4QTiming FutNQ
(105498679)
Subscription terms. Subscriptions to this system cost $150.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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%)  +36.4%  +7.3% 
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.
Started  $25,000  
Buy Power  $92,430  
Cash  $1  
Equity  $1  
Cumulative $  $76,180  
Includes dividends and cashsettled expirations:  $158  Itemized 
Total System Equity  $101,180  
Margined  $1  
Open P/L  $26,515  
Data has been delayed by 96 hours for nonsubscribers 
System developer has asked us to delay this information by 96 hours.
Trading Record
Statistics

Strategy began11/12/2016

Suggested Minimum Cap$90,000

Strategy Age (days)611.78

Age20 months ago

What it tradesFutures

# Trades60

# Profitable26

% Profitable43.30%

Avg trade duration9.5 days

Max peaktovalley drawdown55.11%

drawdown periodFeb 08, 2018  July 03, 2018

Annual Return (Compounded)113.6%

Avg win$8,502

Avg loss$4,269
 Model Account Values (Raw)

Cash$75,690

Margin Used$8,750

Buying Power$92,430
 Ratios

W:L ratio1.53:1

Sharpe Ratio1.734

Sortino Ratio2.689

Calmar Ratio2.541
 CORRELATION STATISTICS

Correlation to SP5000.23300
 Return Statistics

Ann Return (w trading costs)113.6%

Ann Return (Compnd, No Fees)122.0%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss68.50%

Chance of 20% account loss41.50%

Chance of 30% account loss18.50%

Chance of 40% account loss10.50%

Chance of 50% account loss1.00%
 Popularity

Popularity (Today)464

Popularity (Last 6 weeks)796

C2 Score12.3
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$4,270

Avg Win$8,282

# Winners26

# Losers34

% Winners43.3%
 Frequency

Avg Position Time (mins)13697.10

Avg Position Time (hrs)228.28

Avg Trade Length9.5 days

Last Trade Ago2
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.83865

SD0.68930

Sharpe ratio (Glass type estimate)1.21667

Sharpe ratio (Hedges UMVUE)1.16514

df18.00000

t1.53094

p0.33029

Lowerbound of 95% confidence interval for Sharpe Ratio0.40593

Upperbound of 95% confidence interval for Sharpe Ratio2.80775

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.43831

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.76859
 Statistics related to Sortino ratio

Sortino ratio3.27781

Upside Potential Ratio5.23518

Upside part of mean1.33946

Downside part of mean0.50081

Upside SD0.66579

Downside SD0.25586

N nonnegative terms10.00000

N negative terms9.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.13059

Mean of criterion0.83865

SD of predictor0.06937

SD of criterion0.68930

Covariance0.03007

r0.62894

b (slope, estimate of beta)6.24961

a (intercept, estimate of alpha)0.02254

Mean Square Error0.30408

DF error17.00000

t(b)3.33546

p(b)0.12785

t(a)0.04492

p(a)0.49306

Lowerbound of 95% confidence interval for beta2.29647

Upperbound of 95% confidence interval for beta10.20280

Lowerbound of 95% confidence interval for alpha1.03640

Upperbound of 95% confidence interval for alpha1.08149

Treynor index (mean / b)0.13419

Jensen alpha (a)0.02254
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.62253

SD0.62009

Sharpe ratio (Glass type estimate)1.00394

Sharpe ratio (Hedges UMVUE)0.96142

df18.00000

t1.26326

p0.35731

Lowerbound of 95% confidence interval for Sharpe Ratio0.60062

Upperbound of 95% confidence interval for Sharpe Ratio2.58197

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.62755

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.55038
 Statistics related to Sortino ratio

Sortino ratio2.23210

Upside Potential Ratio4.15498

Upside part of mean1.15882

Downside part of mean0.53629

Upside SD0.56461

Downside SD0.27890

N nonnegative terms10.00000

N negative terms9.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.12735

Mean of criterion0.62253

SD of predictor0.06861

SD of criterion0.62009

Covariance0.02716

r0.63845

b (slope, estimate of beta)5.77050

a (intercept, estimate of alpha)0.11236

Mean Square Error0.24118

DF error17.00000

t(b)3.42015

p(b)0.12316

t(a)0.25220

p(a)0.53884

Lowerbound of 95% confidence interval for beta2.21080

Upperbound of 95% confidence interval for beta9.33020

Lowerbound of 95% confidence interval for alpha1.05234

Upperbound of 95% confidence interval for alpha0.82762

Treynor index (mean / b)0.10788

Jensen alpha (a)0.11236
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.21538

Expected Shortfall on VaR0.27037
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.09428

Expected Shortfall on VaR0.17010
 ORDER STATISTICS
 Quartiles of return rates

Number of observations19.00000

Minimum0.78945

Quartile 10.93294

Median1.03742

Quartile 31.20952

Maximum1.48091

Mean of quarter 10.87367

Mean of quarter 20.97942

Mean of quarter 31.07749

Mean of quarter 41.35934

Inter Quartile Range0.27657

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.24919

VaR(95%) (moments method)0.13703

Expected Shortfall (moments method)0.16713

Extreme Value Index (regression method)0.04193

VaR(95%) (regression method)0.16963

Expected Shortfall (regression method)0.23509
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.06209

Quartile 10.11928

Median0.17646

Quartile 30.27215

Maximum0.36785

Mean of quarter 10.06209

Mean of quarter 20.17646

Mean of quarter 30.00000

Mean of quarter 40.36785

Inter Quartile Range0.15288

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.13727

Compounded annual return (geometric extrapolation)0.91638

Calmar ratio (compounded annual return / max draw down)2.49119

Compounded annual return / average of 25% largest draw downs2.49119

Compounded annual return / Expected Shortfall lognormal3.38939

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.92043

SD0.52989

Sharpe ratio (Glass type estimate)1.73701

Sharpe ratio (Hedges UMVUE)1.73400

df433.00000

t2.23561

p0.01294

Lowerbound of 95% confidence interval for Sharpe Ratio0.20883

Upperbound of 95% confidence interval for Sharpe Ratio3.26329

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.20679

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.26121
 Statistics related to Sortino ratio

Sortino ratio2.68852

Upside Potential Ratio8.73856

Upside part of mean2.99170

Downside part of mean2.07127

Upside SD0.40764

Downside SD0.34236

N nonnegative terms198.00000

N negative terms236.00000
 Statistics related to linear regression on benchmark

N of observations434.00000

Mean of predictor0.13300

Mean of criterion0.92043

SD of predictor0.10669

SD of criterion0.52989

Covariance0.01406

r0.24862

b (slope, estimate of beta)1.23480

a (intercept, estimate of alpha)0.75600

Mean Square Error0.26404

DF error432.00000

t(b)5.33495

p(b)0.00000

t(a)1.88847

p(a)0.02982

Lowerbound of 95% confidence interval for beta0.77988

Upperbound of 95% confidence interval for beta1.68972

Lowerbound of 95% confidence interval for alpha0.03083

Upperbound of 95% confidence interval for alpha1.54324

Treynor index (mean / b)0.74541

Jensen alpha (a)0.75621
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.77992

SD0.52764

Sharpe ratio (Glass type estimate)1.47814

Sharpe ratio (Hedges UMVUE)1.47558

df433.00000

t1.90244

p0.02889

Lowerbound of 95% confidence interval for Sharpe Ratio0.04868

Upperbound of 95% confidence interval for Sharpe Ratio3.00336

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.05042

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.00159
 Statistics related to Sortino ratio

Sortino ratio2.17890

Upside Potential Ratio8.13852

Upside part of mean2.91314

Downside part of mean2.13322

Upside SD0.38982

Downside SD0.35795

N nonnegative terms198.00000

N negative terms236.00000
 Statistics related to linear regression on benchmark

N of observations434.00000

Mean of predictor0.12724

Mean of criterion0.77992

SD of predictor0.10709

SD of criterion0.52764

Covariance0.01354

r0.23971

b (slope, estimate of beta)1.18105

a (intercept, estimate of alpha)0.62964

Mean Square Error0.26301

DF error432.00000

t(b)5.13181

p(b)0.00000

t(a)1.57590

p(a)0.05789

Lowerbound of 95% confidence interval for beta0.72871

Upperbound of 95% confidence interval for beta1.63338

Lowerbound of 95% confidence interval for alpha0.15565

Upperbound of 95% confidence interval for alpha1.41493

Treynor index (mean / b)0.66037

Jensen alpha (a)0.62964
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04938

Expected Shortfall on VaR0.06217
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01884

Expected Shortfall on VaR0.04031
 ORDER STATISTICS
 Quartiles of return rates

Number of observations434.00000

Minimum0.83764

Quartile 10.99643

Median1.00000

Quartile 31.01446

Maximum1.22152

Mean of quarter 10.96911

Mean of quarter 20.99963

Mean of quarter 31.00531

Mean of quarter 41.04040

Inter Quartile Range0.01803

Number outliers low41.00000

Percentage of outliers low0.09447

Mean of outliers low0.94054

Number of outliers high32.00000

Percentage of outliers high0.07373

Mean of outliers high1.07418
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.43771

VaR(95%) (moments method)0.01832

Expected Shortfall (moments method)0.04104

Extreme Value Index (regression method)0.13185

VaR(95%) (regression method)0.02983

Expected Shortfall (regression method)0.05065
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations17.00000

Minimum0.00308

Quartile 10.01301

Median0.04522

Quartile 30.10241

Maximum0.48928

Mean of quarter 10.00710

Mean of quarter 20.02473

Mean of quarter 30.06939

Mean of quarter 40.25597

Inter Quartile Range0.08941

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.11765

Mean of outliers high0.38798
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.45309

VaR(95%) (moments method)0.27290

Expected Shortfall (moments method)0.55297

Extreme Value Index (regression method)1.23734

VaR(95%) (regression method)0.34901

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.69759

Compounded annual return (geometric extrapolation)1.24304

Calmar ratio (compounded annual return / max draw down)2.54054

Compounded annual return / average of 25% largest draw downs4.85624

Compounded annual return / Expected Shortfall lognormal19.99320

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

Mean0.01442

SD0.73391

Sharpe ratio (Glass type estimate)0.01965

Sharpe ratio (Hedges UMVUE)0.01954

df130.00000

t0.01390

p0.50061

Lowerbound of 95% confidence interval for Sharpe Ratio2.79146

Upperbound of 95% confidence interval for Sharpe Ratio2.75215

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.79135

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.75227
 Statistics related to Sortino ratio

Sortino ratio0.02891

Upside Potential Ratio7.03775

Upside part of mean3.51194

Downside part of mean3.52636

Upside SD0.53431

Downside SD0.49901

N nonnegative terms55.00000

N negative terms76.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00567

Mean of criterion0.01442

SD of predictor0.16441

SD of criterion0.73391

Covariance0.02689

r0.22288

b (slope, estimate of beta)0.99489

a (intercept, estimate of alpha)0.00878

Mean Square Error0.51583

DF error129.00000

t(b)2.59677

p(b)0.35929

t(a)0.00864

p(a)0.50048

Lowerbound of 95% confidence interval for beta0.23687

Upperbound of 95% confidence interval for beta1.75291

Lowerbound of 95% confidence interval for alpha2.01838

Upperbound of 95% confidence interval for alpha2.00082

Treynor index (mean / b)0.01450

Jensen alpha (a)0.00878
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.27933

SD0.72989

Sharpe ratio (Glass type estimate)0.38270

Sharpe ratio (Hedges UMVUE)0.38049

df130.00000

t0.27061

p0.51186

Lowerbound of 95% confidence interval for Sharpe Ratio3.15417

Upperbound of 95% confidence interval for Sharpe Ratio2.39022

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.15268

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.39170
 Statistics related to Sortino ratio

Sortino ratio0.53121

Upside Potential Ratio6.42809

Upside part of mean3.38012

Downside part of mean3.65945

Upside SD0.50245

Downside SD0.52584

N nonnegative terms55.00000

N negative terms76.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01918

Mean of criterion0.27933

SD of predictor0.16525

SD of criterion0.72989

Covariance0.02546

r0.21111

b (slope, estimate of beta)0.93248

a (intercept, estimate of alpha)0.26145

Mean Square Error0.51294

DF error129.00000

t(b)2.45305

p(b)0.36661

t(a)0.25812

p(a)0.51446

Lowerbound of 95% confidence interval for beta0.18038

Upperbound of 95% confidence interval for beta1.68457

Lowerbound of 95% confidence interval for alpha2.26545

Upperbound of 95% confidence interval for alpha1.74256

Treynor index (mean / b)0.29955

Jensen alpha (a)0.26145
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07248

Expected Shortfall on VaR0.08966
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03377

Expected Shortfall on VaR0.06812
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.83764

Quartile 10.98569

Median1.00000

Quartile 31.01403

Maximum1.22152

Mean of quarter 10.94907

Mean of quarter 20.99775

Mean of quarter 31.00400

Mean of quarter 41.04951

Inter Quartile Range0.02834

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.90558

Number of outliers high10.00000

Percentage of outliers high0.07634

Mean of outliers high1.09907
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.12769

VaR(95%) (moments method)0.04018

Expected Shortfall (moments method)0.05319

Extreme Value Index (regression method)0.04504

VaR(95%) (regression method)0.05558

Expected Shortfall (regression method)0.07919
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.00308

Quartile 10.06950

Median0.13593

Quartile 30.31260

Maximum0.48928

Mean of quarter 10.00308

Mean of quarter 20.13593

Mean of quarter 30.00000

Mean of quarter 40.48928

Inter Quartile Range0.24310

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.23626

Compounded annual return (geometric extrapolation)0.22230

Calmar ratio (compounded annual return / max draw down)0.45435

Compounded annual return / average of 25% largest draw downs0.45435

Compounded annual return / Expected Shortfall lognormal2.47935
Strategy Description
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 25 trades/mo, but can vary from 010 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
Latest Activity
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.