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

UltraPro (3X) SPX Timer

Created by:
GilbertArevalo
GilbertArevalo
Started:   07/2012
Stocks
Last trade:   558 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
-4.9%
Annual Return (Compounded)
44.3%
Max Drawdown
26
Num Trades
30.8%
Win Trades
0.8 : 1
Profit Factor
24.0%
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%)+2.2%+4.0%(9.9%)(18.5%)
2015+2.2%(4.2%)  -    -    -    -    -    -    -    -    -    -  (2.1%)
2016  -    -    -    -    -    -    -    -                          0.0

Model Account Details

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

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

Open positions are hidden from non-subscribers.

This strategy has placed 15 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/17/14 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 612 43.29 2/17/15 9:33 35.34 6.03%
Trade id #91376322
Max drawdown($5,036)
Time2/13/15 16:58
Quant open612
Worst price35.06
Drawdown as % of equity-6.03%
($4,877)
Includes Typical Commission and AutoTrade Fees trade costs of $12.24
10/22/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 700 57.26 12/17 9:30 58.97 0.79%
Trade id #90383749
Max drawdown($682)
Time10/22/14 15:51
Quant open216
Worst price108.69
Drawdown as % of equity-0.79%
$1,184
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
10/2/14 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 740 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 Commission and AutoTrade Fees trade costs of $14.80
8/15/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 428 57.69 10/2 9:30 56.16 0.87%
Trade id #89101112
Max drawdown($763)
Time10/1/14 15:11
Quant open214
Worst price111.80
Drawdown as % of equity-0.87%
($662)
Includes Typical Commission and AutoTrade Fees trade costs of $8.56
8/6/14 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 551 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 Commission and AutoTrade Fees trade costs of $11.02
5/28/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 888 55.26 8/6 9:30 53.84 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%
($1,279)
Includes Typical Commission and AutoTrade Fees trade costs of $17.76
4/7/14 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 695 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 Commission and AutoTrade Fees trade costs of $14.08
4/2/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 734 51.12 4/7 9:30 49.01 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%
($1,560)
Includes Typical Commission and AutoTrade Fees trade costs of $14.68
3/27/14 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 515 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 Commission and AutoTrade Fees trade costs of $10.30
2/12/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 1,322 46.56 3/27 9:30 48.40 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%
$2,409
Includes Typical Commission and AutoTrade Fees trade costs of $26.44
10/9/13 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,748 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 Commission and AutoTrade Fees trade costs of $37.45
12/23/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 982 46.47 1/30/14 9:30 43.45 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%
($2,984)
Includes Typical Commission and AutoTrade Fees trade costs of $19.70
11/27/13 10:32 UPRO PROSHARES ULTRAPRO S&P500 LONG 700 44.88 12/5 9:30 43.61 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%
($900)
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
9/10/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 2,294 36.87 10/9 9:30 34.84 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%
($4,697)
Includes Typical Commission and AutoTrade Fees trade costs of $45.88
8/16/13 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 490 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 Commission and AutoTrade Fees trade costs of $9.80
7/12/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 2,266 35.96 8/16 9:30 35.18 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%
($1,816)
Includes Typical Commission and AutoTrade Fees trade costs of $45.32
6/21/13 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 684 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 Commission and AutoTrade Fees trade costs of $13.68
6/14/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 2,180 33.19 6/21 9:30 30.95 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%
($4,905)
Includes Typical Commission and AutoTrade Fees trade costs of $43.60
6/12/13 9:31 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 753 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 Commission and AutoTrade Fees trade costs of $15.06
4/30/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 3,352 31.37 6/12 9:30 33.37 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%
$6,640
Includes Typical Commission and AutoTrade Fees trade costs of $67.04
4/18/13 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 634 112.36 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 Commission and AutoTrade Fees trade costs of $12.68
3/6/13 9:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 4,664 28.03 4/18 9:30 28.50 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%
$2,076
Includes Typical Commission and AutoTrade Fees trade costs of $93.28
2/26/13 9:31 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 619 128.56 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 Commission and AutoTrade Fees trade costs of $12.38
11/26/12 9:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 5,284 20.86 2/26/13 9:30 25.36 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%
$23,683
Includes Typical Commission and AutoTrade Fees trade costs of $105.68
10/11/12 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 371 152.48 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 Commission and AutoTrade Fees trade costs of $7.42
8/9/12 14:24 UPRO PROSHARES ULTRAPRO S&P500 LONG 4,800 20.82 10/11 9:30 22.72 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%
$9,010
Includes Typical Commission and AutoTrade Fees trade costs of $96.00

Statistics

  • Strategy began
    7/26/2012
  • Starting Unit Size
    $100,000
  • Strategy Age (days)
    1493.19
  • Age
    50 months ago
  • What it trades
    Stocks
  • # Trades
    26
  • # Profitable
    8
  • % Profitable
    30.80%
  • Avg trade duration
    37.2 days
  • Max peak-to-valley drawdown
    44.32%
  • drawdown period
    Feb 20, 2013 - Feb 17, 2015
  • Annual Return (Compounded)
    -4.9%
  • 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 ratio
    0.75:1
  • Sharpe Ratio
    -0.461
  • Sortino Ratio
    -0.661
  • Calmar Ratio
    -0.128
  • Return Statistics
  • Ann Return (w trading costs)
    -4.9%
  • Ann Return (Compnd, No Fees)
    -4.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    80.00%
  • Chance of 30% account loss
    27.50%
  • Chance of 40% account loss
    2.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $3,650
  • Avg Win
    $6,155
  • # Winners
    8
  • # Losers
    18
  • % Winners
    30.8%
  • Frequency
  • Avg Position Time (mins)
    53600.80
  • Avg Position Time (hrs)
    893.35
  • Avg Trade Length
    37.2 days
  • Last Trade Ago
    558
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05221
  • SD
    0.17029
  • Sharpe ratio (Glass type estimate)
    -0.30657
  • Sharpe ratio (Hedges UMVUE)
    -0.30031
  • df
    37.00000
  • t
    -0.54555
  • p
    0.70568
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40814
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79905
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40384
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80322
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45568
  • Upside Potential Ratio
    1.59227
  • Upside part of mean
    0.18242
  • Downside part of mean
    -0.23463
  • Upside SD
    0.12384
  • Downside SD
    0.11457
  • N nonnegative terms
    11.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.14303
  • Mean of criterion
    -0.05221
  • SD of predictor
    0.10583
  • SD of criterion
    0.17029
  • Covariance
    0.00283
  • r
    0.15712
  • b (slope, estimate of beta)
    0.25282
  • a (intercept, estimate of alpha)
    -0.08837
  • Mean Square Error
    0.02907
  • DF error
    36.00000
  • t(b)
    0.95455
  • p(b)
    0.17309
  • t(a)
    -0.85771
  • p(a)
    0.80164
  • Lowerbound of 95% confidence interval for beta
    -0.28434
  • Upperbound of 95% confidence interval for beta
    0.78998
  • Lowerbound of 95% confidence interval for alpha
    -0.29731
  • Upperbound of 95% confidence interval for alpha
    0.12058
  • Treynor index (mean / b)
    -0.20649
  • Jensen alpha (a)
    -0.08837
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06624
  • SD
    0.16867
  • Sharpe ratio (Glass type estimate)
    -0.39274
  • Sharpe ratio (Hedges UMVUE)
    -0.38471
  • df
    37.00000
  • t
    -0.69888
  • p
    0.75550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71489
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72017
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55763
  • Upside Potential Ratio
    1.47380
  • Upside part of mean
    0.17507
  • Downside part of mean
    -0.24131
  • Upside SD
    0.11813
  • Downside SD
    0.11879
  • N nonnegative terms
    11.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.13673
  • Mean of criterion
    -0.06624
  • SD of predictor
    0.10481
  • SD of criterion
    0.16867
  • Covariance
    0.00266
  • r
    0.15020
  • b (slope, estimate of beta)
    0.24171
  • a (intercept, estimate of alpha)
    -0.09929
  • Mean Square Error
    0.02858
  • DF error
    36.00000
  • t(b)
    0.91155
  • p(b)
    0.18404
  • t(a)
    -0.97647
  • p(a)
    0.83232
  • Lowerbound of 95% confidence interval for beta
    -0.29607
  • Upperbound of 95% confidence interval for beta
    0.77949
  • Lowerbound of 95% confidence interval for alpha
    -0.30551
  • Upperbound of 95% confidence interval for alpha
    0.10693
  • Treynor index (mean / b)
    -0.27405
  • Jensen alpha (a)
    -0.09929
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08205
  • Expected Shortfall on VaR
    0.10039
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05507
  • Expected Shortfall on VaR
    0.09120
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.89735
  • Quartile 1
    0.97049
  • Median
    0.99333
  • Quartile 3
    1.00883
  • Maximum
    1.12606
  • Mean of quarter 1
    0.94317
  • Mean of quarter 2
    0.98407
  • Mean of quarter 3
    0.99986
  • Mean of quarter 4
    1.05792
  • Inter Quartile Range
    0.03835
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.89735
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    1.09857
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17874
  • VaR(95%) (moments method)
    0.05951
  • Expected Shortfall (moments method)
    0.07363
  • Extreme Value Index (regression method)
    -0.04248
  • VaR(95%) (regression method)
    0.06630
  • Expected Shortfall (regression method)
    0.08708
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03042
  • Quartile 1
    0.12595
  • Median
    0.22149
  • Quartile 3
    0.31703
  • Maximum
    0.41257
  • Mean of quarter 1
    0.03042
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.41257
  • Inter Quartile Range
    0.19107
  • 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)
    -0.05156
  • Compounded annual return (geometric extrapolation)
    -0.05474
  • Calmar ratio (compounded annual return / max draw down)
    -0.13267
  • Compounded annual return / average of 25% largest draw downs
    -0.13267
  • Compounded annual return / Expected Shortfall lognormal
    -0.54525
  • 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
    -0.05577
  • SD
    0.14333
  • Sharpe ratio (Glass type estimate)
    -0.38907
  • Sharpe ratio (Hedges UMVUE)
    -0.38880
  • df
    1093.00000
  • t
    -0.69384
  • p
    0.51336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71037
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56484
  • Upside Potential Ratio
    6.92959
  • Upside part of mean
    0.68415
  • Downside part of mean
    -0.73992
  • Upside SD
    0.10386
  • Downside SD
    0.09873
  • N nonnegative terms
    375.00000
  • N negative terms
    719.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1094.00000
  • Mean of predictor
    0.14752
  • Mean of criterion
    -0.05577
  • SD of predictor
    0.14592
  • SD of criterion
    0.14333
  • Covariance
    0.00249
  • r
    0.11902
  • b (slope, estimate of beta)
    0.11690
  • a (intercept, estimate of alpha)
    -0.07301
  • Mean Square Error
    0.02027
  • DF error
    1092.00000
  • t(b)
    3.96125
  • p(b)
    0.44049
  • t(a)
    -0.91313
  • p(a)
    0.51381
  • Lowerbound of 95% confidence interval for beta
    0.05900
  • Upperbound of 95% confidence interval for beta
    0.17481
  • Lowerbound of 95% confidence interval for alpha
    -0.22990
  • Upperbound of 95% confidence interval for alpha
    0.08388
  • Treynor index (mean / b)
    -0.47702
  • Jensen alpha (a)
    -0.07301
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06600
  • SD
    0.14301
  • Sharpe ratio (Glass type estimate)
    -0.46150
  • Sharpe ratio (Hedges UMVUE)
    -0.46119
  • df
    1093.00000
  • t
    -0.82301
  • p
    0.51584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56063
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63804
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66145
  • Upside Potential Ratio
    6.80320
  • Upside part of mean
    0.67884
  • Downside part of mean
    -0.74484
  • Upside SD
    0.10242
  • Downside SD
    0.09978
  • N nonnegative terms
    375.00000
  • N negative terms
    719.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1094.00000
  • Mean of predictor
    0.13683
  • Mean of criterion
    -0.06600
  • SD of predictor
    0.14614
  • SD of criterion
    0.14301
  • Covariance
    0.00249
  • r
    0.11891
  • b (slope, estimate of beta)
    0.11636
  • a (intercept, estimate of alpha)
    -0.08192
  • Mean Square Error
    0.02018
  • DF error
    1092.00000
  • t(b)
    3.95740
  • p(b)
    0.44055
  • t(a)
    -1.02706
  • p(a)
    0.51553
  • Lowerbound of 95% confidence interval for beta
    0.05867
  • Upperbound of 95% confidence interval for beta
    0.17406
  • Lowerbound of 95% confidence interval for alpha
    -0.23843
  • Upperbound of 95% confidence interval for alpha
    0.07458
  • Treynor index (mean / b)
    -0.56719
  • Jensen alpha (a)
    -0.08192
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01279
  • Expected Shortfall on VaR
    0.01596
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00581
  • Expected Shortfall on VaR
    0.01188
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1094.00000
  • Minimum
    0.95411
  • Quartile 1
    0.99824
  • Median
    1.00000
  • Quartile 3
    1.00142
  • Maximum
    1.05172
  • Mean of quarter 1
    0.99188
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00024
  • Mean of quarter 4
    1.00774
  • Inter Quartile Range
    0.00319
  • Number outliers low
    127.00000
  • Percentage of outliers low
    0.11609
  • Mean of outliers low
    0.98681
  • Number of outliers high
    116.00000
  • Percentage of outliers high
    0.10603
  • Mean of outliers high
    1.01379
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24081
  • VaR(95%) (moments method)
    0.00613
  • Expected Shortfall (moments method)
    0.01044
  • Extreme Value Index (regression method)
    0.05867
  • VaR(95%) (regression method)
    0.00726
  • Expected Shortfall (regression method)
    0.01106
  • 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
    0.42579
  • Mean of quarter 1
    0.00169
  • Mean of quarter 2
    0.01050
  • Mean of quarter 3
    0.02564
  • Mean of quarter 4
    0.15949
  • 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
    0.42579
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.84539
  • VaR(95%) (moments method)
    0.17686
  • Expected Shortfall (moments method)
    1.08651
  • Extreme Value Index (regression method)
    3.43310
  • VaR(95%) (regression method)
    0.22630
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05134
  • Compounded annual return (geometric extrapolation)
    -0.05451
  • Calmar ratio (compounded annual return / max draw down)
    -0.12802
  • Compounded annual return / average of 25% largest draw downs
    -0.34177
  • Compounded annual return / Expected Shortfall lognormal
    -3.41447
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08382
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.25691
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.05090
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.25756
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22261200000000000.00000
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -268402000000000012823744506494976.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 for a one-period 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 observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.00000
  • 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 downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

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

Statistics

Strategy began
2012-07-26
Minimum Capital Required
$90,000
# Trades
26
# Profitable
8
% Profitable
30.8%
Net Dividends
Correlation S&P500
0.126
Sharpe Ratio
-0.461

Latest

#PERSONNAME#
subscribed on #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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