EXLENCE
(28309886)
Subscription terms. You can subscribe to this system for free.
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  

2007    +11.3%  (2.2%)  +21.7%  +32.5%  
2008  +31.5%  +5.3%  (4%)  (0.5%)  (4.2%)  (0.4%)  (3.1%)  +8.5%  (6.6%)  +33.0%  (12.4%)  +4.7%  +51.3% 
2009  (7.6%)  +17.4%  +1.3%  (4.5%)  +37.3%  +18.1%  +18.1%  (5.9%)  +12.0%  +26.0%  (20.3%)  (0.1%)  +112.5% 
2010  +30.5%  (1.7%)  (23.1%)  +10.6%  +70.3%  +28.4%  +15.6%  (8.1%)  +4.5%        +164.9% 
2011                          0.0 
2012                          0.0 
2013                          0.0 
2014                          0.0 
2015                          0.0 
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.
Started  $100,000  
Buy Power  $1,238,730  
Cash  $1,238,730  
Equity  $0  
Cumulative $  $1,138,730  
Total System Equity  $1,238,730  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began9/23/2007

Suggested Minimum Cap$100,000

Strategy Age (days)3947.27

Age132 months ago

What it tradesFutures

# Trades959

# Profitable391

% Profitable40.80%

Avg trade duration5.3 days

Max peaktovalley drawdown31.03%

drawdown periodFeb 21, 2010  April 01, 2010

Annual Return (Compounded)25.1%

Avg win$9,181

Avg loss$4,315
 Model Account Values (Raw)

Cash$1,238,730

Margin Used$0

Buying Power$1,238,730
 Ratios

W:L ratio1.46:1

Sharpe Ratio0.614

Sortino Ratio1.025

Calmar Ratio0
 CORRELATION STATISTICS

Correlation to SP5000.08700
 Return Statistics

Ann Return (w trading costs)25.1%

Ann Return (Compnd, No Fees)26.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss100.00%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)313
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$4,315

Avg Win$9,181

# Winners391

# Losers568

% Winners40.8%
 Frequency

Avg Position Time (mins)7636.47

Avg Position Time (hrs)127.27

Avg Trade Length5.3 days

Last Trade Ago2850
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.27781

SD0.59279

Sharpe ratio (Glass type estimate)0.46865

Sharpe ratio (Hedges UMVUE)0.46469

df89.00000

t1.28346

p0.10133

Lowerbound of 95% confidence interval for Sharpe Ratio0.25161

Upperbound of 95% confidence interval for Sharpe Ratio1.18633

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.25423

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.18362
 Statistics related to Sortino ratio

Sortino ratio0.75489

Upside Potential Ratio1.50338

Upside part of mean0.55327

Downside part of mean0.27546

Upside SD0.46743

Downside SD0.36802

N nonnegative terms25.00000

N negative terms65.00000
 Statistics related to linear regression on benchmark

N of observations90.00000

Mean of predictor0.09491

Mean of criterion0.27781

SD of predictor0.22930

SD of criterion0.59279

Covariance0.04985

r0.36671

b (slope, estimate of beta)0.94802

a (intercept, estimate of alpha)0.36779

Mean Square Error0.30761

DF error88.00000

t(b)3.69760

p(b)0.99981

t(a)1.80312

p(a)0.03740

Lowerbound of 95% confidence interval for beta1.45754

Upperbound of 95% confidence interval for beta0.43850

Lowerbound of 95% confidence interval for alpha0.03757

Upperbound of 95% confidence interval for alpha0.77316

Treynor index (mean / b)0.29305

Jensen alpha (a)0.36779
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02791

SD1.00979

Sharpe ratio (Glass type estimate)0.02764

Sharpe ratio (Hedges UMVUE)0.02740

df89.00000

t0.07569

p0.53008

Lowerbound of 95% confidence interval for Sharpe Ratio0.74325

Upperbound of 95% confidence interval for Sharpe Ratio0.68813

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.74309

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.68829
 Statistics related to Sortino ratio

Sortino ratio0.02989

Upside Potential Ratio0.50617

Upside part of mean0.47266

Downside part of mean0.50057

Upside SD0.36936

Downside SD0.93380

N nonnegative terms25.00000

N negative terms65.00000
 Statistics related to linear regression on benchmark

N of observations90.00000

Mean of predictor0.06870

Mean of criterion0.02791

SD of predictor0.22819

SD of criterion1.00979

Covariance0.06998

r0.30369

b (slope, estimate of beta)1.34389

a (intercept, estimate of alpha)0.06441

Mean Square Error0.93615

DF error88.00000

t(b)2.99005

p(b)0.99819

t(a)0.18163

p(a)0.42815

Lowerbound of 95% confidence interval for beta2.23708

Upperbound of 95% confidence interval for beta0.45069

Lowerbound of 95% confidence interval for alpha0.64037

Upperbound of 95% confidence interval for alpha0.76920

Treynor index (mean / b)0.02077

Jensen alpha (a)0.06441
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.38233

Expected Shortfall on VaR0.45011
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.06482

Expected Shortfall on VaR0.14654
 ORDER STATISTICS
 Quartiles of return rates

Number of observations90.00000

Minimum0.08090

Quartile 11.00000

Median1.00000

Quartile 31.01681

Maximum1.87957

Mean of quarter 10.91670

Mean of quarter 21.00000

Mean of quarter 31.00114

Mean of quarter 41.18191

Inter Quartile Range0.01681

Number outliers low9.00000

Percentage of outliers low0.10000

Mean of outliers low0.78713

Number of outliers high19.00000

Percentage of outliers high0.21111

Mean of outliers high1.21558
 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)0.01285

VaR(95%) (regression method)0.09139

Expected Shortfall (regression method)0.20955
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.91910

Quartile 10.91910

Median0.91910

Quartile 30.91910

Maximum0.91910

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)0.00000

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 downs0.00000

Compounded annual return / Expected Shortfall lognormal0.00000

0.00000

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

Mean0.66614

SD1.08496

Sharpe ratio (Glass type estimate)0.61398

Sharpe ratio (Hedges UMVUE)0.61374

df1971.00000

t1.68443

p0.47587

Lowerbound of 95% confidence interval for Sharpe Ratio0.10075

Upperbound of 95% confidence interval for Sharpe Ratio1.32858

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.10092

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.32841
 Statistics related to Sortino ratio

Sortino ratio1.02456

Upside Potential Ratio4.06533

Upside part of mean2.64314

Downside part of mean1.97700

Upside SD0.86920

Downside SD0.65017

N nonnegative terms390.00000

N negative terms1582.00000
 Statistics related to linear regression on benchmark

N of observations1972.00000

Mean of predictor0.17746

Mean of criterion0.66614

SD of predictor0.46345

SD of criterion1.08496

Covariance0.18849

r0.37486

b (slope, estimate of beta)0.87755

a (intercept, estimate of alpha)0.82200

Mean Square Error1.01223

DF error1970.00000

t(b)17.94660

p(b)0.68743

t(a)2.24050

p(a)0.47479

Lowerbound of 95% confidence interval for beta0.97345

Upperbound of 95% confidence interval for beta0.78166

Lowerbound of 95% confidence interval for alpha0.10247

Upperbound of 95% confidence interval for alpha1.54128

Treynor index (mean / b)0.75908

Jensen alpha (a)0.82187
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02791

SD1.33611

Sharpe ratio (Glass type estimate)0.02089

Sharpe ratio (Hedges UMVUE)0.02088

df1971.00000

t0.05730

p0.50082

Lowerbound of 95% confidence interval for Sharpe Ratio0.73529

Upperbound of 95% confidence interval for Sharpe Ratio0.69352

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.73528

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.69353
 Statistics related to Sortino ratio

Sortino ratio0.02459

Upside Potential Ratio2.07811

Upside part of mean2.35825

Downside part of mean2.38616

Upside SD0.70463

Downside SD1.13481

N nonnegative terms390.00000

N negative terms1582.00000
 Statistics related to linear regression on benchmark

N of observations1972.00000

Mean of predictor0.07047

Mean of criterion0.02791

SD of predictor0.46323

SD of criterion1.33611

Covariance0.21034

r0.33985

b (slope, estimate of beta)0.98023

a (intercept, estimate of alpha)0.04117

Mean Square Error1.57981

DF error1970.00000

t(b)16.03860

p(b)0.66992

t(a)0.08985

p(a)0.49899

Lowerbound of 95% confidence interval for beta1.10009

Upperbound of 95% confidence interval for beta0.86037

Lowerbound of 95% confidence interval for alpha0.85737

Upperbound of 95% confidence interval for alpha0.93970

Treynor index (mean / b)0.02847

Jensen alpha (a)0.04117
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.12705

Expected Shortfall on VaR0.15626
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02279

Expected Shortfall on VaR0.05152
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1972.00000

Minimum0.08073

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.74211

Mean of quarter 10.97016

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.04044

Inter Quartile Range0.00000

Number outliers low354.00000

Percentage of outliers low0.17951

Mean of outliers low0.95844

Number of outliers high399.00000

Percentage of outliers high0.20233

Mean of outliers high1.04996
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.71045

VaR(95%) (moments method)0.00544

Expected Shortfall (moments method)0.02524

Extreme Value Index (regression method)0.49407

VaR(95%) (regression method)0.01903

Expected Shortfall (regression method)0.05842
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.16495

Quartile 10.35371

Median0.54246

Quartile 30.73121

Maximum0.91997

Mean of quarter 10.16495

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.91997

Inter Quartile Range0.37750

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)0.00000

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 downs0.00000

Compounded annual return / Expected Shortfall lognormal0.00000

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

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)0.00000

Sharpe ratio (Hedges UMVUE)0.00000

df0.00000

t0.00000

p0.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.31379

Mean of criterion0.02791

SD of predictor0.17532

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.00000

Mean Square Error0.00000

DF error0.00000

t(b)0.00000

p(b)0.00000

t(a)0.00000

p(a)0.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.00000

Upperbound of 95% confidence interval for alpha0.00000

Treynor index (mean / b)0.00000

Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)9748420000000000.00000

Sharpe ratio (Hedges UMVUE)9692070000000000.00000

df130.00000

t6893170000000000.00000

p1.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation10870200000000000.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8513980000000000.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.29822

Mean of criterion0.02791

SD of predictor0.17632

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.02791

Mean Square Error0.00000

DF error129.00000

t(b)0.00000

p(b)0.50000

t(a)6829140000000000.00000

p(a)1.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.02791

Upperbound of 95% confidence interval for alpha0.02791

Treynor index (mean / b)36767399999999999473644644335616.00000

Jensen alpha (a)0.02791
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00011
 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 observations131.00000

Minimum1.00000

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00000

Mean of quarter 11.00000

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00000

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 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)0.00000

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 downs0.00000

Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
Important Information About This System:
 The EXLENCE system can have multimonth drawdown (or sideways) periods which may begin or end at any time.
 The EXLENCE system can have trades with significant open profits that subsequently lose back all of the open profits and possibly turn into losing trades.
 The EXLENCE system does not scale well for smaller accounts due to the contract sizes and the number of contracts traded.
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.