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4QTiming FutNQ
(105498679)

Created by: 4QTiming 4QTiming
Started: 11/2016
Futures
Last trade: 8 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.

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.
66.0%
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
79
Num Trades
41.8%
Win Trades
1.3 : 1
Profit Factor
50.0%
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%(0.8%)(13.7%)

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 147 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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
9/27/18 16:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 6 7657.48 10/4 10:24 7546.44 16.43%
Trade id #120075424
Max drawdown($13,325)
Time10/4/18 10:24
Quant open0
Worst price7546.44
Drawdown as % of equity-16.43%
($13,373)
Includes Typical Broker Commissions trade costs of $48.00
9/19/18 16:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 4 7520.50 9/23 18:07 7521.53 0.6%
Trade id #119937641
Max drawdown($520)
Time9/20/18 2:09
Quant open4
Worst price7514.00
Drawdown as % of equity-0.60%
$51
Includes Typical Broker Commissions trade costs of $32.00
9/17/18 16:00 @NQZ8 E-MINI NASDAQ 100 STK IDX SHORT 4 7465.38 9/18 11:15 7552.50 7.97%
Trade id #119897388
Max drawdown($6,970)
Time9/18/18 11:15
Quant open0
Worst price7552.50
Drawdown as % of equity-7.97%
($7,002)
Includes Typical Broker Commissions trade costs of $32.00
9/10/18 16:00 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 4 7483.25 9/17 10:08 7498.62 4.52%
Trade id #119787561
Max drawdown($4,100)
Time9/11/18 9:35
Quant open4
Worst price7432.00
Drawdown as % of equity-4.52%
$1,198
Includes Typical Broker Commissions trade costs of $32.00
8/24/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 5 7492.50 9/4 9:37 7615.07 0.03%
Trade id #119591855
Max drawdown($25)
Time8/24/18 16:03
Quant open5
Worst price7492.25
Drawdown as % of equity-0.03%
$12,218
Includes Typical Broker Commissions trade costs of $40.00
8/22/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX SHORT 4 7433.88 8/24 16:00 7493.75 6.33%
Trade id #119558790
Max drawdown($5,250)
Time8/24/18 11:36
Quant open-4
Worst price7499.50
Drawdown as % of equity-6.33%
($4,822)
Includes Typical Broker Commissions trade costs of $32.00
8/17/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 5 7388.50 8/21 16:47 7372.50 4.21%
Trade id #119496947
Max drawdown($3,700)
Time8/20/18 10:58
Quant open5
Worst price7351.50
Drawdown as % of equity-4.21%
($1,640)
Includes Typical Broker Commissions trade costs of $40.00
8/15/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX SHORT 5 7366.42 8/17 16:00 7388.48 8.24%
Trade id #119459418
Max drawdown($6,808)
Time8/16/18 12:14
Quant open-5
Worst price7434.50
Drawdown as % of equity-8.24%
($2,246)
Includes Typical Broker Commissions trade costs of $40.00
8/14/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 5 7455.00 8/15 10:00 7362.85 10%
Trade id #119439663
Max drawdown($9,215)
Time8/15/18 10:00
Quant open0
Worst price7362.85
Drawdown as % of equity-10.00%
($9,255)
Includes Typical Broker Commissions trade costs of $40.00
8/6/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 6 7447.09 8/10 1:32 7434.79 1.46%
Trade id #119307955
Max drawdown($1,476)
Time8/10/18 1:32
Quant open0
Worst price7434.79
Drawdown as % of equity-1.46%
($1,524)
Includes Typical Broker Commissions trade costs of $48.00
8/2/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX SHORT 5 7382.15 8/6 15:36 7444.43 6.57%
Trade id #119257057
Max drawdown($6,610)
Time8/6/18 13:17
Quant open-5
Worst price7448.25
Drawdown as % of equity-6.57%
($6,268)
Includes Typical Broker Commissions trade costs of $40.00
7/31/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 6 7253.52 8/2 3:03 7240.45 1.45%
Trade id #119215622
Max drawdown($1,569)
Time8/2/18 3:03
Quant open0
Worst price7240.45
Drawdown as % of equity-1.45%
($1,617)
Includes Typical Broker Commissions trade costs of $48.00
7/26/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX SHORT 4 7414.65 7/27 16:00 7304.50 4.39%
Trade id #119145463
Max drawdown($4,188)
Time7/27/18 5:24
Quant open-4
Worst price7467.00
Drawdown as % of equity-4.39%
$8,780
Includes Typical Broker Commissions trade costs of $32.00
7/24/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 5 7415.75 7/25 18:00 7399.50 1.89%
Trade id #119102112
Max drawdown($1,875)
Time7/24/18 20:41
Quant open5
Worst price7397.00
Drawdown as % of equity-1.89%
($1,665)
Includes Typical Broker Commissions trade costs of $40.00
7/5/18 16:02 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 5 7123.35 7/20 16:00 7364.32 2.98%
Trade id #118792695
Max drawdown($2,210)
Time7/5/18 20:01
Quant open5
Worst price7101.25
Drawdown as % of equity-2.98%
$24,056
Includes Typical Broker Commissions trade costs of $40.00
7/2/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX SHORT 3 7116.61 7/3 18:04 7016.82 4.33%
Trade id #118750645
Max drawdown($2,903)
Time7/3/18 7:44
Quant open-3
Worst price7165.00
Drawdown as % of equity-4.33%
$5,963
Includes Typical Broker Commissions trade costs of $24.00
6/28/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 4 7053.50 7/1 18:23 7049.62 0.97%
Trade id #118702669
Max drawdown($680)
Time6/28/18 21:19
Quant open4
Worst price7045.00
Drawdown as % of equity-0.97%
($342)
Includes Typical Broker Commissions trade costs of $32.00
6/12/18 16:00 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 4 7273.00 6/17 21:55 7236.22 4.01%
Trade id #118400334
Max drawdown($2,942)
Time6/17/18 21:55
Quant open0
Worst price7236.22
Drawdown as % of equity-4.01%
($2,974)
Includes Typical Broker Commissions trade costs of $32.00
6/1/18 16:00 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 3 7114.92 6/7 13:35 7124.46 0.77%
Trade id #118220390
Max drawdown($560)
Time6/3/18 18:01
Quant open2
Worst price7071.75
Drawdown as % of equity-0.77%
$549
Includes Typical Broker Commissions trade costs of $24.00
5/24/18 16:00 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 4 6956.28 5/29 4:27 6917.97 3.99%
Trade id #118101439
Max drawdown($3,064)
Time5/29/18 4:27
Quant open0
Worst price6917.97
Drawdown as % of equity-3.99%
($3,096)
Includes Typical Broker Commissions trade costs of $32.00
5/18/18 16:00 @NQM8 E-MINI NASDAQ 100 STK IDX SHORT 4 6873.00 5/20 18:00 6925.22 5.25%
Trade id #118003497
Max drawdown($4,178)
Time5/20/18 18:00
Quant open0
Worst price6925.22
Drawdown as % of equity-5.25%
($4,210)
Includes Typical Broker Commissions trade costs of $32.00
5/17/18 16:03 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 5 6905.50 5/18 16:00 6872.70 5.39%
Trade id #117985173
Max drawdown($4,325)
Time5/18/18 10:38
Quant open5
Worst price6862.25
Drawdown as % of equity-5.39%
($3,320)
Includes Typical Broker Commissions trade costs of $40.00
5/3/18 15:47 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 5 6745.37 5/15 9:40 6880.00 3.05%
Trade id #117785267
Max drawdown($2,082)
Time5/4/18 9:34
Quant open3
Worst price6610.50
Drawdown as % of equity-3.05%
$13,423
Includes Typical Broker Commissions trade costs of $40.00
4/26/18 16:00 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 4 6651.59 4/30 11:50 6634.12 3.24%
Trade id #117683326
Max drawdown($2,287)
Time4/27/18 10:56
Quant open4
Worst price6623.00
Drawdown as % of equity-3.24%
($1,430)
Includes Typical Broker Commissions trade costs of $32.00
4/17/18 16:00 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6827.25 4/19 11:14 6772.58 3.02%
Trade id #117550054
Max drawdown($2,187)
Time4/19/18 11:14
Quant open0
Worst price6772.58
Drawdown as % of equity-3.02%
($2,203)
Includes Typical Broker Commissions trade costs of $16.00
4/12/18 16:00 @NQM8 E-MINI NASDAQ 100 STK IDX LONG 2 6664.50 4/13 16:00 6633.83 3.17%
Trade id #117491285
Max drawdown($2,330)
Time4/13/18 15:20
Quant open2
Worst price6606.25
Drawdown as % of equity-3.17%
($1,243)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    11/12/2016
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    760.3
  • Age
    25 months ago
  • What it trades
    Futures
  • # Trades
    79
  • # Profitable
    33
  • % Profitable
    41.80%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    65.97%
  • drawdown period
    Feb 08, 2018 - Nov 06, 2018
  • Annual Return (Compounded)
    66.0%
  • Avg win
    $8,089
  • Avg loss
    $4,608
  • Model Account Values (Raw)
  • Cash
    $76,313
  • Margin Used
    $11,850
  • Buying Power
    $68,278
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    1.228
  • Sortino Ratio
    1.872
  • Calmar Ratio
    1.272
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.26900
  • Return Statistics
  • Ann Return (w trading costs)
    66.0%
  • Ann Return (Compnd, No Fees)
    73.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.00%
  • Chance of 20% account loss
    49.50%
  • Chance of 30% account loss
    38.50%
  • Chance of 40% account loss
    26.00%
  • Chance of 50% account loss
    7.50%
  • Popularity
  • Popularity (Today)
    505
  • Popularity (Last 6 weeks)
    853
  • C2 Score
    32.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $4,608
  • Avg Win
    $8,061
  • # Winners
    33
  • # Losers
    46
  • % Winners
    41.8%
  • Frequency
  • Avg Position Time (mins)
    11582.20
  • Avg Position Time (hrs)
    193.04
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66052
  • SD
    0.75380
  • Sharpe ratio (Glass type estimate)
    0.87625
  • Sharpe ratio (Hedges UMVUE)
    0.84731
  • df
    23.00000
  • t
    1.23921
  • p
    0.11388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56006
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25468
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83727
  • Upside Potential Ratio
    3.65403
  • Upside part of mean
    1.31366
  • Downside part of mean
    -0.65314
  • Upside SD
    0.67205
  • Downside SD
    0.35951
  • N nonnegative terms
    13.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.07571
  • Mean of criterion
    0.66052
  • SD of predictor
    0.08546
  • SD of criterion
    0.75380
  • Covariance
    0.03583
  • r
    0.55623
  • b (slope, estimate of beta)
    4.90651
  • a (intercept, estimate of alpha)
    0.28903
  • Mean Square Error
    0.41025
  • DF error
    22.00000
  • t(b)
    3.13946
  • p(b)
    0.00238
  • t(a)
    0.61744
  • p(a)
    0.27164
  • Lowerbound of 95% confidence interval for beta
    1.66535
  • Upperbound of 95% confidence interval for beta
    8.14768
  • Lowerbound of 95% confidence interval for alpha
    -0.68177
  • Upperbound of 95% confidence interval for alpha
    1.25983
  • Treynor index (mean / b)
    0.13462
  • Jensen alpha (a)
    0.28903
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40008
  • SD
    0.71112
  • Sharpe ratio (Glass type estimate)
    0.56261
  • Sharpe ratio (Hedges UMVUE)
    0.54403
  • df
    23.00000
  • t
    0.79565
  • p
    0.21718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95192
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85076
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93882
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95243
  • Upside Potential Ratio
    2.69232
  • Upside part of mean
    1.13095
  • Downside part of mean
    -0.73087
  • Upside SD
    0.56702
  • Downside SD
    0.42006
  • N nonnegative terms
    13.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.07181
  • Mean of criterion
    0.40008
  • SD of predictor
    0.08558
  • SD of criterion
    0.71112
  • Covariance
    0.03540
  • r
    0.58170
  • b (slope, estimate of beta)
    4.83362
  • a (intercept, estimate of alpha)
    0.05296
  • Mean Square Error
    0.34979
  • DF error
    22.00000
  • t(b)
    3.35433
  • p(b)
    0.00143
  • t(a)
    0.12292
  • p(a)
    0.45164
  • Lowerbound of 95% confidence interval for beta
    1.84515
  • Upperbound of 95% confidence interval for beta
    7.82208
  • Lowerbound of 95% confidence interval for alpha
    -0.84050
  • Upperbound of 95% confidence interval for alpha
    0.94641
  • Treynor index (mean / b)
    0.08277
  • Jensen alpha (a)
    0.05296
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26238
  • Expected Shortfall on VaR
    0.32111
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11961
  • Expected Shortfall on VaR
    0.22786
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.63822
  • Quartile 1
    0.92454
  • Median
    1.02057
  • Quartile 3
    1.18000
  • Maximum
    1.48091
  • Mean of quarter 1
    0.82195
  • Mean of quarter 2
    0.96523
  • Mean of quarter 3
    1.06835
  • Mean of quarter 4
    1.37396
  • Inter Quartile Range
    0.25545
  • 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)
    -0.23981
  • VaR(95%) (moments method)
    0.18012
  • Expected Shortfall (moments method)
    0.22484
  • Extreme Value Index (regression method)
    0.27670
  • VaR(95%) (regression method)
    0.23952
  • Expected Shortfall (regression method)
    0.40658
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.06209
  • Quartile 1
    0.11928
  • Median
    0.17646
  • Quartile 3
    0.33827
  • Maximum
    0.50009
  • Mean of quarter 1
    0.06209
  • Mean of quarter 2
    0.17646
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.50009
  • Inter Quartile Range
    0.21900
  • 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)
    0.67684
  • Compounded annual return (geometric extrapolation)
    0.53417
  • Calmar ratio (compounded annual return / max draw down)
    1.06815
  • Compounded annual return / average of 25% largest draw downs
    1.06815
  • Compounded annual return / Expected Shortfall lognormal
    1.66352
  • 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
    0.69109
  • SD
    0.56185
  • Sharpe ratio (Glass type estimate)
    1.23003
  • Sharpe ratio (Hedges UMVUE)
    1.22832
  • df
    539.00000
  • t
    1.76588
  • p
    0.03899
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13769
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59550
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87207
  • Upside Potential Ratio
    8.22840
  • Upside part of mean
    3.03758
  • Downside part of mean
    -2.34649
  • Upside SD
    0.42501
  • Downside SD
    0.36916
  • N nonnegative terms
    235.00000
  • N negative terms
    305.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    540.00000
  • Mean of predictor
    0.07764
  • Mean of criterion
    0.69109
  • SD of predictor
    0.11874
  • SD of criterion
    0.56185
  • Covariance
    0.01950
  • r
    0.29227
  • b (slope, estimate of beta)
    1.38301
  • a (intercept, estimate of alpha)
    0.58400
  • Mean Square Error
    0.28925
  • DF error
    538.00000
  • t(b)
    7.08878
  • p(b)
    0.00000
  • t(a)
    1.55691
  • p(a)
    0.06004
  • Lowerbound of 95% confidence interval for beta
    0.99976
  • Upperbound of 95% confidence interval for beta
    1.76625
  • Lowerbound of 95% confidence interval for alpha
    -0.15277
  • Upperbound of 95% confidence interval for alpha
    1.32021
  • Treynor index (mean / b)
    0.49970
  • Jensen alpha (a)
    0.58372
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53406
  • SD
    0.55903
  • Sharpe ratio (Glass type estimate)
    0.95533
  • Sharpe ratio (Hedges UMVUE)
    0.95400
  • df
    539.00000
  • t
    1.37151
  • p
    0.08539
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32133
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32040
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38583
  • Upside Potential Ratio
    7.66133
  • Upside part of mean
    2.95243
  • Downside part of mean
    -2.41837
  • Upside SD
    0.40560
  • Downside SD
    0.38537
  • N nonnegative terms
    235.00000
  • N negative terms
    305.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    540.00000
  • Mean of predictor
    0.07054
  • Mean of criterion
    0.53406
  • SD of predictor
    0.11922
  • SD of criterion
    0.55903
  • Covariance
    0.01894
  • r
    0.28419
  • b (slope, estimate of beta)
    1.33251
  • a (intercept, estimate of alpha)
    0.44006
  • Mean Square Error
    0.28781
  • DF error
    538.00000
  • t(b)
    6.87516
  • p(b)
    0.00000
  • t(a)
    1.17683
  • p(a)
    0.11989
  • Lowerbound of 95% confidence interval for beta
    0.95178
  • Upperbound of 95% confidence interval for beta
    1.71324
  • Lowerbound of 95% confidence interval for alpha
    -0.29449
  • Upperbound of 95% confidence interval for alpha
    1.17461
  • Treynor index (mean / b)
    0.40079
  • Jensen alpha (a)
    0.44006
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05330
  • Expected Shortfall on VaR
    0.06678
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02194
  • Expected Shortfall on VaR
    0.04608
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    540.00000
  • Minimum
    0.83764
  • Quartile 1
    0.99582
  • Median
    1.00000
  • Quartile 3
    1.01430
  • Maximum
    1.22152
  • Mean of quarter 1
    0.96493
  • Mean of quarter 2
    0.99949
  • Mean of quarter 3
    1.00487
  • Mean of quarter 4
    1.04169
  • Inter Quartile Range
    0.01848
  • Number outliers low
    60.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.93988
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.07593
  • Mean of outliers high
    1.07679
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12166
  • VaR(95%) (moments method)
    0.01749
  • Expected Shortfall (moments method)
    0.02789
  • Extreme Value Index (regression method)
    0.02338
  • VaR(95%) (regression method)
    0.03227
  • Expected Shortfall (regression method)
    0.05049
  • 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)
    1.05981
  • Compounded annual return (geometric extrapolation)
    0.75411
  • Calmar ratio (compounded annual return / max draw down)
    1.27212
  • Compounded annual return / average of 25% largest draw downs
    2.67562
  • Compounded annual return / Expected Shortfall lognormal
    11.29170
  • 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
    0.36982
  • SD
    0.69283
  • Sharpe ratio (Glass type estimate)
    0.53378
  • Sharpe ratio (Hedges UMVUE)
    0.53070
  • df
    130.00000
  • t
    0.37744
  • p
    0.48346
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23975
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30326
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84567
  • Upside Potential Ratio
    8.32123
  • Upside part of mean
    3.63900
  • Downside part of mean
    -3.26918
  • Upside SD
    0.53444
  • Downside SD
    0.43732
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    0.36982
  • SD of predictor
    0.14819
  • SD of criterion
    0.69283
  • Covariance
    0.03956
  • r
    0.38531
  • b (slope, estimate of beta)
    1.80140
  • a (intercept, estimate of alpha)
    0.58028
  • Mean Square Error
    0.41192
  • DF error
    129.00000
  • t(b)
    4.74249
  • p(b)
    0.26092
  • t(a)
    0.63855
  • p(a)
    0.46428
  • Lowerbound of 95% confidence interval for beta
    1.04987
  • Upperbound of 95% confidence interval for beta
    2.55293
  • Lowerbound of 95% confidence interval for alpha
    -1.21769
  • Upperbound of 95% confidence interval for alpha
    2.37824
  • Treynor index (mean / b)
    0.20530
  • Jensen alpha (a)
    0.58028
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13608
  • SD
    0.68338
  • Sharpe ratio (Glass type estimate)
    0.19913
  • Sharpe ratio (Hedges UMVUE)
    0.19798
  • df
    130.00000
  • t
    0.14080
  • p
    0.49383
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.57315
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.57393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96989
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29959
  • Upside Potential Ratio
    7.71764
  • Upside part of mean
    3.50548
  • Downside part of mean
    -3.36940
  • Upside SD
    0.50715
  • Downside SD
    0.45422
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    0.13608
  • SD of predictor
    0.14884
  • SD of criterion
    0.68338
  • Covariance
    0.03858
  • r
    0.37926
  • b (slope, estimate of beta)
    1.74133
  • a (intercept, estimate of alpha)
    0.35863
  • Mean Square Error
    0.40293
  • DF error
    129.00000
  • t(b)
    4.65540
  • p(b)
    0.26447
  • t(a)
    0.39893
  • p(a)
    0.47766
  • Lowerbound of 95% confidence interval for beta
    1.00127
  • Upperbound of 95% confidence interval for beta
    2.48140
  • Lowerbound of 95% confidence interval for alpha
    -1.42001
  • Upperbound of 95% confidence interval for alpha
    2.13727
  • Treynor index (mean / b)
    0.07815
  • Jensen alpha (a)
    0.35863
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06660
  • Expected Shortfall on VaR
    0.08281
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03338
  • Expected Shortfall on VaR
    0.06500
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87600
  • Quartile 1
    0.98676
  • Median
    1.00000
  • Quartile 3
    1.01340
  • Maximum
    1.15064
  • Mean of quarter 1
    0.95269
  • Mean of quarter 2
    0.99805
  • Mean of quarter 3
    1.00340
  • Mean of quarter 4
    1.05199
  • Inter Quartile Range
    0.02664
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.92553
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.10327
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.74765
  • VaR(95%) (moments method)
    0.03823
  • Expected Shortfall (moments method)
    0.04293
  • Extreme Value Index (regression method)
    -0.07485
  • VaR(95%) (regression method)
    0.04704
  • Expected Shortfall (regression method)
    0.06542
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00791
  • Quartile 1
    0.02765
  • Median
    0.04834
  • Quartile 3
    0.06878
  • Maximum
    0.49411
  • Mean of quarter 1
    0.01666
  • Mean of quarter 2
    0.03435
  • Mean of quarter 3
    0.06234
  • Mean of quarter 4
    0.28251
  • Inter Quartile Range
    0.04113
  • 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
    0.16667
  • Mean of outliers high
    0.49411
  • 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)
    0.17090
  • Compounded annual return (geometric extrapolation)
    0.17820
  • Calmar ratio (compounded annual return / max draw down)
    0.36065
  • Compounded annual return / average of 25% largest draw downs
    0.63076
  • Compounded annual return / Expected Shortfall lognormal
    2.15180

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 [email protected] 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
79
# Profitable
33
% Profitable
41.8%
Net Dividends
Correlation S&P500
0.269
Sharpe Ratio
1.228

Latest Activity

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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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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.