Collective2 Collective2
Featured Strategy Cryptoverse +50.9% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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TQQQCULT
(137647554)

Created by: ETFCapital ETFCapital
Started: 10/2021
Stocks
Last trade: 1,011 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 $120.00 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.

16.3%
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.

(47.6%)
Max Drawdown
73
Num Trades
41.1%
Win Trades
0.9 : 1
Profit Factor
48.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                               +30.2%+17.9%(11.3%)+36.2%
2022(13%)+30.7%(20.6%)(10%)(23.4%)+5.9%+5.7%+0.2%+35.9%(24%)+8.8%(5.2%)(25.5%)
2023(7%)+11.6%+19.6%(20.2%)+7.6%+7.1%(19.8%)(17.3%)(15.9%)+0.7%+16.3%+11.4%(16.9%)
2024(10.8%)(2.9%)(16.6%)(4.8%)+5.1%(4.4%)+18.0%(2.5%)+19.6%(9.5%)+0.1%(4.9%)(18.2%)

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 132 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1047 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/10/22 11:53 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 140 149.73 3/17 14:37 151.30 6.19%
Trade id #139736532
Max drawdown($1,519)
Time3/11/22 0:00
Quant open140
Worst price160.58
Drawdown as % of equity-6.19%
 ($223)
Includes Typical Broker Commissions trade costs of $2.80
3/8/22 15:49 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,250 21.93 3/9 10:42 20.15 9.34%
Trade id #139704576
Max drawdown($2,337)
Time3/9/22 10:36
Quant open1,250
Worst price20.06
Drawdown as % of equity-9.34%
 ($2,230)
Includes Typical Broker Commissions trade costs of $5.00
3/7/22 11:38 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,100 20.87 3/8 10:05 23.10 1.03%
Trade id #139679200
Max drawdown($253)
Time3/7/22 11:47
Quant open1,100
Worst price20.64
Drawdown as % of equity-1.03%
 $2,448
Includes Typical Broker Commissions trade costs of $5.00
3/4/22 14:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 562 48.06 3/4 15:44 47.42 2.2%
Trade id #139657991
Max drawdown($550)
Time3/4/22 14:59
Quant open562
Worst price47.08
Drawdown as % of equity-2.20%
 ($365)
Includes Typical Broker Commissions trade costs of $5.00
3/4/22 12:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,250 20.57 3/4 14:30 20.50 3.35%
Trade id #139655565
Max drawdown($812)
Time3/4/22 13:07
Quant open1,250
Worst price19.92
Drawdown as % of equity-3.35%
 ($93)
Includes Typical Broker Commissions trade costs of $5.00
3/4/22 12:30 YINN DIREXION DAILY FTSE CHINA BULL LONG 4,600 5.87 3/4 12:30 5.86 0.18%
Trade id #139655537
Max drawdown($46)
Time3/4/22 12:30
Quant open4,600
Worst price5.86
Drawdown as % of equity-0.18%
 ($51)
Includes Typical Broker Commissions trade costs of $5.00
3/2/22 14:48 YINN DIREXION DAILY FTSE CHINA BULL LONG 4,424 6.79 3/4 12:28 5.85 17.75%
Trade id #139615924
Max drawdown($4,512)
Time3/4/22 11:12
Quant open4,424
Worst price5.77
Drawdown as % of equity-17.75%
 ($4,164)
Includes Typical Broker Commissions trade costs of $5.00
2/14/22 14:00 YINN DIREXION DAILY FTSE CHINA BULL LONG 827 8.47 3/1 11:04 7.02 6.3%
Trade id #139385443
Max drawdown($1,786)
Time2/24/22 0:00
Quant open827
Worst price6.31
Drawdown as % of equity-6.30%
 ($1,204)
Includes Typical Broker Commissions trade costs of $5.00
2/14/22 14:00 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 237 29.53 3/1 11:04 30.83 4.6%
Trade id #139385436
Max drawdown($1,303)
Time2/24/22 0:00
Quant open237
Worst price24.03
Drawdown as % of equity-4.60%
 $303
Includes Typical Broker Commissions trade costs of $4.74
2/14/22 13:59 LABU DIREXION DAILY S&P BIOTECH BULL LONG 387 18.06 3/1 11:04 16.33 7.52%
Trade id #139385380
Max drawdown($2,132)
Time2/24/22 0:00
Quant open387
Worst price12.55
Drawdown as % of equity-7.52%
 ($678)
Includes Typical Broker Commissions trade costs of $7.74
2/14/22 13:59 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 56 126.02 3/1 11:04 144.14 2.33%
Trade id #139385366
Max drawdown($710)
Time2/18/22 0:00
Quant open56
Worst price113.34
Drawdown as % of equity-2.33%
 $1,014
Includes Typical Broker Commissions trade costs of $1.12
2/14/22 13:57 GRN IPATH SERIES B CARBON ETN LONG 975 36.11 3/1 11:04 34.13 6.81%
Trade id #139385305
Max drawdown($1,987)
Time3/1/22 10:45
Quant open195
Worst price25.92
Drawdown as % of equity-6.81%
 ($1,934)
Includes Typical Broker Commissions trade costs of $6.95
2/11/22 13:20 YANG2218B17 YANG Feb18'22 17 call LONG 250 0.80 2/14 12:21 1.30 n/a $12,150
Includes Typical Broker Commissions trade costs of $350.00
2/8/22 9:54 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 500 39.64 2/9 10:23 36.91 8.13%
Trade id #139301788
Max drawdown($1,644)
Time2/9/22 0:00
Quant open500
Worst price36.35
Drawdown as % of equity-8.13%
 ($1,373)
Includes Typical Broker Commissions trade costs of $10.00
1/24/22 15:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 421 58.80 2/8 9:30 56.76 4.19%
Trade id #139079860
Max drawdown($891)
Time2/8/22 9:30
Quant open421
Worst price56.68
Drawdown as % of equity-4.19%
 ($866)
Includes Typical Broker Commissions trade costs of $8.42
1/19/22 12:49 USO UNITED STATES OIL LONG 120 61.61 2/3 11:12 62.80 1.61%
Trade id #139014110
Max drawdown($336)
Time1/24/22 0:00
Quant open120
Worst price58.81
Drawdown as % of equity-1.61%
 $141
Includes Typical Broker Commissions trade costs of $2.40
1/19/22 12:48 GRN IPATH SERIES B CARBON ETN LONG 240 32.04 2/3 11:12 37.16 0.32%
Trade id #139014057
Max drawdown($67)
Time1/19/22 15:59
Quant open240
Worst price31.76
Drawdown as % of equity-0.32%
 $1,224
Includes Typical Broker Commissions trade costs of $4.80
1/20/22 10:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 120 67.95 1/21 15:06 57.24 6.15%
Trade id #139029496
Max drawdown($1,285)
Time1/21/22 15:06
Quant open120
Worst price57.24
Drawdown as % of equity-6.15%
 ($1,287)
Includes Typical Broker Commissions trade costs of $2.40
1/7/22 13:03 TQQQ PROSHARES ULTRAPRO QQQ LONG 360 72.75 1/19 12:43 67.43 12.53%
Trade id #138867861
Max drawdown($2,718)
Time1/19/22 11:25
Quant open360
Worst price65.20
Drawdown as % of equity-12.53%
 ($1,921)
Includes Typical Broker Commissions trade costs of $7.20
12/23/21 13:05 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 298 84.45 1/6/22 9:30 79.17 6.54%
Trade id #138689116
Max drawdown($1,723)
Time1/5/22 0:00
Quant open298
Worst price78.67
Drawdown as % of equity-6.54%
 ($1,580)
Includes Typical Broker Commissions trade costs of $5.96
12/23/21 14:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 55 166.53 12/23 15:44 166.36 0.19%
Trade id #138689799
Max drawdown($51)
Time12/23/21 15:34
Quant open55
Worst price165.59
Drawdown as % of equity-0.19%
 ($10)
Includes Typical Broker Commissions trade costs of $1.10
12/22/21 13:41 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 400 29.11 12/23 12:47 28.32 1.41%
Trade id #138669497
Max drawdown($377)
Time12/23/21 10:10
Quant open400
Worst price28.16
Drawdown as % of equity-1.41%
 ($323)
Includes Typical Broker Commissions trade costs of $8.00
12/22/21 11:43 JDST DIREXION DAILY JR GOLD BEAR 2X LONG 1,400 11.56 12/23 12:47 11.02 3.07%
Trade id #138667116
Max drawdown($819)
Time12/23/21 12:41
Quant open1,400
Worst price10.98
Drawdown as % of equity-3.07%
 ($764)
Includes Typical Broker Commissions trade costs of $5.00
12/22/21 11:43 EDC DIREXION DAILY EMRG MKTS BULL LONG 180 71.82 12/22 13:31 71.81 0.08%
Trade id #138667106
Max drawdown($21)
Time12/22/21 12:42
Quant open180
Worst price71.70
Drawdown as % of equity-0.08%
 ($6)
Includes Typical Broker Commissions trade costs of $3.60
12/21/21 14:09 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 500 28.46 12/22 9:30 29.15 0.3%
Trade id #138656399
Max drawdown($78)
Time12/21/21 14:19
Quant open500
Worst price28.30
Drawdown as % of equity-0.30%
 $337
Includes Typical Broker Commissions trade costs of $10.00
12/21/21 14:28 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 970 15.73 12/22 9:30 15.70 2.54%
Trade id #138656513
Max drawdown($677)
Time12/22/21 0:00
Quant open970
Worst price15.03
Drawdown as % of equity-2.54%
 ($32)
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 13:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 6.42 12/21 14:27 6.39 0.27%
Trade id #138656249
Max drawdown($70)
Time12/21/21 14:05
Quant open2,000
Worst price6.39
Drawdown as % of equity-0.27%
 ($65)
Includes Typical Broker Commissions trade costs of $5.00
12/20/21 15:42 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 80 55.24 12/21 11:38 56.84 0.06%
Trade id #138644658
Max drawdown($15)
Time12/20/21 15:45
Quant open80
Worst price55.05
Drawdown as % of equity-0.06%
 $126
Includes Typical Broker Commissions trade costs of $1.60
12/20/21 14:33 USO UNITED STATES OIL LONG 60 49.77 12/21 11:38 51.16 0.01%
Trade id #138643841
Max drawdown($3)
Time12/20/21 14:36
Quant open60
Worst price49.71
Drawdown as % of equity-0.01%
 $83
Includes Typical Broker Commissions trade costs of $1.20
12/20/21 14:33 GRN IPATH SERIES B CARBON ETN LONG 100 31.93 12/21 11:38 31.12 0.31%
Trade id #138643835
Max drawdown($80)
Time12/21/21 11:38
Quant open100
Worst price31.12
Drawdown as % of equity-0.31%
 ($83)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    10/4/2021
  • Suggested Minimum Cap
    $18,750
  • Strategy Age (days)
    1166.69
  • Age
    39 months ago
  • What it trades
    Stocks
  • # Trades
    73
  • # Profitable
    30
  • % Profitable
    41.10%
  • Avg trade duration
    17.1 days
  • Max peak-to-valley drawdown
    47.61%
  • drawdown period
    Feb 14, 2022 - April 18, 2022
  • Cumul. Return
    8.6%
  • Avg win
    $1,297
  • Avg loss
    $1,008
  • Model Account Values (Raw)
  • Cash
    $12,422
  • Margin Used
    $0
  • Buying Power
    $632
  • Ratios
  • W:L ratio
    0.90:1
  • Sharpe Ratio
    0.12
  • Sortino Ratio
    0.21
  • Calmar Ratio
    -0.391
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.51%
  • Correlation to SP500
    -0.08300
  • Return Percent SP500 (cumu) during strategy life
    37.91%
  • Return Statistics
  • Ann Return (w trading costs)
    16.3%
  • Slump
  • Current Slump as Pcnt Equity
    173.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.086%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.96%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -7.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.00%
  • Chance of 20% account loss
    65.00%
  • Chance of 30% account loss
    43.00%
  • Chance of 40% account loss
    23.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    5.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    538
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,009
  • Avg Win
    $1,297
  • Sum Trade PL (losers)
    $43,384.000
  • Age
  • Num Months filled monthly returns table
    39
  • Win / Loss
  • Sum Trade PL (winners)
    $38,922.000
  • # Winners
    30
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    43
  • % Winners
    41.1%
  • Frequency
  • Avg Position Time (mins)
    24679.30
  • Avg Position Time (hrs)
    411.32
  • Avg Trade Length
    17.1 days
  • Last Trade Ago
    1002
  • Leverage
  • Daily leverage (average)
    2.73
  • Daily leverage (max)
    10.57
  • Regression
  • Alpha
    0.04
  • Beta
    -0.34
  • Treynor Index
    -0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.48
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -4.406
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    0.458
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.512
  • Hold-and-Hope Ratio
    -0.275
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54187
  • SD
    0.63653
  • Sharpe ratio (Glass type estimate)
    0.85129
  • Sharpe ratio (Hedges UMVUE)
    0.71572
  • df
    5.00000
  • t
    0.60195
  • p
    0.28673
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00738
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63040
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52280
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00920
  • Upside Potential Ratio
    4.00793
  • Upside part of mean
    1.08091
  • Downside part of mean
    -0.53905
  • Upside SD
    0.53794
  • Downside SD
    0.26969
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.09151
  • Mean of criterion
    0.54187
  • SD of predictor
    0.20409
  • SD of criterion
    0.63653
  • Covariance
    0.05056
  • r
    0.38917
  • b (slope, estimate of beta)
    1.21378
  • a (intercept, estimate of alpha)
    0.43080
  • Mean Square Error
    0.42975
  • DF error
    4.00000
  • t(b)
    0.84496
  • p(b)
    0.22285
  • t(a)
    0.46008
  • p(a)
    0.33468
  • Lowerbound of 95% confidence interval for beta
    -2.77534
  • Upperbound of 95% confidence interval for beta
    5.20289
  • Lowerbound of 95% confidence interval for alpha
    -2.16948
  • Upperbound of 95% confidence interval for alpha
    3.03109
  • Treynor index (mean / b)
    0.44643
  • Jensen alpha (a)
    0.43080
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38212
  • SD
    0.58682
  • Sharpe ratio (Glass type estimate)
    0.65118
  • Sharpe ratio (Hedges UMVUE)
    0.54748
  • df
    5.00000
  • t
    0.46046
  • p
    0.33226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17913
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33998
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32215
  • Upside Potential Ratio
    3.32068
  • Upside part of mean
    0.95974
  • Downside part of mean
    -0.57761
  • Upside SD
    0.46432
  • Downside SD
    0.28902
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.07394
  • Mean of criterion
    0.38212
  • SD of predictor
    0.20202
  • SD of criterion
    0.58682
  • Covariance
    0.04070
  • r
    0.34334
  • b (slope, estimate of beta)
    0.99728
  • a (intercept, estimate of alpha)
    0.30839
  • Mean Square Error
    0.37970
  • DF error
    4.00000
  • t(b)
    0.73111
  • p(b)
    0.25262
  • t(a)
    0.35154
  • p(a)
    0.37146
  • Lowerbound of 95% confidence interval for beta
    -2.79069
  • Upperbound of 95% confidence interval for beta
    4.78525
  • Lowerbound of 95% confidence interval for alpha
    -2.12774
  • Upperbound of 95% confidence interval for alpha
    2.74451
  • Treynor index (mean / b)
    0.38317
  • Jensen alpha (a)
    0.30839
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21870
  • Expected Shortfall on VaR
    0.27069
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08177
  • Expected Shortfall on VaR
    0.15402
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.86277
  • Quartile 1
    0.91269
  • Median
    1.03604
  • Quartile 3
    1.09608
  • Maximum
    1.36238
  • Mean of quarter 1
    0.86757
  • Mean of quarter 2
    1.03368
  • Mean of quarter 3
    1.03840
  • Mean of quarter 4
    1.23884
  • Inter Quartile Range
    0.18338
  • 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
    0.16057
  • Quartile 1
    0.16057
  • Median
    0.16057
  • Quartile 3
    0.16057
  • Maximum
    0.16057
  • 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)
    0.45509
  • Compounded annual return (geometric extrapolation)
    0.50687
  • Calmar ratio (compounded annual return / max draw down)
    3.15673
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.87250
  • 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
    0.53371
  • SD
    0.91906
  • Sharpe ratio (Glass type estimate)
    0.58071
  • Sharpe ratio (Hedges UMVUE)
    0.57759
  • df
    140.00000
  • t
    0.42601
  • p
    0.48201
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09497
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25016
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38014
  • Upside Potential Ratio
    10.75300
  • Upside part of mean
    4.15827
  • Downside part of mean
    -3.62456
  • Upside SD
    0.83079
  • Downside SD
    0.38671
  • N nonnegative terms
    72.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.02673
  • Mean of criterion
    0.53371
  • SD of predictor
    0.17740
  • SD of criterion
    0.91906
  • Covariance
    0.01435
  • r
    0.08803
  • b (slope, estimate of beta)
    0.45604
  • a (intercept, estimate of alpha)
    0.45800
  • Mean Square Error
    0.84415
  • DF error
    139.00000
  • t(b)
    1.04185
  • p(b)
    0.44403
  • t(a)
    0.41639
  • p(a)
    0.47753
  • Lowerbound of 95% confidence interval for beta
    -0.40942
  • Upperbound of 95% confidence interval for beta
    1.32150
  • Lowerbound of 95% confidence interval for alpha
    -1.95486
  • Upperbound of 95% confidence interval for alpha
    2.99789
  • Treynor index (mean / b)
    1.17030
  • Jensen alpha (a)
    0.52152
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18680
  • SD
    0.80017
  • Sharpe ratio (Glass type estimate)
    0.23345
  • Sharpe ratio (Hedges UMVUE)
    0.23219
  • df
    140.00000
  • t
    0.17126
  • p
    0.49276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.43874
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.43965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90404
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47097
  • Upside Potential Ratio
    9.80354
  • Upside part of mean
    3.88830
  • Downside part of mean
    -3.70150
  • Upside SD
    0.69178
  • Downside SD
    0.39662
  • N nonnegative terms
    72.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.01110
  • Mean of criterion
    0.18680
  • SD of predictor
    0.17746
  • SD of criterion
    0.80017
  • Covariance
    0.01524
  • r
    0.10734
  • b (slope, estimate of beta)
    0.48398
  • a (intercept, estimate of alpha)
    0.18143
  • Mean Square Error
    0.63745
  • DF error
    139.00000
  • t(b)
    1.27287
  • p(b)
    0.43180
  • t(a)
    0.16670
  • p(a)
    0.49100
  • Lowerbound of 95% confidence interval for beta
    -0.26780
  • Upperbound of 95% confidence interval for beta
    1.23577
  • Lowerbound of 95% confidence interval for alpha
    -1.97043
  • Upperbound of 95% confidence interval for alpha
    2.33328
  • Treynor index (mean / b)
    0.38596
  • Jensen alpha (a)
    0.18143
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07744
  • Expected Shortfall on VaR
    0.09615
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03191
  • Expected Shortfall on VaR
    0.05626
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    141.00000
  • Minimum
    0.91492
  • Quartile 1
    0.97447
  • Median
    1.00154
  • Quartile 3
    1.01821
  • Maximum
    1.54935
  • Mean of quarter 1
    0.95677
  • Mean of quarter 2
    0.98902
  • Mean of quarter 3
    1.01091
  • Mean of quarter 4
    1.05316
  • Inter Quartile Range
    0.04375
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02128
  • Mean of outliers high
    1.24554
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.62041
  • VaR(95%) (moments method)
    0.04646
  • Expected Shortfall (moments method)
    0.05117
  • Extreme Value Index (regression method)
    -0.20411
  • VaR(95%) (regression method)
    0.04379
  • Expected Shortfall (regression method)
    0.05167
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00979
  • Median
    0.03668
  • Quartile 3
    0.21321
  • Maximum
    0.39609
  • Mean of quarter 1
    0.00182
  • Mean of quarter 2
    0.02647
  • Mean of quarter 3
    0.07894
  • Mean of quarter 4
    0.37178
  • Inter Quartile Range
    0.20342
  • 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)
    0.22760
  • Compounded annual return (geometric extrapolation)
    0.23950
  • Calmar ratio (compounded annual return / max draw down)
    0.60464
  • Compounded annual return / average of 25% largest draw downs
    0.64418
  • Compounded annual return / Expected Shortfall lognormal
    2.49091
  • 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
    0.25699
  • SD
    0.94719
  • Sharpe ratio (Glass type estimate)
    0.27132
  • Sharpe ratio (Hedges UMVUE)
    0.26975
  • df
    130.00000
  • t
    0.19185
  • p
    0.49159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50117
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50225
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04175
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64337
  • Upside Potential Ratio
    10.22370
  • Upside part of mean
    4.08378
  • Downside part of mean
    -3.82679
  • Upside SD
    0.85500
  • Downside SD
    0.39944
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05440
  • Mean of criterion
    0.25699
  • SD of predictor
    0.18069
  • SD of criterion
    0.94719
  • Covariance
    0.01179
  • r
    0.06886
  • b (slope, estimate of beta)
    0.36099
  • a (intercept, estimate of alpha)
    0.27663
  • Mean Square Error
    0.89984
  • DF error
    129.00000
  • t(b)
    0.78400
  • p(b)
    0.45620
  • t(a)
    0.20617
  • p(a)
    0.48845
  • Lowerbound of 95% confidence interval for beta
    -0.55001
  • Upperbound of 95% confidence interval for beta
    1.27198
  • Lowerbound of 95% confidence interval for alpha
    -2.37807
  • Upperbound of 95% confidence interval for alpha
    2.93132
  • Treynor index (mean / b)
    0.71191
  • Jensen alpha (a)
    0.27663
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10984
  • SD
    0.82255
  • Sharpe ratio (Glass type estimate)
    -0.13354
  • Sharpe ratio (Hedges UMVUE)
    -0.13277
  • df
    130.00000
  • t
    -0.09443
  • p
    0.50414
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90515
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63908
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26808
  • Upside Potential Ratio
    9.27186
  • Upside part of mean
    3.79906
  • Downside part of mean
    -3.90890
  • Upside SD
    0.70964
  • Downside SD
    0.40974
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07061
  • Mean of criterion
    -0.10984
  • SD of predictor
    0.18077
  • SD of criterion
    0.82255
  • Covariance
    0.01269
  • r
    0.08533
  • b (slope, estimate of beta)
    0.38827
  • a (intercept, estimate of alpha)
    -0.08243
  • Mean Square Error
    0.67688
  • DF error
    129.00000
  • t(b)
    0.97272
  • p(b)
    0.44574
  • t(a)
    -0.07082
  • p(a)
    0.50397
  • VAR (95 Confidence Intrvl)
    0.10600
  • Lowerbound of 95% confidence interval for beta
    -0.40148
  • Upperbound of 95% confidence interval for beta
    1.17803
  • Lowerbound of 95% confidence interval for alpha
    -2.38513
  • Upperbound of 95% confidence interval for alpha
    2.22027
  • Treynor index (mean / b)
    -0.28290
  • Jensen alpha (a)
    -0.08243
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08057
  • Expected Shortfall on VaR
    0.09973
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03458
  • Expected Shortfall on VaR
    0.05953
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91492
  • Quartile 1
    0.97256
  • Median
    0.99967
  • Quartile 3
    1.01737
  • Maximum
    1.54935
  • Mean of quarter 1
    0.95526
  • Mean of quarter 2
    0.98698
  • Mean of quarter 3
    1.00932
  • Mean of quarter 4
    1.05304
  • Inter Quartile Range
    0.04481
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.24554
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.64062
  • VaR(95%) (moments method)
    0.04840
  • Expected Shortfall (moments method)
    0.05297
  • Extreme Value Index (regression method)
    -0.17827
  • VaR(95%) (regression method)
    0.04518
  • Expected Shortfall (regression method)
    0.05310
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00655
  • Median
    0.04760
  • Quartile 3
    0.28034
  • Maximum
    0.39609
  • Mean of quarter 1
    0.00182
  • Mean of quarter 2
    0.01626
  • Mean of quarter 3
    0.07894
  • Mean of quarter 4
    0.37178
  • Inter Quartile Range
    0.27379
  • 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?
    -300976000
  • Max Equity Drawdown (num days)
    63
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08028
  • Compounded annual return (geometric extrapolation)
    -0.07867
  • Calmar ratio (compounded annual return / max draw down)
    -0.19862
  • Compounded annual return / average of 25% largest draw downs
    -0.21160
  • Compounded annual return / Expected Shortfall lognormal
    -0.78880

Strategy Description



PROVEN TRACK RECORD AVERTING A BEAR MARKET AS DEMONSTRATED WITH MY OTHER SUCCESSFUL SYSTEM TQQQSQQQ WHICH HANDLED THE MAJOR DECLINE OF FEBRUARY 20 WITH EASE

STRATEGY HAS BEEN FURTHER OPTIMIZED SINCE STARTING TQQQSQQQ

YOU CAN TRADE WITH AS LITTLE AS 5,000

IRA FRIENDLY

Trading is risky, you may lose money doing so.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-10-04
Suggested Minimum Capital
$20,000
# Trades
73
# Profitable
30
% Profitable
41.1%
Correlation S&P500
-0.083
Sharpe Ratio
0.12
Sortino Ratio
0.21
Beta
-0.34
Alpha
0.04
Leverage
2.73 Average
10.57 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

#PERSONNAME#
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.