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

TQQQ Aspire
(117734561)

Created by: NEORITHMIC-LLC NEORITHMIC-LLC
Started: 05/2018
Stocks
Last trade: 3 days ago
Trading style: Equity Momentum Sector: Technology

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 $149.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
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).
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
27.2%
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.

(24.7%)
Max Drawdown
461
Num Trades
47.3%
Win Trades
1.4 : 1
Profit Factor
60.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +4.5%+7.1%+5.4%+12.5%(10.5%)(12.5%)  -  (1.8%)+2.1%
2019(0.9%)+0.6%+7.7%+14.7%(4.5%)+25.8%+5.7%(12.7%)(0.7%)(0.7%)+3.3%+8.7%+51.4%
2020(4.1%)+16.2%(4.6%)(8.8%)+0.5%+0.1%(0.9%)+22.1%+14.7%+9.3%+11.0%(3.6%)+58.1%
2021+1.0%+7.0%+2.6%+16.9%(1.6%)+12.9%+3.7%+13.2%(3.3%)+14.5%+6.7%+1.4%+102.4%
2022+0.5%(6.5%)+5.3%(1%)+4.3%(3.4%)+2.6%(2.9%)(1.2%)+1.6%+0.5%(1.8%)(2.5%)
2023+3.9%+2.2%(0.1%)+1.0%+3.5%+0.7%(3%)+1.3%(4.4%)(6.9%)(0.2%)+1.5%(1.1%)
2024(3%)(0.9%)+0.2%+3.5%+1.5%+1.6%+5.9%(5.3%)(5.2%)+1.1%            (1.1%)

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 48 hours.

Trading Record

This strategy has placed 910 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/3/24 9:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,040 69.63 10/3 10:04 70.53 0.26%
Trade id #149568103
Max drawdown($245)
Time10/3/24 9:47
Quant open1,040
Worst price69.39
Drawdown as % of equity-0.26%
$930
Includes Typical Broker Commissions trade costs of $5.00
10/2/24 10:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,040 69.91 10/2 15:31 70.00 0.7%
Trade id #149560245
Max drawdown($653)
Time10/2/24 13:35
Quant open1,040
Worst price69.28
Drawdown as % of equity-0.70%
$89
Includes Typical Broker Commissions trade costs of $5.00
9/25/24 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,240 71.79 9/25 13:00 71.07 0.96%
Trade id #149501984
Max drawdown($904)
Time9/25/24 13:00
Quant open1,240
Worst price71.06
Drawdown as % of equity-0.96%
($896)
Includes Typical Broker Commissions trade costs of $5.00
9/24/24 11:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,240 71.92 9/24 11:56 71.96 n/a $51
Includes Typical Broker Commissions trade costs of $5.00
9/19/24 10:27 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,260 71.08 9/19 15:21 70.63 1.05%
Trade id #149455054
Max drawdown($998)
Time9/19/24 11:00
Quant open1,260
Worst price70.28
Drawdown as % of equity-1.05%
($569)
Includes Typical Broker Commissions trade costs of $5.00
9/18/24 14:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,350 67.79 9/18 14:12 66.68 1.79%
Trade id #149440784
Max drawdown($1,723)
Time9/18/24 14:12
Quant open1,350
Worst price66.52
Drawdown as % of equity-1.79%
($1,506)
Includes Typical Broker Commissions trade costs of $5.00
9/13/24 9:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,110 66.88 9/13 15:01 67.03 0.77%
Trade id #149382771
Max drawdown($743)
Time9/13/24 10:31
Quant open1,110
Worst price66.21
Drawdown as % of equity-0.77%
$165
Includes Typical Broker Commissions trade costs of $5.00
9/12/24 10:17 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,130 65.37 9/12 13:37 66.32 1.03%
Trade id #149370355
Max drawdown($975)
Time9/12/24 11:46
Quant open1,130
Worst price64.51
Drawdown as % of equity-1.03%
$1,064
Includes Typical Broker Commissions trade costs of $5.00
9/10/24 9:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,540 60.40 9/10 9:37 59.58 1.31%
Trade id #149336442
Max drawdown($1,256)
Time9/10/24 9:37
Quant open1,540
Worst price59.58
Drawdown as % of equity-1.31%
($1,258)
Includes Typical Broker Commissions trade costs of $5.00
9/9/24 10:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 990 59.39 9/9 10:38 57.88 1.59%
Trade id #149322410
Max drawdown($1,541)
Time9/9/24 10:38
Quant open990
Worst price57.84
Drawdown as % of equity-1.59%
($1,501)
Includes Typical Broker Commissions trade costs of $5.00
9/5/24 9:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 830 62.00 9/5 9:57 62.80 0.1%
Trade id #149259099
Max drawdown($98)
Time9/5/24 9:49
Quant open830
Worst price61.88
Drawdown as % of equity-0.10%
$660
Includes Typical Broker Commissions trade costs of $5.00
9/4/24 9:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,500 62.03 9/4 10:00 61.29 2.11%
Trade id #149245180
Max drawdown($2,076)
Time9/4/24 10:00
Quant open1,500
Worst price60.65
Drawdown as % of equity-2.11%
($1,116)
Includes Typical Broker Commissions trade costs of $5.00
8/29/24 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 760 68.39 8/29 10:00 69.28 0.45%
Trade id #149094713
Max drawdown($440)
Time8/29/24 9:42
Quant open760
Worst price67.81
Drawdown as % of equity-0.45%
$672
Includes Typical Broker Commissions trade costs of $5.00
8/27/24 10:24 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 68.62 8/27 11:00 69.44 n/a $897
Includes Typical Broker Commissions trade costs of $5.00
8/23/24 10:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 730 71.19 8/23 10:48 69.20 1.63%
Trade id #149016909
Max drawdown($1,606)
Time8/23/24 10:48
Quant open730
Worst price68.99
Drawdown as % of equity-1.63%
($1,459)
Includes Typical Broker Commissions trade costs of $5.00
8/21/24 10:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,320 72.06 8/21 10:52 70.82 1.66%
Trade id #148982246
Max drawdown($1,661)
Time8/21/24 10:52
Quant open1,320
Worst price70.80
Drawdown as % of equity-1.66%
($1,636)
Includes Typical Broker Commissions trade costs of $5.00
8/20/24 9:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 730 71.68 8/20 15:49 71.12 1.17%
Trade id #148965951
Max drawdown($1,161)
Time8/20/24 10:43
Quant open730
Worst price70.09
Drawdown as % of equity-1.17%
($414)
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 11:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 760 69.45 8/19 14:40 70.39 0.47%
Trade id #148953450
Max drawdown($468)
Time8/19/24 11:58
Quant open760
Worst price68.83
Drawdown as % of equity-0.47%
$712
Includes Typical Broker Commissions trade costs of $5.00
8/16/24 10:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,130 68.38 8/16 15:43 68.55 0.95%
Trade id #148937069
Max drawdown($944)
Time8/16/24 10:49
Quant open1,130
Worst price67.54
Drawdown as % of equity-0.95%
$191
Includes Typical Broker Commissions trade costs of $5.00
8/15/24 9:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 780 66.85 8/15 12:20 68.19 0.16%
Trade id #148925191
Max drawdown($158)
Time8/15/24 10:05
Quant open780
Worst price66.65
Drawdown as % of equity-0.16%
$1,038
Includes Typical Broker Commissions trade costs of $5.00
8/14/24 11:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,190 64.58 8/14 12:10 64.25 0.47%
Trade id #148916478
Max drawdown($465)
Time8/14/24 12:10
Quant open1,190
Worst price64.19
Drawdown as % of equity-0.47%
($401)
Includes Typical Broker Commissions trade costs of $5.00
8/12/24 10:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,580 60.14 8/12 11:23 59.21 1.49%
Trade id #148891470
Max drawdown($1,496)
Time8/12/24 11:23
Quant open1,580
Worst price59.19
Drawdown as % of equity-1.49%
($1,469)
Includes Typical Broker Commissions trade costs of $5.00
8/9/24 10:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,640 58.32 8/9 10:31 57.58 1.4%
Trade id #148876303
Max drawdown($1,423)
Time8/9/24 10:31
Quant open1,640
Worst price57.45
Drawdown as % of equity-1.40%
($1,213)
Includes Typical Broker Commissions trade costs of $5.00
8/8/24 10:17 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,390 56.51 8/8 10:47 57.03 0.64%
Trade id #148866519
Max drawdown($644)
Time8/8/24 10:21
Quant open1,390
Worst price56.05
Drawdown as % of equity-0.64%
$712
Includes Typical Broker Commissions trade costs of $5.00
8/2/24 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,850 60.63 8/2 9:42 59.97 1.19%
Trade id #148806471
Max drawdown($1,212)
Time8/2/24 9:42
Quant open1,850
Worst price59.97
Drawdown as % of equity-1.19%
($1,217)
Includes Typical Broker Commissions trade costs of $5.00
8/1/24 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,350 69.21 8/1 10:29 67.87 1.91%
Trade id #148794430
Max drawdown($1,996)
Time8/1/24 10:29
Quant open1,350
Worst price67.73
Drawdown as % of equity-1.91%
($1,808)
Includes Typical Broker Commissions trade costs of $5.00
7/31/24 10:06 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,370 67.59 7/31 14:52 68.72 1.11%
Trade id #148783778
Max drawdown($1,132)
Time7/31/24 13:42
Quant open1,370
Worst price66.76
Drawdown as % of equity-1.11%
$1,547
Includes Typical Broker Commissions trade costs of $5.00
7/26/24 12:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 960 66.04 7/26 13:38 64.99 1.01%
Trade id #148752161
Max drawdown($1,048)
Time7/26/24 13:38
Quant open960
Worst price64.95
Drawdown as % of equity-1.01%
($1,020)
Includes Typical Broker Commissions trade costs of $5.00
7/25/24 12:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 950 66.62 7/25 12:25 66.74 0.01%
Trade id #148742001
Max drawdown($12)
Time7/25/24 12:25
Quant open950
Worst price66.61
Drawdown as % of equity-0.01%
$110
Includes Typical Broker Commissions trade costs of $5.00
7/23/24 9:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 850 74.56 7/23 15:55 73.23 1.16%
Trade id #148718085
Max drawdown($1,211)
Time7/23/24 15:55
Quant open850
Worst price73.14
Drawdown as % of equity-1.16%
($1,139)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/1/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2350.25
  • Age
    78 months ago
  • What it trades
    Stocks
  • # Trades
    461
  • # Profitable
    218
  • % Profitable
    47.30%
  • Avg trade duration
    1.5 days
  • Max peak-to-valley drawdown
    24.67%
  • drawdown period
    Aug 30, 2018 - Feb 12, 2019
  • Annual Return (Compounded)
    27.2%
  • Avg win
    $1,494
  • Avg loss
    $965.79
  • Model Account Values (Raw)
  • Cash
    $111,187
  • Margin Used
    $0
  • Buying Power
    $111,187
  • Ratios
  • W:L ratio
    1.39:1
  • Sharpe Ratio
    0.99
  • Sortino Ratio
    1.71
  • Calmar Ratio
    1.65
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    255.28%
  • Correlation to SP500
    0.23690
  • Return Percent SP500 (cumu) during strategy life
    116.63%
  • Return Statistics
  • Ann Return (w trading costs)
    27.2%
  • Slump
  • Current Slump as Pcnt Equity
    15.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • 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)
    0.272%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    1.00%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    521
  • Popularity (Last 6 weeks)
    933
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    469
  • Popularity (7 days, Percentile 1000 scale)
    770
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $966
  • Avg Win
    $1,495
  • Sum Trade PL (losers)
    $234,688.000
  • Age
  • Num Months filled monthly returns table
    78
  • Win / Loss
  • Sum Trade PL (winners)
    $325,853.000
  • # Winners
    218
  • Num Months Winners
    47
  • Dividends
  • Dividends Received in Model Acct
    22
  • AUM
  • AUM (AutoTrader live capital)
    671910
  • Win / Loss
  • # Losers
    243
  • % Winners
    47.3%
  • Frequency
  • Avg Position Time (mins)
    2093.62
  • Avg Position Time (hrs)
    34.89
  • Avg Trade Length
    1.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.77
  • Daily leverage (max)
    4.28
  • Regression
  • Alpha
    0.06
  • Beta
    0.25
  • Treynor Index
    0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    7.66
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    54.88
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.94
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    23.156
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.310
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.147
  • Hold-and-Hope Ratio
    0.043
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29192
  • SD
    0.23637
  • Sharpe ratio (Glass type estimate)
    1.23502
  • Sharpe ratio (Hedges UMVUE)
    1.22193
  • df
    71.00000
  • t
    3.02517
  • p
    0.00173
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40549
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04694
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04441
  • Upside Potential Ratio
    4.66850
  • Upside part of mean
    0.44765
  • Downside part of mean
    -0.15573
  • Upside SD
    0.23022
  • Downside SD
    0.09589
  • N nonnegative terms
    43.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.11239
  • Mean of criterion
    0.29192
  • SD of predictor
    0.18762
  • SD of criterion
    0.23637
  • Covariance
    0.01530
  • r
    0.34496
  • b (slope, estimate of beta)
    0.43458
  • a (intercept, estimate of alpha)
    0.24308
  • Mean Square Error
    0.04992
  • DF error
    70.00000
  • t(b)
    3.07490
  • p(b)
    0.00150
  • t(a)
    2.62526
  • p(a)
    0.00531
  • Lowerbound of 95% confidence interval for beta
    0.15271
  • Upperbound of 95% confidence interval for beta
    0.71646
  • Lowerbound of 95% confidence interval for alpha
    0.05841
  • Upperbound of 95% confidence interval for alpha
    0.42774
  • Treynor index (mean / b)
    0.67173
  • Jensen alpha (a)
    0.24308
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26251
  • SD
    0.22456
  • Sharpe ratio (Glass type estimate)
    1.16897
  • Sharpe ratio (Hedges UMVUE)
    1.15658
  • df
    71.00000
  • t
    2.86339
  • p
    0.00275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97903
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63278
  • Upside Potential Ratio
    4.23951
  • Upside part of mean
    0.42271
  • Downside part of mean
    -0.16020
  • Upside SD
    0.21338
  • Downside SD
    0.09971
  • N nonnegative terms
    43.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.09359
  • Mean of criterion
    0.26251
  • SD of predictor
    0.19433
  • SD of criterion
    0.22456
  • Covariance
    0.01530
  • r
    0.35059
  • b (slope, estimate of beta)
    0.40514
  • a (intercept, estimate of alpha)
    0.22459
  • Mean Square Error
    0.04486
  • DF error
    70.00000
  • t(b)
    3.13205
  • p(b)
    0.00127
  • t(a)
    2.57223
  • p(a)
    0.00611
  • Lowerbound of 95% confidence interval for beta
    0.14715
  • Upperbound of 95% confidence interval for beta
    0.66313
  • Lowerbound of 95% confidence interval for alpha
    0.05045
  • Upperbound of 95% confidence interval for alpha
    0.39873
  • Treynor index (mean / b)
    0.64794
  • Jensen alpha (a)
    0.22459
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08126
  • Expected Shortfall on VaR
    0.10556
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02583
  • Expected Shortfall on VaR
    0.05329
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.87773
  • Quartile 1
    0.98593
  • Median
    1.01017
  • Quartile 3
    1.05381
  • Maximum
    1.24362
  • Mean of quarter 1
    0.95510
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.03301
  • Mean of quarter 4
    1.11887
  • Inter Quartile Range
    0.06788
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01389
  • Mean of outliers low
    0.87773
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.20873
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05809
  • VaR(95%) (moments method)
    0.03776
  • Expected Shortfall (moments method)
    0.05111
  • Extreme Value Index (regression method)
    0.18467
  • VaR(95%) (regression method)
    0.04332
  • Expected Shortfall (regression method)
    0.06862
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00695
  • Quartile 1
    0.02053
  • Median
    0.03575
  • Quartile 3
    0.10403
  • Maximum
    0.19605
  • Mean of quarter 1
    0.01319
  • Mean of quarter 2
    0.02789
  • Mean of quarter 3
    0.08435
  • Mean of quarter 4
    0.13851
  • Inter Quartile Range
    0.08349
  • 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)
    0.03909
  • VaR(95%) (moments method)
    0.15408
  • Expected Shortfall (moments method)
    0.19406
  • Extreme Value Index (regression method)
    2.35181
  • VaR(95%) (regression method)
    0.21938
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78525
  • Compounded annual return (geometric extrapolation)
    0.33698
  • Calmar ratio (compounded annual return / max draw down)
    1.71886
  • Compounded annual return / average of 25% largest draw downs
    2.43292
  • Compounded annual return / Expected Shortfall lognormal
    3.19241
  • 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
    0.27254
  • SD
    0.19164
  • Sharpe ratio (Glass type estimate)
    1.42215
  • Sharpe ratio (Hedges UMVUE)
    1.42148
  • df
    1592.00000
  • t
    3.50674
  • p
    0.45622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62556
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21788
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51702
  • Upside Potential Ratio
    9.82447
  • Upside part of mean
    1.06376
  • Downside part of mean
    -0.79123
  • Upside SD
    0.15894
  • Downside SD
    0.10828
  • N nonnegative terms
    564.00000
  • N negative terms
    1029.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1593.00000
  • Mean of predictor
    0.12030
  • Mean of criterion
    0.27254
  • SD of predictor
    0.20470
  • SD of criterion
    0.19164
  • Covariance
    0.00883
  • r
    0.22509
  • b (slope, estimate of beta)
    0.21072
  • a (intercept, estimate of alpha)
    0.24700
  • Mean Square Error
    0.03489
  • DF error
    1591.00000
  • t(b)
    9.21463
  • p(b)
    0.35792
  • t(a)
    3.26116
  • p(a)
    0.44818
  • Lowerbound of 95% confidence interval for beta
    0.16586
  • Upperbound of 95% confidence interval for beta
    0.25557
  • Lowerbound of 95% confidence interval for alpha
    0.09851
  • Upperbound of 95% confidence interval for alpha
    0.39586
  • Treynor index (mean / b)
    1.29336
  • Jensen alpha (a)
    0.24719
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25423
  • SD
    0.19005
  • Sharpe ratio (Glass type estimate)
    1.33770
  • Sharpe ratio (Hedges UMVUE)
    1.33707
  • df
    1592.00000
  • t
    3.29849
  • p
    0.45881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13372
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54085
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13328
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32270
  • Upside Potential Ratio
    9.60505
  • Upside part of mean
    1.05132
  • Downside part of mean
    -0.79709
  • Upside SD
    0.15609
  • Downside SD
    0.10945
  • N nonnegative terms
    564.00000
  • N negative terms
    1029.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1593.00000
  • Mean of predictor
    0.09923
  • Mean of criterion
    0.25423
  • SD of predictor
    0.20547
  • SD of criterion
    0.19005
  • Covariance
    0.00876
  • r
    0.22421
  • b (slope, estimate of beta)
    0.20739
  • a (intercept, estimate of alpha)
    0.23365
  • Mean Square Error
    0.03433
  • DF error
    1591.00000
  • t(b)
    9.17672
  • p(b)
    0.35847
  • t(a)
    3.10833
  • p(a)
    0.45059
  • Lowerbound of 95% confidence interval for beta
    0.16306
  • Upperbound of 95% confidence interval for beta
    0.25171
  • Lowerbound of 95% confidence interval for alpha
    0.08621
  • Upperbound of 95% confidence interval for alpha
    0.38110
  • Treynor index (mean / b)
    1.22589
  • Jensen alpha (a)
    0.23365
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01818
  • Expected Shortfall on VaR
    0.02297
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00811
  • Expected Shortfall on VaR
    0.01593
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1593.00000
  • Minimum
    0.95459
  • Quartile 1
    0.99652
  • Median
    1.00000
  • Quartile 3
    1.00396
  • Maximum
    1.08753
  • Mean of quarter 1
    0.98895
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00087
  • Mean of quarter 4
    1.01553
  • Inter Quartile Range
    0.00744
  • Number outliers low
    92.00000
  • Percentage of outliers low
    0.05775
  • Mean of outliers low
    0.97819
  • Number of outliers high
    149.00000
  • Percentage of outliers high
    0.09353
  • Mean of outliers high
    1.02700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04246
  • VaR(95%) (moments method)
    0.00905
  • Expected Shortfall (moments method)
    0.01225
  • Extreme Value Index (regression method)
    0.03560
  • VaR(95%) (regression method)
    0.01064
  • Expected Shortfall (regression method)
    0.01539
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    55.00000
  • Minimum
    0.00035
  • Quartile 1
    0.00942
  • Median
    0.03314
  • Quartile 3
    0.06820
  • Maximum
    0.19750
  • Mean of quarter 1
    0.00409
  • Mean of quarter 2
    0.02124
  • Mean of quarter 3
    0.05045
  • Mean of quarter 4
    0.10937
  • Inter Quartile Range
    0.05877
  • 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
    0.05455
  • Mean of outliers high
    0.17816
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01102
  • VaR(95%) (moments method)
    0.11592
  • Expected Shortfall (moments method)
    0.14685
  • Extreme Value Index (regression method)
    0.05757
  • VaR(95%) (regression method)
    0.12607
  • Expected Shortfall (regression method)
    0.16560
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74984
  • Compounded annual return (geometric extrapolation)
    0.32596
  • Calmar ratio (compounded annual return / max draw down)
    1.65041
  • Compounded annual return / average of 25% largest draw downs
    2.98030
  • Compounded annual return / Expected Shortfall lognormal
    14.18990
  • 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
    0.01207
  • SD
    0.10092
  • Sharpe ratio (Glass type estimate)
    0.11964
  • Sharpe ratio (Hedges UMVUE)
    0.11894
  • df
    130.00000
  • t
    0.08460
  • p
    0.49629
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65290
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89079
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17627
  • Upside Potential Ratio
    8.38966
  • Upside part of mean
    0.57466
  • Downside part of mean
    -0.56259
  • Upside SD
    0.07360
  • Downside SD
    0.06850
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20307
  • Mean of criterion
    0.01207
  • SD of predictor
    0.13467
  • SD of criterion
    0.10092
  • Covariance
    0.00274
  • r
    0.20156
  • b (slope, estimate of beta)
    0.15105
  • a (intercept, estimate of alpha)
    -0.01860
  • Mean Square Error
    0.00985
  • DF error
    129.00000
  • t(b)
    2.33718
  • p(b)
    0.37256
  • t(a)
    -0.13196
  • p(a)
    0.50740
  • Lowerbound of 95% confidence interval for beta
    0.02318
  • Upperbound of 95% confidence interval for beta
    0.27891
  • Lowerbound of 95% confidence interval for alpha
    -0.29747
  • Upperbound of 95% confidence interval for alpha
    0.26027
  • Treynor index (mean / b)
    0.07994
  • Jensen alpha (a)
    -0.01860
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00702
  • SD
    0.10085
  • Sharpe ratio (Glass type estimate)
    0.06965
  • Sharpe ratio (Hedges UMVUE)
    0.06924
  • df
    130.00000
  • t
    0.04925
  • p
    0.49784
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70257
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84106
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10195
  • Upside Potential Ratio
    8.30125
  • Upside part of mean
    0.57191
  • Downside part of mean
    -0.56489
  • Upside SD
    0.07312
  • Downside SD
    0.06889
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19395
  • Mean of criterion
    0.00702
  • SD of predictor
    0.13492
  • SD of criterion
    0.10085
  • Covariance
    0.00275
  • r
    0.20196
  • b (slope, estimate of beta)
    0.15097
  • a (intercept, estimate of alpha)
    -0.02226
  • Mean Square Error
    0.00983
  • DF error
    129.00000
  • t(b)
    2.34207
  • p(b)
    0.37231
  • t(a)
    -0.15809
  • p(a)
    0.50886
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.02343
  • Upperbound of 95% confidence interval for beta
    0.27850
  • Lowerbound of 95% confidence interval for alpha
    -0.30080
  • Upperbound of 95% confidence interval for alpha
    0.25628
  • Treynor index (mean / b)
    0.04653
  • Jensen alpha (a)
    -0.02226
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01017
  • Expected Shortfall on VaR
    0.01274
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00543
  • Expected Shortfall on VaR
    0.01021
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97725
  • Quartile 1
    0.99686
  • Median
    1.00000
  • Quartile 3
    1.00308
  • Maximum
    1.02249
  • Mean of quarter 1
    0.99267
  • Mean of quarter 2
    0.99905
  • Mean of quarter 3
    1.00100
  • Mean of quarter 4
    1.00791
  • Inter Quartile Range
    0.00623
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98391
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01708
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.60968
  • VaR(95%) (moments method)
    0.00717
  • Expected Shortfall (moments method)
    0.00810
  • Extreme Value Index (regression method)
    -0.22018
  • VaR(95%) (regression method)
    0.00684
  • Expected Shortfall (regression method)
    0.00839
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00178
  • Median
    0.01166
  • Quartile 3
    0.01724
  • Maximum
    0.10182
  • Mean of quarter 1
    0.00108
  • Mean of quarter 2
    0.01039
  • Mean of quarter 3
    0.01498
  • Mean of quarter 4
    0.06930
  • Inter Quartile Range
    0.01546
  • 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
    0.11111
  • Mean of outliers high
    0.10182
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.32745
  • VaR(95%) (moments method)
    0.05025
  • Expected Shortfall (moments method)
    0.05326
  • Extreme Value Index (regression method)
    0.73556
  • VaR(95%) (regression method)
    0.12507
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.53467
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -375052000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03524
  • Compounded annual return (geometric extrapolation)
    0.03555
  • Calmar ratio (compounded annual return / max draw down)
    0.34911
  • Compounded annual return / average of 25% largest draw downs
    0.51296
  • Compounded annual return / Expected Shortfall lognormal
    2.79014

Strategy Description

About TQQQ Aspire
The TQQQ Aspire Strategy is based on a statistical computer model whose signals are designed to be efficiently traded utilizing C2’s Auto-Trading technology. This Strategy uses the leveraged ETF TQQQ which is highly correlated to the Nasdaq 100 Index (NDX). This is one of the Top Ten popular ETFs for traders with a substantial trading volume on a daily basis.

White Papers and Video
If you would like to review a white paper that compares TQQQ Aspire relative to other Strategies using the C2 Grid as an evaluation tool, please copy this link into your browser:

https://docsend.com/view/5nd6v3w85wc2xiem

In addition to the White Paper, here is a link to the Collective2 video interview of the Strategy Leader for “TQQQ Aspire”.

https://www.youtube.com/watch?v=tN6bNJwc1EA

Strategy Philosophy
1. Alternative Investment Strategy – As an Alternative Investment Strategy, TQQQ Aspire is built to be a small portion of your investable assets. Due to the inherent leveraged price movement (3X the Nasdaq price movement), We encourage investors to limit this to less than 10% of their portfolio.

2. Substantial Returns - The intent of this Strategy is to provide substantial returns as part of a larger investor portfolio. In other words, diversification is the responsibility of the investor subscribing to this Strategy.

3. “Windows of Momentum” – TQQQ Aspire seeks to limit exposure to brief periods of time as the Strategy constantly seeks momentum. During low volatility periods, a swing strategy is applied and our algorithm may signal positions can be held overnight. The Stop-Loss calculation on Day 1 of a swing trade and all subsequent days in the trade is part of the “Secret Sauce” and is calculated on a daily basis for each day’s trading. However, when volatility is high, like 2022 and intraday 2023, our algorithm has been modified where entries and exits are likely to occur in the same day.

4. Lost Crystal Ball – We still haven’t seen a Strategy with a Crystal Ball for predicting when to close a position at the peak. Believe us, if someone had a reliable method of making this decision, we would all be living in luxury. Depending on volatility levels, exits occur either in the same day (high volatility) or positions can be held overnight when volatility is low and our algorithm calculates a statistical probability for doing so.

5. Risk Mitigation – TQQQ Aspire never leaves a trade position “exposed.” This means there is a Stop-Loss in effect at the point of the trade entry and there is one in place until the closing of the trade.

6. Trading Adjustment - Prior to 2022, the swing trade strategy often held positions overnight. During low volatility and when higher probability calculations to hold overnight occur, the average length of a position is 5+ days according to backtesting. Some trades have lasted as long as in excess of 20 days...it simply depends on the strength of the momentum. A trade to enter a position can also occur with a Stop-Loss on the same day should the market turn downward. At higher volatility levels, we adjusted our algorithm to accommodate this volatility by exiting a trade typically on the same day as the entry utilizes a "Profit Taker" or limit order to sell should a calculated profit be reached. However, when volatility is low and a calculated decision occurs to hold overnight, a trade to enter and a trade to close a position can occur on separate days.

7. Trade Entry – Recently, we have adjusted our entries to occur shortly after the open. Subsequently, we may adjust our Stop-Loss and Profit-Taker sell orders based on mathematical adjustments during the trading day. This is why we recommend Auto-Trading so you do not miss the trading signals early in the day or the order adjustments throughout the day.

8. Pursuit of Simplicity – This Strategy in its earliest form was more complex than today’s Strategy. We put a great deal of energy into simplifying the Strategy and through exhaustive backtesting. The “Secret Sauce” for this Strategy is partly due to identifying a unique advantage and then using simplicity to make the Strategy more efficient.

9. Strategy Leader Discretion - This Strategy, albeit based mostly on a quantitative strategy is not 100% mechanical. If market circumstances or geo-political conditions arise that could impact performance of a trade in the opinion of the strategy leader, discretion may be exercised by overriding the calculated signal.

On November 1, 2019, we enhanced this model to improve the entry decision and Stop-Loss calculation. The performance during rising and falling markets has made a substantial improvement during this time-period. The current C2 Max Drawdown reported on this Strategy occurred prior to this model update.

On January 1, 2023, we added adjustments to our algorithm that accommodate increased trading volatility. While 2022 was a difficult year, the "silver lining" to this extended downturn was the market's provision of substantial data for similar volatile periods in the future.

In December 2023 we executed additional adjustments to the algorithm to accommodate the market volatility of 2022 and intraday volatility in 2023.

The main inventor of this Strategy has been building statistical models for many years. His initial work was for the Department of Defense during the 1980's. We have been working on the key elements of this financial model's technique for over 8 years. v.1-15-2024 linkv.1-15-2024

Summary Statistics

Strategy began
2018-05-01
Suggested Minimum Capital
$35,000
# Trades
461
# Profitable
218
% Profitable
47.3%
Net Dividends
Correlation S&P500
0.237
Sharpe Ratio
0.99
Sortino Ratio
1.71
Beta
0.25
Alpha
0.06
Leverage
2.77 Average
4.28 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.