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extreme-os
(13202557)

Created by: UyenLe UyenLe
Started: 02/2005
Stocks
Last trade: 14 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).
31.5%
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
3751
Num Trades
71.8%
Win Trades
1.3 : 1
Profit Factor
70.2%
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+6.7%                                                                  +6.7%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 96 hours.

Trading Record

This strategy has placed 5,120 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/8/19 11:54 HQY HEALTHEQUITY INC. COMMON STOC LONG 1,200 51.36 1/8 15:44 52.81 0.01%
Trade id #121847112
Max drawdown($53)
Time1/8/19 11:58
Quant open1,200
Worst price51.32
Drawdown as % of equity-0.01%
$1,721
Includes Typical Broker Commissions trade costs of $12.00
12/6/18 15:52 NTRS NORTHERN TRUST LONG 800 91.06 1/8/19 11:33 83.59 2.67%
Trade id #121386729
Max drawdown($12,078)
Time12/26/18 11:00
Quant open800
Worst price75.96
Drawdown as % of equity-2.67%
($5,985)
Includes Typical Broker Commissions trade costs of $8.00
12/11/18 15:15 SIG SIGNET JEWELERS LONG 1,300 34.79 1/7/19 11:43 35.06 1.82%
Trade id #121450630
Max drawdown($8,433)
Time12/24/18 9:49
Quant open1,300
Worst price28.30
Drawdown as % of equity-1.82%
$341
Includes Typical Broker Commissions trade costs of $13.00
12/17/18 14:39 MAC MACERICH LONG 1,200 45.10 1/4/19 11:51 44.48 1.12%
Trade id #121533893
Max drawdown($5,039)
Time12/26/18 10:55
Quant open1,200
Worst price40.90
Drawdown as % of equity-1.12%
($755)
Includes Typical Broker Commissions trade costs of $12.00
12/24/18 10:41 MSI MOTOROLA SOLUTIONS LONG 600 112.00 12/28 9:44 112.91 0.5%
Trade id #121642942
Max drawdown($2,249)
Time12/26/18 11:09
Quant open600
Worst price108.25
Drawdown as % of equity-0.50%
$540
Includes Typical Broker Commissions trade costs of $6.00
12/21/18 12:48 WBA WALGREEN BOOTS ALLIANCE INC. LONG 800 67.76 12/28 9:44 68.42 0.58%
Trade id #121623750
Max drawdown($2,601)
Time12/26/18 10:55
Quant open800
Worst price64.51
Drawdown as % of equity-0.58%
$517
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 11:57 HP HELMERICH & PAYNE LONG 1,000 47.70 12/26 15:44 47.50 0.7%
Trade id #121597888
Max drawdown($3,143)
Time12/26/18 10:21
Quant open1,000
Worst price44.56
Drawdown as % of equity-0.70%
($212)
Includes Typical Broker Commissions trade costs of $10.00
12/20/18 14:50 MSI MOTOROLA SOLUTIONS LONG 500 116.14 12/21 11:36 116.61 0.13%
Trade id #121603269
Max drawdown($615)
Time12/20/18 15:53
Quant open500
Worst price114.91
Drawdown as % of equity-0.13%
$231
Includes Typical Broker Commissions trade costs of $5.00
12/14/18 12:19 UPS UNITED PARCEL SERVICE LONG 1,000 98.73 12/18 9:35 98.72 0.49%
Trade id #121504598
Max drawdown($2,373)
Time12/17/18 15:50
Quant open1,000
Worst price96.36
Drawdown as % of equity-0.49%
($27)
Includes Typical Broker Commissions trade costs of $10.00
12/12/18 10:14 FDX FEDEX LONG 500 189.83 12/17 12:19 185.87 0.85%
Trade id #121462349
Max drawdown($4,115)
Time12/17/18 9:46
Quant open500
Worst price181.60
Drawdown as % of equity-0.85%
($1,986)
Includes Typical Broker Commissions trade costs of $5.00
12/13/18 11:45 UA UNDERARMOUR CLASS C LONG 2,500 17.89 12/17 11:33 17.74 0.37%
Trade id #121483470
Max drawdown($1,794)
Time12/17/18 9:32
Quant open2,500
Worst price17.17
Drawdown as % of equity-0.37%
($384)
Includes Typical Broker Commissions trade costs of $25.00
12/11/18 14:30 DRI DARDEN RESTAURANTS LONG 1,000 101.96 12/11 15:56 101.71 0.05%
Trade id #121449876
Max drawdown($245)
Time12/11/18 15:56
Quant open0
Worst price101.71
Drawdown as % of equity-0.05%
($255)
Includes Typical Broker Commissions trade costs of $10.00
12/10/18 11:41 BIG BIG LOTS LONG 2,000 29.64 12/11 9:32 29.99 0.16%
Trade id #121425431
Max drawdown($776)
Time12/10/18 12:20
Quant open2,000
Worst price29.25
Drawdown as % of equity-0.16%
$687
Includes Typical Broker Commissions trade costs of $20.00
12/10/18 11:41 FDX FEDEX LONG 400 191.03 12/11 9:31 195.61 0.02%
Trade id #121425419
Max drawdown($120)
Time12/10/18 12:00
Quant open400
Worst price190.73
Drawdown as % of equity-0.02%
$1,829
Includes Typical Broker Commissions trade costs of $4.00
12/7/18 12:59 HQY HEALTHEQUITY INC. COMMON STOC LONG 700 68.46 12/7 14:37 69.32 0.16%
Trade id #121402872
Max drawdown($819)
Time12/7/18 13:28
Quant open700
Worst price67.29
Drawdown as % of equity-0.16%
$594
Includes Typical Broker Commissions trade costs of $7.00
12/6/18 12:08 LH LABORATORY CORPORATION LONG 500 140.45 12/6 14:37 141.67 0.06%
Trade id #121380487
Max drawdown($289)
Time12/6/18 13:21
Quant open500
Worst price139.87
Drawdown as % of equity-0.06%
$603
Includes Typical Broker Commissions trade costs of $5.00
11/30/18 15:02 PDCE PDC ENERGY LONG 1,700 33.40 12/3 9:41 35.51 0.01%
Trade id #121284444
Max drawdown($27)
Time11/30/18 15:04
Quant open1,700
Worst price33.38
Drawdown as % of equity-0.01%
$3,585
Includes Typical Broker Commissions trade costs of $17.00
11/21/18 14:45 ROST ROSS STORES LONG 1,200 81.68 11/28 9:55 83.79 0.45%
Trade id #121108822
Max drawdown($2,253)
Time11/23/18 12:01
Quant open1,200
Worst price79.80
Drawdown as % of equity-0.45%
$2,526
Includes Typical Broker Commissions trade costs of $12.00
11/20/18 14:35 TGT TARGET LONG 1,000 69.72 11/21 9:33 70.00 0.18%
Trade id #121078599
Max drawdown($907)
Time11/20/18 15:37
Quant open1,000
Worst price68.81
Drawdown as % of equity-0.18%
$277
Includes Typical Broker Commissions trade costs of $10.00
11/14/18 14:16 WP WORLDPAY INC LONG 1,200 83.34 11/21 9:32 81.44 1.79%
Trade id #120945495
Max drawdown($8,946)
Time11/20/18 9:31
Quant open1,200
Worst price75.88
Drawdown as % of equity-1.79%
($2,291)
Includes Typical Broker Commissions trade costs of $12.00
11/19/18 14:19 ROST ROSS STORES LONG 1,000 90.60 11/20 9:49 87.80 1.52%
Trade id #121054895
Max drawdown($7,602)
Time11/20/18 9:32
Quant open1,000
Worst price83.00
Drawdown as % of equity-1.52%
($2,813)
Includes Typical Broker Commissions trade costs of $10.00
11/20/18 9:35 TGT TARGET LONG 1,000 69.18 11/20 9:45 70.80 0.07%
Trade id #121071273
Max drawdown($358)
Time11/20/18 9:37
Quant open1,000
Worst price68.82
Drawdown as % of equity-0.07%
$1,616
Includes Typical Broker Commissions trade costs of $10.00
11/20/18 9:33 SQ SQUARE INC LONG 1,000 57.56 11/20 9:44 60.12 0.08%
Trade id #121071181
Max drawdown($421)
Time11/20/18 9:36
Quant open1,000
Worst price57.14
Drawdown as % of equity-0.08%
$2,548
Includes Typical Broker Commissions trade costs of $10.00
11/7/18 14:39 MYGN MYRIAD GENETICS LONG 1,000 33.28 11/19 11:49 31.90 0.84%
Trade id #120805055
Max drawdown($4,196)
Time11/14/18 11:44
Quant open1,000
Worst price29.08
Drawdown as % of equity-0.84%
($1,386)
Includes Typical Broker Commissions trade costs of $10.00
11/16/18 9:38 KSS KOHL'S LONG 1,000 69.74 11/16 11:33 72.11 0.04%
Trade id #121001691
Max drawdown($220)
Time11/16/18 9:44
Quant open1,000
Worst price69.52
Drawdown as % of equity-0.04%
$2,360
Includes Typical Broker Commissions trade costs of $10.00
11/12/18 15:50 PDCE PDC ENERGY LONG 1,000 39.95 11/14 9:35 40.56 0.36%
Trade id #120891715
Max drawdown($1,816)
Time11/13/18 10:41
Quant open1,000
Worst price38.13
Drawdown as % of equity-0.36%
$601
Includes Typical Broker Commissions trade costs of $10.00
11/12/18 11:39 QRVO QORVO INC. COMMON STOCK LONG 1,000 63.18 11/12 15:51 64.09 0.01%
Trade id #120884551
Max drawdown($61)
Time11/12/18 11:53
Quant open1,000
Worst price63.12
Drawdown as % of equity-0.01%
$897
Includes Typical Broker Commissions trade costs of $10.00
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

Statistics

  • Strategy began
    2/17/2005
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    5086.73
  • Age
    170 months ago
  • What it trades
    Stocks
  • # Trades
    3751
  • # Profitable
    2693
  • % Profitable
    71.80%
  • Avg trade duration
    3.5 days
  • Max peak-to-valley drawdown
    62.88%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    31.1%
  • Avg win
    $741.86
  • Avg loss
    $1,449
  • Model Account Values (Raw)
  • Cash
    $493,343
  • Margin Used
    $0
  • Buying Power
    $474,405
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.588
  • Sortino Ratio
    1.676
  • Calmar Ratio
    0.214
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.39400
  • Return Statistics
  • Ann Return (w trading costs)
    31.1%
  • Ann Return (Compnd, No Fees)
    32.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    13.00%
  • Chance of 40% account loss
    4.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    412
  • Popularity (Last 6 weeks)
    930
  • C2 Score
    62.9
  • 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
    $1,449
  • Avg Win
    $742
  • # Winners
    2693
  • # Losers
    1058
  • % Winners
    71.8%
  • Frequency
  • Avg Position Time (mins)
    5028.43
  • Avg Position Time (hrs)
    83.81
  • Avg Trade Length
    3.5 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22675
  • SD
    0.33984
  • Sharpe ratio (Glass type estimate)
    0.66721
  • Sharpe ratio (Hedges UMVUE)
    0.66412
  • df
    162.00000
  • t
    2.45904
  • p
    0.40515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12949
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20294
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20080
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84970
  • Upside Potential Ratio
    1.80087
  • Upside part of mean
    0.48057
  • Downside part of mean
    -0.25383
  • Upside SD
    0.21876
  • Downside SD
    0.26686
  • N nonnegative terms
    112.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.03570
  • Mean of criterion
    0.22675
  • SD of predictor
    0.18848
  • SD of criterion
    0.33984
  • Covariance
    0.03107
  • r
    0.48505
  • b (slope, estimate of beta)
    0.87460
  • a (intercept, estimate of alpha)
    0.19552
  • Mean Square Error
    0.08887
  • DF error
    161.00000
  • t(b)
    7.03790
  • p(b)
    0.20379
  • t(a)
    2.41363
  • p(a)
    0.38173
  • Lowerbound of 95% confidence interval for beta
    0.62919
  • Upperbound of 95% confidence interval for beta
    1.12001
  • Lowerbound of 95% confidence interval for alpha
    0.03555
  • Upperbound of 95% confidence interval for alpha
    0.35550
  • Treynor index (mean / b)
    0.25926
  • Jensen alpha (a)
    0.19552
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13356
  • SD
    0.50086
  • Sharpe ratio (Glass type estimate)
    0.26667
  • Sharpe ratio (Hedges UMVUE)
    0.26543
  • df
    162.00000
  • t
    0.98282
  • p
    0.46151
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26632
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79886
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26715
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79801
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29220
  • Upside Potential Ratio
    1.00112
  • Upside part of mean
    0.45761
  • Downside part of mean
    -0.32405
  • Upside SD
    0.20462
  • Downside SD
    0.45710
  • N nonnegative terms
    112.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.01753
  • Mean of criterion
    0.13356
  • SD of predictor
    0.19253
  • SD of criterion
    0.50086
  • Covariance
    0.04211
  • r
    0.43666
  • b (slope, estimate of beta)
    1.13596
  • a (intercept, estimate of alpha)
    0.11365
  • Mean Square Error
    0.20429
  • DF error
    161.00000
  • t(b)
    6.15874
  • p(b)
    0.23112
  • t(a)
    0.92642
  • p(a)
    0.45368
  • Lowerbound of 95% confidence interval for beta
    0.77172
  • Upperbound of 95% confidence interval for beta
    1.50021
  • Lowerbound of 95% confidence interval for alpha
    -0.12862
  • Upperbound of 95% confidence interval for alpha
    0.35592
  • Treynor index (mean / b)
    0.11758
  • Jensen alpha (a)
    0.11365
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20283
  • Expected Shortfall on VaR
    0.24852
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03291
  • Expected Shortfall on VaR
    0.08201
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    163.00000
  • Minimum
    0.21165
  • Quartile 1
    0.99558
  • Median
    1.02763
  • Quartile 3
    1.05854
  • Maximum
    1.28186
  • Mean of quarter 1
    0.91930
  • Mean of quarter 2
    1.01247
  • Mean of quarter 3
    1.04278
  • Mean of quarter 4
    1.11087
  • Inter Quartile Range
    0.06296
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05521
  • Mean of outliers low
    0.75981
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04294
  • Mean of outliers high
    1.19043
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63596
  • VaR(95%) (moments method)
    0.03235
  • Expected Shortfall (moments method)
    0.10890
  • Extreme Value Index (regression method)
    0.43001
  • VaR(95%) (regression method)
    0.06071
  • Expected Shortfall (regression method)
    0.14567
  • 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)
    0.58637
  • Compounded annual return (geometric extrapolation)
    0.17524
  • Calmar ratio (compounded annual return / max draw down)
    0.22228
  • Compounded annual return / average of 25% largest draw downs
    0.47102
  • Compounded annual return / Expected Shortfall lognormal
    0.70514
  • 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
    1.07211
  • SD
    1.82191
  • Sharpe ratio (Glass type estimate)
    0.58846
  • Sharpe ratio (Hedges UMVUE)
    0.58833
  • df
    3565.00000
  • t
    2.17097
  • p
    0.01500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11977
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67638
  • Upside Potential Ratio
    4.94114
  • Upside part of mean
    3.16006
  • Downside part of mean
    -2.08795
  • Upside SD
    1.70698
  • Downside SD
    0.63954
  • N nonnegative terms
    1957.00000
  • N negative terms
    1609.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3566.00000
  • Mean of predictor
    0.09549
  • Mean of criterion
    1.07211
  • SD of predictor
    0.39131
  • SD of criterion
    1.82191
  • Covariance
    0.20904
  • r
    0.29321
  • b (slope, estimate of beta)
    1.36516
  • a (intercept, estimate of alpha)
    0.94200
  • Mean Square Error
    3.03483
  • DF error
    3564.00000
  • t(b)
    18.30920
  • p(b)
    0.00000
  • t(a)
    1.99418
  • p(a)
    0.02310
  • Lowerbound of 95% confidence interval for beta
    1.21897
  • Upperbound of 95% confidence interval for beta
    1.51134
  • Lowerbound of 95% confidence interval for alpha
    0.01584
  • Upperbound of 95% confidence interval for alpha
    1.86768
  • Treynor index (mean / b)
    0.78534
  • Jensen alpha (a)
    0.94176
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13485
  • SD
    1.33419
  • Sharpe ratio (Glass type estimate)
    0.10107
  • Sharpe ratio (Hedges UMVUE)
    0.10105
  • df
    3565.00000
  • t
    0.37288
  • p
    0.35463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63232
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13459
  • Upside Potential Ratio
    2.57805
  • Upside part of mean
    2.58292
  • Downside part of mean
    -2.44807
  • Upside SD
    0.88083
  • Downside SD
    1.00189
  • N nonnegative terms
    1957.00000
  • N negative terms
    1609.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3566.00000
  • Mean of predictor
    0.01951
  • Mean of criterion
    0.13485
  • SD of predictor
    0.38983
  • SD of criterion
    1.33419
  • Covariance
    0.16661
  • r
    0.32033
  • b (slope, estimate of beta)
    1.09634
  • a (intercept, estimate of alpha)
    0.11346
  • Mean Square Error
    1.59786
  • DF error
    3564.00000
  • t(b)
    20.18720
  • p(b)
    0.00000
  • t(a)
    0.33113
  • p(a)
    0.37028
  • Lowerbound of 95% confidence interval for beta
    0.98986
  • Upperbound of 95% confidence interval for beta
    1.20281
  • Lowerbound of 95% confidence interval for alpha
    -0.55832
  • Upperbound of 95% confidence interval for alpha
    0.78524
  • Treynor index (mean / b)
    0.12300
  • Jensen alpha (a)
    0.11346
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12634
  • Expected Shortfall on VaR
    0.15553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01620
  • Expected Shortfall on VaR
    0.03905
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3566.00000
  • Minimum
    0.17741
  • Quartile 1
    0.99638
  • Median
    1.00096
  • Quartile 3
    1.00619
  • Maximum
    5.71618
  • Mean of quarter 1
    0.96941
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00330
  • Mean of quarter 4
    1.04505
  • Inter Quartile Range
    0.00981
  • Number outliers low
    270.00000
  • Percentage of outliers low
    0.07572
  • Mean of outliers low
    0.91836
  • Number of outliers high
    257.00000
  • Percentage of outliers high
    0.07207
  • Mean of outliers high
    1.12834
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.04279
  • VaR(95%) (moments method)
    0.02345
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.77190
  • VaR(95%) (regression method)
    0.01767
  • Expected Shortfall (regression method)
    0.08449
  • 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)
    0.59977
  • Compounded annual return (geometric extrapolation)
    0.17675
  • Calmar ratio (compounded annual return / max draw down)
    0.21398
  • Compounded annual return / average of 25% largest draw downs
    0.73787
  • Compounded annual return / Expected Shortfall lognormal
    1.13643
  • 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
    0.01570
  • SD
    0.15768
  • Sharpe ratio (Glass type estimate)
    0.09954
  • Sharpe ratio (Hedges UMVUE)
    0.09896
  • df
    130.00000
  • t
    0.07038
  • p
    0.49691
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.67242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87125
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.67287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87079
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14709
  • Upside Potential Ratio
    7.87805
  • Upside part of mean
    0.84060
  • Downside part of mean
    -0.82491
  • Upside SD
    0.11528
  • Downside SD
    0.10670
  • 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
    -0.10818
  • Mean of criterion
    0.01570
  • SD of predictor
    0.18763
  • SD of criterion
    0.15768
  • Covariance
    0.01729
  • r
    0.58440
  • b (slope, estimate of beta)
    0.49113
  • a (intercept, estimate of alpha)
    0.06883
  • Mean Square Error
    0.01650
  • DF error
    129.00000
  • t(b)
    8.17965
  • p(b)
    0.15038
  • t(a)
    0.37865
  • p(a)
    0.47879
  • Lowerbound of 95% confidence interval for beta
    0.37233
  • Upperbound of 95% confidence interval for beta
    0.60992
  • Lowerbound of 95% confidence interval for alpha
    -0.29080
  • Upperbound of 95% confidence interval for alpha
    0.42846
  • Treynor index (mean / b)
    0.03196
  • Jensen alpha (a)
    0.06883
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00340
  • SD
    0.15729
  • Sharpe ratio (Glass type estimate)
    0.02161
  • Sharpe ratio (Hedges UMVUE)
    0.02149
  • df
    130.00000
  • t
    0.01528
  • p
    0.49933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75020
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79329
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03156
  • Upside Potential Ratio
    7.74188
  • Upside part of mean
    0.83398
  • Downside part of mean
    -0.83059
  • Upside SD
    0.11378
  • Downside SD
    0.10772
  • 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
    -0.12566
  • Mean of criterion
    0.00340
  • SD of predictor
    0.18762
  • SD of criterion
    0.15729
  • Covariance
    0.01733
  • r
    0.58724
  • b (slope, estimate of beta)
    0.49230
  • a (intercept, estimate of alpha)
    0.06526
  • Mean Square Error
    0.01633
  • DF error
    129.00000
  • t(b)
    8.24019
  • p(b)
    0.14892
  • t(a)
    0.36078
  • p(a)
    0.47979
  • Lowerbound of 95% confidence interval for beta
    0.37410
  • Upperbound of 95% confidence interval for beta
    0.61051
  • Lowerbound of 95% confidence interval for alpha
    -0.29264
  • Upperbound of 95% confidence interval for alpha
    0.42317
  • Treynor index (mean / b)
    0.00690
  • Jensen alpha (a)
    0.06526
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01584
  • Expected Shortfall on VaR
    0.01983
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00677
  • Expected Shortfall on VaR
    0.01360
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96873
  • Quartile 1
    0.99642
  • Median
    1.00068
  • Quartile 3
    1.00383
  • Maximum
    1.04241
  • Mean of quarter 1
    0.98877
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.00190
  • Mean of quarter 4
    1.01103
  • Inter Quartile Range
    0.00742
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97973
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02643
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.49119
  • VaR(95%) (moments method)
    0.00969
  • Expected Shortfall (moments method)
    0.01139
  • Extreme Value Index (regression method)
    -0.34568
  • VaR(95%) (regression method)
    0.01164
  • Expected Shortfall (regression method)
    0.01441
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00102
  • Median
    0.00224
  • Quartile 3
    0.00717
  • Maximum
    0.18107
  • Mean of quarter 1
    0.00077
  • Mean of quarter 2
    0.00178
  • Mean of quarter 3
    0.00499
  • Mean of quarter 4
    0.09540
  • Inter Quartile Range
    0.00615
  • 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
    0.11111
  • Mean of outliers high
    0.18107
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.53654
  • VaR(95%) (moments method)
    0.08053
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.06909
  • VaR(95%) (regression method)
    1.14177
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03155
  • Compounded annual return (geometric extrapolation)
    0.03180
  • Calmar ratio (compounded annual return / max draw down)
    0.17563
  • Compounded annual return / average of 25% largest draw downs
    0.33335
  • Compounded annual return / Expected Shortfall lognormal
    1.60410

Strategy Description

Visit www.extremetradinginc.com for further description.

Summary Statistics

Strategy began
2005-02-17
Suggested Minimum Capital
$60,000
# Trades
3751
# Profitable
2693
% Profitable
71.8%
Net Dividends
Correlation S&P500
0.394
Sharpe Ratio
0.588

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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