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TQQQ Aspire
(117734561)

Created by: NEORITHMIC-LLC NEORITHMIC-LLC
Started: 05/2018
Stocks
Last trade: 4 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.
56.4%
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.

(24.7%)
Max Drawdown
126
Num Trades
39.7%
Win Trades
2.5 : 1
Profit Factor
62.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +3.4%+8.0%+5.4%+12.5%(10.5%)(12.5%)  -  (1.8%)+2.0%
2019(0.9%)+0.6%+7.8%+14.7%(4.5%)+25.9%+5.7%(12.7%)(0.7%)(0.7%)+3.3%+8.7%+51.5%
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%)+58.2%
2021+1.0%+7.0%+2.6%+16.9%(1.6%)+12.9%+3.7%+13.2%(3.3%)+14.5%+8.9%      +103.9%

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 235 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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/16/21 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 579 165.82 11/23 9:30 169.35 0.19%
Trade id #138210031
Max drawdown($188)
Time11/16/21 10:30
Quant open579
Worst price165.49
Drawdown as % of equity-0.19%
$2,041
Includes Typical Broker Commissions trade costs of $5.00
11/12/21 11:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 592 165.30 11/15 11:45 162.44 1.73%
Trade id #138176198
Max drawdown($1,712)
Time11/15/21 11:45
Quant open592
Worst price162.41
Drawdown as % of equity-1.73%
($1,698)
Includes Typical Broker Commissions trade costs of $5.00
10/25/21 12:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 582 144.18 11/9 10:15 168.89 n/a $14,371
Includes Typical Broker Commissions trade costs of $8.32
10/14/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 601 130.17 10/22 11:48 139.39 0.58%
Trade id #137801815
Max drawdown($463)
Time10/14/21 9:37
Quant open601
Worst price129.40
Drawdown as % of equity-0.58%
$5,537
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 626 126.05 10/11 9:30 125.82 0.45%
Trade id #137699103
Max drawdown($364)
Time10/11/21 9:30
Quant open626
Worst price125.47
Drawdown as % of equity-0.45%
($151)
Includes Typical Broker Commissions trade costs of $5.00
9/23/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 560 138.92 9/24 9:30 138.45 0.53%
Trade id #137494353
Max drawdown($420)
Time9/23/21 9:35
Quant open560
Worst price138.17
Drawdown as % of equity-0.53%
($268)
Includes Typical Broker Commissions trade costs of $5.00
9/16/21 15:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 561 147.75 9/17 9:36 145.00 1.96%
Trade id #137404522
Max drawdown($1,635)
Time9/17/21 9:36
Quant open561
Worst price144.83
Drawdown as % of equity-1.96%
($1,548)
Includes Typical Broker Commissions trade costs of $5.00
8/19/21 10:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 559 129.52 9/8 10:54 148.25 0.37%
Trade id #137036058
Max drawdown($272)
Time8/19/21 10:48
Quant open559
Worst price129.03
Drawdown as % of equity-0.37%
$10,463
Includes Typical Broker Commissions trade costs of $5.00
8/13/21 10:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 547 137.00 8/16 10:12 133.70 2.49%
Trade id #136955064
Max drawdown($1,876)
Time8/16/21 10:12
Quant open547
Worst price133.57
Drawdown as % of equity-2.49%
($1,811)
Includes Typical Broker Commissions trade costs of $5.00
8/3/21 13:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 556 134.79 8/10 10:32 135.59 0.8%
Trade id #136808917
Max drawdown($595)
Time8/3/21 14:01
Quant open556
Worst price133.72
Drawdown as % of equity-0.80%
$438
Includes Typical Broker Commissions trade costs of $5.00
7/20/21 15:13 TQQQ PROSHARES ULTRAPRO QQQ LONG 563 127.94 7/27 10:36 131.91 1.59%
Trade id #136597683
Max drawdown($1,154)
Time7/20/21 16:00
Quant open563
Worst price125.89
Drawdown as % of equity-1.59%
$2,228
Includes Typical Broker Commissions trade costs of $5.00
7/9/21 11:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 129.24 7/15 9:38 129.02 0.3%
Trade id #136403688
Max drawdown($220)
Time7/9/21 11:58
Quant open600
Worst price128.87
Drawdown as % of equity-0.30%
($138)
Includes Typical Broker Commissions trade costs of $5.00
6/21/21 11:06 TQQQ PROSHARES ULTRAPRO QQQ LONG 632 112.40 7/8 9:30 123.59 0.78%
Trade id #136143603
Max drawdown($511)
Time6/21/21 11:36
Quant open632
Worst price111.59
Drawdown as % of equity-0.78%
$7,071
Includes Typical Broker Commissions trade costs of $5.00
6/17/21 10:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 641 111.41 6/18 9:32 110.80 0.88%
Trade id #136096007
Max drawdown($589)
Time6/18/21 9:32
Quant open641
Worst price110.49
Drawdown as % of equity-0.88%
($395)
Includes Typical Broker Commissions trade costs of $5.00
6/4/21 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 663 102.30 6/16 14:00 108.01 0.01%
Trade id #135910298
Max drawdown($6)
Time6/4/21 9:54
Quant open663
Worst price102.29
Drawdown as % of equity-0.01%
$3,781
Includes Typical Broker Commissions trade costs of $5.00
5/20/21 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 417 95.27 6/3 9:38 98.89 n/a $1,502
Includes Typical Broker Commissions trade costs of $8.34
5/19/21 14:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 433 92.20 5/19 14:38 91.25 0.67%
Trade id #135685984
Max drawdown($422)
Time5/19/21 14:38
Quant open433
Worst price91.23
Drawdown as % of equity-0.67%
($423)
Includes Typical Broker Commissions trade costs of $8.66
5/18/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 708 95.28 5/18 14:34 93.72 1.8%
Trade id #135662757
Max drawdown($1,128)
Time5/18/21 14:34
Quant open708
Worst price93.69
Drawdown as % of equity-1.80%
($1,110)
Includes Typical Broker Commissions trade costs of $5.00
5/14/21 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 727 93.42 5/17 10:02 93.08 1.15%
Trade id #135619698
Max drawdown($726)
Time5/14/21 9:44
Quant open727
Worst price92.42
Drawdown as % of equity-1.15%
($251)
Includes Typical Broker Commissions trade costs of $5.00
5/11/21 13:28 TQQQ PROSHARES ULTRAPRO QQQ LONG 717 95.77 5/11 14:11 94.80 1.31%
Trade id #135562244
Max drawdown($837)
Time5/11/21 14:11
Quant open717
Worst price94.60
Drawdown as % of equity-1.31%
($699)
Includes Typical Broker Commissions trade costs of $5.00
5/7/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 660 104.04 5/10 9:30 101.88 2.2%
Trade id #135504090
Max drawdown($1,429)
Time5/10/21 9:30
Quant open660
Worst price101.87
Drawdown as % of equity-2.20%
($1,428)
Includes Typical Broker Commissions trade costs of $5.00
4/29/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 637 112.01 4/29 9:55 109.96 2.18%
Trade id #135370550
Max drawdown($1,438)
Time4/29/21 9:55
Quant open637
Worst price109.75
Drawdown as % of equity-2.18%
($1,307)
Includes Typical Broker Commissions trade costs of $5.00
4/23/21 11:21 TQQQ PROSHARES ULTRAPRO QQQ LONG 654 108.44 4/28 9:30 109.17 n/a $475
Includes Typical Broker Commissions trade costs of $5.00
4/15/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 655 109.42 4/19 10:15 108.44 0.96%
Trade id #135162983
Max drawdown($648)
Time4/19/21 10:15
Quant open655
Worst price108.43
Drawdown as % of equity-0.96%
($642)
Includes Typical Broker Commissions trade costs of $5.00
3/31/21 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 679 89.43 4/14 13:59 107.19 n/a $12,056
Includes Typical Broker Commissions trade costs of $5.00
3/26/21 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 683 88.87 3/29 9:55 87.08 2.41%
Trade id #134891201
Max drawdown($1,345)
Time3/29/21 9:55
Quant open683
Worst price86.90
Drawdown as % of equity-2.41%
($1,227)
Includes Typical Broker Commissions trade costs of $5.00
3/25/21 9:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 720 85.25 3/25 9:50 84.39 1.51%
Trade id #134857732
Max drawdown($853)
Time3/25/21 9:50
Quant open720
Worst price84.06
Drawdown as % of equity-1.51%
($624)
Includes Typical Broker Commissions trade costs of $5.00
3/22/21 9:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 687 89.87 3/23 15:50 89.27 0.82%
Trade id #134763226
Max drawdown($480)
Time3/23/21 15:50
Quant open687
Worst price89.17
Drawdown as % of equity-0.82%
($419)
Includes Typical Broker Commissions trade costs of $5.00
3/15/21 9:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 686 89.14 3/17 9:30 90.05 2.14%
Trade id #134616595
Max drawdown($1,207)
Time3/15/21 11:38
Quant open686
Worst price87.38
Drawdown as % of equity-2.14%
$622
Includes Typical Broker Commissions trade costs of $5.00
3/9/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 702 82.57 3/12 9:30 87.11 0.84%
Trade id #134509073
Max drawdown($446)
Time3/9/21 9:43
Quant open702
Worst price81.93
Drawdown as % of equity-0.84%
$3,186
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/1/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1306.6
  • Age
    44 months ago
  • What it trades
    Stocks
  • # Trades
    126
  • # Profitable
    50
  • % Profitable
    39.70%
  • Avg trade duration
    4.8 days
  • Max peak-to-valley drawdown
    24.7%
  • drawdown period
    Aug 30, 2018 - Feb 12, 2019
  • Annual Return (Compounded)
    56.4%
  • Avg win
    $2,981
  • Avg loss
    $798.74
  • Model Account Values (Raw)
  • Cash
    $108,406
  • Margin Used
    $0
  • Buying Power
    $108,406
  • Ratios
  • W:L ratio
    2.46:1
  • Sharpe Ratio
    1.51
  • Sortino Ratio
    2.67
  • Calmar Ratio
    3.461
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    324.96%
  • Correlation to SP500
    0.25170
  • Return Percent SP500 (cumu) during strategy life
    73.07%
  • Return Statistics
  • Ann Return (w trading costs)
    56.4%
  • Slump
  • Current Slump as Pcnt Equity
    7.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.564%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    60.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    4.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    986
  • Popularity (Last 6 weeks)
    996
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    990
  • Popularity (7 days, Percentile 1000 scale)
    993
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $799
  • Avg Win
    $2,982
  • Sum Trade PL (losers)
    $60,704.000
  • AUM
  • AUM (AutoTrader num accounts)
    53
  • Age
  • Num Months filled monthly returns table
    43
  • Win / Loss
  • Sum Trade PL (winners)
    $149,088.000
  • # Winners
    50
  • Num Months Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    22
  • AUM
  • AUM (AutoTrader live capital)
    6152310
  • Win / Loss
  • # Losers
    76
  • % Winners
    39.7%
  • Frequency
  • Avg Position Time (mins)
    6947.92
  • Avg Position Time (hrs)
    115.80
  • Avg Trade Length
    4.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.04
  • Daily leverage (max)
    4.28
  • Regression
  • Alpha
    0.11
  • Beta
    0.32
  • Treynor Index
    0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • 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)
    -0.85
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.747
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.131
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.192
  • Hold-and-Hope Ratio
    0.572
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52838
  • SD
    0.29585
  • Sharpe ratio (Glass type estimate)
    1.78598
  • Sharpe ratio (Hedges UMVUE)
    1.74949
  • df
    37.00000
  • t
    3.17817
  • p
    0.00150
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60166
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94905
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57818
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92080
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.50502
  • Upside Potential Ratio
    6.09335
  • Upside part of mean
    0.71467
  • Downside part of mean
    -0.18629
  • Upside SD
    0.30779
  • Downside SD
    0.11729
  • N nonnegative terms
    25.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.16794
  • Mean of criterion
    0.52838
  • SD of predictor
    0.19830
  • SD of criterion
    0.29585
  • Covariance
    0.02048
  • r
    0.34907
  • b (slope, estimate of beta)
    0.52078
  • a (intercept, estimate of alpha)
    0.44092
  • Mean Square Error
    0.07900
  • DF error
    36.00000
  • t(b)
    2.23501
  • p(b)
    0.01586
  • t(a)
    2.70971
  • p(a)
    0.00512
  • Lowerbound of 95% confidence interval for beta
    0.04821
  • Upperbound of 95% confidence interval for beta
    0.99335
  • Lowerbound of 95% confidence interval for alpha
    0.11091
  • Upperbound of 95% confidence interval for alpha
    0.77093
  • Treynor index (mean / b)
    1.01459
  • Jensen alpha (a)
    0.44092
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47731
  • SD
    0.28114
  • Sharpe ratio (Glass type estimate)
    1.69779
  • Sharpe ratio (Hedges UMVUE)
    1.66311
  • df
    37.00000
  • t
    3.02125
  • p
    0.00227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52067
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85449
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82787
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.89364
  • Upside Potential Ratio
    5.46919
  • Upside part of mean
    0.67045
  • Downside part of mean
    -0.19314
  • Upside SD
    0.28446
  • Downside SD
    0.12259
  • N nonnegative terms
    25.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.14605
  • Mean of criterion
    0.47731
  • SD of predictor
    0.20954
  • SD of criterion
    0.28114
  • Covariance
    0.02073
  • r
    0.35185
  • b (slope, estimate of beta)
    0.47206
  • a (intercept, estimate of alpha)
    0.40837
  • Mean Square Error
    0.07118
  • DF error
    36.00000
  • t(b)
    2.25529
  • p(b)
    0.01515
  • t(a)
    2.66894
  • p(a)
    0.00567
  • Lowerbound of 95% confidence interval for beta
    0.04756
  • Upperbound of 95% confidence interval for beta
    0.89657
  • Lowerbound of 95% confidence interval for alpha
    0.09805
  • Upperbound of 95% confidence interval for alpha
    0.71868
  • Treynor index (mean / b)
    1.01112
  • Jensen alpha (a)
    0.40837
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08946
  • Expected Shortfall on VaR
    0.11943
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02746
  • Expected Shortfall on VaR
    0.05890
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.87773
  • Quartile 1
    0.98888
  • Median
    1.04712
  • Quartile 3
    1.09934
  • Maximum
    1.24362
  • Mean of quarter 1
    0.94473
  • Mean of quarter 2
    1.01822
  • Mean of quarter 3
    1.06842
  • Mean of quarter 4
    1.15347
  • Inter Quartile Range
    0.11046
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.49273
  • VaR(95%) (moments method)
    0.03944
  • Expected Shortfall (moments method)
    0.04119
  • Extreme Value Index (regression method)
    -0.52784
  • VaR(95%) (regression method)
    0.07625
  • Expected Shortfall (regression method)
    0.09232
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00695
  • Quartile 1
    0.01673
  • Median
    0.02698
  • Quartile 3
    0.10805
  • Maximum
    0.19605
  • Mean of quarter 1
    0.00973
  • Mean of quarter 2
    0.02396
  • Mean of quarter 3
    0.10234
  • Mean of quarter 4
    0.15491
  • Inter Quartile Range
    0.09132
  • 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)
    1.24811
  • Compounded annual return (geometric extrapolation)
    0.65735
  • Calmar ratio (compounded annual return / max draw down)
    3.35297
  • Compounded annual return / average of 25% largest draw downs
    4.24344
  • Compounded annual return / Expected Shortfall lognormal
    5.50429
  • 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
    0.52301
  • SD
    0.24416
  • Sharpe ratio (Glass type estimate)
    2.14205
  • Sharpe ratio (Hedges UMVUE)
    2.14016
  • df
    849.00000
  • t
    3.85824
  • p
    0.00006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.04854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04726
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23306
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.86603
  • Upside Potential Ratio
    11.45930
  • Upside part of mean
    1.55026
  • Downside part of mean
    -1.02725
  • Upside SD
    0.20564
  • Downside SD
    0.13528
  • N nonnegative terms
    323.00000
  • N negative terms
    527.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    850.00000
  • Mean of predictor
    0.16667
  • Mean of criterion
    0.52301
  • SD of predictor
    0.22497
  • SD of criterion
    0.24416
  • Covariance
    0.01281
  • r
    0.23325
  • b (slope, estimate of beta)
    0.25315
  • a (intercept, estimate of alpha)
    0.48100
  • Mean Square Error
    0.05644
  • DF error
    848.00000
  • t(b)
    6.98510
  • p(b)
    0.00000
  • t(a)
    3.64162
  • p(a)
    0.00014
  • Lowerbound of 95% confidence interval for beta
    0.18202
  • Upperbound of 95% confidence interval for beta
    0.32428
  • Lowerbound of 95% confidence interval for alpha
    0.22167
  • Upperbound of 95% confidence interval for alpha
    0.73997
  • Treynor index (mean / b)
    2.06602
  • Jensen alpha (a)
    0.48082
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49305
  • SD
    0.24202
  • Sharpe ratio (Glass type estimate)
    2.03723
  • Sharpe ratio (Hedges UMVUE)
    2.03543
  • df
    849.00000
  • t
    3.66944
  • p
    0.00013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94422
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12788
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60159
  • Upside Potential Ratio
    11.17240
  • Upside part of mean
    1.52949
  • Downside part of mean
    -1.03644
  • Upside SD
    0.20172
  • Downside SD
    0.13690
  • N nonnegative terms
    323.00000
  • N negative terms
    527.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    850.00000
  • Mean of predictor
    0.14117
  • Mean of criterion
    0.49305
  • SD of predictor
    0.22621
  • SD of criterion
    0.24202
  • Covariance
    0.01271
  • r
    0.23220
  • b (slope, estimate of beta)
    0.24843
  • a (intercept, estimate of alpha)
    0.45798
  • Mean Square Error
    0.05548
  • DF error
    848.00000
  • t(b)
    6.95169
  • p(b)
    0.00000
  • t(a)
    3.49955
  • p(a)
    0.00025
  • Lowerbound of 95% confidence interval for beta
    0.17829
  • Upperbound of 95% confidence interval for beta
    0.31857
  • Lowerbound of 95% confidence interval for alpha
    0.20112
  • Upperbound of 95% confidence interval for alpha
    0.71485
  • Treynor index (mean / b)
    1.98467
  • Jensen alpha (a)
    0.45798
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02246
  • Expected Shortfall on VaR
    0.02853
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01028
  • Expected Shortfall on VaR
    0.01996
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    850.00000
  • Minimum
    0.95459
  • Quartile 1
    0.99506
  • Median
    1.00000
  • Quartile 3
    1.00841
  • Maximum
    1.08753
  • Mean of quarter 1
    0.98546
  • Mean of quarter 2
    0.99915
  • Mean of quarter 3
    1.00221
  • Mean of quarter 4
    1.02157
  • Inter Quartile Range
    0.01335
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.02235
  • Mean of outliers low
    0.96698
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.05176
  • Mean of outliers high
    1.04218
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.44764
  • VaR(95%) (moments method)
    0.01279
  • Expected Shortfall (moments method)
    0.01510
  • Extreme Value Index (regression method)
    -0.17763
  • VaR(95%) (regression method)
    0.01488
  • Expected Shortfall (regression method)
    0.01941
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00035
  • Quartile 1
    0.00844
  • Median
    0.03858
  • Quartile 3
    0.06242
  • Maximum
    0.19750
  • Mean of quarter 1
    0.00344
  • Mean of quarter 2
    0.02298
  • Mean of quarter 3
    0.05053
  • Mean of quarter 4
    0.10953
  • Inter Quartile Range
    0.05398
  • 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
    0.06667
  • Mean of outliers high
    0.17816
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11257
  • VaR(95%) (moments method)
    0.11551
  • Expected Shortfall (moments method)
    0.15668
  • Extreme Value Index (regression method)
    0.07026
  • VaR(95%) (regression method)
    0.12178
  • Expected Shortfall (regression method)
    0.16272
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.36248
  • Compounded annual return (geometric extrapolation)
    0.68365
  • Calmar ratio (compounded annual return / max draw down)
    3.46143
  • Compounded annual return / average of 25% largest draw downs
    6.24141
  • Compounded annual return / Expected Shortfall lognormal
    23.96250
  • 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
    0.87432
  • SD
    0.21048
  • Sharpe ratio (Glass type estimate)
    4.15393
  • Sharpe ratio (Hedges UMVUE)
    4.12992
  • df
    130.00000
  • t
    2.93728
  • p
    0.37527
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.32891
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.96363
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.94682
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.27686
  • Upside Potential Ratio
    15.73780
  • Upside part of mean
    1.66245
  • Downside part of mean
    -0.78813
  • Upside SD
    0.18901
  • Downside SD
    0.10563
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15696
  • Mean of criterion
    0.87432
  • SD of predictor
    0.10630
  • SD of criterion
    0.21048
  • Covariance
    0.00774
  • r
    0.34579
  • b (slope, estimate of beta)
    0.68470
  • a (intercept, estimate of alpha)
    0.76685
  • Mean Square Error
    0.03931
  • DF error
    129.00000
  • t(b)
    4.18557
  • p(b)
    0.28434
  • t(a)
    2.72363
  • p(a)
    0.35290
  • Lowerbound of 95% confidence interval for beta
    0.36104
  • Upperbound of 95% confidence interval for beta
    1.00836
  • Lowerbound of 95% confidence interval for alpha
    0.20979
  • Upperbound of 95% confidence interval for alpha
    1.32392
  • Treynor index (mean / b)
    1.27694
  • Jensen alpha (a)
    0.76685
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.85104
  • SD
    0.20904
  • Sharpe ratio (Glass type estimate)
    4.07116
  • Sharpe ratio (Hedges UMVUE)
    4.04762
  • df
    130.00000
  • t
    2.87874
  • p
    0.37760
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.24804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.87919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23249
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.86275
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.97712
  • Upside Potential Ratio
    15.41680
  • Upside part of mean
    1.64474
  • Downside part of mean
    -0.79370
  • Upside SD
    0.18641
  • Downside SD
    0.10669
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.85104
  • SD of predictor
    0.10647
  • SD of criterion
    0.20904
  • Covariance
    0.00767
  • r
    0.34462
  • b (slope, estimate of beta)
    0.67665
  • a (intercept, estimate of alpha)
    0.74868
  • Mean Square Error
    0.03881
  • DF error
    129.00000
  • t(b)
    4.16948
  • p(b)
    0.28503
  • t(a)
    2.67698
  • p(a)
    0.35524
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.35556
  • Upperbound of 95% confidence interval for beta
    0.99773
  • Lowerbound of 95% confidence interval for alpha
    0.19534
  • Upperbound of 95% confidence interval for alpha
    1.30202
  • Treynor index (mean / b)
    1.25773
  • Jensen alpha (a)
    0.74868
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01783
  • Expected Shortfall on VaR
    0.02311
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00726
  • Expected Shortfall on VaR
    0.01444
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96351
  • Quartile 1
    0.99687
  • Median
    1.00000
  • Quartile 3
    1.01188
  • Maximum
    1.05050
  • Mean of quarter 1
    0.98896
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.00467
  • Mean of quarter 4
    1.02085
  • Inter Quartile Range
    0.01501
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.96351
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.04215
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.57439
  • VaR(95%) (moments method)
    0.00900
  • Expected Shortfall (moments method)
    0.01043
  • Extreme Value Index (regression method)
    -0.00705
  • VaR(95%) (regression method)
    0.01043
  • Expected Shortfall (regression method)
    0.01490
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00071
  • Quartile 1
    0.00746
  • Median
    0.01655
  • Quartile 3
    0.04130
  • Maximum
    0.04868
  • Mean of quarter 1
    0.00470
  • Mean of quarter 2
    0.01378
  • Mean of quarter 3
    0.03100
  • Mean of quarter 4
    0.04555
  • Inter Quartile Range
    0.03383
  • 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)
    -1.34749
  • VaR(95%) (moments method)
    0.04737
  • Expected Shortfall (moments method)
    0.04788
  • Extreme Value Index (regression method)
    -0.25820
  • VaR(95%) (regression method)
    0.04804
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.05048
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -293649000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.10378
  • Compounded annual return (geometric extrapolation)
    1.40836
  • Calmar ratio (compounded annual return / max draw down)
    28.93160
  • Compounded annual return / average of 25% largest draw downs
    30.92070
  • Compounded annual return / Expected Shortfall lognormal
    60.94640

Strategy Description

The TQQQ Aspire Strategy is based on a statistical computer model whose signals are designed to be easily 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.

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. If an entry position is made, the momentum must carry upward quickly as this Strategy sets tighter Stop-Loss orders in the early periods of a trade. Once a threshold of return is captured in the trade, the Strategy applies a Stop-Loss to allow for “letting the gains run.” The Stop-Loss calculation on Day 1 of a trade and all subsequent days in the trade is part of the “Secret Sauce” and is calculated on a daily basis for the each day’s trading.

4. Lost Crystal Ball – We still haven’t seen a Strategy with a Crystal Ball for predicting when to close a position. Believe us, if someone had a reliable method of making this decision, we would all be living in luxury. So, the exit of a trade is by reaching the Stop-Loss calculated after the market closes on the prior day. We wish there was a “premonition” for completing a trade, but this works well given the historical performance of the Strategy.

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 every day following the first day until the closing of the trade.

6. Not Day Trading - The average length of a position is 5.87 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 occur with a Stop-Loss on the same day should the market turn downward. Other than this situation, a trade to enter and a trade to close a position will occur on separate days. Or in other words, typically one trade per day.

7. Trade Entry – We enter our trades by placing orders within the 60 minutes prior to the market opening. This is why we recommend Auto-Trading so you do not miss the signal prior to the market opening.

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.

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.

If you would like to review a white paper that explains the performance of 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/q8vcveagwiyqg5rk

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 7 years. The technique behind this model is the basis for numerous investment instruments that will be deployed on Collective2 in the future by Neorithmic, LLC. v.10-12-2021

Summary Statistics

Strategy began
2018-05-01
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 1.0%
Rank # 
#8
# Trades
126
# Profitable
50
% Profitable
39.7%
Net Dividends
Correlation S&P500
0.252
Sharpe Ratio
1.51
Sortino Ratio
2.67
Beta
0.32
Alpha
0.11
Leverage
3.04 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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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.