Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

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 03/27/2020
Most recent certification approved 3/27/20 9:37 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 906
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 906
Percent signals followed since 03/27/2020 100%
This information was last updated 3/28/24 6:39 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 03/27/2020, 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.

AI TQQQ SQQQ swing
(128265049)

Created by: QuantTiger QuantTiger
Started: 03/2020
Stocks
Last trade: 3 days ago
Trading style: Equity Trend-following Sector: Technology

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 $120.00 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.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
60.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(52.1%)
Max Drawdown
432
Num Trades
49.1%
Win Trades
1.2 : 1
Profit Factor
63.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +1.7%+11.1%+13.8%+16.2%+16.8%+27.7%(9.5%)+11.9%+33.5%+10.2%+232.2%
2021(1.8%)+9.5%+6.5%+19.1%+10.7%+14.3%(5%)+7.5%(24.1%)+21.4%+6.6%(5.8%)+63.1%
2022(11.7%)(25.4%)+11.9%+15.9%+2.5%(3.7%)+21.3%(4.7%)(12%)(11.2%)(11.4%)+17.7%(20.6%)
2023+12.5%(2.6%)+0.2%(19%)+43.4%+10.7%+17.8%+13.6%(17.5%)(8.6%)+1.4%+17.7%+70.1%
2024(5.1%)+9.3%(11%)                                                      (7.7%)

Model Account Details

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

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

System developer has asked us to delay this information by 36 hours.

Trading Record

This strategy has placed 906 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
3/19/24 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,251 10.96 3/22 15:58 10.26 8.59%
Trade id #147688754
Max drawdown($2,037)
Time3/21/24 0:00
Quant open2,251
Worst price10.05
Drawdown as % of equity-8.59%
($1,581)
Includes Typical Broker Commissions trade costs of $5.00
3/12/24 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,103 10.61 3/19 12:51 10.99 n/a $800
Includes Typical Broker Commissions trade costs of $5.00
3/11/24 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 405 59.36 3/12 9:47 59.02 0.67%
Trade id #147595781
Max drawdown($161)
Time3/12/24 9:46
Quant open405
Worst price58.96
Drawdown as % of equity-0.67%
($143)
Includes Typical Broker Commissions trade costs of $8.10
3/5/24 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,271 11.21 3/7 11:28 10.53 6.28%
Trade id #147547064
Max drawdown($1,532)
Time3/7/24 11:28
Quant open2,271
Worst price10.53
Drawdown as % of equity-6.28%
($1,529)
Includes Typical Broker Commissions trade costs of $5.00
3/4/24 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 437 62.41 3/5 15:14 58.16 7.27%
Trade id #147532353
Max drawdown($1,878)
Time3/5/24 15:14
Quant open437
Worst price58.11
Drawdown as % of equity-7.27%
($1,867)
Includes Typical Broker Commissions trade costs of $8.74
2/29/24 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 437 60.79 3/1 15:58 63.15 0.74%
Trade id #147505683
Max drawdown($196)
Time2/29/24 16:00
Quant open437
Worst price60.34
Drawdown as % of equity-0.74%
$1,024
Includes Typical Broker Commissions trade costs of $8.74
2/21/24 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 448 55.29 2/28 15:58 58.89 n/a $1,603
Includes Typical Broker Commissions trade costs of $8.96
2/16/24 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,008 11.65 2/20 15:58 11.96 n/a $620
Includes Typical Broker Commissions trade costs of $5.00
2/15/24 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 422 59.02 2/16 15:58 57.39 3.29%
Trade id #147349490
Max drawdown($804)
Time2/16/24 10:01
Quant open422
Worst price57.11
Drawdown as % of equity-3.29%
($692)
Includes Typical Broker Commissions trade costs of $8.44
2/1/24 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 412 54.37 2/14 15:58 58.64 n/a $1,752
Includes Typical Broker Commissions trade costs of $8.24
1/31/24 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,800 12.74 2/1 12:55 12.40 2.57%
Trade id #147186258
Max drawdown($613)
Time2/1/24 12:55
Quant open1,800
Worst price12.40
Drawdown as % of equity-2.57%
($616)
Includes Typical Broker Commissions trade costs of $5.00
1/29/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 427 57.10 1/30 15:59 56.00 2.64%
Trade id #147153024
Max drawdown($639)
Time1/30/24 14:11
Quant open427
Worst price55.60
Drawdown as % of equity-2.64%
($479)
Includes Typical Broker Commissions trade costs of $8.54
1/26/24 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,032 12.20 1/29 15:59 11.83 3.18%
Trade id #147138425
Max drawdown($793)
Time1/29/24 15:25
Quant open2,032
Worst price11.81
Drawdown as % of equity-3.18%
($758)
Includes Typical Broker Commissions trade costs of $5.00
1/24/24 15:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 450 56.53 1/26 15:59 55.43 2.39%
Trade id #147119334
Max drawdown($607)
Time1/26/24 13:54
Quant open450
Worst price55.18
Drawdown as % of equity-2.39%
($504)
Includes Typical Broker Commissions trade costs of $9.00
1/24/24 15:10: Rescaled downward to 28% of previous Model Account size
1/18/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 463.120000000 51.61 1/24 15:09 56.79 n/a $2,390
Includes Typical Broker Commissions trade costs of $9.26
1/16/24 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,816.360000000 13.49 1/18 15:59 13.13 0.81%
Trade id #147018359
Max drawdown($200)
Time1/18/24 15:52
Quant open508
Worst price13.10
Drawdown as % of equity-0.81%
($667)
Includes Typical Broker Commissions trade costs of $5.00
1/11/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 496.720000000 50.36 1/16 15:59 50.29 0.56%
Trade id #146980251
Max drawdown($143)
Time1/16/24 9:51
Quant open139
Worst price49.33
Drawdown as % of equity-0.56%
($42)
Includes Typical Broker Commissions trade costs of $9.94
1/10/24 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,830.640000000 13.55 1/11 15:59 13.47 0.5%
Trade id #146967655
Max drawdown($128)
Time1/11/24 9:36
Quant open513
Worst price13.30
Drawdown as % of equity-0.50%
($148)
Includes Typical Broker Commissions trade costs of $5.00
1/9/24 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,833.720000000 13.82 1/10 14:13 13.49 0.68%
Trade id #146956426
Max drawdown($175)
Time1/10/24 14:13
Quant open514
Worst price13.48
Drawdown as % of equity-0.68%
($607)
Includes Typical Broker Commissions trade costs of $5.00
1/8/24 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,821.960000000 13.87 1/9 11:16 13.94 n/a $108
Includes Typical Broker Commissions trade costs of $5.00
1/2/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 506.240000000 48.16 1/8 15:59 48.86 1.56%
Trade id #146879831
Max drawdown($381)
Time1/5/24 0:00
Quant open142
Worst price45.47
Drawdown as % of equity-1.56%
$350
Includes Typical Broker Commissions trade costs of $5.00
12/22/23 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 512.400000000 50.33 1/2/24 9:38 48.81 0.85%
Trade id #146793614
Max drawdown($227)
Time1/2/24 9:38
Quant open143
Worst price48.74
Drawdown as % of equity-0.85%
($783)
Includes Typical Broker Commissions trade costs of $5.00
12/21/23 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,905.960000000 13.58 12/22 15:59 13.54 0.4%
Trade id #146780600
Max drawdown($104)
Time12/22/23 9:50
Quant open534
Worst price13.38
Drawdown as % of equity-0.40%
($66)
Includes Typical Broker Commissions trade costs of $5.00
12/15/23 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 508.480000000 49.30 12/21 15:59 50.19 0.44%
Trade id #146717922
Max drawdown($119)
Time12/20/23 0:00
Quant open142
Worst price48.46
Drawdown as % of equity-0.44%
$449
Includes Typical Broker Commissions trade costs of $5.00
12/14/23 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,786.120000000 14.42 12/15 15:59 14.20 0.67%
Trade id #146706567
Max drawdown($173)
Time12/15/23 11:31
Quant open500
Worst price14.07
Drawdown as % of equity-0.67%
($397)
Includes Typical Broker Commissions trade costs of $5.00
12/6/23 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 522.480000000 42.46 12/14 13:52 47.61 n/a $2,684
Includes Typical Broker Commissions trade costs of $5.00
12/5/23 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,352.680000000 16.27 12/6 15:59 16.55 0.68%
Trade id #146619976
Max drawdown($157)
Time12/6/23 0:00
Quant open379
Worst price15.85
Drawdown as % of equity-0.68%
$380
Includes Typical Broker Commissions trade costs of $5.00
12/4/23 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 511.840000000 42.96 12/5 15:59 43.20 0.43%
Trade id #146609477
Max drawdown($100)
Time12/5/23 9:32
Quant open143
Worst price42.26
Drawdown as % of equity-0.43%
$117
Includes Typical Broker Commissions trade costs of $5.00
11/30/23 15:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,332.240000000 16.01 12/4 15:59 16.35 0.31%
Trade id #146582377
Max drawdown($71)
Time12/1/23 0:00
Quant open373
Worst price15.82
Drawdown as % of equity-0.31%
$440
Includes Typical Broker Commissions trade costs of $5.00
11/29/23 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 498.960000000 44.18 11/30 11:56 42.94 0.77%
Trade id #146570176
Max drawdown($176)
Time11/30/23 11:56
Quant open140
Worst price42.92
Drawdown as % of equity-0.77%
($630)
Includes Typical Broker Commissions trade costs of $9.98

Statistics

  • Strategy began
    3/26/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1462.8
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    432
  • # Profitable
    212
  • % Profitable
    49.10%
  • Avg trade duration
    3.4 days
  • Max peak-to-valley drawdown
    52.1%
  • drawdown period
    May 19, 2022 - Nov 14, 2022
  • Annual Return (Compounded)
    60.9%
  • Avg win
    $617.61
  • Avg loss
    $498.14
  • Model Account Values (Raw)
  • Cash
    $9,923
  • Margin Used
    $0
  • Buying Power
    $9,896
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    1
  • Sortino Ratio
    1.52
  • Calmar Ratio
    1.516
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    476.27%
  • Correlation to SP500
    0.22690
  • Return Percent SP500 (cumu) during strategy life
    99.56%
  • Return Statistics
  • Ann Return (w trading costs)
    60.9%
  • Slump
  • Current Slump as Pcnt Equity
    22.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.609%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    67.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.00%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    14.00%
  • Chance of 40% account loss
    5.50%
  • 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
  • Chance of 100% 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)
    934
  • Popularity (Last 6 weeks)
    990
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    385
  • Popularity (7 days, Percentile 1000 scale)
    978
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $498
  • Avg Win
    $618
  • Sum Trade PL (losers)
    $109,590.000
  • Age
  • Num Months filled monthly returns table
    49
  • Win / Loss
  • Sum Trade PL (winners)
    $130,933.000
  • # Winners
    212
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    867
  • AUM
  • AUM (AutoTrader live capital)
    3000690
  • Win / Loss
  • # Losers
    220
  • % Winners
    49.1%
  • Frequency
  • Avg Position Time (mins)
    4940.55
  • Avg Position Time (hrs)
    82.34
  • Avg Trade Length
    3.4 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.47
  • Daily leverage (max)
    5.70
  • Regression
  • Alpha
    0.13
  • Beta
    0.58
  • Treynor Index
    0.27
  • 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)
    0.35
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -1.311
  • 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
    0.143
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.375
  • Hold-and-Hope Ratio
    -0.754
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65394
  • SD
    0.53766
  • Sharpe ratio (Glass type estimate)
    1.21627
  • Sharpe ratio (Hedges UMVUE)
    1.19632
  • df
    46.00000
  • t
    2.40708
  • p
    0.01008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18916
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17624
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21639
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26610
  • Upside Potential Ratio
    4.01767
  • Upside part of mean
    1.15940
  • Downside part of mean
    -0.50546
  • Upside SD
    0.48506
  • Downside SD
    0.28857
  • N nonnegative terms
    31.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.15536
  • Mean of criterion
    0.65394
  • SD of predictor
    0.15772
  • SD of criterion
    0.53766
  • Covariance
    0.04802
  • r
    0.56629
  • b (slope, estimate of beta)
    1.93044
  • a (intercept, estimate of alpha)
    0.35402
  • Mean Square Error
    0.20074
  • DF error
    45.00000
  • t(b)
    4.60898
  • p(b)
    0.00002
  • t(a)
    1.50291
  • p(a)
    0.06992
  • Lowerbound of 95% confidence interval for beta
    1.08684
  • Upperbound of 95% confidence interval for beta
    2.77403
  • Lowerbound of 95% confidence interval for alpha
    -0.12041
  • Upperbound of 95% confidence interval for alpha
    0.82845
  • Treynor index (mean / b)
    0.33875
  • Jensen alpha (a)
    0.35402
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50291
  • SD
    0.52651
  • Sharpe ratio (Glass type estimate)
    0.95516
  • Sharpe ratio (Hedges UMVUE)
    0.93949
  • df
    46.00000
  • t
    1.89032
  • p
    0.03251
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95950
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94828
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57125
  • Upside Potential Ratio
    3.29585
  • Upside part of mean
    1.05489
  • Downside part of mean
    -0.55199
  • Upside SD
    0.43583
  • Downside SD
    0.32007
  • N nonnegative terms
    31.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.14207
  • Mean of criterion
    0.50291
  • SD of predictor
    0.15665
  • SD of criterion
    0.52651
  • Covariance
    0.04754
  • r
    0.57644
  • b (slope, estimate of beta)
    1.93749
  • a (intercept, estimate of alpha)
    0.22765
  • Mean Square Error
    0.18921
  • DF error
    45.00000
  • t(b)
    4.73225
  • p(b)
    0.00001
  • t(a)
    1.00125
  • p(a)
    0.16103
  • Lowerbound of 95% confidence interval for beta
    1.11287
  • Upperbound of 95% confidence interval for beta
    2.76211
  • Lowerbound of 95% confidence interval for alpha
    -0.23028
  • Upperbound of 95% confidence interval for alpha
    0.68558
  • Treynor index (mean / b)
    0.25956
  • Jensen alpha (a)
    0.22765
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18787
  • Expected Shortfall on VaR
    0.23666
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07559
  • Expected Shortfall on VaR
    0.15465
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    47.00000
  • Minimum
    0.74003
  • Quartile 1
    0.93751
  • Median
    1.05955
  • Quartile 3
    1.19042
  • Maximum
    1.32549
  • Mean of quarter 1
    0.84905
  • Mean of quarter 2
    1.01379
  • Mean of quarter 3
    1.12151
  • Mean of quarter 4
    1.24833
  • Inter Quartile Range
    0.25291
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.70583
  • VaR(95%) (moments method)
    0.15707
  • Expected Shortfall (moments method)
    0.17434
  • Extreme Value Index (regression method)
    -0.59382
  • VaR(95%) (regression method)
    0.18420
  • Expected Shortfall (regression method)
    0.20969
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.05026
  • Quartile 1
    0.08300
  • Median
    0.27857
  • Quartile 3
    0.37182
  • Maximum
    0.39510
  • Mean of quarter 1
    0.06663
  • Mean of quarter 2
    0.27857
  • Mean of quarter 3
    0.37182
  • Mean of quarter 4
    0.39510
  • Inter Quartile Range
    0.28882
  • 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)
    1.78636
  • Compounded annual return (geometric extrapolation)
    0.70031
  • Calmar ratio (compounded annual return / max draw down)
    1.77249
  • Compounded annual return / average of 25% largest draw downs
    1.77249
  • Compounded annual return / Expected Shortfall lognormal
    2.95914
  • 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
    0.58810
  • SD
    0.43951
  • Sharpe ratio (Glass type estimate)
    1.33807
  • Sharpe ratio (Hedges UMVUE)
    1.33711
  • df
    1038.00000
  • t
    2.66463
  • p
    0.45879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35187
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32300
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04295
  • Upside Potential Ratio
    10.16850
  • Upside part of mean
    2.92720
  • Downside part of mean
    -2.33909
  • Upside SD
    0.33382
  • Downside SD
    0.28787
  • N nonnegative terms
    550.00000
  • N negative terms
    489.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1039.00000
  • Mean of predictor
    0.16369
  • Mean of criterion
    0.58810
  • SD of predictor
    0.18612
  • SD of criterion
    0.43951
  • Covariance
    0.01874
  • r
    0.22904
  • b (slope, estimate of beta)
    0.54087
  • a (intercept, estimate of alpha)
    0.50000
  • Mean Square Error
    0.18322
  • DF error
    1037.00000
  • t(b)
    7.57692
  • p(b)
    0.35548
  • t(a)
    2.32074
  • p(a)
    0.45428
  • Lowerbound of 95% confidence interval for beta
    0.40080
  • Upperbound of 95% confidence interval for beta
    0.68095
  • Lowerbound of 95% confidence interval for alpha
    0.07717
  • Upperbound of 95% confidence interval for alpha
    0.92196
  • Treynor index (mean / b)
    1.08733
  • Jensen alpha (a)
    0.49957
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49130
  • SD
    0.43873
  • Sharpe ratio (Glass type estimate)
    1.11982
  • Sharpe ratio (Hedges UMVUE)
    1.11901
  • df
    1038.00000
  • t
    2.23000
  • p
    0.46548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10497
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10440
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66051
  • Upside Potential Ratio
    9.71065
  • Upside part of mean
    2.87311
  • Downside part of mean
    -2.38181
  • Upside SD
    0.32508
  • Downside SD
    0.29587
  • N nonnegative terms
    550.00000
  • N negative terms
    489.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1039.00000
  • Mean of predictor
    0.14632
  • Mean of criterion
    0.49130
  • SD of predictor
    0.18619
  • SD of criterion
    0.43873
  • Covariance
    0.01863
  • r
    0.22808
  • b (slope, estimate of beta)
    0.53742
  • a (intercept, estimate of alpha)
    0.41266
  • Mean Square Error
    0.18265
  • DF error
    1037.00000
  • t(b)
    7.54356
  • p(b)
    0.35607
  • t(a)
    1.92059
  • p(a)
    0.46212
  • Lowerbound of 95% confidence interval for beta
    0.39763
  • Upperbound of 95% confidence interval for beta
    0.67722
  • Lowerbound of 95% confidence interval for alpha
    -0.00895
  • Upperbound of 95% confidence interval for alpha
    0.83427
  • Treynor index (mean / b)
    0.91417
  • Jensen alpha (a)
    0.41266
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04181
  • Expected Shortfall on VaR
    0.05255
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01985
  • Expected Shortfall on VaR
    0.03863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1039.00000
  • Minimum
    0.86940
  • Quartile 1
    0.98739
  • Median
    1.00180
  • Quartile 3
    1.01683
  • Maximum
    1.13776
  • Mean of quarter 1
    0.96969
  • Mean of quarter 2
    0.99496
  • Mean of quarter 3
    1.00897
  • Mean of quarter 4
    1.03581
  • Inter Quartile Range
    0.02944
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.01540
  • Mean of outliers low
    0.92023
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.02214
  • Mean of outliers high
    1.07799
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05596
  • VaR(95%) (moments method)
    0.02818
  • Expected Shortfall (moments method)
    0.03692
  • Extreme Value Index (regression method)
    -0.06535
  • VaR(95%) (regression method)
    0.02829
  • Expected Shortfall (regression method)
    0.03694
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    59.00000
  • Minimum
    0.00069
  • Quartile 1
    0.00651
  • Median
    0.03947
  • Quartile 3
    0.08762
  • Maximum
    0.44891
  • Mean of quarter 1
    0.00319
  • Mean of quarter 2
    0.02168
  • Mean of quarter 3
    0.06562
  • Mean of quarter 4
    0.18627
  • Inter Quartile Range
    0.08111
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06780
  • Mean of outliers high
    0.35837
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34849
  • VaR(95%) (moments method)
    0.20504
  • Expected Shortfall (moments method)
    0.35431
  • Extreme Value Index (regression method)
    0.30597
  • VaR(95%) (regression method)
    0.17354
  • Expected Shortfall (regression method)
    0.27034
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.72431
  • Compounded annual return (geometric extrapolation)
    0.68069
  • Calmar ratio (compounded annual return / max draw down)
    1.51631
  • Compounded annual return / average of 25% largest draw downs
    3.65440
  • Compounded annual return / Expected Shortfall lognormal
    12.95260
  • 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
    0.03801
  • SD
    0.33851
  • Sharpe ratio (Glass type estimate)
    0.11230
  • Sharpe ratio (Hedges UMVUE)
    0.11165
  • df
    130.00000
  • t
    0.07941
  • p
    0.49652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65966
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.66019
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88349
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16176
  • Upside Potential Ratio
    8.91093
  • Upside part of mean
    2.09411
  • Downside part of mean
    -2.05609
  • Upside SD
    0.24185
  • Downside SD
    0.23500
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36048
  • Mean of criterion
    0.03801
  • SD of predictor
    0.11714
  • SD of criterion
    0.33851
  • Covariance
    0.00930
  • r
    0.23451
  • b (slope, estimate of beta)
    0.67770
  • a (intercept, estimate of alpha)
    -0.20628
  • Mean Square Error
    0.10913
  • DF error
    129.00000
  • t(b)
    2.73997
  • p(b)
    0.35208
  • t(a)
    -0.43372
  • p(a)
    0.52429
  • Lowerbound of 95% confidence interval for beta
    0.18833
  • Upperbound of 95% confidence interval for beta
    1.16706
  • Lowerbound of 95% confidence interval for alpha
    -1.14729
  • Upperbound of 95% confidence interval for alpha
    0.73472
  • Treynor index (mean / b)
    0.05609
  • Jensen alpha (a)
    -0.20628
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01875
  • SD
    0.33813
  • Sharpe ratio (Glass type estimate)
    -0.05545
  • Sharpe ratio (Hedges UMVUE)
    -0.05513
  • df
    130.00000
  • t
    -0.03921
  • p
    0.50172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82694
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71669
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07844
  • Upside Potential Ratio
    8.64085
  • Upside part of mean
    2.06537
  • Downside part of mean
    -2.08412
  • Upside SD
    0.23733
  • Downside SD
    0.23902
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35341
  • Mean of criterion
    -0.01875
  • SD of predictor
    0.11700
  • SD of criterion
    0.33813
  • Covariance
    0.00909
  • r
    0.22965
  • b (slope, estimate of beta)
    0.66368
  • a (intercept, estimate of alpha)
    -0.25330
  • Mean Square Error
    0.10914
  • DF error
    129.00000
  • t(b)
    2.68000
  • p(b)
    0.35509
  • t(a)
    -0.53289
  • p(a)
    0.52982
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    0.17371
  • Upperbound of 95% confidence interval for beta
    1.15364
  • Lowerbound of 95% confidence interval for alpha
    -1.19375
  • Upperbound of 95% confidence interval for alpha
    0.68716
  • Treynor index (mean / b)
    -0.02825
  • Jensen alpha (a)
    -0.25330
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03385
  • Expected Shortfall on VaR
    0.04221
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01881
  • Expected Shortfall on VaR
    0.03448
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94901
  • Quartile 1
    0.98780
  • Median
    0.99968
  • Quartile 3
    1.01251
  • Maximum
    1.06396
  • Mean of quarter 1
    0.97403
  • Mean of quarter 2
    0.99503
  • Mean of quarter 3
    1.00610
  • Mean of quarter 4
    1.02602
  • Inter Quartile Range
    0.02471
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.94901
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05939
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17697
  • VaR(95%) (moments method)
    0.02593
  • Expected Shortfall (moments method)
    0.03224
  • Extreme Value Index (regression method)
    -0.22375
  • VaR(95%) (regression method)
    0.02821
  • Expected Shortfall (regression method)
    0.03491
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01873
  • Quartile 1
    0.03950
  • Median
    0.07789
  • Quartile 3
    0.12727
  • Maximum
    0.20391
  • Mean of quarter 1
    0.02375
  • Mean of quarter 2
    0.07168
  • Mean of quarter 3
    0.08410
  • Mean of quarter 4
    0.17278
  • Inter Quartile Range
    0.08777
  • 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?
    -379998000
  • Max Equity Drawdown (num days)
    179
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00918
  • Compounded annual return (geometric extrapolation)
    0.00920
  • Calmar ratio (compounded annual return / max draw down)
    0.04512
  • Compounded annual return / average of 25% largest draw downs
    0.05325
  • Compounded annual return / Expected Shortfall lognormal
    0.21795

Strategy Description

Investment Strategy Overview

This trading strategy is centered around the 3x Long NASDAQ ETF, TQQQ, with the capability to take short positions through SQQQ. This strategy is underpinned by the sophisticated application of machine learning (Artificial Intelligence) techniques and swing/day trading.


Leveraged ETFs and Risk Mitigation

It is imperative to recognize that leveraged ETFs offer the potential for substantial returns but simultaneously carry a heightened degree of risk, attributable to their 3x leverage. Our approach seeks to mitigate this risk by adopting a dynamic stance that involves holding the long ETF during favorable market conditions while holding the inverse ETF during market downturns. This decision-making process is driven by our machine learning algorithms, ensuring a data-driven and disciplined approach.


Risk Management and Capital Allocation

Incorporated into our strategy is a meticulous approach to risk management, wherein position sizing is a pivotal component. It is essential for participants to exercise prudent judgment when scaling their positions to align with their risk tolerance.


Account Requirements and Geographic Considerations

Participants in our strategy should be aware that a margin account is required. We do not employ martingale strategies or margin utilization. In the case of an Individual Retirement Account (IRA), IRA margin is mandatory. Additionally, it's important to note that the ETFs we utilize are not available through Interactive Brokers in Europe.


Account Size and Automation

we recommend a minimum account size of $30,000 to avoid Pattern Day Trader violations. Additionally, we highly recommend using Collective2's autotrading to ensure timely execution and adherence to our algorithmic approach. We emphasize that this strategy should only be implemented with funds designated as risk capital, capital that one is prepared to lose entirely if necessary. Our system is entirely algorithmic, devoid of discretionary decision-making.

Summary Statistics

Strategy began
2020-03-26
Suggested Minimum Capital
$15,000
# Trades
432
# Profitable
212
% Profitable
49.1%
Net Dividends
Correlation S&P500
0.227
Sharpe Ratio
1.00
Sortino Ratio
1.52
Beta
0.58
Alpha
0.13
Leverage
2.47 Average
5.70 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.