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TQQQ Trader
(117734561)

Created by: NEORITHMIC-LLC NEORITHMIC-LLC
Started: 05/2018
Stocks
Last trade: 12 days ago
Trading style: Equity Momentum Sector: Technology

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
40.9%
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.

(23.6%)
Max Drawdown
69
Num Trades
37.7%
Win Trades
2.0 : 1
Profit Factor
56.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +4.6%+7.3%+5.8%+12.6%(10.2%)(12.2%)  -  (1.3%)+4.2%
2019(0.6%)+0.8%+7.8%+14.5%(4.4%)+25.6%+5.8%(12.3%)(0.5%)(0.5%)+3.3%+8.6%+53.2%
2020(3.8%)+15.8%(4.3%)(8.4%)+0.6%+0.3%(0.7%)+21.3%+14.3%+9.1%            +47.9%

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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 117 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/15/20 15:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 355 147.67 10/16 15:59 144.68 2.31%
Trade id #131723038
Max drawdown($1,123)
Time10/16/20 15:59
Quant open355
Worst price144.50
Drawdown as % of equity-2.31%
($1,067)
Includes Typical Broker Commissions trade costs of $7.10
10/7/20 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 365 131.46 10/14 12:12 149.63 1.82%
Trade id #131561847
Max drawdown($757)
Time10/7/20 10:40
Quant open365
Worst price129.38
Drawdown as % of equity-1.82%
$6,627
Includes Typical Broker Commissions trade costs of $7.30
10/5/20 10:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 350 131.89 10/6 11:20 130.97 1.18%
Trade id #131517375
Max drawdown($500)
Time10/5/20 14:03
Quant open350
Worst price130.46
Drawdown as % of equity-1.18%
($328)
Includes Typical Broker Commissions trade costs of $7.00
9/24/20 9:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 361 111.73 10/2 9:30 127.69 0.37%
Trade id #131340119
Max drawdown($135)
Time9/24/20 10:38
Quant open361
Worst price111.35
Drawdown as % of equity-0.37%
$5,756
Includes Typical Broker Commissions trade costs of $7.22
9/22/20 14:04 TQQQ PROSHARES ULTRAPRO QQQ LONG 331 123.09 9/23 9:53 121.80 1.25%
Trade id #131299501
Max drawdown($465)
Time9/23/20 9:53
Quant open331
Worst price121.68
Drawdown as % of equity-1.25%
($432)
Includes Typical Broker Commissions trade costs of $6.62
9/15/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 312 133.11 9/16 10:45 130.75 2.17%
Trade id #131178506
Max drawdown($816)
Time9/16/20 10:45
Quant open312
Worst price130.49
Drawdown as % of equity-2.17%
($741)
Includes Typical Broker Commissions trade costs of $6.24
9/14/20 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 327 127.76 9/14 15:26 127.02 2.3%
Trade id #131158508
Max drawdown($876)
Time9/14/20 13:32
Quant open327
Worst price125.08
Drawdown as % of equity-2.30%
($249)
Includes Typical Broker Commissions trade costs of $6.54
9/10/20 10:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 311 138.21 9/10 10:46 134.42 3.24%
Trade id #131108087
Max drawdown($1,262)
Time9/10/20 10:46
Quant open311
Worst price134.15
Drawdown as % of equity-3.24%
($1,185)
Includes Typical Broker Commissions trade costs of $6.22
8/28/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 258 157.24 9/3 9:30 166.13 1.47%
Trade id #130852174
Max drawdown($539)
Time8/28/20 13:33
Quant open258
Worst price155.15
Drawdown as % of equity-1.47%
$2,289
Includes Typical Broker Commissions trade costs of $5.16
8/21/20 9:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 267 138.74 8/27 12:53 151.95 0.76%
Trade id #130727827
Max drawdown($251)
Time8/21/20 9:40
Quant open267
Worst price137.79
Drawdown as % of equity-0.76%
$3,524
Includes Typical Broker Commissions trade costs of $5.34
8/12/20 12:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 282 126.87 8/20 9:30 131.58 1.23%
Trade id #130584889
Max drawdown($410)
Time8/14/20 0:00
Quant open282
Worst price125.41
Drawdown as % of equity-1.23%
$1,323
Includes Typical Broker Commissions trade costs of $5.64
8/3/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 171 122.26 8/7 12:55 127.34 n/a $867
Includes Typical Broker Commissions trade costs of $3.42
7/31/20 9:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 117.01 7/31 10:17 114.23 2.75%
Trade id #130387421
Max drawdown($899)
Time7/31/20 10:17
Quant open300
Worst price114.01
Drawdown as % of equity-2.75%
($840)
Includes Typical Broker Commissions trade costs of $6.00
7/29/20 14:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 328 112.00 7/30 9:30 108.82 3.42%
Trade id #130345143
Max drawdown($1,157)
Time7/30/20 0:00
Quant open328
Worst price108.47
Drawdown as % of equity-3.42%
($1,050)
Includes Typical Broker Commissions trade costs of $6.56
7/24/20 11:24 TQQQ PROSHARES ULTRAPRO QQQ LONG 345 107.60 7/24 11:55 106.49 1.28%
Trade id #130262721
Max drawdown($441)
Time7/24/20 11:55
Quant open345
Worst price106.32
Drawdown as % of equity-1.28%
($390)
Includes Typical Broker Commissions trade costs of $6.90
7/22/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 323 118.18 7/22 11:14 115.75 2.28%
Trade id #130213416
Max drawdown($794)
Time7/22/20 11:14
Quant open323
Worst price115.72
Drawdown as % of equity-2.28%
($791)
Includes Typical Broker Commissions trade costs of $6.46
7/20/20 10:07 TQQQ PROSHARES ULTRAPRO QQQ LONG 323 114.70 7/21 15:20 117.71 0.32%
Trade id #130166340
Max drawdown($109)
Time7/20/20 10:10
Quant open323
Worst price114.36
Drawdown as % of equity-0.32%
$966
Includes Typical Broker Commissions trade costs of $6.46
7/14/20 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 340 109.67 7/14 9:48 108.58 1.26%
Trade id #130069115
Max drawdown($436)
Time7/14/20 9:48
Quant open340
Worst price108.39
Drawdown as % of equity-1.26%
($378)
Includes Typical Broker Commissions trade costs of $6.80
7/13/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 315 122.13 7/13 14:09 119.65 2.42%
Trade id #130045042
Max drawdown($869)
Time7/13/20 14:09
Quant open315
Worst price119.37
Drawdown as % of equity-2.42%
($786)
Includes Typical Broker Commissions trade costs of $6.30
6/30/20 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 218 94.14 7/10 10:03 112.22 0.38%
Trade id #129819836
Max drawdown($119)
Time6/30/20 9:50
Quant open218
Worst price93.59
Drawdown as % of equity-0.38%
$3,938
Includes Typical Broker Commissions trade costs of $4.36
6/22/20 10:03 TQQQ PROSHARES ULTRAPRO QQQ LONG 213 95.30 6/24 9:58 96.79 0.52%
Trade id #129686110
Max drawdown($161)
Time6/22/20 11:00
Quant open213
Worst price94.54
Drawdown as % of equity-0.52%
$313
Includes Typical Broker Commissions trade costs of $4.26
6/19/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 219 96.92 6/19 12:05 94.97 1.4%
Trade id #129658353
Max drawdown($440)
Time6/19/20 12:05
Quant open219
Worst price94.91
Drawdown as % of equity-1.40%
($431)
Includes Typical Broker Commissions trade costs of $4.38
6/17/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 387 94.07 6/18 10:33 92.10 2.42%
Trade id #129601879
Max drawdown($785)
Time6/18/20 10:33
Quant open387
Worst price92.04
Drawdown as % of equity-2.42%
($770)
Includes Typical Broker Commissions trade costs of $7.74
6/16/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 93.43 6/16 10:52 91.52 2.58%
Trade id #129577402
Max drawdown($844)
Time6/16/20 10:52
Quant open400
Worst price91.32
Drawdown as % of equity-2.58%
($772)
Includes Typical Broker Commissions trade costs of $8.00
6/5/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 240 86.08 6/11 9:30 92.50 0.44%
Trade id #129377062
Max drawdown($140)
Time6/5/20 9:34
Quant open240
Worst price85.50
Drawdown as % of equity-0.44%
$1,535
Includes Typical Broker Commissions trade costs of $4.80
6/3/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 244 86.29 6/4 12:56 84.88 2.22%
Trade id #129330591
Max drawdown($715)
Time6/4/20 0:00
Quant open244
Worst price83.36
Drawdown as % of equity-2.22%
($349)
Includes Typical Broker Commissions trade costs of $4.88
6/1/20 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 253 82.37 6/2 11:03 82.11 0.57%
Trade id #129286298
Max drawdown($184)
Time6/2/20 0:00
Quant open253
Worst price81.64
Drawdown as % of equity-0.57%
($71)
Includes Typical Broker Commissions trade costs of $5.06
5/29/20 14:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 438 81.18 5/29 14:50 79.53 1.6%
Trade id #129265767
Max drawdown($524)
Time5/29/20 14:50
Quant open438
Worst price79.98
Drawdown as % of equity-1.60%
($731)
Includes Typical Broker Commissions trade costs of $8.76
5/28/20 9:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 452 80.30 5/28 15:50 78.69 1.37%
Trade id #129236883
Max drawdown($463)
Time5/28/20 15:50
Quant open452
Worst price79.27
Drawdown as % of equity-1.37%
($732)
Includes Typical Broker Commissions trade costs of $9.04
5/26/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 459 83.13 5/26 9:56 81.46 1.92%
Trade id #129190143
Max drawdown($656)
Time5/26/20 9:56
Quant open459
Worst price81.70
Drawdown as % of equity-1.92%
($774)
Includes Typical Broker Commissions trade costs of $9.18

Statistics

  • Strategy began
    5/1/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    910.86
  • Age
    30 months ago
  • What it trades
    Stocks
  • # Trades
    69
  • # Profitable
    26
  • % Profitable
    37.70%
  • Avg trade duration
    5.5 days
  • Max peak-to-valley drawdown
    23.57%
  • drawdown period
    Aug 30, 2018 - Feb 12, 2019
  • Annual Return (Compounded)
    40.9%
  • Avg win
    $2,450
  • Avg loss
    $743.26
  • Model Account Values (Raw)
  • Cash
    $51,780
  • Margin Used
    $0
  • Buying Power
    $51,780
  • Ratios
  • W:L ratio
    2.00:1
  • Sharpe Ratio
    1.23
  • Sortino Ratio
    2.08
  • Calmar Ratio
    2.777
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    108.23%
  • Correlation to SP500
    0.21860
  • Return Percent SP500 (cumu) during strategy life
    27.72%
  • Return Statistics
  • Ann Return (w trading costs)
    40.9%
  • Slump
  • Current Slump as Pcnt Equity
    8.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.409%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    46.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    875
  • Popularity (Last 6 weeks)
    921
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    926
  • Popularity (7 days, Percentile 1000 scale)
    883
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $743
  • Avg Win
    $2,451
  • Sum Trade PL (losers)
    $31,960.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $63,718.000
  • # Winners
    26
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    22
  • AUM
  • AUM (AutoTrader live capital)
    74405
  • Win / Loss
  • # Losers
    43
  • % Winners
    37.7%
  • Frequency
  • Avg Position Time (mins)
    7870.73
  • Avg Position Time (hrs)
    131.18
  • Avg Trade Length
    5.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.12
  • Daily leverage (max)
    3.45
  • Regression
  • Alpha
    0.09
  • Beta
    0.23
  • Treynor Index
    0.43
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    7.66
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    54.88
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.10
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.696
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.132
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.185
  • Hold-and-Hope Ratio
    0.590
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46618
  • SD
    0.32108
  • Sharpe ratio (Glass type estimate)
    1.45191
  • Sharpe ratio (Hedges UMVUE)
    1.40784
  • df
    25.00000
  • t
    2.13715
  • p
    0.02128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02030
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79537
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34529
  • Upside Potential Ratio
    5.09423
  • Upside part of mean
    0.70990
  • Downside part of mean
    -0.24372
  • Upside SD
    0.31276
  • Downside SD
    0.13935
  • N nonnegative terms
    16.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.11451
  • Mean of criterion
    0.46618
  • SD of predictor
    0.23006
  • SD of criterion
    0.32108
  • Covariance
    0.02162
  • r
    0.29265
  • b (slope, estimate of beta)
    0.40845
  • a (intercept, estimate of alpha)
    0.41940
  • Mean Square Error
    0.09819
  • DF error
    24.00000
  • t(b)
    1.49935
  • p(b)
    0.07341
  • t(a)
    1.94932
  • p(a)
    0.03152
  • Lowerbound of 95% confidence interval for beta
    -0.15379
  • Upperbound of 95% confidence interval for beta
    0.97068
  • Lowerbound of 95% confidence interval for alpha
    -0.02465
  • Upperbound of 95% confidence interval for alpha
    0.86346
  • Treynor index (mean / b)
    1.14134
  • Jensen alpha (a)
    0.41940
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41114
  • SD
    0.30578
  • Sharpe ratio (Glass type estimate)
    1.34457
  • Sharpe ratio (Hedges UMVUE)
    1.30375
  • df
    25.00000
  • t
    1.97915
  • p
    0.02946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71434
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07595
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68345
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.81958
  • Upside Potential Ratio
    4.55774
  • Upside part of mean
    0.66459
  • Downside part of mean
    -0.25345
  • Upside SD
    0.28763
  • Downside SD
    0.14582
  • N nonnegative terms
    16.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.08641
  • Mean of criterion
    0.41114
  • SD of predictor
    0.24429
  • SD of criterion
    0.30578
  • Covariance
    0.02241
  • r
    0.30004
  • b (slope, estimate of beta)
    0.37556
  • a (intercept, estimate of alpha)
    0.37869
  • Mean Square Error
    0.08863
  • DF error
    24.00000
  • t(b)
    1.54088
  • p(b)
    0.06821
  • t(a)
    1.86229
  • p(a)
    0.03742
  • Lowerbound of 95% confidence interval for beta
    -0.12748
  • Upperbound of 95% confidence interval for beta
    0.87860
  • Lowerbound of 95% confidence interval for alpha
    -0.04100
  • Upperbound of 95% confidence interval for alpha
    0.79837
  • Treynor index (mean / b)
    1.09474
  • Jensen alpha (a)
    0.37869
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10500
  • Expected Shortfall on VaR
    0.13695
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03963
  • Expected Shortfall on VaR
    0.07936
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.87773
  • Quartile 1
    0.97230
  • Median
    1.05068
  • Quartile 3
    1.08223
  • Maximum
    1.24362
  • Mean of quarter 1
    0.92968
  • Mean of quarter 2
    1.01789
  • Mean of quarter 3
    1.06433
  • Mean of quarter 4
    1.15279
  • Inter Quartile Range
    0.10994
  • 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)
    -2.56439
  • VaR(95%) (moments method)
    0.06875
  • Expected Shortfall (moments method)
    0.06927
  • Extreme Value Index (regression method)
    -0.46518
  • VaR(95%) (regression method)
    0.08466
  • Expected Shortfall (regression method)
    0.09898
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01251
  • Quartile 1
    0.07988
  • Median
    0.10805
  • Quartile 3
    0.13434
  • Maximum
    0.19605
  • Mean of quarter 1
    0.01251
  • Mean of quarter 2
    0.10234
  • Mean of quarter 3
    0.11377
  • Mean of quarter 4
    0.19605
  • Inter Quartile Range
    0.05446
  • 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)
    0.73338
  • Compounded annual return (geometric extrapolation)
    0.55123
  • Calmar ratio (compounded annual return / max draw down)
    2.81169
  • Compounded annual return / average of 25% largest draw downs
    2.81169
  • Compounded annual return / Expected Shortfall lognormal
    4.02494
  • 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
    0.43943
  • SD
    0.24525
  • Sharpe ratio (Glass type estimate)
    1.79177
  • Sharpe ratio (Hedges UMVUE)
    1.78940
  • df
    569.00000
  • t
    2.64282
  • p
    0.00422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45811
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45654
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12227
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09983
  • Upside Potential Ratio
    10.34800
  • Upside part of mean
    1.46691
  • Downside part of mean
    -1.02748
  • Upside SD
    0.20170
  • Downside SD
    0.14176
  • N nonnegative terms
    202.00000
  • N negative terms
    368.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    570.00000
  • Mean of predictor
    0.11823
  • Mean of criterion
    0.43943
  • SD of predictor
    0.25867
  • SD of criterion
    0.24525
  • Covariance
    0.01294
  • r
    0.20395
  • b (slope, estimate of beta)
    0.19336
  • a (intercept, estimate of alpha)
    0.41700
  • Mean Square Error
    0.05775
  • DF error
    568.00000
  • t(b)
    4.96502
  • p(b)
    0.00000
  • t(a)
    2.55585
  • p(a)
    0.00543
  • Lowerbound of 95% confidence interval for beta
    0.11687
  • Upperbound of 95% confidence interval for beta
    0.26986
  • Lowerbound of 95% confidence interval for alpha
    0.09644
  • Upperbound of 95% confidence interval for alpha
    0.73669
  • Treynor index (mean / b)
    2.27254
  • Jensen alpha (a)
    0.41657
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40934
  • SD
    0.24332
  • Sharpe ratio (Glass type estimate)
    1.68236
  • Sharpe ratio (Hedges UMVUE)
    1.68014
  • df
    569.00000
  • t
    2.48145
  • p
    0.00669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01403
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01253
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85075
  • Upside Potential Ratio
    10.07670
  • Upside part of mean
    1.44694
  • Downside part of mean
    -1.03759
  • Upside SD
    0.19779
  • Downside SD
    0.14359
  • N nonnegative terms
    202.00000
  • N negative terms
    368.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    570.00000
  • Mean of predictor
    0.08455
  • Mean of criterion
    0.40934
  • SD of predictor
    0.26021
  • SD of criterion
    0.24332
  • Covariance
    0.01287
  • r
    0.20321
  • b (slope, estimate of beta)
    0.19001
  • a (intercept, estimate of alpha)
    0.39328
  • Mean Square Error
    0.05686
  • DF error
    568.00000
  • t(b)
    4.94628
  • p(b)
    0.00000
  • t(a)
    2.43223
  • p(a)
    0.00766
  • Lowerbound of 95% confidence interval for beta
    0.11456
  • Upperbound of 95% confidence interval for beta
    0.26547
  • Lowerbound of 95% confidence interval for alpha
    0.07569
  • Upperbound of 95% confidence interval for alpha
    0.71087
  • Treynor index (mean / b)
    2.15427
  • Jensen alpha (a)
    0.39328
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02290
  • Expected Shortfall on VaR
    0.02900
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01052
  • Expected Shortfall on VaR
    0.02075
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    570.00000
  • Minimum
    0.95459
  • Quartile 1
    0.99665
  • Median
    1.00000
  • Quartile 3
    1.00763
  • Maximum
    1.08753
  • Mean of quarter 1
    0.98501
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00162
  • Mean of quarter 4
    1.02086
  • Inter Quartile Range
    0.01098
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.06316
  • Mean of outliers low
    0.97275
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.07719
  • Mean of outliers high
    1.03669
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.98565
  • VaR(95%) (moments method)
    0.01058
  • Expected Shortfall (moments method)
    0.01150
  • Extreme Value Index (regression method)
    -0.29678
  • VaR(95%) (regression method)
    0.01524
  • Expected Shortfall (regression method)
    0.01968
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00035
  • Quartile 1
    0.01026
  • Median
    0.04663
  • Quartile 3
    0.07163
  • Maximum
    0.19750
  • Mean of quarter 1
    0.00396
  • Mean of quarter 2
    0.02987
  • Mean of quarter 3
    0.05745
  • Mean of quarter 4
    0.13386
  • Inter Quartile Range
    0.06137
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.18772
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68321
  • VaR(95%) (moments method)
    0.14673
  • Expected Shortfall (moments method)
    0.16370
  • Extreme Value Index (regression method)
    -0.77301
  • VaR(95%) (regression method)
    0.16803
  • Expected Shortfall (regression method)
    0.18455
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73038
  • Compounded annual return (geometric extrapolation)
    0.54844
  • Calmar ratio (compounded annual return / max draw down)
    2.77688
  • Compounded annual return / average of 25% largest draw downs
    4.09717
  • Compounded annual return / Expected Shortfall lognormal
    18.91180
  • 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
    0.81802
  • SD
    0.31793
  • Sharpe ratio (Glass type estimate)
    2.57299
  • Sharpe ratio (Hedges UMVUE)
    2.55812
  • df
    130.00000
  • t
    1.81938
  • p
    0.42121
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22114
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23107
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34731
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.03925
  • Upside Potential Ratio
    13.55160
  • Upside part of mean
    2.19983
  • Downside part of mean
    -1.38181
  • Upside SD
    0.27660
  • Downside SD
    0.16233
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33175
  • Mean of criterion
    0.81802
  • SD of predictor
    0.20674
  • SD of criterion
    0.31793
  • Covariance
    0.02023
  • r
    0.30784
  • b (slope, estimate of beta)
    0.47340
  • a (intercept, estimate of alpha)
    0.66097
  • Mean Square Error
    0.09221
  • DF error
    129.00000
  • t(b)
    3.67489
  • p(b)
    0.30716
  • t(a)
    1.53160
  • p(a)
    0.41518
  • Lowerbound of 95% confidence interval for beta
    0.21853
  • Upperbound of 95% confidence interval for beta
    0.72828
  • Lowerbound of 95% confidence interval for alpha
    -0.19287
  • Upperbound of 95% confidence interval for alpha
    1.51481
  • Treynor index (mean / b)
    1.72796
  • Jensen alpha (a)
    0.66097
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76750
  • SD
    0.31372
  • Sharpe ratio (Glass type estimate)
    2.44644
  • Sharpe ratio (Hedges UMVUE)
    2.43230
  • df
    130.00000
  • t
    1.72990
  • p
    0.42500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.22955
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35523
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21983
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.67152
  • Upside Potential Ratio
    13.16270
  • Upside part of mean
    2.16255
  • Downside part of mean
    -1.39505
  • Upside SD
    0.27005
  • Downside SD
    0.16429
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31014
  • Mean of criterion
    0.76750
  • SD of predictor
    0.20801
  • SD of criterion
    0.31372
  • Covariance
    0.01990
  • r
    0.30492
  • b (slope, estimate of beta)
    0.45987
  • a (intercept, estimate of alpha)
    0.62487
  • Mean Square Error
    0.08996
  • DF error
    129.00000
  • t(b)
    3.63641
  • p(b)
    0.30893
  • t(a)
    1.46690
  • p(a)
    0.41868
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.20966
  • Upperbound of 95% confidence interval for beta
    0.71009
  • Lowerbound of 95% confidence interval for alpha
    -0.21794
  • Upperbound of 95% confidence interval for alpha
    1.46769
  • Treynor index (mean / b)
    1.66893
  • Jensen alpha (a)
    0.62487
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02854
  • Expected Shortfall on VaR
    0.03635
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01346
  • Expected Shortfall on VaR
    0.02475
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95746
  • Quartile 1
    0.99092
  • Median
    1.00000
  • Quartile 3
    1.01384
  • Maximum
    1.08753
  • Mean of quarter 1
    0.98207
  • Mean of quarter 2
    0.99724
  • Mean of quarter 3
    1.00444
  • Mean of quarter 4
    1.02920
  • Inter Quartile Range
    0.02291
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.06311
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17574
  • VaR(95%) (moments method)
    0.01829
  • Expected Shortfall (moments method)
    0.02253
  • Extreme Value Index (regression method)
    0.06875
  • VaR(95%) (regression method)
    0.01804
  • Expected Shortfall (regression method)
    0.02429
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00212
  • Quartile 1
    0.03572
  • Median
    0.04563
  • Quartile 3
    0.07383
  • Maximum
    0.09592
  • Mean of quarter 1
    0.01951
  • Mean of quarter 2
    0.03949
  • Mean of quarter 3
    0.05153
  • Mean of quarter 4
    0.08840
  • Inter Quartile Range
    0.03811
  • 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)
    -3.98519
  • VaR(95%) (moments method)
    0.09385
  • Expected Shortfall (moments method)
    0.09389
  • Extreme Value Index (regression method)
    -0.90497
  • VaR(95%) (regression method)
    0.09905
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.10139
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -286307000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.97680
  • Compounded annual return (geometric extrapolation)
    1.21534
  • Calmar ratio (compounded annual return / max draw down)
    12.67010
  • Compounded annual return / average of 25% largest draw downs
    13.74790
  • Compounded annual return / Expected Shortfall lognormal
    33.43750

Strategy Description

TQQQ Trader is based on a statistical computer model whose signals are designed to be easily traded regardless of trading approach...Auto-Trade or manual. This strategy uses the leveraged ETF TQQQ which is highly correlated to the Nasdaq 100 Index (NDX). This is a popular ETF for traders with a substantial trading volume on a daily basis.

I designed this momentum-based strategy so I could easily trade with either a brokerage account or a *self-directed IRA account*. A trade to enter a position can occur with a stop-loss on the same day should the market turn downward. Other than this situation, a trade to enter and a trade to close a position will occur on separate days. Or in other words, one trade per day. The average length of a position is 5.87 days according to backtesting. Some trades has lasted as long as 43 days...it simply depends on the strength of the momentum.

On November 1, 2019, I enhanced this model to improve the entry decision, lower the Stop-Loss on the entry decision and increase the stop-loss once a calculated return had been reached on a certain trade. This strategy is based on a computer model and is intended to be traded on a mechanical basis with no discretion. Under extreme conditions due to geo-political circumstances for example, I will reduce a position due to exceptional risk to the market.

I have been building statistical models for many years and my initial work was for the Department of Defense during the 1980's. I have been working on the key elements of this financial model's technique for 6 years. The technique behind this model is the basis for numerous investment instruments that will be deployed on Collective2 in the future. v.2-11-2020

Summary Statistics

Strategy began
2018-05-01
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 7.4%
Rank # 
#50
# Trades
69
# Profitable
26
% Profitable
37.7%
Net Dividends
Correlation S&P500
0.219
Sharpe Ratio
1.23
Sortino Ratio
2.08
Beta
0.23
Alpha
0.09
Leverage
3.12 Average
3.45 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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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