SOXL8
(100410338)
Subscription terms. Subscriptions to this system cost $240.00 per month.
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  

2016  +31.5%  +28.4%  (14.5%)  +29.8%  (7.1%)  +35.5%  +14.8%  +12.0%  (7.6%)  +25.6%  +2.6%  +260.7%  
2017  +12.4%  +7.5%  +5.8%  (6.1%)  (1.1%)  (0.5%)  +1.5%  +2.1%  +0.3%  (0.5%)  (0.4%)  +2.2%  +24.4% 
2018  (0.7%)  (1.6%)  +3.6%  (3.4%)  +0.7%  +1.0%  (0.7%)  (1.8%)  (0.4%)  (7.7%)  (10.9%) 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $250,000  
Buy Power  $1,831,162  
Cash  $713,932  
Equity  $1,117,230  
Cumulative $  $773,908  
Includes dividends and cashsettled expirations:  $59,983  Itemized 
Total System Equity  $1,023,908  
Margined  $0  
Open P/L  $1,117,230 
Trading Record
Statistics

Strategy began2/8/2016

Suggested Minimum Cap$35,000

Strategy Age (days)986.44

Age33 months ago

What it tradesStocks

# Trades369

# Profitable173

% Profitable46.90%

Avg trade duration25.2 days

Max peaktovalley drawdown27.52%

drawdown periodJune 23, 2016  June 27, 2016

Annual Return (Compounded)66.7%

Avg win$1,200

Avg loss$3,110
 Model Account Values (Raw)

Cash$713,932

Margin Used$0

Buying Power$1,831,162
 Ratios

W:L ratio0.54:1

Sharpe Ratio1.866

Sortino Ratio2.889

Calmar Ratio3.125
 CORRELATION STATISTICS

Correlation to SP5000.32300
 Return Statistics

Ann Return (w trading costs)66.7%

Ann Return (Compnd, No Fees)68.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss41.00%

Chance of 20% account loss10.50%

Chance of 30% account loss3.50%

Chance of 40% account loss1.50%

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)822

C2 Score72.9
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days8
 Win / Loss

Avg Loss$3,111

Avg Win$7,651

# Winners173

# Losers196

% Winners46.9%
 Frequency

Avg Position Time (mins)36301.90

Avg Position Time (hrs)605.03

Avg Trade Length25.2 days

Last Trade Ago2
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.62477

SD0.41893

Sharpe ratio (Glass type estimate)1.49135

Sharpe ratio (Hedges UMVUE)1.45370

df30.00000

t2.39701

p0.01148

Lowerbound of 95% confidence interval for Sharpe Ratio0.20401

Upperbound of 95% confidence interval for Sharpe Ratio2.75607

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.18000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.72740
 Statistics related to Sortino ratio

Sortino ratio6.18400

Upside Potential Ratio7.36113

Upside part of mean0.74369

Downside part of mean0.11893

Upside SD0.43836

Downside SD0.10103

N nonnegative terms18.00000

N negative terms13.00000
 Statistics related to linear regression on benchmark

N of observations31.00000

Mean of predictor0.15239

Mean of criterion0.62477

SD of predictor0.08994

SD of criterion0.41893

Covariance0.01247

r0.33103

b (slope, estimate of beta)1.54190

a (intercept, estimate of alpha)0.38980

Mean Square Error0.16166

DF error29.00000

t(b)1.88914

p(b)0.03445

t(a)1.39528

p(a)0.08676

Lowerbound of 95% confidence interval for beta0.12740

Upperbound of 95% confidence interval for beta3.21119

Lowerbound of 95% confidence interval for alpha0.18158

Upperbound of 95% confidence interval for alpha0.96117

Treynor index (mean / b)0.40520

Jensen alpha (a)0.38980
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.53825

SD0.37020

Sharpe ratio (Glass type estimate)1.45393

Sharpe ratio (Hedges UMVUE)1.41723

df30.00000

t2.33687

p0.01316

Lowerbound of 95% confidence interval for Sharpe Ratio0.16961

Upperbound of 95% confidence interval for Sharpe Ratio2.71614

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.14616

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.68829
 Statistics related to Sortino ratio

Sortino ratio4.99857

Upside Potential Ratio6.15194

Upside part of mean0.66244

Downside part of mean0.12419

Upside SD0.38102

Downside SD0.10768

N nonnegative terms18.00000

N negative terms13.00000
 Statistics related to linear regression on benchmark

N of observations31.00000

Mean of predictor0.14725

Mean of criterion0.53825

SD of predictor0.08922

SD of criterion0.37020

Covariance0.01035

r0.31325

b (slope, estimate of beta)1.29980

a (intercept, estimate of alpha)0.34685

Mean Square Error0.12786

DF error29.00000

t(b)1.77628

p(b)0.04309

t(a)1.40316

p(a)0.08559

Lowerbound of 95% confidence interval for beta0.19680

Upperbound of 95% confidence interval for beta2.79640

Lowerbound of 95% confidence interval for alpha0.15871

Upperbound of 95% confidence interval for alpha0.85242

Treynor index (mean / b)0.41410

Jensen alpha (a)0.34685
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.12272

Expected Shortfall on VaR0.16038
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01960

Expected Shortfall on VaR0.04458
 ORDER STATISTICS
 Quartiles of return rates

Number of observations31.00000

Minimum0.85860

Quartile 10.99519

Median1.00718

Quartile 31.05394

Maximum1.42428

Mean of quarter 10.96601

Mean of quarter 21.00142

Mean of quarter 31.02413

Mean of quarter 41.22223

Inter Quartile Range0.05875

Number outliers low1.00000

Percentage of outliers low0.03226

Mean of outliers low0.85860

Number of outliers high5.00000

Percentage of outliers high0.16129

Mean of outliers high1.29474
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.12942

VaR(95%) (moments method)0.03222

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.87833

VaR(95%) (regression method)0.03689

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.06844

Quartile 10.08668

Median0.10492

Quartile 30.12316

Maximum0.14140

Mean of quarter 10.06844

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.14140

Inter Quartile Range0.03648

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)1.28400

Compounded annual return (geometric extrapolation)0.76148

Calmar ratio (compounded annual return / max draw down)5.38516

Compounded annual return / average of 25% largest draw downs5.38516

Compounded annual return / Expected Shortfall lognormal4.74787

0.00000

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

Mean0.54461

SD0.29160

Sharpe ratio (Glass type estimate)1.86765

Sharpe ratio (Hedges UMVUE)1.86563

df693.00000

t3.03966

p0.00123

Lowerbound of 95% confidence interval for Sharpe Ratio0.65875

Upperbound of 95% confidence interval for Sharpe Ratio3.07528

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.65738

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.07388
 Statistics related to Sortino ratio

Sortino ratio2.88923

Upside Potential Ratio8.29476

Upside part of mean1.56352

Downside part of mean1.01892

Upside SD0.22474

Downside SD0.18849

N nonnegative terms357.00000

N negative terms337.00000
 Statistics related to linear regression on benchmark

N of observations694.00000

Mean of predictor0.12985

Mean of criterion0.54461

SD of predictor0.11234

SD of criterion0.29160

Covariance0.01036

r0.31634

b (slope, estimate of beta)0.82112

a (intercept, estimate of alpha)0.43800

Mean Square Error0.07663

DF error692.00000

t(b)8.77205

p(b)0.00000

t(a)2.56850

p(a)0.00521

Lowerbound of 95% confidence interval for beta0.63733

Upperbound of 95% confidence interval for beta1.00490

Lowerbound of 95% confidence interval for alpha0.10318

Upperbound of 95% confidence interval for alpha0.77279

Treynor index (mean / b)0.66325

Jensen alpha (a)0.43799
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.50129

SD0.29327

Sharpe ratio (Glass type estimate)1.70929

Sharpe ratio (Hedges UMVUE)1.70744

df693.00000

t2.78192

p0.00278

Lowerbound of 95% confidence interval for Sharpe Ratio0.50108

Upperbound of 95% confidence interval for Sharpe Ratio2.91631

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.49983

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.91505
 Statistics related to Sortino ratio

Sortino ratio2.55120

Upside Potential Ratio7.83171

Upside part of mean1.53887

Downside part of mean1.03758

Upside SD0.21963

Downside SD0.19649

N nonnegative terms357.00000

N negative terms337.00000
 Statistics related to linear regression on benchmark

N of observations694.00000

Mean of predictor0.12348

Mean of criterion0.50129

SD of predictor0.11265

SD of criterion0.29327

Covariance0.01042

r0.31530

b (slope, estimate of beta)0.82085

a (intercept, estimate of alpha)0.39993

Mean Square Error0.07757

DF error692.00000

t(b)8.74019

p(b)0.00000

t(a)2.33170

p(a)0.01000

Lowerbound of 95% confidence interval for beta0.63645

Upperbound of 95% confidence interval for beta1.00524

Lowerbound of 95% confidence interval for alpha0.06317

Upperbound of 95% confidence interval for alpha0.73669

Treynor index (mean / b)0.61070

Jensen alpha (a)0.39993
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02750

Expected Shortfall on VaR0.03482
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00852

Expected Shortfall on VaR0.01903
 ORDER STATISTICS
 Quartiles of return rates

Number of observations694.00000

Minimum0.84598

Quartile 10.99738

Median1.00022

Quartile 31.00561

Maximum1.08673

Mean of quarter 10.98557

Mean of quarter 20.99913

Mean of quarter 31.00206

Mean of quarter 41.02196

Inter Quartile Range0.00823

Number outliers low47.00000

Percentage of outliers low0.06772

Mean of outliers low0.96567

Number of outliers high73.00000

Percentage of outliers high0.10519

Mean of outliers high1.03760
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.60785

VaR(95%) (moments method)0.01188

Expected Shortfall (moments method)0.03489

Extreme Value Index (regression method)0.34516

VaR(95%) (regression method)0.01165

Expected Shortfall (regression method)0.02281
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations29.00000

Minimum0.00097

Quartile 10.01217

Median0.03513

Quartile 30.09059

Maximum0.22319

Mean of quarter 10.00748

Mean of quarter 20.02126

Mean of quarter 30.05743

Mean of quarter 40.14903

Inter Quartile Range0.07842

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.03448

Mean of outliers high0.22319
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.30639

VaR(95%) (moments method)0.15795

Expected Shortfall (moments method)0.18343

Extreme Value Index (regression method)0.25765

VaR(95%) (regression method)0.16646

Expected Shortfall (regression method)0.19528
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.15611

Compounded annual return (geometric extrapolation)0.69757

Calmar ratio (compounded annual return / max draw down)3.12542

Compounded annual return / average of 25% largest draw downs4.68061

Compounded annual return / Expected Shortfall lognormal20.03540

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

Mean0.25544

SD0.12246

Sharpe ratio (Glass type estimate)2.08589

Sharpe ratio (Hedges UMVUE)2.07383

df130.00000

t1.47495

p0.56415

Lowerbound of 95% confidence interval for Sharpe Ratio4.86527

Upperbound of 95% confidence interval for Sharpe Ratio0.70137

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.85708

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.70941
 Statistics related to Sortino ratio

Sortino ratio2.76371

Upside Potential Ratio6.06826

Upside part of mean0.56087

Downside part of mean0.81631

Upside SD0.08117

Downside SD0.09243

N nonnegative terms59.00000

N negative terms72.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.04972

Mean of criterion0.25544

SD of predictor0.10785

SD of criterion0.12246

Covariance0.00069

r0.05253

b (slope, estimate of beta)0.05965

a (intercept, estimate of alpha)0.25841

Mean Square Error0.01507

DF error129.00000

t(b)0.59744

p(b)0.46657

t(a)1.48777

p(a)0.58245

Lowerbound of 95% confidence interval for beta0.13788

Upperbound of 95% confidence interval for beta0.25717

Lowerbound of 95% confidence interval for alpha0.60205

Upperbound of 95% confidence interval for alpha0.08524

Treynor index (mean / b)4.28259

Jensen alpha (a)0.25841
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.26299

SD0.12249

Sharpe ratio (Glass type estimate)2.14706

Sharpe ratio (Hedges UMVUE)2.13465

df130.00000

t1.51820

p0.56600

Lowerbound of 95% confidence interval for Sharpe Ratio4.92713

Upperbound of 95% confidence interval for Sharpe Ratio0.64101

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.91857

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.64927
 Statistics related to Sortino ratio

Sortino ratio2.82290

Upside Potential Ratio5.98482

Upside part of mean0.55756

Downside part of mean0.82054

Upside SD0.08046

Downside SD0.09316

N nonnegative terms59.00000

N negative terms72.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.04392

Mean of criterion0.26299

SD of predictor0.10816

SD of criterion0.12249

Covariance0.00070

r0.05291

b (slope, estimate of beta)0.05991

a (intercept, estimate of alpha)0.26562

Mean Square Error0.01508

DF error129.00000

t(b)0.60175

p(b)0.46633

t(a)1.52914

p(a)0.58469

Lowerbound of 95% confidence interval for beta0.13708

Upperbound of 95% confidence interval for beta0.25690

Lowerbound of 95% confidence interval for alpha0.60929

Upperbound of 95% confidence interval for alpha0.07806

Treynor index (mean / b)4.38954

Jensen alpha (a)0.26562
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01336

Expected Shortfall on VaR0.01647
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00766

Expected Shortfall on VaR0.01388
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96899

Quartile 10.99537

Median0.99928

Quartile 31.00247

Maximum1.02730

Mean of quarter 10.99051

Mean of quarter 20.99742

Mean of quarter 31.00080

Mean of quarter 41.00785

Inter Quartile Range0.00709

Number outliers low3.00000

Percentage of outliers low0.02290

Mean of outliers low0.97855

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.02112
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.22756

VaR(95%) (moments method)0.01008

Expected Shortfall (moments method)0.01537

Extreme Value Index (regression method)0.10671

VaR(95%) (regression method)0.00927

Expected Shortfall (regression method)0.01277
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.05911

Quartile 10.07228

Median0.08545

Quartile 30.09862

Maximum0.11180

Mean of quarter 10.05911

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.11180

Inter Quartile Range0.02635

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)0.22179

Compounded annual return (geometric extrapolation)0.20949

Calmar ratio (compounded annual return / max draw down)1.87389

Compounded annual return / average of 25% largest draw downs1.87389

Compounded annual return / Expected Shortfall lognormal12.71830
Strategy Description
Summary Statistics
Latest Activity
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.