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This is an archived track record. This track record was archived on 11/28/23 9:54 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

AI TQQQ SQQQ intraday
(144455213)

Created by: QuantTiger QuantTiger
Started: 04/2023
Stocks
Last trade: 91 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 $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.
0.4%
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.

(33.9%)
Max Drawdown
141
Num Trades
50.4%
Win Trades
1.0 : 1
Profit Factor
36.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     (2.1%)+21.7%+2.7%(4.3%)+15.7%(11.7%)(19.2%)+3.7%  -  +0.1%
2024  -    -                                                              0.0

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.

Trading Record

This strategy has placed 281 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
11/28/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 665 43.80 11/28 9:54 43.67 n/a ($91)
Includes Typical Broker Commissions trade costs of $5.00
11/24/23 9:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 661 44.24 11/27 15:59 44.06 1.04%
Trade id #146526642
Max drawdown($312)
Time11/27/23 9:36
Quant open661
Worst price43.77
Drawdown as % of equity-1.04%
($122)
Includes Typical Broker Commissions trade costs of $5.00
11/22/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 660 44.60 11/22 15:59 44.41 1.18%
Trade id #146508902
Max drawdown($360)
Time11/22/23 10:18
Quant open660
Worst price44.05
Drawdown as % of equity-1.18%
($134)
Includes Typical Broker Commissions trade costs of $5.00
11/21/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 670 44.10 11/21 15:59 43.88 1.77%
Trade id #146498016
Max drawdown($541)
Time11/21/23 10:31
Quant open670
Worst price43.29
Drawdown as % of equity-1.77%
($156)
Includes Typical Broker Commissions trade costs of $5.00
11/20/23 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 663 43.52 11/20 15:59 44.64 0.06%
Trade id #146486970
Max drawdown($16)
Time11/20/23 10:24
Quant open663
Worst price43.49
Drawdown as % of equity-0.06%
$741
Includes Typical Broker Commissions trade costs of $5.00
11/17/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 666 42.86 11/17 15:59 43.20 0.66%
Trade id #146469590
Max drawdown($196)
Time11/17/23 11:05
Quant open666
Worst price42.56
Drawdown as % of equity-0.66%
$218
Includes Typical Broker Commissions trade costs of $5.00
11/16/23 9:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 668 43.09 11/16 15:59 43.11 1.71%
Trade id #146458684
Max drawdown($507)
Time11/16/23 11:38
Quant open668
Worst price42.33
Drawdown as % of equity-1.71%
$8
Includes Typical Broker Commissions trade costs of $5.00
11/15/23 13:13 TQQQ PROSHARES ULTRAPRO QQQ SHORT 664 42.71 11/15 15:59 43.05 1.48%
Trade id #146451650
Max drawdown($442)
Time11/15/23 14:42
Quant open664
Worst price43.38
Drawdown as % of equity-1.48%
($225)
Includes Typical Broker Commissions trade costs of $5.00
11/14/23 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 677 42.80 11/14 15:59 42.89 0.6%
Trade id #146430145
Max drawdown($179)
Time11/14/23 14:08
Quant open677
Worst price42.53
Drawdown as % of equity-0.60%
$60
Includes Typical Broker Commissions trade costs of $5.00
11/13/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ SHORT 716 40.27 11/13 15:59 40.37 1.11%
Trade id #146417757
Max drawdown($329)
Time11/13/23 11:47
Quant open716
Worst price40.73
Drawdown as % of equity-1.11%
($74)
Includes Typical Broker Commissions trade costs of $5.00
11/10/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 711 38.77 11/10 15:59 40.73 0.35%
Trade id #146395297
Max drawdown($99)
Time11/10/23 9:33
Quant open711
Worst price38.63
Drawdown as % of equity-0.35%
$1,389
Includes Typical Broker Commissions trade costs of $5.00
11/9/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ SHORT 680 39.38 11/9 15:59 38.19 0.8%
Trade id #146384089
Max drawdown($221)
Time11/9/23 11:52
Quant open680
Worst price39.71
Drawdown as % of equity-0.80%
$811
Includes Typical Broker Commissions trade costs of $5.00
11/8/23 12:01 TQQQ PROSHARES ULTRAPRO QQQ SHORT 691 38.71 11/8 15:59 39.17 1.34%
Trade id #146368117
Max drawdown($372)
Time11/8/23 15:43
Quant open691
Worst price39.25
Drawdown as % of equity-1.34%
($326)
Includes Typical Broker Commissions trade costs of $5.00
11/7/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 713 38.37 11/7 9:37 37.98 1%
Trade id #146354855
Max drawdown($282)
Time11/7/23 9:37
Quant open713
Worst price37.97
Drawdown as % of equity-1.00%
($280)
Includes Typical Broker Commissions trade costs of $5.00
11/6/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 723 37.95 11/6 15:58 37.95 1.61%
Trade id #146344413
Max drawdown($455)
Time11/6/23 13:22
Quant open723
Worst price37.32
Drawdown as % of equity-1.61%
($1)
Includes Typical Broker Commissions trade costs of $5.00
11/3/23 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 735 37.02 11/3 15:59 37.59 0.8%
Trade id #146325613
Max drawdown($224)
Time11/3/23 10:27
Quant open735
Worst price36.71
Drawdown as % of equity-0.80%
$418
Includes Typical Broker Commissions trade costs of $5.00
11/1/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,293 21.56 11/1 15:04 20.77 3.87%
Trade id #146298599
Max drawdown($1,106)
Time11/1/23 15:03
Quant open1,293
Worst price20.70
Drawdown as % of equity-3.87%
($1,026)
Includes Typical Broker Commissions trade costs of $5.00
10/31/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,284 22.02 10/31 15:59 21.68 1.67%
Trade id #146286086
Max drawdown($487)
Time10/31/23 15:01
Quant open1,284
Worst price21.64
Drawdown as % of equity-1.67%
($448)
Includes Typical Broker Commissions trade costs of $5.00
10/30/23 9:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 877 32.39 10/30 15:59 32.34 2.47%
Trade id #146274831
Max drawdown($714)
Time10/30/23 10:45
Quant open877
Worst price31.57
Drawdown as % of equity-2.47%
($46)
Includes Typical Broker Commissions trade costs of $5.00
10/27/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 913 31.64 10/27 13:21 31.16 1.51%
Trade id #146255691
Max drawdown($452)
Time10/27/23 13:18
Quant open913
Worst price31.14
Drawdown as % of equity-1.51%
($444)
Includes Typical Broker Commissions trade costs of $5.00
10/26/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 888 32.37 10/26 10:25 31.39 2.94%
Trade id #146242966
Max drawdown($903)
Time10/26/23 10:24
Quant open888
Worst price31.35
Drawdown as % of equity-2.94%
($872)
Includes Typical Broker Commissions trade costs of $5.00
10/25/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,381 20.74 10/25 15:59 21.82 n/a $1,487
Includes Typical Broker Commissions trade costs of $5.00
10/24/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 820 34.90 10/24 12:47 34.41 1.35%
Trade id #146217441
Max drawdown($400)
Time10/24/23 12:47
Quant open820
Worst price34.41
Drawdown as % of equity-1.35%
($404)
Includes Typical Broker Commissions trade costs of $5.00
10/20/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 829 35.46 10/20 10:47 34.49 2.72%
Trade id #146184073
Max drawdown($817)
Time10/20/23 10:47
Quant open829
Worst price34.47
Drawdown as % of equity-2.72%
($805)
Includes Typical Broker Commissions trade costs of $5.00
10/19/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 816 37.17 10/19 12:36 36.17 3.08%
Trade id #146171695
Max drawdown($949)
Time10/19/23 12:35
Quant open816
Worst price36.01
Drawdown as % of equity-3.08%
($824)
Includes Typical Broker Commissions trade costs of $5.00
10/18/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 798 37.48 10/18 14:48 37.03 1.33%
Trade id #146159616
Max drawdown($419)
Time10/18/23 14:46
Quant open798
Worst price36.95
Drawdown as % of equity-1.33%
($360)
Includes Typical Broker Commissions trade costs of $5.00
10/17/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 779 37.47 10/17 15:08 38.06 1.53%
Trade id #146149233
Max drawdown($480)
Time10/17/23 9:53
Quant open779
Worst price36.85
Drawdown as % of equity-1.53%
$458
Includes Typical Broker Commissions trade costs of $5.00
10/16/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 740 37.80 10/16 15:59 38.79 n/a $731
Includes Typical Broker Commissions trade costs of $5.00
10/13/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 743 39.10 10/13 11:27 37.62 3.5%
Trade id #146120562
Max drawdown($1,110)
Time10/13/23 11:27
Quant open743
Worst price37.61
Drawdown as % of equity-3.50%
($1,108)
Includes Typical Broker Commissions trade costs of $5.00
10/12/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 749 39.50 10/12 14:09 38.29 2.85%
Trade id #146108984
Max drawdown($918)
Time10/12/23 14:09
Quant open749
Worst price38.27
Drawdown as % of equity-2.85%
($906)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    4/28/2023
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    298.03
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    141
  • # Profitable
    71
  • % Profitable
    50.40%
  • Avg trade duration
    6.5 hours
  • Max peak-to-valley drawdown
    33.9%
  • drawdown period
    Sept 01, 2023 - Nov 09, 2023
  • Cumul. Return
    0.4%
  • Avg win
    $666.35
  • Avg loss
    $647.90
  • Model Account Values (Raw)
  • Cash
    $31,957
  • Margin Used
    $0
  • Buying Power
    $31,957
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.16
  • Calmar Ratio
    0.421
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.74%
  • Correlation to SP500
    0.15750
  • Return Percent SP500 (cumu) during strategy life
    21.36%
  • Return Statistics
  • Ann Return (w trading costs)
    0.7%
  • Slump
  • Current Slump as Pcnt Equity
    39.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.004%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.00%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    1.00%
  • 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
    0.35%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    693
  • Popularity (Last 6 weeks)
    849
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    502
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $648
  • Avg Win
    $666
  • Sum Trade PL (losers)
    $45,353.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $47,311.000
  • # Winners
    71
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    70
  • % Winners
    50.4%
  • Frequency
  • Avg Position Time (mins)
    387.47
  • Avg Position Time (hrs)
    6.46
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    84
  • Leverage
  • Daily leverage (average)
    2.81
  • Daily leverage (max)
    2.99
  • Regression
  • Alpha
    -0.01
  • Beta
    0.35
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.00
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -5.845
  • 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
    0.624
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.294
  • Hold-and-Hope Ratio
    -0.171
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15552
  • SD
    0.50668
  • Sharpe ratio (Glass type estimate)
    0.30694
  • Sharpe ratio (Hedges UMVUE)
    0.25806
  • df
    5.00000
  • t
    0.21704
  • p
    0.41838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.51836
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03448
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52605
  • Upside Potential Ratio
    2.42694
  • Upside part of mean
    0.71750
  • Downside part of mean
    -0.56198
  • Upside SD
    0.35854
  • Downside SD
    0.29564
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.02191
  • Mean of criterion
    0.15552
  • SD of predictor
    0.13272
  • SD of criterion
    0.50668
  • Covariance
    0.01817
  • r
    0.27025
  • b (slope, estimate of beta)
    1.03171
  • a (intercept, estimate of alpha)
    0.17812
  • Mean Square Error
    0.29747
  • DF error
    4.00000
  • t(b)
    0.56139
  • p(b)
    0.30225
  • t(a)
    0.23061
  • p(a)
    0.41446
  • Lowerbound of 95% confidence interval for beta
    -4.07183
  • Upperbound of 95% confidence interval for beta
    6.13525
  • Lowerbound of 95% confidence interval for alpha
    -1.96675
  • Upperbound of 95% confidence interval for alpha
    2.32300
  • Treynor index (mean / b)
    0.15074
  • Jensen alpha (a)
    0.17812
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04857
  • SD
    0.50610
  • Sharpe ratio (Glass type estimate)
    0.09597
  • Sharpe ratio (Hedges UMVUE)
    0.08069
  • df
    5.00000
  • t
    0.06786
  • p
    0.47426
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86377
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.69157
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85295
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14870
  • Upside Potential Ratio
    2.01772
  • Upside part of mean
    0.65907
  • Downside part of mean
    -0.61050
  • Upside SD
    0.32703
  • Downside SD
    0.32664
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.02918
  • Mean of criterion
    0.04857
  • SD of predictor
    0.13234
  • SD of criterion
    0.50610
  • Covariance
    0.02035
  • r
    0.30388
  • b (slope, estimate of beta)
    1.16215
  • a (intercept, estimate of alpha)
    0.08249
  • Mean Square Error
    0.29060
  • DF error
    4.00000
  • t(b)
    0.63794
  • p(b)
    0.27910
  • t(a)
    0.10794
  • p(a)
    0.45962
  • Lowerbound of 95% confidence interval for beta
    -3.89680
  • Upperbound of 95% confidence interval for beta
    6.22110
  • Lowerbound of 95% confidence interval for alpha
    -2.03974
  • Upperbound of 95% confidence interval for alpha
    2.20472
  • Treynor index (mean / b)
    0.04179
  • Jensen alpha (a)
    0.08249
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21043
  • Expected Shortfall on VaR
    0.25612
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10898
  • Expected Shortfall on VaR
    0.19916
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.80291
  • Quartile 1
    0.95284
  • Median
    0.99683
  • Quartile 3
    1.10119
  • Maximum
    1.22100
  • Mean of quarter 1
    0.87352
  • Mean of quarter 2
    0.97895
  • Mean of quarter 3
    1.01471
  • Mean of quarter 4
    1.17551
  • Inter Quartile Range
    0.14835
  • 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)
    0.00000
  • 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
    2.00000
  • Minimum
    0.02105
  • Quartile 1
    0.07627
  • Median
    0.13150
  • Quartile 3
    0.18672
  • Maximum
    0.24194
  • Mean of quarter 1
    0.02105
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24194
  • Inter Quartile Range
    0.11045
  • 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)
    0.07796
  • Compounded annual return (geometric extrapolation)
    0.07948
  • Calmar ratio (compounded annual return / max draw down)
    0.32850
  • Compounded annual return / average of 25% largest draw downs
    0.32850
  • Compounded annual return / Expected Shortfall lognormal
    0.31032
  • 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
    0.14360
  • SD
    0.28492
  • Sharpe ratio (Glass type estimate)
    0.50398
  • Sharpe ratio (Hedges UMVUE)
    0.50147
  • df
    151.00000
  • t
    0.38387
  • p
    0.48013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07237
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07531
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77751
  • Upside Potential Ratio
    9.81230
  • Upside part of mean
    1.81218
  • Downside part of mean
    -1.66858
  • Upside SD
    0.21591
  • Downside SD
    0.18468
  • N nonnegative terms
    72.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    152.00000
  • Mean of predictor
    0.13001
  • Mean of criterion
    0.14360
  • SD of predictor
    0.12025
  • SD of criterion
    0.28492
  • Covariance
    0.00476
  • r
    0.13902
  • b (slope, estimate of beta)
    0.32941
  • a (intercept, estimate of alpha)
    0.05900
  • Mean Square Error
    0.08014
  • DF error
    150.00000
  • t(b)
    1.71939
  • p(b)
    0.43049
  • t(a)
    0.27051
  • p(a)
    0.48896
  • Lowerbound of 95% confidence interval for beta
    -0.04915
  • Upperbound of 95% confidence interval for beta
    0.70796
  • Lowerbound of 95% confidence interval for alpha
    -0.63527
  • Upperbound of 95% confidence interval for alpha
    0.83681
  • Treynor index (mean / b)
    0.43592
  • Jensen alpha (a)
    0.10077
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10346
  • SD
    0.28376
  • Sharpe ratio (Glass type estimate)
    0.36459
  • Sharpe ratio (Hedges UMVUE)
    0.36278
  • df
    151.00000
  • t
    0.27770
  • p
    0.48562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93762
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21077
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93632
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55316
  • Upside Potential Ratio
    9.56653
  • Upside part of mean
    1.78920
  • Downside part of mean
    -1.68575
  • Upside SD
    0.21225
  • Downside SD
    0.18703
  • N nonnegative terms
    72.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    152.00000
  • Mean of predictor
    0.12280
  • Mean of criterion
    0.10346
  • SD of predictor
    0.12015
  • SD of criterion
    0.28376
  • Covariance
    0.00469
  • r
    0.13766
  • b (slope, estimate of beta)
    0.32512
  • a (intercept, estimate of alpha)
    0.06353
  • Mean Square Error
    0.07952
  • DF error
    150.00000
  • t(b)
    1.70222
  • p(b)
    0.43117
  • t(a)
    0.17126
  • p(a)
    0.49301
  • Lowerbound of 95% confidence interval for beta
    -0.05227
  • Upperbound of 95% confidence interval for beta
    0.70252
  • Lowerbound of 95% confidence interval for alpha
    -0.66947
  • Upperbound of 95% confidence interval for alpha
    0.79653
  • Treynor index (mean / b)
    0.31821
  • Jensen alpha (a)
    0.06353
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02804
  • Expected Shortfall on VaR
    0.03511
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01529
  • Expected Shortfall on VaR
    0.02742
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    152.00000
  • Minimum
    0.96330
  • Quartile 1
    0.98922
  • Median
    0.99968
  • Quartile 3
    1.01090
  • Maximum
    1.06430
  • Mean of quarter 1
    0.97917
  • Mean of quarter 2
    0.99559
  • Mean of quarter 3
    1.00417
  • Mean of quarter 4
    1.02369
  • Inter Quartile Range
    0.02168
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01974
  • Mean of outliers high
    1.05244
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19283
  • VaR(95%) (moments method)
    0.02181
  • Expected Shortfall (moments method)
    0.02637
  • Extreme Value Index (regression method)
    -0.32621
  • VaR(95%) (regression method)
    0.02131
  • Expected Shortfall (regression method)
    0.02473
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00261
  • Quartile 1
    0.00860
  • Median
    0.02546
  • Quartile 3
    0.09394
  • Maximum
    0.30605
  • Mean of quarter 1
    0.00324
  • Mean of quarter 2
    0.01065
  • Mean of quarter 3
    0.06548
  • Mean of quarter 4
    0.20416
  • Inter Quartile Range
    0.08534
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.30605
  • 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)
    0.13650
  • Compounded annual return (geometric extrapolation)
    0.14038
  • Calmar ratio (compounded annual return / max draw down)
    0.45870
  • Compounded annual return / average of 25% largest draw downs
    0.68759
  • Compounded annual return / Expected Shortfall lognormal
    3.99794
  • 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
    -0.26081
  • SD
    0.28533
  • Sharpe ratio (Glass type estimate)
    -0.91406
  • Sharpe ratio (Hedges UMVUE)
    -0.90878
  • df
    130.00000
  • t
    -0.64634
  • p
    0.52830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.68640
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86166
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.68278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86523
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.31644
  • Upside Potential Ratio
    8.18666
  • Upside part of mean
    1.62193
  • Downside part of mean
    -1.88274
  • Upside SD
    0.20445
  • Downside SD
    0.19812
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13682
  • Mean of criterion
    -0.26081
  • SD of predictor
    0.11882
  • SD of criterion
    0.28533
  • Covariance
    0.00312
  • r
    0.09202
  • b (slope, estimate of beta)
    0.22098
  • a (intercept, estimate of alpha)
    -0.29105
  • Mean Square Error
    0.08135
  • DF error
    129.00000
  • t(b)
    1.04960
  • p(b)
    0.44150
  • t(a)
    -0.71971
  • p(a)
    0.54023
  • Lowerbound of 95% confidence interval for beta
    -0.19557
  • Upperbound of 95% confidence interval for beta
    0.63753
  • Lowerbound of 95% confidence interval for alpha
    -1.09114
  • Upperbound of 95% confidence interval for alpha
    0.50905
  • Treynor index (mean / b)
    -1.18026
  • Jensen alpha (a)
    -0.29105
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30116
  • SD
    0.28440
  • Sharpe ratio (Glass type estimate)
    -1.05893
  • Sharpe ratio (Hedges UMVUE)
    -1.05280
  • df
    130.00000
  • t
    -0.74877
  • p
    0.53277
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.83179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.82756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72195
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.50091
  • Upside Potential Ratio
    7.98088
  • Upside part of mean
    1.60135
  • Downside part of mean
    -1.90250
  • Upside SD
    0.20087
  • Downside SD
    0.20065
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12977
  • Mean of criterion
    -0.30116
  • SD of predictor
    0.11876
  • SD of criterion
    0.28440
  • Covariance
    0.00309
  • r
    0.09163
  • b (slope, estimate of beta)
    0.21944
  • a (intercept, estimate of alpha)
    -0.32963
  • Mean Square Error
    0.08082
  • DF error
    129.00000
  • t(b)
    1.04515
  • p(b)
    0.44175
  • t(a)
    -0.81799
  • p(a)
    0.54569
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.19597
  • Upperbound of 95% confidence interval for beta
    0.63485
  • Lowerbound of 95% confidence interval for alpha
    -1.12693
  • Upperbound of 95% confidence interval for alpha
    0.46767
  • Treynor index (mean / b)
    -1.37238
  • Jensen alpha (a)
    -0.32963
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02960
  • Expected Shortfall on VaR
    0.03668
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01796
  • Expected Shortfall on VaR
    0.03073
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96330
  • Quartile 1
    0.98651
  • Median
    0.99892
  • Quartile 3
    1.01035
  • Maximum
    1.06430
  • Mean of quarter 1
    0.97787
  • Mean of quarter 2
    0.99396
  • Mean of quarter 3
    1.00273
  • Mean of quarter 4
    1.02199
  • Inter Quartile Range
    0.02384
  • 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
    0.01527
  • Mean of outliers high
    1.05613
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05557
  • VaR(95%) (moments method)
    0.02346
  • Expected Shortfall (moments method)
    0.02892
  • Extreme Value Index (regression method)
    -0.30103
  • VaR(95%) (regression method)
    0.02279
  • Expected Shortfall (regression method)
    0.02608
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00388
  • Quartile 1
    0.03980
  • Median
    0.09116
  • Quartile 3
    0.10228
  • Maximum
    0.30605
  • Mean of quarter 1
    0.02184
  • Mean of quarter 2
    0.09116
  • Mean of quarter 3
    0.10228
  • Mean of quarter 4
    0.30605
  • Inter Quartile Range
    0.06249
  • 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
    0.30605
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -314681000
  • Max Equity Drawdown (num days)
    69
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.25540
  • Compounded annual return (geometric extrapolation)
    -0.23910
  • Calmar ratio (compounded annual return / max draw down)
    -0.78124
  • Compounded annual return / average of 25% largest draw downs
    -0.78124
  • Compounded annual return / Expected Shortfall lognormal
    -6.51832

Strategy Description

Investment Strategy Overview

This strategy intraday trades the 3x Long and Short Nasdaq ETFs, TQQQ and SQQQ. As a fundamental principle of our strategy, no positions are maintained overnight. This approach is deliberately designed to mitigate some of the inherent volatility associated with these ETFs.


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
2023-04-28
Suggested Minimum Capital
$35,000
# Trades
141
# Profitable
71
% Profitable
50.4%
Correlation S&P500
0.158
Sharpe Ratio
0.10
Sortino Ratio
0.16
Beta
0.35
Alpha
-0.01
Leverage
2.81 Average
2.99 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.