Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $145,000 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
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

3x QQQ BULL - BEAR QUANT
(141027760)

Created by: JimMounier JimMounier
Started: 07/2022
Stocks
Last trade: 274 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 $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.

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.
-44.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(79.5%)
Max Drawdown
53
Num Trades
47.2%
Win Trades
0.7 : 1
Profit Factor
40.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          (4.8%)(2.7%)+60.3%+3.6%(37.2%)(2.8%)(6.2%)
2023(14.9%)(26.9%)+6.4%+6.7%+8.3%+12.8%(22.9%)+21.7%+6.0%+0.8%(27.1%)(16.9%)(47.6%)
2024(7.6%)(15.5%)(5.8%)(1%)                                                (27.3%)

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 12 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 521 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/19/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 485 46.77 7/20 15:58 43.05 11.61%
Trade id #145259281
Max drawdown($1,978)
Time7/20/23 15:27
Quant open485
Worst price42.69
Drawdown as % of equity-11.61%
 ($1,814)
Includes Typical Broker Commissions trade costs of $9.70
7/17/23 9:37 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,360 17.33 7/19 9:30 16.53 6.03%
Trade id #145234239
Max drawdown($1,169)
Time7/18/23 0:00
Quant open1,360
Worst price16.47
Drawdown as % of equity-6.03%
 ($1,093)
Includes Typical Broker Commissions trade costs of $5.00
7/12/23 9:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 530 41.99 7/17 9:34 44.52 2.31%
Trade id #145184288
Max drawdown($445)
Time7/12/23 11:57
Quant open530
Worst price41.15
Drawdown as % of equity-2.31%
 $1,336
Includes Typical Broker Commissions trade costs of $5.00
7/11/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,200 19.38 7/12 9:46 18.48 5.74%
Trade id #145172255
Max drawdown($1,104)
Time7/12/23 9:35
Quant open1,200
Worst price18.46
Drawdown as % of equity-5.74%
 ($1,085)
Includes Typical Broker Commissions trade costs of $5.00
6/30/23 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 580 40.54 7/11 9:30 40.02 3.56%
Trade id #145077658
Max drawdown($725)
Time7/6/23 0:00
Quant open580
Worst price39.29
Drawdown as % of equity-3.56%
 ($307)
Includes Typical Broker Commissions trade costs of $5.00
6/15/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,220 20.03 6/30 9:31 19.21 8.12%
Trade id #144929714
Max drawdown($1,586)
Time6/16/23 0:00
Quant open1,220
Worst price18.73
Drawdown as % of equity-8.12%
 ($1,005)
Includes Typical Broker Commissions trade costs of $5.00
6/9/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 615 36.82 6/15 9:30 39.74 2.05%
Trade id #144880261
Max drawdown($384)
Time6/9/23 12:40
Quant open615
Worst price36.20
Drawdown as % of equity-2.05%
 $1,791
Includes Typical Broker Commissions trade costs of $5.00
6/6/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,035 21.89 6/9 9:30 21.76 3.18%
Trade id #144844470
Max drawdown($599)
Time6/7/23 0:00
Quant open1,035
Worst price21.31
Drawdown as % of equity-3.18%
 ($140)
Includes Typical Broker Commissions trade costs of $5.00
6/1/23 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 610 34.70 6/6 9:30 36.69 0.99%
Trade id #144800529
Max drawdown($176)
Time6/1/23 9:37
Quant open610
Worst price34.41
Drawdown as % of equity-0.99%
 $1,209
Includes Typical Broker Commissions trade costs of $5.00
5/31/23 10:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 915 23.01 6/1 9:30 23.07 1.33%
Trade id #144790402
Max drawdown($237)
Time5/31/23 13:40
Quant open915
Worst price22.75
Drawdown as % of equity-1.33%
 $50
Includes Typical Broker Commissions trade costs of $5.00
5/23/23 9:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 31.76 5/31 9:30 34.97 7.75%
Trade id #144718508
Max drawdown($1,194)
Time5/24/23 0:00
Quant open600
Worst price29.77
Drawdown as % of equity-7.75%
 $1,921
Includes Typical Broker Commissions trade costs of $5.00
5/18/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 775 26.75 5/23 9:32 25.60 7.8%
Trade id #144660409
Max drawdown($1,232)
Time5/19/23 0:00
Quant open775
Worst price25.16
Drawdown as % of equity-7.80%
 ($896)
Includes Typical Broker Commissions trade costs of $5.00
5/10/23 11:18 TQQQ PROSHARES ULTRAPRO QQQ LONG 695 28.34 5/17 9:30 29.55 2.04%
Trade id #144577743
Max drawdown($326)
Time5/10/23 13:39
Quant open695
Worst price27.87
Drawdown as % of equity-2.04%
 $836
Includes Typical Broker Commissions trade costs of $5.00
5/2/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 685 29.13 5/10 11:11 28.70 4.31%
Trade id #144499003
Max drawdown($705)
Time5/10/23 10:16
Quant open685
Worst price28.10
Drawdown as % of equity-4.31%
 ($300)
Includes Typical Broker Commissions trade costs of $5.00
4/27/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 705 26.56 5/2 9:30 28.14 0.78%
Trade id #144440173
Max drawdown($119)
Time4/27/23 9:33
Quant open705
Worst price26.39
Drawdown as % of equity-0.78%
 $1,109
Includes Typical Broker Commissions trade costs of $5.00
3/28/23 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 600 33.22 3/30 9:47 31.11 8.62%
Trade id #144090385
Max drawdown($1,371)
Time3/30/23 9:32
Quant open600
Worst price30.93
Drawdown as % of equity-8.62%
 ($1,268)
Includes Typical Broker Commissions trade costs of $5.40
3/23/23 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 780 25.67 3/24 9:30 25.44 3.7%
Trade id #144010982
Max drawdown($616)
Time3/23/23 15:21
Quant open780
Worst price24.88
Drawdown as % of equity-3.70%
 ($184)
Includes Typical Broker Commissions trade costs of $5.00
3/17/23 9:35 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 615 34.08 3/23 9:30 32.62 11.27%
Trade id #143943706
Max drawdown($1,906)
Time3/22/23 0:00
Quant open615
Worst price30.98
Drawdown as % of equity-11.27%
 ($900)
Includes Typical Broker Commissions trade costs of $5.00
3/13/23 9:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 835 21.18 3/17 9:30 24.93 1.76%
Trade id #143876140
Max drawdown($258)
Time3/13/23 10:52
Quant open835
Worst price20.87
Drawdown as % of equity-1.76%
 $3,126
Includes Typical Broker Commissions trade costs of $5.00
3/10/23 9:34 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 430 39.89 3/13 9:50 40.91 3.46%
Trade id #143842211
Max drawdown($490)
Time3/10/23 11:34
Quant open430
Worst price38.75
Drawdown as % of equity-3.46%
 $430
Includes Typical Broker Commissions trade costs of $8.60
2/28/23 9:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 780 22.16 3/10 9:30 21.82 6.66%
Trade id #143719036
Max drawdown($943)
Time3/2/23 0:00
Quant open780
Worst price20.95
Drawdown as % of equity-6.66%
 ($270)
Includes Typical Broker Commissions trade costs of $5.00
2/23/23 11:08 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 440 38.86 2/28 9:30 39.22 4.43%
Trade id #143676642
Max drawdown($624)
Time2/23/23 15:33
Quant open440
Worst price37.44
Drawdown as % of equity-4.43%
 $149
Includes Typical Broker Commissions trade costs of $8.80
2/9/23 9:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 700 25.88 2/9 15:56 24.33 9.39%
Trade id #143523121
Max drawdown($1,365)
Time2/9/23 15:35
Quant open700
Worst price23.93
Drawdown as % of equity-9.39%
 ($1,090)
Includes Typical Broker Commissions trade costs of $5.00
2/9/23 9:51 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 700 17.51 2/9 9:52 17.51 n/a ($5)
Includes Typical Broker Commissions trade costs of $5.00
2/6/23 9:35 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 525 35.24 2/9 9:47 34.04 7.25%
Trade id #143469106
Max drawdown($1,186)
Time2/7/23 0:00
Quant open525
Worst price32.98
Drawdown as % of equity-7.25%
 ($635)
Includes Typical Broker Commissions trade costs of $5.00
2/2/23 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 740 26.01 2/6 9:30 24.84 5.31%
Trade id #143429193
Max drawdown($895)
Time2/6/23 9:30
Quant open740
Worst price24.80
Drawdown as % of equity-5.31%
 ($871)
Includes Typical Broker Commissions trade costs of $5.00
1/31/23 9:40 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 560 40.99 2/2 9:31 34.45 21.03%
Trade id #143398156
Max drawdown($3,903)
Time2/2/23 9:31
Quant open560
Worst price34.02
Drawdown as % of equity-21.03%
 ($3,667)
Includes Typical Broker Commissions trade costs of $5.00
1/23/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,030 20.55 1/31 9:33 22.17 2.89%
Trade id #143299870
Max drawdown($587)
Time1/25/23 0:00
Quant open1,030
Worst price19.98
Drawdown as % of equity-2.89%
 $1,664
Includes Typical Broker Commissions trade costs of $5.00
1/17/23 10:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,047 20.23 1/17 10:42 20.03 1.18%
Trade id #143239067
Max drawdown($230)
Time1/17/23 10:42
Quant open1,047
Worst price20.01
Drawdown as % of equity-1.18%
 ($214)
Includes Typical Broker Commissions trade costs of $5.00
1/17/23 10:05 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,040 19.54 1/17 10:34 19.57 0.51%
Trade id #143238253
Max drawdown($98)
Time1/17/23 10:23
Quant open1,040
Worst price19.45
Drawdown as % of equity-0.51%
 $26
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    7/11/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    639.9
  • Age
    22 months ago
  • What it trades
    Stocks
  • # Trades
    53
  • # Profitable
    25
  • % Profitable
    47.20%
  • Avg trade duration
    10.7 days
  • Max peak-to-valley drawdown
    79.46%
  • drawdown period
    Oct 25, 2022 - March 21, 2024
  • Annual Return (Compounded)
    -44.3%
  • Avg win
    $1,423
  • Avg loss
    $1,811
  • Model Account Values (Raw)
  • Cash
    $4,367
  • Margin Used
    $0
  • Buying Power
    ($4,437)
  • Ratios
  • W:L ratio
    0.73:1
  • Sharpe Ratio
    -0.75
  • Sortino Ratio
    -0.98
  • Calmar Ratio
    -0.683
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -99.16%
  • Correlation to SP500
    -0.31730
  • Return Percent SP500 (cumu) during strategy life
    28.87%
  • Return Statistics
  • Ann Return (w trading costs)
    -44.3%
  • Slump
  • Current Slump as Pcnt Equity
    356.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.83%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.443%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -36.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    89.50%
  • Chance of 40% account loss
    61.50%
  • Chance of 60% account loss (Monte Carlo)
    5.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • 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
    30.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    320
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    325
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,811
  • Avg Win
    $1,423
  • Sum Trade PL (losers)
    $50,716.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $35,586.000
  • # Winners
    25
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    1345
  • Win / Loss
  • # Losers
    28
  • % Winners
    47.2%
  • Frequency
  • Avg Position Time (mins)
    15451.90
  • Avg Position Time (hrs)
    257.53
  • Avg Trade Length
    10.7 days
  • Last Trade Ago
    265
  • Leverage
  • Daily leverage (average)
    3.15
  • Daily leverage (max)
    4.02
  • Regression
  • Alpha
    -0.08
  • Beta
    -1.03
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.08
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.01
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.13
  • Avg(MAE) / Avg(PL) - All trades
    -4.489
  • 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
    0.12
  • Avg(MAE) / Avg(PL) - Winning trades
    0.329
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.224
  • Hold-and-Hope Ratio
    -0.260
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25906
  • SD
    0.71577
  • Sharpe ratio (Glass type estimate)
    -0.36194
  • Sharpe ratio (Hedges UMVUE)
    -0.33875
  • df
    12.00000
  • t
    -0.37672
  • p
    0.55406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22669
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54919
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56281
  • Upside Potential Ratio
    1.64648
  • Upside part of mean
    0.75788
  • Downside part of mean
    -1.01694
  • Upside SD
    0.51636
  • Downside SD
    0.46030
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.18384
  • Mean of criterion
    -0.25906
  • SD of predictor
    0.19924
  • SD of criterion
    0.71577
  • Covariance
    -0.06959
  • r
    -0.48797
  • b (slope, estimate of beta)
    -1.75299
  • a (intercept, estimate of alpha)
    0.06320
  • Mean Square Error
    0.42582
  • DF error
    11.00000
  • t(b)
    -1.85413
  • p(b)
    0.95465
  • t(a)
    0.09715
  • p(a)
    0.46218
  • Lowerbound of 95% confidence interval for beta
    -3.83392
  • Upperbound of 95% confidence interval for beta
    0.32793
  • Lowerbound of 95% confidence interval for alpha
    -1.36875
  • Upperbound of 95% confidence interval for alpha
    1.49515
  • Treynor index (mean / b)
    0.14778
  • Jensen alpha (a)
    0.06320
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.48972
  • SD
    0.69252
  • Sharpe ratio (Glass type estimate)
    -0.70716
  • Sharpe ratio (Hedges UMVUE)
    -0.66186
  • df
    12.00000
  • t
    -0.73604
  • p
    0.60392
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23974
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93796
  • Upside Potential Ratio
    1.24478
  • Upside part of mean
    0.64992
  • Downside part of mean
    -1.13963
  • Upside SD
    0.43597
  • Downside SD
    0.52211
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.16355
  • Mean of criterion
    -0.48972
  • SD of predictor
    0.20228
  • SD of criterion
    0.69252
  • Covariance
    -0.06806
  • r
    -0.48581
  • b (slope, estimate of beta)
    -1.66318
  • a (intercept, estimate of alpha)
    -0.21771
  • Mean Square Error
    0.39970
  • DF error
    11.00000
  • t(b)
    -1.84342
  • p(b)
    0.95382
  • t(a)
    -0.34829
  • p(a)
    0.63290
  • Lowerbound of 95% confidence interval for beta
    -3.64896
  • Upperbound of 95% confidence interval for beta
    0.32260
  • Lowerbound of 95% confidence interval for alpha
    -1.59350
  • Upperbound of 95% confidence interval for alpha
    1.15809
  • Treynor index (mean / b)
    0.29445
  • Jensen alpha (a)
    -0.21771
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30901
  • Expected Shortfall on VaR
    0.36270
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.20581
  • Expected Shortfall on VaR
    0.32894
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.71159
  • Quartile 1
    0.83004
  • Median
    0.99269
  • Quartile 3
    1.02657
  • Maximum
    1.42974
  • Mean of quarter 1
    0.78188
  • Mean of quarter 2
    0.92903
  • Mean of quarter 3
    1.01527
  • Mean of quarter 4
    1.26306
  • Inter Quartile Range
    0.19653
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.37764
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.73492
  • VaR(95%) (moments method)
    0.25264
  • Expected Shortfall (moments method)
    0.26950
  • Extreme Value Index (regression method)
    0.06843
  • VaR(95%) (regression method)
    0.28191
  • Expected Shortfall (regression method)
    0.35506
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.58978
  • Quartile 1
    0.58978
  • Median
    0.58978
  • Quartile 3
    0.58978
  • Maximum
    0.58978
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.36337
  • Compounded annual return (geometric extrapolation)
    -0.36986
  • Calmar ratio (compounded annual return / max draw down)
    -0.62711
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.01975
  • 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
    -0.53384
  • SD
    0.61509
  • Sharpe ratio (Glass type estimate)
    -0.86790
  • Sharpe ratio (Hedges UMVUE)
    -0.86572
  • df
    299.00000
  • t
    -0.92871
  • p
    0.82310
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.69866
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96722
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.11369
  • Upside Potential Ratio
    6.58586
  • Upside part of mean
    3.15685
  • Downside part of mean
    -3.69069
  • Upside SD
    0.38522
  • Downside SD
    0.47934
  • N nonnegative terms
    138.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.25357
  • Mean of criterion
    -0.53384
  • SD of predictor
    0.20076
  • SD of criterion
    0.61509
  • Covariance
    -0.04294
  • r
    -0.34773
  • b (slope, estimate of beta)
    -1.06540
  • a (intercept, estimate of alpha)
    -0.26400
  • Mean Square Error
    0.33370
  • DF error
    298.00000
  • t(b)
    -6.40238
  • p(b)
    1.00000
  • t(a)
    -0.48696
  • p(a)
    0.68668
  • Lowerbound of 95% confidence interval for beta
    -1.39288
  • Upperbound of 95% confidence interval for beta
    -0.73792
  • Lowerbound of 95% confidence interval for alpha
    -1.32932
  • Upperbound of 95% confidence interval for alpha
    0.80195
  • Treynor index (mean / b)
    0.50107
  • Jensen alpha (a)
    -0.26369
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.72807
  • SD
    0.62754
  • Sharpe ratio (Glass type estimate)
    -1.16020
  • Sharpe ratio (Hedges UMVUE)
    -1.15729
  • df
    299.00000
  • t
    -1.24149
  • p
    0.89230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67474
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.99127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67669
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.44180
  • Upside Potential Ratio
    6.10988
  • Upside part of mean
    3.08532
  • Downside part of mean
    -3.81339
  • Upside SD
    0.37351
  • Downside SD
    0.50497
  • N nonnegative terms
    138.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.23344
  • Mean of criterion
    -0.72807
  • SD of predictor
    0.20005
  • SD of criterion
    0.62754
  • Covariance
    -0.04412
  • r
    -0.35146
  • b (slope, estimate of beta)
    -1.10247
  • a (intercept, estimate of alpha)
    -0.47071
  • Mean Square Error
    0.34632
  • DF error
    298.00000
  • t(b)
    -6.48050
  • p(b)
    1.00000
  • t(a)
    -0.85368
  • p(a)
    0.80302
  • Lowerbound of 95% confidence interval for beta
    -1.43727
  • Upperbound of 95% confidence interval for beta
    -0.76768
  • Lowerbound of 95% confidence interval for alpha
    -1.55581
  • Upperbound of 95% confidence interval for alpha
    0.61440
  • Treynor index (mean / b)
    0.66040
  • Jensen alpha (a)
    -0.47071
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06438
  • Expected Shortfall on VaR
    0.07932
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03398
  • Expected Shortfall on VaR
    0.06667
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    300.00000
  • Minimum
    0.81699
  • Quartile 1
    0.97916
  • Median
    1.00000
  • Quartile 3
    1.01851
  • Maximum
    1.12826
  • Mean of quarter 1
    0.95215
  • Mean of quarter 2
    0.99174
  • Mean of quarter 3
    1.00652
  • Mean of quarter 4
    1.04187
  • Inter Quartile Range
    0.03935
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.03333
  • Mean of outliers low
    0.88027
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.01667
  • Mean of outliers high
    1.09995
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38943
  • VaR(95%) (moments method)
    0.05186
  • Expected Shortfall (moments method)
    0.09449
  • Extreme Value Index (regression method)
    0.38737
  • VaR(95%) (regression method)
    0.04192
  • Expected Shortfall (regression method)
    0.07057
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00392
  • Quartile 1
    0.02955
  • Median
    0.05405
  • Quartile 3
    0.13691
  • Maximum
    0.73681
  • Mean of quarter 1
    0.01309
  • Mean of quarter 2
    0.04319
  • Mean of quarter 3
    0.08878
  • Mean of quarter 4
    0.35939
  • Inter Quartile Range
    0.10736
  • 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
    0.10000
  • Mean of outliers high
    0.73681
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32618
  • VaR(95%) (moments method)
    0.38892
  • Expected Shortfall (moments method)
    0.71829
  • Extreme Value Index (regression method)
    2.19686
  • VaR(95%) (regression method)
    1.02828
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.48159
  • Compounded annual return (geometric extrapolation)
    -0.50350
  • Calmar ratio (compounded annual return / max draw down)
    -0.68334
  • Compounded annual return / average of 25% largest draw downs
    -1.40097
  • Compounded annual return / Expected Shortfall lognormal
    -6.34743
  • 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
    -0.58352
  • SD
    0.65999
  • Sharpe ratio (Glass type estimate)
    -0.88414
  • Sharpe ratio (Hedges UMVUE)
    -0.87903
  • df
    130.00000
  • t
    -0.62518
  • p
    0.52738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.65634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.65289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89483
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.08941
  • Upside Potential Ratio
    5.80133
  • Upside part of mean
    3.10737
  • Downside part of mean
    -3.69089
  • Upside SD
    0.38296
  • Downside SD
    0.53563
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48906
  • Mean of criterion
    -0.58352
  • SD of predictor
    0.17347
  • SD of criterion
    0.65999
  • Covariance
    -0.06900
  • r
    -0.60273
  • b (slope, estimate of beta)
    -2.29323
  • a (intercept, estimate of alpha)
    0.53802
  • Mean Square Error
    0.27949
  • DF error
    129.00000
  • t(b)
    -8.57920
  • p(b)
    0.85901
  • t(a)
    0.70886
  • p(a)
    0.46037
  • Lowerbound of 95% confidence interval for beta
    -2.82209
  • Upperbound of 95% confidence interval for beta
    -1.76437
  • Lowerbound of 95% confidence interval for alpha
    -0.96367
  • Upperbound of 95% confidence interval for alpha
    2.03971
  • Treynor index (mean / b)
    0.25445
  • Jensen alpha (a)
    0.53802
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.80967
  • SD
    0.68126
  • Sharpe ratio (Glass type estimate)
    -1.18850
  • Sharpe ratio (Hedges UMVUE)
    -1.18163
  • df
    130.00000
  • t
    -0.84040
  • p
    0.53675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.96190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.95716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59389
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41793
  • Upside Potential Ratio
    5.31849
  • Upside part of mean
    3.03698
  • Downside part of mean
    -3.84666
  • Upside SD
    0.37013
  • Downside SD
    0.57102
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47377
  • Mean of criterion
    -0.80967
  • SD of predictor
    0.17239
  • SD of criterion
    0.68126
  • Covariance
    -0.07129
  • r
    -0.60700
  • b (slope, estimate of beta)
    -2.39873
  • a (intercept, estimate of alpha)
    0.32677
  • Mean Square Error
    0.29538
  • DF error
    129.00000
  • t(b)
    -8.67522
  • p(b)
    0.86118
  • t(a)
    0.41910
  • p(a)
    0.47653
  • VAR (95 Confidence Intrvl)
    0.06400
  • Lowerbound of 95% confidence interval for beta
    -2.94580
  • Upperbound of 95% confidence interval for beta
    -1.85166
  • Lowerbound of 95% confidence interval for alpha
    -1.21587
  • Upperbound of 95% confidence interval for alpha
    1.86941
  • Treynor index (mean / b)
    0.33754
  • Jensen alpha (a)
    0.32677
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06977
  • Expected Shortfall on VaR
    0.08587
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03125
  • Expected Shortfall on VaR
    0.06525
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.81699
  • Quartile 1
    0.98369
  • Median
    1.00056
  • Quartile 3
    1.01775
  • Maximum
    1.12826
  • Mean of quarter 1
    0.94942
  • Mean of quarter 2
    0.99490
  • Mean of quarter 3
    1.00784
  • Mean of quarter 4
    1.03966
  • Inter Quartile Range
    0.03406
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.87759
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.10020
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41388
  • VaR(95%) (moments method)
    0.05000
  • Expected Shortfall (moments method)
    0.09903
  • Extreme Value Index (regression method)
    0.54270
  • VaR(95%) (regression method)
    0.04774
  • Expected Shortfall (regression method)
    0.11124
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00498
  • Quartile 1
    0.02334
  • Median
    0.04315
  • Quartile 3
    0.10528
  • Maximum
    0.54155
  • Mean of quarter 1
    0.01077
  • Mean of quarter 2
    0.03663
  • Mean of quarter 3
    0.07735
  • Mean of quarter 4
    0.33738
  • Inter Quartile Range
    0.08194
  • 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
    0.14286
  • Mean of outliers high
    0.54155
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -400417000
  • Max Equity Drawdown (num days)
    513
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.64708
  • Compounded annual return (geometric extrapolation)
    -0.54240
  • Calmar ratio (compounded annual return / max draw down)
    -1.00157
  • Compounded annual return / average of 25% largest draw downs
    -1.60769
  • Compounded annual return / Expected Shortfall lognormal
    -6.31642

Strategy Description

My 3x SPX BULL & BEAR QUANT STRATEGY and 3x QQQ BULL & BEAR QUANT STRATEGY are quantitative market-timing strategies designed to identify recurring patterns and relationships between several market data variables. The primary data drivers are the VIX to SPX, VXN to QQQ, Stochastic Indicators, and resistance & support levels. Additionally, there are many other mathematical analyses involved.

Acknowledging nothing works 100% of the time, 3x SPX BULL & BEAR QUANT STRATEGY and 3x QQQ BULL & BEAR QUANT STRATEGY are designed to capture the trending moves of the market, which should generate a significantly larger return than the sum of all losses over time. I use statistical analysis to predict market movements, thus predicting when to buy or sell. My disciplined quantitative process should result in significant outperformance over time.

My back tests for the 3x SPX BULL & BEAR QUANT STRATEGY and 3x QQQ BULL & BEAR QUANT STRATEGY from their inception dates have resulted in a positive return for every rolling 6, 9, and 12-month periods for both strategies. The rolling 3-month periods have resulted in a positive return +98% of the time for both strategies. The rolling 1-month periods have resulted in a positive return +90% of the time for both strategies. From inception 3x SPX BULL & BEAR QUANT STRATEGY has an overall BUY / SELL success rate of +65% and 3x QQQ BULL & BEAR QUANT STRATEGY has an overall BUY / SELL success rate of +69%. The back tests are from the inception date of June 24, 2009 for the 3x SPX BULL & BEAR QUANT STRATEGY and February 9, 2010 for the 3x QQQ BULL & BEAR QUANT STRATEGY through July 25, 2022.

METHODOLOGY FOR BACK TEST PERFORMANCE FOR 3x SPX BULL & BEAR QUANT STRATEGY AND 3x QQQ BULL & BEAR QUANT STRATEGY
• Every formula is consistent from the inception date to the present and there is absolutely no forward looking to calculate the data.
• June 24, 2009 is when UPRO and SPXS were available to trade and is the inception date of the back tested performance.
• February 9, 2010 is when TQQQ and SQQQ were each available to trade and is the inception date of the back tested performance.
• All BUY, SELL and HOLD signals are determined at the closing price of the trading day.
• All BUYs and SELLs are assumed to be bought or sold at the closing price of the following trading day of the BUY or SELL signal.
• In actual practice, the BUY or SELL happens at or near the market open the next trading day after the previous trading day’s BUY or SELL signal.
• 3x SPX BULL & BEAR QUANT STRATEGY will hold SPX 3x Long (ETF UPRO) or SPX 3x Short (ETF SPXS).
• 3x QQQ BULL & BEAR QUANT STRATEGY will hold (ETF TQQQ) or QQQ 3x Short (ETF SQQQ).

BACK TESTED PERFORMANCE - Back tested results not verified by Collective2.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-11
Suggested Minimum Capital
$15,000
# Trades
53
# Profitable
25
% Profitable
47.2%
Net Dividends
$1,344
Correlation S&P500
-0.317
Sharpe Ratio
-0.75
Sortino Ratio
-0.98
Beta
-1.03
Alpha
-0.08
Leverage
3.15 Average
4.02 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

#PERSONNAME#
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.

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.