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TQQQSQQQ
(124727146)

Created by: ETFCapital ETFCapital
Started: 08/2019
Stocks
Last trade: 7 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $120.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

55.1%
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.

(33.9%)
Max Drawdown
545
Num Trades
46.8%
Win Trades
1.3 : 1
Profit Factor
63.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +12.8%+4.2%+15.1%+10.5%+3.5%+54.6%
2020(2.4%)+8.7%+1.2%(3%)+0.6%+1.8%(5.8%)+8.2%(7.8%)+15.2%(0.1%)+2.1%+17.7%
2021(0.7%)+6.5%(1.1%)+13.5%+29.2%+11.3%+12.3%(11%)(17.5%)+25.4%+22.5%(10.2%)+94.3%
2022(15.2%)                                                                  (15.2%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 1,581 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/7/22 13:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,140 72.78 1/19 12:44 67.43 11.62%
Trade id #138867872
Max drawdown($8,641)
Time1/19/22 11:25
Quant open1,140
Worst price65.20
Drawdown as % of equity-11.62%
($6,107)
Includes Typical Broker Commissions trade costs of $5.00
12/23/21 13:06 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 1,073 84.54 1/6/22 9:30 79.16 6.9%
Trade id #138689136
Max drawdown($6,300)
Time1/5/22 0:00
Quant open1,073
Worst price78.67
Drawdown as % of equity-6.90%
($5,785)
Includes Typical Broker Commissions trade costs of $9.73
12/23/21 14:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 246 166.63 12/23 15:46 166.92 0.28%
Trade id #138689819
Max drawdown($255)
Time12/23/21 15:34
Quant open246
Worst price165.59
Drawdown as % of equity-0.28%
$66
Includes Typical Broker Commissions trade costs of $4.92
12/22/21 13:43 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,550 29.09 12/23 12:47 28.32 1.6%
Trade id #138669536
Max drawdown($1,434)
Time12/23/21 10:10
Quant open1,550
Worst price28.16
Drawdown as % of equity-1.60%
($1,195)
Includes Typical Broker Commissions trade costs of $5.00
12/22/21 11:46 JDST DIREXION DAILY JR GOLD BEAR 2X LONG 4,000 11.57 12/23 12:47 11.02 2.61%
Trade id #138667763
Max drawdown($2,346)
Time12/23/21 12:41
Quant open4,000
Worst price10.98
Drawdown as % of equity-2.61%
($2,184)
Includes Typical Broker Commissions trade costs of $5.00
12/22/21 11:46 EDC DIREXION DAILY EMRG MKTS BULL LONG 600 71.78 12/22 13:31 71.78 0.05%
Trade id #138667748
Max drawdown($49)
Time12/22/21 12:42
Quant open600
Worst price71.70
Drawdown as % of equity-0.05%
($6)
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 14:11 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,500 28.45 12/22 9:30 29.15 0.24%
Trade id #138656421
Max drawdown($221)
Time12/21/21 14:19
Quant open1,500
Worst price28.30
Drawdown as % of equity-0.24%
$1,048
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 14:29 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 3,000 15.71 12/22 9:30 15.70 2.23%
Trade id #138656542
Max drawdown($2,031)
Time12/22/21 0:00
Quant open3,000
Worst price15.03
Drawdown as % of equity-2.23%
($26)
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 13:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 7,000 6.42 12/21 14:29 6.39 0.27%
Trade id #138656269
Max drawdown($245)
Time12/21/21 14:05
Quant open7,000
Worst price6.39
Drawdown as % of equity-0.27%
($235)
Includes Typical Broker Commissions trade costs of $5.00
12/20/21 15:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 500 55.15 12/21 11:38 56.80 n/a $811
Includes Typical Broker Commissions trade costs of $10.00
12/20/21 14:36 USO UNITED STATES OIL LONG 200 49.73 12/21 11:38 51.20 n/a $290
Includes Typical Broker Commissions trade costs of $4.00
12/20/21 14:35 GRN IPATH SERIES B CARBON ETN LONG 300 31.93 12/21 11:38 31.12 0.27%
Trade id #138643855
Max drawdown($242)
Time12/21/21 11:38
Quant open300
Worst price31.12
Drawdown as % of equity-0.27%
($249)
Includes Typical Broker Commissions trade costs of $6.00
12/20/21 12:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 230 145.12 12/21 11:33 147.24 0.2%
Trade id #138642080
Max drawdown($176)
Time12/20/21 13:04
Quant open120
Worst price142.90
Drawdown as % of equity-0.20%
$483
Includes Typical Broker Commissions trade costs of $4.60
12/20/21 15:44 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 130 55.09 12/20 15:45 55.10 0%
Trade id #138644677
Max drawdown($2)
Time12/20/21 15:45
Quant open130
Worst price55.10
Drawdown as % of equity-0.00%
($5)
Includes Typical Broker Commissions trade costs of $2.60
12/17/21 14:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 12,500 6.51 12/20 11:40 6.96 0.84%
Trade id #138623439
Max drawdown($706)
Time12/17/21 15:02
Quant open12,500
Worst price6.45
Drawdown as % of equity-0.84%
$5,601
Includes Typical Broker Commissions trade costs of $5.00
12/17/21 11:32 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 12,000 6.48 12/17 13:12 6.58 n/a $1,300
Includes Typical Broker Commissions trade costs of $5.00
12/17/21 10:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 542 153.33 12/17 11:21 155.05 0.3%
Trade id #138619494
Max drawdown($249)
Time12/17/21 11:04
Quant open542
Worst price152.87
Drawdown as % of equity-0.30%
$928
Includes Typical Broker Commissions trade costs of $5.00
12/16/21 11:40 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 13,000 6.35 12/17 10:45 6.55 0.48%
Trade id #138605424
Max drawdown($388)
Time12/16/21 11:47
Quant open13,000
Worst price6.32
Drawdown as % of equity-0.48%
$2,623
Includes Typical Broker Commissions trade costs of $5.00
12/15/21 15:59 LABU DIREXION DAILY S&P BIOTECH BULL LONG 2,000 38.13 12/16 11:05 37.23 2.41%
Trade id #138595129
Max drawdown($2,015)
Time12/16/21 10:11
Quant open2,000
Worst price37.12
Drawdown as % of equity-2.41%
($1,796)
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 14:25 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 13,000 6.21 12/15 14:55 6.37 0.58%
Trade id #138563182
Max drawdown($455)
Time12/13/21 15:03
Quant open13,000
Worst price6.17
Drawdown as % of equity-0.58%
$2,140
Includes Typical Broker Commissions trade costs of $5.00
12/10/21 9:30 RETL DIREXION DAILY RETAIL BULL 3X LONG 2,990 36.30 12/13 14:24 34.79 8.72%
Trade id #138535967
Max drawdown($6,837)
Time12/13/21 12:02
Quant open2,790
Worst price33.85
Drawdown as % of equity-8.72%
($4,531)
Includes Typical Broker Commissions trade costs of $14.50
12/10/21 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 270 80.06 12/13 11:38 79.44 0.49%
Trade id #138536005
Max drawdown($411)
Time12/13/21 9:46
Quant open270
Worst price78.54
Drawdown as % of equity-0.49%
($173)
Includes Typical Broker Commissions trade costs of $5.40
12/10/21 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 230 84.24 12/13 11:38 77.43 2.07%
Trade id #138535993
Max drawdown($1,619)
Time12/13/21 11:32
Quant open230
Worst price77.20
Drawdown as % of equity-2.07%
($1,573)
Includes Typical Broker Commissions trade costs of $4.60
12/7/21 11:08 YINN DIREXION DAILY FTSE CHINA BULL LONG 4,000 9.65 12/10 11:53 9.74 0.77%
Trade id #138492545
Max drawdown($638)
Time12/8/21 0:00
Quant open4,000
Worst price9.49
Drawdown as % of equity-0.77%
$355
Includes Typical Broker Commissions trade costs of $7.50
12/7/21 10:54 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,500 55.78 12/10 9:30 57.06 0.38%
Trade id #138492202
Max drawdown($311)
Time12/7/21 15:52
Quant open800
Worst price55.39
Drawdown as % of equity-0.38%
$1,907
Includes Typical Broker Commissions trade costs of $7.50
12/6/21 15:54 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 10,000 6.63 12/7 9:30 6.31 4.04%
Trade id #138481432
Max drawdown($3,484)
Time12/7/21 0:00
Quant open10,000
Worst price6.28
Drawdown as % of equity-4.04%
($3,190)
Includes Typical Broker Commissions trade costs of $5.00
12/6/21 13:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 500 154.68 12/6 15:54 154.41 0.86%
Trade id #138479856
Max drawdown($744)
Time12/6/21 15:47
Quant open500
Worst price153.19
Drawdown as % of equity-0.86%
($144)
Includes Typical Broker Commissions trade costs of $10.00
12/6/21 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 10,000 6.85 12/6 13:57 6.61 2.79%
Trade id #138470158
Max drawdown($2,434)
Time12/6/21 13:27
Quant open10,000
Worst price6.61
Drawdown as % of equity-2.79%
($2,442)
Includes Typical Broker Commissions trade costs of $7.50
12/3/21 15:29 TQQQ PROSHARES ULTRAPRO QQQ LONG 616 146.97 12/6 9:30 150.59 0.93%
Trade id #138455419
Max drawdown($801)
Time12/3/21 15:49
Quant open616
Worst price145.67
Drawdown as % of equity-0.93%
$2,224
Includes Typical Broker Commissions trade costs of $5.00
12/2/21 11:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 647 157.61 12/3 14:41 146.42 9.28%
Trade id #138431160
Max drawdown($8,014)
Time12/3/21 14:21
Quant open647
Worst price145.22
Drawdown as % of equity-9.28%
($7,244)
Includes Typical Broker Commissions trade costs of $5.50

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    909.89
  • Age
    30 months ago
  • What it trades
    Stocks
  • # Trades
    545
  • # Profitable
    255
  • % Profitable
    46.80%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    33.9%
  • drawdown period
    Aug 05, 2021 - Oct 04, 2021
  • Annual Return (Compounded)
    55.1%
  • Avg win
    $896.56
  • Avg loss
    $591.13
  • Model Account Values (Raw)
  • Cash
    $38,590
  • Margin Used
    $0
  • Buying Power
    $41,374
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    1.16
  • Sortino Ratio
    1.76
  • Calmar Ratio
    2.052
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    150.45%
  • Correlation to SP500
    0.14210
  • Return Percent SP500 (cumu) during strategy life
    47.28%
  • Return Statistics
  • Ann Return (w trading costs)
    55.1%
  • Slump
  • Current Slump as Pcnt Equity
    37.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.551%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    61.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.00%
  • Chance of 20% account loss
    24.00%
  • Chance of 30% account loss
    5.00%
  • Chance of 40% account loss
    n/a
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    788
  • Popularity (Last 6 weeks)
    942
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    158
  • Popularity (7 days, Percentile 1000 scale)
    891
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $591
  • Avg Win
    $897
  • Sum Trade PL (losers)
    $171,429.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $228,701.000
  • # Winners
    255
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    167
  • AUM
  • AUM (AutoTrader live capital)
    196508
  • Win / Loss
  • # Losers
    290
  • % Winners
    46.8%
  • Frequency
  • Avg Position Time (mins)
    4033.70
  • Avg Position Time (hrs)
    67.23
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.98
  • Daily leverage (max)
    3.87
  • Regression
  • Alpha
    0.12
  • Beta
    0.20
  • Treynor Index
    0.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.69
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.141
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.257
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.910
  • Hold-and-Hope Ratio
    0.163
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59007
  • SD
    0.39672
  • Sharpe ratio (Glass type estimate)
    1.48739
  • Sharpe ratio (Hedges UMVUE)
    1.44713
  • df
    28.00000
  • t
    2.31224
  • p
    0.01417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13061
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76365
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.82910
  • Upside Potential Ratio
    5.57668
  • Upside part of mean
    0.85938
  • Downside part of mean
    -0.26931
  • Upside SD
    0.39652
  • Downside SD
    0.15410
  • N nonnegative terms
    18.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.20241
  • Mean of criterion
    0.59007
  • SD of predictor
    0.15140
  • SD of criterion
    0.39672
  • Covariance
    0.02064
  • r
    0.34368
  • b (slope, estimate of beta)
    0.90057
  • a (intercept, estimate of alpha)
    0.40779
  • Mean Square Error
    0.14394
  • DF error
    27.00000
  • t(b)
    1.90165
  • p(b)
    0.03397
  • t(a)
    1.55529
  • p(a)
    0.06576
  • Lowerbound of 95% confidence interval for beta
    -0.07112
  • Upperbound of 95% confidence interval for beta
    1.87226
  • Lowerbound of 95% confidence interval for alpha
    -0.13019
  • Upperbound of 95% confidence interval for alpha
    0.94578
  • Treynor index (mean / b)
    0.65522
  • Jensen alpha (a)
    0.40779
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50906
  • SD
    0.37005
  • Sharpe ratio (Glass type estimate)
    1.37565
  • Sharpe ratio (Hedges UMVUE)
    1.33841
  • df
    28.00000
  • t
    2.13854
  • p
    0.02067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05354
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02981
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64702
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12477
  • Upside Potential Ratio
    4.85634
  • Upside part of mean
    0.79115
  • Downside part of mean
    -0.28209
  • Upside SD
    0.35675
  • Downside SD
    0.16291
  • N nonnegative terms
    18.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.18960
  • Mean of criterion
    0.50906
  • SD of predictor
    0.15323
  • SD of criterion
    0.37005
  • Covariance
    0.01945
  • r
    0.34306
  • b (slope, estimate of beta)
    0.82850
  • a (intercept, estimate of alpha)
    0.35197
  • Mean Square Error
    0.12529
  • DF error
    27.00000
  • t(b)
    1.89774
  • p(b)
    0.03424
  • t(a)
    1.45276
  • p(a)
    0.07891
  • Lowerbound of 95% confidence interval for beta
    -0.06727
  • Upperbound of 95% confidence interval for beta
    1.72428
  • Lowerbound of 95% confidence interval for alpha
    -0.14514
  • Upperbound of 95% confidence interval for alpha
    0.84908
  • Treynor index (mean / b)
    0.61443
  • Jensen alpha (a)
    0.35197
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12479
  • Expected Shortfall on VaR
    0.16235
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04337
  • Expected Shortfall on VaR
    0.08711
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.86613
  • Quartile 1
    0.96946
  • Median
    1.04375
  • Quartile 3
    1.12367
  • Maximum
    1.35242
  • Mean of quarter 1
    0.92385
  • Mean of quarter 2
    1.00865
  • Mean of quarter 3
    1.07967
  • Mean of quarter 4
    1.20241
  • Inter Quartile Range
    0.15421
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.85457
  • VaR(95%) (moments method)
    0.07510
  • Expected Shortfall (moments method)
    0.08233
  • Extreme Value Index (regression method)
    -0.89494
  • VaR(95%) (regression method)
    0.09088
  • Expected Shortfall (regression method)
    0.09909
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00896
  • Quartile 1
    0.03204
  • Median
    0.05598
  • Quartile 3
    0.09021
  • Maximum
    0.24435
  • Mean of quarter 1
    0.01975
  • Mean of quarter 2
    0.03375
  • Mean of quarter 3
    0.07839
  • Mean of quarter 4
    0.18295
  • Inter Quartile Range
    0.05817
  • 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
    0.12500
  • Mean of outliers high
    0.24435
  • 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)
    1.00220
  • Compounded annual return (geometric extrapolation)
    0.66372
  • Calmar ratio (compounded annual return / max draw down)
    2.71634
  • Compounded annual return / average of 25% largest draw downs
    3.62783
  • Compounded annual return / Expected Shortfall lognormal
    4.08827
  • 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
    0.52900
  • SD
    0.31679
  • Sharpe ratio (Glass type estimate)
    1.66989
  • Sharpe ratio (Hedges UMVUE)
    1.66794
  • df
    645.00000
  • t
    2.62212
  • p
    0.00447
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41773
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92077
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91945
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.58913
  • Upside Potential Ratio
    10.09540
  • Upside part of mean
    2.06266
  • Downside part of mean
    -1.53366
  • Upside SD
    0.24397
  • Downside SD
    0.20432
  • N nonnegative terms
    356.00000
  • N negative terms
    290.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    646.00000
  • Mean of predictor
    0.19201
  • Mean of criterion
    0.52900
  • SD of predictor
    0.24257
  • SD of criterion
    0.31679
  • Covariance
    0.00982
  • r
    0.12782
  • b (slope, estimate of beta)
    0.16694
  • a (intercept, estimate of alpha)
    0.49700
  • Mean Square Error
    0.09887
  • DF error
    644.00000
  • t(b)
    3.27062
  • p(b)
    0.00057
  • t(a)
    2.47872
  • p(a)
    0.00672
  • Lowerbound of 95% confidence interval for beta
    0.06671
  • Upperbound of 95% confidence interval for beta
    0.26716
  • Lowerbound of 95% confidence interval for alpha
    0.10326
  • Upperbound of 95% confidence interval for alpha
    0.89064
  • Treynor index (mean / b)
    3.16892
  • Jensen alpha (a)
    0.49695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47869
  • SD
    0.31564
  • Sharpe ratio (Glass type estimate)
    1.51656
  • Sharpe ratio (Hedges UMVUE)
    1.51480
  • df
    645.00000
  • t
    2.38136
  • p
    0.00877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26387
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76572
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29614
  • Upside Potential Ratio
    9.75549
  • Upside part of mean
    2.03379
  • Downside part of mean
    -1.55510
  • Upside SD
    0.23851
  • Downside SD
    0.20848
  • N nonnegative terms
    356.00000
  • N negative terms
    290.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    646.00000
  • Mean of predictor
    0.16234
  • Mean of criterion
    0.47869
  • SD of predictor
    0.24412
  • SD of criterion
    0.31564
  • Covariance
    0.00994
  • r
    0.12905
  • b (slope, estimate of beta)
    0.16686
  • a (intercept, estimate of alpha)
    0.45160
  • Mean Square Error
    0.09812
  • DF error
    644.00000
  • t(b)
    3.30257
  • p(b)
    0.00051
  • t(a)
    2.26188
  • p(a)
    0.01202
  • Lowerbound of 95% confidence interval for beta
    0.06765
  • Upperbound of 95% confidence interval for beta
    0.26607
  • Lowerbound of 95% confidence interval for alpha
    0.05954
  • Upperbound of 95% confidence interval for alpha
    0.84366
  • Treynor index (mean / b)
    2.86882
  • Jensen alpha (a)
    0.45160
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02980
  • Expected Shortfall on VaR
    0.03764
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01251
  • Expected Shortfall on VaR
    0.02550
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    646.00000
  • Minimum
    0.92316
  • Quartile 1
    0.99278
  • Median
    1.00132
  • Quartile 3
    1.01173
  • Maximum
    1.12785
  • Mean of quarter 1
    0.97908
  • Mean of quarter 2
    0.99769
  • Mean of quarter 3
    1.00607
  • Mean of quarter 4
    1.02523
  • Inter Quartile Range
    0.01895
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.03251
  • Mean of outliers low
    0.95097
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.03251
  • Mean of outliers high
    1.05602
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20267
  • VaR(95%) (moments method)
    0.01955
  • Expected Shortfall (moments method)
    0.03073
  • Extreme Value Index (regression method)
    0.00626
  • VaR(95%) (regression method)
    0.02067
  • Expected Shortfall (regression method)
    0.02904
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    41.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00733
  • Median
    0.03436
  • Quartile 3
    0.07044
  • Maximum
    0.29918
  • Mean of quarter 1
    0.00300
  • Mean of quarter 2
    0.02067
  • Mean of quarter 3
    0.05148
  • Mean of quarter 4
    0.13862
  • Inter Quartile Range
    0.06311
  • 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
    0.07317
  • Mean of outliers high
    0.24170
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35603
  • VaR(95%) (moments method)
    0.15370
  • Expected Shortfall (moments method)
    0.26045
  • Extreme Value Index (regression method)
    0.95456
  • VaR(95%) (regression method)
    0.12996
  • Expected Shortfall (regression method)
    1.70443
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91468
  • Compounded annual return (geometric extrapolation)
    0.61396
  • Calmar ratio (compounded annual return / max draw down)
    2.05214
  • Compounded annual return / average of 25% largest draw downs
    4.42911
  • Compounded annual return / Expected Shortfall lognormal
    16.30970
  • 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
    -0.18728
  • SD
    0.44714
  • Sharpe ratio (Glass type estimate)
    -0.41884
  • Sharpe ratio (Hedges UMVUE)
    -0.41642
  • df
    130.00000
  • t
    -0.29616
  • p
    0.51298
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.19039
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35416
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35585
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60597
  • Upside Potential Ratio
    7.84382
  • Upside part of mean
    2.42418
  • Downside part of mean
    -2.61146
  • Upside SD
    0.32097
  • Downside SD
    0.30906
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01211
  • Mean of criterion
    -0.18728
  • SD of predictor
    0.13479
  • SD of criterion
    0.44714
  • Covariance
    0.01270
  • r
    0.21065
  • b (slope, estimate of beta)
    0.69880
  • a (intercept, estimate of alpha)
    -0.19574
  • Mean Square Error
    0.19254
  • DF error
    129.00000
  • t(b)
    2.44745
  • p(b)
    0.36689
  • t(a)
    -0.31542
  • p(a)
    0.51767
  • Lowerbound of 95% confidence interval for beta
    0.13389
  • Upperbound of 95% confidence interval for beta
    1.26371
  • Lowerbound of 95% confidence interval for alpha
    -1.42353
  • Upperbound of 95% confidence interval for alpha
    1.03205
  • Treynor index (mean / b)
    -0.26800
  • Jensen alpha (a)
    -0.19574
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28589
  • SD
    0.44487
  • Sharpe ratio (Glass type estimate)
    -0.64264
  • Sharpe ratio (Hedges UMVUE)
    -0.63892
  • df
    130.00000
  • t
    -0.45441
  • p
    0.51991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.41434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.41181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13397
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90216
  • Upside Potential Ratio
    7.49451
  • Upside part of mean
    2.37495
  • Downside part of mean
    -2.66084
  • Upside SD
    0.31030
  • Downside SD
    0.31689
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00307
  • Mean of criterion
    -0.28589
  • SD of predictor
    0.13498
  • SD of criterion
    0.44487
  • Covariance
    0.01320
  • r
    0.21976
  • b (slope, estimate of beta)
    0.72430
  • a (intercept, estimate of alpha)
    -0.28812
  • Mean Square Error
    0.18981
  • DF error
    129.00000
  • t(b)
    2.55860
  • p(b)
    0.36123
  • t(a)
    -0.46762
  • p(a)
    0.52618
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.16421
  • Upperbound of 95% confidence interval for beta
    1.28439
  • Lowerbound of 95% confidence interval for alpha
    -1.50715
  • Upperbound of 95% confidence interval for alpha
    0.93092
  • Treynor index (mean / b)
    -0.39471
  • Jensen alpha (a)
    -0.28812
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04524
  • Expected Shortfall on VaR
    0.05610
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02342
  • Expected Shortfall on VaR
    0.04404
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92316
  • Quartile 1
    0.98666
  • Median
    0.99977
  • Quartile 3
    1.01224
  • Maximum
    1.12785
  • Mean of quarter 1
    0.96671
  • Mean of quarter 2
    0.99372
  • Mean of quarter 3
    1.00561
  • Mean of quarter 4
    1.03129
  • Inter Quartile Range
    0.02558
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.93718
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.07039
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08453
  • VaR(95%) (moments method)
    0.03125
  • Expected Shortfall (moments method)
    0.04071
  • Extreme Value Index (regression method)
    -0.27742
  • VaR(95%) (regression method)
    0.03553
  • Expected Shortfall (regression method)
    0.04391
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02037
  • Quartile 1
    0.07413
  • Median
    0.17598
  • Quartile 3
    0.26972
  • Maximum
    0.29918
  • Mean of quarter 1
    0.02037
  • Mean of quarter 2
    0.09205
  • Mean of quarter 3
    0.25991
  • Mean of quarter 4
    0.29918
  • Inter Quartile Range
    0.19560
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -325732000
  • Max Equity Drawdown (num days)
    60
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.26639
  • Compounded annual return (geometric extrapolation)
    -0.24865
  • Calmar ratio (compounded annual return / max draw down)
    -0.83111
  • Compounded annual return / average of 25% largest draw downs
    -0.83111
  • Compounded annual return / Expected Shortfall lognormal
    -4.43263

Strategy Description

We are ETFCapital and our goal with TQQQSQQQ is to be both as ROBUST as possible & IRA FRIENDLY!
Kind of the best of both worlds.
TQQQSQQQ has been developed and refined for 1000s of hours.
Will trade TQQQ/SQQQ/ETC…
We were the early pioneers to use Tqqq and Sqqq on Collective2, several have now adapted their systems to include these instruments.
We are now into our 3rd year on Collective2 and the track record is there and it’s clear.
We constantly monitor and refine TQQQSQQQ as needed but not so much as to lose its integrity.
Welcome and thanks for joining!!
Proprietary Trading System
IRA Friendly
Trades Long Only
Trading is risky, you may lose money doing so.



Summary Statistics

Strategy began
2019-08-01
Suggested Minimum Capital
$35,000
# Trades
545
# Profitable
255
% Profitable
46.8%
Net Dividends
Correlation S&P500
0.142
Sharpe Ratio
1.16
Sortino Ratio
1.76
Beta
0.20
Alpha
0.12
Leverage
1.98 Average
3.87 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.