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Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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).
22.5%
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.

(61.1%)
Max Drawdown
4645
Num Trades
72.9%
Win Trades
1.3 : 1
Profit Factor
66.1%
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%)(6.4%)+1.5%+1.0%+0.5%(7.3%)+1.8%(2.4%)+5.8%(3.9%)(12.3%)

Model Account Details

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

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

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

Trading Record

This strategy has placed 6,911 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 26 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/16/24 12:03 NVDA NVIDIA LONG 27 131.41 12/18 9:34 134.43 0.21%
Trade id #150336053
Max drawdown($122)
Time12/17/24 0:00
Quant open27
Worst price126.86
Drawdown as % of equity-0.21%
 $81
Includes Typical Broker Commissions trade costs of $0.54
12/6/24 15:49 PENN PENN ENTERTAINMENT INC LONG 200 20.76 12/13 9:37 21.42 0.68%
Trade id #150268809
Max drawdown($392)
Time12/10/24 0:00
Quant open200
Worst price18.80
Drawdown as % of equity-0.68%
 $128
Includes Typical Broker Commissions trade costs of $4.00
12/10/24 12:25 IOT SAMSARA INC LONG 70 45.55 12/12 11:41 46.20 0.12%
Trade id #150291697
Max drawdown($67)
Time12/11/24 0:00
Quant open70
Worst price44.59
Drawdown as % of equity-0.12%
 $45
Includes Typical Broker Commissions trade costs of $1.40
12/4/24 14:51 MCHP MICROCHIP TECHNOLOGY LONG 60 61.69 12/11 9:48 62.31 0.39%
Trade id #150245392
Max drawdown($223)
Time12/5/24 0:00
Quant open60
Worst price57.96
Drawdown as % of equity-0.39%
 $36
Includes Typical Broker Commissions trade costs of $1.20
12/5/24 12:47 SMR NUSCALE POWER CORPORATION LONG 140 24.51 12/6 15:36 25.72 0.36%
Trade id #150257213
Max drawdown($205)
Time12/6/24 10:00
Quant open140
Worst price23.04
Drawdown as % of equity-0.36%
 $166
Includes Typical Broker Commissions trade costs of $2.80
12/2/24 14:45 MDB MONGODB INC. CLASS A COMMON STOCK LONG 12 326.08 12/4 9:35 336.00 0.14%
Trade id #150225867
Max drawdown($79)
Time12/3/24 0:00
Quant open12
Worst price319.48
Drawdown as % of equity-0.14%
 $119
Includes Typical Broker Commissions trade costs of $0.24
11/25/24 15:38 NVDA NVIDIA LONG 25 136.78 12/2 12:03 139.43 0.21%
Trade id #150172858
Max drawdown($124)
Time11/27/24 0:00
Quant open25
Worst price131.80
Drawdown as % of equity-0.21%
 $66
Includes Typical Broker Commissions trade costs of $0.50
11/27/24 14:20 MDB MONGODB INC. CLASS A COMMON STOCK LONG 10 320.68 11/29 10:31 325.72 0.01%
Trade id #150197432
Max drawdown($4)
Time11/27/24 14:37
Quant open10
Worst price320.25
Drawdown as % of equity-0.01%
 $50
Includes Typical Broker Commissions trade costs of $0.20
11/25/24 12:34 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD LONG 140 22.04 11/29 10:31 22.44 0.29%
Trade id #150170374
Max drawdown($168)
Time11/27/24 0:00
Quant open140
Worst price20.84
Drawdown as % of equity-0.29%
 $53
Includes Typical Broker Commissions trade costs of $2.80
10/17/24 13:48 AOS A.O.SMITH CORP LONG 40 78.49 11/25 12:16 75.44 0.55%
Trade id #149688034
Max drawdown($310)
Time11/20/24 0:00
Quant open40
Worst price70.73
Drawdown as % of equity-0.55%
 ($123)
Includes Typical Broker Commissions trade costs of $0.80
11/22/24 12:57 GOOG ALPHABET INC CLASS C LONG 28 166.99 11/25 12:16 168.86 0.02%
Trade id #150155512
Max drawdown($13)
Time11/22/24 15:50
Quant open28
Worst price166.50
Drawdown as % of equity-0.02%
 $51
Includes Typical Broker Commissions trade costs of $0.56
11/11/24 15:54 MRNA MODERNA INC. COMMON STOCK LONG 80 42.80 11/25 9:35 44.51 0.97%
Trade id #150059423
Max drawdown($559)
Time11/15/24 0:00
Quant open80
Worst price35.80
Drawdown as % of equity-0.97%
 $135
Includes Typical Broker Commissions trade costs of $1.60
11/15/24 12:45 ACLS AXCELIS TECHNOLOGIES LONG 50 74.73 11/22 12:55 74.68 0.47%
Trade id #150098834
Max drawdown($269)
Time11/20/24 0:00
Quant open50
Worst price69.35
Drawdown as % of equity-0.47%
 ($4)
Includes Typical Broker Commissions trade costs of $1.00
11/20/24 15:46 ATKR ATKORE INC LONG 40 82.98 11/21 13:46 87.37 0.49%
Trade id #150136388
Max drawdown($278)
Time11/21/24 9:30
Quant open40
Worst price76.01
Drawdown as % of equity-0.49%
 $175
Includes Typical Broker Commissions trade costs of $0.80
11/20/24 13:48 QCOM QUALCOMM LONG 20 153.37 11/21 9:47 155.62 0.01%
Trade id #150135412
Max drawdown($8)
Time11/20/24 15:10
Quant open20
Worst price152.95
Drawdown as % of equity-0.01%
 $45
Includes Typical Broker Commissions trade costs of $0.40
11/19/24 12:03 BAH BOOZ ALLEN HAMILTON LONG 25 139.89 11/20 15:44 142.82 0.13%
Trade id #150124371
Max drawdown($72)
Time11/20/24 11:33
Quant open25
Worst price137.00
Drawdown as % of equity-0.13%
 $73
Includes Typical Broker Commissions trade costs of $0.50
11/14/24 13:48 WSC WILLSCOT MOBILE MINI HOLDINGS CORP LONG 100 35.22 11/19 11:53 35.74 0.19%
Trade id #150089061
Max drawdown($109)
Time11/15/24 0:00
Quant open100
Worst price34.12
Drawdown as % of equity-0.19%
 $51
Includes Typical Broker Commissions trade costs of $2.00
11/8/24 14:28 CVS CVS HEALTH CORP LONG 70 56.09 11/18 12:27 56.45 0.41%
Trade id #150043255
Max drawdown($236)
Time11/15/24 0:00
Quant open70
Worst price52.71
Drawdown as % of equity-0.41%
 $24
Includes Typical Broker Commissions trade costs of $1.40
9/4/24 15:51 AAP ADVANCE AUTO PARTS LONG 80 42.46 11/14 12:46 42.18 0.99%
Trade id #149254601
Max drawdown($549)
Time10/31/24 0:00
Quant open80
Worst price35.59
Drawdown as % of equity-0.99%
 ($25)
Includes Typical Broker Commissions trade costs of $1.60
7/23/24 13:35 MBLY MOBILEYE GLOBAL INC. CLASS A LONG 140 23.26 11/7 12:29 17.12 3.37%
Trade id #148721455
Max drawdown($1,789)
Time9/11/24 0:00
Quant open140
Worst price10.48
Drawdown as % of equity-3.37%
 ($862)
Includes Typical Broker Commissions trade costs of $2.80
11/6/24 13:55 W WAYFAIR INC LONG 100 38.24 11/6 15:36 39.90 0.06%
Trade id #150013965
Max drawdown($32)
Time11/6/24 14:54
Quant open100
Worst price37.92
Drawdown as % of equity-0.06%
 $164
Includes Typical Broker Commissions trade costs of $2.00
10/30/24 15:48 CVI CVR ENERGY LONG 200 17.12 11/6 11:28 17.24 0.55%
Trade id #149909437
Max drawdown($304)
Time11/1/24 0:00
Quant open200
Worst price15.60
Drawdown as % of equity-0.55%
 $20
Includes Typical Broker Commissions trade costs of $4.00
10/18/24 13:03 CVS CVS HEALTH CORP LONG 60 59.35 11/6 11:28 61.44 0.54%
Trade id #149697479
Max drawdown($302)
Time11/5/24 0:00
Quant open60
Worst price54.31
Drawdown as % of equity-0.54%
 $124
Includes Typical Broker Commissions trade costs of $1.20
11/5/24 12:38 PENN PENN ENTERTAINMENT INC LONG 200 18.55 11/6 11:27 19.33 0.1%
Trade id #149988898
Max drawdown($54)
Time11/5/24 15:13
Quant open200
Worst price18.29
Drawdown as % of equity-0.10%
 $151
Includes Typical Broker Commissions trade costs of $4.00
10/31/24 12:14 IBM INTERNATIONAL BUSINESS MACHINES LONG 15 206.85 11/1 9:39 208.49 0.01%
Trade id #149921698
Max drawdown($5)
Time10/31/24 15:11
Quant open15
Worst price206.46
Drawdown as % of equity-0.01%
 $25
Includes Typical Broker Commissions trade costs of $0.30
10/23/24 12:54 DHR DANAHER LONG 15 255.81 11/1 9:38 252.11 0.39%
Trade id #149809269
Max drawdown($220)
Time10/30/24 0:00
Quant open15
Worst price241.10
Drawdown as % of equity-0.39%
 ($56)
Includes Typical Broker Commissions trade costs of $0.30
10/22/24 15:55 MDB MONGODB INC. CLASS A COMMON STOCK LONG 15 265.29 10/25 10:02 269.98 0.19%
Trade id #149799290
Max drawdown($105)
Time10/23/24 0:00
Quant open15
Worst price258.28
Drawdown as % of equity-0.19%
 $70
Includes Typical Broker Commissions trade costs of $0.30
10/21/24 11:52 WAL WESTERN ALLIANCE BANCORP LONG 40 81.17 10/23 12:43 81.99 0.06%
Trade id #149741024
Max drawdown($35)
Time10/21/24 15:51
Quant open40
Worst price80.28
Drawdown as % of equity-0.06%
 $32
Includes Typical Broker Commissions trade costs of $0.80
9/23/24 14:24 BA BOEING LONG 25 157.59 10/21 9:40 162.83 0.51%
Trade id #149486475
Max drawdown($289)
Time10/14/24 0:00
Quant open25
Worst price146.02
Drawdown as % of equity-0.51%
 $131
Includes Typical Broker Commissions trade costs of $0.50
10/17/24 12:22 FUTU FUTU HOLDINGS LTD ADS LONG 35 87.24 10/17 13:02 88.57 0.04%
Trade id #149687265
Max drawdown($22)
Time10/17/24 12:36
Quant open35
Worst price86.60
Drawdown as % of equity-0.04%
 $46
Includes Typical Broker Commissions trade costs of $0.70
Next

Statistics

  • Strategy began
    2/17/2005
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    7247.89
  • Age
    242 months ago
  • What it trades
    Stocks
  • # Trades
    4645
  • # Profitable
    3384
  • % Profitable
    72.90%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    61.13%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    22.5%
  • Avg win
    $85.29
  • Avg loss
    $178.58
  • Model Account Values (Raw)
  • Cash
    $60,646
  • Margin Used
    $0
  • Buying Power
    $47,317
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.69
  • Sortino Ratio
    1.04
  • Calmar Ratio
    0.16
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5123.82%
  • Correlation to SP500
    0.38770
  • Return Percent SP500 (cumu) during strategy life
    393.93%
  • Return Statistics
  • Ann Return (w trading costs)
    22.5%
  • Slump
  • Current Slump as Pcnt Equity
    15.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.225%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.00%
  • Chance of 20% account loss
    45.00%
  • Chance of 30% account loss
    23.00%
  • Chance of 40% account loss
    15.00%
  • Chance of 60% account loss (Monte Carlo)
    2.00%
  • 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
    11.00%
  • Popularity
  • Popularity (Today)
    782
  • Popularity (Last 6 weeks)
    942
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    963
  • Popularity (7 days, Percentile 1000 scale)
    870
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $179
  • Avg Win
    $85
  • Sum Trade PL (losers)
    $225,193.000
  • Age
  • Num Months filled monthly returns table
    239
  • Win / Loss
  • Sum Trade PL (winners)
    $288,615.000
  • # Winners
    3384
  • Num Months Winners
    160
  • Dividends
  • Dividends Received in Model Acct
    4933
  • AUM
  • AUM (AutoTrader live capital)
    51435
  • Win / Loss
  • # Losers
    1261
  • % Winners
    72.8%
  • Frequency
  • Avg Position Time (mins)
    8351.73
  • Avg Position Time (hrs)
    139.20
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.80
  • Daily leverage (max)
    2.72
  • Regression
  • Alpha
    0.05
  • Beta
    0.53
  • Treynor Index
    0.11
  • 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)
    0.14
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.361
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.166
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.382
  • Hold-and-Hope Ratio
    0.421
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17347
  • SD
    0.29912
  • Sharpe ratio (Glass type estimate)
    0.57995
  • Sharpe ratio (Hedges UMVUE)
    0.57808
  • df
    232.00000
  • t
    2.55552
  • p
    0.00562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13144
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13018
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02597
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74499
  • Upside Potential Ratio
    1.73848
  • Upside part of mean
    0.40481
  • Downside part of mean
    -0.23134
  • Upside SD
    0.19333
  • Downside SD
    0.23285
  • N nonnegative terms
    150.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    233.00000
  • Mean of predictor
    0.06831
  • Mean of criterion
    0.17347
  • SD of predictor
    0.19989
  • SD of criterion
    0.29912
  • Covariance
    0.02980
  • r
    0.49833
  • b (slope, estimate of beta)
    0.74573
  • a (intercept, estimate of alpha)
    0.12254
  • Mean Square Error
    0.06754
  • DF error
    231.00000
  • t(b)
    8.73606
  • p(b)
    -0.00000
  • t(a)
    2.06747
  • p(a)
    0.01990
  • Lowerbound of 95% confidence interval for beta
    0.57754
  • Upperbound of 95% confidence interval for beta
    0.91391
  • Lowerbound of 95% confidence interval for alpha
    0.00576
  • Upperbound of 95% confidence interval for alpha
    0.23931
  • Treynor index (mean / b)
    0.23262
  • Jensen alpha (a)
    0.12254
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10348
  • SD
    0.43158
  • Sharpe ratio (Glass type estimate)
    0.23976
  • Sharpe ratio (Hedges UMVUE)
    0.23899
  • df
    232.00000
  • t
    1.05650
  • p
    0.14592
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20581
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68485
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68432
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26410
  • Upside Potential Ratio
    0.98711
  • Upside part of mean
    0.38677
  • Downside part of mean
    -0.28329
  • Upside SD
    0.18121
  • Downside SD
    0.39182
  • N nonnegative terms
    150.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    233.00000
  • Mean of predictor
    0.04730
  • Mean of criterion
    0.10348
  • SD of predictor
    0.20697
  • SD of criterion
    0.43158
  • Covariance
    0.03851
  • r
    0.43111
  • b (slope, estimate of beta)
    0.89895
  • a (intercept, estimate of alpha)
    0.06096
  • Mean Square Error
    0.15230
  • DF error
    231.00000
  • t(b)
    7.26172
  • p(b)
    -0.00000
  • t(a)
    0.68680
  • p(a)
    0.24645
  • Lowerbound of 95% confidence interval for beta
    0.65504
  • Upperbound of 95% confidence interval for beta
    1.14286
  • Lowerbound of 95% confidence interval for alpha
    -0.11392
  • Upperbound of 95% confidence interval for alpha
    0.23584
  • Treynor index (mean / b)
    0.11511
  • Jensen alpha (a)
    0.06096
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17824
  • Expected Shortfall on VaR
    0.21911
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03333
  • Expected Shortfall on VaR
    0.08045
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    233.00000
  • Minimum
    0.20889
  • Quartile 1
    0.99058
  • Median
    1.02077
  • Quartile 3
    1.05316
  • Maximum
    1.33296
  • Mean of quarter 1
    0.92856
  • Mean of quarter 2
    1.00559
  • Mean of quarter 3
    1.03611
  • Mean of quarter 4
    1.09840
  • Inter Quartile Range
    0.06258
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03433
  • Mean of outliers low
    0.73385
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01288
  • Mean of outliers high
    1.21536
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60871
  • VaR(95%) (moments method)
    0.04886
  • Expected Shortfall (moments method)
    0.14727
  • Extreme Value Index (regression method)
    0.55462
  • VaR(95%) (regression method)
    0.05861
  • Expected Shortfall (regression method)
    0.16201
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00128
  • Quartile 1
    0.02311
  • Median
    0.05262
  • Quartile 3
    0.11046
  • Maximum
    0.79111
  • Mean of quarter 1
    0.01127
  • Mean of quarter 2
    0.03896
  • Mean of quarter 3
    0.09519
  • Mean of quarter 4
    0.31000
  • Inter Quartile Range
    0.08735
  • 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)
    0.60879
  • Compounded annual return (geometric extrapolation)
    0.14041
  • Calmar ratio (compounded annual return / max draw down)
    0.17748
  • Compounded annual return / average of 25% largest draw downs
    0.45293
  • Compounded annual return / Expected Shortfall lognormal
    0.64081
  • 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
    0.76375
  • SD
    1.52331
  • Sharpe ratio (Glass type estimate)
    0.50138
  • Sharpe ratio (Hedges UMVUE)
    0.50130
  • df
    5101.00000
  • t
    2.21250
  • p
    0.01349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05711
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94556
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43373
  • Upside Potential Ratio
    4.55462
  • Upside part of mean
    2.42626
  • Downside part of mean
    -1.66251
  • Upside SD
    1.42775
  • Downside SD
    0.53270
  • N nonnegative terms
    2735.00000
  • N negative terms
    2367.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5102.00000
  • Mean of predictor
    0.11016
  • Mean of criterion
    0.76375
  • SD of predictor
    0.35867
  • SD of criterion
    1.52331
  • Covariance
    0.14777
  • r
    0.27045
  • b (slope, estimate of beta)
    1.14864
  • a (intercept, estimate of alpha)
    0.63700
  • Mean Square Error
    2.15116
  • DF error
    5100.00000
  • t(b)
    20.06180
  • p(b)
    0.00000
  • t(a)
    1.91687
  • p(a)
    0.02766
  • Lowerbound of 95% confidence interval for beta
    1.03640
  • Upperbound of 95% confidence interval for beta
    1.26089
  • Lowerbound of 95% confidence interval for alpha
    -0.01448
  • Upperbound of 95% confidence interval for alpha
    1.28891
  • Treynor index (mean / b)
    0.66492
  • Jensen alpha (a)
    0.63722
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10154
  • SD
    1.13163
  • Sharpe ratio (Glass type estimate)
    0.08973
  • Sharpe ratio (Hedges UMVUE)
    0.08972
  • df
    5101.00000
  • t
    0.39597
  • p
    0.34607
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35442
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.53388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53387
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11829
  • Upside Potential Ratio
    2.35565
  • Upside part of mean
    2.02218
  • Downside part of mean
    -1.92064
  • Upside SD
    0.73719
  • Downside SD
    0.85844
  • N nonnegative terms
    2735.00000
  • N negative terms
    2367.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5102.00000
  • Mean of predictor
    0.04621
  • Mean of criterion
    0.10154
  • SD of predictor
    0.35794
  • SD of criterion
    1.13163
  • Covariance
    0.12418
  • r
    0.30658
  • b (slope, estimate of beta)
    0.96927
  • a (intercept, estimate of alpha)
    0.05676
  • Mean Square Error
    1.16045
  • DF error
    5100.00000
  • t(b)
    23.00220
  • p(b)
    0.00000
  • t(a)
    0.23249
  • p(a)
    0.40808
  • Lowerbound of 95% confidence interval for beta
    0.88666
  • Upperbound of 95% confidence interval for beta
    1.05188
  • Lowerbound of 95% confidence interval for alpha
    -0.42183
  • Upperbound of 95% confidence interval for alpha
    0.53534
  • Treynor index (mean / b)
    0.10476
  • Jensen alpha (a)
    0.05676
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10828
  • Expected Shortfall on VaR
    0.13367
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01315
  • Expected Shortfall on VaR
    0.03166
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5102.00000
  • Minimum
    0.14159
  • Quartile 1
    0.99640
  • Median
    1.00065
  • Quartile 3
    1.00545
  • Maximum
    5.71618
  • Mean of quarter 1
    0.97600
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00276
  • Mean of quarter 4
    1.03445
  • Inter Quartile Range
    0.00905
  • Number outliers low
    337.00000
  • Percentage of outliers low
    0.06605
  • Mean of outliers low
    0.93159
  • Number of outliers high
    327.00000
  • Percentage of outliers high
    0.06409
  • Mean of outliers high
    1.10521
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.91941
  • VaR(95%) (moments method)
    0.01915
  • Expected Shortfall (moments method)
    0.24883
  • Extreme Value Index (regression method)
    0.74264
  • VaR(95%) (regression method)
    0.01473
  • Expected Shortfall (regression method)
    0.06078
  • 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
    0.17541
  • 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
    0.24559
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56754
  • VaR(95%) (moments method)
    0.13975
  • Expected Shortfall (moments method)
    0.38198
  • Extreme Value Index (regression method)
    0.32144
  • VaR(95%) (regression method)
    0.18433
  • Expected Shortfall (regression method)
    0.36548
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58740
  • Compounded annual return (geometric extrapolation)
    0.13820
  • Calmar ratio (compounded annual return / max draw down)
    0.16049
  • Compounded annual return / average of 25% largest draw downs
    0.78785
  • Compounded annual return / Expected Shortfall lognormal
    1.03391
  • 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
    -0.06949
  • SD
    0.12581
  • Sharpe ratio (Glass type estimate)
    -0.55233
  • Sharpe ratio (Hedges UMVUE)
    -0.54913
  • df
    130.00000
  • t
    -0.39055
  • p
    0.51712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.32398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.32174
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22348
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66969
  • Upside Potential Ratio
    6.45403
  • Upside part of mean
    0.66966
  • Downside part of mean
    -0.73914
  • Upside SD
    0.07042
  • Downside SD
    0.10376
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.06949
  • SD of predictor
    0.14146
  • SD of criterion
    0.12581
  • Covariance
    0.01083
  • r
    0.60870
  • b (slope, estimate of beta)
    0.54134
  • a (intercept, estimate of alpha)
    -0.14675
  • Mean Square Error
    0.01004
  • DF error
    129.00000
  • t(b)
    8.71369
  • p(b)
    0.13797
  • t(a)
    -1.03356
  • p(a)
    0.55761
  • Lowerbound of 95% confidence interval for beta
    0.41842
  • Upperbound of 95% confidence interval for beta
    0.66425
  • Lowerbound of 95% confidence interval for alpha
    -0.42766
  • Upperbound of 95% confidence interval for alpha
    0.13417
  • Treynor index (mean / b)
    -0.12836
  • Jensen alpha (a)
    -0.14675
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07743
  • SD
    0.12689
  • Sharpe ratio (Glass type estimate)
    -0.61023
  • Sharpe ratio (Hedges UMVUE)
    -0.60671
  • df
    130.00000
  • t
    -0.43150
  • p
    0.51891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38195
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16608
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73527
  • Upside Potential Ratio
    6.33487
  • Upside part of mean
    0.66712
  • Downside part of mean
    -0.74455
  • Upside SD
    0.07007
  • Downside SD
    0.10531
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    -0.07743
  • SD of predictor
    0.14181
  • SD of criterion
    0.12689
  • Covariance
    0.01093
  • r
    0.60757
  • b (slope, estimate of beta)
    0.54364
  • a (intercept, estimate of alpha)
    -0.14958
  • Mean Square Error
    0.01024
  • DF error
    129.00000
  • t(b)
    8.68808
  • p(b)
    0.13854
  • t(a)
    -1.04366
  • p(a)
    0.55817
  • VAR (95 Confidence Intrvl)
    0.10800
  • Lowerbound of 95% confidence interval for beta
    0.41984
  • Upperbound of 95% confidence interval for beta
    0.66744
  • Lowerbound of 95% confidence interval for alpha
    -0.43314
  • Upperbound of 95% confidence interval for alpha
    0.13398
  • Treynor index (mean / b)
    -0.14243
  • Jensen alpha (a)
    -0.14958
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01310
  • Expected Shortfall on VaR
    0.01633
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00587
  • Expected Shortfall on VaR
    0.01229
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95040
  • Quartile 1
    0.99582
  • Median
    1.00098
  • Quartile 3
    1.00386
  • Maximum
    1.01667
  • Mean of quarter 1
    0.99028
  • Mean of quarter 2
    0.99887
  • Mean of quarter 3
    1.00248
  • Mean of quarter 4
    1.00781
  • Inter Quartile Range
    0.00804
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96449
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01667
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32104
  • VaR(95%) (moments method)
    0.01028
  • Expected Shortfall (moments method)
    0.01725
  • Extreme Value Index (regression method)
    0.37559
  • VaR(95%) (regression method)
    0.00919
  • Expected Shortfall (regression method)
    0.01554
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00071
  • Quartile 1
    0.00085
  • Median
    0.00100
  • Quartile 3
    0.03065
  • Maximum
    0.11928
  • Mean of quarter 1
    0.00071
  • Mean of quarter 2
    0.00090
  • Mean of quarter 3
    0.00111
  • Mean of quarter 4
    0.11928
  • Inter Quartile Range
    0.02980
  • 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
    0.25000
  • Mean of outliers high
    0.11928
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352586000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04892
  • Compounded annual return (geometric extrapolation)
    -0.04832
  • Calmar ratio (compounded annual return / max draw down)
    -0.40509
  • Compounded annual return / average of 25% largest draw downs
    -0.40509
  • Compounded annual return / Expected Shortfall lognormal
    -2.95947

Strategy Description

Visit www.extremetradinginc.com for further description.
You can follow me on twitter at twitter.com/xtremetrading
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2005-02-17
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 3.7%
Rank # 
#27
# Trades
4645
# Profitable
3384
% Profitable
72.9%
Net Dividends
$4,933
Correlation S&P500
0.388
Sharpe Ratio
0.69
Sortino Ratio
1.04
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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Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.