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SPETF
(77924409)

Created by: sandp_etf sandp_etf
Started: 11/2012
Stocks
Last trade: 1,675 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $5.00 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.

9.7%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(14.8%)
Max Drawdown
246
Num Trades
91.5%
Win Trades
6.3 : 1
Profit Factor
25.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                        -  +5.3%+5.2%
2013+25.8%+4.5%+2.2%+3.1%(0.3%)+1.4%+1.2%(1.4%)(1.5%)+6.3%+2.1%+3.2%+53.9%
2014+2.1%+0.8%+2.3%+1.7%+0.9%+0.7%(3%)+1.4%(0.1%)+1.2%+1.4%+1.7%+11.6%
2015(0.7%)+4.8%  -    -    -    -    -    -    -    -    -    -  +4.1%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -                    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.

Trading Record

This strategy has placed 397 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/23/15 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 500 62.42 2/20 13:41 63.35 3.09%
Trade id #92057585
Max drawdown($587)
Time1/29/15 10:46
Quant open100
Worst price118.86
Drawdown as % of equity-3.09%
$457
Includes Typical Broker Commissions trade costs of $10.00
1/16/15 11:00 SDS PROSHARES ULTRASHORT S&P500 LONG 150 23.15 1/16 11:41 23.17 0.05%
Trade id #91918661
Max drawdown($9)
Time1/16/15 11:04
Quant open150
Worst price23.09
Drawdown as % of equity-0.05%
$0
Includes Typical Broker Commissions trade costs of $3.00
1/16/15 10:15 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 59.70 1/16 10:32 60.63 0.03%
Trade id #91916810
Max drawdown($6)
Time1/16/15 10:18
Quant open25
Worst price119.15
Drawdown as % of equity-0.03%
$46
Includes Typical Broker Commissions trade costs of $1.00
1/16/15 9:50 SDS PROSHARES ULTRASHORT S&P500 LONG 300 23.33 1/16 10:09 23.49 0.08%
Trade id #91915592
Max drawdown($15)
Time1/16/15 10:01
Quant open300
Worst price23.28
Drawdown as % of equity-0.08%
$42
Includes Typical Broker Commissions trade costs of $6.00
1/16/15 9:35 SDS PROSHARES ULTRASHORT S&P500 LONG 300 23.28 1/16 9:49 23.34 0.08%
Trade id #91914955
Max drawdown($15)
Time1/16/15 9:43
Quant open300
Worst price23.23
Drawdown as % of equity-0.08%
$12
Includes Typical Broker Commissions trade costs of $6.00
1/14/15 15:58 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 61.54 1/15 9:30 62.26 0.33%
Trade id #91866210
Max drawdown($64)
Time1/15/15 6:28
Quant open25
Worst price120.49
Drawdown as % of equity-0.33%
$35
Includes Typical Broker Commissions trade costs of $1.00
1/5/15 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 300 62.97 1/8 10:31 63.53 2.13%
Trade id #91656125
Max drawdown($405)
Time1/6/15 13:26
Quant open50
Worst price119.88
Drawdown as % of equity-2.13%
$163
Includes Typical Broker Commissions trade costs of $6.00
12/24/14 12:44 SDS PROSHARES ULTRASHORT S&P500 LONG 312 21.50 12/31 12:03 21.57 0.28%
Trade id #91497669
Max drawdown($53)
Time12/29/14 10:37
Quant open312
Worst price21.33
Drawdown as % of equity-0.28%
$16
Includes Typical Broker Commissions trade costs of $6.24
12/11/14 10:49 SSO PROSHARES ULTRA S&P500 LONG 600 61.37 12/18 9:30 61.57 6.69%
Trade id #91272705
Max drawdown($1,214)
Time12/16/14 7:26
Quant open166
Worst price117.72
Drawdown as % of equity-6.69%
$109
Includes Typical Broker Commissions trade costs of $12.00
12/10/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 300 64.45 12/11 10:48 64.85 1.82%
Trade id #91242984
Max drawdown($341)
Time12/10/14 15:07
Quant open75
Worst price126.36
Drawdown as % of equity-1.82%
$112
Includes Typical Broker Commissions trade costs of $6.00
12/8/14 11:40 UPRO PROSHARES ULTRAPRO S&P500 LONG 300 66.16 12/9 15:55 66.32 3.27%
Trade id #91195088
Max drawdown($615)
Time12/9/14 10:34
Quant open150
Worst price128.21
Drawdown as % of equity-3.27%
$42
Includes Typical Broker Commissions trade costs of $6.00
12/4/14 15:58 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 67.68 12/5 9:30 67.88 0.01%
Trade id #91153135
Max drawdown($1)
Time12/5/14 8:32
Quant open25
Worst price135.31
Drawdown as % of equity-0.01%
$9
Includes Typical Broker Commissions trade costs of $1.00
12/4/14 10:50 UPRO PROSHARES ULTRAPRO S&P500 LONG 80 67.00 12/4 11:43 67.27 0.04%
Trade id #91146399
Max drawdown($8)
Time12/4/14 11:32
Quant open40
Worst price133.80
Drawdown as % of equity-0.04%
$20
Includes Typical Broker Commissions trade costs of $1.60
12/1/14 15:56 UPRO PROSHARES ULTRAPRO S&P500 LONG 90 66.11 12/2 9:31 66.10 0.19%
Trade id #91083443
Max drawdown($35)
Time12/1/14 16:51
Quant open45
Worst price131.43
Drawdown as % of equity-0.19%
($2)
Includes Typical Broker Commissions trade costs of $1.80
11/26/14 11:16 UPRO PROSHARES ULTRAPRO S&P500 LONG 70 67.46 11/26 15:21 67.70 0.04%
Trade id #91009299
Max drawdown($7)
Time11/26/14 11:24
Quant open35
Worst price134.71
Drawdown as % of equity-0.04%
$16
Includes Typical Broker Commissions trade costs of $1.40
11/26/14 9:45 UPRO PROSHARES ULTRAPRO S&P500 LONG 70 67.37 11/26 10:02 67.54 0.04%
Trade id #91006533
Max drawdown($7)
Time11/26/14 9:52
Quant open35
Worst price134.53
Drawdown as % of equity-0.04%
$11
Includes Typical Broker Commissions trade costs of $1.40
11/21/14 15:49 UPRO PROSHARES ULTRAPRO S&P500 LONG 70 66.85 11/24 9:30 67.35 0.06%
Trade id #90941343
Max drawdown($10)
Time11/21/14 15:58
Quant open35
Worst price133.40
Drawdown as % of equity-0.06%
$34
Includes Typical Broker Commissions trade costs of $1.40
11/21/14 15:02 UPRO PROSHARES ULTRAPRO S&P500 LONG 80 66.75 11/21 15:37 67.00 0.03%
Trade id #90940268
Max drawdown($5)
Time11/21/14 15:10
Quant open40
Worst price133.36
Drawdown as % of equity-0.03%
$18
Includes Typical Broker Commissions trade costs of $1.60
11/21/14 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 300 21.98 11/21 12:15 22.13 0.02%
Trade id #90930486
Max drawdown($3)
Time11/21/14 9:32
Quant open300
Worst price21.97
Drawdown as % of equity-0.02%
$39
Includes Typical Broker Commissions trade costs of $6.00
11/20/14 9:53 UPRO PROSHARES ULTRAPRO S&P500 LONG 80 65.11 11/20 10:00 65.34 0.03%
Trade id #90905869
Max drawdown($6)
Time11/20/14 9:59
Quant open40
Worst price130.06
Drawdown as % of equity-0.03%
$16
Includes Typical Broker Commissions trade costs of $1.60
11/19/14 10:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 80 64.99 11/19 11:47 65.22 0.15%
Trade id #90882779
Max drawdown($28)
Time11/19/14 11:06
Quant open40
Worst price129.26
Drawdown as % of equity-0.15%
$17
Includes Typical Broker Commissions trade costs of $1.60
11/13/14 14:41 UPRO PROSHARES ULTRAPRO S&P500 LONG 60 63.96 11/13 14:50 64.19 0.01%
Trade id #90788576
Max drawdown($1)
Time11/13/14 14:44
Quant open30
Worst price127.87
Drawdown as % of equity-0.01%
$13
Includes Typical Broker Commissions trade costs of $1.20
11/13/14 13:36 UPRO PROSHARES ULTRAPRO S&P500 LONG 60 63.73 11/13 14:07 63.95 0.02%
Trade id #90786853
Max drawdown($3)
Time11/13/14 13:38
Quant open30
Worst price127.35
Drawdown as % of equity-0.02%
$12
Includes Typical Broker Commissions trade costs of $1.20
11/11/14 10:45 SDS PROSHARES ULTRASHORT S&P500 LONG 300 22.75 11/11 13:15 22.84 0.05%
Trade id #90733887
Max drawdown($9)
Time11/11/14 11:15
Quant open300
Worst price22.72
Drawdown as % of equity-0.05%
$21
Includes Typical Broker Commissions trade costs of $6.00
11/4/14 15:57 UPRO PROSHARES ULTRAPRO S&P500 LONG 56 61.79 11/5 9:30 62.97 0.04%
Trade id #90612194
Max drawdown($7)
Time11/4/14 16:01
Quant open28
Worst price123.32
Drawdown as % of equity-0.04%
$65
Includes Typical Broker Commissions trade costs of $1.12
10/29/14 13:57 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 58.95 10/29 14:02 58.54 0.12%
Trade id #90495031
Max drawdown($22)
Time10/29/14 14:01
Quant open25
Worst price117.00
Drawdown as % of equity-0.12%
($21)
Includes Typical Broker Commissions trade costs of $1.00
10/24/14 13:40 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 57.10 10/24 15:03 57.38 0.02%
Trade id #90435839
Max drawdown($3)
Time10/24/14 14:03
Quant open25
Worst price114.08
Drawdown as % of equity-0.02%
$13
Includes Typical Broker Commissions trade costs of $1.00
10/23/14 11:22 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 56.74 10/24 11:50 57.22 0.22%
Trade id #90411003
Max drawdown($40)
Time10/24/14 10:07
Quant open25
Worst price111.87
Drawdown as % of equity-0.22%
$23
Includes Typical Broker Commissions trade costs of $1.00
10/22/14 11:26 SSO PROSHARES ULTRA S&P500 LONG 140 56.94 10/23 11:07 57.57 0.64%
Trade id #90387547
Max drawdown($118)
Time10/22/14 16:00
Quant open70
Worst price112.18
Drawdown as % of equity-0.64%
$86
Includes Typical Broker Commissions trade costs of $2.80
10/22/14 9:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 50 55.82 10/22 11:23 56.25 0.1%
Trade id #90383975
Max drawdown($17)
Time10/22/14 9:42
Quant open25
Worst price110.94
Drawdown as % of equity-0.10%
$21
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    11/30/2012
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2479.98
  • Age
    83 months ago
  • What it trades
    Stocks
  • # Trades
    246
  • # Profitable
    225
  • % Profitable
    91.50%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    14.78%
  • drawdown period
    Dec 18, 2012 - Dec 29, 2012
  • Annual Return (Compounded)
    9.7%
  • Avg win
    $52.75
  • Avg loss
    $90.57
  • Model Account Values (Raw)
  • Cash
    $19,999
  • Margin Used
    $0
  • Buying Power
    $19,999
  • Ratios
  • W:L ratio
    6.28:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    1.41
  • Calmar Ratio
    2.243
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18450
  • Return Statistics
  • Ann Return (w trading costs)
    9.7%
  • Ann Return (Compnd, No Fees)
    10.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $91
  • Avg Win
    $53
  • # Winners
    225
  • # Losers
    21
  • % Winners
    91.5%
  • Frequency
  • Avg Position Time (mins)
    3290.32
  • Avg Position Time (hrs)
    54.84
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    1682
  • Regression
  • Alpha
    0.02
  • Beta
    0.13
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    2.788
  • Avg(MAE) / Avg(PL) - Winning trades
    1.989
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.056
  • Hold-and-Hope Ratio
    0.358
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20631
  • SD
    0.17645
  • Sharpe ratio (Glass type estimate)
    1.16922
  • Sharpe ratio (Hedges UMVUE)
    1.14533
  • df
    37.00000
  • t
    2.08064
  • p
    0.02222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02882
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27723
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.55885
  • Upside Potential Ratio
    6.70967
  • Upside part of mean
    0.24902
  • Downside part of mean
    -0.04271
  • Upside SD
    0.18024
  • Downside SD
    0.03711
  • N nonnegative terms
    20.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.19588
  • Mean of criterion
    0.20631
  • SD of predictor
    0.13229
  • SD of criterion
    0.17645
  • Covariance
    0.00893
  • r
    0.38259
  • b (slope, estimate of beta)
    0.51031
  • a (intercept, estimate of alpha)
    0.10635
  • Mean Square Error
    0.02732
  • DF error
    36.00000
  • t(b)
    2.48453
  • p(b)
    0.00888
  • t(a)
    1.05073
  • p(a)
    0.15019
  • Lowerbound of 95% confidence interval for beta
    0.09375
  • Upperbound of 95% confidence interval for beta
    0.92688
  • Lowerbound of 95% confidence interval for alpha
    -0.09893
  • Upperbound of 95% confidence interval for alpha
    0.31163
  • Treynor index (mean / b)
    0.40428
  • Jensen alpha (a)
    0.10635
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19101
  • SD
    0.15957
  • Sharpe ratio (Glass type estimate)
    1.19703
  • Sharpe ratio (Hedges UMVUE)
    1.17257
  • df
    37.00000
  • t
    2.13013
  • p
    0.01994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03923
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30592
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.03295
  • Upside Potential Ratio
    6.17439
  • Upside part of mean
    0.23433
  • Downside part of mean
    -0.04332
  • Upside SD
    0.16246
  • Downside SD
    0.03795
  • N nonnegative terms
    20.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.18560
  • Mean of criterion
    0.19101
  • SD of predictor
    0.13037
  • SD of criterion
    0.15957
  • Covariance
    0.00828
  • r
    0.39787
  • b (slope, estimate of beta)
    0.48699
  • a (intercept, estimate of alpha)
    0.10063
  • Mean Square Error
    0.02203
  • DF error
    36.00000
  • t(b)
    2.60202
  • p(b)
    0.00668
  • t(a)
    1.11378
  • p(a)
    0.13638
  • Lowerbound of 95% confidence interval for beta
    0.10741
  • Upperbound of 95% confidence interval for beta
    0.86657
  • Lowerbound of 95% confidence interval for alpha
    -0.08261
  • Upperbound of 95% confidence interval for alpha
    0.28386
  • Treynor index (mean / b)
    0.39223
  • Jensen alpha (a)
    0.10063
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05810
  • Expected Shortfall on VaR
    0.07592
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00766
  • Expected Shortfall on VaR
    0.01719
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.94509
  • Quartile 1
    1.00000
  • Median
    1.00540
  • Quartile 3
    1.02456
  • Maximum
    1.28286
  • Mean of quarter 1
    0.99036
  • Mean of quarter 2
    1.00086
  • Mean of quarter 3
    1.01245
  • Mean of quarter 4
    1.07184
  • Inter Quartile Range
    0.02456
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.94509
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    1.12525
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29185
  • VaR(95%) (moments method)
    0.00050
  • Expected Shortfall (moments method)
    0.00088
  • Extreme Value Index (regression method)
    0.68825
  • VaR(95%) (regression method)
    0.00728
  • Expected Shortfall (regression method)
    0.04052
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00088
  • Median
    0.01050
  • Quartile 3
    0.03311
  • Maximum
    0.07285
  • Mean of quarter 1
    0.00010
  • Mean of quarter 2
    0.00114
  • Mean of quarter 3
    0.01986
  • Mean of quarter 4
    0.07285
  • Inter Quartile Range
    0.03223
  • 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)
    0.31585
  • Compounded annual return (geometric extrapolation)
    0.24473
  • Calmar ratio (compounded annual return / max draw down)
    3.35938
  • Compounded annual return / average of 25% largest draw downs
    3.35938
  • Compounded annual return / Expected Shortfall lognormal
    3.22361
  • 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
    0.19543
  • SD
    0.12387
  • Sharpe ratio (Glass type estimate)
    1.57768
  • Sharpe ratio (Hedges UMVUE)
    1.57627
  • df
    841.00000
  • t
    2.82829
  • p
    0.00240
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67217
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.03550
  • Upside Potential Ratio
    7.81555
  • Upside part of mean
    0.50319
  • Downside part of mean
    -0.30775
  • Upside SD
    0.10643
  • Downside SD
    0.06438
  • N nonnegative terms
    324.00000
  • N negative terms
    518.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    842.00000
  • Mean of predictor
    0.22270
  • Mean of criterion
    0.19543
  • SD of predictor
    0.19507
  • SD of criterion
    0.12387
  • Covariance
    0.00366
  • r
    0.15151
  • b (slope, estimate of beta)
    0.09621
  • a (intercept, estimate of alpha)
    0.17400
  • Mean Square Error
    0.01501
  • DF error
    840.00000
  • t(b)
    4.44238
  • p(b)
    0.00001
  • t(a)
    2.53981
  • p(a)
    0.00564
  • Lowerbound of 95% confidence interval for beta
    0.05370
  • Upperbound of 95% confidence interval for beta
    0.13872
  • Lowerbound of 95% confidence interval for alpha
    0.03953
  • Upperbound of 95% confidence interval for alpha
    0.30849
  • Treynor index (mean / b)
    2.03136
  • Jensen alpha (a)
    0.17401
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18781
  • SD
    0.12238
  • Sharpe ratio (Glass type estimate)
    1.53462
  • Sharpe ratio (Hedges UMVUE)
    1.53326
  • df
    841.00000
  • t
    2.75111
  • p
    0.00303
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62902
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88793
  • Upside Potential Ratio
    7.65210
  • Upside part of mean
    0.49763
  • Downside part of mean
    -0.30982
  • Upside SD
    0.10423
  • Downside SD
    0.06503
  • N nonnegative terms
    324.00000
  • N negative terms
    518.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    842.00000
  • Mean of predictor
    0.20317
  • Mean of criterion
    0.18781
  • SD of predictor
    0.19834
  • SD of criterion
    0.12238
  • Covariance
    0.00365
  • r
    0.15024
  • b (slope, estimate of beta)
    0.09270
  • a (intercept, estimate of alpha)
    0.16897
  • Mean Square Error
    0.01466
  • DF error
    840.00000
  • t(b)
    4.40433
  • p(b)
    0.00001
  • t(a)
    2.49715
  • p(a)
    0.00636
  • Lowerbound of 95% confidence interval for beta
    0.05139
  • Upperbound of 95% confidence interval for beta
    0.13401
  • Lowerbound of 95% confidence interval for alpha
    0.03616
  • Upperbound of 95% confidence interval for alpha
    0.30179
  • Treynor index (mean / b)
    2.02598
  • Jensen alpha (a)
    0.16897
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01165
  • Expected Shortfall on VaR
    0.01476
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00300
  • Expected Shortfall on VaR
    0.00666
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    842.00000
  • Minimum
    0.96738
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00133
  • Maximum
    1.06447
  • Mean of quarter 1
    0.99557
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00038
  • Mean of quarter 4
    1.00745
  • Inter Quartile Range
    0.00133
  • Number outliers low
    97.00000
  • Percentage of outliers low
    0.11520
  • Mean of outliers low
    0.99099
  • Number of outliers high
    114.00000
  • Percentage of outliers high
    0.13539
  • Mean of outliers high
    1.01200
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60526
  • VaR(95%) (moments method)
    0.00334
  • Expected Shortfall (moments method)
    0.01096
  • Extreme Value Index (regression method)
    0.15262
  • VaR(95%) (regression method)
    0.00489
  • Expected Shortfall (regression method)
    0.00955
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    60.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00051
  • Median
    0.00284
  • Quartile 3
    0.01574
  • Maximum
    0.10733
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00124
  • Mean of quarter 3
    0.00809
  • Mean of quarter 4
    0.03867
  • Inter Quartile Range
    0.01523
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.07504
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.42228
  • VaR(95%) (moments method)
    0.04304
  • Expected Shortfall (moments method)
    0.08156
  • Extreme Value Index (regression method)
    0.53848
  • VaR(95%) (regression method)
    0.04046
  • Expected Shortfall (regression method)
    0.08628
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31123
  • Compounded annual return (geometric extrapolation)
    0.24075
  • Calmar ratio (compounded annual return / max draw down)
    2.24309
  • Compounded annual return / average of 25% largest draw downs
    6.22526
  • Compounded annual return / Expected Shortfall lognormal
    16.30570
  • 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
    -0.02791
  • 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
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69024
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.33376
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • 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
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63208
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.34294
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6822190000000000.00000
  • 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
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -61847500000000000780158059413504.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    131.00000
  • 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

The SPETF system trades only S&P ETF's. These are Exchange Traded Funds derived from the Standard and Poors 500 cash index. These include SPY, SSO and UPRO, the latter being 2x and 3x leverage exposure to the S&P 500 index.

SPETF trades long and gains short via inverse ETF's . SPETF uses statistical algorithms that have a high probability of producing a winning trades. Most of the trades are scalping in nature and the system will hold multiple positions in either direction. The trades are typically a small share size for the initial entry, leaving capital available for further independent trading signals, should such an opportunity arise. The SPETF system will on occasions trade the maximum number of shares allowable for the size of fund, although this is rare and will occur when the market is severely overbought or oversold. It will hold overnight and over weekends.

The main reason for trading leveraged ETF's is our funds get more risk exposure for less transaction cost. Transaction costs have a big impact on a systems live performance and this, combined with the algorithms and money management techniques employed, offers a real edge in the markets.

After some subscriber feedback, as of Feb 2014 the system will enter a safety net stop of $10 minimum (UPRO) on all trades. This is to offer some piece of mind that there is some protection against a extreme market move. This safety stop will be higher when the markets are more volatile.

March 2014 update: The system will no longer trade short UPRO, SSO or SPY. Any short exposure will be gain by going long either SDS (x2) or SPUX (x3) inverse S&P ETF's. This is now a long only system.

Summary Statistics

Strategy began
2012-11-30
Suggested Minimum Capital
$25,000
# Trades
246
# Profitable
225
% Profitable
91.5%
Net Dividends
Correlation S&P500
0.184
Sharpe Ratio
0.74
Sortino Ratio
1.41
Beta
0.13
Alpha
0.02

Latest Activity

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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 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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