4QTiming NDX3x
(105498828)
Subscription terms. Subscriptions to this system cost $75.00 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  +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%  +7.1%  (9.3%)  (6.2%)  (9.1%)  +1.4%  +8.2%  +5.7% 
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.
Started  $10,000  
Buy Power  $5,865  
Cash  $1  
Equity  $1  
Cumulative $  $7,624  
Total System Equity  $17,624  
Margined  $1  
Open P/L  $1,757  
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 began11/15/2016

Suggested Minimum Cap$15,000

Strategy Age (days)609.33

Age20 months ago

What it tradesStocks

# Trades55

# Profitable20

% Profitable36.40%

Avg trade duration6.2 days

Max peaktovalley drawdown30.47%

drawdown periodMarch 12, 2018  July 02, 2018

Annual Return (Compounded)30.5%

Avg win$928.10

Avg loss$312.66
 Model Account Values (Raw)

Cash$4,141

Margin Used$0

Buying Power$5,865
 Ratios

W:L ratio1.70:1

Sharpe Ratio1.801

Sortino Ratio2.897

Calmar Ratio1.548
 CORRELATION STATISTICS

Correlation to SP5000.27400
 Return Statistics

Ann Return (w trading costs)30.5%

Ann Return (Compnd, No Fees)39.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss15.00%

Chance of 20% account loss1.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)621

Popularity (Last 6 weeks)867

C2 Score35.0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$313

Avg Win$918

# Winners20

# Losers35

% Winners36.4%
 Frequency

Avg Position Time (mins)8979.62

Avg Position Time (hrs)149.66

Avg Trade Length6.2 days

Last Trade Ago3
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.30497

SD0.24817

Sharpe ratio (Glass type estimate)1.22885

Sharpe ratio (Hedges UMVUE)1.17680

df18.00000

t1.54627

p0.32879

Lowerbound of 95% confidence interval for Sharpe Ratio0.39484

Upperbound of 95% confidence interval for Sharpe Ratio2.82077

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.42755

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.78116
 Statistics related to Sortino ratio

Sortino ratio2.42280

Upside Potential Ratio3.99323

Upside part of mean0.50264

Downside part of mean0.19768

Upside SD0.22418

Downside SD0.12587

N nonnegative terms12.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.12207

Mean of criterion0.30497

SD of predictor0.07410

SD of criterion0.24817

Covariance0.00668

r0.36323

b (slope, estimate of beta)1.21653

a (intercept, estimate of alpha)0.15646

Mean Square Error0.05661

DF error17.00000

t(b)1.60742

p(b)0.27395

t(a)0.74346

p(a)0.38762

Lowerbound of 95% confidence interval for beta0.38022

Upperbound of 95% confidence interval for beta2.81328

Lowerbound of 95% confidence interval for alpha0.28755

Upperbound of 95% confidence interval for alpha0.60047

Treynor index (mean / b)0.25069

Jensen alpha (a)0.15646
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.27252

SD0.24369

Sharpe ratio (Glass type estimate)1.11830

Sharpe ratio (Hedges UMVUE)1.07094

df18.00000

t1.40716

p0.34260

Lowerbound of 95% confidence interval for Sharpe Ratio0.49562

Upperbound of 95% confidence interval for Sharpe Ratio2.70296

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.52549

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.66736
 Statistics related to Sortino ratio

Sortino ratio2.06158

Upside Potential Ratio3.61738

Upside part of mean0.47818

Downside part of mean0.20566

Upside SD0.21207

Downside SD0.13219

N nonnegative terms12.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations19.00000

Mean of predictor0.11863

Mean of criterion0.27252

SD of predictor0.07349

SD of criterion0.24369

Covariance0.00637

r0.35550

b (slope, estimate of beta)1.17880

a (intercept, estimate of alpha)0.13268

Mean Square Error0.05493

DF error17.00000

t(b)1.56818

p(b)0.27855

t(a)0.64251

p(a)0.40237

Lowerbound of 95% confidence interval for beta0.40714

Upperbound of 95% confidence interval for beta2.76474

Lowerbound of 95% confidence interval for alpha0.30301

Upperbound of 95% confidence interval for alpha0.56838

Treynor index (mean / b)0.23118

Jensen alpha (a)0.13268
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08881

Expected Shortfall on VaR0.11490
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03067

Expected Shortfall on VaR0.06521
 ORDER STATISTICS
 Quartiles of return rates

Number of observations19.00000

Minimum0.88197

Quartile 10.98668

Median1.01070

Quartile 31.09065

Maximum1.15714

Mean of quarter 10.94285

Mean of quarter 21.00157

Mean of quarter 31.05919

Mean of quarter 41.11365

Inter Quartile Range0.10397

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)0.27887

VaR(95%) (moments method)0.05210

Expected Shortfall (moments method)0.09331

Extreme Value Index (regression method)1.15307

VaR(95%) (regression method)0.06662

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.01691

Quartile 10.01746

Median0.04206

Quartile 30.09634

Maximum0.18593

Mean of quarter 10.01691

Mean of quarter 20.01764

Mean of quarter 30.06647

Mean of quarter 40.18593

Inter Quartile Range0.07888

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)0.38470

Compounded annual return (geometric extrapolation)0.35043

Calmar ratio (compounded annual return / max draw down)1.88481

Compounded annual return / average of 25% largest draw downs1.88481

Compounded annual return / Expected Shortfall lognormal3.04980

0.00000

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

Mean0.32829

SD0.18195

Sharpe ratio (Glass type estimate)1.80432

Sharpe ratio (Hedges UMVUE)1.80119

df432.00000

t2.31957

p0.01041

Lowerbound of 95% confidence interval for Sharpe Ratio0.27396

Upperbound of 95% confidence interval for Sharpe Ratio3.33263

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.27187

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.33051
 Statistics related to Sortino ratio

Sortino ratio2.89674

Upside Potential Ratio10.00720

Upside part of mean1.13413

Downside part of mean0.80583

Upside SD0.14351

Downside SD0.11333

N nonnegative terms175.00000

N negative terms258.00000
 Statistics related to linear regression on benchmark

N of observations433.00000

Mean of predictor0.12884

Mean of criterion0.32829

SD of predictor0.10668

SD of criterion0.18195

Covariance0.00536

r0.27620

b (slope, estimate of beta)0.47106

a (intercept, estimate of alpha)0.26800

Mean Square Error0.03065

DF error431.00000

t(b)5.96604

p(b)0.00000

t(a)1.95952

p(a)0.02535

Lowerbound of 95% confidence interval for beta0.31588

Upperbound of 95% confidence interval for beta0.62625

Lowerbound of 95% confidence interval for alpha0.00081

Upperbound of 95% confidence interval for alpha0.53601

Treynor index (mean / b)0.69691

Jensen alpha (a)0.26760
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31161

SD0.18148

Sharpe ratio (Glass type estimate)1.71700

Sharpe ratio (Hedges UMVUE)1.71402

df432.00000

t2.20731

p0.01391

Lowerbound of 95% confidence interval for Sharpe Ratio0.18716

Upperbound of 95% confidence interval for Sharpe Ratio3.24494

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.18514

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.24289
 Statistics related to Sortino ratio

Sortino ratio2.71923

Upside Potential Ratio9.80742

Upside part of mean1.12387

Downside part of mean0.81227

Upside SD0.14177

Downside SD0.11459

N nonnegative terms175.00000

N negative terms258.00000
 Statistics related to linear regression on benchmark

N of observations433.00000

Mean of predictor0.12309

Mean of criterion0.31161

SD of predictor0.10708

SD of criterion0.18148

Covariance0.00536

r0.27574

b (slope, estimate of beta)0.46734

a (intercept, estimate of alpha)0.25408

Mean Square Error0.03050

DF error431.00000

t(b)5.95549

p(b)0.00000

t(a)1.86552

p(a)0.03139

Lowerbound of 95% confidence interval for beta0.31311

Upperbound of 95% confidence interval for beta0.62158

Lowerbound of 95% confidence interval for alpha0.01361

Upperbound of 95% confidence interval for alpha0.52178

Treynor index (mean / b)0.66676

Jensen alpha (a)0.25408
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01710

Expected Shortfall on VaR0.02169
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00785

Expected Shortfall on VaR0.01574
 ORDER STATISTICS
 Quartiles of return rates

Number of observations433.00000

Minimum0.95873

Quartile 10.99689

Median1.00000

Quartile 31.00657

Maximum1.04739

Mean of quarter 10.98845

Mean of quarter 20.99958

Mean of quarter 31.00192

Mean of quarter 41.01561

Inter Quartile Range0.00969

Number outliers low18.00000

Percentage of outliers low0.04157

Mean of outliers low0.97440

Number of outliers high22.00000

Percentage of outliers high0.05081

Mean of outliers high1.02846
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.21036

VaR(95%) (moments method)0.00896

Expected Shortfall (moments method)0.01149

Extreme Value Index (regression method)0.04278

VaR(95%) (regression method)0.01051

Expected Shortfall (regression method)0.01475
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations29.00000

Minimum0.00031

Quartile 10.00720

Median0.01196

Quartile 30.03683

Maximum0.26107

Mean of quarter 10.00463

Mean of quarter 20.00925

Mean of quarter 30.02646

Mean of quarter 40.09354

Inter Quartile Range0.02963

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.06897

Mean of outliers high0.18374
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.47418

VaR(95%) (moments method)0.09938

Expected Shortfall (moments method)0.20663

Extreme Value Index (regression method)0.83937

VaR(95%) (regression method)0.10977

Expected Shortfall (regression method)0.61485
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.45539

Compounded annual return (geometric extrapolation)0.40427

Calmar ratio (compounded annual return / max draw down)1.54849

Compounded annual return / average of 25% largest draw downs4.32204

Compounded annual return / Expected Shortfall lognormal18.63780

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

Mean0.01244

SD0.23645

Sharpe ratio (Glass type estimate)0.05259

Sharpe ratio (Hedges UMVUE)0.05229

df130.00000

t0.03719

p0.50163

Lowerbound of 95% confidence interval for Sharpe Ratio2.82441

Upperbound of 95% confidence interval for Sharpe Ratio2.71922

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.82410

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.71952
 Statistics related to Sortino ratio

Sortino ratio0.07900

Upside Potential Ratio8.32878

Upside part of mean1.31119

Downside part of mean1.32363

Upside SD0.17522

Downside SD0.15743

N nonnegative terms47.00000

N negative terms84.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00567

Mean of criterion0.01244

SD of predictor0.16441

SD of criterion0.23645

Covariance0.00985

r0.25346

b (slope, estimate of beta)0.36451

a (intercept, estimate of alpha)0.01037

Mean Square Error0.05272

DF error129.00000

t(b)2.97588

p(b)0.34039

t(a)0.03193

p(a)0.50179

Lowerbound of 95% confidence interval for beta0.12216

Upperbound of 95% confidence interval for beta0.60686

Lowerbound of 95% confidence interval for alpha0.65286

Upperbound of 95% confidence interval for alpha0.63212

Treynor index (mean / b)0.03412

Jensen alpha (a)0.01037
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.04007

SD0.23576

Sharpe ratio (Glass type estimate)0.16994

Sharpe ratio (Hedges UMVUE)0.16896

df130.00000

t0.12017

p0.50527

Lowerbound of 95% confidence interval for Sharpe Ratio2.94159

Upperbound of 95% confidence interval for Sharpe Ratio2.60218

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.94084

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.60292
 Statistics related to Sortino ratio

Sortino ratio0.25151

Upside Potential Ratio8.13543

Upside part of mean1.29601

Downside part of mean1.33607

Upside SD0.17259

Downside SD0.15930

N nonnegative terms47.00000

N negative terms84.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01918

Mean of criterion0.04007

SD of predictor0.16525

SD of criterion0.23576

Covariance0.00986

r0.25304

b (slope, estimate of beta)0.36102

a (intercept, estimate of alpha)0.03314

Mean Square Error0.05243

DF error129.00000

t(b)2.97068

p(b)0.34064

t(a)0.10235

p(a)0.50574

Lowerbound of 95% confidence interval for beta0.12058

Upperbound of 95% confidence interval for beta0.60147

Lowerbound of 95% confidence interval for alpha0.67383

Upperbound of 95% confidence interval for alpha0.60755

Treynor index (mean / b)0.11098

Jensen alpha (a)0.03314
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02382

Expected Shortfall on VaR0.02973
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01355

Expected Shortfall on VaR0.02485
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96405

Quartile 10.99209

Median1.00000

Quartile 31.00647

Maximum1.04739

Mean of quarter 10.98288

Mean of quarter 20.99734

Mean of quarter 31.00122

Mean of quarter 41.01883

Inter Quartile Range0.01439

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.96787

Number of outliers high6.00000

Percentage of outliers high0.04580

Mean of outliers high1.03745
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.06374

VaR(95%) (moments method)0.01680

Expected Shortfall (moments method)0.02171

Extreme Value Index (regression method)0.25070

VaR(95%) (regression method)0.01717

Expected Shortfall (regression method)0.02084
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00703

Quartile 10.00807

Median0.01584

Quartile 30.06639

Maximum0.26107

Mean of quarter 10.00737

Mean of quarter 20.01214

Mean of quarter 30.05697

Mean of quarter 40.16844

Inter Quartile Range0.05831

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.14286

Mean of outliers high0.26107
 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)0.01212

Compounded annual return (geometric extrapolation)0.01209

Calmar ratio (compounded annual return / max draw down)0.04629

Compounded annual return / average of 25% largest draw downs0.07175

Compounded annual return / Expected Shortfall lognormal0.40649
Strategy Description
There are typically 25 trades/mo, but can vary from 010 /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 support@4QTiming.com to request 10yr back tested trading performance.
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.