Whitelight
Trades Own Strategy BrokerTransmit
- hypothetical · Annual Return (Compounded)
- 21.5%
- Max Drawdown
- 37.6%
- Trades
- 102
- Win Trades
- 38.2%
- Profit Factor
- 1.60
- Win Months
- 54.0%
About this strategy
Here is a brief introduction to my trading style and some cool data associated with my trading.
I position trade only $TQQQ and $SQQQ. I am in $TQQQ during uptrends and $SQQQ in downtrends. The position size of TQQQ and SQQQ depends on how extended $NDX is. I have a total of 7 systems. 1 momentum long(only TQQQ), 1 mean reversion short(only SQQQ), 3 mean reversion longs(only TQQQ) and 2 momentum shorts(SQQQ). Here are some characteristics of my system.
1) I am a 100% long/short systematic trader, meaning the entries, exits and position size etc are all determined by predefined set of rules that make up system/model. This does not need any input from me or anybody else. This is purely based on price and no macro/fundamentals. My entire trading operation including order placements, position size calculation is fully automated and it does not need any time from me at all.
2) My system is EOD based. It only makes one decision towards the end of the trading day(10 minutes before market closes). It determines how much TQQQ/SQQQ that my portfolio should be holding at that moment. My system has an average of 2 trades per week and the number of trades per month are roughly 10 trades. So it does not produce too many trades and that's nice as it needs less time to execute.
3) I use MovingAverages(20 and 250) to determine the trend and use how far the price is from those MAs to determine how extended $NDX. Based on that, my system determines how much TQQQ/SQQQ I should be holding.
4) I also use Bollinger Bands to determine if $NDX is in a momentum phase so that I can use a heavier position size during that momentum phase to reap more gains.
5) I backtested my strategy over 40 years of $NDX and used a synthetic TQQQ /SQQQ in back tests as TQQQ/SQQQ was created in 2010.
6) My backtested CAGR is around 80% with max drawdown of 49%. Past performance does not guarantee future results.
I have been running this strategy at Collective2 at https://collective2.com/my/K6Q9FDJ8A for over 3 years now and you can see the live performance of my strategy there.
I position trade only $TQQQ and $SQQQ. I am in $TQQQ during uptrends and $SQQQ in downtrends. The position size of TQQQ and SQQQ depends on how extended $NDX is. I have a total of 7 systems. 1 momentum long(only TQQQ), 1 mean reversion short(only SQQQ), 3 mean reversion longs(only TQQQ) and 2 momentum shorts(SQQQ). Here are some characteristics of my system.
1) I am a 100% long/short systematic trader, meaning the entries, exits and position size etc are all determined by predefined set of rules that make up system/model. This does not need any input from me or anybody else. This is purely based on price and no macro/fundamentals. My entire trading operation including order placements, position size calculation is fully automated and it does not need any time from me at all.
2) My system is EOD based. It only makes one decision towards the end of the trading day(10 minutes before market closes). It determines how much TQQQ/SQQQ that my portfolio should be holding at that moment. My system has an average of 2 trades per week and the number of trades per month are roughly 10 trades. So it does not produce too many trades and that's nice as it needs less time to execute.
3) I use MovingAverages(20 and 250) to determine the trend and use how far the price is from those MAs to determine how extended $NDX. Based on that, my system determines how much TQQQ/SQQQ I should be holding.
4) I also use Bollinger Bands to determine if $NDX is in a momentum phase so that I can use a heavier position size during that momentum phase to reap more gains.
5) I backtested my strategy over 40 years of $NDX and used a synthetic TQQQ /SQQQ in back tests as TQQQ/SQQQ was created in 2010.
6) My backtested CAGR is around 80% with max drawdown of 49%. Past performance does not guarantee future results.
I have been running this strategy at Collective2 at https://collective2.com/my/K6Q9FDJ8A for over 3 years now and you can see the live performance of my strategy there.
Momentum
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | 7.5 | 5.5 | -16.2 | -1.0 | 13.2 | -16.4 | -10.9 | ||||||
| 2023 | 12.8 | -5.1 | 7.3 | -0.8 | 23.8 | 12.1 | 10.1 | -1.8 | -6.1 | -2.9 | 9.7 | 3.6 | 77.1 |
| 2024 | 7.3 | 4.5 | -0.6 | -8.6 | 19.2 | 1.7 | -3.3 | 1.0 | -4.0 | -0.7 | -9.1 | 5.2 | 9.8 |
| 2025 | 2.8 | -3.5 | -21.2 | 2.6 | 17.7 | 21.2 | 5.4 | 4.0 | 11.5 | -0.7 | 1.4 | -1.8 | 38.3 |
| 2026 | -4.9 | -4.9 | -1.6 | 23.8 | 10.4 | -20.9 | -5.2 | 1.5 | -7.3 |
Statistics
Overview
| Strategy began | 7/23/2022 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 50 months |
| C2 Rank | Top 5.5% |
| What it trades | Stocks |
| # Trades | 102 |
| # Profitable | 39 |
| % Profitable | 38.2% |
| Avg trade duration | 12.6 days |
| Max peak-to-valley drawdown | 37.6% |
| drawdown period | July 10, 2024 - March 26, 2025 |
| Annual Return (Compounded) | 21.5% |
| Avg win | $1,165 |
| Avg loss | $462 |
Ratios
| W:L ratio | 1.58 |
|---|---|
| Sharpe Ratio | 0.59 |
| Sortino Ratio | 0.88 |
| Calmar Ratio | 0.96 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.38 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 93.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 28.3% |
Return Statistics
| Ann Return (w trading costs) | 21.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 27.4% |
Slump
| Current Slump as Pcnt Equity | 35.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.1% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 60.5% |
|---|---|
| Chance of 20% account loss | 32.0% |
| Chance of 30% account loss | 14.0% |
| Chance of 40% account loss | 4.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 993 |
|---|---|
| Popularity (Last 6 weeks) | 991 |
| C2 Score | 945 |
| Popularity (7 days, Percentile 1000 scale) | 984 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 187419 |
|---|---|
| TOS percent | 100.0% |
Win / Loss
| Avg Loss | $462 |
|---|---|
| Avg Win | $1,165 |
| # Winners | 39 |
| Sum Trade PL (losers) | $29,110 |
| Sum Trade PL (winners) | $45,443 |
| Num Months Winners | 27 |
| # Losers | 63 |
| % Winners | 38.2% |
Dividends
| Dividends Received in Model Acct | 595 |
|---|
Age
| Num Months filled monthly returns table | 50 |
|---|
Frequency
| Avg Position Time (mins) | 18101.17 |
|---|---|
| Avg Position Time (hrs) | 301.69 |
| Avg Trade Length | 12.60 |
| Last Trade Ago | 5 |
Leverage
| Daily leverage (average) | 1.83 |
|---|---|
| Daily leverage (max) | 4.58 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 0.81 |
| Treynor Index | 0.08 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.04 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 3.44 |
| MAE:PL (avg, all trades) | -0.54 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.16 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.27 |
| Hold-and-Hope Ratio | 0.30 |
RATIO STATISTICS
| Mean | 0.31 |
|---|---|
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | 0.93 |
| Sharpe ratio (Hedges UMVUE) | 0.92 |
| df | 46 |
| t | 1.85 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.94 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.09 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.93 |
| Sortino ratio | 1.87 |
| Upside Potential Ratio | 3.64 |
| Upside part of mean | 0.61 |
| Downside part of mean | -0.29 |
| Upside SD | 0.30 |
| Downside SD | 0.17 |
| N nonnegative terms | 27 |
| N negative terms | 20 |
| N of observations | 47 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.31 |
| SD of predictor | 0.16 |
| SD of criterion | 0.33 |
| Covariance | 0.03 |
| r | 0.58 |
| b (slope, estimate of beta) | 1.25 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.07 |
| DF error | 45 |
| t(b) | 4.84 |
| p(b) | 0.00 |
| t(a) | 0.56 |
| p(a) | 0.29 |
| Lowerbound of 95% confidence interval for beta | 0.73 |
| Upperbound of 95% confidence interval for beta | 1.77 |
| Lowerbound of 95% confidence interval for alpha | -0.21 |
| Upperbound of 95% confidence interval for alpha | 0.38 |
| Treynor index (mean / b) | 0.25 |
| Jensen alpha (a) | 0.08 |
| Mean | 0.26 |
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | 0.80 |
| Sharpe ratio (Hedges UMVUE) | 0.78 |
| df | 46 |
| t | 1.58 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.21 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.80 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.22 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.79 |
| Sortino ratio | 1.44 |
| Upside Potential Ratio | 3.18 |
| Upside part of mean | 0.57 |
| Downside part of mean | -0.31 |
| Upside SD | 0.27 |
| Downside SD | 0.18 |
| N nonnegative terms | 27 |
| N negative terms | 20 |
| N of observations | 47 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.26 |
| SD of predictor | 0.16 |
| SD of criterion | 0.32 |
| Covariance | 0.03 |
| r | 0.60 |
| b (slope, estimate of beta) | 1.23 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.07 |
| DF error | 45 |
| t(b) | 5.01 |
| p(b) | 0 |
| t(a) | 0.34 |
| p(a) | 0.37 |
| Lowerbound of 95% confidence interval for beta | 0.74 |
| Upperbound of 95% confidence interval for beta | 1.73 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.32 |
| Treynor index (mean / b) | 0.21 |
| Jensen alpha (a) | 0.05 |
| VaR(95%) | 0.12 |
| Expected Shortfall on VaR | 0.16 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.10 |
| Mean | 0.29 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | 1.00 |
| Sharpe ratio (Hedges UMVUE) | 1.00 |
| df | 1033 |
| t | 1.98 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.01 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.99 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.01 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.98 |
| Sortino ratio | 1.51 |
| Upside Potential Ratio | 8.51 |
| Upside part of mean | 1.66 |
| Downside part of mean | -1.36 |
| Upside SD | 0.22 |
| Downside SD | 0.19 |
| N nonnegative terms | 595 |
| N negative terms | 439 |
| N of observations | 1034 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.29 |
| SD of predictor | 0.16 |
| SD of criterion | 0.29 |
| Covariance | 0.02 |
| r | 0.38 |
| b (slope, estimate of beta) | 0.70 |
| a (intercept, estimate of alpha) | 0.17 |
| Mean Square Error | 0.07 |
| DF error | 1032 |
| t(b) | 13.27 |
| p(b) | 0.31 |
| t(a) | 1.22 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.59 |
| Upperbound of 95% confidence interval for beta | 0.80 |
| Lowerbound of 95% confidence interval for alpha | -0.10 |
| Upperbound of 95% confidence interval for alpha | 0.44 |
| Treynor index (mean / b) | 0.42 |
| Jensen alpha (a) | 0.17 |
| Mean | 0.25 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | 0.85 |
| Sharpe ratio (Hedges UMVUE) | 0.85 |
| df | 1033 |
| t | 1.69 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.13 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.84 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.84 |
| Sortino ratio | 1.26 |
| Upside Potential Ratio | 8.19 |
| Upside part of mean | 1.63 |
| Downside part of mean | -1.38 |
| Upside SD | 0.22 |
| Downside SD | 0.20 |
| N nonnegative terms | 595 |
| N negative terms | 439 |
| N of observations | 1034 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.25 |
| SD of predictor | 0.16 |
| SD of criterion | 0.29 |
| Covariance | 0.02 |
| r | 0.38 |
| b (slope, estimate of beta) | 0.70 |
| a (intercept, estimate of alpha) | 0.13 |
| Mean Square Error | 0.07 |
| DF error | 1032 |
| t(b) | 13.38 |
| p(b) | 0.31 |
| t(a) | 0.97 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.60 |
| Upperbound of 95% confidence interval for beta | 0.81 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.40 |
| Treynor index (mean / b) | 0.36 |
| Jensen alpha (a) | 0.13 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.00 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | 0.00 |
| Sharpe ratio (Hedges UMVUE) | 0.00 |
| df | 130 |
| t | 0.00 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.77 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.77 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.77 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.77 |
| Sortino ratio | 0.00 |
| Upside Potential Ratio | 6.85 |
| Upside part of mean | 1.50 |
| Downside part of mean | -1.50 |
| Upside SD | 0.21 |
| Downside SD | 0.22 |
| N nonnegative terms | 77 |
| N negative terms | 54 |
| N of observations | 131 |
| Mean of predictor | 0.23 |
| Mean of criterion | 0.00 |
| SD of predictor | 0.14 |
| SD of criterion | 0.30 |
| Covariance | 0.01 |
| r | 0.33 |
| b (slope, estimate of beta) | 0.71 |
| a (intercept, estimate of alpha) | -0.17 |
| Mean Square Error | 0.08 |
| DF error | 129 |
| t(b) | 3.99 |
| p(b) | 0.29 |
| t(a) | -0.41 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | 0.36 |
| Upperbound of 95% confidence interval for beta | 1.07 |
| Lowerbound of 95% confidence interval for alpha | -0.98 |
| Upperbound of 95% confidence interval for alpha | 0.64 |
| Treynor index (mean / b) | 0.00 |
| Jensen alpha (a) | -0.17 |
| Mean | -0.05 |
| SD | 0.31 |
| Sharpe ratio (Glass type estimate) | -0.15 |
| Sharpe ratio (Hedges UMVUE) | -0.15 |
| df | 130 |
| t | -0.11 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.92 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.62 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.92 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.62 |
| Sortino ratio | -0.20 |
| Upside Potential Ratio | 6.58 |
| Upside part of mean | 1.48 |
| Downside part of mean | -1.52 |
| Upside SD | 0.21 |
| Downside SD | 0.22 |
| N nonnegative terms | 77 |
| N negative terms | 54 |
| N of observations | 131 |
| Mean of predictor | 0.22 |
| Mean of criterion | -0.05 |
| SD of predictor | 0.14 |
| SD of criterion | 0.31 |
| Covariance | 0.01 |
| r | 0.33 |
| b (slope, estimate of beta) | 0.72 |
| a (intercept, estimate of alpha) | -0.21 |
| Mean Square Error | 0.08 |
| DF error | 129 |
| t(b) | 4.02 |
| p(b) | 0.29 |
| t(a) | -0.50 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | 0.37 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 1.08 |
| Lowerbound of 95% confidence interval for alpha | -1.02 |
| Upperbound of 95% confidence interval for alpha | 0.61 |
| Treynor index (mean / b) | -0.06 |
| Jensen alpha (a) | -0.21 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
ORDER STATISTICS
| Number of observations | 47 |
|---|---|
| Minimum | 0.83 |
| Quartile 1 | 0.96 |
| Median | 1.01 |
| Quartile 3 | 1.08 |
| Maximum | 1.29 |
| Mean of quarter 1 | 0.92 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 1.15 |
| Inter Quartile Range | 0.11 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.29 |
| Extreme Value Index (moments method) | 0.31 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | 0.16 |
| VaR(95%) (regression method) | 0.08 |
| Expected Shortfall (regression method) | 0.12 |
| Number of observations | 1034 |
| Minimum | 0.91 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 50 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 60 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | 0.35 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.18 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.92 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.07 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 8 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | -0.00 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.22 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
DRAW DOWN STATISTICS
| Number of observations | 9 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.08 |
| Median | 0.08 |
| Quartile 3 | 0.17 |
| Maximum | 0.24 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.08 |
| Mean of quarter 3 | 0.15 |
| Mean of quarter 4 | 0.21 |
| Inter Quartile Range | 0.09 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | -0.05 |
| VaR(95%) (moments method) | 0.22 |
| Expected Shortfall (moments method) | 0.25 |
| Extreme Value Index (regression method) | 2.36 |
| VaR(95%) (regression method) | 0.32 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 36 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.07 |
| Maximum | 0.30 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.05 |
| Mean of quarter 4 | 0.17 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.24 |
| Extreme Value Index (moments method) | -0.65 |
| VaR(95%) (moments method) | 0.17 |
| Expected Shortfall (moments method) | 0.19 |
| Extreme Value Index (regression method) | -0.76 |
| VaR(95%) (regression method) | 0.23 |
| Expected Shortfall (regression method) | 0.26 |
| Number of observations | 5 |
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.11 |
| Maximum | 0.27 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.11 |
| Mean of quarter 4 | 0.27 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -380962528 |
| Max Equity Drawdown (num days) | 259 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.44 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.29 |
| Calmar ratio (compounded annual return / max draw down) | 1.20 |
| Compounded annual return / average of 25% largest draw downs | 1.40 |
| Compounded annual return / Expected Shortfall lognormal | 1.87 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.43 |
| Compounded annual return (geometric extrapolation) | 0.28 |
| Calmar ratio (compounded annual return / max draw down) | 0.96 |
| Compounded annual return / average of 25% largest draw downs | 1.64 |
| Compounded annual return / Expected Shortfall lognormal | 7.95 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.04 |
| Compounded annual return (geometric extrapolation) | -0.04 |
| Calmar ratio (compounded annual return / max draw down) | -0.17 |
| Compounded annual return / average of 25% largest draw downs | -0.17 |
| Compounded annual return / Expected Shortfall lognormal | -1.16 |
Trading record
Placed 292 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SQQQ | long | 183 | Aug 6, 2026 | Aug 10, 2026 | ($204) |
| TQQQ | long | 317 | Aug 3, 2026 | Aug 6, 2026 | $1,650 |
| SQQQ | long | 150 | Jul 30, 2026 | Aug 3, 2026 | ($472) |
| TQQQ | long | 103 | Jul 24, 2026 | Jul 27, 2026 | ($56) |
| SQQQ | long | 163 | Jul 21, 2026 | Jul 22, 2026 | $74 |
| SQQQ | long | 219 | Jul 15, 2026 | Jul 17, 2026 | $586 |
| SQQQ | long | 195 | Jul 10, 2026 | Jul 14, 2026 | $366 |
| SQQQ | long | 164 | Jul 6, 2026 | Jul 8, 2026 | $425 |
| TQQQ | long | 286 | Jun 30, 2026 | Jul 2, 2026 | ($2,534) |
| SQQQ | long | 317 | Jun 23, 2026 | Jun 30, 2026 | ($1,324) |
| TQQQ | long | 328 | Jun 12, 2026 | Jun 23, 2026 | ($907) |
| SQQQ | long | 207 | Jun 11, 2026 | Jun 12, 2026 | ($126) |
| TQQQ | long | 346 | May 20, 2026 | Jun 5, 2026 | ($869) |
| TQQQ | long | 433 | Apr 8, 2026 | Apr 28, 2026 | $5,657 |
| SQQQ | long | 93 | Apr 2, 2026 | Apr 6, 2026 | ($185) |
| TQQQ | long | 144 | Apr 1, 2026 | Apr 2, 2026 | ($56) |
| SQQQ | long | 99 | Mar 10, 2026 | Apr 1, 2026 | $603 |
| TQQQ | long | 432 | Mar 4, 2026 | Mar 9, 2026 | ($1,015) |
| SQQQ | long | 102 | Feb 27, 2026 | Mar 4, 2026 | ($187) |
| TQQQ | long | 221 | Feb 25, 2026 | Feb 27, 2026 | ($575) |
| TQQQ | long | 469 | Feb 20, 2026 | Feb 23, 2026 | ($950) |
| SQQQ | long | 87 | Feb 11, 2026 | Feb 20, 2026 | $167 |
| SQQQ | long | 106 | Feb 2, 2026 | Feb 3, 2026 | $361 |
| TQQQ | long | 423 | Jan 23, 2026 | Jan 30, 2026 | ($187) |
| SQQQ | long | 157 | Jan 14, 2026 | Jan 21, 2026 | $104 |
| TQQQ | long | 783 | Jan 5, 2026 | Jan 14, 2026 | ($770) |
| SQQQ | long | 157 | Dec 29, 2025 | Jan 5, 2026 | ($85) |
| TQQQ | long | 436 | Dec 19, 2025 | Dec 29, 2025 | $309 |
| TQQQ | long | 263 | Dec 10, 2025 | Dec 11, 2025 | ($297) |
| SQQQ | long | 89 | Dec 9, 2025 | Dec 10, 2025 | ($99) |
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.