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Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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4QTiming FutNQ
(105498679)

Created by: 4QTiming 4QTiming
Started: 11/2016
Futures
Last trade: 7 days ago
Trading style: Futures Trend-following Short Term
Subscriptions not currently available.

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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
55.2%
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.

(66.3%)
Max Drawdown
348
Num Trades
36.8%
Win Trades
1.3 : 1
Profit Factor
49.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +8.2%+39.6%+50.9%
2017+58.6%+29.1%(4.4%)+2.2%+17.4%(10.7%)+3.7%  -  (7.9%)+14.0%(13.6%)+12.0%+121.3%
2018+35.8%(7.6%)(33.7%)(7.3%)+4.1%(2.2%)+55.9%(10.3%)(6.7%)(43.5%)+49.8%(3.7%)(16.6%)
2019(10.4%)+10.9%+17.6%+21.4%(26.6%)+41.7%(4.4%)(13.3%)(24.8%)+4.5%+11.0%+2.1%+8.9%
2020(12.8%)+6.4%+62.2%(0.2%)(2.6%)(5.4%)+4.4%+59.7%(5.9%)+1.2%+24.7%+26.6%+247.2%
2021(16.3%)+2.3%+2.5%+15.0%+6.9%+27.0%+12.1%+16.9%+8.5%+58.9%+9.5%(19%)+174.6%
2022(4.7%)(0.1%)+34.2%(4.1%)+4.9%+60.7%+2.8%(0.9%)(14.9%)(9.4%)  -  (13.9%)+39.9%
2023(4.8%)(4.9%)(4.7%)(1.7%)(1.7%)+9.9%+6.4%(5.5%)(11.6%)(2.1%)(1.2%)+19.9%(5.6%)
2024+5.0%(7.1%)(7.8%)(7.8%)+5.3%+7.9%(1.8%)(3%)(6.8%)(2.8%)+10.1%      (10.6%)

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 726 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/24 16:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 4 20340.30 11/14 15:04 21007.50 0.34%
Trade id #149996784
Max drawdown($1,344)
Time11/5/24 19:13
Quant open4
Worst price20323.50
Drawdown as % of equity-0.34%
 $53,344
Includes Typical Broker Commissions trade costs of $32.00
10/24/24 16:31 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 3 20391.80 10/30 18:01 20457.20 0.44%
Trade id #149822454
Max drawdown($1,668)
Time10/24/24 19:30
Quant open3
Worst price20364.00
Drawdown as % of equity-0.44%
 $3,900
Includes Typical Broker Commissions trade costs of $24.00
10/21/24 16:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 4 20518.20 10/22 8:43 20371.00 3.16%
Trade id #149757553
Max drawdown($12,156)
Time10/22/24 8:43
Quant open4
Worst price20366.20
Drawdown as % of equity-3.16%
 ($11,808)
Includes Typical Broker Commissions trade costs of $32.00
10/9/24 16:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 4 20457.00 10/10 13:47 20430.20 3.14%
Trade id #149621273
Max drawdown($12,440)
Time10/10/24 9:50
Quant open4
Worst price20301.50
Drawdown as % of equity-3.14%
 ($2,176)
Includes Typical Broker Commissions trade costs of $32.00
10/1/24 16:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 3 19984.80 10/7 14:59 19969.50 2.27%
Trade id #149554622
Max drawdown($9,078)
Time10/2/24 0:00
Quant open3
Worst price19833.50
Drawdown as % of equity-2.27%
 ($942)
Includes Typical Broker Commissions trade costs of $24.00
9/19/24 16:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 5 20081.80 9/20 11:11 19916.40 4.27%
Trade id #149462173
Max drawdown($17,605)
Time9/20/24 11:11
Quant open5
Worst price19905.80
Drawdown as % of equity-4.27%
 ($16,580)
Includes Typical Broker Commissions trade costs of $40.00
9/13/24 16:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 19522.60 9/16 9:33 19366.35 3.28%
Trade id #149391302
Max drawdown($13,808)
Time9/16/24 9:33
Quant open4
Worst price19350.00
Drawdown as % of equity-3.28%
 ($12,532)
Includes Typical Broker Commissions trade costs of $32.00
8/27/24 16:52 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 5 19634.07 8/28 10:44 19502.60 3.09%
Trade id #149077621
Max drawdown($13,581)
Time8/28/24 10:44
Quant open5
Worst price19498.20
Drawdown as % of equity-3.09%
 ($13,187)
Includes Typical Broker Commissions trade costs of $40.00
7/29/24 16:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 19216.25 7/30 11:01 19066.80 2.77%
Trade id #148768460
Max drawdown($12,720)
Time7/30/24 11:01
Quant open4
Worst price19057.20
Drawdown as % of equity-2.77%
 ($11,988)
Includes Typical Broker Commissions trade costs of $32.00
7/22/24 16:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 5 20007.60 7/23 18:00 19831.00 4.24%
Trade id #148714042
Max drawdown($19,660)
Time7/23/24 18:00
Quant open5
Worst price19811.00
Drawdown as % of equity-4.24%
 ($17,700)
Includes Typical Broker Commissions trade costs of $40.00
7/15/24 16:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 5 20591.20 7/17 1:12 20509.60 2.61%
Trade id #148654168
Max drawdown($12,670)
Time7/16/24 0:00
Quant open5
Worst price20464.50
Drawdown as % of equity-2.61%
 ($8,200)
Includes Typical Broker Commissions trade costs of $40.00
7/2/24 16:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 5 20252.00 7/11 11:23 20554.07 1.05%
Trade id #148559927
Max drawdown($4,700)
Time7/3/24 0:00
Quant open5
Worst price20205.00
Drawdown as % of equity-1.05%
 $30,167
Includes Typical Broker Commissions trade costs of $40.00
6/26/24 16:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 5 20002.20 6/28 15:32 19934.00 2.86%
Trade id #148508497
Max drawdown($12,795)
Time6/26/24 20:46
Quant open5
Worst price19874.20
Drawdown as % of equity-2.86%
 ($6,860)
Includes Typical Broker Commissions trade costs of $40.00
6/20/24 13:18 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 20047.90 6/24 9:48 19884.20 2.9%
Trade id #148458003
Max drawdown($13,372)
Time6/24/24 9:48
Quant open4
Worst price19880.80
Drawdown as % of equity-2.90%
 ($13,128)
Includes Typical Broker Commissions trade costs of $32.00
6/10/24 16:00 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 4 19108.00 6/20 13:18 19783.70 2.19%
Trade id #148375396
Max drawdown($9,080)
Time6/11/24 0:00
Quant open4
Worst price18994.50
Drawdown as % of equity-2.19%
 $54,024
Includes Typical Broker Commissions trade costs of $32.00
6/5/24 16:00 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 4 19073.00 6/6 16:00 19061.80 1.07%
Trade id #148339737
Max drawdown($4,460)
Time6/6/24 14:10
Quant open4
Worst price19017.20
Drawdown as % of equity-1.07%
 ($928)
Includes Typical Broker Commissions trade costs of $32.00
5/13/24 16:00 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 3 18296.20 5/30 10:43 18650.00 1.99%
Trade id #148157940
Max drawdown($7,842)
Time5/14/24 0:00
Quant open3
Worst price18165.50
Drawdown as % of equity-1.99%
 $21,204
Includes Typical Broker Commissions trade costs of $24.00
4/23/24 16:00 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 5 17600.33 4/24 16:25 17486.20 2.86%
Trade id #147990782
Max drawdown($11,708)
Time4/24/24 16:25
Quant open5
Worst price17483.20
Drawdown as % of equity-2.86%
 ($11,453)
Includes Typical Broker Commissions trade costs of $40.00
4/11/24 16:00 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 5 18479.40 4/12 8:43 18332.30 3.69%
Trade id #147879099
Max drawdown($15,240)
Time4/12/24 8:43
Quant open5
Worst price18327.00
Drawdown as % of equity-3.69%
 ($14,750)
Includes Typical Broker Commissions trade costs of $40.00
4/4/24 11:08 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 4 18502.20 4/4 14:16 18401.20 1.89%
Trade id #147807284
Max drawdown($8,176)
Time4/4/24 14:16
Quant open4
Worst price18400.00
Drawdown as % of equity-1.89%
 ($8,112)
Includes Typical Broker Commissions trade costs of $32.00
4/3/24 16:30 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18392.50 4/4 11:07 18505.20 0.03%
Trade id #147799440
Max drawdown($118)
Time4/3/24 18:04
Quant open4
Worst price18377.80
Drawdown as % of equity-0.03%
 $898
Includes Typical Broker Commissions trade costs of $3.76
3/21/24 16:00 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 5 18559.80 3/24 18:01 18574.50 1.59%
Trade id #147707853
Max drawdown($6,780)
Time3/22/24 0:00
Quant open5
Worst price18492.00
Drawdown as % of equity-1.59%
 $1,430
Includes Typical Broker Commissions trade costs of $40.00
3/12/24 16:00 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 5 18474.17 3/13 9:48 18341.50 3.04%
Trade id #147613603
Max drawdown($13,316)
Time3/13/24 9:48
Quant open5
Worst price18341.00
Drawdown as % of equity-3.04%
 ($13,307)
Includes Typical Broker Commissions trade costs of $40.00
3/7/24 16:00 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 5 18301.93 3/8 12:10 18128.07 3.89%
Trade id #147569794
Max drawdown($17,418)
Time3/8/24 12:10
Quant open5
Worst price18127.80
Drawdown as % of equity-3.89%
 ($17,427)
Includes Typical Broker Commissions trade costs of $40.00
2/29/24 16:00 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 5 18061.93 3/5 9:35 18057.20 0.7%
Trade id #147505943
Max drawdown($3,243)
Time3/1/24 0:00
Quant open5
Worst price18029.50
Drawdown as % of equity-0.70%
 ($513)
Includes Typical Broker Commissions trade costs of $40.00
2/22/24 16:00 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 8 18039.62 2/26 16:56 17945.92 3.85%
Trade id #147416165
Max drawdown($17,699)
Time2/26/24 1:49
Quant open8
Worst price17929.00
Drawdown as % of equity-3.85%
 ($15,056)
Includes Typical Broker Commissions trade costs of $64.00
2/7/24 16:00 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 7 17838.58 2/13 7:03 17815.15 1.35%
Trade id #147252398
Max drawdown($6,485)
Time2/8/24 0:00
Quant open7
Worst price17792.20
Drawdown as % of equity-1.35%
 ($3,336)
Includes Typical Broker Commissions trade costs of $56.00
2/2/24 16:00 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 7 17725.28 2/5 10:42 17556.05 4.86%
Trade id #147209154
Max drawdown($23,698)
Time2/5/24 10:42
Quant open7
Worst price17556.00
Drawdown as % of equity-4.86%
 ($23,748)
Includes Typical Broker Commissions trade costs of $56.00
1/19/24 16:00 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 7 17440.14 1/30 16:38 17506.86 0.86%
Trade id #147071145
Max drawdown($4,289)
Time1/23/24 0:00
Quant open7
Worst price17409.50
Drawdown as % of equity-0.86%
 $9,285
Includes Typical Broker Commissions trade costs of $56.00
1/5/24 16:42 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 4 16459.90 1/17 9:32 16769.00 1.4%
Trade id #146921442
Max drawdown($6,532)
Time1/8/24 0:00
Quant open4
Worst price16378.20
Drawdown as % of equity-1.40%
 $24,696
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    11/12/2016
  • Suggested Minimum Cap
    $420,000
  • Strategy Age (days)
    2930.54
  • Age
    98 months ago
  • What it trades
    Futures
  • # Trades
    348
  • # Profitable
    128
  • % Profitable
    36.80%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    66.27%
  • drawdown period
    Feb 08, 2018 - Nov 06, 2018
  • Annual Return (Compounded)
    55.2%
  • Avg win
    $16,059
  • Avg loss
    $7,352
  • Model Account Values (Raw)
  • Cash
    $450,761
  • Margin Used
    $0
  • Buying Power
    $450,761
  • Ratios
  • W:L ratio
    1.27:1
  • Sharpe Ratio
    0.91
  • Sortino Ratio
    1.46
  • Calmar Ratio
    0.966
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3143.34%
  • Correlation to SP500
    0.10900
  • Return Percent SP500 (cumu) during strategy life
    173.38%
  • Return Statistics
  • Ann Return (w trading costs)
    55.2%
  • Slump
  • Current Slump as Pcnt Equity
    106.50%
  • Instruments
  • Percent Trades Futures
    0.98%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.29%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.552%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    56.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    66.50%
  • Chance of 20% account loss
    50.50%
  • Chance of 30% account loss
    34.50%
  • Chance of 40% account loss
    24.00%
  • Chance of 60% account loss (Monte Carlo)
    2.50%
  • Chance of 70% account loss (Monte Carlo)
    1.00%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    11.00%
  • Popularity
  • Popularity (Today)
    653
  • Popularity (Last 6 weeks)
    927
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    945
  • Popularity (7 days, Percentile 1000 scale)
    822
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $7,352
  • Avg Win
    $16,060
  • Sum Trade PL (losers)
    $1,617,490.000
  • Age
  • Num Months filled monthly returns table
    97
  • Win / Loss
  • Sum Trade PL (winners)
    $2,055,670.000
  • # Winners
    128
  • Num Months Winners
    48
  • Dividends
  • Dividends Received in Model Acct
    79
  • AUM
  • AUM (AutoTrader live capital)
    289992
  • Win / Loss
  • # Losers
    220
  • % Winners
    36.8%
  • Frequency
  • Avg Position Time (mins)
    6061.92
  • Avg Position Time (hrs)
    101.03
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    6.19
  • Daily leverage (max)
    26.32
  • Regression
  • Alpha
    0.14
  • Beta
    0.29
  • Treynor Index
    0.51
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    23.55
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    46.52
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.65
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    6.901
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.153
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.015
  • Hold-and-Hope Ratio
    0.145
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62769
  • SD
    0.67381
  • Sharpe ratio (Glass type estimate)
    0.93155
  • Sharpe ratio (Hedges UMVUE)
    0.92410
  • df
    94.00000
  • t
    2.62106
  • p
    0.00511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21999
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63834
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63310
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28051
  • Upside Potential Ratio
    4.16026
  • Upside part of mean
    1.14508
  • Downside part of mean
    -0.51739
  • Upside SD
    0.63743
  • Downside SD
    0.27524
  • N nonnegative terms
    48.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.11236
  • Mean of criterion
    0.62769
  • SD of predictor
    0.15890
  • SD of criterion
    0.67381
  • Covariance
    0.01474
  • r
    0.13762
  • b (slope, estimate of beta)
    0.58357
  • a (intercept, estimate of alpha)
    0.56212
  • Mean Square Error
    0.45022
  • DF error
    93.00000
  • t(b)
    1.33993
  • p(b)
    0.09177
  • t(a)
    2.30905
  • p(a)
    0.01158
  • Lowerbound of 95% confidence interval for beta
    -0.28129
  • Upperbound of 95% confidence interval for beta
    1.44842
  • Lowerbound of 95% confidence interval for alpha
    0.07869
  • Upperbound of 95% confidence interval for alpha
    1.04555
  • Treynor index (mean / b)
    1.07561
  • Jensen alpha (a)
    0.56212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42598
  • SD
    0.59995
  • Sharpe ratio (Glass type estimate)
    0.71003
  • Sharpe ratio (Hedges UMVUE)
    0.70435
  • df
    94.00000
  • t
    1.99778
  • p
    0.02432
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00052
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40818
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37368
  • Upside Potential Ratio
    3.18095
  • Upside part of mean
    0.98642
  • Downside part of mean
    -0.56044
  • Upside SD
    0.52451
  • Downside SD
    0.31010
  • N nonnegative terms
    48.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.09914
  • Mean of criterion
    0.42598
  • SD of predictor
    0.15938
  • SD of criterion
    0.59995
  • Covariance
    0.01619
  • r
    0.16935
  • b (slope, estimate of beta)
    0.63748
  • a (intercept, estimate of alpha)
    0.36278
  • Mean Square Error
    0.35338
  • DF error
    93.00000
  • t(b)
    1.65710
  • p(b)
    0.05043
  • t(a)
    1.68980
  • p(a)
    0.04721
  • Lowerbound of 95% confidence interval for beta
    -0.12645
  • Upperbound of 95% confidence interval for beta
    1.40140
  • Lowerbound of 95% confidence interval for alpha
    -0.06355
  • Upperbound of 95% confidence interval for alpha
    0.78912
  • Treynor index (mean / b)
    0.66824
  • Jensen alpha (a)
    0.36278
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22071
  • Expected Shortfall on VaR
    0.27366
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09962
  • Expected Shortfall on VaR
    0.18368
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    95.00000
  • Minimum
    0.63822
  • Quartile 1
    0.93831
  • Median
    1.00373
  • Quartile 3
    1.14945
  • Maximum
    1.80724
  • Mean of quarter 1
    0.86709
  • Mean of quarter 2
    0.96696
  • Mean of quarter 3
    1.06495
  • Mean of quarter 4
    1.31997
  • Inter Quartile Range
    0.21114
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04211
  • Mean of outliers high
    1.62008
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01023
  • VaR(95%) (moments method)
    0.12882
  • Expected Shortfall (moments method)
    0.17191
  • Extreme Value Index (regression method)
    0.14986
  • VaR(95%) (regression method)
    0.12649
  • Expected Shortfall (regression method)
    0.17946
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.03154
  • Quartile 1
    0.07339
  • Median
    0.15310
  • Quartile 3
    0.27017
  • Maximum
    0.50009
  • Mean of quarter 1
    0.05449
  • Mean of quarter 2
    0.11036
  • Mean of quarter 3
    0.22560
  • Mean of quarter 4
    0.44541
  • Inter Quartile Range
    0.19679
  • 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)
    -2.98457
  • VaR(95%) (moments method)
    0.44355
  • Expected Shortfall (moments method)
    0.44491
  • Extreme Value Index (regression method)
    -3.24166
  • VaR(95%) (regression method)
    0.59228
  • Expected Shortfall (regression method)
    0.59315
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.46576
  • Compounded annual return (geometric extrapolation)
    0.57443
  • Calmar ratio (compounded annual return / max draw down)
    1.14865
  • Compounded annual return / average of 25% largest draw downs
    1.28967
  • Compounded annual return / Expected Shortfall lognormal
    2.09904
  • 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
    0.54434
  • SD
    0.49930
  • Sharpe ratio (Glass type estimate)
    1.09022
  • Sharpe ratio (Hedges UMVUE)
    1.08982
  • df
    2074.00000
  • t
    3.06812
  • p
    0.00109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78734
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78706
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87501
  • Upside Potential Ratio
    8.13276
  • Upside part of mean
    2.36107
  • Downside part of mean
    -1.81673
  • Upside SD
    0.40746
  • Downside SD
    0.29032
  • N nonnegative terms
    723.00000
  • N negative terms
    1352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2075.00000
  • Mean of predictor
    0.11657
  • Mean of criterion
    0.54434
  • SD of predictor
    0.18640
  • SD of criterion
    0.49930
  • Covariance
    0.00653
  • r
    0.07021
  • b (slope, estimate of beta)
    0.18806
  • a (intercept, estimate of alpha)
    0.52200
  • Mean Square Error
    0.24819
  • DF error
    2073.00000
  • t(b)
    3.20444
  • p(b)
    0.00069
  • t(a)
    2.94893
  • p(a)
    0.00161
  • Lowerbound of 95% confidence interval for beta
    0.07297
  • Upperbound of 95% confidence interval for beta
    0.30315
  • Lowerbound of 95% confidence interval for alpha
    0.17500
  • Upperbound of 95% confidence interval for alpha
    0.86985
  • Treynor index (mean / b)
    2.89459
  • Jensen alpha (a)
    0.52242
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42478
  • SD
    0.48358
  • Sharpe ratio (Glass type estimate)
    0.87840
  • Sharpe ratio (Hedges UMVUE)
    0.87809
  • df
    2074.00000
  • t
    2.47202
  • p
    0.00676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18135
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57527
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57505
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40895
  • Upside Potential Ratio
    7.58116
  • Upside part of mean
    2.28562
  • Downside part of mean
    -1.86084
  • Upside SD
    0.37886
  • Downside SD
    0.30149
  • N nonnegative terms
    723.00000
  • N negative terms
    1352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2075.00000
  • Mean of predictor
    0.09909
  • Mean of criterion
    0.42478
  • SD of predictor
    0.18713
  • SD of criterion
    0.48358
  • Covariance
    0.00722
  • r
    0.07984
  • b (slope, estimate of beta)
    0.20632
  • a (intercept, estimate of alpha)
    0.40433
  • Mean Square Error
    0.23247
  • DF error
    2073.00000
  • t(b)
    3.64669
  • p(b)
    0.00014
  • t(a)
    2.35875
  • p(a)
    0.00921
  • Lowerbound of 95% confidence interval for beta
    0.09537
  • Upperbound of 95% confidence interval for beta
    0.31728
  • Lowerbound of 95% confidence interval for alpha
    0.06816
  • Upperbound of 95% confidence interval for alpha
    0.74051
  • Treynor index (mean / b)
    2.05881
  • Jensen alpha (a)
    0.40433
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04641
  • Expected Shortfall on VaR
    0.05818
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01860
  • Expected Shortfall on VaR
    0.03858
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2075.00000
  • Minimum
    0.83764
  • Quartile 1
    0.99540
  • Median
    1.00000
  • Quartile 3
    1.00775
  • Maximum
    1.46440
  • Mean of quarter 1
    0.97307
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00127
  • Mean of quarter 4
    1.03491
  • Inter Quartile Range
    0.01235
  • Number outliers low
    218.00000
  • Percentage of outliers low
    0.10506
  • Mean of outliers low
    0.95301
  • Number of outliers high
    246.00000
  • Percentage of outliers high
    0.11855
  • Mean of outliers high
    1.05600
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24496
  • VaR(95%) (moments method)
    0.01786
  • Expected Shortfall (moments method)
    0.03105
  • Extreme Value Index (regression method)
    0.06477
  • VaR(95%) (regression method)
    0.02358
  • Expected Shortfall (regression method)
    0.03683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00019
  • Quartile 1
    0.01609
  • Median
    0.05595
  • Quartile 3
    0.10720
  • Maximum
    0.59280
  • Mean of quarter 1
    0.00676
  • Mean of quarter 2
    0.03863
  • Mean of quarter 3
    0.07273
  • Mean of quarter 4
    0.26214
  • Inter Quartile Range
    0.09111
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08511
  • Mean of outliers high
    0.42795
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.31704
  • VaR(95%) (moments method)
    0.25486
  • Expected Shortfall (moments method)
    0.30934
  • Extreme Value Index (regression method)
    -0.04034
  • VaR(95%) (regression method)
    0.30418
  • Expected Shortfall (regression method)
    0.41528
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.42696
  • Compounded annual return (geometric extrapolation)
    0.57253
  • Calmar ratio (compounded annual return / max draw down)
    0.96581
  • Compounded annual return / average of 25% largest draw downs
    2.18406
  • Compounded annual return / Expected Shortfall lognormal
    9.84046
  • 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
    0.03506
  • SD
    0.24517
  • Sharpe ratio (Glass type estimate)
    0.14299
  • Sharpe ratio (Hedges UMVUE)
    0.14217
  • df
    130.00000
  • t
    0.10111
  • p
    0.49557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62969
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91403
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.22746
  • Upside Potential Ratio
    7.50815
  • Upside part of mean
    1.15721
  • Downside part of mean
    -1.12215
  • Upside SD
    0.18947
  • Downside SD
    0.15413
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19819
  • Mean of criterion
    0.03506
  • SD of predictor
    0.13291
  • SD of criterion
    0.24517
  • Covariance
    0.00904
  • r
    0.27755
  • b (slope, estimate of beta)
    0.51198
  • a (intercept, estimate of alpha)
    -0.06641
  • Mean Square Error
    0.05591
  • DF error
    129.00000
  • t(b)
    3.28134
  • p(b)
    0.32560
  • t(a)
    -0.19776
  • p(a)
    0.51108
  • Lowerbound of 95% confidence interval for beta
    0.20327
  • Upperbound of 95% confidence interval for beta
    0.82068
  • Lowerbound of 95% confidence interval for alpha
    -0.73083
  • Upperbound of 95% confidence interval for alpha
    0.59801
  • Treynor index (mean / b)
    0.06847
  • Jensen alpha (a)
    -0.06641
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00550
  • SD
    0.24352
  • Sharpe ratio (Glass type estimate)
    0.02260
  • Sharpe ratio (Hedges UMVUE)
    0.02247
  • df
    130.00000
  • t
    0.01598
  • p
    0.49930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74921
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.74934
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79427
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03514
  • Upside Potential Ratio
    7.27789
  • Upside part of mean
    1.13966
  • Downside part of mean
    -1.13416
  • Upside SD
    0.18528
  • Downside SD
    0.15659
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18931
  • Mean of criterion
    0.00550
  • SD of predictor
    0.13315
  • SD of criterion
    0.24352
  • Covariance
    0.00888
  • r
    0.27371
  • b (slope, estimate of beta)
    0.50059
  • a (intercept, estimate of alpha)
    -0.08926
  • Mean Square Error
    0.05529
  • DF error
    129.00000
  • t(b)
    3.23212
  • p(b)
    0.32795
  • t(a)
    -0.26740
  • p(a)
    0.51498
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    0.19416
  • Upperbound of 95% confidence interval for beta
    0.80702
  • Lowerbound of 95% confidence interval for alpha
    -0.74972
  • Upperbound of 95% confidence interval for alpha
    0.57120
  • Treynor index (mean / b)
    0.01099
  • Jensen alpha (a)
    -0.08926
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02442
  • Expected Shortfall on VaR
    0.03052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01217
  • Expected Shortfall on VaR
    0.02370
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94203
  • Quartile 1
    0.99602
  • Median
    1.00000
  • Quartile 3
    1.00194
  • Maximum
    1.06929
  • Mean of quarter 1
    0.98414
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00017
  • Mean of quarter 4
    1.01749
  • Inter Quartile Range
    0.00592
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.97850
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.02436
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.75638
  • VaR(95%) (moments method)
    0.01235
  • Expected Shortfall (moments method)
    0.01387
  • Extreme Value Index (regression method)
    -0.49052
  • VaR(95%) (regression method)
    0.01773
  • Expected Shortfall (regression method)
    0.02143
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00542
  • Quartile 1
    0.03102
  • Median
    0.05436
  • Quartile 3
    0.11100
  • Maximum
    0.23650
  • Mean of quarter 1
    0.00542
  • Mean of quarter 2
    0.03956
  • Mean of quarter 3
    0.06917
  • Mean of quarter 4
    0.23650
  • Inter Quartile Range
    0.07998
  • 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
    0.25000
  • Mean of outliers high
    0.23650
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -385971000
  • Max Equity Drawdown (num days)
    271
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03369
  • Compounded annual return (geometric extrapolation)
    0.03397
  • Calmar ratio (compounded annual return / max draw down)
    0.14365
  • Compounded annual return / average of 25% largest draw downs
    0.14365
  • Compounded annual return / Expected Shortfall lognormal
    1.11314

Strategy Description

The strategy is a multi faceted trend, swing and day trade strategy 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-10x depending on model output. The strategy will also 'short/sell' NQ contracts. All trades have an associated stop loss value.

I recommend a minimum account value of $75k to efficiently trade with 4QTimingFutNQ and not be negatively impacted by the scaling factor contract trucation effect to your trades. For smaller accounts, look at the companion strategy 4QTimingFutMNQ that is the same strategy but trades with micro NQ contracts. Minimum account value for this strategy is $25k.

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
$420,000
Rank at C2 %
Top 5.5%
Rank # 
#41
# Trades
348
# Profitable
128
% Profitable
36.8%
Net Dividends
$79
Correlation S&P500
0.109
Sharpe Ratio
0.91
Sortino Ratio
1.46
Beta
0.29
Alpha
0.14
Leverage
6.19 Average
26.32 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

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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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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.