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

4QTiming NDX3x
(105498828)

Created by: 4QTiming 4QTiming
Started: 11/2016
Stocks
Last trade: 5 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $75.00 per month.

60.0%
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.

14.0%
Max Drawdown
35
Num Trades
42.9%
Win Trades
2.8 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +4.2%+10.9%+15.5%
2017+11.3%+7.7%(1.5%)(0.8%)+6.8%(0.9%)(0.7%)(0.1%)(2.1%)+6.6%(4.4%)+4.3%+28.1%
2018+16.2%+6.0%                                                            +23.2%

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 58 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/12/18 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 125 143.99 2/14 15:56 154.05 3.36%
Trade id #116468453
Max drawdown($622)
Time2/14/18 8:33
Quant open125
Worst price139.01
Drawdown as % of equity-3.36%
$1,255
Includes Typical Broker Commissions trade costs of $2.50
2/7/18 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 125 150.22 2/8 10:55 141.50 5.73%
Trade id #116377574
Max drawdown($1,091)
Time2/8/18 10:55
Quant open0
Worst price141.50
Drawdown as % of equity-5.73%
($1,094)
Includes Typical Broker Commissions trade costs of $2.50
2/2/18 15:56 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 900 18.09 2/5 15:57 19.91 1.82%
Trade id #116259163
Max drawdown($323)
Time2/5/18 10:27
Quant open900
Worst price17.73
Drawdown as % of equity-1.82%
$1,636
Includes Typical Broker Commissions trade costs of $5.00
2/1/18 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 99 173.00 2/2 10:04 166.28 3.61%
Trade id #116233981
Max drawdown($665)
Time2/2/18 10:04
Quant open0
Worst price166.28
Drawdown as % of equity-3.61%
($667)
Includes Typical Broker Commissions trade costs of $1.98
1/30/18 15:55 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,030 16.80 1/31 9:37 16.49 1.67%
Trade id #116186124
Max drawdown($314)
Time1/31/18 9:37
Quant open0
Worst price16.49
Drawdown as % of equity-1.67%
($319)
Includes Typical Broker Commissions trade costs of $5.00
1/2/18 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 99 145.97 1/30 9:30 174.20 0.35%
Trade id #115653844
Max drawdown($56)
Time1/2/18 18:01
Quant open99
Worst price145.40
Drawdown as % of equity-0.35%
$2,793
Includes Typical Broker Commissions trade costs of $1.98
12/7/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 103 134.08 12/26 9:30 140.77 0.26%
Trade id #115247835
Max drawdown($40)
Time12/7/17 16:00
Quant open103
Worst price133.69
Drawdown as % of equity-0.26%
$687
Includes Typical Broker Commissions trade costs of $2.06
11/24/17 12:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 140.22 11/29 10:00 137.74 1.59%
Trade id #115017069
Max drawdown($248)
Time11/29/17 10:00
Quant open0
Worst price137.74
Drawdown as % of equity-1.59%
($250)
Includes Typical Broker Commissions trade costs of $2.00
11/3/17 15:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 106 132.60 11/9 9:40 132.50 0.37%
Trade id #114680543
Max drawdown($57)
Time11/3/17 19:31
Quant open106
Worst price132.06
Drawdown as % of equity-0.37%
($13)
Includes Typical Broker Commissions trade costs of $2.12
10/27/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 110 127.79 11/2 11:33 127.06 0.56%
Trade id #114579380
Max drawdown($86)
Time10/27/17 17:28
Quant open110
Worst price127.00
Drawdown as % of equity-0.56%
($82)
Includes Typical Broker Commissions trade costs of $2.20
9/25/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 118 108.12 10/19 15:55 120.71 0.12%
Trade id #113848492
Max drawdown($17)
Time9/26/17 11:29
Quant open118
Worst price107.97
Drawdown as % of equity-0.12%
$1,484
Includes Typical Broker Commissions trade costs of $2.36
9/13/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 112 116.16 9/15 9:30 114.00 2.54%
Trade id #113670313
Max drawdown($359)
Time9/14/17 18:03
Quant open112
Worst price112.95
Drawdown as % of equity-2.54%
($244)
Includes Typical Broker Commissions trade costs of $2.24
9/5/17 15:56 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 500 27.46 9/7 10:47 26.86 2.06%
Trade id #113547257
Max drawdown($298)
Time9/7/17 10:47
Quant open0
Worst price26.86
Drawdown as % of equity-2.06%
($308)
Includes Typical Broker Commissions trade costs of $10.00
8/30/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 120 112.29 9/5 12:04 112.22 0.12%
Trade id #113455408
Max drawdown($17)
Time8/30/17 16:00
Quant open120
Worst price112.14
Drawdown as % of equity-0.12%
($11)
Includes Typical Broker Commissions trade costs of $2.40
8/22/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 123 109.33 8/24 9:59 106.80 2.29%
Trade id #113282643
Max drawdown($339)
Time8/23/17 18:54
Quant open123
Worst price106.57
Drawdown as % of equity-2.29%
($313)
Includes Typical Broker Commissions trade costs of $2.46
7/28/17 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 495 28.53 7/31 9:30 27.88 2.19%
Trade id #112860515
Max drawdown($331)
Time7/31/17 8:53
Quant open495
Worst price27.86
Drawdown as % of equity-2.19%
($332)
Includes Typical Broker Commissions trade costs of $9.90
7/12/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 130 104.51 7/27 13:24 110.21 0.27%
Trade id #112561652
Max drawdown($39)
Time7/13/17 10:38
Quant open130
Worst price104.21
Drawdown as % of equity-0.27%
$738
Includes Typical Broker Commissions trade costs of $2.60
7/6/17 15:56 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 420 33.09 7/7 9:54 32.40 1.93%
Trade id #112452163
Max drawdown($287)
Time7/7/17 9:54
Quant open0
Worst price32.40
Drawdown as % of equity-1.93%
($295)
Includes Typical Broker Commissions trade costs of $8.40
7/5/17 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 147 95.85 7/6 9:39 94.92 1.14%
Trade id #112415493
Max drawdown($174)
Time7/6/17 8:20
Quant open147
Worst price94.66
Drawdown as % of equity-1.14%
($139)
Includes Typical Broker Commissions trade costs of $2.94
6/29/17 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 140 101.88 6/29 11:10 98.39 3.22%
Trade id #112279404
Max drawdown($489)
Time6/29/17 11:10
Quant open0
Worst price98.39
Drawdown as % of equity-3.22%
($492)
Includes Typical Broker Commissions trade costs of $2.80
6/16/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 140 99.82 6/21 9:30 102.86 0.14%
Trade id #112102676
Max drawdown($21)
Time6/16/17 16:00
Quant open140
Worst price99.67
Drawdown as % of equity-0.14%
$422
Includes Typical Broker Commissions trade costs of $2.80
6/13/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 135 103.52 6/14 15:56 102.29 3.23%
Trade id #112040196
Max drawdown($484)
Time6/14/17 15:15
Quant open135
Worst price99.93
Drawdown as % of equity-3.23%
($169)
Includes Typical Broker Commissions trade costs of $2.70
5/22/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 132 101.42 6/9 12:37 107.65 0.66%
Trade id #111718155
Max drawdown($95)
Time5/22/17 19:58
Quant open132
Worst price100.70
Drawdown as % of equity-0.66%
$819
Includes Typical Broker Commissions trade costs of $2.64
4/25/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 135 93.58 5/17 10:54 97.99 0.77%
Trade id #111259494
Max drawdown($106)
Time4/26/17 16:25
Quant open135
Worst price92.79
Drawdown as % of equity-0.77%
$593
Includes Typical Broker Commissions trade costs of $2.70
4/20/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 142 88.82 4/21 15:56 88.40 1.13%
Trade id #111168836
Max drawdown($155)
Time4/21/17 13:12
Quant open142
Worst price87.72
Drawdown as % of equity-1.13%
($63)
Includes Typical Broker Commissions trade costs of $2.84
3/28/17 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 145 87.06 4/3 12:01 86.78 0.43%
Trade id #110493248
Max drawdown($59)
Time3/28/17 16:24
Quant open145
Worst price86.65
Drawdown as % of equity-0.43%
($43)
Includes Typical Broker Commissions trade costs of $2.90
3/15/17 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 87.73 3/21 11:03 85.79 2.07%
Trade id #110258132
Max drawdown($291)
Time3/21/17 11:03
Quant open0
Worst price85.79
Drawdown as % of equity-2.07%
($294)
Includes Typical Broker Commissions trade costs of $3.00
2/7/17 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 160 76.43 2/24 15:18 83.11 0.69%
Trade id #109367813
Max drawdown($90)
Time2/8/17 9:51
Quant open160
Worst price75.87
Drawdown as % of equity-0.69%
$1,066
Includes Typical Broker Commissions trade costs of $3.20
1/12/17 13:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 170 70.17 1/30 15:55 74.11 0.3%
Trade id #108601824
Max drawdown($37)
Time1/12/17 14:07
Quant open170
Worst price69.95
Drawdown as % of equity-0.30%
$667
Includes Typical Broker Commissions trade costs of $3.40
12/30/16 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 170 63.08 1/12/17 9:30 70.08 n/a $1,187
Includes Typical Broker Commissions trade costs of $3.40

Statistics

  • Strategy began
    11/15/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    463.14
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    35
  • # Profitable
    15
  • % Profitable
    42.90%
  • Avg trade duration
    7.9 days
  • Max peak-to-valley drawdown
    13.96%
  • drawdown period
    July 27, 2017 - Sept 15, 2017
  • Annual Return (Compounded)
    60.0%
  • Avg win
    $994.93
  • Avg loss
    $267.55
  • Model Account Values (Raw)
  • Cash
    $19,575
  • Margin Used
    $0
  • Buying Power
    $19,575
  • Ratios
  • W:L ratio
    2.79:1
  • Sharpe Ratio
    3.169
  • Sortino Ratio
    5.619
  • Calmar Ratio
    6.647
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.30000
  • Return Statistics
  • Ann Return (w trading costs)
    60.0%
  • Ann Return (Compnd, No Fees)
    69.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    845
  • Popularity (Last 6 weeks)
    938
  • C2 Score
    85.7
  • 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
    $268
  • Avg Win
    $995
  • # Winners
    15
  • # Losers
    20
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    11341.70
  • Avg Position Time (hrs)
    189.03
  • Avg Trade Length
    7.9 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
    0.57263
  • SD
    0.21210
  • Sharpe ratio (Glass type estimate)
    2.69976
  • Sharpe ratio (Hedges UMVUE)
    2.55205
  • df
    14.00000
  • t
    3.01842
  • p
    0.18606
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.64994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.67707
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54371
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.15450
  • Upside Potential Ratio
    11.59570
  • Upside part of mean
    0.65390
  • Downside part of mean
    -0.08127
  • Upside SD
    0.25717
  • Downside SD
    0.05639
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.17992
  • Mean of criterion
    0.57263
  • SD of predictor
    0.07798
  • SD of criterion
    0.21210
  • Covariance
    0.00492
  • r
    0.29767
  • b (slope, estimate of beta)
    0.80972
  • a (intercept, estimate of alpha)
    0.42695
  • Mean Square Error
    0.04416
  • DF error
    13.00000
  • t(b)
    1.12424
  • p(b)
    0.31333
  • t(a)
    1.87021
  • p(a)
    0.21759
  • Lowerbound of 95% confidence interval for beta
    -0.74626
  • Upperbound of 95% confidence interval for beta
    2.36569
  • Lowerbound of 95% confidence interval for alpha
    -0.06624
  • Upperbound of 95% confidence interval for alpha
    0.92014
  • Treynor index (mean / b)
    0.70720
  • Jensen alpha (a)
    0.42695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54022
  • SD
    0.20281
  • Sharpe ratio (Glass type estimate)
    2.66365
  • Sharpe ratio (Hedges UMVUE)
    2.51792
  • df
    14.00000
  • t
    2.97805
  • p
    0.18863
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63476
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50361
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.33635
  • Upside Potential Ratio
    10.76930
  • Upside part of mean
    0.62314
  • Downside part of mean
    -0.08292
  • Upside SD
    0.24364
  • Downside SD
    0.05786
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.17580
  • Mean of criterion
    0.54022
  • SD of predictor
    0.07735
  • SD of criterion
    0.20281
  • Covariance
    0.00449
  • r
    0.28619
  • b (slope, estimate of beta)
    0.75038
  • a (intercept, estimate of alpha)
    0.40830
  • Mean Square Error
    0.04067
  • DF error
    13.00000
  • t(b)
    1.07693
  • p(b)
    0.32032
  • t(a)
    1.87263
  • p(a)
    0.21732
  • Lowerbound of 95% confidence interval for beta
    -0.75492
  • Upperbound of 95% confidence interval for beta
    2.25569
  • Lowerbound of 95% confidence interval for alpha
    -0.06274
  • Upperbound of 95% confidence interval for alpha
    0.87934
  • Treynor index (mean / b)
    0.71993
  • Jensen alpha (a)
    0.40830
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04999
  • Expected Shortfall on VaR
    0.07273
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00972
  • Expected Shortfall on VaR
    0.02285
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.94270
  • Quartile 1
    0.99787
  • Median
    1.05491
  • Quartile 3
    1.09421
  • Maximum
    1.15714
  • Mean of quarter 1
    0.97460
  • Mean of quarter 2
    1.02511
  • Mean of quarter 3
    1.08023
  • Mean of quarter 4
    1.11906
  • Inter Quartile Range
    0.09634
  • 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)
    -0.00753
  • VaR(95%) (moments method)
    0.02290
  • Expected Shortfall (moments method)
    0.03227
  • Extreme Value Index (regression method)
    1.00861
  • VaR(95%) (regression method)
    0.02934
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01691
  • Quartile 1
    0.01728
  • Median
    0.01764
  • Quartile 3
    0.04206
  • Maximum
    0.06647
  • Mean of quarter 1
    0.01691
  • Mean of quarter 2
    0.01764
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06647
  • Inter Quartile Range
    0.02478
  • 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)
    0.77166
  • Compounded annual return (geometric extrapolation)
    0.71639
  • Calmar ratio (compounded annual return / max draw down)
    10.77680
  • Compounded annual return / average of 25% largest draw downs
    10.77680
  • Compounded annual return / Expected Shortfall lognormal
    9.84966
  • 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
    0.55037
  • SD
    0.17328
  • Sharpe ratio (Glass type estimate)
    3.17609
  • Sharpe ratio (Hedges UMVUE)
    3.16882
  • df
    328.00000
  • t
    3.55910
  • p
    0.00021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.40791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93957
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93460
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.61919
  • Upside Potential Ratio
    12.18110
  • Upside part of mean
    1.19307
  • Downside part of mean
    -0.64270
  • Upside SD
    0.14663
  • Downside SD
    0.09794
  • N nonnegative terms
    222.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    329.00000
  • Mean of predictor
    0.17927
  • Mean of criterion
    0.55037
  • SD of predictor
    0.09158
  • SD of criterion
    0.17328
  • Covariance
    0.00482
  • r
    0.30350
  • b (slope, estimate of beta)
    0.57424
  • a (intercept, estimate of alpha)
    0.44700
  • Mean Square Error
    0.02734
  • DF error
    327.00000
  • t(b)
    5.75993
  • p(b)
    0.00000
  • t(a)
    3.00998
  • p(a)
    0.00141
  • Lowerbound of 95% confidence interval for beta
    0.37811
  • Upperbound of 95% confidence interval for beta
    0.77037
  • Lowerbound of 95% confidence interval for alpha
    0.15500
  • Upperbound of 95% confidence interval for alpha
    0.73984
  • Treynor index (mean / b)
    0.95842
  • Jensen alpha (a)
    0.44742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53492
  • SD
    0.17256
  • Sharpe ratio (Glass type estimate)
    3.09994
  • Sharpe ratio (Hedges UMVUE)
    3.09284
  • df
    328.00000
  • t
    3.47376
  • p
    0.00029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.33260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85783
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.40220
  • Upside Potential Ratio
    11.94200
  • Upside part of mean
    1.18250
  • Downside part of mean
    -0.64757
  • Upside SD
    0.14482
  • Downside SD
    0.09902
  • N nonnegative terms
    222.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    329.00000
  • Mean of predictor
    0.17500
  • Mean of criterion
    0.53492
  • SD of predictor
    0.09211
  • SD of criterion
    0.17256
  • Covariance
    0.00481
  • r
    0.30282
  • b (slope, estimate of beta)
    0.56727
  • a (intercept, estimate of alpha)
    0.43565
  • Mean Square Error
    0.02713
  • DF error
    327.00000
  • t(b)
    5.74561
  • p(b)
    0.00000
  • t(a)
    2.94367
  • p(a)
    0.00174
  • Lowerbound of 95% confidence interval for beta
    0.37304
  • Upperbound of 95% confidence interval for beta
    0.76150
  • Lowerbound of 95% confidence interval for alpha
    0.14451
  • Upperbound of 95% confidence interval for alpha
    0.72680
  • Treynor index (mean / b)
    0.94298
  • Jensen alpha (a)
    0.43565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01537
  • Expected Shortfall on VaR
    0.01974
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00410
  • Expected Shortfall on VaR
    0.00930
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    329.00000
  • Minimum
    0.95873
  • Quartile 1
    0.99826
  • Median
    1.00000
  • Quartile 3
    1.00708
  • Maximum
    1.04739
  • Mean of quarter 1
    0.99045
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00255
  • Mean of quarter 4
    1.01572
  • Inter Quartile Range
    0.00881
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.04255
  • Mean of outliers low
    0.97716
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.04863
  • Mean of outliers high
    1.02916
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35231
  • VaR(95%) (moments method)
    0.00598
  • Expected Shortfall (moments method)
    0.00744
  • Extreme Value Index (regression method)
    0.04119
  • VaR(95%) (regression method)
    0.00872
  • Expected Shortfall (regression method)
    0.01338
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00666
  • Median
    0.01161
  • Quartile 3
    0.03623
  • Maximum
    0.10641
  • Mean of quarter 1
    0.00376
  • Mean of quarter 2
    0.00857
  • Mean of quarter 3
    0.02408
  • Mean of quarter 4
    0.06150
  • Inter Quartile Range
    0.02957
  • 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
    0.03704
  • Mean of outliers high
    0.10641
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.17367
  • VaR(95%) (moments method)
    0.06639
  • Expected Shortfall (moments method)
    0.08118
  • Extreme Value Index (regression method)
    0.01616
  • VaR(95%) (regression method)
    0.07507
  • Expected Shortfall (regression method)
    0.09953
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76259
  • Compounded annual return (geometric extrapolation)
    0.70732
  • Calmar ratio (compounded annual return / max draw down)
    6.64680
  • Compounded annual return / average of 25% largest draw downs
    11.50090
  • Compounded annual return / Expected Shortfall lognormal
    35.82620
  • 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
    0.55213
  • SD
    0.19126
  • Sharpe ratio (Glass type estimate)
    2.88672
  • Sharpe ratio (Hedges UMVUE)
    2.87003
  • df
    130.00000
  • t
    2.04122
  • p
    0.41189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.67517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.66371
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.26949
  • Upside Potential Ratio
    12.24710
  • Upside part of mean
    1.28323
  • Downside part of mean
    -0.73110
  • Upside SD
    0.16275
  • Downside SD
    0.10478
  • N nonnegative terms
    85.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23314
  • Mean of criterion
    0.55213
  • SD of predictor
    0.11507
  • SD of criterion
    0.19126
  • Covariance
    0.00694
  • r
    0.31537
  • b (slope, estimate of beta)
    0.52418
  • a (intercept, estimate of alpha)
    0.42992
  • Mean Square Error
    0.03320
  • DF error
    129.00000
  • t(b)
    3.77448
  • p(b)
    0.30261
  • t(a)
    1.65541
  • p(a)
    0.40850
  • Lowerbound of 95% confidence interval for beta
    0.24941
  • Upperbound of 95% confidence interval for beta
    0.79894
  • Lowerbound of 95% confidence interval for alpha
    -0.08391
  • Upperbound of 95% confidence interval for alpha
    0.94375
  • Treynor index (mean / b)
    1.05332
  • Jensen alpha (a)
    0.42992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53358
  • SD
    0.19005
  • Sharpe ratio (Glass type estimate)
    2.80750
  • Sharpe ratio (Hedges UMVUE)
    2.79127
  • df
    130.00000
  • t
    1.98520
  • p
    0.41423
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.59489
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.58377
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.04061
  • Upside Potential Ratio
    11.99980
  • Upside part of mean
    1.27024
  • Downside part of mean
    -0.73667
  • Upside SD
    0.16039
  • Downside SD
    0.10586
  • N nonnegative terms
    85.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22640
  • Mean of criterion
    0.53358
  • SD of predictor
    0.11610
  • SD of criterion
    0.19005
  • Covariance
    0.00695
  • r
    0.31511
  • b (slope, estimate of beta)
    0.51584
  • a (intercept, estimate of alpha)
    0.41679
  • Mean Square Error
    0.03279
  • DF error
    129.00000
  • t(b)
    3.77111
  • p(b)
    0.30276
  • t(a)
    1.61588
  • p(a)
    0.41063
  • Lowerbound of 95% confidence interval for beta
    0.24520
  • Upperbound of 95% confidence interval for beta
    0.78647
  • Lowerbound of 95% confidence interval for alpha
    -0.09354
  • Upperbound of 95% confidence interval for alpha
    0.92712
  • Treynor index (mean / b)
    1.03439
  • Jensen alpha (a)
    0.41679
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01713
  • Expected Shortfall on VaR
    0.02193
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00498
  • Expected Shortfall on VaR
    0.01090
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96871
  • Quartile 1
    0.99789
  • Median
    1.00000
  • Quartile 3
    1.00688
  • Maximum
    1.04739
  • Mean of quarter 1
    0.98918
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00260
  • Mean of quarter 4
    1.01692
  • Inter Quartile Range
    0.00899
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97657
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.03502
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.52198
  • VaR(95%) (moments method)
    0.00845
  • Expected Shortfall (moments method)
    0.00993
  • Extreme Value Index (regression method)
    -0.06073
  • VaR(95%) (regression method)
    0.01083
  • Expected Shortfall (regression method)
    0.01526
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00064
  • Quartile 1
    0.00826
  • Median
    0.01735
  • Quartile 3
    0.04186
  • Maximum
    0.07580
  • Mean of quarter 1
    0.00396
  • Mean of quarter 2
    0.01045
  • Mean of quarter 3
    0.03023
  • Mean of quarter 4
    0.06508
  • Inter Quartile Range
    0.03361
  • 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)
    -1.21932
  • VaR(95%) (moments method)
    0.07204
  • Expected Shortfall (moments method)
    0.07452
  • Extreme Value Index (regression method)
    0.27631
  • VaR(95%) (regression method)
    0.07569
  • Expected Shortfall (regression method)
    0.09643
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61153
  • Compounded annual return (geometric extrapolation)
    0.70502
  • Calmar ratio (compounded annual return / max draw down)
    9.30109
  • Compounded annual return / average of 25% largest draw downs
    10.83260
  • Compounded annual return / Expected Shortfall lognormal
    32.14950

Strategy Description

The strategy is based on a model that has evolved over ten years utilizing market trends and swings. Most trades will be with the Nasdaq100 3x etfs TQQQ/SQQQ. Occasionally trades may occur with 1x and 2x etfs. All 3x etf trades will have an associated stop loss value. Strategy does not do 'short' trades, so can easily be used for IRA accounts.

There are typically 2-5 trades/mo, but can vary from 0-10 /mo depending on market activity. The strategy can be manually followed easily. Trades will be executed prior to market close and occasionally at next day market open. Best returns are achieved if trades are executed when trades are broadcast and prior to market close. Returns are marginally impacted if this is not possible and trades are executed at next market open.

5Yr Backtested Performance (These results represent hypothetical backtesting.)
Year Return DrawDown
2016 192.4% -6.7%
2015 260.6% -8.5%
2014 171.4% -8.3%
2013 152.3% -6.0%
2012 174.9% -14.3%
Send email to [email protected] to request 10yr back tested trading performance.

Summary Statistics

Strategy began
2016-11-15
Suggested Minimum Capital
$15,000
# Trades
35
# Profitable
15
% Profitable
42.9%
Correlation S&P500
0.300
Sharpe Ratio
3.169

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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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.