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

TQQQMAX
(127234459)

Created by: ETFCapital ETFCapital
Started: 01/2020
Stocks
Last trade: 8 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 $95.00 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.

22.0%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(12.8%)
Max Drawdown
240
Num Trades
43.3%
Win Trades
1.2 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020+6.9%+12.3%+4.6%(3.7%)+2.4%(2.2%)+0.7%                              +22.0%

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 682 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/26/20 11:43 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 700 5.90 6/29 9:30 5.88 0.11%
Trade id #129776522
Max drawdown($65)
Time6/29/20 9:30
Quant open595
Worst price5.79
Drawdown as % of equity-0.11%
($20)
Includes Typical Broker Commissions trade costs of $6.05
6/26/20 11:39 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 720 37.33 6/29 9:30 37.44 0.29%
Trade id #129776447
Max drawdown($168)
Time6/26/20 11:58
Quant open330
Worst price36.82
Drawdown as % of equity-0.29%
$68
Includes Typical Broker Commissions trade costs of $9.70
6/18/20 14:54 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 117 65.15 6/26 9:30 70.02 0.08%
Trade id #129641579
Max drawdown($50)
Time6/18/20 15:25
Quant open72
Worst price61.00
Drawdown as % of equity-0.08%
$568
Includes Typical Broker Commissions trade costs of $2.34
6/24/20 15:32 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 1,120 5.61 6/26 9:30 5.58 0.52%
Trade id #129734021
Max drawdown($308)
Time6/25/20 0:00
Quant open1,120
Worst price5.33
Drawdown as % of equity-0.52%
($39)
Includes Typical Broker Commissions trade costs of $5.00
6/24/20 15:32 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 420 37.72 6/26 9:30 35.05 2.05%
Trade id #129734014
Max drawdown($1,208)
Time6/25/20 0:00
Quant open420
Worst price34.84
Drawdown as % of equity-2.05%
($1,128)
Includes Typical Broker Commissions trade costs of $8.40
6/18/20 14:55 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 450 39.24 6/26 9:30 40.47 0.2%
Trade id #129641585
Max drawdown($122)
Time6/19/20 0:00
Quant open115
Worst price38.46
Drawdown as % of equity-0.20%
$543
Includes Typical Broker Commissions trade costs of $9.00
6/24/20 13:40 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 1,150 5.63 6/24 14:32 5.52 0.22%
Trade id #129731968
Max drawdown($132)
Time6/24/20 14:32
Quant open1,150
Worst price5.51
Drawdown as % of equity-0.22%
($132)
Includes Typical Broker Commissions trade costs of $5.00
6/24/20 13:38 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 430 38.27 6/24 14:30 37.57 0.64%
Trade id #129731932
Max drawdown($382)
Time6/24/20 14:28
Quant open430
Worst price37.38
Drawdown as % of equity-0.64%
($310)
Includes Typical Broker Commissions trade costs of $8.60
6/19/20 15:14 TNA DIREXION DAILY SMALL CAP BULL LONG 1,200 26.76 6/24 12:08 25.05 4.44%
Trade id #129666699
Max drawdown($2,666)
Time6/24/20 11:49
Quant open890
Worst price23.76
Drawdown as % of equity-4.44%
($2,061)
Includes Typical Broker Commissions trade costs of $8.10
6/19/20 15:15 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 170 29.52 6/24 12:08 28.03 0.73%
Trade id #129666743
Max drawdown($436)
Time6/24/20 11:49
Quant open129
Worst price26.13
Drawdown as % of equity-0.73%
($255)
Includes Typical Broker Commissions trade costs of $3.40
6/19/20 12:27 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 1,800 4.74 6/19 13:04 4.68 0.32%
Trade id #129663480
Max drawdown($197)
Time6/19/20 13:00
Quant open1,800
Worst price4.63
Drawdown as % of equity-0.32%
($111)
Includes Typical Broker Commissions trade costs of $5.00
6/19/20 12:28 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 130 159.41 6/19 13:04 156.34 1.24%
Trade id #129663496
Max drawdown($763)
Time6/19/20 12:59
Quant open130
Worst price153.53
Drawdown as % of equity-1.24%
($401)
Includes Typical Broker Commissions trade costs of $2.60
6/18/20 14:54 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 170 28.75 6/19 12:23 28.76 0.08%
Trade id #129641576
Max drawdown($52)
Time6/18/20 15:18
Quant open170
Worst price28.44
Drawdown as % of equity-0.08%
($2)
Includes Typical Broker Commissions trade costs of $3.40
6/18/20 14:53 TNA DIREXION DAILY SMALL CAP BULL LONG 1,120 26.98 6/19 12:23 26.35 1.46%
Trade id #129641566
Max drawdown($921)
Time6/19/20 12:20
Quant open1,120
Worst price26.16
Drawdown as % of equity-1.46%
($714)
Includes Typical Broker Commissions trade costs of $5.00
6/17/20 15:56 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 50 156.79 6/18 13:16 157.55 0.11%
Trade id #129625281
Max drawdown($67)
Time6/17/20 16:00
Quant open50
Worst price155.44
Drawdown as % of equity-0.11%
$37
Includes Typical Broker Commissions trade costs of $1.00
6/15/20 14:39 TNA DIREXION DAILY SMALL CAP BULL LONG 1,650 27.17 6/17 15:32 26.95 1.25%
Trade id #129563022
Max drawdown($791)
Time6/15/20 15:36
Quant open900
Worst price25.66
Drawdown as % of equity-1.25%
($367)
Includes Typical Broker Commissions trade costs of $17.00
6/17/20 10:58 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 220 157.37 6/17 12:04 157.33 0.3%
Trade id #129604265
Max drawdown($189)
Time6/17/20 11:58
Quant open220
Worst price156.51
Drawdown as % of equity-0.30%
($13)
Includes Typical Broker Commissions trade costs of $4.40
6/15/20 15:03 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 350 27.13 6/17 10:57 28.12 0.1%
Trade id #129563512
Max drawdown($63)
Time6/15/20 15:36
Quant open200
Worst price26.29
Drawdown as % of equity-0.10%
$337
Includes Typical Broker Commissions trade costs of $7.00
6/15/20 14:42 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 120 65.68 6/16 12:36 63.20 0.63%
Trade id #129563077
Max drawdown($401)
Time6/16/20 11:55
Quant open120
Worst price62.33
Drawdown as % of equity-0.63%
($299)
Includes Typical Broker Commissions trade costs of $2.40
6/15/20 14:40 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 450 39.67 6/16 12:36 38.14 1.5%
Trade id #129563033
Max drawdown($979)
Time6/16/20 10:17
Quant open350
Worst price36.87
Drawdown as % of equity-1.50%
($696)
Includes Typical Broker Commissions trade costs of $9.00
6/15/20 9:30 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 1,600 5.09 6/15 11:59 4.76 0.96%
Trade id #129554988
Max drawdown($616)
Time6/15/20 11:13
Quant open1,600
Worst price4.71
Drawdown as % of equity-0.96%
($533)
Includes Typical Broker Commissions trade costs of $5.00
6/15/20 9:30 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 180 40.77 6/15 11:59 40.41 0.16%
Trade id #129554920
Max drawdown($100)
Time6/15/20 11:24
Quant open180
Worst price40.21
Drawdown as % of equity-0.16%
($69)
Includes Typical Broker Commissions trade costs of $3.60
6/15/20 9:30 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 110 59.14 6/15 11:59 63.71 0.3%
Trade id #129555028
Max drawdown($198)
Time6/15/20 9:52
Quant open110
Worst price57.34
Drawdown as % of equity-0.30%
$501
Includes Typical Broker Commissions trade costs of $2.20
6/15/20 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 147 200.82 6/15 11:56 181.79 5.47%
Trade id #129554945
Max drawdown($3,492)
Time6/15/20 11:13
Quant open147
Worst price177.06
Drawdown as % of equity-5.47%
($2,800)
Includes Typical Broker Commissions trade costs of $2.94
6/12/20 11:48 BRZU DIREXION DAILY BRAZIL BULL 2X LONG 110 81.26 6/12 12:57 81.05 0.24%
Trade id #129532789
Max drawdown($157)
Time6/12/20 12:48
Quant open110
Worst price79.83
Drawdown as % of equity-0.24%
($26)
Includes Typical Broker Commissions trade costs of $2.20
6/12/20 11:48 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 216 41.73 6/12 12:57 41.66 0.32%
Trade id #129532785
Max drawdown($210)
Time6/12/20 12:47
Quant open216
Worst price40.76
Drawdown as % of equity-0.32%
($19)
Includes Typical Broker Commissions trade costs of $4.32
6/11/20 15:53 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 15 202.84 6/12 11:11 214.64 1.05%
Trade id #129514039
Max drawdown($690)
Time6/12/20 0:00
Quant open15
Worst price156.80
Drawdown as % of equity-1.05%
$177
Includes Typical Broker Commissions trade costs of $0.30
6/10/20 15:41 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 217 124.07 6/11 14:49 171.22 0.04%
Trade id #129476959
Max drawdown($24)
Time6/10/20 15:45
Quant open150
Worst price117.31
Drawdown as % of equity-0.04%
$10,227
Includes Typical Broker Commissions trade costs of $4.34
6/10/20 15:40 TNA DIREXION DAILY SMALL CAP BULL LONG 1,230 30.70 6/11 9:53 26.47 15.51%
Trade id #129476946
Max drawdown($9,420)
Time6/11/20 0:00
Quant open1,230
Worst price23.04
Drawdown as % of equity-15.51%
($5,207)
Includes Typical Broker Commissions trade costs of $5.00
6/9/20 13:46 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 400 28.22 6/10 15:39 29.52 0.32%
Trade id #129440320
Max drawdown($201)
Time6/10/20 0:00
Quant open400
Worst price27.72
Drawdown as % of equity-0.32%
$510
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    1/27/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    161.92
  • Age
    162 days ago
  • What it trades
    Stocks
  • # Trades
    240
  • # Profitable
    104
  • % Profitable
    43.30%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    12.78%
  • drawdown period
    June 12, 2020 - June 26, 2020
  • Cumul. Return
    22.0%
  • Avg win
    $765.47
  • Avg loss
    $485.03
  • Model Account Values (Raw)
  • Cash
    $30,862
  • Margin Used
    $0
  • Buying Power
    $31,603
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    1.28
  • Sortino Ratio
    1.99
  • Calmar Ratio
    6.114
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    23.97%
  • Correlation to SP500
    0.03990
  • Return Percent SP500 (cumu) during strategy life
    -1.97%
  • Return Statistics
  • Ann Return (w trading costs)
    55.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.09%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.220%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    67.2%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    558
  • Popularity (Last 6 weeks)
    938
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    847
  • Popularity (7 days, Percentile 1000 scale)
    767
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $482
  • Avg Win
    $766
  • Sum Trade PL (losers)
    $65,990.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $78,881.000
  • # Winners
    103
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    4
  • Win / Loss
  • # Losers
    137
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    2732.93
  • Avg Position Time (hrs)
    45.55
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.61
  • Daily leverage (max)
    3.43
  • Regression
  • Alpha
    0.13
  • Beta
    0.03
  • Treynor Index
    5.10
  • 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)
    -0.06
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -57.505
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.198
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.420
  • Hold-and-Hope Ratio
    -0.017
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50041
  • SD
    0.37544
  • Sharpe ratio (Glass type estimate)
    1.33286
  • Sharpe ratio (Hedges UMVUE)
    1.06347
  • df
    4.00000
  • t
    0.86036
  • p
    0.21905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90469
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42437
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06104
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18798
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.32689
  • Upside Potential Ratio
    7.51301
  • Upside part of mean
    0.70577
  • Downside part of mean
    -0.20536
  • Upside SD
    0.35328
  • Downside SD
    0.09394
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.10953
  • Mean of criterion
    0.50041
  • SD of predictor
    0.40591
  • SD of criterion
    0.37544
  • Covariance
    -0.04383
  • r
    -0.28759
  • b (slope, estimate of beta)
    -0.26600
  • a (intercept, estimate of alpha)
    0.47127
  • Mean Square Error
    0.17240
  • DF error
    3.00000
  • t(b)
    -0.52009
  • p(b)
    0.68053
  • t(a)
    0.72990
  • p(a)
    0.25914
  • Lowerbound of 95% confidence interval for beta
    -1.89369
  • Upperbound of 95% confidence interval for beta
    1.36168
  • Lowerbound of 95% confidence interval for alpha
    -1.58353
  • Upperbound of 95% confidence interval for alpha
    2.52608
  • Treynor index (mean / b)
    -1.88121
  • Jensen alpha (a)
    0.47127
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44105
  • SD
    0.34599
  • Sharpe ratio (Glass type estimate)
    1.27474
  • Sharpe ratio (Hedges UMVUE)
    1.01709
  • df
    4.00000
  • t
    0.82284
  • p
    0.22841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35824
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13418
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.59298
  • Upside Potential Ratio
    6.77890
  • Upside part of mean
    0.65096
  • Downside part of mean
    -0.20991
  • Upside SD
    0.32056
  • Downside SD
    0.09603
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.18016
  • Mean of criterion
    0.44105
  • SD of predictor
    0.42355
  • SD of criterion
    0.34599
  • Covariance
    -0.04033
  • r
    -0.27520
  • b (slope, estimate of beta)
    -0.22481
  • a (intercept, estimate of alpha)
    0.40055
  • Mean Square Error
    0.14753
  • DF error
    3.00000
  • t(b)
    -0.49580
  • p(b)
    0.67296
  • t(a)
    0.66690
  • p(a)
    0.27627
  • Lowerbound of 95% confidence interval for beta
    -1.66780
  • Upperbound of 95% confidence interval for beta
    1.21818
  • Lowerbound of 95% confidence interval for alpha
    -1.51088
  • Upperbound of 95% confidence interval for alpha
    2.31198
  • Treynor index (mean / b)
    -1.96190
  • Jensen alpha (a)
    0.40055
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11974
  • Expected Shortfall on VaR
    0.15515
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03544
  • Expected Shortfall on VaR
    0.05976
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.95439
  • Quartile 1
    0.96004
  • Median
    1.02752
  • Quartile 3
    1.04462
  • Maximum
    1.22193
  • Mean of quarter 1
    0.95722
  • Mean of quarter 2
    1.02752
  • Mean of quarter 3
    1.04462
  • Mean of quarter 4
    1.22193
  • Inter Quartile Range
    0.08458
  • 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
    0.20000
  • Mean of outliers high
    1.22193
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.04561
  • Quartile 1
    0.04561
  • Median
    0.04561
  • Quartile 3
    0.04561
  • Maximum
    0.04561
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.48418
  • Compounded annual return (geometric extrapolation)
    0.55434
  • Calmar ratio (compounded annual return / max draw down)
    12.15400
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.57301
  • 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
    0.57202
  • SD
    0.31947
  • Sharpe ratio (Glass type estimate)
    1.79051
  • Sharpe ratio (Hedges UMVUE)
    1.77880
  • df
    115.00000
  • t
    1.19139
  • p
    0.42985
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74133
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73333
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.76496
  • Upside Potential Ratio
    10.30790
  • Upside part of mean
    2.13251
  • Downside part of mean
    -1.56049
  • Upside SD
    0.24420
  • Downside SD
    0.20688
  • N nonnegative terms
    72.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.07391
  • Mean of criterion
    0.57202
  • SD of predictor
    0.48730
  • SD of criterion
    0.31947
  • Covariance
    0.00170
  • r
    0.01094
  • b (slope, estimate of beta)
    0.00717
  • a (intercept, estimate of alpha)
    0.57100
  • Mean Square Error
    0.10295
  • DF error
    114.00000
  • t(b)
    0.11684
  • p(b)
    0.49453
  • t(a)
    1.18512
  • p(a)
    0.44484
  • Lowerbound of 95% confidence interval for beta
    -0.11446
  • Upperbound of 95% confidence interval for beta
    0.12880
  • Lowerbound of 95% confidence interval for alpha
    -0.38379
  • Upperbound of 95% confidence interval for alpha
    1.52677
  • Treynor index (mean / b)
    79.73910
  • Jensen alpha (a)
    0.57149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52106
  • SD
    0.31865
  • Sharpe ratio (Glass type estimate)
    1.63524
  • Sharpe ratio (Hedges UMVUE)
    1.62455
  • df
    115.00000
  • t
    1.08808
  • p
    0.43584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58483
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32849
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57760
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.47304
  • Upside Potential Ratio
    9.98348
  • Upside part of mean
    2.10348
  • Downside part of mean
    -1.58242
  • Upside SD
    0.23938
  • Downside SD
    0.21070
  • N nonnegative terms
    72.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    -0.04495
  • Mean of criterion
    0.52106
  • SD of predictor
    0.49108
  • SD of criterion
    0.31865
  • Covariance
    0.00184
  • r
    0.01174
  • b (slope, estimate of beta)
    0.00762
  • a (intercept, estimate of alpha)
    0.52140
  • Mean Square Error
    0.10241
  • DF error
    114.00000
  • t(b)
    0.12540
  • p(b)
    0.49413
  • t(a)
    1.08411
  • p(a)
    0.44949
  • Lowerbound of 95% confidence interval for beta
    -0.11276
  • Upperbound of 95% confidence interval for beta
    0.12800
  • Lowerbound of 95% confidence interval for alpha
    -0.43136
  • Upperbound of 95% confidence interval for alpha
    1.47417
  • Treynor index (mean / b)
    68.37860
  • Jensen alpha (a)
    0.52140
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02993
  • Expected Shortfall on VaR
    0.03786
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01137
  • Expected Shortfall on VaR
    0.02375
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    116.00000
  • Minimum
    0.94131
  • Quartile 1
    0.99286
  • Median
    1.00265
  • Quartile 3
    1.01081
  • Maximum
    1.06797
  • Mean of quarter 1
    0.97784
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00654
  • Mean of quarter 4
    1.02539
  • Inter Quartile Range
    0.01795
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.04310
  • Mean of outliers low
    0.95589
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.04310
  • Mean of outliers high
    1.05289
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23105
  • VaR(95%) (moments method)
    0.01935
  • Expected Shortfall (moments method)
    0.02440
  • Extreme Value Index (regression method)
    0.09295
  • VaR(95%) (regression method)
    0.02135
  • Expected Shortfall (regression method)
    0.03159
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00065
  • Quartile 1
    0.00740
  • Median
    0.04740
  • Quartile 3
    0.08621
  • Maximum
    0.11185
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.02266
  • Mean of quarter 3
    0.06760
  • Mean of quarter 4
    0.09980
  • Inter Quartile Range
    0.07880
  • 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)
    -0.42791
  • VaR(95%) (moments method)
    0.10789
  • Expected Shortfall (moments method)
    0.11373
  • Extreme Value Index (regression method)
    1.31277
  • VaR(95%) (regression method)
    0.11659
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58607
  • Compounded annual return (geometric extrapolation)
    0.68381
  • Calmar ratio (compounded annual return / max draw down)
    6.11368
  • Compounded annual return / average of 25% largest draw downs
    6.85204
  • Compounded annual return / Expected Shortfall lognormal
    18.06360
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.03000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -249601000
  • Max Equity Drawdown (num days)
    14

Strategy Description

TQQQMAX trades ETFs LONG ONLY and IRA FRIENDLY
I use a proprietary trading method.
Goal is to catch dips and swing it up.
System goal is to scale out at key levels.
Trading is risky, you may lose money doing so.

Summary Statistics

Strategy began
2020-01-27
Suggested Minimum Capital
$35,000
Rank at C2 
#95
# Trades
240
# Profitable
104
% Profitable
43.3%
Net Dividends
Correlation S&P500
0.040
Sharpe Ratio
1.28
Sortino Ratio
1.99
Beta
0.03
Alpha
0.13
Leverage
1.61 Average
3.43 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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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.