Collective2 Collective2
Featured Strategy Quant AI pro +16.7% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/10/2022
Most recent certification approved 5/11/22 9:31 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 20%
# trading signals issued by system since certification 1,229
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,226
Percent signals followed since 05/10/2022 99.8%
This information was last updated 12/19/24 16:05 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/10/2022, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

TQQQ Daytrader
(138550056)

Created by: BlueSkyAlgo BlueSkyAlgo
Started: 12/2021
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following

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 $165.00 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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
8.0%
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.

(20.6%)
Max Drawdown
758
Num Trades
46.7%
Win Trades
1.1 : 1
Profit Factor
54.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +1.2%+1.2%
2022+4.5%+1.4%+2.8%+28.7%(9.3%)(0.7%)(4.8%)+0.5%(1.7%)(4.3%)+2.5%(1.8%)+14.4%
2023+0.9%+1.6%(0.2%)+2.0%(0.6%)+4.3%+0.5%+6.2%+0.7%+2.2%+1.7%(2.7%)+17.4%
2024  -  (0.4%)(3%)+3.5%+0.4%(1.8%)(5%)(2.1%)(1.9%)(3.5%)+0.9%+5.9%(7.2%)

Model Account Details

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

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

Trading Record

This strategy has placed 1,464 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/19/24 12:08 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,135 82.65 12/19 15:59 81.00 1.01%
Trade id #150366247
Max drawdown($885)
Time12/19/24 14:00
Quant open1,135
Worst price83.43
Drawdown as % of equity-1.01%
 $1,868
Includes Typical Broker Commissions trade costs of $5.00
12/19/24 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,135 84.10 12/19 10:28 82.28 2.34%
Trade id #150363403
Max drawdown($2,076)
Time12/19/24 10:28
Quant open1,135
Worst price82.27
Drawdown as % of equity-2.34%
 ($2,073)
Includes Typical Broker Commissions trade costs of $9.35
12/18/24 14:10 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,135 89.57 12/18 15:03 86.34 1.01%
Trade id #150356049
Max drawdown($856)
Time12/18/24 14:25
Quant open1,135
Worst price90.32
Drawdown as % of equity-1.01%
 $3,653
Includes Typical Broker Commissions trade costs of $13.85
12/16/24 10:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,280 91.72 12/16 15:47 93.30 1%
Trade id #150333995
Max drawdown($832)
Time12/16/24 10:22
Quant open1,280
Worst price91.07
Drawdown as % of equity-1.00%
 $2,018
Includes Typical Broker Commissions trade costs of $5.00
12/12/24 13:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,280 88.53 12/12 15:59 87.66 1.53%
Trade id #150312257
Max drawdown($1,286)
Time12/12/24 15:59
Quant open1,280
Worst price87.52
Drawdown as % of equity-1.53%
 ($1,111)
Includes Typical Broker Commissions trade costs of $5.00
12/6/24 12:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,280 87.30 12/6 15:59 87.77 0.12%
Trade id #150267197
Max drawdown($96)
Time12/6/24 14:15
Quant open1,280
Worst price87.22
Drawdown as % of equity-0.12%
 $603
Includes Typical Broker Commissions trade costs of $5.00
11/27/24 14:38 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,280 77.80 11/27 15:59 77.83 0.63%
Trade id #150197503
Max drawdown($523)
Time11/27/24 15:43
Quant open1,280
Worst price77.39
Drawdown as % of equity-0.63%
 $40
Includes Typical Broker Commissions trade costs of $5.00
11/26/24 10:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,280 79.60 11/26 15:59 79.87 1.09%
Trade id #150185254
Max drawdown($906)
Time11/26/24 14:25
Quant open1,280
Worst price78.89
Drawdown as % of equity-1.09%
 $343
Includes Typical Broker Commissions trade costs of $5.00
11/21/24 13:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,280 78.23 11/21 15:59 78.01 0.96%
Trade id #150145915
Max drawdown($797)
Time11/21/24 14:19
Quant open1,280
Worst price77.61
Drawdown as % of equity-0.96%
 ($293)
Includes Typical Broker Commissions trade costs of $5.00
11/21/24 10:03 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,280 75.91 11/21 11:28 77.31 2.29%
Trade id #150142092
Max drawdown($1,956)
Time11/21/24 11:28
Quant open1,280
Worst price77.44
Drawdown as % of equity-2.29%
 ($1,798)
Includes Typical Broker Commissions trade costs of $11.80
11/20/24 10:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,280 75.01 11/20 15:59 77.08 0.19%
Trade id #150132558
Max drawdown($160)
Time11/20/24 11:31
Quant open1,280
Worst price74.89
Drawdown as % of equity-0.19%
 $2,638
Includes Typical Broker Commissions trade costs of $5.00
10/25/24 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,600 76.38 10/25 13:21 75.42 1.85%
Trade id #149832091
Max drawdown($1,565)
Time10/25/24 13:21
Quant open1,600
Worst price75.40
Drawdown as % of equity-1.85%
 ($1,536)
Includes Typical Broker Commissions trade costs of $7.50
10/1/24 12:06 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,650 69.30 10/1 12:33 68.53 1.68%
Trade id #149551978
Max drawdown($1,434)
Time10/1/24 12:33
Quant open1,650
Worst price68.43
Drawdown as % of equity-1.68%
 ($1,274)
Includes Typical Broker Commissions trade costs of $5.00
9/18/24 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,650 66.89 9/18 10:11 66.24 1.33%
Trade id #149427140
Max drawdown($1,155)
Time9/18/24 10:11
Quant open1,650
Worst price66.19
Drawdown as % of equity-1.33%
 ($1,078)
Includes Typical Broker Commissions trade costs of $5.00
9/12/24 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,650 64.78 9/12 9:49 64.12 1.39%
Trade id #149369478
Max drawdown($1,220)
Time9/12/24 9:49
Quant open1,650
Worst price64.04
Drawdown as % of equity-1.39%
 ($1,092)
Includes Typical Broker Commissions trade costs of $5.00
9/4/24 14:37 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 12,800 9.01 9/4 15:50 8.96 0.81%
Trade id #149253740
Max drawdown($718)
Time9/4/24 15:50
Quant open12,800
Worst price8.95
Drawdown as % of equity-0.81%
 ($531)
Includes Typical Broker Commissions trade costs of $5.00
9/3/24 10:32 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 12,800 8.64 9/3 10:52 8.73 0.25%
Trade id #149205987
Max drawdown($222)
Time9/3/24 10:35
Quant open12,800
Worst price8.62
Drawdown as % of equity-0.25%
 $1,240
Includes Typical Broker Commissions trade costs of $5.00
8/30/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,650 68.11 8/30 10:25 67.78 0.88%
Trade id #149130432
Max drawdown($773)
Time8/30/24 9:37
Quant open1,650
Worst price67.64
Drawdown as % of equity-0.88%
 ($548)
Includes Typical Broker Commissions trade costs of $5.00
8/29/24 10:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 8,540 8.16 8/29 12:06 8.12 0.68%
Trade id #149096573
Max drawdown($597)
Time8/29/24 11:15
Quant open8,540
Worst price8.09
Drawdown as % of equity-0.68%
 ($343)
Includes Typical Broker Commissions trade costs of $5.00
8/27/24 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 8,540 8.31 8/27 9:45 8.41 0.24%
Trade id #149069405
Max drawdown($213)
Time8/27/24 9:34
Quant open8,540
Worst price8.29
Drawdown as % of equity-0.24%
 $811
Includes Typical Broker Commissions trade costs of $5.00
8/23/24 10:48 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 8,540 8.14 8/23 10:57 8.09 0.68%
Trade id #149018541
Max drawdown($597)
Time8/23/24 10:57
Quant open8,540
Worst price8.07
Drawdown as % of equity-0.68%
 ($422)
Includes Typical Broker Commissions trade costs of $5.00
8/22/24 11:44 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 8,540 8.13 8/22 12:09 8.04 0.85%
Trade id #149000994
Max drawdown($761)
Time8/22/24 12:09
Quant open8,540
Worst price8.04
Drawdown as % of equity-0.85%
 ($723)
Includes Typical Broker Commissions trade costs of $5.00
8/22/24 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,630 73.08 8/22 9:50 72.39 1.35%
Trade id #148998116
Max drawdown($1,214)
Time8/22/24 9:50
Quant open1,630
Worst price72.33
Drawdown as % of equity-1.35%
 ($1,129)
Includes Typical Broker Commissions trade costs of $5.00
8/7/24 12:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 8,540 10.21 8/7 13:02 10.34 0.14%
Trade id #148858594
Max drawdown($128)
Time8/7/24 12:46
Quant open8,540
Worst price10.19
Drawdown as % of equity-0.14%
 $1,105
Includes Typical Broker Commissions trade costs of $5.00
8/7/24 12:04 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 8,540 10.28 8/7 12:14 10.17 1.22%
Trade id #148858148
Max drawdown($1,094)
Time8/7/24 12:14
Quant open8,540
Worst price10.15
Drawdown as % of equity-1.22%
 ($925)
Includes Typical Broker Commissions trade costs of $5.00
8/2/24 11:49 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 12,380 9.89 8/2 11:57 9.84 1.21%
Trade id #148809612
Max drawdown($1,089)
Time8/2/24 11:57
Quant open12,380
Worst price9.80
Drawdown as % of equity-1.21%
 ($661)
Includes Typical Broker Commissions trade costs of $5.00
8/2/24 9:53 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 12,380 9.85 8/2 9:59 9.84 0.24%
Trade id #148806798
Max drawdown($221)
Time8/2/24 9:58
Quant open12,380
Worst price9.83
Drawdown as % of equity-0.24%
 ($166)
Includes Typical Broker Commissions trade costs of $5.00
8/1/24 12:25 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 12,380 9.07 8/1 13:07 9.17 0.41%
Trade id #148798589
Max drawdown($367)
Time8/1/24 12:29
Quant open12,380
Worst price9.04
Drawdown as % of equity-0.41%
 $1,263
Includes Typical Broker Commissions trade costs of $5.00
7/31/24 14:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,350 68.56 7/31 15:04 68.51 0.13%
Trade id #148787862
Max drawdown($116)
Time7/31/24 15:04
Quant open1,350
Worst price68.47
Drawdown as % of equity-0.13%
 ($69)
Includes Typical Broker Commissions trade costs of $5.00
7/26/24 9:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 12,380 9.23 7/26 9:58 9.19 0.74%
Trade id #148748728
Max drawdown($680)
Time7/26/24 9:58
Quant open12,380
Worst price9.18
Drawdown as % of equity-0.74%
 ($624)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    12/12/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1103.78
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    758
  • # Profitable
    354
  • % Profitable
    46.70%
  • Avg trade duration
    53.0 minutes
  • Max peak-to-valley drawdown
    20.62%
  • drawdown period
    May 02, 2022 - Dec 15, 2022
  • Annual Return (Compounded)
    8.0%
  • Avg win
    $703.15
  • Avg loss
    $545.58
  • Model Account Values (Raw)
  • Cash
    $98,508
  • Margin Used
    $0
  • Buying Power
    $98,508
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.51
  • Sortino Ratio
    0.82
  • Calmar Ratio
    0.756
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.77%
  • Correlation to SP500
    -0.02700
  • Return Percent SP500 (cumu) during strategy life
    24.51%
  • Return Statistics
  • Ann Return (w trading costs)
    8.0%
  • Slump
  • Current Slump as Pcnt Equity
    13.50%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.87%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -26.700%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.080%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    16.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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
    99.81%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    789
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    409
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    20%
  • Win / Loss
  • Avg Loss
    $546
  • Avg Win
    $703
  • Sum Trade PL (losers)
    $220,414.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $248,916.000
  • # Winners
    354
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    18934
  • Win / Loss
  • # Losers
    404
  • % Winners
    46.7%
  • Frequency
  • Avg Position Time (mins)
    53.03
  • Avg Position Time (hrs)
    0.88
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.45
  • Daily leverage (max)
    6.21
  • Regression
  • Alpha
    0.02
  • Beta
    -0.02
  • Treynor Index
    -1.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.30
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -6.997
  • 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
    0.366
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.971
  • Hold-and-Hope Ratio
    -0.143
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08539
  • SD
    0.14471
  • Sharpe ratio (Glass type estimate)
    0.59009
  • Sharpe ratio (Hedges UMVUE)
    0.57656
  • df
    33.00000
  • t
    0.99327
  • p
    0.16390
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58728
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75874
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59611
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74923
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51808
  • Upside Potential Ratio
    3.47176
  • Upside part of mean
    0.19528
  • Downside part of mean
    -0.10989
  • Upside SD
    0.13329
  • Downside SD
    0.05625
  • N nonnegative terms
    20.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.06715
  • Mean of criterion
    0.08539
  • SD of predictor
    0.15077
  • SD of criterion
    0.14471
  • Covariance
    -0.00246
  • r
    -0.11267
  • b (slope, estimate of beta)
    -0.10813
  • a (intercept, estimate of alpha)
    0.09265
  • Mean Square Error
    0.02132
  • DF error
    32.00000
  • t(b)
    -0.64143
  • p(b)
    0.73709
  • t(a)
    1.05910
  • p(a)
    0.14874
  • Lowerbound of 95% confidence interval for beta
    -0.45153
  • Upperbound of 95% confidence interval for beta
    0.23526
  • Lowerbound of 95% confidence interval for alpha
    -0.08554
  • Upperbound of 95% confidence interval for alpha
    0.27084
  • Treynor index (mean / b)
    -0.78966
  • Jensen alpha (a)
    0.09265
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07556
  • SD
    0.13645
  • Sharpe ratio (Glass type estimate)
    0.55375
  • Sharpe ratio (Hedges UMVUE)
    0.54105
  • df
    33.00000
  • t
    0.93209
  • p
    0.17903
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72162
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63064
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71273
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32443
  • Upside Potential Ratio
    3.27438
  • Upside part of mean
    0.18680
  • Downside part of mean
    -0.11124
  • Upside SD
    0.12366
  • Downside SD
    0.05705
  • N nonnegative terms
    20.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.05571
  • Mean of criterion
    0.07556
  • SD of predictor
    0.15212
  • SD of criterion
    0.13645
  • Covariance
    -0.00227
  • r
    -0.10944
  • b (slope, estimate of beta)
    -0.09816
  • a (intercept, estimate of alpha)
    0.08103
  • Mean Square Error
    0.01897
  • DF error
    32.00000
  • t(b)
    -0.62280
  • p(b)
    0.73109
  • t(a)
    0.98459
  • p(a)
    0.16611
  • Lowerbound of 95% confidence interval for beta
    -0.41921
  • Upperbound of 95% confidence interval for beta
    0.22289
  • Lowerbound of 95% confidence interval for alpha
    -0.08660
  • Upperbound of 95% confidence interval for alpha
    0.24866
  • Treynor index (mean / b)
    -0.76973
  • Jensen alpha (a)
    0.08103
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05682
  • Expected Shortfall on VaR
    0.07211
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01900
  • Expected Shortfall on VaR
    0.03508
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.95813
  • Quartile 1
    0.98720
  • Median
    1.00577
  • Quartile 3
    1.02199
  • Maximum
    1.19796
  • Mean of quarter 1
    0.97258
  • Mean of quarter 2
    0.99763
  • Mean of quarter 3
    1.00985
  • Mean of quarter 4
    1.05645
  • Inter Quartile Range
    0.03480
  • 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
    0.02941
  • Mean of outliers high
    1.19796
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.56478
  • VaR(95%) (moments method)
    0.02543
  • Expected Shortfall (moments method)
    0.02543
  • Extreme Value Index (regression method)
    -0.25317
  • VaR(95%) (regression method)
    0.02708
  • Expected Shortfall (regression method)
    0.03241
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03679
  • Quartile 1
    0.06260
  • Median
    0.08842
  • Quartile 3
    0.09868
  • Maximum
    0.10895
  • Mean of quarter 1
    0.03679
  • Mean of quarter 2
    0.08842
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10895
  • Inter Quartile Range
    0.03608
  • 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)
    0.12023
  • Compounded annual return (geometric extrapolation)
    0.10901
  • Calmar ratio (compounded annual return / max draw down)
    1.00053
  • Compounded annual return / average of 25% largest draw downs
    1.00053
  • Compounded annual return / Expected Shortfall lognormal
    1.51159
  • 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
    0.09448
  • SD
    0.10231
  • Sharpe ratio (Glass type estimate)
    0.92349
  • Sharpe ratio (Hedges UMVUE)
    0.92258
  • df
    763.00000
  • t
    1.57699
  • p
    0.05761
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22550
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22611
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07128
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49683
  • Upside Potential Ratio
    8.52335
  • Upside part of mean
    0.53801
  • Downside part of mean
    -0.44353
  • Upside SD
    0.08064
  • Downside SD
    0.06312
  • N nonnegative terms
    253.00000
  • N negative terms
    511.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    764.00000
  • Mean of predictor
    0.06619
  • Mean of criterion
    0.09448
  • SD of predictor
    0.17751
  • SD of criterion
    0.10231
  • Covariance
    -0.00030
  • r
    -0.01636
  • b (slope, estimate of beta)
    -0.00943
  • a (intercept, estimate of alpha)
    0.09500
  • Mean Square Error
    0.01048
  • DF error
    762.00000
  • t(b)
    -0.45165
  • p(b)
    0.67417
  • t(a)
    1.58616
  • p(a)
    0.05656
  • Lowerbound of 95% confidence interval for beta
    -0.05041
  • Upperbound of 95% confidence interval for beta
    0.03155
  • Lowerbound of 95% confidence interval for alpha
    -0.02260
  • Upperbound of 95% confidence interval for alpha
    0.21282
  • Treynor index (mean / b)
    -10.02070
  • Jensen alpha (a)
    0.09511
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08925
  • SD
    0.10198
  • Sharpe ratio (Glass type estimate)
    0.87520
  • Sharpe ratio (Hedges UMVUE)
    0.87434
  • df
    763.00000
  • t
    1.49453
  • p
    0.06773
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27426
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02294
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40423
  • Upside Potential Ratio
    8.41322
  • Upside part of mean
    0.53475
  • Downside part of mean
    -0.44549
  • Upside SD
    0.07986
  • Downside SD
    0.06356
  • N nonnegative terms
    253.00000
  • N negative terms
    511.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    764.00000
  • Mean of predictor
    0.05043
  • Mean of criterion
    0.08925
  • SD of predictor
    0.17770
  • SD of criterion
    0.10198
  • Covariance
    -0.00029
  • r
    -0.01610
  • b (slope, estimate of beta)
    -0.00924
  • a (intercept, estimate of alpha)
    0.08972
  • Mean Square Error
    0.01041
  • DF error
    762.00000
  • t(b)
    -0.44460
  • p(b)
    0.67163
  • t(a)
    1.50131
  • p(a)
    0.06685
  • Lowerbound of 95% confidence interval for beta
    -0.05005
  • Upperbound of 95% confidence interval for beta
    0.03157
  • Lowerbound of 95% confidence interval for alpha
    -0.02760
  • Upperbound of 95% confidence interval for alpha
    0.20703
  • Treynor index (mean / b)
    -9.65731
  • Jensen alpha (a)
    0.08972
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00997
  • Expected Shortfall on VaR
    0.01257
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00464
  • Expected Shortfall on VaR
    0.00922
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    764.00000
  • Minimum
    0.97261
  • Quartile 1
    0.99835
  • Median
    1.00000
  • Quartile 3
    1.00261
  • Maximum
    1.04071
  • Mean of quarter 1
    0.99379
  • Mean of quarter 2
    0.99972
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.00794
  • Inter Quartile Range
    0.00427
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.05366
  • Mean of outliers low
    0.98707
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.05890
  • Mean of outliers high
    1.01647
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14103
  • VaR(95%) (moments method)
    0.00480
  • Expected Shortfall (moments method)
    0.00631
  • Extreme Value Index (regression method)
    0.03434
  • VaR(95%) (regression method)
    0.00528
  • Expected Shortfall (regression method)
    0.00764
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00288
  • Quartile 1
    0.00459
  • Median
    0.01168
  • Quartile 3
    0.02322
  • Maximum
    0.16451
  • Mean of quarter 1
    0.00364
  • Mean of quarter 2
    0.00826
  • Mean of quarter 3
    0.01981
  • Mean of quarter 4
    0.08732
  • Inter Quartile Range
    0.01864
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.14624
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.74995
  • VaR(95%) (moments method)
    0.09230
  • Expected Shortfall (moments method)
    0.39389
  • Extreme Value Index (regression method)
    1.09728
  • VaR(95%) (regression method)
    0.08325
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13966
  • Compounded annual return (geometric extrapolation)
    0.12430
  • Calmar ratio (compounded annual return / max draw down)
    0.75556
  • Compounded annual return / average of 25% largest draw downs
    1.42353
  • Compounded annual return / Expected Shortfall lognormal
    9.88643
  • 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
    -0.14028
  • SD
    0.07544
  • Sharpe ratio (Glass type estimate)
    -1.85963
  • Sharpe ratio (Hedges UMVUE)
    -1.84888
  • df
    130.00000
  • t
    -1.31496
  • p
    0.55729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.63713
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92489
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.62978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93202
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.47287
  • Upside Potential Ratio
    4.74311
  • Upside part of mean
    0.26908
  • Downside part of mean
    -0.40936
  • Upside SD
    0.05004
  • Downside SD
    0.05673
  • N nonnegative terms
    23.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16503
  • Mean of criterion
    -0.14028
  • SD of predictor
    0.14078
  • SD of criterion
    0.07544
  • Covariance
    -0.00024
  • r
    -0.02237
  • b (slope, estimate of beta)
    -0.01199
  • a (intercept, estimate of alpha)
    -0.13831
  • Mean Square Error
    0.00573
  • DF error
    129.00000
  • t(b)
    -0.25410
  • p(b)
    0.51424
  • t(a)
    -1.28834
  • p(a)
    0.57160
  • Lowerbound of 95% confidence interval for beta
    -0.10531
  • Upperbound of 95% confidence interval for beta
    0.08134
  • Lowerbound of 95% confidence interval for alpha
    -0.35071
  • Upperbound of 95% confidence interval for alpha
    0.07409
  • Treynor index (mean / b)
    11.70460
  • Jensen alpha (a)
    -0.13831
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14313
  • SD
    0.07544
  • Sharpe ratio (Glass type estimate)
    -1.89727
  • Sharpe ratio (Hedges UMVUE)
    -1.88631
  • df
    130.00000
  • t
    -1.34158
  • p
    0.55843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.67503
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.88762
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.66758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89497
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.50960
  • Upside Potential Ratio
    4.69553
  • Upside part of mean
    0.26781
  • Downside part of mean
    -0.41094
  • Upside SD
    0.04973
  • Downside SD
    0.05703
  • N nonnegative terms
    23.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15511
  • Mean of criterion
    -0.14313
  • SD of predictor
    0.14106
  • SD of criterion
    0.07544
  • Covariance
    -0.00022
  • r
    -0.02112
  • b (slope, estimate of beta)
    -0.01130
  • a (intercept, estimate of alpha)
    -0.14138
  • Mean Square Error
    0.00573
  • DF error
    129.00000
  • t(b)
    -0.23996
  • p(b)
    0.51345
  • t(a)
    -1.31728
  • p(a)
    0.57318
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.10444
  • Upperbound of 95% confidence interval for beta
    0.08185
  • Lowerbound of 95% confidence interval for alpha
    -0.35373
  • Upperbound of 95% confidence interval for alpha
    0.07097
  • Treynor index (mean / b)
    12.67010
  • Jensen alpha (a)
    -0.14138
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00818
  • Expected Shortfall on VaR
    0.01011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00485
  • Expected Shortfall on VaR
    0.00933
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98113
  • Quartile 1
    0.99900
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01649
  • Mean of quarter 1
    0.99418
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00415
  • Inter Quartile Range
    0.00100
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.21374
  • Mean of outliers low
    0.99352
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.16794
  • Mean of outliers high
    1.00620
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.57577
  • VaR(95%) (moments method)
    0.00456
  • Expected Shortfall (moments method)
    0.00529
  • Extreme Value Index (regression method)
    -0.23028
  • VaR(95%) (regression method)
    0.00543
  • Expected Shortfall (regression method)
    0.00705
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00544
  • Quartile 1
    0.03477
  • Median
    0.06410
  • Quartile 3
    0.09342
  • Maximum
    0.12275
  • Mean of quarter 1
    0.00544
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12275
  • Inter Quartile Range
    0.05865
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -341322000
  • Max Equity Drawdown (num days)
    227
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11197
  • Compounded annual return (geometric extrapolation)
    -0.10884
  • Calmar ratio (compounded annual return / max draw down)
    -0.88665
  • Compounded annual return / average of 25% largest draw downs
    -0.88665
  • Compounded annual return / Expected Shortfall lognormal
    -10.76800

Strategy Description

100% automated day trading algo running on Ninjatrader platform. Will buy or sell short TQQQ shares using pattern recognition algo. Subscribers must have high risk tolerance.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-12-12
Suggested Minimum Capital
$35,000
# Trades
758
# Profitable
354
% Profitable
46.7%
Correlation S&P500
-0.027
Sharpe Ratio
0.51
Sortino Ratio
0.82
Beta
-0.02
Alpha
0.02
Leverage
2.45 Average
6.21 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.