Adaptive Investments
Trades Own Strategy BrokerTransmit
- hypothetical · Annual Return (Compounded)
- 76.8%
- Max Drawdown
- 33.2%
- Trades
- 259
- Win Trades
- 49.0%
- Profit Factor
- 1.50
- Win Months
- 69.2%
About this strategy
Adaptive Investments is a 100% automated quantitative strategy designed to capitalize on the volatility of the Nasdaq-100 index. Recently optimized to trade highly liquid 3x leveraged ETFs (TQQQ and SQQQ), this system aims to capture directional alpha by adapting to changing market regimes.
The Core Philosophy: "Do what would have worked best, given historically similar conditions."
How It Works
The strategy utilizes a proprietary Nearest-Neighbor (KNN) Machine Learning Algorithm to predict the Nasdaq-100’s next-day return.
* Pattern Matching: Every trading day, the algorithm scans 20 years of historical data to find days that statistically resemble the current market setup.
* Daily Optimization: It targets a specific risk profile—maximizing the daily Sharpe ratio while aiming for a volatility target of 2x the Nasdaq-100.
* Signal Generation: Just before the market closes, the system determines whether to increase, decrease, or hold leverage based on the projected close-to-close change.
Instruments & Leverage
* Assets: We trade TQQQ (3x Bull) and SQQQ (3x Bear).
* Dynamic Exposure: By adjusting the allocation between these funds and cash, the effective account leverage varies dynamically from -300% (Short) to +300% (Long) in increments of 100%.
Risk Management
The model has been trained and validated on a 20-year dataset, ensuring the approach is generalized across various market cycles (bull runs, crashes, and chopping periods). The system employs sell stops on all open day positions to strictly limit intraday downside risk.
Subscriber Guide: Best Practices
To replicate this strategy effectively, please note the following:
* Automation is Critical: Trades are executed approximately 15-20 seconds before the market close. Because timing is essential to the strategy's accuracy, we highly recommend using C2’s "Auto-Trade" feature rather than manual execution.
* Frequency: Expect a maximum of two trades per day (typically executing the rotation from one ETF to another or to cash).
Important Note on Performance Data: Please be aware that strategy development and backtest performance data are not released. We strongly recommend reviewing the Statistics Tab on this profile to analyze various performance attributes under live market conditions.
The Core Philosophy: "Do what would have worked best, given historically similar conditions."
How It Works
The strategy utilizes a proprietary Nearest-Neighbor (KNN) Machine Learning Algorithm to predict the Nasdaq-100’s next-day return.
* Pattern Matching: Every trading day, the algorithm scans 20 years of historical data to find days that statistically resemble the current market setup.
* Daily Optimization: It targets a specific risk profile—maximizing the daily Sharpe ratio while aiming for a volatility target of 2x the Nasdaq-100.
* Signal Generation: Just before the market closes, the system determines whether to increase, decrease, or hold leverage based on the projected close-to-close change.
Instruments & Leverage
* Assets: We trade TQQQ (3x Bull) and SQQQ (3x Bear).
* Dynamic Exposure: By adjusting the allocation between these funds and cash, the effective account leverage varies dynamically from -300% (Short) to +300% (Long) in increments of 100%.
Risk Management
The model has been trained and validated on a 20-year dataset, ensuring the approach is generalized across various market cycles (bull runs, crashes, and chopping periods). The system employs sell stops on all open day positions to strictly limit intraday downside risk.
Subscriber Guide: Best Practices
To replicate this strategy effectively, please note the following:
* Automation is Critical: Trades are executed approximately 15-20 seconds before the market close. Because timing is essential to the strategy's accuracy, we highly recommend using C2’s "Auto-Trade" feature rather than manual execution.
* Frequency: Expect a maximum of two trades per day (typically executing the rotation from one ETF to another or to cash).
Important Note on Performance Data: Please be aware that strategy development and backtest performance data are not released. We strongly recommend reviewing the Statistics Tab on this profile to analyze various performance attributes under live market conditions.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -3.8 | 8.3 | -0.5 | -7.9 | 5.3 | 3.9 | 4.5 | ||||||
| 2025 | 8.5 | 0.1 | 0.6 | 50.7 | 7.6 | 4.5 | 3.3 | 10.9 | 0.0 | 6.2 | 12.4 | 10.7 | 180.4 |
| 2026 | 14.1 | 23.4 | -20.9 | 20.3 | -6.1 | -8.9 | -3.9 | 2.2 | 12.7 |
Statistics
Overview
| Strategy began | 7/22/2024 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 25 months |
| C2 Rank | Top 4.1% |
| What it trades | Stocks |
| # Trades | 259 |
| # Profitable | 127 |
| % Profitable | 49.0% |
| Avg trade duration | 2.4 days |
| Max peak-to-valley drawdown | 33.1% |
| drawdown period | Feb 25, 2026 - July 29, 2026 |
| Annual Return (Compounded) | 76.8% |
| Avg win | $863 |
| Avg loss | $550 |
Ratios
| W:L ratio | 1.51 |
|---|---|
| Sharpe Ratio | 1.47 |
| Sortino Ratio | 2.74 |
| Calmar Ratio | 3.94 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.28 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 37.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 192.4% |
Return Statistics
| Ann Return (w trading costs) | 76.8% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.8% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 93.3% |
Slump
| Current Slump as Pcnt Equity | 30.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.2% |
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 | 32.0% |
|---|---|
| Chance of 20% account loss | 6.5% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| 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% |
Automation
| Percentage Signals Automated | 75.6% |
|---|
Popularity
| Popularity (Today) | 940 |
|---|---|
| Popularity (Last 6 weeks) | 989 |
| C2 Score | 959 |
| Popularity (7 days, Percentile 1000 scale) | 968 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 187571 |
|---|---|
| TOS percent | 100.0% |
Win / Loss
| Avg Loss | $550 |
|---|---|
| Avg Win | $863 |
| # Winners | 127 |
| Sum Trade PL (losers) | $72,661 |
| Sum Trade PL (winners) | $109,555 |
| Num Months Winners | 18 |
| # Losers | 132 |
| % Winners | 49.0% |
Dividends
| Dividends Received in Model Acct | 279 |
|---|
Age
| Num Months filled monthly returns table | 26 |
|---|
Frequency
| Avg Position Time (mins) | 3384.52 |
|---|---|
| Avg Position Time (hrs) | 56.41 |
| Avg Trade Length | 2.30 |
| Last Trade Ago | 2 |
Leverage
| Daily leverage (average) | 2.37 |
|---|---|
| Daily leverage (max) | 4.38 |
Regression
| Alpha | 0.15 |
|---|---|
| Beta | 0.59 |
| Treynor Index | 0.29 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.05 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.02 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -3.42 |
| MAE:PL (avg, all trades) | -0.29 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 82.61 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 97.14 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.58 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.17 |
| Hold-and-Hope Ratio | -0.29 |
RATIO STATISTICS
| Mean | 0.73 |
|---|---|
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | 1.86 |
| Sharpe ratio (Hedges UMVUE) | 1.80 |
| df | 23 |
| t | 2.64 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.36 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.32 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.28 |
| Sortino ratio | 4.82 |
| Upside Potential Ratio | 6.26 |
| Upside part of mean | 0.95 |
| Downside part of mean | -0.22 |
| Upside SD | 0.41 |
| Downside SD | 0.15 |
| N nonnegative terms | 17 |
| N negative terms | 7 |
| N of observations | 24 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.73 |
| SD of predictor | 0.12 |
| SD of criterion | 0.39 |
| Covariance | 0.00 |
| r | 0.03 |
| b (slope, estimate of beta) | 0.08 |
| a (intercept, estimate of alpha) | 0.72 |
| Mean Square Error | 0.16 |
| DF error | 22 |
| t(b) | 0.12 |
| p(b) | 0.45 |
| t(a) | 2.43 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -1.35 |
| Upperbound of 95% confidence interval for beta | 1.51 |
| Lowerbound of 95% confidence interval for alpha | 0.11 |
| Upperbound of 95% confidence interval for alpha | 1.33 |
| Treynor index (mean / b) | 8.93 |
| Jensen alpha (a) | 0.72 |
| Mean | 0.64 |
| SD | 0.37 |
| Sharpe ratio (Glass type estimate) | 1.76 |
| Sharpe ratio (Hedges UMVUE) | 1.70 |
| df | 23 |
| t | 2.48 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.26 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.21 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.23 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.17 |
| Sortino ratio | 3.93 |
| Upside Potential Ratio | 5.35 |
| Upside part of mean | 0.87 |
| Downside part of mean | -0.23 |
| Upside SD | 0.37 |
| Downside SD | 0.16 |
| N nonnegative terms | 17 |
| N negative terms | 7 |
| N of observations | 24 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.64 |
| SD of predictor | 0.12 |
| SD of criterion | 0.37 |
| Covariance | 0.00 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.20 |
| a (intercept, estimate of alpha) | 0.62 |
| Mean Square Error | 0.14 |
| DF error | 22 |
| t(b) | 0.30 |
| p(b) | 0.38 |
| t(a) | 2.25 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -1.16 |
| Upperbound of 95% confidence interval for beta | 1.55 |
| Lowerbound of 95% confidence interval for alpha | 0.05 |
| Upperbound of 95% confidence interval for alpha | 1.19 |
| Treynor index (mean / b) | 3.23 |
| Jensen alpha (a) | 0.62 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.15 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 0.69 |
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | 2.17 |
| Sharpe ratio (Hedges UMVUE) | 2.17 |
| df | 539 |
| t | 3.12 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.80 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.54 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.80 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.54 |
| Sortino ratio | 4.09 |
| Upside Potential Ratio | 12.01 |
| Upside part of mean | 2.03 |
| Downside part of mean | -1.34 |
| Upside SD | 0.27 |
| Downside SD | 0.17 |
| N nonnegative terms | 269 |
| N negative terms | 271 |
| N of observations | 540 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.69 |
| SD of predictor | 0.17 |
| SD of criterion | 0.32 |
| Covariance | 0.01 |
| r | 0.27 |
| b (slope, estimate of beta) | 0.53 |
| a (intercept, estimate of alpha) | 0.62 |
| Mean Square Error | 0.09 |
| DF error | 538 |
| t(b) | 6.61 |
| p(b) | 0 |
| t(a) | 2.88 |
| p(a) | 0.00 |
| Lowerbound of 95% confidence interval for beta | 0.37 |
| Upperbound of 95% confidence interval for beta | 0.69 |
| Lowerbound of 95% confidence interval for alpha | 0.20 |
| Upperbound of 95% confidence interval for alpha | 1.04 |
| Treynor index (mean / b) | 1.31 |
| Jensen alpha (a) | 0.62 |
| Mean | 0.64 |
| SD | 0.31 |
| Sharpe ratio (Glass type estimate) | 2.05 |
| Sharpe ratio (Hedges UMVUE) | 2.05 |
| df | 539 |
| t | 2.94 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.68 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.42 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.68 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.42 |
| Sortino ratio | 3.73 |
| Upside Potential Ratio | 11.61 |
| Upside part of mean | 2.00 |
| Downside part of mean | -1.36 |
| Upside SD | 0.26 |
| Downside SD | 0.17 |
| N nonnegative terms | 269 |
| N negative terms | 271 |
| N of observations | 540 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.64 |
| SD of predictor | 0.16 |
| SD of criterion | 0.31 |
| Covariance | 0.01 |
| r | 0.27 |
| b (slope, estimate of beta) | 0.52 |
| a (intercept, estimate of alpha) | 0.58 |
| Mean Square Error | 0.09 |
| DF error | 538 |
| t(b) | 6.57 |
| p(b) | 0 |
| t(a) | 2.74 |
| p(a) | 0.00 |
| Lowerbound of 95% confidence interval for beta | 0.36 |
| Upperbound of 95% confidence interval for beta | 0.67 |
| Lowerbound of 95% confidence interval for alpha | 0.16 |
| Upperbound of 95% confidence interval for alpha | 0.99 |
| Treynor index (mean / b) | 1.24 |
| Jensen alpha (a) | 0.58 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.13 |
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | -0.39 |
| Sharpe ratio (Hedges UMVUE) | -0.39 |
| df | 130 |
| t | -0.27 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.39 |
| Sortino ratio | -0.55 |
| Upside Potential Ratio | 7.70 |
| Upside part of mean | 1.81 |
| Downside part of mean | -1.94 |
| Upside SD | 0.23 |
| Downside SD | 0.24 |
| N nonnegative terms | 61 |
| N negative terms | 70 |
| N of observations | 131 |
| Mean of predictor | 0.21 |
| Mean of criterion | -0.13 |
| SD of predictor | 0.14 |
| SD of criterion | 0.33 |
| Covariance | 0.02 |
| r | 0.40 |
| b (slope, estimate of beta) | 0.94 |
| a (intercept, estimate of alpha) | -0.32 |
| Mean Square Error | 0.09 |
| DF error | 129 |
| t(b) | 4.94 |
| p(b) | 0.25 |
| t(a) | -0.74 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | 0.56 |
| Upperbound of 95% confidence interval for beta | 1.32 |
| Lowerbound of 95% confidence interval for alpha | -1.18 |
| Upperbound of 95% confidence interval for alpha | 0.54 |
| Treynor index (mean / b) | -0.14 |
| Jensen alpha (a) | -0.32 |
| Mean | -0.18 |
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | -0.55 |
| Sharpe ratio (Hedges UMVUE) | -0.55 |
| df | 130 |
| t | -0.39 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.22 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.32 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.22 |
| Sortino ratio | -0.77 |
| Upside Potential Ratio | 7.44 |
| Upside part of mean | 1.78 |
| Downside part of mean | -1.97 |
| Upside SD | 0.23 |
| Downside SD | 0.24 |
| N nonnegative terms | 61 |
| N negative terms | 70 |
| N of observations | 131 |
| Mean of predictor | 0.20 |
| Mean of criterion | -0.18 |
| SD of predictor | 0.14 |
| SD of criterion | 0.33 |
| Covariance | 0.02 |
| r | 0.40 |
| b (slope, estimate of beta) | 0.94 |
| a (intercept, estimate of alpha) | -0.37 |
| Mean Square Error | 0.09 |
| DF error | 129 |
| t(b) | 4.96 |
| p(b) | 0.25 |
| t(a) | -0.85 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | 0.57 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 1.32 |
| Lowerbound of 95% confidence interval for alpha | -1.23 |
| Upperbound of 95% confidence interval for alpha | 0.49 |
| Treynor index (mean / b) | -0.20 |
| Jensen alpha (a) | -0.37 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
ORDER STATISTICS
| Number of observations | 24 |
|---|---|
| Minimum | 0.82 |
| Quartile 1 | 0.99 |
| Median | 1.06 |
| Quartile 3 | 1.14 |
| Maximum | 1.36 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.02 |
| Mean of quarter 3 | 1.09 |
| Mean of quarter 4 | 1.20 |
| Inter Quartile Range | 0.16 |
| 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) | 0.46 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.16 |
| Extreme Value Index (regression method) | 1.21 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 540 |
| Minimum | 0.94 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.18 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 15 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 22 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0.18 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.17 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.94 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 5 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | -0.13 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.02 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.05 |
| Median | 0.09 |
| Quartile 3 | 0.13 |
| Maximum | 0.18 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.09 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.18 |
| Inter Quartile Range | 0.08 |
| 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 |
| Number of observations | 40 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.05 |
| Maximum | 0.24 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | 0.46 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.19 |
| Extreme Value Index (regression method) | 0.95 |
| VaR(95%) (regression method) | 0.10 |
| Expected Shortfall (regression method) | 1.24 |
| Number of observations | 2 |
| Minimum | 0.01 |
| Quartile 1 | 0.06 |
| Median | 0.12 |
| Quartile 3 | 0.18 |
| Maximum | 0.24 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.24 |
| Inter Quartile Range | 0.12 |
| 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? | -474376480 |
| Max Equity Drawdown (num days) | 154 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.41 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.95 |
| Calmar ratio (compounded annual return / max draw down) | 5.40 |
| Compounded annual return / average of 25% largest draw downs | 5.40 |
| Compounded annual return / Expected Shortfall lognormal | 6.32 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.45 |
| Compounded annual return (geometric extrapolation) | 0.95 |
| Calmar ratio (compounded annual return / max draw down) | 3.94 |
| Compounded annual return / average of 25% largest draw downs | 10.61 |
| Compounded annual return / Expected Shortfall lognormal | 25.98 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.15 |
| Compounded annual return (geometric extrapolation) | -0.14 |
| Calmar ratio (compounded annual return / max draw down) | -0.60 |
| Compounded annual return / average of 25% largest draw downs | -0.60 |
| Compounded annual return / Expected Shortfall lognormal | -3.43 |
Trading record
Placed 482 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TQQQ | long | 222 | Aug 17, 2026 | Aug 18, 2026 | ($866) |
| SQQQ | long | 932 | Aug 14, 2026 | Aug 17, 2026 | $87 |
| TQQQ | long | 663 | Aug 12, 2026 | Aug 14, 2026 | $814 |
| SQQQ | long | 1310 | Aug 10, 2026 | Aug 11, 2026 | $488 |
| TQQQ | long | 221 | Aug 7, 2026 | Aug 10, 2026 | ($201) |
| TQQQ | long | 456 | Aug 5, 2026 | Aug 6, 2026 | ($523) |
| TQQQ | long | 225 | Aug 4, 2026 | Aug 5, 2026 | ($313) |
| TQQQ | long | 503 | Jul 31, 2026 | Aug 3, 2026 | $1,498 |
| TQQQ | long | 772 | Jul 29, 2026 | Jul 30, 2026 | $4,421 |
| TQQQ | long | 492 | Jul 28, 2026 | Jul 29, 2026 | ($928) |
| TQQQ | long | 758 | Jul 27, 2026 | Jul 28, 2026 | ($2,575) |
| TQQQ | long | 896 | Jul 24, 2026 | Jul 27, 2026 | $415 |
| TQQQ | long | 744 | Jul 23, 2026 | Jul 24, 2026 | ($1,783) |
| TQQQ | long | 736 | Jul 20, 2026 | Jul 23, 2026 | ($463) |
| TQQQ | long | 738 | Jul 16, 2026 | Jul 20, 2026 | ($910) |
| TQQQ | long | 230 | Jul 15, 2026 | Jul 16, 2026 | ($873) |
| TQQQ | long | 233 | Jul 13, 2026 | Jul 15, 2026 | $331 |
| TQQQ | long | 664 | Jul 7, 2026 | Jul 10, 2026 | $3,316 |
| TQQQ | long | 218 | Jul 2, 2026 | Jul 7, 2026 | ($435) |
| TQQQ | long | 408 | Jun 30, 2026 | Jul 1, 2026 | ($1,652) |
| TQQQ | long | 229 | Jun 26, 2026 | Jun 29, 2026 | ($176) |
| TQQQ | long | 660 | Jun 24, 2026 | Jun 25, 2026 | $1,902 |
| TQQQ | long | 437 | Jun 23, 2026 | Jun 24, 2026 | ($945) |
| SQQQ | long | 845 | Jun 22, 2026 | Jun 23, 2026 | $2,145 |
| TQQQ | long | 188 | Jun 18, 2026 | Jun 22, 2026 | ($360) |
| TQQQ | long | 395 | Jun 16, 2026 | Jun 17, 2026 | ($335) |
| TQQQ | long | 189 | Jun 15, 2026 | Jun 16, 2026 | ($533) |
| SQQQ | long | 408 | Jun 11, 2026 | Jun 15, 2026 | ($1,859) |
| SQQQ | long | 376 | Jun 10, 2026 | Jun 11, 2026 | ($1,039) |
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.