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Pairs Trading QID QLD 2.0



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Hypothetical Monthly Returns (using typical broker commissions)

 JanFebMarAprMayJunJulAugSepOctNovDec
2009                                                                      +4.4%(3.8%)
2010(3.2%)(2.3%)(10%)+9.5%(13.6%)(17%)(8%)+0.8%+3.2%+5.3%  -  +6.2%
2011  -    -    -    -    -    -    -    -    -    -    -    -  
2012  -    -                                                              


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Show chart:  Standard  |  Monte Carlo
Technical Analysis:  Moving Average daysX

Instruments Stocks
Strategies Volatility trading, Arbitrage, Market timing, Unclassified
System started 11/1/2009 (27 months ago)
System developer BWO, KCCM, KCSE, CVIM
(Last login to C2: 2/3/12 21:43)
C2 Score: 750

Vendor has created 8 other systems. Show



Recently Closed Trades

CSVDetails


Hypothetical Trading Results
Opened ETB/S#Symbol PriceClosedPriceRiskP/L
8/10/10 9:30 BUY 290 TIP ISHARES BARCLAYS TIPS BOND 107.33 10/18
9:30
111.74 Low $1,273
7/1/10 9:31 BUY 633 QLD Proshares Ultra QQQ ETF 2x 50.84 7/1
11:02
48.74 High ($1,342)
6/29/10 9:31 BUY 628 QLD Proshares Ultra QQQ ETF 2x 54.80 6/30
9:30
51.86 Very ($1,859)
6/16/10 9:30 BUY 460 QID Proshares UltraShort QQQ ETF 2x 85.35 6/21
9:30
81.35 High ($1,849)
5/28/10 9:30 BUY 400 QID Proshares UltraShort QQQ ETF 2x 88.80 6/1
9:30
90.65 Low $732
5/7/10 9:30 BUY 654 QLD Proshares Ultra QQQ ETF 2x 59.86 5/7
10:49
58.06 Extreme ($1,190)
5/5/10 9:30 BUY 673 QLD Proshares Ultra QQQ ETF 2x 64.56 5/6
14:21
61.03 High ($2,389)
4/28/10 9:30 BUY 619 QLD Proshares Ultra QQQ ETF 2x 69.20 4/30
9:30
70.82 Normal $991
4/15/10 9:30 BUY 520 QID Proshares UltraShort QQQ ETF 2x 78.05 4/19
11:31
79.95 Normal $978
3/26/10 9:31 BUY 633 QLD Proshares Ultra QQQ ETF 2x 65.35 3/26
12:56
64.60 Normal ($488)
3/8/10 9:31 BUY 506 QID Proshares UltraShort QQQ ETF 2x 90.60 3/16
9:30
86.90 High ($1,882)
2/16/10 14:46 BUY 229 TIP ISHARES BARCLAYS TIPS BOND 104.41 3/8
9:30
103.79 Low ($147)
2/4/10 9:30 BUY 461 TIP ISHARES BARCLAYS TIPS BOND 105.11 2/12
9:30
104.23 Normal ($415)
1/13/10 9:32 BUY 755 QLD Proshares Ultra QQQ ETF 2x 59.80 1/20
9:29
60.55 Normal $551
12/23/09 9:30 BUY 506 QID Proshares UltraShort QQQ ETF 2x 97.15 1/5/10 9:30 92.55 Very ($2,338)

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Statistics

Analytics  
All Statistics Based on Hypothetical Results
Trades16
# Profitable6 (37.5%)
# months tracked28
Profitable months6 (21.4%)
Avg trade duration9.0 days
Annual return (compounded)-13.2%
Average win$948
Average loss$1,379
Profit factor0.6:1
Max peak-to-valley drawdown (historical)40.22%
drawdown periodNov 04, 2009 to Aug 13, 2010
Correlation w/ S&P0.073
Sharpe ratio-0.993
Keep after worst-case slippage 100.0%
Probabilities of future account loss  
Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss50.0%
Chance of 50% account loss0.0%
Chance of 100% account loss0.0%
Average Profit to Drawdown (APD)-0.42
Average P/L per unit traded($0.83)
Sum of dividends and cash expir. in model account$1,249


Reviews


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System Description

- 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.

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Overview

Pairs Trading System based on quantitative analysis and arbitrage of the statistical variances between QID & QLD. Not technical analysis or discretionary.
read more...

- This text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified the Overview text above. 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.

Model Account Status

Started$25,000
Buy Power$18,152
Cash$18,152
Equity$0
Cumulative $*($6,847)
Total System Equity$18,152
Margined$0
Open P/L$0


System Forum

All
Updated Backtest
Financial Scientist at 8/16/10 19:35ET

With APD and APAD average profit to average drawdown. Long Only 96% Long Only 188.89% Starting Capital $25,000.00 $25,000.00 Endin...

Updated Backtest
Financial Scientist at 8/16/10 19:05ET

Hi, Myth Buster, indeed psychology plays a huge part in any strategy, so, unfortunately, I was not disciplined enough to follow it, but the ...

Updated Backtest
Myth Buster at 7/29/10 9:46ET

Hi - Can you provide an updated backtest of this system?

Comparative Perform...maries since Nov 2009
Myth Buster at 7/8/10 20:57ET

Beau? Hello? Comment?

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