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

TQQQSQQQ
(124727146)

Created by: ETFCapital ETFCapital
Started: 08/2019
Stocks
Last trade: 11 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 $149.00 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.

59.4%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(7.8%)
Max Drawdown
113
Num Trades
69.0%
Win Trades
2.4 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +13.4%+4.5%+15.6%+10.7%+3.7%+57.2%
2020(2.1%)+3.6%                                                            +1.4%

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 168 hours.

Trading Record

This strategy has placed 269 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/6/20 14:28 GASL DIREXION DAILY NAT GAS RLTD BU LONG 3,000 5.11 2/7 10:14 4.66 1.97%
Trade id #127400510
Max drawdown($1,545)
Time2/7/20 0:00
Quant open3,000
Worst price4.59
Drawdown as % of equity-1.97%
($1,336)
Includes Typical Broker Commissions trade costs of $5.00
2/6/20 15:36 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 2,000 11.37 2/6 15:53 11.38 0.05%
Trade id #127402181
Max drawdown($35)
Time2/6/20 15:37
Quant open2,000
Worst price11.35
Drawdown as % of equity-0.05%
$29
Includes Typical Broker Commissions trade costs of $5.00
2/5/20 15:49 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 900 11.68 2/6 12:34 11.30 0.44%
Trade id #127382882
Max drawdown($350)
Time2/6/20 0:00
Quant open900
Worst price11.29
Drawdown as % of equity-0.44%
($346)
Includes Typical Broker Commissions trade costs of $5.00
2/5/20 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 77 105.26 2/5 15:10 106.36 0.01%
Trade id #127380617
Max drawdown($10)
Time2/5/20 14:34
Quant open77
Worst price105.12
Drawdown as % of equity-0.01%
$83
Includes Typical Broker Commissions trade costs of $1.54
2/4/20 13:10 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 2,510 7.71 2/5 10:49 8.28 1.04%
Trade id #127359748
Max drawdown($804)
Time2/4/20 14:32
Quant open2,510
Worst price7.39
Drawdown as % of equity-1.04%
$1,426
Includes Typical Broker Commissions trade costs of $7.50
2/3/20 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 700 98.00 2/4 10:03 102.32 0.12%
Trade id #127342735
Max drawdown($87)
Time2/3/20 15:59
Quant open700
Worst price97.88
Drawdown as % of equity-0.12%
$3,015
Includes Typical Broker Commissions trade costs of $5.00
2/3/20 15:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 700 98.32 2/3 15:51 97.60 0.73%
Trade id #127342313
Max drawdown($550)
Time2/3/20 15:51
Quant open700
Worst price97.53
Drawdown as % of equity-0.73%
($505)
Includes Typical Broker Commissions trade costs of $5.00
1/31/20 14:53 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,900 20.18 2/3 15:36 19.36 2.28%
Trade id #127315477
Max drawdown($1,712)
Time2/3/20 10:31
Quant open1,900
Worst price19.28
Drawdown as % of equity-2.28%
($1,565)
Includes Typical Broker Commissions trade costs of $5.00
1/30/20 14:26 TQQQ PROSHARES ULTRAPRO QQQ LONG 460 97.50 1/31 13:34 94.34 2.06%
Trade id #127295767
Max drawdown($1,583)
Time1/31/20 13:33
Quant open460
Worst price94.06
Drawdown as % of equity-2.06%
($1,463)
Includes Typical Broker Commissions trade costs of $9.20
1/30/20 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 900 13.06 1/30 12:40 13.27 0.33%
Trade id #127285647
Max drawdown($255)
Time1/30/20 9:46
Quant open500
Worst price12.62
Drawdown as % of equity-0.33%
$168
Includes Typical Broker Commissions trade costs of $18.00
1/28/20 10:07 LABU DIREXION DAILY S&P BIOTECH BULL LONG 400 50.51 1/29 14:03 51.14 0.32%
Trade id #127249304
Max drawdown($245)
Time1/28/20 11:09
Quant open300
Worst price49.55
Drawdown as % of equity-0.32%
$241
Includes Typical Broker Commissions trade costs of $8.00
1/28/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 250 95.85 1/29 14:03 98.25 0.15%
Trade id #127248013
Max drawdown($115)
Time1/28/20 9:43
Quant open160
Worst price93.98
Drawdown as % of equity-0.15%
$593
Includes Typical Broker Commissions trade costs of $5.00
1/24/20 15:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 120 96.74 1/27 15:50 92.62 0.86%
Trade id #127214772
Max drawdown($664)
Time1/27/20 9:31
Quant open80
Worst price90.18
Drawdown as % of equity-0.86%
($496)
Includes Typical Broker Commissions trade costs of $2.40
1/24/20 15:39 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 1,100 14.07 1/24 15:47 14.04 0.05%
Trade id #127214505
Max drawdown($38)
Time1/24/20 15:46
Quant open1,100
Worst price14.04
Drawdown as % of equity-0.05%
($39)
Includes Typical Broker Commissions trade costs of $5.00
1/22/20 13:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 226 101.46 1/24 14:27 98.97 0.91%
Trade id #127158476
Max drawdown($710)
Time1/24/20 14:25
Quant open180
Worst price97.51
Drawdown as % of equity-0.91%
($567)
Includes Typical Broker Commissions trade costs of $4.52
1/23/20 15:40 JDST DIREXION DAILY JR GOLD BEAR LONG 750 10.36 1/24 10:46 9.94 0.56%
Trade id #127192222
Max drawdown($449)
Time1/24/20 0:00
Quant open750
Worst price9.76
Drawdown as % of equity-0.56%
($321)
Includes Typical Broker Commissions trade costs of $5.00
1/23/20 15:51 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 240 48.16 1/24 10:46 46.28 0.58%
Trade id #127192431
Max drawdown($459)
Time1/24/20 10:46
Quant open240
Worst price46.25
Drawdown as % of equity-0.58%
($457)
Includes Typical Broker Commissions trade costs of $4.80
1/24/20 9:53 GASL DIREXION DAILY NAT GAS RLTD BU LONG 2,000 5.93 1/24 10:46 5.71 0.51%
Trade id #127200462
Max drawdown($400)
Time1/24/20 10:46
Quant open2,000
Worst price5.73
Drawdown as % of equity-0.51%
($439)
Includes Typical Broker Commissions trade costs of $5.00
1/24/20 9:51 GASL DIREXION DAILY NAT GAS RLTD BU SHORT 540 5.94 1/24 9:51 5.93 n/a $1
Includes Typical Broker Commissions trade costs of $5.00
1/22/20 14:33 GASL DIREXION DAILY NAT GAS RLTD BU LONG 1,160 6.46 1/24 9:51 6.11 0.55%
Trade id #127159789
Max drawdown($436)
Time1/24/20 9:46
Quant open760
Worst price5.89
Drawdown as % of equity-0.55%
($429)
Includes Typical Broker Commissions trade costs of $11.50
1/23/20 12:33 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 180 49.63 1/23 14:51 49.24 0.2%
Trade id #127184287
Max drawdown($159)
Time1/23/20 14:08
Quant open180
Worst price48.75
Drawdown as % of equity-0.20%
($74)
Includes Typical Broker Commissions trade costs of $3.60
1/21/20 14:26 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 790 10.75 1/22 13:19 10.56 0.3%
Trade id #127131083
Max drawdown($242)
Time1/22/20 0:00
Quant open790
Worst price10.44
Drawdown as % of equity-0.30%
($159)
Includes Typical Broker Commissions trade costs of $10.40
1/21/20 12:16 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 3,000 12.18 1/22 13:19 12.36 0.46%
Trade id #127124796
Max drawdown($366)
Time1/22/20 0:00
Quant open2,600
Worst price12.04
Drawdown as % of equity-0.46%
$509
Includes Typical Broker Commissions trade costs of $18.60
1/22/20 12:51 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 81 49.53 1/22 13:08 49.05 0.04%
Trade id #127154925
Max drawdown($33)
Time1/22/20 13:03
Quant open81
Worst price49.12
Drawdown as % of equity-0.04%
($41)
Includes Typical Broker Commissions trade costs of $1.62
1/15/20 10:26 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 690 11.95 1/21 13:10 12.42 0.27%
Trade id #127012830
Max drawdown($214)
Time1/15/20 10:51
Quant open690
Worst price11.64
Drawdown as % of equity-0.27%
$315
Includes Typical Broker Commissions trade costs of $9.40
1/17/20 14:10 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 79 56.33 1/21 12:13 48.92 0.79%
Trade id #127079915
Max drawdown($630)
Time1/21/20 11:39
Quant open79
Worst price48.35
Drawdown as % of equity-0.79%
($587)
Includes Typical Broker Commissions trade costs of $1.58
1/7/20 11:54 LABU DIREXION DAILY S&P BIOTECH BULL LONG 1,970 53.95 1/17 15:46 55.01 2.54%
Trade id #126900579
Max drawdown($1,988)
Time1/14/20 0:00
Quant open940
Worst price51.83
Drawdown as % of equity-2.54%
$2,052
Includes Typical Broker Commissions trade costs of $35.90
1/17/20 14:09 SPY SPDR S&P 500 LONG 14 331.68 1/17 15:46 331.71 0.01%
Trade id #127079709
Max drawdown($5)
Time1/17/20 15:13
Quant open14
Worst price331.30
Drawdown as % of equity-0.01%
$0
Includes Typical Broker Commissions trade costs of $0.28
1/14/20 14:47 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 350 12.27 1/15 10:01 12.01 0.28%
Trade id #126995058
Max drawdown($220)
Time1/15/20 0:00
Quant open350
Worst price11.64
Drawdown as % of equity-0.28%
($97)
Includes Typical Broker Commissions trade costs of $7.00
1/13/20 12:52 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 200 70.35 1/13 13:18 70.97 0.01%
Trade id #126972692
Max drawdown($11)
Time1/13/20 12:53
Quant open200
Worst price70.29
Drawdown as % of equity-0.01%
$120
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    200.78
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    113
  • # Profitable
    78
  • % Profitable
    69.00%
  • Avg trade duration
    3.5 days
  • Max peak-to-valley drawdown
    7.77%
  • drawdown period
    Aug 15, 2019 - Aug 26, 2019
  • Cumul. Return
    59.4%
  • Avg win
    $663.55
  • Avg loss
    $632.80
  • Model Account Values (Raw)
  • Cash
    $67,685
  • Margin Used
    $0
  • Buying Power
    $69,992
  • Ratios
  • W:L ratio
    2.37:1
  • Sharpe Ratio
    3.57
  • Sortino Ratio
    7.17
  • Calmar Ratio
    20.682
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    44.94%
  • Correlation to SP500
    0.16940
  • Return Percent SP500 (cumu) during strategy life
    14.44%
  • Return Statistics
  • Ann Return (w trading costs)
    130.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.01%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.594%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    142.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    978
  • Popularity (Last 6 weeks)
    999
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    922
  • Popularity (7 days, Percentile 1000 scale)
    994
  • 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
    $633
  • Avg Win
    $685
  • Sum Trade PL (losers)
    $22,148.000
  • AUM
  • AUM (AutoTrader num accounts)
    33
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $53,410.000
  • # Winners
    78
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    316
  • AUM
  • AUM (AutoTrader live capital)
    1938990
  • Win / Loss
  • # Losers
    35
  • % Winners
    69.0%
  • Frequency
  • Avg Position Time (mins)
    5076.97
  • Avg Position Time (hrs)
    84.62
  • Avg Trade Length
    3.5 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.66
  • Daily leverage (max)
    3.81
  • Regression
  • Alpha
    0.22
  • Beta
    0.27
  • Treynor Index
    0.88
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.01
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.188
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.674
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.323
  • Hold-and-Hope Ratio
    0.488
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92949
  • SD
    0.18852
  • Sharpe ratio (Glass type estimate)
    4.93053
  • Sharpe ratio (Hedges UMVUE)
    4.14533
  • df
    5.00000
  • t
    3.48641
  • p
    0.00877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.88903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36592
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.92475
  • Statistics related to Sortino ratio
  • Sortino ratio
    58.20580
  • Upside Potential Ratio
    59.62000
  • Upside part of mean
    0.95208
  • Downside part of mean
    -0.02258
  • Upside SD
    0.31837
  • Downside SD
    0.01597
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.19846
  • Mean of criterion
    0.92949
  • SD of predictor
    0.09920
  • SD of criterion
    0.18852
  • Covariance
    -0.00192
  • r
    -0.10276
  • b (slope, estimate of beta)
    -0.19528
  • a (intercept, estimate of alpha)
    0.96825
  • Mean Square Error
    0.04395
  • DF error
    4.00000
  • t(b)
    -0.20661
  • p(b)
    0.57680
  • t(a)
    2.75973
  • p(a)
    0.02543
  • Lowerbound of 95% confidence interval for beta
    -2.81997
  • Upperbound of 95% confidence interval for beta
    2.42941
  • Lowerbound of 95% confidence interval for alpha
    -0.00605
  • Upperbound of 95% confidence interval for alpha
    1.94255
  • Treynor index (mean / b)
    -4.75976
  • Jensen alpha (a)
    0.96825
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88028
  • SD
    0.17740
  • Sharpe ratio (Glass type estimate)
    4.96210
  • Sharpe ratio (Hedges UMVUE)
    4.17188
  • df
    5.00000
  • t
    3.50874
  • p
    0.00856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.93475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.96250
  • Statistics related to Sortino ratio
  • Sortino ratio
    54.94030
  • Upside Potential Ratio
    56.35450
  • Upside part of mean
    0.90293
  • Downside part of mean
    -0.02266
  • Upside SD
    0.30090
  • Downside SD
    0.01602
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.19245
  • Mean of criterion
    0.88028
  • SD of predictor
    0.09702
  • SD of criterion
    0.17740
  • Covariance
    -0.00189
  • r
    -0.11006
  • b (slope, estimate of beta)
    -0.20124
  • a (intercept, estimate of alpha)
    0.91900
  • Mean Square Error
    0.03886
  • DF error
    4.00000
  • t(b)
    -0.22146
  • p(b)
    0.58221
  • t(a)
    2.79248
  • p(a)
    0.02459
  • Lowerbound of 95% confidence interval for beta
    -2.72465
  • Upperbound of 95% confidence interval for beta
    2.32217
  • Lowerbound of 95% confidence interval for alpha
    0.00510
  • Upperbound of 95% confidence interval for alpha
    1.83291
  • Treynor index (mean / b)
    -4.37430
  • Jensen alpha (a)
    0.91900
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01082
  • Expected Shortfall on VaR
    0.03159
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00175
  • Expected Shortfall on VaR
    0.00479
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.99104
  • Quartile 1
    1.05459
  • Median
    1.09097
  • Quartile 3
    1.11646
  • Maximum
    1.13833
  • Mean of quarter 1
    1.01739
  • Mean of quarter 2
    1.08710
  • Mean of quarter 3
    1.09484
  • Mean of quarter 4
    1.13100
  • Inter Quartile Range
    0.06187
  • 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
    0.00896
  • Quartile 1
    0.00896
  • Median
    0.00896
  • Quartile 3
    0.00896
  • Maximum
    0.00896
  • 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)
    1.14948
  • Compounded annual return (geometric extrapolation)
    1.47981
  • Calmar ratio (compounded annual return / max draw down)
    165.09200
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    46.84730
  • 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
    0.89983
  • SD
    0.19821
  • Sharpe ratio (Glass type estimate)
    4.53973
  • Sharpe ratio (Hedges UMVUE)
    4.51537
  • df
    140.00000
  • t
    3.33034
  • p
    0.36453
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.80796
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.25595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.23892
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.98201
  • Upside Potential Ratio
    16.44780
  • Upside part of mean
    1.64777
  • Downside part of mean
    -0.74794
  • Upside SD
    0.17906
  • Downside SD
    0.10018
  • N nonnegative terms
    79.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.23102
  • Mean of criterion
    0.89983
  • SD of predictor
    0.12759
  • SD of criterion
    0.19821
  • Covariance
    0.00350
  • r
    0.13832
  • b (slope, estimate of beta)
    0.21488
  • a (intercept, estimate of alpha)
    0.85000
  • Mean Square Error
    0.03881
  • DF error
    139.00000
  • t(b)
    1.64657
  • p(b)
    0.41223
  • t(a)
    3.14602
  • p(a)
    0.33770
  • Lowerbound of 95% confidence interval for beta
    -0.04315
  • Upperbound of 95% confidence interval for beta
    0.47291
  • Lowerbound of 95% confidence interval for alpha
    0.31587
  • Upperbound of 95% confidence interval for alpha
    1.38450
  • Treynor index (mean / b)
    4.18751
  • Jensen alpha (a)
    0.85019
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87891
  • SD
    0.19690
  • Sharpe ratio (Glass type estimate)
    4.46382
  • Sharpe ratio (Hedges UMVUE)
    4.43986
  • df
    140.00000
  • t
    3.27465
  • p
    0.36663
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.73389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.17844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71801
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.16171
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.70026
  • Upside Potential Ratio
    16.15350
  • Upside part of mean
    1.63184
  • Downside part of mean
    -0.75293
  • Upside SD
    0.17674
  • Downside SD
    0.10102
  • N nonnegative terms
    79.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.22278
  • Mean of criterion
    0.87891
  • SD of predictor
    0.12804
  • SD of criterion
    0.19690
  • Covariance
    0.00348
  • r
    0.13801
  • b (slope, estimate of beta)
    0.21223
  • a (intercept, estimate of alpha)
    0.83163
  • Mean Square Error
    0.03830
  • DF error
    139.00000
  • t(b)
    1.64284
  • p(b)
    0.41242
  • t(a)
    3.09926
  • p(a)
    0.33991
  • Lowerbound of 95% confidence interval for beta
    -0.04319
  • Upperbound of 95% confidence interval for beta
    0.46764
  • Lowerbound of 95% confidence interval for alpha
    0.30109
  • Upperbound of 95% confidence interval for alpha
    1.36216
  • Treynor index (mean / b)
    4.14136
  • Jensen alpha (a)
    0.83163
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01652
  • Expected Shortfall on VaR
    0.02149
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00602
  • Expected Shortfall on VaR
    0.01233
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    141.00000
  • Minimum
    0.97706
  • Quartile 1
    0.99738
  • Median
    1.00218
  • Quartile 3
    1.01003
  • Maximum
    1.04904
  • Mean of quarter 1
    0.98957
  • Mean of quarter 2
    0.99972
  • Mean of quarter 3
    1.00564
  • Mean of quarter 4
    1.01962
  • Inter Quartile Range
    0.01265
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01418
  • Mean of outliers low
    0.97716
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.02837
  • Mean of outliers high
    1.03787
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15974
  • VaR(95%) (moments method)
    0.00785
  • Expected Shortfall (moments method)
    0.01032
  • Extreme Value Index (regression method)
    -0.62250
  • VaR(95%) (regression method)
    0.01074
  • Expected Shortfall (regression method)
    0.01252
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00205
  • Median
    0.01944
  • Quartile 3
    0.03344
  • Maximum
    0.07139
  • Mean of quarter 1
    0.00116
  • Mean of quarter 2
    0.01056
  • Mean of quarter 3
    0.02409
  • Mean of quarter 4
    0.05118
  • Inter Quartile Range
    0.03138
  • 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)
    -0.39596
  • VaR(95%) (moments method)
    0.05907
  • Expected Shortfall (moments method)
    0.06771
  • Extreme Value Index (regression method)
    0.08939
  • VaR(95%) (regression method)
    0.06190
  • Expected Shortfall (regression method)
    0.08066
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.16894
  • Compounded annual return (geometric extrapolation)
    1.47642
  • Calmar ratio (compounded annual return / max draw down)
    20.68180
  • Compounded annual return / average of 25% largest draw downs
    28.84590
  • Compounded annual return / Expected Shortfall lognormal
    68.69540
  • 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
    0.58721
  • SD
    0.18928
  • Sharpe ratio (Glass type estimate)
    3.10228
  • Sharpe ratio (Hedges UMVUE)
    3.08435
  • df
    130.00000
  • t
    2.19365
  • p
    0.40553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29922
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.89378
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28731
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.88140
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.64983
  • Upside Potential Ratio
    13.39540
  • Upside part of mean
    1.39224
  • Downside part of mean
    -0.80503
  • Upside SD
    0.16146
  • Downside SD
    0.10393
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32108
  • Mean of criterion
    0.58721
  • SD of predictor
    0.10861
  • SD of criterion
    0.18928
  • Covariance
    0.00582
  • r
    0.28326
  • b (slope, estimate of beta)
    0.49366
  • a (intercept, estimate of alpha)
    0.42871
  • Mean Square Error
    0.03321
  • DF error
    129.00000
  • t(b)
    3.35460
  • p(b)
    0.32211
  • t(a)
    1.63622
  • p(a)
    0.40953
  • Lowerbound of 95% confidence interval for beta
    0.20250
  • Upperbound of 95% confidence interval for beta
    0.78481
  • Lowerbound of 95% confidence interval for alpha
    -0.08969
  • Upperbound of 95% confidence interval for alpha
    0.94711
  • Treynor index (mean / b)
    1.18952
  • Jensen alpha (a)
    0.42871
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56889
  • SD
    0.18815
  • Sharpe ratio (Glass type estimate)
    3.02363
  • Sharpe ratio (Hedges UMVUE)
    3.00616
  • df
    130.00000
  • t
    2.13803
  • p
    0.40785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81398
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80194
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.42802
  • Upside Potential Ratio
    13.16050
  • Upside part of mean
    1.37929
  • Downside part of mean
    -0.81041
  • Upside SD
    0.15931
  • Downside SD
    0.10481
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31499
  • Mean of criterion
    0.56889
  • SD of predictor
    0.10878
  • SD of criterion
    0.18815
  • Covariance
    0.00583
  • r
    0.28480
  • b (slope, estimate of beta)
    0.49259
  • a (intercept, estimate of alpha)
    0.41373
  • Mean Square Error
    0.03278
  • DF error
    129.00000
  • t(b)
    3.37439
  • p(b)
    0.32118
  • t(a)
    1.59039
  • p(a)
    0.41200
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.20377
  • Upperbound of 95% confidence interval for beta
    0.78141
  • Lowerbound of 95% confidence interval for alpha
    -0.10097
  • Upperbound of 95% confidence interval for alpha
    0.92843
  • Treynor index (mean / b)
    1.15489
  • Jensen alpha (a)
    0.41373
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01681
  • Expected Shortfall on VaR
    0.02156
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00682
  • Expected Shortfall on VaR
    0.01359
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97706
  • Quartile 1
    0.99676
  • Median
    1.00075
  • Quartile 3
    1.00789
  • Maximum
    1.04904
  • Mean of quarter 1
    0.98888
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00424
  • Mean of quarter 4
    1.01715
  • Inter Quartile Range
    0.01113
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97825
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03650
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08802
  • VaR(95%) (moments method)
    0.00938
  • Expected Shortfall (moments method)
    0.01251
  • Extreme Value Index (regression method)
    -0.62184
  • VaR(95%) (regression method)
    0.01122
  • Expected Shortfall (regression method)
    0.01292
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00205
  • Median
    0.01944
  • Quartile 3
    0.03344
  • Maximum
    0.07139
  • Mean of quarter 1
    0.00116
  • Mean of quarter 2
    0.01056
  • Mean of quarter 3
    0.02409
  • Mean of quarter 4
    0.05118
  • Inter Quartile Range
    0.03138
  • 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)
    -0.39596
  • VaR(95%) (moments method)
    0.05907
  • Expected Shortfall (moments method)
    0.06771
  • Extreme Value Index (regression method)
    0.08939
  • VaR(95%) (regression method)
    0.06190
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.08066
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -244790000
  • Max Equity Drawdown (num days)
    11
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.69539
  • Compounded annual return (geometric extrapolation)
    0.81629
  • Calmar ratio (compounded annual return / max draw down)
    11.43460
  • Compounded annual return / average of 25% largest draw downs
    15.94840
  • Compounded annual return / Expected Shortfall lognormal
    37.86110

Strategy Description

A few years back, I identified that Tqqq Sqqq was a most dynamic trading duo to other ETFs such as Spxl & Svxy.
Since then, I have spent 1000s of hours as my goal to exploit this perceived edge.
I hope you like my work and efforts.
Trades TQQQ and SQQQ and other ETFs
Trades Long Only
I have tirelessly been studying etfs for several years.
In several instances I will combine gradual exits with position sizing.
Trading is risky, you may lose money doing so.



Summary Statistics

Strategy began
2019-08-01
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 7.8%
Rank # 
#51
# Trades
113
# Profitable
78
% Profitable
69.0%
Net Dividends
Correlation S&P500
0.169
Sharpe Ratio
3.57
Sortino Ratio
7.17
Beta
0.27
Alpha
0.22
Leverage
1.66 Average
3.81 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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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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Suggested Minimum Capital

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