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These are hypothetical performance results that have certain inherent limitations. Learn more

TQQQSQQQ
(124727146)

Created by: ETFCapital ETFCapital
Started: 08/2019
Stocks
Last trade: 9 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 $149.00 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.

60.6%
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.

(7.8%)
Max Drawdown
88
Num Trades
77.3%
Win Trades
3.4 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +13.4%+4.5%+15.6%+10.7%+3.7%+57.2%
2020+2.2%                                                                  +2.2%

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 180 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/6/20 9:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 180 88.19 1/10 15:25 93.99 0.02%
Trade id #126881171
Max drawdown($17)
Time1/6/20 10:01
Quant open100
Worst price87.87
Drawdown as % of equity-0.02%
$1,040
Includes Typical Broker Commissions trade costs of $3.60
1/6/20 14:56 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 170 69.14 1/8 10:37 67.58 0.44%
Trade id #126885918
Max drawdown($341)
Time1/8/20 10:36
Quant open170
Worst price67.13
Drawdown as % of equity-0.44%
($268)
Includes Typical Broker Commissions trade costs of $3.40
12/27/19 15:18 DSLV VELOCITYSHARES 3X INVERSE SILV LONG 1,725 16.25 1/7/20 11:53 15.12 2.65%
Trade id #126774021
Max drawdown($2,062)
Time1/6/20 0:00
Quant open1,375
Worst price14.75
Drawdown as % of equity-2.65%
($1,956)
Includes Typical Broker Commissions trade costs of $13.50
1/2/20 12:41 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 240 67.89 1/6 10:45 68.27 0.36%
Trade id #126835597
Max drawdown($286)
Time1/3/20 0:00
Quant open240
Worst price66.70
Drawdown as % of equity-0.36%
$86
Includes Typical Broker Commissions trade costs of $4.80
12/27/19 13:29 TQQQ PROSHARES ULTRAPRO QQQ LONG 180 87.79 1/3/20 11:14 88.61 0.68%
Trade id #126771629
Max drawdown($537)
Time12/30/19 0:00
Quant open180
Worst price84.80
Drawdown as % of equity-0.68%
$145
Includes Typical Broker Commissions trade costs of $3.60
12/20/19 11:56 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 260 79.34 12/27 13:04 79.10 6.2%
Trade id #126705810
Max drawdown($4,884)
Time12/20/19 11:59
Quant open63
Worst price8.59
Drawdown as % of equity-6.20%
($66)
Includes Typical Broker Commissions trade costs of $5.20
12/19/19 14:11 DRN DIREXION DAILY REAL ES BULL 3X LONG 600 28.18 12/24 11:59 28.18 0.29%
Trade id #126691818
Max drawdown($232)
Time12/23/19 0:00
Quant open600
Worst price27.79
Drawdown as % of equity-0.29%
($8)
Includes Typical Broker Commissions trade costs of $8.50
12/19/19 11:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 83.61 12/24 11:59 85.76 0.02%
Trade id #126688785
Max drawdown($13)
Time12/19/19 13:08
Quant open100
Worst price83.47
Drawdown as % of equity-0.02%
$213
Includes Typical Broker Commissions trade costs of $2.00
12/24/19 9:30 JNUG DIREXION DAILY JR GOLD BULL LONG 140 70.85 12/24 10:46 74.15 0.08%
Trade id #126734309
Max drawdown($63)
Time12/24/19 9:32
Quant open140
Worst price70.40
Drawdown as % of equity-0.08%
$459
Includes Typical Broker Commissions trade costs of $2.80
12/13/19 13:30 JDST DIREXION DAILY JR GOLD BEAR LONG 950 12.73 12/23 9:30 13.19 0.08%
Trade id #126620039
Max drawdown($60)
Time12/16/19 0:00
Quant open650
Worst price12.51
Drawdown as % of equity-0.08%
$427
Includes Typical Broker Commissions trade costs of $11.30
12/17/19 14:09 GASL DIREXION DAILY NAT GAS RLTD BU LONG 920 8.66 12/20 10:59 8.95 0.15%
Trade id #126659661
Max drawdown($115)
Time12/17/19 15:09
Quant open460
Worst price8.37
Drawdown as % of equity-0.15%
$255
Includes Typical Broker Commissions trade costs of $11.70
12/18/19 15:28 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 800 23.53 12/19 11:22 23.38 0.37%
Trade id #126674905
Max drawdown($287)
Time12/19/19 0:00
Quant open800
Worst price23.17
Drawdown as % of equity-0.37%
($125)
Includes Typical Broker Commissions trade costs of $5.00
12/16/19 15:59 DRN DIREXION DAILY REAL ES BULL 3X LONG 340 26.78 12/18 15:25 27.32 0.22%
Trade id #126645045
Max drawdown($172)
Time12/18/19 9:31
Quant open170
Worst price26.05
Drawdown as % of equity-0.22%
$176
Includes Typical Broker Commissions trade costs of $6.80
12/9/19 11:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 490 77.32 12/18 15:25 81.08 1.07%
Trade id #126544377
Max drawdown($802)
Time12/10/19 0:00
Quant open490
Worst price75.68
Drawdown as % of equity-1.07%
$1,834
Includes Typical Broker Commissions trade costs of $9.80
11/29/19 12:57 XLU UTILITIES SELECT SECTOR SPDR LONG 375 63.17 12/18 10:35 64.12 0.16%
Trade id #126422750
Max drawdown($120)
Time12/12/19 0:00
Quant open250
Worst price62.61
Drawdown as % of equity-0.16%
$351
Includes Typical Broker Commissions trade costs of $7.50
12/12/19 15:57 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 1,380 8.86 12/18 10:21 8.48 0.9%
Trade id #126605066
Max drawdown($703)
Time12/18/19 10:18
Quant open920
Worst price8.10
Drawdown as % of equity-0.90%
($546)
Includes Typical Broker Commissions trade costs of $14.00
12/9/19 13:25 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 980 7.78 12/12 15:53 8.99 0.01%
Trade id #126546647
Max drawdown($8)
Time12/9/19 13:27
Quant open495
Worst price7.66
Drawdown as % of equity-0.01%
$1,180
Includes Typical Broker Commissions trade costs of $12.30
12/4/19 13:44 GASX DIREXION NATURAL GAS BEAR 3X LONG 170 68.65 12/9 11:27 61.28 1.6%
Trade id #126485331
Max drawdown($1,203)
Time12/9/19 11:26
Quant open170
Worst price61.57
Drawdown as % of equity-1.60%
($1,256)
Includes Typical Broker Commissions trade costs of $3.40
12/6/19 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 560 25.51 12/9 9:30 25.32 0.18%
Trade id #126513467
Max drawdown($140)
Time12/6/19 12:43
Quant open560
Worst price25.26
Drawdown as % of equity-0.18%
($115)
Includes Typical Broker Commissions trade costs of $8.10
11/4/19 15:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 330 72.89 12/6 9:30 75.30 0.45%
Trade id #126066594
Max drawdown($338)
Time12/3/19 0:00
Quant open190
Worst price71.11
Drawdown as % of equity-0.45%
$786
Includes Typical Broker Commissions trade costs of $6.60
12/2/19 15:57 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 1,200 9.60 12/6 9:30 10.33 0.02%
Trade id #126447588
Max drawdown($14)
Time12/2/19 15:59
Quant open800
Worst price9.34
Drawdown as % of equity-0.02%
$874
Includes Typical Broker Commissions trade costs of $12.60
11/29/19 12:56 DRN DIREXION DAILY REAL ES BULL 3X LONG 370 29.20 12/6 9:30 28.74 0.59%
Trade id #126422727
Max drawdown($443)
Time12/3/19 0:00
Quant open370
Worst price28.00
Drawdown as % of equity-0.59%
($177)
Includes Typical Broker Commissions trade costs of $7.40
11/20/19 15:46 GASX DIREXION NATURAL GAS BEAR 3X LONG 280 72.98 12/3 12:11 76.51 1.66%
Trade id #126295024
Max drawdown($1,187)
Time11/25/19 0:00
Quant open210
Worst price67.22
Drawdown as % of equity-1.66%
$983
Includes Typical Broker Commissions trade costs of $5.60
11/14/19 15:17 DWT VELOCITYSHARES 3X INV CRUDE & S&P LONG 5,340 4.50 11/29 12:29 4.87 1.91%
Trade id #126217373
Max drawdown($1,366)
Time11/26/19 0:00
Quant open4,200
Worst price4.17
Drawdown as % of equity-1.91%
$1,999
Includes Typical Broker Commissions trade costs of $17.50
11/15/19 9:30 USLV VELOCITYSHARES 3X LONG SILVER LONG 80 79.42 11/26 12:11 81.67 0.13%
Trade id #126224779
Max drawdown($93)
Time11/26/19 9:41
Quant open80
Worst price78.25
Drawdown as % of equity-0.13%
$178
Includes Typical Broker Commissions trade costs of $1.60
11/14/19 15:14 GASX DIREXION NATURAL GAS BEAR 3X LONG 340 64.09 11/18 12:47 69.01 0.83%
Trade id #126217282
Max drawdown($585)
Time11/15/19 0:00
Quant open110
Worst price61.46
Drawdown as % of equity-0.83%
$1,667
Includes Typical Broker Commissions trade costs of $6.80
11/12/19 15:56 GASX DIREXION NATURAL GAS BEAR 3X LONG 100 61.76 11/14 11:57 64.87 0.08%
Trade id #126180132
Max drawdown($57)
Time11/13/19 0:00
Quant open100
Worst price61.18
Drawdown as % of equity-0.08%
$309
Includes Typical Broker Commissions trade costs of $2.00
11/13/19 12:08 DWT VELOCITYSHARES 3X INV CRUDE & S&P LONG 1,700 4.56 11/14 11:57 4.61 0.32%
Trade id #126192511
Max drawdown($229)
Time11/14/19 10:18
Quant open1,700
Worst price4.43
Drawdown as % of equity-0.32%
$72
Includes Typical Broker Commissions trade costs of $5.00
11/13/19 15:57 JDST DIREXION DAILY JR GOLD BEAR LONG 340 15.56 11/14 11:49 15.01 0.26%
Trade id #126199514
Max drawdown($183)
Time11/14/19 11:43
Quant open340
Worst price15.02
Drawdown as % of equity-0.26%
($193)
Includes Typical Broker Commissions trade costs of $6.80
11/11/19 9:30 GASX DIREXION NATURAL GAS BEAR 3X LONG 204 58.66 11/12 13:55 60.90 0.47%
Trade id #126151910
Max drawdown($324)
Time11/11/19 10:28
Quant open134
Worst price56.48
Drawdown as % of equity-0.47%
$452
Includes Typical Broker Commissions trade costs of $4.08

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    171.03
  • Age
    171 days ago
  • What it trades
    Stocks
  • # Trades
    88
  • # Profitable
    68
  • % Profitable
    77.30%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    7.77%
  • drawdown period
    Aug 15, 2019 - Aug 26, 2019
  • Cumul. Return
    60.6%
  • Avg win
    $661.22
  • Avg loss
    $671.60
  • Model Account Values (Raw)
  • Cash
    $72,023
  • Margin Used
    $0
  • Buying Power
    $72,325
  • Ratios
  • W:L ratio
    3.39:1
  • Sharpe Ratio
    4.23
  • Sortino Ratio
    9.08
  • Calmar Ratio
    27.355
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    47.83%
  • Correlation to SP500
    0.09800
  • Return Percent SP500 (cumu) during strategy life
    12.73%
  • Return Statistics
  • Ann Return (w trading costs)
    169.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.606%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    184.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    994
  • Popularity (Last 6 weeks)
    999
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    976
  • Popularity (7 days, Percentile 1000 scale)
    998
  • 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
    $672
  • Avg Win
    $661
  • Sum Trade PL (losers)
    $13,432.000
  • AUM
  • AUM (AutoTrader num accounts)
    42
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $44,963.000
  • # Winners
    68
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    316
  • AUM
  • AUM (AutoTrader live capital)
    2744980
  • Win / Loss
  • # Losers
    20
  • % Winners
    77.3%
  • Frequency
  • Avg Position Time (mins)
    5943.57
  • Avg Position Time (hrs)
    99.06
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.74
  • Daily leverage (max)
    3.81
  • Regression
  • Alpha
    0.27
  • Beta
    0.16
  • Treynor Index
    1.80
  • 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)
    2.71
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.654
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.724
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.441
  • Hold-and-Hope Ratio
    0.608
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.14249
  • SD
    0.12676
  • Sharpe ratio (Glass type estimate)
    9.01294
  • Sharpe ratio (Hedges UMVUE)
    7.19128
  • df
    4.00000
  • t
    5.81782
  • p
    0.00217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.25083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    15.66900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    13.02670
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.14249
  • Downside part of mean
    0.00000
  • Upside SD
    0.34875
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.19720
  • Mean of criterion
    1.14249
  • SD of predictor
    0.11091
  • SD of criterion
    0.12676
  • Covariance
    -0.00223
  • r
    -0.15886
  • b (slope, estimate of beta)
    -0.18158
  • a (intercept, estimate of alpha)
    1.17830
  • Mean Square Error
    0.02088
  • DF error
    3.00000
  • t(b)
    -0.27870
  • p(b)
    0.60071
  • t(a)
    4.56488
  • p(a)
    0.00986
  • Lowerbound of 95% confidence interval for beta
    -2.25499
  • Upperbound of 95% confidence interval for beta
    1.89184
  • Lowerbound of 95% confidence interval for alpha
    0.35684
  • Upperbound of 95% confidence interval for alpha
    1.99976
  • Treynor index (mean / b)
    -6.29206
  • Jensen alpha (a)
    1.17830
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.08352
  • SD
    0.11628
  • Sharpe ratio (Glass type estimate)
    9.31850
  • Sharpe ratio (Hedges UMVUE)
    7.43509
  • df
    4.00000
  • t
    6.01507
  • p
    0.00192
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.38151
  • Upperbound of 95% confidence interval for Sharpe Ratio
    16.15990
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45477
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    13.41540
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.08352
  • Downside part of mean
    0.00000
  • Upside SD
    0.32962
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.19042
  • Mean of criterion
    1.08352
  • SD of predictor
    0.10846
  • SD of criterion
    0.11628
  • Covariance
    -0.00211
  • r
    -0.16730
  • b (slope, estimate of beta)
    -0.17936
  • a (intercept, estimate of alpha)
    1.11767
  • Mean Square Error
    0.01752
  • DF error
    3.00000
  • t(b)
    -0.29392
  • p(b)
    0.60601
  • t(a)
    4.74184
  • p(a)
    0.00889
  • Lowerbound of 95% confidence interval for beta
    -2.12140
  • Upperbound of 95% confidence interval for beta
    1.76268
  • Lowerbound of 95% confidence interval for alpha
    0.36756
  • Upperbound of 95% confidence interval for alpha
    1.86779
  • Treynor index (mean / b)
    -6.04106
  • Jensen alpha (a)
    1.11767
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.03570
  • Expected Shortfall on VaR
    -0.02136
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.04375
  • Quartile 1
    1.08710
  • Median
    1.09484
  • Quartile 3
    1.12366
  • Maximum
    1.13833
  • Mean of quarter 1
    1.06542
  • Mean of quarter 2
    1.09484
  • Mean of quarter 3
    1.12366
  • Mean of quarter 4
    1.13833
  • Inter Quartile Range
    0.03657
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.41356
  • Compounded annual return (geometric extrapolation)
    2.03869
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 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
    1.07670
  • SD
    0.19975
  • Sharpe ratio (Glass type estimate)
    5.39036
  • Sharpe ratio (Hedges UMVUE)
    5.35603
  • df
    118.00000
  • t
    3.63279
  • p
    0.34142
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.39130
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.36786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.34344
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.42580
  • Upside Potential Ratio
    18.73250
  • Upside part of mean
    1.76525
  • Downside part of mean
    -0.68855
  • Upside SD
    0.18737
  • Downside SD
    0.09423
  • N nonnegative terms
    68.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    119.00000
  • Mean of predictor
    0.24428
  • Mean of criterion
    1.07670
  • SD of predictor
    0.12815
  • SD of criterion
    0.19975
  • Covariance
    0.00142
  • r
    0.05561
  • b (slope, estimate of beta)
    0.08667
  • a (intercept, estimate of alpha)
    1.05600
  • Mean Square Error
    0.04012
  • DF error
    117.00000
  • t(b)
    0.60240
  • p(b)
    0.46462
  • t(a)
    3.52716
  • p(a)
    0.30584
  • Lowerbound of 95% confidence interval for beta
    -0.19827
  • Upperbound of 95% confidence interval for beta
    0.37161
  • Lowerbound of 95% confidence interval for alpha
    0.46287
  • Upperbound of 95% confidence interval for alpha
    1.64820
  • Treynor index (mean / b)
    12.42290
  • Jensen alpha (a)
    1.05553
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.05486
  • SD
    0.19822
  • Sharpe ratio (Glass type estimate)
    5.32154
  • Sharpe ratio (Hedges UMVUE)
    5.28764
  • df
    118.00000
  • t
    3.58641
  • p
    0.34325
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.32463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.29717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30222
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.27307
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.10290
  • Upside Potential Ratio
    18.39670
  • Upside part of mean
    1.74782
  • Downside part of mean
    -0.69296
  • Upside SD
    0.18489
  • Downside SD
    0.09501
  • N nonnegative terms
    68.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    119.00000
  • Mean of predictor
    0.23596
  • Mean of criterion
    1.05486
  • SD of predictor
    0.12865
  • SD of criterion
    0.19822
  • Covariance
    0.00141
  • r
    0.05530
  • b (slope, estimate of beta)
    0.08520
  • a (intercept, estimate of alpha)
    1.03475
  • Mean Square Error
    0.03951
  • DF error
    117.00000
  • t(b)
    0.59906
  • p(b)
    0.46481
  • t(a)
    3.48599
  • p(a)
    0.30783
  • Lowerbound of 95% confidence interval for beta
    -0.19647
  • Upperbound of 95% confidence interval for beta
    0.36688
  • Lowerbound of 95% confidence interval for alpha
    0.44689
  • Upperbound of 95% confidence interval for alpha
    1.62261
  • Treynor index (mean / b)
    12.38030
  • Jensen alpha (a)
    1.03475
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01599
  • Expected Shortfall on VaR
    0.02100
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00543
  • Expected Shortfall on VaR
    0.01127
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    119.00000
  • Minimum
    0.97726
  • Quartile 1
    0.99748
  • Median
    1.00248
  • Quartile 3
    1.01055
  • Maximum
    1.04904
  • Mean of quarter 1
    0.99029
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00642
  • Mean of quarter 4
    1.02029
  • Inter Quartile Range
    0.01307
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00840
  • Mean of outliers low
    0.97726
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02521
  • Mean of outliers high
    1.04059
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12273
  • VaR(95%) (moments method)
    0.00779
  • Expected Shortfall (moments method)
    0.01190
  • Extreme Value Index (regression method)
    -0.40885
  • VaR(95%) (regression method)
    0.00985
  • Expected Shortfall (regression method)
    0.01211
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00160
  • Median
    0.01439
  • Quartile 3
    0.02659
  • Maximum
    0.07139
  • Mean of quarter 1
    0.00101
  • Mean of quarter 2
    0.00530
  • Mean of quarter 3
    0.02071
  • Mean of quarter 4
    0.04310
  • Inter Quartile Range
    0.02499
  • 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
    0.07143
  • Mean of outliers high
    0.07139
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.25930
  • VaR(95%) (moments method)
    0.04892
  • Expected Shortfall (moments method)
    0.05845
  • Extreme Value Index (regression method)
    0.59462
  • VaR(95%) (regression method)
    0.05621
  • Expected Shortfall (regression method)
    0.12251
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.39860
  • Compounded annual return (geometric extrapolation)
    1.95283
  • Calmar ratio (compounded annual return / max draw down)
    27.35540
  • Compounded annual return / average of 25% largest draw downs
    45.30810
  • Compounded annual return / Expected Shortfall lognormal
    92.98970
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -252138000
  • Max Equity Drawdown (num days)
    11

Strategy Description

A few years back, I identified that Tqqq Sqqq was a most dynamic trading duo to other ETFs such as Spxl & Svxy.
Since then, I have spent 1000s of hours as my goal to exploit this perceived edge.
I hope you like my work and efforts.
Trades TQQQ and SQQQ and other ETFs
Trades Long Only
I have tirelessly been studying etfs for several years.
In several instances I will combine gradual exits with position sizing.
Trading is risky, you may lose money doing so.



Summary Statistics

Strategy began
2019-08-01
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 2.4%
Rank # 
#15
# Trades
88
# Profitable
68
% Profitable
77.3%
Net Dividends
Correlation S&P500
0.098
Sharpe Ratio
4.23
Sortino Ratio
9.08
Beta
0.16
Alpha
0.27
Leverage
1.74 Average
3.81 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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