NQ Timer (53616187)
Subscription terms. Subscriptions to this system cost $50.00 per month.
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 
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

Starting Unit Size$97,946

Strategy Age (days)2569.46

Age86 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 Ratio0.071

Sortino Ratio0.099

Calmar Ratio0.005
 Return Statistics

Ann Return (w trading costs)0.1%

Ann Return (Compnd, No Fees)0.7%
 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 Ago1464
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.01400

SD0.15933

Sharpe ratio (Glass type estimate)0.08790

Sharpe ratio (Hedges UMVUE)0.08688

df65.00000

t0.20613

p0.58133

Lowerbound of 95% confidence interval for Sharpe Ratio0.92343

Upperbound of 95% confidence interval for Sharpe Ratio0.74831

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92274

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.74899
 Statistics related to Sortino ratio

Sortino ratio0.11777

Upside Potential Ratio1.43596

Upside part of mean0.17075

Downside part of mean0.18475

Upside SD0.10429

Downside SD0.11891

N nonnegative terms20.00000

N negative terms46.00000
 Statistics related to linear regression on benchmark

N of observations66.00000

Mean of predictor0.11438

Mean of criterion0.01400

SD of predictor0.12843

SD of criterion0.15933

Covariance0.00064

r0.03118

b (slope, estimate of beta)0.03867

a (intercept, estimate of alpha)0.00958

Mean Square Error0.02576

DF error64.00000

t(b)0.24952

p(b)0.59812

t(a)0.13553

p(a)0.55369

Lowerbound of 95% confidence interval for beta0.34831

Upperbound of 95% confidence interval for beta0.27096

Lowerbound of 95% confidence interval for alpha0.15080

Upperbound of 95% confidence interval for alpha0.13164

Treynor index (mean / b)0.36210

Jensen alpha (a)0.00958
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02662

SD0.16083

Sharpe ratio (Glass type estimate)0.16553

Sharpe ratio (Hedges UMVUE)0.16361

df65.00000

t0.38819

p0.65043

Lowerbound of 95% confidence interval for Sharpe Ratio1.00113

Upperbound of 95% confidence interval for Sharpe Ratio0.67131

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.99981

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.67260
 Statistics related to Sortino ratio

Sortino ratio0.21400

Upside Potential Ratio1.32800

Upside part of mean0.16520

Downside part of mean0.19182

Upside SD0.10029

Downside SD0.12440

N nonnegative terms20.00000

N negative terms46.00000
 Statistics related to linear regression on benchmark

N of observations66.00000

Mean of predictor0.10554

Mean of criterion0.02662

SD of predictor0.12814

SD of criterion0.16083

Covariance0.00071

r0.03434

b (slope, estimate of beta)0.04310

a (intercept, estimate of alpha)0.02207

Mean Square Error0.02624

DF error64.00000

t(b)0.27486

p(b)0.60785

t(a)0.31077

p(a)0.62151

Lowerbound of 95% confidence interval for beta0.35634

Upperbound of 95% confidence interval for beta0.27015

Lowerbound of 95% confidence interval for alpha0.16396

Upperbound of 95% confidence interval for alpha0.11982

Treynor index (mean / b)0.61769

Jensen alpha (a)0.02207
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07558

Expected Shortfall on VaR0.09320
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04326

Expected Shortfall on VaR0.08452
 ORDER STATISTICS
 Quartiles of return rates

Number of observations66.00000

Minimum0.88348

Quartile 11.00000

Median1.00000

Quartile 31.02103

Maximum1.10947

Mean of quarter 10.94653

Mean of quarter 21.00000

Mean of quarter 31.00291

Mean of quarter 41.05524

Inter Quartile Range0.02103

Number outliers low11.00000

Percentage of outliers low0.16667

Mean of outliers low0.92220

Number of outliers high9.00000

Percentage of outliers high0.13636

Mean of outliers high1.07447
 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)0.64602

VaR(95%) (regression method)0.06666

Expected Shortfall (regression method)0.08076
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.06363

Quartile 10.08508

Median0.09171

Quartile 30.11362

Maximum0.25464

Mean of quarter 10.07386

Mean of quarter 20.08804

Mean of quarter 30.09538

Mean of quarter 40.18717

Inter Quartile Range0.02854

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)0.00129

Compounded annual return (geometric extrapolation)0.00129

Calmar ratio (compounded annual return / max draw down)0.00505

Compounded annual return / average of 25% largest draw downs0.00687

Compounded annual return / Expected Shortfall lognormal0.01380

0.00000

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

Mean0.01205

SD0.17076

Sharpe ratio (Glass type estimate)0.07057

Sharpe ratio (Hedges UMVUE)0.07053

df1448.00000

t0.16595

p0.50218

Lowerbound of 95% confidence interval for Sharpe Ratio0.90399

Upperbound of 95% confidence interval for Sharpe Ratio0.76286

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90395

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.76289
 Statistics related to Sortino ratio

Sortino ratio0.09901

Upside Potential Ratio6.08302

Upside part of mean0.74038

Downside part of mean0.75244

Upside SD0.11969

Downside SD0.12171

N nonnegative terms409.00000

N negative terms1040.00000
 Statistics related to linear regression on benchmark

N of observations1449.00000

Mean of predictor0.12610

Mean of criterion0.01205

SD of predictor0.17009

SD of criterion0.17076

Covariance0.00186

r0.06388

b (slope, estimate of beta)0.06414

a (intercept, estimate of alpha)0.02000

Mean Square Error0.02906

DF error1447.00000

t(b)2.43504

p(b)0.45936

t(a)0.27751

p(a)0.50464

Lowerbound of 95% confidence interval for beta0.01247

Upperbound of 95% confidence interval for beta0.11580

Lowerbound of 95% confidence interval for alpha0.16248

Upperbound of 95% confidence interval for alpha0.12221

Treynor index (mean / b)0.18789

Jensen alpha (a)0.02014
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.02663

SD0.17086

Sharpe ratio (Glass type estimate)0.15585

Sharpe ratio (Hedges UMVUE)0.15577

df1448.00000

t0.36651

p0.50482

Lowerbound of 95% confidence interval for Sharpe Ratio0.98929

Upperbound of 95% confidence interval for Sharpe Ratio0.67759

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.98921

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.67767
 Statistics related to Sortino ratio

Sortino ratio0.21568

Upside Potential Ratio5.93932

Upside part of mean0.73328

Downside part of mean0.75990

Upside SD0.11804

Downside SD0.12346

N nonnegative terms409.00000

N negative terms1040.00000
 Statistics related to linear regression on benchmark

N of observations1449.00000

Mean of predictor0.11156

Mean of criterion0.02663

SD of predictor0.17046

SD of criterion0.17086

Covariance0.00187

r0.06420

b (slope, estimate of beta)0.06435

a (intercept, estimate of alpha)0.03381

Mean Square Error0.02909

DF error1447.00000

t(b)2.44727

p(b)0.45916

t(a)0.46575

p(a)0.50779

Lowerbound of 95% confidence interval for beta0.01277

Upperbound of 95% confidence interval for beta0.11593

Lowerbound of 95% confidence interval for alpha0.17620

Upperbound of 95% confidence interval for alpha0.10858

Treynor index (mean / b)0.41379

Jensen alpha (a)0.03381
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01731

Expected Shortfall on VaR0.02163
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00818

Expected Shortfall on VaR0.01685
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1449.00000

Minimum0.93986

Quartile 10.99957

Median1.00000

Quartile 31.00133

Maximum1.05386

Mean of quarter 10.98884

Mean of quarter 21.00000

Mean of quarter 31.00009

Mean of quarter 41.01134

Inter Quartile Range0.00175

Number outliers low290.00000

Percentage of outliers low0.20014

Mean of outliers low0.98645

Number of outliers high288.00000

Percentage of outliers high0.19876

Mean of outliers high1.01356
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.30729

VaR(95%) (moments method)0.00407

Expected Shortfall (moments method)0.00529

Extreme Value Index (regression method)0.09630

VaR(95%) (regression method)0.01053

Expected Shortfall (regression method)0.01574
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations25.00000

Minimum0.00360

Quartile 10.01808

Median0.03575

Quartile 30.07008

Maximum0.26799

Mean of quarter 10.01181

Mean of quarter 20.02601

Mean of quarter 30.05231

Mean of quarter 40.15300

Inter Quartile Range0.05200

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.12000

Mean of outliers high0.20545
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.38799

VaR(95%) (moments method)0.15033

Expected Shortfall (moments method)0.17710

Extreme Value Index (regression method)0.00737

VaR(95%) (regression method)0.15079

Expected Shortfall (regression method)0.19809
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.00128

Compounded annual return (geometric extrapolation)0.00128

Calmar ratio (compounded annual return / max draw down)0.00477

Compounded annual return / average of 25% largest draw downs0.00836

Compounded annual return / Expected Shortfall lognormal0.05915

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 predictor0.63642

Mean of criterion0.02791

SD of predictor0.17937

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 predictor0.61966

Mean of criterion0.02791

SD of predictor0.17922

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)6713990000000000.00000

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)23647799999999998345710802042880.00000

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
Proven EOD longterm system.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"!
Summary Statistics
Latest Activity
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.
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