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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

3X Hyperbolic QQQ
(137080017)

Created by: CraigSchulenberg CraigSchulenberg
Started: 08/2021
Stocks
Last trade: 198 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.

-23.9%
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.

(34.7%)
Max Drawdown
108
Num Trades
47.2%
Win Trades
0.8 : 1
Profit Factor
15.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                 +8.7%(16.6%)(3.4%)(4%)+6.4%(10.5%)
2022(15%)  -    -    -    -    -    -    -                          (15%)

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 72 hours.

Trading Record

This strategy has placed 18 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 325 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/27/22 14:03 TQQQ PROSHARES ULTRAPRO QQQ LONG 718 52.88 1/27 14:18 52.30 1.19%
Trade id #139131992
Max drawdown($445)
Time1/27/22 14:18
Quant open718
Worst price52.26
Drawdown as % of equity-1.19%
($421)
Includes Typical Broker Commissions trade costs of $5.00
1/27/22 10:39 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 834 43.76 1/27 13:36 45.12 3.25%
Trade id #139127109
Max drawdown($1,242)
Time1/27/22 11:02
Quant open834
Worst price42.27
Drawdown as % of equity-3.25%
$1,129
Includes Typical Broker Commissions trade costs of $5.00
1/27/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 718 55.40 1/27 10:33 54.24 2.71%
Trade id #139124869
Max drawdown($1,033)
Time1/27/22 10:32
Quant open718
Worst price53.96
Drawdown as % of equity-2.71%
($838)
Includes Typical Broker Commissions trade costs of $5.00
1/26/22 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 834 41.28 1/26 14:57 42.97 3.92%
Trade id #139106365
Max drawdown($1,428)
Time1/26/22 14:07
Quant open834
Worst price39.57
Drawdown as % of equity-3.92%
$1,399
Includes Typical Broker Commissions trade costs of $7.78
1/24/22 13:14 TQQQ PROSHARES ULTRAPRO QQQ LONG 721 52.24 1/24 13:29 51.31 1.98%
Trade id #139077114
Max drawdown($765)
Time1/24/22 13:27
Quant open721
Worst price51.18
Drawdown as % of equity-1.98%
($676)
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 10:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 721 52.62 1/24 11:13 51.79 2.33%
Trade id #139073030
Max drawdown($901)
Time1/24/22 11:10
Quant open721
Worst price51.37
Drawdown as % of equity-2.33%
($603)
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 10:37 TQQQ PROSHARES ULTRAPRO QQQ SHORT 721 53.14 1/24 10:37 53.29 0.28%
Trade id #139072796
Max drawdown($108)
Time1/24/22 10:37
Quant open721
Worst price53.29
Drawdown as % of equity-0.28%
($113)
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 10:20 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 898 45.45 1/24 10:36 44.35 2.79%
Trade id #139072020
Max drawdown($1,077)
Time1/24/22 10:33
Quant open898
Worst price44.25
Drawdown as % of equity-2.79%
($993)
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 9:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 721 54.08 1/24 10:11 51.76 4.68%
Trade id #139070058
Max drawdown($1,910)
Time1/24/22 10:11
Quant open721
Worst price51.43
Drawdown as % of equity-4.68%
($1,678)
Includes Typical Broker Commissions trade costs of $5.00
1/21/22 10:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 639 60.47 1/21 12:18 59.42 1.93%
Trade id #139046505
Max drawdown($798)
Time1/21/22 12:18
Quant open639
Worst price59.22
Drawdown as % of equity-1.93%
($676)
Includes Typical Broker Commissions trade costs of $5.00
1/21/22 9:48 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,071 39.37 1/21 10:33 39.53 n/a $166
Includes Typical Broker Commissions trade costs of $5.00
1/20/22 10:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 639 67.58 1/20 11:45 67.04 0.98%
Trade id #139029197
Max drawdown($421)
Time1/20/22 11:44
Quant open639
Worst price66.92
Drawdown as % of equity-0.98%
($350)
Includes Typical Broker Commissions trade costs of $5.00
1/20/22 10:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 639 67.25 1/20 10:20 66.78 0.93%
Trade id #139027960
Max drawdown($402)
Time1/20/22 10:19
Quant open639
Worst price66.62
Drawdown as % of equity-0.93%
($305)
Includes Typical Broker Commissions trade costs of $5.00
1/20/22 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,161 36.16 1/20 10:01 35.31 2.34%
Trade id #139026221
Max drawdown($1,010)
Time1/20/22 10:01
Quant open1,161
Worst price35.29
Drawdown as % of equity-2.34%
($992)
Includes Typical Broker Commissions trade costs of $5.00
1/19/22 9:45 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,200 35.27 1/19 12:31 35.34 1.44%
Trade id #139008590
Max drawdown($612)
Time1/19/22 10:04
Quant open1,200
Worst price34.76
Drawdown as % of equity-1.44%
$79
Includes Typical Broker Commissions trade costs of $5.00
1/18/22 10:06 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 466 34.74 1/18 14:57 35.20 0.27%
Trade id #138988864
Max drawdown($116)
Time1/18/22 10:11
Quant open466
Worst price34.49
Drawdown as % of equity-0.27%
$205
Includes Typical Broker Commissions trade costs of $9.32
1/14/22 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,290 34.86 1/14 14:57 34.03 4.01%
Trade id #138954003
Max drawdown($1,831)
Time1/14/22 10:19
Quant open1,290
Worst price33.44
Drawdown as % of equity-4.01%
($1,076)
Includes Typical Broker Commissions trade costs of $5.00
1/13/22 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 301 77.24 1/13 15:12 71.50 3.85%
Trade id #138932233
Max drawdown($1,757)
Time1/13/22 15:11
Quant open301
Worst price71.40
Drawdown as % of equity-3.85%
($1,734)
Includes Typical Broker Commissions trade costs of $6.02
1/12/22 10:13 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 155.45 1/12 10:38 153.01 0.55%
Trade id #138918813
Max drawdown($253)
Time1/12/22 10:38
Quant open100
Worst price152.91
Drawdown as % of equity-0.55%
($246)
Includes Typical Broker Commissions trade costs of $2.00
1/10/22 13:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 315 135.82 1/10 14:54 139.87 n/a $1,269
Includes Typical Broker Commissions trade costs of $6.30
1/10/22 13:06 TQQQ PROSHARES ULTRAPRO QQQ SHORT 313 135.83 1/10 13:09 135.67 0.03%
Trade id #138891395
Max drawdown($15)
Time1/10/22 13:09
Quant open313
Worst price135.88
Drawdown as % of equity-0.03%
$44
Includes Typical Broker Commissions trade costs of $6.26
1/10/22 13:06 SSO PROSHARES ULTRA S&P 500 LONG 313 137.05 1/10 13:06 137.01 0.03%
Trade id #138891389
Max drawdown($13)
Time1/10/22 13:06
Quant open313
Worst price137.01
Drawdown as % of equity-0.03%
($19)
Includes Typical Broker Commissions trade costs of $6.26
1/10/22 9:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 315 136.28 1/10 12:21 133.87 2.9%
Trade id #138885846
Max drawdown($1,316)
Time1/10/22 10:49
Quant open315
Worst price132.10
Drawdown as % of equity-2.90%
($765)
Includes Typical Broker Commissions trade costs of $6.30
1/7/22 11:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 313 144.74 1/7 12:21 144.60 0.33%
Trade id #138866003
Max drawdown($153)
Time1/7/22 11:44
Quant open313
Worst price144.25
Drawdown as % of equity-0.33%
($50)
Includes Typical Broker Commissions trade costs of $6.26
1/7/22 11:32 TQQQ PROSHARES ULTRAPRO QQQ SHORT 313 144.65 1/7 11:32 144.76 0.07%
Trade id #138865924
Max drawdown($34)
Time1/7/22 11:32
Quant open313
Worst price144.76
Drawdown as % of equity-0.07%
($40)
Includes Typical Broker Commissions trade costs of $6.26
1/7/22 11:28 SSO PROSHARES ULTRA S&P 500 LONG 313 140.90 1/7 11:32 141.07 n/a $47
Includes Typical Broker Commissions trade costs of $6.26
1/7/22 9:54 UPRO PROSHARES ULTRAPRO S&P 500 LONG 313 146.49 1/7 10:50 143.42 2.09%
Trade id #138863651
Max drawdown($970)
Time1/7/22 10:49
Quant open313
Worst price143.39
Drawdown as % of equity-2.09%
($967)
Includes Typical Broker Commissions trade costs of $6.26
1/6/22 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 298 148.70 1/6 12:47 152.18 2.79%
Trade id #138841780
Max drawdown($1,275)
Time1/6/22 10:12
Quant open298
Worst price144.42
Drawdown as % of equity-2.79%
$1,031
Includes Typical Broker Commissions trade costs of $5.96
1/5/22 9:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 272 162.03 1/5 11:31 161.11 1.21%
Trade id #138826065
Max drawdown($552)
Time1/5/22 10:47
Quant open272
Worst price160.00
Drawdown as % of equity-1.21%
($255)
Includes Typical Broker Commissions trade costs of $5.44
1/4/22 14:04 TQQQ PROSHARES ULTRAPRO QQQ LONG 262 161.08 1/4 15:58 165.00 0.28%
Trade id #138816156
Max drawdown($123)
Time1/4/22 14:10
Quant open262
Worst price160.61
Drawdown as % of equity-0.28%
$1,022
Includes Typical Broker Commissions trade costs of $5.24

Statistics

  • Strategy began
    8/23/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    351.22
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    108
  • # Profitable
    51
  • % Profitable
    47.20%
  • Avg trade duration
    12.9 hours
  • Max peak-to-valley drawdown
    34.65%
  • drawdown period
    Sept 08, 2021 - Jan 26, 2022
  • Cumul. Return
    -23.9%
  • Avg win
    $837.27
  • Avg loss
    $933.96
  • Model Account Values (Raw)
  • Cash
    $39,463
  • Margin Used
    $0
  • Buying Power
    $39,463
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    -1.02
  • Sortino Ratio
    -1.36
  • Calmar Ratio
    -1.259
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -20.47%
  • Correlation to SP500
    0.05920
  • Return Percent SP500 (cumu) during strategy life
    -4.45%
  • Return Statistics
  • Ann Return (w trading costs)
    -46.2%
  • Slump
  • Current Slump as Pcnt Equity
    45.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.239%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -21.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    25.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    15.45%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    432
  • Popularity (Last 6 weeks)
    781
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    586
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $934
  • Avg Win
    $837
  • Sum Trade PL (losers)
    $53,236.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $42,701.000
  • # Winners
    51
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    57
  • % Winners
    47.2%
  • Frequency
  • Avg Position Time (mins)
    772.37
  • Avg Position Time (hrs)
    12.87
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    194
  • Leverage
  • Daily leverage (average)
    3.02
  • Daily leverage (max)
    6.07
  • Regression
  • Alpha
    -0.08
  • Beta
    0.08
  • Treynor Index
    -1.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.20
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -5.347
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.641
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.190
  • Hold-and-Hope Ratio
    -0.187
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.40472
  • SD
    0.25921
  • Sharpe ratio (Glass type estimate)
    -1.56139
  • Sharpe ratio (Hedges UMVUE)
    -1.24581
  • df
    4.00000
  • t
    -1.00788
  • p
    0.81473
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.68951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.40251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91089
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.73355
  • Upside Potential Ratio
    0.84541
  • Upside part of mean
    0.19737
  • Downside part of mean
    -0.60210
  • Upside SD
    0.11355
  • Downside SD
    0.23347
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.06400
  • Mean of criterion
    -0.40472
  • SD of predictor
    0.13999
  • SD of criterion
    0.25921
  • Covariance
    0.01997
  • r
    0.55047
  • b (slope, estimate of beta)
    1.01929
  • a (intercept, estimate of alpha)
    -0.33949
  • Mean Square Error
    0.06244
  • DF error
    3.00000
  • t(b)
    1.14206
  • p(b)
    0.16816
  • t(a)
    -0.86760
  • p(a)
    0.77528
  • Lowerbound of 95% confidence interval for beta
    -1.82106
  • Upperbound of 95% confidence interval for beta
    3.85964
  • Lowerbound of 95% confidence interval for alpha
    -1.58478
  • Upperbound of 95% confidence interval for alpha
    0.90580
  • Treynor index (mean / b)
    -0.39706
  • Jensen alpha (a)
    -0.33949
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.43894
  • SD
    0.26456
  • Sharpe ratio (Glass type estimate)
    -1.65916
  • Sharpe ratio (Hedges UMVUE)
    -1.32382
  • df
    4.00000
  • t
    -1.07099
  • p
    0.82775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.80526
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66029
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.49573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84809
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.79089
  • Upside Potential Ratio
    0.77842
  • Upside part of mean
    0.19079
  • Downside part of mean
    -0.62973
  • Upside SD
    0.10943
  • Downside SD
    0.24510
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.07202
  • Mean of criterion
    -0.43894
  • SD of predictor
    0.14198
  • SD of criterion
    0.26456
  • Covariance
    0.02170
  • r
    0.57772
  • b (slope, estimate of beta)
    1.07651
  • a (intercept, estimate of alpha)
    -0.36141
  • Mean Square Error
    0.06217
  • DF error
    3.00000
  • t(b)
    1.22593
  • p(b)
    0.15384
  • t(a)
    -0.92331
  • p(a)
    0.78803
  • Lowerbound of 95% confidence interval for beta
    -1.71805
  • Upperbound of 95% confidence interval for beta
    3.87107
  • Lowerbound of 95% confidence interval for alpha
    -1.60711
  • Upperbound of 95% confidence interval for alpha
    0.88429
  • Treynor index (mean / b)
    -0.40775
  • Jensen alpha (a)
    -0.36141
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14973
  • Expected Shortfall on VaR
    0.17611
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12069
  • Expected Shortfall on VaR
    0.15777
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.88575
  • Quartile 1
    0.92802
  • Median
    0.94234
  • Quartile 3
    1.01190
  • Maximum
    1.07500
  • Mean of quarter 1
    0.90689
  • Mean of quarter 2
    0.94234
  • Mean of quarter 3
    1.01190
  • Mean of quarter 4
    1.07500
  • Inter Quartile Range
    0.08387
  • 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
    0.15740
  • Quartile 1
    0.15740
  • Median
    0.15740
  • Quartile 3
    0.15740
  • Maximum
    0.15740
  • 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)
    -0.37776
  • Compounded annual return (geometric extrapolation)
    -0.33704
  • Calmar ratio (compounded annual return / max draw down)
    -2.14125
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.91383
  • 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
    -0.53239
  • SD
    0.34116
  • Sharpe ratio (Glass type estimate)
    -1.56051
  • Sharpe ratio (Hedges UMVUE)
    -1.55013
  • df
    113.00000
  • t
    -1.02936
  • p
    0.56126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.53543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42109
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.52829
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42804
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.04263
  • Upside Potential Ratio
    6.78655
  • Upside part of mean
    1.76883
  • Downside part of mean
    -2.30122
  • Upside SD
    0.22027
  • Downside SD
    0.26064
  • N nonnegative terms
    57.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    114.00000
  • Mean of predictor
    -0.09816
  • Mean of criterion
    -0.53239
  • SD of predictor
    0.13915
  • SD of criterion
    0.34116
  • Covariance
    0.00507
  • r
    0.10683
  • b (slope, estimate of beta)
    0.26192
  • a (intercept, estimate of alpha)
    -0.44900
  • Mean Square Error
    0.11609
  • DF error
    112.00000
  • t(b)
    1.13708
  • p(b)
    0.44659
  • t(a)
    -0.97998
  • p(a)
    0.54610
  • Lowerbound of 95% confidence interval for beta
    -0.19448
  • Upperbound of 95% confidence interval for beta
    0.71832
  • Lowerbound of 95% confidence interval for alpha
    -1.53110
  • Upperbound of 95% confidence interval for alpha
    0.51775
  • Treynor index (mean / b)
    -2.03262
  • Jensen alpha (a)
    -0.50668
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.59069
  • SD
    0.34145
  • Sharpe ratio (Glass type estimate)
    -1.72992
  • Sharpe ratio (Hedges UMVUE)
    -1.71841
  • df
    113.00000
  • t
    -1.14111
  • p
    0.56782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.70601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.69814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26132
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.22384
  • Upside Potential Ratio
    6.57008
  • Upside part of mean
    1.74511
  • Downside part of mean
    -2.33580
  • Upside SD
    0.21529
  • Downside SD
    0.26561
  • N nonnegative terms
    57.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    114.00000
  • Mean of predictor
    -0.10779
  • Mean of criterion
    -0.59069
  • SD of predictor
    0.13936
  • SD of criterion
    0.34145
  • Covariance
    0.00523
  • r
    0.10987
  • b (slope, estimate of beta)
    0.26920
  • a (intercept, estimate of alpha)
    -0.56167
  • Mean Square Error
    0.11621
  • DF error
    112.00000
  • t(b)
    1.16985
  • p(b)
    0.44506
  • t(a)
    -1.08557
  • p(a)
    0.55102
  • Lowerbound of 95% confidence interval for beta
    -0.18674
  • Upperbound of 95% confidence interval for beta
    0.72513
  • Lowerbound of 95% confidence interval for alpha
    -1.58683
  • Upperbound of 95% confidence interval for alpha
    0.46348
  • Treynor index (mean / b)
    -2.19427
  • Jensen alpha (a)
    -0.56167
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03628
  • Expected Shortfall on VaR
    0.04471
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02043
  • Expected Shortfall on VaR
    0.03749
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    114.00000
  • Minimum
    0.93313
  • Quartile 1
    0.98583
  • Median
    1.00003
  • Quartile 3
    1.00859
  • Maximum
    1.08691
  • Mean of quarter 1
    0.97083
  • Mean of quarter 2
    0.99467
  • Mean of quarter 3
    1.00463
  • Mean of quarter 4
    1.02227
  • Inter Quartile Range
    0.02277
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01754
  • Mean of outliers low
    0.94220
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01754
  • Mean of outliers high
    1.06529
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.08452
  • VaR(95%) (moments method)
    0.02956
  • Expected Shortfall (moments method)
    0.03128
  • Extreme Value Index (regression method)
    -0.24772
  • VaR(95%) (regression method)
    0.03005
  • Expected Shortfall (regression method)
    0.03641
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01115
  • Quartile 1
    0.08437
  • Median
    0.15760
  • Quartile 3
    0.23082
  • Maximum
    0.30405
  • Mean of quarter 1
    0.01115
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.30405
  • Inter Quartile Range
    0.14645
  • 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)
    -0.49917
  • Compounded annual return (geometric extrapolation)
    -0.43038
  • Calmar ratio (compounded annual return / max draw down)
    -1.41549
  • Compounded annual return / average of 25% largest draw downs
    -1.41549
  • Compounded annual return / Expected Shortfall lognormal
    -9.62663
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.03300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -298828000
  • Max Equity Drawdown (num days)
    140

Strategy Description

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

Summary Statistics

Strategy began
2021-08-23
Suggested Minimum Capital
$35,000
# Trades
108
# Profitable
51
% Profitable
47.2%
Correlation S&P500
0.059
Sharpe Ratio
-1.02
Sortino Ratio
-1.36
Beta
0.08
Alpha
-0.08
Leverage
3.02 Average
6.07 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.