Collective2 Collective2
Featured Strategy S2Prox0 +53.2% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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IQA Futures Timer
(89168751)

Created by: GaryLynn3 GaryLynn3
Started: 08/2014
Futures
Last trade: 3,216 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $195.00 per month.

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.

-4.7%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(21.5%)
Max Drawdown
526
Num Trades
42.4%
Win Trades
1.0 : 1
Profit Factor
6.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                 (1.9%)+6.8%+1.6%(11.1%)+6.5%+0.9%
2015+10.8%(5.2%)(8.1%)+5.7%+1.0%(10.4%)+2.6%  -    -    -    -    -  (5.4%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/29/15 9:45 QGCQ5 Gold 100 oz SHORT 1 1174.4 7/1 12:46 1169.8 0.57%
Trade id #95544783
Max drawdown($580)
Time6/29/15 13:37
Quant open-1
Worst price1180.2
Drawdown as % of equity-0.57%
 $452
Includes Typical Broker Commissions trade costs of $8.00
6/25/15 5:00 @SFU5 SWISS FRANC SHORT 1 1.0701 7/1 12:45 1.0594 1.83%
Trade id #95443221
Max drawdown($1,850)
Time6/29/15 13:36
Quant open-1
Worst price1.0849
Drawdown as % of equity-1.83%
 $1,330
Includes Typical Broker Commissions trade costs of $8.00
6/30/15 9:15 @JYU5 JAPANESE YEN SHORT 1 0.008182 7/1 12:45 0.008132 0.29%
Trade id #95578314
Max drawdown($300)
Time6/30/15 12:54
Quant open-1
Worst price0.008205
Drawdown as % of equity-0.29%
 $617
Includes Typical Broker Commissions trade costs of $8.00
6/25/15 21:30 @ESU5 E-MINI S&P 500 LONG 1 2092.50 7/1 12:45 2063.25 2.23%
Trade id #95484743
Max drawdown($2,287)
Time6/30/15 12:33
Quant open1
Worst price2046.75
Drawdown as % of equity-2.23%
 ($1,471)
Includes Typical Broker Commissions trade costs of $8.00
6/28/15 21:30 @JYU5 JAPANESE YEN LONG 1 0.008128 6/30 9:15 0.008182 0.04%
Trade id #95532754
Max drawdown($37)
Time6/28/15 21:43
Quant open1
Worst price0.008124
Drawdown as % of equity-0.04%
 $667
Includes Typical Broker Commissions trade costs of $8.00
6/28/15 18:15 QGCQ5 Gold 100 oz LONG 1 1185.5 6/29 9:45 1174.1 1.19%
Trade id #95531042
Max drawdown($1,230)
Time6/29/15 9:38
Quant open1
Worst price1173.2
Drawdown as % of equity-1.19%
 ($1,148)
Includes Typical Broker Commissions trade costs of $8.00
6/26/15 14:45 @JYU5 JAPANESE YEN SHORT 1 0.008086 6/28 21:30 0.008128 1.32%
Trade id #95516134
Max drawdown($1,400)
Time6/28/15 18:05
Quant open-1
Worst price0.008197
Drawdown as % of equity-1.32%
 ($533)
Includes Typical Broker Commissions trade costs of $8.00
6/26/15 9:00 QGCQ5 Gold 100 oz SHORT 1 1170.7 6/28 18:15 1185.3 1.59%
Trade id #95500232
Max drawdown($1,690)
Time6/28/15 18:09
Quant open-1
Worst price1187.6
Drawdown as % of equity-1.59%
 ($1,468)
Includes Typical Broker Commissions trade costs of $8.00
6/24/15 18:15 @JYU5 JAPANESE YEN LONG 1 0.008078 6/26 14:45 0.008085 0.07%
Trade id #95432171
Max drawdown($75)
Time6/26/15 11:03
Quant open1
Worst price0.008072
Drawdown as % of equity-0.07%
 $80
Includes Typical Broker Commissions trade costs of $8.00
6/25/15 22:30 QGCQ5 Gold 100 oz LONG 1 1174.1 6/26 9:00 1170.7 0.45%
Trade id #95485755
Max drawdown($480)
Time6/26/15 3:04
Quant open1
Worst price1169.3
Drawdown as % of equity-0.45%
 ($348)
Includes Typical Broker Commissions trade costs of $8.00
6/25/15 9:30 QGCQ5 Gold 100 oz SHORT 1 1171.7 6/25 22:30 1174.3 0.29%
Trade id #95448109
Max drawdown($310)
Time6/25/15 9:44
Quant open-1
Worst price1174.8
Drawdown as % of equity-0.29%
 ($268)
Includes Typical Broker Commissions trade costs of $8.00
6/16/15 23:15 @ESU5 E-MINI S&P 500 SHORT 1 2089.75 6/25 21:30 2092.50 1.48%
Trade id #95067303
Max drawdown($1,612)
Time6/22/15 11:24
Quant open-1
Worst price2122.00
Drawdown as % of equity-1.48%
 ($146)
Includes Typical Broker Commissions trade costs of $8.00
6/24/15 6:00 QGCQ5 Gold 100 oz LONG 1 1179.1 6/25 9:30 1171.7 1.02%
Trade id #95384330
Max drawdown($1,100)
Time6/24/15 8:45
Quant open1
Worst price1168.1
Drawdown as % of equity-1.02%
 ($748)
Includes Typical Broker Commissions trade costs of $8.00
6/12/15 14:04 @SFU5 SWISS FRANC LONG 1 1.0818 6/25 5:00 1.0703 1.58%
Trade id #94983657
Max drawdown($1,700)
Time6/23/15 9:23
Quant open1
Worst price1.0682
Drawdown as % of equity-1.58%
 ($1,446)
Includes Typical Broker Commissions trade costs of $8.00
6/24/15 12:45 @JYU5 JAPANESE YEN SHORT 1 0.008068 6/24 18:15 0.008078 0.23%
Trade id #95395703
Max drawdown($243)
Time6/24/15 13:52
Quant open-1
Worst price0.008087
Drawdown as % of equity-0.23%
 ($133)
Includes Typical Broker Commissions trade costs of $8.00
6/24/15 0:01 @JYU5 JAPANESE YEN LONG 1 0.008078 6/24 12:45 0.008067 0.36%
Trade id #95379401
Max drawdown($381)
Time6/24/15 10:37
Quant open1
Worst price0.008048
Drawdown as % of equity-0.36%
 ($146)
Includes Typical Broker Commissions trade costs of $8.00
6/19/15 3:15 QGCQ5 Gold 100 oz SHORT 1 1198.6 6/24 6:00 1178.8 0.51%
Trade id #95167050
Max drawdown($540)
Time6/19/15 9:51
Quant open-1
Worst price1204.0
Drawdown as % of equity-0.51%
 $1,972
Includes Typical Broker Commissions trade costs of $8.00
6/22/15 1:45 @JYU5 JAPANESE YEN SHORT 1 0.008160 6/24 0:00 0.008078 0%
Trade id #95320743
Max drawdown$0
Time6/22/15 1:47
Quant open-1
Worst price0.008160
Drawdown as % of equity0.00%
 $1,017
Includes Typical Broker Commissions trade costs of $8.00
6/19/15 15:30 @JYU5 JAPANESE YEN LONG 1 0.008161 6/22 1:45 0.008160 0.21%
Trade id #95182452
Max drawdown($231)
Time6/21/15 18:01
Quant open1
Worst price0.008143
Drawdown as % of equity-0.21%
 ($21)
Includes Typical Broker Commissions trade costs of $8.00
6/18/15 21:00 @JYU5 JAPANESE YEN SHORT 1 0.008145 6/19 15:30 0.008161 0.28%
Trade id #95160042
Max drawdown($300)
Time6/19/15 9:51
Quant open-1
Worst price0.008169
Drawdown as % of equity-0.28%
 ($208)
Includes Typical Broker Commissions trade costs of $8.00
6/17/15 14:30 QGCQ5 Gold 100 oz LONG 1 1182.5 6/19 3:15 1198.5 0.11%
Trade id #95104375
Max drawdown($120)
Time6/17/15 14:32
Quant open1
Worst price1181.3
Drawdown as % of equity-0.11%
 $1,592
Includes Typical Broker Commissions trade costs of $8.00
6/17/15 19:00 @JYU5 JAPANESE YEN LONG 1 0.008108 6/18 21:00 0.008145 0.11%
Trade id #95127472
Max drawdown($112)
Time6/17/15 19:32
Quant open1
Worst price0.008099
Drawdown as % of equity-0.11%
 $455
Includes Typical Broker Commissions trade costs of $8.00
6/17/15 14:15 @JYU5 JAPANESE YEN SHORT 1 0.008096 6/17 19:00 0.008108 0.38%
Trade id #95103818
Max drawdown($400)
Time6/17/15 15:17
Quant open-1
Worst price0.008128
Drawdown as % of equity-0.38%
 ($158)
Includes Typical Broker Commissions trade costs of $8.00
6/16/15 3:45 QGCQ5 Gold 100 oz SHORT 1 1182.8 6/17 14:30 1182.6 0.14%
Trade id #95039064
Max drawdown($150)
Time6/16/15 7:47
Quant open-1
Worst price1184.3
Drawdown as % of equity-0.14%
 $12
Includes Typical Broker Commissions trade costs of $8.00
6/16/15 11:15 @JYU5 JAPANESE YEN LONG 1 0.008111 6/17 14:15 0.008096 0.8%
Trade id #95049660
Max drawdown($850)
Time6/17/15 14:01
Quant open1
Worst price0.008043
Drawdown as % of equity-0.80%
 ($196)
Includes Typical Broker Commissions trade costs of $8.00
6/9/15 5:01 @ESM5 E-MINI S&P 500 LONG 1 2076.00 6/17 9:28 2100.75 0.33%
Trade id #94886236
Max drawdown($362)
Time6/9/15 5:56
Quant open1
Worst price2068.75
Drawdown as % of equity-0.33%
 $1,230
Includes Typical Broker Commissions trade costs of $8.00
6/16/15 3:15 @JYU5 JAPANESE YEN SHORT 1 0.008102 6/16 11:15 0.008110 0.23%
Trade id #95038560
Max drawdown($237)
Time6/16/15 8:31
Quant open-1
Worst price0.008121
Drawdown as % of equity-0.23%
 ($108)
Includes Typical Broker Commissions trade costs of $8.00
6/15/15 11:30 QGCQ5 Gold 100 oz LONG 1 1187.0 6/16 3:45 1182.6 0.55%
Trade id #95014402
Max drawdown($580)
Time6/16/15 3:41
Quant open1
Worst price1181.2
Drawdown as % of equity-0.55%
 ($448)
Includes Typical Broker Commissions trade costs of $8.00
6/15/15 19:00 @JYU5 JAPANESE YEN LONG 1 0.008112 6/16 3:15 0.008101 0.32%
Trade id #95031089
Max drawdown($337)
Time6/15/15 21:42
Quant open1
Worst price0.008085
Drawdown as % of equity-0.32%
 ($146)
Includes Typical Broker Commissions trade costs of $8.00
6/14/15 23:50 @JYU5 JAPANESE YEN SHORT 1 0.008111 6/15 19:00 0.008112 0.1%
Trade id #95000359
Max drawdown($100)
Time6/15/15 9:23
Quant open-1
Worst price0.008119
Drawdown as % of equity-0.10%
 ($21)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    8/20/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3524.75
  • Age
    118 months ago
  • What it trades
    Futures
  • # Trades
    526
  • # Profitable
    223
  • % Profitable
    42.40%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    21.54%
  • drawdown period
    Oct 15, 2014 - April 23, 2015
  • Cumul. Return
    -4.1%
  • Avg win
    $835.48
  • Avg loss
    $596.97
  • Model Account Values (Raw)
  • Cash
    $105,435
  • Margin Used
    $0
  • Buying Power
    $105,435
  • Ratios
  • W:L ratio
    1.03:1
  • Sharpe Ratio
    -0.27
  • Sortino Ratio
    -0.41
  • Calmar Ratio
    0.133
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.62%
  • Correlation to SP500
    -0.01100
  • Return Percent SP500 (cumu) during strategy life
    150.05%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.7%
  • Slump
  • Current Slump as Pcnt Equity
    19.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.041%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.00%
  • Chance of 20% account loss
    8.50%
  • 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)
    854
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    369
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $597
  • Avg Win
    $835
  • Sum Trade PL (losers)
    $180,882.000
  • Age
  • Num Months filled monthly returns table
    117
  • Win / Loss
  • Sum Trade PL (winners)
    $186,313.000
  • # Winners
    223
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    303
  • % Winners
    42.4%
  • Frequency
  • Avg Position Time (mins)
    3004.68
  • Avg Position Time (hrs)
    50.08
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    3210
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    1.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    65.22
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    66.56
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.67
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    81.476
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.374
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.380
  • Hold-and-Hope Ratio
    0.012
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11786
  • SD
    0.20490
  • Sharpe ratio (Glass type estimate)
    0.57522
  • Sharpe ratio (Hedges UMVUE)
    0.52568
  • df
    9.00000
  • t
    0.52510
  • p
    0.30610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63504
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68640
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98242
  • Upside Potential Ratio
    3.13905
  • Upside part of mean
    0.37660
  • Downside part of mean
    -0.25874
  • Upside SD
    0.15669
  • Downside SD
    0.11997
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.05416
  • Mean of criterion
    0.11786
  • SD of predictor
    0.14303
  • SD of criterion
    0.20490
  • Covariance
    -0.00402
  • r
    -0.13701
  • b (slope, estimate of beta)
    -0.19628
  • a (intercept, estimate of alpha)
    0.12849
  • Mean Square Error
    0.04635
  • DF error
    8.00000
  • t(b)
    -0.39121
  • p(b)
    0.64707
  • t(a)
    0.54128
  • p(a)
    0.30153
  • Lowerbound of 95% confidence interval for beta
    -1.35328
  • Upperbound of 95% confidence interval for beta
    0.96071
  • Lowerbound of 95% confidence interval for alpha
    -0.41893
  • Upperbound of 95% confidence interval for alpha
    0.67592
  • Treynor index (mean / b)
    -0.60048
  • Jensen alpha (a)
    0.12849
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09854
  • SD
    0.20402
  • Sharpe ratio (Glass type estimate)
    0.48299
  • Sharpe ratio (Hedges UMVUE)
    0.44139
  • df
    9.00000
  • t
    0.44090
  • p
    0.33484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68828
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59808
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79641
  • Upside Potential Ratio
    2.94644
  • Upside part of mean
    0.36456
  • Downside part of mean
    -0.26602
  • Upside SD
    0.15153
  • Downside SD
    0.12373
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.04494
  • Mean of criterion
    0.09854
  • SD of predictor
    0.14167
  • SD of criterion
    0.20402
  • Covariance
    -0.00370
  • r
    -0.12812
  • b (slope, estimate of beta)
    -0.18450
  • a (intercept, estimate of alpha)
    0.10683
  • Mean Square Error
    0.04606
  • DF error
    8.00000
  • t(b)
    -0.36539
  • p(b)
    0.63785
  • t(a)
    0.45231
  • p(a)
    0.33153
  • Lowerbound of 95% confidence interval for beta
    -1.34891
  • Upperbound of 95% confidence interval for beta
    0.97990
  • Lowerbound of 95% confidence interval for alpha
    -0.43782
  • Upperbound of 95% confidence interval for alpha
    0.65148
  • Treynor index (mean / b)
    -0.53408
  • Jensen alpha (a)
    0.10683
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08485
  • Expected Shortfall on VaR
    0.10688
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05045
  • Expected Shortfall on VaR
    0.08335
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.92707
  • Quartile 1
    0.95679
  • Median
    1.01703
  • Quartile 3
    1.06430
  • Maximum
    1.07773
  • Mean of quarter 1
    0.94008
  • Mean of quarter 2
    0.98415
  • Mean of quarter 3
    1.05017
  • Mean of quarter 4
    1.07255
  • Inter Quartile Range
    0.10751
  • 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)
    -1.23855
  • VaR(95%) (moments method)
    0.06867
  • Expected Shortfall (moments method)
    0.07092
  • Extreme Value Index (regression method)
    0.28197
  • VaR(95%) (regression method)
    0.07591
  • Expected Shortfall (regression method)
    0.10259
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10399
  • Quartile 1
    0.10399
  • Median
    0.10399
  • Quartile 3
    0.10399
  • Maximum
    0.10399
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11354
  • Compounded annual return (geometric extrapolation)
    0.11459
  • Calmar ratio (compounded annual return / max draw down)
    1.10194
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.07215
  • 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
    0.05818
  • SD
    0.20547
  • Sharpe ratio (Glass type estimate)
    0.28316
  • Sharpe ratio (Hedges UMVUE)
    0.28247
  • df
    308.00000
  • t
    0.26837
  • p
    0.39430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78513
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35109
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78564
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35057
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43854
  • Upside Potential Ratio
    10.33070
  • Upside part of mean
    1.37057
  • Downside part of mean
    -1.31239
  • Upside SD
    0.15649
  • Downside SD
    0.13267
  • N nonnegative terms
    137.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    309.00000
  • Mean of predictor
    0.04612
  • Mean of criterion
    0.05818
  • SD of predictor
    0.12091
  • SD of criterion
    0.20547
  • Covariance
    -0.00111
  • r
    -0.04450
  • b (slope, estimate of beta)
    -0.07563
  • a (intercept, estimate of alpha)
    0.00600
  • Mean Square Error
    0.04227
  • DF error
    307.00000
  • t(b)
    -0.78055
  • p(b)
    0.78217
  • t(a)
    0.28421
  • p(a)
    0.38822
  • Lowerbound of 95% confidence interval for beta
    -0.26629
  • Upperbound of 95% confidence interval for beta
    0.11503
  • Lowerbound of 95% confidence interval for alpha
    -0.36528
  • Upperbound of 95% confidence interval for alpha
    0.48862
  • Treynor index (mean / b)
    -0.76926
  • Jensen alpha (a)
    0.06167
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03723
  • SD
    0.20479
  • Sharpe ratio (Glass type estimate)
    0.18179
  • Sharpe ratio (Hedges UMVUE)
    0.18135
  • df
    308.00000
  • t
    0.17229
  • p
    0.43166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24971
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88669
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24938
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27786
  • Upside Potential Ratio
    10.13910
  • Upside part of mean
    1.35849
  • Downside part of mean
    -1.32126
  • Upside SD
    0.15446
  • Downside SD
    0.13399
  • N nonnegative terms
    137.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    309.00000
  • Mean of predictor
    0.03883
  • Mean of criterion
    0.03723
  • SD of predictor
    0.12090
  • SD of criterion
    0.20479
  • Covariance
    -0.00111
  • r
    -0.04484
  • b (slope, estimate of beta)
    -0.07595
  • a (intercept, estimate of alpha)
    0.04018
  • Mean Square Error
    0.04199
  • DF error
    307.00000
  • t(b)
    -0.78640
  • p(b)
    0.78388
  • t(a)
    0.18580
  • p(a)
    0.42636
  • Lowerbound of 95% confidence interval for beta
    -0.26600
  • Upperbound of 95% confidence interval for beta
    0.11410
  • Lowerbound of 95% confidence interval for alpha
    -0.38534
  • Upperbound of 95% confidence interval for alpha
    0.46569
  • Treynor index (mean / b)
    -0.49016
  • Jensen alpha (a)
    0.04018
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01789
  • Expected Shortfall on VaR
    0.02240
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00944
  • Expected Shortfall on VaR
    0.01732
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    309.00000
  • Minimum
    0.96178
  • Quartile 1
    0.99440
  • Median
    0.99936
  • Quartile 3
    1.00496
  • Maximum
    1.05599
  • Mean of quarter 1
    0.98783
  • Mean of quarter 2
    0.99714
  • Mean of quarter 3
    1.00183
  • Mean of quarter 4
    1.01415
  • Inter Quartile Range
    0.01056
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02589
  • Mean of outliers low
    0.97217
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.04207
  • Mean of outliers high
    1.02958
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10075
  • VaR(95%) (moments method)
    0.01213
  • Expected Shortfall (moments method)
    0.01703
  • Extreme Value Index (regression method)
    0.01894
  • VaR(95%) (regression method)
    0.01235
  • Expected Shortfall (regression method)
    0.01667
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00062
  • Quartile 1
    0.01188
  • Median
    0.01495
  • Quartile 3
    0.06821
  • Maximum
    0.18364
  • Mean of quarter 1
    0.00566
  • Mean of quarter 2
    0.01252
  • Mean of quarter 3
    0.03035
  • Mean of quarter 4
    0.16505
  • Inter Quartile Range
    0.05632
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.17502
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.44853
  • VaR(95%) (moments method)
    0.17631
  • Expected Shortfall (moments method)
    0.17632
  • Extreme Value Index (regression method)
    -1.30450
  • VaR(95%) (regression method)
    0.19297
  • Expected Shortfall (regression method)
    0.19723
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04819
  • Compounded annual return (geometric extrapolation)
    0.04831
  • Calmar ratio (compounded annual return / max draw down)
    0.26307
  • Compounded annual return / average of 25% largest draw downs
    0.29269
  • Compounded annual return / Expected Shortfall lognormal
    2.15626
  • 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
    -0.05518
  • SD
    0.21535
  • Sharpe ratio (Glass type estimate)
    -0.25621
  • Sharpe ratio (Hedges UMVUE)
    -0.25509
  • df
    171.00000
  • t
    -0.18117
  • p
    0.50882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02784
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51685
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40357
  • Upside Potential Ratio
    9.95886
  • Upside part of mean
    1.36158
  • Downside part of mean
    -1.41676
  • Upside SD
    0.16560
  • Downside SD
    0.13672
  • N nonnegative terms
    71.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02648
  • Mean of criterion
    -0.05518
  • SD of predictor
    0.11291
  • SD of criterion
    0.21535
  • Covariance
    0.00125
  • r
    0.05137
  • b (slope, estimate of beta)
    0.09798
  • a (intercept, estimate of alpha)
    -0.05777
  • Mean Square Error
    0.04653
  • DF error
    170.00000
  • t(b)
    0.67067
  • p(b)
    0.47431
  • t(a)
    -0.18937
  • p(a)
    0.50726
  • Lowerbound of 95% confidence interval for beta
    -0.19040
  • Upperbound of 95% confidence interval for beta
    0.38636
  • Lowerbound of 95% confidence interval for alpha
    -0.65998
  • Upperbound of 95% confidence interval for alpha
    0.54444
  • Treynor index (mean / b)
    -0.56315
  • Jensen alpha (a)
    -0.05777
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07808
  • SD
    0.21426
  • Sharpe ratio (Glass type estimate)
    -0.36440
  • Sharpe ratio (Hedges UMVUE)
    -0.36280
  • df
    171.00000
  • t
    -0.25767
  • p
    0.51254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13595
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40820
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13488
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40927
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56569
  • Upside Potential Ratio
    9.76738
  • Upside part of mean
    1.34811
  • Downside part of mean
    -1.42618
  • Upside SD
    0.16312
  • Downside SD
    0.13802
  • N nonnegative terms
    71.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02014
  • Mean of criterion
    -0.07808
  • SD of predictor
    0.11294
  • SD of criterion
    0.21426
  • Covariance
    0.00124
  • r
    0.05116
  • b (slope, estimate of beta)
    0.09705
  • a (intercept, estimate of alpha)
    -0.08003
  • Mean Square Error
    0.04606
  • DF error
    170.00000
  • t(b)
    0.66789
  • p(b)
    0.47442
  • t(a)
    -0.26368
  • p(a)
    0.51011
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    -0.18979
  • Upperbound of 95% confidence interval for beta
    0.38388
  • Lowerbound of 95% confidence interval for alpha
    -0.67917
  • Upperbound of 95% confidence interval for alpha
    0.51911
  • Treynor index (mean / b)
    -0.80451
  • Jensen alpha (a)
    -0.08003
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01904
  • Expected Shortfall on VaR
    0.02376
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01052
  • Expected Shortfall on VaR
    0.01859
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96178
  • Quartile 1
    0.99397
  • Median
    0.99885
  • Quartile 3
    1.00476
  • Maximum
    1.05599
  • Mean of quarter 1
    0.98718
  • Mean of quarter 2
    0.99657
  • Mean of quarter 3
    1.00136
  • Mean of quarter 4
    1.01437
  • Inter Quartile Range
    0.01079
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.97308
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.05233
  • Mean of outliers high
    1.03055
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01656
  • VaR(95%) (moments method)
    0.01262
  • Expected Shortfall (moments method)
    0.01649
  • Extreme Value Index (regression method)
    -0.10067
  • VaR(95%) (regression method)
    0.01272
  • Expected Shortfall (regression method)
    0.01607
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00062
  • Quartile 1
    0.02398
  • Median
    0.04754
  • Quartile 3
    0.12197
  • Maximum
    0.16640
  • Mean of quarter 1
    0.00920
  • Mean of quarter 2
    0.04257
  • Mean of quarter 3
    0.05251
  • Mean of quarter 4
    0.15576
  • Inter Quartile Range
    0.09799
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    190
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06698
  • Compounded annual return (geometric extrapolation)
    -0.06586
  • Calmar ratio (compounded annual return / max draw down)
    -0.39577
  • Compounded annual return / average of 25% largest draw downs
    -0.42281
  • Compounded annual return / Expected Shortfall lognormal
    -2.77184

Strategy Description

QA Futures Timer is a fully automated intraday trading system for Gold (QGC), S&P 500 (@ES), Euro (@EU), Yen (@JY) and Swiss Franc (@SF). It identifies and follows short-term trends in futures prices typically lasting several hours to several days. Other information of interest:

* Trades one contract of each (often all 5 are in the market at once).
* Each position has a wide (around 250-tick) protective stop, which is rarely hit. All other orders are market orders.
* The model is based on 15-minute bars across all hours of trading.
* Currently trading 2 contracts of each asset within an Interactive Brokers account

Summary Statistics

Strategy began
2014-08-20
Suggested Minimum Capital
$60,000
# Trades
526
# Profitable
223
% Profitable
42.4%
Correlation S&P500
-0.011
Sharpe Ratio
-0.27
Sortino Ratio
-0.41
Beta
-0.00
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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