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C2Star Strategy Momentum Mastery RTS C2Star: in evaluation Hypothetical

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This is an archived track record. This track record was archived on 12/2/22 5:55 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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MNQ Trades
(140324095)

Created by: QuantifiedSolutions QuantifiedSolutions
Started: 05/2022
Stocks
Last trade: 1,297 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.

-21.4%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(22.2%)
Max Drawdown
56
Num Trades
39.3%
Win Trades
0.9 : 1
Profit Factor
4.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +0.8%(10%)+14.7%(5.1%)(6.6%)(1.1%)(5.1%)  -  (13.4%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/30/22 14:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,927 22.18 11/30 14:30 22.89 n/a $1,363
Includes Typical Broker Commissions trade costs of $5.00
11/23/22 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,911 22.71 11/23 12:00 22.27 2.5%
Trade id #142659779
Max drawdown($1,070)
Time11/23/22 11:56
Quant open1,911
Worst price22.15
Drawdown as % of equity-2.50%
 ($846)
Includes Typical Broker Commissions trade costs of $5.00
11/22/22 13:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,921 21.74 11/23 10:00 22.54 0.46%
Trade id #142649294
Max drawdown($189)
Time11/22/22 14:14
Quant open1,921
Worst price21.64
Drawdown as % of equity-0.46%
 $1,532
Includes Typical Broker Commissions trade costs of $5.00
11/15/22 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,841 23.72 11/15 13:30 22.70 4.91%
Trade id #142568889
Max drawdown($2,080)
Time11/15/22 13:28
Quant open1,841
Worst price22.59
Drawdown as % of equity-4.91%
 ($1,883)
Includes Typical Broker Commissions trade costs of $5.00
11/11/22 13:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,975 22.52 11/14 10:00 22.09 3.12%
Trade id #142538430
Max drawdown($1,382)
Time11/14/22 9:48
Quant open1,975
Worst price21.82
Drawdown as % of equity-3.12%
 ($854)
Includes Typical Broker Commissions trade costs of $5.00
11/10/22 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,076 20.62 11/11 10:00 21.45 2.42%
Trade id #142519380
Max drawdown($1,017)
Time11/10/22 10:40
Quant open2,076
Worst price20.13
Drawdown as % of equity-2.42%
 $1,718
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 12:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,185 19.47 11/8 13:30 18.88 3.37%
Trade id #142485628
Max drawdown($1,442)
Time11/8/22 13:30
Quant open2,185
Worst price18.81
Drawdown as % of equity-3.37%
 ($1,294)
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,265 18.74 11/8 11:30 19.42 0.43%
Trade id #142482025
Max drawdown($181)
Time11/8/22 10:04
Quant open2,265
Worst price18.66
Drawdown as % of equity-0.43%
 $1,535
Includes Typical Broker Commissions trade costs of $5.00
11/2/22 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,210 20.94 11/2 15:00 19.33 8.67%
Trade id #142414631
Max drawdown($3,955)
Time11/2/22 14:53
Quant open2,210
Worst price19.15
Drawdown as % of equity-8.67%
 ($3,563)
Includes Typical Broker Commissions trade costs of $5.00
10/28/22 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,213 21.33 10/31 10:00 20.83 2.7%
Trade id #142362929
Max drawdown($1,283)
Time10/31/22 9:52
Quant open2,213
Worst price20.75
Drawdown as % of equity-2.70%
 ($1,112)
Includes Typical Broker Commissions trade costs of $5.00
10/25/22 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,191 22.36 10/26 10:00 21.52 6.39%
Trade id #142302199
Max drawdown($3,133)
Time10/26/22 9:31
Quant open2,191
Worst price20.93
Drawdown as % of equity-6.39%
 ($1,845)
Includes Typical Broker Commissions trade costs of $5.00
10/24/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,205 21.38 10/25 10:00 22.21 1.18%
Trade id #142291661
Max drawdown($551)
Time10/24/22 15:55
Quant open2,205
Worst price21.13
Drawdown as % of equity-1.18%
 $1,825
Includes Typical Broker Commissions trade costs of $5.00
10/21/22 14:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,365 20.28 10/24 10:30 19.97 2.36%
Trade id #142267880
Max drawdown($1,135)
Time10/24/22 10:24
Quant open2,365
Worst price19.80
Drawdown as % of equity-2.36%
 ($738)
Includes Typical Broker Commissions trade costs of $5.00
10/20/22 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,431 20.38 10/20 12:30 19.72 3.56%
Trade id #142245376
Max drawdown($1,738)
Time10/20/22 12:28
Quant open2,431
Worst price19.66
Drawdown as % of equity-3.56%
 ($1,609)
Includes Typical Broker Commissions trade costs of $5.00
10/13/22 13:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,612 19.28 10/13 14:30 19.00 1.83%
Trade id #142160719
Max drawdown($914)
Time10/13/22 14:28
Quant open2,612
Worst price18.93
Drawdown as % of equity-1.83%
 ($736)
Includes Typical Broker Commissions trade costs of $5.00
10/3/22 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,231 20.81 10/4 10:00 22.49 1.11%
Trade id #142016827
Max drawdown($513)
Time10/3/22 15:56
Quant open2,231
Worst price20.58
Drawdown as % of equity-1.11%
 $3,743
Includes Typical Broker Commissions trade costs of $5.00
9/21/22 15:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,941 25.61 9/21 15:30 24.05 6.63%
Trade id #141881926
Max drawdown($3,260)
Time9/21/22 15:30
Quant open1,941
Worst price23.93
Drawdown as % of equity-6.63%
 ($3,033)
Includes Typical Broker Commissions trade costs of $5.00
9/19/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,024 25.17 9/20 10:00 24.53 3.33%
Trade id #141855783
Max drawdown($1,679)
Time9/20/22 9:43
Quant open2,024
Worst price24.34
Drawdown as % of equity-3.33%
 ($1,300)
Includes Typical Broker Commissions trade costs of $5.00
9/9/22 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,643 29.23 9/12 10:00 30.90 0.28%
Trade id #141722929
Max drawdown($131)
Time9/9/22 10:25
Quant open1,643
Worst price29.15
Drawdown as % of equity-0.28%
 $2,739
Includes Typical Broker Commissions trade costs of $5.00
9/8/22 11:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,782 28.19 9/8 12:30 27.00 5.04%
Trade id #141706211
Max drawdown($2,512)
Time9/8/22 12:22
Quant open1,782
Worst price26.78
Drawdown as % of equity-5.04%
 ($2,126)
Includes Typical Broker Commissions trade costs of $5.00
9/7/22 13:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,802 26.92 9/7 15:30 27.84 0.19%
Trade id #141692073
Max drawdown($90)
Time9/7/22 13:29
Quant open1,802
Worst price26.87
Drawdown as % of equity-0.19%
 $1,653
Includes Typical Broker Commissions trade costs of $5.00
9/2/22 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,734 28.70 9/2 12:30 28.03 2.72%
Trade id #141638023
Max drawdown($1,317)
Time9/2/22 12:30
Quant open1,734
Worst price27.94
Drawdown as % of equity-2.72%
 ($1,167)
Includes Typical Broker Commissions trade costs of $5.00
8/25/22 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,511 33.65 8/26 10:30 32.97 2.99%
Trade id #141536024
Max drawdown($1,526)
Time8/26/22 10:30
Quant open1,511
Worst price32.64
Drawdown as % of equity-2.99%
 ($1,032)
Includes Typical Broker Commissions trade costs of $5.00
8/24/22 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,559 33.15 8/24 13:30 32.56 1.86%
Trade id #141522183
Max drawdown($935)
Time8/24/22 13:28
Quant open1,559
Worst price32.55
Drawdown as % of equity-1.86%
 ($925)
Includes Typical Broker Commissions trade costs of $5.00
8/15/22 12:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,348 38.65 8/16 10:00 38.30 1.57%
Trade id #141421266
Max drawdown($808)
Time8/16/22 9:51
Quant open1,348
Worst price38.05
Drawdown as % of equity-1.57%
 ($477)
Includes Typical Broker Commissions trade costs of $5.00
8/10/22 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,390 35.87 8/11 10:00 37.41 1.58%
Trade id #141368291
Max drawdown($778)
Time8/10/22 10:20
Quant open1,390
Worst price35.31
Drawdown as % of equity-1.58%
 $2,136
Includes Typical Broker Commissions trade costs of $5.00
8/8/22 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,399 36.67 8/8 11:30 35.77 2.74%
Trade id #141334726
Max drawdown($1,357)
Time8/8/22 11:28
Quant open1,399
Worst price35.70
Drawdown as % of equity-2.74%
 ($1,264)
Includes Typical Broker Commissions trade costs of $5.00
8/4/22 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,464 36.15 8/5 10:00 34.99 4.95%
Trade id #141308948
Max drawdown($2,576)
Time8/5/22 0:00
Quant open1,464
Worst price34.39
Drawdown as % of equity-4.95%
 ($1,703)
Includes Typical Broker Commissions trade costs of $5.00
8/3/22 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,486 34.43 8/3 13:00 35.56 1.12%
Trade id #141283590
Max drawdown($564)
Time8/3/22 10:36
Quant open1,486
Worst price34.05
Drawdown as % of equity-1.12%
 $1,674
Includes Typical Broker Commissions trade costs of $5.00
8/1/22 11:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,524 34.32 8/1 13:00 33.66 2.42%
Trade id #141253227
Max drawdown($1,219)
Time8/1/22 12:56
Quant open1,524
Worst price33.52
Drawdown as % of equity-2.42%
 ($1,011)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/1/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1501.11
  • Age
    50 months ago
  • What it trades
    Stocks
  • # Trades
    56
  • # Profitable
    22
  • % Profitable
    39.30%
  • Avg trade duration
    17.4 hours
  • Max peak-to-valley drawdown
    22.25%
  • drawdown period
    July 29, 2022 - Nov 22, 2022
  • Cumul. Return
    -13.4%
  • Avg win
    $1,850
  • Avg loss
    $1,379
  • Model Account Values (Raw)
  • Cash
    $43,830
  • Margin Used
    $0
  • Buying Power
    $43,830
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -0.35
  • Sortino Ratio
    -0.48
  • Calmar Ratio
    -0.611
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.09%
  • Correlation to SP500
    0.23420
  • Return Percent SP500 (cumu) during strategy life
    81.53%
  • Return Statistics
  • Ann Return (w trading costs)
    -21.4%
  • Slump
  • Current Slump as Pcnt Equity
    22.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • 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)
    -0.134%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    49.50%
  • Chance of 30% account loss
    12.00%
  • Chance of 40% account loss
    1.00%
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    679
  • 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
    $1,379
  • Avg Win
    $1,851
  • Sum Trade PL (losers)
    $46,888.000
  • Age
  • Num Months filled monthly returns table
    50
  • Win / Loss
  • Sum Trade PL (winners)
    $40,719.000
  • # Winners
    22
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    34
  • % Winners
    39.3%
  • Frequency
  • Avg Position Time (mins)
    1045.72
  • Avg Position Time (hrs)
    17.43
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    1288
  • Leverage
  • Daily leverage (average)
    3.03
  • Daily leverage (max)
    3.09
  • Regression
  • Alpha
    -0.02
  • Beta
    0.16
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.82
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -7.775
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.279
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.291
  • Hold-and-Hope Ratio
    -0.129
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22850
  • SD
    0.23691
  • Sharpe ratio (Glass type estimate)
    -0.96451
  • Sharpe ratio (Hedges UMVUE)
    -0.83780
  • df
    6.00000
  • t
    -0.73666
  • p
    0.75544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.54807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.44741
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77181
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41927
  • Upside Potential Ratio
    1.32481
  • Upside part of mean
    0.21329
  • Downside part of mean
    -0.44180
  • Upside SD
    0.16291
  • Downside SD
    0.16100
  • N nonnegative terms
    1.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.03630
  • Mean of criterion
    -0.22850
  • SD of predictor
    0.23796
  • SD of criterion
    0.23691
  • Covariance
    0.03548
  • r
    0.62932
  • b (slope, estimate of beta)
    0.62655
  • a (intercept, estimate of alpha)
    -0.20576
  • Mean Square Error
    0.04068
  • DF error
    5.00000
  • t(b)
    1.81074
  • p(b)
    0.06497
  • t(a)
    -0.77830
  • p(a)
    0.76420
  • Lowerbound of 95% confidence interval for beta
    -0.26295
  • Upperbound of 95% confidence interval for beta
    1.51604
  • Lowerbound of 95% confidence interval for alpha
    -0.88536
  • Upperbound of 95% confidence interval for alpha
    0.47385
  • Treynor index (mean / b)
    -0.36470
  • Jensen alpha (a)
    -0.20576
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25369
  • SD
    0.23104
  • Sharpe ratio (Glass type estimate)
    -1.09802
  • Sharpe ratio (Hedges UMVUE)
    -0.95377
  • df
    6.00000
  • t
    -0.83862
  • p
    0.78309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.69297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58109
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.57608
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66855
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.52575
  • Upside Potential Ratio
    1.20642
  • Upside part of mean
    0.20059
  • Downside part of mean
    -0.45428
  • Upside SD
    0.15320
  • Downside SD
    0.16627
  • N nonnegative terms
    1.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.06073
  • Mean of criterion
    -0.25369
  • SD of predictor
    0.23927
  • SD of criterion
    0.23104
  • Covariance
    0.03533
  • r
    0.63917
  • b (slope, estimate of beta)
    0.61719
  • a (intercept, estimate of alpha)
    -0.21620
  • Mean Square Error
    0.03789
  • DF error
    5.00000
  • t(b)
    1.85838
  • p(b)
    0.06111
  • t(a)
    -0.84571
  • p(a)
    0.78185
  • Lowerbound of 95% confidence interval for beta
    -0.23657
  • Upperbound of 95% confidence interval for beta
    1.47095
  • Lowerbound of 95% confidence interval for alpha
    -0.87339
  • Upperbound of 95% confidence interval for alpha
    0.44099
  • Treynor index (mean / b)
    -0.41103
  • Jensen alpha (a)
    -0.21620
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12265
  • Expected Shortfall on VaR
    0.14650
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08979
  • Expected Shortfall on VaR
    0.10371
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.92076
  • Quartile 1
    0.94340
  • Median
    0.96965
  • Quartile 3
    0.98953
  • Maximum
    1.12675
  • Mean of quarter 1
    0.92816
  • Mean of quarter 2
    0.96044
  • Mean of quarter 3
    0.98847
  • Mean of quarter 4
    1.05867
  • Inter Quartile Range
    0.04613
  • 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
    0.14286
  • Mean of outliers high
    1.12675
  • 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
    2.00000
  • Minimum
    0.08986
  • Quartile 1
    0.10369
  • Median
    0.11753
  • Quartile 3
    0.13136
  • Maximum
    0.14520
  • Mean of quarter 1
    0.08986
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14520
  • Inter Quartile Range
    0.02767
  • 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)
    -0.21154
  • Compounded annual return (geometric extrapolation)
    -0.20211
  • Calmar ratio (compounded annual return / max draw down)
    -1.39194
  • Compounded annual return / average of 25% largest draw downs
    -1.39194
  • Compounded annual return / Expected Shortfall lognormal
    -1.37955
  • 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
    -0.20680
  • SD
    0.30057
  • Sharpe ratio (Glass type estimate)
    -0.68800
  • Sharpe ratio (Hedges UMVUE)
    -0.68463
  • df
    153.00000
  • t
    -0.52748
  • p
    0.52712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.24449
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.24223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87298
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.94771
  • Upside Potential Ratio
    6.28043
  • Upside part of mean
    1.37042
  • Downside part of mean
    -1.57721
  • Upside SD
    0.20569
  • Downside SD
    0.21820
  • N nonnegative terms
    44.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    154.00000
  • Mean of predictor
    -0.02709
  • Mean of criterion
    -0.20680
  • SD of predictor
    0.25925
  • SD of criterion
    0.30057
  • Covariance
    0.03071
  • r
    0.39412
  • b (slope, estimate of beta)
    0.45694
  • a (intercept, estimate of alpha)
    -0.24900
  • Mean Square Error
    0.07681
  • DF error
    152.00000
  • t(b)
    5.28702
  • p(b)
    0.30294
  • t(a)
    -0.53779
  • p(a)
    0.52179
  • Lowerbound of 95% confidence interval for beta
    0.28619
  • Upperbound of 95% confidence interval for beta
    0.62770
  • Lowerbound of 95% confidence interval for alpha
    -0.90864
  • Upperbound of 95% confidence interval for alpha
    0.51981
  • Treynor index (mean / b)
    -0.45256
  • Jensen alpha (a)
    -0.19442
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25198
  • SD
    0.30174
  • Sharpe ratio (Glass type estimate)
    -0.83507
  • Sharpe ratio (Hedges UMVUE)
    -0.83097
  • df
    153.00000
  • t
    -0.64023
  • p
    0.53289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.39190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.38912
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72718
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.12578
  • Upside Potential Ratio
    6.03018
  • Upside part of mean
    1.34969
  • Downside part of mean
    -1.60167
  • Upside SD
    0.20150
  • Downside SD
    0.22382
  • N nonnegative terms
    44.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    154.00000
  • Mean of predictor
    -0.06048
  • Mean of criterion
    -0.25198
  • SD of predictor
    0.25928
  • SD of criterion
    0.30174
  • Covariance
    0.03065
  • r
    0.39175
  • b (slope, estimate of beta)
    0.45591
  • a (intercept, estimate of alpha)
    -0.22440
  • Mean Square Error
    0.07758
  • DF error
    152.00000
  • t(b)
    5.24935
  • p(b)
    0.30413
  • t(a)
    -0.61760
  • p(a)
    0.52502
  • Lowerbound of 95% confidence interval for beta
    0.28432
  • Upperbound of 95% confidence interval for beta
    0.62749
  • Lowerbound of 95% confidence interval for alpha
    -0.94226
  • Upperbound of 95% confidence interval for alpha
    0.49345
  • Treynor index (mean / b)
    -0.55269
  • Jensen alpha (a)
    -0.22440
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03113
  • Expected Shortfall on VaR
    0.03862
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01716
  • Expected Shortfall on VaR
    0.03350
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    154.00000
  • Minimum
    0.90897
  • Quartile 1
    0.99266
  • Median
    1.00000
  • Quartile 3
    1.00292
  • Maximum
    1.06870
  • Mean of quarter 1
    0.97889
  • Mean of quarter 2
    0.99758
  • Mean of quarter 3
    1.00018
  • Mean of quarter 4
    1.02060
  • Inter Quartile Range
    0.01026
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.95930
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.11039
  • Mean of outliers high
    1.03305
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31229
  • VaR(95%) (moments method)
    0.02062
  • Expected Shortfall (moments method)
    0.03598
  • Extreme Value Index (regression method)
    0.24349
  • VaR(95%) (regression method)
    0.01847
  • Expected Shortfall (regression method)
    0.02949
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.08958
  • Quartile 1
    0.14457
  • Median
    0.19955
  • Quartile 3
    0.20524
  • Maximum
    0.21094
  • Mean of quarter 1
    0.08958
  • Mean of quarter 2
    0.19955
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21094
  • Inter Quartile Range
    0.06068
  • 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)
    -0.20994
  • Compounded annual return (geometric extrapolation)
    -0.20074
  • Calmar ratio (compounded annual return / max draw down)
    -0.95167
  • Compounded annual return / average of 25% largest draw downs
    -0.95167
  • Compounded annual return / Expected Shortfall lognormal
    -5.19721
  • 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
    -0.20551
  • SD
    0.29280
  • Sharpe ratio (Glass type estimate)
    -0.70188
  • Sharpe ratio (Hedges UMVUE)
    -0.69782
  • df
    130.00000
  • t
    -0.49630
  • p
    0.52174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.47367
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07257
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.47092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07528
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.94573
  • Upside Potential Ratio
    5.99313
  • Upside part of mean
    1.30231
  • Downside part of mean
    -1.50781
  • Upside SD
    0.19498
  • Downside SD
    0.21730
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04542
  • Mean of criterion
    -0.20551
  • SD of predictor
    0.25046
  • SD of criterion
    0.29280
  • Covariance
    0.02680
  • r
    0.36550
  • b (slope, estimate of beta)
    0.42729
  • a (intercept, estimate of alpha)
    -0.18610
  • Mean Square Error
    0.07485
  • DF error
    129.00000
  • t(b)
    4.45988
  • p(b)
    0.27260
  • t(a)
    -0.48096
  • p(a)
    0.52693
  • Lowerbound of 95% confidence interval for beta
    0.23773
  • Upperbound of 95% confidence interval for beta
    0.61684
  • Lowerbound of 95% confidence interval for alpha
    -0.95167
  • Upperbound of 95% confidence interval for alpha
    0.57947
  • Treynor index (mean / b)
    -0.48096
  • Jensen alpha (a)
    -0.18610
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24847
  • SD
    0.29464
  • Sharpe ratio (Glass type estimate)
    -0.84329
  • Sharpe ratio (Hedges UMVUE)
    -0.83842
  • df
    130.00000
  • t
    -0.59630
  • p
    0.52611
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.61543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.61210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93526
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.11289
  • Upside Potential Ratio
    5.74952
  • Upside part of mean
    1.28366
  • Downside part of mean
    -1.53213
  • Upside SD
    0.19115
  • Downside SD
    0.22326
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07650
  • Mean of criterion
    -0.24847
  • SD of predictor
    0.25020
  • SD of criterion
    0.29464
  • Covariance
    0.02683
  • r
    0.36401
  • b (slope, estimate of beta)
    0.42867
  • a (intercept, estimate of alpha)
    -0.21568
  • Mean Square Error
    0.07589
  • DF error
    129.00000
  • t(b)
    4.43888
  • p(b)
    0.27349
  • t(a)
    -0.55349
  • p(a)
    0.53097
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.23760
  • Upperbound of 95% confidence interval for beta
    0.61974
  • Lowerbound of 95% confidence interval for alpha
    -0.98665
  • Upperbound of 95% confidence interval for alpha
    0.55529
  • Treynor index (mean / b)
    -0.57962
  • Jensen alpha (a)
    -0.21568
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03042
  • Expected Shortfall on VaR
    0.03774
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01634
  • Expected Shortfall on VaR
    0.03242
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90897
  • Quartile 1
    0.99296
  • Median
    1.00000
  • Quartile 3
    1.00270
  • Maximum
    1.06870
  • Mean of quarter 1
    0.97940
  • Mean of quarter 2
    0.99806
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.01965
  • Inter Quartile Range
    0.00975
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.96243
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12977
  • Mean of outliers high
    1.02902
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43670
  • VaR(95%) (moments method)
    0.02128
  • Expected Shortfall (moments method)
    0.04301
  • Extreme Value Index (regression method)
    0.37314
  • VaR(95%) (regression method)
    0.01852
  • Expected Shortfall (regression method)
    0.03336
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02265
  • Quartile 1
    0.08756
  • Median
    0.15247
  • Quartile 3
    0.18170
  • Maximum
    0.21094
  • Mean of quarter 1
    0.02265
  • Mean of quarter 2
    0.15247
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21094
  • Inter Quartile Range
    0.09414
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -450397000
  • Max Equity Drawdown (num days)
    116
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.20883
  • Compounded annual return (geometric extrapolation)
    -0.19793
  • Calmar ratio (compounded annual return / max draw down)
    -0.93835
  • Compounded annual return / average of 25% largest draw downs
    -0.93835
  • Compounded annual return / Expected Shortfall lognormal
    -5.24429

Strategy Description

A positional medium term strategy that trades TQQQ trying to capture the medium term momentum in Nasdaq
Trade this strategy at Tradier

Summary Statistics

Strategy began
2022-05-01
Suggested Minimum Capital
$15,000
# Trades
56
# Profitable
22
% Profitable
39.3%
Correlation S&P500
0.234
Sharpe Ratio
-0.35
Sortino Ratio
-0.48
Beta
0.16
Alpha
-0.02
Leverage
3.03 Average
3.09 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.