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ETF Bulls and Bears
(81983833)

Created by: ken_wong ken_wong
Started: 07/2013
Stocks
Last trade: 1,763 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. You can subscribe to this system for free.

3.4%
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.

(10.2%)
Max Drawdown
32
Num Trades
68.8%
Win Trades
4.7 : 1
Profit Factor
10.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                          +1.5%  -  +6.6%+4.8%+0.8%+7.3%+22.7%
2014(4.6%)+2.5%  -    -    -    -    -    -    -    -    -    -  (2.2%)
2015  -    -    -    -    -    -    -    -    -  +0.3%  -    -  +0.3%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  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.

System developer has asked us to delay this information by 72 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/18/14 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 106 65.44 2/20 9:30 64.96 0.34%
Trade id #86033954
Max drawdown($103)
Time2/19/14 15:54
Quant open106
Worst price64.46
Drawdown as % of equity-0.34%
($52)
Includes Typical Broker Commissions trade costs of $2.12
2/18/14 9:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 156 47.23 2/20 9:30 46.58 0.5%
Trade id #86033944
Max drawdown($150)
Time2/19/14 15:54
Quant open78
Worst price92.54
Drawdown as % of equity-0.50%
($104)
Includes Typical Broker Commissions trade costs of $3.12
2/7/14 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 180 58.97 2/13 9:30 62.06 0.21%
Trade id #85659150
Max drawdown($61)
Time2/7/14 10:28
Quant open125
Worst price57.42
Drawdown as % of equity-0.21%
$552
Includes Typical Broker Commissions trade costs of $3.60
2/7/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 250 43.42 2/13 9:30 44.78 0.25%
Trade id #85659046
Max drawdown($72)
Time2/7/14 10:28
Quant open85
Worst price85.13
Drawdown as % of equity-0.25%
$336
Includes Typical Broker Commissions trade costs of $5.00
1/17/14 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 240 62.58 1/24 9:30 62.03 0.44%
Trade id #85234995
Max drawdown($131)
Time1/24/14 9:30
Quant open0
Worst price62.03
Drawdown as % of equity-0.44%
($136)
Includes Typical Broker Commissions trade costs of $4.80
1/23/14 9:30 TNA DIREXION DAILY SMALL CAP BULL LONG 90 79.81 1/24 9:30 77.72 0.64%
Trade id #85330521
Max drawdown($190)
Time1/23/14 14:01
Quant open90
Worst price77.69
Drawdown as % of equity-0.64%
($190)
Includes Typical Broker Commissions trade costs of $1.80
1/17/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 160 47.61 1/24 9:30 45.67 1.04%
Trade id #85234986
Max drawdown($310)
Time1/24/14 9:30
Quant open0
Worst price91.35
Drawdown as % of equity-1.04%
($313)
Includes Typical Broker Commissions trade costs of $3.20
1/15/14 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 60 61.95 1/16 9:30 62.56 0.03%
Trade id #85183969
Max drawdown($8)
Time1/15/14 9:33
Quant open30
Worst price123.60
Drawdown as % of equity-0.03%
$36
Includes Typical Broker Commissions trade costs of $1.20
1/15/14 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 80 47.59 1/16 9:30 47.76 0.01%
Trade id #85183990
Max drawdown($3)
Time1/15/14 9:32
Quant open40
Worst price95.09
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $1.60
11/14/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 650 43.70 1/13/14 14:51 44.99 2.49%
Trade id #84076432
Max drawdown($696)
Time11/20/13 15:10
Quant open325
Worst price85.26
Drawdown as % of equity-2.49%
$821
Includes Typical Broker Commissions trade costs of $13.00
11/29/13 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 126 56.76 1/6/14 9:30 59.33 1.46%
Trade id #84341739
Max drawdown($395)
Time12/18/13 14:01
Quant open63
Worst price107.25
Drawdown as % of equity-1.46%
$321
Includes Typical Broker Commissions trade costs of $2.52
11/29/13 9:30 TNA DIREXION DAILY SMALL CAP BULL LONG 96 75.40 12/27 9:30 77.58 3.56%
Trade id #84341641
Max drawdown($961)
Time12/12/13 10:24
Quant open96
Worst price65.38
Drawdown as % of equity-3.56%
$207
Includes Typical Broker Commissions trade costs of $1.92
10/31/13 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 98 71.36 11/5 9:47 71.60 0.15%
Trade id #83810755
Max drawdown($42)
Time10/31/13 14:29
Quant open194
Worst price17.60
Drawdown as % of equity-0.15%
$21
Includes Typical Broker Commissions trade costs of $1.95
10/31/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 84 82.22 11/5 9:45 83.00 0.4%
Trade id #83810792
Max drawdown($113)
Time11/4/13 15:57
Quant open338
Worst price20.22
Drawdown as % of equity-0.40%
$147
Includes Typical Broker Commissions trade costs of $1.69
10/31/13 9:30 SDOW PROSHARES ULTRAPRO SHORT DOW30 LONG 192 36.20 11/5 9:30 36.38 0.36%
Trade id #83810740
Max drawdown($102)
Time11/4/13 9:35
Quant open192
Worst price35.67
Drawdown as % of equity-0.36%
$30
Includes Typical Broker Commissions trade costs of $3.84
10/31/13 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 98 70.02 11/4 9:37 70.00 0.22%
Trade id #83810825
Max drawdown($63)
Time10/31/13 14:21
Quant open197
Worst price17.26
Drawdown as % of equity-0.22%
($4)
Includes Typical Broker Commissions trade costs of $1.97
10/15/13 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 140 46.19 10/31 9:30 51.00 0.29%
Trade id #83508134
Max drawdown($74)
Time10/15/13 14:49
Quant open70
Worst price91.30
Drawdown as % of equity-0.29%
$671
Includes Typical Broker Commissions trade costs of $2.80
10/15/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 168 37.61 10/31 9:30 41.00 0.4%
Trade id #83508130
Max drawdown($103)
Time10/15/13 14:49
Quant open84
Worst price73.99
Drawdown as % of equity-0.40%
$567
Includes Typical Broker Commissions trade costs of $3.36
10/15/13 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 144 43.94 10/31 9:30 45.95 0.52%
Trade id #83508064
Max drawdown($136)
Time10/15/13 14:49
Quant open72
Worst price86.00
Drawdown as % of equity-0.52%
$286
Includes Typical Broker Commissions trade costs of $2.88
10/15/13 9:30 TNA DIREXION DAILY SMALL CAP BULL LONG 98 64.56 10/31 9:30 68.28 0.64%
Trade id #83508051
Max drawdown($168)
Time10/15/13 14:49
Quant open98
Worst price62.84
Drawdown as % of equity-0.64%
$364
Includes Typical Broker Commissions trade costs of $1.96
10/4/13 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 78 83.24 10/11 11:41 79.92 0.98%
Trade id #83303041
Max drawdown($259)
Time10/11/13 11:41
Quant open0
Worst price19.98
Drawdown as % of equity-0.98%
($261)
Includes Typical Broker Commissions trade costs of $1.56
10/4/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 71 91.36 10/11 10:02 90.44 0.65%
Trade id #83303138
Max drawdown($173)
Time10/4/13 12:41
Quant open285
Worst price22.23
Drawdown as % of equity-0.65%
($66)
Includes Typical Broker Commissions trade costs of $1.42
10/4/13 9:30 SDOW PROSHARES ULTRAPRO SHORT DOW30 LONG 158 41.10 10/11 10:00 39.46 0.97%
Trade id #83303121
Max drawdown($259)
Time10/11/13 10:00
Quant open0
Worst price39.46
Drawdown as % of equity-0.97%
($262)
Includes Typical Broker Commissions trade costs of $3.16
10/4/13 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 79 82.76 10/11 9:59 81.72 0.75%
Trade id #83303068
Max drawdown($198)
Time10/4/13 15:14
Quant open315
Worst price20.06
Drawdown as % of equity-0.75%
($84)
Includes Typical Broker Commissions trade costs of $1.58
9/9/13 9:30 TNA DIREXION DAILY SMALL CAP BULL LONG 114 55.79 10/1 9:30 62.51 0.02%
Trade id #82894113
Max drawdown($4)
Time9/9/13 9:33
Quant open114
Worst price55.75
Drawdown as % of equity-0.02%
$764
Includes Typical Broker Commissions trade costs of $2.28
9/9/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 182 34.78 10/1 9:30 36.27 n/a $267
Includes Typical Broker Commissions trade costs of $3.64
9/9/13 9:34 UDOW PROSHARES ULTRAPRO DOW30 LONG 152 41.70 10/1 9:30 42.85 n/a $173
Includes Typical Broker Commissions trade costs of $3.04
9/9/13 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 41.97 10/1 9:30 45.03 n/a $456
Includes Typical Broker Commissions trade costs of $3.00
7/15/13 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 132 45.51 7/30 9:31 46.49 0.3%
Trade id #81995117
Max drawdown($75)
Time7/26/13 10:56
Quant open66
Worst price89.87
Drawdown as % of equity-0.30%
$126
Includes Typical Broker Commissions trade costs of $2.64
7/15/13 9:30 TNA DIREXION DAILY SMALL CAP BULL LONG 106 56.78 7/30 9:31 57.90 0.11%
Trade id #81995075
Max drawdown($26)
Time7/16/13 13:31
Quant open106
Worst price56.53
Drawdown as % of equity-0.11%
$117
Includes Typical Broker Commissions trade costs of $2.12

Statistics

  • Strategy began
    7/14/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1982.83
  • Age
    66 months ago
  • What it trades
    Stocks
  • # Trades
    32
  • # Profitable
    22
  • % Profitable
    68.80%
  • Avg trade duration
    13.1 days
  • Max peak-to-valley drawdown
    10.19%
  • drawdown period
    Oct 09, 2013 - Oct 15, 2013
  • Annual Return (Compounded)
    3.5%
  • Avg win
    $294.73
  • Avg loss
    $144.70
  • Model Account Values (Raw)
  • Cash
    $30,188
  • Margin Used
    $0
  • Buying Power
    $30,188
  • Ratios
  • W:L ratio
    4.69:1
  • Sharpe Ratio
    0.699
  • Sortino Ratio
    1.109
  • Calmar Ratio
    1.224
  • Return Statistics
  • Ann Return (w trading costs)
    3.5%
  • Ann Return (Compnd, No Fees)
    3.5%
  • 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?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $145
  • Avg Win
    $295
  • # Winners
    22
  • # Losers
    10
  • % Winners
    68.8%
  • Frequency
  • Avg Position Time (mins)
    18835.50
  • Avg Position Time (hrs)
    313.93
  • Avg Trade Length
    13.1 days
  • Last Trade Ago
    1762
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06616
  • SD
    0.10581
  • Sharpe ratio (Glass type estimate)
    0.62527
  • Sharpe ratio (Hedges UMVUE)
    0.60549
  • df
    24.00000
  • t
    0.90250
  • p
    0.18788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98816
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76317
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97415
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66180
  • Upside Potential Ratio
    3.09807
  • Upside part of mean
    0.12334
  • Downside part of mean
    -0.05718
  • Upside SD
    0.09761
  • Downside SD
    0.03981
  • N nonnegative terms
    6.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.20915
  • Mean of criterion
    0.06616
  • SD of predictor
    0.13797
  • SD of criterion
    0.10581
  • Covariance
    0.00186
  • r
    0.12758
  • b (slope, estimate of beta)
    0.09784
  • a (intercept, estimate of alpha)
    0.04570
  • Mean Square Error
    0.01149
  • DF error
    23.00000
  • t(b)
    0.61687
  • p(b)
    0.27169
  • t(a)
    0.56178
  • p(a)
    0.28985
  • Lowerbound of 95% confidence interval for beta
    -0.23025
  • Upperbound of 95% confidence interval for beta
    0.42592
  • Lowerbound of 95% confidence interval for alpha
    -0.12257
  • Upperbound of 95% confidence interval for alpha
    0.21396
  • Treynor index (mean / b)
    0.67622
  • Jensen alpha (a)
    0.04570
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06071
  • SD
    0.10233
  • Sharpe ratio (Glass type estimate)
    0.59330
  • Sharpe ratio (Hedges UMVUE)
    0.57454
  • df
    24.00000
  • t
    0.85636
  • p
    0.20013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78086
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95541
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79306
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94213
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49256
  • Upside Potential Ratio
    2.91503
  • Upside part of mean
    0.11857
  • Downside part of mean
    -0.05786
  • Upside SD
    0.09330
  • Downside SD
    0.04068
  • N nonnegative terms
    6.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.19840
  • Mean of criterion
    0.06071
  • SD of predictor
    0.13168
  • SD of criterion
    0.10233
  • Covariance
    0.00181
  • r
    0.13437
  • b (slope, estimate of beta)
    0.10442
  • a (intercept, estimate of alpha)
    0.04000
  • Mean Square Error
    0.01073
  • DF error
    23.00000
  • t(b)
    0.65030
  • p(b)
    0.26097
  • t(a)
    0.50939
  • p(a)
    0.30766
  • Lowerbound of 95% confidence interval for beta
    -0.22774
  • Upperbound of 95% confidence interval for beta
    0.43657
  • Lowerbound of 95% confidence interval for alpha
    -0.12243
  • Upperbound of 95% confidence interval for alpha
    0.20242
  • Treynor index (mean / b)
    0.58144
  • Jensen alpha (a)
    0.04000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04260
  • Expected Shortfall on VaR
    0.05428
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01408
  • Expected Shortfall on VaR
    0.02809
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.94948
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10919
  • Mean of quarter 1
    0.98930
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04515
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.12000
  • Mean of outliers low
    0.97504
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.24000
  • Mean of outliers high
    1.04515
  • 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)
    0.46953
  • VaR(95%) (regression method)
    0.01594
  • Expected Shortfall (regression method)
    0.05036
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01145
  • Quartile 1
    0.01218
  • Median
    0.01292
  • Quartile 3
    0.03172
  • Maximum
    0.05052
  • Mean of quarter 1
    0.01145
  • Mean of quarter 2
    0.01292
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05052
  • Inter Quartile Range
    0.01954
  • 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)
    0.09733
  • Compounded annual return (geometric extrapolation)
    0.09266
  • Calmar ratio (compounded annual return / max draw down)
    1.83421
  • Compounded annual return / average of 25% largest draw downs
    1.83421
  • Compounded annual return / Expected Shortfall lognormal
    1.70704
  • 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
    0.06462
  • SD
    0.09233
  • Sharpe ratio (Glass type estimate)
    0.69989
  • Sharpe ratio (Hedges UMVUE)
    0.69893
  • df
    547.00000
  • t
    1.01221
  • p
    0.15594
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05545
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05478
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10851
  • Upside Potential Ratio
    4.94385
  • Upside part of mean
    0.28819
  • Downside part of mean
    -0.22357
  • Upside SD
    0.07160
  • Downside SD
    0.05829
  • N nonnegative terms
    66.00000
  • N negative terms
    482.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    548.00000
  • Mean of predictor
    0.20956
  • Mean of criterion
    0.06462
  • SD of predictor
    0.19871
  • SD of criterion
    0.09233
  • Covariance
    0.00085
  • r
    0.04640
  • b (slope, estimate of beta)
    0.02156
  • a (intercept, estimate of alpha)
    0.06000
  • Mean Square Error
    0.00852
  • DF error
    546.00000
  • t(b)
    1.08547
  • p(b)
    0.13910
  • t(a)
    0.93959
  • p(a)
    0.17392
  • Lowerbound of 95% confidence interval for beta
    -0.01746
  • Upperbound of 95% confidence interval for beta
    0.06058
  • Lowerbound of 95% confidence interval for alpha
    -0.06554
  • Upperbound of 95% confidence interval for alpha
    0.18574
  • Treynor index (mean / b)
    2.99704
  • Jensen alpha (a)
    0.06010
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06036
  • SD
    0.09214
  • Sharpe ratio (Glass type estimate)
    0.65512
  • Sharpe ratio (Hedges UMVUE)
    0.65422
  • df
    547.00000
  • t
    0.94746
  • p
    0.17191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01060
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00999
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02244
  • Upside Potential Ratio
    4.83826
  • Upside part of mean
    0.28563
  • Downside part of mean
    -0.22527
  • Upside SD
    0.07073
  • Downside SD
    0.05904
  • N nonnegative terms
    66.00000
  • N negative terms
    482.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    548.00000
  • Mean of predictor
    0.18948
  • Mean of criterion
    0.06036
  • SD of predictor
    0.20086
  • SD of criterion
    0.09214
  • Covariance
    0.00085
  • r
    0.04612
  • b (slope, estimate of beta)
    0.02116
  • a (intercept, estimate of alpha)
    0.05635
  • Mean Square Error
    0.00849
  • DF error
    546.00000
  • t(b)
    1.07874
  • p(b)
    0.14059
  • t(a)
    0.88317
  • p(a)
    0.18877
  • Lowerbound of 95% confidence interval for beta
    -0.01737
  • Upperbound of 95% confidence interval for beta
    0.05968
  • Lowerbound of 95% confidence interval for alpha
    -0.06899
  • Upperbound of 95% confidence interval for alpha
    0.18169
  • Treynor index (mean / b)
    2.85329
  • Jensen alpha (a)
    0.05635
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00909
  • Expected Shortfall on VaR
    0.01144
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00274
  • Expected Shortfall on VaR
    0.00603
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    548.00000
  • Minimum
    0.95890
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04148
  • Mean of quarter 1
    0.99696
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00445
  • Inter Quartile Range
    0.00000
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.09307
  • Mean of outliers low
    0.99184
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.12226
  • Mean of outliers high
    1.00910
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29828
  • VaR(95%) (moments method)
    0.00195
  • Expected Shortfall (moments method)
    0.00353
  • Extreme Value Index (regression method)
    -0.06655
  • VaR(95%) (regression method)
    0.00371
  • Expected Shortfall (regression method)
    0.00892
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00646
  • Median
    0.01443
  • Quartile 3
    0.05276
  • Maximum
    0.07538
  • Mean of quarter 1
    0.00288
  • Mean of quarter 2
    0.01120
  • Mean of quarter 3
    0.03133
  • Mean of quarter 4
    0.06525
  • Inter Quartile Range
    0.04630
  • 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)
    0.04391
  • VaR(95%) (moments method)
    0.06938
  • Expected Shortfall (moments method)
    0.07725
  • Extreme Value Index (regression method)
    3.96273
  • VaR(95%) (regression method)
    0.08847
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09694
  • Compounded annual return (geometric extrapolation)
    0.09228
  • Calmar ratio (compounded annual return / max draw down)
    1.22422
  • Compounded annual return / average of 25% largest draw downs
    1.41434
  • Compounded annual return / Expected Shortfall lognormal
    8.06444
  • 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
    0.40297
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.23859
  • 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
    0.37397
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.24137
  • 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)
    -6835130000000000.00000
  • 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)
    18330700000000000454374052593664.00000
  • 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

Welcome to ETF Bulls n Bears - a chart-based technical analysis system that profits from stock market Uptrends and Downtrends.

The system makes profits by trading 3x leveraged index ETFs - http://tinyurl.com/nct8bt4 - for the following major indexes: S&P 500, Dow 30, Small Caps, Nasdaq 100.

When trade recommendations are issued, you will receive them 2 hours or more before the next session's open. Trades should be executed at the next session's open following any trade recommendation.

In addition to creating PROFITS, it is my objective to provide you with a system that is EASY TO TRADE.

To See Most Recent Trade Recommendations and Details - Subscribe Today.

ETF Bulls & Bears
Ken Wong - System Vendor

Summary Statistics

Strategy began
2013-07-14
Suggested Minimum Capital
$25,000
# Trades
32
# Profitable
22
% Profitable
68.8%
Net Dividends
Correlation S&P500
0.130
Sharpe Ratio
0.699

Latest Activity

#PERSONNAME#
subscribed on started simulation #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.

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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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.