UltraPro (3X) SPX Timer (75591647)
Subscription terms. Subscriptions to this system cost $50.00 per month.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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%)  +2.2%  +4.0%  (9.9%)  (18.5%) 
2015  +2.2%  (4.2%)                      (2.1%) 
2016                          0.0 
2017                        0.0 
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.
Started  $100,000  
Buy Power  $83,672  
Cash  $1  
Equity  $1  
Cumulative $  ($16,327)  
Includes dividends and cashsettled expirations:  $130  Itemized 
Total System Equity  $83,672  
Margined  $1  
Open P/L  $0  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began7/26/2012

Starting Unit Size$100,000

Strategy Age (days)1942.1

Age65 months ago

What it tradesStocks

# Trades26

# Profitable8

% Profitable30.80%

Avg trade duration37.2 days

Max peaktovalley drawdown44.32%

drawdown periodFeb 20, 2013  Feb 17, 2015

Annual Return (Compounded)3.8%

Avg win$6,154

Avg loss$3,649
 Model Account Values (Raw)

Cash$83,672

Margin Used$0

Buying Power$83,672
 Ratios

W:L ratio0.75:1

Sharpe Ratio0.538

Sortino Ratio0.763

Calmar Ratio0.124
 Return Statistics

Ann Return (w trading costs)3.8%

Ann Return (Compnd, No Fees)3.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss84.50%

Chance of 30% account loss27.50%

Chance of 40% account loss3.00%

Chance of 50% account loss0.50%
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$3,650

Avg Win$6,155

# Winners8

# Losers18

% Winners30.8%
 Frequency

Avg Position Time (mins)53600.80

Avg Position Time (hrs)893.35

Avg Trade Length37.2 days

Last Trade Ago1007
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.07145

SD0.15407

Sharpe ratio (Glass type estimate)0.46372

Sharpe ratio (Hedges UMVUE)0.45450

df38.00000

t0.83598

p0.79580

Lowerbound of 95% confidence interval for Sharpe Ratio1.55289

Upperbound of 95% confidence interval for Sharpe Ratio0.63142

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.54648

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.63749
 Statistics related to Sortino ratio

Sortino ratio0.69047

Upside Potential Ratio1.41795

Upside part of mean0.14672

Downside part of mean0.21817

Upside SD0.11335

Downside SD0.10348

N nonnegative terms10.00000

N negative terms29.00000
 Statistics related to linear regression on benchmark

N of observations39.00000

Mean of predictor0.16131

Mean of criterion0.07145

SD of predictor0.13024

SD of criterion0.15407

Covariance0.00251

r0.12491

b (slope, estimate of beta)0.14777

a (intercept, estimate of alpha)0.09528

Mean Square Error0.02400

DF error37.00000

t(b)0.76577

p(b)0.22433

t(a)1.04252

p(a)0.84803

Lowerbound of 95% confidence interval for beta0.24321

Upperbound of 95% confidence interval for beta0.53874

Lowerbound of 95% confidence interval for alpha0.28047

Upperbound of 95% confidence interval for alpha0.08991

Treynor index (mean / b)0.48352

Jensen alpha (a)0.09528
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.08275

SD0.15083

Sharpe ratio (Glass type estimate)0.54866

Sharpe ratio (Hedges UMVUE)0.53775

df38.00000

t0.98911

p0.83557

Lowerbound of 95% confidence interval for Sharpe Ratio1.63925

Upperbound of 95% confidence interval for Sharpe Ratio0.54900

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.63164

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.55614
 Statistics related to Sortino ratio

Sortino ratio0.77584

Upside Potential Ratio1.31700

Upside part of mean0.14048

Downside part of mean0.22323

Upside SD0.10658

Downside SD0.10666

N nonnegative terms10.00000

N negative terms29.00000
 Statistics related to linear regression on benchmark

N of observations39.00000

Mean of predictor0.15171

Mean of criterion0.08275

SD of predictor0.13004

SD of criterion0.15083

Covariance0.00239

r0.12198

b (slope, estimate of beta)0.14148

a (intercept, estimate of alpha)0.10422

Mean Square Error0.02302

DF error37.00000

t(b)0.74754

p(b)0.22973

t(a)1.17207

p(a)0.87567

Lowerbound of 95% confidence interval for beta0.24200

Upperbound of 95% confidence interval for beta0.52495

Lowerbound of 95% confidence interval for alpha0.28438

Upperbound of 95% confidence interval for alpha0.07595

Treynor index (mean / b)0.58493

Jensen alpha (a)0.10422
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07551

Expected Shortfall on VaR0.09206
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05212

Expected Shortfall on VaR0.08381
 ORDER STATISTICS
 Quartiles of return rates

Number of observations39.00000

Minimum0.91186

Quartile 10.97916

Median0.99648

Quartile 31.00147

Maximum1.16839

Mean of quarter 10.94955

Mean of quarter 20.98647

Mean of quarter 30.99981

Mean of quarter 41.05001

Inter Quartile Range0.02232

Number outliers low4.00000

Percentage of outliers low0.10256

Mean of outliers low0.92736

Number of outliers high5.00000

Percentage of outliers high0.12821

Mean of outliers high1.07771
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.72800

VaR(95%) (moments method)0.04820

Expected Shortfall (moments method)0.04951

Extreme Value Index (regression method)0.70649

VaR(95%) (regression method)0.06605

Expected Shortfall (regression method)0.07482
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00172

Quartile 10.09931

Median0.19691

Quartile 30.29450

Maximum0.39209

Mean of quarter 10.00172

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.39209

Inter Quartile Range0.19519

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.05024

Compounded annual return (geometric extrapolation)0.05337

Calmar ratio (compounded annual return / max draw down)0.13612

Compounded annual return / average of 25% largest draw downs0.13612

Compounded annual return / Expected Shortfall lognormal0.57973

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.07284

SD0.13523

Sharpe ratio (Glass type estimate)0.53866

Sharpe ratio (Hedges UMVUE)0.53820

df863.00000

t0.97819

p0.83587

Lowerbound of 95% confidence interval for Sharpe Ratio1.61812

Upperbound of 95% confidence interval for Sharpe Ratio0.54108

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.61779

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.54140
 Statistics related to Sortino ratio

Sortino ratio0.76292

Upside Potential Ratio6.29703

Upside part of mean0.60123

Downside part of mean0.67408

Upside SD0.09576

Downside SD0.09548

N nonnegative terms321.00000

N negative terms543.00000
 Statistics related to linear regression on benchmark

N of observations864.00000

Mean of predictor0.17624

Mean of criterion0.07284

SD of predictor0.15252

SD of criterion0.13523

Covariance0.00186

r0.09040

b (slope, estimate of beta)0.08015

a (intercept, estimate of alpha)0.08700

Mean Square Error0.01816

DF error862.00000

t(b)2.66508

p(b)0.00392

t(a)1.16903

p(a)0.87864

Lowerbound of 95% confidence interval for beta0.02112

Upperbound of 95% confidence interval for beta0.13918

Lowerbound of 95% confidence interval for alpha0.23298

Upperbound of 95% confidence interval for alpha0.05905

Treynor index (mean / b)0.90883

Jensen alpha (a)0.08697
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.08196

SD0.13504

Sharpe ratio (Glass type estimate)0.60695

Sharpe ratio (Hedges UMVUE)0.60642

df863.00000

t1.10220

p0.86466

Lowerbound of 95% confidence interval for Sharpe Ratio1.68649

Upperbound of 95% confidence interval for Sharpe Ratio0.47287

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.68610

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.47325
 Statistics related to Sortino ratio

Sortino ratio0.84940

Upside Potential Ratio6.18360

Upside part of mean0.59667

Downside part of mean0.67863

Upside SD0.09449

Downside SD0.09649

N nonnegative terms321.00000

N negative terms543.00000
 Statistics related to linear regression on benchmark

N of observations864.00000

Mean of predictor0.16444

Mean of criterion0.08196

SD of predictor0.15362

SD of criterion0.13504

Covariance0.00187

r0.09024

b (slope, estimate of beta)0.07932

a (intercept, estimate of alpha)0.09501

Mean Square Error0.01811

DF error862.00000

t(b)2.66032

p(b)0.00398

t(a)1.27931

p(a)0.89943

Lowerbound of 95% confidence interval for beta0.02080

Upperbound of 95% confidence interval for beta0.13785

Lowerbound of 95% confidence interval for alpha0.24076

Upperbound of 95% confidence interval for alpha0.05075

Treynor index (mean / b)1.03323

Jensen alpha (a)0.09501
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01394

Expected Shortfall on VaR0.01736
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00678

Expected Shortfall on VaR0.01356
 ORDER STATISTICS
 Quartiles of return rates

Number of observations864.00000

Minimum0.95411

Quartile 10.99744

Median1.00000

Quartile 31.00211

Maximum1.05172

Mean of quarter 10.99063

Mean of quarter 20.99935

Mean of quarter 31.00051

Mean of quarter 41.00882

Inter Quartile Range0.00467

Number outliers low84.00000

Percentage of outliers low0.09722

Mean of outliers low0.98420

Number of outliers high71.00000

Percentage of outliers high0.08218

Mean of outliers high1.01685
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.15662

VaR(95%) (moments method)0.00768

Expected Shortfall (moments method)0.01193

Extreme Value Index (regression method)0.04092

VaR(95%) (regression method)0.00876

Expected Shortfall (regression method)0.01289
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00108

Quartile 10.00682

Median0.01501

Quartile 30.05205

Maximum0.42579

Mean of quarter 10.00288

Mean of quarter 20.01273

Mean of quarter 30.02321

Mean of quarter 40.15330

Inter Quartile Range0.04522

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07143

Mean of outliers high0.42579
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.89404

VaR(95%) (moments method)0.18403

Expected Shortfall (moments method)1.61922

Extreme Value Index (regression method)4.63708

VaR(95%) (regression method)0.32813

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.04951

Compounded annual return (geometric extrapolation)0.05262

Calmar ratio (compounded annual return / max draw down)0.12358

Compounded annual return / average of 25% largest draw downs0.34325

Compounded annual return / Expected Shortfall lognormal3.03037

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

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)0.00000

Sharpe ratio (Hedges UMVUE)0.00000

df0.00000

t0.00000

p0.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.56022

Mean of criterion0.02791

SD of predictor0.20639

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.00000

Mean Square Error0.00000

DF error0.00000

t(b)0.00000

p(b)0.00000

t(a)0.00000

p(a)0.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.00000

Upperbound of 95% confidence interval for alpha0.00000

Treynor index (mean / b)0.00000

Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)9748420000000000.00000

Sharpe ratio (Hedges UMVUE)9692070000000000.00000

df130.00000

t6893170000000000.00000

p1.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation10870200000000000.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8513980000000000.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.53835

Mean of criterion0.02791

SD of predictor0.20715

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.02791

Mean Square Error0.00000

DF error129.00000

t(b)0.00000

p(b)0.50000

t(a)6779120000000000.00000

p(a)1.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.02791

Upperbound of 95% confidence interval for alpha0.02791

Treynor index (mean / b)23230100000000000946030635909120.00000

Jensen alpha (a)0.02791
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00011
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum1.00000

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00000

Mean of quarter 11.00000

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

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
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.00000

Compounded annual return (geometric extrapolation)0.00000

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
Welcome! Our proven EOD longterm system capitalizes on uptrends and downtrends. This trend following ETF system trades Proshares UltraPro S&P500 (UPRO and SPXU).All 100% mechanical (longonly) 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 followthrough 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 backtested for over 5 years at Collective2.
Capital preservation is the top priority. The system is developed to greatly outperform stocks for the longterm, while keeping loss periods contained.
Thank you for considering UltraPro (3X) SPX Timer!
Gilbert J. Arevalo
Kingdom Capital Management
Affiliate site: besttradingsystems.collective2.com
Summary Statistics
Latest Activity
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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