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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 03/28/2017
Most recent certification approved 3/28/17 19:28 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 75%
# trading signals issued by system since certification 1
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 0
Percent signals followed since 03/28/2017 0%
This information was last updated 3/28/17 19:40 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/28/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to Collective2/how-we-calculate-hypothetical-results">learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

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

4QTiming NDX3x (105498828)

Created by: 4QTiming 4QTiming
Started: 11/2016
Stocks
Last trade: 7 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $75.00 per month.

48.2%
Cumul. Return
5.9%
Max Drawdown
14
Num Trades
64.3%
Win Trades
7.6 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +5.0%+10.9%+15.5%
2017+11.3%+7.7%(1.5%)(0.8%)+6.8%+2.5%                                    +28.3%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 96 hours.

Trading Record

This strategy has placed 16 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/13/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 135 103.52 6/14 15:56 102.29 3.23%
Trade id #112040196
Max drawdown($484)
Time6/14/17 15:15
Quant open135
Worst price99.93
Drawdown as % of equity-3.23%
($169)
Includes Typical Broker Commissions trade costs of $2.70
5/22/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 132 101.42 6/9 12:37 107.65 0.66%
Trade id #111718155
Max drawdown($95)
Time5/22/17 19:58
Quant open132
Worst price100.70
Drawdown as % of equity-0.66%
$819
Includes Typical Broker Commissions trade costs of $2.64
4/25/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 135 93.58 5/17 10:54 97.99 0.77%
Trade id #111259494
Max drawdown($106)
Time4/26/17 16:25
Quant open135
Worst price92.79
Drawdown as % of equity-0.77%
$593
Includes Typical Broker Commissions trade costs of $2.70
4/20/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 142 88.82 4/21 15:56 88.40 1.13%
Trade id #111168836
Max drawdown($155)
Time4/21/17 13:12
Quant open142
Worst price87.72
Drawdown as % of equity-1.13%
($63)
Includes Typical Broker Commissions trade costs of $2.84
3/28/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 145 87.06 4/3 12:01 86.78 0.43%
Trade id #110493248
Max drawdown($59)
Time3/28/17 16:24
Quant open145
Worst price86.65
Drawdown as % of equity-0.43%
($43)
Includes Typical Broker Commissions trade costs of $2.90
3/15/17 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 87.73 3/21 11:03 85.79 2.07%
Trade id #110258132
Max drawdown($291)
Time3/21/17 11:03
Quant open0
Worst price85.79
Drawdown as % of equity-2.07%
($294)
Includes Typical Broker Commissions trade costs of $3.00
2/7/17 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 160 76.43 2/24 15:18 83.11 0.69%
Trade id #109367813
Max drawdown($90)
Time2/8/17 9:51
Quant open160
Worst price75.87
Drawdown as % of equity-0.69%
$1,066
Includes Typical Broker Commissions trade costs of $3.20
1/12/17 13:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 170 70.17 1/30 15:55 74.11 0.3%
Trade id #108601824
Max drawdown($37)
Time1/12/17 14:07
Quant open170
Worst price69.95
Drawdown as % of equity-0.30%
$667
Includes Typical Broker Commissions trade costs of $3.40
12/30/16 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 170 63.08 1/12/17 9:30 70.08 n/a $1,187
Includes Typical Broker Commissions trade costs of $3.40
12/22/16 15:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 860 12.59 12/27 9:45 12.27 2.4%
Trade id #108145467
Max drawdown($275)
Time12/27/16 9:45
Quant open0
Worst price12.27
Drawdown as % of equity-2.40%
($280)
Includes Typical Broker Commissions trade costs of $5.00
12/5/16 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 82 120.68 12/22 15:54 132.10 0.91%
Trade id #107745503
Max drawdown($96)
Time12/7/16 10:00
Quant open82
Worst price119.50
Drawdown as % of equity-0.91%
$934
Includes Typical Broker Commissions trade costs of $1.64
11/30/16 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 765 13.56 12/5 10:54 13.72 0.36%
Trade id #107635074
Max drawdown($38)
Time11/30/16 16:16
Quant open765
Worst price13.51
Drawdown as % of equity-0.36%
$117
Includes Typical Broker Commissions trade costs of $5.00
11/16/16 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 82 117.95 11/30 15:52 123.87 n/a $483
Includes Typical Broker Commissions trade costs of $1.64

Statistics

  • Strategy began
    11/15/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    220.56
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    14
  • # Profitable
    9
  • % Profitable
    64.30%
  • Avg trade duration
    10.5 days
  • Max peak-to-valley drawdown
    5.91%
  • drawdown period
    Feb 22, 2017 - April 26, 2017
  • Cumul. Return
    48.2%
  • Avg win
    $701.67
  • Avg loss
    $166.40
  • Model Account Values (Raw)
  • Cash
    $15,484
  • Margin Used
    $0
  • Buying Power
    $15,484
  • Ratios
  • W:L ratio
    7.59:1
  • Sharpe Ratio
    4.621
  • Sortino Ratio
    9.206
  • Calmar Ratio
    24.824
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.32200
  • Return Statistics
  • Ann Return (w trading costs)
    90.0%
  • Ann Return (Compnd, No Fees)
    105.5%
  • 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 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    876
  • Popularity (Last 6 weeks)
    974
  • C2 Score
    87.6
  • Trades-Own-System Certification
  • Trades Own System?
    183924
  • TOS percent
    75%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $166
  • Avg Win
    $702
  • # Winners
    9
  • # Losers
    5
  • % Winners
    64.3%
  • Frequency
  • Avg Position Time (mins)
    15079.30
  • Avg Position Time (hrs)
    251.32
  • Avg Trade Length
    10.5 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71197
  • SD
    0.20843
  • Sharpe ratio (Glass type estimate)
    3.41581
  • Sharpe ratio (Hedges UMVUE)
    2.96706
  • df
    6.00000
  • t
    2.60887
  • p
    0.02009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.51432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.03358
  • Statistics related to Sortino ratio
  • Sortino ratio
    28.26200
  • Upside Potential Ratio
    29.57130
  • Upside part of mean
    0.74495
  • Downside part of mean
    -0.03298
  • Upside SD
    0.28079
  • Downside SD
    0.02519
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.16339
  • Mean of criterion
    0.71197
  • SD of predictor
    0.06566
  • SD of criterion
    0.20843
  • Covariance
    0.00890
  • r
    0.65052
  • b (slope, estimate of beta)
    2.06494
  • a (intercept, estimate of alpha)
    0.37457
  • Mean Square Error
    0.03007
  • DF error
    5.00000
  • t(b)
    1.91523
  • p(b)
    0.05681
  • t(a)
    1.30340
  • p(a)
    0.12461
  • Lowerbound of 95% confidence interval for beta
    -0.70670
  • Upperbound of 95% confidence interval for beta
    4.83657
  • Lowerbound of 95% confidence interval for alpha
    -0.36419
  • Upperbound of 95% confidence interval for alpha
    1.11333
  • Treynor index (mean / b)
    0.34479
  • Jensen alpha (a)
    0.37457
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67368
  • SD
    0.19535
  • Sharpe ratio (Glass type estimate)
    3.44853
  • Sharpe ratio (Hedges UMVUE)
    2.99549
  • df
    6.00000
  • t
    2.63386
  • p
    0.01943
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16456
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.55751
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.07084
  • Statistics related to Sortino ratio
  • Sortino ratio
    26.54620
  • Upside Potential Ratio
    27.85560
  • Upside part of mean
    0.70691
  • Downside part of mean
    -0.03323
  • Upside SD
    0.26436
  • Downside SD
    0.02538
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.16012
  • Mean of criterion
    0.67368
  • SD of predictor
    0.06479
  • SD of criterion
    0.19535
  • Covariance
    0.00825
  • r
    0.65214
  • b (slope, estimate of beta)
    1.96632
  • a (intercept, estimate of alpha)
    0.35883
  • Mean Square Error
    0.02632
  • DF error
    5.00000
  • t(b)
    1.92352
  • p(b)
    0.05621
  • t(a)
    1.33811
  • p(a)
    0.11924
  • Lowerbound of 95% confidence interval for beta
    -0.66157
  • Upperbound of 95% confidence interval for beta
    4.59420
  • Lowerbound of 95% confidence interval for alpha
    -0.33053
  • Upperbound of 95% confidence interval for alpha
    1.04819
  • Treynor index (mean / b)
    0.34261
  • Jensen alpha (a)
    0.35883
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03596
  • Expected Shortfall on VaR
    0.05820
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00211
  • Expected Shortfall on VaR
    0.00637
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.98309
  • Quartile 1
    1.02004
  • Median
    1.05491
  • Quartile 3
    1.09820
  • Maximum
    1.15714
  • Mean of quarter 1
    0.99689
  • Mean of quarter 2
    1.04214
  • Mean of quarter 3
    1.09200
  • Mean of quarter 4
    1.13077
  • Inter Quartile Range
    0.07816
  • 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
    0.01691
  • Quartile 1
    0.01691
  • Median
    0.01691
  • Quartile 3
    0.01691
  • Maximum
    0.01691
  • 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)
    0.86691
  • Compounded annual return (geometric extrapolation)
    1.01695
  • Calmar ratio (compounded annual return / max draw down)
    60.13100
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    17.47230
  • 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
    0.70977
  • SD
    0.15287
  • Sharpe ratio (Glass type estimate)
    4.64307
  • Sharpe ratio (Hedges UMVUE)
    4.62086
  • df
    157.00000
  • t
    3.60565
  • p
    0.32622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.06052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.21153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04574
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.19597
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.20601
  • Upside Potential Ratio
    16.00950
  • Upside part of mean
    1.23431
  • Downside part of mean
    -0.52454
  • Upside SD
    0.13856
  • Downside SD
    0.07710
  • N nonnegative terms
    75.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    158.00000
  • Mean of predictor
    0.15940
  • Mean of criterion
    0.70977
  • SD of predictor
    0.06887
  • SD of criterion
    0.15287
  • Covariance
    0.00316
  • r
    0.29983
  • b (slope, estimate of beta)
    0.66554
  • a (intercept, estimate of alpha)
    0.60400
  • Mean Square Error
    0.02140
  • DF error
    156.00000
  • t(b)
    3.92551
  • p(b)
    0.35008
  • t(a)
    3.17189
  • p(a)
    0.37693
  • Lowerbound of 95% confidence interval for beta
    0.33065
  • Upperbound of 95% confidence interval for beta
    1.00044
  • Lowerbound of 95% confidence interval for alpha
    0.22774
  • Upperbound of 95% confidence interval for alpha
    0.97962
  • Treynor index (mean / b)
    1.06645
  • Jensen alpha (a)
    0.60368
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69721
  • SD
    0.15220
  • Sharpe ratio (Glass type estimate)
    4.58101
  • Sharpe ratio (Hedges UMVUE)
    4.55909
  • df
    157.00000
  • t
    3.55745
  • p
    0.32831
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.99982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.14822
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98532
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.13286
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.97178
  • Upside Potential Ratio
    15.75950
  • Upside part of mean
    1.22470
  • Downside part of mean
    -0.52749
  • Upside SD
    0.13723
  • Downside SD
    0.07771
  • N nonnegative terms
    75.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    158.00000
  • Mean of predictor
    0.15698
  • Mean of criterion
    0.69721
  • SD of predictor
    0.06885
  • SD of criterion
    0.15220
  • Covariance
    0.00314
  • r
    0.30003
  • b (slope, estimate of beta)
    0.66323
  • a (intercept, estimate of alpha)
    0.59310
  • Mean Square Error
    0.02121
  • DF error
    156.00000
  • t(b)
    3.92830
  • p(b)
    0.34999
  • t(a)
    3.13114
  • p(a)
    0.37842
  • Lowerbound of 95% confidence interval for beta
    0.32973
  • Upperbound of 95% confidence interval for beta
    0.99672
  • Lowerbound of 95% confidence interval for alpha
    0.21894
  • Upperbound of 95% confidence interval for alpha
    0.96726
  • Treynor index (mean / b)
    1.05125
  • Jensen alpha (a)
    0.59310
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01272
  • Expected Shortfall on VaR
    0.01659
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00470
  • Expected Shortfall on VaR
    0.00974
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    158.00000
  • Minimum
    0.97527
  • Quartile 1
    0.99833
  • Median
    1.00000
  • Quartile 3
    1.00836
  • Maximum
    1.02957
  • Mean of quarter 1
    0.99245
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00351
  • Mean of quarter 4
    1.01539
  • Inter Quartile Range
    0.01003
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01899
  • Mean of outliers low
    0.97727
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03165
  • Mean of outliers high
    1.02684
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14238
  • VaR(95%) (moments method)
    0.00533
  • Expected Shortfall (moments method)
    0.00709
  • Extreme Value Index (regression method)
    0.01372
  • VaR(95%) (regression method)
    0.00791
  • Expected Shortfall (regression method)
    0.01183
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00600
  • Median
    0.00803
  • Quartile 3
    0.03155
  • Maximum
    0.04290
  • Mean of quarter 1
    0.00333
  • Mean of quarter 2
    0.00732
  • Mean of quarter 3
    0.01841
  • Mean of quarter 4
    0.03975
  • Inter Quartile Range
    0.02554
  • 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)
    -5.07155
  • VaR(95%) (moments method)
    0.04019
  • Expected Shortfall (moments method)
    0.04019
  • Extreme Value Index (regression method)
    -1.71550
  • VaR(95%) (regression method)
    0.03870
  • Expected Shortfall (regression method)
    0.03895
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90954
  • Compounded annual return (geometric extrapolation)
    1.06498
  • Calmar ratio (compounded annual return / max draw down)
    24.82440
  • Compounded annual return / average of 25% largest draw downs
    26.78970
  • Compounded annual return / Expected Shortfall lognormal
    64.19880
  • 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
    0.56503
  • SD
    0.14053
  • Sharpe ratio (Glass type estimate)
    4.02082
  • Sharpe ratio (Hedges UMVUE)
    3.99757
  • df
    130.00000
  • t
    2.84315
  • p
    0.37902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.19890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.82791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18350
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.81165
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.84153
  • Upside Potential Ratio
    14.55620
  • Upside part of mean
    1.04886
  • Downside part of mean
    -0.48383
  • Upside SD
    0.12499
  • Downside SD
    0.07206
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12487
  • Mean of criterion
    0.56503
  • SD of predictor
    0.06822
  • SD of criterion
    0.14053
  • Covariance
    0.00286
  • r
    0.29881
  • b (slope, estimate of beta)
    0.61548
  • a (intercept, estimate of alpha)
    0.48818
  • Mean Square Error
    0.01812
  • DF error
    129.00000
  • t(b)
    3.55626
  • p(b)
    0.31264
  • t(a)
    2.54774
  • p(a)
    0.36178
  • Lowerbound of 95% confidence interval for beta
    0.27306
  • Upperbound of 95% confidence interval for beta
    0.95791
  • Lowerbound of 95% confidence interval for alpha
    0.10907
  • Upperbound of 95% confidence interval for alpha
    0.86728
  • Treynor index (mean / b)
    0.91803
  • Jensen alpha (a)
    0.48818
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55463
  • SD
    0.13991
  • Sharpe ratio (Glass type estimate)
    3.96431
  • Sharpe ratio (Hedges UMVUE)
    3.94139
  • df
    130.00000
  • t
    2.80319
  • p
    0.38063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.14370
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.77022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.75429
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.63968
  • Upside Potential Ratio
    14.33950
  • Upside part of mean
    1.04104
  • Downside part of mean
    -0.48640
  • Upside SD
    0.12381
  • Downside SD
    0.07260
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12252
  • Mean of criterion
    0.55463
  • SD of predictor
    0.06823
  • SD of criterion
    0.13991
  • Covariance
    0.00287
  • r
    0.30054
  • b (slope, estimate of beta)
    0.61623
  • a (intercept, estimate of alpha)
    0.47914
  • Mean Square Error
    0.01794
  • DF error
    129.00000
  • t(b)
    3.57892
  • p(b)
    0.31159
  • t(a)
    2.51366
  • p(a)
    0.36351
  • Lowerbound of 95% confidence interval for beta
    0.27556
  • Upperbound of 95% confidence interval for beta
    0.95690
  • Lowerbound of 95% confidence interval for alpha
    0.10200
  • Upperbound of 95% confidence interval for alpha
    0.85627
  • Treynor index (mean / b)
    0.90004
  • Jensen alpha (a)
    0.47914
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01203
  • Expected Shortfall on VaR
    0.01558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00454
  • Expected Shortfall on VaR
    0.00937
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97527
  • Quartile 1
    0.99874
  • Median
    1.00000
  • Quartile 3
    1.00705
  • Maximum
    1.02957
  • Mean of quarter 1
    0.99300
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00244
  • Mean of quarter 4
    1.01371
  • Inter Quartile Range
    0.00831
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98167
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02411
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07599
  • VaR(95%) (moments method)
    0.00469
  • Expected Shortfall (moments method)
    0.00645
  • Extreme Value Index (regression method)
    0.17616
  • VaR(95%) (regression method)
    0.00673
  • Expected Shortfall (regression method)
    0.01127
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00499
  • Median
    0.00982
  • Quartile 3
    0.02970
  • Maximum
    0.04290
  • Mean of quarter 1
    0.00189
  • Mean of quarter 2
    0.00675
  • Mean of quarter 3
    0.01878
  • Mean of quarter 4
    0.04113
  • Inter Quartile Range
    0.02470
  • 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)
    -0.03971
  • VaR(95%) (moments method)
    0.04185
  • Expected Shortfall (moments method)
    0.04314
  • Extreme Value Index (regression method)
    3.86618
  • VaR(95%) (regression method)
    0.04376
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67626
  • Compounded annual return (geometric extrapolation)
    0.79058
  • Calmar ratio (compounded annual return / max draw down)
    18.42830
  • Compounded annual return / average of 25% largest draw downs
    19.22240
  • Compounded annual return / Expected Shortfall lognormal
    50.72970

Strategy Description

The strategy is based on a model that has evolved over ten years utilizing market trends and swings. Most trades will be with the Nasdaq100 3x etfs TQQQ/SQQQ. Occasionally trades may occur with 1x and 2x etfs. All 3x etf trades will have an associated stop loss value. Strategy does not do 'short' trades, so can easily be used for IRA accounts.

There are typically 2-5 trades/mo, but can vary from 0-10 /mo depending on market activity. The strategy can be manually followed easily. Trades will be executed prior to market close and occasionally at next day market open. Best returns are achieved if trades are executed when trades are broadcast and prior to market close. Returns are marginally impacted if this is not possible and trades are executed at next market open.

5Yr Backtested Performance (These results represent hypothetical backtesting.)
Year Return DrawDown
2016 192.4% -6.7%
2015 260.6% -8.5%
2014 171.4% -8.3%
2013 152.3% -6.0%
2012 174.9% -14.3%
Send email to [email protected] to request 10yr back tested trading performance.

Summary Statistics

Strategy began
2016-11-15
Minimum Capital Required
$5,000
# Trades
14
# Profitable
9
% Profitable
64.3%
Correlation S&P500
0.322
Sharpe Ratio
4.621

Latest Subscribers

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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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