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Started: 01/2008
Stocks
Last trade: Today
Followers: 3

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Free AutoTrade
17.0%
Annual Return (Compounded)
41.7%
Max Drawdown
49
Num Trades
53.1%
Win Trades
1.8 : 1
Profit Factor
59.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008(0.5%)+4.3%+5.8%+4.5%+17.1%+2.3%+0.1%+0.3%+15.6%+2.3%+8.0%+1.1%+78.4%
2009+7.1%+0.9%+12.5%+15.9%+4.1%+2.1%(3%)+3.2%+6.1%(3%)+8.7%+4.6%+75.3%
2010(2.1%)+3.8%+10.0%  -  +8.3%(1%)(4.9%)(0.4%)(2.7%)(3.1%)+0.3%(1.1%)+6.2%
2011(2%)(4.1%)+0.5%+0.9%(3.8%)(2.1%)+0.1%(4.2%)(6.1%)(1.1%)(7.2%)(1.3%)(26.7%)
2012+9.7%+0.4%(2%)+2.2%+3.3%+0.6%+0.7%+3.9%+1.6%(4.9%)+3.4%(0.3%)+19.4%
2013+2.7%+1.3%+1.1%(2.6%)(3.6%)+6.3%(3.9%)+1.0%(4.1%)+3.2%(5.3%)(4.8%)(9.1%)
2014+2.9%+3.0%+4.7%+4.5%(2.3%)(3.5%)(3.7%)                              +5.2%

Model Account Details

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Closed Trades

CSV
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Opened ETB/S#Symbol PriceClosedPriceDDP/L
2/6/14 9:31 BUY 800 QLD Proshares Ultra QQQ ETF 2x 92.53 2/10 14:37 98.86 n/a $5,048
Includes Typical Broker Commission and AutoTrade Fees trade costs of $16.00
10/25/13 9:30 BUY 1,701 QID Proshares UltraShort QQQ ETF 2x 68.10 2/5/14 14:48 61.33 n/a ($11,555)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $34.02
10/7/13 14:32 BUY 900 QLD Proshares Ultra QQQ ETF 2x 80.58 10/18 14:38 86.62 3.48%
Trade id #83338749
Max drawdown($5,004)
Time10/9/13 11:22
Quant open900
Worst price75.02
Drawdown as % of equity-3.48%
$5,418
Includes Typical Broker Commission and AutoTrade Fees trade costs of $18.00
6/27/13 15:10 BUY 1,913 QID Proshares UltraShort QQQ ETF 2x 85.57 10/4 15:10 79.61 7.65%
Trade id #81746606
Max drawdown($11,402)
Time10/4/13 15:10
Quant open3,850
Worst price18.72
Drawdown as % of equity-7.65%
($11,438)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $38.26
4/1/13 15:02 BUY 1,600 QID Proshares UltraShort QQQ ETF 2x 95.75 6/24 9:58 95.92 8.54%
Trade id #79986912
Max drawdown($12,729)
Time5/22/13 10:30
Quant open4,700
Worst price21.71
Drawdown as % of equity-8.54%
$233
Includes Typical Broker Commission and AutoTrade Fees trade costs of $32.00
11/9/12 15:10 BUY 2,720 QLD Proshares Ultra QQQ ETF 2x 54.48 3/11/13 9:30 58.99 1.75%
Trade id #77574922
Max drawdown($2,555)
Time11/16/12 11:32
Quant open700
Worst price48.34
Drawdown as % of equity-1.75%
$12,232
Includes Typical Broker Commission and AutoTrade Fees trade costs of $54.40
10/4/12 15:45 BUY 1,310 QLD Proshares Ultra QQQ ETF 2x 60.08 10/31 15:17 54.60 5.48%
Trade id #76966468
Max drawdown($8,080)
Time10/26/12 12:07
Quant open1,310
Worst price53.91
Drawdown as % of equity-5.48%
($7,203)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $26.20
7/3/12 12:50 BUY 1,800 QLD Proshares Ultra QQQ ETF 2x 53.59 9/14 15:06 58.67 4.76%
Trade id #74997241
Max drawdown($6,667)
Time7/25/12 10:59
Quant open1,800
Worst price49.89
Drawdown as % of equity-4.76%
$9,101
Includes Typical Broker Commission and AutoTrade Fees trade costs of $36.00
6/1/12 15:10 BUY 1,460 QLD Proshares Ultra QQQ ETF 2x 48.70 6/28 15:25 49.34 0.54%
Trade id #74198430
Max drawdown($775)
Time6/4/12 10:06
Quant open760
Worst price46.62
Drawdown as % of equity-0.54%
$906
Includes Typical Broker Commission and AutoTrade Fees trade costs of $29.20
5/10/12 14:46 BUY 525 QID Proshares UltraShort QQQ ETF 2x 134.18 5/25 13:23 143.66 0.44%
Trade id #73570087
Max drawdown($614)
Time5/11/12 10:42
Quant open1,060
Worst price32.45
Drawdown as % of equity-0.44%
$4,975
Includes Typical Broker Commission and AutoTrade Fees trade costs of $10.51
2/15/12 15:45 BUY 563 QID Proshares UltraShort QQQ ETF 2x 128.91 5/1 15:17 125.72 4.35%
Trade id #70665330
Max drawdown($5,900)
Time3/27/12 15:09
Quant open1,000
Worst price29.48
Drawdown as % of equity-4.35%
($1,810)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.26
10/13/11 15:55 BUY 2,320 QLD Proshares Ultra QQQ ETF 2x 43.27 2/8/12 15:13 46.90 5.61%
Trade id #66757357
Max drawdown($7,206)
Time12/28/11 15:31
Quant open1,160
Worst price80.32
Drawdown as % of equity-5.61%
$8,376
Includes Typical Broker Commission and AutoTrade Fees trade costs of $46.40
8/24/11 15:55 BUY 2,400 QLD Proshares Ultra QQQ ETF 2x 38.38 10/4 15:24 33.80 9.35%
Trade id #64983204
Max drawdown($12,472)
Time10/4/11 15:12
Quant open1,200
Worst price66.37
Drawdown as % of equity-9.35%
($11,033)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $48.00
8/4/11 15:16 BUY 2,000 QLD Proshares Ultra QQQ ETF 2x 39.83 8/18 15:55 34.73 7.12%
Trade id #64236005
Max drawdown($10,202)
Time8/18/11 15:55
Quant open0
Worst price69.46
Drawdown as % of equity-7.12%
($10,242)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $40.00
7/13/11 15:55 BUY 840 QLD Proshares Ultra QQQ ETF 2x 45.20 7/29 15:46 45.58 0.28%
Trade id #63466878
Max drawdown($432)
Time7/29/11 9:47
Quant open420
Worst price89.38
Drawdown as % of equity-0.28%
$294
Includes Typical Broker Commission and AutoTrade Fees trade costs of $16.80
6/8/11 15:21 BUY 178 QID Proshares UltraShort QQQ ETF 2x 217.24 6/21 15:55 215.72 0.41%
Trade id #62248827
Max drawdown($624)
Time6/9/11 15:14
Quant open710
Worst price53.43
Drawdown as % of equity-0.41%
($275)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.56
6/2/11 10:41 BUY 1,200 QLD Proshares Ultra QQQ ETF 2x 44.75 6/6 15:28 42.43 1.85%
Trade id #62006103
Max drawdown($2,855)
Time6/6/11 15:13
Quant open600
Worst price84.74
Drawdown as % of equity-1.85%
($2,808)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $24.00
4/21/11 15:18 BUY 1,720 QLD Proshares Ultra QQQ ETF 2x 46.69 5/23 15:15 44.17 3.38%
Trade id #60045565
Max drawdown($5,279)
Time5/23/11 10:21
Quant open860
Worst price87.25
Drawdown as % of equity-3.38%
($4,367)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $34.40
2/22/11 15:25 BUY 345 QID Proshares UltraShort QQQ ETF 2x 211.08 3/29 15:15 206.96 n/a ($1,430)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.90
1/20/11 15:09 BUY 340 QID Proshares UltraShort QQQ ETF 2x 217.75 2/7 15:24 206.22 2.92%
Trade id #57007387
Max drawdown($4,744)
Time2/7/11 11:42
Quant open6,800
Worst price10.19
Drawdown as % of equity-2.92%
($3,928)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.80
10/27/10 15:15 BUY 490 QID Proshares UltraShort QQQ ETF 2x 248.60 1/12/11 15:17 238.07 4.25%
Trade id #54249245
Max drawdown($7,094)
Time1/12/11 11:24
Quant open4,300
Worst price10.78
Drawdown as % of equity-4.25%
($5,180)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $9.81
10/4/10 15:15 BUY 145 QID Proshares UltraShort QQQ ETF 2x 300.98 10/15 15:15 268.24 2.83%
Trade id #53509196
Max drawdown($4,870)
Time10/15/10 14:39
Quant open2,900
Worst price13.37
Drawdown as % of equity-2.83%
($4,750)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.90
9/13/10 15:20 BUY 1,700 QLD Proshares Ultra QQQ ETF 2x 30.58 9/28 15:14 33.14 0.16%
Trade id #52868044
Max drawdown($281)
Time9/14/10 9:45
Quant open850
Worst price60.82
Drawdown as % of equity-0.16%
$4,323
Includes Typical Broker Commission and AutoTrade Fees trade costs of $34.00
8/20/10 15:18 BUY 243 QID Proshares UltraShort QQQ ETF 2x 361.15 9/8 15:21 340.74 2.16%
Trade id #52198190
Max drawdown($3,750)
Time9/8/10 12:49
Quant open2,425
Worst price16.51
Drawdown as % of equity-2.16%
($4,944)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.92
7/30/10 15:16 BUY 3,440 QLD Proshares Ultra QQQ ETF 2x 29.48 8/12 15:18 28.02 4.41%
Trade id #51578261
Max drawdown($7,874)
Time8/12/10 9:31
Quant open1,720
Worst price54.38
Drawdown as % of equity-4.41%
($5,106)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $68.80
7/21/10 15:16 BUY 155 QID Proshares UltraShort QQQ ETF 2x 361.52 7/23 15:17 342.08 1.75%
Trade id #51299367
Max drawdown($3,211)
Time7/23/10 14:56
Quant open3,100
Worst price17.04
Drawdown as % of equity-1.75%
($3,016)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.10
7/6/10 15:14 BUY 118 QID Proshares UltraShort QQQ ETF 2x 405.76 7/13 9:30 357.40 2.92%
Trade id #50855644
Max drawdown($5,447)
Time7/12/10 9:47
Quant open2,350
Worst price17.97
Drawdown as % of equity-2.92%
($5,708)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.36
6/7/10 15:15 BUY 3,700 QLD Proshares Ultra QQQ ETF 2x 28.37 6/29 9:39 27.89 0.86%
Trade id #50063792
Max drawdown($1,658)
Time6/8/10 13:55
Quant open700
Worst price52.69
Drawdown as % of equity-0.86%
($1,852)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $74.00
5/11/10 15:16 BUY 143 QID Proshares UltraShort QQQ ETF 2x 332.76 5/27 15:19 359.73 1.05%
Trade id #49247665
Max drawdown($1,960)
Time5/13/10 10:19
Quant open2,850
Worst price15.95
Drawdown as % of equity-1.05%
$3,854
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.43
4/21/10 15:17 BUY 308 QID Proshares UltraShort QQQ ETF 2x 309.73 5/6 15:15 354.39 n/a $13,749
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.16

Statistics

  • Strategy began
    1/31/2008
  • Age
    79 months ago
  • What it trades
    Stocks
  • # Trades
    49
  • # Profitable
    26
  • % Profitable
    53.10%
  • Avg trade duration
    41.2 days
  • Max peak-to-valley drawdown
    41.71%
  • drawdown period
    June 18, 2010 - Nov 26, 2011
  • Annual Return (Compounded)
    17.1%
  • Avg win
    $8,490
  • Avg loss
    $5,337
  • W:L ratio
    1.80:1
  • Open PL
    ($1,718)
  • Open PL (start day)
    ($1,718)
  • Open PL Change $
    ($0.3)
  • Open PL Change %
    0.02%
  • Close PL
    $99,706
  • Closed PL (start day)
    $99,910
  • Closed PL Change $
    ($203.27)
  • Closed PL Change %
    -0.20%
  • Equity
    $148,192
  • Equity (start day)
    $148,192
  • Equity Change $
    $0.33
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    2365
  • # Trades
    49
  • Avg Trade Length
    41.2
  • PROFIT
  • Profit Factor
    1.8
  • SORTINO STATISTICS
  • Sortino Ratio
    1.363
  • CALMAR STATISTICS
  • Calmar Ratio
    0.430
  • Ann Return (Compnd, No Fees)
    18.2
  • SHARPE STATISTICS
  • Sharpe Ratio
    0.892
  • Chance of 10% account loss
    39.50%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • PROFIT STATISTICS
  • APD
    0.43
  • DRAW DOWN STATISTICS
  • Max Drawdown
    41.7%
  • POPULARITY STATISTICS
  • Popularity (Today)
    653
  • Popularity (Last 6 weeks)
    890
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $97
  • Billing Period (days)
    30
  • Trial Days
    7
  • WIN STATISTICS
  • Avg Loss
    $5,337
  • Avg Win
    $8,490
  • # Winners
    26
  • # Losers
    23
  • % Winners
    53.1%
  • TIME STATISTICS
  • Avg Position Time (mins)
    59293.50
  • Avg Position Time (hrs)
    988.23
  • OWNER STATISTICS
  • Developer
    -
  • POPULARITY STATISTICS
  • C2 Score
    57.4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17429
  • SD
    0.18534
  • Sharpe ratio (Glass type estimate)
    0.94041
  • Sharpe ratio (Hedges UMVUE)
    0.93133
  • df
    78.00000
  • t
    2.41289
  • p
    0.00909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15360
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70907
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89043
  • Upside Potential Ratio
    3.69122
  • Upside part of mean
    0.34032
  • Downside part of mean
    -0.16603
  • Upside SD
    0.16717
  • Downside SD
    0.09220
  • N nonnegative terms
    48.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.06580
  • Mean of criterion
    0.17429
  • SD of predictor
    0.20136
  • SD of criterion
    0.18534
  • Covariance
    0.00132
  • r
    0.03550
  • b (slope, estimate of beta)
    0.03268
  • a (intercept, estimate of alpha)
    0.17214
  • Mean Square Error
    0.03475
  • DF error
    77.00000
  • t(b)
    0.31172
  • p(b)
    0.37805
  • t(a)
    2.35869
  • p(a)
    0.01044
  • Lowerbound of 95% confidence interval for beta
    -0.17606
  • Upperbound of 95% confidence interval for beta
    0.24142
  • Lowerbound of 95% confidence interval for alpha
    0.02682
  • Upperbound of 95% confidence interval for alpha
    0.31747
  • Treynor index (mean / b)
    5.33372
  • Jensen alpha (a)
    0.17214
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15674
  • SD
    0.18021
  • Sharpe ratio (Glass type estimate)
    0.86977
  • Sharpe ratio (Hedges UMVUE)
    0.86138
  • df
    78.00000
  • t
    2.23165
  • p
    0.01425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64300
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63712
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64298
  • Upside Potential Ratio
    3.42851
  • Upside part of mean
    0.32708
  • Downside part of mean
    -0.17034
  • Upside SD
    0.15815
  • Downside SD
    0.09540
  • N nonnegative terms
    48.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.04484
  • Mean of criterion
    0.15674
  • SD of predictor
    0.20755
  • SD of criterion
    0.18021
  • Covariance
    0.00133
  • r
    0.03546
  • b (slope, estimate of beta)
    0.03079
  • a (intercept, estimate of alpha)
    0.15536
  • Mean Square Error
    0.03286
  • DF error
    77.00000
  • t(b)
    0.31138
  • p(b)
    0.37817
  • t(a)
    2.19482
  • p(a)
    0.01559
  • Lowerbound of 95% confidence interval for beta
    -0.16612
  • Upperbound of 95% confidence interval for beta
    0.22770
  • Lowerbound of 95% confidence interval for alpha
    0.01441
  • Upperbound of 95% confidence interval for alpha
    0.29630
  • Treynor index (mean / b)
    5.09023
  • Jensen alpha (a)
    0.15536
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06994
  • Expected Shortfall on VaR
    0.08977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02749
  • Expected Shortfall on VaR
    0.05396
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.88806
  • Quartile 1
    0.97446
  • Median
    1.01554
  • Quartile 3
    1.03873
  • Maximum
    1.18248
  • Mean of quarter 1
    0.95407
  • Mean of quarter 2
    0.99667
  • Mean of quarter 3
    1.02971
  • Mean of quarter 4
    1.08169
  • Inter Quartile Range
    0.06427
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02532
  • Mean of outliers high
    1.18166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12997
  • VaR(95%) (moments method)
    0.04920
  • Expected Shortfall (moments method)
    0.06767
  • Extreme Value Index (regression method)
    0.37554
  • VaR(95%) (regression method)
    0.04335
  • Expected Shortfall (regression method)
    0.06586
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01694
  • Quartile 1
    0.03536
  • Median
    0.03738
  • Quartile 3
    0.04237
  • Maximum
    0.36326
  • Mean of quarter 1
    0.02615
  • Mean of quarter 2
    0.03738
  • Mean of quarter 3
    0.04237
  • Mean of quarter 4
    0.36326
  • Inter Quartile Range
    0.00701
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.01694
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.36326
  • 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)
    0.30323
  • Compounded annual return (geometric extrapolation)
    0.18139
  • Calmar ratio (compounded annual return / max draw down)
    0.49933
  • Compounded annual return / average of 25% largest draw downs
    0.49933
  • Compounded annual return / Expected Shortfall lognormal
    2.02055
  • 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
    0.17034
  • SD
    0.17436
  • Sharpe ratio (Glass type estimate)
    0.97696
  • Sharpe ratio (Hedges UMVUE)
    0.97663
  • df
    2267.00000
  • t
    2.50852
  • p
    0.00610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74071
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74048
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52141
  • Upside Potential Ratio
    8.28863
  • Upside part of mean
    0.92802
  • Downside part of mean
    -0.75768
  • Upside SD
    0.13393
  • Downside SD
    0.11196
  • N nonnegative terms
    852.00000
  • N negative terms
    1416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2268.00000
  • Mean of predictor
    0.07268
  • Mean of criterion
    0.17034
  • SD of predictor
    0.23324
  • SD of criterion
    0.17436
  • Covariance
    0.00199
  • r
    0.04901
  • b (slope, estimate of beta)
    0.03664
  • a (intercept, estimate of alpha)
    0.16768
  • Mean Square Error
    0.03034
  • DF error
    2266.00000
  • t(b)
    2.33602
  • p(b)
    0.00979
  • t(a)
    2.47138
  • p(a)
    0.00677
  • Lowerbound of 95% confidence interval for beta
    0.00588
  • Upperbound of 95% confidence interval for beta
    0.06740
  • Lowerbound of 95% confidence interval for alpha
    0.03463
  • Upperbound of 95% confidence interval for alpha
    0.30073
  • Treynor index (mean / b)
    4.64888
  • Jensen alpha (a)
    0.16768
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15517
  • SD
    0.17382
  • Sharpe ratio (Glass type estimate)
    0.89272
  • Sharpe ratio (Hedges UMVUE)
    0.89242
  • df
    2267.00000
  • t
    2.29222
  • p
    0.01099
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12886
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12866
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65618
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36331
  • Upside Potential Ratio
    8.07625
  • Upside part of mean
    0.91923
  • Downside part of mean
    -0.76406
  • Upside SD
    0.13159
  • Downside SD
    0.11382
  • N nonnegative terms
    852.00000
  • N negative terms
    1416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2268.00000
  • Mean of predictor
    0.04545
  • Mean of criterion
    0.15517
  • SD of predictor
    0.23350
  • SD of criterion
    0.17382
  • Covariance
    0.00199
  • r
    0.04913
  • b (slope, estimate of beta)
    0.03657
  • a (intercept, estimate of alpha)
    0.15351
  • Mean Square Error
    0.03015
  • DF error
    2266.00000
  • t(b)
    2.34137
  • p(b)
    0.00965
  • t(a)
    2.26978
  • p(a)
    0.01166
  • Lowerbound of 95% confidence interval for beta
    0.00594
  • Upperbound of 95% confidence interval for beta
    0.06720
  • Lowerbound of 95% confidence interval for alpha
    0.02088
  • Upperbound of 95% confidence interval for alpha
    0.28613
  • Treynor index (mean / b)
    4.24305
  • Jensen alpha (a)
    0.15351
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01485
  • Expected Shortfall on VaR
    0.01870
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00574
  • Expected Shortfall on VaR
    0.01215
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2268.00000
  • Minimum
    0.92515
  • Quartile 1
    0.99821
  • Median
    1.00000
  • Quartile 3
    1.00218
  • Maximum
    1.10047
  • Mean of quarter 1
    0.99169
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00050
  • Mean of quarter 4
    1.01033
  • Inter Quartile Range
    0.00397
  • Number outliers low
    199.00000
  • Percentage of outliers low
    0.08774
  • Mean of outliers low
    0.98379
  • Number of outliers high
    262.00000
  • Percentage of outliers high
    0.11552
  • Mean of outliers high
    1.01718
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49379
  • VaR(95%) (moments method)
    0.00708
  • Expected Shortfall (moments method)
    0.01649
  • Extreme Value Index (regression method)
    0.26527
  • VaR(95%) (regression method)
    0.00721
  • Expected Shortfall (regression method)
    0.01284
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00252
  • Median
    0.01615
  • Quartile 3
    0.03216
  • Maximum
    0.41712
  • Mean of quarter 1
    0.00137
  • Mean of quarter 2
    0.00904
  • Mean of quarter 3
    0.02495
  • Mean of quarter 4
    0.09411
  • Inter Quartile Range
    0.02964
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.09231
  • Mean of outliers high
    0.16618
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58377
  • VaR(95%) (moments method)
    0.09891
  • Expected Shortfall (moments method)
    0.25350
  • Extreme Value Index (regression method)
    0.71660
  • VaR(95%) (regression method)
    0.07809
  • Expected Shortfall (regression method)
    0.24616
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29884
  • Compounded annual return (geometric extrapolation)
    0.17954
  • Calmar ratio (compounded annual return / max draw down)
    0.43042
  • Compounded annual return / average of 25% largest draw downs
    1.90781
  • Compounded annual return / Expected Shortfall lognormal
    9.60244
  • 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
    0.05080
  • SD
    0.08667
  • Sharpe ratio (Glass type estimate)
    0.58620
  • Sharpe ratio (Hedges UMVUE)
    0.58362
  • df
    171.00000
  • t
    0.41450
  • p
    0.47983
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18715
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35786
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18888
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35612
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13483
  • Upside Potential Ratio
    11.08640
  • Upside part of mean
    0.49630
  • Downside part of mean
    -0.44550
  • Upside SD
    0.07396
  • Downside SD
    0.04477
  • N nonnegative terms
    61.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.21156
  • Mean of criterion
    0.05080
  • SD of predictor
    0.09796
  • SD of criterion
    0.08667
  • Covariance
    -0.00335
  • r
    -0.39463
  • b (slope, estimate of beta)
    -0.34912
  • a (intercept, estimate of alpha)
    0.12466
  • Mean Square Error
    0.00638
  • DF error
    170.00000
  • t(b)
    -5.59977
  • p(b)
    0.69731
  • t(a)
    1.09627
  • p(a)
    0.45811
  • Lowerbound of 95% confidence interval for beta
    -0.47219
  • Upperbound of 95% confidence interval for beta
    -0.22605
  • Lowerbound of 95% confidence interval for alpha
    -0.09981
  • Upperbound of 95% confidence interval for alpha
    0.34914
  • Treynor index (mean / b)
    -0.14552
  • Jensen alpha (a)
    0.12466
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04709
  • SD
    0.08617
  • Sharpe ratio (Glass type estimate)
    0.54652
  • Sharpe ratio (Hedges UMVUE)
    0.54412
  • df
    171.00000
  • t
    0.38645
  • p
    0.48120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22663
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31819
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22829
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31652
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04883
  • Upside Potential Ratio
    10.99280
  • Upside part of mean
    0.49358
  • Downside part of mean
    -0.44649
  • Upside SD
    0.07330
  • Downside SD
    0.04490
  • N nonnegative terms
    61.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.20671
  • Mean of criterion
    0.04709
  • SD of predictor
    0.09813
  • SD of criterion
    0.08617
  • Covariance
    -0.00335
  • r
    -0.39610
  • b (slope, estimate of beta)
    -0.34783
  • a (intercept, estimate of alpha)
    0.11899
  • Mean Square Error
    0.00630
  • DF error
    170.00000
  • t(b)
    -5.62450
  • p(b)
    0.69805
  • t(a)
    1.05351
  • p(a)
    0.45973
  • Lowerbound of 95% confidence interval for beta
    -0.46991
  • Upperbound of 95% confidence interval for beta
    -0.22575
  • Lowerbound of 95% confidence interval for alpha
    -0.10397
  • Upperbound of 95% confidence interval for alpha
    0.34195
  • Treynor index (mean / b)
    -0.13539
  • Jensen alpha (a)
    0.11899
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00748
  • Expected Shortfall on VaR
    0.00940
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00349
  • Expected Shortfall on VaR
    0.00626
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.99065
  • Quartile 1
    0.99793
  • Median
    0.99996
  • Quartile 3
    1.00093
  • Maximum
    1.03051
  • Mean of quarter 1
    0.99579
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00016
  • Mean of quarter 4
    1.00565
  • Inter Quartile Range
    0.00299
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03488
  • Mean of outliers low
    0.99167
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07558
  • Mean of outliers high
    1.01205
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08597
  • VaR(95%) (moments method)
    0.00427
  • Expected Shortfall (moments method)
    0.00588
  • Extreme Value Index (regression method)
    -0.16408
  • VaR(95%) (regression method)
    0.00437
  • Expected Shortfall (regression method)
    0.00545
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00132
  • Median
    0.00653
  • Quartile 3
    0.01637
  • Maximum
    0.08897
  • Mean of quarter 1
    0.00046
  • Mean of quarter 2
    0.00478
  • Mean of quarter 3
    0.00987
  • Mean of quarter 4
    0.04183
  • Inter Quartile Range
    0.01505
  • 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
    0.10000
  • Mean of outliers high
    0.08897
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.73976
  • VaR(95%) (moments method)
    0.05368
  • Expected Shortfall (moments method)
    0.21404
  • Extreme Value Index (regression method)
    4.50042
  • VaR(95%) (regression method)
    0.24641
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05786
  • Compounded annual return (geometric extrapolation)
    0.05870
  • Calmar ratio (compounded annual return / max draw down)
    0.65982
  • Compounded annual return / average of 25% largest draw downs
    1.40327
  • Compounded annual return / Expected Shortfall lognormal
    6.24462

Strategy Description

ETF Timer is a market-timing trading system in which I utilize my proprietary technical indicators for price and volume. For this system, I only trade QLD and QID. I generally keep a core position in one of these ETFs depending on the market trend, then trade around incremental positions to take advantage of market moves within the overall trend.

Please note that unlike most of the trading systems on Collective2, I don't use margin in ETF Timer. That way all of my subscribers are able to trade ETF Timer in a cash or margin account.

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.













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. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • 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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