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3X Hyperbolic QQQ
(122068395)

Created by: CraigSchulenberg CraigSchulenberg
Started: 01/2019
Stocks
Last trade: 19 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 $100.00 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.

57.2%
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.

(64.3%)
Max Drawdown
138
Num Trades
55.8%
Win Trades
1.4 : 1
Profit Factor
61.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+1.7%(6.7%)+3.1%+13.3%(20%)+15.3%+6.0%(8.1%)+7.1%+12.0%+10.4%+3.6%+36.3%
2020+6.6%(10.3%)(16.8%)(23.6%)(7.5%)+15.9%+35.8%+51.2%(5.2%)(12%)+33.4%(6.3%)+39.5%
2021+7.7%+1.7%+20.7%(7.4%)+32.2%  -  +1.9%                              +65.0%

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 48 hours.

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 514 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/2/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 16,917 8.98 7/7 9:30 8.54 5.07%
Trade id #136303981
Max drawdown($7,781)
Time7/7/21 9:30
Quant open16,917
Worst price8.52
Drawdown as % of equity-5.07%
($7,448)
Includes Typical Broker Commissions trade costs of $5.00
7/1/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,257 122.10 7/2 9:30 124.64 1.18%
Trade id #136283777
Max drawdown($1,822)
Time7/1/21 11:24
Quant open1,257
Worst price120.65
Drawdown as % of equity-1.18%
$3,188
Includes Typical Broker Commissions trade costs of $5.00
6/30/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 16,783 9.12 7/1 9:30 9.18 0.33%
Trade id #136265074
Max drawdown($503)
Time6/30/21 9:47
Quant open16,783
Worst price9.09
Drawdown as % of equity-0.33%
$1,002
Includes Typical Broker Commissions trade costs of $5.00
6/29/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,257 121.49 6/30 9:30 122.89 0.67%
Trade id #136248488
Max drawdown($1,026)
Time6/29/21 9:33
Quant open1,257
Worst price120.67
Drawdown as % of equity-0.67%
$1,759
Includes Typical Broker Commissions trade costs of $5.00
6/28/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 16,150 9.43 6/29 9:30 9.22 2.54%
Trade id #136229230
Max drawdown($3,876)
Time6/28/21 15:51
Quant open16,150
Worst price9.19
Drawdown as % of equity-2.54%
($3,397)
Includes Typical Broker Commissions trade costs of $5.00
6/21/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,312 110.63 6/28 9:30 118.77 2.03%
Trade id #136139282
Max drawdown($2,938)
Time6/21/21 9:38
Quant open1,312
Worst price108.39
Drawdown as % of equity-2.03%
$10,675
Includes Typical Broker Commissions trade costs of $5.00
6/17/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 14,507 10.38 6/21 9:30 10.17 5.39%
Trade id #136093779
Max drawdown($7,577)
Time6/17/21 15:13
Quant open14,507
Worst price9.86
Drawdown as % of equity-5.39%
($3,085)
Includes Typical Broker Commissions trade costs of $5.00
6/15/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,382 111.91 6/17 9:30 107.96 5.85%
Trade id #136061071
Max drawdown($8,824)
Time6/16/21 0:00
Quant open1,382
Worst price105.52
Drawdown as % of equity-5.85%
($5,457)
Includes Typical Broker Commissions trade costs of $5.00
6/14/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 15,170 10.33 6/15 9:30 10.06 2.81%
Trade id #136044709
Max drawdown($4,399)
Time6/14/21 16:00
Quant open15,170
Worst price10.04
Drawdown as % of equity-2.81%
($4,101)
Includes Typical Broker Commissions trade costs of $5.00
6/10/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,428 105.57 6/14 9:30 109.64 0.32%
Trade id #136001189
Max drawdown($485)
Time6/10/21 9:33
Quant open1,428
Worst price105.23
Drawdown as % of equity-0.32%
$5,807
Includes Typical Broker Commissions trade costs of $5.00
6/9/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 13,928 10.63 6/10 9:30 10.72 0.76%
Trade id #135978707
Max drawdown($1,114)
Time6/9/21 9:46
Quant open13,928
Worst price10.55
Drawdown as % of equity-0.76%
$1,249
Includes Typical Broker Commissions trade costs of $5.00
6/8/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,478 106.47 6/9 9:30 106.36 2.94%
Trade id #135959356
Max drawdown($4,500)
Time6/8/21 11:21
Quant open1,478
Worst price103.42
Drawdown as % of equity-2.94%
($168)
Includes Typical Broker Commissions trade costs of $5.00
6/7/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 14,372 10.94 6/8 9:30 10.60 3.08%
Trade id #135936863
Max drawdown($4,814)
Time6/8/21 0:00
Quant open14,372
Worst price10.60
Drawdown as % of equity-3.08%
($4,820)
Includes Typical Broker Commissions trade costs of $5.00
5/25/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,548 102.67 6/7 9:30 103.43 5.34%
Trade id #135762531
Max drawdown($8,196)
Time6/3/21 0:00
Quant open1,548
Worst price97.38
Drawdown as % of equity-5.34%
$1,171
Includes Typical Broker Commissions trade costs of $5.00
5/24/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 13,385 11.57 5/25 9:30 11.05 5%
Trade id #135744368
Max drawdown($7,897)
Time5/25/21 0:00
Quant open13,385
Worst price10.98
Drawdown as % of equity-5.00%
($6,965)
Includes Typical Broker Commissions trade costs of $5.00
5/19/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,471 87.65 5/24 9:30 98.55 0.13%
Trade id #135679133
Max drawdown($176)
Time5/19/21 9:41
Quant open1,471
Worst price87.53
Drawdown as % of equity-0.13%
$16,029
Includes Typical Broker Commissions trade costs of $5.00
5/17/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 11,524 12.16 5/19 9:30 13.02 2.25%
Trade id #135644003
Max drawdown($3,099)
Time5/18/21 0:00
Quant open11,524
Worst price11.89
Drawdown as % of equity-2.25%
$9,917
Includes Typical Broker Commissions trade costs of $5.00
5/14/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,540 92.88 5/17 9:30 94.51 0.52%
Trade id #135618455
Max drawdown($708)
Time5/14/21 9:44
Quant open1,540
Worst price92.42
Drawdown as % of equity-0.52%
$2,505
Includes Typical Broker Commissions trade costs of $5.00
5/12/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 11,218 12.69 5/14 9:30 12.37 2.95%
Trade id #135574669
Max drawdown($4,007)
Time5/14/21 9:30
Quant open11,218
Worst price12.33
Drawdown as % of equity-2.95%
($3,563)
Includes Typical Broker Commissions trade costs of $5.00
5/11/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,306 90.34 5/12 9:30 91.02 0.03%
Trade id #135555351
Max drawdown($39)
Time5/11/21 9:34
Quant open1,306
Worst price90.31
Drawdown as % of equity-0.03%
$883
Includes Typical Broker Commissions trade costs of $5.00
5/10/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 10,900 11.43 5/11 9:30 12.76 n/a $14,547
Includes Typical Broker Commissions trade costs of $5.00
5/7/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,250 103.34 5/10 9:30 102.49 1.5%
Trade id #135504174
Max drawdown($1,837)
Time5/10/21 9:30
Quant open1,250
Worst price101.87
Drawdown as % of equity-1.50%
($1,068)
Includes Typical Broker Commissions trade costs of $5.00
5/3/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 10,700 10.80 5/7 9:30 11.21 0.92%
Trade id #135418565
Max drawdown($1,070)
Time5/3/21 10:15
Quant open10,700
Worst price10.70
Drawdown as % of equity-0.92%
$4,382
Includes Typical Broker Commissions trade costs of $5.00
4/30/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,043 107.37 5/3 9:30 108.76 0.62%
Trade id #135395000
Max drawdown($709)
Time4/30/21 13:58
Quant open1,043
Worst price106.69
Drawdown as % of equity-0.62%
$1,444
Includes Typical Broker Commissions trade costs of $5.00
4/28/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 10,650 10.72 4/30 9:30 10.93 2.59%
Trade id #135348769
Max drawdown($2,982)
Time4/29/21 0:00
Quant open10,650
Worst price10.44
Drawdown as % of equity-2.59%
$2,232
Includes Typical Broker Commissions trade costs of $5.00
4/22/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,036 108.78 4/27 9:30 111.47 4.61%
Trade id #135265768
Max drawdown($5,014)
Time4/22/21 14:02
Quant open1,036
Worst price103.94
Drawdown as % of equity-4.61%
$2,782
Includes Typical Broker Commissions trade costs of $5.00
4/21/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 10,000 11.20 4/22 9:30 10.84 3.66%
Trade id #135247407
Max drawdown($4,150)
Time4/21/21 15:55
Quant open10,000
Worst price10.78
Drawdown as % of equity-3.66%
($3,555)
Includes Typical Broker Commissions trade costs of $5.00
4/16/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 111.91 4/21 9:30 105.00 6.96%
Trade id #135183514
Max drawdown($8,272)
Time4/20/21 0:00
Quant open1,100
Worst price104.39
Drawdown as % of equity-6.96%
($7,606)
Includes Typical Broker Commissions trade costs of $5.00
4/15/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 11,000 10.82 4/16 9:30 10.57 2.45%
Trade id #135163077
Max drawdown($2,987)
Time4/16/21 0:00
Quant open11,000
Worst price10.55
Drawdown as % of equity-2.45%
($2,773)
Includes Typical Broker Commissions trade costs of $5.00
4/13/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,185 108.40 4/15 9:30 109.37 2.47%
Trade id #135121205
Max drawdown($3,128)
Time4/14/21 0:00
Quant open1,185
Worst price105.76
Drawdown as % of equity-2.47%
$1,144
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/18/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    919.33
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    138
  • # Profitable
    77
  • % Profitable
    55.80%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    64.35%
  • drawdown period
    Feb 20, 2020 - April 13, 2020
  • Annual Return (Compounded)
    57.2%
  • Avg win
    $4,703
  • Avg loss
    $4,105
  • Model Account Values (Raw)
  • Cash
    $36,770
  • Margin Used
    $0
  • Buying Power
    $43,356
  • Ratios
  • W:L ratio
    1.45:1
  • Sharpe Ratio
    0.93
  • Sortino Ratio
    1.32
  • Calmar Ratio
    0.99
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    148.61%
  • Correlation to SP500
    0.28960
  • Return Percent SP500 (cumu) during strategy life
    65.19%
  • Return Statistics
  • Ann Return (w trading costs)
    57.2%
  • Slump
  • Current Slump as Pcnt Equity
    2.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.572%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    59.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    69.00%
  • Chance of 20% account loss
    48.00%
  • Chance of 30% account loss
    23.50%
  • Chance of 40% account loss
    11.50%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    5.50%
  • Popularity
  • Popularity (Today)
    628
  • Popularity (Last 6 weeks)
    829
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    782
  • Popularity (7 days, Percentile 1000 scale)
    691
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,106
  • Avg Win
    $4,703
  • Sum Trade PL (losers)
    $250,459.000
  • Age
  • Num Months filled monthly returns table
    31
  • Win / Loss
  • Sum Trade PL (winners)
    $362,146.000
  • # Winners
    77
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    44
  • Win / Loss
  • # Losers
    61
  • % Winners
    55.8%
  • Frequency
  • Avg Position Time (mins)
    8731.38
  • Avg Position Time (hrs)
    145.52
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    19
  • Leverage
  • Daily leverage (average)
    3.08
  • Daily leverage (max)
    4.13
  • Regression
  • Alpha
    0.12
  • Beta
    0.61
  • Treynor Index
    0.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    70.29
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    25.16
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.39
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    10.994
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.510
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.415
  • Hold-and-Hope Ratio
    0.101
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61014
  • SD
    0.56997
  • Sharpe ratio (Glass type estimate)
    1.07049
  • Sharpe ratio (Hedges UMVUE)
    1.04151
  • df
    28.00000
  • t
    1.66414
  • p
    0.05362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35275
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33147
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77713
  • Upside Potential Ratio
    3.30595
  • Upside part of mean
    1.13503
  • Downside part of mean
    -0.52489
  • Upside SD
    0.47624
  • Downside SD
    0.34333
  • N nonnegative terms
    19.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.19104
  • Mean of criterion
    0.61014
  • SD of predictor
    0.15661
  • SD of criterion
    0.56997
  • Covariance
    0.05646
  • r
    0.63252
  • b (slope, estimate of beta)
    2.30196
  • a (intercept, estimate of alpha)
    0.17038
  • Mean Square Error
    0.20211
  • DF error
    27.00000
  • t(b)
    4.24331
  • p(b)
    0.00012
  • t(a)
    0.55461
  • p(a)
    0.29186
  • Lowerbound of 95% confidence interval for beta
    1.18886
  • Upperbound of 95% confidence interval for beta
    3.41507
  • Lowerbound of 95% confidence interval for alpha
    -0.45995
  • Upperbound of 95% confidence interval for alpha
    0.80070
  • Treynor index (mean / b)
    0.26505
  • Jensen alpha (a)
    0.17038
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43766
  • SD
    0.58502
  • Sharpe ratio (Glass type estimate)
    0.74811
  • Sharpe ratio (Hedges UMVUE)
    0.72786
  • df
    28.00000
  • t
    1.16299
  • p
    0.12732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53412
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54725
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00297
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07853
  • Upside Potential Ratio
    2.54997
  • Upside part of mean
    1.03477
  • Downside part of mean
    -0.59710
  • Upside SD
    0.42631
  • Downside SD
    0.40579
  • N nonnegative terms
    19.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.17724
  • Mean of criterion
    0.43766
  • SD of predictor
    0.15832
  • SD of criterion
    0.58502
  • Covariance
    0.06479
  • r
    0.69956
  • b (slope, estimate of beta)
    2.58508
  • a (intercept, estimate of alpha)
    -0.02051
  • Mean Square Error
    0.18123
  • DF error
    27.00000
  • t(b)
    5.08699
  • p(b)
    0.00001
  • t(a)
    -0.07113
  • p(a)
    0.52809
  • Lowerbound of 95% confidence interval for beta
    1.54239
  • Upperbound of 95% confidence interval for beta
    3.62777
  • Lowerbound of 95% confidence interval for alpha
    -0.61200
  • Upperbound of 95% confidence interval for alpha
    0.57099
  • Treynor index (mean / b)
    0.16930
  • Jensen alpha (a)
    -0.02051
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21440
  • Expected Shortfall on VaR
    0.26653
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07733
  • Expected Shortfall on VaR
    0.16827
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.64974
  • Quartile 1
    0.96791
  • Median
    1.07726
  • Quartile 3
    1.11831
  • Maximum
    1.35214
  • Mean of quarter 1
    0.84880
  • Mean of quarter 2
    1.03580
  • Mean of quarter 3
    1.10553
  • Mean of quarter 4
    1.25177
  • Inter Quartile Range
    0.15040
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06897
  • Mean of outliers low
    0.67071
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03448
  • Mean of outliers high
    1.35214
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.64226
  • VaR(95%) (moments method)
    0.10813
  • Expected Shortfall (moments method)
    0.12513
  • Extreme Value Index (regression method)
    -0.35436
  • VaR(95%) (regression method)
    0.13832
  • Expected Shortfall (regression method)
    0.17264
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00915
  • Quartile 1
    0.06486
  • Median
    0.10304
  • Quartile 3
    0.13029
  • Maximum
    0.55059
  • Mean of quarter 1
    0.02062
  • Mean of quarter 2
    0.07677
  • Mean of quarter 3
    0.12891
  • Mean of quarter 4
    0.34163
  • Inter Quartile Range
    0.06543
  • 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
    0.12500
  • Mean of outliers high
    0.55059
  • 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)
    0.86094
  • Compounded annual return (geometric extrapolation)
    0.59292
  • Calmar ratio (compounded annual return / max draw down)
    1.07688
  • Compounded annual return / average of 25% largest draw downs
    1.73554
  • Compounded annual return / Expected Shortfall lognormal
    2.22458
  • 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
    0.57306
  • SD
    0.49199
  • Sharpe ratio (Glass type estimate)
    1.16479
  • Sharpe ratio (Hedges UMVUE)
    1.16342
  • df
    642.00000
  • t
    1.82474
  • p
    0.03425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41707
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41615
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64759
  • Upside Potential Ratio
    8.77877
  • Upside part of mean
    3.05343
  • Downside part of mean
    -2.48037
  • Upside SD
    0.34922
  • Downside SD
    0.34782
  • N nonnegative terms
    345.00000
  • N negative terms
    298.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    643.00000
  • Mean of predictor
    0.20595
  • Mean of criterion
    0.57306
  • SD of predictor
    0.24105
  • SD of criterion
    0.49199
  • Covariance
    0.03403
  • r
    0.28698
  • b (slope, estimate of beta)
    0.58574
  • a (intercept, estimate of alpha)
    0.45200
  • Mean Square Error
    0.22247
  • DF error
    641.00000
  • t(b)
    7.58473
  • p(b)
    -0.00000
  • t(a)
    1.50062
  • p(a)
    0.06697
  • Lowerbound of 95% confidence interval for beta
    0.43409
  • Upperbound of 95% confidence interval for beta
    0.73738
  • Lowerbound of 95% confidence interval for alpha
    -0.13961
  • Upperbound of 95% confidence interval for alpha
    1.04447
  • Treynor index (mean / b)
    0.97837
  • Jensen alpha (a)
    0.45243
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45043
  • SD
    0.49613
  • Sharpe ratio (Glass type estimate)
    0.90788
  • Sharpe ratio (Hedges UMVUE)
    0.90682
  • df
    642.00000
  • t
    1.42227
  • p
    0.07772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34527
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15890
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24315
  • Upside Potential Ratio
    8.26428
  • Upside part of mean
    2.99439
  • Downside part of mean
    -2.54396
  • Upside SD
    0.33950
  • Downside SD
    0.36233
  • N nonnegative terms
    345.00000
  • N negative terms
    298.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    643.00000
  • Mean of predictor
    0.17661
  • Mean of criterion
    0.45043
  • SD of predictor
    0.24263
  • SD of criterion
    0.49613
  • Covariance
    0.03483
  • r
    0.28935
  • b (slope, estimate of beta)
    0.59166
  • a (intercept, estimate of alpha)
    0.34593
  • Mean Square Error
    0.22589
  • DF error
    641.00000
  • t(b)
    7.65317
  • p(b)
    -0.00000
  • t(a)
    1.13909
  • p(a)
    0.12755
  • Lowerbound of 95% confidence interval for beta
    0.43985
  • Upperbound of 95% confidence interval for beta
    0.74347
  • Lowerbound of 95% confidence interval for alpha
    -0.25042
  • Upperbound of 95% confidence interval for alpha
    0.94229
  • Treynor index (mean / b)
    0.76130
  • Jensen alpha (a)
    0.34593
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04753
  • Expected Shortfall on VaR
    0.05959
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02056
  • Expected Shortfall on VaR
    0.04260
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    643.00000
  • Minimum
    0.84779
  • Quartile 1
    0.98987
  • Median
    1.00259
  • Quartile 3
    1.01869
  • Maximum
    1.12685
  • Mean of quarter 1
    0.96601
  • Mean of quarter 2
    0.99660
  • Mean of quarter 3
    1.00950
  • Mean of quarter 4
    1.03712
  • Inter Quartile Range
    0.02882
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.03888
  • Mean of outliers low
    0.91693
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.02177
  • Mean of outliers high
    1.08572
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18746
  • VaR(95%) (moments method)
    0.02922
  • Expected Shortfall (moments method)
    0.04617
  • Extreme Value Index (regression method)
    0.03533
  • VaR(95%) (regression method)
    0.03218
  • Expected Shortfall (regression method)
    0.04678
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00048
  • Quartile 1
    0.01510
  • Median
    0.06496
  • Quartile 3
    0.18813
  • Maximum
    0.61984
  • Mean of quarter 1
    0.00694
  • Mean of quarter 2
    0.03483
  • Mean of quarter 3
    0.13941
  • Mean of quarter 4
    0.30723
  • Inter Quartile Range
    0.17304
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    0.61984
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.25398
  • VaR(95%) (moments method)
    0.34898
  • Expected Shortfall (moments method)
    0.52200
  • Extreme Value Index (regression method)
    1.29160
  • VaR(95%) (regression method)
    0.34984
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91056
  • Compounded annual return (geometric extrapolation)
    0.61339
  • Calmar ratio (compounded annual return / max draw down)
    0.98960
  • Compounded annual return / average of 25% largest draw downs
    1.99653
  • Compounded annual return / Expected Shortfall lognormal
    10.29320
  • 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
    0.93584
  • SD
    0.41471
  • Sharpe ratio (Glass type estimate)
    2.25663
  • Sharpe ratio (Hedges UMVUE)
    2.24359
  • df
    130.00000
  • t
    1.59568
  • p
    0.43070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53296
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54160
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.02878
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.90733
  • Upside Potential Ratio
    12.18450
  • Upside part of mean
    2.91828
  • Downside part of mean
    -1.98244
  • Upside SD
    0.34154
  • Downside SD
    0.23951
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25827
  • Mean of criterion
    0.93584
  • SD of predictor
    0.13597
  • SD of criterion
    0.41471
  • Covariance
    0.00640
  • r
    0.11344
  • b (slope, estimate of beta)
    0.34600
  • a (intercept, estimate of alpha)
    0.84648
  • Mean Square Error
    0.17108
  • DF error
    129.00000
  • t(b)
    1.29683
  • p(b)
    0.42794
  • t(a)
    1.43715
  • p(a)
    0.42029
  • Lowerbound of 95% confidence interval for beta
    -0.18188
  • Upperbound of 95% confidence interval for beta
    0.87387
  • Lowerbound of 95% confidence interval for alpha
    -0.31887
  • Upperbound of 95% confidence interval for alpha
    2.01182
  • Treynor index (mean / b)
    2.70475
  • Jensen alpha (a)
    0.84648
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.85016
  • SD
    0.41033
  • Sharpe ratio (Glass type estimate)
    2.07191
  • Sharpe ratio (Hedges UMVUE)
    2.05994
  • df
    130.00000
  • t
    1.46506
  • p
    0.43628
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72315
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84303
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.47988
  • Upside Potential Ratio
    11.71410
  • Upside part of mean
    2.86184
  • Downside part of mean
    -2.01168
  • Upside SD
    0.33190
  • Downside SD
    0.24431
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24894
  • Mean of criterion
    0.85016
  • SD of predictor
    0.13606
  • SD of criterion
    0.41033
  • Covariance
    0.00644
  • r
    0.11530
  • b (slope, estimate of beta)
    0.34772
  • a (intercept, estimate of alpha)
    0.76360
  • Mean Square Error
    0.16742
  • DF error
    129.00000
  • t(b)
    1.31839
  • p(b)
    0.42676
  • t(a)
    1.31121
  • p(a)
    0.42715
  • VAR (95 Confidence Intrvl)
    0.04800
  • Lowerbound of 95% confidence interval for beta
    -0.17411
  • Upperbound of 95% confidence interval for beta
    0.86954
  • Lowerbound of 95% confidence interval for alpha
    -0.38862
  • Upperbound of 95% confidence interval for alpha
    1.91582
  • Treynor index (mean / b)
    2.44498
  • Jensen alpha (a)
    0.76360
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03772
  • Expected Shortfall on VaR
    0.04782
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01726
  • Expected Shortfall on VaR
    0.03305
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93433
  • Quartile 1
    0.99043
  • Median
    1.00149
  • Quartile 3
    1.01632
  • Maximum
    1.10096
  • Mean of quarter 1
    0.97435
  • Mean of quarter 2
    0.99589
  • Mean of quarter 3
    1.00891
  • Mean of quarter 4
    1.03572
  • Inter Quartile Range
    0.02589
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94299
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.08526
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35778
  • VaR(95%) (moments method)
    0.02359
  • Expected Shortfall (moments method)
    0.02842
  • Extreme Value Index (regression method)
    -0.00095
  • VaR(95%) (regression method)
    0.02678
  • Expected Shortfall (regression method)
    0.03744
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00030
  • Quartile 1
    0.01240
  • Median
    0.02792
  • Quartile 3
    0.14690
  • Maximum
    0.19066
  • Mean of quarter 1
    0.00468
  • Mean of quarter 2
    0.02184
  • Mean of quarter 3
    0.11407
  • Mean of quarter 4
    0.18519
  • Inter Quartile Range
    0.13449
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -285161000
  • Max Equity Drawdown (num days)
    53
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.10242
  • Compounded annual return (geometric extrapolation)
    1.40625
  • Calmar ratio (compounded annual return / max draw down)
    7.37580
  • Compounded annual return / average of 25% largest draw downs
    7.59363
  • Compounded annual return / Expected Shortfall lognormal
    29.40730

Strategy Description

Trades the 3x ETFs TQQQ and SQQQ and will occasionally go to Cash.

Summary Statistics

Strategy began
2019-01-18
Suggested Minimum Capital
$15,000
Rank at C2 
#161
# Trades
138
# Profitable
77
% Profitable
55.8%
Net Dividends
Correlation S&P500
0.290
Sharpe Ratio
0.93
Sortino Ratio
1.32
Beta
0.61
Alpha
0.12
Leverage
3.08 Average
4.13 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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