Synthetic TQQQ
(125484323)
Subscription terms. Subscriptions to this system cost $99.00 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.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +2.6%  +4.5%  +8.1%  +6.9%  +23.8%  
2020  +5.0%  (16.7%)  (12.5%) 
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.
Started  $25,000  
Buy Power  $10,325  
Cash  $11,588  
Equity  ($1,262)  
Cumulative $  $2,761  
Total System Equity  $27,761  
Margined  $0  
Open P/L  ($1,262) 
Trading Record
Statistics

Strategy began9/24/2019

Suggested Minimum Cap$15,000

Strategy Age (days)154.18

Age154 days ago

What it tradesStocks

# Trades9

# Profitable7

% Profitable77.80%

Avg trade duration9.8 days

Max peaktovalley drawdown18.81%

drawdown periodFeb 07, 2020  Feb 25, 2020

Cumul. Return8.3%

Avg win$1,247

Avg loss$2,880
 Model Account Values (Raw)

Cash$11,588

Margin Used$0

Buying Power$10,325
 Ratios

W:L ratio1.52:1

Sharpe Ratio1.36

Sortino Ratio1.76

Calmar Ratio2.941
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)2.80%

Correlation to SP5000.70410

Return Percent SP500 (cumu) during strategy life6.95%
 Return Statistics

Ann Return (w trading costs)20.4%
 Slump

Current Slump as Pcnt Equity0.23%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.12%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.083%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)27.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automated1667.00%
 Risk of Ruin (MonteCarlo)

Chance of 90% account loss (Monte Carlo)n/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)982

Popularity (Last 6 weeks)992
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score285

Popularity (7 days, Percentile 1000 scale)989
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$2,986

Avg Win$1,247

Sum Trade PL (losers)$5,971.000
 AUM

AUM (AutoTrader num accounts)2
 Age

Num Months filled monthly returns table6
 Win / Loss

Sum Trade PL (winners)$8,732.000

# Winners7

Num Months Winners5
 Dividends

Dividends Received in Model Acct0
 AUM

AUM (AutoTrader live capital)44298
 Win / Loss

# Losers2

% Winners77.8%
 Frequency

Avg Position Time (mins)14037.10

Avg Position Time (hrs)233.95

Avg Trade Length9.7 days

Last Trade Ago0
 Leverage

Daily leverage (average)1.78

Daily leverage (max)4.38
 Regression

Alpha0.04

Beta1.05

Treynor Index0.08
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.80

MAE:Equity, average, winning trades0.02

MAE:Equity, average, losing trades0.22

Avg(MAE) / Avg(PL)  All trades2.719

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 strat0.22

Avg(MAE) / Avg(PL)  Winning trades0.512

Avg(MAE) / Avg(PL)  Losing trades1.454

HoldandHope Ratio0.242
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.82978

SD0.09166

Sharpe ratio (Glass type estimate)9.05291

Sharpe ratio (Hedges UMVUE)6.55070

df3.00000

t5.22670

p0.00681

Lowerbound of 95% confidence interval for Sharpe Ratio1.39946

Upperbound of 95% confidence interval for Sharpe Ratio16.64780

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.30584

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation12.79560
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.82978

Downside part of mean0.00000

Upside SD0.25235

Downside SD0.00000

N nonnegative terms4.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.22775

Mean of criterion0.82978

SD of predictor0.07358

SD of criterion0.09166

Covariance0.00649

r0.96217

b (slope, estimate of beta)1.19865

a (intercept, estimate of alpha)0.55678

Mean Square Error0.00094

DF error2.00000

t(b)4.99435

p(b)0.01892

t(a)7.31467

p(a)0.00909

Lowerbound of 95% confidence interval for beta0.16601

Upperbound of 95% confidence interval for beta2.23130

Lowerbound of 95% confidence interval for alpha0.22927

Upperbound of 95% confidence interval for alpha0.88430

Treynor index (mean / b)0.69226

Jensen alpha (a)0.55678
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.79777

SD0.08622

Sharpe ratio (Glass type estimate)9.25226

Sharpe ratio (Hedges UMVUE)6.69495

df3.00000

t5.34180

p0.00641

Lowerbound of 95% confidence interval for Sharpe Ratio1.47101

Upperbound of 95% confidence interval for Sharpe Ratio16.98630

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.35291

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation13.03700
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.79777

Downside part of mean0.00000

Upside SD0.24210

Downside SD0.00000

N nonnegative terms4.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.22313

Mean of criterion0.79777

SD of predictor0.07272

SD of criterion0.08622

Covariance0.00604

r0.96341

b (slope, estimate of beta)1.14232

a (intercept, estimate of alpha)0.54289

Mean Square Error0.00080

DF error2.00000

t(b)5.08325

p(b)0.01829

t(a)7.74159

p(a)0.00814

Lowerbound of 95% confidence interval for beta0.17542

Upperbound of 95% confidence interval for beta2.10923

Lowerbound of 95% confidence interval for alpha0.24116

Upperbound of 95% confidence interval for alpha0.84462

Treynor index (mean / b)0.69837

Jensen alpha (a)0.54289
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02587

Expected Shortfall on VaR0.01530
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations4.00000

Minimum1.03487

Quartile 11.06064

Median1.07976

Quartile 31.09060

Maximum1.09151

Mean of quarter 11.03487

Mean of quarter 21.06923

Mean of quarter 31.09029

Mean of quarter 41.09151

Inter Quartile Range0.02995

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.95048

Compounded annual return (geometric extrapolation)1.28342

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal0.00000

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.34482

SD0.18886

Sharpe ratio (Glass type estimate)1.82579

Sharpe ratio (Hedges UMVUE)1.81247

df103.00000

t1.15032

p0.42845

Lowerbound of 95% confidence interval for Sharpe Ratio1.29932

Upperbound of 95% confidence interval for Sharpe Ratio4.94222

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.30823

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.93317
 Statistics related to Sortino ratio

Sortino ratio2.35136

Upside Potential Ratio6.96519

Upside part of mean1.02141

Downside part of mean0.67660

Upside SD0.11947

Downside SD0.14664

N nonnegative terms49.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations104.00000

Mean of predictor0.11588

Mean of criterion0.34482

SD of predictor0.12569

SD of criterion0.18886

Covariance0.01709

r0.71992

b (slope, estimate of beta)1.08173

a (intercept, estimate of alpha)0.21900

Mean Square Error0.01735

DF error102.00000

t(b)10.47590

p(b)0.14004

t(a)1.04803

p(a)0.44839

Lowerbound of 95% confidence interval for beta0.87691

Upperbound of 95% confidence interval for beta1.28654

Lowerbound of 95% confidence interval for alpha0.19589

Upperbound of 95% confidence interval for alpha0.63482

Treynor index (mean / b)0.31876

Jensen alpha (a)0.21946
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.32667

SD0.19076

Sharpe ratio (Glass type estimate)1.71248

Sharpe ratio (Hedges UMVUE)1.69998

df103.00000

t1.07892

p0.43283

Lowerbound of 95% confidence interval for Sharpe Ratio1.41129

Upperbound of 95% confidence interval for Sharpe Ratio4.82801

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.41954

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.81949
 Statistics related to Sortino ratio

Sortino ratio2.18185

Upside Potential Ratio6.77421

Upside part of mean1.01425

Downside part of mean0.68758

Upside SD0.11845

Downside SD0.14972

N nonnegative terms49.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations104.00000

Mean of predictor0.10796

Mean of criterion0.32667

SD of predictor0.12641

SD of criterion0.19076

Covariance0.01744

r0.72335

b (slope, estimate of beta)1.09155

a (intercept, estimate of alpha)0.20883

Mean Square Error0.01752

DF error102.00000

t(b)10.58020

p(b)0.13833

t(a)0.99262

p(a)0.45109

Lowerbound of 95% confidence interval for beta0.88692

Upperbound of 95% confidence interval for beta1.29619

Lowerbound of 95% confidence interval for alpha0.20846

Upperbound of 95% confidence interval for alpha0.62611

Treynor index (mean / b)0.29927

Jensen alpha (a)0.20883
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01797

Expected Shortfall on VaR0.02279
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00595

Expected Shortfall on VaR0.01352
 ORDER STATISTICS
 Quartiles of return rates

Number of observations104.00000

Minimum0.94621

Quartile 10.99997

Median1.00000

Quartile 31.00611

Maximum1.02486

Mean of quarter 10.98990

Mean of quarter 21.00000

Mean of quarter 31.00231

Mean of quarter 41.01349

Inter Quartile Range0.00614

Number outliers low7.00000

Percentage of outliers low0.06731

Mean of outliers low0.96836

Number of outliers high8.00000

Percentage of outliers high0.07692

Mean of outliers high1.02091
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.21107

VaR(95%) (moments method)0.00653

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.74732

VaR(95%) (regression method)0.00962

Expected Shortfall (regression method)0.05100
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations13.00000

Minimum0.00014

Quartile 10.00153

Median0.00300

Quartile 30.01564

Maximum0.14470

Mean of quarter 10.00074

Mean of quarter 20.00284

Mean of quarter 30.00836

Mean of quarter 40.07146

Inter Quartile Range0.01411

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.15385

Mean of outliers high0.09380
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.19209

VaR(95%) (moments method)0.05060

Expected Shortfall (moments method)0.08326

Extreme Value Index (regression method)1.08281

VaR(95%) (regression method)0.12102

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.38074

Compounded annual return (geometric extrapolation)0.42558

Calmar ratio (compounded annual return / max draw down)2.94107

Compounded annual return / average of 25% largest draw downs5.95511

Compounded annual return / Expected Shortfall lognormal18.67450
 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)0.01800
 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 Negative0.25%

Strat Max DD how much worse than SP500 max DD during strat life?260593000

Max Equity Drawdown (num days)18
Strategy Description
This system is comprised of five individual substrategies. Each substrategy trades TQQQ independently. Each substrategy is fundamentally different, i.e. they have no correlation to each other. All of the five substrategies use the end of day close data to generate the signals. The five substrategies are a mix of trend following and meanreverting strategies. The benefit of these mixed substrategies is that the result adds up each individual strategy's profit while reducing the total drawdown. In modern portfolio theory, you can reduce the overall risk in an investment portfolio and even boost your overall returns by investing in asset combinations that are not correlated.
In a bear market, this system still trades; however, it will adjust the parameters automatically. The trendfollowing substrategies will not generate positions, i.e. filtered by moving average indicators, while the meanreverting substrategies will generate positions trying to buy at low and sell at high with different parameters for a bear market.
Each substrategy has a different holding length ranging from 3 to 10 trading days. In C2, it counts one trade after all positions are sold. Therefore you may find one trade lasts for more than two weeks instead of 3 to 10 days, which is an additive result of all five substrategies. However, when you click on the 'Show AutoTrade data' button in the trading record, you will find the details of each substrategy's transactions. Most of the time, only two or three substrategies will have positions. That means on average you only expose 40%60% of your account capital to the market. Rarely will all five substrategies have positions at the same time.
For instance, If you have an IRA account of $25,000, you can trade $5,000 ($25,000/5=$5,000) for each substrategy. If TQQQ's price is $70/per share at that time, you can trade 70 shares ($5,000/70=71.4, rounded to 70) per substrategy. In C2, I trade 100 shares per substrategy. If you want to autotrade this system, you can set AutoTrade Scaling to 70%.
This system is designed for nonmarginable accounts, but it can also be traded with a marginal account. For instance, if you have a marginal account, the maximum amount you can trade is $35,000. You can trade 100 ($35,000/5/70=100) shares per substrategy, assuming that TQQQ's price is $70/per share at that time.
The best part of this system is that you can control the risk by yourself. For instance, as with the above example, you have an account that can trade up to $35,000. Based on the standard calculation, you will trade 100 shares for each substrategy. If at any moment, you do not feel it is advantageous to trade in such a volume, but would still like to participate in the market, you can reduce the shares of each substrategy from 100 to 50. This way, you are still in the market but will reduce the risk by 50%.
On average only two or three substrategies have positions at any given time, which means you only use 40% to 60% of your account capital. If you are comfortable with the current market and would like to take more risk for higher returns at that time, you can increase the shares of each substrategy.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.