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extreme-os
(13202557)

Created by: UyenLe UyenLe
Started: 02/2005
Stocks
Last trade: 4 days ago
Trading style: Equity Short-term Reversal

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
28.3%
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.

(63.6%)
Max Drawdown
4204
Num Trades
72.6%
Win Trades
1.4 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005       (0.4%)+20.9%+3.0%+6.9%+0.3%+12.6%+6.1%+6.1%+16.2%+1.9%+11.0%+121.7%
2006+11.1%+4.2%+16.6%+2.8%+12.3%+0.3%+13.4%+9.1%+3.2%+3.0%+4.8%+4.5%+125.5%
2007+10.8%+2.0%+0.7%(5.3%)+12.2%(5.5%)+2.8%+4.0%+4.4%+15.6%(9.7%)+12.6%+50.0%
2008+13.5%+14.2%(12.7%)+8.6%+10.6%(0.4%)+15.2%+8.4%+14.8%(29.8%)(18.8%)+6.4%+17.6%
2009(12.1%)(15.5%)(7.1%)+13.6%+6.7%(1.8%)+9.1%+0.8%(3.4%)+0.7%+4.5%+4.6%(4.1%)
2010(10.7%)+16.1%+6.8%+4.4%+12.9%(1.6%)+10.8%(12.3%)+5.9%+6.7%(0.6%)+10.0%+54.2%
2011+1.2%+2.0%+7.6%+5.5%+14.2%  -  +3.9%(21.3%)(16.6%)+5.3%(6.6%)+5.9%(4.9%)
2012+2.7%+3.2%+2.4%(3.9%)(12.3%)+18.0%+2.4%(1.7%)+7.4%+3.1%+5.2%+2.7%+30.0%
2013(0.5%)+5.6%+4.5%+6.5%(1.6%)+6.3%+4.1%+7.7%(0.9%)+1.3%+5.2%+2.0%+47.8%
2014+0.6%+4.8%+7.4%+2.1%+7.2%+0.7%(3.4%)+5.9%(1.9%)+2.6%(0.7%)(2.3%)+24.5%
2015+0.6%+5.0%+4.2%+1.4%(1.7%)(7.4%)+1.3%(0.4%)(8.4%)+10.2%+6.2%(8.5%)+0.4%
2016(6.3%)+0.1%+4.3%+2.5%(0.2%)+2.0%+3.0%(3.8%)+4.6%(1%)+5.6%(5.4%)+4.6%
2017+1.3%(1.1%)(3.3%)+0.2%(1.1%)+7.4%(1.2%)+2.1%+7.4%(0.7%)+2.4%(0.1%)+13.4%
2018(0.2%)(11.9%)+16.4%+0.6%+9.4%+2.8%+5.0%+5.2%+3.1%(13.5%)+6.5%(6.4%)+13.8%
2019+7.6%(1%)+0.1%+2.4%(5.4%)+8.3%+1.5%+0.9%(0.3%)+0.4%(0.8%)+0.9%+14.7%
2020+0.1%+3.2%(11.8%)+8.8%+0.7%+10.1%+2.6%+2.8%+2.1%(3.8%)+10.8%+4.5%+31.8%
2021+3.2%(1.5%)(7.1%)(1.4%)(2%)+5.2%(8.6%)+11.7%+3.8%+2.7%            +4.6%

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 6,049 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/13/21 10:35 OSK OSHKOSH LONG 700 96.70 10/13 11:18 97.96 0.01%
Trade id #137789129
Max drawdown($49)
Time10/13/21 10:40
Quant open700
Worst price96.63
Drawdown as % of equity-0.01%
$874
Includes Typical Broker Commissions trade costs of $5.00
10/12/21 10:56 CTXS CITRIX SYSTEMS LONG 800 92.21 10/13 10:35 93.11 0.21%
Trade id #137771874
Max drawdown($1,316)
Time10/13/21 0:00
Quant open800
Worst price90.56
Drawdown as % of equity-0.21%
$718
Includes Typical Broker Commissions trade costs of $5.00
10/11/21 12:05 FOUR SHIFT4 PAYMENTS INC LONG 1,000 70.77 10/12 13:05 70.64 0.44%
Trade id #137754955
Max drawdown($2,770)
Time10/11/21 15:54
Quant open1,000
Worst price68.00
Drawdown as % of equity-0.44%
($130)
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 12:51 ROST ROSS STORES LONG 700 105.47 10/7 9:33 108.08 0.06%
Trade id #137696206
Max drawdown($391)
Time10/6/21 13:05
Quant open700
Worst price104.92
Drawdown as % of equity-0.06%
$1,819
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 11:12 BAND BANDWIDTH INC. CLASS A COMMON STOCK LONG 600 83.96 10/5 12:09 83.86 0.16%
Trade id #137647806
Max drawdown($1,024)
Time10/4/21 13:28
Quant open600
Worst price82.25
Drawdown as % of equity-0.16%
($65)
Includes Typical Broker Commissions trade costs of $5.00
10/1/21 10:55 LMND LEMONADE INC LONG 1,000 64.15 10/5 10:12 64.73 0.5%
Trade id #137619355
Max drawdown($3,100)
Time10/4/21 0:00
Quant open1,000
Worst price61.05
Drawdown as % of equity-0.50%
$575
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 10:54 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD LONG 1,000 44.53 10/5 9:51 46.07 0.18%
Trade id #137646971
Max drawdown($1,124)
Time10/4/21 15:52
Quant open1,000
Worst price43.41
Drawdown as % of equity-0.18%
$1,529
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 11:13 ESTC ELASTIC NV LONG 400 140.93 10/4 15:12 141.76 0.09%
Trade id #137647823
Max drawdown($589)
Time10/4/21 11:57
Quant open400
Worst price139.46
Drawdown as % of equity-0.09%
$325
Includes Typical Broker Commissions trade costs of $8.00
10/1/21 10:56 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD LONG 1,000 48.55 10/1 15:05 50.06 0.1%
Trade id #137619361
Max drawdown($608)
Time10/1/21 11:10
Quant open1,000
Worst price47.94
Drawdown as % of equity-0.10%
$1,506
Includes Typical Broker Commissions trade costs of $5.00
9/30/21 13:08 S SENTINELONE INC LONG 1,000 54.35 10/1 15:05 55.61 0.37%
Trade id #137603264
Max drawdown($2,261)
Time10/1/21 10:40
Quant open1,000
Worst price52.09
Drawdown as % of equity-0.37%
$1,252
Includes Typical Broker Commissions trade costs of $5.00
9/29/21 14:31 NET CLOUDFLARE INC LONG 800 112.58 9/29 15:02 113.85 0.01%
Trade id #137586783
Max drawdown($64)
Time9/29/21 14:35
Quant open800
Worst price112.50
Drawdown as % of equity-0.01%
$1,011
Includes Typical Broker Commissions trade costs of $5.00
9/29/21 12:04 LSPD LIGHTSPEED COMMERCE INC LONG 600 100.94 9/29 12:24 102.80 0.03%
Trade id #137584241
Max drawdown($162)
Time9/29/21 12:11
Quant open600
Worst price100.67
Drawdown as % of equity-0.03%
$1,111
Includes Typical Broker Commissions trade costs of $5.00
9/28/21 10:57 ROKU ROKU INC. CLASS A COMMON STOCK LONG 200 311.05 9/29 9:36 314.19 0.12%
Trade id #137562220
Max drawdown($700)
Time9/28/21 11:18
Quant open200
Worst price307.55
Drawdown as % of equity-0.12%
$625
Includes Typical Broker Commissions trade costs of $4.00
9/16/21 10:27 WYNN WYNN RESORTS LONG 800 84.07 9/23 12:13 83.49 0.74%
Trade id #137398491
Max drawdown($4,418)
Time9/21/21 0:00
Quant open800
Worst price78.55
Drawdown as % of equity-0.74%
($471)
Includes Typical Broker Commissions trade costs of $5.00
9/21/21 14:14 ATVI ACTIVISION BLIZZARD LONG 1,000 73.89 9/23 9:54 74.29 0.28%
Trade id #137466121
Max drawdown($1,690)
Time9/22/21 0:00
Quant open1,000
Worst price72.20
Drawdown as % of equity-0.28%
$400
Includes Typical Broker Commissions trade costs of $5.00
9/21/21 14:34 VFC VF LONG 1,100 66.18 9/23 9:54 67.44 0.16%
Trade id #137466486
Max drawdown($921)
Time9/22/21 0:00
Quant open1,100
Worst price65.34
Drawdown as % of equity-0.16%
$1,385
Includes Typical Broker Commissions trade costs of $5.00
9/2/21 11:37 FIVE FIVE BELOW INC LONG 300 191.34 9/22 15:56 191.41 0.64%
Trade id #137226125
Max drawdown($3,941)
Time9/8/21 0:00
Quant open300
Worst price178.20
Drawdown as % of equity-0.64%
$15
Includes Typical Broker Commissions trade costs of $6.00
9/21/21 11:18 NUE NUCOR LONG 800 93.70 9/21 14:15 96.11 0.05%
Trade id #137462494
Max drawdown($296)
Time9/21/21 11:29
Quant open800
Worst price93.33
Drawdown as % of equity-0.05%
$1,923
Includes Typical Broker Commissions trade costs of $5.00
9/20/21 15:48 NEM NEWMONT CORP LONG 1,300 53.83 9/21 11:01 54.58 n/a $970
Includes Typical Broker Commissions trade costs of $5.00
9/20/21 15:54 YUMC YUM CHINA HOLDINGS INC LONG 1,300 53.47 9/21 10:37 54.12 n/a $843
Includes Typical Broker Commissions trade costs of $5.00
9/15/21 14:17 STNE STONECO LTD. CLASS A COMMON SHARES LONG 1,500 40.80 9/17 10:34 41.19 0.17%
Trade id #137386539
Max drawdown($1,026)
Time9/16/21 0:00
Quant open1,500
Worst price40.12
Drawdown as % of equity-0.17%
$574
Includes Typical Broker Commissions trade costs of $5.00
9/10/21 15:48 RNG RINGCENTRAL INC. LONG 300 219.84 9/16 14:08 223.70 0.36%
Trade id #137330294
Max drawdown($2,155)
Time9/15/21 0:00
Quant open300
Worst price212.66
Drawdown as % of equity-0.36%
$1,152
Includes Typical Broker Commissions trade costs of $6.00
9/15/21 11:17 DLTR DOLLAR TREE STORES LONG 800 87.67 9/16 11:38 89.16 0.02%
Trade id #137382920
Max drawdown($123)
Time9/15/21 12:32
Quant open800
Worst price87.52
Drawdown as % of equity-0.02%
$1,186
Includes Typical Broker Commissions trade costs of $5.00
9/14/21 11:40 GRWG GROWGENERATION CORP. COMMON STOCK LONG 2,000 26.45 9/15 15:19 26.83 0.49%
Trade id #137367683
Max drawdown($2,910)
Time9/14/21 14:02
Quant open2,000
Worst price25.00
Drawdown as % of equity-0.49%
$754
Includes Typical Broker Commissions trade costs of $5.00
9/8/21 11:59 SKX SKECHERS USA LONG 2,000 46.38 9/9 12:07 47.47 0.1%
Trade id #137291124
Max drawdown($617)
Time9/8/21 14:53
Quant open2,000
Worst price46.07
Drawdown as % of equity-0.10%
$2,169
Includes Typical Broker Commissions trade costs of $5.00
7/15/21 10:14 PTRA PROTERRA INC LONG 4,000 12.47 9/3 10:45 11.55 2.85%
Trade id #136505410
Max drawdown($14,798)
Time8/19/21 0:00
Quant open4,000
Worst price8.77
Drawdown as % of equity-2.85%
($3,677)
Includes Typical Broker Commissions trade costs of $5.00
8/30/21 15:39 DLTR DOLLAR TREE STORES LONG 800 91.15 9/2 11:36 91.98 0.2%
Trade id #137181942
Max drawdown($1,208)
Time9/1/21 0:00
Quant open800
Worst price89.64
Drawdown as % of equity-0.20%
$655
Includes Typical Broker Commissions trade costs of $5.00
9/1/21 15:13 WFC WELLS FARGO LONG 1,300 43.70 9/2 11:36 44.81 0.08%
Trade id #137214285
Max drawdown($464)
Time9/1/21 16:00
Quant open1,300
Worst price43.34
Drawdown as % of equity-0.08%
$1,448
Includes Typical Broker Commissions trade costs of $5.00
2/16/21 12:29 AFRM AFFIRM HOLDINGS INC. CLASS A COMMON STOCK LONG 1,800 96.72 8/30 9:30 83.44 17.45%
Trade id #134089823
Max drawdown($90,390)
Time5/11/21 0:00
Quant open1,800
Worst price46.50
Drawdown as % of equity-17.45%
($23,911)
Includes Typical Broker Commissions trade costs of $14.00
7/15/21 15:05 WWE WORLD WRESTLING LONG 1,000 51.61 8/26 13:11 51.22 0.92%
Trade id #136514823
Max drawdown($4,798)
Time8/19/21 0:00
Quant open1,000
Worst price46.81
Drawdown as % of equity-0.92%
($390)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/17/2005
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    6086.24
  • Age
    203 months ago
  • What it trades
    Stocks
  • # Trades
    4204
  • # Profitable
    3052
  • % Profitable
    72.60%
  • Avg trade duration
    4.0 days
  • Max peak-to-valley drawdown
    63.64%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    28.3%
  • Avg win
    $818.62
  • Avg loss
    $1,589
  • Model Account Values (Raw)
  • Cash
    $689,783
  • Margin Used
    $0
  • Buying Power
    $658,442
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.78
  • Sortino Ratio
    1.18
  • Calmar Ratio
    0.198
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5989.53%
  • Correlation to SP500
    0.37920
  • Return Percent SP500 (cumu) during strategy life
    272.38%
  • Return Statistics
  • Ann Return (w trading costs)
    28.3%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.283%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.50%
  • Chance of 20% account loss
    32.00%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    10.00%
  • Chance of 60% account loss (Monte Carlo)
    3.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    833
  • Popularity (Last 6 weeks)
    928
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    30
  • Popularity (7 days, Percentile 1000 scale)
    854
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,589
  • Avg Win
    $819
  • Sum Trade PL (losers)
    $1,830,570.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    201
  • Win / Loss
  • Sum Trade PL (winners)
    $2,498,430.000
  • # Winners
    3052
  • Num Months Winners
    141
  • Dividends
  • Dividends Received in Model Acct
    45137
  • AUM
  • AUM (AutoTrader live capital)
    119381
  • Win / Loss
  • # Losers
    1152
  • % Winners
    72.6%
  • Frequency
  • Avg Position Time (mins)
    5769.03
  • Avg Position Time (hrs)
    96.15
  • Avg Trade Length
    4.0 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.84
  • Daily leverage (max)
    2.72
  • Regression
  • Alpha
    0.06
  • Beta
    0.56
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    66.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    88.24
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    10.258
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.903
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.219
  • Hold-and-Hope Ratio
    0.097
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20851
  • SD
    0.32062
  • Sharpe ratio (Glass type estimate)
    0.65035
  • Sharpe ratio (Hedges UMVUE)
    0.64783
  • df
    194.00000
  • t
    2.62164
  • p
    0.40751
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13829
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83085
  • Upside Potential Ratio
    1.78801
  • Upside part of mean
    0.44873
  • Downside part of mean
    -0.24021
  • Upside SD
    0.20714
  • Downside SD
    0.25096
  • N nonnegative terms
    131.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    195.00000
  • Mean of predictor
    0.06572
  • Mean of criterion
    0.20851
  • SD of predictor
    0.20682
  • SD of criterion
    0.32062
  • Covariance
    0.03296
  • r
    0.49706
  • b (slope, estimate of beta)
    0.77055
  • a (intercept, estimate of alpha)
    0.15787
  • Mean Square Error
    0.07780
  • DF error
    193.00000
  • t(b)
    7.95808
  • p(b)
    0.19712
  • t(a)
    2.27201
  • p(a)
    0.39770
  • Lowerbound of 95% confidence interval for beta
    0.57957
  • Upperbound of 95% confidence interval for beta
    0.96152
  • Lowerbound of 95% confidence interval for alpha
    0.02082
  • Upperbound of 95% confidence interval for alpha
    0.29492
  • Treynor index (mean / b)
    0.27060
  • Jensen alpha (a)
    0.15787
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12665
  • SD
    0.46783
  • Sharpe ratio (Glass type estimate)
    0.27073
  • Sharpe ratio (Hedges UMVUE)
    0.26968
  • df
    194.00000
  • t
    1.09134
  • p
    0.46094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75733
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21727
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75663
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29730
  • Upside Potential Ratio
    1.00485
  • Upside part of mean
    0.42808
  • Downside part of mean
    -0.30143
  • Upside SD
    0.19389
  • Downside SD
    0.42601
  • N nonnegative terms
    131.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    195.00000
  • Mean of predictor
    0.04322
  • Mean of criterion
    0.12665
  • SD of predictor
    0.21472
  • SD of criterion
    0.46783
  • Covariance
    0.04333
  • r
    0.43137
  • b (slope, estimate of beta)
    0.93988
  • a (intercept, estimate of alpha)
    0.08604
  • Mean Square Error
    0.17906
  • DF error
    193.00000
  • t(b)
    6.64267
  • p(b)
    0.23415
  • t(a)
    0.81822
  • p(a)
    0.46259
  • Lowerbound of 95% confidence interval for beta
    0.66081
  • Upperbound of 95% confidence interval for beta
    1.21895
  • Lowerbound of 95% confidence interval for alpha
    -0.12136
  • Upperbound of 95% confidence interval for alpha
    0.29343
  • Treynor index (mean / b)
    0.13476
  • Jensen alpha (a)
    0.08604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19070
  • Expected Shortfall on VaR
    0.23417
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03238
  • Expected Shortfall on VaR
    0.07982
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    195.00000
  • Minimum
    0.20893
  • Quartile 1
    0.99487
  • Median
    1.02387
  • Quartile 3
    1.05660
  • Maximum
    1.33296
  • Mean of quarter 1
    0.92405
  • Mean of quarter 2
    1.00973
  • Mean of quarter 3
    1.04013
  • Mean of quarter 4
    1.10533
  • Inter Quartile Range
    0.06173
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.05128
  • Mean of outliers low
    0.76726
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01538
  • Mean of outliers high
    1.21534
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72537
  • VaR(95%) (moments method)
    0.04025
  • Expected Shortfall (moments method)
    0.17300
  • Extreme Value Index (regression method)
    0.55778
  • VaR(95%) (regression method)
    0.06515
  • Expected Shortfall (regression method)
    0.19150
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00128
  • Quartile 1
    0.01824
  • Median
    0.05262
  • Quartile 3
    0.11046
  • Maximum
    0.79107
  • Mean of quarter 1
    0.00956
  • Mean of quarter 2
    0.03618
  • Mean of quarter 3
    0.09468
  • Mean of quarter 4
    0.33520
  • Inter Quartile Range
    0.09223
  • 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
    0.12000
  • Mean of outliers high
    0.52198
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49382
  • VaR(95%) (moments method)
    0.34137
  • Expected Shortfall (moments method)
    0.75922
  • Extreme Value Index (regression method)
    0.96704
  • VaR(95%) (regression method)
    0.42259
  • Expected Shortfall (regression method)
    11.81820
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.69692
  • Compounded annual return (geometric extrapolation)
    0.16715
  • Calmar ratio (compounded annual return / max draw down)
    0.21129
  • Compounded annual return / average of 25% largest draw downs
    0.49865
  • Compounded annual return / Expected Shortfall lognormal
    0.71380
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91809
  • SD
    1.66322
  • Sharpe ratio (Glass type estimate)
    0.55200
  • Sharpe ratio (Hedges UMVUE)
    0.55190
  • df
    4273.00000
  • t
    2.22948
  • p
    0.01292
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06656
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03731
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58103
  • Upside Potential Ratio
    4.75262
  • Upside part of mean
    2.75980
  • Downside part of mean
    -1.84171
  • Upside SD
    1.55938
  • Downside SD
    0.58069
  • N nonnegative terms
    2329.00000
  • N negative terms
    1945.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4274.00000
  • Mean of predictor
    0.11668
  • Mean of criterion
    0.91809
  • SD of predictor
    0.38438
  • SD of criterion
    1.66322
  • Covariance
    0.17405
  • r
    0.27225
  • b (slope, estimate of beta)
    1.17800
  • a (intercept, estimate of alpha)
    0.78100
  • Mean Square Error
    2.56186
  • DF error
    4272.00000
  • t(b)
    18.49260
  • p(b)
    0.00000
  • t(a)
    1.96955
  • p(a)
    0.02448
  • Lowerbound of 95% confidence interval for beta
    1.05311
  • Upperbound of 95% confidence interval for beta
    1.30289
  • Lowerbound of 95% confidence interval for alpha
    0.00358
  • Upperbound of 95% confidence interval for alpha
    1.55771
  • Treynor index (mean / b)
    0.77936
  • Jensen alpha (a)
    0.78065
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12920
  • SD
    1.23512
  • Sharpe ratio (Glass type estimate)
    0.10460
  • Sharpe ratio (Hedges UMVUE)
    0.10459
  • df
    4273.00000
  • t
    0.42249
  • p
    0.33634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38067
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58986
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13787
  • Upside Potential Ratio
    2.43128
  • Upside part of mean
    2.27828
  • Downside part of mean
    -2.14909
  • Upside SD
    0.80444
  • Downside SD
    0.93707
  • N nonnegative terms
    2329.00000
  • N negative terms
    1945.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4274.00000
  • Mean of predictor
    0.04325
  • Mean of criterion
    0.12920
  • SD of predictor
    0.38356
  • SD of criterion
    1.23512
  • Covariance
    0.14593
  • r
    0.30803
  • b (slope, estimate of beta)
    0.99191
  • a (intercept, estimate of alpha)
    0.08630
  • Mean Square Error
    1.38109
  • DF error
    4272.00000
  • t(b)
    21.16220
  • p(b)
    0.00000
  • t(a)
    0.29659
  • p(a)
    0.38340
  • Lowerbound of 95% confidence interval for beta
    0.90002
  • Upperbound of 95% confidence interval for beta
    1.08381
  • Lowerbound of 95% confidence interval for alpha
    -0.48416
  • Upperbound of 95% confidence interval for alpha
    0.65676
  • Treynor index (mean / b)
    0.13025
  • Jensen alpha (a)
    0.08630
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11752
  • Expected Shortfall on VaR
    0.14488
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01437
  • Expected Shortfall on VaR
    0.03466
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4274.00000
  • Minimum
    0.14159
  • Quartile 1
    0.99649
  • Median
    1.00087
  • Quartile 3
    1.00588
  • Maximum
    5.71618
  • Mean of quarter 1
    0.97314
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00303
  • Mean of quarter 4
    1.03923
  • Inter Quartile Range
    0.00940
  • Number outliers low
    312.00000
  • Percentage of outliers low
    0.07300
  • Mean of outliers low
    0.92778
  • Number of outliers high
    286.00000
  • Percentage of outliers high
    0.06692
  • Mean of outliers high
    1.11713
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.97789
  • VaR(95%) (moments method)
    0.02088
  • Expected Shortfall (moments method)
    0.98979
  • Extreme Value Index (regression method)
    0.75086
  • VaR(95%) (regression method)
    0.01623
  • Expected Shortfall (regression method)
    0.07086
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    141.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00200
  • Median
    0.00785
  • Quartile 3
    0.02607
  • Maximum
    0.86112
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00417
  • Mean of quarter 3
    0.01698
  • Mean of quarter 4
    0.17475
  • Inter Quartile Range
    0.02407
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.16312
  • Mean of outliers high
    0.24504
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75673
  • VaR(95%) (moments method)
    0.14536
  • Expected Shortfall (moments method)
    0.67350
  • Extreme Value Index (regression method)
    0.36256
  • VaR(95%) (regression method)
    0.18932
  • Expected Shortfall (regression method)
    0.39803
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73395
  • Compounded annual return (geometric extrapolation)
    0.17012
  • Calmar ratio (compounded annual return / max draw down)
    0.19756
  • Compounded annual return / average of 25% largest draw downs
    0.97348
  • Compounded annual return / Expected Shortfall lognormal
    1.17425
  • 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
    0.21326
  • SD
    0.20958
  • Sharpe ratio (Glass type estimate)
    1.01754
  • Sharpe ratio (Hedges UMVUE)
    1.01166
  • df
    130.00000
  • t
    0.71951
  • p
    0.46851
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75896
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.78619
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57359
  • Upside Potential Ratio
    10.21150
  • Upside part of mean
    1.38391
  • Downside part of mean
    -1.17065
  • Upside SD
    0.15936
  • Downside SD
    0.13552
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11807
  • Mean of criterion
    0.21326
  • SD of predictor
    0.11509
  • SD of criterion
    0.20958
  • Covariance
    0.00600
  • r
    0.24856
  • b (slope, estimate of beta)
    0.45265
  • a (intercept, estimate of alpha)
    0.15982
  • Mean Square Error
    0.04153
  • DF error
    129.00000
  • t(b)
    2.91461
  • p(b)
    0.34341
  • t(a)
    0.55341
  • p(a)
    0.46903
  • Lowerbound of 95% confidence interval for beta
    0.14538
  • Upperbound of 95% confidence interval for beta
    0.75992
  • Lowerbound of 95% confidence interval for alpha
    -0.41155
  • Upperbound of 95% confidence interval for alpha
    0.73119
  • Treynor index (mean / b)
    0.47114
  • Jensen alpha (a)
    0.15982
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19144
  • SD
    0.20904
  • Sharpe ratio (Glass type estimate)
    0.91581
  • Sharpe ratio (Hedges UMVUE)
    0.91052
  • df
    130.00000
  • t
    0.64758
  • p
    0.47165
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.68817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.68454
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39856
  • Upside Potential Ratio
    10.01760
  • Upside part of mean
    1.37127
  • Downside part of mean
    -1.17983
  • Upside SD
    0.15738
  • Downside SD
    0.13689
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11145
  • Mean of criterion
    0.19144
  • SD of predictor
    0.11519
  • SD of criterion
    0.20904
  • Covariance
    0.00596
  • r
    0.24755
  • b (slope, estimate of beta)
    0.44926
  • a (intercept, estimate of alpha)
    0.14138
  • Mean Square Error
    0.04134
  • DF error
    129.00000
  • t(b)
    2.90193
  • p(b)
    0.34403
  • t(a)
    0.49079
  • p(a)
    0.47252
  • VAR (95 Confidence Intrvl)
    0.11800
  • Lowerbound of 95% confidence interval for beta
    0.14295
  • Upperbound of 95% confidence interval for beta
    0.75556
  • Lowerbound of 95% confidence interval for alpha
    -0.42855
  • Upperbound of 95% confidence interval for alpha
    0.71130
  • Treynor index (mean / b)
    0.42614
  • Jensen alpha (a)
    0.14138
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02030
  • Expected Shortfall on VaR
    0.02556
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00983
  • Expected Shortfall on VaR
    0.01854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96873
  • Quartile 1
    0.99290
  • Median
    1.00155
  • Quartile 3
    1.00823
  • Maximum
    1.04155
  • Mean of quarter 1
    0.98515
  • Mean of quarter 2
    0.99745
  • Mean of quarter 3
    1.00408
  • Mean of quarter 4
    1.01710
  • Inter Quartile Range
    0.01532
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96888
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03670
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20157
  • VaR(95%) (moments method)
    0.01494
  • Expected Shortfall (moments method)
    0.01838
  • Extreme Value Index (regression method)
    -0.27515
  • VaR(95%) (regression method)
    0.01405
  • Expected Shortfall (regression method)
    0.01669
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00779
  • Quartile 1
    0.00864
  • Median
    0.03702
  • Quartile 3
    0.04918
  • Maximum
    0.13226
  • Mean of quarter 1
    0.00821
  • Mean of quarter 2
    0.03702
  • Mean of quarter 3
    0.04918
  • Mean of quarter 4
    0.13226
  • Inter Quartile Range
    0.04054
  • 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
    0.20000
  • Mean of outliers high
    0.13226
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -343516000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23183
  • Compounded annual return (geometric extrapolation)
    0.24527
  • Calmar ratio (compounded annual return / max draw down)
    1.85447
  • Compounded annual return / average of 25% largest draw downs
    1.85447
  • Compounded annual return / Expected Shortfall lognormal
    9.59404

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
$35,000
# Trades
4204
# Profitable
3052
% Profitable
72.6%
Net Dividends
Correlation S&P500
0.379
Sharpe Ratio
0.78
Sortino Ratio
1.18
Beta
0.56
Alpha
0.06
Leverage
0.84 Average
2.72 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.