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

Synthetic TQQQ
(125484323)

Created by: Tony_Pei Tony_Pei
Started: 09/2019
Stocks
Last trade: 16 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 $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.

20.9%
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.

(41.3%)
Max Drawdown
34
Num Trades
82.4%
Win Trades
3.5 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        +2.4%+4.4%+8.0%+6.8%+23.3%
2020+4.9%(24.2%)+7.1%+20.6%+12.8%+7.8%+8.5%+8.1%(1.9%)+0.1%+4.1%+5.4%+57.9%
2021(0.4%)(4.1%)+0.2%+5.0%(4.4%)+6.8%+2.2%+7.0%(10%)+5.9%+0.2%+0.5%+7.7%
2022(11.6%)  -  +0.3%(5%)(1.2%)(4.8%)+0.3%(7.4%)(7.1%)(3.3%)+1.7%(6.3%)(37%)
2023+1.4%(1.1%)+6.3%(0.4%)+5.3%+6.5%+4.8%(10.9%)(3.7%)(4.6%)+18.3%+15.8%+39.8%
2024+3.9%+17.1%+5.0%                                                      +27.7%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/16/24 9:59 TQQQ PROSHARES ULTRAPRO QQQ SHORT 400 57.74 2/16 14:22 58.85 0.97%
Trade id #147354606
Max drawdown($476)
Time2/16/24 14:09
Quant open400
Worst price58.93
Drawdown as % of equity-0.97%
($454)
Includes Typical Broker Commissions trade costs of $8.00
8/17/22 9:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 11,600 35.59 2/13/24 10:16 36.43 23.27%
Trade id #141446072
Max drawdown($7,844)
Time10/11/22 0:00
Quant open800
Worst price17.74
Drawdown as % of equity-23.27%
$9,478
Includes Typical Broker Commissions trade costs of $218.50
3/7/22 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,450 45.56 7/18 9:30 44.40 13.78%
Trade id #139675546
Max drawdown($5,905)
Time6/10/22 0:00
Quant open300
Worst price26.67
Drawdown as % of equity-13.78%
($2,897)
Includes Typical Broker Commissions trade costs of $49.00
4/14/21 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 10,100 63.75 3/4/22 9:58 63.47 14.6%
Trade id #135154150
Max drawdown($6,470)
Time1/24/22 0:00
Quant open400
Worst price48.17
Drawdown as % of equity-14.60%
($3,027)
Includes Typical Broker Commissions trade costs of $195.00
4/12/21 9:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 106.55 4/13 15:59 110.66 0.59%
Trade id #135102084
Max drawdown($282)
Time4/12/21 10:44
Quant open300
Worst price104.98
Drawdown as % of equity-0.59%
$1,637
Includes Typical Broker Commissions trade costs of $8.00
2/16/21 11:24 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,680 95.16 4/9 15:51 94.13 14.9%
Trade id #134087205
Max drawdown($7,278)
Time2/23/21 0:00
Quant open400
Worst price86.42
Drawdown as % of equity-14.90%
($2,830)
Includes Typical Broker Commissions trade costs of $53.60
1/27/21 9:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,160 101.37 2/12 15:52 102.09 6.68%
Trade id #133625329
Max drawdown($3,346)
Time1/29/21 0:00
Quant open400
Worst price88.75
Drawdown as % of equity-6.68%
$810
Includes Typical Broker Commissions trade costs of $23.20
1/21/21 9:45 TQQQ PROSHARES ULTRAPRO QQQ SHORT 80 99.66 1/25 11:05 98.58 0.86%
Trade id #133511030
Max drawdown($432)
Time1/25/21 9:38
Quant open80
Worst price105.06
Drawdown as % of equity-0.86%
$84
Includes Typical Broker Commissions trade costs of $1.60
1/4/21 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 660 89.71 1/21 9:30 92.31 2.96%
Trade id #133153494
Max drawdown($1,406)
Time1/4/21 12:15
Quant open240
Worst price83.42
Drawdown as % of equity-2.96%
$1,701
Includes Typical Broker Commissions trade costs of $13.20
12/18/20 11:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 140 172.63 12/29 10:56 179.39 0.67%
Trade id #132909861
Max drawdown($319)
Time12/21/20 0:00
Quant open40
Worst price164.68
Drawdown as % of equity-0.67%
$945
Includes Typical Broker Commissions trade costs of $2.80
12/9/20 12:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 162.46 12/16 15:25 167.62 2.08%
Trade id #132723819
Max drawdown($973)
Time12/10/20 0:00
Quant open120
Worst price155.26
Drawdown as % of equity-2.08%
$772
Includes Typical Broker Commissions trade costs of $3.00
10/13/20 15:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 910 148.97 12/4 15:57 149.72 6.35%
Trade id #131677356
Max drawdown($2,795)
Time10/20/20 0:00
Quant open240
Worst price136.59
Drawdown as % of equity-6.35%
$657
Includes Typical Broker Commissions trade costs of $18.20
10/8/20 15:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 120 134.78 10/13 9:30 146.25 0.01%
Trade id #131599622
Max drawdown($2)
Time10/8/20 15:54
Quant open120
Worst price134.76
Drawdown as % of equity-0.01%
$1,375
Includes Typical Broker Commissions trade costs of $2.40
9/4/20 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 480 130.24 10/8 9:30 130.89 8.35%
Trade id #131000792
Max drawdown($3,626)
Time9/18/20 0:00
Quant open150
Worst price110.76
Drawdown as % of equity-8.35%
$301
Includes Typical Broker Commissions trade costs of $9.60
7/22/20 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 540 119.08 8/24 9:30 126.33 6.96%
Trade id #130224615
Max drawdown($2,815)
Time7/24/20 0:00
Quant open180
Worst price101.01
Drawdown as % of equity-6.96%
$3,899
Includes Typical Broker Commissions trade costs of $10.80
7/14/20 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 320 113.11 7/20 15:50 116.58 4.21%
Trade id #130079422
Max drawdown($1,711)
Time7/16/20 0:00
Quant open240
Worst price106.99
Drawdown as % of equity-4.21%
$1,107
Includes Typical Broker Commissions trade costs of $6.40
6/8/20 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 94.26 7/7 10:50 97.47 7.31%
Trade id #129419317
Max drawdown($2,631)
Time6/12/20 0:00
Quant open300
Worst price80.43
Drawdown as % of equity-7.31%
$3,510
Includes Typical Broker Commissions trade costs of $22.00
6/3/20 15:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 86.18 6/5 15:55 89.56 1.02%
Trade id #129340166
Max drawdown($374)
Time6/4/20 0:00
Quant open100
Worst price83.36
Drawdown as % of equity-1.02%
$671
Includes Typical Broker Commissions trade costs of $4.00
6/1/20 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 83.55 6/3 9:30 85.79 0.66%
Trade id #129294980
Max drawdown($236)
Time6/2/20 0:00
Quant open100
Worst price81.64
Drawdown as % of equity-0.66%
$668
Includes Typical Broker Commissions trade costs of $6.00
5/21/20 9:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 78.56 5/29 15:43 81.11 3.64%
Trade id #129129641
Max drawdown($1,276)
Time5/27/20 0:00
Quant open200
Worst price73.38
Drawdown as % of equity-3.64%
$759
Includes Typical Broker Commissions trade costs of $6.00
5/19/20 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 180 76.86 5/20 15:58 81.03 0.24%
Trade id #129096552
Max drawdown($82)
Time5/19/20 16:00
Quant open180
Worst price76.40
Drawdown as % of equity-0.24%
$747
Includes Typical Broker Commissions trade costs of $3.60
4/16/20 9:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,890 66.68 5/18 15:50 69.06 15.02%
Trade id #128595774
Max drawdown($4,484)
Time4/21/20 0:00
Quant open500
Worst price56.31
Drawdown as % of equity-15.02%
$4,456
Includes Typical Broker Commissions trade costs of $37.80
4/7/20 15:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 51.52 4/14 15:59 60.32 0.57%
Trade id #128461712
Max drawdown($156)
Time4/7/20 16:00
Quant open300
Worst price51.00
Drawdown as % of equity-0.57%
$2,635
Includes Typical Broker Commissions trade costs of $6.00
3/27/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 46.20 4/6 15:59 49.50 7.21%
Trade id #128283727
Max drawdown($1,908)
Time4/1/20 0:00
Quant open300
Worst price40.62
Drawdown as % of equity-7.21%
$1,311
Includes Typical Broker Commissions trade costs of $8.00
2/24/20 13:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,250 60.05 3/26 15:50 58.49 52.25%
Trade id #127682188
Max drawdown($11,684)
Time3/23/20 0:00
Quant open400
Worst price32.27
Drawdown as % of equity-52.25%
($1,970)
Includes Typical Broker Commissions trade costs of $25.00
2/19/20 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 380 111.65 2/24 10:01 99.26 22.27%
Trade id #127607110
Max drawdown($6,846)
Time2/24/20 9:31
Quant open380
Worst price93.63
Drawdown as % of equity-22.27%
($4,716)
Includes Typical Broker Commissions trade costs of $7.60
2/4/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 205 103.35 2/7 9:30 106.60 0.3%
Trade id #127353014
Max drawdown($98)
Time2/4/20 9:40
Quant open100
Worst price101.02
Drawdown as % of equity-0.30%
$663
Includes Typical Broker Commissions trade costs of $4.10
1/23/20 15:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 500 97.15 1/29 9:30 97.45 6.49%
Trade id #127192338
Max drawdown($2,092)
Time1/27/20 0:00
Quant open200
Worst price90.18
Drawdown as % of equity-6.49%
$139
Includes Typical Broker Commissions trade costs of $10.00
12/30/19 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 500 87.42 1/10/20 9:32 90.69 0.32%
Trade id #126794562
Max drawdown($97)
Time12/31/19 0:00
Quant open100
Worst price84.86
Drawdown as % of equity-0.32%
$1,624
Includes Typical Broker Commissions trade costs of $10.00
12/2/19 12:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 75.51 12/17 11:34 78.80 1.2%
Trade id #126444128
Max drawdown($348)
Time12/3/19 0:00
Quant open100
Worst price71.11
Drawdown as % of equity-1.20%
$1,966
Includes Typical Broker Commissions trade costs of $12.00

Statistics

  • Strategy began
    9/24/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1646.92
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    28
  • % Profitable
    82.40%
  • Avg trade duration
    43.7 days
  • Max peak-to-valley drawdown
    41.35%
  • drawdown period
    Nov 22, 2021 - Oct 26, 2023
  • Annual Return (Compounded)
    20.9%
  • Avg win
    $1,897
  • Avg loss
    $2,592
  • Model Account Values (Raw)
  • Cash
    ($353)
  • Margin Used
    $0
  • Buying Power
    $9,824
  • Ratios
  • W:L ratio
    3.51:1
  • Sharpe Ratio
    0.68
  • Sortino Ratio
    0.98
  • Calmar Ratio
    0.784
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    59.16%
  • Correlation to SP500
    0.53430
  • Return Percent SP500 (cumu) during strategy life
    76.92%
  • Return Statistics
  • Ann Return (w trading costs)
    20.9%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.209%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    17.00%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    2.38%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    826
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    368
  • Popularity (7 days, Percentile 1000 scale)
    696
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,592
  • Avg Win
    $2,032
  • Sum Trade PL (losers)
    $15,555.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $56,886.000
  • # Winners
    28
  • Num Months Winners
    36
  • Dividends
  • Dividends Received in Model Acct
    750
  • Win / Loss
  • # Losers
    6
  • % Winners
    82.3%
  • Frequency
  • Avg Position Time (mins)
    62949.50
  • Avg Position Time (hrs)
    1049.16
  • Avg Trade Length
    43.7 days
  • Last Trade Ago
    16
  • Leverage
  • Daily leverage (average)
    1.24
  • Daily leverage (max)
    4.96
  • Regression
  • Alpha
    0.03
  • Beta
    0.61
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.13
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.20
  • Avg(MAE) / Avg(PL) - All trades
    2.229
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.815
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.486
  • Hold-and-Hope Ratio
    0.511
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23997
  • SD
    0.25014
  • Sharpe ratio (Glass type estimate)
    0.95934
  • Sharpe ratio (Hedges UMVUE)
    0.94457
  • df
    49.00000
  • t
    1.95825
  • p
    0.02795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02403
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03365
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92280
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69918
  • Upside Potential Ratio
    3.29945
  • Upside part of mean
    0.46597
  • Downside part of mean
    -0.22600
  • Upside SD
    0.21488
  • Downside SD
    0.14123
  • N nonnegative terms
    31.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.12429
  • Mean of criterion
    0.23997
  • SD of predictor
    0.18224
  • SD of criterion
    0.25014
  • Covariance
    0.03191
  • r
    0.69995
  • b (slope, estimate of beta)
    0.96076
  • a (intercept, estimate of alpha)
    0.12055
  • Mean Square Error
    0.03258
  • DF error
    48.00000
  • t(b)
    6.79002
  • p(b)
    0.00000
  • t(a)
    1.33715
  • p(a)
    0.09374
  • Lowerbound of 95% confidence interval for beta
    0.67626
  • Upperbound of 95% confidence interval for beta
    1.24525
  • Lowerbound of 95% confidence interval for alpha
    -0.06072
  • Upperbound of 95% confidence interval for alpha
    0.30183
  • Treynor index (mean / b)
    0.24977
  • Jensen alpha (a)
    0.12055
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20747
  • SD
    0.24651
  • Sharpe ratio (Glass type estimate)
    0.84163
  • Sharpe ratio (Hedges UMVUE)
    0.82867
  • df
    49.00000
  • t
    1.71798
  • p
    0.04606
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13699
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80277
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37757
  • Upside Potential Ratio
    2.94668
  • Upside part of mean
    0.44379
  • Downside part of mean
    -0.23632
  • Upside SD
    0.20114
  • Downside SD
    0.15061
  • N nonnegative terms
    31.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.10696
  • Mean of criterion
    0.20747
  • SD of predictor
    0.18465
  • SD of criterion
    0.24651
  • Covariance
    0.03127
  • r
    0.68687
  • b (slope, estimate of beta)
    0.91697
  • a (intercept, estimate of alpha)
    0.10940
  • Mean Square Error
    0.03277
  • DF error
    48.00000
  • t(b)
    6.54776
  • p(b)
    0.00000
  • t(a)
    1.21638
  • p(a)
    0.11489
  • Lowerbound of 95% confidence interval for beta
    0.63539
  • Upperbound of 95% confidence interval for beta
    1.19854
  • Lowerbound of 95% confidence interval for alpha
    -0.07143
  • Upperbound of 95% confidence interval for alpha
    0.29022
  • Treynor index (mean / b)
    0.22626
  • Jensen alpha (a)
    0.10940
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09495
  • Expected Shortfall on VaR
    0.12116
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03594
  • Expected Shortfall on VaR
    0.07537
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.81427
  • Quartile 1
    0.97220
  • Median
    1.02957
  • Quartile 3
    1.05728
  • Maximum
    1.21229
  • Mean of quarter 1
    0.93444
  • Mean of quarter 2
    1.00519
  • Mean of quarter 3
    1.04540
  • Mean of quarter 4
    1.10473
  • Inter Quartile Range
    0.08509
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02000
  • Mean of outliers low
    0.81427
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04000
  • Mean of outliers high
    1.20781
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15256
  • VaR(95%) (moments method)
    0.06543
  • Expected Shortfall (moments method)
    0.09721
  • Extreme Value Index (regression method)
    0.52258
  • VaR(95%) (regression method)
    0.06698
  • Expected Shortfall (regression method)
    0.14169
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00594
  • Quartile 1
    0.07611
  • Median
    0.15919
  • Quartile 3
    0.24468
  • Maximum
    0.32208
  • Mean of quarter 1
    0.00594
  • Mean of quarter 2
    0.09951
  • Mean of quarter 3
    0.21887
  • Mean of quarter 4
    0.32208
  • Inter Quartile Range
    0.16856
  • 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)
    0.39994
  • Compounded annual return (geometric extrapolation)
    0.26539
  • Calmar ratio (compounded annual return / max draw down)
    0.82398
  • Compounded annual return / average of 25% largest draw downs
    0.82398
  • Compounded annual return / Expected Shortfall lognormal
    2.19041
  • 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
    0.23677
  • SD
    0.23916
  • Sharpe ratio (Glass type estimate)
    0.98999
  • Sharpe ratio (Hedges UMVUE)
    0.98931
  • df
    1093.00000
  • t
    2.02297
  • p
    0.46114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02973
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94937
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43077
  • Upside Potential Ratio
    7.60224
  • Upside part of mean
    1.25804
  • Downside part of mean
    -1.02127
  • Upside SD
    0.17313
  • Downside SD
    0.16548
  • N nonnegative terms
    592.00000
  • N negative terms
    502.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1094.00000
  • Mean of predictor
    0.13541
  • Mean of criterion
    0.23677
  • SD of predictor
    0.22953
  • SD of criterion
    0.23916
  • Covariance
    0.02906
  • r
    0.52938
  • b (slope, estimate of beta)
    0.55158
  • a (intercept, estimate of alpha)
    0.16200
  • Mean Square Error
    0.04121
  • DF error
    1092.00000
  • t(b)
    20.61970
  • p(b)
    0.23531
  • t(a)
    1.63046
  • p(a)
    0.47536
  • Lowerbound of 95% confidence interval for beta
    0.49909
  • Upperbound of 95% confidence interval for beta
    0.60406
  • Lowerbound of 95% confidence interval for alpha
    -0.03297
  • Upperbound of 95% confidence interval for alpha
    0.35713
  • Treynor index (mean / b)
    0.42925
  • Jensen alpha (a)
    0.16208
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20808
  • SD
    0.23921
  • Sharpe ratio (Glass type estimate)
    0.86986
  • Sharpe ratio (Hedges UMVUE)
    0.86926
  • df
    1093.00000
  • t
    1.77750
  • p
    0.46584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82911
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22794
  • Upside Potential Ratio
    7.33740
  • Upside part of mean
    1.24337
  • Downside part of mean
    -1.03529
  • Upside SD
    0.16917
  • Downside SD
    0.16946
  • N nonnegative terms
    592.00000
  • N negative terms
    502.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1094.00000
  • Mean of predictor
    0.10895
  • Mean of criterion
    0.20808
  • SD of predictor
    0.23030
  • SD of criterion
    0.23921
  • Covariance
    0.02900
  • r
    0.52647
  • b (slope, estimate of beta)
    0.54685
  • a (intercept, estimate of alpha)
    0.14850
  • Mean Square Error
    0.04140
  • DF error
    1092.00000
  • t(b)
    20.46290
  • p(b)
    0.23677
  • t(a)
    1.49078
  • p(a)
    0.47747
  • Lowerbound of 95% confidence interval for beta
    0.49442
  • Upperbound of 95% confidence interval for beta
    0.59929
  • Lowerbound of 95% confidence interval for alpha
    -0.04696
  • Upperbound of 95% confidence interval for alpha
    0.34397
  • Treynor index (mean / b)
    0.38051
  • Jensen alpha (a)
    0.14850
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02324
  • Expected Shortfall on VaR
    0.02924
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00829
  • Expected Shortfall on VaR
    0.01807
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1094.00000
  • Minimum
    0.89336
  • Quartile 1
    0.99679
  • Median
    1.00059
  • Quartile 3
    1.00597
  • Maximum
    1.11459
  • Mean of quarter 1
    0.98557
  • Mean of quarter 2
    0.99912
  • Mean of quarter 3
    1.00293
  • Mean of quarter 4
    1.01642
  • Inter Quartile Range
    0.00918
  • Number outliers low
    72.00000
  • Percentage of outliers low
    0.06581
  • Mean of outliers low
    0.96668
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.06399
  • Mean of outliers high
    1.03244
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55354
  • VaR(95%) (moments method)
    0.01291
  • Expected Shortfall (moments method)
    0.03332
  • Extreme Value Index (regression method)
    0.31905
  • VaR(95%) (regression method)
    0.01315
  • Expected Shortfall (regression method)
    0.02474
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    46.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00340
  • Median
    0.01531
  • Quartile 3
    0.04765
  • Maximum
    0.33949
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.00800
  • Mean of quarter 3
    0.02777
  • Mean of quarter 4
    0.11858
  • Inter Quartile Range
    0.04425
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06522
  • Mean of outliers high
    0.25928
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56259
  • VaR(95%) (moments method)
    0.13608
  • Expected Shortfall (moments method)
    0.32688
  • Extreme Value Index (regression method)
    0.27089
  • VaR(95%) (regression method)
    0.12182
  • Expected Shortfall (regression method)
    0.19734
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40207
  • Compounded annual return (geometric extrapolation)
    0.26616
  • Calmar ratio (compounded annual return / max draw down)
    0.78401
  • Compounded annual return / average of 25% largest draw downs
    2.24465
  • Compounded annual return / Expected Shortfall lognormal
    9.10299
  • 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
    0.79717
  • SD
    0.36815
  • Sharpe ratio (Glass type estimate)
    2.16534
  • Sharpe ratio (Hedges UMVUE)
    2.15283
  • df
    130.00000
  • t
    1.53113
  • p
    0.43345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62293
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63130
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93696
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.47245
  • Upside Potential Ratio
    11.02630
  • Upside part of mean
    2.53133
  • Downside part of mean
    -1.73415
  • Upside SD
    0.29021
  • Downside SD
    0.22957
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28908
  • Mean of criterion
    0.79717
  • SD of predictor
    0.12763
  • SD of criterion
    0.36815
  • Covariance
    0.03250
  • r
    0.69175
  • b (slope, estimate of beta)
    1.99534
  • a (intercept, estimate of alpha)
    0.22036
  • Mean Square Error
    0.07123
  • DF error
    129.00000
  • t(b)
    10.88000
  • p(b)
    0.09783
  • t(a)
    0.57816
  • p(a)
    0.46765
  • Lowerbound of 95% confidence interval for beta
    1.63249
  • Upperbound of 95% confidence interval for beta
    2.35819
  • Lowerbound of 95% confidence interval for alpha
    -0.53373
  • Upperbound of 95% confidence interval for alpha
    0.97444
  • Treynor index (mean / b)
    0.39952
  • Jensen alpha (a)
    0.22036
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72932
  • SD
    0.36597
  • Sharpe ratio (Glass type estimate)
    1.99283
  • Sharpe ratio (Hedges UMVUE)
    1.98131
  • df
    130.00000
  • t
    1.40915
  • p
    0.43867
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77145
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76356
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.11216
  • Upside Potential Ratio
    10.62700
  • Upside part of mean
    2.49037
  • Downside part of mean
    -1.76105
  • Upside SD
    0.28288
  • Downside SD
    0.23434
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28081
  • Mean of criterion
    0.72932
  • SD of predictor
    0.12773
  • SD of criterion
    0.36597
  • Covariance
    0.03235
  • r
    0.69208
  • b (slope, estimate of beta)
    1.98298
  • a (intercept, estimate of alpha)
    0.17248
  • Mean Square Error
    0.07032
  • DF error
    129.00000
  • t(b)
    10.88980
  • p(b)
    0.09768
  • t(a)
    0.45570
  • p(a)
    0.47448
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    1.62270
  • Upperbound of 95% confidence interval for beta
    2.34326
  • Lowerbound of 95% confidence interval for alpha
    -0.57639
  • Upperbound of 95% confidence interval for alpha
    0.92135
  • Treynor index (mean / b)
    0.36779
  • Jensen alpha (a)
    0.17248
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03382
  • Expected Shortfall on VaR
    0.04287
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01435
  • Expected Shortfall on VaR
    0.02907
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94521
  • Quartile 1
    0.99379
  • Median
    1.00172
  • Quartile 3
    1.01516
  • Maximum
    1.10547
  • Mean of quarter 1
    0.97641
  • Mean of quarter 2
    0.99769
  • Mean of quarter 3
    1.00858
  • Mean of quarter 4
    1.03008
  • Inter Quartile Range
    0.02137
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.95246
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06480
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05859
  • VaR(95%) (moments method)
    0.01813
  • Expected Shortfall (moments method)
    0.02477
  • Extreme Value Index (regression method)
    -0.54926
  • VaR(95%) (regression method)
    0.02685
  • Expected Shortfall (regression method)
    0.03195
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00144
  • Quartile 1
    0.01497
  • Median
    0.03371
  • Quartile 3
    0.08067
  • Maximum
    0.13881
  • Mean of quarter 1
    0.00676
  • Mean of quarter 2
    0.02671
  • Mean of quarter 3
    0.06536
  • Mean of quarter 4
    0.11089
  • Inter Quartile Range
    0.06570
  • 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)
    -0.30623
  • VaR(95%) (moments method)
    0.11903
  • Expected Shortfall (moments method)
    0.13409
  • Extreme Value Index (regression method)
    0.61782
  • VaR(95%) (regression method)
    0.13136
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.25565
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369188000
  • Max Equity Drawdown (num days)
    703
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.92051
  • Compounded annual return (geometric extrapolation)
    1.13234
  • Calmar ratio (compounded annual return / max draw down)
    8.15774
  • Compounded annual return / average of 25% largest draw downs
    10.21180
  • Compounded annual return / Expected Shortfall lognormal
    26.41210

Strategy Description

This is a long-only system that only trades one ETF, TQQQ. This system is designed for non-marginable accounts such as IRAs, 401ks and Cash accounts, and the risk can be controlled by yourself. On average you only expose 40%-60% of your account capital to the market.

This system is comprised of five individual sub-strategies. Each sub-strategy trades TQQQ independently. Each sub-strategy is fundamentally different, i.e. they have no correlation to each other. All of the five sub-strategies use the end of day close data to generate the signals. The five sub-strategies are a mix of trend following and mean-reverting strategies. The benefit of these mixed sub-strategies 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 trend-following sub-strategies will not generate positions, i.e. filtered by moving average indicators, while the mean-reverting sub-strategies will generate positions trying to buy at low and sell at high with different parameters for a bear market.

Each sub-strategy 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 sub-strategies. However, when you click on the 'Show AutoTrade data' button in the trading record, you will find the details of each sub-strategy's transactions. Most of the time, only two or three sub-strategies will have positions. That means on average you only expose 40%-60% of your account capital to the market. Rarely will all five sub-strategies 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 sub-strategy. 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 sub-strategy. In C2, I trade 100 shares per sub-strategy. If you want to auto-trade this system, you can set AutoTrade Scaling to 70%.

This system is designed for non-marginable 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 sub-strategy, 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 sub-strategy. 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 sub-strategy 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 sub-strategies 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 sub-strategy.


Summary Statistics

Strategy began
2019-09-24
Suggested Minimum Capital
$35,000
# Trades
34
# Profitable
28
% Profitable
82.4%
Net Dividends
Correlation S&P500
0.534
Sharpe Ratio
0.68
Sortino Ratio
0.98
Beta
0.61
Alpha
0.03
Leverage
1.24 Average
4.96 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.