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TQQQSQQQ
(124727146)

Created by: ETFCapital ETFCapital
Started: 08/2019
Stocks
Last trade: 39 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $95.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

68.5%
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.

(32.6%)
Max Drawdown
488
Num Trades
47.5%
Win Trades
1.6 : 1
Profit Factor
70.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +13.4%+4.6%+15.6%+10.7%+3.7%+57.4%
2020(2.1%)+8.9%+1.5%(2.5%)+0.9%+2.1%(5.3%)+8.0%(7.2%)+14.7%+0.2%+2.3%+21.3%
2021(0.5%)+6.4%(0.8%)+13.1%+28.1%+11.1%+12.0%(10.5%)(16.7%)+20.0%            +69.1%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 1,444 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
9/17/21 10:16 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,080 7.60 9/17 10:54 7.62 0.01%
Trade id #137415879
Max drawdown($21)
Time9/17/21 10:22
Quant open1,080
Worst price7.58
Drawdown as % of equity-0.01%
$11
Includes Typical Broker Commissions trade costs of $5.00
9/16/21 12:20 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,096 145.06 9/17 10:14 143.62 1%
Trade id #137401589
Max drawdown($1,590)
Time9/17/21 10:14
Quant open1,096
Worst price143.61
Drawdown as % of equity-1.00%
($1,587)
Includes Typical Broker Commissions trade costs of $5.00
9/15/21 15:06 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,062 146.84 9/15 15:48 147.35 0.05%
Trade id #137387339
Max drawdown($75)
Time9/15/21 15:09
Quant open1,062
Worst price146.76
Drawdown as % of equity-0.05%
$540
Includes Typical Broker Commissions trade costs of $5.00
9/15/21 10:28 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 20,000 7.68 9/15 13:27 7.50 2.29%
Trade id #137381960
Max drawdown($3,600)
Time9/15/21 13:04
Quant open20,000
Worst price7.50
Drawdown as % of equity-2.29%
($3,540)
Includes Typical Broker Commissions trade costs of $5.00
9/14/21 15:35 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 10,460 7.65 9/15 9:30 7.57 0.86%
Trade id #137372046
Max drawdown($1,359)
Time9/15/21 0:00
Quant open10,460
Worst price7.52
Drawdown as % of equity-0.86%
($842)
Includes Typical Broker Commissions trade costs of $5.00
9/7/21 15:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 523 152.11 9/9 10:21 151.26 1.44%
Trade id #137278887
Max drawdown($2,300)
Time9/8/21 0:00
Quant open523
Worst price147.71
Drawdown as % of equity-1.44%
($448)
Includes Typical Broker Commissions trade costs of $5.00
9/2/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 151.92 9/3 11:55 151.02 2.09%
Trade id #137223000
Max drawdown($3,320)
Time9/2/21 14:11
Quant open1,000
Worst price148.60
Drawdown as % of equity-2.09%
($905)
Includes Typical Broker Commissions trade costs of $5.00
8/30/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,080 145.95 8/31 15:54 149.48 n/a $3,812
Includes Typical Broker Commissions trade costs of $5.00
8/23/21 11:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 141.48 8/27 9:30 141.69 0.72%
Trade id #137081777
Max drawdown($1,143)
Time8/26/21 0:00
Quant open1,100
Worst price140.44
Drawdown as % of equity-0.72%
$227
Includes Typical Broker Commissions trade costs of $5.00
8/19/21 10:45 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 20,000 8.53 8/23 9:30 8.03 6.72%
Trade id #137037787
Max drawdown($10,631)
Time8/23/21 9:30
Quant open20,000
Worst price8.00
Drawdown as % of equity-6.72%
($10,040)
Includes Typical Broker Commissions trade costs of $7.50
8/19/21 10:03 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 2,080 77.39 8/19 10:45 75.78 2.1%
Trade id #137036228
Max drawdown($3,560)
Time8/19/21 10:44
Quant open2,080
Worst price75.68
Drawdown as % of equity-2.10%
($3,362)
Includes Typical Broker Commissions trade costs of $7.00
7/19/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,350 122.07 8/19 9:30 130.43 1.66%
Trade id #136553688
Max drawdown($2,726)
Time7/19/21 10:37
Quant open1,317
Worst price119.67
Drawdown as % of equity-1.66%
$11,277
Includes Typical Broker Commissions trade costs of $7.83
8/18/21 13:51 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 1,100 81.93 8/19 9:30 76.30 3.79%
Trade id #137022628
Max drawdown($6,609)
Time8/19/21 0:00
Quant open1,100
Worst price75.92
Drawdown as % of equity-3.79%
($6,198)
Includes Typical Broker Commissions trade costs of $5.00
7/8/21 14:17 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 17,000 8.82 7/19 9:30 9.16 5.43%
Trade id #136387646
Max drawdown($8,451)
Time7/13/21 0:00
Quant open17,000
Worst price8.32
Drawdown as % of equity-5.43%
$5,823
Includes Typical Broker Commissions trade costs of $5.00
7/2/21 12:37 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 842 97.23 7/8 12:49 90.46 7.12%
Trade id #136310509
Max drawdown($11,563)
Time7/8/21 9:49
Quant open842
Worst price83.50
Drawdown as % of equity-7.12%
($5,708)
Includes Typical Broker Commissions trade costs of $5.00
6/16/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,925 113.27 7/8 12:34 122.17 3.41%
Trade id #136075799
Max drawdown($5,130)
Time6/16/21 14:45
Quant open1,000
Worst price105.52
Drawdown as % of equity-3.41%
$17,103
Includes Typical Broker Commissions trade costs of $15.00
6/17/21 15:35 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 794 95.90 6/24 13:49 99.54 4.32%
Trade id #136103345
Max drawdown($6,427)
Time6/18/21 0:00
Quant open794
Worst price87.81
Drawdown as % of equity-4.32%
$2,883
Includes Typical Broker Commissions trade costs of $5.44
6/16/21 9:30 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 500 71.02 6/17 11:36 61.60 3.25%
Trade id #136075788
Max drawdown($4,803)
Time6/17/21 11:25
Quant open500
Worst price61.41
Drawdown as % of equity-3.25%
($4,719)
Includes Typical Broker Commissions trade costs of $10.00
6/14/21 15:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 111.27 6/15 15:59 109.86 0.35%
Trade id #136052500
Max drawdown($542)
Time6/15/21 0:00
Quant open300
Worst price109.46
Drawdown as % of equity-0.35%
($428)
Includes Typical Broker Commissions trade costs of $6.00
6/14/21 14:52 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,000 73.06 6/15 15:59 71.45 1.53%
Trade id #136051827
Max drawdown($2,293)
Time6/15/21 12:44
Quant open1,000
Worst price70.77
Drawdown as % of equity-1.53%
($1,624)
Includes Typical Broker Commissions trade costs of $9.70
6/14/21 15:46 LABU DIREXION DAILY S&P BIOTECH BULL LONG 400 75.77 6/14 15:52 75.20 0.19%
Trade id #136052496
Max drawdown($292)
Time6/14/21 15:52
Quant open400
Worst price75.04
Drawdown as % of equity-0.19%
($235)
Includes Typical Broker Commissions trade costs of $8.00
6/7/21 15:00 LABU DIREXION DAILY S&P BIOTECH BULL LONG 785 71.00 6/14 11:55 75.58 1.24%
Trade id #135946749
Max drawdown($1,803)
Time6/8/21 0:00
Quant open400
Worst price65.13
Drawdown as % of equity-1.24%
$3,587
Includes Typical Broker Commissions trade costs of $10.35
6/3/21 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,030 100.52 6/14 11:54 108.90 n/a $8,621
Includes Typical Broker Commissions trade costs of $13.00
5/27/21 13:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,152 102.61 6/3 15:51 98.91 4.21%
Trade id #135807109
Max drawdown($6,027)
Time6/3/21 9:50
Quant open1,152
Worst price97.38
Drawdown as % of equity-4.21%
($4,272)
Includes Typical Broker Commissions trade costs of $9.52
5/26/21 13:33 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 1,500 90.24 5/27 11:53 93.14 0.69%
Trade id #135788679
Max drawdown($963)
Time5/26/21 13:54
Quant open1,500
Worst price89.60
Drawdown as % of equity-0.69%
$4,335
Includes Typical Broker Commissions trade costs of $5.00
5/24/21 11:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,300 101.64 5/26 13:29 102.84 0.95%
Trade id #135748852
Max drawdown($1,313)
Time5/25/21 0:00
Quant open1,300
Worst price100.63
Drawdown as % of equity-0.95%
$1,550
Includes Typical Broker Commissions trade costs of $7.10
5/20/21 15:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 830 98.32 5/21 11:07 97.68 0.68%
Trade id #135707522
Max drawdown($941)
Time5/21/21 10:54
Quant open830
Worst price97.19
Drawdown as % of equity-0.68%
($534)
Includes Typical Broker Commissions trade costs of $5.00
5/20/21 15:35 TQQQ PROSHARES ULTRAPRO QQQ SHORT 276 98.68 5/20 15:35 98.71 0.01%
Trade id #135707257
Max drawdown($8)
Time5/20/21 15:35
Quant open276
Worst price98.71
Drawdown as % of equity-0.01%
($14)
Includes Typical Broker Commissions trade costs of $5.52
5/12/21 12:07 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,380 88.50 5/20 15:34 98.61 1.29%
Trade id #135579517
Max drawdown($1,630)
Time5/12/21 15:54
Quant open1,380
Worst price87.32
Drawdown as % of equity-1.29%
$13,939
Includes Typical Broker Commissions trade costs of $10.30
5/11/21 15:27 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,000 12.06 5/12 11:45 12.87 n/a $795
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/1/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    816.77
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    488
  • # Profitable
    232
  • % Profitable
    47.50%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    32.58%
  • drawdown period
    Aug 05, 2021 - Oct 04, 2021
  • Annual Return (Compounded)
    68.5%
  • Avg win
    $1,436
  • Avg loss
    $836.43
  • Model Account Values (Raw)
  • Cash
    $45,789
  • Margin Used
    $0
  • Buying Power
    $53,848
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    1.48
  • Sortino Ratio
    2.26
  • Calmar Ratio
    2.391
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    168.19%
  • Correlation to SP500
    0.16330
  • Return Percent SP500 (cumu) during strategy life
    54.61%
  • Return Statistics
  • Ann Return (w trading costs)
    68.5%
  • Slump
  • Current Slump as Pcnt Equity
    19.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.685%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    71.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.00%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    1.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    923
  • Popularity (Last 6 weeks)
    978
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    281
  • Popularity (7 days, Percentile 1000 scale)
    923
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $836
  • Avg Win
    $1,431
  • Sum Trade PL (losers)
    $214,125.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $332,013.000
  • # Winners
    232
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    334
  • AUM
  • AUM (AutoTrader live capital)
    217767
  • Win / Loss
  • # Losers
    256
  • % Winners
    47.5%
  • Frequency
  • Avg Position Time (mins)
    4178.92
  • Avg Position Time (hrs)
    69.65
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    25
  • Leverage
  • Daily leverage (average)
    1.83
  • Daily leverage (max)
    3.87
  • Regression
  • Alpha
    0.14
  • Beta
    0.20
  • Treynor Index
    0.74
  • 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)
    -0.26
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.069
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.477
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.341
  • Hold-and-Hope Ratio
    0.202
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52548
  • SD
    0.34638
  • Sharpe ratio (Glass type estimate)
    1.51708
  • Sharpe ratio (Hedges UMVUE)
    1.47103
  • df
    25.00000
  • t
    2.23308
  • p
    0.01737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07847
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86359
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39258
  • Upside Potential Ratio
    5.02040
  • Upside part of mean
    0.77761
  • Downside part of mean
    -0.25213
  • Upside SD
    0.33820
  • Downside SD
    0.15489
  • N nonnegative terms
    17.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.16526
  • Mean of criterion
    0.52548
  • SD of predictor
    0.15598
  • SD of criterion
    0.34638
  • Covariance
    0.01447
  • r
    0.26780
  • b (slope, estimate of beta)
    0.59468
  • a (intercept, estimate of alpha)
    0.42720
  • Mean Square Error
    0.11601
  • DF error
    24.00000
  • t(b)
    1.36167
  • p(b)
    0.09297
  • t(a)
    1.76244
  • p(a)
    0.04536
  • Lowerbound of 95% confidence interval for beta
    -0.30668
  • Upperbound of 95% confidence interval for beta
    1.49604
  • Lowerbound of 95% confidence interval for alpha
    -0.07307
  • Upperbound of 95% confidence interval for alpha
    0.92747
  • Treynor index (mean / b)
    0.88363
  • Jensen alpha (a)
    0.42720
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46037
  • SD
    0.33160
  • Sharpe ratio (Glass type estimate)
    1.38833
  • Sharpe ratio (Hedges UMVUE)
    1.34619
  • df
    25.00000
  • t
    2.04356
  • p
    0.02583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00989
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03664
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72901
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80606
  • Upside Potential Ratio
    4.41811
  • Upside part of mean
    0.72485
  • Downside part of mean
    -0.26448
  • Upside SD
    0.31061
  • Downside SD
    0.16406
  • N nonnegative terms
    17.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.15197
  • Mean of criterion
    0.46037
  • SD of predictor
    0.15820
  • SD of criterion
    0.33160
  • Covariance
    0.01446
  • r
    0.27573
  • b (slope, estimate of beta)
    0.57796
  • a (intercept, estimate of alpha)
    0.37254
  • Mean Square Error
    0.10583
  • DF error
    24.00000
  • t(b)
    1.40527
  • p(b)
    0.08638
  • t(a)
    1.62199
  • p(a)
    0.05893
  • Lowerbound of 95% confidence interval for beta
    -0.27088
  • Upperbound of 95% confidence interval for beta
    1.42681
  • Lowerbound of 95% confidence interval for alpha
    -0.10150
  • Upperbound of 95% confidence interval for alpha
    0.84657
  • Treynor index (mean / b)
    0.79654
  • Jensen alpha (a)
    0.37254
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11227
  • Expected Shortfall on VaR
    0.14655
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03764
  • Expected Shortfall on VaR
    0.07967
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.86613
  • Quartile 1
    0.97738
  • Median
    1.04605
  • Quartile 3
    1.11646
  • Maximum
    1.26403
  • Mean of quarter 1
    0.92702
  • Mean of quarter 2
    1.01462
  • Mean of quarter 3
    1.07234
  • Mean of quarter 4
    1.16973
  • Inter Quartile Range
    0.13908
  • 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)
    0.10256
  • VaR(95%) (moments method)
    0.06938
  • Expected Shortfall (moments method)
    0.10260
  • Extreme Value Index (regression method)
    -0.59393
  • VaR(95%) (regression method)
    0.07384
  • Expected Shortfall (regression method)
    0.08433
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00896
  • Quartile 1
    0.03154
  • Median
    0.03495
  • Quartile 3
    0.07839
  • Maximum
    0.24434
  • Mean of quarter 1
    0.01975
  • Mean of quarter 2
    0.03375
  • Mean of quarter 3
    0.07701
  • Mean of quarter 4
    0.16205
  • Inter Quartile Range
    0.04684
  • 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
    0.14286
  • Mean of outliers high
    0.24434
  • 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)
    0.86789
  • Compounded annual return (geometric extrapolation)
    0.62951
  • Calmar ratio (compounded annual return / max draw down)
    2.57634
  • Compounded annual return / average of 25% largest draw downs
    3.88462
  • Compounded annual return / Expected Shortfall lognormal
    4.29555
  • 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
    0.55311
  • SD
    0.28615
  • Sharpe ratio (Glass type estimate)
    1.93294
  • Sharpe ratio (Hedges UMVUE)
    1.93043
  • df
    578.00000
  • t
    2.87347
  • p
    0.00210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60730
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25355
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.96499
  • Upside Potential Ratio
    10.35470
  • Upside part of mean
    1.93165
  • Downside part of mean
    -1.37853
  • Upside SD
    0.21934
  • Downside SD
    0.18655
  • N nonnegative terms
    317.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    579.00000
  • Mean of predictor
    0.20101
  • Mean of criterion
    0.55311
  • SD of predictor
    0.25084
  • SD of criterion
    0.28615
  • Covariance
    0.01064
  • r
    0.14822
  • b (slope, estimate of beta)
    0.16909
  • a (intercept, estimate of alpha)
    0.51900
  • Mean Square Error
    0.08022
  • DF error
    577.00000
  • t(b)
    3.60020
  • p(b)
    0.00017
  • t(a)
    2.72131
  • p(a)
    0.00335
  • Lowerbound of 95% confidence interval for beta
    0.07684
  • Upperbound of 95% confidence interval for beta
    0.26134
  • Lowerbound of 95% confidence interval for alpha
    0.14445
  • Upperbound of 95% confidence interval for alpha
    0.89380
  • Treynor index (mean / b)
    3.27112
  • Jensen alpha (a)
    0.51912
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51169
  • SD
    0.28604
  • Sharpe ratio (Glass type estimate)
    1.78884
  • Sharpe ratio (Hedges UMVUE)
    1.78652
  • df
    578.00000
  • t
    2.65926
  • p
    0.00402
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.11054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10897
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.69011
  • Upside Potential Ratio
    10.03060
  • Upside part of mean
    1.90793
  • Downside part of mean
    -1.39624
  • Upside SD
    0.21564
  • Downside SD
    0.19021
  • N nonnegative terms
    317.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    579.00000
  • Mean of predictor
    0.16926
  • Mean of criterion
    0.51169
  • SD of predictor
    0.25251
  • SD of criterion
    0.28604
  • Covariance
    0.01068
  • r
    0.14792
  • b (slope, estimate of beta)
    0.16757
  • a (intercept, estimate of alpha)
    0.48332
  • Mean Square Error
    0.08017
  • DF error
    577.00000
  • t(b)
    3.59272
  • p(b)
    0.00018
  • t(a)
    2.53542
  • p(a)
    0.00575
  • Lowerbound of 95% confidence interval for beta
    0.07596
  • Upperbound of 95% confidence interval for beta
    0.25917
  • Lowerbound of 95% confidence interval for alpha
    0.10891
  • Upperbound of 95% confidence interval for alpha
    0.85774
  • Treynor index (mean / b)
    3.05364
  • Jensen alpha (a)
    0.48332
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02675
  • Expected Shortfall on VaR
    0.03389
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01129
  • Expected Shortfall on VaR
    0.02313
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    579.00000
  • Minimum
    0.92316
  • Quartile 1
    0.99363
  • Median
    1.00133
  • Quartile 3
    1.01158
  • Maximum
    1.06659
  • Mean of quarter 1
    0.98129
  • Mean of quarter 2
    0.99805
  • Mean of quarter 3
    1.00590
  • Mean of quarter 4
    1.02366
  • Inter Quartile Range
    0.01795
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.03454
  • Mean of outliers low
    0.95504
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.02763
  • Mean of outliers high
    1.05024
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19201
  • VaR(95%) (moments method)
    0.01714
  • Expected Shortfall (moments method)
    0.02679
  • Extreme Value Index (regression method)
    0.10742
  • VaR(95%) (regression method)
    0.01869
  • Expected Shortfall (regression method)
    0.02803
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00701
  • Median
    0.02771
  • Quartile 3
    0.06384
  • Maximum
    0.29918
  • Mean of quarter 1
    0.00257
  • Mean of quarter 2
    0.01797
  • Mean of quarter 3
    0.04567
  • Mean of quarter 4
    0.11724
  • Inter Quartile Range
    0.05683
  • 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
    0.05128
  • Mean of outliers high
    0.23260
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38428
  • VaR(95%) (moments method)
    0.13558
  • Expected Shortfall (moments method)
    0.23098
  • Extreme Value Index (regression method)
    1.18437
  • VaR(95%) (regression method)
    0.11255
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.03858
  • Compounded annual return (geometric extrapolation)
    0.71531
  • Calmar ratio (compounded annual return / max draw down)
    2.39088
  • Compounded annual return / average of 25% largest draw downs
    6.10153
  • Compounded annual return / Expected Shortfall lognormal
    21.10690
  • 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
    0.61690
  • SD
    0.35573
  • Sharpe ratio (Glass type estimate)
    1.73420
  • Sharpe ratio (Hedges UMVUE)
    1.72417
  • df
    130.00000
  • t
    1.22626
  • p
    0.44653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51074
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50389
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57506
  • Upside Potential Ratio
    9.90158
  • Upside part of mean
    2.37208
  • Downside part of mean
    -1.75518
  • Upside SD
    0.26388
  • Downside SD
    0.23957
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15166
  • Mean of criterion
    0.61690
  • SD of predictor
    0.11252
  • SD of criterion
    0.35573
  • Covariance
    0.01633
  • r
    0.40805
  • b (slope, estimate of beta)
    1.29004
  • a (intercept, estimate of alpha)
    0.42125
  • Mean Square Error
    0.10629
  • DF error
    129.00000
  • t(b)
    5.07644
  • p(b)
    0.24763
  • t(a)
    0.91048
  • p(a)
    0.44918
  • Lowerbound of 95% confidence interval for beta
    0.78725
  • Upperbound of 95% confidence interval for beta
    1.79283
  • Lowerbound of 95% confidence interval for alpha
    -0.49415
  • Upperbound of 95% confidence interval for alpha
    1.33665
  • Treynor index (mean / b)
    0.47820
  • Jensen alpha (a)
    0.42125
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55324
  • SD
    0.35656
  • Sharpe ratio (Glass type estimate)
    1.55158
  • Sharpe ratio (Hedges UMVUE)
    1.54261
  • df
    130.00000
  • t
    1.09713
  • p
    0.45211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23553
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32075
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25158
  • Upside Potential Ratio
    9.51488
  • Upside part of mean
    2.33791
  • Downside part of mean
    -1.78468
  • Upside SD
    0.25877
  • Downside SD
    0.24571
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14531
  • Mean of criterion
    0.55324
  • SD of predictor
    0.11263
  • SD of criterion
    0.35656
  • Covariance
    0.01639
  • r
    0.40810
  • b (slope, estimate of beta)
    1.29199
  • a (intercept, estimate of alpha)
    0.36549
  • Mean Square Error
    0.10679
  • DF error
    129.00000
  • t(b)
    5.07713
  • p(b)
    0.24760
  • t(a)
    0.78836
  • p(a)
    0.45595
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.78851
  • Upperbound of 95% confidence interval for beta
    1.79547
  • Lowerbound of 95% confidence interval for alpha
    -0.55178
  • Upperbound of 95% confidence interval for alpha
    1.28277
  • Treynor index (mean / b)
    0.42821
  • Jensen alpha (a)
    0.36549
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03355
  • Expected Shortfall on VaR
    0.04237
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01479
  • Expected Shortfall on VaR
    0.03022
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92316
  • Quartile 1
    0.99174
  • Median
    1.00130
  • Quartile 3
    1.01446
  • Maximum
    1.06659
  • Mean of quarter 1
    0.97662
  • Mean of quarter 2
    0.99712
  • Mean of quarter 3
    1.00801
  • Mean of quarter 4
    1.02826
  • Inter Quartile Range
    0.02273
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.93739
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.05651
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42099
  • VaR(95%) (moments method)
    0.02433
  • Expected Shortfall (moments method)
    0.04790
  • Extreme Value Index (regression method)
    0.11069
  • VaR(95%) (regression method)
    0.02448
  • Expected Shortfall (regression method)
    0.03663
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00289
  • Quartile 1
    0.02866
  • Median
    0.03952
  • Quartile 3
    0.05468
  • Maximum
    0.29918
  • Mean of quarter 1
    0.01117
  • Mean of quarter 2
    0.03626
  • Mean of quarter 3
    0.04147
  • Mean of quarter 4
    0.14284
  • Inter Quartile Range
    0.02603
  • 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
    0.10000
  • Mean of outliers high
    0.29918
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.62377
  • VaR(95%) (moments method)
    0.17597
  • Expected Shortfall (moments method)
    0.51130
  • Extreme Value Index (regression method)
    3.30688
  • VaR(95%) (regression method)
    0.55652
  • 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?
    -309810000
  • Max Equity Drawdown (num days)
    60
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67439
  • Compounded annual return (geometric extrapolation)
    0.78808
  • Calmar ratio (compounded annual return / max draw down)
    2.63413
  • Compounded annual return / average of 25% largest draw downs
    5.51721
  • Compounded annual return / Expected Shortfall lognormal
    18.60010

Strategy Description

We are ETFCapital and our goal with TQQQSQQQ is to be both as ROBUST as possible & IRA FRIENDLY!
Kind of the best of both worlds.
TQQQSQQQ has been developed and refined for 1000s of hours.
Will will strictly trade TQQQ/SQQQ/UVXY
We were the early pioneers to use Tqqq and Sqqq on Collective2, several have now adapted their systems to include these instruments.
We are now into our 3rd year on Collective2 and the track record is there and it’s clear.
We constantly monitor and refine TQQQSQQQ as needed but not so much as to lose its integrity.
Welcome and thanks for joining!!

Proprietary Trading System
IRA Friendly
Trades Long Only
Trading is risky, you may lose money doing so.



Summary Statistics

Strategy began
2019-08-01
Suggested Minimum Capital
$15,000
# Trades
488
# Profitable
232
% Profitable
47.5%
Net Dividends
Correlation S&P500
0.163
Sharpe Ratio
1.48
Sortino Ratio
2.26
Beta
0.20
Alpha
0.14
Leverage
1.83 Average
3.87 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.