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This is an archived track record. This track record was archived on 5/4/23 11:03 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

C2Star Applicant 143401
(143680671)

Created by: QuantTiger QuantTiger
Started: 02/2023
Stocks
Last trade: 33 days ago
Trading style: Equity Momentum

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 $125.00 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).
-10.3%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(10.8%)
Max Drawdown
34
Num Trades
38.2%
Win Trades
0.5 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       (0.3%)(2.6%)(6.4%)(1.3%)  -                                      (10.3%)

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.

Trading Record

This strategy has placed 70 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
5/4/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 168 30.53 5/4 11:01 30.78 0%
Trade id #144523892
Max drawdown($1)
Time5/4/23 9:37
Quant open168
Worst price30.52
Drawdown as % of equity-0.00%
$39
Includes Typical Broker Commissions trade costs of $3.36
5/3/23 15:21 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 363 30.15 5/3 15:59 30.36 0.31%
Trade id #144517590
Max drawdown($141)
Time5/3/23 15:25
Quant open363
Worst price29.76
Drawdown as % of equity-0.31%
$71
Includes Typical Broker Commissions trade costs of $7.26
3/8/23 15:46 SCHD SCHWAB U.S. DIVIDEND EQUITY ET LONG 270 74.28 5/3 15:58 70.48 2.59%
Trade id #143819596
Max drawdown($1,246)
Time3/24/23 0:00
Quant open270
Worst price69.66
Drawdown as % of equity-2.59%
($1,031)
Includes Typical Broker Commissions trade costs of $5.40
5/3/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 401 27.50 5/3 15:15 27.16 0.32%
Trade id #144511099
Max drawdown($144)
Time5/3/23 15:15
Quant open401
Worst price27.14
Drawdown as % of equity-0.32%
($144)
Includes Typical Broker Commissions trade costs of $8.02
4/28/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 541 29.66 4/28 15:59 28.98 0.88%
Trade id #144461738
Max drawdown($400)
Time4/28/23 15:59
Quant open541
Worst price28.92
Drawdown as % of equity-0.88%
($372)
Includes Typical Broker Commissions trade costs of $5.00
4/26/23 11:21 TQQQ PROSHARES ULTRAPRO QQQ LONG 950 26.28 4/26 13:50 25.80 1.06%
Trade id #144430336
Max drawdown($484)
Time4/26/23 13:50
Quant open950
Worst price25.77
Drawdown as % of equity-1.06%
($456)
Includes Typical Broker Commissions trade costs of $5.00
4/26/23 10:26 TQQQ PROSHARES ULTRAPRO QQQ SHORT 950 25.70 4/26 11:15 26.20 1.05%
Trade id #144429259
Max drawdown($489)
Time4/26/23 11:15
Quant open950
Worst price26.22
Drawdown as % of equity-1.05%
($475)
Includes Typical Broker Commissions trade costs of $5.00
4/25/23 10:11 TQQQ PROSHARES ULTRAPRO QQQ SHORT 939 26.10 4/25 12:35 25.68 0.2%
Trade id #144415787
Max drawdown($93)
Time4/25/23 11:20
Quant open939
Worst price26.20
Drawdown as % of equity-0.20%
$389
Includes Typical Broker Commissions trade costs of $5.00
4/24/23 10:21 TQQQ PROSHARES ULTRAPRO QQQ LONG 920 26.88 4/24 10:37 26.62 0.54%
Trade id #144403989
Max drawdown($253)
Time4/24/23 10:37
Quant open920
Worst price26.60
Drawdown as % of equity-0.54%
($239)
Includes Typical Broker Commissions trade costs of $5.00
4/21/23 11:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 901 26.93 4/21 15:59 26.88 0.53%
Trade id #144387503
Max drawdown($249)
Time4/21/23 11:50
Quant open901
Worst price26.65
Drawdown as % of equity-0.53%
($52)
Includes Typical Broker Commissions trade costs of $5.00
4/21/23 11:10 TQQQ PROSHARES ULTRAPRO QQQ SHORT 901 26.68 4/21 11:41 26.90 0.5%
Trade id #144387192
Max drawdown($234)
Time4/21/23 11:41
Quant open901
Worst price26.94
Drawdown as % of equity-0.50%
($203)
Includes Typical Broker Commissions trade costs of $5.00
4/20/23 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 733 26.87 4/20 12:58 27.40 0.06%
Trade id #144371843
Max drawdown($27)
Time4/20/23 9:38
Quant open733
Worst price26.83
Drawdown as % of equity-0.06%
$385
Includes Typical Broker Commissions trade costs of $5.00
4/18/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 712 28.09 4/18 10:28 27.37 1.08%
Trade id #144347956
Max drawdown($512)
Time4/18/23 10:28
Quant open712
Worst price27.37
Drawdown as % of equity-1.08%
($518)
Includes Typical Broker Commissions trade costs of $5.00
4/14/23 10:04 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,432 27.69 4/17 9:30 27.34 1.83%
Trade id #144298529
Max drawdown($877)
Time4/14/23 12:47
Quant open716
Worst price26.70
Drawdown as % of equity-1.83%
($506)
Includes Typical Broker Commissions trade costs of $7.50
4/13/23 12:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 723 27.25 4/13 14:20 27.67 0.14%
Trade id #144288358
Max drawdown($68)
Time4/13/23 13:01
Quant open723
Worst price27.15
Drawdown as % of equity-0.14%
$302
Includes Typical Broker Commissions trade costs of $5.00
4/6/23 9:34 TQQQ PROSHARES ULTRAPRO QQQ SHORT 722 26.21 4/6 15:59 27.45 2.05%
Trade id #144209897
Max drawdown($971)
Time4/6/23 14:33
Quant open722
Worst price27.56
Drawdown as % of equity-2.05%
($897)
Includes Typical Broker Commissions trade costs of $5.00
4/5/23 9:46 TQQQ PROSHARES ULTRAPRO QQQ SHORT 699 27.23 4/5 10:44 26.78 0.27%
Trade id #144194313
Max drawdown($129)
Time4/5/23 10:01
Quant open699
Worst price27.41
Drawdown as % of equity-0.27%
$306
Includes Typical Broker Commissions trade costs of $5.00
4/4/23 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 707 28.32 4/4 15:56 27.67 1.33%
Trade id #144172883
Max drawdown($636)
Time4/4/23 15:48
Quant open707
Worst price27.42
Drawdown as % of equity-1.33%
($465)
Includes Typical Broker Commissions trade costs of $5.00
3/31/23 9:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 632 27.32 3/31 12:28 27.85 0.14%
Trade id #144127613
Max drawdown($69)
Time3/31/23 10:14
Quant open632
Worst price27.21
Drawdown as % of equity-0.14%
$330
Includes Typical Broker Commissions trade costs of $5.00
3/28/23 9:34 TQQQ PROSHARES ULTRAPRO QQQ SHORT 719 24.81 3/28 15:59 24.84 0.09%
Trade id #144090700
Max drawdown($43)
Time3/28/23 15:59
Quant open719
Worst price24.87
Drawdown as % of equity-0.09%
($27)
Includes Typical Broker Commissions trade costs of $5.00
3/27/23 9:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 767 26.07 3/27 15:59 25.18 1.61%
Trade id #144060707
Max drawdown($778)
Time3/27/23 12:08
Quant open767
Worst price25.06
Drawdown as % of equity-1.61%
($695)
Includes Typical Broker Commissions trade costs of $5.00
3/23/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ SHORT 710 25.58 3/23 10:15 26.07 0.76%
Trade id #144010569
Max drawdown($369)
Time3/23/23 10:15
Quant open710
Worst price26.10
Drawdown as % of equity-0.76%
($353)
Includes Typical Broker Commissions trade costs of $5.00
3/22/23 10:27 TQQQ PROSHARES ULTRAPRO QQQ LONG 771 25.93 3/22 15:59 24.87 2%
Trade id #143992849
Max drawdown($986)
Time3/22/23 15:59
Quant open771
Worst price24.65
Drawdown as % of equity-2.00%
($819)
Includes Typical Broker Commissions trade costs of $5.00
3/21/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 660 25.31 3/21 15:59 25.82 0.51%
Trade id #143975701
Max drawdown($250)
Time3/21/23 11:46
Quant open660
Worst price24.93
Drawdown as % of equity-0.51%
$328
Includes Typical Broker Commissions trade costs of $5.00
3/16/23 10:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 601 23.45 3/16 11:56 24.50 0.05%
Trade id #143927644
Max drawdown($24)
Time3/16/23 10:44
Quant open601
Worst price23.41
Drawdown as % of equity-0.05%
$629
Includes Typical Broker Commissions trade costs of $5.00
3/14/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ SHORT 894 22.11 3/14 9:41 22.50 0.75%
Trade id #143892508
Max drawdown($366)
Time3/14/23 9:41
Quant open894
Worst price22.52
Drawdown as % of equity-0.75%
($350)
Includes Typical Broker Commissions trade costs of $5.00
3/13/23 9:32 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 411 42.01 3/13 11:03 39.63 0.48%
Trade id #143875308
Max drawdown($230)
Time3/13/23 9:38
Quant open411
Worst price42.57
Drawdown as % of equity-0.48%
$971
Includes Typical Broker Commissions trade costs of $8.22
3/9/23 9:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 857 23.35 3/9 14:33 22.11 2.2%
Trade id #143826117
Max drawdown($1,071)
Time3/9/23 14:33
Quant open857
Worst price22.10
Drawdown as % of equity-2.20%
($1,068)
Includes Typical Broker Commissions trade costs of $5.00
2/24/23 13:26 VCLT VANGUARD LONG-TERM CORP BOND I LONG 392 76.42 3/7 10:14 76.28 1.17%
Trade id #143691304
Max drawdown($584)
Time3/2/23 0:00
Quant open392
Worst price74.93
Drawdown as % of equity-1.17%
($63)
Includes Typical Broker Commissions trade costs of $7.84
3/7/23 10:01 TQQQ PROSHARES ULTRAPRO QQQ SHORT 810 23.27 3/7 10:13 22.94 n/a $264
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/23/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    102.25
  • Age
    102 days ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    13
  • % Profitable
    38.20%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    10.78%
  • drawdown period
    March 06, 2023 - May 03, 2023
  • Cumul. Return
    -10.3%
  • Avg win
    $376.38
  • Avg loss
    $459.62
  • Model Account Values (Raw)
  • Cash
    $45,515
  • Margin Used
    $0
  • Buying Power
    $45,515
  • Ratios
  • W:L ratio
    0.54:1
  • Sharpe Ratio
    -3.31
  • Sortino Ratio
    -3.71
  • Calmar Ratio
    -3.091
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -16.80%
  • Correlation to SP500
    0.36680
  • Return Percent SP500 (cumu) during strategy life
    6.52%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -31.3%
  • Slump
  • Current Slump as Pcnt Equity
    12.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.103%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -28.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    262
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $460
  • Avg Win
    $376
  • Sum Trade PL (losers)
    $9,652.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $4,893.000
  • # Winners
    13
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    271
  • Win / Loss
  • # Losers
    21
  • % Winners
    38.2%
  • Frequency
  • Avg Position Time (mins)
    3144.72
  • Avg Position Time (hrs)
    52.41
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    32
  • Leverage
  • Daily leverage (average)
    1.02
  • Daily leverage (max)
    2.95
  • Regression
  • Alpha
    -0.12
  • Beta
    0.25
  • Treynor Index
    -0.42
  • 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)
    -1.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -2.617
  • 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
    0.273
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.232
  • Hold-and-Hope Ratio
    -0.382
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.39769
  • SD
    0.03164
  • Sharpe ratio (Glass type estimate)
    -12.56770
  • Sharpe ratio (Hedges UMVUE)
    -7.09057
  • df
    2.00000
  • t
    -6.28385
  • p
    0.98780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.99364
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -15.06860
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88748
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.37957
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.39769
  • Upside SD
    0.00000
  • Downside SD
    0.11768
  • N nonnegative terms
    0.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.16368
  • Mean of criterion
    -0.39769
  • SD of predictor
    0.07964
  • SD of criterion
    0.03164
  • Covariance
    0.00131
  • r
    0.51863
  • b (slope, estimate of beta)
    0.20606
  • a (intercept, estimate of alpha)
    -0.43142
  • Mean Square Error
    0.00146
  • DF error
    1.00000
  • t(b)
    0.60658
  • p(b)
    0.32644
  • t(a)
    -4.56085
  • p(a)
    0.93129
  • Lowerbound of 95% confidence interval for beta
    -4.11029
  • Upperbound of 95% confidence interval for beta
    4.52240
  • Lowerbound of 95% confidence interval for alpha
    -1.63332
  • Upperbound of 95% confidence interval for alpha
    0.77048
  • Treynor index (mean / b)
    -1.93000
  • Jensen alpha (a)
    -0.43142
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.40383
  • SD
    0.03261
  • Sharpe ratio (Glass type estimate)
    -12.38400
  • Sharpe ratio (Hedges UMVUE)
    -6.98690
  • df
    2.00000
  • t
    -6.19198
  • p
    0.98745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.95106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -14.87660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90282
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.37714
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.40383
  • Upside SD
    0.00000
  • Downside SD
    0.11958
  • N nonnegative terms
    0.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.16014
  • Mean of criterion
    -0.40383
  • SD of predictor
    0.07862
  • SD of criterion
    0.03261
  • Covariance
    0.00131
  • r
    0.51148
  • b (slope, estimate of beta)
    0.21215
  • a (intercept, estimate of alpha)
    -0.43780
  • Mean Square Error
    0.00157
  • DF error
    1.00000
  • t(b)
    0.59524
  • p(b)
    0.32910
  • t(a)
    -4.48259
  • p(a)
    0.93013
  • Lowerbound of 95% confidence interval for beta
    -4.31649
  • Upperbound of 95% confidence interval for beta
    4.74078
  • Lowerbound of 95% confidence interval for alpha
    -1.67879
  • Upperbound of 95% confidence interval for alpha
    0.80318
  • Treynor index (mean / b)
    -1.90353
  • Jensen alpha (a)
    -0.43780
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04795
  • Expected Shortfall on VaR
    0.05168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03668
  • Expected Shortfall on VaR
    0.03668
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.96103
  • Quartile 1
    0.96425
  • Median
    0.96747
  • Quartile 3
    0.97326
  • Maximum
    0.97906
  • Mean of quarter 1
    0.96103
  • Mean of quarter 2
    0.96747
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.97906
  • Inter Quartile Range
    0.00901
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.08970
  • Quartile 1
    0.08970
  • Median
    0.08970
  • Quartile 3
    0.08970
  • Maximum
    0.08970
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.35880
  • Compounded annual return (geometric extrapolation)
    -0.31335
  • Calmar ratio (compounded annual return / max draw down)
    -3.49326
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -6.06313
  • 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
    -0.36506
  • SD
    0.09644
  • Sharpe ratio (Glass type estimate)
    -3.78518
  • Sharpe ratio (Hedges UMVUE)
    -3.74506
  • df
    71.00000
  • t
    -1.98428
  • p
    0.97445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.56233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.01779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.53426
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04414
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.20666
  • Upside Potential Ratio
    3.41857
  • Upside part of mean
    0.29667
  • Downside part of mean
    -0.66173
  • Upside SD
    0.04637
  • Downside SD
    0.08678
  • N nonnegative terms
    21.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.21225
  • Mean of criterion
    -0.36506
  • SD of predictor
    0.14484
  • SD of criterion
    0.09644
  • Covariance
    0.00526
  • r
    0.37629
  • b (slope, estimate of beta)
    0.25056
  • a (intercept, estimate of alpha)
    -0.41800
  • Mean Square Error
    0.00810
  • DF error
    70.00000
  • t(b)
    3.39798
  • p(b)
    0.00056
  • t(a)
    -2.42628
  • p(a)
    0.99108
  • Lowerbound of 95% confidence interval for beta
    0.10350
  • Upperbound of 95% confidence interval for beta
    0.39763
  • Lowerbound of 95% confidence interval for alpha
    -0.76204
  • Upperbound of 95% confidence interval for alpha
    -0.07444
  • Treynor index (mean / b)
    -1.45697
  • Jensen alpha (a)
    -0.41824
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.36989
  • SD
    0.09687
  • Sharpe ratio (Glass type estimate)
    -3.81845
  • Sharpe ratio (Hedges UMVUE)
    -3.77797
  • df
    71.00000
  • t
    -2.00172
  • p
    0.97543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.59639
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.01446
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.56806
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01211
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.22977
  • Upside Potential Ratio
    3.37986
  • Upside part of mean
    0.29557
  • Downside part of mean
    -0.66546
  • Upside SD
    0.04613
  • Downside SD
    0.08745
  • N nonnegative terms
    21.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.20182
  • Mean of criterion
    -0.36989
  • SD of predictor
    0.14465
  • SD of criterion
    0.09687
  • Covariance
    0.00525
  • r
    0.37474
  • b (slope, estimate of beta)
    0.25095
  • a (intercept, estimate of alpha)
    -0.42054
  • Mean Square Error
    0.00818
  • DF error
    70.00000
  • t(b)
    3.38170
  • p(b)
    0.00059
  • t(a)
    -2.42819
  • p(a)
    0.99113
  • Lowerbound of 95% confidence interval for beta
    0.10295
  • Upperbound of 95% confidence interval for beta
    0.39896
  • Lowerbound of 95% confidence interval for alpha
    -0.76596
  • Upperbound of 95% confidence interval for alpha
    -0.07512
  • Treynor index (mean / b)
    -1.47396
  • Jensen alpha (a)
    -0.42054
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01119
  • Expected Shortfall on VaR
    0.01366
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00717
  • Expected Shortfall on VaR
    0.01368
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.97684
  • Quartile 1
    0.99730
  • Median
    1.00000
  • Quartile 3
    1.00074
  • Maximum
    1.01398
  • Mean of quarter 1
    0.99106
  • Mean of quarter 2
    0.99914
  • Mean of quarter 3
    1.00010
  • Mean of quarter 4
    1.00455
  • Inter Quartile Range
    0.00344
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.98671
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.01029
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11434
  • VaR(95%) (moments method)
    0.00774
  • Expected Shortfall (moments method)
    0.01161
  • Extreme Value Index (regression method)
    0.31311
  • VaR(95%) (regression method)
    0.00920
  • Expected Shortfall (regression method)
    0.01655
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01499
  • Quartile 1
    0.03467
  • Median
    0.05435
  • Quartile 3
    0.07403
  • Maximum
    0.09371
  • Mean of quarter 1
    0.01499
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09371
  • Inter Quartile Range
    0.03936
  • 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)
    -0.32641
  • Compounded annual return (geometric extrapolation)
    -0.28964
  • Calmar ratio (compounded annual return / max draw down)
    -3.09075
  • Compounded annual return / average of 25% largest draw downs
    -3.09075
  • Compounded annual return / Expected Shortfall lognormal
    -21.20400
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -107646000
  • Max Equity Drawdown (num days)
    58

Strategy Description

2/23/2023: Changes made to reduce volatility, and better take advantage of intraday aspect. System reset.

Trades TQQQ (3x long Nasdaq ETF). May hold bond fund at times to augment returns (held overnight). Holds positions intraday only with tight stops. Goal is to have a system with low volatility. Positions are intraday traded (except bond fund).

This strategy trades TQQQ. Positions are held intraday only (except bond fund). Stops are used with this strategy, so that daily risk is minimized. TQQQ is highly volatile, but this strategy should be much less volatile as a system, though there can and will be strings of losing days in a row. Use only risk money, as even though system is expected to be lower risk, as system can still slowly lose money over time. System is 100% algorithmic (non-discretionary), and uses machine learning (AI) to make decisions.

1. 3x ETFs are volatile and risky, this should be portion of your portfolio only
2. Margin account recommended. No martingale or margin used (if IRA, IRA margin required)
3. Position size is part of the strategy, be sure to set scaling properly
4. ETFs not available on IB in Europe https://europoor.com/how-to-buy-leveraged-etfs-from-europe/
5. $30k+ account size recommended (to avoid Pattern Day Trader violations)
6. Auto-trading *** HIGHLY *** recommended.

Summary Statistics

Strategy began
2023-02-23
Suggested Minimum Capital
$35,000
# Trades
34
# Profitable
13
% Profitable
38.2%
Net Dividends
Correlation S&P500
0.367
Sharpe Ratio
-3.31
Sortino Ratio
-3.71
Beta
0.25
Alpha
-0.12
Leverage
1.02 Average
2.95 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.

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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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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.