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Swing Trader TQQQ IRA
(117745728)

Created by: QFund QFund
Started: 05/2018
Stocks
Last trade: Yesterday
Trading style: Equity Momentum

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
11.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(11.0%)
Max Drawdown
62
Num Trades
30.6%
Win Trades
1.5 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +4.9%+4.7%(0.5%)(0.3%)+2.6%+1.9%+1.5%(1.9%)+13.6%
2019+0.6%(0.9%)+3.5%(0.5%)(5.7%)(0.1%)(2.1%)+7.6%                        +1.9%

Model Account Details

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

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

Trading Record

This strategy has placed 47 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/21/19 10:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 939 62.36 8/21 10:45 61.98 0.55%
Trade id #125018913
Max drawdown($319)
Time8/21/19 10:42
Quant open939
Worst price62.02
Drawdown as % of equity-0.55%
($362)
Includes Typical Broker Commissions trade costs of $5.00
8/16/19 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 961 58.28 8/20 9:35 61.00 0.69%
Trade id #124963416
Max drawdown($382)
Time8/16/19 9:58
Quant open961
Worst price57.88
Drawdown as % of equity-0.69%
$2,609
Includes Typical Broker Commissions trade costs of $5.00
8/13/19 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 893 63.13 8/13 10:40 62.68 0.75%
Trade id #124907283
Max drawdown($418)
Time8/13/19 10:30
Quant open893
Worst price62.66
Drawdown as % of equity-0.75%
($407)
Includes Typical Broker Commissions trade costs of $5.00
8/8/19 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 908 59.08 8/9 9:40 61.81 0.66%
Trade id #124834495
Max drawdown($354)
Time8/8/19 9:40
Quant open908
Worst price58.69
Drawdown as % of equity-0.66%
$2,474
Includes Typical Broker Commissions trade costs of $5.00
8/1/19 11:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 779 69.28 8/1 12:00 69.14 0.22%
Trade id #124718835
Max drawdown($116)
Time8/1/19 11:25
Quant open779
Worst price69.13
Drawdown as % of equity-0.22%
($114)
Includes Typical Broker Commissions trade costs of $5.00
8/1/19 11:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 781 69.21 8/1 11:10 69.09 0.37%
Trade id #124718131
Max drawdown($199)
Time8/1/19 11:05
Quant open781
Worst price68.95
Drawdown as % of equity-0.37%
($99)
Includes Typical Broker Commissions trade costs of $5.00
7/26/19 10:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 779 69.80 7/26 10:45 69.39 0.62%
Trade id #124632132
Max drawdown($334)
Time7/26/19 10:25
Quant open779
Worst price69.37
Drawdown as % of equity-0.62%
($324)
Includes Typical Broker Commissions trade costs of $5.00
7/24/19 10:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 787 68.77 7/25 9:35 69.08 1.65%
Trade id #124592810
Max drawdown($887)
Time7/24/19 10:10
Quant open787
Worst price67.64
Drawdown as % of equity-1.65%
$241
Includes Typical Broker Commissions trade costs of $5.00
7/15/19 15:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 786 69.09 7/16 9:35 68.92 2.4%
Trade id #124466367
Max drawdown($1,295)
Time7/15/19 15:00
Quant open786
Worst price67.44
Drawdown as % of equity-2.40%
($135)
Includes Typical Broker Commissions trade costs of $5.00
7/11/19 11:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 797 68.11 7/11 12:20 68.03 0.15%
Trade id #124420580
Max drawdown($80)
Time7/11/19 11:45
Quant open797
Worst price68.01
Drawdown as % of equity-0.15%
($71)
Includes Typical Broker Commissions trade costs of $5.00
7/10/19 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 815 67.18 7/10 11:10 66.64 0.8%
Trade id #124400596
Max drawdown($440)
Time7/10/19 11:10
Quant open815
Worst price66.64
Drawdown as % of equity-0.80%
($445)
Includes Typical Broker Commissions trade costs of $5.00
7/1/19 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 845 65.37 7/1 9:50 64.85 0.8%
Trade id #124287856
Max drawdown($438)
Time7/1/19 9:50
Quant open845
Worst price64.85
Drawdown as % of equity-0.80%
($443)
Includes Typical Broker Commissions trade costs of $5.00
6/18/19 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 899 61.12 6/19 9:35 61.33 0.24%
Trade id #124124415
Max drawdown($133)
Time6/18/19 9:40
Quant open899
Worst price60.97
Drawdown as % of equity-0.24%
$187
Includes Typical Broker Commissions trade costs of $5.00
6/4/19 13:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,099 50.31 6/4 13:15 50.11 0.44%
Trade id #123935595
Max drawdown($241)
Time6/4/19 13:13
Quant open1,099
Worst price50.09
Drawdown as % of equity-0.44%
($225)
Includes Typical Broker Commissions trade costs of $5.00
5/16/19 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 898 61.17 5/16 12:30 61.55 0.2%
Trade id #123695309
Max drawdown($107)
Time5/16/19 11:11
Quant open898
Worst price61.05
Drawdown as % of equity-0.20%
$336
Includes Typical Broker Commissions trade costs of $5.00
5/14/19 14:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 962 57.47 5/14 14:50 57.04 0.79%
Trade id #123669186
Max drawdown($439)
Time5/14/19 14:50
Quant open962
Worst price57.01
Drawdown as % of equity-0.79%
($419)
Includes Typical Broker Commissions trade costs of $5.00
5/14/19 13:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 967 57.50 5/14 14:05 57.18 0.56%
Trade id #123667463
Max drawdown($309)
Time5/14/19 14:05
Quant open967
Worst price57.18
Drawdown as % of equity-0.56%
($314)
Includes Typical Broker Commissions trade costs of $5.00
5/10/19 15:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 908 61.65 5/10 15:35 61.25 0.78%
Trade id #123626961
Max drawdown($435)
Time5/10/19 15:35
Quant open908
Worst price61.17
Drawdown as % of equity-0.78%
($368)
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 12:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 874 67.00 5/6 9:35 64.10 6.17%
Trade id #123522920
Max drawdown($3,644)
Time5/6/19 4:56
Quant open874
Worst price62.83
Drawdown as % of equity-6.17%
($2,540)
Includes Typical Broker Commissions trade costs of $5.00
4/10/19 15:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 944 62.15 4/11 9:40 61.98 0.39%
Trade id #123272566
Max drawdown($226)
Time4/11/19 4:21
Quant open944
Worst price61.91
Drawdown as % of equity-0.39%
($165)
Includes Typical Broker Commissions trade costs of $5.00
4/10/19 12:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 950 61.90 4/10 12:40 61.79 0.19%
Trade id #123270288
Max drawdown($114)
Time4/10/19 12:39
Quant open950
Worst price61.78
Drawdown as % of equity-0.19%
($110)
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 15:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,042 56.74 3/29 15:25 56.42 0.56%
Trade id #123133181
Max drawdown($333)
Time3/29/19 15:25
Quant open0
Worst price56.42
Drawdown as % of equity-0.56%
($338)
Includes Typical Broker Commissions trade costs of $5.00
3/26/19 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,044 57.08 3/26 11:50 56.65 0.93%
Trade id #123074508
Max drawdown($553)
Time3/26/19 11:49
Quant open1,044
Worst price56.55
Drawdown as % of equity-0.93%
($454)
Includes Typical Broker Commissions trade costs of $5.00
3/15/19 11:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,079 55.52 3/15 15:55 55.22 0.72%
Trade id #122928899
Max drawdown($431)
Time3/15/19 15:55
Quant open1,079
Worst price55.12
Drawdown as % of equity-0.72%
($329)
Includes Typical Broker Commissions trade costs of $5.00
3/11/19 10:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,118 51.24 3/14 9:35 54.15 0.06%
Trade id #122863970
Max drawdown($33)
Time3/11/19 11:02
Quant open1,118
Worst price51.21
Drawdown as % of equity-0.06%
$3,248
Includes Typical Broker Commissions trade costs of $5.00
3/1/19 14:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,089 52.18 3/4 11:10 52.04 0.48%
Trade id #122755206
Max drawdown($272)
Time3/1/19 15:27
Quant open1,089
Worst price51.93
Drawdown as % of equity-0.48%
($157)
Includes Typical Broker Commissions trade costs of $5.00
2/25/19 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,101 52.18 2/25 12:25 51.64 1.09%
Trade id #122666607
Max drawdown($622)
Time2/25/19 12:25
Quant open1,101
Worst price51.62
Drawdown as % of equity-1.09%
($600)
Includes Typical Broker Commissions trade costs of $5.00
2/22/19 12:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,135 50.81 2/22 13:15 50.54 0.55%
Trade id #122645802
Max drawdown($319)
Time2/22/19 13:14
Quant open1,135
Worst price50.53
Drawdown as % of equity-0.55%
($311)
Includes Typical Broker Commissions trade costs of $5.00
2/22/19 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,148 50.30 2/22 10:35 50.24 0.12%
Trade id #122642256
Max drawdown($69)
Time2/22/19 10:35
Quant open0
Worst price50.24
Drawdown as % of equity-0.12%
($74)
Includes Typical Broker Commissions trade costs of $5.00
2/12/19 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,174 48.30 2/13 11:35 49.26 n/a $1,122
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/1/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    478.04
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    62
  • # Profitable
    19
  • % Profitable
    30.60%
  • Avg trade duration
    16.1 hours
  • Max peak-to-valley drawdown
    11%
  • drawdown period
    March 13, 2019 - Aug 08, 2019
  • Annual Return (Compounded)
    11.8%
  • Avg win
    $1,244
  • Avg loss
    $358.47
  • Model Account Values (Raw)
  • Cash
    $58,239
  • Margin Used
    $0
  • Buying Power
    $58,239
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    0.94
  • Sortino Ratio
    1.78
  • Calmar Ratio
    1.257
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.14560
  • Return Statistics
  • Ann Return (w trading costs)
    11.8%
  • Ann Return (Compnd, No Fees)
    12.3%
  • 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 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    768
  • C2 Score
    373
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $358
  • Avg Win
    $1,245
  • # Winners
    19
  • # Losers
    43
  • % Winners
    30.6%
  • Frequency
  • Avg Position Time (mins)
    966.27
  • Avg Position Time (hrs)
    16.10
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    3.00
  • Daily leverage (max)
    3.07
  • Regression
  • Alpha
    0.03
  • Beta
    0.09
  • Treynor Index
    0.32
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    3.489
  • Avg(MAE) / Avg(PL) - Winning trades
    0.211
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.300
  • Hold-and-Hope Ratio
    0.287
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06700
  • SD
    0.09479
  • Sharpe ratio (Glass type estimate)
    0.70687
  • Sharpe ratio (Hedges UMVUE)
    0.66819
  • df
    14.00000
  • t
    0.79030
  • p
    0.39667
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07748
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43862
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26787
  • Upside Potential Ratio
    3.20957
  • Upside part of mean
    0.16961
  • Downside part of mean
    -0.10261
  • Upside SD
    0.07725
  • Downside SD
    0.05285
  • N nonnegative terms
    7.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.04273
  • Mean of criterion
    0.06700
  • SD of predictor
    0.18614
  • SD of criterion
    0.09479
  • Covariance
    0.00004
  • r
    0.00212
  • b (slope, estimate of beta)
    0.00108
  • a (intercept, estimate of alpha)
    0.06696
  • Mean Square Error
    0.00968
  • DF error
    13.00000
  • t(b)
    0.00766
  • p(b)
    0.49865
  • t(a)
    0.75925
  • p(a)
    0.36975
  • Lowerbound of 95% confidence interval for beta
    -0.30402
  • Upperbound of 95% confidence interval for beta
    0.30619
  • Lowerbound of 95% confidence interval for alpha
    -0.12356
  • Upperbound of 95% confidence interval for alpha
    0.25747
  • Treynor index (mean / b)
    61.96210
  • Jensen alpha (a)
    0.06696
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06253
  • SD
    0.09414
  • Sharpe ratio (Glass type estimate)
    0.66418
  • Sharpe ratio (Hedges UMVUE)
    0.62784
  • df
    14.00000
  • t
    0.74258
  • p
    0.40267
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14056
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39625
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16496
  • Upside Potential Ratio
    3.09879
  • Upside part of mean
    0.16632
  • Downside part of mean
    -0.10379
  • Upside SD
    0.07561
  • Downside SD
    0.05367
  • N nonnegative terms
    7.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.02621
  • Mean of criterion
    0.06253
  • SD of predictor
    0.18829
  • SD of criterion
    0.09414
  • Covariance
    0.00024
  • r
    0.01374
  • b (slope, estimate of beta)
    0.00687
  • a (intercept, estimate of alpha)
    0.06235
  • Mean Square Error
    0.00954
  • DF error
    13.00000
  • t(b)
    0.04956
  • p(b)
    0.49125
  • t(a)
    0.71296
  • p(a)
    0.37729
  • Lowerbound of 95% confidence interval for beta
    -0.29268
  • Upperbound of 95% confidence interval for beta
    0.30643
  • Lowerbound of 95% confidence interval for alpha
    -0.12657
  • Upperbound of 95% confidence interval for alpha
    0.25127
  • Treynor index (mean / b)
    9.09862
  • Jensen alpha (a)
    0.06235
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03872
  • Expected Shortfall on VaR
    0.04953
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02069
  • Expected Shortfall on VaR
    0.03692
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.95689
  • Quartile 1
    0.99068
  • Median
    1.00009
  • Quartile 3
    1.02825
  • Maximum
    1.05010
  • Mean of quarter 1
    0.97557
  • Mean of quarter 2
    0.99702
  • Mean of quarter 3
    1.02066
  • Mean of quarter 4
    1.04158
  • Inter Quartile Range
    0.03756
  • 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)
    -0.48415
  • VaR(95%) (moments method)
    0.02701
  • Expected Shortfall (moments method)
    0.03153
  • Extreme Value Index (regression method)
    0.44377
  • VaR(95%) (regression method)
    0.03413
  • Expected Shortfall (regression method)
    0.06600
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00709
  • Quartile 1
    0.01548
  • Median
    0.02387
  • Quartile 3
    0.05035
  • Maximum
    0.07684
  • Mean of quarter 1
    0.00709
  • Mean of quarter 2
    0.02387
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07684
  • Inter Quartile Range
    0.03487
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09574
  • Compounded annual return (geometric extrapolation)
    0.09465
  • Calmar ratio (compounded annual return / max draw down)
    1.23180
  • Compounded annual return / average of 25% largest draw downs
    1.23180
  • Compounded annual return / Expected Shortfall lognormal
    1.91107
  • 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
    0.09594
  • SD
    0.09150
  • Sharpe ratio (Glass type estimate)
    1.04848
  • Sharpe ratio (Hedges UMVUE)
    1.04612
  • df
    333.00000
  • t
    1.18382
  • p
    0.11867
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69160
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78384
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07786
  • Upside Potential Ratio
    8.09928
  • Upside part of mean
    0.37396
  • Downside part of mean
    -0.27802
  • Upside SD
    0.07906
  • Downside SD
    0.04617
  • N nonnegative terms
    49.00000
  • N negative terms
    285.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    334.00000
  • Mean of predictor
    0.05911
  • Mean of criterion
    0.09594
  • SD of predictor
    0.15196
  • SD of criterion
    0.09150
  • Covariance
    0.00241
  • r
    0.17307
  • b (slope, estimate of beta)
    0.10421
  • a (intercept, estimate of alpha)
    0.09000
  • Mean Square Error
    0.00815
  • DF error
    332.00000
  • t(b)
    3.20181
  • p(b)
    0.00075
  • t(a)
    1.12276
  • p(a)
    0.13118
  • Lowerbound of 95% confidence interval for beta
    0.04019
  • Upperbound of 95% confidence interval for beta
    0.16824
  • Lowerbound of 95% confidence interval for alpha
    -0.06752
  • Upperbound of 95% confidence interval for alpha
    0.24707
  • Treynor index (mean / b)
    0.92061
  • Jensen alpha (a)
    0.08978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09177
  • SD
    0.09097
  • Sharpe ratio (Glass type estimate)
    1.00877
  • Sharpe ratio (Hedges UMVUE)
    1.00650
  • df
    333.00000
  • t
    1.13898
  • p
    0.12776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73109
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74408
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97299
  • Upside Potential Ratio
    7.97267
  • Upside part of mean
    0.37084
  • Downside part of mean
    -0.27907
  • Upside SD
    0.07823
  • Downside SD
    0.04651
  • N nonnegative terms
    49.00000
  • N negative terms
    285.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    334.00000
  • Mean of predictor
    0.04757
  • Mean of criterion
    0.09177
  • SD of predictor
    0.15215
  • SD of criterion
    0.09097
  • Covariance
    0.00239
  • r
    0.17232
  • b (slope, estimate of beta)
    0.10303
  • a (intercept, estimate of alpha)
    0.08687
  • Mean Square Error
    0.00805
  • DF error
    332.00000
  • t(b)
    3.18742
  • p(b)
    0.00079
  • t(a)
    1.09267
  • p(a)
    0.13767
  • Lowerbound of 95% confidence interval for beta
    0.03945
  • Upperbound of 95% confidence interval for beta
    0.16662
  • Lowerbound of 95% confidence interval for alpha
    -0.06952
  • Upperbound of 95% confidence interval for alpha
    0.24326
  • Treynor index (mean / b)
    0.89069
  • Jensen alpha (a)
    0.08687
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00885
  • Expected Shortfall on VaR
    0.01118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00336
  • Expected Shortfall on VaR
    0.00685
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    334.00000
  • Minimum
    0.97366
  • Quartile 1
    0.99998
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03219
  • Mean of quarter 1
    0.99614
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00574
  • Inter Quartile Range
    0.00002
  • Number outliers low
    83.00000
  • Percentage of outliers low
    0.24850
  • Mean of outliers low
    0.99610
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.14671
  • Mean of outliers high
    1.00984
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27065
  • VaR(95%) (moments method)
    0.00312
  • Expected Shortfall (moments method)
    0.00553
  • Extreme Value Index (regression method)
    0.22652
  • VaR(95%) (regression method)
    0.00376
  • Expected Shortfall (regression method)
    0.00660
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00060
  • Quartile 1
    0.01343
  • Median
    0.01997
  • Quartile 3
    0.03654
  • Maximum
    0.10117
  • Mean of quarter 1
    0.00482
  • Mean of quarter 2
    0.01889
  • Mean of quarter 3
    0.02670
  • Mean of quarter 4
    0.07378
  • Inter Quartile Range
    0.02312
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.10117
  • 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)
    0.12929
  • Compounded annual return (geometric extrapolation)
    0.12713
  • Calmar ratio (compounded annual return / max draw down)
    1.25666
  • Compounded annual return / average of 25% largest draw downs
    1.72320
  • Compounded annual return / Expected Shortfall lognormal
    11.37380
  • 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
    0.00540
  • SD
    0.10562
  • Sharpe ratio (Glass type estimate)
    0.05109
  • Sharpe ratio (Hedges UMVUE)
    0.05080
  • df
    130.00000
  • t
    0.03613
  • p
    0.49842
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82261
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08695
  • Upside Potential Ratio
    6.09411
  • Upside part of mean
    0.37818
  • Downside part of mean
    -0.37278
  • Upside SD
    0.08496
  • Downside SD
    0.06206
  • N nonnegative terms
    19.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10690
  • Mean of criterion
    0.00540
  • SD of predictor
    0.13401
  • SD of criterion
    0.10562
  • Covariance
    0.00333
  • r
    0.23509
  • b (slope, estimate of beta)
    0.18527
  • a (intercept, estimate of alpha)
    -0.01441
  • Mean Square Error
    0.01062
  • DF error
    129.00000
  • t(b)
    2.74716
  • p(b)
    0.35172
  • t(a)
    -0.09876
  • p(a)
    0.50553
  • Lowerbound of 95% confidence interval for beta
    0.05184
  • Upperbound of 95% confidence interval for beta
    0.31871
  • Lowerbound of 95% confidence interval for alpha
    -0.30311
  • Upperbound of 95% confidence interval for alpha
    0.27429
  • Treynor index (mean / b)
    0.02912
  • Jensen alpha (a)
    -0.01441
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00011
  • SD
    0.10514
  • Sharpe ratio (Glass type estimate)
    -0.00100
  • Sharpe ratio (Hedges UMVUE)
    -0.00099
  • df
    130.00000
  • t
    -0.00071
  • p
    0.50003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77081
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00168
  • Upside Potential Ratio
    5.98164
  • Upside part of mean
    0.37458
  • Downside part of mean
    -0.37469
  • Upside SD
    0.08395
  • Downside SD
    0.06262
  • N nonnegative terms
    19.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09791
  • Mean of criterion
    -0.00011
  • SD of predictor
    0.13454
  • SD of criterion
    0.10514
  • Covariance
    0.00331
  • r
    0.23371
  • b (slope, estimate of beta)
    0.18264
  • a (intercept, estimate of alpha)
    -0.01799
  • Mean Square Error
    0.01053
  • DF error
    129.00000
  • t(b)
    2.73008
  • p(b)
    0.35258
  • t(a)
    -0.12382
  • p(a)
    0.50694
  • Lowerbound of 95% confidence interval for beta
    0.05028
  • Upperbound of 95% confidence interval for beta
    0.31500
  • Lowerbound of 95% confidence interval for alpha
    -0.30542
  • Upperbound of 95% confidence interval for alpha
    0.26944
  • Treynor index (mean / b)
    -0.00058
  • Jensen alpha (a)
    -0.01799
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01063
  • Expected Shortfall on VaR
    0.01331
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00451
  • Expected Shortfall on VaR
    0.00920
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97366
  • Quartile 1
    0.99878
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03219
  • Mean of quarter 1
    0.99484
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00579
  • Inter Quartile Range
    0.00122
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.99184
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01327
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58627
  • VaR(95%) (moments method)
    0.00482
  • Expected Shortfall (moments method)
    0.01318
  • Extreme Value Index (regression method)
    0.53464
  • VaR(95%) (regression method)
    0.00459
  • Expected Shortfall (regression method)
    0.01124
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01941
  • Quartile 1
    0.03985
  • Median
    0.06029
  • Quartile 3
    0.08073
  • Maximum
    0.10117
  • Mean of quarter 1
    0.01941
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10117
  • Inter Quartile Range
    0.04088
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02800
  • Compounded annual return (geometric extrapolation)
    0.02819
  • Calmar ratio (compounded annual return / max draw down)
    0.27866
  • Compounded annual return / average of 25% largest draw downs
    0.27866
  • Compounded annual return / Expected Shortfall lognormal
    2.11869

Strategy Description

TQQQ swing system. Tries to maximize gain when market is bullish and keeps exposure time minimal

Summary Statistics

Strategy began
2018-05-01
Suggested Minimum Capital
$35,000
# Trades
62
# Profitable
19
% Profitable
30.6%
Correlation S&P500
0.146
Sharpe Ratio
0.94
Sortino Ratio
1.78
Beta
0.09
Alpha
0.03
Leverage
3.00 Average
3.07 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.