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For your consideration AELong Rank on Leaderboard #2 Hypothetical

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The SPY x 3 DAILY

By GSG_1B

Equity · Stocks · Started May 2023

hypothetical · Annual Return (Compounded)
22.3%
Max Drawdown
25.8%
Trades
176
Win Trades
54.5%
Profit Factor
1.20
Win Months
19.5%

About this strategy

Trades SPXL (3x long SPY ETF) and SPXS (3x short SPY ETF). Positions are traded for couple of days each time. $15k+ recommended, margin required, auto-trading highly recommended.


Leveraged ETFs are great for making outsized returns (3X). The disadvantage is the huge potential drawdowns due to 3x leverage. Think of this strategy as one that buys and holds SPXL/SPXS.
SPXL/SPXS are highly volatile! Because of this, only use risk money (money you are comfortable with losing 100% with this strategy.

1. 3x ETFs are EXTREMELY VOLATILE and risky, should be part of your total account only
2. Margin required. No martingale or margin used (if IRA, IRA margin required)
3. If starting system, *** ENTER EXISTING OPEN POSITIONS ***
4. Position size is part of the strategy, be sure to set scaling properly
5. ETFs not available on IB in Europe https://europoor.com/how-to-buy-leveraged-etfs-from-europe/
6. $10k+ account size recommended
7. Auto-trading *** HIGHLY *** recommended.

Trend-following

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20237.06.79.22.1-1.77.1-6.79.837.2
2024-3.612.7-1.9-16.32.60.00.00.00.00.00.00.0-8.6
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began5/7/2023
Suggested Minimum Capital$25,000
Age41 months
What it tradesStocks
# Trades176
# Profitable96
% Profitable54.5%
Avg trade duration1.1 days
Max peak-to-valley drawdown25.8%
drawdown periodMarch 04, 2024 - April 29, 2024
Annual Return (Compounded)22.3%
Avg win$549
Avg loss$548

Ratios

W:L ratio1.21
Sharpe Ratio0.36
Sortino Ratio0.55
Calmar Ratio1.22

CORRELATION STATISTICS

Correlation to SP5000.05
Return Percent SP500 (cumu) during strategy life85.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-6.8%

Return Statistics

Ann Return (w trading costs)22.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)9.6%

Slump

Current Slump as Pcnt Equity23.1%
Current Slump, time of slump as pcnt of strategy life0.8%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss25.5%
Chance of 20% account loss3.5%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated1.8%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)570
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$548
Avg Win$549
# Winners96
Sum Trade PL (losers)$43,801
Sum Trade PL (winners)$52,733
Num Months Winners8
# Losers80
% Winners54.5%

Dividends

Dividends Received in Model Acct221

Age

Num Months filled monthly returns table41

Frequency

Avg Position Time (mins)1604.03
Avg Position Time (hrs)26.73
Avg Trade Length1.10
Last Trade Ago865

Leverage

Daily leverage (average)2.94
Daily leverage (max)6.19

Regression

Alpha0.01
Beta0.05
Treynor Index0.35

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.07
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades17.44
MAE:PL (avg, all trades)-1.42
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.47
Avg(MAE) / Avg(PL) - Losing trades-1.37
Hold-and-Hope Ratio0.06

RATIO STATISTICS

Mean0.29
SD0.23
Sharpe ratio (Glass type estimate)1.26
Sharpe ratio (Hedges UMVUE)1.18
df12
t1.31
p0.32
Lowerbound of 95% confidence interval for Sharpe Ratio-0.71
Upperbound of 95% confidence interval for Sharpe Ratio3.18
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.76
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.12
Sortino ratio2.93
Upside Potential Ratio4.73
Upside part of mean0.46
Downside part of mean-0.18
Upside SD0.21
Downside SD0.10
N nonnegative terms8
N negative terms5
N of observations13
Mean of predictor0.23
Mean of criterion0.29
SD of predictor0.08
SD of criterion0.23
Covariance-0.00
r-0.04
b (slope, estimate of beta)-0.10
a (intercept, estimate of alpha)0.31
Mean Square Error0.06
DF error11
t(b)-0.12
p(b)0.55
t(a)1.05
p(a)0.16
Lowerbound of 95% confidence interval for beta-1.89
Upperbound of 95% confidence interval for beta1.70
Lowerbound of 95% confidence interval for alpha-0.34
Upperbound of 95% confidence interval for alpha0.95
Treynor index (mean / b)-2.98
Jensen alpha (a)0.31
Mean0.26
SD0.22
Sharpe ratio (Glass type estimate)1.18
Sharpe ratio (Hedges UMVUE)1.11
df12
t1.23
p0.33
Lowerbound of 95% confidence interval for Sharpe Ratio-0.78
Upperbound of 95% confidence interval for Sharpe Ratio3.10
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.83
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.04
Sortino ratio2.59
Upside Potential Ratio4.38
Upside part of mean0.44
Downside part of mean-0.18
Upside SD0.20
Downside SD0.10
N nonnegative terms8
N negative terms5
N of observations13
Mean of predictor0.22
Mean of criterion0.26
SD of predictor0.08
SD of criterion0.22
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.08
a (intercept, estimate of alpha)0.28
Mean Square Error0.05
DF error11
t(b)-0.10
p(b)0.54
t(a)0.99
p(a)0.17
Lowerbound of 95% confidence interval for beta-1.84
Upperbound of 95% confidence interval for beta1.67
Lowerbound of 95% confidence interval for alpha-0.34
Upperbound of 95% confidence interval for alpha0.90
Treynor index (mean / b)-3.16
Jensen alpha (a)0.28
VaR(95%)0.08
Expected Shortfall on VaR0.10
VaR(95%)0.03
Expected Shortfall on VaR0.06
Mean0.28
SD0.22
Sharpe ratio (Glass type estimate)1.26
Sharpe ratio (Hedges UMVUE)1.26
df284
t1.32
p0.09
Lowerbound of 95% confidence interval for Sharpe Ratio-0.62
Upperbound of 95% confidence interval for Sharpe Ratio3.14
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.62
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.14
Sortino ratio1.94
Upside Potential Ratio10.07
Upside part of mean1.47
Downside part of mean-1.19
Upside SD0.17
Downside SD0.15
N nonnegative terms142
N negative terms143
N of observations285
Mean of predictor0.23
Mean of criterion0.28
SD of predictor0.11
SD of criterion0.22
Covariance0.00
r0.13
b (slope, estimate of beta)0.25
a (intercept, estimate of alpha)0.22
Mean Square Error0.05
DF error283
t(b)2.14
p(b)0.02
t(a)1.05
p(a)0.15
Lowerbound of 95% confidence interval for beta0.02
Upperbound of 95% confidence interval for beta0.48
Lowerbound of 95% confidence interval for alpha-0.20
Upperbound of 95% confidence interval for alpha0.65
Treynor index (mean / b)1.14
Jensen alpha (a)0.23
Mean0.26
SD0.22
Sharpe ratio (Glass type estimate)1.15
Sharpe ratio (Hedges UMVUE)1.15
df284
t1.20
p0.11
Lowerbound of 95% confidence interval for Sharpe Ratio-0.73
Upperbound of 95% confidence interval for Sharpe Ratio3.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.73
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.03
Sortino ratio1.74
Upside Potential Ratio9.86
Upside part of mean1.46
Downside part of mean-1.20
Upside SD0.17
Downside SD0.15
N nonnegative terms142
N negative terms143
N of observations285
Mean of predictor0.22
Mean of criterion0.26
SD of predictor0.11
SD of criterion0.22
Covariance0.00
r0.12
b (slope, estimate of beta)0.24
a (intercept, estimate of alpha)0.20
Mean Square Error0.05
DF error283
t(b)2.10
p(b)0.02
t(a)0.95
p(a)0.17
Lowerbound of 95% confidence interval for beta0.02
Upperbound of 95% confidence interval for beta0.47
Lowerbound of 95% confidence interval for alpha-0.22
Upperbound of 95% confidence interval for alpha0.63
Treynor index (mean / b)1.05
Jensen alpha (a)0.20
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.05
SD0.23
Sharpe ratio (Glass type estimate)0.22
Sharpe ratio (Hedges UMVUE)0.22
df130
t0.16
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-2.55
Upperbound of 95% confidence interval for Sharpe Ratio2.99
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.55
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.99
Sortino ratio0.33
Upside Potential Ratio8.55
Upside part of mean1.34
Downside part of mean-1.29
Upside SD0.17
Downside SD0.16
N nonnegative terms53
N negative terms78
N of observations131
Mean of predictor0.30
Mean of criterion0.05
SD of predictor0.11
SD of criterion0.23
Covariance0.00
r0.13
b (slope, estimate of beta)0.27
a (intercept, estimate of alpha)-0.03
Mean Square Error0.05
DF error129
t(b)1.46
p(b)0.42
t(a)-0.09
p(a)0.51
Lowerbound of 95% confidence interval for beta-0.10
Upperbound of 95% confidence interval for beta0.64
Lowerbound of 95% confidence interval for alpha-0.69
Upperbound of 95% confidence interval for alpha0.63
Treynor index (mean / b)0.19
Jensen alpha (a)-0.03
Mean0.02
SD0.23
Sharpe ratio (Glass type estimate)0.11
Sharpe ratio (Hedges UMVUE)0.11
df130
t0.08
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-2.67
Upperbound of 95% confidence interval for Sharpe Ratio2.88
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.67
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.88
Sortino ratio0.16
Upside Potential Ratio8.34
Upside part of mean1.33
Downside part of mean-1.30
Upside SD0.17
Downside SD0.16
N nonnegative terms53
N negative terms78
N of observations131
Mean of predictor0.30
Mean of criterion0.02
SD of predictor0.11
SD of criterion0.23
Covariance0.00
r0.12
b (slope, estimate of beta)0.26
a (intercept, estimate of alpha)-0.05
Mean Square Error0.05
DF error129
t(b)1.43
p(b)0.42
t(a)-0.16
p(a)0.51
Lowerbound of 95% confidence interval for beta-0.10
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0.63
Lowerbound of 95% confidence interval for alpha-0.72
Upperbound of 95% confidence interval for alpha0.61
Treynor index (mean / b)0.09
Jensen alpha (a)-0.05
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02

ORDER STATISTICS

Number of observations13
Minimum0.93
Quartile 10.99
Median1.03
Quartile 31.04
Maximum1.14
Mean of quarter 10.96
Mean of quarter 21.01
Mean of quarter 31.03
Mean of quarter 41.12
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.15
Mean of outliers high1.13
Extreme Value Index (moments method)-14.65
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)-1.84
VaR(95%) (regression method)0.08
Expected Shortfall (regression method)0.08
Number of observations285
Minimum0.95
Quartile 10.99
Median1.00
Quartile 31.01
Maximum1.05
Mean of quarter 10.98
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.02
Inter Quartile Range0.02
Number outliers low3
Percentage of outliers low0.01
Mean of outliers low0.96
Number of outliers high7
Percentage of outliers high0.02
Mean of outliers high1.04
Extreme Value Index (moments method)0.03
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)-0.01
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.02
Number of observations131
Minimum0.95
Quartile 10.99
Median1
Quartile 31.01
Maximum1.05
Mean of quarter 10.98
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.02
Inter Quartile Range0.02
Number outliers low4
Percentage of outliers low0.03
Mean of outliers low0.96
Number of outliers high4
Percentage of outliers high0.03
Mean of outliers high1.04
Extreme Value Index (moments method)0.32
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.22
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.03

DRAW DOWN STATISTICS

Number of observations3
Minimum0.01
Quartile 10.02
Median0.04
Quartile 30.08
Maximum0.12
Mean of quarter 10.01
Mean of quarter 20.04
Mean of quarter 30
Mean of quarter 40.12
Inter Quartile Range0.06
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations11
Minimum0.01
Quartile 10.02
Median0.08
Quartile 30.09
Maximum0.23
Mean of quarter 10.01
Mean of quarter 20.05
Mean of quarter 30.09
Mean of quarter 40.15
Inter Quartile Range0.08
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.09
Mean of outliers high0.23
Extreme Value Index (moments method)-0.87
VaR(95%) (moments method)0.17
Expected Shortfall (moments method)0.19
Extreme Value Index (regression method)0.68
VaR(95%) (regression method)0.23
Expected Shortfall (regression method)0.69
Number of observations5
Minimum0.00
Quartile 10.00
Median0.02
Quartile 30.09
Maximum0.23
Mean of quarter 10.00
Mean of quarter 20.02
Mean of quarter 30.09
Mean of quarter 40.23
Inter Quartile Range0.09
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.20
Mean of outliers high0.23
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-343825696
Max Equity Drawdown (num days)56
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.34
Compounded annual return (geometric extrapolation)0.33
Calmar ratio (compounded annual return / max draw down)2.68
Compounded annual return / average of 25% largest draw downs2.68
Compounded annual return / Expected Shortfall lognormal3.24
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.34
Compounded annual return (geometric extrapolation)0.33
Calmar ratio (compounded annual return / max draw down)1.46
Compounded annual return / average of 25% largest draw downs2.24
Compounded annual return / Expected Shortfall lognormal12.20
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.05
Compounded annual return (geometric extrapolation)0.05
Calmar ratio (compounded annual return / max draw down)0.24
Compounded annual return / average of 25% largest draw downs0.24
Compounded annual return / Expected Shortfall lognormal1.85

Trading record

Placed 305 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
SPXL long270May 15, 2024May 17, 2024($270)
SPXS long4000May 14, 2024May 15, 2024($1,285)
SQQQ long3500May 9, 2024May 13, 2024($810)
SPXL long270May 2, 2024May 9, 2024$2,946
SQQQ long100May 3, 2024May 6, 2024($17)
SPXS long4000Apr 25, 2024May 1, 2024$795
SPXL long270Apr 25, 2024Apr 25, 2024$810
SPXS long4000Apr 22, 2024Apr 24, 2024($1,645)
SPXL long280Apr 22, 2024Apr 22, 2024$294
SPXL long300Apr 18, 2024Apr 19, 2024($909)
SPXS long4000Apr 15, 2024Apr 18, 2024$1,315
SPXL long270Apr 15, 2024Apr 15, 2024($1,417)
SPY long100Apr 15, 2024Apr 15, 2024($279)
SPXL long270Apr 12, 2024Apr 12, 2024($953)
SPXS long4000Apr 10, 2024Apr 11, 2024($765)
SPXL long300Apr 9, 2024Apr 10, 2024($939)
SPXS long4000Apr 9, 2024Apr 9, 2024$355
SPXS long3600Apr 4, 2024Apr 5, 2024($978)
SPXL long280Apr 2, 2024Apr 4, 2024($1,232)
SPXS long4157Apr 2, 2024Apr 2, 2024($171)
SPXS long4138Apr 1, 2024Apr 1, 2024$243
SPXL long275Mar 25, 2024Mar 28, 2024$828
SPXS long4276Mar 22, 2024Mar 22, 2024($7)
SPXL long300Mar 20, 2024Mar 21, 2024$191
SPXS long3900Mar 19, 2024Mar 19, 2024($863)
SPXS long3900Mar 15, 2024Mar 15, 2024$229
SPXL long300Mar 14, 2024Mar 15, 2024($1,050)
SPXS long4000Mar 13, 2024Mar 13, 2024$195
SPXL long300Mar 12, 2024Mar 12, 2024$573
SPXS long3900Mar 11, 2024Mar 11, 2024($161)

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.