Collective2 Collective2
Featured Strategy Easiest Followed by live capital $451,000 Hypothetical

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This is an archived track record. This track record was archived on 12/25/22 16:34 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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MNQ Trender
(139394548)

Created by: Systematic_Trader Systematic_Trader
Started: 02/2022
Stocks
Last trade: 488 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. You can subscribe to this system for free.

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.

(34.5%)
Max Drawdown
33
Num Trades
33.3%
Win Trades
0.8 : 1
Profit Factor
18.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022       (6.2%)+16.3%(10.4%)+11.3%(21.5%)+29.9%(10.1%)(0.1%)+2.0%(1.4%)(21.4%)(21.1%)
2023+0.6%  -    -    -    -    -    -    -    -    -    -    -  +0.6%
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/23/22 9:45 AAPL APPLE SHORT 61 130.67 12/23 11:15 130.82 0.27%
Trade id #142982311
Max drawdown($106)
Time12/23/22 10:39
Quant open61
Worst price132.41
Drawdown as % of equity-0.27%
 ($10)
Includes Typical Broker Commissions trade costs of $1.22
12/21/22 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,311 19.04 12/22 10:30 17.30 10.5%
Trade id #142954860
Max drawdown($4,159)
Time12/22/22 10:30
Quant open2,311
Worst price17.24
Drawdown as % of equity-10.50%
 ($4,026)
Includes Typical Broker Commissions trade costs of $5.00
12/14/22 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,029 22.75 12/14 15:30 21.65 7.37%
Trade id #142875028
Max drawdown($3,388)
Time12/14/22 14:35
Quant open2,029
Worst price21.08
Drawdown as % of equity-7.37%
 ($2,237)
Includes Typical Broker Commissions trade costs of $5.00
12/8/22 13:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,218 21.36 12/12 10:30 20.87 3%
Trade id #142819045
Max drawdown($1,375)
Time12/12/22 9:39
Quant open2,218
Worst price20.74
Drawdown as % of equity-3.00%
 ($1,092)
Includes Typical Broker Commissions trade costs of $5.00
12/2/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,091 23.42 12/5 10:30 22.63 3.87%
Trade id #142755704
Max drawdown($1,819)
Time12/5/22 10:30
Quant open2,091
Worst price22.55
Drawdown as % of equity-3.87%
 ($1,657)
Includes Typical Broker Commissions trade costs of $5.00
11/30/22 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,150 22.90 12/2 10:30 22.77 2.26%
Trade id #142723945
Max drawdown($1,096)
Time12/2/22 9:54
Quant open2,150
Worst price22.39
Drawdown as % of equity-2.26%
 ($285)
Includes Typical Broker Commissions trade costs of $5.00
11/22/22 13:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,263 21.74 11/28 10:30 21.77 0.46%
Trade id #142649301
Max drawdown($222)
Time11/22/22 14:14
Quant open2,263
Worst price21.64
Drawdown as % of equity-0.46%
 $63
Includes Typical Broker Commissions trade costs of $5.00
11/10/22 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,164 20.68 11/15 13:30 22.70 1.11%
Trade id #142523185
Max drawdown($489)
Time11/10/22 12:59
Quant open2,164
Worst price20.45
Drawdown as % of equity-1.11%
 $4,366
Includes Typical Broker Commissions trade costs of $5.00
11/7/22 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,468 18.45 11/8 14:30 18.17 1.58%
Trade id #142472153
Max drawdown($740)
Time11/8/22 14:30
Quant open2,468
Worst price18.15
Drawdown as % of equity-1.58%
 ($696)
Includes Typical Broker Commissions trade costs of $5.00
11/2/22 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,461 20.94 11/2 15:30 18.58 11.94%
Trade id #142414633
Max drawdown($6,078)
Time11/2/22 15:29
Quant open2,461
Worst price18.47
Drawdown as % of equity-11.94%
 ($5,813)
Includes Typical Broker Commissions trade costs of $5.00
10/28/22 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,451 21.32 10/31 15:30 20.93 4.01%
Trade id #142362931
Max drawdown($2,034)
Time10/31/22 10:36
Quant open2,451
Worst price20.49
Drawdown as % of equity-4.01%
 ($961)
Includes Typical Broker Commissions trade costs of $5.00
10/24/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,455 21.38 10/26 13:30 21.27 2.01%
Trade id #142291659
Max drawdown($1,104)
Time10/26/22 9:31
Quant open2,455
Worst price20.93
Drawdown as % of equity-2.01%
 ($275)
Includes Typical Broker Commissions trade costs of $5.00
10/21/22 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,548 19.75 10/24 11:30 20.64 0.2%
Trade id #142266371
Max drawdown($101)
Time10/21/22 12:39
Quant open2,548
Worst price19.71
Drawdown as % of equity-0.20%
 $2,263
Includes Typical Broker Commissions trade costs of $5.00
8/25/22 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,580 33.89 8/26 11:30 31.81 7.78%
Trade id #141548102
Max drawdown($3,871)
Time8/26/22 11:22
Quant open1,580
Worst price31.44
Drawdown as % of equity-7.78%
 ($3,291)
Includes Typical Broker Commissions trade costs of $5.00
8/18/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,502 37.82 8/19 10:30 35.60 6.63%
Trade id #141467290
Max drawdown($3,469)
Time8/19/22 10:28
Quant open1,502
Worst price35.51
Drawdown as % of equity-6.63%
 ($3,339)
Includes Typical Broker Commissions trade costs of $5.00
8/12/22 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,528 37.13 8/17 10:30 37.23 0.36%
Trade id #141401666
Max drawdown($198)
Time8/12/22 12:00
Quant open1,528
Worst price37.00
Drawdown as % of equity-0.36%
 $148
Includes Typical Broker Commissions trade costs of $5.00
8/10/22 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,579 36.25 8/11 15:30 35.93 1.63%
Trade id #141371191
Max drawdown($915)
Time8/11/22 15:13
Quant open1,579
Worst price35.67
Drawdown as % of equity-1.63%
 ($510)
Includes Typical Broker Commissions trade costs of $5.00
7/27/22 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,672 29.69 8/5 11:30 34.22 1.34%
Trade id #141202437
Max drawdown($652)
Time7/27/22 14:08
Quant open1,672
Worst price29.30
Drawdown as % of equity-1.34%
 $7,569
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,681 27.86 7/22 12:30 29.55 0.52%
Trade id #141105841
Max drawdown($235)
Time7/19/22 12:06
Quant open1,681
Worst price27.72
Drawdown as % of equity-0.52%
 $2,836
Includes Typical Broker Commissions trade costs of $5.00
7/14/22 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,786 25.47 7/18 15:30 26.20 1%
Trade id #141063918
Max drawdown($446)
Time7/14/22 15:48
Quant open1,786
Worst price25.22
Drawdown as % of equity-1.00%
 $1,299
Includes Typical Broker Commissions trade costs of $5.00
7/5/22 13:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,735 24.77 7/11 10:30 26.24 0.5%
Trade id #140964028
Max drawdown($208)
Time7/5/22 13:48
Quant open1,735
Worst price24.65
Drawdown as % of equity-0.50%
 $2,545
Includes Typical Broker Commissions trade costs of $5.00
6/24/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,649 27.45 6/28 11:30 26.06 5.4%
Trade id #140857797
Max drawdown($2,324)
Time6/28/22 11:30
Quant open1,649
Worst price26.04
Drawdown as % of equity-5.40%
 ($2,297)
Includes Typical Broker Commissions trade costs of $5.00
6/15/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,026 25.57 6/16 10:30 22.36 15.27%
Trade id #140777569
Max drawdown($6,868)
Time6/16/22 10:15
Quant open2,026
Worst price22.18
Drawdown as % of equity-15.27%
 ($6,508)
Includes Typical Broker Commissions trade costs of $5.00
6/7/22 13:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,608 32.94 6/9 11:30 32.17 3.63%
Trade id #140700965
Max drawdown($1,881)
Time6/9/22 9:42
Quant open1,608
Worst price31.77
Drawdown as % of equity-3.63%
 ($1,243)
Includes Typical Broker Commissions trade costs of $5.00
6/1/22 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,656 32.96 6/3 10:30 32.77 4.86%
Trade id #140652763
Max drawdown($2,500)
Time6/2/22 0:00
Quant open1,656
Worst price31.45
Drawdown as % of equity-4.86%
 ($320)
Includes Typical Broker Commissions trade costs of $5.00
5/25/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,655 28.37 6/1 11:30 32.27 2.54%
Trade id #140598629
Max drawdown($1,156)
Time5/25/22 15:50
Quant open1,655
Worst price27.67
Drawdown as % of equity-2.54%
 $6,450
Includes Typical Broker Commissions trade costs of $5.00
5/17/22 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,518 32.26 5/18 10:30 30.82 4.84%
Trade id #140505002
Max drawdown($2,260)
Time5/18/22 10:30
Quant open1,518
Worst price30.77
Drawdown as % of equity-4.84%
 ($2,191)
Includes Typical Broker Commissions trade costs of $5.00
4/19/22 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,024 48.84 4/20 12:30 47.89 2.4%
Trade id #140182628
Max drawdown($1,198)
Time4/20/22 12:24
Quant open1,024
Worst price47.67
Drawdown as % of equity-2.40%
 ($978)
Includes Typical Broker Commissions trade costs of $5.00
4/13/22 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,044 49.74 4/14 12:30 47.87 3.94%
Trade id #140125514
Max drawdown($1,994)
Time4/14/22 12:30
Quant open1,044
Worst price47.83
Drawdown as % of equity-3.94%
 ($1,957)
Includes Typical Broker Commissions trade costs of $5.00
4/4/22 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 899 60.74 4/5 12:30 57.76 5.2%
Trade id #140018350
Max drawdown($2,732)
Time4/5/22 12:27
Quant open899
Worst price57.70
Drawdown as % of equity-5.20%
 ($2,684)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    2/15/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    795.22
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    33
  • # Profitable
    11
  • % Profitable
    33.30%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    34.48%
  • drawdown period
    Aug 04, 2022 - Dec 23, 2022
  • Cumul. Return
    -21.1%
  • Avg win
    $3,207
  • Avg loss
    $2,059
  • Model Account Values (Raw)
  • Cash
    $40,200
  • Margin Used
    $0
  • Buying Power
    $40,200
  • Ratios
  • W:L ratio
    0.78:1
  • Sharpe Ratio
    -0.41
  • Sortino Ratio
    -0.58
  • Calmar Ratio
    -0.583
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.09%
  • Correlation to SP500
    0.35790
  • Return Percent SP500 (cumu) during strategy life
    13.43%
  • Return Statistics
  • Ann Return (w trading costs)
    -23.9%
  • Slump
  • Current Slump as Pcnt Equity
    51.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.79%
  • 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)
    -0.211%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -9.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    53.50%
  • Chance of 40% account loss
    10.50%
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    459
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,060
  • Avg Win
    $3,208
  • Sum Trade PL (losers)
    $45,309.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $35,284.000
  • # Winners
    11
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    226
  • Win / Loss
  • # Losers
    22
  • % Winners
    33.3%
  • Frequency
  • Avg Position Time (mins)
    4079.08
  • Avg Position Time (hrs)
    67.98
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    484
  • Leverage
  • Daily leverage (average)
    2.89
  • Daily leverage (max)
    3.12
  • Regression
  • Alpha
    -0.04
  • Beta
    0.41
  • Treynor Index
    -0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.33
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -6.070
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.166
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.214
  • Hold-and-Hope Ratio
    -0.165
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14094
  • SD
    0.30036
  • Sharpe ratio (Glass type estimate)
    -0.46924
  • Sharpe ratio (Hedges UMVUE)
    -0.42883
  • df
    9.00000
  • t
    -0.42836
  • p
    0.66077
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.61418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72732
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.70996
  • Upside Potential Ratio
    1.49228
  • Upside part of mean
    0.29624
  • Downside part of mean
    -0.43718
  • Upside SD
    0.20842
  • Downside SD
    0.19852
  • N nonnegative terms
    3.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.17881
  • Mean of criterion
    -0.14094
  • SD of predictor
    0.24299
  • SD of criterion
    0.30036
  • Covariance
    0.05423
  • r
    0.74301
  • b (slope, estimate of beta)
    0.91843
  • a (intercept, estimate of alpha)
    0.02328
  • Mean Square Error
    0.04546
  • DF error
    8.00000
  • t(b)
    3.14001
  • p(b)
    0.00690
  • t(a)
    0.09728
  • p(a)
    0.46245
  • Lowerbound of 95% confidence interval for beta
    0.24394
  • Upperbound of 95% confidence interval for beta
    1.59291
  • Lowerbound of 95% confidence interval for alpha
    -0.52867
  • Upperbound of 95% confidence interval for alpha
    0.57524
  • Treynor index (mean / b)
    -0.15346
  • Jensen alpha (a)
    0.02328
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18120
  • SD
    0.29453
  • Sharpe ratio (Glass type estimate)
    -0.61521
  • Sharpe ratio (Hedges UMVUE)
    -0.56223
  • df
    9.00000
  • t
    -0.56161
  • p
    0.70595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76391
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60046
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.86280
  • Upside Potential Ratio
    1.31505
  • Upside part of mean
    0.27617
  • Downside part of mean
    -0.45737
  • Upside SD
    0.19158
  • Downside SD
    0.21001
  • N nonnegative terms
    3.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.20664
  • Mean of criterion
    -0.18120
  • SD of predictor
    0.24377
  • SD of criterion
    0.29453
  • Covariance
    0.05214
  • r
    0.72624
  • b (slope, estimate of beta)
    0.87746
  • a (intercept, estimate of alpha)
    0.00012
  • Mean Square Error
    0.04612
  • DF error
    8.00000
  • t(b)
    2.98808
  • p(b)
    0.00869
  • t(a)
    0.00049
  • p(a)
    0.49981
  • Lowerbound of 95% confidence interval for beta
    0.20029
  • Upperbound of 95% confidence interval for beta
    1.55463
  • Lowerbound of 95% confidence interval for alpha
    -0.56013
  • Upperbound of 95% confidence interval for alpha
    0.56036
  • Treynor index (mean / b)
    -0.20650
  • Jensen alpha (a)
    0.00012
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14354
  • Expected Shortfall on VaR
    0.17303
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10051
  • Expected Shortfall on VaR
    0.15621
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.87114
  • Quartile 1
    0.96330
  • Median
    0.97924
  • Quartile 3
    1.02212
  • Maximum
    1.18744
  • Mean of quarter 1
    0.90951
  • Mean of quarter 2
    0.97167
  • Mean of quarter 3
    0.99004
  • Mean of quarter 4
    1.08462
  • Inter Quartile Range
    0.05881
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.87114
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.18744
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -62.52350
  • VaR(95%) (moments method)
    0.08040
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.53518
  • VaR(95%) (regression method)
    0.18540
  • Expected Shortfall (regression method)
    0.18686
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03505
  • Quartile 1
    0.04573
  • Median
    0.05641
  • Quartile 3
    0.14694
  • Maximum
    0.23747
  • Mean of quarter 1
    0.03505
  • Mean of quarter 2
    0.05641
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23747
  • Inter Quartile Range
    0.10121
  • 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)
    -0.14390
  • Compounded annual return (geometric extrapolation)
    -0.14212
  • Calmar ratio (compounded annual return / max draw down)
    -0.59847
  • Compounded annual return / average of 25% largest draw downs
    -0.59847
  • Compounded annual return / Expected Shortfall lognormal
    -0.82136
  • 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
    -0.23467
  • SD
    0.33547
  • Sharpe ratio (Glass type estimate)
    -0.69953
  • Sharpe ratio (Hedges UMVUE)
    -0.69716
  • df
    222.00000
  • t
    -0.64537
  • p
    0.74032
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82260
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42827
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99683
  • Upside Potential Ratio
    6.31700
  • Upside part of mean
    1.48714
  • Downside part of mean
    -1.72182
  • Upside SD
    0.23838
  • Downside SD
    0.23542
  • N nonnegative terms
    55.00000
  • N negative terms
    168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    223.00000
  • Mean of predictor
    -0.17411
  • Mean of criterion
    -0.23467
  • SD of predictor
    0.24959
  • SD of criterion
    0.33547
  • Covariance
    0.03555
  • r
    0.42453
  • b (slope, estimate of beta)
    0.57060
  • a (intercept, estimate of alpha)
    -0.25400
  • Mean Square Error
    0.09268
  • DF error
    221.00000
  • t(b)
    6.97035
  • p(b)
    -0.00000
  • t(a)
    -0.40973
  • p(a)
    0.65880
  • Lowerbound of 95% confidence interval for beta
    0.40927
  • Upperbound of 95% confidence interval for beta
    0.73193
  • Lowerbound of 95% confidence interval for alpha
    -0.78624
  • Upperbound of 95% confidence interval for alpha
    0.51559
  • Treynor index (mean / b)
    -0.41128
  • Jensen alpha (a)
    -0.13533
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29064
  • SD
    0.33479
  • Sharpe ratio (Glass type estimate)
    -0.86812
  • Sharpe ratio (Hedges UMVUE)
    -0.86518
  • df
    222.00000
  • t
    -0.80090
  • p
    0.78798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25879
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.99115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26079
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.20901
  • Upside Potential Ratio
    6.07121
  • Upside part of mean
    1.45948
  • Downside part of mean
    -1.75012
  • Upside SD
    0.23263
  • Downside SD
    0.24039
  • N nonnegative terms
    55.00000
  • N negative terms
    168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    223.00000
  • Mean of predictor
    -0.20520
  • Mean of criterion
    -0.29064
  • SD of predictor
    0.24978
  • SD of criterion
    0.33479
  • Covariance
    0.03555
  • r
    0.42513
  • b (slope, estimate of beta)
    0.56984
  • a (intercept, estimate of alpha)
    -0.17371
  • Mean Square Error
    0.09224
  • DF error
    221.00000
  • t(b)
    6.98248
  • p(b)
    -0.00000
  • t(a)
    -0.52698
  • p(a)
    0.70063
  • Lowerbound of 95% confidence interval for beta
    0.40901
  • Upperbound of 95% confidence interval for beta
    0.73067
  • Lowerbound of 95% confidence interval for alpha
    -0.82333
  • Upperbound of 95% confidence interval for alpha
    0.47591
  • Treynor index (mean / b)
    -0.51004
  • Jensen alpha (a)
    -0.17371
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03452
  • Expected Shortfall on VaR
    0.04280
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01934
  • Expected Shortfall on VaR
    0.03735
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    223.00000
  • Minimum
    0.92393
  • Quartile 1
    0.99366
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08637
  • Mean of quarter 1
    0.97469
  • Mean of quarter 2
    0.99946
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02271
  • Inter Quartile Range
    0.00634
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.17937
  • Mean of outliers low
    0.96892
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.18386
  • Mean of outliers high
    1.02952
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.80200
  • VaR(95%) (moments method)
    0.01953
  • Expected Shortfall (moments method)
    0.02176
  • Extreme Value Index (regression method)
    -0.30635
  • VaR(95%) (regression method)
    0.02408
  • Expected Shortfall (regression method)
    0.03053
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04224
  • Quartile 1
    0.05616
  • Median
    0.14972
  • Quartile 3
    0.26221
  • Maximum
    0.33290
  • Mean of quarter 1
    0.04224
  • Mean of quarter 2
    0.06080
  • Mean of quarter 3
    0.23865
  • Mean of quarter 4
    0.33290
  • Inter Quartile Range
    0.20605
  • 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)
    -0.23543
  • Compounded annual return (geometric extrapolation)
    -0.23105
  • Calmar ratio (compounded annual return / max draw down)
    -0.69406
  • Compounded annual return / average of 25% largest draw downs
    -0.69406
  • Compounded annual return / Expected Shortfall lognormal
    -5.39827
  • 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
    -0.22001
  • SD
    0.33650
  • Sharpe ratio (Glass type estimate)
    -0.65383
  • Sharpe ratio (Hedges UMVUE)
    -0.65005
  • df
    130.00000
  • t
    -0.46232
  • p
    0.52026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42557
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.42298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12288
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90960
  • Upside Potential Ratio
    6.60633
  • Upside part of mean
    1.59790
  • Downside part of mean
    -1.81791
  • Upside SD
    0.23248
  • Downside SD
    0.24188
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02565
  • Mean of criterion
    -0.22001
  • SD of predictor
    0.23741
  • SD of criterion
    0.33650
  • Covariance
    0.03488
  • r
    0.43665
  • b (slope, estimate of beta)
    0.61889
  • a (intercept, estimate of alpha)
    -0.23589
  • Mean Square Error
    0.09235
  • DF error
    129.00000
  • t(b)
    5.51271
  • p(b)
    0.23112
  • t(a)
    -0.54886
  • p(a)
    0.53072
  • Lowerbound of 95% confidence interval for beta
    0.39677
  • Upperbound of 95% confidence interval for beta
    0.84101
  • Lowerbound of 95% confidence interval for alpha
    -1.08622
  • Upperbound of 95% confidence interval for alpha
    0.61444
  • Treynor index (mean / b)
    -0.35549
  • Jensen alpha (a)
    -0.23589
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27631
  • SD
    0.33662
  • Sharpe ratio (Glass type estimate)
    -0.82083
  • Sharpe ratio (Hedges UMVUE)
    -0.81609
  • df
    130.00000
  • t
    -0.58042
  • p
    0.52542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.59287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95434
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.58967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95749
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.11981
  • Upside Potential Ratio
    6.36870
  • Upside part of mean
    1.57145
  • Downside part of mean
    -1.84776
  • Upside SD
    0.22772
  • Downside SD
    0.24675
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00221
  • Mean of criterion
    -0.27631
  • SD of predictor
    0.23675
  • SD of criterion
    0.33662
  • Covariance
    0.03492
  • r
    0.43820
  • b (slope, estimate of beta)
    0.62305
  • a (intercept, estimate of alpha)
    -0.27493
  • Mean Square Error
    0.09226
  • DF error
    129.00000
  • t(b)
    5.53693
  • p(b)
    0.23024
  • t(a)
    -0.64002
  • p(a)
    0.53580
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    0.40042
  • Upperbound of 95% confidence interval for beta
    0.84569
  • Lowerbound of 95% confidence interval for alpha
    -1.12485
  • Upperbound of 95% confidence interval for alpha
    0.57498
  • Treynor index (mean / b)
    -0.44348
  • Jensen alpha (a)
    -0.27493
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03465
  • Expected Shortfall on VaR
    0.04297
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02009
  • Expected Shortfall on VaR
    0.03846
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94001
  • Quartile 1
    0.99309
  • Median
    1.00000
  • Quartile 3
    1.00309
  • Maximum
    1.06221
  • Mean of quarter 1
    0.97365
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00009
  • Mean of quarter 4
    1.02424
  • Inter Quartile Range
    0.01000
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.96532
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.03309
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.09627
  • VaR(95%) (moments method)
    0.02088
  • Expected Shortfall (moments method)
    0.02240
  • Extreme Value Index (regression method)
    -0.52621
  • VaR(95%) (regression method)
    0.02684
  • Expected Shortfall (regression method)
    0.03190
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00615
  • Quartile 1
    0.02481
  • Median
    0.04683
  • Quartile 3
    0.06239
  • Maximum
    0.33290
  • Mean of quarter 1
    0.01426
  • Mean of quarter 2
    0.03211
  • Mean of quarter 3
    0.06155
  • Mean of quarter 4
    0.19779
  • Inter Quartile Range
    0.03758
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.33290
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -328144000
  • Max Equity Drawdown (num days)
    141
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.23359
  • Compounded annual return (geometric extrapolation)
    -0.21995
  • Calmar ratio (compounded annual return / max draw down)
    -0.66072
  • Compounded annual return / average of 25% largest draw downs
    -1.11208
  • Compounded annual return / Expected Shortfall lognormal
    -5.11861

Strategy Description

A positional strategy that trades TQQQ trying to capture the longer term momentum in Nasdaq on the long side
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-02-15
Suggested Minimum Capital
$5,000
# Trades
33
# Profitable
11
% Profitable
33.3%
Net Dividends
$226
Correlation S&P500
0.358
Sharpe Ratio
-0.41
Sortino Ratio
-0.58
Beta
0.41
Alpha
-0.04
Leverage
2.89 Average
3.12 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.