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Featured Strategy Quant AI pro +15.7% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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The QQQ x3 Daily
(141240139)

Created by: The_Stocker The_Stocker
Started: 07/2022
Stocks
Last trade: 116 days ago
Trading style: Equity Sector: Technology Short-term Reversal

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 $99.00 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
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
13.3%
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.

(19.8%)
Max Drawdown
216
Num Trades
49.1%
Win Trades
1.2 : 1
Profit Factor
46.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          (0.3%)(5.6%)+0.1%(1.5%)(5.7%)+8.5%(5.1%)
2023(6.3%)+1.8%+4.6%+4.0%+3.8%(2.3%)+2.6%+16.4%+4.4%+11.3%(12%)+5.6%+35.6%
2024(4.9%)+19.3%(6.5%)+1.9%(0.2%)+5.0%(2.2%)  -  (5.2%)  -    -    -  +5.0%

Model Account Details

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

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

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

Trading Record

This strategy has placed 361 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
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/28/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 500 68.75 9/5 9:30 61.14 5.94%
Trade id #149080233
Max drawdown($4,050)
Time9/4/24 0:00
Quant open500
Worst price60.65
Drawdown as % of equity-5.94%
 ($3,815)
Includes Typical Broker Commissions trade costs of $10.00
8/19/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 68.66 8/26 10:15 68.88 1.09%
Trade id #148951532
Max drawdown($775)
Time8/19/24 10:19
Quant open1,000
Worst price67.89
Drawdown as % of equity-1.09%
 $210
Includes Typical Broker Commissions trade costs of $5.00
7/25/24 10:04 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,000 9.26 7/29 9:33 8.96 1.83%
Trade id #148739196
Max drawdown($1,317)
Time7/29/24 9:30
Quant open4,000
Worst price8.93
Drawdown as % of equity-1.83%
 ($1,226)
Includes Typical Broker Commissions trade costs of $7.50
7/5/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 79.55 7/9 15:58 82.40 0.03%
Trade id #148575805
Max drawdown($24)
Time7/5/24 9:46
Quant open200
Worst price79.43
Drawdown as % of equity-0.03%
 $566
Includes Typical Broker Commissions trade costs of $4.00
6/27/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 800 74.35 7/1 9:53 72.85 1.79%
Trade id #148514859
Max drawdown($1,304)
Time7/1/24 9:50
Quant open800
Worst price72.72
Drawdown as % of equity-1.79%
 ($1,205)
Includes Typical Broker Commissions trade costs of $5.00
5/31/24 12:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 61.98 6/7 15:57 67.26 0.04%
Trade id #148301923
Max drawdown($27)
Time5/31/24 12:58
Quant open400
Worst price59.40
Drawdown as % of equity-0.04%
 $5,255
Includes Typical Broker Commissions trade costs of $20.00
5/31/24 12:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 59.48 5/31 12:49 59.33 0.08%
Trade id #148301878
Max drawdown($55)
Time5/31/24 12:49
Quant open300
Worst price59.30
Drawdown as % of equity-0.08%
 ($54)
Includes Typical Broker Commissions trade costs of $6.00
5/28/24 15:55 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,500 9.55 5/31 9:30 10.02 0.59%
Trade id #148274198
Max drawdown($387)
Time5/28/24 16:00
Quant open4,500
Worst price9.47
Drawdown as % of equity-0.59%
 $2,088
Includes Typical Broker Commissions trade costs of $5.00
5/28/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 65.49 5/28 13:49 65.83 0.69%
Trade id #148268758
Max drawdown($454)
Time5/28/24 10:02
Quant open1,000
Worst price65.04
Drawdown as % of equity-0.69%
 $329
Includes Typical Broker Commissions trade costs of $12.50
5/21/24 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,000 9.90 5/28 9:30 9.54 2.12%
Trade id #148215387
Max drawdown($1,410)
Time5/23/24 0:00
Quant open3,000
Worst price9.43
Drawdown as % of equity-2.12%
 ($1,085)
Includes Typical Broker Commissions trade costs of $5.00
5/7/24 14:15 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 6,000 10.71 5/15 10:34 10.12 5.3%
Trade id #148114038
Max drawdown($3,570)
Time5/15/24 10:34
Quant open6,000
Worst price10.11
Drawdown as % of equity-5.30%
 ($3,548)
Includes Typical Broker Commissions trade costs of $7.50
5/6/24 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 57.17 5/7 14:15 58.58 n/a $1,401
Includes Typical Broker Commissions trade costs of $5.00
5/3/24 15:19 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,000 11.06 5/6 9:30 10.94 0.55%
Trade id #148088721
Max drawdown($384)
Time5/6/24 9:30
Quant open3,000
Worst price10.93
Drawdown as % of equity-0.55%
 ($359)
Includes Typical Broker Commissions trade costs of $5.00
4/29/24 9:55 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 6,100 11.43 4/29 10:40 11.35 1.24%
Trade id #148037527
Max drawdown($867)
Time4/29/24 10:32
Quant open6,100
Worst price11.29
Drawdown as % of equity-1.24%
 ($501)
Includes Typical Broker Commissions trade costs of $11.00
4/22/24 10:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 49.68 4/24 11:53 53.31 0.85%
Trade id #147975118
Max drawdown($559)
Time4/22/24 11:15
Quant open1,100
Worst price49.17
Drawdown as % of equity-0.85%
 $3,995
Includes Typical Broker Commissions trade costs of $5.00
4/22/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 50.45 4/22 10:30 49.67 1.5%
Trade id #147973516
Max drawdown($990)
Time4/22/24 10:28
Quant open1,000
Worst price49.46
Drawdown as % of equity-1.50%
 ($785)
Includes Typical Broker Commissions trade costs of $5.00
4/18/24 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,200 52.62 4/19 15:58 49.56 6.76%
Trade id #147950166
Max drawdown($4,526)
Time4/19/24 15:46
Quant open1,200
Worst price48.85
Drawdown as % of equity-6.76%
 ($3,681)
Includes Typical Broker Commissions trade costs of $7.00
4/18/24 13:27 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 52.84 4/18 13:41 52.75 0.16%
Trade id #147948380
Max drawdown($114)
Time4/18/24 13:41
Quant open600
Worst price52.66
Drawdown as % of equity-0.16%
 ($62)
Includes Typical Broker Commissions trade costs of $5.00
4/15/24 15:18 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 6,100 11.44 4/17 15:20 11.80 1.89%
Trade id #147913121
Max drawdown($1,295)
Time4/16/24 0:00
Quant open6,100
Worst price11.23
Drawdown as % of equity-1.89%
 $2,172
Includes Typical Broker Commissions trade costs of $20.50
4/15/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,200 60.20 4/15 12:32 58.06 3.85%
Trade id #147903745
Max drawdown($2,646)
Time4/15/24 12:31
Quant open1,200
Worst price57.99
Drawdown as % of equity-3.85%
 ($2,569)
Includes Typical Broker Commissions trade costs of $7.00
4/11/24 10:09 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,400 10.84 4/15 9:30 10.63 1%
Trade id #147871637
Max drawdown($707)
Time4/11/24 15:40
Quant open1,400
Worst price10.33
Drawdown as % of equity-1.00%
 ($292)
Includes Typical Broker Commissions trade costs of $5.00
4/8/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 59.82 4/11 9:55 59.60 2.67%
Trade id #147834980
Max drawdown($1,931)
Time4/10/24 0:00
Quant open1,100
Worst price58.06
Drawdown as % of equity-2.67%
 ($242)
Includes Typical Broker Commissions trade costs of $10.00
4/4/24 15:39 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,000 11.09 4/5 9:45 10.96 0.82%
Trade id #147813034
Max drawdown($595)
Time4/5/24 9:43
Quant open4,000
Worst price10.94
Drawdown as % of equity-0.82%
 ($543)
Includes Typical Broker Commissions trade costs of $7.50
4/4/24 15:28 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,500 11.05 4/4 15:35 11.05 0.06%
Trade id #147812722
Max drawdown($42)
Time4/4/24 15:34
Quant open1,500
Worst price11.02
Drawdown as % of equity-0.06%
 ($2)
Includes Typical Broker Commissions trade costs of $5.00
4/3/24 12:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 61.13 4/4 13:45 62.15 1.74%
Trade id #147796470
Max drawdown($1,236)
Time4/3/24 15:15
Quant open1,100
Worst price60.01
Drawdown as % of equity-1.74%
 $1,118
Includes Typical Broker Commissions trade costs of $5.00
4/3/24 10:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 61.23 4/3 12:01 60.84 0.57%
Trade id #147794391
Max drawdown($406)
Time4/3/24 12:01
Quant open1,000
Worst price60.82
Drawdown as % of equity-0.57%
 ($400)
Includes Typical Broker Commissions trade costs of $12.50
4/1/24 10:02 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 6,000 10.26 4/2 12:45 10.80 0.12%
Trade id #147772024
Max drawdown($84)
Time4/1/24 10:15
Quant open6,000
Worst price10.25
Drawdown as % of equity-0.12%
 $3,221
Includes Typical Broker Commissions trade costs of $7.50
3/22/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 500 62.28 3/22 14:54 62.76 0.28%
Trade id #147711311
Max drawdown($187)
Time3/22/24 9:47
Quant open500
Worst price61.90
Drawdown as % of equity-0.28%
 $231
Includes Typical Broker Commissions trade costs of $10.00
3/20/24 15:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 62.66 3/21 15:58 62.55 0.24%
Trade id #147697349
Max drawdown($162)
Time3/20/24 15:04
Quant open500
Worst price61.00
Drawdown as % of equity-0.24%
 ($141)
Includes Typical Broker Commissions trade costs of $10.00
3/19/24 13:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 59.85 3/20 12:50 59.72 0.51%
Trade id #147687173
Max drawdown($347)
Time3/19/24 15:16
Quant open600
Worst price59.27
Drawdown as % of equity-0.51%
 ($85)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    7/31/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    876.29
  • Age
    29 months ago
  • What it trades
    Stocks
  • # Trades
    216
  • # Profitable
    106
  • % Profitable
    49.10%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    19.76%
  • drawdown period
    Oct 17, 2023 - Feb 06, 2024
  • Annual Return (Compounded)
    13.3%
  • Avg win
    $1,104
  • Avg loss
    $864.87
  • Model Account Values (Raw)
  • Cash
    $72,327
  • Margin Used
    $0
  • Buying Power
    $72,327
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.52
  • Sortino Ratio
    0.8
  • Calmar Ratio
    1.073
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.47%
  • Correlation to SP500
    -0.04080
  • Return Percent SP500 (cumu) during strategy life
    43.02%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    13.3%
  • Slump
  • Current Slump as Pcnt Equity
    12.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.34%
  • 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)
    0.133%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.00%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    584
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $865
  • Avg Win
    $1,105
  • Sum Trade PL (losers)
    $95,136.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $117,115.000
  • # Winners
    106
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    351
  • Win / Loss
  • # Losers
    110
  • % Winners
    49.1%
  • Frequency
  • Avg Position Time (mins)
    2742.08
  • Avg Position Time (hrs)
    45.70
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    109
  • Leverage
  • Daily leverage (average)
    1.80
  • Daily leverage (max)
    4.89
  • Regression
  • Alpha
    0.04
  • Beta
    -0.05
  • Treynor Index
    -0.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    15.600
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.495
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.238
  • Hold-and-Hope Ratio
    0.064
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16252
  • SD
    0.24166
  • Sharpe ratio (Glass type estimate)
    0.67251
  • Sharpe ratio (Hedges UMVUE)
    0.65289
  • df
    26.00000
  • t
    1.00876
  • p
    0.16119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66575
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97153
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75368
  • Upside Potential Ratio
    3.77441
  • Upside part of mean
    0.34979
  • Downside part of mean
    -0.18727
  • Upside SD
    0.22327
  • Downside SD
    0.09267
  • N nonnegative terms
    11.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.15577
  • Mean of criterion
    0.16252
  • SD of predictor
    0.14198
  • SD of criterion
    0.24166
  • Covariance
    -0.00736
  • r
    -0.21443
  • b (slope, estimate of beta)
    -0.36496
  • a (intercept, estimate of alpha)
    0.21937
  • Mean Square Error
    0.05794
  • DF error
    25.00000
  • t(b)
    -1.09766
  • p(b)
    0.85859
  • t(a)
    1.30092
  • p(a)
    0.10257
  • Lowerbound of 95% confidence interval for beta
    -1.04975
  • Upperbound of 95% confidence interval for beta
    0.31982
  • Lowerbound of 95% confidence interval for alpha
    -0.12792
  • Upperbound of 95% confidence interval for alpha
    0.56667
  • Treynor index (mean / b)
    -0.44530
  • Jensen alpha (a)
    0.21937
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13580
  • SD
    0.22492
  • Sharpe ratio (Glass type estimate)
    0.60378
  • Sharpe ratio (Hedges UMVUE)
    0.58617
  • df
    26.00000
  • t
    0.90567
  • p
    0.18671
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91494
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90248
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.42787
  • Upside Potential Ratio
    3.43899
  • Upside part of mean
    0.32707
  • Downside part of mean
    -0.19127
  • Upside SD
    0.20299
  • Downside SD
    0.09511
  • N nonnegative terms
    11.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.14476
  • Mean of criterion
    0.13580
  • SD of predictor
    0.14245
  • SD of criterion
    0.22492
  • Covariance
    -0.00681
  • r
    -0.21248
  • b (slope, estimate of beta)
    -0.33548
  • a (intercept, estimate of alpha)
    0.18437
  • Mean Square Error
    0.05024
  • DF error
    25.00000
  • t(b)
    -1.08722
  • p(b)
    0.85634
  • t(a)
    1.18216
  • p(a)
    0.12413
  • Lowerbound of 95% confidence interval for beta
    -0.97098
  • Upperbound of 95% confidence interval for beta
    0.30003
  • Lowerbound of 95% confidence interval for alpha
    -0.13683
  • Upperbound of 95% confidence interval for alpha
    0.50556
  • Treynor index (mean / b)
    -0.40480
  • Jensen alpha (a)
    0.18437
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09106
  • Expected Shortfall on VaR
    0.11514
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04004
  • Expected Shortfall on VaR
    0.06843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.92967
  • Quartile 1
    0.98054
  • Median
    0.99765
  • Quartile 3
    1.03943
  • Maximum
    1.27378
  • Mean of quarter 1
    0.95307
  • Mean of quarter 2
    0.99206
  • Mean of quarter 3
    1.01272
  • Mean of quarter 4
    1.10519
  • Inter Quartile Range
    0.05889
  • 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
    0.03704
  • Mean of outliers high
    1.27378
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.78607
  • VaR(95%) (moments method)
    0.04738
  • Expected Shortfall (moments method)
    0.04765
  • Extreme Value Index (regression method)
    -1.30069
  • VaR(95%) (regression method)
    0.04379
  • Expected Shortfall (regression method)
    0.04532
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00328
  • Quartile 1
    0.02954
  • Median
    0.06258
  • Quartile 3
    0.07678
  • Maximum
    0.10637
  • Mean of quarter 1
    0.01213
  • Mean of quarter 2
    0.05522
  • Mean of quarter 3
    0.06993
  • Mean of quarter 4
    0.09272
  • Inter Quartile Range
    0.04724
  • 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)
    0.19793
  • Compounded annual return (geometric extrapolation)
    0.17787
  • Calmar ratio (compounded annual return / max draw down)
    1.67225
  • Compounded annual return / average of 25% largest draw downs
    1.91845
  • Compounded annual return / Expected Shortfall lognormal
    1.54484
  • 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
    0.15480
  • SD
    0.20284
  • Sharpe ratio (Glass type estimate)
    0.76318
  • Sharpe ratio (Hedges UMVUE)
    0.76221
  • df
    594.00000
  • t
    1.15009
  • p
    0.12528
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53846
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06352
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17074
  • Upside Potential Ratio
    8.29361
  • Upside part of mean
    1.09663
  • Downside part of mean
    -0.94183
  • Upside SD
    0.15389
  • Downside SD
    0.13223
  • N nonnegative terms
    224.00000
  • N negative terms
    371.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    595.00000
  • Mean of predictor
    0.14544
  • Mean of criterion
    0.15480
  • SD of predictor
    0.15984
  • SD of criterion
    0.20284
  • Covariance
    -0.00141
  • r
    -0.04341
  • b (slope, estimate of beta)
    -0.05509
  • a (intercept, estimate of alpha)
    0.16300
  • Mean Square Error
    0.04113
  • DF error
    593.00000
  • t(b)
    -1.05812
  • p(b)
    0.85479
  • t(a)
    1.20783
  • p(a)
    0.11380
  • Lowerbound of 95% confidence interval for beta
    -0.15733
  • Upperbound of 95% confidence interval for beta
    0.04716
  • Lowerbound of 95% confidence interval for alpha
    -0.10193
  • Upperbound of 95% confidence interval for alpha
    0.42755
  • Treynor index (mean / b)
    -2.81013
  • Jensen alpha (a)
    0.16281
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13429
  • SD
    0.20229
  • Sharpe ratio (Glass type estimate)
    0.66383
  • Sharpe ratio (Hedges UMVUE)
    0.66299
  • df
    594.00000
  • t
    1.00038
  • p
    0.15877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96413
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00249
  • Upside Potential Ratio
    8.09910
  • Upside part of mean
    1.08491
  • Downside part of mean
    -0.95062
  • Upside SD
    0.15158
  • Downside SD
    0.13395
  • N nonnegative terms
    224.00000
  • N negative terms
    371.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    595.00000
  • Mean of predictor
    0.13266
  • Mean of criterion
    0.13429
  • SD of predictor
    0.15957
  • SD of criterion
    0.20229
  • Covariance
    -0.00142
  • r
    -0.04400
  • b (slope, estimate of beta)
    -0.05578
  • a (intercept, estimate of alpha)
    0.14169
  • Mean Square Error
    0.04091
  • DF error
    593.00000
  • t(b)
    -1.07245
  • p(b)
    0.85802
  • t(a)
    1.05424
  • p(a)
    0.14610
  • Lowerbound of 95% confidence interval for beta
    -0.15792
  • Upperbound of 95% confidence interval for beta
    0.04637
  • Lowerbound of 95% confidence interval for alpha
    -0.12226
  • Upperbound of 95% confidence interval for alpha
    0.40564
  • Treynor index (mean / b)
    -2.40762
  • Jensen alpha (a)
    0.14169
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01984
  • Expected Shortfall on VaR
    0.02494
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00944
  • Expected Shortfall on VaR
    0.01881
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    595.00000
  • Minimum
    0.95491
  • Quartile 1
    0.99634
  • Median
    1.00000
  • Quartile 3
    1.00452
  • Maximum
    1.06579
  • Mean of quarter 1
    0.98673
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    1.01578
  • Inter Quartile Range
    0.00818
  • Number outliers low
    44.00000
  • Percentage of outliers low
    0.07395
  • Mean of outliers low
    0.97479
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.08571
  • Mean of outliers high
    1.02764
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23358
  • VaR(95%) (moments method)
    0.01133
  • Expected Shortfall (moments method)
    0.01880
  • Extreme Value Index (regression method)
    -0.12692
  • VaR(95%) (regression method)
    0.01234
  • Expected Shortfall (regression method)
    0.01665
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00714
  • Median
    0.03339
  • Quartile 3
    0.09170
  • Maximum
    0.16407
  • Mean of quarter 1
    0.00231
  • Mean of quarter 2
    0.01649
  • Mean of quarter 3
    0.04916
  • Mean of quarter 4
    0.13617
  • Inter Quartile Range
    0.08456
  • 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)
    -1.89370
  • VaR(95%) (moments method)
    0.15122
  • Expected Shortfall (moments method)
    0.15322
  • Extreme Value Index (regression method)
    -0.61018
  • VaR(95%) (regression method)
    0.16350
  • Expected Shortfall (regression method)
    0.17518
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19610
  • Compounded annual return (geometric extrapolation)
    0.17609
  • Calmar ratio (compounded annual return / max draw down)
    1.07324
  • Compounded annual return / average of 25% largest draw downs
    1.29314
  • Compounded annual return / Expected Shortfall lognormal
    7.06065
  • 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
    0.02387
  • SD
    0.10815
  • Sharpe ratio (Glass type estimate)
    0.22074
  • Sharpe ratio (Hedges UMVUE)
    0.21947
  • df
    130.00000
  • t
    0.15609
  • p
    0.49316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99232
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99140
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38486
  • Upside Potential Ratio
    5.37414
  • Upside part of mean
    0.33337
  • Downside part of mean
    -0.30950
  • Upside SD
    0.08810
  • Downside SD
    0.06203
  • 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
    0.22171
  • Mean of criterion
    0.02387
  • SD of predictor
    0.15853
  • SD of criterion
    0.10815
  • Covariance
    0.00554
  • r
    0.32290
  • b (slope, estimate of beta)
    0.22029
  • a (intercept, estimate of alpha)
    -0.02497
  • Mean Square Error
    0.01056
  • DF error
    129.00000
  • t(b)
    3.87508
  • p(b)
    0.29806
  • t(a)
    -0.17117
  • p(a)
    0.50959
  • Lowerbound of 95% confidence interval for beta
    0.10781
  • Upperbound of 95% confidence interval for beta
    0.33276
  • Lowerbound of 95% confidence interval for alpha
    -0.31356
  • Upperbound of 95% confidence interval for alpha
    0.26362
  • Treynor index (mean / b)
    0.10837
  • Jensen alpha (a)
    -0.02497
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01812
  • SD
    0.10741
  • Sharpe ratio (Glass type estimate)
    0.16870
  • Sharpe ratio (Hedges UMVUE)
    0.16773
  • df
    130.00000
  • t
    0.11929
  • p
    0.49477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.60342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94035
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93961
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28965
  • Upside Potential Ratio
    5.26753
  • Upside part of mean
    0.32953
  • Downside part of mean
    -0.31141
  • Upside SD
    0.08681
  • Downside SD
    0.06256
  • 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
    0.20919
  • Mean of criterion
    0.01812
  • SD of predictor
    0.15804
  • SD of criterion
    0.10741
  • Covariance
    0.00539
  • r
    0.31754
  • b (slope, estimate of beta)
    0.21581
  • a (intercept, estimate of alpha)
    -0.02702
  • Mean Square Error
    0.01045
  • DF error
    129.00000
  • t(b)
    3.80346
  • p(b)
    0.30130
  • t(a)
    -0.18627
  • p(a)
    0.51044
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.10355
  • Upperbound of 95% confidence interval for beta
    0.32807
  • Lowerbound of 95% confidence interval for alpha
    -0.31407
  • Upperbound of 95% confidence interval for alpha
    0.26002
  • Treynor index (mean / b)
    0.08396
  • Jensen alpha (a)
    -0.02702
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01079
  • Expected Shortfall on VaR
    0.01352
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00376
  • Expected Shortfall on VaR
    0.00798
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97832
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03500
  • Mean of quarter 1
    0.99567
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00511
  • Inter Quartile Range
    0.00000
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.99248
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.00888
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.90849
  • VaR(95%) (moments method)
    0.00091
  • Expected Shortfall (moments method)
    0.00093
  • Extreme Value Index (regression method)
    -0.35115
  • VaR(95%) (regression method)
    0.00565
  • Expected Shortfall (regression method)
    0.00881
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00142
  • Quartile 1
    0.00229
  • Median
    0.00591
  • Quartile 3
    0.03112
  • Maximum
    0.07983
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.00591
  • Mean of quarter 3
    0.03112
  • Mean of quarter 4
    0.07983
  • Inter Quartile Range
    0.02883
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.07983
  • 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?
    -356992000
  • Max Equity Drawdown (num days)
    112
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04656
  • Compounded annual return (geometric extrapolation)
    0.04710
  • Calmar ratio (compounded annual return / max draw down)
    0.59002
  • Compounded annual return / average of 25% largest draw downs
    0.59002
  • Compounded annual return / Expected Shortfall lognormal
    3.48312

Strategy Description

Trades TQQQ (3x long NASDAQ ETF) and SQQQ (3x short NASDAQ ETF). Positions are traded for couple of days each time. $15k+ recommended, margin required, auto-trading highly recommended.


Leveraged ETFs are great for making outsized returns (3X). The disadvantage is the huge potential drawdowns due to 3x leverage. Think of this strategy as one that buys and holds TQQQ/SQQQ.
TQQQ/SQQQ are highly volatile! Because of this, only use risk money (money you are comfortable with losing 100% with this strategy.

1. 3x ETFs are EXTREMELY VOLATILE and risky, should be part of your total account only
2. Margin required. No martingale or margin used (if IRA, IRA margin required)
3. If starting system, *** ENTER EXISTING OPEN POSITIONS ***
4. Position size is part of the strategy, be sure to set scaling properly
5. ETFs not available on IB in Europe https://europoor.com/how-to-buy-leveraged-etfs-from-europe/
6. $10k+ account size recommended
7. Auto-trading *** HIGHLY *** recommended.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-31
Suggested Minimum Capital
$15,000
# Trades
216
# Profitable
106
% Profitable
49.1%
Net Dividends
$350
Correlation S&P500
-0.041
Sharpe Ratio
0.52
Sortino Ratio
0.80
Beta
-0.05
Alpha
0.04
Leverage
1.80 Average
4.89 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.

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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.

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.