SuperSystemXL
(117987070)
Subscription terms. Subscriptions to this system cost $199.00 per month.
Nonhedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stockpickers."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 Cumulative Rate of Return is calculated
= (Ending_equity  Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2018  +4.5%  +5.1%  +8.4%  (2.2%)  +0.1%  (0.1%)  +16.5% 
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  $250,000  
Buy Power  $293,131  
Cash  $293,131  
Equity  $0  
Cumulative $  $43,130  
Includes dividends and cashsettled expirations:  $2,922  Itemized 
Total System Equity  $293,130  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began5/17/2018

Suggested Minimum Cap$35,000

Strategy Age (days)153.94

Age154 days ago

What it tradesStocks

# Trades56

# Profitable34

% Profitable60.70%

Avg trade duration11.9 days

Max peaktovalley drawdown5.91%

drawdown periodAug 01, 2018  Aug 15, 2018

Cumul. Return16.5%

Avg win$2,050

Avg loss$1,340
 Model Account Values (Raw)

Cash$293,131

Margin Used$0

Buying Power$293,131
 Ratios

W:L ratio2.56:1

Sharpe Ratio3.35

Sortino Ratio6.396

Calmar Ratio9.534
 CORRELATION STATISTICS

Correlation to SP5000.30000
 Return Statistics

Ann Return (w trading costs)42.9%

Ann Return (Compnd, No Fees)45.5%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)731
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$1,341

Avg Win$2,050

# Winners34

# Losers22

% Winners60.7%
 Frequency

Avg Position Time (mins)17169.50

Avg Position Time (hrs)286.16

Avg Trade Length11.9 days

Last Trade Ago58
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.37173

SD0.17588

Sharpe ratio (Glass type estimate)2.11362

Sharpe ratio (Hedges UMVUE)1.68642

df4.00000

t1.36433

p0.12209

Lowerbound of 95% confidence interval for Sharpe Ratio1.33763

Upperbound of 95% confidence interval for Sharpe Ratio5.36092

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.56706

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.93990
 Statistics related to Sortino ratio

Sortino ratio89.18620

Upside Potential Ratio91.30320

Upside part of mean0.38056

Downside part of mean0.00882

Upside SD0.19038

Downside SD0.00417

N nonnegative terms3.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.05145

Mean of criterion0.37173

SD of predictor0.06689

SD of criterion0.17588

Covariance0.00583

r0.49543

b (slope, estimate of beta)1.30269

a (intercept, estimate of alpha)0.30471

Mean Square Error0.03112

DF error3.00000

t(b)0.98788

p(b)0.19802

t(a)1.08210

p(a)0.17921

Lowerbound of 95% confidence interval for beta2.89392

Upperbound of 95% confidence interval for beta5.49929

Lowerbound of 95% confidence interval for alpha0.59143

Upperbound of 95% confidence interval for alpha1.20085

Treynor index (mean / b)0.28536

Jensen alpha (a)0.30471
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.35409

SD0.16553

Sharpe ratio (Glass type estimate)2.13916

Sharpe ratio (Hedges UMVUE)1.70681

df4.00000

t1.38083

p0.11973

Lowerbound of 95% confidence interval for Sharpe Ratio1.31999

Upperbound of 95% confidence interval for Sharpe Ratio5.39297

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55177

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.96539
 Statistics related to Sortino ratio

Sortino ratio85.06220

Upside Potential Ratio87.17900

Upside part of mean0.36290

Downside part of mean0.00881

Upside SD0.17986

Downside SD0.00416

N nonnegative terms3.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.04943

Mean of criterion0.35409

SD of predictor0.06728

SD of criterion0.16553

Covariance0.00555

r0.49816

b (slope, estimate of beta)1.22565

a (intercept, estimate of alpha)0.29351

Mean Square Error0.02747

DF error3.00000

t(b)0.99511

p(b)0.19651

t(a)1.11233

p(a)0.17355

Lowerbound of 95% confidence interval for beta2.69409

Upperbound of 95% confidence interval for beta5.14538

Lowerbound of 95% confidence interval for alpha0.54624

Upperbound of 95% confidence interval for alpha1.13325

Treynor index (mean / b)0.28890

Jensen alpha (a)0.29351
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04790

Expected Shortfall on VaR0.06658
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00152

Expected Shortfall on VaR0.00264
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum1.00000

Quartile 11.00098

Median1.02071

Quartile 31.02273

Maximum1.12211

Mean of quarter 11.00049

Mean of quarter 21.02071

Mean of quarter 31.02273

Mean of quarter 41.12211

Inter Quartile Range0.02175

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high1.12211
 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)0.41408

Compounded annual return (geometric extrapolation)0.46521

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 lognormal6.98720

0.00000

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

Mean0.35699

SD0.10582

Sharpe ratio (Glass type estimate)3.37355

Sharpe ratio (Hedges UMVUE)3.35028

df109.00000

t2.18591

p0.37046

Lowerbound of 95% confidence interval for Sharpe Ratio0.30833

Upperbound of 95% confidence interval for Sharpe Ratio6.42381

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.29293

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.40764
 Statistics related to Sortino ratio

Sortino ratio6.39613

Upside Potential Ratio12.92770

Upside part of mean0.72154

Downside part of mean0.36455

Upside SD0.09202

Downside SD0.05581

N nonnegative terms44.00000

N negative terms66.00000
 Statistics related to linear regression on benchmark

N of observations110.00000

Mean of predictor0.02022

Mean of criterion0.35699

SD of predictor0.10886

SD of criterion0.10582

Covariance0.00358

r0.31050

b (slope, estimate of beta)0.30183

a (intercept, estimate of alpha)0.35100

Mean Square Error0.01021

DF error108.00000

t(b)3.39464

p(b)0.34475

t(a)2.24973

p(a)0.39421

Lowerbound of 95% confidence interval for beta0.12559

Upperbound of 95% confidence interval for beta0.47807

Lowerbound of 95% confidence interval for alpha0.04173

Upperbound of 95% confidence interval for alpha0.66005

Treynor index (mean / b)1.18278

Jensen alpha (a)0.35089
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.35120

SD0.10544

Sharpe ratio (Glass type estimate)3.33091

Sharpe ratio (Hedges UMVUE)3.30794

df109.00000

t2.15828

p0.37200

Lowerbound of 95% confidence interval for Sharpe Ratio0.26652

Upperbound of 95% confidence interval for Sharpe Ratio6.38035

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.25139

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.36448
 Statistics related to Sortino ratio

Sortino ratio6.25762

Upside Potential Ratio12.78040

Upside part of mean0.71728

Downside part of mean0.36608

Upside SD0.09130

Downside SD0.05612

N nonnegative terms44.00000

N negative terms66.00000
 Statistics related to linear regression on benchmark

N of observations110.00000

Mean of predictor0.01432

Mean of criterion0.35120

SD of predictor0.10924

SD of criterion0.10544

Covariance0.00357

r0.30976

b (slope, estimate of beta)0.29896

a (intercept, estimate of alpha)0.34692

Mean Square Error0.01014

DF error108.00000

t(b)3.38563

p(b)0.34512

t(a)2.23189

p(a)0.39501

Lowerbound of 95% confidence interval for beta0.12393

Upperbound of 95% confidence interval for beta0.47400

Lowerbound of 95% confidence interval for alpha0.03881

Upperbound of 95% confidence interval for alpha0.65502

Treynor index (mean / b)1.17471

Jensen alpha (a)0.34692
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00933

Expected Shortfall on VaR0.01202
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00355

Expected Shortfall on VaR0.00734
 ORDER STATISTICS
 Quartiles of return rates

Number of observations110.00000

Minimum0.98178

Quartile 11.00000

Median1.00000

Quartile 31.00359

Maximum1.02366

Mean of quarter 10.99479

Mean of quarter 21.00000

Mean of quarter 31.00123

Mean of quarter 41.00980

Inter Quartile Range0.00359

Number outliers low12.00000

Percentage of outliers low0.10909

Mean of outliers low0.99080

Number of outliers high13.00000

Percentage of outliers high0.11818

Mean of outliers high1.01447
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)2.37587

VaR(95%) (moments method)0.00239

Expected Shortfall (moments method)0.00244

Extreme Value Index (regression method)0.22987

VaR(95%) (regression method)0.00644

Expected Shortfall (regression method)0.00916
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00002

Quartile 10.00127

Median0.02326

Quartile 30.04571

Maximum0.04835

Mean of quarter 10.00002

Mean of quarter 20.00168

Mean of quarter 30.04483

Mean of quarter 40.04835

Inter Quartile Range0.04444

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)0.41094

Compounded annual return (geometric extrapolation)0.46097

Calmar ratio (compounded annual return / max draw down)9.53441

Compounded annual return / average of 25% largest draw downs9.53441

Compounded annual return / Expected Shortfall lognormal38.35070
Strategy Description
If you have any questions please send me a message on C2 and I'll be happy to answer.
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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Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
Strategy is no longer visible
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(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.