Pairs Trading QID QLD Scalper
Hypothetical Monthly Returns (includes typical commissions and system fees)
|Strategies||Volatility trading, Arbitrage, Market timing, Unclassified|
|System started||3/20/2007 (76 months ago)|
BWO, KCCM, KCSE, CVIM
(Last login to C2: 10/15/12 21:35)
C2 Score: 770
Vendor has created 9 other systems. Show
The name of this system has been changed 1 time. Show
System creator requested that closed trades data below be delayed by 1 hour.
|Hypothetical Trading Results|
|10/29/09 9:30||BUY||10,964||QLD||Proshares Ultra QQQ ETF 2x||24.71||11/4
|10/27/09 9:32||BUY||11,306||QLD||Proshares Ultra QQQ ETF 2x||26.27||10/28
|9/30/09 9:31||BUY||12,556||QLD||Proshares Ultra QQQ ETF 2x||25.67||10/7
|9/25/09 9:30||BUY||12,000||QLD||Proshares Ultra QQQ ETF 2x||24.94||9/29
|9/11/09 9:30||BUY||2,457||QID||Proshares UltraShort QQQ ETF 2x||119.70||9/14
|9/2/09 9:32||BUY||12,790||QLD||Proshares Ultra QQQ ETF 2x||21.84||9/4
|8/17/09 9:30||BUY||11,444||QLD||Proshares Ultra QQQ ETF 2x||21.77||8/21
|7/21/09 15:27||BUY||2,033||QID||Proshares UltraShort QQQ ETF 2x||144.80||7/23
|7/21/09 9:40||BUY||2,031||QID||Proshares UltraShort QQQ ETF 2x||145.25||7/21
|7/16/09 9:30||BUY||2,046||QID||Proshares UltraShort QQQ ETF 2x||155.60||7/17
|6/16/09 9:30||BUY||17,780||QLD||Proshares Ultra QQQ ETF 2x||18.74||6/17
|6/2/09 9:32||BUY||2,080||QID||Proshares UltraShort QQQ ETF 2x||163.55||6/3
|5/8/09 9:30||BUY||21,238||QLD||Proshares Ultra QQQ ETF 2x||17.14||5/11
|4/21/09 9:30||BUY||22,200||QLD||Proshares Ultra QQQ ETF 2x||14.98||4/21
|4/16/09 9:30||BUY||21,200||QLD||Proshares Ultra QQQ ETF 2x||15.71||4/17
|Chance of 50% account loss||0.0%|
|Chance of 100% account loss||0.0%|
|Average Profit to Drawdown (APD)||0.01|
|Average P/L per unit traded||$0.53|
|Sum of dividends and cash expir. in model account||$14,495|
One of my major complaints, more about C2 than this system, results should be based on a more realistic starting number, like $10K. From Aug 1st onward, results with a starting capital of 10 K return is about 20% w/o margin. The drawdown in the last several trades is a higher risk than the returns for these trades has justified. I'll stay for a couple more months, but my present feelings are lukewarm at best. FWIW the pissing contest developing between this developer and the TMG guys…it detracts from what this sight is for. Bashing other systems does not reflect well. Rely on promoting your system on the strength of its results and don't feel that it is necessary to criticize what other people are doing. "Build the better mouse trap and the world will beat a path to your door"
I actually agree with the scaling comment, and I would scale it down, were it not for the fact that I think the subscriber base is trading this amount right now, through options on the q's, futures and qid and qld themselves. Therefore, I felt that I had to maximize the equity size in order to reflect true slippage for the subscriber base. I have considered scaling down, but I don't think this benefits anybody. I think the next several months will be pretty good, but I can't make guarantees. As to the other comments, the drawdowns haven't been outside of my backtested expectations, and until they are I won't try to alleviate this. It really comes with the territory on an EOD system, and I know that the trades haven't been reflective of the most recent three months. Some of the timing's been off, so I'll try to improve on that. I'm going to refrain from writing anything about other systems for awhile. I appreciate the veiled encouragement, and I will work to improve the stats, as my first review was emphasizing that he prefers me to focus on those. So I will.
I appreciate the comments and fair assesment, but I also need to keep in mind realism the other way, too.
Don't fall for it. 1) Real-life losing trades far exceed 95% win rate of backtest results developer emails subscribers. 2) Developer's 2 other systems are losers 3) Appears developer has integrity issues: bashes other c2 systems. Nov 29 2007 emails subscribers, "This (trade) is going to be a piece of cake." Trade loses money immediately. 4) Emails subscribers a backtest severely lacking in robustness, includes only 2 years of data. 5) Name is misleading, neither scalping system nor pairs trading, but a fair value prediction system. 6) Directional price prediction is, according to most research is futile (Fama). 7) Sometimes parks orders until 9:28 EST, implying system allows for discretion. 8) Seems to have a limited history as a developer, appearing to have graduated college in 2006.
2/25/2009: The 95% win percentage is, in fact, what the system was showing at the time this subscriber subscribed to it, and the current win rate was somewhere in the high eighties. Since the win percentage has fallen to 63.3% and was mainly due to a high win percentage very early on in the backtest at that time. I believe 70% is the long term percentage, which, I know will beat a lot of other traders over long periods of time who don't even win half the time.
This original rebuttal was written on December of 2007, by a disgruntled vendor sick of me stealing subscribers from him. We've since made up our differences, and he decided to leave elsewhere.
This review coincidentally was written at the same time as a post in my analyst page by Travis Clark, who subscribed to me today and is the vendor of TMG. I think it is really him we should be questioning the integrity of. If he wants to abuse the free trial on this website just to smash other vendors, he can. I unsubscribed him as I don't want another so called "anonymous review" written. Believe me, all of my best subscribers in no way would say anything like this. This person's criticism reflect views already expressed by the other analyst pages on this site, and I believe he has been sent by another or one specific vendor to skew the ratings on this system.
Please see my original rebuttal below.
Plenty of my subscribers have kept substantial gains.
Per 1) Real life is since August with the volatility based system, which I make very clear to my subscribers, so he is incorrect on this assesment.
Per 2) I made a conscious decision to not develop those systems, as it distracted me from concentrating on this system. As of the date of this review I have an 891/1000 C2 score.
Per 3) The trade is not even completed, and he expects instant gratification. I don't really have to respond to this because he hasn't looked at the trades on an individual basis or he would see not all trades are like that. Most trades do have drawdown.
Per 3 ex post edit) The subscriber base as a whole through all the trades on both options, futures, and qid and qld themselves is probably moving the market at this point. That will not really affect performance because the magnitude of the average trade from the backtest is significantly higher than the magnitude of the loss. This means trades will be able to overcome whatever slippage, commissions, or illiquidity problems there might be. Furthermore, the trade was a winner and the fact that this reviewer purposely timed this review to a downturn in the equity curve should tell you something.
Per 4) Backtest length? Having to respond to this shouldn't be something I have to address because both QID and QLD have been around a very limited period of time. I do have synthetic price series simulation, but it is only an approximation and does show robustness. Its accuracy could only attest that the system has longevity, but its robustness is not possible to assess because they're synthetic price series and not representative of real world trades. Since the system is based on the actual statistical anomalies between the two, you can't really create a backtest longer than that on data that doesn't exist! Just think about it. Why would I post a backtest based on other synthetic price series? The heart of the system is based on the actual closing prices of QID and QLD. Therefore, since the data did not exist before that, your backtesting period is not going to be for a very long period. I encourage people considering this system to ask me these questions thoroughly before subscribing. I've had many people subscribe and I really can't personally handle people that don't send me e-mails, because I assume they're just watching the trades in the free trial period. I hope you ask these questions before you subscribe. My e-mail address is firstname.lastname@example.org, and I'd want everybody to contact me before subscribing.
Per 5) Perhaps, but it still uses pairs methodology. I don't really think this is a criticism.
Per 5) Ex post edit: If I wanted to call the system Beau's magical yahoo number 1 trading system, I could. I'd wonder if people would find that description better than calling it what it is. There's plenty of systems on here that are quite a bit less descriptive than that. Scalping, positions trades, they're all the same. The bottom line is that you come out ahead, and since people only care about results, why does it even matter?
Per 6) Just cause past research hasn't found a method that works does not imply that no one will. My theory to counter this argument is that these tools have only been available for the past three years. Most of the "research" you're referring to was written prior to that. Also, I know plenty of funds that do exactly what this system does, but they're not ones typically available to the public.
Per 6 ex-post edit) Predicting fair value is all every single option in this world is based on. To say my research is futile is not accurate, and I could point to the actual performance of the system as proof. I'd rather just suggest what I'm doing can be compared to a options pricing model based on the underlying assets. So if that's what an options pricing model is, and almost every institution using these models is doing something futile, I guess we're all wrong about how to price these instruments. This is a good time to point out that swap contracts underlie both QID and QLD, making them derivatives. And it's a very good model. I trust it, and I do trade it. Not with pocket change either.
Per 7) This suggestion is absolutely ludicrous! I park orders so that they don't attempt to be filled in post market trading. I've had that happen before, and I decided the best way to avoid this problem was to park orders till the open time. In no way does this make my recommendations discretionary, and I have also never cancelled these signals. To suggest I ever did is not accurate.
Per 8) My experience is 4 years as a developer. I managed money in college, and I mangage money today. People that can claim that statistic are quite infrequent, especially ones with a public system annualizing greater than 80% after more than 250 days.
For future reference, please ask me questions before subscribing. I doubt I have anybody else that would say that about this system.
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%
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
Wealth-Lab Score 298.1874
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
Seykota Lake Ratio 0.0441
Expectancy Score 16.3583
Max Losers Held 1
Max Winners Held 1
Please e-mail me with any questions you might have at email@example.com. You might want to inquire about a tradelist, and a graphical version of the backtested equity curve.
- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.