Collective2 Collective2
Featured Strategy SIGI AlphaSwing AI Followed by live capital $153,000 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

TQQQ Daytrader
(138550056)

Created by: BlueSkyAlgo BlueSkyAlgo
Started: 12/2021
Stocks
Last trade: 3 days ago
Trading style: Equity Trend-following

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 $165.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
6.4%
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.

(20.6%)
Max Drawdown
868
Num Trades
47.0%
Win Trades
1.1 : 1
Profit Factor
53.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +1.2%+1.2%
2022+4.5%+1.4%+2.8%+28.7%(9.3%)(0.7%)(4.8%)+0.5%(1.7%)(4.3%)+2.5%(1.8%)+14.4%
2023+0.9%+1.6%(0.2%)+2.0%(0.6%)+4.3%+0.5%+6.2%+0.7%+2.2%+1.7%(2.7%)+17.4%
2024  -  (0.4%)(3%)+3.5%+0.4%(1.8%)(5%)(2.1%)(1.9%)(3.5%)+0.9%+5.7%(7.4%)
2025+4.6%+10.8%+1.2%(7.1%)+0.5%(0.8%)(1.3%)+1.4%(3.4%)(4.1%)            +0.7%

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 1,785 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/17/25 10:10 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,000 101.95 10/17 10:14 103.31 1.6%
Trade id #153192426
Max drawdown($1,440)
Time10/17/25 10:14
Quant open1,000
Worst price103.39
Drawdown as % of equity-1.60%
 ($1,371)
Includes Typical Broker Commissions trade costs of $5.00
10/17/25 9:40 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,000 100.77 10/17 9:50 101.56 0.87%
Trade id #153191768
Max drawdown($795)
Time10/17/25 9:50
Quant open1,000
Worst price101.56
Drawdown as % of equity-0.87%
 ($803)
Includes Typical Broker Commissions trade costs of $12.50
10/16/25 15:18 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,000 100.89 10/16 15:49 101.65 0.89%
Trade id #153184650
Max drawdown($819)
Time10/16/25 15:49
Quant open1,000
Worst price101.71
Drawdown as % of equity-0.89%
 ($763)
Includes Typical Broker Commissions trade costs of $7.00
10/16/25 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 105.19 10/16 10:12 104.38 0.95%
Trade id #153178693
Max drawdown($883)
Time10/16/25 10:12
Quant open1,000
Worst price104.31
Drawdown as % of equity-0.95%
 ($831)
Includes Typical Broker Commissions trade costs of $12.50
10/15/25 13:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 101.35 10/15 14:15 102.95 0.48%
Trade id #153171727
Max drawdown($439)
Time10/15/25 13:29
Quant open1,000
Worst price100.91
Drawdown as % of equity-0.48%
 $1,596
Includes Typical Broker Commissions trade costs of $5.00
10/13/25 10:26 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,000 101.87 10/13 11:21 102.66 1.01%
Trade id #153146015
Max drawdown($930)
Time10/13/25 10:39
Quant open1,000
Worst price102.80
Drawdown as % of equity-1.01%
 ($803)
Includes Typical Broker Commissions trade costs of $9.00
10/10/25 15:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 98.42 10/10 15:54 97.62 1.12%
Trade id #153133997
Max drawdown($1,040)
Time10/10/25 15:54
Quant open1,000
Worst price97.38
Drawdown as % of equity-1.12%
 ($813)
Includes Typical Broker Commissions trade costs of $12.50
9/30/25 15:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,185 103.10 9/30 15:59 103.43 n/a $383
Includes Typical Broker Commissions trade costs of $5.00
9/25/25 14:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,185 99.92 9/25 15:59 100.00 0.44%
Trade id #153005037
Max drawdown($402)
Time9/25/25 15:41
Quant open1,185
Worst price99.58
Drawdown as % of equity-0.44%
 $94
Includes Typical Broker Commissions trade costs of $5.00
9/25/25 10:13 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,185 99.36 9/25 14:00 98.60 1.2%
Trade id #153000911
Max drawdown($1,131)
Time9/25/25 14:00
Quant open1,185
Worst price98.41
Drawdown as % of equity-1.20%
 ($917)
Includes Typical Broker Commissions trade costs of $14.35
9/8/25 9:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,305 93.35 9/8 13:52 92.69 0.94%
Trade id #152851348
Max drawdown($886)
Time9/8/25 13:52
Quant open1,305
Worst price92.67
Drawdown as % of equity-0.94%
 ($864)
Includes Typical Broker Commissions trade costs of $6.00
9/5/25 10:47 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,305 90.55 9/5 11:35 91.22 1.03%
Trade id #152836138
Max drawdown($986)
Time9/5/25 11:35
Quant open1,305
Worst price91.31
Drawdown as % of equity-1.03%
 ($881)
Includes Typical Broker Commissions trade costs of $5.00
9/3/25 9:59 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,305 88.27 9/3 10:43 89.68 2.05%
Trade id #152814735
Max drawdown($1,964)
Time9/3/25 10:43
Quant open1,305
Worst price89.77
Drawdown as % of equity-2.05%
 ($1,859)
Includes Typical Broker Commissions trade costs of $12.05
9/2/25 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,300 85.36 9/2 9:48 86.13 n/a $986
Includes Typical Broker Commissions trade costs of $12.00
8/22/25 10:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 89.82 8/22 10:09 90.43 0.12%
Trade id #152684534
Max drawdown($113)
Time8/22/25 10:05
Quant open300
Worst price89.44
Drawdown as % of equity-0.12%
 $179
Includes Typical Broker Commissions trade costs of $6.00
8/13/25 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,350 96.19 8/13 10:11 95.31 1.26%
Trade id #152596025
Max drawdown($1,220)
Time8/13/25 10:11
Quant open1,350
Worst price95.28
Drawdown as % of equity-1.26%
 ($1,197)
Includes Typical Broker Commissions trade costs of $5.00
8/8/25 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,190 90.30 8/8 12:12 91.81 n/a $1,798
Includes Typical Broker Commissions trade costs of $5.00
8/1/25 10:56 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,190 83.64 8/1 15:59 83.00 1.41%
Trade id #152494101
Max drawdown($1,337)
Time8/1/25 12:26
Quant open1,190
Worst price84.77
Drawdown as % of equity-1.41%
 $763
Includes Typical Broker Commissions trade costs of $5.00
7/30/25 14:59 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,220 88.82 7/30 15:11 89.10 0.42%
Trade id #152474479
Max drawdown($395)
Time7/30/25 15:11
Quant open1,220
Worst price89.14
Drawdown as % of equity-0.42%
 ($348)
Includes Typical Broker Commissions trade costs of $6.20
7/16/25 10:02 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,160 83.95 7/16 11:55 84.39 0.95%
Trade id #152334258
Max drawdown($907)
Time7/16/25 11:15
Quant open1,160
Worst price84.73
Drawdown as % of equity-0.95%
 ($515)
Includes Typical Broker Commissions trade costs of $10.65
7/11/25 11:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,160 83.94 7/11 15:59 83.76 0.65%
Trade id #152295119
Max drawdown($620)
Time7/11/25 15:06
Quant open1,160
Worst price83.41
Drawdown as % of equity-0.65%
 ($219)
Includes Typical Broker Commissions trade costs of $5.00
6/2/25 9:56 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,160 69.59 6/2 10:26 70.10 0.61%
Trade id #151891529
Max drawdown($596)
Time6/2/25 10:26
Quant open1,160
Worst price70.11
Drawdown as % of equity-0.61%
 ($594)
Includes Typical Broker Commissions trade costs of $5.00
5/30/25 15:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,160 69.71 5/30 15:54 69.92 n/a $240
Includes Typical Broker Commissions trade costs of $5.00
5/30/25 13:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,160 68.03 5/30 15:09 69.88 0.35%
Trade id #151877130
Max drawdown($330)
Time5/30/25 13:21
Quant open1,160
Worst price67.74
Drawdown as % of equity-0.35%
 $2,141
Includes Typical Broker Commissions trade costs of $5.00
5/30/25 9:41 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,160 69.49 5/30 10:12 70.02 0.72%
Trade id #151873735
Max drawdown($683)
Time5/30/25 10:12
Quant open1,160
Worst price70.08
Drawdown as % of equity-0.72%
 ($614)
Includes Typical Broker Commissions trade costs of $5.60
5/23/25 9:49 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,140 65.22 5/23 11:37 66.50 1.65%
Trade id #151812798
Max drawdown($1,583)
Time5/23/25 11:37
Quant open1,140
Worst price66.61
Drawdown as % of equity-1.65%
 ($1,474)
Includes Typical Broker Commissions trade costs of $13.90
5/22/25 14:13 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,140 69.33 5/22 15:59 68.19 1.42%
Trade id #151804127
Max drawdown($1,386)
Time5/22/25 15:57
Quant open1,140
Worst price68.11
Drawdown as % of equity-1.42%
 ($1,303)
Includes Typical Broker Commissions trade costs of $5.00
5/21/25 13:24 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,140 69.39 5/21 15:09 67.68 0.4%
Trade id #151790767
Max drawdown($381)
Time5/21/25 13:39
Quant open1,140
Worst price69.73
Drawdown as % of equity-0.40%
 $1,943
Includes Typical Broker Commissions trade costs of $5.00
5/20/25 11:26 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,140 70.65 5/20 15:59 70.84 1.49%
Trade id #151776262
Max drawdown($1,423)
Time5/20/25 15:05
Quant open1,140
Worst price69.40
Drawdown as % of equity-1.49%
 $215
Includes Typical Broker Commissions trade costs of $5.00
5/15/25 12:23 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,140 70.84 5/15 15:21 70.08 0.92%
Trade id #151737368
Max drawdown($883)
Time5/15/25 15:21
Quant open1,140
Worst price70.07
Drawdown as % of equity-0.92%
 ($877)
Includes Typical Broker Commissions trade costs of $6.40

Statistics

  • Strategy began
    12/12/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1408
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    868
  • # Profitable
    408
  • % Profitable
    47.00%
  • Avg trade duration
    1.0 hours
  • Max peak-to-valley drawdown
    20.62%
  • drawdown period
    May 02, 2022 - Dec 15, 2022
  • Annual Return (Compounded)
    6.3%
  • Avg win
    $764.38
  • Avg loss
    $609.25
  • Model Account Values (Raw)
  • Cash
    $101,618
  • Margin Used
    $0
  • Buying Power
    $101,618
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    0.36
  • Sortino Ratio
    0.55
  • Calmar Ratio
    0.66
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -16.18%
  • Correlation to SP500
    -0.04790
  • Return Percent SP500 (cumu) during strategy life
    42.88%
  • Return Statistics
  • Ann Return (w trading costs)
    6.3%
  • Slump
  • Current Slump as Pcnt Equity
    20.30%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -2.790%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.064%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    n/a
  • 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
    99.84%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    795
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    285
  • Popularity (7 days, Percentile 1000 scale)
    717
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $609
  • Avg Win
    $764
  • Sum Trade PL (losers)
    $280,255.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $311,867.000
  • # Winners
    408
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    48516
  • Win / Loss
  • # Losers
    460
  • % Winners
    47.0%
  • Frequency
  • Avg Position Time (mins)
    60.40
  • Avg Position Time (hrs)
    1.01
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.49
  • Daily leverage (max)
    6.21
  • Regression
  • Alpha
    0.01
  • Beta
    -0.03
  • Treynor Index
    -0.46
  • 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)
    -0.20
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -8.260
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.394
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.013
  • Hold-and-Hope Ratio
    -0.121
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09496
  • SD
    0.13492
  • Sharpe ratio (Glass type estimate)
    0.70377
  • Sharpe ratio (Hedges UMVUE)
    0.69112
  • df
    42.00000
  • t
    1.33222
  • p
    0.09499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74591
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35477
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73700
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77293
  • Upside Potential Ratio
    3.69359
  • Upside part of mean
    0.19782
  • Downside part of mean
    -0.10287
  • Upside SD
    0.12515
  • Downside SD
    0.05356
  • N nonnegative terms
    26.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.08664
  • Mean of criterion
    0.09496
  • SD of predictor
    0.15032
  • SD of criterion
    0.13492
  • Covariance
    -0.00229
  • r
    -0.11278
  • b (slope, estimate of beta)
    -0.10123
  • a (intercept, estimate of alpha)
    0.10372
  • Mean Square Error
    0.01841
  • DF error
    41.00000
  • t(b)
    -0.72680
  • p(b)
    0.76426
  • t(a)
    1.42699
  • p(a)
    0.08058
  • Lowerbound of 95% confidence interval for beta
    -0.38251
  • Upperbound of 95% confidence interval for beta
    0.18005
  • Lowerbound of 95% confidence interval for alpha
    -0.04307
  • Upperbound of 95% confidence interval for alpha
    0.25052
  • Treynor index (mean / b)
    -0.93802
  • Jensen alpha (a)
    0.10372
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08615
  • SD
    0.12784
  • Sharpe ratio (Glass type estimate)
    0.67388
  • Sharpe ratio (Hedges UMVUE)
    0.66176
  • df
    42.00000
  • t
    1.27563
  • p
    0.10455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37534
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71528
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70678
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58663
  • Upside Potential Ratio
    3.50359
  • Upside part of mean
    0.19024
  • Downside part of mean
    -0.10409
  • Upside SD
    0.11676
  • Downside SD
    0.05430
  • N nonnegative terms
    26.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.07511
  • Mean of criterion
    0.08615
  • SD of predictor
    0.15081
  • SD of criterion
    0.12784
  • Covariance
    -0.00211
  • r
    -0.10944
  • b (slope, estimate of beta)
    -0.09277
  • a (intercept, estimate of alpha)
    0.09312
  • Mean Square Error
    0.01654
  • DF error
    41.00000
  • t(b)
    -0.70497
  • p(b)
    0.75759
  • t(a)
    1.35625
  • p(a)
    0.09122
  • Lowerbound of 95% confidence interval for beta
    -0.35852
  • Upperbound of 95% confidence interval for beta
    0.17299
  • Lowerbound of 95% confidence interval for alpha
    -0.04554
  • Upperbound of 95% confidence interval for alpha
    0.23178
  • Treynor index (mean / b)
    -0.92866
  • Jensen alpha (a)
    0.09312
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05212
  • Expected Shortfall on VaR
    0.06654
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01729
  • Expected Shortfall on VaR
    0.03253
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.95813
  • Quartile 1
    0.98790
  • Median
    1.00717
  • Quartile 3
    1.02756
  • Maximum
    1.19796
  • Mean of quarter 1
    0.97360
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.01225
  • Mean of quarter 4
    1.05636
  • Inter Quartile Range
    0.03966
  • 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
    0.02326
  • Mean of outliers high
    1.19796
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.54275
  • VaR(95%) (moments method)
    0.02617
  • Expected Shortfall (moments method)
    0.02636
  • Extreme Value Index (regression method)
    -0.40913
  • VaR(95%) (regression method)
    0.02733
  • Expected Shortfall (regression method)
    0.03164
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02829
  • Quartile 1
    0.03466
  • Median
    0.06260
  • Quartile 3
    0.09355
  • Maximum
    0.10895
  • Mean of quarter 1
    0.02829
  • Mean of quarter 2
    0.03679
  • Mean of quarter 3
    0.08842
  • Mean of quarter 4
    0.10895
  • 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
    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)
    0.14089
  • Compounded annual return (geometric extrapolation)
    0.12082
  • Calmar ratio (compounded annual return / max draw down)
    1.10892
  • Compounded annual return / average of 25% largest draw downs
    1.10892
  • Compounded annual return / Expected Shortfall lognormal
    1.81583
  • 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
    0.08124
  • SD
    0.10979
  • Sharpe ratio (Glass type estimate)
    0.73997
  • Sharpe ratio (Hedges UMVUE)
    0.73939
  • df
    946.00000
  • t
    1.40683
  • p
    0.07990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29165
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77084
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12851
  • Upside Potential Ratio
    7.78788
  • Upside part of mean
    0.56066
  • Downside part of mean
    -0.47942
  • Upside SD
    0.08297
  • Downside SD
    0.07199
  • N nonnegative terms
    308.00000
  • N negative terms
    639.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    947.00000
  • Mean of predictor
    0.09084
  • Mean of criterion
    0.08124
  • SD of predictor
    0.18552
  • SD of criterion
    0.10979
  • Covariance
    -0.00072
  • r
    -0.03511
  • b (slope, estimate of beta)
    -0.02078
  • a (intercept, estimate of alpha)
    0.08300
  • Mean Square Error
    0.01205
  • DF error
    945.00000
  • t(b)
    -1.08013
  • p(b)
    0.85982
  • t(a)
    1.43898
  • p(a)
    0.07524
  • Lowerbound of 95% confidence interval for beta
    -0.05854
  • Upperbound of 95% confidence interval for beta
    0.01698
  • Lowerbound of 95% confidence interval for alpha
    -0.03024
  • Upperbound of 95% confidence interval for alpha
    0.19650
  • Treynor index (mean / b)
    -3.90945
  • Jensen alpha (a)
    0.08313
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07521
  • SD
    0.10965
  • Sharpe ratio (Glass type estimate)
    0.68591
  • Sharpe ratio (Hedges UMVUE)
    0.68537
  • df
    946.00000
  • t
    1.30404
  • p
    0.09627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34564
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71674
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03529
  • Upside Potential Ratio
    7.66975
  • Upside part of mean
    0.55720
  • Downside part of mean
    -0.48199
  • Upside SD
    0.08219
  • Downside SD
    0.07265
  • N nonnegative terms
    308.00000
  • N negative terms
    639.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    947.00000
  • Mean of predictor
    0.07365
  • Mean of criterion
    0.07521
  • SD of predictor
    0.18536
  • SD of criterion
    0.10965
  • Covariance
    -0.00072
  • r
    -0.03522
  • b (slope, estimate of beta)
    -0.02084
  • a (intercept, estimate of alpha)
    0.07675
  • Mean Square Error
    0.01202
  • DF error
    945.00000
  • t(b)
    -1.08341
  • p(b)
    0.86055
  • t(a)
    1.33037
  • p(a)
    0.09186
  • Lowerbound of 95% confidence interval for beta
    -0.05858
  • Upperbound of 95% confidence interval for beta
    0.01691
  • Lowerbound of 95% confidence interval for alpha
    -0.03647
  • Upperbound of 95% confidence interval for alpha
    0.18996
  • Treynor index (mean / b)
    -3.60979
  • Jensen alpha (a)
    0.07675
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01080
  • Expected Shortfall on VaR
    0.01359
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00503
  • Expected Shortfall on VaR
    0.01019
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    947.00000
  • Minimum
    0.96103
  • Quartile 1
    0.99837
  • Median
    1.00000
  • Quartile 3
    1.00243
  • Maximum
    1.04071
  • Mean of quarter 1
    0.99323
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00039
  • Mean of quarter 4
    1.00830
  • Inter Quartile Range
    0.00405
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.06864
  • Mean of outliers low
    0.98663
  • Number of outliers high
    76.00000
  • Percentage of outliers high
    0.08025
  • Mean of outliers high
    1.01502
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03638
  • VaR(95%) (moments method)
    0.00479
  • Expected Shortfall (moments method)
    0.00663
  • Extreme Value Index (regression method)
    0.10002
  • VaR(95%) (regression method)
    0.00587
  • Expected Shortfall (regression method)
    0.00904
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00288
  • Quartile 1
    0.00462
  • Median
    0.01216
  • Quartile 3
    0.02638
  • Maximum
    0.16451
  • Mean of quarter 1
    0.00381
  • Mean of quarter 2
    0.00754
  • Mean of quarter 3
    0.01883
  • Mean of quarter 4
    0.09709
  • Inter Quartile Range
    0.02177
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.13143
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.34680
  • VaR(95%) (moments method)
    0.08209
  • Expected Shortfall (moments method)
    0.10247
  • Extreme Value Index (regression method)
    -0.44283
  • VaR(95%) (regression method)
    0.08283
  • Expected Shortfall (regression method)
    0.09859
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12497
  • Compounded annual return (geometric extrapolation)
    0.10862
  • Calmar ratio (compounded annual return / max draw down)
    0.66028
  • Compounded annual return / average of 25% largest draw downs
    1.11881
  • Compounded annual return / Expected Shortfall lognormal
    7.99277
  • 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
    -0.17017
  • SD
    0.14023
  • Sharpe ratio (Glass type estimate)
    -1.21347
  • Sharpe ratio (Hedges UMVUE)
    -1.20646
  • df
    130.00000
  • t
    -0.85806
  • p
    0.53752
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.98691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.98214
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56922
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.51999
  • Upside Potential Ratio
    4.70024
  • Upside part of mean
    0.52621
  • Downside part of mean
    -0.69637
  • Upside SD
    0.08421
  • Downside SD
    0.11195
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32178
  • Mean of criterion
    -0.17017
  • SD of predictor
    0.23811
  • SD of criterion
    0.14023
  • Covariance
    -0.00359
  • r
    -0.10751
  • b (slope, estimate of beta)
    -0.06332
  • a (intercept, estimate of alpha)
    -0.14979
  • Mean Square Error
    0.01959
  • DF error
    129.00000
  • t(b)
    -1.22821
  • p(b)
    0.56831
  • t(a)
    -0.75415
  • p(a)
    0.54215
  • Lowerbound of 95% confidence interval for beta
    -0.16532
  • Upperbound of 95% confidence interval for beta
    0.03868
  • Lowerbound of 95% confidence interval for alpha
    -0.54278
  • Upperbound of 95% confidence interval for alpha
    0.24319
  • Treynor index (mean / b)
    2.68750
  • Jensen alpha (a)
    -0.14979
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18003
  • SD
    0.14097
  • Sharpe ratio (Glass type estimate)
    -1.27708
  • Sharpe ratio (Hedges UMVUE)
    -1.26969
  • df
    130.00000
  • t
    -0.90303
  • p
    0.53948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.05081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50149
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.04579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50641
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58635
  • Upside Potential Ratio
    4.60525
  • Upside part of mean
    0.52265
  • Downside part of mean
    -0.70268
  • Upside SD
    0.08346
  • Downside SD
    0.11349
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29372
  • Mean of criterion
    -0.18003
  • SD of predictor
    0.23641
  • SD of criterion
    0.14097
  • Covariance
    -0.00363
  • r
    -0.10893
  • b (slope, estimate of beta)
    -0.06496
  • a (intercept, estimate of alpha)
    -0.16096
  • Mean Square Error
    0.01979
  • DF error
    129.00000
  • t(b)
    -1.24458
  • p(b)
    0.56921
  • t(a)
    -0.80664
  • p(a)
    0.54506
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.16822
  • Upperbound of 95% confidence interval for beta
    0.03831
  • Lowerbound of 95% confidence interval for alpha
    -0.55575
  • Upperbound of 95% confidence interval for alpha
    0.23383
  • Treynor index (mean / b)
    2.77165
  • Jensen alpha (a)
    -0.16096
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01490
  • Expected Shortfall on VaR
    0.01847
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00777
  • Expected Shortfall on VaR
    0.01590
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96103
  • Quartile 1
    0.99838
  • Median
    1.00000
  • Quartile 3
    1.00036
  • Maximum
    1.02767
  • Mean of quarter 1
    0.99009
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00808
  • Inter Quartile Range
    0.00199
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.98657
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.01075
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32014
  • VaR(95%) (moments method)
    0.00665
  • Expected Shortfall (moments method)
    0.01258
  • Extreme Value Index (regression method)
    0.19423
  • VaR(95%) (regression method)
    0.01077
  • Expected Shortfall (regression method)
    0.01896
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00461
  • Quartile 1
    0.00463
  • Median
    0.03977
  • Quartile 3
    0.08881
  • Maximum
    0.13052
  • Mean of quarter 1
    0.00461
  • Mean of quarter 2
    0.00464
  • Mean of quarter 3
    0.07491
  • Mean of quarter 4
    0.13052
  • Inter Quartile Range
    0.08418
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -435264000
  • Max Equity Drawdown (num days)
    227
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.14649
  • Compounded annual return (geometric extrapolation)
    -0.14112
  • Calmar ratio (compounded annual return / max draw down)
    -1.08119
  • Compounded annual return / average of 25% largest draw downs
    -1.08119
  • Compounded annual return / Expected Shortfall lognormal
    -7.63885

Strategy Description

100% automated day trading algo running on Ninjatrader platform. Will buy or sell short TQQQ shares using pattern recognition algo. Testing results can be found at blueskyalgo.com/forwardtesting.

Summary Statistics

Strategy began
2021-12-12
Suggested Minimum Capital
$35,000
# Trades
868
# Profitable
408
% Profitable
47.0%
Correlation S&P500
-0.048
Sharpe Ratio
0.36
Sortino Ratio
0.55
Beta
-0.03
Alpha
0.01
Leverage
2.49 Average
6.21 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

subscribed on started simulation

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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