Collective2 Collective2
Featured Strategy Cryptoverse Followed by live capital $3.10 million Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

ST Leveraged ETF
(144520124)

Created by: Visionary Visionary
Started: 05/2023
Stocks
Last trade: 9 days ago
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 $100.00 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.
31.1%
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.

(18.0%)
Max Drawdown
272
Num Trades
50.4%
Win Trades
1.3 : 1
Profit Factor
65.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                            +21.7%+1.7%+0.5%+8.7%(2.6%)+1.3%+1.0%(0.5%)+34.0%
2024(2.3%)+2.4%+0.9%(5.9%)+8.3%+1.7%+8.5%+3.6%(0.4%)(2.7%)+2.6%  -  +17.0%

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 one hour.

Trading Record

This strategy has placed 22 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
12/16/24 13:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 449 92.98 12/17 9:34 91.77 1.41%
Trade id #150336568
Max drawdown($565)
Time12/17/24 9:34
Quant open449
Worst price91.72
Drawdown as % of equity-1.41%
 ($552)
Includes Typical Broker Commissions trade costs of $8.98
12/4/24 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 496 85.35 12/10 15:32 84.08 1.59%
Trade id #150241960
Max drawdown($643)
Time12/10/24 15:32
Quant open496
Worst price84.05
Drawdown as % of equity-1.59%
 ($641)
Includes Typical Broker Commissions trade costs of $9.92
12/2/24 10:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 500 82.19 12/4 9:45 84.84 0.84%
Trade id #150221886
Max drawdown($330)
Time12/3/24 0:00
Quant open500
Worst price81.53
Drawdown as % of equity-0.84%
 $1,315
Includes Typical Broker Commissions trade costs of $10.00
11/7/24 10:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 511 81.41 11/14 12:32 80.36 1.44%
Trade id #150028363
Max drawdown($572)
Time11/14/24 12:32
Quant open511
Worst price80.29
Drawdown as % of equity-1.44%
 ($539)
Includes Typical Broker Commissions trade costs of $5.00
11/6/24 11:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 515 77.59 11/7 9:45 80.85 0.05%
Trade id #150010326
Max drawdown($20)
Time11/6/24 11:46
Quant open515
Worst price77.55
Drawdown as % of equity-0.05%
 $1,671
Includes Typical Broker Commissions trade costs of $5.00
10/18/24 13:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 540 74.98 10/21 10:40 74.07 1.46%
Trade id #149697550
Max drawdown($564)
Time10/21/24 10:40
Quant open540
Worst price73.93
Drawdown as % of equity-1.46%
 ($494)
Includes Typical Broker Commissions trade costs of $5.00
10/14/24 15:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 536 76.52 10/15 10:20 75.51 1.47%
Trade id #149656361
Max drawdown($578)
Time10/15/24 10:20
Quant open536
Worst price75.44
Drawdown as % of equity-1.47%
 ($546)
Includes Typical Broker Commissions trade costs of $5.00
9/24/24 12:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 552 71.86 9/26 9:45 74.14 1.24%
Trade id #149494793
Max drawdown($473)
Time9/24/24 14:30
Quant open552
Worst price71.00
Drawdown as % of equity-1.24%
 $1,255
Includes Typical Broker Commissions trade costs of $5.00
9/19/24 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 564 71.41 9/20 9:30 70.27 1.89%
Trade id #149458777
Max drawdown($721)
Time9/20/24 9:30
Quant open564
Worst price70.13
Drawdown as % of equity-1.89%
 ($646)
Includes Typical Broker Commissions trade costs of $5.00
9/12/24 13:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 618 66.13 9/16 10:34 65.10 1.62%
Trade id #149374459
Max drawdown($650)
Time9/16/24 10:34
Quant open618
Worst price65.08
Drawdown as % of equity-1.62%
 ($638)
Includes Typical Broker Commissions trade costs of $5.00
8/15/24 13:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 606 68.25 8/16 9:30 67.40 1.56%
Trade id #148929933
Max drawdown($628)
Time8/16/24 9:30
Quant open606
Worst price67.21
Drawdown as % of equity-1.56%
 ($518)
Includes Typical Broker Commissions trade costs of $5.00
8/13/24 11:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 625 62.40 8/15 9:45 66.41 0.87%
Trade id #148904430
Max drawdown($331)
Time8/14/24 0:00
Quant open625
Worst price61.87
Drawdown as % of equity-0.87%
 $2,501
Includes Typical Broker Commissions trade costs of $5.00
8/1/24 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 565 69.72 8/1 10:07 68.88 1.35%
Trade id #148795033
Max drawdown($514)
Time8/1/24 10:07
Quant open565
Worst price68.81
Drawdown as % of equity-1.35%
 ($480)
Includes Typical Broker Commissions trade costs of $5.00
7/24/24 11:00 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,368 8.79 7/24 15:30 9.04 0.12%
Trade id #148728522
Max drawdown($43)
Time7/24/24 11:03
Quant open4,368
Worst price8.78
Drawdown as % of equity-0.12%
 $1,087
Includes Typical Broker Commissions trade costs of $5.00
7/5/24 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 463 80.42 7/9 9:45 83.14 0.78%
Trade id #148576498
Max drawdown($277)
Time7/5/24 10:11
Quant open463
Worst price79.82
Drawdown as % of equity-0.78%
 $1,250
Includes Typical Broker Commissions trade costs of $9.26
7/3/24 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 472 79.30 7/3 12:45 78.75 0.76%
Trade id #148566577
Max drawdown($273)
Time7/3/24 12:45
Quant open472
Worst price78.72
Drawdown as % of equity-0.76%
 ($269)
Includes Typical Broker Commissions trade costs of $9.44
7/3/24 10:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 475 77.55 7/3 12:00 78.82 0.37%
Trade id #148564209
Max drawdown($132)
Time7/3/24 10:26
Quant open475
Worst price77.27
Drawdown as % of equity-0.37%
 $594
Includes Typical Broker Commissions trade costs of $9.50
7/2/24 13:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 477 76.44 7/3 9:45 77.37 0.2%
Trade id #148557838
Max drawdown($71)
Time7/2/24 13:38
Quant open477
Worst price76.29
Drawdown as % of equity-0.20%
 $434
Includes Typical Broker Commissions trade costs of $9.54
6/27/24 11:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,476 8.21 6/27 12:31 8.14 1.01%
Trade id #148516978
Max drawdown($358)
Time6/27/24 12:31
Quant open4,476
Worst price8.13
Drawdown as % of equity-1.01%
 ($318)
Includes Typical Broker Commissions trade costs of $5.00
6/13/24 11:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 505 73.24 6/13 12:01 72.76 0.73%
Trade id #148400595
Max drawdown($260)
Time6/13/24 12:01
Quant open505
Worst price72.72
Drawdown as % of equity-0.73%
 ($247)
Includes Typical Broker Commissions trade costs of $5.00
6/11/24 14:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 516 68.96 6/12 9:45 71.86 0.4%
Trade id #148383373
Max drawdown($138)
Time6/11/24 15:30
Quant open516
Worst price68.69
Drawdown as % of equity-0.40%
 $1,491
Includes Typical Broker Commissions trade costs of $5.00
6/5/24 14:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 533 67.07 6/7 9:35 66.66 0.69%
Trade id #148338868
Max drawdown($239)
Time6/7/24 9:34
Quant open533
Worst price66.62
Drawdown as % of equity-0.69%
 ($224)
Includes Typical Broker Commissions trade costs of $5.00
5/28/24 13:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 670 54.65 5/28 15:00 53.33 3.82%
Trade id #148272600
Max drawdown($1,343)
Time5/28/24 14:50
Quant open670
Worst price52.65
Drawdown as % of equity-3.82%
 ($889)
Includes Typical Broker Commissions trade costs of $5.00
5/28/24 11:00 SOXL DIREXION DAILY SEMICONDCT BULL LONG 671 54.15 5/28 13:00 54.57 1.07%
Trade id #148270562
Max drawdown($375)
Time5/28/24 11:10
Quant open671
Worst price53.59
Drawdown as % of equity-1.07%
 $277
Includes Typical Broker Commissions trade costs of $5.00
5/24/24 10:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 703 51.53 5/24 11:30 51.72 0.72%
Trade id #148244435
Max drawdown($253)
Time5/24/24 10:44
Quant open703
Worst price51.17
Drawdown as % of equity-0.72%
 $129
Includes Typical Broker Commissions trade costs of $5.00
5/23/24 12:00 SOXL DIREXION DAILY SEMICONDCT BULL LONG 720 50.89 5/23 13:30 50.23 2.19%
Trade id #148236864
Max drawdown($770)
Time5/23/24 13:23
Quant open720
Worst price49.82
Drawdown as % of equity-2.19%
 ($480)
Includes Typical Broker Commissions trade costs of $5.00
5/22/24 15:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 722 48.88 5/23 10:00 50.88 0.33%
Trade id #148229012
Max drawdown($115)
Time5/22/24 15:52
Quant open722
Worst price48.72
Drawdown as % of equity-0.33%
 $1,439
Includes Typical Broker Commissions trade costs of $5.00
5/22/24 11:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 732 49.77 5/22 14:30 48.11 3.5%
Trade id #148225961
Max drawdown($1,222)
Time5/22/24 14:30
Quant open732
Worst price48.10
Drawdown as % of equity-3.50%
 ($1,220)
Includes Typical Broker Commissions trade costs of $5.00
5/21/24 11:00 SOXL DIREXION DAILY SEMICONDCT BULL LONG 737 47.91 5/22 10:00 49.55 1.06%
Trade id #148216781
Max drawdown($361)
Time5/21/24 11:52
Quant open737
Worst price47.42
Drawdown as % of equity-1.06%
 $1,204
Includes Typical Broker Commissions trade costs of $5.00
5/20/24 13:00 SOXL DIREXION DAILY SEMICONDCT BULL LONG 731 49.30 5/20 14:00 48.23 2.4%
Trade id #148209751
Max drawdown($833)
Time5/20/24 13:58
Quant open731
Worst price48.16
Drawdown as % of equity-2.40%
 ($787)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    5/3/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    602.26
  • Age
    20 months ago
  • What it trades
    Stocks
  • # Trades
    272
  • # Profitable
    137
  • % Profitable
    50.40%
  • Avg trade duration
    10.5 hours
  • Max peak-to-valley drawdown
    18.05%
  • drawdown period
    July 12, 2023 - Aug 14, 2023
  • Annual Return (Compounded)
    31.1%
  • Avg win
    $517.45
  • Avg loss
    $389.76
  • Model Account Values (Raw)
  • Cash
    $43,402
  • Margin Used
    $0
  • Buying Power
    $43,402
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    1.18
  • Sortino Ratio
    1.98
  • Calmar Ratio
    2.695
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.05%
  • Correlation to SP500
    0.11910
  • Return Percent SP500 (cumu) during strategy life
    47.65%
  • Return Statistics
  • Ann Return (w trading costs)
    31.1%
  • Slump
  • Current Slump as Pcnt Equity
    6.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.311%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    39.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.00%
  • Chance of 20% account loss
    2.50%
  • 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
    99.82%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    840
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    497
  • Popularity (7 days, Percentile 1000 scale)
    654
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $390
  • Avg Win
    $517
  • Sum Trade PL (losers)
    $52,617.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $70,891.000
  • # Winners
    137
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    127
  • Win / Loss
  • # Losers
    135
  • % Winners
    50.4%
  • Frequency
  • Avg Position Time (mins)
    627.55
  • Avg Position Time (hrs)
    10.46
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    3.20
  • Daily leverage (max)
    4.01
  • Regression
  • Alpha
    0.06
  • Beta
    0.19
  • Treynor Index
    0.39
  • 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)
    -1.33
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    8.735
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.394
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.382
  • Hold-and-Hope Ratio
    0.112
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36144
  • SD
    0.20648
  • Sharpe ratio (Glass type estimate)
    1.75044
  • Sharpe ratio (Hedges UMVUE)
    1.67631
  • df
    18.00000
  • t
    2.20259
  • p
    0.26962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02524
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32737
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.13888
  • Upside Potential Ratio
    7.37358
  • Upside part of mean
    0.43413
  • Downside part of mean
    -0.07269
  • Upside SD
    0.21866
  • Downside SD
    0.05888
  • N nonnegative terms
    15.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.22645
  • Mean of criterion
    0.36144
  • SD of predictor
    0.11475
  • SD of criterion
    0.20648
  • Covariance
    0.00660
  • r
    0.27842
  • b (slope, estimate of beta)
    0.50100
  • a (intercept, estimate of alpha)
    0.24798
  • Mean Square Error
    0.04164
  • DF error
    17.00000
  • t(b)
    1.19520
  • p(b)
    0.32507
  • t(a)
    1.31965
  • p(a)
    0.30899
  • Lowerbound of 95% confidence interval for beta
    -0.38339
  • Upperbound of 95% confidence interval for beta
    1.38539
  • Lowerbound of 95% confidence interval for alpha
    -0.14848
  • Upperbound of 95% confidence interval for alpha
    0.64445
  • Treynor index (mean / b)
    0.72142
  • Jensen alpha (a)
    0.24798
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33737
  • SD
    0.19194
  • Sharpe ratio (Glass type estimate)
    1.75769
  • Sharpe ratio (Hedges UMVUE)
    1.68325
  • df
    18.00000
  • t
    2.21172
  • p
    0.26887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39495
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33507
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.56687
  • Upside Potential Ratio
    6.79329
  • Upside part of mean
    0.41169
  • Downside part of mean
    -0.07432
  • Upside SD
    0.20177
  • Downside SD
    0.06060
  • N nonnegative terms
    15.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.21767
  • Mean of criterion
    0.33737
  • SD of predictor
    0.11483
  • SD of criterion
    0.19194
  • Covariance
    0.00621
  • r
    0.28183
  • b (slope, estimate of beta)
    0.47108
  • a (intercept, estimate of alpha)
    0.23482
  • Mean Square Error
    0.03591
  • DF error
    17.00000
  • t(b)
    1.21109
  • p(b)
    0.32299
  • t(a)
    1.35921
  • p(a)
    0.30399
  • Lowerbound of 95% confidence interval for beta
    -0.34958
  • Upperbound of 95% confidence interval for beta
    1.29174
  • Lowerbound of 95% confidence interval for alpha
    -0.12968
  • Upperbound of 95% confidence interval for alpha
    0.59932
  • Treynor index (mean / b)
    0.71615
  • Jensen alpha (a)
    0.23482
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06108
  • Expected Shortfall on VaR
    0.08237
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00689
  • Expected Shortfall on VaR
    0.01808
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.93414
  • Quartile 1
    1.00337
  • Median
    1.02526
  • Quartile 3
    1.04754
  • Maximum
    1.22582
  • Mean of quarter 1
    0.97937
  • Mean of quarter 2
    1.01577
  • Mean of quarter 3
    1.03227
  • Mean of quarter 4
    1.10235
  • Inter Quartile Range
    0.04416
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.93414
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.22582
  • 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)
    0.01566
  • VaR(95%) (regression method)
    0.02522
  • Expected Shortfall (regression method)
    0.04301
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00496
  • Quartile 1
    0.01403
  • Median
    0.01748
  • Quartile 3
    0.02990
  • Maximum
    0.06586
  • Mean of quarter 1
    0.00496
  • Mean of quarter 2
    0.01706
  • Mean of quarter 3
    0.01791
  • Mean of quarter 4
    0.06586
  • Inter Quartile Range
    0.01586
  • 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
    0.25000
  • Mean of outliers high
    0.06586
  • 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)
    0.49458
  • Compounded annual return (geometric extrapolation)
    0.44090
  • Calmar ratio (compounded annual return / max draw down)
    6.69427
  • Compounded annual return / average of 25% largest draw downs
    6.69427
  • Compounded annual return / Expected Shortfall lognormal
    5.35247
  • 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
    0.33209
  • SD
    0.18667
  • Sharpe ratio (Glass type estimate)
    1.77896
  • Sharpe ratio (Hedges UMVUE)
    1.77579
  • df
    421.00000
  • t
    2.25773
  • p
    0.01224
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22894
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32478
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00482
  • Upside Potential Ratio
    9.37604
  • Upside part of mean
    1.03622
  • Downside part of mean
    -0.70413
  • Upside SD
    0.15156
  • Downside SD
    0.11052
  • N nonnegative terms
    144.00000
  • N negative terms
    278.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    422.00000
  • Mean of predictor
    0.22139
  • Mean of criterion
    0.33209
  • SD of predictor
    0.12052
  • SD of criterion
    0.18667
  • Covariance
    0.00258
  • r
    0.11479
  • b (slope, estimate of beta)
    0.17780
  • a (intercept, estimate of alpha)
    0.29300
  • Mean Square Error
    0.03447
  • DF error
    420.00000
  • t(b)
    2.36818
  • p(b)
    0.00916
  • t(a)
    1.98818
  • p(a)
    0.02372
  • Lowerbound of 95% confidence interval for beta
    0.03022
  • Upperbound of 95% confidence interval for beta
    0.32539
  • Lowerbound of 95% confidence interval for alpha
    0.00332
  • Upperbound of 95% confidence interval for alpha
    0.58212
  • Treynor index (mean / b)
    1.86770
  • Jensen alpha (a)
    0.29272
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31457
  • SD
    0.18588
  • Sharpe ratio (Glass type estimate)
    1.69240
  • Sharpe ratio (Hedges UMVUE)
    1.68938
  • df
    421.00000
  • t
    2.14787
  • p
    0.01615
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23793
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80990
  • Upside Potential Ratio
    9.15433
  • Upside part of mean
    1.02484
  • Downside part of mean
    -0.71027
  • Upside SD
    0.14937
  • Downside SD
    0.11195
  • N nonnegative terms
    144.00000
  • N negative terms
    278.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    422.00000
  • Mean of predictor
    0.21403
  • Mean of criterion
    0.31457
  • SD of predictor
    0.12052
  • SD of criterion
    0.18588
  • Covariance
    0.00252
  • r
    0.11262
  • b (slope, estimate of beta)
    0.17370
  • a (intercept, estimate of alpha)
    0.27740
  • Mean Square Error
    0.03419
  • DF error
    420.00000
  • t(b)
    2.32285
  • p(b)
    0.01033
  • t(a)
    1.89251
  • p(a)
    0.02956
  • Lowerbound of 95% confidence interval for beta
    0.02671
  • Upperbound of 95% confidence interval for beta
    0.32068
  • Lowerbound of 95% confidence interval for alpha
    -0.01072
  • Upperbound of 95% confidence interval for alpha
    0.56551
  • Treynor index (mean / b)
    1.81104
  • Jensen alpha (a)
    0.27740
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01753
  • Expected Shortfall on VaR
    0.02223
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00727
  • Expected Shortfall on VaR
    0.01497
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    422.00000
  • Minimum
    0.95295
  • Quartile 1
    0.99864
  • Median
    1.00000
  • Quartile 3
    1.00334
  • Maximum
    1.04755
  • Mean of quarter 1
    0.98968
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00060
  • Mean of quarter 4
    1.01530
  • Inter Quartile Range
    0.00470
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.10901
  • Mean of outliers low
    0.98233
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.14218
  • Mean of outliers high
    1.02213
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01261
  • VaR(95%) (moments method)
    0.00513
  • Expected Shortfall (moments method)
    0.00742
  • Extreme Value Index (regression method)
    -0.03219
  • VaR(95%) (regression method)
    0.00898
  • Expected Shortfall (regression method)
    0.01345
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00159
  • Quartile 1
    0.01091
  • Median
    0.02575
  • Quartile 3
    0.04413
  • Maximum
    0.15157
  • Mean of quarter 1
    0.00647
  • Mean of quarter 2
    0.01911
  • Mean of quarter 3
    0.04175
  • Mean of quarter 4
    0.09294
  • Inter Quartile Range
    0.03323
  • 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
    0.09524
  • Mean of outliers high
    0.12488
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.31563
  • VaR(95%) (moments method)
    0.09221
  • Expected Shortfall (moments method)
    0.11033
  • Extreme Value Index (regression method)
    0.21138
  • VaR(95%) (regression method)
    0.09638
  • Expected Shortfall (regression method)
    0.14286
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45700
  • Compounded annual return (geometric extrapolation)
    0.40844
  • Calmar ratio (compounded annual return / max draw down)
    2.69476
  • Compounded annual return / average of 25% largest draw downs
    4.39481
  • Compounded annual return / Expected Shortfall lognormal
    18.37620
  • 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
    0.20910
  • SD
    0.11585
  • Sharpe ratio (Glass type estimate)
    1.80488
  • Sharpe ratio (Hedges UMVUE)
    1.79445
  • df
    130.00000
  • t
    1.27624
  • p
    0.44438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57482
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.73946
  • Upside Potential Ratio
    10.27560
  • Upside part of mean
    0.57458
  • Downside part of mean
    -0.36548
  • Upside SD
    0.10178
  • Downside SD
    0.05592
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17344
  • Mean of criterion
    0.20910
  • SD of predictor
    0.13622
  • SD of criterion
    0.11585
  • Covariance
    0.00379
  • r
    0.24025
  • b (slope, estimate of beta)
    0.20433
  • a (intercept, estimate of alpha)
    0.17366
  • Mean Square Error
    0.01274
  • DF error
    129.00000
  • t(b)
    2.81108
  • p(b)
    0.34853
  • t(a)
    1.08434
  • p(a)
    0.43959
  • Lowerbound of 95% confidence interval for beta
    0.06052
  • Upperbound of 95% confidence interval for beta
    0.34815
  • Lowerbound of 95% confidence interval for alpha
    -0.14321
  • Upperbound of 95% confidence interval for alpha
    0.49053
  • Treynor index (mean / b)
    1.02333
  • Jensen alpha (a)
    0.17366
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20241
  • SD
    0.11495
  • Sharpe ratio (Glass type estimate)
    1.76080
  • Sharpe ratio (Hedges UMVUE)
    1.75062
  • df
    130.00000
  • t
    1.24507
  • p
    0.44572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02934
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53058
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60065
  • Upside Potential Ratio
    10.12950
  • Upside part of mean
    0.56942
  • Downside part of mean
    -0.36702
  • Upside SD
    0.10055
  • Downside SD
    0.05621
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16414
  • Mean of criterion
    0.20241
  • SD of predictor
    0.13641
  • SD of criterion
    0.11495
  • Covariance
    0.00376
  • r
    0.23993
  • b (slope, estimate of beta)
    0.20219
  • a (intercept, estimate of alpha)
    0.16922
  • Mean Square Error
    0.01255
  • DF error
    129.00000
  • t(b)
    2.80706
  • p(b)
    0.34874
  • t(a)
    1.06515
  • p(a)
    0.44064
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.05968
  • Upperbound of 95% confidence interval for beta
    0.34470
  • Lowerbound of 95% confidence interval for alpha
    -0.14511
  • Upperbound of 95% confidence interval for alpha
    0.48355
  • Treynor index (mean / b)
    1.00106
  • Jensen alpha (a)
    0.16922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01085
  • Expected Shortfall on VaR
    0.01378
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00421
  • Expected Shortfall on VaR
    0.00844
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98389
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03529
  • Mean of quarter 1
    0.99479
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00880
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.99339
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.21374
  • Mean of outliers high
    1.01037
  • 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)
    -0.38654
  • VaR(95%) (regression method)
    0.00522
  • Expected Shortfall (regression method)
    0.00723
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00372
  • Quartile 1
    0.00892
  • Median
    0.01859
  • Quartile 3
    0.03940
  • Maximum
    0.04591
  • Mean of quarter 1
    0.00590
  • Mean of quarter 2
    0.01142
  • Mean of quarter 3
    0.02575
  • Mean of quarter 4
    0.04493
  • Inter Quartile Range
    0.03047
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -326723000
  • Max Equity Drawdown (num days)
    33
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24410
  • Compounded annual return (geometric extrapolation)
    0.25899
  • Calmar ratio (compounded annual return / max draw down)
    5.64172
  • Compounded annual return / average of 25% largest draw downs
    5.76496
  • Compounded annual return / Expected Shortfall lognormal
    18.79900

Strategy Description

The 'ST Leveraged ETF' strategy focuses on trading leveraged ETFs. Every update to the strategy is pre-tested with five years of back-tested historical data and includes real-time performance monitoring for a minimum of one month before going live on the Collective2 platform. The strategy incorporates indicators such as ADR, support/resistance levels, and a custom-made indicator that tracks confident entries.

The strategy is continuously monitored and reviewed to further reduce drawdown, increase trend sensitivity detection, and enhance profitability.

Positions are executed automatically in response to strategy signals from my TradingView account alerts.

**Risk Management:**
- Stop-loss is set within a 1-3% range for each open position, varying between instruments.

**Aim/Target:**
- Prioritizing confidence-based trading over aggressiveness.
- Targeting a 70% annual return (Combined Instruments).

Currently, the 'ST Leveraged ETF' strategy trades:

- TQQQ
- SQQQ (Long position as shorting TQQQ)

For a detailed analysis in TradingView, Fell free to visit the backtested performance with the provided TradingView links below.

TQQQ - https://www.tradingview.com/script/0c4hSXV9-TQQQ-ST-Leveraged-ETF/
**Note:** "Backtesting/historical data is hypothetical and has not been verified by C2."
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-05-03
Suggested Minimum Capital
$15,000
# Trades
272
# Profitable
137
% Profitable
50.4%
Net Dividends
$127
Correlation S&P500
0.119
Sharpe Ratio
1.18
Sortino Ratio
1.98
Beta
0.19
Alpha
0.06
Leverage
3.20 Average
4.01 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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