You have not yet verified your email address . Please look for an email from us with the subject "" and click the magic link inside.

Resend verification email
Email sent. Check your inbox.
Please contact help@collective2.com for assistance.

Thank you for verifying your email address! You are awesome. (Dismiss)

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

extreme-os

Created by:
UyenLe
UyenLe
Started:   02/2005
Stocks
Last trade:   4 days ago

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

34.6%
Annual Return (Compounded)
62.9%
Max Drawdown
3210
Num Trades
71.2%
Win Trades
1.3 : 1
Profit Factor
73.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005       +1.2%+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%)+3.5%                  +4.7%

Model Account Details

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.

Open positions are hidden from non-subscribers.

This strategy has placed 4,515 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/16/16 14:51 RRC RANGE RESOURCES LONG 1,300 37.40 9/19 15:38 37.25 0.14%
Trade id #105926948
Max drawdown($534)
Time9/19/16 11:23
Quant open1,300
Worst price36.99
Drawdown as % of equity-0.14%
($217)
Includes Typical Commission and AutoTrade Fees trade costs of $26.00
9/14/16 15:43 UNFI UNITED NATURAL FOODS LONG 1,200 39.49 9/19 13:44 39.30 0.3%
Trade id #105882071
Max drawdown($1,119)
Time9/16/16 15:00
Quant open1,200
Worst price38.56
Drawdown as % of equity-0.30%
($251)
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
9/16/16 14:52 INGR INGREDION LONG 800 129.10 9/19 13:42 129.19 0.11%
Trade id #105926977
Max drawdown($420)
Time9/16/16 15:55
Quant open800
Worst price128.57
Drawdown as % of equity-0.11%
$58
Includes Typical Commission and AutoTrade Fees trade costs of $16.00
9/13/16 12:14 HP HELMERICH & PAYNE LONG 1,200 57.22 9/14 12:04 57.79 0.19%
Trade id #105851914
Max drawdown($708)
Time9/14/16 9:32
Quant open1,200
Worst price56.63
Drawdown as % of equity-0.19%
$661
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
9/12/16 14:08 USCR US CONCRETE LONG 1,200 47.35 9/14 11:53 47.85 0.56%
Trade id #105828436
Max drawdown($2,096)
Time9/13/16 12:57
Quant open1,200
Worst price45.60
Drawdown as % of equity-0.56%
$571
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
9/9/16 10:44 DECK DECKERS OUTDOOR CORP LONG 1,200 59.39 9/13 15:01 58.18 0.61%
Trade id #105737874
Max drawdown($2,273)
Time9/12/16 9:31
Quant open1,200
Worst price57.50
Drawdown as % of equity-0.61%
($1,481)
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/30/16 10:51 ZOES ZOE'S KITCHEN INC LONG 1,500 27.85 9/13 15:01 24.71 1.28%
Trade id #105521107
Max drawdown($4,799)
Time9/13/16 11:40
Quant open1,500
Worst price24.65
Drawdown as % of equity-1.28%
($4,738)
Includes Typical Commission and AutoTrade Fees trade costs of $30.00
9/8/16 15:09 RCL ROYAL CARIBBEAN CRUISES LONG 1,200 65.96 9/12 12:00 66.80 0.28%
Trade id #105709124
Max drawdown($1,035)
Time9/12/16 9:55
Quant open1,200
Worst price65.10
Drawdown as % of equity-0.28%
$980
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
9/2/16 12:48 MYL MYLAN N.V. ORDINARY SHARES LONG 1,200 40.20 9/7 15:15 40.56 0.12%
Trade id #105612676
Max drawdown($453)
Time9/2/16 14:38
Quant open1,200
Worst price39.82
Drawdown as % of equity-0.12%
$414
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
9/6/16 12:35 DECK DECKERS OUTDOOR CORP LONG 1,400 61.35 9/7 15:15 61.91 0.23%
Trade id #105662560
Max drawdown($875)
Time9/7/16 9:41
Quant open1,400
Worst price60.73
Drawdown as % of equity-0.23%
$750
Includes Typical Commission and AutoTrade Fees trade costs of $28.00
8/16/16 15:05 VRSN VERISIGN LONG 1,000 76.46 9/2 9:36 79.08 0.66%
Trade id #105221488
Max drawdown($2,448)
Time8/31/16 9:31
Quant open1,000
Worst price74.01
Drawdown as % of equity-0.66%
$2,602
Includes Typical Commission and AutoTrade Fees trade costs of $20.00
8/24/16 12:19 WYNN WYNN RESORTS LONG 800 93.66 9/1 14:53 94.03 1.11%
Trade id #105383419
Max drawdown($4,127)
Time8/31/16 9:31
Quant open800
Worst price88.50
Drawdown as % of equity-1.11%
$277
Includes Typical Commission and AutoTrade Fees trade costs of $16.00
8/25/16 13:33 SIMO SILICON MOTION TECH LONG 1,500 48.77 8/26 9:40 50.05 0.47%
Trade id #105408754
Max drawdown($1,754)
Time8/25/16 14:23
Quant open1,500
Worst price47.60
Drawdown as % of equity-0.47%
$1,884
Includes Typical Commission and AutoTrade Fees trade costs of $30.00
8/15/16 13:44 FNBC FIRST NBC BANK HOLDING COMPANY LONG 1,800 12.52 8/23 9:50 12.53 0.56%
Trade id #105191908
Max drawdown($2,089)
Time8/18/16 9:56
Quant open1,800
Worst price11.36
Drawdown as % of equity-0.56%
($17)
Includes Typical Commission and AutoTrade Fees trade costs of $36.00
8/19/16 9:44 DVA DAVITA INC LONG 1,200 64.73 8/22 11:27 65.17 0.35%
Trade id #105297814
Max drawdown($1,312)
Time8/19/16 10:06
Quant open1,200
Worst price63.64
Drawdown as % of equity-0.35%
$499
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/18/16 10:04 CRM SALESFORCE.COM LONG 1,300 76.87 8/19 14:30 77.33 0.13%
Trade id #105265291
Max drawdown($485)
Time8/19/16 7:06
Quant open1,300
Worst price76.50
Drawdown as % of equity-0.13%
$568
Includes Typical Commission and AutoTrade Fees trade costs of $26.00
8/17/16 15:45 DVA DAVITA INC LONG 1,200 67.24 8/18 12:56 67.89 0.03%
Trade id #105247909
Max drawdown($112)
Time8/17/16 15:57
Quant open1,200
Worst price67.15
Drawdown as % of equity-0.03%
$750
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/17/16 11:48 AMSG AMSURG LONG 1,200 61.60 8/17 15:44 62.67 0.09%
Trade id #105240839
Max drawdown($345)
Time8/17/16 12:03
Quant open1,200
Worst price61.31
Drawdown as % of equity-0.09%
$1,267
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/17/16 11:31 MAA MID-AMERICA LONG 1,000 93.39 8/17 12:12 94.15 0.01%
Trade id #105240363
Max drawdown($53)
Time8/17/16 11:34
Quant open1,000
Worst price93.34
Drawdown as % of equity-0.01%
$736
Includes Typical Commission and AutoTrade Fees trade costs of $20.00
8/16/16 11:48 DVA DAVITA INC LONG 1,500 67.33 8/16 15:12 68.17 0.05%
Trade id #105216672
Max drawdown($203)
Time8/16/16 11:52
Quant open1,500
Worst price67.19
Drawdown as % of equity-0.05%
$1,236
Includes Typical Commission and AutoTrade Fees trade costs of $30.00
8/11/16 15:19 AHS AMN HEALTHCARE SERVICES LONG 1,200 34.74 8/12 12:40 35.82 0.17%
Trade id #105128396
Max drawdown($620)
Time8/12/16 9:34
Quant open1,200
Worst price34.22
Drawdown as % of equity-0.17%
$1,271
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/5/16 12:23 PBH PRESTIGE BRANDS HOLDINGS LONG 1,000 51.56 8/12 11:05 49.67 1.22%
Trade id #105011796
Max drawdown($4,585)
Time8/12/16 9:32
Quant open1,000
Worst price46.97
Drawdown as % of equity-1.22%
($1,904)
Includes Typical Commission and AutoTrade Fees trade costs of $20.00
8/11/16 15:20 KLAC KLA-TENCOR LONG 1,200 67.09 8/12 10:03 67.71 0.06%
Trade id #105128420
Max drawdown($206)
Time8/11/16 15:30
Quant open1,200
Worst price66.92
Drawdown as % of equity-0.06%
$715
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/10/16 15:14 OPHT OPHTHOTECH CORPORATION COMMON LONG 1,000 54.36 8/11 14:41 53.71 0.49%
Trade id #105102383
Max drawdown($1,844)
Time8/11/16 10:10
Quant open1,000
Worst price52.52
Drawdown as % of equity-0.49%
($670)
Includes Typical Commission and AutoTrade Fees trade costs of $20.00
8/10/16 10:20 DVA DAVITA INC LONG 1,200 70.68 8/11 14:35 70.41 0.38%
Trade id #105093392
Max drawdown($1,408)
Time8/11/16 11:22
Quant open1,200
Worst price69.51
Drawdown as % of equity-0.38%
($348)
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/10/16 12:36 USCR US CONCRETE LONG 1,200 53.65 8/10 15:14 54.57 0.11%
Trade id #105098320
Max drawdown($402)
Time8/10/16 13:14
Quant open1,200
Worst price53.31
Drawdown as % of equity-0.11%
$1,080
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/10/16 10:44 W WAYFAIR INC LONG 1,200 36.30 8/10 12:58 37.45 0.14%
Trade id #105094357
Max drawdown($536)
Time8/10/16 10:55
Quant open1,200
Worst price35.85
Drawdown as % of equity-0.14%
$1,360
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
8/8/16 12:47 LILAK LIBERTY GLOBAL PLC LILAC CLASS C ORDINARY SHARES LONG 1,000 29.35 8/9 15:01 29.65 0.14%
Trade id #105048250
Max drawdown($542)
Time8/8/16 14:28
Quant open1,000
Worst price28.81
Drawdown as % of equity-0.14%
$277
Includes Typical Commission and AutoTrade Fees trade costs of $20.00
8/8/16 12:50 BMY BRISTOL-MYERS SQUIBB LONG 1,200 60.33 8/9 9:55 61.21 0.1%
Trade id #105048355
Max drawdown($378)
Time8/8/16 13:15
Quant open1,200
Worst price60.01
Drawdown as % of equity-0.10%
$1,032
Includes Typical Commission and AutoTrade Fees trade costs of $24.00
7/27/16 12:17 MCD MCDONALD'S LONG 1,000 119.94 8/8 15:38 118.27 0.75%
Trade id #104850055
Max drawdown($2,828)
Time8/2/16 10:10
Quant open1,000
Worst price117.11
Drawdown as % of equity-0.75%
($1,692)
Includes Typical Commission and AutoTrade Fees trade costs of $20.00

Statistics

  • Strategy began
    2/17/2005
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    4238.29
  • Age
    141 months ago
  • What it trades
    Stocks
  • # Trades
    3210
  • # Profitable
    2285
  • % Profitable
    71.20%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    62.88%
  • drawdown period
    Sept 24, 2008 - March 09, 2009
  • Annual Return (Compounded)
    34.6%
  • Avg win
    $683.11
  • Avg loss
    $1,311
  • Model Account Values (Raw)
  • Cash
    $277,376
  • Margin Used
    $0
  • Buying Power
    $258,163
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    1.133
  • Sortino Ratio
    1.637
  • Calmar Ratio
    0.653
  • Return Statistics
  • Ann Return (w trading costs)
    34.6%
  • Ann Return (Compnd, No Fees)
    36.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.50%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    3.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    940
  • Popularity (Last 6 weeks)
    971
  • C2 Score
    99.8
  • 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
    $1,311
  • Avg Win
    $683
  • # Winners
    2285
  • # Losers
    925
  • % Winners
    71.2%
  • Frequency
  • Avg Position Time (mins)
    4476.92
  • Avg Position Time (hrs)
    74.61
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32641
  • SD
    0.22198
  • Sharpe ratio (Glass type estimate)
    1.47046
  • Sharpe ratio (Hedges UMVUE)
    1.46256
  • df
    140.00000
  • t
    5.04047
  • p
    0.30404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06516
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05946
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.52267
  • Upside Potential Ratio
    3.64312
  • Upside part of mean
    0.47139
  • Downside part of mean
    -0.14498
  • Upside SD
    0.20264
  • Downside SD
    0.12939
  • N nonnegative terms
    105.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.05399
  • Mean of criterion
    0.32641
  • SD of predictor
    0.15780
  • SD of criterion
    0.22198
  • Covariance
    0.01550
  • r
    0.44244
  • b (slope, estimate of beta)
    0.62240
  • a (intercept, estimate of alpha)
    0.29281
  • Mean Square Error
    0.03991
  • DF error
    139.00000
  • t(b)
    5.81660
  • p(b)
    0.22781
  • t(a)
    4.99935
  • p(a)
    0.25794
  • Lowerbound of 95% confidence interval for beta
    0.41084
  • Upperbound of 95% confidence interval for beta
    0.83397
  • Lowerbound of 95% confidence interval for alpha
    0.17700
  • Upperbound of 95% confidence interval for alpha
    0.40861
  • Treynor index (mean / b)
    0.52443
  • Jensen alpha (a)
    0.29281
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29774
  • SD
    0.22246
  • Sharpe ratio (Glass type estimate)
    1.33837
  • Sharpe ratio (Hedges UMVUE)
    1.33119
  • df
    140.00000
  • t
    4.58770
  • p
    0.31925
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.74330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92899
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92385
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11684
  • Upside Potential Ratio
    3.21318
  • Upside part of mean
    0.45194
  • Downside part of mean
    -0.15420
  • Upside SD
    0.19169
  • Downside SD
    0.14065
  • N nonnegative terms
    105.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.04063
  • Mean of criterion
    0.29774
  • SD of predictor
    0.16647
  • SD of criterion
    0.22246
  • Covariance
    0.01787
  • r
    0.48265
  • b (slope, estimate of beta)
    0.64502
  • a (intercept, estimate of alpha)
    0.27153
  • Mean Square Error
    0.03823
  • DF error
    139.00000
  • t(b)
    6.49728
  • p(b)
    0.20512
  • t(a)
    4.74820
  • p(a)
    0.26783
  • Lowerbound of 95% confidence interval for beta
    0.44873
  • Upperbound of 95% confidence interval for beta
    0.84130
  • Lowerbound of 95% confidence interval for alpha
    0.15846
  • Upperbound of 95% confidence interval for alpha
    0.38460
  • Treynor index (mean / b)
    0.46160
  • Jensen alpha (a)
    0.27153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07764
  • Expected Shortfall on VaR
    0.10181
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01611
  • Expected Shortfall on VaR
    0.04093
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    141.00000
  • Minimum
    0.79129
  • Quartile 1
    1.00039
  • Median
    1.02693
  • Quartile 3
    1.05771
  • Maximum
    1.19818
  • Mean of quarter 1
    0.95351
  • Mean of quarter 2
    1.01652
  • Mean of quarter 3
    1.04213
  • Mean of quarter 4
    1.10209
  • Inter Quartile Range
    0.05733
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.04965
  • Mean of outliers low
    0.84812
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03546
  • Mean of outliers high
    1.17333
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.50725
  • VaR(95%) (moments method)
    0.00441
  • Expected Shortfall (moments method)
    0.00545
  • Extreme Value Index (regression method)
    0.34080
  • VaR(95%) (regression method)
    0.04421
  • Expected Shortfall (regression method)
    0.09794
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01299
  • Median
    0.02454
  • Quartile 3
    0.09383
  • Maximum
    0.43750
  • Mean of quarter 1
    0.00699
  • Mean of quarter 2
    0.01735
  • Mean of quarter 3
    0.02767
  • Mean of quarter 4
    0.24954
  • Inter Quartile Range
    0.08084
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.36140
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.83591
  • VaR(95%) (moments method)
    0.26764
  • Expected Shortfall (moments method)
    0.29693
  • Extreme Value Index (regression method)
    0.00778
  • VaR(95%) (regression method)
    0.40511
  • Expected Shortfall (regression method)
    0.58101
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.07788
  • Compounded annual return (geometric extrapolation)
    0.36028
  • Calmar ratio (compounded annual return / max draw down)
    0.82351
  • Compounded annual return / average of 25% largest draw downs
    1.44375
  • Compounded annual return / Expected Shortfall lognormal
    3.53873
  • 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
    0.33283
  • SD
    0.26379
  • Sharpe ratio (Glass type estimate)
    1.26173
  • Sharpe ratio (Hedges UMVUE)
    1.26149
  • df
    4066.00000
  • t
    4.33834
  • p
    0.00001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.69098
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69081
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83217
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90084
  • Upside Potential Ratio
    7.64924
  • Upside part of mean
    1.33937
  • Downside part of mean
    -1.00654
  • Upside SD
    0.19807
  • Downside SD
    0.17510
  • N nonnegative terms
    1917.00000
  • N negative terms
    2150.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4067.00000
  • Mean of predictor
    0.05916
  • Mean of criterion
    0.33283
  • SD of predictor
    0.19619
  • SD of criterion
    0.26379
  • Covariance
    0.02034
  • r
    0.39303
  • b (slope, estimate of beta)
    0.52846
  • a (intercept, estimate of alpha)
    0.30157
  • Mean Square Error
    0.05885
  • DF error
    4065.00000
  • t(b)
    27.25190
  • p(b)
    -0.00000
  • t(a)
    4.27377
  • p(a)
    0.00001
  • Lowerbound of 95% confidence interval for beta
    0.49044
  • Upperbound of 95% confidence interval for beta
    0.56648
  • Lowerbound of 95% confidence interval for alpha
    0.16323
  • Upperbound of 95% confidence interval for alpha
    0.43992
  • Treynor index (mean / b)
    0.62982
  • Jensen alpha (a)
    0.30157
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29809
  • SD
    0.26297
  • Sharpe ratio (Glass type estimate)
    1.13355
  • Sharpe ratio (Hedges UMVUE)
    1.13334
  • df
    4066.00000
  • t
    3.89762
  • p
    0.00005
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56295
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56279
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70389
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63679
  • Upside Potential Ratio
    7.25213
  • Upside part of mean
    1.32074
  • Downside part of mean
    -1.02265
  • Upside SD
    0.19033
  • Downside SD
    0.18212
  • N nonnegative terms
    1917.00000
  • N negative terms
    2150.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4067.00000
  • Mean of predictor
    0.03989
  • Mean of criterion
    0.29809
  • SD of predictor
    0.19639
  • SD of criterion
    0.26297
  • Covariance
    0.02021
  • r
    0.39129
  • b (slope, estimate of beta)
    0.52395
  • a (intercept, estimate of alpha)
    0.27719
  • Mean Square Error
    0.05858
  • DF error
    4065.00000
  • t(b)
    27.10940
  • p(b)
    -0.00000
  • t(a)
    3.93763
  • p(a)
    0.00004
  • Lowerbound of 95% confidence interval for beta
    0.48606
  • Upperbound of 95% confidence interval for beta
    0.56184
  • Lowerbound of 95% confidence interval for alpha
    0.13918
  • Upperbound of 95% confidence interval for alpha
    0.41520
  • Treynor index (mean / b)
    0.56893
  • Jensen alpha (a)
    0.27719
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02220
  • Expected Shortfall on VaR
    0.02797
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00677
  • Expected Shortfall on VaR
    0.01516
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4067.00000
  • Minimum
    0.78912
  • Quartile 1
    0.99827
  • Median
    1.00000
  • Quartile 3
    1.00409
  • Maximum
    1.24774
  • Mean of quarter 1
    0.98865
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.01399
  • Inter Quartile Range
    0.00582
  • Number outliers low
    319.00000
  • Percentage of outliers low
    0.07844
  • Mean of outliers low
    0.97461
  • Number of outliers high
    349.00000
  • Percentage of outliers high
    0.08581
  • Mean of outliers high
    1.02670
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68652
  • VaR(95%) (moments method)
    0.00893
  • Expected Shortfall (moments method)
    0.03252
  • Extreme Value Index (regression method)
    0.35492
  • VaR(95%) (regression method)
    0.00913
  • Expected Shortfall (regression method)
    0.01848
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    195.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00225
  • Median
    0.00770
  • Quartile 3
    0.02185
  • Maximum
    0.55268
  • Mean of quarter 1
    0.00115
  • Mean of quarter 2
    0.00429
  • Mean of quarter 3
    0.01386
  • Mean of quarter 4
    0.07757
  • Inter Quartile Range
    0.01960
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.17481
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75140
  • VaR(95%) (moments method)
    0.08084
  • Expected Shortfall (moments method)
    0.33547
  • Extreme Value Index (regression method)
    0.71044
  • VaR(95%) (regression method)
    0.06560
  • Expected Shortfall (regression method)
    0.22250
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.14331
  • Compounded annual return (geometric extrapolation)
    0.36075
  • Calmar ratio (compounded annual return / max draw down)
    0.65274
  • Compounded annual return / average of 25% largest draw downs
    4.65075
  • Compounded annual return / Expected Shortfall lognormal
    12.89930
  • 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
    0.13661
  • SD
    0.11172
  • Sharpe ratio (Glass type estimate)
    1.22271
  • Sharpe ratio (Hedges UMVUE)
    1.21734
  • df
    171.00000
  • t
    0.86458
  • p
    0.45803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99214
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80846
  • Upside Potential Ratio
    9.53054
  • Upside part of mean
    0.71991
  • Downside part of mean
    -0.58330
  • Upside SD
    0.08221
  • Downside SD
    0.07554
  • N nonnegative terms
    77.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.09041
  • Mean of criterion
    0.13661
  • SD of predictor
    0.11616
  • SD of criterion
    0.11172
  • Covariance
    0.00558
  • r
    0.43004
  • b (slope, estimate of beta)
    0.41362
  • a (intercept, estimate of alpha)
    0.09921
  • Mean Square Error
    0.01023
  • DF error
    170.00000
  • t(b)
    6.21066
  • p(b)
    0.28498
  • t(a)
    0.69284
  • p(a)
    0.47347
  • Lowerbound of 95% confidence interval for beta
    0.28216
  • Upperbound of 95% confidence interval for beta
    0.54509
  • Lowerbound of 95% confidence interval for alpha
    -0.18345
  • Upperbound of 95% confidence interval for alpha
    0.38187
  • Treynor index (mean / b)
    0.33026
  • Jensen alpha (a)
    0.09921
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13037
  • SD
    0.11175
  • Sharpe ratio (Glass type estimate)
    1.16663
  • Sharpe ratio (Hedges UMVUE)
    1.16151
  • df
    171.00000
  • t
    0.82493
  • p
    0.45994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60962
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93605
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71328
  • Upside Potential Ratio
    9.41653
  • Upside part of mean
    0.71654
  • Downside part of mean
    -0.58617
  • Upside SD
    0.08170
  • Downside SD
    0.07609
  • N nonnegative terms
    77.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08366
  • Mean of criterion
    0.13037
  • SD of predictor
    0.11657
  • SD of criterion
    0.11175
  • Covariance
    0.00560
  • r
    0.43023
  • b (slope, estimate of beta)
    0.41245
  • a (intercept, estimate of alpha)
    0.09586
  • Mean Square Error
    0.01024
  • DF error
    170.00000
  • t(b)
    6.21397
  • p(b)
    0.28489
  • t(a)
    0.66949
  • p(a)
    0.47436
  • Lowerbound of 95% confidence interval for beta
    0.28142
  • Upperbound of 95% confidence interval for beta
    0.54347
  • Lowerbound of 95% confidence interval for alpha
    -0.18679
  • Upperbound of 95% confidence interval for alpha
    0.37852
  • Treynor index (mean / b)
    0.31609
  • Jensen alpha (a)
    0.09586
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00949
  • Expected Shortfall on VaR
    0.01197
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00411
  • Expected Shortfall on VaR
    0.00849
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97777
  • Quartile 1
    0.99845
  • Median
    1.00000
  • Quartile 3
    1.00244
  • Maximum
    1.01963
  • Mean of quarter 1
    0.99384
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00086
  • Mean of quarter 4
    1.00756
  • Inter Quartile Range
    0.00399
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.06977
  • Mean of outliers low
    0.98661
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.09302
  • Mean of outliers high
    1.01265
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49259
  • VaR(95%) (moments method)
    0.00579
  • Expected Shortfall (moments method)
    0.01324
  • Extreme Value Index (regression method)
    0.16895
  • VaR(95%) (regression method)
    0.00556
  • Expected Shortfall (regression method)
    0.00893
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00130
  • Median
    0.00379
  • Quartile 3
    0.01154
  • Maximum
    0.04617
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00193
  • Mean of quarter 3
    0.00702
  • Mean of quarter 4
    0.03344
  • Inter Quartile Range
    0.01025
  • 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
    0.04027
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -21.09990
  • VaR(95%) (moments method)
    0.02817
  • Expected Shortfall (moments method)
    0.02817
  • Extreme Value Index (regression method)
    -2.66963
  • VaR(95%) (regression method)
    0.06086
  • Expected Shortfall (regression method)
    0.06143
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14536
  • Compounded annual return (geometric extrapolation)
    0.15064
  • Calmar ratio (compounded annual return / max draw down)
    3.26275
  • Compounded annual return / average of 25% largest draw downs
    4.50486
  • Compounded annual return / Expected Shortfall lognormal
    12.58050

Strategy Description

Visit www.extremetradinginc.com for further description.

Subscriptions not available

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

Statistics

Strategy began
2005-02-17
Minimum Capital Required
$25,000
# Trades
3210
# Profitable
2285
% Profitable
71.2%
Net Dividends
Correlation S&P500
0.393
Sharpe Ratio
1.133

Latest

#PERSONNAME#
subscribed on #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.

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.

Okay, gotcha.