This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
03/27/2020
Most recent certification approved
3/27/20 9:37 ET
Trades at broker
Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
338
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account
338
Percent signals followed since 03/27/2020
100%
This information was last updated
9/18/21 19:18 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 03/27/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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
underor overcompensated 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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
AI TQQQ SQQQ swing
(128265049)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  03/27/2020 
Most recent certification approved  3/27/20 9:37 ET 
Trades at broker  Interactive Brokers (server 2 / Stocks, Option, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  338 
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account  338 
Percent signals followed since 03/27/2020  100% 
This information was last updated  9/18/21 19:18 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/27/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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 underor overcompensated 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $120.00 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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Sector: Technology
Focuses primarily on stocks of technology companies.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020  +1.0%  +10.6%  +13.5%  +16.5%  +17.4%  +27.9%  (9.8%)  +11.8%  +33.5%  +10.2%  +229.2%  
2021  (1.9%)  +9.5%  +6.6%  +19.2%  +10.8%  +14.4%  (4.9%)  +7.6%  (9.8%)  +59.7% 
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.
Started  $12,500  
Buy Power  $20,502  
Cash  $1  
Equity  $1  
Cumulative $  $56,838  
Includes dividends and cashsettled expirations:  $10  Itemized 
Total System Equity  $69,338  
Margined  $1  
Open P/L  ($11)  
Data has been delayed by 36 hours for nonsubscribers 
System developer has asked us to delay this information by 36 hours.
Trading Record
Statistics

Strategy began3/26/2020

Suggested Minimum Cap$15,000

Strategy Age (days)541.34

Age18 months ago

What it tradesStocks

# Trades160

# Profitable85

% Profitable53.10%

Avg trade duration3.7 days

Max peaktovalley drawdown19.9%

drawdown periodMarch 31, 2020  April 03, 2020

Annual Return (Compounded)203.6%

Avg win$1,490

Avg loss$931.31
 Model Account Values (Raw)

Cash$20,613

Margin Used$0

Buying Power$20,502
 Ratios

W:L ratio1.81:1

Sharpe Ratio2.16

Sortino Ratio3.53

Calmar Ratio13.332
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)355.88%

Correlation to SP5000.43550

Return Percent SP500 (cumu) during strategy life68.55%
 Return Statistics

Ann Return (w trading costs)203.6%
 Slump

Current Slump as Pcnt Equity13.60%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.10%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)2.036%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)216.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss31.50%

Chance of 20% account loss6.00%

Chance of 30% account loss2.00%

Chance of 40% account loss0.50%

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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)996

Popularity (Last 6 weeks)999
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score825

Popularity (7 days, Percentile 1000 scale)998
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$931

Avg Win$1,435

Sum Trade PL (losers)$69,848.000
 AUM

AUM (AutoTrader num accounts)432
 Age

Num Months filled monthly returns table19
 Win / Loss

Sum Trade PL (winners)$120,518.000

# Winners84

Num Months Winners15
 Dividends

Dividends Received in Model Acct11
 AUM

AUM (AutoTrader live capital)35919100
 Win / Loss

# Losers75

% Winners52.8%
 Frequency

Avg Position Time (mins)5350.37

Avg Position Time (hrs)89.17

Avg Trade Length3.7 days

Last Trade Ago1
 Leverage

Daily leverage (average)2.61

Daily leverage (max)5.70
 Regression

Alpha0.23

Beta1.08

Treynor Index0.31
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.51

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.02

Avg(MAE) / Avg(PL)  All trades28.375

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 strat0.02

Avg(MAE) / Avg(PL)  Winning trades0.290

Avg(MAE) / Avg(PL)  Losing trades0.827

HoldandHope Ratio0.035
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.37942

SD0.35456

Sharpe ratio (Glass type estimate)3.89053

Sharpe ratio (Hedges UMVUE)3.70477

df16.00000

t4.63066

p0.12162

Lowerbound of 95% confidence interval for Sharpe Ratio1.73309

Upperbound of 95% confidence interval for Sharpe Ratio5.97481

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.61689

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.79266
 Statistics related to Sortino ratio

Sortino ratio16.38120

Upside Potential Ratio17.53730

Upside part of mean1.47677

Downside part of mean0.09735

Upside SD0.51941

Downside SD0.08421

N nonnegative terms15.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations17.00000

Mean of predictor0.37026

Mean of criterion1.37942

SD of predictor0.12406

SD of criterion0.35456

Covariance0.02727

r0.61989

b (slope, estimate of beta)1.77161

a (intercept, estimate of alpha)0.72346

Mean Square Error0.08257

DF error15.00000

t(b)3.05959

p(b)0.13234

t(a)2.24070

p(a)0.19507

Lowerbound of 95% confidence interval for beta0.53742

Upperbound of 95% confidence interval for beta3.00579

Lowerbound of 95% confidence interval for alpha0.03527

Upperbound of 95% confidence interval for alpha1.41164

Treynor index (mean / b)0.77863

Jensen alpha (a)0.72346
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.25426

SD0.32358

Sharpe ratio (Glass type estimate)3.87620

Sharpe ratio (Hedges UMVUE)3.69113

df16.00000

t4.61360

p0.12222

Lowerbound of 95% confidence interval for Sharpe Ratio1.72187

Upperbound of 95% confidence interval for Sharpe Ratio5.95740

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.60614

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.77611
 Statistics related to Sortino ratio

Sortino ratio14.35220

Upside Potential Ratio15.50620

Upside part of mean1.35510

Downside part of mean0.10085

Upside SD0.47117

Downside SD0.08739

N nonnegative terms15.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations17.00000

Mean of predictor0.35697

Mean of criterion1.25426

SD of predictor0.12106

SD of criterion0.32358

Covariance0.02380

r0.60745

b (slope, estimate of beta)1.62362

a (intercept, estimate of alpha)0.67467

Mean Square Error0.07047

DF error15.00000

t(b)2.96172

p(b)0.13860

t(a)2.27379

p(a)0.19204

Lowerbound of 95% confidence interval for beta0.45515

Upperbound of 95% confidence interval for beta2.79208

Lowerbound of 95% confidence interval for alpha0.04224

Upperbound of 95% confidence interval for alpha1.30711

Treynor index (mean / b)0.77251

Jensen alpha (a)0.67467
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04794

Expected Shortfall on VaR0.08384
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00474

Expected Shortfall on VaR0.01653
 ORDER STATISTICS
 Quartiles of return rates

Number of observations17.00000

Minimum0.91702

Quartile 11.07061

Median1.11024

Quartile 31.22224

Maximum1.27681

Mean of quarter 10.99967

Mean of quarter 21.09631

Mean of quarter 31.16011

Mean of quarter 41.24243

Inter Quartile Range0.15163

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.97389

VaR(95%) (regression method)0.11749

Expected Shortfall (regression method)0.12643
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.05027

Quartile 10.05845

Median0.06663

Quartile 30.07481

Maximum0.08298

Mean of quarter 10.05027

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.08298

Inter Quartile Range0.01635

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)3.63505

Compounded annual return (geometric extrapolation)2.60443

Calmar ratio (compounded annual return / max draw down)31.38450

Compounded annual return / average of 25% largest draw downs31.38450

Compounded annual return / Expected Shortfall lognormal31.06480

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.25008

SD0.45144

Sharpe ratio (Glass type estimate)2.76908

Sharpe ratio (Hedges UMVUE)2.76363

df381.00000

t3.34362

p0.00045

Lowerbound of 95% confidence interval for Sharpe Ratio1.13229

Upperbound of 95% confidence interval for Sharpe Ratio4.40238

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.12863

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.39863
 Statistics related to Sortino ratio

Sortino ratio4.52139

Upside Potential Ratio12.16360

Upside part of mean3.36301

Downside part of mean2.11293

Upside SD0.36440

Downside SD0.27648

N nonnegative terms227.00000

N negative terms155.00000
 Statistics related to linear regression on benchmark

N of observations382.00000

Mean of predictor0.34846

Mean of criterion1.25008

SD of predictor0.19022

SD of criterion0.45144

Covariance0.03742

r0.43574

b (slope, estimate of beta)1.03412

a (intercept, estimate of alpha)0.89000

Mean Square Error0.16554

DF error380.00000

t(b)9.43727

p(b)0.00000

t(a)2.62374

p(a)0.00452

Lowerbound of 95% confidence interval for beta0.81866

Upperbound of 95% confidence interval for beta1.24958

Lowerbound of 95% confidence interval for alpha0.22297

Upperbound of 95% confidence interval for alpha1.55650

Treynor index (mean / b)1.20884

Jensen alpha (a)0.88974
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.14639

SD0.44913

Sharpe ratio (Glass type estimate)2.55247

Sharpe ratio (Hedges UMVUE)2.54744

df381.00000

t3.08207

p0.00110

Lowerbound of 95% confidence interval for Sharpe Ratio0.91758

Upperbound of 95% confidence interval for Sharpe Ratio4.18412

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.91422

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.18067
 Statistics related to Sortino ratio

Sortino ratio4.04014

Upside Potential Ratio11.62520

Upside part of mean3.29866

Downside part of mean2.15227

Upside SD0.35453

Downside SD0.28375

N nonnegative terms227.00000

N negative terms155.00000
 Statistics related to linear regression on benchmark

N of observations382.00000

Mean of predictor0.33016

Mean of criterion1.14639

SD of predictor0.19026

SD of criterion0.44913

Covariance0.03697

r0.43263

b (slope, estimate of beta)1.02129

a (intercept, estimate of alpha)0.80920

Mean Square Error0.16439

DF error380.00000

t(b)9.35436

p(b)0.00000

t(a)2.39613

p(a)0.00853

Lowerbound of 95% confidence interval for beta0.80662

Upperbound of 95% confidence interval for beta1.23596

Lowerbound of 95% confidence interval for alpha0.14518

Upperbound of 95% confidence interval for alpha1.47323

Treynor index (mean / b)1.12249

Jensen alpha (a)0.80920
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04042

Expected Shortfall on VaR0.05144
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01615

Expected Shortfall on VaR0.03316
 ORDER STATISTICS
 Quartiles of return rates

Number of observations382.00000

Minimum0.90995

Quartile 10.99077

Median1.00415

Quartile 31.02062

Maximum1.11575

Mean of quarter 10.97069

Mean of quarter 20.99820

Mean of quarter 31.01152

Mean of quarter 41.03910

Inter Quartile Range0.02985

Number outliers low7.00000

Percentage of outliers low0.01832

Mean of outliers low0.92405

Number of outliers high10.00000

Percentage of outliers high0.02618

Mean of outliers high1.08312
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.64374

VaR(95%) (moments method)0.02494

Expected Shortfall (moments method)0.02833

Extreme Value Index (regression method)0.16363

VaR(95%) (regression method)0.02567

Expected Shortfall (regression method)0.03331
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations50.00000

Minimum0.00069

Quartile 10.00549

Median0.03809

Quartile 30.08453

Maximum0.16771

Mean of quarter 10.00283

Mean of quarter 20.01821

Mean of quarter 30.05866

Mean of quarter 40.11707

Inter Quartile Range0.07903

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.05961

VaR(95%) (moments method)0.12738

Expected Shortfall (moments method)0.15056

Extreme Value Index (regression method)0.16926

VaR(95%) (regression method)0.10801

Expected Shortfall (regression method)0.11759
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)3.11439

Compounded annual return (geometric extrapolation)2.23587

Calmar ratio (compounded annual return / max draw down)13.33200

Compounded annual return / average of 25% largest draw downs19.09780

Compounded annual return / Expected Shortfall lognormal43.46870

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

Mean0.71285

SD0.34360

Sharpe ratio (Glass type estimate)2.07462

Sharpe ratio (Hedges UMVUE)2.06263

df130.00000

t1.46698

p0.43619

Lowerbound of 95% confidence interval for Sharpe Ratio0.71251

Upperbound of 95% confidence interval for Sharpe Ratio4.85400

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72049

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.84575
 Statistics related to Sortino ratio

Sortino ratio3.36644

Upside Potential Ratio11.70550

Upside part of mean2.47866

Downside part of mean1.76581

Upside SD0.27251

Downside SD0.21175

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.22602

Mean of criterion0.71285

SD of predictor0.10557

SD of criterion0.34360

Covariance0.01637

r0.45134

b (slope, estimate of beta)1.46904

a (intercept, estimate of alpha)0.38082

Mean Square Error0.09474

DF error129.00000

t(b)5.74469

p(b)0.22274

t(a)0.86723

p(a)0.45158

Lowerbound of 95% confidence interval for beta0.96309

Upperbound of 95% confidence interval for beta1.97499

Lowerbound of 95% confidence interval for alpha0.48799

Upperbound of 95% confidence interval for alpha1.24962

Treynor index (mean / b)0.48525

Jensen alpha (a)0.38082
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.65368

SD0.34210

Sharpe ratio (Glass type estimate)1.91078

Sharpe ratio (Hedges UMVUE)1.89973

df130.00000

t1.35113

p0.44116

Lowerbound of 95% confidence interval for Sharpe Ratio0.87425

Upperbound of 95% confidence interval for Sharpe Ratio4.68867

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.88167

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.68114
 Statistics related to Sortino ratio

Sortino ratio3.03886

Upside Potential Ratio11.35340

Upside part of mean2.44220

Downside part of mean1.78852

Upside SD0.26739

Downside SD0.21511

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.22038

Mean of criterion0.65368

SD of predictor0.10552

SD of criterion0.34210

Covariance0.01626

r0.45049

b (slope, estimate of beta)1.46045

a (intercept, estimate of alpha)0.33183

Mean Square Error0.09401

DF error129.00000

t(b)5.73103

p(b)0.22323

t(a)0.75895

p(a)0.45759

VAR (95 Confidence Intrvl)0.04000

Lowerbound of 95% confidence interval for beta0.95626

Upperbound of 95% confidence interval for beta1.96464

Lowerbound of 95% confidence interval for alpha0.53323

Upperbound of 95% confidence interval for alpha1.19689

Treynor index (mean / b)0.44759

Jensen alpha (a)0.33183
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03175

Expected Shortfall on VaR0.04024
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01430

Expected Shortfall on VaR0.02775
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95636

Quartile 10.99156

Median1.00235

Quartile 31.01390

Maximum1.05998

Mean of quarter 10.97651

Mean of quarter 20.99732

Mean of quarter 31.00756

Mean of quarter 41.03006

Inter Quartile Range0.02233

Number outliers low3.00000

Percentage of outliers low0.02290

Mean of outliers low0.95690

Number of outliers high4.00000

Percentage of outliers high0.03053

Mean of outliers high1.05312
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.65356

VaR(95%) (moments method)0.02184

Expected Shortfall (moments method)0.02466

Extreme Value Index (regression method)0.74269

VaR(95%) (regression method)0.02398

Expected Shortfall (regression method)0.02678
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations16.00000

Minimum0.00072

Quartile 10.00285

Median0.02526

Quartile 30.07998

Maximum0.12423

Mean of quarter 10.00143

Mean of quarter 20.00705

Mean of quarter 30.05406

Mean of quarter 40.11266

Inter Quartile Range0.07713

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)4.70591

VaR(95%) (moments method)0.12013

Expected Shortfall (moments method)0.12017

Extreme Value Index (regression method)3.55622

VaR(95%) (regression method)0.14266

Last 4 Months  Pcnt Negative0.50%

Expected Shortfall (regression method)0.14281

Strat Max DD how much worse than SP500 max DD during strat life?286343000

Max Equity Drawdown (num days)3
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.81212

Compounded annual return (geometric extrapolation)0.97701

Calmar ratio (compounded annual return / max draw down)7.86450

Compounded annual return / average of 25% largest draw downs8.67222

Compounded annual return / Expected Shortfall lognormal24.28090
Strategy Description
Leveraged ETFs are great for making outsized returns. The disadvantage is the huge potential drawdowns due to 3x leverage. Think of this strategy as one that buys and holds TQQQ, and tries to be short (by being long SQQQ) or out during some of the drops. We use machine learning (AI) to determine the proper moves.
REQUIREMENTS\NOTES:
1. $10k+ recommended, margin account required to avoid freeriding.
2. IRA compatible, no martingale or margin used (if IRA, IRA margin required).
3. If starting system, *** ENTER EXISTING OPEN POSITIONS ***.
4. HIGH RISK SYSTEM (uses leveraged ETFs), invest money you can afford to lose.
5. ETFs not available on IB in Europe https://europoor.com/howtobuyleveragedetfsfromeurope/
Comparison of our four algo based systems (comparative risk shown):
1. AI TQQQ SQQQ swing, $25k+, risk 4/5, https://collective2.com/details/128265049
2. AI SOXL SOXS swing, $25k+, risk 5/5, https://collective2.com/details/127841340
3. AI TQQQ only swing, $10k+, risk 3/5, https://collective2.com/details/131561344
4. AI SOXL SOXS intraday, $25k+, risk 3/5, https://collective2.com/details/134901681
System last updated: 8.29.2021 (changes to make system react faster to changes in market)
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.