Collective2 Collective2
Featured Strategy MT3 Algotrading Followed by live capital $2.96 million Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

TQQQ Ascent
(147770519)

Created by: NEORITHMIC-LLC NEORITHMIC-LLC
Started: 04/2024
Stocks
Last trade: 2 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 $199.00 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.
7.8%
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.

(12.0%)
Max Drawdown
111
Num Trades
59.5%
Win Trades
1.3 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                     +3.0%+1.2%+0.9%+4.4%(4.8%)(5.1%)+4.3%+3.3%+3.4%+10.6%
2025(2.5%)                                                                  (2.5%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/13/25 10:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 560 75.09 1/13 11:58 73.66 1.53%
Trade id #150550990
Max drawdown($828)
Time1/13/25 11:58
Quant open560
Worst price73.61
Drawdown as % of equity-1.53%
 ($806)
Includes Typical Broker Commissions trade costs of $5.00
1/6/25 9:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 340 85.90 1/6 14:58 84.18 1.06%
Trade id #150492113
Max drawdown($584)
Time1/6/25 14:58
Quant open340
Worst price84.18
Drawdown as % of equity-1.06%
 ($592)
Includes Typical Broker Commissions trade costs of $6.80
1/3/25 9:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 530 81.11 1/3 11:03 81.11 1.44%
Trade id #150475031
Max drawdown($789)
Time1/3/25 10:21
Quant open530
Worst price79.62
Drawdown as % of equity-1.44%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
12/30/24 12:23 TQQQ PROSHARES ULTRAPRO QQQ LONG 520 82.35 12/30 13:04 82.46 0.19%
Trade id #150438079
Max drawdown($104)
Time12/30/24 12:57
Quant open520
Worst price82.15
Drawdown as % of equity-0.19%
 $52
Includes Typical Broker Commissions trade costs of $5.00
12/26/24 11:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 330 88.58 12/26 15:12 88.65 0.43%
Trade id #150413271
Max drawdown($240)
Time12/26/24 12:48
Quant open330
Worst price87.85
Drawdown as % of equity-0.43%
 $16
Includes Typical Broker Commissions trade costs of $6.60
12/24/24 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 330 86.90 12/24 11:53 87.63 0.07%
Trade id #150399162
Max drawdown($39)
Time12/24/24 10:21
Quant open330
Worst price86.78
Drawdown as % of equity-0.07%
 $234
Includes Typical Broker Commissions trade costs of $6.60
12/23/24 13:13 TQQQ PROSHARES ULTRAPRO QQQ LONG 610 84.79 12/23 15:44 84.92 0.88%
Trade id #150392853
Max drawdown($481)
Time12/23/24 15:11
Quant open610
Worst price84.00
Drawdown as % of equity-0.88%
 $74
Includes Typical Broker Commissions trade costs of $5.00
12/20/24 9:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 540 80.17 12/20 9:50 78.64 1.62%
Trade id #150374557
Max drawdown($901)
Time12/20/24 9:50
Quant open540
Worst price78.50
Drawdown as % of equity-1.62%
 ($831)
Includes Typical Broker Commissions trade costs of $5.00
12/18/24 10:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 580 92.47 12/18 14:00 91.08 1.44%
Trade id #150353149
Max drawdown($812)
Time12/18/24 14:00
Quant open580
Worst price91.07
Drawdown as % of equity-1.44%
 ($811)
Includes Typical Broker Commissions trade costs of $5.00
12/16/24 9:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 570 91.54 12/16 14:00 93.26 0.48%
Trade id #150333713
Max drawdown($267)
Time12/16/24 10:22
Quant open570
Worst price91.07
Drawdown as % of equity-0.48%
 $975
Includes Typical Broker Commissions trade costs of $5.00
12/13/24 9:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 590 90.40 12/13 10:40 89.31 1.54%
Trade id #150318678
Max drawdown($861)
Time12/13/24 10:40
Quant open590
Worst price88.94
Drawdown as % of equity-1.54%
 ($648)
Includes Typical Broker Commissions trade costs of $5.00
12/11/24 9:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 87.84 12/11 15:45 89.44 0.02%
Trade id #150299566
Max drawdown($12)
Time12/11/24 9:50
Quant open600
Worst price87.82
Drawdown as % of equity-0.02%
 $955
Includes Typical Broker Commissions trade costs of $5.00
12/6/24 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 86.72 12/6 15:45 87.71 n/a $589
Includes Typical Broker Commissions trade costs of $5.00
12/4/24 14:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 85.80 12/4 15:47 86.20 0.05%
Trade id #150245102
Max drawdown($27)
Time12/4/24 14:22
Quant open600
Worst price85.75
Drawdown as % of equity-0.05%
 $235
Includes Typical Broker Commissions trade costs of $5.00
12/3/24 10:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 610 82.54 12/3 15:56 83.25 0.72%
Trade id #150231480
Max drawdown($390)
Time12/3/24 10:53
Quant open610
Worst price81.90
Drawdown as % of equity-0.72%
 $428
Includes Typical Broker Commissions trade costs of $5.00
12/2/24 9:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 620 81.21 12/2 15:44 82.50 0.14%
Trade id #150221040
Max drawdown($74)
Time12/2/24 9:44
Quant open620
Worst price81.09
Drawdown as % of equity-0.14%
 $795
Includes Typical Broker Commissions trade costs of $5.00
11/29/24 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 630 79.15 11/29 11:11 79.86 0.15%
Trade id #150208478
Max drawdown($81)
Time11/29/24 10:04
Quant open630
Worst price79.02
Drawdown as % of equity-0.15%
 $442
Includes Typical Broker Commissions trade costs of $5.00
11/26/24 9:38 TQQQ PROSHARES ULTRAPRO QQQ LONG 630 80.00 11/26 15:50 79.77 1.32%
Trade id #150183858
Max drawdown($699)
Time11/26/24 14:25
Quant open630
Worst price78.89
Drawdown as % of equity-1.32%
 ($150)
Includes Typical Broker Commissions trade costs of $5.00
11/22/24 9:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 650 78.49 11/22 10:10 77.31 1.59%
Trade id #150152696
Max drawdown($854)
Time11/22/24 10:10
Quant open650
Worst price77.17
Drawdown as % of equity-1.59%
 ($772)
Includes Typical Broker Commissions trade costs of $5.00
11/19/24 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 550 75.52 11/19 11:37 76.50 0.09%
Trade id #150122572
Max drawdown($49)
Time11/19/24 10:33
Quant open550
Worst price75.43
Drawdown as % of equity-0.09%
 $534
Includes Typical Broker Commissions trade costs of $5.00
11/18/24 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 370 75.98 11/18 15:40 75.75 0.45%
Trade id #150111918
Max drawdown($244)
Time11/18/24 14:30
Quant open370
Worst price75.32
Drawdown as % of equity-0.45%
 ($92)
Includes Typical Broker Commissions trade costs of $7.40
11/13/24 12:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 610 82.35 11/13 13:49 83.01 0.42%
Trade id #150077848
Max drawdown($225)
Time11/13/24 12:44
Quant open610
Worst price81.98
Drawdown as % of equity-0.42%
 $398
Includes Typical Broker Commissions trade costs of $5.00
11/7/24 9:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 340 81.04 11/7 14:59 82.66 0.26%
Trade id #150027653
Max drawdown($139)
Time11/7/24 9:50
Quant open340
Worst price80.63
Drawdown as % of equity-0.26%
 $544
Includes Typical Broker Commissions trade costs of $6.80
11/6/24 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 630 77.35 11/6 15:24 78.73 1.4%
Trade id #150007591
Max drawdown($728)
Time11/6/24 9:50
Quant open630
Worst price76.19
Drawdown as % of equity-1.40%
 $864
Includes Typical Broker Commissions trade costs of $5.00
11/5/24 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 680 71.87 11/5 10:00 72.52 0.62%
Trade id #149985521
Max drawdown($319)
Time11/5/24 9:43
Quant open680
Worst price71.40
Drawdown as % of equity-0.62%
 $437
Includes Typical Broker Commissions trade costs of $5.00
11/4/24 10:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 560 71.56 11/4 11:54 70.19 1.52%
Trade id #149958895
Max drawdown($784)
Time11/4/24 11:54
Quant open560
Worst price70.16
Drawdown as % of equity-1.52%
 ($772)
Includes Typical Broker Commissions trade costs of $5.00
11/1/24 9:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 560 70.99 11/1 10:18 71.91 0.25%
Trade id #149929737
Max drawdown($128)
Time11/1/24 10:05
Quant open560
Worst price70.76
Drawdown as % of equity-0.25%
 $510
Includes Typical Broker Commissions trade costs of $5.00
10/29/24 10:24 TQQQ PROSHARES ULTRAPRO QQQ LONG 640 75.60 10/29 11:58 76.13 0.61%
Trade id #149874441
Max drawdown($313)
Time10/29/24 10:28
Quant open640
Worst price75.11
Drawdown as % of equity-0.61%
 $334
Includes Typical Broker Commissions trade costs of $5.00
10/25/24 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 650 75.37 10/25 13:22 75.37 0.11%
Trade id #149829884
Max drawdown($59)
Time10/25/24 9:40
Quant open650
Worst price75.28
Drawdown as % of equity-0.11%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
10/22/24 9:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 650 74.25 10/22 10:06 75.00 0.18%
Trade id #149783222
Max drawdown($91)
Time10/22/24 9:52
Quant open650
Worst price74.11
Drawdown as % of equity-0.18%
 $483
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    4/1/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    288.92
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    111
  • # Profitable
    66
  • % Profitable
    59.50%
  • Avg trade duration
    3.0 hours
  • Max peak-to-valley drawdown
    12.01%
  • drawdown period
    July 15, 2024 - Oct 02, 2024
  • Cumul. Return
    7.8%
  • Avg win
    $465.94
  • Avg loss
    $532.96
  • Model Account Values (Raw)
  • Cash
    $56,767
  • Margin Used
    $0
  • Buying Power
    $56,767
  • Ratios
  • W:L ratio
    1.28:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.95
  • Calmar Ratio
    1.664
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.68%
  • Correlation to SP500
    0.21400
  • Return Percent SP500 (cumu) during strategy life
    11.43%
  • Return Statistics
  • Ann Return (w trading costs)
    9.8%
  • Slump
  • Current Slump as Pcnt Equity
    5.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.077%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • 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)
    667
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $533
  • Avg Win
    $466
  • Sum Trade PL (losers)
    $23,983.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $30,752.000
  • # Winners
    66
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    45
  • % Winners
    59.5%
  • Frequency
  • Avg Position Time (mins)
    182.32
  • Avg Position Time (hrs)
    3.04
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.49
  • Daily leverage (max)
    2.94
  • Regression
  • Alpha
    0.02
  • Beta
    0.17
  • Treynor Index
    0.13
  • 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)
    0.39
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    11.234
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.483
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.194
  • Hold-and-Hope Ratio
    0.087
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17000
  • SD
    0.11936
  • Sharpe ratio (Glass type estimate)
    1.42420
  • Sharpe ratio (Hedges UMVUE)
    1.28563
  • df
    8.00000
  • t
    1.23339
  • p
    0.12622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74925
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06358
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63484
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.46903
  • Upside Potential Ratio
    4.09359
  • Upside part of mean
    0.28186
  • Downside part of mean
    -0.11186
  • Upside SD
    0.10165
  • Downside SD
    0.06885
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.15299
  • Mean of criterion
    0.17000
  • SD of predictor
    0.11185
  • SD of criterion
    0.11936
  • Covariance
    -0.00050
  • r
    -0.03755
  • b (slope, estimate of beta)
    -0.04007
  • a (intercept, estimate of alpha)
    0.17613
  • Mean Square Error
    0.01626
  • DF error
    7.00000
  • t(b)
    -0.09942
  • p(b)
    0.53820
  • t(a)
    1.10333
  • p(a)
    0.15318
  • Lowerbound of 95% confidence interval for beta
    -0.99320
  • Upperbound of 95% confidence interval for beta
    0.91305
  • Lowerbound of 95% confidence interval for alpha
    -0.20135
  • Upperbound of 95% confidence interval for alpha
    0.55361
  • Treynor index (mean / b)
    -4.24212
  • Jensen alpha (a)
    0.17613
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16217
  • SD
    0.11912
  • Sharpe ratio (Glass type estimate)
    1.36143
  • Sharpe ratio (Hedges UMVUE)
    1.22896
  • df
    8.00000
  • t
    1.17903
  • p
    0.13613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57088
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31000
  • Upside Potential Ratio
    3.93420
  • Upside part of mean
    0.27620
  • Downside part of mean
    -0.11403
  • Upside SD
    0.09938
  • Downside SD
    0.07020
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.14624
  • Mean of criterion
    0.16217
  • SD of predictor
    0.11079
  • SD of criterion
    0.11912
  • Covariance
    -0.00057
  • r
    -0.04332
  • b (slope, estimate of beta)
    -0.04658
  • a (intercept, estimate of alpha)
    0.16898
  • Mean Square Error
    0.01619
  • DF error
    7.00000
  • t(b)
    -0.11473
  • p(b)
    0.54406
  • t(a)
    1.06648
  • p(a)
    0.16080
  • Lowerbound of 95% confidence interval for beta
    -1.00665
  • Upperbound of 95% confidence interval for beta
    0.91348
  • Lowerbound of 95% confidence interval for alpha
    -0.20569
  • Upperbound of 95% confidence interval for alpha
    0.54366
  • Treynor index (mean / b)
    -3.48153
  • Jensen alpha (a)
    0.16898
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04213
  • Expected Shortfall on VaR
    0.05572
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01179
  • Expected Shortfall on VaR
    0.02771
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.95610
  • Quartile 1
    1.01765
  • Median
    1.01901
  • Quartile 3
    1.04239
  • Maximum
    1.05328
  • Mean of quarter 1
    0.97947
  • Mean of quarter 2
    1.01878
  • Mean of quarter 3
    1.03579
  • Mean of quarter 4
    1.05044
  • Inter Quartile Range
    0.02474
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.22222
  • Mean of outliers low
    0.96038
  • 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)
    -3.63024
  • VaR(95%) (regression method)
    0.10937
  • Expected Shortfall (regression method)
    0.10952
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.07768
  • Quartile 1
    0.07768
  • Median
    0.07768
  • Quartile 3
    0.07768
  • Maximum
    0.07768
  • 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)
    0.20430
  • Compounded annual return (geometric extrapolation)
    0.20934
  • Calmar ratio (compounded annual return / max draw down)
    2.69481
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.75697
  • 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
    0.13172
  • SD
    0.09825
  • Sharpe ratio (Glass type estimate)
    1.34066
  • Sharpe ratio (Hedges UMVUE)
    1.33570
  • df
    203.00000
  • t
    1.18300
  • p
    0.11910
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88597
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88927
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56068
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00276
  • Upside Potential Ratio
    9.20086
  • Upside part of mean
    0.60515
  • Downside part of mean
    -0.47342
  • Upside SD
    0.07312
  • Downside SD
    0.06577
  • N nonnegative terms
    95.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    204.00000
  • Mean of predictor
    0.11981
  • Mean of criterion
    0.13172
  • SD of predictor
    0.13231
  • SD of criterion
    0.09825
  • Covariance
    0.00246
  • r
    0.18954
  • b (slope, estimate of beta)
    0.14075
  • a (intercept, estimate of alpha)
    0.11500
  • Mean Square Error
    0.00935
  • DF error
    202.00000
  • t(b)
    2.74356
  • p(b)
    0.00331
  • t(a)
    1.04636
  • p(a)
    0.14832
  • Lowerbound of 95% confidence interval for beta
    0.03959
  • Upperbound of 95% confidence interval for beta
    0.24191
  • Lowerbound of 95% confidence interval for alpha
    -0.10158
  • Upperbound of 95% confidence interval for alpha
    0.33130
  • Treynor index (mean / b)
    0.93586
  • Jensen alpha (a)
    0.11486
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12688
  • SD
    0.09821
  • Sharpe ratio (Glass type estimate)
    1.29195
  • Sharpe ratio (Hedges UMVUE)
    1.28717
  • df
    203.00000
  • t
    1.14002
  • p
    0.12781
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51188
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91770
  • Upside Potential Ratio
    9.10548
  • Upside part of mean
    0.60243
  • Downside part of mean
    -0.47555
  • Upside SD
    0.07267
  • Downside SD
    0.06616
  • N nonnegative terms
    95.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    204.00000
  • Mean of predictor
    0.11104
  • Mean of criterion
    0.12688
  • SD of predictor
    0.13257
  • SD of criterion
    0.09821
  • Covariance
    0.00246
  • r
    0.18887
  • b (slope, estimate of beta)
    0.13991
  • a (intercept, estimate of alpha)
    0.11134
  • Mean Square Error
    0.00935
  • DF error
    202.00000
  • t(b)
    2.73353
  • p(b)
    0.00341
  • t(a)
    1.01488
  • p(a)
    0.15569
  • Lowerbound of 95% confidence interval for beta
    0.03899
  • Upperbound of 95% confidence interval for beta
    0.24083
  • Lowerbound of 95% confidence interval for alpha
    -0.10498
  • Upperbound of 95% confidence interval for alpha
    0.32766
  • Treynor index (mean / b)
    0.90686
  • Jensen alpha (a)
    0.11134
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00945
  • Expected Shortfall on VaR
    0.01196
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00431
  • Expected Shortfall on VaR
    0.00872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    204.00000
  • Minimum
    0.98060
  • Quartile 1
    0.99873
  • Median
    1.00000
  • Quartile 3
    1.00420
  • Maximum
    1.02033
  • Mean of quarter 1
    0.99313
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00151
  • Mean of quarter 4
    1.00793
  • Inter Quartile Range
    0.00547
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.05392
  • Mean of outliers low
    0.98652
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.02941
  • Mean of outliers high
    1.01723
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.22060
  • VaR(95%) (moments method)
    0.00462
  • Expected Shortfall (moments method)
    0.00491
  • Extreme Value Index (regression method)
    -0.41146
  • VaR(95%) (regression method)
    0.00720
  • Expected Shortfall (regression method)
    0.00899
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00070
  • Quartile 1
    0.00540
  • Median
    0.00841
  • Quartile 3
    0.03026
  • Maximum
    0.10061
  • Mean of quarter 1
    0.00304
  • Mean of quarter 2
    0.00576
  • Mean of quarter 3
    0.01340
  • Mean of quarter 4
    0.05992
  • Inter Quartile Range
    0.02485
  • 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
    0.10000
  • Mean of outliers high
    0.10061
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.06699
  • VaR(95%) (moments method)
    0.06684
  • Expected Shortfall (moments method)
    0.08734
  • Extreme Value Index (regression method)
    1.64834
  • VaR(95%) (regression method)
    0.12133
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16450
  • Compounded annual return (geometric extrapolation)
    0.16741
  • Calmar ratio (compounded annual return / max draw down)
    1.66389
  • Compounded annual return / average of 25% largest draw downs
    2.79374
  • Compounded annual return / Expected Shortfall lognormal
    14.00180
  • 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
    -0.00482
  • SD
    0.09854
  • Sharpe ratio (Glass type estimate)
    -0.04890
  • Sharpe ratio (Hedges UMVUE)
    -0.04862
  • df
    130.00000
  • t
    -0.03458
  • p
    0.50152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82071
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82043
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72319
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06543
  • Upside Potential Ratio
    7.35479
  • Upside part of mean
    0.54160
  • Downside part of mean
    -0.54642
  • Upside SD
    0.06490
  • Downside SD
    0.07364
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07318
  • Mean of criterion
    -0.00482
  • SD of predictor
    0.14607
  • SD of criterion
    0.09854
  • Covariance
    0.00213
  • r
    0.14778
  • b (slope, estimate of beta)
    0.09969
  • a (intercept, estimate of alpha)
    -0.01211
  • Mean Square Error
    0.00957
  • DF error
    129.00000
  • t(b)
    1.69708
  • p(b)
    0.40626
  • t(a)
    -0.08752
  • p(a)
    0.50491
  • Lowerbound of 95% confidence interval for beta
    -0.01653
  • Upperbound of 95% confidence interval for beta
    0.21591
  • Lowerbound of 95% confidence interval for alpha
    -0.28598
  • Upperbound of 95% confidence interval for alpha
    0.26175
  • Treynor index (mean / b)
    -0.04834
  • Jensen alpha (a)
    -0.01211
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00964
  • SD
    0.09867
  • Sharpe ratio (Glass type estimate)
    -0.09774
  • Sharpe ratio (Hedges UMVUE)
    -0.09717
  • df
    130.00000
  • t
    -0.06911
  • p
    0.50303
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.86945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.86900
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67466
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.13014
  • Upside Potential Ratio
    7.27932
  • Upside part of mean
    0.53945
  • Downside part of mean
    -0.54910
  • Upside SD
    0.06458
  • Downside SD
    0.07411
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06255
  • Mean of criterion
    -0.00964
  • SD of predictor
    0.14643
  • SD of criterion
    0.09867
  • Covariance
    0.00213
  • r
    0.14722
  • b (slope, estimate of beta)
    0.09921
  • a (intercept, estimate of alpha)
    -0.01585
  • Mean Square Error
    0.00960
  • DF error
    129.00000
  • t(b)
    1.69057
  • p(b)
    0.40661
  • t(a)
    -0.11435
  • p(a)
    0.50641
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.01690
  • Upperbound of 95% confidence interval for beta
    0.21532
  • Lowerbound of 95% confidence interval for alpha
    -0.29009
  • Upperbound of 95% confidence interval for alpha
    0.25839
  • Treynor index (mean / b)
    -0.09721
  • Jensen alpha (a)
    -0.01585
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01001
  • Expected Shortfall on VaR
    0.01253
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00520
  • Expected Shortfall on VaR
    0.01031
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98060
  • Quartile 1
    0.99774
  • Median
    1.00000
  • Quartile 3
    1.00379
  • Maximum
    1.01516
  • Mean of quarter 1
    0.99221
  • Mean of quarter 2
    0.99976
  • Mean of quarter 3
    1.00113
  • Mean of quarter 4
    1.00729
  • Inter Quartile Range
    0.00605
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98438
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01469
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.69367
  • VaR(95%) (moments method)
    0.00655
  • Expected Shortfall (moments method)
    0.00741
  • Extreme Value Index (regression method)
    -0.46455
  • VaR(95%) (regression method)
    0.00819
  • Expected Shortfall (regression method)
    0.00985
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00584
  • Quartile 1
    0.02496
  • Median
    0.04409
  • Quartile 3
    0.07235
  • Maximum
    0.10061
  • Mean of quarter 1
    0.00584
  • Mean of quarter 2
    0.04409
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10061
  • Inter Quartile Range
    0.04738
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351070000
  • Max Equity Drawdown (num days)
    79
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01835
  • Compounded annual return (geometric extrapolation)
    0.01843
  • Calmar ratio (compounded annual return / max draw down)
    0.18318
  • Compounded annual return / average of 25% largest draw downs
    0.18318
  • Compounded annual return / Expected Shortfall lognormal
    1.47096

Strategy Description

"TQQQ Ascent" is based on a quantitative model that evaluates the price action on a daily basis. Based on a number of factors, an Entry is made when the calculated probabilities favor the Entry. Each Entry is protected by a Stop Loss (Stop Order) and is calculated in conjunction with Position Size to limit the loss to approximately 1.5% for the trade. Separately, a Profit Taker (Limit Order) is also put in place to capture gains. The Stop Loss and the Profit Taker are calculated by the model utilizing historical data. Obviously, no strategy can predict the High of the day so profits will be taken when the statistics favor exiting based on historical data.

Finally, each Entry is closed by the end of the day should neither the Stop Loss or Profit Taker be reached. No positions are held overnight and no positions are held over weekends.

The main inventor of this Strategy has been building statistical models for many years. His initial work was for the Department of Defense during the 1980's. We have been working on the key elements of this financial model's technique for over 8 years.
v. 6-24-2024
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-04-01
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.9%
Rank # 
#112
# Trades
111
# Profitable
66
% Profitable
59.5%
Correlation S&P500
0.214
Sharpe Ratio
0.65
Sortino Ratio
0.95
Beta
0.17
Alpha
0.02
Leverage
2.49 Average
2.94 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.