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Featured Strategy S2Prox0 Followed by live capital $152,000 Hypothetical

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Pairs Trading QID QLD Scalper
(25716110)

Created by: FinancialScientist FinancialScientist
Started: 03/2007
Stocks
Last trade: 5,287 days ago
Subscriptions not currently available.

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

1.7%
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.

(39.0%)
Max Drawdown
78
Num Trades
60.3%
Win Trades
1.1 : 1
Profit Factor
8.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007              +7.5%(5.2%)+9.5%+3.5%(9%)+11.7%+11.3%+17.3%+2.0%+4.8%+64.0%
2008(13.2%)+19.3%+12.7%(2.5%)+5.4%(9.1%)+2.3%+2.8%(17.8%)  -  (6.4%)  -  (11.9%)
2009(5.1%)+12.7%(15.3%)+39.9%(7.1%)(6.3%)(19.2%)+9.8%+12.1%(20.5%)+5.3%  -  (8.1%)
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 one hour.

Trading Record

This strategy has placed 6 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5956 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/29/09 9:30 QLD PROSHARES ULTRA QQQ LONG 21,928 12.36 11/4 9:30 12.24 10.1%
Trade id #44306181
Max drawdown($13,430)
Time11/2/09 14:08
Quant open5,482
Worst price46.97
Drawdown as % of equity-10.10%
 ($2,636)
Includes Typical Broker Commissions trade costs of $5.00
10/27/09 9:32 QLD PROSHARES ULTRA QQQ LONG 22,612 13.13 10/28 10:49 12.53 9.25%
Trade id #44217514
Max drawdown($13,592)
Time10/28/09 10:48
Quant open5,500
Worst price50.21
Drawdown as % of equity-9.25%
 ($13,600)
Includes Typical Broker Commissions trade costs of $7.50
9/30/09 9:31 QLD PROSHARES ULTRA QQQ LONG 25,112 12.83 10/7 9:30 12.38 12.72%
Trade id #43468979
Max drawdown($20,905)
Time10/1/09 16:00
Quant open6,278
Worst price48.00
Drawdown as % of equity-12.72%
 ($11,471)
Includes Typical Broker Commissions trade costs of $10.00
9/25/09 9:30 QLD PROSHARES ULTRA QQQ LONG 24,000 12.47 9/29 9:30 12.84 1.7%
Trade id #43377021
Max drawdown($2,700)
Time9/25/09 13:24
Quant open6,000
Worst price49.43
Drawdown as % of equity-1.70%
 $8,827
Includes Typical Broker Commissions trade costs of $5.00
9/11/09 9:30 QID PROSHARES ULTRASHORT QQQ LONG 614 478.80 9/14 9:41 485.60 0.8%
Trade id #43004466
Max drawdown($1,228)
Time9/11/09 10:01
Quant open12,286
Worst price23.84
Drawdown as % of equity-0.80%
 $4,170
Includes Typical Broker Commissions trade costs of $5.00
9/2/09 9:32 QLD PROSHARES ULTRA QQQ LONG 25,580 10.92 9/4 9:30 11.18 0.68%
Trade id #42845799
Max drawdown($1,023)
Time9/3/09 10:24
Quant open6,395
Worst price43.52
Drawdown as % of equity-0.68%
 $6,774
Includes Typical Broker Commissions trade costs of $5.00
8/17/09 9:30 QLD PROSHARES ULTRA QQQ LONG 22,888 10.89 8/21 9:33 11.45 5.21%
Trade id #42502313
Max drawdown($6,980)
Time8/17/09 15:26
Quant open5,722
Worst price42.33
Drawdown as % of equity-5.21%
 $12,767
Includes Typical Broker Commissions trade costs of $5.00
7/21/09 15:27 QID PROSHARES ULTRASHORT QQQ LONG 508 579.20 7/23 14:39 540.40 14.75%
Trade id #41885141
Max drawdown($21,755)
Time7/23/09 13:40
Quant open10,166
Worst price26.82
Drawdown as % of equity-14.75%
 ($19,715)
Includes Typical Broker Commissions trade costs of $5.00
7/21/09 9:40 QID PROSHARES ULTRASHORT QQQ LONG 508 581.00 7/21 15:02 581.20 0.13%
Trade id #41872539
Max drawdown($203)
Time7/21/09 10:40
Quant open10,155
Worst price29.03
Drawdown as % of equity-0.13%
 $97
Includes Typical Broker Commissions trade costs of $5.00
7/16/09 9:30 QID PROSHARES ULTRASHORT QQQ LONG 512 622.40 7/17 9:30 601.20 7.34%
Trade id #41765175
Max drawdown($12,072)
Time7/16/09 15:44
Quant open10,231
Worst price29.94
Drawdown as % of equity-7.34%
 ($10,859)
Includes Typical Broker Commissions trade costs of $5.00
6/16/09 9:30 QLD PROSHARES ULTRA QQQ LONG 35,560 9.37 6/17 9:30 9.16 5.74%
Trade id #41066877
Max drawdown($9,852)
Time6/16/09 15:59
Quant open8,890
Worst price36.37
Drawdown as % of equity-5.74%
 ($7,295)
Includes Typical Broker Commissions trade costs of $5.00
6/2/09 9:32 QID PROSHARES ULTRASHORT QQQ LONG 520 654.20 6/3 16:01 648.20 6.3%
Trade id #40758995
Max drawdown($11,024)
Time6/2/09 10:04
Quant open10,400
Worst price31.65
Drawdown as % of equity-6.30%
 ($3,125)
Includes Typical Broker Commissions trade costs of $5.00
5/8/09 9:30 QLD PROSHARES ULTRA QQQ LONG 42,476 8.57 5/11 9:30 8.27 6.79%
Trade id #40298543
Max drawdown($12,743)
Time5/8/09 10:51
Quant open10,619
Worst price33.33
Drawdown as % of equity-6.79%
 ($12,748)
Includes Typical Broker Commissions trade costs of $5.00
4/21/09 9:30 QLD PROSHARES ULTRA QQQ LONG 44,400 7.49 4/21 15:24 7.75 n/a $11,539
Includes Typical Broker Commissions trade costs of $5.00
4/16/09 9:30 QLD PROSHARES ULTRA QQQ LONG 42,400 7.86 4/17 9:30 8.01 3.56%
Trade id #39898783
Max drawdown($6,042)
Time4/16/09 10:56
Quant open10,600
Worst price30.85
Drawdown as % of equity-3.56%
 $6,567
Includes Typical Broker Commissions trade costs of $5.00
4/8/09 9:30 QLD PROSHARES ULTRA QQQ LONG 40,700 7.35 4/9 9:30 7.73 2.77%
Trade id #39773761
Max drawdown($4,273)
Time4/8/09 10:39
Quant open10,175
Worst price28.98
Drawdown as % of equity-2.77%
 $15,380
Includes Typical Broker Commissions trade costs of $5.00
3/31/09 9:30 QLD PROSHARES ULTRA QQQ LONG 37,840 6.74 4/7 9:45 7.27 6.68%
Trade id #39610590
Max drawdown($8,987)
Time4/1/09 9:52
Quant open9,460
Worst price26.00
Drawdown as % of equity-6.68%
 $20,164
Includes Typical Broker Commissions trade costs of $5.00
3/11/09 9:30 QID PROSHARES ULTRASHORT QQQ LONG 244 1214.40 3/12 15:46 1116.20 15.43%
Trade id #39194824
Max drawdown($23,961)
Time3/12/09 15:45
Quant open4,886
Worst price55.98
Drawdown as % of equity-15.43%
 ($23,966)
Includes Typical Broker Commissions trade costs of $4.88
2/9/09 9:30 QID PROSHARES ULTRASHORT QQQ LONG 271 986.20 2/11 9:30 1050.60 3.44%
Trade id #38313525
Max drawdown($4,761)
Time2/10/09 9:52
Quant open5,411
Worst price48.43
Drawdown as % of equity-3.44%
 $17,447
Includes Typical Broker Commissions trade costs of $5.42
1/29/09 9:30 QID PROSHARES ULTRASHORT QQQ LONG 247 1091.60 1/30 9:30 1101.40 1.11%
Trade id #38073998
Max drawdown($1,532)
Time1/29/09 9:36
Quant open4,943
Worst price54.27
Drawdown as % of equity-1.11%
 $2,416
Includes Typical Broker Commissions trade costs of $4.94
1/13/09 9:30 QLD PROSHARES ULTRA QQQ LONG 22,028 6.63 1/15 9:30 6.19 7.12%
Trade id #37649897
Max drawdown($10,518)
Time1/14/09 15:17
Quant open5,507
Worst price24.60
Drawdown as % of equity-7.12%
 ($9,697)
Includes Typical Broker Commissions trade costs of $5.00
11/21/08 9:30 QLD PROSHARES ULTRA QQQ LONG 26,168 5.30 11/24 9:30 5.79 7.22%
Trade id #36657700
Max drawdown($9,747)
Time11/21/08 14:44
Quant open6,542
Worst price19.72
Drawdown as % of equity-7.22%
 $12,870
Includes Typical Broker Commissions trade costs of $5.00
11/18/08 9:30 QLD PROSHARES ULTRA QQQ LONG 24,560 6.46 11/20 9:30 5.55 15.23%
Trade id #36540918
Max drawdown($22,411)
Time11/19/08 15:58
Quant open6,140
Worst price22.64
Drawdown as % of equity-15.23%
 ($22,404)
Includes Typical Broker Commissions trade costs of $5.00
9/9/08 9:30 QLD PROSHARES ULTRA QQQ LONG 20,000 16.55 9/9 15:22 15.93 7.92%
Trade id #34908777
Max drawdown($13,450)
Time9/9/08 15:21
Quant open5,000
Worst price63.51
Drawdown as % of equity-7.92%
 ($12,405)
Includes Typical Broker Commissions trade costs of $5.00
9/2/08 9:31 QLD PROSHARES ULTRA QQQ LONG 19,576 19.39 9/2 15:54 18.33 12.76%
Trade id #34766403
Max drawdown($24,323)
Time9/2/08 14:55
Quant open4,894
Worst price72.60
Drawdown as % of equity-12.76%
 ($20,893)
Includes Typical Broker Commissions trade costs of $5.00
8/27/08 9:30 QLD PROSHARES ULTRA QQQ LONG 18,480 19.08 8/28 9:30 19.45 1.43%
Trade id #34676301
Max drawdown($2,633)
Time8/27/08 9:52
Quant open4,620
Worst price75.73
Drawdown as % of equity-1.43%
 $6,888
Includes Typical Broker Commissions trade costs of $5.00
8/21/08 9:30 QLD PROSHARES ULTRA QQQ LONG 18,040 19.33 8/21 12:11 19.31 2.74%
Trade id #34584661
Max drawdown($5,051)
Time8/21/08 11:17
Quant open4,510
Worst price76.18
Drawdown as % of equity-2.74%
 ($276)
Includes Typical Broker Commissions trade costs of $5.00
8/15/08 9:30 QID PROSHARES ULTRASHORT QQQ LONG 455 772.00 8/18 9:30 774.20 1.64%
Trade id #34481528
Max drawdown($3,001)
Time8/15/08 9:44
Quant open9,094
Worst price38.27
Drawdown as % of equity-1.64%
 $992
Includes Typical Broker Commissions trade costs of $9.10
8/6/08 9:33 QID PROSHARES ULTRASHORT QQQ LONG 433 857.60 8/7 12:32 833.00 7.29%
Trade id #34273450
Max drawdown($14,119)
Time8/6/08 14:52
Quant open8,662
Worst price41.25
Drawdown as % of equity-7.29%
 ($10,661)
Includes Typical Broker Commissions trade costs of $8.66
7/28/08 9:32 QID PROSHARES ULTRASHORT QQQ LONG 409 888.80 8/5 9:30 899.60 7.86%
Trade id #34076768
Max drawdown($14,409)
Time7/31/08 10:29
Quant open8,187
Worst price42.68
Drawdown as % of equity-7.86%
 $4,409
Includes Typical Broker Commissions trade costs of $8.18
Next

Statistics

  • Strategy began
    3/20/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6241.01
  • Age
    208 months ago
  • What it trades
    Stocks
  • # Trades
    78
  • # Profitable
    47
  • % Profitable
    60.30%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    38.98%
  • drawdown period
    June 10, 2008 - Aug 18, 2009
  • Annual Return (Compounded)
    1.7%
  • Avg win
    $6,937
  • Avg loss
    $9,728
  • Model Account Values (Raw)
  • Cash
    $138,978
  • Margin Used
    $0
  • Buying Power
    $138,978
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.03
  • Sortino Ratio
    0.05
  • Calmar Ratio
    0.122
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -219.06%
  • Correlation to SP500
    0.06520
  • Return Percent SP500 (cumu) during strategy life
    257.81%
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Slump
  • Current Slump as Pcnt Equity
    50.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.017%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    26.67%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    6.67%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $9,728
  • Avg Win
    $6,937
  • Sum Trade PL (losers)
    $301,571.000
  • Age
  • Num Months filled monthly returns table
    206
  • Win / Loss
  • Sum Trade PL (winners)
    $326,052.000
  • # Winners
    47
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    14495
  • Win / Loss
  • # Losers
    31
  • % Winners
    60.3%
  • Frequency
  • Avg Position Time (mins)
    4011.98
  • Avg Position Time (hrs)
    66.87
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    5282
  • Regression
  • Alpha
    0.00
  • Beta
    0.04
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    23.42
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    34.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.28
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -86.183
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    0.594
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.220
  • Hold-and-Hope Ratio
    -0.012
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06928
  • SD
    0.24156
  • Sharpe ratio (Glass type estimate)
    0.28681
  • Sharpe ratio (Hedges UMVUE)
    0.28430
  • df
    86.00000
  • t
    0.77225
  • p
    0.22104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01516
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01345
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53365
  • Upside Potential Ratio
    1.67953
  • Upside part of mean
    0.21804
  • Downside part of mean
    -0.14876
  • Upside SD
    0.20304
  • Downside SD
    0.12982
  • N nonnegative terms
    70.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.16011
  • Mean of criterion
    0.06928
  • SD of predictor
    0.22073
  • SD of criterion
    0.24156
  • Covariance
    0.00423
  • r
    0.07937
  • b (slope, estimate of beta)
    0.08686
  • a (intercept, estimate of alpha)
    0.05537
  • Mean Square Error
    0.05867
  • DF error
    85.00000
  • t(b)
    0.73408
  • p(b)
    0.23246
  • t(a)
    0.60236
  • p(a)
    0.27427
  • Lowerbound of 95% confidence interval for beta
    -0.14840
  • Upperbound of 95% confidence interval for beta
    0.32212
  • Lowerbound of 95% confidence interval for alpha
    -0.12740
  • Upperbound of 95% confidence interval for alpha
    0.23815
  • Treynor index (mean / b)
    0.79761
  • Jensen alpha (a)
    0.05537
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04186
  • SD
    0.23254
  • Sharpe ratio (Glass type estimate)
    0.18003
  • Sharpe ratio (Hedges UMVUE)
    0.17845
  • df
    86.00000
  • t
    0.48474
  • p
    0.31455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54995
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90685
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29625
  • Upside Potential Ratio
    1.41573
  • Upside part of mean
    0.20005
  • Downside part of mean
    -0.15819
  • Upside SD
    0.18339
  • Downside SD
    0.14131
  • N nonnegative terms
    70.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.13453
  • Mean of criterion
    0.04186
  • SD of predictor
    0.22550
  • SD of criterion
    0.23254
  • Covariance
    0.00459
  • r
    0.08762
  • b (slope, estimate of beta)
    0.09036
  • a (intercept, estimate of alpha)
    0.02971
  • Mean Square Error
    0.05429
  • DF error
    85.00000
  • t(b)
    0.81095
  • p(b)
    0.20983
  • t(a)
    0.33826
  • p(a)
    0.36800
  • Lowerbound of 95% confidence interval for beta
    -0.13118
  • Upperbound of 95% confidence interval for beta
    0.31189
  • Lowerbound of 95% confidence interval for alpha
    -0.14491
  • Upperbound of 95% confidence interval for alpha
    0.20432
  • Treynor index (mean / b)
    0.46330
  • Jensen alpha (a)
    0.02971
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10141
  • Expected Shortfall on VaR
    0.12599
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01298
  • Expected Shortfall on VaR
    0.03552
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    87.00000
  • Minimum
    0.78881
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.32193
  • Mean of quarter 1
    0.95098
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.07185
  • Inter Quartile Range
    0.00000
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.19540
  • Mean of outliers low
    0.93656
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.19540
  • Mean of outliers high
    1.09299
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.30196
  • VaR(95%) (regression method)
    0.06202
  • Expected Shortfall (regression method)
    0.08914
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00210
  • Quartile 1
    0.00520
  • Median
    0.03421
  • Quartile 3
    0.22257
  • Maximum
    0.34291
  • Mean of quarter 1
    0.00365
  • Mean of quarter 2
    0.03421
  • Mean of quarter 3
    0.22257
  • Mean of quarter 4
    0.34291
  • Inter Quartile Range
    0.21737
  • 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)
    0.04891
  • Compounded annual return (geometric extrapolation)
    0.04275
  • Calmar ratio (compounded annual return / max draw down)
    0.12467
  • Compounded annual return / average of 25% largest draw downs
    0.12467
  • Compounded annual return / Expected Shortfall lognormal
    0.33931
  • 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
    0.23967
  • SD
    0.63659
  • Sharpe ratio (Glass type estimate)
    0.37650
  • Sharpe ratio (Hedges UMVUE)
    0.37635
  • df
    1913.00000
  • t
    1.01761
  • p
    0.48519
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34878
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10160
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59311
  • Upside Potential Ratio
    3.95406
  • Upside part of mean
    1.59781
  • Downside part of mean
    -1.35813
  • Upside SD
    0.49189
  • Downside SD
    0.40409
  • N nonnegative terms
    1728.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1914.00000
  • Mean of predictor
    0.27133
  • Mean of criterion
    0.23967
  • SD of predictor
    0.52569
  • SD of criterion
    0.63659
  • Covariance
    0.04400
  • r
    0.13149
  • b (slope, estimate of beta)
    0.15923
  • a (intercept, estimate of alpha)
    0.19600
  • Mean Square Error
    0.39844
  • DF error
    1912.00000
  • t(b)
    5.80003
  • p(b)
    0.43425
  • t(a)
    0.84083
  • p(a)
    0.49039
  • Lowerbound of 95% confidence interval for beta
    0.10539
  • Upperbound of 95% confidence interval for beta
    0.21307
  • Lowerbound of 95% confidence interval for alpha
    -0.26179
  • Upperbound of 95% confidence interval for alpha
    0.65472
  • Treynor index (mean / b)
    1.50520
  • Jensen alpha (a)
    0.19647
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04155
  • SD
    0.62854
  • Sharpe ratio (Glass type estimate)
    0.06610
  • Sharpe ratio (Hedges UMVUE)
    0.06607
  • df
    1913.00000
  • t
    0.17866
  • p
    0.49740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79125
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79122
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09363
  • Upside Potential Ratio
    3.36263
  • Upside part of mean
    1.49209
  • Downside part of mean
    -1.45054
  • Upside SD
    0.44494
  • Downside SD
    0.44373
  • N nonnegative terms
    1728.00000
  • N negative terms
    186.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1914.00000
  • Mean of predictor
    0.13476
  • Mean of criterion
    0.04155
  • SD of predictor
    0.52246
  • SD of criterion
    0.62854
  • Covariance
    0.04322
  • r
    0.13161
  • b (slope, estimate of beta)
    0.15833
  • a (intercept, estimate of alpha)
    0.02021
  • Mean Square Error
    0.38842
  • DF error
    1912.00000
  • t(b)
    5.80520
  • p(b)
    0.43420
  • t(a)
    0.08764
  • p(a)
    0.49900
  • Lowerbound of 95% confidence interval for beta
    0.10484
  • Upperbound of 95% confidence interval for beta
    0.21182
  • Lowerbound of 95% confidence interval for alpha
    -0.43207
  • Upperbound of 95% confidence interval for alpha
    0.47249
  • Treynor index (mean / b)
    0.26240
  • Jensen alpha (a)
    0.02021
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06173
  • Expected Shortfall on VaR
    0.07673
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00212
  • Expected Shortfall on VaR
    0.00924
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1914.00000
  • Minimum
    0.67686
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.47774
  • Mean of quarter 1
    0.97929
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02437
  • Inter Quartile Range
    0.00000
  • Number outliers low
    186.00000
  • Percentage of outliers low
    0.09718
  • Mean of outliers low
    0.94666
  • Number of outliers high
    204.00000
  • Percentage of outliers high
    0.10658
  • Mean of outliers high
    1.05722
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19682
  • VaR(95%) (moments method)
    0.00275
  • Expected Shortfall (moments method)
    0.00708
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.04436
  • Quartile 1
    0.07514
  • Median
    0.16478
  • Quartile 3
    0.28122
  • Maximum
    0.34845
  • Mean of quarter 1
    0.05404
  • Mean of quarter 2
    0.10870
  • Mean of quarter 3
    0.22391
  • Mean of quarter 4
    0.33450
  • Inter Quartile Range
    0.20608
  • 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)
    -37.52270
  • VaR(95%) (moments method)
    0.34411
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.87590
  • VaR(95%) (regression method)
    0.37371
  • Expected Shortfall (regression method)
    0.37426
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04854
  • Compounded annual return (geometric extrapolation)
    0.04242
  • Calmar ratio (compounded annual return / max draw down)
    0.12174
  • Compounded annual return / average of 25% largest draw downs
    0.12682
  • Compounded annual return / Expected Shortfall lognormal
    0.55284
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92898
  • Mean of criterion
    0.00000
  • SD of predictor
    0.57095
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.76343
  • Mean of criterion
    0.00000
  • SD of predictor
    0.57846
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.06200
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -330289000
  • Max Equity Drawdown (num days)
    434
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description





Hypothetical Backtest from QLD's Inception Date
Long + Short
Starting Capita l$100,000.00
Ending Capital $4,399,524.87
Net Profit $4,299,524.87
Net Profit % 4299.52%
Annualized Gain % 215.17%
Exposure 54.61%

Number of Trades 88
Avg Profit/Loss $48,858.24
Avg Bars Held 284.00%

Winning Trades 66
Winning % 75.00%
Gross Profit $7,116,851.76
Largest Winning Trades $858,041.19
Avg Profit $107,831.09
Avg Bars Held 292.00%
Max Consecutive 11

Losing Trades 22
Losing % 25.00%
Gross Loss ($2,817,326.88)
Largest Losing Trade ($453,686.88)
Avg Loss ($128,060.31)
Avg Bars Held 259.00%
Max Consecutive 2

Max Drawdown ($559,014.00)
Max Drawdown Date 10/1/2009
Max Drawdown % -24.33%
Max Drawdown % Date 11/4/2008

APD 0.7532
APAD 1.6623
Wealth-Lab Score 298.1874
RAR 394.0501
MAR 8.8448
Profit Factor 2.5261
Recovery Factor 7.6913
Sharpe Ratio 2.2443
Sortino Ratio 4.9176
Ulcer Index 6.0821
WL Error Term 7.855
WL Reward Ratio 27.3932
Luck Coefficient 7.9573
Pessimistic Rate of Return 1.8259
Equity Drop Ratio 0.0188
K-Ratio 0.4075
Seykota Lake Ratio 0.0441
Expectancy 0.633
Expectancy Score 16.3583
Max Losers Held 1
Max Winners Held 1

Please e-mail me with any questions you might have at [email protected]. You might want to inquire about a tradelist, and a graphical version of the backtested equity curve.



Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2007-03-20
Suggested Minimum Capital
$15,000
# Trades
78
# Profitable
47
% Profitable
60.3%
Net Dividends
$14,495
Correlation S&P500
0.065
Sharpe Ratio
0.03
Sortino Ratio
0.05
Beta
0.04
Alpha
0.00

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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