Collective2 Collective2
Featured Strategy SK Trader Rank on Leaderboard #6 Hypothetical

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


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Position trading TQQQ
(141158577)

Creato da: Mallik Mallik
Started: 07/2022
Stocks
Last trade: 5 days ago
Trading style: Equity Momentum

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 è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).

16.0%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(42.1%)
Max Drawdown
49
Num Trades
42.9%
Win Trades
1.7 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +7.0%+5.0%(16.7%)(1.5%)+13.0%(17.3%)(13.9%)
2023+12.6%(5.8%)+7.1%(1.4%)+24.6%+12.3%+10.2%(2.2%)(6.7%)(3.4%)+9.9%+3.4%+72.8%
2024+7.4%+4.4%(1%)(9.4%)+20.3%+1.5%(3.8%)+0.8%(4.6%)(1%)(10.2%)+5.4%+6.3%
2025+2.7%(4.2%)(23.7%)+2.6%+19.7%+5.7%                                    (2.5%)


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 105 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
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/23/25 15:51 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 116 35.64 5/1 15:51 29.62 6.61%
Trade id #151504406
Max drawdown($789)
Time5/1/25 11:19
Quant open116
Worst price28.83
Drawdown as % of equity-6.61%
 ($700)
Includes Typical Broker Commissions trade costs of $2.32
4/11/25 15:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 114 36.13 4/16 15:42 39.37 2.28%
Trade id #151377652
Max drawdown($282)
Time4/14/25 0:00
Quant open114
Worst price33.66
Drawdown as % of equity-2.28%
 $367
Includes Typical Broker Commissions trade costs of $2.28
4/9/25 15:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 114 33.65 4/10 15:47 38.99 0.46%
Trade id #151343542
Max drawdown($54)
Time4/9/25 15:55
Quant open114
Worst price33.17
Drawdown as % of equity-0.46%
 $607
Includes Typical Broker Commissions trade costs of $2.28
3/26/25 15:54 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 164 34.85 3/28 15:49 37.39 0.65%
Trade id #151199197
Max drawdown($74)
Time3/27/25 0:00
Quant open164
Worst price34.40
Drawdown as % of equity-0.65%
 $413
Includes Typical Broker Commissions trade costs of $3.28
3/24/25 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 90 66.17 3/27 15:52 62.42 3.45%
Trade id #151176456
Max drawdown($397)
Time3/27/25 9:41
Quant open90
Worst price61.75
Drawdown as % of equity-3.45%
 ($339)
Includes Typical Broker Commissions trade costs of $1.80
3/19/25 15:51 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 111 36.28 3/24 15:45 34.10 2.14%
Trade id #151138787
Max drawdown($252)
Time3/24/25 15:06
Quant open111
Worst price34.01
Drawdown as % of equity-2.14%
 ($244)
Includes Typical Broker Commissions trade costs of $2.22
3/17/25 15:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 98 63.83 3/18 9:49 60.29 3.2%
Trade id #151119267
Max drawdown($394)
Time3/18/25 9:45
Quant open98
Worst price59.80
Drawdown as % of equity-3.20%
 ($349)
Includes Typical Broker Commissions trade costs of $1.96
6/13/24 15:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,683 77.13 3/10/25 15:56 75.84 47.34%
Trade id #148403319
Max drawdown($5,775)
Time3/10/25 15:11
Quant open300
Worst price57.88
Drawdown as % of equity-47.34%
 ($4,839)
Includes Typical Broker Commissions trade costs of $73.66
8/16/24 15:50 SPY SPDR S&P 500 SHORT 30 553.77 8/16 15:50 553.83 0.01%
Trade id #148941690
Max drawdown($2)
Time8/16/24 15:50
Quant open30
Worst price553.83
Drawdown as % of equity-0.01%
 ($3)
Includes Typical Broker Commissions trade costs of $0.60
3/27/23 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,814 45.73 6/6/24 15:28 52.03 7.25%
Trade id #144059128
Max drawdown($664)
Time3/28/23 0:00
Quant open400
Worst price24.29
Drawdown as % of equity-7.25%
 $11,402
Includes Typical Broker Commissions trade costs of $36.28
11/10/23 15:46 SPY SPDR S&P 500 SHORT 3 440.53 11/10 15:46 440.51 n/a $0
Includes Typical Broker Commissions trade costs of $0.06
3/24/23 13:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 32.82 3/27 9:30 32.13 0.77%
Trade id #144030341
Max drawdown($73)
Time3/27/23 9:30
Quant open100
Worst price32.09
Drawdown as % of equity-0.77%
 ($71)
Includes Typical Broker Commissions trade costs of $2.00
3/16/23 9:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 430 22.91 3/23 14:39 25.24 n/a $993
Includes Typical Broker Commissions trade costs of $8.60
3/15/23 10:46 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 77 38.74 3/16 9:47 37.28 1.78%
Trade id #143912011
Max drawdown($152)
Time3/15/23 15:02
Quant open77
Worst price36.76
Drawdown as % of equity-1.78%
 ($114)
Includes Typical Broker Commissions trade costs of $1.54
3/15/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 460 22.17 3/15 10:43 21.97 1.24%
Trade id #143909502
Max drawdown($110)
Time3/15/23 10:35
Quant open460
Worst price21.93
Drawdown as % of equity-1.24%
 ($101)
Includes Typical Broker Commissions trade costs of $9.20
3/1/23 11:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 490 21.85 3/10 13:41 20.77 5.78%
Trade id #143736781
Max drawdown($529)
Time3/10/23 13:35
Quant open490
Worst price20.77
Drawdown as % of equity-5.78%
 ($539)
Includes Typical Broker Commissions trade costs of $9.80
1/20/23 13:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 538 20.39 3/1 11:16 21.61 0.1%
Trade id #143286132
Max drawdown($10)
Time1/25/23 0:00
Quant open500
Worst price19.98
Drawdown as % of equity-0.10%
 $645
Includes Typical Broker Commissions trade costs of $10.76
1/19/23 9:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 60 48.75 1/20 13:54 45.80 2.04%
Trade id #143267532
Max drawdown($179)
Time1/20/23 13:50
Quant open60
Worst price45.75
Drawdown as % of equity-2.04%
 ($178)
Includes Typical Broker Commissions trade costs of $1.20
1/11/23 15:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 530 19.29 1/19 9:49 18.83 3.99%
Trade id #143183186
Max drawdown($371)
Time1/12/23 0:00
Quant open530
Worst price18.59
Drawdown as % of equity-3.99%
 ($249)
Includes Typical Broker Commissions trade costs of $5.00
1/5/23 10:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 16.69 1/6 9:31 16.55 0.89%
Trade id #143108174
Max drawdown($82)
Time1/5/23 15:54
Quant open200
Worst price16.28
Drawdown as % of equity-0.89%
 ($32)
Includes Typical Broker Commissions trade costs of $4.00
12/30/22 10:04 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 55.85 1/5/23 10:05 56.33 4.62%
Trade id #143044944
Max drawdown($416)
Time1/3/23 0:00
Quant open100
Worst price51.68
Drawdown as % of equity-4.62%
 $46
Includes Typical Broker Commissions trade costs of $2.00
12/28/22 10:18 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 16.94 12/30 9:41 16.72 1.83%
Trade id #143018474
Max drawdown($168)
Time12/28/22 15:15
Quant open200
Worst price16.10
Drawdown as % of equity-1.83%
 ($48)
Includes Typical Broker Commissions trade costs of $4.00
12/16/22 10:03 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 200 49.34 12/20 9:39 52.97 n/a $722
Includes Typical Broker Commissions trade costs of $4.00
12/1/22 10:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 480 23.59 12/15 15:47 19.53 23.26%
Trade id #142734913
Max drawdown($2,035)
Time12/15/22 13:52
Quant open480
Worst price19.35
Drawdown as % of equity-23.26%
 ($1,959)
Includes Typical Broker Commissions trade costs of $9.60
11/21/22 9:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 480 21.50 12/1 10:17 23.16 5.11%
Trade id #142631054
Max drawdown($494)
Time11/29/22 0:00
Quant open480
Worst price20.47
Drawdown as % of equity-5.11%
 $787
Includes Typical Broker Commissions trade costs of $9.60
11/18/22 12:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 64 46.74 11/21 9:35 46.52 0.84%
Trade id #142617559
Max drawdown($83)
Time11/18/22 15:50
Quant open64
Worst price45.44
Drawdown as % of equity-0.84%
 ($15)
Includes Typical Broker Commissions trade costs of $1.28
11/10/22 14:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 477 20.88 11/18 12:53 21.33 0.14%
Trade id #142524960
Max drawdown($13)
Time11/10/22 14:44
Quant open463
Worst price20.81
Drawdown as % of equity-0.14%
 $208
Includes Typical Broker Commissions trade costs of $9.54
11/4/22 10:54 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 55 59.82 11/7 10:20 59.24 0.84%
Trade id #142442965
Max drawdown($80)
Time11/7/22 9:31
Quant open55
Worst price58.35
Drawdown as % of equity-0.84%
 ($33)
Includes Typical Broker Commissions trade costs of $1.10
10/31/22 15:07 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 60 52.08 11/2 11:32 54.97 1.57%
Trade id #142385761
Max drawdown($148)
Time11/1/22 0:00
Quant open60
Worst price49.60
Drawdown as % of equity-1.57%
 $172
Includes Typical Broker Commissions trade costs of $1.20
9/16/22 9:32 TZA DIREXION DAILY SMALL CAP BEAR LONG 260 37.37 9/21 9:51 37.51 3.19%
Trade id #141828168
Max drawdown($309)
Time9/19/22 0:00
Quant open260
Worst price36.18
Drawdown as % of equity-3.19%
 $32
Includes Typical Broker Commissions trade costs of $5.20

Successivo

Statistics

  • Strategy began
    7/23/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1060.18
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    49
  • # Profitable
    21
  • % Profitable
    42.90%
  • Avg trade duration
    19.3 days
  • Max peak-to-valley drawdown
    42.1%
  • drawdown period
    July 10, 2024 - March 26, 2025
  • Annual Return (Compounded)
    16.0%
  • Avg win
    $1,030
  • Avg loss
    $467.32
  • Model Account Values (Raw)
  • Cash
    $4,473
  • Margin Used
    $0
  • Buying Power
    $8,143
  • Ratios
  • W:L ratio
    1.69:1
  • Sharpe Ratio
    0.48
  • Sortino Ratio
    0.71
  • Calmar Ratio
    1.021
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.20%
  • Correlation to SP500
    0.42280
  • Return Percent SP500 (cumu) during strategy life
    51.52%
  • Return Statistics
  • Ann Return (w trading costs)
    16.0%
  • Slump
  • Current Slump as Pcnt Equity
    29.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • 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)
    0.160%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    28.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    34.50%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    4.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    803
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    456
  • Popularity (7 days, Percentile 1000 scale)
    696
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $467
  • Avg Win
    $1,112
  • Sum Trade PL (losers)
    $13,085.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $23,360.000
  • # Winners
    21
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    233
  • AUM
  • AUM (AutoTrader live capital)
    40419
  • Win / Loss
  • # Losers
    28
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    27774.90
  • Avg Position Time (hrs)
    462.92
  • Avg Trade Length
    19.3 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.72
  • Daily leverage (max)
    4.58
  • Regression
  • Alpha
    0.02
  • Beta
    0.91
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.06
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    2.875
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.179
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.180
  • Hold-and-Hope Ratio
    0.395
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29212
  • SD
    0.34281
  • Sharpe ratio (Glass type estimate)
    0.85212
  • Sharpe ratio (Hedges UMVUE)
    0.83197
  • df
    32.00000
  • t
    1.41308
  • p
    0.08364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35432
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03132
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72033
  • Upside Potential Ratio
    3.53396
  • Upside part of mean
    0.60008
  • Downside part of mean
    -0.30796
  • Upside SD
    0.30371
  • Downside SD
    0.16980
  • N nonnegative terms
    18.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.13898
  • Mean of criterion
    0.29212
  • SD of predictor
    0.17773
  • SD of criterion
    0.34281
  • Covariance
    0.03509
  • r
    0.57592
  • b (slope, estimate of beta)
    1.11084
  • a (intercept, estimate of alpha)
    0.13773
  • Mean Square Error
    0.08108
  • DF error
    31.00000
  • t(b)
    3.92237
  • p(b)
    0.00023
  • t(a)
    0.78187
  • p(a)
    0.22011
  • Lowerbound of 95% confidence interval for beta
    0.53324
  • Upperbound of 95% confidence interval for beta
    1.68844
  • Lowerbound of 95% confidence interval for alpha
    -0.22154
  • Upperbound of 95% confidence interval for alpha
    0.49700
  • Treynor index (mean / b)
    0.26297
  • Jensen alpha (a)
    0.13773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23497
  • SD
    0.32936
  • Sharpe ratio (Glass type estimate)
    0.71340
  • Sharpe ratio (Hedges UMVUE)
    0.69653
  • df
    32.00000
  • t
    1.18304
  • p
    0.12275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90266
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89068
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29191
  • Upside Potential Ratio
    3.06791
  • Upside part of mean
    0.55798
  • Downside part of mean
    -0.32301
  • Upside SD
    0.27697
  • Downside SD
    0.18188
  • N nonnegative terms
    18.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.12258
  • Mean of criterion
    0.23497
  • SD of predictor
    0.17872
  • SD of criterion
    0.32936
  • Covariance
    0.03540
  • r
    0.60140
  • b (slope, estimate of beta)
    1.10832
  • a (intercept, estimate of alpha)
    0.09911
  • Mean Square Error
    0.07148
  • DF error
    31.00000
  • t(b)
    4.19106
  • p(b)
    0.00011
  • t(a)
    0.60266
  • p(a)
    0.27556
  • Lowerbound of 95% confidence interval for beta
    0.56897
  • Upperbound of 95% confidence interval for beta
    1.64766
  • Lowerbound of 95% confidence interval for alpha
    -0.23629
  • Upperbound of 95% confidence interval for alpha
    0.43450
  • Treynor index (mean / b)
    0.21200
  • Jensen alpha (a)
    0.09911
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12786
  • Expected Shortfall on VaR
    0.16132
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05610
  • Expected Shortfall on VaR
    0.10710
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.82718
  • Quartile 1
    0.96334
  • Median
    1.01243
  • Quartile 3
    1.07581
  • Maximum
    1.28815
  • Mean of quarter 1
    0.92549
  • Mean of quarter 2
    0.98447
  • Mean of quarter 3
    1.04843
  • Mean of quarter 4
    1.16094
  • Inter Quartile Range
    0.11247
  • 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
    0.03030
  • Mean of outliers high
    1.28815
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45344
  • VaR(95%) (moments method)
    0.08833
  • Expected Shortfall (moments method)
    0.17218
  • Extreme Value Index (regression method)
    0.45580
  • VaR(95%) (regression method)
    0.07843
  • Expected Shortfall (regression method)
    0.14416
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.04571
  • Quartile 1
    0.08000
  • Median
    0.08117
  • Quartile 3
    0.15008
  • Maximum
    0.24439
  • Mean of quarter 1
    0.06278
  • Mean of quarter 2
    0.08048
  • Mean of quarter 3
    0.08187
  • Mean of quarter 4
    0.20861
  • Inter Quartile Range
    0.07008
  • 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)
    0.38560
  • Compounded annual return (geometric extrapolation)
    0.30066
  • Calmar ratio (compounded annual return / max draw down)
    1.23026
  • Compounded annual return / average of 25% largest draw downs
    1.44131
  • Compounded annual return / Expected Shortfall lognormal
    1.86377
  • 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
    0.28393
  • SD
    0.30897
  • Sharpe ratio (Glass type estimate)
    0.91895
  • Sharpe ratio (Hedges UMVUE)
    0.91800
  • df
    727.00000
  • t
    1.53182
  • p
    0.06300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25874
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09475
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38799
  • Upside Potential Ratio
    8.45446
  • Upside part of mean
    1.72947
  • Downside part of mean
    -1.44554
  • Upside SD
    0.23194
  • Downside SD
    0.20456
  • N nonnegative terms
    377.00000
  • N negative terms
    351.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    728.00000
  • Mean of predictor
    0.13503
  • Mean of criterion
    0.28393
  • SD of predictor
    0.17385
  • SD of criterion
    0.30897
  • Covariance
    0.02252
  • r
    0.41930
  • b (slope, estimate of beta)
    0.74520
  • a (intercept, estimate of alpha)
    0.18300
  • Mean Square Error
    0.07879
  • DF error
    726.00000
  • t(b)
    12.44460
  • p(b)
    0.00000
  • t(a)
    1.08731
  • p(a)
    0.13863
  • Lowerbound of 95% confidence interval for beta
    0.62764
  • Upperbound of 95% confidence interval for beta
    0.86276
  • Lowerbound of 95% confidence interval for alpha
    -0.14767
  • Upperbound of 95% confidence interval for alpha
    0.51428
  • Treynor index (mean / b)
    0.38101
  • Jensen alpha (a)
    0.18330
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23633
  • SD
    0.30800
  • Sharpe ratio (Glass type estimate)
    0.76733
  • Sharpe ratio (Hedges UMVUE)
    0.76653
  • df
    727.00000
  • t
    1.27907
  • p
    0.10064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94299
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12822
  • Upside Potential Ratio
    8.13132
  • Upside part of mean
    1.70331
  • Downside part of mean
    -1.46698
  • Upside SD
    0.22598
  • Downside SD
    0.20947
  • N nonnegative terms
    377.00000
  • N negative terms
    351.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    728.00000
  • Mean of predictor
    0.11997
  • Mean of criterion
    0.23633
  • SD of predictor
    0.17323
  • SD of criterion
    0.30800
  • Covariance
    0.02254
  • r
    0.42242
  • b (slope, estimate of beta)
    0.75103
  • a (intercept, estimate of alpha)
    0.14623
  • Mean Square Error
    0.07804
  • DF error
    726.00000
  • t(b)
    12.55710
  • p(b)
    0.00000
  • t(a)
    0.87174
  • p(a)
    0.19182
  • Lowerbound of 95% confidence interval for beta
    0.63361
  • Upperbound of 95% confidence interval for beta
    0.86845
  • Lowerbound of 95% confidence interval for alpha
    -0.18309
  • Upperbound of 95% confidence interval for alpha
    0.47555
  • Treynor index (mean / b)
    0.31468
  • Jensen alpha (a)
    0.14623
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02994
  • Expected Shortfall on VaR
    0.03760
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01229
  • Expected Shortfall on VaR
    0.02541
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    728.00000
  • Minimum
    0.90687
  • Quartile 1
    0.99391
  • Median
    1.00047
  • Quartile 3
    1.00817
  • Maximum
    1.14213
  • Mean of quarter 1
    0.98022
  • Mean of quarter 2
    0.99794
  • Mean of quarter 3
    1.00357
  • Mean of quarter 4
    1.02304
  • Inter Quartile Range
    0.01426
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.05220
  • Mean of outliers low
    0.95628
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.06044
  • Mean of outliers high
    1.04605
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32152
  • VaR(95%) (moments method)
    0.01842
  • Expected Shortfall (moments method)
    0.03287
  • Extreme Value Index (regression method)
    0.11920
  • VaR(95%) (regression method)
    0.01841
  • Expected Shortfall (regression method)
    0.02794
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00454
  • Quartile 1
    0.01552
  • Median
    0.03329
  • Quartile 3
    0.07415
  • Maximum
    0.29608
  • Mean of quarter 1
    0.00843
  • Mean of quarter 2
    0.02476
  • Mean of quarter 3
    0.04921
  • Mean of quarter 4
    0.17907
  • Inter Quartile Range
    0.05863
  • 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
    0.13636
  • Mean of outliers high
    0.25276
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.35838
  • VaR(95%) (moments method)
    0.17940
  • Expected Shortfall (moments method)
    0.18811
  • Extreme Value Index (regression method)
    -0.73624
  • VaR(95%) (regression method)
    0.25730
  • Expected Shortfall (regression method)
    0.28964
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39008
  • Compounded annual return (geometric extrapolation)
    0.30244
  • Calmar ratio (compounded annual return / max draw down)
    1.02148
  • Compounded annual return / average of 25% largest draw downs
    1.68897
  • Compounded annual return / Expected Shortfall lognormal
    8.04419
  • 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
    0.05511
  • SD
    0.29841
  • Sharpe ratio (Glass type estimate)
    0.18468
  • Sharpe ratio (Hedges UMVUE)
    0.18362
  • df
    130.00000
  • t
    0.13059
  • p
    0.49427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95634
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95551
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26604
  • Upside Potential Ratio
    7.72951
  • Upside part of mean
    1.60124
  • Downside part of mean
    -1.54613
  • Upside SD
    0.21323
  • Downside SD
    0.20716
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    0.05511
  • SD of predictor
    0.24590
  • SD of criterion
    0.29841
  • Covariance
    0.02325
  • r
    0.31684
  • b (slope, estimate of beta)
    0.38450
  • a (intercept, estimate of alpha)
    0.06317
  • Mean Square Error
    0.08073
  • DF error
    129.00000
  • t(b)
    3.79407
  • p(b)
    0.30172
  • t(a)
    0.15721
  • p(a)
    0.49119
  • Lowerbound of 95% confidence interval for beta
    0.18399
  • Upperbound of 95% confidence interval for beta
    0.58501
  • Lowerbound of 95% confidence interval for alpha
    -0.73186
  • Upperbound of 95% confidence interval for alpha
    0.85821
  • Treynor index (mean / b)
    0.14333
  • Jensen alpha (a)
    0.06317
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01080
  • SD
    0.29910
  • Sharpe ratio (Glass type estimate)
    0.03610
  • Sharpe ratio (Hedges UMVUE)
    0.03589
  • df
    130.00000
  • t
    0.02553
  • p
    0.49888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.73571
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.73592
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80770
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05087
  • Upside Potential Ratio
    7.43872
  • Upside part of mean
    1.57892
  • Downside part of mean
    -1.56812
  • Upside SD
    0.20911
  • Downside SD
    0.21226
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    0.01080
  • SD of predictor
    0.24427
  • SD of criterion
    0.29910
  • Covariance
    0.02328
  • r
    0.31870
  • b (slope, estimate of beta)
    0.39024
  • a (intercept, estimate of alpha)
    0.03058
  • Mean Square Error
    0.08100
  • DF error
    129.00000
  • t(b)
    3.81886
  • p(b)
    0.30060
  • t(a)
    0.07597
  • p(a)
    0.49574
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.18806
  • Upperbound of 95% confidence interval for beta
    0.59242
  • Lowerbound of 95% confidence interval for alpha
    -0.76582
  • Upperbound of 95% confidence interval for alpha
    0.82698
  • Treynor index (mean / b)
    0.02767
  • Jensen alpha (a)
    0.03058
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02990
  • Expected Shortfall on VaR
    0.03734
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01449
  • Expected Shortfall on VaR
    0.02871
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91976
  • Quartile 1
    0.99183
  • Median
    1.00000
  • Quartile 3
    1.00841
  • Maximum
    1.06622
  • Mean of quarter 1
    0.98004
  • Mean of quarter 2
    0.99677
  • Mean of quarter 3
    1.00241
  • Mean of quarter 4
    1.02211
  • Inter Quartile Range
    0.01658
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.93808
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04688
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39726
  • VaR(95%) (moments method)
    0.02152
  • Expected Shortfall (moments method)
    0.03980
  • Extreme Value Index (regression method)
    0.59952
  • VaR(95%) (regression method)
    0.01880
  • Expected Shortfall (regression method)
    0.04359
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05831
  • Quartile 1
    0.10937
  • Median
    0.16042
  • Quartile 3
    0.21147
  • Maximum
    0.26252
  • Mean of quarter 1
    0.05831
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26252
  • Inter Quartile Range
    0.10211
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -366050000
  • Max Equity Drawdown (num days)
    259
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03908
  • Compounded annual return (geometric extrapolation)
    0.03946
  • Calmar ratio (compounded annual return / max draw down)
    0.15033
  • Compounded annual return / average of 25% largest draw downs
    0.15033
  • Compounded annual return / Expected Shortfall lognormal
    1.05699

Strategy Description

Here is a brief introduction to my trading style and some cool data associated with my trading.
I position trade only TQQQ. I go into cash when NDX is in a downtrend and during the uptrend, I hold anywhere between 1-100% of my portfolio in TQQQ. The position size of TQQQ depends on how extended NDX is. Here are some characteristics of my system.
1) I am a 100% long only systematic trader, meaning the entries, exits, position size, stop losses etc are all determined by predefined set of rules that make up system/model. This does not need any input from me or anybody else. This is purely based on price and no macro/fundamentals.
2) My system is EOD based. It only makes one decision towards the end of the trading day(15 minutes before market closes). It determines how much TQQQ that my portfolio should be holding at that moment. My system has an average of 1 trade per week and the number of trades per month are roughly 4-5 trades. So it does not produce too many trades and that's nice as it needs less time to execute.
3) I use MovingAverages(20 and 250) to determine the trend and use how far the price is from those MAs to determine how extended NDX. Based on that, my system determines how much TQQQ I should be holding.
4) I also use Bollinger Bands to determine if NDX is in a momentum phase so that I can use a heavier position size during that momentum phase to reap more gains.
5) I backtested my strategy over 40 years of NDX and used a synthetic TQQQ in back tests as TQQQ was created in 2010.
6) My backtested CAGR is around 42% with max drawdown of 54%. Past performance does not guarantee future results. I have been running this strategy at Collective2 and you can see the live performance of my strategy here.
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2022-07-23
Suggested Minimum Capital
$15,000
# Trades
49
# Profitable
21
% Profitable
42.9%
Net Dividends
$232
Correlation S&P500
0.423
Sharpe Ratio
0.48
Sortino Ratio
0.71
Beta
0.91
Alpha
0.02
Leverage
1.72 Average
4.58 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Trade journal

  • 9/15/2018, 10:03:33 PM BTS 200 EURUSD

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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.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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