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

extreme-os
(13202557)

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

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).
23.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(61.1%)
Max Drawdown
4566
Num Trades
72.7%
Win Trades
1.4 : 1
Profit Factor
66.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005       +0.9%+21.9%+4.0%+7.7%+1.2%+12.9%+6.6%+6.5%+16.1%+2.3%+11.0%+135.3%
2006+11.0%+4.5%+16.1%+3.1%+12.0%+0.6%+13.0%+8.9%+3.3%+3.2%+4.8%+4.5%+124.3%
2007+10.5%+2.1%+0.9%(4.8%)+11.7%(4.8%)+2.9%+4.0%+4.3%+14.8%(9%)+12.0%+50.3%
2008+12.9%+13.6%(12%)+8.3%+10.2%(0.2%)+14.6%+8.2%+14.2%(28.7%)(17.8%)+6.0%+18.1%
2009(11.1%)(14.4%)(6.6%)+12.4%+6.2%(1.7%)+8.4%+0.7%(3.1%)+0.7%+4.2%+4.3%(3.5%)
2010(10%)+14.9%+6.4%+4.1%+12.4%(1.5%)+10.3%(11.7%)+6.1%+6.4%(0.5%)+9.4%+51.5%
2011+1.2%+1.9%+7.2%+5.3%+13.6%  -  +3.8%(20.6%)(15.9%)+5.0%(6.3%)+5.6%(4.7%)
2012+2.5%+3.0%+2.3%(3.7%)(11.7%)+17.0%+2.3%(1.6%)+7.1%+3.0%+5.0%+2.6%+28.5%
2013(0.4%)+5.4%+4.4%+6.3%(1.6%)+6.1%+3.9%+7.5%(0.9%)+1.2%+5.1%+1.9%+45.9%
2014+0.5%+4.6%+7.2%+2.0%+7.1%+0.7%(3.3%)+5.7%(1.9%)+2.5%(0.7%)(2.3%)+23.8%
2015+0.5%+4.9%+4.1%+1.4%(1.6%)(7.3%)+1.3%(0.4%)(8.3%)+10.0%+6.1%(8.4%)+0.4%
2016(6.1%)+0.1%+4.2%+2.5%(0.2%)+1.9%+2.9%(3.8%)+4.5%(1%)+5.5%(5.3%)+4.5%
2017+1.3%(1.1%)(3.3%)+0.2%(1.2%)+7.2%(1.2%)+1.9%+7.2%(0.8%)+2.2%(0.2%)+12.1%
2018(0.3%)(11.9%)+16.2%+0.5%+9.2%+2.8%+4.9%+5.1%+3.0%(13.5%)+6.5%(6.5%)+12.5%
2019+7.5%(1%)  -  +2.4%(5.5%)+8.2%+1.4%+0.8%(0.3%)+0.4%(0.8%)+0.9%+14.3%
2020+0.1%+3.1%(11.9%)+8.8%+0.6%+10.1%+2.6%+2.7%+2.1%(4%)+10.9%+4.5%+31.3%
2021+3.2%(1.5%)(7.2%)(1.5%)(2%)+5.2%(8.7%)+11.8%+3.8%+3.4%(3.3%)+4.7%+6.3%
2022(7%)(2.9%)+2.3%(6.5%)(2%)(3.8%)+4.3%+3.5%(3.7%)+0.8%+2.4%(3.9%)(16%)
2023+9.3%+4.2%+0.3%(0.6%)+1.0%+0.9%+2.3%(0.3%)(3.8%)(3%)+4.6%+3.4%+19.2%
2024(1.1%)(1.5%)(0.3%)(4.9%)                                                (7.6%)

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 6,777 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
4/18/24 11:23 RH RH LONG 24 248.79 4/18 11:24 248.62 0.01%
Trade id #147946301
Max drawdown($4)
Time4/18/24 11:24
Quant open24
Worst price248.62
Drawdown as % of equity-0.01%
($4)
Includes Typical Broker Commissions trade costs of $0.48
4/16/24 14:13 RH RH LONG 10 242.51 4/18 11:23 248.61 0.05%
Trade id #147926574
Max drawdown($30)
Time4/16/24 14:28
Quant open10
Worst price239.48
Drawdown as % of equity-0.05%
$61
Includes Typical Broker Commissions trade costs of $0.20
2/16/24 10:14 CAR AVIS BUDGET GROUP LONG 25 118.25 3/21 9:43 117.87 0.74%
Trade id #147354960
Max drawdown($466)
Time2/22/24 0:00
Quant open25
Worst price99.59
Drawdown as % of equity-0.74%
($11)
Includes Typical Broker Commissions trade costs of $0.50
3/12/24 14:00 BA BOEING LONG 20 184.72 3/20 15:00 186.90 0.24%
Trade id #147612345
Max drawdown($143)
Time3/18/24 0:00
Quant open20
Worst price177.52
Drawdown as % of equity-0.24%
$44
Includes Typical Broker Commissions trade costs of $0.40
3/20/24 10:33 EXPI EXP WORLD HOLDINGS INC. COMMON STOCK LONG 350 9.27 3/20 14:47 9.47 0.06%
Trade id #147693397
Max drawdown($37)
Time3/20/24 13:22
Quant open350
Worst price9.16
Drawdown as % of equity-0.06%
$63
Includes Typical Broker Commissions trade costs of $7.00
1/8/24 11:43 APA APA CORP LONG 130 33.49 3/20 14:12 33.68 0.82%
Trade id #146933119
Max drawdown($522)
Time2/13/24 0:00
Quant open130
Worst price29.47
Drawdown as % of equity-0.82%
$22
Includes Typical Broker Commissions trade costs of $2.60
3/14/24 12:34 TSLA TESLA INC. LONG 20 162.96 3/20 10:30 171.24 0.08%
Trade id #147640529
Max drawdown($49)
Time3/14/24 15:10
Quant open20
Worst price160.51
Drawdown as % of equity-0.08%
$166
Includes Typical Broker Commissions trade costs of $0.40
2/6/24 9:41 CHTR CHARTER COMMUNICATIONS LONG 10 303.31 3/12 12:39 292.97 0.53%
Trade id #147236926
Max drawdown($328)
Time3/6/24 0:00
Quant open10
Worst price270.41
Drawdown as % of equity-0.53%
($103)
Includes Typical Broker Commissions trade costs of $0.20
2/21/24 10:52 ROKU ROKU INC. CLASS A COMMON STOCK LONG 50 66.59 3/12 12:39 64.15 0.44%
Trade id #147397838
Max drawdown($274)
Time3/4/24 0:00
Quant open50
Worst price61.10
Drawdown as % of equity-0.44%
($123)
Includes Typical Broker Commissions trade costs of $1.00
3/12/24 9:53 MDB MONGODB INC. CLASS A COMMON STOCK LONG 10 366.26 3/12 11:36 368.73 0.02%
Trade id #147605625
Max drawdown($14)
Time3/12/24 10:18
Quant open10
Worst price364.84
Drawdown as % of equity-0.02%
$25
Includes Typical Broker Commissions trade costs of $0.20
3/1/24 10:58 DV DOUBLE VERIFY HOLDINGS INC. LONG 130 30.03 3/4 10:23 30.83 0.03%
Trade id #147513171
Max drawdown($21)
Time3/1/24 11:57
Quant open130
Worst price29.86
Drawdown as % of equity-0.03%
$101
Includes Typical Broker Commissions trade costs of $2.60
2/23/24 13:25 TDOC TELADOC HEALTH INC LONG 260 14.63 2/26 13:11 14.87 0.11%
Trade id #147437414
Max drawdown($69)
Time2/26/24 9:30
Quant open260
Worst price14.36
Drawdown as % of equity-0.11%
$59
Includes Typical Broker Commissions trade costs of $5.20
2/20/24 14:56 TWLO TWILIO INC LONG 80 56.62 2/23 13:23 57.56 0.13%
Trade id #147383442
Max drawdown($83)
Time2/21/24 0:00
Quant open80
Worst price55.57
Drawdown as % of equity-0.13%
$74
Includes Typical Broker Commissions trade costs of $1.60
2/20/24 14:48 PENN PENN ENTERTAINMENT INC LONG 200 17.23 2/22 9:42 17.49 0.11%
Trade id #147383343
Max drawdown($71)
Time2/21/24 0:00
Quant open200
Worst price16.87
Drawdown as % of equity-0.11%
$49
Includes Typical Broker Commissions trade costs of $4.00
2/12/24 12:39 MRNA MODERNA INC. COMMON STOCK LONG 40 87.69 2/16 13:36 90.53 0.23%
Trade id #147291650
Max drawdown($145)
Time2/13/24 0:00
Quant open40
Worst price84.06
Drawdown as % of equity-0.23%
$113
Includes Typical Broker Commissions trade costs of $0.80
2/8/24 12:36 AMGN AMGEN LONG 14 290.30 2/12 11:53 292.69 0.03%
Trade id #147261011
Max drawdown($20)
Time2/12/24 9:31
Quant open14
Worst price288.86
Drawdown as % of equity-0.03%
$33
Includes Typical Broker Commissions trade costs of $0.28
2/2/24 14:18 SQM SOCIEDAD QUIMICA Y MINERA LONG 100 40.46 2/12 10:33 41.50 0.31%
Trade id #147207745
Max drawdown($195)
Time2/5/24 0:00
Quant open100
Worst price38.50
Drawdown as % of equity-0.31%
$102
Includes Typical Broker Commissions trade costs of $2.00
2/9/24 12:21 PENN PENN ENTERTAINMENT INC LONG 200 23.15 2/12 10:10 23.59 0.19%
Trade id #147271341
Max drawdown($123)
Time2/12/24 9:30
Quant open200
Worst price22.53
Drawdown as % of equity-0.19%
$85
Includes Typical Broker Commissions trade costs of $4.00
2/8/24 14:50 PYPL PAYPAL HOLDINGS CORP LONG 80 56.38 2/9 9:42 57.36 0.08%
Trade id #147262537
Max drawdown($48)
Time2/8/24 15:47
Quant open80
Worst price55.77
Drawdown as % of equity-0.08%
$77
Includes Typical Broker Commissions trade costs of $1.60
1/16/24 10:06 LI LI AUTO INC LONG 100 30.04 2/8 12:35 30.40 0.58%
Trade id #147012451
Max drawdown($361)
Time1/22/24 0:00
Quant open100
Worst price26.43
Drawdown as % of equity-0.58%
$34
Includes Typical Broker Commissions trade costs of $2.00
2/8/24 10:03 TEAM ATLASSIAN CORPORATION PLC CLASS A LONG 18 212.88 2/8 12:34 215.62 0.01%
Trade id #147257031
Max drawdown($3)
Time2/8/24 10:07
Quant open18
Worst price212.68
Drawdown as % of equity-0.01%
$49
Includes Typical Broker Commissions trade costs of $0.36
2/1/24 14:02 UPS UNITED PARCEL SERVICE LONG 30 139.85 2/6 9:37 142.77 0.01%
Trade id #147196581
Max drawdown($9)
Time2/2/24 0:00
Quant open30
Worst price139.55
Drawdown as % of equity-0.01%
$87
Includes Typical Broker Commissions trade costs of $0.60
1/16/24 12:23 BKE BUCKLE LONG 100 36.85 1/30 11:22 37.12 0.24%
Trade id #147015764
Max drawdown($148)
Time1/18/24 0:00
Quant open100
Worst price35.36
Drawdown as % of equity-0.24%
$25
Includes Typical Broker Commissions trade costs of $2.00
1/25/24 11:17 HUM HUMANA LONG 10 348.19 1/25 14:17 356.77 0.03%
Trade id #147125263
Max drawdown($20)
Time1/25/24 11:20
Quant open10
Worst price346.17
Drawdown as % of equity-0.03%
$86
Includes Typical Broker Commissions trade costs of $0.20
1/17/24 9:49 AEM AGNICO EAGLE MINES LIMITED LONG 80 49.38 1/23 15:53 50.47 0.11%
Trade id #147026452
Max drawdown($70)
Time1/22/24 0:00
Quant open80
Worst price48.50
Drawdown as % of equity-0.11%
$85
Includes Typical Broker Commissions trade costs of $1.60
1/16/24 9:49 BIDU BAIDU LONG 30 103.69 1/23 9:37 106.11 0.3%
Trade id #147011914
Max drawdown($185)
Time1/22/24 0:00
Quant open30
Worst price97.51
Drawdown as % of equity-0.30%
$72
Includes Typical Broker Commissions trade costs of $0.60
1/12/24 13:56 WOLF WOLFSPEED INC LONG 100 33.83 1/22 9:58 34.83 0.56%
Trade id #146989132
Max drawdown($350)
Time1/17/24 0:00
Quant open100
Worst price30.32
Drawdown as % of equity-0.56%
$98
Includes Typical Broker Commissions trade costs of $2.00
1/3/24 14:27 UPST UPSTART HOLDINGS INC. COMMON STOCK LONG 80 35.85 1/22 9:58 37.45 0.85%
Trade id #146893189
Max drawdown($531)
Time1/17/24 0:00
Quant open80
Worst price29.21
Drawdown as % of equity-0.85%
$126
Includes Typical Broker Commissions trade costs of $1.60
1/18/24 13:32 MBLY MOBILEYE GLOBAL INC. CLASS A LONG 110 27.44 1/19 14:14 28.11 0.01%
Trade id #147053239
Max drawdown($8)
Time1/19/24 10:08
Quant open110
Worst price27.36
Drawdown as % of equity-0.01%
$72
Includes Typical Broker Commissions trade costs of $2.20
1/17/24 14:01 HDB HDFC BANK LONG 60 55.68 1/18 9:30 57.25 0.02%
Trade id #147035069
Max drawdown($14)
Time1/17/24 15:59
Quant open60
Worst price55.44
Drawdown as % of equity-0.02%
$93
Includes Typical Broker Commissions trade costs of $1.20

Statistics

  • Strategy began
    2/17/2005
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    7005.56
  • Age
    234 months ago
  • What it trades
    Stocks
  • # Trades
    4566
  • # Profitable
    3319
  • % Profitable
    72.70%
  • Avg trade duration
    5.4 days
  • Max peak-to-valley drawdown
    61.13%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    23.7%
  • Avg win
    $85.26
  • Avg loss
    $173.35
  • Model Account Values (Raw)
  • Cash
    $54,896
  • Margin Used
    $0
  • Buying Power
    $45,846
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    0.72
  • Sortino Ratio
    1.08
  • Calmar Ratio
    0.168
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5495.13%
  • Correlation to SP500
    0.38640
  • Return Percent SP500 (cumu) during strategy life
    322.28%
  • Return Statistics
  • Ann Return (w trading costs)
    23.7%
  • Slump
  • Current Slump as Pcnt Equity
    9.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.17%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.237%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.50%
  • Chance of 20% account loss
    35.50%
  • Chance of 30% account loss
    24.00%
  • Chance of 40% account loss
    13.00%
  • Chance of 60% account loss (Monte Carlo)
    4.00%
  • Chance of 70% account loss (Monte Carlo)
    2.00%
  • 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
    10.00%
  • Popularity
  • Popularity (Today)
    364
  • Popularity (Last 6 weeks)
    962
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    953
  • Popularity (7 days, Percentile 1000 scale)
    898
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $174
  • Avg Win
    $85
  • Sum Trade PL (losers)
    $217,553.000
  • Age
  • Num Months filled monthly returns table
    231
  • Win / Loss
  • Sum Trade PL (winners)
    $282,987.000
  • # Winners
    3319
  • Num Months Winners
    155
  • Dividends
  • Dividends Received in Model Acct
    4750
  • AUM
  • AUM (AutoTrader live capital)
    252982
  • Win / Loss
  • # Losers
    1247
  • % Winners
    72.7%
  • Frequency
  • Avg Position Time (mins)
    7722.05
  • Avg Position Time (hrs)
    128.70
  • Avg Trade Length
    5.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.80
  • Daily leverage (max)
    2.72
  • Regression
  • Alpha
    0.05
  • Beta
    0.53
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.849
  • 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
    0.136
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.326
  • Hold-and-Hope Ratio
    0.535
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18231
  • SD
    0.30340
  • Sharpe ratio (Glass type estimate)
    0.60090
  • Sharpe ratio (Hedges UMVUE)
    0.59889
  • df
    224.00000
  • t
    2.60199
  • p
    0.00494
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05629
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05491
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77172
  • Upside Potential Ratio
    1.75796
  • Upside part of mean
    0.41530
  • Downside part of mean
    -0.23299
  • Upside SD
    0.19647
  • Downside SD
    0.23624
  • N nonnegative terms
    145.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    225.00000
  • Mean of predictor
    0.06406
  • Mean of criterion
    0.18231
  • SD of predictor
    0.20264
  • SD of criterion
    0.30340
  • Covariance
    0.03075
  • r
    0.50016
  • b (slope, estimate of beta)
    0.74885
  • a (intercept, estimate of alpha)
    0.13434
  • Mean Square Error
    0.06933
  • DF error
    223.00000
  • t(b)
    8.62524
  • p(b)
    -0.00000
  • t(a)
    2.20009
  • p(a)
    0.01441
  • Lowerbound of 95% confidence interval for beta
    0.57776
  • Upperbound of 95% confidence interval for beta
    0.91995
  • Lowerbound of 95% confidence interval for alpha
    0.01401
  • Upperbound of 95% confidence interval for alpha
    0.25468
  • Treynor index (mean / b)
    0.24346
  • Jensen alpha (a)
    0.13434
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11005
  • SD
    0.43860
  • Sharpe ratio (Glass type estimate)
    0.25090
  • Sharpe ratio (Hedges UMVUE)
    0.25006
  • df
    224.00000
  • t
    1.08644
  • p
    0.13923
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.70386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20317
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70329
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27631
  • Upside Potential Ratio
    0.99599
  • Upside part of mean
    0.39668
  • Downside part of mean
    -0.28663
  • Upside SD
    0.18413
  • Downside SD
    0.39827
  • N nonnegative terms
    145.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    225.00000
  • Mean of predictor
    0.04250
  • Mean of criterion
    0.11005
  • SD of predictor
    0.20985
  • SD of criterion
    0.43860
  • Covariance
    0.03976
  • r
    0.43196
  • b (slope, estimate of beta)
    0.90284
  • a (intercept, estimate of alpha)
    0.07168
  • Mean Square Error
    0.15718
  • DF error
    223.00000
  • t(b)
    7.15225
  • p(b)
    -0.00000
  • t(a)
    0.78151
  • p(a)
    0.21767
  • Lowerbound of 95% confidence interval for beta
    0.65408
  • Upperbound of 95% confidence interval for beta
    1.15159
  • Lowerbound of 95% confidence interval for alpha
    -0.10906
  • Upperbound of 95% confidence interval for alpha
    0.25241
  • Treynor index (mean / b)
    0.12189
  • Jensen alpha (a)
    0.07168
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18052
  • Expected Shortfall on VaR
    0.22191
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03350
  • Expected Shortfall on VaR
    0.08098
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    225.00000
  • Minimum
    0.20889
  • Quartile 1
    0.99108
  • Median
    1.02210
  • Quartile 3
    1.05471
  • Maximum
    1.33296
  • Mean of quarter 1
    0.92793
  • Mean of quarter 2
    1.00632
  • Mean of quarter 3
    1.03746
  • Mean of quarter 4
    1.09998
  • Inter Quartile Range
    0.06363
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03556
  • Mean of outliers low
    0.73385
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01333
  • Mean of outliers high
    1.21536
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62742
  • VaR(95%) (moments method)
    0.04807
  • Expected Shortfall (moments method)
    0.15194
  • Extreme Value Index (regression method)
    0.57282
  • VaR(95%) (regression method)
    0.06028
  • Expected Shortfall (regression method)
    0.17425
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00128
  • Quartile 1
    0.01888
  • Median
    0.04732
  • Quartile 3
    0.11046
  • Maximum
    0.79111
  • Mean of quarter 1
    0.01074
  • Mean of quarter 2
    0.03474
  • Mean of quarter 3
    0.08867
  • Mean of quarter 4
    0.31000
  • Inter Quartile Range
    0.09158
  • 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
    0.10345
  • Mean of outliers high
    0.52198
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50888
  • VaR(95%) (moments method)
    0.32593
  • Expected Shortfall (moments method)
    0.73097
  • Extreme Value Index (regression method)
    0.91909
  • VaR(95%) (regression method)
    0.37612
  • Expected Shortfall (regression method)
    4.21898
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65519
  • Compounded annual return (geometric extrapolation)
    0.14792
  • Calmar ratio (compounded annual return / max draw down)
    0.18698
  • Compounded annual return / average of 25% largest draw downs
    0.47717
  • Compounded annual return / Expected Shortfall lognormal
    0.66658
  • 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
    0.79253
  • SD
    1.54948
  • Sharpe ratio (Glass type estimate)
    0.51148
  • Sharpe ratio (Hedges UMVUE)
    0.51140
  • df
    4929.00000
  • t
    2.21871
  • p
    0.01328
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96334
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46322
  • Upside Potential Ratio
    4.59604
  • Upside part of mean
    2.48936
  • Downside part of mean
    -1.69683
  • Upside SD
    1.45239
  • Downside SD
    0.54163
  • N nonnegative terms
    2640.00000
  • N negative terms
    2290.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4930.00000
  • Mean of predictor
    0.10634
  • Mean of criterion
    0.79253
  • SD of predictor
    0.36404
  • SD of criterion
    1.54948
  • Covariance
    0.15261
  • r
    0.27056
  • b (slope, estimate of beta)
    1.15157
  • a (intercept, estimate of alpha)
    0.67000
  • Mean Square Error
    2.22558
  • DF error
    4928.00000
  • t(b)
    19.72880
  • p(b)
    0.00000
  • t(a)
    1.94804
  • p(a)
    0.02573
  • Lowerbound of 95% confidence interval for beta
    1.03714
  • Upperbound of 95% confidence interval for beta
    1.26600
  • Lowerbound of 95% confidence interval for alpha
    -0.00427
  • Upperbound of 95% confidence interval for alpha
    1.34440
  • Treynor index (mean / b)
    0.68821
  • Jensen alpha (a)
    0.67007
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10745
  • SD
    1.15100
  • Sharpe ratio (Glass type estimate)
    0.09335
  • Sharpe ratio (Hedges UMVUE)
    0.09334
  • df
    4929.00000
  • t
    0.40494
  • p
    0.34277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35848
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54519
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54517
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12306
  • Upside Potential Ratio
    2.37230
  • Upside part of mean
    2.07126
  • Downside part of mean
    -1.96382
  • Upside SD
    0.74984
  • Downside SD
    0.87310
  • N nonnegative terms
    2640.00000
  • N negative terms
    2290.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4930.00000
  • Mean of predictor
    0.04046
  • Mean of criterion
    0.10745
  • SD of predictor
    0.36329
  • SD of criterion
    1.15100
  • Covariance
    0.12820
  • r
    0.30658
  • b (slope, estimate of beta)
    0.97133
  • a (intercept, estimate of alpha)
    0.06814
  • Mean Square Error
    1.20052
  • DF error
    4928.00000
  • t(b)
    22.61100
  • p(b)
    0.00000
  • t(a)
    0.26977
  • p(a)
    0.39367
  • Lowerbound of 95% confidence interval for beta
    0.88711
  • Upperbound of 95% confidence interval for beta
    1.05555
  • Lowerbound of 95% confidence interval for alpha
    -0.42705
  • Upperbound of 95% confidence interval for alpha
    0.56334
  • Treynor index (mean / b)
    0.11062
  • Jensen alpha (a)
    0.06814
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11002
  • Expected Shortfall on VaR
    0.13578
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01343
  • Expected Shortfall on VaR
    0.03233
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4930.00000
  • Minimum
    0.14159
  • Quartile 1
    0.99642
  • Median
    1.00065
  • Quartile 3
    1.00554
  • Maximum
    5.71618
  • Mean of quarter 1
    0.97547
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00279
  • Mean of quarter 4
    1.03538
  • Inter Quartile Range
    0.00912
  • Number outliers low
    329.00000
  • Percentage of outliers low
    0.06673
  • Mean of outliers low
    0.93046
  • Number of outliers high
    321.00000
  • Percentage of outliers high
    0.06511
  • Mean of outliers high
    1.10682
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.92766
  • VaR(95%) (moments method)
    0.01944
  • Expected Shortfall (moments method)
    0.28176
  • Extreme Value Index (regression method)
    0.73664
  • VaR(95%) (regression method)
    0.01519
  • Expected Shortfall (regression method)
    0.06194
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    148.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00202
  • Median
    0.00837
  • Quartile 3
    0.02934
  • Maximum
    0.86113
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00439
  • Mean of quarter 3
    0.01814
  • Mean of quarter 4
    0.17367
  • Inter Quartile Range
    0.02732
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.16216
  • Mean of outliers high
    0.24290
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59822
  • VaR(95%) (moments method)
    0.14141
  • Expected Shortfall (moments method)
    0.41159
  • Extreme Value Index (regression method)
    0.34446
  • VaR(95%) (regression method)
    0.18071
  • Expected Shortfall (regression method)
    0.36690
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62539
  • Compounded annual return (geometric extrapolation)
    0.14494
  • Calmar ratio (compounded annual return / max draw down)
    0.16832
  • Compounded annual return / average of 25% largest draw downs
    0.83457
  • Compounded annual return / Expected Shortfall lognormal
    1.06752
  • 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
    -0.01740
  • SD
    0.08319
  • Sharpe ratio (Glass type estimate)
    -0.20921
  • Sharpe ratio (Hedges UMVUE)
    -0.20800
  • df
    130.00000
  • t
    -0.14793
  • p
    0.50649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56308
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56392
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31837
  • Upside Potential Ratio
    8.89691
  • Upside part of mean
    0.48639
  • Downside part of mean
    -0.50379
  • Upside SD
    0.06230
  • Downside SD
    0.05467
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34428
  • Mean of criterion
    -0.01740
  • SD of predictor
    0.11604
  • SD of criterion
    0.08319
  • Covariance
    0.00337
  • r
    0.34870
  • b (slope, estimate of beta)
    0.25000
  • a (intercept, estimate of alpha)
    -0.10347
  • Mean Square Error
    0.00613
  • DF error
    129.00000
  • t(b)
    4.22574
  • p(b)
    0.28259
  • t(a)
    -0.91932
  • p(a)
    0.55131
  • Lowerbound of 95% confidence interval for beta
    0.13295
  • Upperbound of 95% confidence interval for beta
    0.36705
  • Lowerbound of 95% confidence interval for alpha
    -0.32617
  • Upperbound of 95% confidence interval for alpha
    0.11922
  • Treynor index (mean / b)
    -0.06962
  • Jensen alpha (a)
    -0.10347
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02083
  • SD
    0.08302
  • Sharpe ratio (Glass type estimate)
    -0.25088
  • Sharpe ratio (Hedges UMVUE)
    -0.24943
  • df
    130.00000
  • t
    -0.17740
  • p
    0.50778
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52146
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02140
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52254
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.37964
  • Upside Potential Ratio
    8.82950
  • Upside part of mean
    0.48441
  • Downside part of mean
    -0.50524
  • Upside SD
    0.06190
  • Downside SD
    0.05486
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33735
  • Mean of criterion
    -0.02083
  • SD of predictor
    0.11588
  • SD of criterion
    0.08302
  • Covariance
    0.00336
  • r
    0.34944
  • b (slope, estimate of beta)
    0.25036
  • a (intercept, estimate of alpha)
    -0.10529
  • Mean Square Error
    0.00610
  • DF error
    129.00000
  • t(b)
    4.23588
  • p(b)
    0.28215
  • t(a)
    -0.93824
  • p(a)
    0.55235
  • VAR (95 Confidence Intrvl)
    0.11000
  • Lowerbound of 95% confidence interval for beta
    0.13342
  • Upperbound of 95% confidence interval for beta
    0.36730
  • Lowerbound of 95% confidence interval for alpha
    -0.32731
  • Upperbound of 95% confidence interval for alpha
    0.11674
  • Treynor index (mean / b)
    -0.08319
  • Jensen alpha (a)
    -0.10529
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00848
  • Expected Shortfall on VaR
    0.01060
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00451
  • Expected Shortfall on VaR
    0.00801
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98766
  • Quartile 1
    0.99724
  • Median
    0.99988
  • Quartile 3
    1.00242
  • Maximum
    1.02096
  • Mean of quarter 1
    0.99391
  • Mean of quarter 2
    0.99867
  • Mean of quarter 3
    1.00134
  • Mean of quarter 4
    1.00628
  • Inter Quartile Range
    0.00518
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.98766
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01620
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.58627
  • VaR(95%) (moments method)
    0.00593
  • Expected Shortfall (moments method)
    0.00610
  • Extreme Value Index (regression method)
    -0.64817
  • VaR(95%) (regression method)
    0.00508
  • Expected Shortfall (regression method)
    0.00556
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00109
  • Quartile 1
    0.00537
  • Median
    0.00841
  • Quartile 3
    0.01521
  • Maximum
    0.07034
  • Mean of quarter 1
    0.00241
  • Mean of quarter 2
    0.00801
  • Mean of quarter 3
    0.01003
  • Mean of quarter 4
    0.03846
  • Inter Quartile Range
    0.00984
  • 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
    0.10000
  • Mean of outliers high
    0.07034
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.99186
  • VaR(95%) (moments method)
    0.04118
  • Expected Shortfall (moments method)
    0.04535
  • Extreme Value Index (regression method)
    0.77526
  • VaR(95%) (regression method)
    0.07902
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.37422
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -360844000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00709
  • Compounded annual return (geometric extrapolation)
    0.00710
  • Calmar ratio (compounded annual return / max draw down)
    0.10099
  • Compounded annual return / average of 25% largest draw downs
    0.18474
  • Compounded annual return / Expected Shortfall lognormal
    0.67014

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
$5,000
Rank at C2 %
Top 4.7%
Rank # 
#38
# Trades
4566
# Profitable
3319
% Profitable
72.7%
Net Dividends
Correlation S&P500
0.386
Sharpe Ratio
0.72
Sortino Ratio
1.08
Beta
0.53
Alpha
0.05
Leverage
0.80 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.