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

TQQQSQQQ
(124727146)

Created by: ETFCapital ETFCapital
Started: 08/2019
Stocks
Last trade: 13 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 $500.00 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.

-14.8%
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.

(82.9%)
Max Drawdown
563
Num Trades
45.6%
Win Trades
1.1 : 1
Profit Factor
52.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +11.3%+2.9%+12.8%+9.8%+2.6%+45.5%
2020(3.6%)+8.3%+0.3%(4.3%)(0.4%)+0.9%(7.6%)+8.2%(9.9%)+16.6%(1.1%)+1.5%+6.2%
2021(1.9%)+6.7%(2.2%)+15.3%+33.7%+12.3%+13.3%(12.8%)(20.7%)+29.6%+25.4%(12%)+99.2%
2022(14.2%)(38.6%)(35.2%)(23.7%)(20.7%)                                          (79.4%)

Model Account Details

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

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

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

Trading Record

This strategy has placed 1,615 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
5/13/22 12:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 240 31.80 5/13 13:58 31.08 1.06%
Trade id #140469285
Max drawdown($191)
Time5/13/22 13:56
Quant open240
Worst price31.00
Drawdown as % of equity-1.06%
($178)
Includes Typical Broker Commissions trade costs of $4.80
4/5/22 13:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 189 58.69 4/26 13:09 39.41 18.41%
Trade id #140034129
Max drawdown($3,736)
Time4/26/22 11:57
Quant open189
Worst price38.92
Drawdown as % of equity-18.41%
($3,649)
Includes Typical Broker Commissions trade costs of $3.78
3/17/22 15:13 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 100 152.87 3/18 12:39 152.59 1.22%
Trade id #139824837
Max drawdown($320)
Time3/18/22 0:00
Quant open100
Worst price149.67
Drawdown as % of equity-1.22%
($30)
Includes Typical Broker Commissions trade costs of $2.00
3/17/22 15:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 250 49.12 3/18 12:39 52.02 0.18%
Trade id #139824830
Max drawdown($46)
Time3/18/22 9:34
Quant open250
Worst price48.93
Drawdown as % of equity-0.18%
$723
Includes Typical Broker Commissions trade costs of $5.00
3/11/22 15:37 TECL DIREXION DAILY TECHNOLOGY BULL SHORT 200 46.73 3/17 14:38 52.60 4.87%
Trade id #139756910
Max drawdown($1,291)
Time3/17/22 13:52
Quant open200
Worst price53.19
Drawdown as % of equity-4.87%
($1,178)
Includes Typical Broker Commissions trade costs of $4.00
3/11/22 15:36 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 60 159.63 3/17 14:38 151.47 0.04%
Trade id #139756905
Max drawdown($9)
Time3/11/22 15:58
Quant open60
Worst price159.79
Drawdown as % of equity-0.04%
$489
Includes Typical Broker Commissions trade costs of $1.20
3/10/22 11:34 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 140 151.58 3/11 14:56 159.68 4.62%
Trade id #139735548
Max drawdown($1,260)
Time3/11/22 14:33
Quant open140
Worst price160.58
Drawdown as % of equity-4.62%
($1,137)
Includes Typical Broker Commissions trade costs of $2.80
3/8/22 15:45 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 950 21.78 3/9 10:42 20.11 5.68%
Trade id #139704507
Max drawdown($1,634)
Time3/9/22 10:36
Quant open950
Worst price20.06
Drawdown as % of equity-5.68%
($1,592)
Includes Typical Broker Commissions trade costs of $5.00
3/8/22 10:25 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 900 23.15 3/8 11:56 22.31 2.86%
Trade id #139695646
Max drawdown($845)
Time3/8/22 11:56
Quant open900
Worst price22.21
Drawdown as % of equity-2.86%
($760)
Includes Typical Broker Commissions trade costs of $5.00
3/7/22 11:37 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1,000 20.82 3/8 10:04 23.06 0.63%
Trade id #139679189
Max drawdown($178)
Time3/7/22 11:47
Quant open1,000
Worst price20.64
Drawdown as % of equity-0.63%
$2,238
Includes Typical Broker Commissions trade costs of $5.00
3/4/22 14:52 YINN DIREXION DAILY FTSE CHINA BULL LONG 8,300 5.82 3/7 11:36 5.33 9.62%
Trade id #139658197
Max drawdown($4,054)
Time3/7/22 11:35
Quant open8,300
Worst price5.33
Drawdown as % of equity-9.62%
($4,048)
Includes Typical Broker Commissions trade costs of $5.00
3/2/22 14:50 LABU DIREXION DAILY S&P BIOTECH BULL LONG 1,525 16.60 3/4 14:29 13.61 10.2%
Trade id #139615948
Max drawdown($4,630)
Time3/4/22 14:16
Quant open1,525
Worst price13.56
Drawdown as % of equity-10.20%
($4,558)
Includes Typical Broker Commissions trade costs of $5.00
3/2/22 14:49 YINN DIREXION DAILY FTSE CHINA BULL LONG 4,000 6.79 3/4 14:29 5.81 8.83%
Trade id #139615936
Max drawdown($4,079)
Time3/4/22 11:12
Quant open4,000
Worst price5.77
Drawdown as % of equity-8.83%
($3,905)
Includes Typical Broker Commissions trade costs of $5.00
2/11/22 12:50 LABU DIREXION DAILY S&P BIOTECH BULL LONG 1,400 20.14 3/1 11:07 16.45 20.95%
Trade id #139359023
Max drawdown($10,623)
Time2/24/22 0:00
Quant open1,400
Worst price12.55
Drawdown as % of equity-20.95%
($5,169)
Includes Typical Broker Commissions trade costs of $5.00
2/11/22 12:49 YINN DIREXION DAILY FTSE CHINA BULL LONG 4,500 9.26 3/1 11:07 7.01 26.15%
Trade id #139359016
Max drawdown($13,264)
Time2/24/22 0:00
Quant open4,500
Worst price6.31
Drawdown as % of equity-26.15%
($10,121)
Includes Typical Broker Commissions trade costs of $5.00
2/8/22 9:56 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 39.64 2/9 10:24 36.84 9.29%
Trade id #139301844
Max drawdown($6,576)
Time2/9/22 0:00
Quant open2,000
Worst price36.35
Drawdown as % of equity-9.29%
($5,610)
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 15:17 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,330 58.72 2/8 9:30 56.76 3.62%
Trade id #139079973
Max drawdown($2,707)
Time2/8/22 9:30
Quant open1,330
Worst price56.68
Drawdown as % of equity-3.62%
($2,610)
Includes Typical Broker Commissions trade costs of $8.90
1/19/22 12:55 USO UNITED STATES OIL LONG 407 61.55 2/3 11:18 62.76 1.53%
Trade id #139014215
Max drawdown($1,114)
Time1/24/22 0:00
Quant open407
Worst price58.81
Drawdown as % of equity-1.53%
$487
Includes Typical Broker Commissions trade costs of $8.14
1/19/22 12:54 GRN IPATH SERIES B CARBON ETN LONG 785 32.06 2/3 11:18 36.97 0.31%
Trade id #139014202
Max drawdown($234)
Time1/19/22 15:59
Quant open785
Worst price31.76
Drawdown as % of equity-0.31%
$3,848
Includes Typical Broker Commissions trade costs of $5.00
1/20/22 10:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 369 67.82 1/21 15:07 57.20 5.43%
Trade id #139029679
Max drawdown($3,963)
Time1/21/22 15:07
Quant open369
Worst price57.08
Drawdown as % of equity-5.43%
($3,926)
Includes Typical Broker Commissions trade costs of $7.38
1/7/22 13:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,140 72.78 1/19 12:44 67.43 11.62%
Trade id #138867872
Max drawdown($8,641)
Time1/19/22 11:25
Quant open1,140
Worst price65.20
Drawdown as % of equity-11.62%
($6,107)
Includes Typical Broker Commissions trade costs of $5.00
12/23/21 13:06 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 1,073 84.54 1/6/22 9:30 79.16 6.9%
Trade id #138689136
Max drawdown($6,300)
Time1/5/22 0:00
Quant open1,073
Worst price78.67
Drawdown as % of equity-6.90%
($5,785)
Includes Typical Broker Commissions trade costs of $9.73
12/23/21 14:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 246 166.63 12/23 15:46 166.92 0.28%
Trade id #138689819
Max drawdown($255)
Time12/23/21 15:34
Quant open246
Worst price165.59
Drawdown as % of equity-0.28%
$66
Includes Typical Broker Commissions trade costs of $4.92
12/22/21 13:43 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,550 29.09 12/23 12:47 28.32 1.6%
Trade id #138669536
Max drawdown($1,434)
Time12/23/21 10:10
Quant open1,550
Worst price28.16
Drawdown as % of equity-1.60%
($1,195)
Includes Typical Broker Commissions trade costs of $5.00
12/22/21 11:46 JDST DIREXION DAILY JR GOLD BEAR 2X LONG 4,000 11.57 12/23 12:47 11.02 2.61%
Trade id #138667763
Max drawdown($2,346)
Time12/23/21 12:41
Quant open4,000
Worst price10.98
Drawdown as % of equity-2.61%
($2,184)
Includes Typical Broker Commissions trade costs of $5.00
12/22/21 11:46 EDC DIREXION DAILY EMRG MKTS BULL LONG 600 71.78 12/22 13:31 71.78 0.05%
Trade id #138667748
Max drawdown($49)
Time12/22/21 12:42
Quant open600
Worst price71.70
Drawdown as % of equity-0.05%
($6)
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 14:11 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,500 28.45 12/22 9:30 29.15 0.24%
Trade id #138656421
Max drawdown($221)
Time12/21/21 14:19
Quant open1,500
Worst price28.30
Drawdown as % of equity-0.24%
$1,048
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 14:29 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 3,000 15.71 12/22 9:30 15.70 2.23%
Trade id #138656542
Max drawdown($2,031)
Time12/22/21 0:00
Quant open3,000
Worst price15.03
Drawdown as % of equity-2.23%
($26)
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 13:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 7,000 6.42 12/21 14:29 6.39 0.27%
Trade id #138656269
Max drawdown($245)
Time12/21/21 14:05
Quant open7,000
Worst price6.39
Drawdown as % of equity-0.27%
($235)
Includes Typical Broker Commissions trade costs of $5.00
12/20/21 15:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 500 55.15 12/21 11:38 56.80 n/a $811
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1029.26
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    563
  • # Profitable
    257
  • % Profitable
    45.60%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    82.9%
  • drawdown period
    Nov 29, 2021 - May 26, 2022
  • Annual Return (Compounded)
    -14.8%
  • Avg win
    $909.54
  • Avg loss
    $723.90
  • Model Account Values (Raw)
  • Cash
    $42,368
  • Margin Used
    $8,016
  • Buying Power
    $28,746
  • Ratios
  • W:L ratio
    1.06:1
  • Sharpe Ratio
    -0.14
  • Sortino Ratio
    -0.2
  • Calmar Ratio
    0.245
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -73.91%
  • Correlation to SP500
    0.15260
  • Return Percent SP500 (cumu) during strategy life
    37.39%
  • Return Statistics
  • Ann Return (w trading costs)
    -14.8%
  • Slump
  • Current Slump as Pcnt Equity
    480.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.17%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.148%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.50%
  • Chance of 20% account loss
    48.50%
  • Chance of 30% account loss
    26.50%
  • Chance of 40% account loss
    9.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    529
  • Popularity (Last 6 weeks)
    859
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    140
  • Popularity (7 days, Percentile 1000 scale)
    695
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $724
  • Avg Win
    $910
  • Sum Trade PL (losers)
    $221,514.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $233,753.000
  • # Winners
    257
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    167
  • AUM
  • AUM (AutoTrader live capital)
    34529
  • Win / Loss
  • # Losers
    306
  • % Winners
    45.6%
  • Frequency
  • Avg Position Time (mins)
    4359.47
  • Avg Position Time (hrs)
    72.66
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.02
  • Daily leverage (max)
    4.12
  • Regression
  • Alpha
    -0.03
  • Beta
    0.27
  • Treynor Index
    -0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.75
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -36.378
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.245
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.063
  • Hold-and-Hope Ratio
    -0.039
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25424
  • SD
    0.47150
  • Sharpe ratio (Glass type estimate)
    0.53921
  • Sharpe ratio (Hedges UMVUE)
    0.52645
  • df
    32.00000
  • t
    0.89417
  • p
    0.18895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71537
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86555
  • Upside Potential Ratio
    2.51922
  • Upside part of mean
    0.73997
  • Downside part of mean
    -0.48573
  • Upside SD
    0.36700
  • Downside SD
    0.29373
  • N nonnegative terms
    18.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.09117
  • Mean of criterion
    0.25424
  • SD of predictor
    0.17231
  • SD of criterion
    0.47150
  • Covariance
    0.03802
  • r
    0.46796
  • b (slope, estimate of beta)
    1.28054
  • a (intercept, estimate of alpha)
    0.13749
  • Mean Square Error
    0.17923
  • DF error
    31.00000
  • t(b)
    2.94823
  • p(b)
    0.00301
  • t(a)
    0.53221
  • p(a)
    0.29919
  • Lowerbound of 95% confidence interval for beta
    0.39470
  • Upperbound of 95% confidence interval for beta
    2.16639
  • Lowerbound of 95% confidence interval for alpha
    -0.38941
  • Upperbound of 95% confidence interval for alpha
    0.66440
  • Treynor index (mean / b)
    0.19854
  • Jensen alpha (a)
    0.13749
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14116
  • SD
    0.48658
  • Sharpe ratio (Glass type estimate)
    0.29011
  • Sharpe ratio (Hedges UMVUE)
    0.28325
  • df
    32.00000
  • t
    0.48110
  • p
    0.31686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47189
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46719
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40316
  • Upside Potential Ratio
    1.94214
  • Upside part of mean
    0.68003
  • Downside part of mean
    -0.53887
  • Upside SD
    0.32961
  • Downside SD
    0.35014
  • N nonnegative terms
    18.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.07597
  • Mean of criterion
    0.14116
  • SD of predictor
    0.17548
  • SD of criterion
    0.48658
  • Covariance
    0.04077
  • r
    0.47745
  • b (slope, estimate of beta)
    1.32392
  • a (intercept, estimate of alpha)
    0.04059
  • Mean Square Error
    0.18868
  • DF error
    31.00000
  • t(b)
    3.02542
  • p(b)
    0.00248
  • t(a)
    0.15373
  • p(a)
    0.43941
  • Lowerbound of 95% confidence interval for beta
    0.43143
  • Upperbound of 95% confidence interval for beta
    2.21641
  • Lowerbound of 95% confidence interval for alpha
    -0.49793
  • Upperbound of 95% confidence interval for alpha
    0.57911
  • Treynor index (mean / b)
    0.10662
  • Jensen alpha (a)
    0.04059
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19690
  • Expected Shortfall on VaR
    0.24168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08753
  • Expected Shortfall on VaR
    0.17565
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.61257
  • Quartile 1
    0.93335
  • Median
    1.01318
  • Quartile 3
    1.09483
  • Maximum
    1.35242
  • Mean of quarter 1
    0.87390
  • Mean of quarter 2
    0.98173
  • Mean of quarter 3
    1.06455
  • Mean of quarter 4
    1.19257
  • Inter Quartile Range
    0.16148
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03030
  • Mean of outliers low
    0.61257
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03030
  • Mean of outliers high
    1.35242
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51130
  • VaR(95%) (moments method)
    0.15165
  • Expected Shortfall (moments method)
    0.31222
  • Extreme Value Index (regression method)
    1.13581
  • VaR(95%) (regression method)
    0.12606
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00896
  • Quartile 1
    0.03204
  • Median
    0.05598
  • Quartile 3
    0.12091
  • Maximum
    0.59135
  • Mean of quarter 1
    0.01975
  • Mean of quarter 2
    0.03375
  • Mean of quarter 3
    0.07839
  • Mean of quarter 4
    0.41785
  • Inter Quartile Range
    0.08886
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.59135
  • 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)
    0.21524
  • Compounded annual return (geometric extrapolation)
    0.18420
  • Calmar ratio (compounded annual return / max draw down)
    0.31150
  • Compounded annual return / average of 25% largest draw downs
    0.44084
  • Compounded annual return / Expected Shortfall lognormal
    0.76219
  • 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
    0.17367
  • SD
    0.32777
  • Sharpe ratio (Glass type estimate)
    0.52986
  • Sharpe ratio (Hedges UMVUE)
    0.52932
  • df
    730.00000
  • t
    0.88505
  • p
    0.18821
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64438
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70301
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76317
  • Upside Potential Ratio
    8.59135
  • Upside part of mean
    1.95511
  • Downside part of mean
    -1.78143
  • Upside SD
    0.23583
  • Downside SD
    0.22757
  • N nonnegative terms
    377.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    731.00000
  • Mean of predictor
    0.11599
  • Mean of criterion
    0.17367
  • SD of predictor
    0.24426
  • SD of criterion
    0.32777
  • Covariance
    0.01169
  • r
    0.14603
  • b (slope, estimate of beta)
    0.19595
  • a (intercept, estimate of alpha)
    0.15100
  • Mean Square Error
    0.10529
  • DF error
    729.00000
  • t(b)
    3.98558
  • p(b)
    0.00004
  • t(a)
    0.77670
  • p(a)
    0.21879
  • Lowerbound of 95% confidence interval for beta
    0.09943
  • Upperbound of 95% confidence interval for beta
    0.29248
  • Lowerbound of 95% confidence interval for alpha
    -0.23059
  • Upperbound of 95% confidence interval for alpha
    0.53248
  • Treynor index (mean / b)
    0.88629
  • Jensen alpha (a)
    0.15094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12001
  • SD
    0.32767
  • Sharpe ratio (Glass type estimate)
    0.36627
  • Sharpe ratio (Hedges UMVUE)
    0.36589
  • df
    730.00000
  • t
    0.61179
  • p
    0.27043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53971
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53942
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51607
  • Upside Potential Ratio
    8.29018
  • Upside part of mean
    1.92791
  • Downside part of mean
    -1.80789
  • Upside SD
    0.23064
  • Downside SD
    0.23255
  • N nonnegative terms
    377.00000
  • N negative terms
    354.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    731.00000
  • Mean of predictor
    0.08594
  • Mean of criterion
    0.12001
  • SD of predictor
    0.24574
  • SD of criterion
    0.32767
  • Covariance
    0.01186
  • r
    0.14725
  • b (slope, estimate of beta)
    0.19634
  • a (intercept, estimate of alpha)
    0.10314
  • Mean Square Error
    0.10518
  • DF error
    729.00000
  • t(b)
    4.01957
  • p(b)
    0.00003
  • t(a)
    0.53108
  • p(a)
    0.29776
  • Lowerbound of 95% confidence interval for beta
    0.10045
  • Upperbound of 95% confidence interval for beta
    0.29224
  • Lowerbound of 95% confidence interval for alpha
    -0.27813
  • Upperbound of 95% confidence interval for alpha
    0.48441
  • Treynor index (mean / b)
    0.61124
  • Jensen alpha (a)
    0.10314
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03231
  • Expected Shortfall on VaR
    0.04043
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01534
  • Expected Shortfall on VaR
    0.03030
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    731.00000
  • Minimum
    0.92141
  • Quartile 1
    0.99082
  • Median
    1.00072
  • Quartile 3
    1.01158
  • Maximum
    1.12785
  • Mean of quarter 1
    0.97656
  • Mean of quarter 2
    0.99651
  • Mean of quarter 3
    1.00545
  • Mean of quarter 4
    1.02458
  • Inter Quartile Range
    0.02076
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.03146
  • Mean of outliers low
    0.94556
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.02736
  • Mean of outliers high
    1.05691
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22233
  • VaR(95%) (moments method)
    0.02309
  • Expected Shortfall (moments method)
    0.03632
  • Extreme Value Index (regression method)
    -0.14463
  • VaR(95%) (regression method)
    0.02285
  • Expected Shortfall (regression method)
    0.02943
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    41.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00733
  • Median
    0.03436
  • Quartile 3
    0.07044
  • Maximum
    0.65092
  • Mean of quarter 1
    0.00300
  • Mean of quarter 2
    0.02067
  • Mean of quarter 3
    0.05148
  • Mean of quarter 4
    0.17772
  • Inter Quartile Range
    0.06311
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07317
  • Mean of outliers high
    0.37204
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.66482
  • VaR(95%) (moments method)
    0.19847
  • Expected Shortfall (moments method)
    0.58836
  • Extreme Value Index (regression method)
    1.69837
  • VaR(95%) (regression method)
    0.16086
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18312
  • Compounded annual return (geometric extrapolation)
    0.15942
  • Calmar ratio (compounded annual return / max draw down)
    0.24491
  • Compounded annual return / average of 25% largest draw downs
    0.89703
  • Compounded annual return / Expected Shortfall lognormal
    3.94311
  • 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
    -1.70531
  • SD
    0.45594
  • Sharpe ratio (Glass type estimate)
    -3.74022
  • Sharpe ratio (Hedges UMVUE)
    -3.71860
  • df
    130.00000
  • t
    -2.64474
  • p
    0.61298
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.54210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.92453
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.52702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91019
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.72243
  • Upside Potential Ratio
    5.36494
  • Upside part of mean
    1.93733
  • Downside part of mean
    -3.64264
  • Upside SD
    0.29495
  • Downside SD
    0.36111
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.29542
  • Mean of criterion
    -1.70531
  • SD of predictor
    0.23184
  • SD of criterion
    0.45594
  • Covariance
    0.01464
  • r
    0.13845
  • b (slope, estimate of beta)
    0.27228
  • a (intercept, estimate of alpha)
    -1.62487
  • Mean Square Error
    0.20548
  • DF error
    129.00000
  • t(b)
    1.58784
  • p(b)
    0.41214
  • t(a)
    -2.52681
  • p(a)
    0.63716
  • Lowerbound of 95% confidence interval for beta
    -0.06699
  • Upperbound of 95% confidence interval for beta
    0.61156
  • Lowerbound of 95% confidence interval for alpha
    -2.89717
  • Upperbound of 95% confidence interval for alpha
    -0.35258
  • Treynor index (mean / b)
    -6.26298
  • Jensen alpha (a)
    -1.62487
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.81394
  • SD
    0.45489
  • Sharpe ratio (Glass type estimate)
    -3.98761
  • Sharpe ratio (Hedges UMVUE)
    -3.96456
  • df
    130.00000
  • t
    -2.81966
  • p
    0.62003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.79400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.16639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.77794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15117
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.90135
  • Upside Potential Ratio
    5.12222
  • Upside part of mean
    1.89568
  • Downside part of mean
    -3.70962
  • Upside SD
    0.28450
  • Downside SD
    0.37009
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.32235
  • Mean of criterion
    -1.81394
  • SD of predictor
    0.23254
  • SD of criterion
    0.45489
  • Covariance
    0.01528
  • r
    0.14444
  • b (slope, estimate of beta)
    0.28257
  • a (intercept, estimate of alpha)
    -1.72285
  • Mean Square Error
    0.20418
  • DF error
    129.00000
  • t(b)
    1.65796
  • p(b)
    0.40836
  • t(a)
    -2.68612
  • p(a)
    0.64521
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    -0.05463
  • Upperbound of 95% confidence interval for beta
    0.61976
  • Lowerbound of 95% confidence interval for alpha
    -2.99186
  • Upperbound of 95% confidence interval for alpha
    -0.45385
  • Treynor index (mean / b)
    -6.41955
  • Jensen alpha (a)
    -1.72285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05176
  • Expected Shortfall on VaR
    0.06278
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03671
  • Expected Shortfall on VaR
    0.05881
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92141
  • Quartile 1
    0.98120
  • Median
    0.99194
  • Quartile 3
    1.00844
  • Maximum
    1.12785
  • Mean of quarter 1
    0.96119
  • Mean of quarter 2
    0.98616
  • Mean of quarter 3
    0.99967
  • Mean of quarter 4
    1.02756
  • Inter Quartile Range
    0.02724
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.92771
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.07896
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.59464
  • VaR(95%) (moments method)
    0.03958
  • Expected Shortfall (moments method)
    0.04450
  • Extreme Value Index (regression method)
    -0.59757
  • VaR(95%) (regression method)
    0.03191
  • Expected Shortfall (regression method)
    0.03493
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02351
  • Quartile 1
    0.18036
  • Median
    0.33722
  • Quartile 3
    0.49407
  • Maximum
    0.65092
  • Mean of quarter 1
    0.02351
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.65092
  • Inter Quartile Range
    0.31371
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349977000
  • Max Equity Drawdown (num days)
    178
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.18116
  • Compounded annual return (geometric extrapolation)
    -0.83238
  • Calmar ratio (compounded annual return / max draw down)
    -1.27876
  • Compounded annual return / average of 25% largest draw downs
    -1.27876
  • Compounded annual return / Expected Shortfall lognormal
    -13.25840

Strategy Description

Trades both long and short.
Trading is risky, you may lose some or all of your money doing so.


Summary Statistics

Strategy began
2019-08-01
Suggested Minimum Capital
$5,000
# Trades
563
# Profitable
257
% Profitable
45.6%
Net Dividends
Correlation S&P500
0.153
Sharpe Ratio
-0.14
Sortino Ratio
-0.20
Beta
0.27
Alpha
-0.03
Leverage
2.02 Average
4.12 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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