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Trend Countertrend - NDX
(116710642)

Created by: MaxProbTrading MaxProbTrading
Started: 02/2018
Stocks
Last trade: 8 days ago

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 $60.00 per month.

23.2%
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.

(17.7%)
Max Drawdown
34
Num Trades
70.6%
Win Trades
2.0 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018         -  +1.7%+0.7%+7.4%+0.9%(2.4%)+10.3%(1%)(0.1%)(5.8%)+0.9%+12.3%
2019+6.7%+4.1%+0.3%                                                      +11.4%

Model Account Details

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

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

Trading Record

This strategy has placed 6 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/31/19 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 266 47.52 3/8 15:55 48.37 0.24%
Trade id #122289221
Max drawdown($30)
Time2/8/19 8:01
Quant open138
Worst price45.60
Drawdown as % of equity-0.24%
$220
Includes Typical Broker Commissions trade costs of $5.32
1/14/19 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 152 40.49 1/15 15:58 42.70 0.32%
Trade id #121965053
Max drawdown($39)
Time1/14/19 16:13
Quant open152
Worst price40.23
Drawdown as % of equity-0.32%
$333
Includes Typical Broker Commissions trade costs of $3.04
12/6/18 15:57 QID PROSHARES ULTRASHORT QQQ LONG 136 42.08 1/8/19 9:30 44.00 0.84%
Trade id #121386861
Max drawdown($96)
Time12/12/18 13:17
Quant open136
Worst price41.37
Drawdown as % of equity-0.84%
$258
Includes Typical Broker Commissions trade costs of $2.72
1/3/19 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 168 33.92 1/7 9:32 38.47 0.57%
Trade id #121772778
Max drawdown($70)
Time1/3/19 19:18
Quant open168
Worst price33.50
Drawdown as % of equity-0.57%
$761
Includes Typical Broker Commissions trade costs of $3.36
12/19/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 153 38.35 12/26 15:57 35.79 10.65%
Trade id #121582871
Max drawdown($1,308)
Time12/24/18 14:09
Quant open153
Worst price29.80
Drawdown as % of equity-10.65%
($395)
Includes Typical Broker Commissions trade costs of $3.06
12/7/18 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 131 43.67 12/10 15:58 44.89 2.05%
Trade id #121406965
Max drawdown($242)
Time12/10/18 11:25
Quant open131
Worst price41.82
Drawdown as % of equity-2.05%
$157
Includes Typical Broker Commissions trade costs of $2.62
12/4/18 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 124 47.16 12/6 9:30 44.41 3.47%
Trade id #121344609
Max drawdown($411)
Time12/6/18 5:51
Quant open124
Worst price43.84
Drawdown as % of equity-3.47%
($343)
Includes Typical Broker Commissions trade costs of $2.48
11/13/18 9:30 QID PROSHARES ULTRASHORT QQQ LONG 42 42.30 11/19 9:30 42.50 0.42%
Trade id #120903580
Max drawdown($50)
Time11/13/18 11:20
Quant open42
Worst price41.09
Drawdown as % of equity-0.42%
$8
Includes Typical Broker Commissions trade costs of $0.84
11/12/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 116 52.50 11/16 13:10 48.76 6.22%
Trade id #120880222
Max drawdown($729)
Time11/15/18 10:38
Quant open116
Worst price46.21
Drawdown as % of equity-6.22%
($436)
Includes Typical Broker Commissions trade costs of $2.32
10/31/18 9:30 QID PROSHARES ULTRASHORT QQQ LONG 148 41.83 11/7 9:30 40.02 2.58%
Trade id #120639366
Max drawdown($316)
Time11/2/18 4:16
Quant open148
Worst price39.69
Drawdown as % of equity-2.58%
($272)
Includes Typical Broker Commissions trade costs of $2.96
10/24/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 369 48.17 10/30 15:49 50.33 6.13%
Trade id #120508255
Max drawdown($720)
Time10/29/18 15:45
Quant open114
Worst price43.84
Drawdown as % of equity-6.13%
$790
Includes Typical Broker Commissions trade costs of $7.38
10/18/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 102 56.49 10/22 15:58 57.42 0.61%
Trade id #120426869
Max drawdown($71)
Time10/19/18 14:07
Quant open102
Worst price55.79
Drawdown as % of equity-0.61%
$93
Includes Typical Broker Commissions trade costs of $2.04
9/4/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 597 65.24 10/16 15:57 63.94 24.06%
Trade id #119712082
Max drawdown($2,588)
Time10/11/18 14:47
Quant open193
Worst price51.83
Drawdown as % of equity-24.06%
($792)
Includes Typical Broker Commissions trade costs of $11.94
9/12/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 47 14.17 9/17 9:30 14.60 0.18%
Trade id #119818269
Max drawdown($21)
Time9/14/18 16:15
Quant open-47
Worst price14.62
Drawdown as % of equity-0.18%
($21)
Includes Typical Broker Commissions trade costs of $0.94
8/17/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 91 64.39 8/31 9:30 71.82 0.91%
Trade id #119485217
Max drawdown($107)
Time8/17/18 10:27
Quant open91
Worst price63.21
Drawdown as % of equity-0.91%
$674
Includes Typical Broker Commissions trade costs of $1.82
7/9/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 342 63.90 8/16 15:58 64.78 5.21%
Trade id #118821958
Max drawdown($583)
Time7/30/18 12:50
Quant open183
Worst price59.32
Drawdown as % of equity-5.21%
$295
Includes Typical Broker Commissions trade costs of $6.84
6/25/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 199 58.50 6/28 15:58 57.29 3.56%
Trade id #118621258
Max drawdown($404)
Time6/25/18 14:56
Quant open98
Worst price55.49
Drawdown as % of equity-3.56%
($246)
Includes Typical Broker Commissions trade costs of $3.98
6/4/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 96 58.90 6/22 9:30 62.32 0.5%
Trade id #118247661
Max drawdown($57)
Time6/8/18 4:20
Quant open96
Worst price58.30
Drawdown as % of equity-0.50%
$326
Includes Typical Broker Commissions trade costs of $1.92
5/31/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 55.93 6/1 9:31 56.65 0.43%
Trade id #118187019
Max drawdown($49)
Time5/31/18 10:52
Quant open100
Worst price55.44
Drawdown as % of equity-0.43%
$70
Includes Typical Broker Commissions trade costs of $2.00
5/3/18 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 108 47.81 5/30 9:30 55.40 n/a $818
Includes Typical Broker Commissions trade costs of $2.16
4/20/18 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 36 147.40 4/25 15:58 137.21 5.34%
Trade id #117604618
Max drawdown($558)
Time4/25/18 10:04
Quant open36
Worst price131.88
Drawdown as % of equity-5.34%
($368)
Includes Typical Broker Commissions trade costs of $0.72
4/18/18 9:30 QID PROSHARES ULTRASHORT QQQ LONG 523 11.25 4/19 15:58 11.41 0.58%
Trade id #117558344
Max drawdown($62)
Time4/18/18 14:52
Quant open523
Worst price11.13
Drawdown as % of equity-0.58%
$79
Includes Typical Broker Commissions trade costs of $5.00
3/23/18 9:30 QID PROSHARES ULTRASHORT QQQ LONG 820 12.28 4/16 9:30 12.13 2.52%
Trade id #117202820
Max drawdown($249)
Time3/27/18 5:57
Quant open416
Worst price11.35
Drawdown as % of equity-2.52%
($139)
Includes Typical Broker Commissions trade costs of $16.40
4/6/18 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 40 134.31 4/10 15:57 144.63 0.49%
Trade id #117411621
Max drawdown($52)
Time4/6/18 20:00
Quant open40
Worst price133.00
Drawdown as % of equity-0.49%
$412
Includes Typical Broker Commissions trade costs of $0.80
4/2/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 40 130.67 4/3 15:58 135.34 0.86%
Trade id #117335782
Max drawdown($91)
Time4/3/18 10:21
Quant open40
Worst price128.39
Drawdown as % of equity-0.86%
$186
Includes Typical Broker Commissions trade costs of $0.80
3/29/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 36 138.44 3/29 15:57 144.25 1.38%
Trade id #117295875
Max drawdown($140)
Time3/29/18 9:54
Quant open36
Worst price134.53
Drawdown as % of equity-1.38%
$208
Includes Typical Broker Commissions trade costs of $0.72
3/22/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 32 152.92 3/26 15:58 156.79 4.08%
Trade id #117192106
Max drawdown($400)
Time3/23/18 16:01
Quant open32
Worst price140.42
Drawdown as % of equity-4.08%
$123
Includes Typical Broker Commissions trade costs of $0.64
3/20/18 9:31 QID PROSHARES ULTRASHORT QQQ LONG 443 11.36 3/22 9:30 11.67 1.18%
Trade id #117133902
Max drawdown($115)
Time3/21/18 14:18
Quant open443
Worst price11.10
Drawdown as % of equity-1.18%
$128
Includes Typical Broker Commissions trade costs of $8.86
3/13/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 28 179.45 3/20 15:58 167.29 5.32%
Trade id #117028349
Max drawdown($514)
Time3/19/18 14:41
Quant open28
Worst price161.07
Drawdown as % of equity-5.32%
($341)
Includes Typical Broker Commissions trade costs of $0.56
3/9/18 15:58 QID PROSHARES ULTRASHORT QQQ LONG 473 10.65 3/13 15:57 10.78 1.32%
Trade id #116972081
Max drawdown($132)
Time3/13/18 9:46
Quant open473
Worst price10.37
Drawdown as % of equity-1.32%
$52
Includes Typical Broker Commissions trade costs of $9.46

Statistics

  • Strategy began
    2/25/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    388.36
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    24
  • % Profitable
    70.60%
  • Avg trade duration
    9.7 days
  • Max peak-to-valley drawdown
    17.66%
  • drawdown period
    Aug 30, 2018 - Oct 12, 2018
  • Annual Return (Compounded)
    23.2%
  • Avg win
    $278.04
  • Avg loss
    $330.80
  • Model Account Values (Raw)
  • Cash
    $8,064
  • Margin Used
    $0
  • Buying Power
    $8,599
  • Ratios
  • W:L ratio
    2.05:1
  • Sharpe Ratio
    1.676
  • Sortino Ratio
    2.401
  • Calmar Ratio
    2.391
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.25400
  • Return Statistics
  • Ann Return (w trading costs)
    23.2%
  • Ann Return (Compnd, No Fees)
    31.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.00%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    572
  • Popularity (Last 6 weeks)
    841
  • C2 Score
    93.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $331
  • Avg Win
    $278
  • # Winners
    24
  • # Losers
    10
  • % Winners
    70.6%
  • Frequency
  • Avg Position Time (mins)
    14015.60
  • Avg Position Time (hrs)
    233.59
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    8
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30931
  • SD
    0.11070
  • Sharpe ratio (Glass type estimate)
    2.79408
  • Sharpe ratio (Hedges UMVUE)
    2.59838
  • df
    11.00000
  • t
    2.79408
  • p
    0.00873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47350
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.02180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.83900
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.93186
  • Upside Potential Ratio
    10.24240
  • Upside part of mean
    0.35470
  • Downside part of mean
    -0.04539
  • Upside SD
    0.13419
  • Downside SD
    0.03463
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.02645
  • Mean of criterion
    0.30931
  • SD of predictor
    0.19461
  • SD of criterion
    0.11070
  • Covariance
    0.00945
  • r
    0.43850
  • b (slope, estimate of beta)
    0.24944
  • a (intercept, estimate of alpha)
    0.30271
  • Mean Square Error
    0.01089
  • DF error
    10.00000
  • t(b)
    1.54291
  • p(b)
    0.07694
  • t(a)
    2.89857
  • p(a)
    0.00794
  • Lowerbound of 95% confidence interval for beta
    -0.11078
  • Upperbound of 95% confidence interval for beta
    0.60966
  • Lowerbound of 95% confidence interval for alpha
    0.07002
  • Upperbound of 95% confidence interval for alpha
    0.53541
  • Treynor index (mean / b)
    1.24003
  • Jensen alpha (a)
    0.30271
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30004
  • SD
    0.10820
  • Sharpe ratio (Glass type estimate)
    2.77309
  • Sharpe ratio (Hedges UMVUE)
    2.57886
  • df
    11.00000
  • t
    2.77309
  • p
    0.00906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99659
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34219
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81553
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.53716
  • Upside Potential Ratio
    9.84595
  • Upside part of mean
    0.34603
  • Downside part of mean
    -0.04600
  • Upside SD
    0.13037
  • Downside SD
    0.03514
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.00863
  • Mean of criterion
    0.30004
  • SD of predictor
    0.19850
  • SD of criterion
    0.10820
  • Covariance
    0.00950
  • r
    0.44257
  • b (slope, estimate of beta)
    0.24123
  • a (intercept, estimate of alpha)
    0.29796
  • Mean Square Error
    0.01035
  • DF error
    10.00000
  • t(b)
    1.56069
  • p(b)
    0.07483
  • t(a)
    2.92781
  • p(a)
    0.00755
  • Lowerbound of 95% confidence interval for beta
    -0.10317
  • Upperbound of 95% confidence interval for beta
    0.58563
  • Lowerbound of 95% confidence interval for alpha
    0.07120
  • Upperbound of 95% confidence interval for alpha
    0.52471
  • Treynor index (mean / b)
    1.24377
  • Jensen alpha (a)
    0.29796
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02603
  • Expected Shortfall on VaR
    0.03859
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00345
  • Expected Shortfall on VaR
    0.00969
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.96811
  • Quartile 1
    1.01002
  • Median
    1.01903
  • Quartile 3
    1.05522
  • Maximum
    1.07459
  • Mean of quarter 1
    0.98820
  • Mean of quarter 2
    1.01327
  • Mean of quarter 3
    1.03713
  • Mean of quarter 4
    1.06451
  • Inter Quartile Range
    0.04519
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.35128
  • VaR(95%) (regression method)
    0.04250
  • Expected Shortfall (regression method)
    0.04688
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.04496
  • Quartile 1
    0.04496
  • Median
    0.04496
  • Quartile 3
    0.04496
  • Maximum
    0.04496
  • 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)
    0.34991
  • Compounded annual return (geometric extrapolation)
    0.34991
  • Calmar ratio (compounded annual return / max draw down)
    7.78345
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.06703
  • 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
    0.29337
  • SD
    0.17454
  • Sharpe ratio (Glass type estimate)
    1.68083
  • Sharpe ratio (Hedges UMVUE)
    1.67622
  • df
    274.00000
  • t
    1.72202
  • p
    0.04310
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23892
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59444
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40064
  • Upside Potential Ratio
    8.96931
  • Upside part of mean
    1.09610
  • Downside part of mean
    -0.80273
  • Upside SD
    0.12549
  • Downside SD
    0.12220
  • N nonnegative terms
    176.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    275.00000
  • Mean of predictor
    0.02806
  • Mean of criterion
    0.29337
  • SD of predictor
    0.16080
  • SD of criterion
    0.17454
  • Covariance
    0.00703
  • r
    0.25033
  • b (slope, estimate of beta)
    0.27173
  • a (intercept, estimate of alpha)
    0.28600
  • Mean Square Error
    0.02866
  • DF error
    273.00000
  • t(b)
    4.27217
  • p(b)
    0.00001
  • t(a)
    1.72916
  • p(a)
    0.04246
  • Lowerbound of 95% confidence interval for beta
    0.14651
  • Upperbound of 95% confidence interval for beta
    0.39694
  • Lowerbound of 95% confidence interval for alpha
    -0.03958
  • Upperbound of 95% confidence interval for alpha
    0.61107
  • Treynor index (mean / b)
    1.07965
  • Jensen alpha (a)
    0.28575
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27800
  • SD
    0.17488
  • Sharpe ratio (Glass type estimate)
    1.58972
  • Sharpe ratio (Hedges UMVUE)
    1.58536
  • df
    274.00000
  • t
    1.62868
  • p
    0.05227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50598
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50304
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24525
  • Upside Potential Ratio
    8.78972
  • Upside part of mean
    1.08833
  • Downside part of mean
    -0.81032
  • Upside SD
    0.12424
  • Downside SD
    0.12382
  • N nonnegative terms
    176.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    275.00000
  • Mean of predictor
    0.01518
  • Mean of criterion
    0.27800
  • SD of predictor
    0.16085
  • SD of criterion
    0.17488
  • Covariance
    0.00707
  • r
    0.25127
  • b (slope, estimate of beta)
    0.27317
  • a (intercept, estimate of alpha)
    0.27386
  • Mean Square Error
    0.02876
  • DF error
    273.00000
  • t(b)
    4.28924
  • p(b)
    0.00001
  • t(a)
    1.65451
  • p(a)
    0.04959
  • Lowerbound of 95% confidence interval for beta
    0.14779
  • Upperbound of 95% confidence interval for beta
    0.39855
  • Lowerbound of 95% confidence interval for alpha
    -0.05200
  • Upperbound of 95% confidence interval for alpha
    0.59972
  • Treynor index (mean / b)
    1.01769
  • Jensen alpha (a)
    0.27386
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01657
  • Expected Shortfall on VaR
    0.02099
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00552
  • Expected Shortfall on VaR
    0.01229
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    275.00000
  • Minimum
    0.95459
  • Quartile 1
    0.99746
  • Median
    1.00046
  • Quartile 3
    1.00667
  • Maximum
    1.04156
  • Mean of quarter 1
    0.98829
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00338
  • Mean of quarter 4
    1.01332
  • Inter Quartile Range
    0.00922
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.06909
  • Mean of outliers low
    0.97491
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03636
  • Mean of outliers high
    1.02706
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41072
  • VaR(95%) (moments method)
    0.00992
  • Expected Shortfall (moments method)
    0.02042
  • Extreme Value Index (regression method)
    0.09770
  • VaR(95%) (regression method)
    0.01065
  • Expected Shortfall (regression method)
    0.01658
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00057
  • Quartile 1
    0.00624
  • Median
    0.02062
  • Quartile 3
    0.04248
  • Maximum
    0.13403
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.01049
  • Mean of quarter 3
    0.03117
  • Mean of quarter 4
    0.07555
  • Inter Quartile Range
    0.03624
  • 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
    0.05000
  • Mean of outliers high
    0.13403
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.19218
  • VaR(95%) (moments method)
    0.08411
  • Expected Shortfall (moments method)
    0.11722
  • Extreme Value Index (regression method)
    1.53157
  • VaR(95%) (regression method)
    0.07804
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32281
  • Compounded annual return (geometric extrapolation)
    0.32049
  • Calmar ratio (compounded annual return / max draw down)
    2.39109
  • Compounded annual return / average of 25% largest draw downs
    4.24205
  • Compounded annual return / Expected Shortfall lognormal
    15.26680
  • 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
    0.22389
  • SD
    0.19408
  • Sharpe ratio (Glass type estimate)
    1.15359
  • Sharpe ratio (Hedges UMVUE)
    1.14692
  • df
    130.00000
  • t
    0.81571
  • p
    0.46432
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92676
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92223
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.62653
  • Upside Potential Ratio
    8.35863
  • Upside part of mean
    1.15053
  • Downside part of mean
    -0.92664
  • Upside SD
    0.13647
  • Downside SD
    0.13765
  • N nonnegative terms
    85.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03798
  • Mean of criterion
    0.22389
  • SD of predictor
    0.19257
  • SD of criterion
    0.19408
  • Covariance
    0.01106
  • r
    0.29594
  • b (slope, estimate of beta)
    0.29825
  • a (intercept, estimate of alpha)
    0.23521
  • Mean Square Error
    0.03463
  • DF error
    129.00000
  • t(b)
    3.51883
  • p(b)
    0.31439
  • t(a)
    0.89364
  • p(a)
    0.45012
  • Lowerbound of 95% confidence interval for beta
    0.13055
  • Upperbound of 95% confidence interval for beta
    0.46594
  • Lowerbound of 95% confidence interval for alpha
    -0.28555
  • Upperbound of 95% confidence interval for alpha
    0.75597
  • Treynor index (mean / b)
    0.75067
  • Jensen alpha (a)
    0.23521
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20506
  • SD
    0.19447
  • Sharpe ratio (Glass type estimate)
    1.05446
  • Sharpe ratio (Hedges UMVUE)
    1.04836
  • df
    130.00000
  • t
    0.74562
  • p
    0.46737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72224
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.82730
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82310
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46902
  • Upside Potential Ratio
    8.17646
  • Upside part of mean
    1.14136
  • Downside part of mean
    -0.93630
  • Upside SD
    0.13493
  • Downside SD
    0.13959
  • N nonnegative terms
    85.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05638
  • Mean of criterion
    0.20506
  • SD of predictor
    0.19255
  • SD of criterion
    0.19447
  • Covariance
    0.01112
  • r
    0.29687
  • b (slope, estimate of beta)
    0.29984
  • a (intercept, estimate of alpha)
    0.22197
  • Mean Square Error
    0.03475
  • DF error
    129.00000
  • t(b)
    3.53104
  • p(b)
    0.31382
  • t(a)
    0.84179
  • p(a)
    0.45299
  • Lowerbound of 95% confidence interval for beta
    0.13183
  • Upperbound of 95% confidence interval for beta
    0.46785
  • Lowerbound of 95% confidence interval for alpha
    -0.29974
  • Upperbound of 95% confidence interval for alpha
    0.74367
  • Treynor index (mean / b)
    0.68390
  • Jensen alpha (a)
    0.22197
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01880
  • Expected Shortfall on VaR
    0.02370
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00628
  • Expected Shortfall on VaR
    0.01392
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95459
  • Quartile 1
    0.99706
  • Median
    1.00000
  • Quartile 3
    1.00659
  • Maximum
    1.04156
  • Mean of quarter 1
    0.98652
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00312
  • Mean of quarter 4
    1.01440
  • Inter Quartile Range
    0.00953
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97390
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02743
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23118
  • VaR(95%) (moments method)
    0.01022
  • Expected Shortfall (moments method)
    0.01733
  • Extreme Value Index (regression method)
    0.11921
  • VaR(95%) (regression method)
    0.01013
  • Expected Shortfall (regression method)
    0.01569
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00057
  • Quartile 1
    0.00282
  • Median
    0.00647
  • Quartile 3
    0.03059
  • Maximum
    0.13403
  • Mean of quarter 1
    0.00167
  • Mean of quarter 2
    0.00444
  • Mean of quarter 3
    0.01520
  • Mean of quarter 4
    0.08649
  • Inter Quartile Range
    0.02777
  • 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
    0.16667
  • Mean of outliers high
    0.10397
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.28424
  • VaR(95%) (moments method)
    0.09902
  • Expected Shortfall (moments method)
    0.10624
  • Extreme Value Index (regression method)
    0.42772
  • VaR(95%) (regression method)
    0.13271
  • Expected Shortfall (regression method)
    0.25904
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21594
  • Compounded annual return (geometric extrapolation)
    0.22760
  • Calmar ratio (compounded annual return / max draw down)
    1.69806
  • Compounded annual return / average of 25% largest draw downs
    2.63139
  • Compounded annual return / Expected Shortfall lognormal
    9.60167

Strategy Description

This system is a mix of trend following and countertrend trading using TQQQ (an investment aiming for daily 3x leverage of the Nasdaq-100 index), and QID (an investment aiming for daily -2x leverage of the Nasdaq-100 index). This strategy will involve movement into and out of positions in TQQQ and QID according to pre-defined trend and countertrend criteria.

Trading frequency varies depending upon market conditions. Because this strategy is non-diversified and trades using leverage and volatile financial instruments, it is highly risky. Traders may decide to adjust the strategy or limit the proportion of funds allocated to this strategy based upon their own risk tolerance. There are no stop losses applied. Trading signals will generally be issued at the open or during the last 5 minutes of active trading, from 3:55PM-4:00PM, but this may occasionally vary.

Although mostly a technical strategy, I may subjectively choose not to initiate a trade, vary the exact date or time of a trade, or vary the degree of leverage or proportion of funds allocated to a given trade or position. I am not a professional trader or money manager.

This system is based on the opinion that the combination of trend following and countertrend trading provides for a nice balanced strategy for navigating the market.

Summary Statistics

Strategy began
2018-02-25
Suggested Minimum Capital
$15,000
# Trades
34
# Profitable
24
% Profitable
70.6%
Net Dividends
Correlation S&P500
0.254
Sharpe Ratio
1.676

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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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.