    0.08669
  • 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
    0.23900
  • 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
    0.30023
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57406
  • VaR(95%) (moments method)
    0.18825
  • Expected Shortfall (moments method)
    0.52201
  • Extreme Value Index (regression method)
    0.37865
  • VaR(95%) (regression method)
    0.23421
  • Expected Shortfall (regression method)
    0.49233
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59776
  • Compounded annual return (geometric extrapolation)
    0.17804
  • Calmar ratio (compounded annual return / max draw down)
    0.21555
  • Compounded annual return / average of 25% largest draw downs
    0.74496
  • Compounded annual return / Expected Shortfall lognormal
    1.13778
  • 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
    0.10256
  • SD
    0.14136
  • Sharpe ratio (Glass type estimate)
    0.72552
  • Sharpe ratio (Hedges UMVUE)
    0.72133
  • df
    130.00000
  • t
    0.51302
  • p
    0.47752
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49741
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.05186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49452
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14955
  • Upside Potential Ratio
    8.76984
  • Upside part of mean
    0.78241
  • Downside part of mean
    -0.67985
  • Upside SD
    0.10913
  • Downside SD
    0.08922
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02550
  • Mean of criterion
    0.10256
  • SD of predictor
    0.12860
  • SD of criterion
    0.14136
  • Covariance
    0.00817
  • r
    0.44928
  • b (slope, estimate of beta)
    0.49384
  • a (intercept, estimate of alpha)
    0.11515
  • Mean Square Error
    0.01607
  • DF error
    129.00000
  • t(b)
    5.71178
  • p(b)
    0.22392
  • t(a)
    0.64221
  • p(a)
    0.46408
  • Lowerbound of 95% confidence interval for beta
    0.32278
  • Upperbound of 95% confidence interval for beta
    0.66490
  • Lowerbound of 95% confidence interval for alpha
    -0.23960
  • Upperbound of 95% confidence interval for alpha
    0.46990
  • Treynor index (mean / b)
    0.20767
  • Jensen alpha (a)
    0.11515
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09267
  • SD
    0.14073
  • Sharpe ratio (Glass type estimate)
    0.65850
  • Sharpe ratio (Hedges UMVUE)
    0.65470
  • df
    130.00000
  • t
    0.46563
  • p
    0.47960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42765
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03020
  • Upside Potential Ratio
    8.63152
  • Upside part of mean
    0.77648
  • Downside part of mean
    -0.68380
  • Upside SD
    0.10768
  • Downside SD
    0.08996
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03374
  • Mean of criterion
    0.09267
  • SD of predictor
    0.12904
  • SD of criterion
    0.14073
  • Covariance
    0.00822
  • r
    0.45282
  • b (slope, estimate of beta)
    0.49385
  • a (intercept, estimate of alpha)
    0.10934
  • Mean Square Error
    0.01587
  • DF error
    129.00000
  • t(b)
    5.76834
  • p(b)
    0.22190
  • t(a)
    0.61368
  • p(a)
    0.46567
  • Lowerbound of 95% confidence interval for beta
    0.32446
  • Upperbound of 95% confidence interval for beta
    0.66324
  • Lowerbound of 95% confidence interval for alpha
    -0.24317
  • Upperbound of 95% confidence interval for alpha
    0.46184
  • Treynor index (mean / b)
    0.18766
  • Jensen alpha (a)
    0.10934
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01385
  • Expected Shortfall on VaR
    0.01742
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00557
  • Expected Shortfall on VaR
    0.01126
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96990
  • Quartile 1
    0.99711
  • Median
    1.00069
  • Quartile 3
    1.00359
  • Maximum
    1.04241
  • Mean of quarter 1
    0.99079
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.01010
  • Inter Quartile Range
    0.00648
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98225
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02347
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20924
  • VaR(95%) (moments method)
    0.00786
  • Expected Shortfall (moments method)
    0.00999
  • Extreme Value Index (regression method)
    -0.18412
  • VaR(95%) (regression method)
    0.01157
  • Expected Shortfall (regression method)
    0.01543
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00117
  • Median
    0.00277
  • Quartile 3
    0.01020
  • Maximum
    0.16596
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00219
  • Mean of quarter 3
    0.00657
  • Mean of quarter 4
    0.05619
  • Inter Quartile Range
    0.00903
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.09748
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75662
  • VaR(95%) (moments method)
    0.04841
  • Expected Shortfall (moments method)
    0.22895
  • Extreme Value Index (regression method)
    1.67304
  • VaR(95%) (regression method)
    0.10062
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12429
  • Compounded annual return (geometric extrapolation)
    0.12815
  • Calmar ratio (compounded annual return / max draw down)
    0.77218
  • Compounded annual return / average of 25% largest draw downs
    2.28084
  • Compounded annual return / Expected Shortfall lognormal
    7.35577

Strategy Description

Visit www.extremetradinginc.com for further description.

Summary Statistics

Strategy began
2005-02-17
Suggested Minimum Capital
$35,000
# Trades
3727
# Profitable
2677
% Profitable
71.8%
Net Dividends
Correlation S&P500
0.392
Sharpe Ratio
0.592

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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