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UltraPro (3X) SPX Timer

Created by:
Gilbert Arevalo
Gilbert Arevalo
Started: 07/2012
Stocks
Last trade: 2 days ago

Subscription terms. There is a free trial period of 7 days. After that, subscriptions cost $50.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade UltraPro (3X) SPX Timer.

Free AutoTrade
-5.8%
Annual Return (Compounded)
40.8%
Max Drawdown
25
Num Trades
32.0%
Win Trades
0.8 : 1
Profit Factor
35.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                            -  +0.9%+7.5%+3.7%+2.8%+2.7%+18.6%
2013+15.1%(2.6%)+0.6%(6.4%)+5.7%(4.8%)(6%)(1.2%)(4.8%)(6.7%)(1.5%)(0.3%)(14%)
2014(3.6%)(0.7%)(1.8%)(4.1%)(1.5%)+1.7%(2.2%)(2.3%)(1.4%)+0.6%            (14.4%)

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.

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Closed Trades

CSV
Show More detailsShow fewer details
Opened ETB/S#Symbol PriceClosedPriceDDP/L
10/2/14 9:30 BUY 740 SPXU PROSHARES ULTRAPRO SHORT SP 50 47.63 10/22 9:30 47.04 1.59%
Trade id #90030154
Max drawdown($1,379)
Time10/6/14 9:46
Quant open563
Worst price44.86
Drawdown as % of equity-1.59%
($456)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.80
8/15/14 9:30 BUY 214 UPRO PROSHARES ULTRAPRO SP 500 115.37 10/2 9:30 112.32 0.87%
Trade id #89101112
Max drawdown($763)
Time10/1/14 15:11
Quant open214
Worst price111.80
Drawdown as % of equity-0.87%
($657)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.28
8/6/14 9:30 BUY 551 SPXU PROSHARES ULTRAPRO SHORT SP 50 50.76 8/15 9:30 46.63 2.57%
Trade id #88948379
Max drawdown($2,276)
Time8/15/14 9:30
Quant open0
Worst price46.63
Drawdown as % of equity-2.57%
($2,287)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.02
5/28/14 9:30 BUY 444 UPRO PROSHARES ULTRAPRO SP 500 110.52 8/6 9:30 107.68 1.62%
Trade id #87798507
Max drawdown($1,492)
Time8/5/14 14:10
Quant open387
Worst price106.66
Drawdown as % of equity-1.62%
($1,271)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $9.74
4/7/14 9:30 BUY 695 SPXU PROSHARES ULTRAPRO SHORT SP 50 56.93 5/28 9:30 52.08 3.67%
Trade id #86893128
Max drawdown($3,372)
Time5/28/14 9:30
Quant open91
Worst price51.65
Drawdown as % of equity-3.67%
($3,386)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.08
4/2/14 9:30 BUY 367 UPRO PROSHARES ULTRAPRO SP 500 102.24 4/7 9:30 98.03 1.62%
Trade id #86818034
Max drawdown($1,545)
Time4/7/14 9:30
Quant open0
Worst price98.03
Drawdown as % of equity-1.62%
($1,552)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $7.34
3/27/14 9:30 BUY 515 SPXU PROSHARES ULTRAPRO SHORT SP 50 58.24 4/2 9:30 54.79 1.83%
Trade id #86715271
Max drawdown($1,777)
Time4/2/14 9:30
Quant open0
Worst price54.79
Drawdown as % of equity-1.83%
($1,787)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $10.30
2/12/14 9:30 BUY 661 UPRO PROSHARES ULTRAPRO SP 500 93.11 3/27 9:30 96.80 1.08%
Trade id #85747557
Max drawdown($1,035)
Time2/13/14 9:31
Quant open484
Worst price89.55
Drawdown as % of equity-1.08%
$2,422
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.45
10/9/13 9:30 BUY 1,748 SPXU PROSHARES ULTRAPRO SHORT SP 50 72.02 2/12/14 9:30 66.50 36.62%
Trade id #83390040
Max drawdown($38,114)
Time11/27/13 9:51
Quant open650
Worst price16.30
Drawdown as % of equity-36.62%
($9,673)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $37.45
12/23/13 9:30 BUY 491 UPRO PROSHARES ULTRAPRO SP 500 92.94 1/30/14 9:30 86.90 4.15%
Trade id #84787554
Max drawdown($4,119)
Time1/27/14 12:22
Quant open491
Worst price84.55
Drawdown as % of equity-4.15%
($2,974)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $10.35
11/27/13 10:32 BUY 350 UPRO PROSHARES ULTRAPRO SP 500 89.75 12/5 9:30 87.22 1.38%
Trade id #84307659
Max drawdown($1,428)
Time12/4/13 13:32
Quant open350
Worst price85.67
Drawdown as % of equity-1.38%
($893)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $7.00
9/10/13 9:30 BUY 1,147 UPRO PROSHARES ULTRAPRO SP 500 73.74 10/9 9:30 69.69 4.44%
Trade id #82915107
Max drawdown($4,885)
Time10/8/13 16:00
Quant open1,009
Worst price68.90
Drawdown as % of equity-4.44%
($4,674)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $22.94
8/16/13 9:30 BUY 490 SPXU PROSHARES ULTRAPRO SHORT SP 50 87.80 9/10 9:31 83.48 1.88%
Trade id #82567479
Max drawdown($2,156)
Time9/10/13 9:31
Quant open1,960
Worst price20.85
Drawdown as % of equity-1.88%
($2,127)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $9.80
7/12/13 9:30 BUY 1,133 UPRO PROSHARES ULTRAPRO SP 500 71.92 8/16 9:30 70.35 1.96%
Trade id #81972334
Max drawdown($2,341)
Time8/15/13 14:16
Quant open898
Worst price69.31
Drawdown as % of equity-1.96%
($1,794)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $22.66
6/21/13 9:30 BUY 684 SPXU PROSHARES ULTRAPRO SHORT SP 50 99.84 7/12 9:30 86.00 8.18%
Trade id #81637020
Max drawdown($9,710)
Time7/11/13 15:46
Quant open2,736
Worst price21.41
Drawdown as % of equity-8.18%
($9,481)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.68
6/14/13 9:30 BUY 1,090 UPRO PROSHARES ULTRAPRO SP 500 66.37 6/21 9:30 61.91 5.05%
Trade id #81497898
Max drawdown($6,649)
Time6/20/13 15:48
Quant open1,090
Worst price60.27
Drawdown as % of equity-5.05%
($4,883)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $21.80
6/12/13 9:31 BUY 753 SPXU PROSHARES ULTRAPRO SHORT SP 50 93.64 6/14 9:30 94.04 0.29%
Trade id #81442647
Max drawdown($391)
Time6/13/13 15:48
Quant open3,012
Worst price23.28
Drawdown as % of equity-0.29%
$286
Includes Typical Broker Commission and AutoTrade Fees trade costs of $15.06
4/30/13 9:30 BUY 1,676 UPRO PROSHARES ULTRAPRO SP 500 62.75 6/12 9:30 66.75 1.21%
Trade id #80595726
Max drawdown($1,508)
Time5/1/13 15:52
Quant open563
Worst price119.82
Drawdown as % of equity-1.21%
$6,672
Includes Typical Broker Commission and AutoTrade Fees trade costs of $33.52
4/18/13 9:30 BUY 634 SPXU PROSHARES ULTRAPRO SHORT SP 50 112.36 4/30 9:30 103.92 4.62%
Trade id #80327025
Max drawdown($5,855)
Time4/29/13 14:02
Quant open2,535
Worst price25.78
Drawdown as % of equity-4.62%
($5,364)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $12.68
3/6/13 9:31 BUY 2,332 UPRO PROSHARES ULTRAPRO SP 500 56.06 4/18 9:30 56.99 1.2%
Trade id #79564680
Max drawdown($1,553)
Time3/19/13 13:38
Quant open1,166
Worst price110.79
Drawdown as % of equity-1.20%
$2,119
Includes Typical Broker Commission and AutoTrade Fees trade costs of $46.64
2/26/13 9:31 BUY 619 SPXU PROSHARES ULTRAPRO SHORT SP 50 128.56 3/6 9:30 115.96 6.03%
Trade id #79414836
Max drawdown($7,803)
Time3/6/13 9:30
Quant open0
Worst price28.99
Drawdown as % of equity-6.03%
($7,811)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $12.38
11/26/12 9:31 BUY 2,642 UPRO PROSHARES ULTRAPRO SP 500 41.72 2/26/13 9:30 50.72 0.62%
Trade id #77827598
Max drawdown($700)
Time12/31/12 9:31
Quant open1,321
Worst price82.91
Drawdown as % of equity-0.62%
$23,736
Includes Typical Broker Commission and AutoTrade Fees trade costs of $52.84
10/11/12 9:30 BUY 371 SPXU PROSHARES ULTRAPRO SHORT SP 50 152.48 11/26 9:31 162.00 2.47%
Trade id #77090421
Max drawdown($2,637)
Time10/18/12 12:05
Quant open1,482
Worst price36.34
Drawdown as % of equity-2.47%
$3,525
Includes Typical Broker Commission and AutoTrade Fees trade costs of $7.42
8/9/12 14:24 BUY 2,400 UPRO PROSHARES ULTRAPRO SP 500 41.65 10/11 9:30 45.44 0.1%
Trade id #75914850
Max drawdown($96)
Time9/5/12 9:46
Quant open1,200
Worst price83.21
Drawdown as % of equity-0.10%
$9,060
Includes Typical Broker Commission and AutoTrade Fees trade costs of $48.00

Statistics

  • Strategy began
    7/26/2012
  • Age
    28 months ago
  • What it trades
    Stocks
  • # Trades
    25
  • # Profitable
    8
  • % Profitable
    32.00%
  • Avg trade duration
    34.3 days
  • Max peak-to-valley drawdown
    40.81%
  • drawdown period
    Feb 20, 2013 - Oct 08, 2014
  • Annual Return (Compounded)
    -5.8%
  • Avg win
    $6,264
  • Avg loss
    $3,578
  • W:L ratio
    0.83:1
  • Open PL
    $2,080
  • Open PL (start day)
    $1,279
  • Open PL Change $
    $801.34
  • Open PL Change %
    62.65%
  • Close PL
    ($12,790)
  • Closed PL (start day)
    ($12,660)
  • Closed PL Change $
    ($130.9)
  • Closed PL Change %
    1.03%
  • Equity
    $89,420
  • Equity (start day)
    $88,619
  • Equity Change $
    $801.09
  • Equity Change %
    0.90%
  • GENERAL STATISTICS
  • Age
    826
  • # Trades
    25
  • Avg Trade Length
    34.3
  • PROFIT
  • Profit Factor
    0.8
  • SORTINO STATISTICS
  • Sortino Ratio
    -0.541
  • CALMAR STATISTICS
  • Calmar Ratio
    -0.120
  • Ann Return (w trading costs)
    -5.8%
  • SHARPE STATISTICS
  • Sharpe Ratio
    -0.371
  • Ann Return (Compnd, No Fees)
    -4.8%
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    55.50%
  • Chance of 30% account loss
    14.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • PROFIT STATISTICS
  • APD
    -0.10
  • DRAW DOWN STATISTICS
  • Max Drawdown
    40.8%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $50
  • Billing Period (days)
    30
  • Trial Days
    7
  • WIN STATISTICS
  • Avg Loss
    $3,578
  • Avg Win
    $6,265
  • # Winners
    8
  • # Losers
    17
  • % Winners
    32.0%
  • TIME STATISTICS
  • Avg Position Time (mins)
    49442.90
  • Avg Position Time (hrs)
    824.05
  • OWNER STATISTICS
  • Developer
    -
  • POPULARITY STATISTICS
  • C2 Score
    12.9
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04964
  • SD
    0.18053
  • Sharpe ratio (Glass type estimate)
    -0.27495
  • Sharpe ratio (Hedges UMVUE)
    -0.26723
  • df
    27.00000
  • t
    -0.41999
  • p
    0.66109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01272
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01785
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43636
  • Upside Potential Ratio
    1.85752
  • Upside part of mean
    0.21130
  • Downside part of mean
    -0.26094
  • Upside SD
    0.13672
  • Downside SD
    0.11375
  • N nonnegative terms
    9.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.15341
  • Mean of criterion
    -0.04964
  • SD of predictor
    0.09815
  • SD of criterion
    0.18053
  • Covariance
    0.00336
  • r
    0.18958
  • b (slope, estimate of beta)
    0.34872
  • a (intercept, estimate of alpha)
    -0.10313
  • Mean Square Error
    0.03263
  • DF error
    26.00000
  • t(b)
    0.98455
  • p(b)
    0.16696
  • t(a)
    -0.79249
  • p(a)
    0.78238
  • Lowerbound of 95% confidence interval for beta
    -0.37933
  • Upperbound of 95% confidence interval for beta
    1.07676
  • Lowerbound of 95% confidence interval for alpha
    -0.37064
  • Upperbound of 95% confidence interval for alpha
    0.16437
  • Treynor index (mean / b)
    -0.14234
  • Jensen alpha (a)
    -0.10313
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06508
  • SD
    0.17742
  • Sharpe ratio (Glass type estimate)
    -0.36683
  • Sharpe ratio (Hedges UMVUE)
    -0.35652
  • df
    27.00000
  • t
    -0.56034
  • p
    0.71006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92330
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64314
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93009
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55492
  • Upside Potential Ratio
    1.72552
  • Upside part of mean
    0.20237
  • Downside part of mean
    -0.26745
  • Upside SD
    0.13020
  • Downside SD
    0.11728
  • N nonnegative terms
    9.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.14777
  • Mean of criterion
    -0.06508
  • SD of predictor
    0.09724
  • SD of criterion
    0.17742
  • Covariance
    0.00321
  • r
    0.18613
  • b (slope, estimate of beta)
    0.33960
  • a (intercept, estimate of alpha)
    -0.11526
  • Mean Square Error
    0.03156
  • DF error
    26.00000
  • t(b)
    0.96598
  • p(b)
    0.17148
  • t(a)
    -0.90497
  • p(a)
    0.81310
  • Lowerbound of 95% confidence interval for beta
    -0.38305
  • Upperbound of 95% confidence interval for beta
    1.06226
  • Lowerbound of 95% confidence interval for alpha
    -0.37707
  • Upperbound of 95% confidence interval for alpha
    0.14655
  • Treynor index (mean / b)
    -0.19164
  • Jensen alpha (a)
    -0.11526
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08576
  • Expected Shortfall on VaR
    0.10496
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05845
  • Expected Shortfall on VaR
    0.08738
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.91976
  • Quartile 1
    0.96838
  • Median
    0.98818
  • Quartile 3
    1.01009
  • Maximum
    1.12606
  • Mean of quarter 1
    0.94206
  • Mean of quarter 2
    0.97874
  • Mean of quarter 3
    0.99689
  • Mean of quarter 4
    1.06909
  • Inter Quartile Range
    0.04171
  • 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
    0.10714
  • Mean of outliers high
    1.10833
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.19988
  • VaR(95%) (moments method)
    0.06356
  • Expected Shortfall (moments method)
    0.06683
  • Extreme Value Index (regression method)
    -0.79527
  • VaR(95%) (regression method)
    0.06690
  • Expected Shortfall (regression method)
    0.07252
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03042
  • Quartile 1
    0.11848
  • Median
    0.20655
  • Quartile 3
    0.29462
  • Maximum
    0.38269
  • Mean of quarter 1
    0.03042
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.38269
  • Inter Quartile Range
    0.17614
  • 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)
    -0.05173
  • Compounded annual return (geometric extrapolation)
    -0.05364
  • Calmar ratio (compounded annual return / max draw down)
    -0.14017
  • Compounded annual return / average of 25% largest draw downs
    -0.14017
  • Compounded annual return / Expected Shortfall lognormal
    -0.51104
  • 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
    -0.04673
  • SD
    0.16119
  • Sharpe ratio (Glass type estimate)
    -0.28991
  • Sharpe ratio (Hedges UMVUE)
    -0.28964
  • df
    808.00000
  • t
    -0.44459
  • p
    0.67163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56778
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98850
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42839
  • Upside Potential Ratio
    7.81259
  • Upside part of mean
    0.85224
  • Downside part of mean
    -0.89897
  • Upside SD
    0.11856
  • Downside SD
    0.10909
  • N nonnegative terms
    331.00000
  • N negative terms
    478.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    809.00000
  • Mean of predictor
    0.15922
  • Mean of criterion
    -0.04673
  • SD of predictor
    0.11147
  • SD of criterion
    0.16119
  • Covariance
    0.00361
  • r
    0.20087
  • b (slope, estimate of beta)
    0.29046
  • a (intercept, estimate of alpha)
    -0.09298
  • Mean Square Error
    0.02496
  • DF error
    807.00000
  • t(b)
    5.82500
  • p(b)
    0.00000
  • t(a)
    -0.89976
  • p(a)
    0.81574
  • Lowerbound of 95% confidence interval for beta
    0.19258
  • Upperbound of 95% confidence interval for beta
    0.38834
  • Lowerbound of 95% confidence interval for alpha
    -0.29582
  • Upperbound of 95% confidence interval for alpha
    0.10986
  • Treynor index (mean / b)
    -0.16089
  • Jensen alpha (a)
    -0.09298
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05966
  • SD
    0.16075
  • Sharpe ratio (Glass type estimate)
    -0.37114
  • Sharpe ratio (Hedges UMVUE)
    -0.37079
  • df
    808.00000
  • t
    -0.56915
  • p
    0.71529
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90715
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90740
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54107
  • Upside Potential Ratio
    7.66636
  • Upside part of mean
    0.84532
  • Downside part of mean
    -0.90498
  • Upside SD
    0.11688
  • Downside SD
    0.11026
  • N nonnegative terms
    331.00000
  • N negative terms
    478.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    809.00000
  • Mean of predictor
    0.15297
  • Mean of criterion
    -0.05966
  • SD of predictor
    0.11151
  • SD of criterion
    0.16075
  • Covariance
    0.00359
  • r
    0.20043
  • b (slope, estimate of beta)
    0.28894
  • a (intercept, estimate of alpha)
    -0.10386
  • Mean Square Error
    0.02483
  • DF error
    807.00000
  • t(b)
    5.81167
  • p(b)
    0.00000
  • t(a)
    -1.00796
  • p(a)
    0.84311
  • Lowerbound of 95% confidence interval for beta
    0.19135
  • Upperbound of 95% confidence interval for beta
    0.38653
  • Lowerbound of 95% confidence interval for alpha
    -0.30612
  • Upperbound of 95% confidence interval for alpha
    0.09840
  • Treynor index (mean / b)
    -0.20648
  • Jensen alpha (a)
    -0.10386
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01433
  • Expected Shortfall on VaR
    0.01788
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00664
  • Expected Shortfall on VaR
    0.01327
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    809.00000
  • Minimum
    0.95411
  • Quartile 1
    0.99697
  • Median
    1.00000
  • Quartile 3
    1.00230
  • Maximum
    1.05172
  • Mean of quarter 1
    0.99062
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00066
  • Mean of quarter 4
    1.00931
  • Inter Quartile Range
    0.00533
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.06551
  • Mean of outliers low
    0.98178
  • Number of outliers high
    57.00000
  • Percentage of outliers high
    0.07046
  • Mean of outliers high
    1.01964
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25351
  • VaR(95%) (moments method)
    0.00864
  • Expected Shortfall (moments method)
    0.01434
  • Extreme Value Index (regression method)
    0.06796
  • VaR(95%) (regression method)
    0.00849
  • Expected Shortfall (regression method)
    0.01232
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00107
  • Quartile 1
    0.00522
  • Median
    0.01752
  • Quartile 3
    0.04180
  • Maximum
    0.40316
  • Mean of quarter 1
    0.00169
  • Mean of quarter 2
    0.01050
  • Mean of quarter 3
    0.02564
  • Mean of quarter 4
    0.15383
  • Inter Quartile Range
    0.03658
  • 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
    0.06250
  • Mean of outliers high
    0.40316
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.82329
  • VaR(95%) (moments method)
    0.17212
  • Expected Shortfall (moments method)
    0.92525
  • Extreme Value Index (regression method)
    3.36771
  • VaR(95%) (regression method)
    0.21789
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04691
  • Compounded annual return (geometric extrapolation)
    -0.04849
  • Calmar ratio (compounded annual return / max draw down)
    -0.12029
  • Compounded annual return / average of 25% largest draw downs
    -0.31524
  • Compounded annual return / Expected Shortfall lognormal
    -2.71160
  • 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
    -0.11054
  • SD
    0.08256
  • Sharpe ratio (Glass type estimate)
    -1.33887
  • Sharpe ratio (Hedges UMVUE)
    -1.33299
  • df
    171.00000
  • t
    -0.94672
  • p
    0.54593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.11241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.10839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44242
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63985
  • Upside Potential Ratio
    6.79091
  • Upside part of mean
    0.45777
  • Downside part of mean
    -0.56832
  • Upside SD
    0.04763
  • Downside SD
    0.06741
  • N nonnegative terms
    76.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.11879
  • Mean of criterion
    -0.11054
  • SD of predictor
    0.10709
  • SD of criterion
    0.08256
  • Covariance
    0.00066
  • r
    0.07461
  • b (slope, estimate of beta)
    0.05752
  • a (intercept, estimate of alpha)
    -0.11737
  • Mean Square Error
    0.00682
  • DF error
    170.00000
  • t(b)
    0.97557
  • p(b)
    0.46269
  • t(a)
    -1.00330
  • p(a)
    0.53836
  • Lowerbound of 95% confidence interval for beta
    -0.05887
  • Upperbound of 95% confidence interval for beta
    0.17392
  • Lowerbound of 95% confidence interval for alpha
    -0.34831
  • Upperbound of 95% confidence interval for alpha
    0.11356
  • Treynor index (mean / b)
    -1.92163
  • Jensen alpha (a)
    -0.11737
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11396
  • SD
    0.08278
  • Sharpe ratio (Glass type estimate)
    -1.37661
  • Sharpe ratio (Hedges UMVUE)
    -1.37057
  • df
    171.00000
  • t
    -0.97341
  • p
    0.54722
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.15026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.14618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40504
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.68058
  • Upside Potential Ratio
    6.73414
  • Upside part of mean
    0.45663
  • Downside part of mean
    -0.57059
  • Upside SD
    0.04746
  • Downside SD
    0.06781
  • N nonnegative terms
    76.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.11305
  • Mean of criterion
    -0.11396
  • SD of predictor
    0.10720
  • SD of criterion
    0.08278
  • Covariance
    0.00068
  • r
    0.07642
  • b (slope, estimate of beta)
    0.05901
  • a (intercept, estimate of alpha)
    -0.12063
  • Mean Square Error
    0.00685
  • DF error
    170.00000
  • t(b)
    0.99934
  • p(b)
    0.46179
  • t(a)
    -1.02872
  • p(a)
    0.53933
  • Lowerbound of 95% confidence interval for beta
    -0.05755
  • Upperbound of 95% confidence interval for beta
    0.17558
  • Lowerbound of 95% confidence interval for alpha
    -0.35210
  • Upperbound of 95% confidence interval for alpha
    0.11084
  • Treynor index (mean / b)
    -1.93112
  • Jensen alpha (a)
    -0.12063
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00764
  • Expected Shortfall on VaR
    0.00949
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00406
  • Expected Shortfall on VaR
    0.00809
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.98027
  • Quartile 1
    0.99833
  • Median
    1.00000
  • Quartile 3
    1.00214
  • Maximum
    1.01372
  • Mean of quarter 1
    0.99405
  • Mean of quarter 2
    0.99940
  • Mean of quarter 3
    1.00085
  • Mean of quarter 4
    1.00452
  • Inter Quartile Range
    0.00381
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.06395
  • Mean of outliers low
    0.98831
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01744
  • Mean of outliers high
    1.01112
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16468
  • VaR(95%) (moments method)
    0.00482
  • Expected Shortfall (moments method)
    0.00625
  • Extreme Value Index (regression method)
    0.22081
  • VaR(95%) (regression method)
    0.00547
  • Expected Shortfall (regression method)
    0.00898
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00753
  • Quartile 1
    0.01205
  • Median
    0.01376
  • Quartile 3
    0.02218
  • Maximum
    0.09555
  • Mean of quarter 1
    0.00979
  • Mean of quarter 2
    0.01376
  • Mean of quarter 3
    0.02218
  • Mean of quarter 4
    0.09555
  • Inter Quartile Range
    0.01013
  • 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
    0.20000
  • Mean of outliers high
    0.09555
  • 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)
    -0.10135
  • Compounded annual return (geometric extrapolation)
    -0.09878
  • Calmar ratio (compounded annual return / max draw down)
    -1.03382
  • Compounded annual return / average of 25% largest draw downs
    -1.03382
  • Compounded annual return / Expected Shortfall lognormal
    -10.40790

Strategy Description

Welcome! Our proven EOD long-term system capitalizes on uptrends and downtrends. This trend following ETF system trades Proshares UltraPro S&P500 (UPRO and SPXU).

All 100% mechanical (long-only) trades placed before 9:30 am EST to be executed at the US Stock Market open. Appropriate leverage (3.0X max) ALWAYS used.

Investors Business Daily or IBD provides extensive research for institutional clients. Historically, every market uptrend has been "confirmed" with a follow-through day. Conversely, a multiple distribution day stack can point to a market correction.

This system is designed to profit from IBD's market shift calls as outlined in the newspaper's "The Big Picture". Other proprietary measures are used that have been back-tested for over 5 years at Collective2.

Capital preservation is the top priority. The system is developed to greatly out-perform stocks for the long-term, while keeping loss periods contained.

Thank you for considering UltraPro (3X) SPX Timer!

Gilbert J. Arevalo
Kingdom Capital Management

Affiliate site: best-tradingsystems.collective2.com

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. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • 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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