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These are hypothetical performance results that have certain inherent limitations. Learn more

NDX ETF Swinger
(108280534)

Created by: TrendSurfer TrendSurfer
Started: 01/2017
Stocks
Last trade: 2,072 days ago
Trading style: Equity Trend-following Sector: Technology

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
23.8%
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.

(12.2%)
Max Drawdown
70
Num Trades
50.0%
Win Trades
1.9 : 1
Profit Factor
16.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017+9.0%+3.6%(0.3%)+2.1%+3.8%(3.8%)+0.1%(2.4%)+2.3%+5.2%+0.3%+5.8%+28.0%
2018+6.3%+8.1%+0.2%(6.3%)+1.3%(2.5%)+0.7%  -    -    -    -    -  +7.5%
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 72 hours.

Trading Record

This strategy has placed 89 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2089 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/26/18 9:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 330 66.43 7/27 9:37 66.27 2.37%
Trade id #119134724
Max drawdown($669)
Time7/26/18 16:02
Quant open330
Worst price64.40
Drawdown as % of equity-2.37%
($60)
Includes Typical Broker Commissions trade costs of $6.60
7/17/18 15:55 QLD PROSHARES ULTRA QQQ LONG 220 95.39 7/19 15:49 93.95 1.25%
Trade id #118983001
Max drawdown($357)
Time7/19/18 15:16
Quant open220
Worst price93.77
Drawdown as % of equity-1.25%
($321)
Includes Typical Broker Commissions trade costs of $4.40
7/9/18 9:30 QLD PROSHARES ULTRA QQQ LONG 300 91.44 7/17 9:30 93.50 1.04%
Trade id #118821866
Max drawdown($297)
Time7/11/18 4:22
Quant open300
Worst price90.45
Drawdown as % of equity-1.04%
$612
Includes Typical Broker Commissions trade costs of $6.00
6/27/18 10:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 330 59.24 6/27 12:59 57.33 2.22%
Trade id #118671924
Max drawdown($629)
Time6/27/18 12:59
Quant open0
Worst price57.33
Drawdown as % of equity-2.22%
($636)
Includes Typical Broker Commissions trade costs of $6.60
6/20/18 10:25 TQQQ PROSHARES ULTRAPRO QQQ LONG 230 63.08 6/21 10:22 61.66 1.12%
Trade id #118536184
Max drawdown($327)
Time6/21/18 10:22
Quant open0
Worst price61.66
Drawdown as % of equity-1.12%
($332)
Includes Typical Broker Commissions trade costs of $4.60
6/19/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 60.24 6/19 10:01 60.23 0.01%
Trade id #118505461
Max drawdown($4)
Time6/19/18 10:01
Quant open0
Worst price60.23
Drawdown as % of equity-0.01%
($12)
Includes Typical Broker Commissions trade costs of $8.00
6/14/18 9:30 QQQ POWERSHARES QQQ LONG 155 176.52 6/14 12:08 177.53 0.01%
Trade id #118433233
Max drawdown($1)
Time6/14/18 9:32
Quant open155
Worst price176.51
Drawdown as % of equity-0.01%
$154
Includes Typical Broker Commissions trade costs of $3.10
6/13/18 15:49 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 500 13.48 6/14 9:30 13.36 0.22%
Trade id #118425612
Max drawdown($63)
Time6/14/18 9:30
Quant open0
Worst price13.36
Drawdown as % of equity-0.22%
($73)
Includes Typical Broker Commissions trade costs of $10.00
6/6/18 12:07 QQQ POWERSHARES QQQ LONG 150 175.08 6/7 9:36 175.42 0.21%
Trade id #118292516
Max drawdown($61)
Time6/6/18 13:22
Quant open150
Worst price174.67
Drawdown as % of equity-0.21%
$48
Includes Typical Broker Commissions trade costs of $3.00
6/1/18 15:58 QLD PROSHARES ULTRA QQQ LONG 200 87.56 6/4 10:25 88.54 0.39%
Trade id #118220313
Max drawdown($112)
Time6/1/18 19:28
Quant open200
Worst price87.00
Drawdown as % of equity-0.39%
$192
Includes Typical Broker Commissions trade costs of $4.00
5/30/18 15:48 QID PROSHARES ULTRASHORT QQQ LONG 250 42.79 5/31 10:12 42.68 0.19%
Trade id #118176452
Max drawdown($55)
Time5/31/18 9:42
Quant open250
Worst price42.57
Drawdown as % of equity-0.19%
($33)
Includes Typical Broker Commissions trade costs of $5.00
5/9/18 13:05 QLD PROSHARES ULTRA QQQ LONG 175 82.55 5/11 10:01 84.57 0.12%
Trade id #117860861
Max drawdown($33)
Time5/9/18 13:19
Quant open175
Worst price82.36
Drawdown as % of equity-0.12%
$351
Includes Typical Broker Commissions trade costs of $3.50
5/7/18 11:44 QID PROSHARES ULTRASHORT QQQ LONG 1,000 11.17 5/8 9:31 11.25 0.17%
Trade id #117822597
Max drawdown($49)
Time5/7/18 14:36
Quant open1,000
Worst price11.12
Drawdown as % of equity-0.17%
$75
Includes Typical Broker Commissions trade costs of $5.00
4/27/18 9:42 QLD PROSHARES ULTRA QQQ LONG 250 78.69 4/27 10:55 76.78 1.67%
Trade id #117693839
Max drawdown($478)
Time4/27/18 10:55
Quant open0
Worst price76.78
Drawdown as % of equity-1.67%
($483)
Includes Typical Broker Commissions trade costs of $5.00
4/19/18 10:48 QLD PROSHARES ULTRA QQQ LONG 275 80.78 4/20 9:56 79.00 1.69%
Trade id #117580368
Max drawdown($490)
Time4/20/18 9:56
Quant open0
Worst price79.00
Drawdown as % of equity-1.69%
($496)
Includes Typical Broker Commissions trade costs of $5.50
4/12/18 9:40 QLD PROSHARES ULTRA QQQ LONG 250 77.14 4/12 12:16 77.76 n/a $150
Includes Typical Broker Commissions trade costs of $5.00
4/9/18 12:25 QID PROSHARES ULTRASHORT QQQ LONG 600 12.07 4/10 9:30 12.12 0.1%
Trade id #117430327
Max drawdown($29)
Time4/9/18 13:11
Quant open600
Worst price12.02
Drawdown as % of equity-0.10%
$25
Includes Typical Broker Commissions trade costs of $5.00
4/6/18 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 90 141.94 4/6 10:43 139.82 0.65%
Trade id #117401724
Max drawdown($191)
Time4/6/18 10:43
Quant open0
Worst price139.82
Drawdown as % of equity-0.65%
($193)
Includes Typical Broker Commissions trade costs of $1.80
4/5/18 11:02 QLD PROSHARES ULTRA QQQ LONG 210 76.79 4/6 9:30 74.84 1.97%
Trade id #117385504
Max drawdown($586)
Time4/5/18 19:28
Quant open210
Worst price74.00
Drawdown as % of equity-1.97%
($414)
Includes Typical Broker Commissions trade costs of $4.20
3/29/18 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 90 144.31 4/2 9:47 139.30 1.5%
Trade id #117305874
Max drawdown($452)
Time4/2/18 9:47
Quant open0
Worst price139.30
Drawdown as % of equity-1.50%
($454)
Includes Typical Broker Commissions trade costs of $1.80
3/27/18 10:04 QLD PROSHARES ULTRA QQQ LONG 225 81.16 3/27 13:35 79.09 1.53%
Trade id #117253001
Max drawdown($465)
Time3/27/18 13:35
Quant open0
Worst price79.09
Drawdown as % of equity-1.53%
($470)
Includes Typical Broker Commissions trade costs of $4.50
3/15/18 15:47 QLD PROSHARES ULTRA QQQ LONG 250 87.75 3/19 9:30 85.27 2.36%
Trade id #117073799
Max drawdown($737)
Time3/19/18 7:17
Quant open250
Worst price84.80
Drawdown as % of equity-2.36%
($624)
Includes Typical Broker Commissions trade costs of $5.00
3/5/18 11:09 QLD PROSHARES ULTRA QQQ LONG 300 82.84 3/13 12:07 86.95 0.9%
Trade id #116863022
Max drawdown($277)
Time3/6/18 19:37
Quant open300
Worst price81.92
Drawdown as % of equity-0.90%
$1,224
Includes Typical Broker Commissions trade costs of $6.00
2/23/18 15:56 QLD PROSHARES ULTRA QQQ LONG 200 84.26 2/27 12:24 84.77 0.07%
Trade id #116704861
Max drawdown($22)
Time2/23/18 17:12
Quant open200
Worst price84.15
Drawdown as % of equity-0.07%
$98
Includes Typical Broker Commissions trade costs of $4.00
2/14/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 170 143.32 2/20 15:32 160.59 n/a $2,933
Includes Typical Broker Commissions trade costs of $3.40
2/6/18 15:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 160 154.57 2/7 13:14 149.70 3.27%
Trade id #116354962
Max drawdown($910)
Time2/7/18 5:40
Quant open160
Worst price148.88
Drawdown as % of equity-3.27%
($782)
Includes Typical Broker Commissions trade costs of $3.20
1/26/18 15:37 QLD PROSHARES ULTRA QQQ LONG 165 87.61 1/30 9:30 85.57 1.22%
Trade id #116131043
Max drawdown($343)
Time1/30/18 9:29
Quant open165
Worst price85.53
Drawdown as % of equity-1.22%
($340)
Includes Typical Broker Commissions trade costs of $3.30
1/19/18 14:42 QLD PROSHARES ULTRA QQQ LONG 235 83.42 1/24 13:09 84.89 0.16%
Trade id #115988623
Max drawdown($43)
Time1/22/18 9:34
Quant open235
Worst price83.23
Drawdown as % of equity-0.16%
$341
Includes Typical Broker Commissions trade costs of $4.70
1/11/18 15:48 QLD PROSHARES ULTRA QQQ LONG 230 80.25 1/16 14:15 81.56 0.07%
Trade id #115842145
Max drawdown($18)
Time1/12/18 9:31
Quant open230
Worst price80.17
Drawdown as % of equity-0.07%
$295
Includes Typical Broker Commissions trade costs of $4.60
1/2/18 15:40 QLD PROSHARES ULTRA QQQ LONG 330 75.79 1/9 15:45 79.94 0.12%
Trade id #115653331
Max drawdown($30)
Time1/2/18 16:41
Quant open330
Worst price75.70
Drawdown as % of equity-0.12%
$1,361
Includes Typical Broker Commissions trade costs of $6.60

Statistics

  • Strategy began
    1/1/2017
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    2642.03
  • Age
    88 months ago
  • What it trades
    Stocks
  • # Trades
    70
  • # Profitable
    35
  • % Profitable
    50.00%
  • Avg trade duration
    3.6 days
  • Max peak-to-valley drawdown
    12.16%
  • drawdown period
    March 13, 2018 - July 09, 2018
  • Annual Return (Compounded)
    23.8%
  • Avg win
    $508.49
  • Avg loss
    $266.63
  • Model Account Values (Raw)
  • Cash
    $28,470
  • Margin Used
    $0
  • Buying Power
    $28,470
  • Ratios
  • W:L ratio
    1.91:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    0.82
  • Calmar Ratio
    1.496
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.77%
  • Correlation to SP500
    0.09920
  • Return Percent SP500 (cumu) during strategy life
    134.69%
  • Return Statistics
  • Ann Return (w trading costs)
    23.8%
  • Slump
  • Current Slump as Pcnt Equity
    13.00%
  • 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)
    0.238%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    846
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    487
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $267
  • Avg Win
    $508
  • Sum Trade PL (losers)
    $9,332.000
  • Age
  • Num Months filled monthly returns table
    87
  • Win / Loss
  • Sum Trade PL (winners)
    $17,797.000
  • # Winners
    35
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    35
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    5198.48
  • Avg Position Time (hrs)
    86.64
  • Avg Trade Length
    3.6 days
  • Last Trade Ago
    2070
  • Regression
  • Alpha
    0.01
  • Beta
    0.03
  • Treynor Index
    0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    91.92
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    42.06
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.88
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.029
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.278
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.242
  • Hold-and-Hope Ratio
    0.248
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21623
  • SD
    0.16220
  • Sharpe ratio (Glass type estimate)
    1.33309
  • Sharpe ratio (Hedges UMVUE)
    1.27325
  • df
    17.00000
  • t
    1.63269
  • p
    0.27102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92979
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99902
  • Upside Potential Ratio
    4.74039
  • Upside part of mean
    0.34178
  • Downside part of mean
    -0.12555
  • Upside SD
    0.15345
  • Downside SD
    0.07210
  • N nonnegative terms
    13.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.12101
  • Mean of criterion
    0.21623
  • SD of predictor
    0.07598
  • SD of criterion
    0.16220
  • Covariance
    0.00607
  • r
    0.49236
  • b (slope, estimate of beta)
    1.05113
  • a (intercept, estimate of alpha)
    0.08904
  • Mean Square Error
    0.02118
  • DF error
    16.00000
  • t(b)
    2.26274
  • p(b)
    0.25382
  • t(a)
    0.67737
  • p(a)
    0.41652
  • Lowerbound of 95% confidence interval for beta
    0.06635
  • Upperbound of 95% confidence interval for beta
    2.03591
  • Lowerbound of 95% confidence interval for alpha
    -0.18962
  • Upperbound of 95% confidence interval for alpha
    0.36769
  • Treynor index (mean / b)
    0.20571
  • Jensen alpha (a)
    0.08904
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20198
  • SD
    0.15793
  • Sharpe ratio (Glass type estimate)
    1.27894
  • Sharpe ratio (Hedges UMVUE)
    1.22153
  • df
    17.00000
  • t
    1.56637
  • p
    0.27876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39469
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43061
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87366
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74421
  • Upside Potential Ratio
    4.48228
  • Upside part of mean
    0.32991
  • Downside part of mean
    -0.12793
  • Upside SD
    0.14676
  • Downside SD
    0.07360
  • N nonnegative terms
    13.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.11742
  • Mean of criterion
    0.20198
  • SD of predictor
    0.07586
  • SD of criterion
    0.15793
  • Covariance
    0.00602
  • r
    0.50277
  • b (slope, estimate of beta)
    1.04674
  • a (intercept, estimate of alpha)
    0.07907
  • Mean Square Error
    0.01980
  • DF error
    16.00000
  • t(b)
    2.32653
  • p(b)
    0.24861
  • t(a)
    0.62526
  • p(a)
    0.42278
  • Lowerbound of 95% confidence interval for beta
    0.09296
  • Upperbound of 95% confidence interval for beta
    2.00052
  • Lowerbound of 95% confidence interval for alpha
    -0.18902
  • Upperbound of 95% confidence interval for alpha
    0.34716
  • Treynor index (mean / b)
    0.19296
  • Jensen alpha (a)
    0.07907
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05650
  • Expected Shortfall on VaR
    0.07417
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01616
  • Expected Shortfall on VaR
    0.03461
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.94539
  • Quartile 1
    0.98497
  • Median
    1.02099
  • Quartile 3
    1.03616
  • Maximum
    1.11262
  • Mean of quarter 1
    0.96466
  • Mean of quarter 2
    1.01287
  • Mean of quarter 3
    1.02720
  • Mean of quarter 4
    1.07653
  • Inter Quartile Range
    0.05119
  • 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)
    -0.82267
  • VaR(95%) (moments method)
    0.04008
  • Expected Shortfall (moments method)
    0.04351
  • Extreme Value Index (regression method)
    -0.19588
  • VaR(95%) (regression method)
    0.04785
  • Expected Shortfall (regression method)
    0.05895
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05876
  • Quartile 1
    0.06619
  • Median
    0.07362
  • Quartile 3
    0.08105
  • Maximum
    0.08848
  • Mean of quarter 1
    0.05876
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08848
  • Inter Quartile Range
    0.01486
  • 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)
    0.27451
  • Compounded annual return (geometric extrapolation)
    0.25846
  • Calmar ratio (compounded annual return / max draw down)
    2.92110
  • Compounded annual return / average of 25% largest draw downs
    2.92110
  • Compounded annual return / Expected Shortfall lognormal
    3.48466
  • 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
    0.20141
  • SD
    0.10245
  • Sharpe ratio (Glass type estimate)
    1.96586
  • Sharpe ratio (Hedges UMVUE)
    1.96228
  • df
    412.00000
  • t
    2.46819
  • p
    0.00699
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52910
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67552
  • Upside Potential Ratio
    10.34430
  • Upside part of mean
    0.56683
  • Downside part of mean
    -0.36542
  • Upside SD
    0.08731
  • Downside SD
    0.05480
  • N nonnegative terms
    164.00000
  • N negative terms
    249.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    413.00000
  • Mean of predictor
    0.12970
  • Mean of criterion
    0.20141
  • SD of predictor
    0.10819
  • SD of criterion
    0.10245
  • Covariance
    0.00375
  • r
    0.33826
  • b (slope, estimate of beta)
    0.32031
  • a (intercept, estimate of alpha)
    0.11500
  • Mean Square Error
    0.00932
  • DF error
    411.00000
  • t(b)
    7.28717
  • p(b)
    -0.00000
  • t(a)
    2.07356
  • p(a)
    0.01937
  • Lowerbound of 95% confidence interval for beta
    0.23391
  • Upperbound of 95% confidence interval for beta
    0.40672
  • Lowerbound of 95% confidence interval for alpha
    0.00831
  • Upperbound of 95% confidence interval for alpha
    0.31141
  • Treynor index (mean / b)
    0.62878
  • Jensen alpha (a)
    0.15986
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19613
  • SD
    0.10166
  • Sharpe ratio (Glass type estimate)
    1.92928
  • Sharpe ratio (Hedges UMVUE)
    1.92576
  • df
    412.00000
  • t
    2.42225
  • p
    0.00793
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49236
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56042
  • Upside Potential Ratio
    10.22090
  • Upside part of mean
    0.56303
  • Downside part of mean
    -0.36690
  • Upside SD
    0.08615
  • Downside SD
    0.05509
  • N nonnegative terms
    164.00000
  • N negative terms
    249.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    413.00000
  • Mean of predictor
    0.12379
  • Mean of criterion
    0.19613
  • SD of predictor
    0.10861
  • SD of criterion
    0.10166
  • Covariance
    0.00375
  • r
    0.33949
  • b (slope, estimate of beta)
    0.31776
  • a (intercept, estimate of alpha)
    0.15679
  • Mean Square Error
    0.00917
  • DF error
    411.00000
  • t(b)
    7.31709
  • p(b)
    -0.00000
  • t(a)
    2.05112
  • p(a)
    0.02044
  • Lowerbound of 95% confidence interval for beta
    0.23239
  • Upperbound of 95% confidence interval for beta
    0.40313
  • Lowerbound of 95% confidence interval for alpha
    0.00653
  • Upperbound of 95% confidence interval for alpha
    0.30706
  • Treynor index (mean / b)
    0.61721
  • Jensen alpha (a)
    0.15679
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00954
  • Expected Shortfall on VaR
    0.01213
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00357
  • Expected Shortfall on VaR
    0.00733
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    413.00000
  • Minimum
    0.97990
  • Quartile 1
    0.99967
  • Median
    1.00000
  • Quartile 3
    1.00253
  • Maximum
    1.05475
  • Mean of quarter 1
    0.99474
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00071
  • Mean of quarter 4
    1.00814
  • Inter Quartile Range
    0.00286
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.12833
  • Mean of outliers low
    0.99150
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.10896
  • Mean of outliers high
    1.01288
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36189
  • VaR(95%) (moments method)
    0.00334
  • Expected Shortfall (moments method)
    0.00426
  • Extreme Value Index (regression method)
    -0.39114
  • VaR(95%) (regression method)
    0.00456
  • Expected Shortfall (regression method)
    0.00588
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00239
  • Median
    0.00604
  • Quartile 3
    0.01493
  • Maximum
    0.10813
  • Mean of quarter 1
    0.00069
  • Mean of quarter 2
    0.00488
  • Mean of quarter 3
    0.00960
  • Mean of quarter 4
    0.05914
  • Inter Quartile Range
    0.01255
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.19048
  • Mean of outliers high
    0.06956
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00258
  • VaR(95%) (moments method)
    0.04268
  • Expected Shortfall (moments method)
    0.06038
  • Extreme Value Index (regression method)
    0.08802
  • VaR(95%) (regression method)
    0.07812
  • Expected Shortfall (regression method)
    0.12208
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26869
  • Compounded annual return (geometric extrapolation)
    0.25111
  • Calmar ratio (compounded annual return / max draw down)
    2.32241
  • Compounded annual return / average of 25% largest draw downs
    4.24592
  • Compounded annual return / Expected Shortfall lognormal
    20.70290
  • 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
    0.02333
  • SD
    0.12977
  • Sharpe ratio (Glass type estimate)
    0.17979
  • Sharpe ratio (Hedges UMVUE)
    0.17875
  • df
    130.00000
  • t
    0.12713
  • p
    0.49443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95145
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59314
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95064
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36162
  • Upside Potential Ratio
    7.82653
  • Upside part of mean
    0.50497
  • Downside part of mean
    -0.48164
  • Upside SD
    0.11203
  • Downside SD
    0.06452
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04309
  • Mean of criterion
    0.02333
  • SD of predictor
    0.16036
  • SD of criterion
    0.12977
  • Covariance
    0.00731
  • r
    0.35114
  • b (slope, estimate of beta)
    0.28416
  • a (intercept, estimate of alpha)
    0.01109
  • Mean Square Error
    0.01488
  • DF error
    129.00000
  • t(b)
    4.25940
  • p(b)
    0.28114
  • t(a)
    0.06427
  • p(a)
    0.49640
  • Lowerbound of 95% confidence interval for beta
    0.15216
  • Upperbound of 95% confidence interval for beta
    0.41615
  • Lowerbound of 95% confidence interval for alpha
    -0.33026
  • Upperbound of 95% confidence interval for alpha
    0.35244
  • Treynor index (mean / b)
    0.08211
  • Jensen alpha (a)
    0.01109
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01512
  • SD
    0.12804
  • Sharpe ratio (Glass type estimate)
    0.11811
  • Sharpe ratio (Hedges UMVUE)
    0.11742
  • df
    130.00000
  • t
    0.08351
  • p
    0.49634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88983
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88927
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23308
  • Upside Potential Ratio
    7.68833
  • Upside part of mean
    0.49881
  • Downside part of mean
    -0.48369
  • Upside SD
    0.10982
  • Downside SD
    0.06488
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03024
  • Mean of criterion
    0.01512
  • SD of predictor
    0.16117
  • SD of criterion
    0.12804
  • Covariance
    0.00729
  • r
    0.35337
  • b (slope, estimate of beta)
    0.28073
  • a (intercept, estimate of alpha)
    0.00663
  • Mean Square Error
    0.01446
  • DF error
    129.00000
  • t(b)
    4.29028
  • p(b)
    0.27981
  • t(a)
    0.03901
  • p(a)
    0.49781
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    0.15127
  • Upperbound of 95% confidence interval for beta
    0.41019
  • Lowerbound of 95% confidence interval for alpha
    -0.32984
  • Upperbound of 95% confidence interval for alpha
    0.34310
  • Treynor index (mean / b)
    0.05387
  • Jensen alpha (a)
    0.00663
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01287
  • Expected Shortfall on VaR
    0.01612
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00536
  • Expected Shortfall on VaR
    0.01027
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97990
  • Quartile 1
    0.99897
  • Median
    1.00000
  • Quartile 3
    1.00049
  • Maximum
    1.05475
  • Mean of quarter 1
    0.99317
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00775
  • Inter Quartile Range
    0.00152
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.99197
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.01304
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.67520
  • VaR(95%) (moments method)
    0.00350
  • Expected Shortfall (moments method)
    0.00353
  • Extreme Value Index (regression method)
    -0.32618
  • VaR(95%) (regression method)
    0.00744
  • Expected Shortfall (regression method)
    0.00972
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00462
  • Median
    0.00528
  • Quartile 3
    0.02796
  • Maximum
    0.10813
  • Mean of quarter 1
    0.00247
  • Mean of quarter 2
    0.00528
  • Mean of quarter 3
    0.02796
  • Mean of quarter 4
    0.10813
  • Inter Quartile Range
    0.02334
  • 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
    0.20000
  • Mean of outliers high
    0.10813
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    118
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04350
  • Compounded annual return (geometric extrapolation)
    0.04397
  • Calmar ratio (compounded annual return / max draw down)
    0.40664
  • Compounded annual return / average of 25% largest draw downs
    0.40664
  • Compounded annual return / Expected Shortfall lognormal
    2.72700

Strategy Description

NDX ETF Swinger
This trading system utilizes proprietary technical signals for ETFs that trade the Nasdaq 100. The system seeks maximum gain without the huge drawdowns. No margin is used. ETFs used in strategy may include QQQ, QLD(2x),TQQQ (3x) for bullish setups; or occasionally PSQ (-1x),QID (-2x), SQQQ (-3x) for bearish setups. Position size may vary with market conditions. Stops included for each trade and updated regularly.

Summary Statistics

Strategy began
2017-01-01
Suggested Minimum Capital
$15,000
# Trades
70
# Profitable
35
% Profitable
50.0%
Correlation S&P500
0.099
Sharpe Ratio
0.44
Sortino Ratio
0.82
Beta
0.03
Alpha
0.01

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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