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Featured Strategy Easiest Rank on Leaderboard #10 Hypothetical

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UltraPro 3X ETF Timer
(84938061)

Created by: GilbertJArevalo GilbertJArevalo
Started: 01/2014
Stocks
Last trade: 2,969 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 $20.00 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.

4.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(62.3%)
Max Drawdown
52
Num Trades
23.1%
Win Trades
2.2 : 1
Profit Factor
61.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014(2.7%)(1.9%)(4%)(6.8%)(3%)+2.2%(0.6%)(2.6%)(1.4%)+1.9%+5.3%(10.2%)(22%)
2015(3.5%)+5.1%(2.2%)+0.9%(3.5%)(2.3%)+2.4%(19.7%)(9.9%)+1.8%+0.2%(5.5%)(32.7%)
2016+6.9%(16.6%)+2.6%(1.6%)+1.8%(5.2%)+8.3%+0.5%+0.7%(1.5%)+0.7%+2.8%(2.8%)
2017+2.8%+4.3%+1.0%+1.5%+5.1%(3.1%)+4.0%+0.6%(0.4%)+5.7%+2.9%+3.3%+30.8%
2018+9.0%(3.7%)(6.9%)+0.9%+5.2%+0.4%+3.5%+8.5%  -  (15.8%)+2.6%(18.5%)(17.7%)
2019+17.9%+4.3%+3.9%  -    -  (5.2%)+5.4%+4.5%+7.4%+5.4%+58.2%
2020+5.8%  -  (18%)+13.9%+23.3%(12.4%)+3.5%+14.4%+2.9%+37.4%
2021+2.5%+0.7%+3.8%+12.7%(6.1%)+13.3%+9.6%+5.4%(8.8%)+12.3%+5.9%(3.6%)+55.3%
2022(17.6%)(4.9%)+2.2%(14.7%)(12.7%)+0.8%(8.9%)+7.5%(23.5%)+1.9%+6.2%(13.7%)(57.9%)
2023+14.4%(0.9%)+7.7%+5.3%+10.6%+11.2%+2.0%(6.4%)(4.8%)(1.2%)+14.6%+9.4%+78.1%
2024+8.9%+1.1%+8.7%(3.4%)                                                +15.6%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/18/16 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 36 52.08 2/24 10:00 49.00 0.84%
Trade id #100702282
Max drawdown($111)
Time2/24/16 10:00
Quant open0
Worst price49.00
Drawdown as % of equity-0.84%
 ($112)
Includes Typical Broker Commissions trade costs of $0.72
2/18/16 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 22 85.70 2/24 9:50 78.50 1.18%
Trade id #100702238
Max drawdown($158)
Time2/24/16 9:50
Quant open0
Worst price78.50
Drawdown as % of equity-1.18%
 ($158)
Includes Typical Broker Commissions trade costs of $0.44
2/9/16 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 81 28.69 2/18 9:30 22.74 3.73%
Trade id #100425801
Max drawdown($505)
Time2/18/16 6:32
Quant open81
Worst price22.45
Drawdown as % of equity-3.73%
 ($484)
Includes Typical Broker Commissions trade costs of $1.62
2/9/16 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 101 42.27 2/18 9:30 35.93 5.03%
Trade id #100425866
Max drawdown($680)
Time2/18/16 6:28
Quant open101
Worst price35.53
Drawdown as % of equity-5.03%
 ($642)
Includes Typical Broker Commissions trade costs of $2.02
1/27/16 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 42 49.72 2/9 9:30 44.64 1.57%
Trade id #100216604
Max drawdown($231)
Time2/8/16 14:34
Quant open42
Worst price44.22
Drawdown as % of equity-1.57%
 ($214)
Includes Typical Broker Commissions trade costs of $0.84
1/27/16 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 24 86.31 2/9 9:30 68.54 3.09%
Trade id #100216609
Max drawdown($455)
Time2/8/16 14:33
Quant open24
Worst price67.34
Drawdown as % of equity-3.09%
 ($426)
Includes Typical Broker Commissions trade costs of $0.48
1/5/16 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 174 20.76 1/27 9:30 23.45 0.04%
Trade id #99028206
Max drawdown($5)
Time1/5/16 9:32
Quant open109
Worst price19.52
Drawdown as % of equity-0.04%
 $465
Includes Typical Broker Commissions trade costs of $3.48
1/5/16 9:31 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 106 34.42 1/27 9:30 38.68 0.09%
Trade id #99028356
Max drawdown($13)
Time1/5/16 14:25
Quant open65
Worst price32.61
Drawdown as % of equity-0.09%
 $449
Includes Typical Broker Commissions trade costs of $2.12
12/17/15 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 31 66.17 1/5/16 9:30 60.30 1.81%
Trade id #98822534
Max drawdown($262)
Time1/4/16 11:12
Quant open31
Worst price57.70
Drawdown as % of equity-1.81%
 ($183)
Includes Typical Broker Commissions trade costs of $0.62
12/17/15 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 17 121.66 1/5/16 9:30 108.50 2.22%
Trade id #98822544
Max drawdown($321)
Time1/4/16 11:08
Quant open17
Worst price102.73
Drawdown as % of equity-2.22%
 ($224)
Includes Typical Broker Commissions trade costs of $0.34
12/15/15 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 117 18.63 12/17 9:30 17.72 0.74%
Trade id #98783423
Max drawdown($108)
Time12/17/15 8:01
Quant open117
Worst price17.70
Drawdown as % of equity-0.74%
 ($108)
Includes Typical Broker Commissions trade costs of $2.34
12/15/15 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 68 32.15 12/17 9:30 30.40 0.87%
Trade id #98783452
Max drawdown($129)
Time12/17/15 5:16
Quant open68
Worst price30.25
Drawdown as % of equity-0.87%
 ($120)
Includes Typical Broker Commissions trade costs of $1.36
10/5/15 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 37 56.21 12/15 9:30 62.72 0.02%
Trade id #97601251
Max drawdown($2)
Time10/5/15 9:34
Quant open37
Worst price56.13
Drawdown as % of equity-0.02%
 $240
Includes Typical Broker Commissions trade costs of $0.74
10/5/15 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 11 95.17 12/15 9:30 115.96 0.13%
Trade id #97601508
Max drawdown($18)
Time10/8/15 12:51
Quant open11
Worst price93.51
Drawdown as % of equity-0.13%
 $229
Includes Typical Broker Commissions trade costs of $0.22
9/29/15 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 82 27.52 10/5 9:30 24.00 2.07%
Trade id #97495171
Max drawdown($302)
Time10/5/15 6:29
Quant open82
Worst price23.83
Drawdown as % of equity-2.07%
 ($291)
Includes Typical Broker Commissions trade costs of $1.64
9/29/15 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 53 42.56 10/5 9:30 37.30 1.97%
Trade id #97495219
Max drawdown($286)
Time10/5/15 8:03
Quant open53
Worst price37.15
Drawdown as % of equity-1.97%
 ($280)
Includes Typical Broker Commissions trade costs of $1.06
9/9/15 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 39 58.22 9/29 9:30 49.60 2.36%
Trade id #97118839
Max drawdown($356)
Time9/28/15 15:12
Quant open39
Worst price49.09
Drawdown as % of equity-2.36%
 ($337)
Includes Typical Broker Commissions trade costs of $0.78
9/9/15 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 23 99.54 9/29 9:30 83.61 2.62%
Trade id #97118854
Max drawdown($398)
Time9/28/15 14:22
Quant open23
Worst price82.21
Drawdown as % of equity-2.62%
 ($366)
Includes Typical Broker Commissions trade costs of $0.46
8/24/15 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 181 31.49 9/9 9:30 23.48 9.38%
Trade id #96803496
Max drawdown($1,505)
Time9/9/15 4:18
Quant open181
Worst price23.17
Drawdown as % of equity-9.38%
 ($1,454)
Includes Typical Broker Commissions trade costs of $3.62
8/24/15 9:31 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 118 43.46 9/9 9:30 36.77 5.02%
Trade id #96803458
Max drawdown($805)
Time9/9/15 9:07
Quant open118
Worst price36.63
Drawdown as % of equity-5.02%
 ($791)
Includes Typical Broker Commissions trade costs of $2.36
5/15/15 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 38 72.31 8/24 9:31 48.71 4.9%
Trade id #94447849
Max drawdown($919)
Time8/24/15 9:31
Quant open38
Worst price48.10
Drawdown as % of equity-4.90%
 ($898)
Includes Typical Broker Commissions trade costs of $0.76
5/15/15 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 24 114.81 8/24 9:30 75.05 5.08%
Trade id #94447784
Max drawdown($954)
Time8/24/15 9:30
Quant open0
Worst price75.05
Drawdown as % of equity-5.08%
 ($954)
Includes Typical Broker Commissions trade costs of $0.48
5/7/15 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 120 25.66 5/15 9:31 23.41 1.39%
Trade id #94294845
Max drawdown($277)
Time5/15/15 6:50
Quant open120
Worst price23.35
Drawdown as % of equity-1.39%
 ($272)
Includes Typical Broker Commissions trade costs of $2.40
5/7/15 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 88 35.04 5/15 9:31 32.78 1.07%
Trade id #94294836
Max drawdown($212)
Time5/15/15 6:13
Quant open88
Worst price32.63
Drawdown as % of equity-1.07%
 ($201)
Includes Typical Broker Commissions trade costs of $1.76
1/23/15 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 42 66.09 5/7 9:30 67.85 0.2%
Trade id #92057628
Max drawdown($40)
Time4/6/15 8:02
Quant open21
Worst price130.26
Drawdown as % of equity-0.20%
 $73
Includes Typical Broker Commissions trade costs of $0.84
1/23/15 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 28 99.04 5/7 9:30 105.31 0.01%
Trade id #92057550
Max drawdown($1)
Time4/6/15 7:23
Quant open28
Worst price99.00
Drawdown as % of equity-0.01%
 $175
Includes Typical Broker Commissions trade costs of $0.56
12/16/14 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 75 43.26 1/23/15 9:30 37.57 2.65%
Trade id #91350636
Max drawdown($528)
Time12/29/14 11:49
Quant open75
Worst price36.21
Drawdown as % of equity-2.65%
 ($429)
Includes Typical Broker Commissions trade costs of $1.50
12/16/14 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 32.57 1/23/15 9:30 28.84 2.2%
Trade id #91350582
Max drawdown($439)
Time12/26/14 15:11
Quant open100
Worst price28.18
Drawdown as % of equity-2.20%
 ($375)
Includes Typical Broker Commissions trade costs of $2.00
10/22/14 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 82 57.29 12/16 9:30 59.08 0.39%
Trade id #90383877
Max drawdown($79)
Time10/22/14 15:51
Quant open25
Worst price108.69
Drawdown as % of equity-0.39%
 $145
Includes Typical Broker Commissions trade costs of $1.64
10/22/14 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 55 83.86 12/16 9:30 90.64 0.37%
Trade id #90383884
Max drawdown($75)
Time10/22/14 15:51
Quant open35
Worst price79.24
Drawdown as % of equity-0.37%
 $372
Includes Typical Broker Commissions trade costs of $1.10
Next

Statistics

  • Strategy began
    1/1/2014
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3754.52
  • Age
    125 months ago
  • What it trades
    Stocks
  • # Trades
    52
  • # Profitable
    12
  • % Profitable
    23.10%
  • Avg trade duration
    143.9 days
  • Max peak-to-valley drawdown
    62.26%
  • drawdown period
    Nov 22, 2021 - Dec 28, 2022
  • Annual Return (Compounded)
    4.7%
  • Avg win
    $2,579
  • Avg loss
    $364.35
  • Model Account Values (Raw)
  • Cash
    $11,669
  • Margin Used
    $0
  • Buying Power
    $39,829
  • Ratios
  • W:L ratio
    2.16:1
  • Sharpe Ratio
    0.2
  • Sortino Ratio
    0.27
  • Calmar Ratio
    0.258
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -116.53%
  • Correlation to SP500
    0.71500
  • Return Percent SP500 (cumu) during strategy life
    171.71%
  • Return Statistics
  • Ann Return (w trading costs)
    4.7%
  • Slump
  • Current Slump as Pcnt Equity
    28.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.23%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.047%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $364
  • Avg Win
    $2,579
  • Sum Trade PL (losers)
    $14,574.000
  • Age
  • Num Months filled monthly returns table
    124
  • Win / Loss
  • Sum Trade PL (winners)
    $30,952.000
  • # Winners
    12
  • Num Months Winners
    74
  • Dividends
  • Dividends Received in Model Acct
    523
  • Win / Loss
  • # Losers
    40
  • % Winners
    23.1%
  • Frequency
  • Avg Position Time (mins)
    207239.00
  • Avg Position Time (hrs)
    3453.98
  • Avg Trade Length
    143.9 days
  • Last Trade Ago
    2964
  • Regression
  • Alpha
    -0.02
  • Beta
    1.37
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    4.25
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.86
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.88
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.018
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.020
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.079
  • Hold-and-Hope Ratio
    0.999
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15026
  • SD
    0.48641
  • Sharpe ratio (Glass type estimate)
    0.30891
  • Sharpe ratio (Hedges UMVUE)
    0.30322
  • df
    41.00000
  • t
    0.57792
  • p
    0.28324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74648
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35292
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50124
  • Upside Potential Ratio
    1.98801
  • Upside part of mean
    0.59595
  • Downside part of mean
    -0.44570
  • Upside SD
    0.37812
  • Downside SD
    0.29977
  • N nonnegative terms
    19.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.24143
  • Mean of criterion
    0.15026
  • SD of predictor
    0.21619
  • SD of criterion
    0.48641
  • Covariance
    0.09291
  • r
    0.88350
  • b (slope, estimate of beta)
    1.98775
  • a (intercept, estimate of alpha)
    -0.32964
  • Mean Square Error
    0.05322
  • DF error
    40.00000
  • t(b)
    11.92830
  • p(b)
    0.00000
  • t(a)
    -2.54150
  • p(a)
    0.99249
  • Lowerbound of 95% confidence interval for beta
    1.65095
  • Upperbound of 95% confidence interval for beta
    2.32454
  • Lowerbound of 95% confidence interval for alpha
    -0.59178
  • Upperbound of 95% confidence interval for alpha
    -0.06750
  • Treynor index (mean / b)
    0.07559
  • Jensen alpha (a)
    -0.32964
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03059
  • SD
    0.50432
  • Sharpe ratio (Glass type estimate)
    0.06065
  • Sharpe ratio (Hedges UMVUE)
    0.05954
  • df
    41.00000
  • t
    0.11347
  • p
    0.45510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98819
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10726
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08172
  • Upside Potential Ratio
    1.43018
  • Upside part of mean
    0.53530
  • Downside part of mean
    -0.50472
  • Upside SD
    0.32904
  • Downside SD
    0.37429
  • N nonnegative terms
    19.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.21718
  • Mean of criterion
    0.03059
  • SD of predictor
    0.20790
  • SD of criterion
    0.50432
  • Covariance
    0.09062
  • r
    0.86431
  • b (slope, estimate of beta)
    2.09661
  • a (intercept, estimate of alpha)
    -0.42475
  • Mean Square Error
    0.06595
  • DF error
    40.00000
  • t(b)
    10.86860
  • p(b)
    0.00000
  • t(a)
    -2.95957
  • p(a)
    0.99742
  • Lowerbound of 95% confidence interval for beta
    1.70673
  • Upperbound of 95% confidence interval for beta
    2.48648
  • Lowerbound of 95% confidence interval for alpha
    -0.71480
  • Upperbound of 95% confidence interval for alpha
    -0.13469
  • Treynor index (mean / b)
    0.01459
  • Jensen alpha (a)
    -0.42475
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21094
  • Expected Shortfall on VaR
    0.25645
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08972
  • Expected Shortfall on VaR
    0.18354
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.54824
  • Quartile 1
    0.96778
  • Median
    0.99424
  • Quartile 3
    1.04888
  • Maximum
    1.37764
  • Mean of quarter 1
    0.88091
  • Mean of quarter 2
    0.98102
  • Mean of quarter 3
    1.02384
  • Mean of quarter 4
    1.17137
  • Inter Quartile Range
    0.08110
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.04762
  • Mean of outliers low
    0.66754
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    1.33539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29719
  • VaR(95%) (moments method)
    0.10286
  • Expected Shortfall (moments method)
    0.18302
  • Extreme Value Index (regression method)
    0.85206
  • VaR(95%) (regression method)
    0.12698
  • Expected Shortfall (regression method)
    0.85134
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.46226
  • Quartile 1
    0.47615
  • Median
    0.49004
  • Quartile 3
    0.50393
  • Maximum
    0.51782
  • Mean of quarter 1
    0.46226
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.51782
  • Inter Quartile Range
    0.02778
  • 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)
    0.06491
  • Compounded annual return (geometric extrapolation)
    0.06024
  • Calmar ratio (compounded annual return / max draw down)
    0.11633
  • Compounded annual return / average of 25% largest draw downs
    0.11633
  • Compounded annual return / Expected Shortfall lognormal
    0.23490
  • 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
    0.21106
  • SD
    0.42855
  • Sharpe ratio (Glass type estimate)
    0.49249
  • Sharpe ratio (Hedges UMVUE)
    0.49209
  • df
    929.00000
  • t
    0.92787
  • p
    0.17686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54815
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53263
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66903
  • Upside Potential Ratio
    6.08474
  • Upside part of mean
    1.91952
  • Downside part of mean
    -1.70847
  • Upside SD
    0.29002
  • Downside SD
    0.31546
  • N nonnegative terms
    496.00000
  • N negative terms
    434.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    930.00000
  • Mean of predictor
    0.28767
  • Mean of criterion
    0.21106
  • SD of predictor
    0.23120
  • SD of criterion
    0.42855
  • Covariance
    0.07221
  • r
    0.72881
  • b (slope, estimate of beta)
    1.35089
  • a (intercept, estimate of alpha)
    -0.17800
  • Mean Square Error
    0.08620
  • DF error
    928.00000
  • t(b)
    32.42440
  • p(b)
    0.00000
  • t(a)
    -1.13599
  • p(a)
    0.87187
  • Lowerbound of 95% confidence interval for beta
    1.26912
  • Upperbound of 95% confidence interval for beta
    1.43265
  • Lowerbound of 95% confidence interval for alpha
    -0.48428
  • Upperbound of 95% confidence interval for alpha
    0.12918
  • Treynor index (mean / b)
    0.15624
  • Jensen alpha (a)
    -0.17755
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11654
  • SD
    0.43857
  • Sharpe ratio (Glass type estimate)
    0.26572
  • Sharpe ratio (Hedges UMVUE)
    0.26551
  • df
    929.00000
  • t
    0.50063
  • p
    0.30838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77471
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30587
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34610
  • Upside Potential Ratio
    5.58054
  • Upside part of mean
    1.87906
  • Downside part of mean
    -1.76252
  • Upside SD
    0.28074
  • Downside SD
    0.33672
  • N nonnegative terms
    496.00000
  • N negative terms
    434.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    930.00000
  • Mean of predictor
    0.26062
  • Mean of criterion
    0.11654
  • SD of predictor
    0.23242
  • SD of criterion
    0.43857
  • Covariance
    0.07472
  • r
    0.73307
  • b (slope, estimate of beta)
    1.38330
  • a (intercept, estimate of alpha)
    -0.24397
  • Mean Square Error
    0.08908
  • DF error
    928.00000
  • t(b)
    32.83330
  • p(b)
    0.00000
  • t(a)
    -1.53642
  • p(a)
    0.93761
  • Lowerbound of 95% confidence interval for beta
    1.30062
  • Upperbound of 95% confidence interval for beta
    1.46598
  • Lowerbound of 95% confidence interval for alpha
    -0.55561
  • Upperbound of 95% confidence interval for alpha
    0.06766
  • Treynor index (mean / b)
    0.08425
  • Jensen alpha (a)
    -0.24397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04316
  • Expected Shortfall on VaR
    0.05389
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01390
  • Expected Shortfall on VaR
    0.03120
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    930.00000
  • Minimum
    0.76328
  • Quartile 1
    0.99524
  • Median
    1.00069
  • Quartile 3
    1.00591
  • Maximum
    1.14138
  • Mean of quarter 1
    0.97588
  • Mean of quarter 2
    0.99834
  • Mean of quarter 3
    1.00287
  • Mean of quarter 4
    1.02655
  • Inter Quartile Range
    0.01067
  • Number outliers low
    72.00000
  • Percentage of outliers low
    0.07742
  • Mean of outliers low
    0.94439
  • Number of outliers high
    92.00000
  • Percentage of outliers high
    0.09892
  • Mean of outliers high
    1.04968
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76432
  • VaR(95%) (moments method)
    0.02245
  • Expected Shortfall (moments method)
    0.10355
  • Extreme Value Index (regression method)
    0.57671
  • VaR(95%) (regression method)
    0.01747
  • Expected Shortfall (regression method)
    0.04608
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00261
  • Quartile 1
    0.00956
  • Median
    0.02470
  • Quartile 3
    0.16456
  • Maximum
    0.60217
  • Mean of quarter 1
    0.00450
  • Mean of quarter 2
    0.01902
  • Mean of quarter 3
    0.10894
  • Mean of quarter 4
    0.36698
  • Inter Quartile Range
    0.15501
  • 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
    0.13333
  • Mean of outliers high
    0.54133
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.37673
  • VaR(95%) (moments method)
    0.38497
  • Expected Shortfall (moments method)
    0.46962
  • Extreme Value Index (regression method)
    -0.21164
  • VaR(95%) (regression method)
    0.49187
  • Expected Shortfall (regression method)
    0.62920
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18871
  • Compounded annual return (geometric extrapolation)
    0.15540
  • Calmar ratio (compounded annual return / max draw down)
    0.25806
  • Compounded annual return / average of 25% largest draw downs
    0.42346
  • Compounded annual return / Expected Shortfall lognormal
    2.88374
  • 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
    1.20317
  • SD
    0.92772
  • Sharpe ratio (Glass type estimate)
    1.29690
  • Sharpe ratio (Hedges UMVUE)
    1.28941
  • df
    130.00000
  • t
    0.91705
  • p
    0.45991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07077
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48683
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06564
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74779
  • Upside Potential Ratio
    9.25697
  • Upside part of mean
    6.37242
  • Downside part of mean
    -5.16926
  • Upside SD
    0.62108
  • Downside SD
    0.68839
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.86621
  • Mean of criterion
    1.20317
  • SD of predictor
    0.40334
  • SD of criterion
    0.92772
  • Covariance
    0.32269
  • r
    0.86238
  • b (slope, estimate of beta)
    1.98357
  • a (intercept, estimate of alpha)
    -0.51501
  • Mean Square Error
    0.22231
  • DF error
    129.00000
  • t(b)
    19.34700
  • p(b)
    0.03000
  • t(a)
    -0.76562
  • p(a)
    0.54278
  • Lowerbound of 95% confidence interval for beta
    1.78072
  • Upperbound of 95% confidence interval for beta
    2.18642
  • Lowerbound of 95% confidence interval for alpha
    -1.84593
  • Upperbound of 95% confidence interval for alpha
    0.81590
  • Treynor index (mean / b)
    0.60657
  • Jensen alpha (a)
    -0.51501
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75627
  • SD
    0.95836
  • Sharpe ratio (Glass type estimate)
    0.78912
  • Sharpe ratio (Hedges UMVUE)
    0.78456
  • df
    130.00000
  • t
    0.55799
  • p
    0.47556
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98579
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56114
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98888
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55801
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01653
  • Upside Potential Ratio
    8.31691
  • Upside part of mean
    6.18753
  • Downside part of mean
    -5.43126
  • Upside SD
    0.60012
  • Downside SD
    0.74397
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78314
  • Mean of criterion
    0.75627
  • SD of predictor
    0.40724
  • SD of criterion
    0.95836
  • Covariance
    0.33854
  • r
    0.86744
  • b (slope, estimate of beta)
    2.04139
  • a (intercept, estimate of alpha)
    -0.84242
  • Mean Square Error
    0.22912
  • DF error
    129.00000
  • t(b)
    19.80200
  • p(b)
    0.02838
  • t(a)
    -1.23570
  • p(a)
    0.56872
  • VAR (95 Confidence Intrvl)
    0.04300
  • Lowerbound of 95% confidence interval for beta
    1.83742
  • Upperbound of 95% confidence interval for beta
    2.24535
  • Lowerbound of 95% confidence interval for alpha
    -2.19125
  • Upperbound of 95% confidence interval for alpha
    0.50641
  • Treynor index (mean / b)
    0.37047
  • Jensen alpha (a)
    -0.84242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09017
  • Expected Shortfall on VaR
    0.11220
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04227
  • Expected Shortfall on VaR
    0.08608
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.76328
  • Quartile 1
    0.97279
  • Median
    1.01074
  • Quartile 3
    1.04419
  • Maximum
    1.10546
  • Mean of quarter 1
    0.93012
  • Mean of quarter 2
    0.99283
  • Mean of quarter 3
    1.02845
  • Mean of quarter 4
    1.06812
  • Inter Quartile Range
    0.07140
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.80899
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04025
  • VaR(95%) (moments method)
    0.06285
  • Expected Shortfall (moments method)
    0.08373
  • Extreme Value Index (regression method)
    0.17010
  • VaR(95%) (regression method)
    0.07030
  • Expected Shortfall (regression method)
    0.10713
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00261
  • Quartile 1
    0.01404
  • Median
    0.02405
  • Quartile 3
    0.15305
  • Maximum
    0.60217
  • Mean of quarter 1
    0.00620
  • Mean of quarter 2
    0.01929
  • Mean of quarter 3
    0.08526
  • Mean of quarter 4
    0.31043
  • Inter Quartile Range
    0.13901
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.60217
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55090
  • VaR(95%) (moments method)
    0.39194
  • Expected Shortfall (moments method)
    0.93314
  • Extreme Value Index (regression method)
    3.70258
  • VaR(95%) (regression method)
    1.21517
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352655000
  • Max Equity Drawdown (num days)
    401
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.96013
  • Compounded annual return (geometric extrapolation)
    1.19060
  • Calmar ratio (compounded annual return / max draw down)
    1.97717
  • Compounded annual return / average of 25% largest draw downs
    3.83530
  • Compounded annual return / Expected Shortfall lognormal
    10.61190

Strategy Description

Hi, I am Gilbert J. Arevalo. I have been trading for more than 15 years - more than six at Collective2.com.

Mine is a market timing system that is profitable for the long-term.

For more multi-year info see:

http://KingdomCapital.com
http://kchedge.collective2.com
http://nqtimer.collective2.com
http://kingdomcapitalsystems.collective2.com

May 2014 prove to be most profitable!

Follow: https://twitter.com/hedgefundsguru
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-01-01
Suggested Minimum Capital
$5,000
# Trades
52
# Profitable
12
% Profitable
23.1%
Net Dividends
$523
Correlation S&P500
0.715
Sharpe Ratio
0.20
Sortino Ratio
0.27
Beta
1.37
Alpha
-0.02

Latest Activity

#PERSONNAME#
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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