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For your consideration QPI 50L 50K Rank on Leaderboard #5 Hypothetical

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Cash Cow from BWolinsky

By FinancialScientist

Stocks · Started Jun 2009

hypothetical · Annual Return (Compounded)
-0.7%
Max Drawdown
13.2%
Trades
12
Win Trades
25.0%
Profit Factor
0.40
Win Months
1.0%

About this strategy


















This system is based on the Elite Trader thread by Scottd. Scottd implemented this system in Tradestation, only to draw the conclusion that it was not profitable on a forward test or backtest basis. The reason for this failure is because the system is based on the volume of .SPX in Wealth Lab Pro.

I have made modifications to the original script allegedly representing Jack Hersheys Cash Cow Version 1.0 ATS. While the system is available publicly, it lacks the modifications necessary to make it into a truly profitable system. I implemented this by tracking the volume of .SPX and its pricing and utilize SDS and SSO for the trades.

My backtest is listed below, and you may contact me for further information.

Since 9/1/2008, using 100% of equity, I have obtained the following results for this system:

All Trades
Starting Capital $1,000,000.00
Ending Capital $4,572,622.60
Net Profit $3,572,622.60
Net Profit % 357.26%
Annualized Gain % 251.18%
Exposure 20.92%
Total Commission ($880.00)
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00

Number of Trades 55
Average Profit $64,956.77
Average Profit % 1.62%
Average Bars Held 17.73

Winning Trades 36
Win Rate 65.45%
Gross Profit $5,700,081.43
Average Profit $158,335.60
Average Profit % 3.41%
Average Bars Held 18.5
Max Consecutive Winners 8

Losing Trades 19
Loss Rate 34.55%
Gross Loss ($2,127,458.83)
Average Loss ($111,971.52)
Average Loss % -1.76%
Average Bars Held 16.26
Max Consecutive Losses 6

Maximum Drawdown ($805,330.87)
Maximum Drawdown Date 11/21/2008
Maximum Drawdown % -34.41%
Maximum Drawdown % Date 11/21/2008

Wealth-Lab Score 787.49
Sharpe Ratio 1.87
Profit Factor 2.68
Recovery Factor 4.44
Payoff Ratio 1.94

For more about me, and for useful financial information, please see http://themarketchatter.blogspot.com












Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20090.0-4.1-0.9-0.9-5.10.35.1-5.7
2010-6.60.00.00.00.00.00.0-0.00.00.00.00.0-6.6
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began6/30/2009
Suggested Minimum Capital$10,000
Age211 months
What it tradesStocks
# Trades12
# Profitable3
% Profitable25.0%
Avg trade duration1.7 days
Max peak-to-valley drawdown13.2%
drawdown periodJuly 07, 2009 - Jan 07, 2010
Annual Return (Compounded)-0.7%
Avg win$163
Avg loss$123

Ratios

W:L ratio0.44
Sharpe Ratio-1.29
Sortino Ratio-1.44
Calmar Ratio-0.13

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life729.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-748.5%

Return Statistics

Ann Return (w trading costs)-0.7%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-0.4%

Slump

Current Slump as Pcnt Equity14.5%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
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 Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$123
Avg Win$163
# Winners3
Sum Trade PL (losers)$1,107
Sum Trade PL (winners)$489
Num Months Winners2
# Losers9
% Winners25.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table209

Frequency

Avg Position Time (mins)2440.45
Avg Position Time (hrs)40.67
Avg Trade Length1.70
Last Trade Ago6130

Regression

Alpha-0.01
Beta0
Treynor Index9.21

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.04
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-3.46
MAE:PL (avg, all trades)-2.45
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats55.96
MAE:PL - Winning Trades - this strat Percentile of All Strats9.93
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.49
Avg(MAE) / Avg(PL) - Losing trades-1.71
Hold-and-Hope Ratio-0.29

RATIO STATISTICS

Mean-0.01
SD0.02
Sharpe ratio (Glass type estimate)-0.48
Sharpe ratio (Hedges UMVUE)-0.48
df72
t-1.19
p0.88
Lowerbound of 95% confidence interval for Sharpe Ratio-1.28
Upperbound of 95% confidence interval for Sharpe Ratio0.32
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.27
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.32
Sortino ratio-0.50
Upside Potential Ratio0.14
Upside part of mean0.00
Downside part of mean-0.01
Upside SD0.01
Downside SD0.02
N nonnegative terms66
N negative terms7
N of observations73
Mean of predictor0.40
Mean of criterion-0.01
SD of predictor0.31
SD of criterion0.02
Covariance0.00
r0.02
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)-0.01
Mean Square Error0.00
DF error71
t(b)0.19
p(b)0.42
t(a)-1.17
p(a)0.88
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.01
Treynor index (mean / b)-6.48
Jensen alpha (a)-0.01
Mean-0.01
SD0.02
Sharpe ratio (Glass type estimate)-0.48
Sharpe ratio (Hedges UMVUE)-0.48
df72
t-1.19
p0.88
Lowerbound of 95% confidence interval for Sharpe Ratio-1.28
Upperbound of 95% confidence interval for Sharpe Ratio0.32
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.28
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.32
Sortino ratio-0.51
Upside Potential Ratio0.13
Upside part of mean0.00
Downside part of mean-0.01
Upside SD0.01
Downside SD0.02
N nonnegative terms66
N negative terms7
N of observations73
Mean of predictor0.35
Mean of criterion-0.01
SD of predictor0.28
SD of criterion0.02
Covariance0.00
r0.02
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)-0.01
Mean Square Error0.00
DF error71
t(b)0.18
p(b)0.43
t(a)-1.17
p(a)0.88
Lowerbound of 95% confidence interval for beta-0.02
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.01
Treynor index (mean / b)-6.55
Jensen alpha (a)-0.01
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
Mean-0.01
SD0.04
Sharpe ratio (Glass type estimate)-0.23
Sharpe ratio (Hedges UMVUE)-0.23
df1597
t-0.56
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-1.02
Upperbound of 95% confidence interval for Sharpe Ratio0.57
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.02
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57
Sortino ratio-0.28
Upside Potential Ratio1.06
Upside part of mean0.04
Downside part of mean-0.05
Upside SD0.03
Downside SD0.03
N nonnegative terms1560
N negative terms38
N of observations1598
Mean of predictor0.41
Mean of criterion-0.01
SD of predictor0.33
SD of criterion0.04
Covariance-0.00
r-0.21
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.00
Mean Square Error0.00
DF error1596
t(b)-8.42
p(b)0.60
t(a)0.08
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.03
Upperbound of 95% confidence interval for beta-0.02
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.03
Treynor index (mean / b)0.36
Jensen alpha (a)0.00
Mean-0.01
SD0.04
Sharpe ratio (Glass type estimate)-0.25
Sharpe ratio (Hedges UMVUE)-0.25
df1597
t-0.61
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-1.04
Upperbound of 95% confidence interval for Sharpe Ratio0.55
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.04
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.55
Sortino ratio-0.30
Upside Potential Ratio1.03
Upside part of mean0.04
Downside part of mean-0.05
Upside SD0.02
Downside SD0.03
N nonnegative terms1560
N negative terms38
N of observations1598
Mean of predictor0.35
Mean of criterion-0.01
SD of predictor0.32
SD of criterion0.04
Covariance-0.00
r-0.20
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)-0.00
Mean Square Error0.00
DF error1596
t(b)-8.31
p(b)0.60
t(a)-0.06
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.03
Upperbound of 95% confidence interval for beta-0.02
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.03
Treynor index (mean / b)0.39
Jensen alpha (a)-0.00
VaR(95%)0.00
Expected Shortfall on VaR0.01
VaR(95%)0
Expected Shortfall on VaR0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.05
Mean of criterion0
SD of predictor0.35
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.99
Mean of criterion0
SD of predictor0.35
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.00
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations73
Minimum0.96
Quartile 11
Median1
Quartile 31
Maximum1.02
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low7
Percentage of outliers low0.10
Mean of outliers low0.99
Number of outliers high3
Percentage of outliers high0.04
Mean of outliers high1.01
Extreme Value Index (moments method)-2.26
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.35
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.02
Number of observations1598
Minimum0.94
Quartile 11
Median1
Quartile 31
Maximum1.04
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low38
Percentage of outliers low0.02
Mean of outliers low0.99
Number of outliers high35
Percentage of outliers high0.02
Mean of outliers high1.01
Extreme Value Index (moments method)-2.35
VaR(95%) (moments method)-0.03
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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

DRAW DOWN STATISTICS

Number of observations1
Minimum0.07
Quartile 10.07
Median0.07
Quartile 30.07
Maximum0.07
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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 observations3
Minimum0.00
Quartile 10.02
Median0.04
Quartile 30.06
Maximum0.08
Mean of quarter 10.00
Mean of quarter 20.04
Mean of quarter 30
Mean of quarter 40.08
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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 observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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?-395061088
Max Equity Drawdown (num days)184
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.01
Compounded annual return (geometric extrapolation)-0.01
Calmar ratio (compounded annual return / max draw down)-0.15
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-0.76
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.01
Compounded annual return (geometric extrapolation)-0.01
Calmar ratio (compounded annual return / max draw down)-0.13
Compounded annual return / average of 25% largest draw downs-0.13
Compounded annual return / Expected Shortfall lognormal-1.91
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

SymbolSideQtyOpenedClosedP/L
SDS long121Dec 29, 2009Jan 7, 2010($229)
SDS long121Dec 16, 2009Dec 16, 2009($50)
SSO long970Dec 4, 2009Dec 7, 2009$291
SDS long121Dec 3, 2009Dec 3, 2009($65)
SDS long69Nov 12, 2009Nov 12, 2009$111
SSO long572Oct 27, 2009Oct 29, 2009($323)
SDS long59Oct 5, 2009Oct 5, 2009($69)
SSO short6Jul 21, 2009Jul 23, 2009($6)
SSO long720Jul 21, 2009Jul 21, 2009($174)
SDS long47Jul 15, 2009Jul 17, 2009($193)
SDS long41Jul 8, 2009Jul 10, 2009($17)
SDS long43Jul 7, 2009Jul 7, 2009$80

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.