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ETF Timer

Created by:
ETFTIMER
ETFTIMER
Started:   01/2008
Stocks
Last trade:   36 days ago

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Free AutoTrade
16.4%
Annual Return (Compounded)
43.3%
Max Drawdown
63
Num Trades
57.1%
Win Trades
2.1 : 1
Profit Factor
58.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008(0.5%)+4.4%+5.8%+4.4%+17.1%+2.3%+0.2%+0.4%+15.6%+2.3%+8.0%+1.0%+78.4%
2009+7.1%+0.9%+12.5%+15.8%+4.1%+2.1%(3%)+3.2%+6.1%(3%)+8.7%+4.6%+75.1%
2010(2.1%)+3.8%+10.0%  -  +8.3%(1%)(4.9%)(0.4%)(2.7%)(3.1%)+0.3%(1.1%)+6.3%
2011(2%)(4.1%)+0.6%+0.9%(3.7%)(2.1%)+0.1%(4.2%)(6.1%)(1.1%)(7.1%)(1.3%)(26.6%)
2012+9.7%+0.4%(2%)+2.2%+3.4%+0.6%+0.7%+4.0%+1.6%(4.9%)+3.4%(0.3%)+19.6%
2013+2.7%+1.3%+1.2%(2.5%)(3.5%)+6.3%(3.9%)+1.1%(4.1%)+3.2%(5.2%)(4.8%)(8.6%)
2014+2.9%+3.0%+4.7%+4.5%(2.3%)(3.4%)(0.5%)(7.1%)+0.7%+5.5%(3.6%)+4.2%+8.0%
2015(2%)+11.6%(4.1%)+2.9%+3.5%(4.2%)+7.1%(11.5%)(4.1%)+18.1%+1.0%(4.2%)+11.1%
2016(8.8%)(2.3%)+20.0%+0.6%+3.4%                                          +11.2%

Model Account Details

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 96 hours.

This strategy has placed 154 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Win
Loss

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/20/15 15:45 XLE SPDR ENERGY SECTOR ETF LONG 250 66.96 4/22/16 15:52 67.04 0.97%
Trade id #98474566
Max drawdown($1,755)
Time4/5/16 9:57
Quant open250
Worst price59.94
Drawdown as % of equity-0.97%
$15
Includes Typical Commission and AutoTrade Fees trade costs of $5.00
10/28/15 14:36 MVV ULTRA MIDCAP400 PROSHARES LONG 240 71.36 3/30/16 15:45 72.02 1.6%
Trade id #98066213
Max drawdown($2,432)
Time2/29/16 16:01
Quant open240
Worst price61.22
Drawdown as % of equity-1.60%
$155
Includes Typical Commission and AutoTrade Fees trade costs of $4.80
12/10/15 15:45 JO BARCLAYS IPATH COFFEE TR LONG 850 19.95 3/18/16 15:45 20.75 1.65%
Trade id #98733876
Max drawdown($2,507)
Time2/29/16 9:31
Quant open850
Worst price17.00
Drawdown as % of equity-1.65%
$663
Includes Typical Commission and AutoTrade Fees trade costs of $17.00
1/8/16 9:30 FXI ISHARES FTSE/XINHUA CHINA 25 LONG 400 32.26 3/17 9:30 33.00 0.67%
Trade id #99106352
Max drawdown($1,004)
Time2/25/16 8:01
Quant open400
Worst price29.75
Drawdown as % of equity-0.67%
$288
Includes Typical Commission and AutoTrade Fees trade costs of $8.00
10/29/15 15:45 UWM ULTRA RUSSELL2000 PROSHARES LONG 200 83.84 11/27 12:45 88.89 0.44%
Trade id #98094003
Max drawdown($748)
Time11/16/15 11:27
Quant open200
Worst price80.10
Drawdown as % of equity-0.44%
$1,006
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
10/31/14 9:30 QID Proshares UltraShort QQQ ETF 2x LONG 2,300 40.19 12/12 9:31 40.34 3.48%
Trade id #90535608
Max drawdown($5,103)
Time11/28/14 10:43
Quant open1,500
Worst price37.80
Drawdown as % of equity-3.48%
$293
Includes Typical Commission and AutoTrade Fees trade costs of $46.00
10/14/14 9:30 QLD Proshares Ultra QQQ ETF 2x LONG 270 56.20 10/21 14:06 59.70 0.72%
Trade id #90234764
Max drawdown($1,072)
Time10/15/14 13:29
Quant open135
Worst price104.45
Drawdown as % of equity-0.72%
$940
Includes Typical Commission and AutoTrade Fees trade costs of $5.40
2/13/14 14:01 QID Proshares UltraShort QQQ ETF 2x LONG 6,690 55.27 10/10 10:22 55.29 19.07%
Trade id #85779938
Max drawdown($26,965)
Time9/19/14 9:31
Quant open2,200
Worst price43.01
Drawdown as % of equity-19.07%
$18
Includes Typical Commission and AutoTrade Fees trade costs of $133.80
2/6/14 9:31 QLD Proshares Ultra QQQ ETF 2x LONG 1,600 46.26 2/10 14:37 49.43 n/a $5,032
Includes Typical Commission and AutoTrade Fees trade costs of $32.00
10/25/13 9:30 QID Proshares UltraShort QQQ ETF 2x LONG 1,701 68.10 2/5/14 14:48 61.33 n/a ($11,555)
Includes Typical Commission and AutoTrade Fees trade costs of $34.02
10/7/13 14:32 QLD Proshares Ultra QQQ ETF 2x LONG 1,800 40.29 10/18 14:38 43.31 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%
$5,400
Includes Typical Commission and AutoTrade Fees trade costs of $36.00
6/27/13 15:10 QID Proshares UltraShort QQQ ETF 2x LONG 1,913 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 Commission and AutoTrade Fees trade costs of $38.26
4/1/13 15:02 QID Proshares UltraShort QQQ ETF 2x LONG 1,600 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 Commission and AutoTrade Fees trade costs of $32.00
11/9/12 15:10 QLD Proshares Ultra QQQ ETF 2x LONG 5,440 27.24 3/11/13 9:30 29.50 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%
$12,177
Includes Typical Commission and AutoTrade Fees trade costs of $108.80
10/4/12 15:45 QLD Proshares Ultra QQQ ETF 2x LONG 2,620 30.04 10/31 15:17 27.30 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%
($7,229)
Includes Typical Commission and AutoTrade Fees trade costs of $52.40
7/3/12 12:50 QLD Proshares Ultra QQQ ETF 2x LONG 3,600 26.80 9/14 15:06 29.34 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%
$9,065
Includes Typical Commission and AutoTrade Fees trade costs of $72.00
6/1/12 15:10 QLD Proshares Ultra QQQ ETF 2x LONG 2,920 24.35 6/28 15:25 24.67 0.54%
Trade id #74198430
Max drawdown($775)
Time6/4/12 10:06
Quant open760
Worst price46.62
Drawdown as % of equity-0.54%
$877
Includes Typical Commission and AutoTrade Fees trade costs of $58.40
5/10/12 14:46 QID Proshares UltraShort QQQ ETF 2x LONG 525 134.18 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 Commission and AutoTrade Fees trade costs of $10.51
2/15/12 15:45 QID Proshares UltraShort QQQ ETF 2x LONG 563 128.91 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 Commission and AutoTrade Fees trade costs of $11.26
10/13/11 15:55 QLD Proshares Ultra QQQ ETF 2x LONG 4,640 21.63 2/8/12 15:13 23.45 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%
$8,328
Includes Typical Commission and AutoTrade Fees trade costs of $92.80
8/24/11 15:55 QLD Proshares Ultra QQQ ETF 2x LONG 4,800 19.19 10/4 15:24 16.90 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%
($11,083)
Includes Typical Commission and AutoTrade Fees trade costs of $96.00
8/4/11 15:16 QLD Proshares Ultra QQQ ETF 2x LONG 4,000 19.92 8/18 15:55 17.36 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%
($10,280)
Includes Typical Commission and AutoTrade Fees trade costs of $80.00
7/13/11 15:55 QLD Proshares Ultra QQQ ETF 2x LONG 1,680 22.60 7/29 15:46 22.79 0.28%
Trade id #63466878
Max drawdown($432)
Time7/29/11 9:47
Quant open420
Worst price89.38
Drawdown as % of equity-0.28%
$278
Includes Typical Commission and AutoTrade Fees trade costs of $33.60
6/8/11 15:21 QID Proshares UltraShort QQQ ETF 2x LONG 178 217.24 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 Commission and AutoTrade Fees trade costs of $3.56
6/2/11 10:41 QLD Proshares Ultra QQQ ETF 2x LONG 2,400 22.38 6/6 15:28 21.21 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%
($2,832)
Includes Typical Commission and AutoTrade Fees trade costs of $48.00
4/21/11 15:18 QLD Proshares Ultra QQQ ETF 2x LONG 3,440 23.35 5/23 15:15 22.09 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%
($4,405)
Includes Typical Commission and AutoTrade Fees trade costs of $68.80
2/22/11 15:25 QID Proshares UltraShort QQQ ETF 2x LONG 345 211.08 3/29 15:15 206.96 n/a ($1,430)
Includes Typical Commission and AutoTrade Fees trade costs of $6.90
1/20/11 15:09 QID Proshares UltraShort QQQ ETF 2x LONG 340 217.75 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 Commission and AutoTrade Fees trade costs of $6.80
10/27/10 15:15 QID Proshares UltraShort QQQ ETF 2x LONG 490 248.60 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 Commission and AutoTrade Fees trade costs of $9.81
10/4/10 15:15 QID Proshares UltraShort QQQ ETF 2x LONG 145 300.98 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 Commission and AutoTrade Fees trade costs of $2.90

Statistics

  • Strategy began
    1/31/2008
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    3039.22
  • Age
    101 months ago
  • What it trades
    Stocks
  • # Trades
    63
  • # Profitable
    36
  • % Profitable
    57.10%
  • Avg trade duration
    56.8 days
  • Max peak-to-valley drawdown
    43.35%
  • drawdown period
    June 18, 2010 - Nov 26, 2011
  • Annual Return (Compounded)
    16.4%
  • Avg win
    $7,350
  • Avg loss
    $4,763
  • Ratios
  • W:L ratio
    2.07:1
  • Sharpe Ratio
    0.82
  • Sortino Ratio
    1.227
  • Calmar Ratio
    0.401
  • Return Statistics
  • Ann Return (w trading costs)
    16.4%
  • Ann Return (Compnd, No Fees)
    17.2%
  • 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
    100.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    745
  • Popularity (Last 6 weeks)
    926
  • C2 Score
    82.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $4,764
  • Avg Win
    $7,350
  • # Winners
    36
  • # Losers
    27
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    81826.90
  • Avg Position Time (hrs)
    1363.78
  • Avg Trade Length
    56.8 days
  • Last Trade Ago
    34
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16293
  • SD
    0.19696
  • Sharpe ratio (Glass type estimate)
    0.82720
  • Sharpe ratio (Hedges UMVUE)
    0.82098
  • df
    100.00000
  • t
    2.39982
  • p
    0.00913
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13999
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50607
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.54195
  • Upside Potential Ratio
    3.21478
  • Upside part of mean
    0.33968
  • Downside part of mean
    -0.17676
  • Upside SD
    0.17163
  • Downside SD
    0.10566
  • N nonnegative terms
    61.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    101.00000
  • Mean of predictor
    0.05700
  • Mean of criterion
    0.16293
  • SD of predictor
    0.19190
  • SD of criterion
    0.19696
  • Covariance
    0.00668
  • r
    0.17671
  • b (slope, estimate of beta)
    0.18137
  • a (intercept, estimate of alpha)
    0.15259
  • Mean Square Error
    0.03796
  • DF error
    99.00000
  • t(b)
    1.78630
  • p(b)
    0.03856
  • t(a)
    2.26364
  • p(a)
    0.01289
  • Lowerbound of 95% confidence interval for beta
    -0.02009
  • Upperbound of 95% confidence interval for beta
    0.38283
  • Lowerbound of 95% confidence interval for alpha
    0.01884
  • Upperbound of 95% confidence interval for alpha
    0.28634
  • Treynor index (mean / b)
    0.89832
  • Jensen alpha (a)
    0.15259
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14324
  • SD
    0.19272
  • Sharpe ratio (Glass type estimate)
    0.74323
  • Sharpe ratio (Hedges UMVUE)
    0.73764
  • df
    100.00000
  • t
    2.15623
  • p
    0.01673
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42092
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29434
  • Upside Potential Ratio
    2.94387
  • Upside part of mean
    0.32578
  • Downside part of mean
    -0.18254
  • Upside SD
    0.16198
  • Downside SD
    0.11066
  • N nonnegative terms
    61.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    101.00000
  • Mean of predictor
    0.03802
  • Mean of criterion
    0.14324
  • SD of predictor
    0.19712
  • SD of criterion
    0.19272
  • Covariance
    0.00674
  • r
    0.17739
  • b (slope, estimate of beta)
    0.17343
  • a (intercept, estimate of alpha)
    0.13664
  • Mean Square Error
    0.03634
  • DF error
    99.00000
  • t(b)
    1.79347
  • p(b)
    0.03798
  • t(a)
    2.07638
  • p(a)
    0.02022
  • Lowerbound of 95% confidence interval for beta
    -0.01845
  • Upperbound of 95% confidence interval for beta
    0.36531
  • Lowerbound of 95% confidence interval for alpha
    0.00607
  • Upperbound of 95% confidence interval for alpha
    0.26722
  • Treynor index (mean / b)
    0.82588
  • Jensen alpha (a)
    0.13664
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07649
  • Expected Shortfall on VaR
    0.09752
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02911
  • Expected Shortfall on VaR
    0.05937
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    101.00000
  • Minimum
    0.86773
  • Quartile 1
    0.97641
  • Median
    1.01123
  • Quartile 3
    1.03863
  • Maximum
    1.18248
  • Mean of quarter 1
    0.95008
  • Mean of quarter 2
    0.99706
  • Mean of quarter 3
    1.02742
  • Mean of quarter 4
    1.08564
  • Inter Quartile Range
    0.06223
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01980
  • Mean of outliers low
    0.86988
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02970
  • Mean of outliers high
    1.18154
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25603
  • VaR(95%) (moments method)
    0.05331
  • Expected Shortfall (moments method)
    0.08374
  • Extreme Value Index (regression method)
    0.10894
  • VaR(95%) (regression method)
    0.04802
  • Expected Shortfall (regression method)
    0.06639
  • 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)
    0.31251
  • Compounded annual return (geometric extrapolation)
    0.16554
  • Calmar ratio (compounded annual return / max draw down)
    0.45571
  • Compounded annual return / average of 25% largest draw downs
    0.45571
  • Compounded annual return / Expected Shortfall lognormal
    1.69753
  • 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
    0.16040
  • SD
    0.17681
  • Sharpe ratio (Glass type estimate)
    0.90718
  • Sharpe ratio (Hedges UMVUE)
    0.90694
  • df
    2922.00000
  • t
    2.64440
  • p
    0.00411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23432
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57972
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38030
  • Upside Potential Ratio
    8.38516
  • Upside part of mean
    0.97438
  • Downside part of mean
    -0.81398
  • Upside SD
    0.13350
  • Downside SD
    0.11620
  • N nonnegative terms
    1136.00000
  • N negative terms
    1787.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2923.00000
  • Mean of predictor
    0.06297
  • Mean of criterion
    0.16040
  • SD of predictor
    0.21658
  • SD of criterion
    0.17681
  • Covariance
    0.00511
  • r
    0.13352
  • b (slope, estimate of beta)
    0.10900
  • a (intercept, estimate of alpha)
    0.15353
  • Mean Square Error
    0.03071
  • DF error
    2921.00000
  • t(b)
    7.28137
  • p(b)
    -0.00000
  • t(a)
    2.55336
  • p(a)
    0.00536
  • Lowerbound of 95% confidence interval for beta
    0.07965
  • Upperbound of 95% confidence interval for beta
    0.13835
  • Lowerbound of 95% confidence interval for alpha
    0.03563
  • Upperbound of 95% confidence interval for alpha
    0.27143
  • Treynor index (mean / b)
    1.47155
  • Jensen alpha (a)
    0.15353
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14478
  • SD
    0.17643
  • Sharpe ratio (Glass type estimate)
    0.82061
  • Sharpe ratio (Hedges UMVUE)
    0.82040
  • df
    2922.00000
  • t
    2.39207
  • p
    0.00841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14770
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49311
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22680
  • Upside Potential Ratio
    8.18232
  • Upside part of mean
    0.96563
  • Downside part of mean
    -0.82085
  • Upside SD
    0.13134
  • Downside SD
    0.11801
  • N nonnegative terms
    1136.00000
  • N negative terms
    1787.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2923.00000
  • Mean of predictor
    0.03949
  • Mean of criterion
    0.14478
  • SD of predictor
    0.21681
  • SD of criterion
    0.17643
  • Covariance
    0.00513
  • r
    0.13411
  • b (slope, estimate of beta)
    0.10913
  • a (intercept, estimate of alpha)
    0.14047
  • Mean Square Error
    0.03058
  • DF error
    2921.00000
  • t(b)
    7.31443
  • p(b)
    -0.00000
  • t(a)
    2.34151
  • p(a)
    0.00964
  • Lowerbound of 95% confidence interval for beta
    0.07988
  • Upperbound of 95% confidence interval for beta
    0.13839
  • Lowerbound of 95% confidence interval for alpha
    0.02284
  • Upperbound of 95% confidence interval for alpha
    0.25810
  • Treynor index (mean / b)
    1.32663
  • Jensen alpha (a)
    0.14047
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01511
  • Expected Shortfall on VaR
    0.01901
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00609
  • Expected Shortfall on VaR
    0.01281
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2923.00000
  • Minimum
    0.92515
  • Quartile 1
    0.99806
  • Median
    1.00000
  • Quartile 3
    1.00259
  • Maximum
    1.10047
  • Mean of quarter 1
    0.99108
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.01072
  • Inter Quartile Range
    0.00453
  • Number outliers low
    243.00000
  • Percentage of outliers low
    0.08313
  • Mean of outliers low
    0.98230
  • Number of outliers high
    299.00000
  • Percentage of outliers high
    0.10229
  • Mean of outliers high
    1.01848
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45983
  • VaR(95%) (moments method)
    0.00752
  • Expected Shortfall (moments method)
    0.01659
  • Extreme Value Index (regression method)
    0.25060
  • VaR(95%) (regression method)
    0.00778
  • Expected Shortfall (regression method)
    0.01366
  • 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)
    0.32056
  • Compounded annual return (geometric extrapolation)
    0.16734
  • Calmar ratio (compounded annual return / max draw down)
    0.40119
  • Compounded annual return / average of 25% largest draw downs
    1.77824
  • Compounded annual return / Expected Shortfall lognormal
    8.80234
  • 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
    0.13034
  • SD
    0.21917
  • Sharpe ratio (Glass type estimate)
    0.59469
  • Sharpe ratio (Hedges UMVUE)
    0.59208
  • df
    171.00000
  • t
    0.42051
  • p
    0.47954
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18044
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36459
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85724
  • Upside Potential Ratio
    9.50273
  • Upside part of mean
    1.44482
  • Downside part of mean
    -1.31448
  • Upside SD
    0.15712
  • Downside SD
    0.15204
  • N nonnegative terms
    76.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.01183
  • Mean of criterion
    0.13034
  • SD of predictor
    0.15679
  • SD of criterion
    0.21917
  • Covariance
    0.02538
  • r
    0.73856
  • b (slope, estimate of beta)
    1.03240
  • a (intercept, estimate of alpha)
    0.11812
  • Mean Square Error
    0.02196
  • DF error
    170.00000
  • t(b)
    14.28340
  • p(b)
    0.13072
  • t(a)
    0.56361
  • p(a)
    0.47841
  • Lowerbound of 95% confidence interval for beta
    0.88972
  • Upperbound of 95% confidence interval for beta
    1.17508
  • Lowerbound of 95% confidence interval for alpha
    -0.29559
  • Upperbound of 95% confidence interval for alpha
    0.53184
  • Treynor index (mean / b)
    0.12625
  • Jensen alpha (a)
    0.11812
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10644
  • SD
    0.21918
  • Sharpe ratio (Glass type estimate)
    0.48563
  • Sharpe ratio (Hedges UMVUE)
    0.48349
  • df
    171.00000
  • t
    0.34339
  • p
    0.48329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25728
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25577
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69212
  • Upside Potential Ratio
    9.31574
  • Upside part of mean
    1.43261
  • Downside part of mean
    -1.32618
  • Upside SD
    0.15538
  • Downside SD
    0.15378
  • N nonnegative terms
    76.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.00040
  • Mean of criterion
    0.10644
  • SD of predictor
    0.15690
  • SD of criterion
    0.21918
  • Covariance
    0.02540
  • r
    0.73846
  • b (slope, estimate of beta)
    1.03153
  • a (intercept, estimate of alpha)
    0.10685
  • Mean Square Error
    0.02197
  • DF error
    170.00000
  • t(b)
    14.27890
  • p(b)
    0.13077
  • t(a)
    0.50973
  • p(a)
    0.48047
  • Lowerbound of 95% confidence interval for beta
    0.88892
  • Upperbound of 95% confidence interval for beta
    1.17413
  • Lowerbound of 95% confidence interval for alpha
    -0.30695
  • Upperbound of 95% confidence interval for alpha
    0.52065
  • Treynor index (mean / b)
    0.10318
  • Jensen alpha (a)
    0.10685
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01895
  • Expected Shortfall on VaR
    0.02377
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00940
  • Expected Shortfall on VaR
    0.01853
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96324
  • Quartile 1
    0.99566
  • Median
    1.00000
  • Quartile 3
    1.00579
  • Maximum
    1.03633
  • Mean of quarter 1
    0.98594
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00222
  • Mean of quarter 4
    1.01463
  • Inter Quartile Range
    0.01013
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.06395
  • Mean of outliers low
    0.97462
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.05233
  • Mean of outliers high
    1.02742
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03905
  • VaR(95%) (moments method)
    0.01167
  • Expected Shortfall (moments method)
    0.01659
  • Extreme Value Index (regression method)
    -0.19249
  • VaR(95%) (regression method)
    0.01318
  • Expected Shortfall (regression method)
    0.01710
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00133
  • Quartile 1
    0.00650
  • Median
    0.02346
  • Quartile 3
    0.03828
  • Maximum
    0.23714
  • Mean of quarter 1
    0.00147
  • Mean of quarter 2
    0.02121
  • Mean of quarter 3
    0.02571
  • Mean of quarter 4
    0.13980
  • Inter Quartile Range
    0.03177
  • 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
    0.16667
  • Mean of outliers high
    0.23714
  • 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)
    0.11984
  • Compounded annual return (geometric extrapolation)
    0.12343
  • Calmar ratio (compounded annual return / max draw down)
    0.52051
  • Compounded annual return / average of 25% largest draw downs
    0.88292
  • Compounded annual return / Expected Shortfall lognormal
    5.19289

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 trade various single and double leveraged Exchange Traded Products.

Prior to October 2015, the only ETFs traded were QID and QLD. However, in order to better diversify its holdings and reduce potential drawdowns, ETF Timer now trades a number of diversified Exchange Traded Products.

All trade signals are now issued either prior to the opening of the market or approximately 30 minutes prior to the market close. Also, since there is no intraday trading it is easy to manually trade ETF Timer.

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.













Statistics

Strategy began
2008-01-31
Minimum Capital Required
$5,000
# Trades
63
# Profitable
36
% Profitable
57.1%
Net Dividends
Correlation S&P500
0.134
Sharpe Ratio
0.820

Latest

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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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