SuperSystemXL
(117987070)
Subscription terms. Subscriptions to this system cost $199.00 per month.
Nonhedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stockpickers."Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Cumulative Rate of Return is calculated
= (Ending_equity  Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2018  +4.5%  +5.1%  +8.4%  (4.3%)  +14.0% 
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.
Started  $250,000  
Buy Power  $56,911  
Cash  $59,158  
Equity  ($2,246)  
Cumulative $  $36,358  
Includes dividends and cashsettled expirations:  $1,526  Itemized 
Total System Equity  $286,358  
Margined  $0  
Open P/L  ($2,246) 
Trading Record
Statistics

Strategy began5/17/2018

Suggested Minimum Cap$35,000

Strategy Age (days)95.28

Age95 days ago

What it tradesStocks

# Trades56

# Profitable32

% Profitable57.10%

Avg trade duration11.9 days

Max peaktovalley drawdown5.91%

drawdown periodAug 01, 2018  Aug 15, 2018

Cumul. Return14.0%

Avg win$2,076

Avg loss$1,257
 Model Account Values (Raw)

Cash$59,158

Margin Used$0

Buying Power$56,911
 Ratios

W:L ratio2.30:1

Sharpe Ratio4.033

Sortino Ratio7.587

Calmar Ratio14.218
 CORRELATION STATISTICS

Correlation to SP5000.45500
 Return Statistics

Ann Return (w trading costs)62.4%

Ann Return (Compnd, No Fees)67.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)764

Popularity (Last 6 weeks)918

C2 Score68.0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$1,318

Avg Win$2,077

# Winners32

# Losers24

% Winners57.1%
 Frequency

Avg Position Time (mins)17088.20

Avg Position Time (hrs)284.80

Avg Trade Length11.9 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.57518

SD0.22514

Sharpe ratio (Glass type estimate)2.55479

Sharpe ratio (Hedges UMVUE)1.44138

df2.00000

t1.27739

p0.16485

Lowerbound of 95% confidence interval for Sharpe Ratio2.19848

Upperbound of 95% confidence interval for Sharpe Ratio6.91284

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.72528

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.60804
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.57518

Downside part of mean0.00000

Upside SD0.24771

Downside SD0.00000

N nonnegative terms3.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.18826

Mean of criterion0.57518

SD of predictor0.01313

SD of criterion0.22514

Covariance0.00288

r0.97475

b (slope, estimate of beta)16.71430

a (intercept, estimate of alpha)2.57140

Mean Square Error0.00506

DF error1.00000

t(b)4.36504

p(b)0.07169

t(a)3.49968

p(a)0.91141

Lowerbound of 95% confidence interval for beta31.93940

Upperbound of 95% confidence interval for beta65.36800

Lowerbound of 95% confidence interval for alpha11.90730

Upperbound of 95% confidence interval for alpha6.76451

Treynor index (mean / b)0.03441

Jensen alpha (a)2.57140
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.54674

SD0.21166

Sharpe ratio (Glass type estimate)2.58308

Sharpe ratio (Hedges UMVUE)1.45735

df2.00000

t1.29154

p0.16282

Lowerbound of 95% confidence interval for Sharpe Ratio2.18382

Upperbound of 95% confidence interval for Sharpe Ratio6.95366

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.71464

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.62933
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.54674

Downside part of mean0.00000

Upside SD0.23405

Downside SD0.00000

N nonnegative terms3.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.18674

Mean of criterion0.54674

SD of predictor0.01292

SD of criterion0.21166

Covariance0.00267

r0.97630

b (slope, estimate of beta)15.99290

a (intercept, estimate of alpha)2.43977

Mean Square Error0.00420

DF error1.00000

t(b)4.51110

p(b)0.06944

t(a)3.61664

p(a)0.91413

Lowerbound of 95% confidence interval for beta29.05360

Upperbound of 95% confidence interval for beta61.03930

Lowerbound of 95% confidence interval for alpha11.01130

Upperbound of 95% confidence interval for alpha6.13178

Treynor index (mean / b)0.03419

Jensen alpha (a)2.43977
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05346

Expected Shortfall on VaR0.07709
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations3.00000

Minimum1.00098

Quartile 11.01084

Median1.02071

Quartile 31.07141

Maximum1.12211

Mean of quarter 11.00098

Mean of quarter 21.02071

Mean of quarter 30.00000

Mean of quarter 41.12211

Inter Quartile Range0.06056

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 for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

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

Number of observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.58587

Compounded annual return (geometric extrapolation)0.72761

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal9.43905

0.00000

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

Mean0.53208

SD0.13046

Sharpe ratio (Glass type estimate)4.07835

Sharpe ratio (Hedges UMVUE)4.03253

df67.00000

t2.07773

p0.02078

Lowerbound of 95% confidence interval for Sharpe Ratio0.15527

Upperbound of 95% confidence interval for Sharpe Ratio7.97215

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.12522

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.93984
 Statistics related to Sortino ratio

Sortino ratio7.58742

Upside Potential Ratio15.62600

Upside part of mean1.09580

Downside part of mean0.56372

Upside SD0.11373

Downside SD0.07013

N nonnegative terms41.00000

N negative terms27.00000
 Statistics related to linear regression on benchmark

N of observations68.00000

Mean of predictor0.19312

Mean of criterion0.53208

SD of predictor0.08819

SD of criterion0.13046

Covariance0.00537

r0.46694

b (slope, estimate of beta)0.69081

a (intercept, estimate of alpha)0.39900

Mean Square Error0.01351

DF error66.00000

t(b)4.28984

p(b)0.00003

t(a)1.73130

p(a)0.04404

Lowerbound of 95% confidence interval for beta0.36929

Upperbound of 95% confidence interval for beta1.01232

Lowerbound of 95% confidence interval for alpha0.06108

Upperbound of 95% confidence interval for alpha0.85842

Treynor index (mean / b)0.77023

Jensen alpha (a)0.39867
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.52320

SD0.13004

Sharpe ratio (Glass type estimate)4.02323

Sharpe ratio (Hedges UMVUE)3.97802

df67.00000

t2.04964

p0.02216

Lowerbound of 95% confidence interval for Sharpe Ratio0.10191

Upperbound of 95% confidence interval for Sharpe Ratio7.91551

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.07232

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.88373
 Statistics related to Sortino ratio

Sortino ratio7.41912

Upside Potential Ratio15.44790

Upside part of mean1.08940

Downside part of mean0.56620

Upside SD0.11285

Downside SD0.07052

N nonnegative terms41.00000

N negative terms27.00000
 Statistics related to linear regression on benchmark

N of observations68.00000

Mean of predictor0.18922

Mean of criterion0.52320

SD of predictor0.08817

SD of criterion0.13004

Covariance0.00536

r0.46721

b (slope, estimate of beta)0.68908

a (intercept, estimate of alpha)0.39281

Mean Square Error0.01342

DF error66.00000

t(b)4.29305

p(b)0.00003

t(a)1.71226

p(a)0.04577

Lowerbound of 95% confidence interval for beta0.36861

Upperbound of 95% confidence interval for beta1.00955

Lowerbound of 95% confidence interval for alpha0.06522

Upperbound of 95% confidence interval for alpha0.85085

Treynor index (mean / b)0.75927

Jensen alpha (a)0.39281
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01116

Expected Shortfall on VaR0.01447
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00428

Expected Shortfall on VaR0.00860
 ORDER STATISTICS
 Quartiles of return rates

Number of observations68.00000

Minimum0.98178

Quartile 10.99650

Median1.00214

Quartile 31.00672

Maximum1.02366

Mean of quarter 10.99226

Mean of quarter 20.99946

Mean of quarter 31.00409

Mean of quarter 41.01231

Inter Quartile Range0.01023

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.01471

Mean of outliers high1.02366
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.38787

VaR(95%) (moments method)0.00772

Expected Shortfall (moments method)0.00914

Extreme Value Index (regression method)0.05079

VaR(95%) (regression method)0.00875

Expected Shortfall (regression method)0.01172
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00002

Quartile 10.00127

Median0.02326

Quartile 30.04571

Maximum0.04835

Mean of quarter 10.00002

Mean of quarter 20.00168

Mean of quarter 30.04483

Mean of quarter 40.04835

Inter Quartile Range0.04444

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.56039

Compounded annual return (geometric extrapolation)0.68742

Calmar ratio (compounded annual return / max draw down)14.21800

Compounded annual return / average of 25% largest draw downs14.21800

Compounded annual return / Expected Shortfall lognormal47.52220
Strategy Description
If you have any questions please send me a message on C2 and I'll be happy to answer.
Summary Statistics
Latest Activity
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Strategy is now visible
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Finally, please note that you can restore public visibility at any time.
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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.