This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
09/26/2019
Most recent certification approved
9/27/19 15:59 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
10%
# trading signals issued by system since certification
257
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
252
Percent signals followed since 09/26/2019
98.0%
This information was last updated
9/23/21 10:26 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 09/26/2019,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
SPODD500
(124270346)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  09/26/2019 
Most recent certification approved  9/27/19 15:59 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  10% 
# trading signals issued by system since certification  257 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  252 
Percent signals followed since 09/26/2019  98.0% 
This information was last updated  9/23/21 10:26 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/26/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $125.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  (0.3%)  +2.3%  +4.8%  +4.0%  +2.3%  +4.3%  +5.7%  +25.2%  
2020  (0.6%)  +6.3%  (8.1%)  +2.1%  (4.7%)  +1.5%  (0.7%)  (1.1%)  (1.7%)  +0.8%  +6.6%    (0.4%) 
2021  +0.5%  +3.7%  +0.5%  +3.0%  (8.2%)  (4.1%)  +0.9%  (4.6%)  (7.9%)  (15.7%) 
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  $50,000  
Buy Power  $57,836  
Cash  $1  
Equity  $1  
Cumulative $  $7,836  
Includes dividends and cashsettled expirations:  $451  Itemized 
Total System Equity  $57,836  
Margined  $1  
Open P/L  $0  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began6/28/2019

Suggested Minimum Cap$15,000

Strategy Age (days)822.65

Age27 months ago

What it tradesStocks

# Trades144

# Profitable85

% Profitable59.00%

Avg trade duration2.2 days

Max peaktovalley drawdown30.48%

drawdown periodMarch 11, 2020  Sept 23, 2021

Annual Return (Compounded)2.2%

Avg win$783.68

Avg loss$1,003
 Model Account Values (Raw)

Cash$57,836

Margin Used$0

Buying Power$57,836
 Ratios

W:L ratio1.14:1

Sharpe Ratio0.08

Sortino Ratio0.12

Calmar Ratio0.269
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)45.94%

Correlation to SP5000.21890

Return Percent SP500 (cumu) during strategy life51.04%
 Return Statistics

Ann Return (w trading costs)2.2%
 Slump

Current Slump as Pcnt Equity43.80%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.69%
 Return Statistics

Return Pcnt Since TOS Status0.100%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.022%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)6.7%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss40.50%

Chance of 20% account loss9.00%

Chance of 30% account loss0.50%

Chance of 40% account lossn/a

Chance of 60% account loss (Monte Carlo)n/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)518
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score317

Popularity (7 days, Percentile 1000 scale)0
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent10%
 Win / Loss

Avg Loss$1,004

Avg Win$784

Sum Trade PL (losers)$59,228.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table28
 Win / Loss

Sum Trade PL (winners)$66,613.000

# Winners85

Num Months Winners17
 Dividends

Dividends Received in Model Acct451
 AUM

AUM (AutoTrader live capital)5698
 Win / Loss

# Losers59

% Winners59.0%
 Frequency

Avg Position Time (mins)3187.05

Avg Position Time (hrs)53.12

Avg Trade Length2.2 days

Last Trade Ago5
 Leverage

Daily leverage (average)1.74

Daily leverage (max)3.18
 Regression

Alpha0.00

Beta0.13

Treynor Index0.03
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.45

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.02

Avg(MAE) / Avg(PL)  All trades5.628

MAE:Equity, losing trades only, 95th Percentile Value for this strat

MAE:Equity, win trades only, 95th Percentile Value for this strat

MAE:Equity, 95th Percentile Value for this strat0.02

Avg(MAE) / Avg(PL)  Winning trades0.373

Avg(MAE) / Avg(PL)  Losing trades1.416

HoldandHope Ratio0.178
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.08920

SD0.18088

Sharpe ratio (Glass type estimate)0.49312

Sharpe ratio (Hedges UMVUE)0.47815

df25.00000

t0.72585

p0.23734

Lowerbound of 95% confidence interval for Sharpe Ratio0.85019

Upperbound of 95% confidence interval for Sharpe Ratio1.82674

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85996

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.81626
 Statistics related to Sortino ratio

Sortino ratio0.71608

Upside Potential Ratio2.23390

Upside part of mean0.27825

Downside part of mean0.18906

Upside SD0.12887

Downside SD0.12456

N nonnegative terms16.00000

N negative terms10.00000
 Statistics related to linear regression on benchmark

N of observations26.00000

Mean of predictor0.19075

Mean of criterion0.08920

SD of predictor0.19868

SD of criterion0.18088

Covariance0.01151

r0.32020

b (slope, estimate of beta)0.29152

a (intercept, estimate of alpha)0.03359

Mean Square Error0.03059

DF error24.00000

t(b)1.65585

p(b)0.05539

t(a)0.27204

p(a)0.39396

Lowerbound of 95% confidence interval for beta0.07184

Upperbound of 95% confidence interval for beta0.65487

Lowerbound of 95% confidence interval for alpha0.22124

Upperbound of 95% confidence interval for alpha0.28842

Treynor index (mean / b)0.30597

Jensen alpha (a)0.03359
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.07273

SD0.18363

Sharpe ratio (Glass type estimate)0.39605

Sharpe ratio (Hedges UMVUE)0.38403

df25.00000

t0.58297

p0.28257

Lowerbound of 95% confidence interval for Sharpe Ratio0.94385

Upperbound of 95% confidence interval for Sharpe Ratio1.72818

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95175

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.71981
 Statistics related to Sortino ratio

Sortino ratio0.54887

Upside Potential Ratio2.03582

Upside part of mean0.26976

Downside part of mean0.19703

Upside SD0.12373

Downside SD0.13251

N nonnegative terms16.00000

N negative terms10.00000
 Statistics related to linear regression on benchmark

N of observations26.00000

Mean of predictor0.16972

Mean of criterion0.07273

SD of predictor0.20157

SD of criterion0.18363

Covariance0.01358

r0.36694

b (slope, estimate of beta)0.33429

a (intercept, estimate of alpha)0.01599

Mean Square Error0.03040

DF error24.00000

t(b)1.93241

p(b)0.03260

t(a)0.13106

p(a)0.44841

Lowerbound of 95% confidence interval for beta0.02275

Upperbound of 95% confidence interval for beta0.69132

Lowerbound of 95% confidence interval for alpha0.23587

Upperbound of 95% confidence interval for alpha0.26785

Treynor index (mean / b)0.21756

Jensen alpha (a)0.01599
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07793

Expected Shortfall on VaR0.09796
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03009

Expected Shortfall on VaR0.06438
 ORDER STATISTICS
 Quartiles of return rates

Number of observations26.00000

Minimum0.84998

Quartile 10.98500

Median1.01662

Quartile 31.04117

Maximum1.12457

Mean of quarter 10.94712

Mean of quarter 21.00223

Mean of quarter 31.02673

Mean of quarter 41.06431

Inter Quartile Range0.05617

Number outliers low1.00000

Percentage of outliers low0.03846

Mean of outliers low0.84998

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)0.33189

VaR(95%) (moments method)0.04534

Expected Shortfall (moments method)0.05619

Extreme Value Index (regression method)0.25504

VaR(95%) (regression method)0.07518

Expected Shortfall (regression method)0.13371
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.01032

Quartile 10.07550

Median0.14069

Quartile 30.14536

Maximum0.15002

Mean of quarter 10.01032

Mean of quarter 20.14069

Mean of quarter 30.00000

Mean of quarter 40.15002

Inter Quartile Range0.06985

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)0.11245

Compounded annual return (geometric extrapolation)0.10587

Calmar ratio (compounded annual return / max draw down)0.70573

Compounded annual return / average of 25% largest draw downs0.70573

Compounded annual return / Expected Shortfall lognormal1.08081

0.00000

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

Mean0.04756

SD0.14106

Sharpe ratio (Glass type estimate)0.33714

Sharpe ratio (Hedges UMVUE)0.33671

df581.00000

t0.50249

p0.30776

Lowerbound of 95% confidence interval for Sharpe Ratio0.97814

Upperbound of 95% confidence interval for Sharpe Ratio1.65221

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97847

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.65188
 Statistics related to Sortino ratio

Sortino ratio0.47363

Upside Potential Ratio5.88224

Upside part of mean0.59061

Downside part of mean0.54306

Upside SD0.09894

Downside SD0.10041

N nonnegative terms198.00000

N negative terms384.00000
 Statistics related to linear regression on benchmark

N of observations582.00000

Mean of predictor0.18909

Mean of criterion0.04756

SD of predictor0.24935

SD of criterion0.14106

Covariance0.00855

r0.24323

b (slope, estimate of beta)0.13760

a (intercept, estimate of alpha)0.02200

Mean Square Error0.01875

DF error580.00000

t(b)6.03918

p(b)0.00000

t(a)0.23417

p(a)0.40747

Lowerbound of 95% confidence interval for beta0.09285

Upperbound of 95% confidence interval for beta0.18235

Lowerbound of 95% confidence interval for alpha0.15911

Upperbound of 95% confidence interval for alpha0.20219

Treynor index (mean / b)0.34562

Jensen alpha (a)0.02154
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03755

SD0.14179

Sharpe ratio (Glass type estimate)0.26484

Sharpe ratio (Hedges UMVUE)0.26449

df581.00000

t0.39472

p0.34660

Lowerbound of 95% confidence interval for Sharpe Ratio1.05040

Upperbound of 95% confidence interval for Sharpe Ratio1.57985

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.05063

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.57962
 Statistics related to Sortino ratio

Sortino ratio0.36601

Upside Potential Ratio5.70932

Upside part of mean0.58574

Downside part of mean0.54819

Upside SD0.09772

Downside SD0.10259

N nonnegative terms198.00000

N negative terms384.00000
 Statistics related to linear regression on benchmark

N of observations582.00000

Mean of predictor0.15772

Mean of criterion0.03755

SD of predictor0.25101

SD of criterion0.14179

Covariance0.00920

r0.25857

b (slope, estimate of beta)0.14606

a (intercept, estimate of alpha)0.01451

Mean Square Error0.01879

DF error580.00000

t(b)6.44641

p(b)0.00000

t(a)0.15768

p(a)0.43738

Lowerbound of 95% confidence interval for beta0.10156

Upperbound of 95% confidence interval for beta0.19056

Lowerbound of 95% confidence interval for alpha0.16627

Upperbound of 95% confidence interval for alpha0.19529

Treynor index (mean / b)0.25709

Jensen alpha (a)0.01451
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01416

Expected Shortfall on VaR0.01776
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00557

Expected Shortfall on VaR0.01198
 ORDER STATISTICS
 Quartiles of return rates

Number of observations582.00000

Minimum0.92633

Quartile 10.99890

Median1.00000

Quartile 31.00116

Maximum1.04435

Mean of quarter 10.99219

Mean of quarter 20.99983

Mean of quarter 31.00020

Mean of quarter 41.00893

Inter Quartile Range0.00226

Number outliers low81.00000

Percentage of outliers low0.13917

Mean of outliers low0.98793

Number of outliers high89.00000

Percentage of outliers high0.15292

Mean of outliers high1.01286
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.40116

VaR(95%) (moments method)0.00499

Expected Shortfall (moments method)0.01048

Extreme Value Index (regression method)0.18475

VaR(95%) (regression method)0.00703

Expected Shortfall (regression method)0.01224
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations20.00000

Minimum0.00041

Quartile 10.00294

Median0.00643

Quartile 30.01940

Maximum0.25134

Mean of quarter 10.00120

Mean of quarter 20.00417

Mean of quarter 30.01565

Mean of quarter 40.07764

Inter Quartile Range0.01646

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.05000

Mean of outliers high0.25134
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.66314

VaR(95%) (moments method)0.07172

Expected Shortfall (moments method)0.24028

Extreme Value Index (regression method)1.22593

VaR(95%) (regression method)0.05857

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.07046

Compounded annual return (geometric extrapolation)0.06765

Calmar ratio (compounded annual return / max draw down)0.26914

Compounded annual return / average of 25% largest draw downs0.87129

Compounded annual return / Expected Shortfall lognormal3.80889

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

Mean0.38937

SD0.11374

Sharpe ratio (Glass type estimate)3.42320

Sharpe ratio (Hedges UMVUE)3.40342

df130.00000

t2.42057

p0.60384

Lowerbound of 95% confidence interval for Sharpe Ratio6.21960

Upperbound of 95% confidence interval for Sharpe Ratio0.61399

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation6.20592

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60091
 Statistics related to Sortino ratio

Sortino ratio4.34986

Upside Potential Ratio4.23456

Upside part of mean0.37905

Downside part of mean0.76842

Upside SD0.07352

Downside SD0.08951

N nonnegative terms31.00000

N negative terms100.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.20246

Mean of criterion0.38937

SD of predictor0.10667

SD of criterion0.11374

Covariance0.00100

r0.08261

b (slope, estimate of beta)0.08809

a (intercept, estimate of alpha)0.40721

Mean Square Error0.01295

DF error129.00000

t(b)0.94149

p(b)0.44747

t(a)2.51299

p(a)0.63645

Lowerbound of 95% confidence interval for beta0.09703

Upperbound of 95% confidence interval for beta0.27321

Lowerbound of 95% confidence interval for alpha0.72781

Upperbound of 95% confidence interval for alpha0.08660

Treynor index (mean / b)4.42008

Jensen alpha (a)0.40721
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.39603

SD0.11362

Sharpe ratio (Glass type estimate)3.48567

Sharpe ratio (Hedges UMVUE)3.46552

df130.00000

t2.46474

p0.60565

Lowerbound of 95% confidence interval for Sharpe Ratio6.28308

Upperbound of 95% confidence interval for Sharpe Ratio0.67519

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation6.26915

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.66189
 Statistics related to Sortino ratio

Sortino ratio4.39650

Upside Potential Ratio4.17791

Upside part of mean0.37634

Downside part of mean0.77238

Upside SD0.07277

Downside SD0.09008

N nonnegative terms31.00000

N negative terms100.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.19672

Mean of criterion0.39603

SD of predictor0.10668

SD of criterion0.11362

Covariance0.00097

r0.07962

b (slope, estimate of beta)0.08480

a (intercept, estimate of alpha)0.41271

Mean Square Error0.01293

DF error129.00000

t(b)0.90719

p(b)0.44937

t(a)2.55018

p(a)0.63835

VAR (95 Confidence Intrvl)0.01400

Lowerbound of 95% confidence interval for beta0.10014

Upperbound of 95% confidence interval for beta0.26973

Lowerbound of 95% confidence interval for alpha0.73291

Upperbound of 95% confidence interval for alpha0.09252

Treynor index (mean / b)4.67047

Jensen alpha (a)0.41271
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01297

Expected Shortfall on VaR0.01586
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00866

Expected Shortfall on VaR0.01539
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98046

Quartile 10.99547

Median1.00000

Quartile 31.00005

Maximum1.03178

Mean of quarter 10.98999

Mean of quarter 20.99869

Mean of quarter 31.00000

Mean of quarter 41.00585

Inter Quartile Range0.00458

Number outliers low8.00000

Percentage of outliers low0.06107

Mean of outliers low0.98430

Number of outliers high8.00000

Percentage of outliers high0.06107

Mean of outliers high1.01589
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.73856

VaR(95%) (moments method)0.01005

Expected Shortfall (moments method)0.01108

Extreme Value Index (regression method)0.48337

VaR(95%) (regression method)0.00994

Expected Shortfall (regression method)0.01142
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00030

Quartile 10.05335

Median0.10641

Quartile 30.15947

Maximum0.21252

Mean of quarter 10.00030

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.21252

Inter Quartile Range0.10611

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

Last 4 Months  Pcnt Negative0.75%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?294825000

Max Equity Drawdown (num days)561
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.33623

Compounded annual return (geometric extrapolation)0.30797

Calmar ratio (compounded annual return / max draw down)1.44912

Compounded annual return / average of 25% largest draw downs1.44912

Compounded annual return / Expected Shortfall lognormal19.41820
Strategy Description
Buys: We adjust equity employed to purchase long or short position in the S&P 500 (3X) without using margin. We are selective and intentional when we place a trade. Trades are placed to execute near the end of the day. Due to C2 limitations a MOC (market on close order) is unavailable so we will use the parked order system to execute at or near the close of the market (15.57 or 15:58 EST). We will try and give you at least 2 hours to place your parked order for those not on auto trade.
Sales: For most of the sales we will close the position the following day at the close of the market but occasionally will hold a trade as long as the odds hold up for as many as 4 consecutive days. We will give you plenty of notice as to when we expect to close a trade. By holding consecutive probability trades, this will help keep brokerage commissions low rather than churning in and out of a position.
Methodology: Our system uses an algorithm that calculates the odds that the S&P will close up or down on the following day. When the odds show a significant chance that the market will close up or down the following day, we place a trade in the direction of that signal the day before. Stops: We recognize the market doesn't always behave in predictable patterns, so in the event the market drifts in the opposite direction of our trade, we monitor the position and if necessary we place a stop at 4.5% of the trade. We do not place stops as soon as we open a trade due to gaps which often backfill. Remember the market can gap down or up and a stop is no way to eliminate market gaps and can even cause you to sell as soon as the market opens at the worst possible price. When a trade gaps against us, we monitor the situation and place stops to prevent additional capital erosion. Sometimes the market may gap in the opposite direction of our trade and then recover throughout the day.
Risks: Overnight Risk, Leveraged ETF risks which are unique, General market directional risks, order execution risks, in the event of catastrophic moves you should refer to the SPXL and or SPXS prospectus' to identify how they handle payouts.
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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