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Swing Trader TQQQ IRA
(117745728)

Created by: QFund QFund
Started: 05/2018
Stocks
Last trade: 11 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 $49.00 per month.

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).
17.7%
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.

(6.0%)
Max Drawdown
39
Num Trades
35.9%
Win Trades
2.2 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +4.9%+4.6%(0.6%)(0.4%)+2.6%+1.9%+1.5%(2%)+12.7%
2019+0.5%(1%)+4.9%                                                      +4.4%

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 33 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/15/19 11:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,079 55.52 3/15 15:55 55.22 0.72%
Trade id #122928899
Max drawdown($431)
Time3/15/19 15:55
Quant open1,079
Worst price55.12
Drawdown as % of equity-0.72%
($329)
Includes Typical Broker Commissions trade costs of $5.00
3/11/19 10:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,118 51.24 3/14 9:35 54.15 0.06%
Trade id #122863970
Max drawdown($33)
Time3/11/19 11:02
Quant open1,118
Worst price51.21
Drawdown as % of equity-0.06%
$3,248
Includes Typical Broker Commissions trade costs of $5.00
3/1/19 14:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,089 52.18 3/4 11:10 52.04 0.48%
Trade id #122755206
Max drawdown($272)
Time3/1/19 15:27
Quant open1,089
Worst price51.93
Drawdown as % of equity-0.48%
($157)
Includes Typical Broker Commissions trade costs of $5.00
2/25/19 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,101 52.18 2/25 12:25 51.64 1.09%
Trade id #122666607
Max drawdown($622)
Time2/25/19 12:25
Quant open1,101
Worst price51.62
Drawdown as % of equity-1.09%
($600)
Includes Typical Broker Commissions trade costs of $5.00
2/22/19 12:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,135 50.81 2/22 13:15 50.54 0.55%
Trade id #122645802
Max drawdown($319)
Time2/22/19 13:14
Quant open1,135
Worst price50.53
Drawdown as % of equity-0.55%
($311)
Includes Typical Broker Commissions trade costs of $5.00
2/22/19 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,148 50.30 2/22 10:35 50.24 0.12%
Trade id #122642256
Max drawdown($69)
Time2/22/19 10:35
Quant open0
Worst price50.24
Drawdown as % of equity-0.12%
($74)
Includes Typical Broker Commissions trade costs of $5.00
2/12/19 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,174 48.30 2/13 11:35 49.26 n/a $1,122
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 10:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,219 46.63 2/1 9:35 46.49 1.25%
Trade id #122290922
Max drawdown($719)
Time2/1/19 8:17
Quant open1,219
Worst price46.04
Drawdown as % of equity-1.25%
($176)
Includes Typical Broker Commissions trade costs of $5.00
1/30/19 14:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,265 45.00 1/30 15:35 44.97 0.56%
Trade id #122276060
Max drawdown($316)
Time1/30/19 14:37
Quant open1,265
Worst price44.75
Drawdown as % of equity-0.56%
($43)
Includes Typical Broker Commissions trade costs of $5.00
1/25/19 11:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,271 44.98 1/25 12:55 44.71 0.8%
Trade id #122182987
Max drawdown($457)
Time1/25/19 12:52
Quant open1,271
Worst price44.62
Drawdown as % of equity-0.80%
($348)
Includes Typical Broker Commissions trade costs of $5.00
1/18/19 12:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,262 45.42 1/18 12:10 45.27 0.39%
Trade id #122059835
Max drawdown($221)
Time1/18/19 12:07
Quant open1,262
Worst price45.24
Drawdown as % of equity-0.39%
($192)
Includes Typical Broker Commissions trade costs of $5.00
1/15/19 10:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,358 42.53 1/15 10:15 42.22 0.91%
Trade id #121979716
Max drawdown($526)
Time1/15/19 10:11
Quant open1,358
Worst price42.14
Drawdown as % of equity-0.91%
($421)
Includes Typical Broker Commissions trade costs of $5.00
1/4/19 12:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,509 37.73 1/4 12:50 38.31 0.22%
Trade id #121789254
Max drawdown($128)
Time1/4/19 12:07
Quant open1,509
Worst price37.65
Drawdown as % of equity-0.22%
$871
Includes Typical Broker Commissions trade costs of $5.00
12/26/18 12:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,729 33.49 12/26 13:15 33.05 1.31%
Trade id #121665932
Max drawdown($757)
Time12/26/18 13:15
Quant open0
Worst price33.05
Drawdown as % of equity-1.31%
($762)
Includes Typical Broker Commissions trade costs of $5.00
12/19/18 12:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,373 42.24 12/19 12:50 41.98 0.6%
Trade id #121574816
Max drawdown($350)
Time12/19/18 12:50
Quant open0
Worst price41.98
Drawdown as % of equity-0.60%
($355)
Includes Typical Broker Commissions trade costs of $5.00
11/28/18 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,199 48.74 11/28 13:00 48.42 0.74%
Trade id #121221767
Max drawdown($431)
Time11/28/18 13:00
Quant open1,199
Worst price48.38
Drawdown as % of equity-0.74%
($389)
Includes Typical Broker Commissions trade costs of $5.00
11/26/18 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,324 44.46 11/26 11:40 44.14 0.92%
Trade id #121165995
Max drawdown($542)
Time11/26/18 11:38
Quant open1,324
Worst price44.05
Drawdown as % of equity-0.92%
($429)
Includes Typical Broker Commissions trade costs of $5.00
11/7/18 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,043 54.76 11/8 9:35 56.39 0.58%
Trade id #120792558
Max drawdown($333)
Time11/7/18 9:48
Quant open1,043
Worst price54.44
Drawdown as % of equity-0.58%
$1,695
Includes Typical Broker Commissions trade costs of $5.00
10/16/18 12:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 935 59.47 10/16 15:55 61.06 0.14%
Trade id #120384216
Max drawdown($78)
Time10/16/18 12:57
Quant open935
Worst price59.39
Drawdown as % of equity-0.14%
$1,482
Includes Typical Broker Commissions trade costs of $5.00
10/1/18 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 771 72.77 10/1 12:30 72.26 0.77%
Trade id #120115077
Max drawdown($431)
Time10/1/18 12:23
Quant open771
Worst price72.21
Drawdown as % of equity-0.77%
($398)
Includes Typical Broker Commissions trade costs of $5.00
9/27/18 10:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 784 71.51 9/27 10:30 71.47 0.18%
Trade id #120064390
Max drawdown($101)
Time9/27/18 10:13
Quant open784
Worst price71.38
Drawdown as % of equity-0.18%
($36)
Includes Typical Broker Commissions trade costs of $5.00
9/26/18 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 809 69.66 9/26 15:50 69.38 0.62%
Trade id #120041269
Max drawdown($355)
Time9/26/18 15:49
Quant open809
Worst price69.22
Drawdown as % of equity-0.62%
($232)
Includes Typical Broker Commissions trade costs of $5.00
9/20/18 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 806 69.21 9/21 10:00 69.92 0.75%
Trade id #119945754
Max drawdown($416)
Time9/20/18 9:54
Quant open806
Worst price68.69
Drawdown as % of equity-0.75%
$567
Includes Typical Broker Commissions trade costs of $5.00
9/13/18 11:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 790 69.10 9/14 9:35 69.73 0.16%
Trade id #119843594
Max drawdown($86)
Time9/13/18 11:05
Quant open790
Worst price68.99
Drawdown as % of equity-0.16%
$493
Includes Typical Broker Commissions trade costs of $5.00
9/7/18 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 706 67.58 9/13 10:30 68.51 1.39%
Trade id #119761206
Max drawdown($754)
Time9/11/18 9:35
Quant open406
Worst price65.30
Drawdown as % of equity-1.39%
$642
Includes Typical Broker Commissions trade costs of $14.12
8/16/18 12:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 829 65.90 8/16 12:45 65.72 0.36%
Trade id #119472480
Max drawdown($198)
Time8/16/18 12:45
Quant open829
Worst price65.66
Drawdown as % of equity-0.36%
($158)
Includes Typical Broker Commissions trade costs of $5.00
7/24/18 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 822 67.36 7/24 11:05 66.69 0.99%
Trade id #119088997
Max drawdown($548)
Time7/24/18 11:05
Quant open0
Worst price66.69
Drawdown as % of equity-0.99%
($553)
Includes Typical Broker Commissions trade costs of $5.00
7/9/18 14:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 879 62.39 7/10 9:35 62.90 0.19%
Trade id #118830739
Max drawdown($104)
Time7/9/18 15:19
Quant open879
Worst price62.27
Drawdown as % of equity-0.19%
$444
Includes Typical Broker Commissions trade costs of $5.00
7/6/18 15:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 900 61.08 7/6 15:45 60.93 0.25%
Trade id #118809315
Max drawdown($138)
Time7/6/18 15:45
Quant open0
Worst price60.93
Drawdown as % of equity-0.25%
($143)
Includes Typical Broker Commissions trade costs of $5.00
6/27/18 10:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 935 59.31 6/27 10:50 58.88 0.72%
Trade id #118672014
Max drawdown($401)
Time6/27/18 10:50
Quant open0
Worst price58.88
Drawdown as % of equity-0.72%
($406)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/1/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    328.34
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    39
  • # Profitable
    14
  • % Profitable
    35.90%
  • Avg trade duration
    18.3 hours
  • Max peak-to-valley drawdown
    6.03%
  • drawdown period
    Nov 07, 2018 - March 11, 2019
  • Cumul. Return
    17.7%
  • Avg win
    $1,270
  • Avg loss
    $326.84
  • Model Account Values (Raw)
  • Cash
    $59,610
  • Margin Used
    $0
  • Buying Power
    $59,610
  • Ratios
  • W:L ratio
    2.18:1
  • Sharpe Ratio
    2.05
  • Sortino Ratio
    5.362
  • Calmar Ratio
    4.735
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.15200
  • Return Statistics
  • Ann Return (w trading costs)
    19.7%
  • Ann Return (Compnd, No Fees)
    21.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    380
  • Popularity (Last 6 weeks)
    806
  • C2 Score
    79.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $327
  • Avg Win
    $1,270
  • # Winners
    14
  • # Losers
    25
  • % Winners
    35.9%
  • Frequency
  • Avg Position Time (mins)
    1099.85
  • Avg Position Time (hrs)
    18.33
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    10
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12639
  • SD
    0.08048
  • Sharpe ratio (Glass type estimate)
    1.57051
  • Sharpe ratio (Hedges UMVUE)
    1.43525
  • df
    9.00000
  • t
    1.43367
  • p
    0.09274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.68233
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.76931
  • Upside Potential Ratio
    6.69925
  • Upside part of mean
    0.17753
  • Downside part of mean
    -0.05114
  • Upside SD
    0.08036
  • Downside SD
    0.02650
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.05230
  • Mean of criterion
    0.12639
  • SD of predictor
    0.21232
  • SD of criterion
    0.08048
  • Covariance
    0.00110
  • r
    0.06447
  • b (slope, estimate of beta)
    0.02444
  • a (intercept, estimate of alpha)
    0.12511
  • Mean Square Error
    0.00726
  • DF error
    8.00000
  • t(b)
    0.18274
  • p(b)
    0.42977
  • t(a)
    1.33705
  • p(a)
    0.10899
  • Lowerbound of 95% confidence interval for beta
    -0.28395
  • Upperbound of 95% confidence interval for beta
    0.33282
  • Lowerbound of 95% confidence interval for alpha
    -0.09067
  • Upperbound of 95% confidence interval for alpha
    0.34089
  • Treynor index (mean / b)
    5.17177
  • Jensen alpha (a)
    0.12511
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12261
  • SD
    0.07911
  • Sharpe ratio (Glass type estimate)
    1.54999
  • Sharpe ratio (Hedges UMVUE)
    1.41649
  • df
    9.00000
  • t
    1.41494
  • p
    0.09537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74816
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77182
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66103
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.59546
  • Upside Potential Ratio
    6.52113
  • Upside part of mean
    0.17399
  • Downside part of mean
    -0.05138
  • Upside SD
    0.07857
  • Downside SD
    0.02668
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.03155
  • Mean of criterion
    0.12261
  • SD of predictor
    0.21491
  • SD of criterion
    0.07911
  • Covariance
    0.00154
  • r
    0.09083
  • b (slope, estimate of beta)
    0.03343
  • a (intercept, estimate of alpha)
    0.12156
  • Mean Square Error
    0.00698
  • DF error
    8.00000
  • t(b)
    0.25796
  • p(b)
    0.40147
  • t(a)
    1.32671
  • p(a)
    0.11061
  • Lowerbound of 95% confidence interval for beta
    -0.26543
  • Upperbound of 95% confidence interval for beta
    0.33230
  • Lowerbound of 95% confidence interval for alpha
    -0.08973
  • Upperbound of 95% confidence interval for alpha
    0.33285
  • Treynor index (mean / b)
    3.66749
  • Jensen alpha (a)
    0.12156
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02697
  • Expected Shortfall on VaR
    0.03618
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00993
  • Expected Shortfall on VaR
    0.01796
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.98094
  • Quartile 1
    0.99607
  • Median
    1.00785
  • Quartile 3
    1.02442
  • Maximum
    1.05010
  • Mean of quarter 1
    0.99058
  • Mean of quarter 2
    0.99865
  • Mean of quarter 3
    1.01817
  • Mean of quarter 4
    1.04108
  • Inter Quartile Range
    0.02835
  • 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)
    0.60121
  • VaR(95%) (moments method)
    0.01184
  • Expected Shortfall (moments method)
    0.03193
  • Extreme Value Index (regression method)
    3.58727
  • VaR(95%) (regression method)
    0.03795
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00709
  • Quartile 1
    0.01129
  • Median
    0.01548
  • Quartile 3
    0.01968
  • Maximum
    0.02387
  • Mean of quarter 1
    0.00709
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02387
  • Inter Quartile Range
    0.00839
  • 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)
    0.16037
  • Compounded annual return (geometric extrapolation)
    0.16244
  • Calmar ratio (compounded annual return / max draw down)
    6.80498
  • Compounded annual return / average of 25% largest draw downs
    6.80498
  • Compounded annual return / Expected Shortfall lognormal
    4.48978
  • 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
    0.17428
  • SD
    0.08473
  • Sharpe ratio (Glass type estimate)
    2.05686
  • Sharpe ratio (Hedges UMVUE)
    2.05018
  • df
    231.00000
  • t
    1.93553
  • p
    0.02707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03659
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14594
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14139
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.36157
  • Upside Potential Ratio
    12.17380
  • Upside part of mean
    0.39571
  • Downside part of mean
    -0.22143
  • Upside SD
    0.07879
  • Downside SD
    0.03250
  • N nonnegative terms
    36.00000
  • N negative terms
    196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    232.00000
  • Mean of predictor
    0.04377
  • Mean of criterion
    0.17428
  • SD of predictor
    0.15653
  • SD of criterion
    0.08473
  • Covariance
    0.00202
  • r
    0.15261
  • b (slope, estimate of beta)
    0.08261
  • a (intercept, estimate of alpha)
    0.17100
  • Mean Square Error
    0.00704
  • DF error
    230.00000
  • t(b)
    2.34187
  • p(b)
    0.01002
  • t(a)
    1.91339
  • p(a)
    0.02847
  • Lowerbound of 95% confidence interval for beta
    0.01311
  • Upperbound of 95% confidence interval for beta
    0.15211
  • Lowerbound of 95% confidence interval for alpha
    -0.00508
  • Upperbound of 95% confidence interval for alpha
    0.34640
  • Treynor index (mean / b)
    2.10974
  • Jensen alpha (a)
    0.17066
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17066
  • SD
    0.08410
  • Sharpe ratio (Glass type estimate)
    2.02934
  • Sharpe ratio (Hedges UMVUE)
    2.02275
  • df
    231.00000
  • t
    1.90963
  • p
    0.02871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11819
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11373
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.23363
  • Upside Potential Ratio
    12.03970
  • Upside part of mean
    0.39260
  • Downside part of mean
    -0.22194
  • Upside SD
    0.07804
  • Downside SD
    0.03261
  • N nonnegative terms
    36.00000
  • N negative terms
    196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    232.00000
  • Mean of predictor
    0.03157
  • Mean of criterion
    0.17066
  • SD of predictor
    0.15654
  • SD of criterion
    0.08410
  • Covariance
    0.00200
  • r
    0.15204
  • b (slope, estimate of beta)
    0.08168
  • a (intercept, estimate of alpha)
    0.16809
  • Mean Square Error
    0.00694
  • DF error
    230.00000
  • t(b)
    2.33297
  • p(b)
    0.01026
  • t(a)
    1.89863
  • p(a)
    0.02943
  • Lowerbound of 95% confidence interval for beta
    0.01270
  • Upperbound of 95% confidence interval for beta
    0.15066
  • Lowerbound of 95% confidence interval for alpha
    -0.00635
  • Upperbound of 95% confidence interval for alpha
    0.34252
  • Treynor index (mean / b)
    2.08942
  • Jensen alpha (a)
    0.16809
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00786
  • Expected Shortfall on VaR
    0.01001
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00266
  • Expected Shortfall on VaR
    0.00522
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    232.00000
  • Minimum
    0.98945
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02835
  • Mean of quarter 1
    0.99698
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00611
  • Inter Quartile Range
    0.00000
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.22845
  • Mean of outliers low
    0.99669
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.15517
  • Mean of outliers high
    1.00984
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14574
  • VaR(95%) (moments method)
    0.00259
  • Expected Shortfall (moments method)
    0.00353
  • Extreme Value Index (regression method)
    -0.20066
  • VaR(95%) (regression method)
    0.00335
  • Expected Shortfall (regression method)
    0.00461
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00060
  • Quartile 1
    0.00754
  • Median
    0.01781
  • Quartile 3
    0.02333
  • Maximum
    0.04639
  • Mean of quarter 1
    0.00332
  • Mean of quarter 2
    0.01343
  • Mean of quarter 3
    0.01997
  • Mean of quarter 4
    0.03654
  • Inter Quartile Range
    0.01579
  • 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)
    0.21710
  • Compounded annual return (geometric extrapolation)
    0.21966
  • Calmar ratio (compounded annual return / max draw down)
    4.73529
  • Compounded annual return / average of 25% largest draw downs
    6.01084
  • Compounded annual return / Expected Shortfall lognormal
    21.93670
  • 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
    0.10890
  • SD
    0.08165
  • Sharpe ratio (Glass type estimate)
    1.33371
  • Sharpe ratio (Hedges UMVUE)
    1.32600
  • df
    130.00000
  • t
    0.94307
  • p
    0.45878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10249
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01914
  • Upside Potential Ratio
    9.82615
  • Upside part of mean
    0.35443
  • Downside part of mean
    -0.24553
  • Upside SD
    0.07321
  • Downside SD
    0.03607
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08592
  • Mean of criterion
    0.10890
  • SD of predictor
    0.19473
  • SD of criterion
    0.08165
  • Covariance
    0.00240
  • r
    0.15078
  • b (slope, estimate of beta)
    0.06323
  • a (intercept, estimate of alpha)
    0.11433
  • Mean Square Error
    0.00657
  • DF error
    129.00000
  • t(b)
    1.73236
  • p(b)
    0.40437
  • t(a)
    0.99733
  • p(a)
    0.44438
  • Lowerbound of 95% confidence interval for beta
    -0.00898
  • Upperbound of 95% confidence interval for beta
    0.13543
  • Lowerbound of 95% confidence interval for alpha
    -0.11248
  • Upperbound of 95% confidence interval for alpha
    0.34114
  • Treynor index (mean / b)
    1.72241
  • Jensen alpha (a)
    0.11433
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10559
  • SD
    0.08115
  • Sharpe ratio (Glass type estimate)
    1.30115
  • Sharpe ratio (Hedges UMVUE)
    1.29363
  • df
    130.00000
  • t
    0.92005
  • p
    0.45978
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07505
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06989
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91694
  • Upside Potential Ratio
    9.71725
  • Upside part of mean
    0.35174
  • Downside part of mean
    -0.24615
  • Upside SD
    0.07257
  • Downside SD
    0.03620
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10474
  • Mean of criterion
    0.10559
  • SD of predictor
    0.19472
  • SD of criterion
    0.08115
  • Covariance
    0.00237
  • r
    0.14983
  • b (slope, estimate of beta)
    0.06244
  • a (intercept, estimate of alpha)
    0.11213
  • Mean Square Error
    0.00649
  • DF error
    129.00000
  • t(b)
    1.72122
  • p(b)
    0.40497
  • t(a)
    0.98384
  • p(a)
    0.44513
  • Lowerbound of 95% confidence interval for beta
    -0.00933
  • Upperbound of 95% confidence interval for beta
    0.13422
  • Lowerbound of 95% confidence interval for alpha
    -0.11336
  • Upperbound of 95% confidence interval for alpha
    0.33761
  • Treynor index (mean / b)
    1.69094
  • Jensen alpha (a)
    0.11213
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00781
  • Expected Shortfall on VaR
    0.00989
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00299
  • Expected Shortfall on VaR
    0.00585
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98945
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02304
  • Mean of quarter 1
    0.99665
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00543
  • Inter Quartile Range
    0.00000
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.22901
  • Mean of outliers low
    0.99631
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.00995
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39023
  • VaR(95%) (moments method)
    0.00281
  • Expected Shortfall (moments method)
    0.00353
  • Extreme Value Index (regression method)
    -0.20239
  • VaR(95%) (regression method)
    0.00407
  • Expected Shortfall (regression method)
    0.00566
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00604
  • Quartile 1
    0.01193
  • Median
    0.01781
  • Quartile 3
    0.03210
  • Maximum
    0.04639
  • Mean of quarter 1
    0.00604
  • Mean of quarter 2
    0.01781
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04639
  • Inter Quartile Range
    0.02017
  • 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)
    0.13805
  • Compounded annual return (geometric extrapolation)
    0.14281
  • Calmar ratio (compounded annual return / max draw down)
    3.07869
  • Compounded annual return / average of 25% largest draw downs
    3.07869
  • Compounded annual return / Expected Shortfall lognormal
    14.44430

Strategy Description

TQQQ swing system. Tries to maximize gain when market is bullish and keeps exposure time minimal

Summary Statistics

Strategy began
2018-05-01
Suggested Minimum Capital
$15,000
# Trades
39
# Profitable
14
% Profitable
35.9%
Correlation S&P500
0.152
Sharpe Ratio
2.050

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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