Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

4QTiming FutNQ
(105498679)

Created by: 4QTiming 4QTiming
Started: 11/2016
Futures
Last trade: 7 days ago
Trading style: Futures Momentum Short Term

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 $150.00 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.

Trading Category: Futures
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
42.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(66.0%)
Max Drawdown
106
Num Trades
39.6%
Win Trades
1.2 : 1
Profit Factor
48.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +8.1%+39.2%+50.5%
2017+58.8%+29.1%(4.4%)+2.2%+17.5%(10.7%)+3.8%  -  (7.8%)+14.1%(13.6%)+12.0%+122.3%
2018+35.8%(7.6%)(33.7%)(7.2%)+4.1%(2.2%)+55.7%(10.2%)(6.6%)(43.2%)+49.4%(3.6%)(16.1%)
2019(10.5%)+11.2%+17.5%+21.3%(26.4%)+41.4%(4.3%)(13.2%)(20.4%)                  (2.4%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 96 hours.

Trading Record

This strategy has placed 201 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/11/19 16:00 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 2 7908.88 9/15 18:00 7843.75 0.26%
Trade id #125315228
Max drawdown($195)
Time9/13/19 0:00
Quant open2
Worst price7904.00
Drawdown as % of equity-0.26%
($2,621)
Includes Typical Broker Commissions trade costs of $16.00
9/5/19 16:00 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 3 7881.58 9/10 2:15 7830.33 4.96%
Trade id #125238057
Max drawdown($3,740)
Time9/9/19 0:00
Quant open3
Worst price7819.25
Drawdown as % of equity-4.96%
($3,099)
Includes Typical Broker Commissions trade costs of $24.00
9/3/19 15:56 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 3 7614.50 9/4 0:36 7667.33 3.76%
Trade id #125203413
Max drawdown($2,955)
Time9/3/19 22:00
Quant open3
Worst price7663.75
Drawdown as % of equity-3.76%
($3,194)
Includes Typical Broker Commissions trade costs of $24.00
8/30/19 16:00 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 6 7679.75 9/3 15:56 7614.92 13.82%
Trade id #125167957
Max drawdown($11,070)
Time9/3/19 13:55
Quant open6
Worst price7587.50
Drawdown as % of equity-13.82%
($7,828)
Includes Typical Broker Commissions trade costs of $48.00
8/20/19 16:00 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 6 7673.42 8/22 10:36 7660.88 2.9%
Trade id #125011166
Max drawdown($2,540)
Time8/20/19 18:01
Quant open6
Worst price7652.25
Drawdown as % of equity-2.90%
($1,553)
Includes Typical Broker Commissions trade costs of $48.00
8/9/19 16:00 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 5 7603.25 8/13 9:46 7674.60 5.66%
Trade id #124862579
Max drawdown($5,400)
Time8/9/19 16:00
Quant open5
Worst price7657.25
Drawdown as % of equity-5.66%
($7,175)
Includes Typical Broker Commissions trade costs of $40.00
8/8/19 16:00 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 8 7735.19 8/9 11:58 7599.00 18.9%
Trade id #124842866
Max drawdown($22,150)
Time8/8/19 16:00
Quant open8
Worst price7596.75
Drawdown as % of equity-18.90%
($21,854)
Includes Typical Broker Commissions trade costs of $64.00
8/2/19 16:00 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 4 7694.25 8/5 16:00 7423.50 1.3%
Trade id #124749433
Max drawdown($1,240)
Time8/2/19 16:00
Quant open4
Worst price7709.75
Drawdown as % of equity-1.30%
$21,628
Includes Typical Broker Commissions trade costs of $32.00
7/31/19 16:09 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 5 7855.45 8/1 16:02 7822.90 7.96%
Trade id #124704897
Max drawdown($7,870)
Time7/31/19 16:09
Quant open5
Worst price7776.75
Drawdown as % of equity-7.96%
($3,295)
Includes Typical Broker Commissions trade costs of $40.00
7/23/19 16:01 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 3 7970.50 7/25 16:00 7948.50 2.7%
Trade id #124584443
Max drawdown($2,715)
Time7/23/19 16:01
Quant open3
Worst price7925.25
Drawdown as % of equity-2.70%
($1,344)
Includes Typical Broker Commissions trade costs of $24.00
7/10/19 16:00 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 3 7929.50 7/17 16:00 7910.00 2.08%
Trade id #124408415
Max drawdown($2,115)
Time7/10/19 16:00
Quant open3
Worst price7894.25
Drawdown as % of equity-2.08%
($1,194)
Includes Typical Broker Commissions trade costs of $24.00
6/27/19 16:00 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 4 7683.69 7/8 16:00 7809.75 1.72%
Trade id #124259622
Max drawdown($1,575)
Time6/27/19 16:00
Quant open4
Worst price7664.00
Drawdown as % of equity-1.72%
$10,053
Includes Typical Broker Commissions trade costs of $32.00
6/25/19 16:52 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 4 7631.62 6/26 9:38 7707.25 7.15%
Trade id #124228086
Max drawdown($6,990)
Time6/25/19 16:52
Quant open4
Worst price7719.00
Drawdown as % of equity-7.15%
($6,082)
Includes Typical Broker Commissions trade costs of $32.00
6/17/19 16:00 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 4 7554.94 6/25 12:38 7668.62 1.19%
Trade id #124115246
Max drawdown($1,055)
Time6/17/19 16:00
Quant open4
Worst price7541.75
Drawdown as % of equity-1.19%
$9,063
Includes Typical Broker Commissions trade costs of $32.00
6/4/19 16:00 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7171.58 6/12 22:09 7432.83 1.51%
Trade id #123938580
Max drawdown($1,280)
Time6/5/19 10:53
Quant open3
Worst price7150.25
Drawdown as % of equity-1.51%
$15,651
Includes Typical Broker Commissions trade costs of $24.00
5/16/19 16:00 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 6 7594.21 5/17 16:00 7511.75 12.8%
Trade id #123701921
Max drawdown($10,375)
Time5/17/19 8:34
Quant open6
Worst price7507.75
Drawdown as % of equity-12.80%
($9,943)
Includes Typical Broker Commissions trade costs of $48.00
5/10/19 16:00 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 4 7598.75 5/13 3:06 7504.44 8.14%
Trade id #123627672
Max drawdown($7,545)
Time5/13/19 3:06
Quant open0
Worst price7504.44
Drawdown as % of equity-8.14%
($7,577)
Includes Typical Broker Commissions trade costs of $32.00
5/3/19 16:17 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7865.00 5/5 18:01 7722.42 7.94%
Trade id #123525866
Max drawdown($8,555)
Time5/5/19 18:01
Quant open0
Worst price7722.42
Drawdown as % of equity-7.94%
($8,579)
Includes Typical Broker Commissions trade costs of $24.00
3/29/19 16:00 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7398.75 4/30 11:00 7767.00 0.19%
Trade id #123134437
Max drawdown($150)
Time3/29/19 16:00
Quant open3
Worst price7396.25
Drawdown as % of equity-0.19%
$22,071
Includes Typical Broker Commissions trade costs of $24.00
3/11/19 16:04 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7188.25 3/22 11:59 7385.00 0.02%
Trade id #122869158
Max drawdown($15)
Time3/12/19 7:09
Quant open3
Worst price7188.00
Drawdown as % of equity-0.02%
$11,781
Includes Typical Broker Commissions trade costs of $24.00
2/12/19 16:14 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 4 7042.50 3/7 9:51 7056.38 2.6%
Trade id #122488645
Max drawdown($1,910)
Time2/14/19 9:33
Quant open2
Worst price6972.00
Drawdown as % of equity-2.60%
$1,078
Includes Typical Broker Commissions trade costs of $32.00
1/31/19 16:00 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 5 6912.60 2/7 11:02 6905.60 7.78%
Trade id #122301621
Max drawdown($5,435)
Time2/3/19 18:01
Quant open5
Worst price6858.25
Drawdown as % of equity-7.78%
($740)
Includes Typical Broker Commissions trade costs of $40.00
1/25/19 16:01 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6790.83 1/28 9:07 6722.25 5.5%
Trade id #122193796
Max drawdown($4,115)
Time1/28/19 9:07
Quant open0
Worst price6722.25
Drawdown as % of equity-5.50%
($4,139)
Includes Typical Broker Commissions trade costs of $24.00
1/16/19 16:16 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 6 6668.00 1/22 11:57 6684.75 9.52%
Trade id #122018891
Max drawdown($6,690)
Time1/17/19 3:18
Quant open6
Worst price6612.25
Drawdown as % of equity-9.52%
$1,962
Includes Typical Broker Commissions trade costs of $48.00
1/16/19 15:47 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 6 6682.92 1/16 16:15 6666.00 2.91%
Trade id #122018351
Max drawdown($2,240)
Time1/16/19 16:12
Quant open6
Worst price6664.25
Drawdown as % of equity-2.91%
($2,078)
Includes Typical Broker Commissions trade costs of $48.00
12/11/18 16:00 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 2 6735.88 12/13 12:24 6757.62 2.08%
Trade id #121451474
Max drawdown($1,595)
Time12/11/18 16:55
Quant open2
Worst price6696.00
Drawdown as % of equity-2.08%
$854
Includes Typical Broker Commissions trade costs of $16.00
11/27/18 16:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 4 6706.50 12/4 12:15 6924.94 0.24%
Trade id #121201777
Max drawdown($140)
Time11/27/18 16:05
Quant open4
Worst price6704.75
Drawdown as % of equity-0.24%
$17,443
Includes Typical Broker Commissions trade costs of $32.00
11/6/18 11:14 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 6993.29 11/9 10:13 7051.17 6.75%
Trade id #120763305
Max drawdown($3,662)
Time11/6/18 14:31
Quant open3
Worst price6932.25
Drawdown as % of equity-6.75%
$3,449
Includes Typical Broker Commissions trade costs of $24.00
10/17/18 16:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 5 7298.25 10/18 11:35 7165.50 22.04%
Trade id #120409123
Max drawdown($13,275)
Time10/18/18 11:35
Quant open0
Worst price7165.50
Drawdown as % of equity-22.04%
($13,315)
Includes Typical Broker Commissions trade costs of $40.00
10/9/18 16:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7392.50 10/10 9:54 7279.38 6.32%
Trade id #120261641
Max drawdown($4,525)
Time10/10/18 9:54
Quant open0
Worst price7279.38
Drawdown as % of equity-6.32%
($4,541)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    11/12/2016
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    1043.73
  • Age
    35 months ago
  • What it trades
    Futures
  • # Trades
    106
  • # Profitable
    42
  • % Profitable
    39.60%
  • Avg trade duration
    7.4 days
  • Max peak-to-valley drawdown
    65.97%
  • drawdown period
    Feb 08, 2018 - Nov 06, 2018
  • Annual Return (Compounded)
    42.1%
  • Avg win
    $8,512
  • Avg loss
    $4,765
  • Model Account Values (Raw)
  • Cash
    $77,688
  • Margin Used
    $5,925
  • Buying Power
    $71,773
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    0.73
  • Sortino Ratio
    1.1
  • Calmar Ratio
    0.849
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.24580
  • Return Statistics
  • Ann Return (w trading costs)
    42.1%
  • Ann Return (Compnd, No Fees)
    48.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    77.50%
  • Chance of 20% account loss
    62.00%
  • Chance of 30% account loss
    39.50%
  • Chance of 40% account loss
    28.50%
  • Chance of 50% account loss
    12.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    823
  • C2 Score
    313
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,766
  • Avg Win
    $8,513
  • # Winners
    42
  • # Losers
    64
  • % Winners
    39.6%
  • Frequency
  • Avg Position Time (mins)
    10675.60
  • Avg Position Time (hrs)
    177.93
  • Avg Trade Length
    7.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    7.77
  • Daily leverage (max)
    15.34
  • Regression
  • Alpha
    0.11
  • Beta
    1.07
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    7.868
  • Avg(MAE) / Avg(PL) - Winning trades
    0.184
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.139
  • Hold-and-Hope Ratio
    0.127
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69711
  • SD
    0.75501
  • Sharpe ratio (Glass type estimate)
    0.92331
  • Sharpe ratio (Hedges UMVUE)
    0.90147
  • df
    32.00000
  • t
    1.53113
  • p
    0.06778
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28678
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11957
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10383
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91234
  • Upside Potential Ratio
    3.77058
  • Upside part of mean
    1.37449
  • Downside part of mean
    -0.67739
  • Upside SD
    0.67851
  • Downside SD
    0.36453
  • N nonnegative terms
    17.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.08704
  • Mean of criterion
    0.69711
  • SD of predictor
    0.12291
  • SD of criterion
    0.75501
  • Covariance
    0.04084
  • r
    0.44013
  • b (slope, estimate of beta)
    2.70353
  • a (intercept, estimate of alpha)
    0.46179
  • Mean Square Error
    0.47444
  • DF error
    31.00000
  • t(b)
    2.72907
  • p(b)
    0.00519
  • t(a)
    1.08857
  • p(a)
    0.14237
  • Lowerbound of 95% confidence interval for beta
    0.68310
  • Upperbound of 95% confidence interval for beta
    4.72396
  • Lowerbound of 95% confidence interval for alpha
    -0.40341
  • Upperbound of 95% confidence interval for alpha
    1.32698
  • Treynor index (mean / b)
    0.25785
  • Jensen alpha (a)
    0.46179
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43013
  • SD
    0.71455
  • Sharpe ratio (Glass type estimate)
    0.60195
  • Sharpe ratio (Hedges UMVUE)
    0.58771
  • df
    32.00000
  • t
    0.99823
  • p
    0.16283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77836
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01793
  • Upside Potential Ratio
    2.80812
  • Upside part of mean
    1.18658
  • Downside part of mean
    -0.75645
  • Upside SD
    0.57618
  • Downside SD
    0.42255
  • N nonnegative terms
    17.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.07930
  • Mean of criterion
    0.43013
  • SD of predictor
    0.12226
  • SD of criterion
    0.71455
  • Covariance
    0.04045
  • r
    0.46297
  • b (slope, estimate of beta)
    2.70586
  • a (intercept, estimate of alpha)
    0.21555
  • Mean Square Error
    0.41408
  • DF error
    31.00000
  • t(b)
    2.90818
  • p(b)
    0.00333
  • t(a)
    0.54571
  • p(a)
    0.29458
  • Lowerbound of 95% confidence interval for beta
    0.80824
  • Upperbound of 95% confidence interval for beta
    4.60349
  • Lowerbound of 95% confidence interval for alpha
    -0.59004
  • Upperbound of 95% confidence interval for alpha
    1.02115
  • Treynor index (mean / b)
    0.15896
  • Jensen alpha (a)
    0.21555
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26173
  • Expected Shortfall on VaR
    0.32078
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12872
  • Expected Shortfall on VaR
    0.23980
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.63822
  • Quartile 1
    0.91588
  • Median
    1.00373
  • Quartile 3
    1.26855
  • Maximum
    1.48091
  • Mean of quarter 1
    0.82518
  • Mean of quarter 2
    0.96894
  • Mean of quarter 3
    1.10364
  • Mean of quarter 4
    1.37332
  • Inter Quartile Range
    0.35267
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01107
  • VaR(95%) (moments method)
    0.17685
  • Expected Shortfall (moments method)
    0.23677
  • Extreme Value Index (regression method)
    0.47449
  • VaR(95%) (regression method)
    0.20120
  • Expected Shortfall (regression method)
    0.39464
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.06209
  • Quartile 1
    0.17646
  • Median
    0.22220
  • Quartile 3
    0.27018
  • Maximum
    0.50009
  • Mean of quarter 1
    0.11928
  • Mean of quarter 2
    0.22220
  • Mean of quarter 3
    0.27018
  • Mean of quarter 4
    0.50009
  • Inter Quartile Range
    0.09373
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.50009
  • 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)
    0.91782
  • Compounded annual return (geometric extrapolation)
    0.58096
  • Calmar ratio (compounded annual return / max draw down)
    1.16172
  • Compounded annual return / average of 25% largest draw downs
    1.16172
  • Compounded annual return / Expected Shortfall lognormal
    1.81111
  • 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
    0.53168
  • SD
    0.55337
  • Sharpe ratio (Glass type estimate)
    0.96081
  • Sharpe ratio (Hedges UMVUE)
    0.95983
  • df
    733.00000
  • t
    1.60818
  • p
    0.05411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21151
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13253
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21219
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13184
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46151
  • Upside Potential Ratio
    8.02161
  • Upside part of mean
    2.91818
  • Downside part of mean
    -2.38650
  • Upside SD
    0.41777
  • Downside SD
    0.36379
  • N nonnegative terms
    314.00000
  • N negative terms
    420.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    734.00000
  • Mean of predictor
    0.09628
  • Mean of criterion
    0.53168
  • SD of predictor
    0.13058
  • SD of criterion
    0.55337
  • Covariance
    0.02035
  • r
    0.28163
  • b (slope, estimate of beta)
    1.19345
  • a (intercept, estimate of alpha)
    0.41700
  • Mean Square Error
    0.28231
  • DF error
    732.00000
  • t(b)
    7.94094
  • p(b)
    0.00000
  • t(a)
    1.31155
  • p(a)
    0.09504
  • Lowerbound of 95% confidence interval for beta
    0.89840
  • Upperbound of 95% confidence interval for beta
    1.48850
  • Lowerbound of 95% confidence interval for alpha
    -0.20708
  • Upperbound of 95% confidence interval for alpha
    1.04063
  • Treynor index (mean / b)
    0.44550
  • Jensen alpha (a)
    0.41678
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37980
  • SD
    0.54994
  • Sharpe ratio (Glass type estimate)
    0.69061
  • Sharpe ratio (Hedges UMVUE)
    0.68990
  • df
    733.00000
  • t
    1.15593
  • p
    0.12404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86191
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86142
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00293
  • Upside Potential Ratio
    7.48856
  • Upside part of mean
    2.83583
  • Downside part of mean
    -2.45603
  • Upside SD
    0.39896
  • Downside SD
    0.37869
  • N nonnegative terms
    314.00000
  • N negative terms
    420.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    734.00000
  • Mean of predictor
    0.08771
  • Mean of criterion
    0.37980
  • SD of predictor
    0.13089
  • SD of criterion
    0.54994
  • Covariance
    0.02011
  • r
    0.27936
  • b (slope, estimate of beta)
    1.17370
  • a (intercept, estimate of alpha)
    0.27685
  • Mean Square Error
    0.27922
  • DF error
    732.00000
  • t(b)
    7.87152
  • p(b)
    0.00000
  • t(a)
    0.87618
  • p(a)
    0.19061
  • Lowerbound of 95% confidence interval for beta
    0.88097
  • Upperbound of 95% confidence interval for beta
    1.46643
  • Lowerbound of 95% confidence interval for alpha
    -0.34347
  • Upperbound of 95% confidence interval for alpha
    0.89716
  • Treynor index (mean / b)
    0.32359
  • Jensen alpha (a)
    0.27685
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05298
  • Expected Shortfall on VaR
    0.06626
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02255
  • Expected Shortfall on VaR
    0.04680
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    734.00000
  • Minimum
    0.83764
  • Quartile 1
    0.99462
  • Median
    1.00000
  • Quartile 3
    1.01318
  • Maximum
    1.22152
  • Mean of quarter 1
    0.96453
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00401
  • Mean of quarter 4
    1.04063
  • Inter Quartile Range
    0.01856
  • Number outliers low
    81.00000
  • Percentage of outliers low
    0.11035
  • Mean of outliers low
    0.94034
  • Number of outliers high
    56.00000
  • Percentage of outliers high
    0.07629
  • Mean of outliers high
    1.07636
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08971
  • VaR(95%) (moments method)
    0.02026
  • Expected Shortfall (moments method)
    0.03117
  • Extreme Value Index (regression method)
    -0.06651
  • VaR(95%) (regression method)
    0.03575
  • Expected Shortfall (regression method)
    0.05249
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00308
  • Quartile 1
    0.01301
  • Median
    0.04522
  • Quartile 3
    0.10241
  • Maximum
    0.59280
  • Mean of quarter 1
    0.00710
  • Mean of quarter 2
    0.02473
  • Mean of quarter 3
    0.06939
  • Mean of quarter 4
    0.28185
  • Inter Quartile Range
    0.08941
  • 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
    0.11765
  • Mean of outliers high
    0.43974
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57228
  • VaR(95%) (moments method)
    0.30390
  • Expected Shortfall (moments method)
    0.76251
  • Extreme Value Index (regression method)
    1.53978
  • VaR(95%) (regression method)
    0.40672
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76160
  • Compounded annual return (geometric extrapolation)
    0.50336
  • Calmar ratio (compounded annual return / max draw down)
    0.84913
  • Compounded annual return / average of 25% largest draw downs
    1.78594
  • Compounded annual return / Expected Shortfall lognormal
    7.59720
  • 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
    0.10534
  • SD
    0.56065
  • Sharpe ratio (Glass type estimate)
    0.18788
  • Sharpe ratio (Hedges UMVUE)
    0.18680
  • df
    130.00000
  • t
    0.13285
  • p
    0.49417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58426
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95870
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28046
  • Upside Potential Ratio
    7.58113
  • Upside part of mean
    2.84732
  • Downside part of mean
    -2.74199
  • Upside SD
    0.41341
  • Downside SD
    0.37558
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10679
  • Mean of criterion
    0.10534
  • SD of predictor
    0.13985
  • SD of criterion
    0.56065
  • Covariance
    0.02226
  • r
    0.28396
  • b (slope, estimate of beta)
    1.13840
  • a (intercept, estimate of alpha)
    -0.01623
  • Mean Square Error
    0.29123
  • DF error
    129.00000
  • t(b)
    3.36358
  • p(b)
    0.32169
  • t(a)
    -0.02125
  • p(a)
    0.50119
  • Lowerbound of 95% confidence interval for beta
    0.46877
  • Upperbound of 95% confidence interval for beta
    1.80802
  • Lowerbound of 95% confidence interval for alpha
    -1.52790
  • Upperbound of 95% confidence interval for alpha
    1.49544
  • Treynor index (mean / b)
    0.09253
  • Jensen alpha (a)
    -0.01623
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04889
  • SD
    0.55626
  • Sharpe ratio (Glass type estimate)
    -0.08789
  • Sharpe ratio (Hedges UMVUE)
    -0.08738
  • df
    130.00000
  • t
    -0.06215
  • p
    0.50272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.85960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.85921
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68444
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.12602
  • Upside Potential Ratio
    7.13076
  • Upside part of mean
    2.76644
  • Downside part of mean
    -2.81533
  • Upside SD
    0.39567
  • Downside SD
    0.38796
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09700
  • Mean of criterion
    -0.04889
  • SD of predictor
    0.14046
  • SD of criterion
    0.55626
  • Covariance
    0.02327
  • r
    0.29788
  • b (slope, estimate of beta)
    1.17970
  • a (intercept, estimate of alpha)
    -0.16332
  • Mean Square Error
    0.28415
  • DF error
    129.00000
  • t(b)
    3.54417
  • p(b)
    0.31321
  • t(a)
    -0.21645
  • p(a)
    0.51213
  • Lowerbound of 95% confidence interval for beta
    0.52114
  • Upperbound of 95% confidence interval for beta
    1.83826
  • Lowerbound of 95% confidence interval for alpha
    -1.65622
  • Upperbound of 95% confidence interval for alpha
    1.32957
  • Treynor index (mean / b)
    -0.04144
  • Jensen alpha (a)
    -0.16332
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05513
  • Expected Shortfall on VaR
    0.06853
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02521
  • Expected Shortfall on VaR
    0.05062
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90831
  • Quartile 1
    0.99199
  • Median
    1.00000
  • Quartile 3
    1.01172
  • Maximum
    1.15822
  • Mean of quarter 1
    0.95998
  • Mean of quarter 2
    0.99870
  • Mean of quarter 3
    1.00359
  • Mean of quarter 4
    1.03986
  • Inter Quartile Range
    0.01973
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.93906
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.07200
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.71305
  • VaR(95%) (moments method)
    0.02891
  • Expected Shortfall (moments method)
    0.03285
  • Extreme Value Index (regression method)
    -0.45725
  • VaR(95%) (regression method)
    0.04218
  • Expected Shortfall (regression method)
    0.05174
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00396
  • Quartile 1
    0.00612
  • Median
    0.05971
  • Quartile 3
    0.11632
  • Maximum
    0.37868
  • Mean of quarter 1
    0.00524
  • Mean of quarter 2
    0.03333
  • Mean of quarter 3
    0.11570
  • Mean of quarter 4
    0.32560
  • Inter Quartile Range
    0.11019
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.37868
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -17.55950
  • VaR(95%) (moments method)
    0.24121
  • Expected Shortfall (moments method)
    0.24121
  • Extreme Value Index (regression method)
    -1.55738
  • VaR(95%) (regression method)
    0.47037
  • Expected Shortfall (regression method)
    0.48447
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02087
  • Compounded annual return (geometric extrapolation)
    -0.02076
  • Calmar ratio (compounded annual return / max draw down)
    -0.05483
  • Compounded annual return / average of 25% largest draw downs
    -0.06377
  • Compounded annual return / Expected Shortfall lognormal
    -0.30300

Strategy Description

The strategy is based on a model that has evolved over ten years utilizing market 'technical events'. Trades are with the Nasdaq100 e-mini NQ futures contract leveraged from 5x-12x depending on model output. The strategy will also 'short/sell' NQ contracts. All trades have an associated stop loss value.

5Yr Backtested Performance (These results represent hypothetical backtesting.)
Year Return DrawDown
2016 542.4% -13.5%
2015 1594.2% -13.1%
2014 1003.3% -12.5%
2013 681.0% -18.6%
2012 551.7% -28.9%
Send email to support@4QTiming.com to request back tested 10yr trading performance.

Trades are usually executed at or after market close and there are typically 2-5 trades/mo, but can vary from 0-10 trades/mo depending on market activity. Strategy can by manually followed fairly easily.

Strategy can be used with different leverages by calculating a 'contract base' defined as Nasdaq100*20/DesiredLeverage and then dividing your account value by this 'contract base' to determine contracts to purchased on each trade.


Summary Statistics

Strategy began
2016-11-12
Suggested Minimum Capital
$70,000
# Trades
106
# Profitable
42
% Profitable
39.6%
Net Dividends
Correlation S&P500
0.246
Sharpe Ratio
0.73
Sortino Ratio
1.10
Beta
1.07
Alpha
0.11
Leverage
7.77 Average
15.34 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.