Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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Position trading TQQQ
(141158577)

Created by: Mallik Mallik
Started: 07/2022
Stocks
Last trade: 4 days ago
Trading style: Equity Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
21.8%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(32.0%)
Max Drawdown
41
Num Trades
41.5%
Win Trades
2.3 : 1
Profit Factor
53.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +7.0%+5.0%(16.7%)(1.5%)+13.0%(17.3%)(13.9%)
2023+12.6%(5.8%)+7.1%(1.4%)+24.6%+12.3%+10.2%(2.2%)(6.7%)(3.4%)+9.9%+3.4%+72.8%
2024+7.4%+4.4%(1%)(9.4%)+20.3%+1.5%(3.8%)+0.8%(4.6%)(1%)(10.2%)+7.4%+8.3%

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 48 hours.

Trading Record

This strategy has placed 64 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/16/24 15:50 SPY SPDR S&P 500 SHORT 30 553.77 8/16 15:50 553.83 0.01%
Trade id #148941690
Max drawdown($2)
Time8/16/24 15:50
Quant open30
Worst price553.83
Drawdown as % of equity-0.01%
 ($3)
Includes Typical Broker Commissions trade costs of $0.60
3/27/23 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,814 45.73 6/6/24 15:28 52.03 7.25%
Trade id #144059128
Max drawdown($664)
Time3/28/23 0:00
Quant open400
Worst price24.29
Drawdown as % of equity-7.25%
 $11,402
Includes Typical Broker Commissions trade costs of $36.28
11/10/23 15:46 SPY SPDR S&P 500 SHORT 3 440.53 11/10 15:46 440.51 n/a $0
Includes Typical Broker Commissions trade costs of $0.06
3/24/23 13:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 32.82 3/27 9:30 32.13 0.77%
Trade id #144030341
Max drawdown($73)
Time3/27/23 9:30
Quant open100
Worst price32.09
Drawdown as % of equity-0.77%
 ($71)
Includes Typical Broker Commissions trade costs of $2.00
3/16/23 9:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 430 22.91 3/23 14:39 25.24 n/a $993
Includes Typical Broker Commissions trade costs of $8.60
3/15/23 10:46 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 77 38.74 3/16 9:47 37.28 1.78%
Trade id #143912011
Max drawdown($152)
Time3/15/23 15:02
Quant open77
Worst price36.76
Drawdown as % of equity-1.78%
 ($114)
Includes Typical Broker Commissions trade costs of $1.54
3/15/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 460 22.17 3/15 10:43 21.97 1.24%
Trade id #143909502
Max drawdown($110)
Time3/15/23 10:35
Quant open460
Worst price21.93
Drawdown as % of equity-1.24%
 ($101)
Includes Typical Broker Commissions trade costs of $9.20
3/1/23 11:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 490 21.85 3/10 13:41 20.77 5.78%
Trade id #143736781
Max drawdown($529)
Time3/10/23 13:35
Quant open490
Worst price20.77
Drawdown as % of equity-5.78%
 ($539)
Includes Typical Broker Commissions trade costs of $9.80
1/20/23 13:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 538 20.39 3/1 11:16 21.61 0.1%
Trade id #143286132
Max drawdown($10)
Time1/25/23 0:00
Quant open500
Worst price19.98
Drawdown as % of equity-0.10%
 $645
Includes Typical Broker Commissions trade costs of $10.76
1/19/23 9:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 60 48.75 1/20 13:54 45.80 2.04%
Trade id #143267532
Max drawdown($179)
Time1/20/23 13:50
Quant open60
Worst price45.75
Drawdown as % of equity-2.04%
 ($178)
Includes Typical Broker Commissions trade costs of $1.20
1/11/23 15:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 530 19.29 1/19 9:49 18.83 3.99%
Trade id #143183186
Max drawdown($371)
Time1/12/23 0:00
Quant open530
Worst price18.59
Drawdown as % of equity-3.99%
 ($249)
Includes Typical Broker Commissions trade costs of $5.00
1/5/23 10:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 16.69 1/6 9:31 16.55 0.89%
Trade id #143108174
Max drawdown($82)
Time1/5/23 15:54
Quant open200
Worst price16.28
Drawdown as % of equity-0.89%
 ($32)
Includes Typical Broker Commissions trade costs of $4.00
12/30/22 10:04 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 55.85 1/5/23 10:05 56.33 4.62%
Trade id #143044944
Max drawdown($416)
Time1/3/23 0:00
Quant open100
Worst price51.68
Drawdown as % of equity-4.62%
 $46
Includes Typical Broker Commissions trade costs of $2.00
12/28/22 10:18 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 16.94 12/30 9:41 16.72 1.83%
Trade id #143018474
Max drawdown($168)
Time12/28/22 15:15
Quant open200
Worst price16.10
Drawdown as % of equity-1.83%
 ($48)
Includes Typical Broker Commissions trade costs of $4.00
12/16/22 10:03 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 200 49.34 12/20 9:39 52.97 n/a $722
Includes Typical Broker Commissions trade costs of $4.00
12/1/22 10:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 480 23.59 12/15 15:47 19.53 23.26%
Trade id #142734913
Max drawdown($2,035)
Time12/15/22 13:52
Quant open480
Worst price19.35
Drawdown as % of equity-23.26%
 ($1,959)
Includes Typical Broker Commissions trade costs of $9.60
11/21/22 9:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 480 21.50 12/1 10:17 23.16 5.11%
Trade id #142631054
Max drawdown($494)
Time11/29/22 0:00
Quant open480
Worst price20.47
Drawdown as % of equity-5.11%
 $787
Includes Typical Broker Commissions trade costs of $9.60
11/18/22 12:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 64 46.74 11/21 9:35 46.52 0.84%
Trade id #142617559
Max drawdown($83)
Time11/18/22 15:50
Quant open64
Worst price45.44
Drawdown as % of equity-0.84%
 ($15)
Includes Typical Broker Commissions trade costs of $1.28
11/10/22 14:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 477 20.88 11/18 12:53 21.33 0.14%
Trade id #142524960
Max drawdown($13)
Time11/10/22 14:44
Quant open463
Worst price20.81
Drawdown as % of equity-0.14%
 $208
Includes Typical Broker Commissions trade costs of $9.54
11/4/22 10:54 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 55 59.82 11/7 10:20 59.24 0.84%
Trade id #142442965
Max drawdown($80)
Time11/7/22 9:31
Quant open55
Worst price58.35
Drawdown as % of equity-0.84%
 ($33)
Includes Typical Broker Commissions trade costs of $1.10
10/31/22 15:07 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 60 52.08 11/2 11:32 54.97 1.57%
Trade id #142385761
Max drawdown($148)
Time11/1/22 0:00
Quant open60
Worst price49.60
Drawdown as % of equity-1.57%
 $172
Includes Typical Broker Commissions trade costs of $1.20
9/16/22 9:32 TZA DIREXION DAILY SMALL CAP BEAR LONG 260 37.37 9/21 9:51 37.51 3.19%
Trade id #141828168
Max drawdown($309)
Time9/19/22 0:00
Quant open260
Worst price36.18
Drawdown as % of equity-3.19%
 $32
Includes Typical Broker Commissions trade costs of $5.20
9/20/22 9:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 49.44 9/21 9:51 48.30 1.56%
Trade id #141862682
Max drawdown($152)
Time9/20/22 12:05
Quant open100
Worst price47.92
Drawdown as % of equity-1.56%
 ($116)
Includes Typical Broker Commissions trade costs of $2.00
9/15/22 9:55 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 270 39.83 9/16 9:32 36.49 10.27%
Trade id #141814792
Max drawdown($1,050)
Time9/16/22 0:00
Quant open270
Worst price35.94
Drawdown as % of equity-10.27%
 ($907)
Includes Typical Broker Commissions trade costs of $5.40
9/13/22 9:31 TZA DIREXION DAILY SMALL CAP BEAR LONG 300 33.75 9/15 9:55 34.39 0.67%
Trade id #141762683
Max drawdown($75)
Time9/13/22 9:53
Quant open300
Worst price33.50
Drawdown as % of equity-0.67%
 $186
Includes Typical Broker Commissions trade costs of $6.00
9/7/22 11:15 SPXL DIREXION DAILY S&P500 BULL 3X LONG 145 72.49 9/13 9:31 76.86 0.9%
Trade id #141689371
Max drawdown($88)
Time9/7/22 12:23
Quant open145
Worst price71.88
Drawdown as % of equity-0.90%
 $631
Includes Typical Broker Commissions trade costs of $2.90
9/6/22 10:05 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 450 23.57 9/7 11:13 22.67 4%
Trade id #141669416
Max drawdown($405)
Time9/7/22 11:13
Quant open450
Worst price22.67
Drawdown as % of equity-4.00%
 ($414)
Includes Typical Broker Commissions trade costs of $9.00
9/2/22 9:34 SPXL DIREXION DAILY S&P500 BULL 3X LONG 150 75.29 9/6 10:04 70.10 7.92%
Trade id #141635237
Max drawdown($826)
Time9/6/22 10:04
Quant open150
Worst price69.78
Drawdown as % of equity-7.92%
 ($782)
Includes Typical Broker Commissions trade costs of $3.00
8/26/22 10:33 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 510 19.77 9/2 9:31 21.83 n/a $1,046
Includes Typical Broker Commissions trade costs of $5.00
8/25/22 9:56 SPXL DIREXION DAILY S&P500 BULL 3X LONG 130 86.00 8/26 10:32 84.58 2.38%
Trade id #141535871
Max drawdown($247)
Time8/26/22 10:31
Quant open130
Worst price84.10
Drawdown as % of equity-2.38%
 ($188)
Includes Typical Broker Commissions trade costs of $2.60
Next

Statistics

  • Strategy began
    7/23/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    882.87
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    41
  • # Profitable
    17
  • % Profitable
    41.50%
  • Avg trade duration
    19.4 days
  • Max peak-to-valley drawdown
    31.97%
  • drawdown period
    Feb 02, 2023 - March 16, 2023
  • Annual Return (Compounded)
    21.8%
  • Avg win
    $1,076
  • Avg loss
    $338.75
  • Model Account Values (Raw)
  • Cash
    $15,611
  • Margin Used
    $0
  • Buying Power
    $14,177
  • Ratios
  • W:L ratio
    2.27:1
  • Sharpe Ratio
    0.59
  • Sortino Ratio
    0.88
  • Calmar Ratio
    1.463
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    11.50%
  • Correlation to SP500
    0.47280
  • Return Percent SP500 (cumu) during strategy life
    49.71%
  • Return Statistics
  • Ann Return (w trading costs)
    21.8%
  • Slump
  • Current Slump as Pcnt Equity
    23.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • 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)
    0.217%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    34.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.50%
  • Chance of 20% account loss
    27.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    0.50%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    887
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    417
  • Popularity (7 days, Percentile 1000 scale)
    757
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $339
  • Avg Win
    $1,076
  • Sum Trade PL (losers)
    $8,130.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $18,296.000
  • # Winners
    17
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    193
  • AUM
  • AUM (AutoTrader live capital)
    20111
  • Win / Loss
  • # Losers
    24
  • % Winners
    41.5%
  • Frequency
  • Avg Position Time (mins)
    27924.70
  • Avg Position Time (hrs)
    465.41
  • Avg Trade Length
    19.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.59
  • Daily leverage (max)
    3.86
  • Regression
  • Alpha
    0.02
  • Beta
    1.09
  • Treynor Index
    0.06
  • 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)
    0.29
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    1.436
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.333
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.170
  • Hold-and-Hope Ratio
    0.563
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31372
  • SD
    0.32822
  • Sharpe ratio (Glass type estimate)
    0.95584
  • Sharpe ratio (Hedges UMVUE)
    0.92795
  • df
    26.00000
  • t
    1.43375
  • p
    0.08178
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25871
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03365
  • Upside Potential Ratio
    3.90883
  • Upside part of mean
    0.60300
  • Downside part of mean
    -0.28927
  • Upside SD
    0.29689
  • Downside SD
    0.15427
  • N nonnegative terms
    15.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.17216
  • Mean of criterion
    0.31372
  • SD of predictor
    0.15079
  • SD of criterion
    0.32822
  • Covariance
    0.02658
  • r
    0.53706
  • b (slope, estimate of beta)
    1.16900
  • a (intercept, estimate of alpha)
    0.11247
  • Mean Square Error
    0.07972
  • DF error
    25.00000
  • t(b)
    3.18339
  • p(b)
    0.00194
  • t(a)
    0.56642
  • p(a)
    0.28808
  • Lowerbound of 95% confidence interval for beta
    0.41270
  • Upperbound of 95% confidence interval for beta
    1.92531
  • Lowerbound of 95% confidence interval for alpha
    -0.29648
  • Upperbound of 95% confidence interval for alpha
    0.52142
  • Treynor index (mean / b)
    0.26837
  • Jensen alpha (a)
    0.11247
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26102
  • SD
    0.31426
  • Sharpe ratio (Glass type estimate)
    0.83058
  • Sharpe ratio (Hedges UMVUE)
    0.80635
  • df
    26.00000
  • t
    1.24587
  • p
    0.11196
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14870
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13124
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58640
  • Upside Potential Ratio
    3.41909
  • Upside part of mean
    0.56256
  • Downside part of mean
    -0.30154
  • Upside SD
    0.27149
  • Downside SD
    0.16453
  • N nonnegative terms
    15.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.15968
  • Mean of criterion
    0.26102
  • SD of predictor
    0.15116
  • SD of criterion
    0.31426
  • Covariance
    0.02632
  • r
    0.55401
  • b (slope, estimate of beta)
    1.15180
  • a (intercept, estimate of alpha)
    0.07710
  • Mean Square Error
    0.07119
  • DF error
    25.00000
  • t(b)
    3.32739
  • p(b)
    0.00136
  • t(a)
    0.41394
  • p(a)
    0.34122
  • Lowerbound of 95% confidence interval for beta
    0.43887
  • Upperbound of 95% confidence interval for beta
    1.86472
  • Lowerbound of 95% confidence interval for alpha
    -0.30651
  • Upperbound of 95% confidence interval for alpha
    0.46071
  • Treynor index (mean / b)
    0.22662
  • Jensen alpha (a)
    0.07710
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11968
  • Expected Shortfall on VaR
    0.15195
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05216
  • Expected Shortfall on VaR
    0.09786
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.82718
  • Quartile 1
    0.96109
  • Median
    1.02403
  • Quartile 3
    1.08948
  • Maximum
    1.28815
  • Mean of quarter 1
    0.93135
  • Mean of quarter 2
    0.98377
  • Mean of quarter 3
    1.05103
  • Mean of quarter 4
    1.15095
  • Inter Quartile Range
    0.12839
  • 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
    0.03704
  • Mean of outliers high
    1.28815
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50403
  • VaR(95%) (moments method)
    0.08154
  • Expected Shortfall (moments method)
    0.15920
  • Extreme Value Index (regression method)
    1.27090
  • VaR(95%) (regression method)
    0.07409
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.04571
  • Quartile 1
    0.08000
  • Median
    0.08117
  • Quartile 3
    0.11386
  • Maximum
    0.17282
  • Mean of quarter 1
    0.06278
  • Mean of quarter 2
    0.08048
  • Mean of quarter 3
    0.08187
  • Mean of quarter 4
    0.14867
  • Inter Quartile Range
    0.03385
  • 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
    0.17282
  • 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)
    0.40698
  • Compounded annual return (geometric extrapolation)
    0.33499
  • Calmar ratio (compounded annual return / max draw down)
    1.93839
  • Compounded annual return / average of 25% largest draw downs
    2.25323
  • Compounded annual return / Expected Shortfall lognormal
    2.20461
  • 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
    0.32957
  • SD
    0.31060
  • Sharpe ratio (Glass type estimate)
    1.06107
  • Sharpe ratio (Hedges UMVUE)
    1.05975
  • df
    602.00000
  • t
    1.60973
  • p
    0.05399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35397
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35307
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61856
  • Upside Potential Ratio
    8.61372
  • Upside part of mean
    1.75393
  • Downside part of mean
    -1.42436
  • Upside SD
    0.23509
  • Downside SD
    0.20362
  • N nonnegative terms
    323.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    603.00000
  • Mean of predictor
    0.15879
  • Mean of criterion
    0.32957
  • SD of predictor
    0.15451
  • SD of criterion
    0.31060
  • Covariance
    0.02242
  • r
    0.46720
  • b (slope, estimate of beta)
    0.93917
  • a (intercept, estimate of alpha)
    0.18000
  • Mean Square Error
    0.07554
  • DF error
    601.00000
  • t(b)
    12.95430
  • p(b)
    -0.00000
  • t(a)
    0.99395
  • p(a)
    0.16032
  • Lowerbound of 95% confidence interval for beta
    0.79679
  • Upperbound of 95% confidence interval for beta
    1.08155
  • Lowerbound of 95% confidence interval for alpha
    -0.17608
  • Upperbound of 95% confidence interval for alpha
    0.53696
  • Treynor index (mean / b)
    0.35092
  • Jensen alpha (a)
    0.18044
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28151
  • SD
    0.30929
  • Sharpe ratio (Glass type estimate)
    0.91016
  • Sharpe ratio (Hedges UMVUE)
    0.90903
  • df
    602.00000
  • t
    1.38079
  • p
    0.08393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20275
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38392
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20198
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35038
  • Upside Potential Ratio
    8.28489
  • Upside part of mean
    1.72710
  • Downside part of mean
    -1.44560
  • Upside SD
    0.22879
  • Downside SD
    0.20846
  • N nonnegative terms
    323.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    603.00000
  • Mean of predictor
    0.14685
  • Mean of criterion
    0.28151
  • SD of predictor
    0.15425
  • SD of criterion
    0.30929
  • Covariance
    0.02243
  • r
    0.47020
  • b (slope, estimate of beta)
    0.94280
  • a (intercept, estimate of alpha)
    0.14306
  • Mean Square Error
    0.07464
  • DF error
    601.00000
  • t(b)
    13.06090
  • p(b)
    -0.00000
  • t(a)
    0.79305
  • p(a)
    0.21403
  • Lowerbound of 95% confidence interval for beta
    0.80103
  • Upperbound of 95% confidence interval for beta
    1.08456
  • Lowerbound of 95% confidence interval for alpha
    -0.21121
  • Upperbound of 95% confidence interval for alpha
    0.49733
  • Treynor index (mean / b)
    0.29858
  • Jensen alpha (a)
    0.14306
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02990
  • Expected Shortfall on VaR
    0.03759
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01180
  • Expected Shortfall on VaR
    0.02462
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    603.00000
  • Minimum
    0.90687
  • Quartile 1
    0.99400
  • Median
    1.00078
  • Quartile 3
    1.00765
  • Maximum
    1.14213
  • Mean of quarter 1
    0.98032
  • Mean of quarter 2
    0.99823
  • Mean of quarter 3
    1.00380
  • Mean of quarter 4
    1.02312
  • Inter Quartile Range
    0.01365
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.05970
  • Mean of outliers low
    0.95851
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.06634
  • Mean of outliers high
    1.04494
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37084
  • VaR(95%) (moments method)
    0.01867
  • Expected Shortfall (moments method)
    0.03533
  • Extreme Value Index (regression method)
    0.20739
  • VaR(95%) (regression method)
    0.01798
  • Expected Shortfall (regression method)
    0.02902
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00454
  • Quartile 1
    0.01552
  • Median
    0.03329
  • Quartile 3
    0.07415
  • Maximum
    0.24782
  • Mean of quarter 1
    0.00843
  • Mean of quarter 2
    0.02476
  • Mean of quarter 3
    0.04921
  • Mean of quarter 4
    0.15980
  • Inter Quartile Range
    0.05863
  • 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
    0.13636
  • Mean of outliers high
    0.21422
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.11486
  • VaR(95%) (moments method)
    0.16184
  • Expected Shortfall (moments method)
    0.16430
  • Extreme Value Index (regression method)
    -0.90615
  • VaR(95%) (regression method)
    0.23336
  • Expected Shortfall (regression method)
    0.25489
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45114
  • Compounded annual return (geometric extrapolation)
    0.36262
  • Calmar ratio (compounded annual return / max draw down)
    1.46324
  • Compounded annual return / average of 25% largest draw downs
    2.26922
  • Compounded annual return / Expected Shortfall lognormal
    9.64679
  • 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
    -0.22316
  • SD
    0.20360
  • Sharpe ratio (Glass type estimate)
    -1.09608
  • Sharpe ratio (Hedges UMVUE)
    -1.08974
  • df
    130.00000
  • t
    -0.77504
  • p
    0.53391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.86471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68523
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.29982
  • Upside Potential Ratio
    5.13438
  • Upside part of mean
    0.88151
  • Downside part of mean
    -1.10467
  • Upside SD
    0.10886
  • Downside SD
    0.17169
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.22316
  • SD of predictor
    0.14146
  • SD of criterion
    0.20360
  • Covariance
    0.01727
  • r
    0.59953
  • b (slope, estimate of beta)
    0.86290
  • a (intercept, estimate of alpha)
    -0.34632
  • Mean Square Error
    0.02676
  • DF error
    129.00000
  • t(b)
    8.50801
  • p(b)
    0.14262
  • t(a)
    -1.49409
  • p(a)
    0.58279
  • Lowerbound of 95% confidence interval for beta
    0.66224
  • Upperbound of 95% confidence interval for beta
    1.06357
  • Lowerbound of 95% confidence interval for alpha
    -0.80493
  • Upperbound of 95% confidence interval for alpha
    0.11229
  • Treynor index (mean / b)
    -0.25862
  • Jensen alpha (a)
    -0.34632
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24421
  • SD
    0.20660
  • Sharpe ratio (Glass type estimate)
    -1.18208
  • Sharpe ratio (Hedges UMVUE)
    -1.17525
  • df
    130.00000
  • t
    -0.83586
  • p
    0.53656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.95544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.95074
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60023
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.38751
  • Upside Potential Ratio
    4.97459
  • Upside part of mean
    0.87557
  • Downside part of mean
    -1.11979
  • Upside SD
    0.10773
  • Downside SD
    0.17601
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    -0.24421
  • SD of predictor
    0.14181
  • SD of criterion
    0.20660
  • Covariance
    0.01750
  • r
    0.59723
  • b (slope, estimate of beta)
    0.87008
  • a (intercept, estimate of alpha)
    -0.35969
  • Mean Square Error
    0.02767
  • DF error
    129.00000
  • t(b)
    8.45721
  • p(b)
    0.14379
  • t(a)
    -1.52639
  • p(a)
    0.58454
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.66653
  • Upperbound of 95% confidence interval for beta
    1.07364
  • Lowerbound of 95% confidence interval for alpha
    -0.82591
  • Upperbound of 95% confidence interval for alpha
    0.10654
  • Treynor index (mean / b)
    -0.28068
  • Jensen alpha (a)
    -0.35969
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02169
  • Expected Shortfall on VaR
    0.02688
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00836
  • Expected Shortfall on VaR
    0.01829
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92118
  • Quartile 1
    0.99529
  • Median
    1.00099
  • Quartile 3
    1.00370
  • Maximum
    1.03442
  • Mean of quarter 1
    0.98456
  • Mean of quarter 2
    0.99912
  • Mean of quarter 3
    1.00244
  • Mean of quarter 4
    1.01099
  • Inter Quartile Range
    0.00841
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.96817
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02584
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42704
  • VaR(95%) (moments method)
    0.01528
  • Expected Shortfall (moments method)
    0.03077
  • Extreme Value Index (regression method)
    0.43598
  • VaR(95%) (regression method)
    0.01452
  • Expected Shortfall (regression method)
    0.02904
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04864
  • Quartile 1
    0.08160
  • Median
    0.11456
  • Quartile 3
    0.14751
  • Maximum
    0.18047
  • Mean of quarter 1
    0.04864
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18047
  • Inter Quartile Range
    0.06591
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -374853000
  • Max Equity Drawdown (num days)
    42
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.20502
  • Compounded annual return (geometric extrapolation)
    -0.19451
  • Calmar ratio (compounded annual return / max draw down)
    -1.07781
  • Compounded annual return / average of 25% largest draw downs
    -1.07781
  • Compounded annual return / Expected Shortfall lognormal
    -7.23617

Strategy Description

Here is a brief introduction to my trading style and some cool data associated with my trading.
I position trade only TQQQ. I go into cash when NDX is in a downtrend and during the uptrend, I hold anywhere between 1-100% of my portfolio in TQQQ. The position size of TQQQ depends on how extended NDX is. Here are some characteristics of my system.
1) I am a 100% long only systematic trader, meaning the entries, exits, position size, stop losses etc are all determined by predefined set of rules that make up system/model. This does not need any input from me or anybody else. This is purely based on price and no macro/fundamentals.
2) My system is EOD based. It only makes one decision towards the end of the trading day(15 minutes before market closes). It determines how much TQQQ that my portfolio should be holding at that moment. My system has an average of 1 trade per week and the number of trades per month are roughly 4-5 trades. So it does not produce too many trades and that's nice as it needs less time to execute.
3) I use MovingAverages(20 and 250) to determine the trend and use how far the price is from those MAs to determine how extended NDX. Based on that, my system determines how much TQQQ I should be holding.
4) I also use Bollinger Bands to determine if NDX is in a momentum phase so that I can use a heavier position size during that momentum phase to reap more gains.
5) I backtested my strategy over 40 years of NDX and used a synthetic TQQQ in back tests as TQQQ was created in 2010.
6) My backtested CAGR is around 42% with max drawdown of 54%. Past performance does not guarantee future results. I have been running this strategy at Collective2 and you can see the live performance of my strategy here.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-23
Suggested Minimum Capital
$15,000
# Trades
41
# Profitable
17
% Profitable
41.5%
Net Dividends
$192
Correlation S&P500
0.473
Sharpe Ratio
0.59
Sortino Ratio
0.88
Beta
1.09
Alpha
0.02
Leverage
1.59 Average
3.86 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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