NQ Timer
(53616187)
Subscription terms. Subscriptions to this system cost $50.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2010  +7.4%  (0.6%)  (3.7%)  +2.8%  
2011  +4.8%  +4.4%  (1.8%)  +6.2%  (3.3%)  (4.9%)  (3%)  +21.1%  (5.3%)  (1.9%)  (3.3%)  (2%)  +8.4% 
2012  +7.3%  +5.5%  +3.8%  +2.1%  (6.3%)  (5%)  (5.1%)  +9.5%    (1%)  +4.8%  (2.7%)  +12.1% 
2013  +7.6%  (3.7%)  (3%)  (6.2%)  +4.9%  (4.5%)  (5.1%)  (1.5%)  (2.8%)  (5.8%)      (19.2%) 
2014                          0.0 
2015                          0.0 
2016                          0.0 
2017                          0.0 
2018              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.
Started  $97,946  
Buy Power  $102,829  
Cash  $1  
Equity  $1  
Cumulative $  $4,883  
Total System Equity  $102,829  
Margined  $1  
Open P/L  $0  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began10/7/2010

Suggested Minimum Cap$97,946

Strategy Age (days)2807.8

Age94 months ago

What it tradesFutures

# Trades42

# Profitable19

% Profitable45.20%

Avg trade duration26.0 days

Max peaktovalley drawdown28.39%

drawdown periodFeb 20, 2013  Oct 16, 2013

Annual Return (Compounded)0.1%

Avg win$5,699

Avg loss$4,496
 Model Account Values (Raw)

Cash$102,829

Margin Used$0

Buying Power$102,829
 Ratios

W:L ratio1.05:1

Sharpe Ratio0.118

Sortino Ratio0.163

Calmar Ratio0.037
 Return Statistics

Ann Return (w trading costs)0.1%

Ann Return (Compnd, No Fees)0.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss26.67%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$4,496

Avg Win$5,700

# Winners19

# Losers23

% Winners45.2%
 Frequency

Avg Position Time (mins)37496.80

Avg Position Time (hrs)624.95

Avg Trade Length26.0 days

Last Trade Ago1702
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.02663

SD0.15018

Sharpe ratio (Glass type estimate)0.17729

Sharpe ratio (Hedges UMVUE)0.17530

df67.00000

t0.42204

p0.66283

Lowerbound of 95% confidence interval for Sharpe Ratio1.00054

Upperbound of 95% confidence interval for Sharpe Ratio0.64725

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.99918

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.64858
 Statistics related to Sortino ratio

Sortino ratio0.23199

Upside Potential Ratio1.30544

Upside part of mean0.14982

Downside part of mean0.17645

Upside SD0.09544

Downside SD0.11477

N nonnegative terms20.00000

N negative terms48.00000
 Statistics related to linear regression on benchmark

N of observations68.00000

Mean of predictor0.11155

Mean of criterion0.02663

SD of predictor0.13909

SD of criterion0.15018

Covariance0.00122

r0.05842

b (slope, estimate of beta)0.06308

a (intercept, estimate of alpha)0.01959

Mean Square Error0.02282

DF error66.00000

t(b)0.47546

p(b)0.68198

t(a)0.30064

p(a)0.61768

Lowerbound of 95% confidence interval for beta0.32796

Upperbound of 95% confidence interval for beta0.20181

Lowerbound of 95% confidence interval for alpha0.14968

Upperbound of 95% confidence interval for alpha0.11050

Treynor index (mean / b)0.42209

Jensen alpha (a)0.01959
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03786

SD0.15178

Sharpe ratio (Glass type estimate)0.24940

Sharpe ratio (Hedges UMVUE)0.24660

df67.00000

t0.59370

p0.72264

Lowerbound of 95% confidence interval for Sharpe Ratio1.07292

Upperbound of 95% confidence interval for Sharpe Ratio0.57595

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07101

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57780
 Statistics related to Sortino ratio

Sortino ratio0.31547

Upside Potential Ratio1.20969

Upside part of mean0.14516

Downside part of mean0.18302

Upside SD0.09175

Downside SD0.12000

N nonnegative terms20.00000

N negative terms48.00000
 Statistics related to linear regression on benchmark

N of observations68.00000

Mean of predictor0.10139

Mean of criterion0.03786

SD of predictor0.13829

SD of criterion0.15178

Covariance0.00125

r0.05937

b (slope, estimate of beta)0.06516

a (intercept, estimate of alpha)0.03125

Mean Square Error0.02330

DF error66.00000

t(b)0.48316

p(b)0.68471

t(a)0.47656

p(a)0.68237

Lowerbound of 95% confidence interval for beta0.33443

Upperbound of 95% confidence interval for beta0.20411

Lowerbound of 95% confidence interval for alpha0.16216

Upperbound of 95% confidence interval for alpha0.09967

Treynor index (mean / b)0.58094

Jensen alpha (a)0.03125
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07247

Expected Shortfall on VaR0.08917
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04162

Expected Shortfall on VaR0.08155
 ORDER STATISTICS
 Quartiles of return rates

Number of observations68.00000

Minimum0.88348

Quartile 11.00000

Median1.00000

Quartile 31.01792

Maximum1.10947

Mean of quarter 10.94776

Mean of quarter 21.00000

Mean of quarter 31.00274

Mean of quarter 41.04994

Inter Quartile Range0.01792

Number outliers low11.00000

Percentage of outliers low0.16176

Mean of outliers low0.92409

Number of outliers high8.00000

Percentage of outliers high0.11765

Mean of outliers high1.07224
 Risk estimates for a oneperiod 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)0.62382

VaR(95%) (regression method)0.06499

Expected Shortfall (regression method)0.07963
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.05162

Quartile 10.08030

Median0.08974

Quartile 30.11362

Maximum0.25464

Mean of quarter 10.06533

Mean of quarter 20.08409

Mean of quarter 30.09538

Mean of quarter 40.18717

Inter Quartile Range0.03332

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.16667

Mean of outliers high0.25464
 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)0.00967

Compounded annual return (geometric extrapolation)0.00990

Calmar ratio (compounded annual return / max draw down)0.03887

Compounded annual return / average of 25% largest draw downs0.05289

Compounded annual return / Expected Shortfall lognormal0.11101

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.02142

SD0.18095

Sharpe ratio (Glass type estimate)0.11836

Sharpe ratio (Hedges UMVUE)0.11830

df1485.00000

t0.28189

p0.50466

Lowerbound of 95% confidence interval for Sharpe Ratio0.94136

Upperbound of 95% confidence interval for Sharpe Ratio0.70463

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.94129

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.70469
 Statistics related to Sortino ratio

Sortino ratio0.16280

Upside Potential Ratio5.61926

Upside part of mean0.73927

Downside part of mean0.76069

Upside SD0.12416

Downside SD0.13156

N nonnegative terms409.00000

N negative terms1077.00000
 Statistics related to linear regression on benchmark

N of observations1486.00000

Mean of predictor0.11796

Mean of criterion0.02142

SD of predictor0.18151

SD of criterion0.18095

Covariance0.00522

r0.15902

b (slope, estimate of beta)0.15853

a (intercept, estimate of alpha)0.04000

Mean Square Error0.03194

DF error1484.00000

t(b)6.20497

p(b)0.42049

t(a)0.53419

p(a)0.50693

Lowerbound of 95% confidence interval for beta0.10841

Upperbound of 95% confidence interval for beta0.20864

Lowerbound of 95% confidence interval for alpha0.18743

Upperbound of 95% confidence interval for alpha0.10719

Treynor index (mean / b)0.13510

Jensen alpha (a)0.04012
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03785

SD0.18155

Sharpe ratio (Glass type estimate)0.20846

Sharpe ratio (Hedges UMVUE)0.20836

df1485.00000

t0.49646

p0.50820

Lowerbound of 95% confidence interval for Sharpe Ratio1.03145

Upperbound of 95% confidence interval for Sharpe Ratio0.61457

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.03137

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.61466
 Statistics related to Sortino ratio

Sortino ratio0.28198

Upside Potential Ratio5.45131

Upside part of mean0.73165

Downside part of mean0.76949

Upside SD0.12219

Downside SD0.13422

N nonnegative terms409.00000

N negative terms1077.00000
 Statistics related to linear regression on benchmark

N of observations1486.00000

Mean of predictor0.10128

Mean of criterion0.03785

SD of predictor0.18305

SD of criterion0.18155

Covariance0.00551

r0.16595

b (slope, estimate of beta)0.16459

a (intercept, estimate of alpha)0.05452

Mean Square Error0.03207

DF error1484.00000

t(b)6.48261

p(b)0.41703

t(a)0.72451

p(a)0.50940

Lowerbound of 95% confidence interval for beta0.11478

Upperbound of 95% confidence interval for beta0.21439

Lowerbound of 95% confidence interval for alpha0.20211

Upperbound of 95% confidence interval for alpha0.09308

Treynor index (mean / b)0.22995

Jensen alpha (a)0.05452
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01842

Expected Shortfall on VaR0.02300
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00831

Expected Shortfall on VaR0.01740
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1486.00000

Minimum0.89601

Quartile 11.00000

Median1.00000

Quartile 31.00112

Maximum1.07527

Mean of quarter 10.98871

Mean of quarter 21.00000

Mean of quarter 31.00006

Mean of quarter 41.01133

Inter Quartile Range0.00112

Number outliers low327.00000

Percentage of outliers low0.22005

Mean of outliers low0.98727

Number of outliers high321.00000

Percentage of outliers high0.21602

Mean of outliers high1.01282
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.20140

VaR(95%) (moments method)0.00402

Expected Shortfall (moments method)0.00546

Extreme Value Index (regression method)0.05958

VaR(95%) (regression method)0.01054

Expected Shortfall (regression method)0.01753
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations22.00000

Minimum0.00360

Quartile 10.01555

Median0.04253

Quartile 30.08549

Maximum0.26799

Mean of quarter 10.00900

Mean of quarter 20.02441

Mean of quarter 30.05652

Mean of quarter 40.15550

Inter Quartile Range0.06994

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.04545

Mean of outliers high0.26799
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.41512

VaR(95%) (moments method)0.17211

Expected Shortfall (moments method)0.19943

Extreme Value Index (regression method)0.26208

VaR(95%) (regression method)0.18219

Expected Shortfall (regression method)0.21728
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.00966

Compounded annual return (geometric extrapolation)0.00989

Calmar ratio (compounded annual return / max draw down)0.03690

Compounded annual return / average of 25% largest draw downs0.06360

Compounded annual return / Expected Shortfall lognormal0.42995

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

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)0.00000

Sharpe ratio (Hedges UMVUE)0.00000

df0.00000

t0.00000

p0.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.54769

Mean of criterion0.02791

SD of predictor0.20185

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.00000

Mean Square Error0.00000

DF error0.00000

t(b)0.00000

p(b)0.00000

t(a)0.00000

p(a)0.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.00000

Upperbound of 95% confidence interval for alpha0.00000

Treynor index (mean / b)0.00000

Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)9748420000000000.00000

Sharpe ratio (Hedges UMVUE)9692070000000000.00000

df130.00000

t6893170000000000.00000

p1.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation10870200000000000.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8513980000000000.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.52685

Mean of criterion0.02791

SD of predictor0.20206

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.02791

Mean Square Error0.00000

DF error129.00000

t(b)0.00000

p(b)0.50000

t(a)6778560000000000.00000

p(a)1.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.02791

Upperbound of 95% confidence interval for alpha0.02791

Treynor index (mean / b)60727199999999994360039536066560.00000

Jensen alpha (a)0.02791
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00011
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum1.00000

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00000

Mean of quarter 11.00000

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.00000

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 downs0.00000

Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
All 100% mechanical trades placed prior to US stock market open. Appropriate leverage (2.5X max) ALWAYS used.
Investors Business Daily or IBD provides extensive research for institutional clients. Historically, every market uptrend has been "confirmed" with a followthrough day. Conversely, a multiple distribution day stack can point to a market correction.
This system is designed to profit from IBD's market shift calls as outlined in the newspaper's "The Big Picture". I also use other proprietary measures that have been backtested for over 3 years at Collective2.
All "swing" trades are market orders placed before 9:30 am EST to be executed at the Stock Market open. Also uses protective stoploss orders in case of emergencies as capital preservation is the top priority.
This system is developed to greatly outperform stocks for the longterm, while keeping loss periods contained. This trendfollowing system holds NQ contracts either Long or Short based on IBD's market bias.
Thank you for following and
welcome to the "IBD Experiment"!
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.