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Tech Savvy
(94025749)

Created by: ThomasLemke ThomasLemke
Started: 04/2015
Stocks
Last trade: 8 days ago
Trading style: Equity Momentum Short-term Reversal

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 $99.00 per month.

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).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
41.0%
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.

(28.9%)
Max Drawdown
87
Num Trades
58.6%
Win Trades
2.4 : 1
Profit Factor
68.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                     +7.3%+0.5%(1.6%)+15.4%(3.4%)(1.2%)+8.0%+4.0%(7.4%)+21.6%
2016(7.2%)+12.1%(3.5%)+8.2%(0.1%)+11.3%(3%)(4.7%)+8.1%+0.5%+11.6%+8.9%+47.5%
2017+5.5%+4.1%+2.6%+6.4%+3.1%(10.2%)+13.6%(0.7%)+0.9%+4.6%+0.1%+3.0%+36.2%
2018+15.8%+11.1%+2.7%+2.1%(0.7%)+3.5%+7.0%+3.6%+1.8%(8.4%)+7.5%(6.8%)+43.5%

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.

System developer has asked us to delay this information by 120 hours.

Trading Record

This strategy has placed 77 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/18 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 7,400 45.70 12/4 15:44 47.25 0.06%
Trade id #121201711
Max drawdown($201)
Time11/27/18 16:00
Quant open7,400
Worst price45.67
Drawdown as % of equity-0.06%
$11,487
Includes Typical Broker Commissions trade costs of $5.00
10/31/18 15:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,300 52.58 11/12 11:52 48.98 3.72%
Trade id #120649643
Max drawdown($13,164)
Time11/12/18 11:34
Quant open3,300
Worst price48.59
Drawdown as % of equity-3.72%
($11,899)
Includes Typical Broker Commissions trade costs of $5.00
10/16/18 15:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,000 60.97 10/23 9:31 53.96 6%
Trade id #120387433
Max drawdown($22,191)
Time10/23/18 9:31
Quant open3,000
Worst price53.57
Drawdown as % of equity-6.00%
($21,025)
Includes Typical Broker Commissions trade costs of $5.00
9/13/18 15:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 5,300 69.42 10/4 14:39 69.31 6.54%
Trade id #119851310
Max drawdown($23,800)
Time9/17/18 19:51
Quant open5,300
Worst price64.93
Drawdown as % of equity-6.54%
($587)
Includes Typical Broker Commissions trade costs of $7.50
8/27/18 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,000 68.86 9/4 9:39 71.32 0.35%
Trade id #119603348
Max drawdown($1,305)
Time8/27/18 9:40
Quant open3,000
Worst price68.42
Drawdown as % of equity-0.35%
$7,376
Includes Typical Broker Commissions trade costs of $7.50
8/3/18 9:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,800 64.49 8/10 13:56 65.42 0.18%
Trade id #119268509
Max drawdown($685)
Time8/3/18 9:57
Quant open3,800
Worst price64.31
Drawdown as % of equity-0.18%
$3,535
Includes Typical Broker Commissions trade costs of $5.00
7/3/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 5,700 59.01 7/19 15:50 63.16 5.11%
Trade id #118757765
Max drawdown($17,158)
Time7/3/18 13:16
Quant open5,700
Worst price56.00
Drawdown as % of equity-5.11%
$23,645
Includes Typical Broker Commissions trade costs of $7.50
5/22/18 9:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,000 55.16 6/8 10:32 59.70 1.28%
Trade id #118040718
Max drawdown($4,245)
Time5/24/18 11:01
Quant open3,000
Worst price53.74
Drawdown as % of equity-1.28%
$13,642
Includes Typical Broker Commissions trade costs of $7.50
5/14/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 900 167.91 5/18 10:01 160.68 2.37%
Trade id #117915922
Max drawdown($7,894)
Time5/15/18 14:02
Quant open900
Worst price159.14
Drawdown as % of equity-2.37%
($6,509)
Includes Typical Broker Commissions trade costs of $5.00
4/27/18 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 152.19 5/2 15:53 145.33 3.6%
Trade id #117693282
Max drawdown($12,166)
Time5/1/18 9:44
Quant open1,100
Worst price141.13
Drawdown as % of equity-3.60%
($7,555)
Includes Typical Broker Commissions trade costs of $5.00
4/5/18 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,200 146.06 4/20 9:31 153.60 10.6%
Trade id #117381784
Max drawdown($32,200)
Time4/6/18 15:07
Quant open2,200
Worst price131.42
Drawdown as % of equity-10.60%
$16,594
Includes Typical Broker Commissions trade costs of $7.50
3/6/18 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,800 169.89 3/19 9:30 175.97 4.69%
Trade id #116881706
Max drawdown($15,007)
Time3/6/18 19:36
Quant open1,800
Worst price161.55
Drawdown as % of equity-4.69%
$10,937
Includes Typical Broker Commissions trade costs of $7.50
2/12/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,870 148.51 3/1 9:43 165.15 1.6%
Trade id #116468509
Max drawdown($4,637)
Time2/14/18 8:33
Quant open1,000
Worst price139.01
Drawdown as % of equity-1.60%
$31,120
Includes Typical Broker Commissions trade costs of $10.00
1/2/18 15:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,270 158.13 2/1 9:33 169.36 0.24%
Trade id #115653590
Max drawdown($605)
Time1/2/18 18:01
Quant open1,670
Worst price145.40
Drawdown as % of equity-0.24%
$36,682
Includes Typical Broker Commissions trade costs of $17.50
12/8/17 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,700 137.56 12/26 9:30 141.78 1.79%
Trade id #115256796
Max drawdown($4,343)
Time12/8/17 14:23
Quant open1,700
Worst price135.00
Drawdown as % of equity-1.79%
$7,167
Includes Typical Broker Commissions trade costs of $7.50
11/3/17 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,780 132.60 11/29 15:20 132.79 2.79%
Trade id #114680748
Max drawdown($6,834)
Time11/15/17 9:41
Quant open1,780
Worst price128.76
Drawdown as % of equity-2.79%
$339
Includes Typical Broker Commissions trade costs of $5.00
9/26/17 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,970 110.29 10/23 15:46 119.59 2.05%
Trade id #113861870
Max drawdown($4,568)
Time9/26/17 11:29
Quant open1,970
Worst price107.97
Drawdown as % of equity-2.05%
$18,318
Includes Typical Broker Commissions trade costs of $5.00
9/12/17 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,900 115.77 9/14 15:48 114.07 1.53%
Trade id #113641005
Max drawdown($3,527)
Time9/14/17 9:37
Quant open1,900
Worst price113.91
Drawdown as % of equity-1.53%
($3,238)
Includes Typical Broker Commissions trade costs of $5.00
8/14/17 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,900 110.16 9/5 9:36 114.24 6.98%
Trade id #113127971
Max drawdown($14,744)
Time8/21/17 10:24
Quant open1,900
Worst price102.40
Drawdown as % of equity-6.98%
$7,737
Includes Typical Broker Commissions trade costs of $5.00
8/7/17 15:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,000 112.85 8/10 12:10 107.06 5.62%
Trade id #113023069
Max drawdown($12,998)
Time8/10/17 12:06
Quant open2,000
Worst price106.35
Drawdown as % of equity-5.62%
($11,584)
Includes Typical Broker Commissions trade costs of $5.00
7/10/17 10:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,000 99.01 7/25 9:34 112.57 0.52%
Trade id #112496378
Max drawdown($1,079)
Time7/11/17 11:27
Quant open2,000
Worst price98.47
Drawdown as % of equity-0.52%
$27,116
Includes Typical Broker Commissions trade costs of $5.00
6/19/17 15:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,900 104.59 6/27 11:55 103.15 3.37%
Trade id #112123997
Max drawdown($6,898)
Time6/21/17 4:29
Quant open1,900
Worst price100.96
Drawdown as % of equity-3.37%
($2,736)
Includes Typical Broker Commissions trade costs of $5.00
6/13/17 15:38 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,000 104.04 6/16 10:33 99.43 6.42%
Trade id #112039496
Max drawdown($13,319)
Time6/15/17 10:27
Quant open2,000
Worst price97.38
Drawdown as % of equity-6.42%
($9,224)
Includes Typical Broker Commissions trade costs of $5.00
6/9/17 10:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,900 111.60 6/9 13:14 106.10 4.71%
Trade id #111989592
Max drawdown($10,438)
Time6/9/17 13:14
Quant open0
Worst price106.10
Drawdown as % of equity-4.71%
($10,443)
Includes Typical Broker Commissions trade costs of $5.00
5/22/17 15:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,100 101.16 5/31 15:54 105.97 0.44%
Trade id #111716744
Max drawdown($958)
Time5/22/17 19:58
Quant open2,100
Worst price100.70
Drawdown as % of equity-0.44%
$10,098
Includes Typical Broker Commissions trade costs of $5.00
5/9/17 9:38 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,100 99.82 5/17 14:23 96.77 2.9%
Trade id #111473436
Max drawdown($6,403)
Time5/17/17 14:23
Quant open0
Worst price96.77
Drawdown as % of equity-2.90%
($6,408)
Includes Typical Broker Commissions trade costs of $5.00
4/25/17 12:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,200 93.43 5/3 10:13 96.69 0.64%
Trade id #111252783
Max drawdown($1,398)
Time4/26/17 16:25
Quant open2,200
Worst price92.79
Drawdown as % of equity-0.64%
$7,185
Includes Typical Broker Commissions trade costs of $5.00
4/17/17 15:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,300 86.24 4/24 9:35 91.08 1.09%
Trade id #111064535
Max drawdown($2,231)
Time4/18/17 13:07
Quant open2,300
Worst price85.27
Drawdown as % of equity-1.09%
$11,138
Includes Typical Broker Commissions trade costs of $5.00
3/24/17 10:06 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,280 85.78 4/3 11:11 87.25 3.8%
Trade id #110420939
Max drawdown($7,638)
Time3/27/17 9:43
Quant open2,280
Worst price82.43
Drawdown as % of equity-3.80%
$3,347
Includes Typical Broker Commissions trade costs of $5.00
3/3/17 15:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,300 85.32 3/21 12:15 85.19 1.99%
Trade id #110030844
Max drawdown($4,025)
Time3/9/17 14:17
Quant open2,300
Worst price83.57
Drawdown as % of equity-1.99%
($304)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    4/23/2015
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    1329.68
  • Age
    44 months ago
  • What it trades
    Stocks
  • # Trades
    87
  • # Profitable
    51
  • % Profitable
    58.60%
  • Avg trade duration
    7.5 days
  • Max peak-to-valley drawdown
    28.94%
  • drawdown period
    Nov 13, 2015 - Feb 03, 2016
  • Annual Return (Compounded)
    41.0%
  • Avg win
    $8,670
  • Avg loss
    $5,071
  • Model Account Values (Raw)
  • Cash
    $359,635
  • Margin Used
    $0
  • Buying Power
    $359,635
  • Ratios
  • W:L ratio
    2.42:1
  • Sharpe Ratio
    1.535
  • Sortino Ratio
    2.61
  • Calmar Ratio
    1.661
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.13300
  • Return Statistics
  • Ann Return (w trading costs)
    41.0%
  • Ann Return (Compnd, No Fees)
    42.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    961
  • Popularity (Last 6 weeks)
    990
  • C2 Score
    97.6
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $5,071
  • Avg Win
    $8,671
  • # Winners
    51
  • # Losers
    36
  • % Winners
    58.6%
  • Frequency
  • Avg Position Time (mins)
    10844.10
  • Avg Position Time (hrs)
    180.73
  • Avg Trade Length
    7.5 days
  • Last Trade Ago
    8
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38340
  • SD
    0.26920
  • Sharpe ratio (Glass type estimate)
    1.42423
  • Sharpe ratio (Hedges UMVUE)
    1.39799
  • df
    41.00000
  • t
    2.66449
  • p
    0.00549
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32445
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48846
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73776
  • Upside Potential Ratio
    4.19036
  • Upside part of mean
    0.58683
  • Downside part of mean
    -0.20342
  • Upside SD
    0.25175
  • Downside SD
    0.14004
  • N nonnegative terms
    28.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.05588
  • Mean of criterion
    0.38340
  • SD of predictor
    0.13479
  • SD of criterion
    0.26920
  • Covariance
    0.01983
  • r
    0.54663
  • b (slope, estimate of beta)
    1.09175
  • a (intercept, estimate of alpha)
    0.32239
  • Mean Square Error
    0.05208
  • DF error
    40.00000
  • t(b)
    4.12867
  • p(b)
    0.00009
  • t(a)
    2.62365
  • p(a)
    0.00613
  • Lowerbound of 95% confidence interval for beta
    0.55731
  • Upperbound of 95% confidence interval for beta
    1.62618
  • Lowerbound of 95% confidence interval for alpha
    0.07404
  • Upperbound of 95% confidence interval for alpha
    0.57074
  • Treynor index (mean / b)
    0.35118
  • Jensen alpha (a)
    0.32239
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34273
  • SD
    0.26497
  • Sharpe ratio (Glass type estimate)
    1.29348
  • Sharpe ratio (Hedges UMVUE)
    1.26965
  • df
    41.00000
  • t
    2.41988
  • p
    0.01002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35273
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27022
  • Upside Potential Ratio
    3.68620
  • Upside part of mean
    0.55650
  • Downside part of mean
    -0.21377
  • Upside SD
    0.23566
  • Downside SD
    0.15097
  • N nonnegative terms
    28.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.04674
  • Mean of criterion
    0.34273
  • SD of predictor
    0.13546
  • SD of criterion
    0.26497
  • Covariance
    0.01958
  • r
    0.54558
  • b (slope, estimate of beta)
    1.06721
  • a (intercept, estimate of alpha)
    0.29285
  • Mean Square Error
    0.05054
  • DF error
    40.00000
  • t(b)
    4.11732
  • p(b)
    0.00009
  • t(a)
    2.42466
  • p(a)
    0.00997
  • Lowerbound of 95% confidence interval for beta
    0.54335
  • Upperbound of 95% confidence interval for beta
    1.59107
  • Lowerbound of 95% confidence interval for alpha
    0.04874
  • Upperbound of 95% confidence interval for alpha
    0.53695
  • Treynor index (mean / b)
    0.32115
  • Jensen alpha (a)
    0.29285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09267
  • Expected Shortfall on VaR
    0.12087
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02900
  • Expected Shortfall on VaR
    0.06475
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.80458
  • Quartile 1
    0.98867
  • Median
    1.03467
  • Quartile 3
    1.07428
  • Maximum
    1.21988
  • Mean of quarter 1
    0.93970
  • Mean of quarter 2
    1.01535
  • Mean of quarter 3
    1.05517
  • Mean of quarter 4
    1.12707
  • Inter Quartile Range
    0.08561
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02381
  • Mean of outliers low
    0.80458
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02381
  • Mean of outliers high
    1.21988
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.81395
  • VaR(95%) (moments method)
    0.04072
  • Expected Shortfall (moments method)
    0.04573
  • Extreme Value Index (regression method)
    -0.01216
  • VaR(95%) (regression method)
    0.07126
  • Expected Shortfall (regression method)
    0.10671
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00767
  • Quartile 1
    0.01623
  • Median
    0.04017
  • Quartile 3
    0.06285
  • Maximum
    0.25188
  • Mean of quarter 1
    0.00960
  • Mean of quarter 2
    0.02837
  • Mean of quarter 3
    0.04820
  • Mean of quarter 4
    0.13594
  • Inter Quartile Range
    0.04662
  • 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
    0.08333
  • Mean of outliers high
    0.25188
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48449
  • VaR(95%) (moments method)
    0.15409
  • Expected Shortfall (moments method)
    0.32327
  • Extreme Value Index (regression method)
    3.63169
  • VaR(95%) (regression method)
    0.29805
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75975
  • Compounded annual return (geometric extrapolation)
    0.44866
  • Calmar ratio (compounded annual return / max draw down)
    1.78121
  • Compounded annual return / average of 25% largest draw downs
    3.30031
  • Compounded annual return / Expected Shortfall lognormal
    3.71205
  • 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
    0.36129
  • SD
    0.23515
  • Sharpe ratio (Glass type estimate)
    1.53641
  • Sharpe ratio (Hedges UMVUE)
    1.53516
  • df
    926.00000
  • t
    2.88999
  • p
    0.00197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49167
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58032
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57948
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61014
  • Upside Potential Ratio
    8.71400
  • Upside part of mean
    1.20617
  • Downside part of mean
    -0.84488
  • Upside SD
    0.19125
  • Downside SD
    0.13842
  • N nonnegative terms
    321.00000
  • N negative terms
    606.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    927.00000
  • Mean of predictor
    0.04562
  • Mean of criterion
    0.36129
  • SD of predictor
    0.13702
  • SD of criterion
    0.23515
  • Covariance
    0.00437
  • r
    0.13555
  • b (slope, estimate of beta)
    0.23263
  • a (intercept, estimate of alpha)
    0.35100
  • Mean Square Error
    0.05434
  • DF error
    925.00000
  • t(b)
    4.16094
  • p(b)
    0.00002
  • t(a)
    2.82910
  • p(a)
    0.00238
  • Lowerbound of 95% confidence interval for beta
    0.12291
  • Upperbound of 95% confidence interval for beta
    0.34235
  • Lowerbound of 95% confidence interval for alpha
    0.10741
  • Upperbound of 95% confidence interval for alpha
    0.59394
  • Treynor index (mean / b)
    1.55306
  • Jensen alpha (a)
    0.35068
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33384
  • SD
    0.23247
  • Sharpe ratio (Glass type estimate)
    1.43603
  • Sharpe ratio (Hedges UMVUE)
    1.43487
  • df
    926.00000
  • t
    2.70118
  • p
    0.00352
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47889
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36806
  • Upside Potential Ratio
    8.43014
  • Upside part of mean
    1.18845
  • Downside part of mean
    -0.85461
  • Upside SD
    0.18584
  • Downside SD
    0.14098
  • N nonnegative terms
    321.00000
  • N negative terms
    606.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    927.00000
  • Mean of predictor
    0.03622
  • Mean of criterion
    0.33384
  • SD of predictor
    0.13719
  • SD of criterion
    0.23247
  • Covariance
    0.00446
  • r
    0.13989
  • b (slope, estimate of beta)
    0.23705
  • a (intercept, estimate of alpha)
    0.32525
  • Mean Square Error
    0.05304
  • DF error
    925.00000
  • t(b)
    4.29698
  • p(b)
    0.00001
  • t(a)
    2.65605
  • p(a)
    0.00402
  • Lowerbound of 95% confidence interval for beta
    0.12879
  • Upperbound of 95% confidence interval for beta
    0.34532
  • Lowerbound of 95% confidence interval for alpha
    0.08493
  • Upperbound of 95% confidence interval for alpha
    0.56558
  • Treynor index (mean / b)
    1.40828
  • Jensen alpha (a)
    0.32525
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02210
  • Expected Shortfall on VaR
    0.02794
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00866
  • Expected Shortfall on VaR
    0.01808
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    927.00000
  • Minimum
    0.92695
  • Quartile 1
    0.99813
  • Median
    1.00000
  • Quartile 3
    1.00467
  • Maximum
    1.15909
  • Mean of quarter 1
    0.98756
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00086
  • Mean of quarter 4
    1.01769
  • Inter Quartile Range
    0.00654
  • Number outliers low
    82.00000
  • Percentage of outliers low
    0.08846
  • Mean of outliers low
    0.97595
  • Number of outliers high
    104.00000
  • Percentage of outliers high
    0.11219
  • Mean of outliers high
    1.02862
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18777
  • VaR(95%) (moments method)
    0.00746
  • Expected Shortfall (moments method)
    0.01238
  • Extreme Value Index (regression method)
    0.10091
  • VaR(95%) (regression method)
    0.01206
  • Expected Shortfall (regression method)
    0.01965
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00695
  • Median
    0.02693
  • Quartile 3
    0.05987
  • Maximum
    0.26244
  • Mean of quarter 1
    0.00286
  • Mean of quarter 2
    0.01531
  • Mean of quarter 3
    0.03821
  • Mean of quarter 4
    0.11425
  • Inter Quartile Range
    0.05292
  • 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
    0.02222
  • Mean of outliers high
    0.26244
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.46869
  • VaR(95%) (moments method)
    0.11711
  • Expected Shortfall (moments method)
    0.13366
  • Extreme Value Index (regression method)
    -0.13573
  • VaR(95%) (regression method)
    0.11046
  • Expected Shortfall (regression method)
    0.13452
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73381
  • Compounded annual return (geometric extrapolation)
    0.43583
  • Calmar ratio (compounded annual return / max draw down)
    1.66073
  • Compounded annual return / average of 25% largest draw downs
    3.81476
  • Compounded annual return / Expected Shortfall lognormal
    15.59940
  • 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
    0.07003
  • SD
    0.23227
  • Sharpe ratio (Glass type estimate)
    0.30149
  • Sharpe ratio (Hedges UMVUE)
    0.29974
  • df
    130.00000
  • t
    0.21318
  • p
    0.49065
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07305
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07179
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44590
  • Upside Potential Ratio
    6.50410
  • Upside part of mean
    1.02144
  • Downside part of mean
    -0.95142
  • Upside SD
    0.16998
  • Downside SD
    0.15705
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    0.07003
  • SD of predictor
    0.14819
  • SD of criterion
    0.23227
  • Covariance
    0.01677
  • r
    0.48720
  • b (slope, estimate of beta)
    0.76362
  • a (intercept, estimate of alpha)
    0.15924
  • Mean Square Error
    0.04146
  • DF error
    129.00000
  • t(b)
    6.33651
  • p(b)
    0.20258
  • t(a)
    0.55232
  • p(a)
    0.46909
  • Lowerbound of 95% confidence interval for beta
    0.52519
  • Upperbound of 95% confidence interval for beta
    1.00206
  • Lowerbound of 95% confidence interval for alpha
    -0.41119
  • Upperbound of 95% confidence interval for alpha
    0.72967
  • Treynor index (mean / b)
    0.09170
  • Jensen alpha (a)
    0.15924
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04328
  • SD
    0.23211
  • Sharpe ratio (Glass type estimate)
    0.18645
  • Sharpe ratio (Hedges UMVUE)
    0.18538
  • df
    130.00000
  • t
    0.13184
  • p
    0.49422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58652
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95727
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27030
  • Upside Potential Ratio
    6.29106
  • Upside part of mean
    1.00724
  • Downside part of mean
    -0.96397
  • Upside SD
    0.16684
  • Downside SD
    0.16011
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    0.04328
  • SD of predictor
    0.14884
  • SD of criterion
    0.23211
  • Covariance
    0.01678
  • r
    0.48581
  • b (slope, estimate of beta)
    0.75758
  • a (intercept, estimate of alpha)
    0.14010
  • Mean Square Error
    0.04148
  • DF error
    129.00000
  • t(b)
    6.31268
  • p(b)
    0.20336
  • t(a)
    0.48573
  • p(a)
    0.47281
  • Lowerbound of 95% confidence interval for beta
    0.52014
  • Upperbound of 95% confidence interval for beta
    0.99503
  • Lowerbound of 95% confidence interval for alpha
    -0.43056
  • Upperbound of 95% confidence interval for alpha
    0.71076
  • Treynor index (mean / b)
    0.05713
  • Jensen alpha (a)
    0.14010
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02315
  • Expected Shortfall on VaR
    0.02897
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01047
  • Expected Shortfall on VaR
    0.02165
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94176
  • Quartile 1
    0.99827
  • Median
    1.00000
  • Quartile 3
    1.00064
  • Maximum
    1.05447
  • Mean of quarter 1
    0.98597
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.01556
  • Inter Quartile Range
    0.00237
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.97850
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.19847
  • Mean of outliers high
    1.01906
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47210
  • VaR(95%) (moments method)
    0.00973
  • Expected Shortfall (moments method)
    0.02270
  • Extreme Value Index (regression method)
    0.20805
  • VaR(95%) (regression method)
    0.01403
  • Expected Shortfall (regression method)
    0.02507
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00139
  • Quartile 1
    0.00976
  • Median
    0.02279
  • Quartile 3
    0.04375
  • Maximum
    0.12109
  • Mean of quarter 1
    0.00506
  • Mean of quarter 2
    0.01862
  • Mean of quarter 3
    0.04260
  • Mean of quarter 4
    0.11340
  • Inter Quartile Range
    0.03399
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.11340
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -96.50080
  • VaR(95%) (moments method)
    0.08575
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.01104
  • VaR(95%) (regression method)
    0.18266
  • Expected Shortfall (regression method)
    0.18313
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07247
  • Compounded annual return (geometric extrapolation)
    0.07378
  • Calmar ratio (compounded annual return / max draw down)
    0.60929
  • Compounded annual return / average of 25% largest draw downs
    0.65059
  • Compounded annual return / Expected Shortfall lognormal
    2.54663

Strategy Description

Swing trading exclusively in TQQQ and SQQQ. I will hold long positions only in these two ETFs.

Summary Statistics

Strategy began
2015-04-23
Suggested Minimum Capital
$60,000
# Trades
87
# Profitable
51
% Profitable
58.6%
Correlation S&P500
0.133
Sharpe Ratio
1.535

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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