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These are hypothetical performance results that have certain inherent limitations. Learn more

TQQQSQQQ
(124727146)

Created by: ETFCapital ETFCapital
Started: 08/2019
Stocks
Last trade: 8 days ago

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 $95.00 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.

59.0%
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.

(18.3%)
Max Drawdown
403
Num Trades
47.6%
Win Trades
1.4 : 1
Profit Factor
73.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +13.4%+4.6%+15.6%+10.7%+3.7%+57.4%
2020(2.1%)+8.9%+1.5%(2.5%)+0.9%+2.1%(5.3%)+8.0%(7.2%)+8.9%            +12.3%

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 168 hours.

Trading Record

This strategy has placed 1,154 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
10/7/20 12:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 484 132.43 10/12 12:38 154.38 0.6%
Trade id #131567379
Max drawdown($471)
Time10/7/20 12:27
Quant open380
Worst price130.40
Drawdown as % of equity-0.60%
$10,614
Includes Typical Broker Commissions trade costs of $9.68
10/6/20 15:23 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 550 68.57 10/7 11:59 66.90 1.61%
Trade id #131548455
Max drawdown($1,260)
Time10/7/20 9:48
Quant open550
Worst price66.28
Drawdown as % of equity-1.61%
($921)
Includes Typical Broker Commissions trade costs of $5.00
10/6/20 11:38 TQQQ PROSHARES ULTRAPRO QQQ LONG 410 131.19 10/6 14:52 129.44 0.99%
Trade id #131542661
Max drawdown($788)
Time10/6/20 11:52
Quant open410
Worst price129.27
Drawdown as % of equity-0.99%
($727)
Includes Typical Broker Commissions trade costs of $8.20
10/2/20 15:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 410 127.01 10/6 11:27 130.42 0.82%
Trade id #131494921
Max drawdown($641)
Time10/2/20 15:59
Quant open410
Worst price125.45
Drawdown as % of equity-0.82%
$1,390
Includes Typical Broker Commissions trade costs of $8.20
10/2/20 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,720 21.50 10/2 14:22 20.59 2.01%
Trade id #131483196
Max drawdown($1,581)
Time10/2/20 14:22
Quant open1,720
Worst price20.58
Drawdown as % of equity-2.01%
($1,565)
Includes Typical Broker Commissions trade costs of $7.50
9/29/20 14:13 TQQQ PROSHARES ULTRAPRO QQQ LONG 436 129.35 10/2 9:30 128.13 0.9%
Trade id #131420600
Max drawdown($757)
Time10/2/20 9:30
Quant open419
Worst price127.54
Drawdown as % of equity-0.90%
($541)
Includes Typical Broker Commissions trade costs of $8.72
9/28/20 12:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 434 127.11 9/29 13:56 129.65 0.17%
Trade id #131398153
Max drawdown($135)
Time9/28/20 13:11
Quant open434
Worst price126.80
Drawdown as % of equity-0.17%
$1,091
Includes Typical Broker Commissions trade costs of $8.68
9/25/20 15:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 416 126.43 9/28 12:20 126.17 0.04%
Trade id #131372513
Max drawdown($29)
Time9/28/20 12:20
Quant open46
Worst price125.78
Drawdown as % of equity-0.04%
($116)
Includes Typical Broker Commissions trade costs of $8.32
9/25/20 15:43 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 100 70.57 9/28 11:05 66.95 0.53%
Trade id #131372522
Max drawdown($420)
Time9/28/20 9:34
Quant open100
Worst price66.36
Drawdown as % of equity-0.53%
($364)
Includes Typical Broker Commissions trade costs of $2.00
9/24/20 15:51 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 420 69.15 9/25 14:05 71.16 0.26%
Trade id #131350183
Max drawdown($199)
Time9/24/20 15:59
Quant open420
Worst price68.67
Drawdown as % of equity-0.26%
$838
Includes Typical Broker Commissions trade costs of $8.40
9/24/20 15:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 470 113.55 9/25 14:05 118.55 0.23%
Trade id #131349633
Max drawdown($179)
Time9/24/20 15:37
Quant open320
Worst price112.52
Drawdown as % of equity-0.23%
$2,343
Includes Typical Broker Commissions trade costs of $9.40
9/24/20 15:35 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 420 69.53 9/24 15:41 69.14 0.25%
Trade id #131349647
Max drawdown($194)
Time9/24/20 15:40
Quant open420
Worst price69.07
Drawdown as % of equity-0.25%
($174)
Includes Typical Broker Commissions trade costs of $8.40
9/23/20 12:27 TQQQ PROSHARES ULTRAPRO QQQ LONG 666 117.73 9/24 15:20 113.31 2.83%
Trade id #131319366
Max drawdown($2,214)
Time9/24/20 15:20
Quant open476
Worst price113.08
Drawdown as % of equity-2.83%
($2,960)
Includes Typical Broker Commissions trade costs of $13.32
9/23/20 14:12 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 486 67.30 9/24 12:30 69.06 n/a $846
Includes Typical Broker Commissions trade costs of $9.72
9/23/20 11:49 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 350 65.31 9/23 13:58 65.84 0.5%
Trade id #131318347
Max drawdown($395)
Time9/23/20 12:40
Quant open350
Worst price64.18
Drawdown as % of equity-0.50%
$178
Includes Typical Broker Commissions trade costs of $7.00
9/14/20 13:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 489 128.84 9/23 11:36 119.73 11.93%
Trade id #131165245
Max drawdown($9,406)
Time9/21/20 0:00
Quant open419
Worst price108.10
Drawdown as % of equity-11.93%
($4,461)
Includes Typical Broker Commissions trade costs of $9.78
9/16/20 13:31 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 370 27.18 9/22 12:43 24.61 1.52%
Trade id #131205161
Max drawdown($1,198)
Time9/21/20 0:00
Quant open370
Worst price23.94
Drawdown as % of equity-1.52%
($957)
Includes Typical Broker Commissions trade costs of $7.40
9/15/20 13:02 BRZU DIREXION DAILY BRAZIL BULL 2X LONG 90 83.85 9/22 12:43 72.66 1.48%
Trade id #131184998
Max drawdown($1,165)
Time9/21/20 0:00
Quant open90
Worst price70.90
Drawdown as % of equity-1.48%
($1,009)
Includes Typical Broker Commissions trade costs of $1.80
9/14/20 13:54 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 312 62.85 9/16 9:30 62.58 0.48%
Trade id #131165260
Max drawdown($409)
Time9/15/20 0:00
Quant open312
Worst price61.54
Drawdown as % of equity-0.48%
($92)
Includes Typical Broker Commissions trade costs of $6.24
9/2/20 15:44 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 700 56.61 9/14 12:11 63.42 0.52%
Trade id #130950310
Max drawdown($458)
Time9/3/20 0:00
Quant open230
Worst price51.90
Drawdown as % of equity-0.52%
$4,750
Includes Typical Broker Commissions trade costs of $14.00
9/10/20 15:50 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 570 40.75 9/11 15:48 40.91 0.08%
Trade id #131116802
Max drawdown($71)
Time9/10/20 15:59
Quant open570
Worst price40.62
Drawdown as % of equity-0.08%
$86
Includes Typical Broker Commissions trade costs of $8.20
9/8/20 12:56 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,000 40.70 9/9 15:56 39.94 1.26%
Trade id #131069367
Max drawdown($1,051)
Time9/9/20 13:10
Quant open1,000
Worst price39.65
Drawdown as % of equity-1.26%
($767)
Includes Typical Broker Commissions trade costs of $7.00
9/4/20 15:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 290 144.71 9/8 9:30 124.77 6.82%
Trade id #131011925
Max drawdown($5,914)
Time9/8/20 9:30
Quant open290
Worst price124.32
Drawdown as % of equity-6.82%
($5,790)
Includes Typical Broker Commissions trade costs of $5.80
8/31/20 15:33 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 460 40.36 9/4 12:33 40.14 0.24%
Trade id #130901741
Max drawdown($207)
Time9/1/20 0:00
Quant open260
Worst price38.59
Drawdown as % of equity-0.24%
($112)
Includes Typical Broker Commissions trade costs of $9.20
8/24/20 10:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 106 143.32 9/3 10:54 162.07 0.32%
Trade id #130758255
Max drawdown($277)
Time8/24/20 10:58
Quant open96
Worst price140.44
Drawdown as % of equity-0.32%
$1,986
Includes Typical Broker Commissions trade costs of $2.12
8/31/20 15:56 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 50 155.75 9/2 13:06 148.41 0.48%
Trade id #130902446
Max drawdown($417)
Time9/1/20 0:00
Quant open50
Worst price147.40
Drawdown as % of equity-0.48%
($368)
Includes Typical Broker Commissions trade costs of $1.00
8/20/20 14:25 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 4,040 4.89 8/24 9:58 5.03 0.13%
Trade id #130714342
Max drawdown($115)
Time8/20/20 15:03
Quant open4,040
Worst price4.86
Drawdown as % of equity-0.13%
$564
Includes Typical Broker Commissions trade costs of $11.90
8/20/20 15:50 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 420 19.85 8/21 15:55 19.83 0.07%
Trade id #130716620
Max drawdown($61)
Time8/20/20 15:58
Quant open420
Worst price19.70
Drawdown as % of equity-0.07%
($13)
Includes Typical Broker Commissions trade costs of $8.40
7/31/20 15:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 345 123.19 8/20 12:41 132.74 n/a $3,290
Includes Typical Broker Commissions trade costs of $6.90
8/7/20 13:58 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 220 35.13 8/13 11:44 37.92 0.08%
Trade id #130516526
Max drawdown($65)
Time8/7/20 14:07
Quant open220
Worst price34.83
Drawdown as % of equity-0.08%
$611
Includes Typical Broker Commissions trade costs of $4.40

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    445.49
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    403
  • # Profitable
    192
  • % Profitable
    47.60%
  • Avg trade duration
    2.5 days
  • Max peak-to-valley drawdown
    18.29%
  • drawdown period
    June 16, 2020 - Sept 21, 2020
  • Annual Return (Compounded)
    59.0%
  • Avg win
    $813.23
  • Avg loss
    $538.31
  • Model Account Values (Raw)
  • Cash
    $37,920
  • Margin Used
    $0
  • Buying Power
    $38,030
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    1.68
  • Sortino Ratio
    2.66
  • Calmar Ratio
    5.225
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    60.79%
  • Correlation to SP500
    0.08660
  • Return Percent SP500 (cumu) during strategy life
    16.03%
  • Return Statistics
  • Ann Return (w trading costs)
    59.0%
  • Slump
  • Current Slump as Pcnt Equity
    2.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.28%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.590%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    65.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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)
    811
  • Popularity (Last 6 weeks)
    985
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    197
  • Popularity (7 days, Percentile 1000 scale)
    916
  • 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
    $538
  • Avg Win
    $813
  • Sum Trade PL (losers)
    $113,584.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $156,141.000
  • # Winners
    192
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    334
  • AUM
  • AUM (AutoTrader live capital)
    268313
  • Win / Loss
  • # Losers
    211
  • % Winners
    47.6%
  • Frequency
  • Avg Position Time (mins)
    3624.15
  • Avg Position Time (hrs)
    60.40
  • Avg Trade Length
    2.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.45
  • Daily leverage (max)
    3.81
  • Regression
  • Alpha
    0.12
  • Beta
    0.06
  • Treynor Index
    2.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.702
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.392
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.358
  • Hold-and-Hope Ratio
    0.149
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44905
  • SD
    0.21856
  • Sharpe ratio (Glass type estimate)
    2.05461
  • Sharpe ratio (Hedges UMVUE)
    1.93335
  • df
    13.00000
  • t
    2.21923
  • p
    0.18228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99743
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89420
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.01986
  • Upside Potential Ratio
    6.58673
  • Upside part of mean
    0.58922
  • Downside part of mean
    -0.14017
  • Upside SD
    0.23056
  • Downside SD
    0.08946
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.10222
  • Mean of criterion
    0.44905
  • SD of predictor
    0.19914
  • SD of criterion
    0.21856
  • Covariance
    0.01190
  • r
    0.27332
  • b (slope, estimate of beta)
    0.29998
  • a (intercept, estimate of alpha)
    0.41839
  • Mean Square Error
    0.04788
  • DF error
    12.00000
  • t(b)
    0.98430
  • p(b)
    0.36334
  • t(a)
    2.04122
  • p(a)
    0.24616
  • Lowerbound of 95% confidence interval for beta
    -0.36405
  • Upperbound of 95% confidence interval for beta
    0.96401
  • Lowerbound of 95% confidence interval for alpha
    -0.02820
  • Upperbound of 95% confidence interval for alpha
    0.86499
  • Treynor index (mean / b)
    1.49695
  • Jensen alpha (a)
    0.41839
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41906
  • SD
    0.21235
  • Sharpe ratio (Glass type estimate)
    1.97346
  • Sharpe ratio (Hedges UMVUE)
    1.85699
  • df
    13.00000
  • t
    2.13158
  • p
    0.19060
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80691
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.53146
  • Upside Potential Ratio
    6.08875
  • Upside part of mean
    0.56308
  • Downside part of mean
    -0.14402
  • Upside SD
    0.21898
  • Downside SD
    0.09248
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.08285
  • Mean of criterion
    0.41906
  • SD of predictor
    0.20260
  • SD of criterion
    0.21235
  • Covariance
    0.01215
  • r
    0.28245
  • b (slope, estimate of beta)
    0.29604
  • a (intercept, estimate of alpha)
    0.39454
  • Mean Square Error
    0.04495
  • DF error
    12.00000
  • t(b)
    1.01998
  • p(b)
    0.35877
  • t(a)
    1.99502
  • p(a)
    0.25047
  • Lowerbound of 95% confidence interval for beta
    -0.33634
  • Upperbound of 95% confidence interval for beta
    0.92842
  • Lowerbound of 95% confidence interval for alpha
    -0.03635
  • Upperbound of 95% confidence interval for alpha
    0.82542
  • Treynor index (mean / b)
    1.41556
  • Jensen alpha (a)
    0.39454
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06378
  • Expected Shortfall on VaR
    0.08722
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01800
  • Expected Shortfall on VaR
    0.04031
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.92024
  • Quartile 1
    0.99494
  • Median
    1.04605
  • Quartile 3
    1.08331
  • Maximum
    1.13833
  • Mean of quarter 1
    0.96145
  • Mean of quarter 2
    1.02968
  • Mean of quarter 3
    1.05925
  • Mean of quarter 4
    1.11098
  • Inter Quartile Range
    0.08837
  • 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)
    -4.93619
  • VaR(95%) (moments method)
    0.02610
  • Expected Shortfall (moments method)
    0.02611
  • Extreme Value Index (regression method)
    -0.04607
  • VaR(95%) (regression method)
    0.05818
  • Expected Shortfall (regression method)
    0.08522
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00896
  • Quartile 1
    0.02515
  • Median
    0.03274
  • Quartile 3
    0.04615
  • Maximum
    0.07976
  • Mean of quarter 1
    0.00896
  • Mean of quarter 2
    0.03054
  • Mean of quarter 3
    0.03495
  • Mean of quarter 4
    0.07976
  • Inter Quartile Range
    0.02100
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.07976
  • 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)
    0.58671
  • Compounded annual return (geometric extrapolation)
    0.56357
  • Calmar ratio (compounded annual return / max draw down)
    7.06570
  • Compounded annual return / average of 25% largest draw downs
    7.06570
  • Compounded annual return / Expected Shortfall lognormal
    6.46108
  • 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
    0.51047
  • SD
    0.22685
  • Sharpe ratio (Glass type estimate)
    2.25022
  • Sharpe ratio (Hedges UMVUE)
    2.24486
  • df
    315.00000
  • t
    2.47126
  • p
    0.00700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45522
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04175
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03811
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.54837
  • Upside Potential Ratio
    10.90740
  • Upside part of mean
    1.56915
  • Downside part of mean
    -1.05868
  • Upside SD
    0.17776
  • Downside SD
    0.14386
  • N nonnegative terms
    175.00000
  • N negative terms
    141.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    316.00000
  • Mean of predictor
    0.14585
  • Mean of criterion
    0.51047
  • SD of predictor
    0.31675
  • SD of criterion
    0.22685
  • Covariance
    0.00489
  • r
    0.06805
  • b (slope, estimate of beta)
    0.04874
  • a (intercept, estimate of alpha)
    0.50300
  • Mean Square Error
    0.05139
  • DF error
    314.00000
  • t(b)
    1.20864
  • p(b)
    0.11386
  • t(a)
    2.43764
  • p(a)
    0.00767
  • Lowerbound of 95% confidence interval for beta
    -0.03060
  • Upperbound of 95% confidence interval for beta
    0.12807
  • Lowerbound of 95% confidence interval for alpha
    0.09707
  • Upperbound of 95% confidence interval for alpha
    0.90965
  • Treynor index (mean / b)
    10.47420
  • Jensen alpha (a)
    0.50336
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48436
  • SD
    0.22649
  • Sharpe ratio (Glass type estimate)
    2.13859
  • Sharpe ratio (Hedges UMVUE)
    2.13350
  • df
    315.00000
  • t
    2.34866
  • p
    0.00973
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34108
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92591
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.31780
  • Upside Potential Ratio
    10.64110
  • Upside part of mean
    1.55348
  • Downside part of mean
    -1.06912
  • Upside SD
    0.17526
  • Downside SD
    0.14599
  • N nonnegative terms
    175.00000
  • N negative terms
    141.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    316.00000
  • Mean of predictor
    0.09534
  • Mean of criterion
    0.48436
  • SD of predictor
    0.31909
  • SD of criterion
    0.22649
  • Covariance
    0.00501
  • r
    0.06937
  • b (slope, estimate of beta)
    0.04924
  • a (intercept, estimate of alpha)
    0.47967
  • Mean Square Error
    0.05121
  • DF error
    314.00000
  • t(b)
    1.23223
  • p(b)
    0.10939
  • t(a)
    2.32741
  • p(a)
    0.01029
  • Lowerbound of 95% confidence interval for beta
    -0.02938
  • Upperbound of 95% confidence interval for beta
    0.12786
  • Lowerbound of 95% confidence interval for alpha
    0.07417
  • Upperbound of 95% confidence interval for alpha
    0.88517
  • Treynor index (mean / b)
    9.83713
  • Jensen alpha (a)
    0.47967
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02094
  • Expected Shortfall on VaR
    0.02664
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00858
  • Expected Shortfall on VaR
    0.01766
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    316.00000
  • Minimum
    0.94685
  • Quartile 1
    0.99528
  • Median
    1.00128
  • Quartile 3
    1.00973
  • Maximum
    1.05428
  • Mean of quarter 1
    0.98543
  • Mean of quarter 2
    0.99874
  • Mean of quarter 3
    1.00496
  • Mean of quarter 4
    1.01908
  • Inter Quartile Range
    0.01444
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02532
  • Mean of outliers low
    0.96138
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02215
  • Mean of outliers high
    1.04265
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05946
  • VaR(95%) (moments method)
    0.01247
  • Expected Shortfall (moments method)
    0.01778
  • Extreme Value Index (regression method)
    0.04258
  • VaR(95%) (regression method)
    0.01360
  • Expected Shortfall (regression method)
    0.01947
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00813
  • Median
    0.02325
  • Quartile 3
    0.05537
  • Maximum
    0.12804
  • Mean of quarter 1
    0.00237
  • Mean of quarter 2
    0.01674
  • Mean of quarter 3
    0.03716
  • Mean of quarter 4
    0.08342
  • Inter Quartile Range
    0.04723
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    0.12804
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.41312
  • VaR(95%) (moments method)
    0.09340
  • Expected Shortfall (moments method)
    0.10508
  • Extreme Value Index (regression method)
    -0.19511
  • VaR(95%) (regression method)
    0.09019
  • Expected Shortfall (regression method)
    0.10354
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70884
  • Compounded annual return (geometric extrapolation)
    0.66908
  • Calmar ratio (compounded annual return / max draw down)
    5.22535
  • Compounded annual return / average of 25% largest draw downs
    8.02089
  • Compounded annual return / Expected Shortfall lognormal
    25.11650
  • 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
    0.18463
  • SD
    0.24227
  • Sharpe ratio (Glass type estimate)
    0.76206
  • Sharpe ratio (Hedges UMVUE)
    0.75766
  • df
    130.00000
  • t
    0.53886
  • p
    0.47640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53397
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01568
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53099
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10616
  • Upside Potential Ratio
    8.86868
  • Upside part of mean
    1.48025
  • Downside part of mean
    -1.29562
  • Upside SD
    0.17470
  • Downside SD
    0.16691
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38280
  • Mean of criterion
    0.18463
  • SD of predictor
    0.21350
  • SD of criterion
    0.24227
  • Covariance
    0.01384
  • r
    0.26763
  • b (slope, estimate of beta)
    0.30371
  • a (intercept, estimate of alpha)
    0.06837
  • Mean Square Error
    0.05491
  • DF error
    129.00000
  • t(b)
    3.15479
  • p(b)
    0.33168
  • t(a)
    0.20504
  • p(a)
    0.48851
  • Lowerbound of 95% confidence interval for beta
    0.11324
  • Upperbound of 95% confidence interval for beta
    0.49417
  • Lowerbound of 95% confidence interval for alpha
    -0.59136
  • Upperbound of 95% confidence interval for alpha
    0.72810
  • Treynor index (mean / b)
    0.60791
  • Jensen alpha (a)
    0.06837
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15541
  • SD
    0.24246
  • Sharpe ratio (Glass type estimate)
    0.64095
  • Sharpe ratio (Hedges UMVUE)
    0.63725
  • df
    130.00000
  • t
    0.45322
  • p
    0.48014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41014
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91607
  • Upside Potential Ratio
    8.63643
  • Upside part of mean
    1.46512
  • Downside part of mean
    -1.30971
  • Upside SD
    0.17220
  • Downside SD
    0.16964
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35970
  • Mean of criterion
    0.15541
  • SD of predictor
    0.21479
  • SD of criterion
    0.24246
  • Covariance
    0.01384
  • r
    0.26582
  • b (slope, estimate of beta)
    0.30007
  • a (intercept, estimate of alpha)
    0.04747
  • Mean Square Error
    0.05506
  • DF error
    129.00000
  • t(b)
    3.13180
  • p(b)
    0.33279
  • t(a)
    0.14229
  • p(a)
    0.49202
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.11050
  • Upperbound of 95% confidence interval for beta
    0.48964
  • Lowerbound of 95% confidence interval for alpha
    -0.61260
  • Upperbound of 95% confidence interval for alpha
    0.70754
  • Treynor index (mean / b)
    0.51790
  • Jensen alpha (a)
    0.04747
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02376
  • Expected Shortfall on VaR
    0.02984
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01098
  • Expected Shortfall on VaR
    0.02186
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94685
  • Quartile 1
    0.99336
  • Median
    1.00057
  • Quartile 3
    1.00949
  • Maximum
    1.05428
  • Mean of quarter 1
    0.98329
  • Mean of quarter 2
    0.99732
  • Mean of quarter 3
    1.00400
  • Mean of quarter 4
    1.01873
  • Inter Quartile Range
    0.01613
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96034
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.04167
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31681
  • VaR(95%) (moments method)
    0.01728
  • Expected Shortfall (moments method)
    0.02959
  • Extreme Value Index (regression method)
    0.31131
  • VaR(95%) (regression method)
    0.01412
  • Expected Shortfall (regression method)
    0.02252
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00959
  • Quartile 1
    0.02579
  • Median
    0.03900
  • Quartile 3
    0.06843
  • Maximum
    0.12804
  • Mean of quarter 1
    0.01355
  • Mean of quarter 2
    0.03654
  • Mean of quarter 3
    0.05070
  • Mean of quarter 4
    0.10710
  • Inter Quartile Range
    0.04264
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -276504000
  • Max Equity Drawdown (num days)
    97
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19198
  • Compounded annual return (geometric extrapolation)
    0.20119
  • Calmar ratio (compounded annual return / max draw down)
    1.57126
  • Compounded annual return / average of 25% largest draw downs
    1.87853
  • Compounded annual return / Expected Shortfall lognormal
    6.74339

Strategy Description

A few years back, I identified that Tqqq Sqqq was a more dynamic trading duo compared to other ETFs such as Spxl & Svxy.
IRA FRIENDLY
Since then, I have spent 1000s of hours trying to exploit this perceived edge.
I hope you like my work and efforts.
Trades ETFs LONG ONLY AND IRA FRIENDLY
Trades Long Only
In several instances I will combine gradual exits with position sizing.
Trading is risky, you may lose money doing so.



Summary Statistics

Strategy began
2019-08-01
Suggested Minimum Capital
$35,000
# Trades
403
# Profitable
192
% Profitable
47.6%
Net Dividends
Correlation S&P500
0.087
Sharpe Ratio
1.68
Sortino Ratio
2.66
Beta
0.06
Alpha
0.12
Leverage
1.45 Average
3.81 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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subscribed on started simulation #SUBSCRIBEDDATE#

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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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.