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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: 5 days ago

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.

32.4%
Annual Return (Compounded)
62.9%
Max Drawdown
3476
Num Trades
71.1%
Win Trades
1.3 : 1
Profit Factor
71.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005       (0.1%)+21.1%+3.3%+7.2%+0.6%+12.7%+6.2%+6.2%+16.2%+2.0%+11.0%+125.3%
2006+11.1%+4.3%+16.5%+2.9%+12.2%+0.4%+13.3%+9.1%+3.2%+3.1%+4.8%+4.5%+125.2%
2007+10.7%+2.0%+0.7%(5.2%)+12.0%(5.3%)+2.8%+4.0%+4.4%+15.4%(9.6%)+12.4%+50.0%
2008+13.3%+14.0%(12.5%)+8.5%+10.5%(0.3%)+15.1%+8.3%+14.6%(29.5%)(18.5%)+6.3%+17.9%
2009(11.8%)(15.2%)(6.9%)+13.3%+6.6%(1.7%)+8.9%+0.8%(3.3%)+0.8%+4.4%+4.5%(3.6%)
2010(10.4%)+15.7%+6.7%+4.3%+12.7%(1.6%)+10.7%(12%)+5.8%+6.6%(0.5%)+9.8%+53.4%
2011+1.2%+2.0%+7.5%+5.5%+14.0%+0.1%+3.9%(21%)(16.3%)+5.2%(6.4%)+5.8%(4.5%)
2012+2.6%+3.2%+2.4%(3.8%)(12%)+17.6%+2.3%(1.7%)+7.3%+3.1%+5.1%+2.7%+29.7%
2013(0.4%)+5.5%+4.5%+6.4%(1.6%)+6.2%+4.0%+7.6%(0.9%)+1.3%+5.2%+1.9%+47.1%
2014+0.6%+4.7%+7.3%+2.1%+7.1%+0.7%(3.4%)+5.8%(1.9%)+2.5%(0.7%)(2.3%)+24.3%
2015+0.6%+5.0%+4.1%+1.4%(1.6%)(7.3%)+1.3%(0.4%)(8.3%)+10.1%+6.1%(8.4%)+0.6%
2016(6.2%)+0.1%+4.2%+2.5%(0.2%)+2.0%+2.9%(3.8%)+4.5%(1%)+5.6%(5.3%)+4.7%
2017+1.3%(1.1%)(3.3%)+0.2%(1.1%)+7.3%(1.1%)+2.1%+4.3%                  +8.5%

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 4,779 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/14/17 10:45 EFX EQUIFAX LONG 400 94.53 9/14 11:28 99.22 0.02%
Trade id #113682743
Max drawdown($72)
Time9/14/17 10:49
Quant open400
Worst price94.35
Drawdown as % of equity-0.02%
$1,868
Includes Typical Broker Commissions trade costs of $8.00
8/18/17 11:34 ALK ALASKA AIR GROUP LONG 1,000 79.15 9/14 9:56 78.10 1.91%
Trade id #113224841
Max drawdown($7,450)
Time9/6/17 9:41
Quant open1,000
Worst price71.70
Drawdown as % of equity-1.91%
($1,055)
Includes Typical Broker Commissions trade costs of $5.00
9/8/17 15:14 CBS CBS LONG 1,800 58.86 9/13 9:38 59.23 0.55%
Trade id #113607286
Max drawdown($2,214)
Time9/12/17 9:39
Quant open1,800
Worst price57.63
Drawdown as % of equity-0.55%
$661
Includes Typical Broker Commissions trade costs of $5.00
9/8/17 9:46 NWL NEWELL BRANDS INC LONG 3,000 44.06 9/11 12:45 44.21 0.88%
Trade id #113599659
Max drawdown($3,542)
Time9/11/17 9:32
Quant open3,000
Worst price42.88
Drawdown as % of equity-0.88%
$441
Includes Typical Broker Commissions trade costs of $7.50
8/4/17 10:02 MYL MYLAN N.V. ORDINARY SHARES LONG 1,000 33.95 9/8 12:37 32.09 1.41%
Trade id #112988810
Max drawdown($5,440)
Time8/9/17 8:09
Quant open1,000
Worst price28.51
Drawdown as % of equity-1.41%
($1,865)
Includes Typical Broker Commissions trade costs of $5.00
8/30/17 15:01 TRV TRAVELERS COMPANIES LONG 1,400 121.98 9/8 12:36 119.66 2.96%
Trade id #113453705
Max drawdown($11,508)
Time9/7/17 13:38
Quant open1,400
Worst price113.76
Drawdown as % of equity-2.96%
($3,253)
Includes Typical Broker Commissions trade costs of $5.00
9/7/17 12:44 TECD TECH DATA LONG 1,500 82.27 9/7 15:27 82.55 0.07%
Trade id #113584094
Max drawdown($285)
Time9/7/17 12:47
Quant open1,500
Worst price82.08
Drawdown as % of equity-0.07%
$415
Includes Typical Broker Commissions trade costs of $5.00
9/7/17 12:45 HCI HCI GROUP INC LONG 1,800 28.86 9/7 15:27 29.50 0.09%
Trade id #113584152
Max drawdown($359)
Time9/7/17 12:58
Quant open1,800
Worst price28.66
Drawdown as % of equity-0.09%
$1,147
Includes Typical Broker Commissions trade costs of $5.00
9/6/17 11:21 TECD TECH DATA LONG 1,200 82.37 9/6 13:38 83.12 0.11%
Trade id #113561202
Max drawdown($432)
Time9/6/17 11:36
Quant open1,200
Worst price82.01
Drawdown as % of equity-0.11%
$895
Includes Typical Broker Commissions trade costs of $5.00
9/5/17 12:34 TECD TECH DATA LONG 1,200 81.77 9/5 14:58 82.87 0.08%
Trade id #113541886
Max drawdown($312)
Time9/5/17 12:46
Quant open1,200
Worst price81.51
Drawdown as % of equity-0.08%
$1,315
Includes Typical Broker Commissions trade costs of $5.00
9/1/17 12:50 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 1,500 80.74 9/5 11:23 80.90 0.09%
Trade id #113496259
Max drawdown($360)
Time9/1/17 13:24
Quant open1,500
Worst price80.50
Drawdown as % of equity-0.09%
$235
Includes Typical Broker Commissions trade costs of $5.00
8/7/17 12:41 RDY DR. REDDY LABS LONG 1,500 34.13 9/1 9:49 34.14 1.65%
Trade id #113020332
Max drawdown($6,450)
Time8/21/17 10:00
Quant open1,500
Worst price29.83
Drawdown as % of equity-1.65%
$10
Includes Typical Broker Commissions trade costs of $5.00
8/30/17 13:39 SJM J.M. SMUCKER LONG 1,200 103.82 8/30 15:01 104.75 0.02%
Trade id #113451057
Max drawdown($83)
Time8/30/17 13:41
Quant open1,200
Worst price103.75
Drawdown as % of equity-0.02%
$1,111
Includes Typical Broker Commissions trade costs of $5.00
8/3/17 12:51 CRUS CIRRUS LOGIC LONG 1,200 60.23 8/30 13:39 57.55 1.94%
Trade id #112970117
Max drawdown($7,574)
Time8/21/17 11:07
Quant open1,200
Worst price53.92
Drawdown as % of equity-1.94%
($3,221)
Includes Typical Broker Commissions trade costs of $5.00
8/28/17 13:04 K KELLOGG LONG 2,000 66.39 8/28 15:36 66.77 0.03%
Trade id #113388495
Max drawdown($120)
Time8/28/17 13:32
Quant open2,000
Worst price66.33
Drawdown as % of equity-0.03%
$755
Includes Typical Broker Commissions trade costs of $5.00
8/25/17 14:58 SJM J.M. SMUCKER LONG 800 105.20 8/28 15:36 105.55 0.21%
Trade id #113351904
Max drawdown($840)
Time8/28/17 13:37
Quant open800
Worst price104.15
Drawdown as % of equity-0.21%
$275
Includes Typical Broker Commissions trade costs of $5.00
8/23/17 11:42 DAL DELTA AIR LINES LONG 2,000 46.22 8/25 11:16 46.40 0.62%
Trade id #113297899
Max drawdown($2,440)
Time8/24/17 15:43
Quant open2,000
Worst price45.00
Drawdown as % of equity-0.62%
$355
Includes Typical Broker Commissions trade costs of $5.00
8/9/17 10:35 MNK MALLINCKRODT PUBLIC LIMITED CO LONG 1,000 38.01 8/24 11:47 38.52 0.76%
Trade id #113059127
Max drawdown($2,970)
Time8/15/17 11:54
Quant open1,000
Worst price35.04
Drawdown as % of equity-0.76%
$505
Includes Typical Broker Commissions trade costs of $5.00
8/23/17 12:11 LOW LOWE'S COMPANIES LONG 1,500 71.55 8/24 11:46 73.28 0.23%
Trade id #113298848
Max drawdown($885)
Time8/23/17 12:39
Quant open1,500
Worst price70.96
Drawdown as % of equity-0.23%
$2,590
Includes Typical Broker Commissions trade costs of $5.00
8/21/17 15:42 NKE NIKE LONG 1,500 53.59 8/22 11:19 54.01 0.11%
Trade id #113262883
Max drawdown($420)
Time8/21/17 16:36
Quant open1,500
Worst price53.31
Drawdown as % of equity-0.11%
$625
Includes Typical Broker Commissions trade costs of $5.00
8/21/17 15:29 DY DYCOM INDUSTRIES LONG 1,000 76.10 8/21 15:42 76.58 0.05%
Trade id #113262592
Max drawdown($200)
Time8/21/17 15:33
Quant open1,000
Worst price75.90
Drawdown as % of equity-0.05%
$475
Includes Typical Broker Commissions trade costs of $5.00
8/17/17 15:55 EOG EOG RESOURCES LONG 1,000 83.49 8/21 14:39 83.63 0.05%
Trade id #113209458
Max drawdown($200)
Time8/18/17 9:36
Quant open1,000
Worst price83.29
Drawdown as % of equity-0.05%
$135
Includes Typical Broker Commissions trade costs of $5.00
8/15/17 10:15 PLCE CHILDRENS PLACE INC. LONG 800 101.40 8/21 11:25 101.60 0.66%
Trade id #113152119
Max drawdown($2,560)
Time8/16/17 10:31
Quant open800
Worst price98.20
Drawdown as % of equity-0.66%
$155
Includes Typical Broker Commissions trade costs of $5.00
8/18/17 11:01 LVLT LEVEL 3 COMMUNICATIONS LONG 1,200 52.13 8/18 13:47 52.69 0.06%
Trade id #113223529
Max drawdown($216)
Time8/18/17 11:03
Quant open1,200
Worst price51.95
Drawdown as % of equity-0.06%
$667
Includes Typical Broker Commissions trade costs of $5.00
8/11/17 12:12 SLG SL GREEN REALTY LONG 1,000 97.84 8/11 15:56 98.99 0.03%
Trade id #113108973
Max drawdown($110)
Time8/11/17 12:15
Quant open1,000
Worst price97.73
Drawdown as % of equity-0.03%
$1,145
Includes Typical Broker Commissions trade costs of $5.00
8/10/17 13:34 EVHC ENVISION HEALTHCARE HOLDINGS LONG 1,200 51.98 8/10 14:45 52.45 0%
Trade id #113088213
Max drawdown($12)
Time8/10/17 13:36
Quant open1,200
Worst price51.97
Drawdown as % of equity-0.00%
$559
Includes Typical Broker Commissions trade costs of $5.00
8/9/17 15:58 BAS BASIC ENERGY SERVICES LONG 1,000 16.52 8/10 12:05 16.93 0.02%
Trade id #113068166
Max drawdown($70)
Time8/9/17 16:00
Quant open1,000
Worst price16.45
Drawdown as % of equity-0.02%
$405
Includes Typical Broker Commissions trade costs of $5.00
8/7/17 12:42 PRGO PERRIGO COMPANY PLC LONG 1,000 67.72 8/10 9:31 75.88 1.04%
Trade id #113020366
Max drawdown($4,040)
Time8/9/17 9:42
Quant open1,000
Worst price63.68
Drawdown as % of equity-1.04%
$8,155
Includes Typical Broker Commissions trade costs of $5.00
7/20/17 14:24 UAL UNITED CONTINENTAL LONG 1,400 72.45 8/9 15:54 67.01 2.12%
Trade id #112707056
Max drawdown($8,400)
Time7/27/17 9:37
Quant open1,400
Worst price66.45
Drawdown as % of equity-2.12%
($7,621)
Includes Typical Broker Commissions trade costs of $5.00
8/9/17 11:44 SYNA SYNAPTICS LONG 1,200 42.17 8/9 15:54 42.56 0.09%
Trade id #113061154
Max drawdown($336)
Time8/9/17 11:49
Quant open1,200
Worst price41.89
Drawdown as % of equity-0.09%
$463
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/17/2005
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    4596.77
  • Age
    153 months ago
  • What it trades
    Stocks
  • # Trades
    3476
  • # Profitable
    2472
  • % Profitable
    71.10%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    62.88%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    32.4%
  • Avg win
    $698.47
  • Avg loss
    $1,344
  • Model Account Values (Raw)
  • Cash
    $395,388
  • Margin Used
    $0
  • Buying Power
    $396,052
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.611
  • Sortino Ratio
    1.744
  • Calmar Ratio
    0.215
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.39100
  • Return Statistics
  • Ann Return (w trading costs)
    32.4%
  • Ann Return (Compnd, No Fees)
    34.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.50%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    3.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    601
  • Popularity (Last 6 weeks)
    883
  • C2 Score
    28.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,344
  • Avg Win
    $698
  • # Winners
    2472
  • # Losers
    1004
  • % Winners
    71.1%
  • Frequency
  • Avg Position Time (mins)
    4731.83
  • Avg Position Time (hrs)
    78.86
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23293
  • SD
    0.35342
  • Sharpe ratio (Glass type estimate)
    0.65907
  • Sharpe ratio (Hedges UMVUE)
    0.65568
  • df
    146.00000
  • t
    2.30673
  • p
    0.40624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22069
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83414
  • Upside Potential Ratio
    1.78063
  • Upside part of mean
    0.49723
  • Downside part of mean
    -0.26430
  • Upside SD
    0.22495
  • Downside SD
    0.27925
  • N nonnegative terms
    102.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    0.03746
  • Mean of criterion
    0.23293
  • SD of predictor
    0.19508
  • SD of criterion
    0.35342
  • Covariance
    0.03422
  • r
    0.49629
  • b (slope, estimate of beta)
    0.89912
  • a (intercept, estimate of alpha)
    0.19925
  • Mean Square Error
    0.09479
  • DF error
    145.00000
  • t(b)
    6.88376
  • p(b)
    0.19755
  • t(a)
    2.26151
  • p(a)
    0.38316
  • Lowerbound of 95% confidence interval for beta
    0.64096
  • Upperbound of 95% confidence interval for beta
    1.15727
  • Lowerbound of 95% confidence interval for alpha
    0.02511
  • Upperbound of 95% confidence interval for alpha
    0.37338
  • Treynor index (mean / b)
    0.25906
  • Jensen alpha (a)
    0.19925
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13132
  • SD
    0.52462
  • Sharpe ratio (Glass type estimate)
    0.25032
  • Sharpe ratio (Hedges UMVUE)
    0.24903
  • df
    146.00000
  • t
    0.87612
  • p
    0.46384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.81063
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31169
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80975
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27346
  • Upside Potential Ratio
    0.98497
  • Upside part of mean
    0.47301
  • Downside part of mean
    -0.34169
  • Upside SD
    0.21018
  • Downside SD
    0.48023
  • N nonnegative terms
    102.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    0.01800
  • Mean of criterion
    0.13132
  • SD of predictor
    0.19936
  • SD of criterion
    0.52462
  • Covariance
    0.04645
  • r
    0.44409
  • b (slope, estimate of beta)
    1.16862
  • a (intercept, estimate of alpha)
    0.11029
  • Mean Square Error
    0.22247
  • DF error
    145.00000
  • t(b)
    5.96843
  • p(b)
    0.22687
  • t(a)
    0.81810
  • p(a)
    0.45688
  • Lowerbound of 95% confidence interval for beta
    0.78163
  • Upperbound of 95% confidence interval for beta
    1.55561
  • Lowerbound of 95% confidence interval for alpha
    -0.15616
  • Upperbound of 95% confidence interval for alpha
    0.37673
  • Treynor index (mean / b)
    0.11237
  • Jensen alpha (a)
    0.11029
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21193
  • Expected Shortfall on VaR
    0.25911
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03366
  • Expected Shortfall on VaR
    0.08431
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    147.00000
  • Minimum
    0.21165
  • Quartile 1
    0.99593
  • Median
    1.02788
  • Quartile 3
    1.06287
  • Maximum
    1.28186
  • Mean of quarter 1
    0.91565
  • Mean of quarter 2
    1.01367
  • Mean of quarter 3
    1.04422
  • Mean of quarter 4
    1.11402
  • Inter Quartile Range
    0.06694
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.04762
  • Mean of outliers low
    0.72029
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02041
  • Mean of outliers high
    1.23031
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94757
  • VaR(95%) (moments method)
    0.03935
  • Expected Shortfall (moments method)
    0.85857
  • Extreme Value Index (regression method)
    0.48274
  • VaR(95%) (regression method)
    0.05986
  • Expected Shortfall (regression method)
    0.15622
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00128
  • Quartile 1
    0.01375
  • Median
    0.06646
  • Quartile 3
    0.11592
  • Maximum
    0.78835
  • Mean of quarter 1
    0.00764
  • Mean of quarter 2
    0.02755
  • Mean of quarter 3
    0.09409
  • Mean of quarter 4
    0.43743
  • Inter Quartile Range
    0.10217
  • 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
    0.18750
  • Mean of outliers high
    0.53753
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.83647
  • VaR(95%) (moments method)
    0.35947
  • Expected Shortfall (moments method)
    0.36058
  • Extreme Value Index (regression method)
    -0.58073
  • VaR(95%) (regression method)
    0.76270
  • Expected Shortfall (regression method)
    0.92030
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49246
  • Compounded annual return (geometric extrapolation)
    0.17261
  • Calmar ratio (compounded annual return / max draw down)
    0.21895
  • Compounded annual return / average of 25% largest draw downs
    0.39459
  • Compounded annual return / Expected Shortfall lognormal
    0.66615
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.17221
  • SD
    1.91661
  • Sharpe ratio (Glass type estimate)
    0.61160
  • Sharpe ratio (Hedges UMVUE)
    0.61146
  • df
    3219.00000
  • t
    2.14411
  • p
    0.01605
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05219
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17074
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74385
  • Upside Potential Ratio
    5.06946
  • Upside part of mean
    3.40767
  • Downside part of mean
    -2.23546
  • Upside SD
    1.79601
  • Downside SD
    0.67220
  • N nonnegative terms
    1762.00000
  • N negative terms
    1458.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3220.00000
  • Mean of predictor
    0.10219
  • Mean of criterion
    1.17221
  • SD of predictor
    0.40862
  • SD of criterion
    1.91661
  • Covariance
    0.23029
  • r
    0.29405
  • b (slope, estimate of beta)
    1.37920
  • a (intercept, estimate of alpha)
    1.03100
  • Mean Square Error
    3.35684
  • DF error
    3218.00000
  • t(b)
    17.45200
  • p(b)
    0.00000
  • t(a)
    1.97303
  • p(a)
    0.02429
  • Lowerbound of 95% confidence interval for beta
    1.22425
  • Upperbound of 95% confidence interval for beta
    1.53415
  • Lowerbound of 95% confidence interval for alpha
    0.00644
  • Upperbound of 95% confidence interval for alpha
    2.05610
  • Treynor index (mean / b)
    0.84992
  • Jensen alpha (a)
    1.03127
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13540
  • SD
    1.40323
  • Sharpe ratio (Glass type estimate)
    0.09649
  • Sharpe ratio (Hedges UMVUE)
    0.09647
  • df
    3219.00000
  • t
    0.33828
  • p
    0.36759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46259
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.65557
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46261
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65555
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12849
  • Upside Potential Ratio
    2.62775
  • Upside part of mean
    2.76912
  • Downside part of mean
    -2.63372
  • Upside SD
    0.92630
  • Downside SD
    1.05380
  • N nonnegative terms
    1762.00000
  • N negative terms
    1458.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3220.00000
  • Mean of predictor
    0.01936
  • Mean of criterion
    0.13540
  • SD of predictor
    0.40704
  • SD of criterion
    1.40323
  • Covariance
    0.18331
  • r
    0.32094
  • b (slope, estimate of beta)
    1.10640
  • a (intercept, estimate of alpha)
    0.11398
  • Mean Square Error
    1.76680
  • DF error
    3218.00000
  • t(b)
    19.22260
  • p(b)
    0.00000
  • t(a)
    0.30062
  • p(a)
    0.38186
  • Lowerbound of 95% confidence interval for beta
    0.99355
  • Upperbound of 95% confidence interval for beta
    1.21925
  • Lowerbound of 95% confidence interval for alpha
    -0.62943
  • Upperbound of 95% confidence interval for alpha
    0.85740
  • Treynor index (mean / b)
    0.12238
  • Jensen alpha (a)
    0.11398
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13245
  • Expected Shortfall on VaR
    0.16289
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01740
  • Expected Shortfall on VaR
    0.04186
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3220.00000
  • Minimum
    0.17741
  • Quartile 1
    0.99626
  • Median
    1.00098
  • Quartile 3
    1.00649
  • Maximum
    5.71618
  • Mean of quarter 1
    0.96717
  • Mean of quarter 2
    0.99900
  • Mean of quarter 3
    1.00343
  • Mean of quarter 4
    1.04872
  • Inter Quartile Range
    0.01022
  • Number outliers low
    252.00000
  • Percentage of outliers low
    0.07826
  • Mean of outliers low
    0.91420
  • Number of outliers high
    238.00000
  • Percentage of outliers high
    0.07391
  • Mean of outliers high
    1.13661
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.07314
  • VaR(95%) (moments method)
    0.02523
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.79629
  • VaR(95%) (regression method)
    0.01877
  • Expected Shortfall (regression method)
    0.10011
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    90.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00232
  • Median
    0.01365
  • Quartile 3
    0.04798
  • Maximum
    0.82599
  • Mean of quarter 1
    0.00138
  • Mean of quarter 2
    0.00675
  • Mean of quarter 3
    0.02656
  • Mean of quarter 4
    0.27176
  • Inter Quartile Range
    0.04566
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.17778
  • Mean of outliers high
    0.35573
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08595
  • VaR(95%) (moments method)
    0.16987
  • Expected Shortfall (moments method)
    0.25961
  • Extreme Value Index (regression method)
    0.12465
  • VaR(95%) (regression method)
    0.30353
  • Expected Shortfall (regression method)
    0.50235
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52413
  • Compounded annual return (geometric extrapolation)
    0.17740
  • Calmar ratio (compounded annual return / max draw down)
    0.21477
  • Compounded annual return / average of 25% largest draw downs
    0.65279
  • Compounded annual return / Expected Shortfall lognormal
    1.08912
  • 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
    0.14987
  • SD
    0.12412
  • Sharpe ratio (Glass type estimate)
    1.20744
  • Sharpe ratio (Hedges UMVUE)
    1.20046
  • df
    130.00000
  • t
    0.85379
  • p
    0.46266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.98083
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57519
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97610
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83425
  • Upside Potential Ratio
    10.25700
  • Upside part of mean
    0.83804
  • Downside part of mean
    -0.68818
  • Upside SD
    0.09326
  • Downside SD
    0.08170
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08186
  • Mean of criterion
    0.14987
  • SD of predictor
    0.07468
  • SD of criterion
    0.12412
  • Covariance
    0.00232
  • r
    0.25000
  • b (slope, estimate of beta)
    0.41550
  • a (intercept, estimate of alpha)
    0.11585
  • Mean Square Error
    0.01455
  • DF error
    129.00000
  • t(b)
    2.93256
  • p(b)
    0.34252
  • t(a)
    0.67748
  • p(a)
    0.46212
  • Lowerbound of 95% confidence interval for beta
    0.13517
  • Upperbound of 95% confidence interval for beta
    0.69583
  • Lowerbound of 95% confidence interval for alpha
    -0.22249
  • Upperbound of 95% confidence interval for alpha
    0.45420
  • Treynor index (mean / b)
    0.36069
  • Jensen alpha (a)
    0.11585
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14217
  • SD
    0.12403
  • Sharpe ratio (Glass type estimate)
    1.14626
  • Sharpe ratio (Hedges UMVUE)
    1.13964
  • df
    130.00000
  • t
    0.81053
  • p
    0.46454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63122
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91490
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72903
  • Upside Potential Ratio
    10.13820
  • Upside part of mean
    0.83364
  • Downside part of mean
    -0.69147
  • Upside SD
    0.09264
  • Downside SD
    0.08223
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07906
  • Mean of criterion
    0.14217
  • SD of predictor
    0.07480
  • SD of criterion
    0.12403
  • Covariance
    0.00232
  • r
    0.24971
  • b (slope, estimate of beta)
    0.41405
  • a (intercept, estimate of alpha)
    0.10944
  • Mean Square Error
    0.01454
  • DF error
    129.00000
  • t(b)
    2.92898
  • p(b)
    0.34270
  • t(a)
    0.64046
  • p(a)
    0.46418
  • Lowerbound of 95% confidence interval for beta
    0.13436
  • Upperbound of 95% confidence interval for beta
    0.69374
  • Lowerbound of 95% confidence interval for alpha
    -0.22864
  • Upperbound of 95% confidence interval for alpha
    0.44752
  • Treynor index (mean / b)
    0.34338
  • Jensen alpha (a)
    0.10944
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01199
  • Expected Shortfall on VaR
    0.01514
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00588
  • Expected Shortfall on VaR
    0.01121
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97873
  • Quartile 1
    0.99677
  • Median
    1.00023
  • Quartile 3
    1.00515
  • Maximum
    1.01993
  • Mean of quarter 1
    0.99125
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00256
  • Mean of quarter 4
    1.01042
  • Inter Quartile Range
    0.00838
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98198
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01967
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37762
  • VaR(95%) (moments method)
    0.00812
  • Expected Shortfall (moments method)
    0.00973
  • Extreme Value Index (regression method)
    -0.25624
  • VaR(95%) (regression method)
    0.00991
  • Expected Shortfall (regression method)
    0.01254
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00019
  • Quartile 1
    0.01219
  • Median
    0.02527
  • Quartile 3
    0.03071
  • Maximum
    0.04913
  • Mean of quarter 1
    0.00042
  • Mean of quarter 2
    0.02450
  • Mean of quarter 3
    0.02632
  • Mean of quarter 4
    0.04212
  • Inter Quartile Range
    0.01853
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17752
  • Compounded annual return (geometric extrapolation)
    0.18540
  • Calmar ratio (compounded annual return / max draw down)
    3.77400
  • Compounded annual return / average of 25% largest draw downs
    4.40215
  • Compounded annual return / Expected Shortfall lognormal
    12.24290

Strategy Description

Visit www.extremetradinginc.com for further description.

Summary Statistics

Strategy began
2005-02-17
Minimum Capital Required
$25,000
# Trades
3476
# Profitable
2472
% Profitable
71.1%
Net Dividends
Correlation S&P500
0.391
Sharpe Ratio
0.611

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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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