NQ Timer
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  +7.5%  (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%  +5.6%  +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 
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.
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.
Open positions are hidden from nonsubscribers.

Trading Record 

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Statistics
 Strategy began10/7/2010
 Starting Unit Size$45,000
 Strategy Age (days)2086.41
 Age70 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)0.2%
 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 Ratio0.006
 Sortino Ratio0.008
 Calmar Ratio0.034
 Return Statistics
 Ann Return (w trading costs)0.2%
 Ann Return (Compnd, No Fees)0.9%
 Risk of Ruin (MonteCarlo)
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account loss20.00%
 Chance of 40% account loss6.67%
 Chance of 50% account lossn/a
 Popularity
 Popularity (Today)0
 Popularity (Last 6 weeks)107
 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 Ago981
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.01170
 SD0.16090
 Sharpe ratio (Glass type estimate)0.07274
 Sharpe ratio (Hedges UMVUE)0.07187
 df63.00000
 t0.16799
 p0.43357
 Lowerbound of 95% confidence interval for Sharpe Ratio0.77631
 Upperbound of 95% confidence interval for Sharpe Ratio0.92126
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.77691
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92065
 Statistics related to Sortino ratio
 Sortino ratio0.11326
 Upside Potential Ratio1.75738
 Upside part of mean0.18160
 Downside part of mean0.16989
 Upside SD0.12172
 Downside SD0.10333
 N nonnegative terms20.00000
 N negative terms44.00000
 Statistics related to linear regression on benchmark
 N of observations64.00000
 Mean of predictor0.10478
 Mean of criterion0.01170
 SD of predictor0.12153
 SD of criterion0.16090
 Covariance0.00425
 r0.21760
 b (slope, estimate of beta)0.28809
 a (intercept, estimate of alpha)0.01848
 Mean Square Error0.02506
 DF error62.00000
 t(b)1.75544
 p(b)0.04206
 t(a)0.26152
 p(a)0.60272
 Lowerbound of 95% confidence interval for beta0.03997
 Upperbound of 95% confidence interval for beta0.61614
 Lowerbound of 95% confidence interval for alpha0.15975
 Upperbound of 95% confidence interval for alpha0.12279
 Treynor index (mean / b)0.04063
 Jensen alpha (a)0.01848
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00083
 SD0.15897
 Sharpe ratio (Glass type estimate)0.00521
 Sharpe ratio (Hedges UMVUE)0.00515
 df63.00000
 t0.01203
 p0.50478
 Lowerbound of 95% confidence interval for Sharpe Ratio0.85390
 Upperbound of 95% confidence interval for Sharpe Ratio0.84348
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85384
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.84354
 Statistics related to Sortino ratio
 Sortino ratio0.00773
 Upside Potential Ratio1.62852
 Upside part of mean0.17453
 Downside part of mean0.17535
 Upside SD0.11573
 Downside SD0.10717
 N nonnegative terms20.00000
 N negative terms44.00000
 Statistics related to linear regression on benchmark
 N of observations64.00000
 Mean of predictor0.09696
 Mean of criterion0.00083
 SD of predictor0.12230
 SD of criterion0.15897
 Covariance0.00389
 r0.20015
 b (slope, estimate of beta)0.26017
 a (intercept, estimate of alpha)0.02605
 Mean Square Error0.02465
 DF error62.00000
 t(b)1.60849
 p(b)0.05640
 t(a)0.37341
 p(a)0.64494
 Lowerbound of 95% confidence interval for beta0.06316
 Upperbound of 95% confidence interval for beta0.58350
 Lowerbound of 95% confidence interval for alpha0.16553
 Upperbound of 95% confidence interval for alpha0.11342
 Treynor index (mean / b)0.00318
 Jensen alpha (a)0.02605
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.07277
 Expected Shortfall on VaR0.09025
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.03950
 Expected Shortfall on VaR0.07537
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations64.00000
 Minimum0.90560
 Quartile 10.99659
 Median1.00000
 Quartile 31.01450
 Maximum1.15861
 Mean of quarter 10.94565
 Mean of quarter 21.00000
 Mean of quarter 31.00152
 Mean of quarter 41.06005
 Inter Quartile Range0.01791
 Number outliers low14.00000
 Percentage of outliers low0.21875
 Mean of outliers low0.94102
 Number of outliers high10.00000
 Percentage of outliers high0.15625
 Mean of outliers high1.08075
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)5.14122
 VaR(95%) (moments method)0.03590
 Expected Shortfall (moments method)0.03591
 Extreme Value Index (regression method)0.89094
 VaR(95%) (regression method)0.06504
 Expected Shortfall (regression method)0.07275
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations6.00000
 Minimum0.03520
 Quartile 10.06878
 Median0.09630
 Quartile 30.12032
 Maximum0.23964
 Mean of quarter 10.05069
 Mean of quarter 20.07658
 Mean of quarter 30.11602
 Mean of quarter 40.18070
 Inter Quartile Range0.05153
 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 high0.23964
 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)0.00935
 Compounded annual return (geometric extrapolation)0.00916
 Calmar ratio (compounded annual return / max draw down)0.03824
 Compounded annual return / average of 25% largest draw downs0.05071
 Compounded annual return / Expected Shortfall lognormal0.10154
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.01126
 SD0.15577
 Sharpe ratio (Glass type estimate)0.07229
 Sharpe ratio (Hedges UMVUE)0.07226
 df1840.00000
 t0.16723
 p0.49805
 Lowerbound of 95% confidence interval for Sharpe Ratio0.77494
 Upperbound of 95% confidence interval for Sharpe Ratio0.91952
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.77497
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.91949
 Statistics related to Sortino ratio
 Sortino ratio0.10255
 Upside Potential Ratio6.86775
 Upside part of mean0.75407
 Downside part of mean0.74281
 Upside SD0.11043
 Downside SD0.10980
 N nonnegative terms509.00000
 N negative terms1332.00000
 Statistics related to linear regression on benchmark
 N of observations1841.00000
 Mean of predictor0.11510
 Mean of criterion0.01126
 SD of predictor0.15889
 SD of criterion0.15577
 Covariance0.00211
 r0.08536
 b (slope, estimate of beta)0.08369
 a (intercept, estimate of alpha)0.00163
 Mean Square Error0.02410
 DF error1839.00000
 t(b)3.67414
 p(b)0.44572
 t(a)0.02423
 p(a)0.49964
 Lowerbound of 95% confidence interval for beta0.03902
 Upperbound of 95% confidence interval for beta0.12836
 Lowerbound of 95% confidence interval for alpha0.13009
 Upperbound of 95% confidence interval for alpha0.13334
 Treynor index (mean / b)0.13454
 Jensen alpha (a)0.00163
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00086
 SD0.15572
 Sharpe ratio (Glass type estimate)0.00552
 Sharpe ratio (Hedges UMVUE)0.00552
 df1840.00000
 t0.01277
 p0.50015
 Lowerbound of 95% confidence interval for Sharpe Ratio0.85275
 Upperbound of 95% confidence interval for Sharpe Ratio0.84171
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85275
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.84171
 Statistics related to Sortino ratio
 Sortino ratio0.00774
 Upside Potential Ratio6.73430
 Upside part of mean0.74805
 Downside part of mean0.74891
 Upside SD0.10908
 Downside SD0.11108
 N nonnegative terms509.00000
 N negative terms1332.00000
 Statistics related to linear regression on benchmark
 N of observations1841.00000
 Mean of predictor0.10243
 Mean of criterion0.00086
 SD of predictor0.15925
 SD of criterion0.15572
 Covariance0.00212
 r0.08540
 b (slope, estimate of beta)0.08350
 a (intercept, estimate of alpha)0.00941
 Mean Square Error0.02409
 DF error1839.00000
 t(b)3.67549
 p(b)0.44570
 t(a)0.14022
 p(a)0.50208
 Lowerbound of 95% confidence interval for beta0.03895
 Upperbound of 95% confidence interval for beta0.12806
 Lowerbound of 95% confidence interval for alpha0.14106
 Upperbound of 95% confidence interval for alpha0.12224
 Treynor index (mean / b)0.01029
 Jensen alpha (a)0.00941
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.01372
 Expected Shortfall on VaR0.01717
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00618
 Expected Shortfall on VaR0.01287
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations1841.00000
 Minimum0.94886
 Quartile 10.99998
 Median1.00000
 Quartile 31.00065
 Maximum1.05386
 Mean of quarter 10.99146
 Mean of quarter 21.00000
 Mean of quarter 31.00004
 Mean of quarter 41.00877
 Inter Quartile Range0.00067
 Number outliers low408.00000
 Percentage of outliers low0.22162
 Mean of outliers low0.99042
 Number of outliers high416.00000
 Percentage of outliers high0.22596
 Mean of outliers high1.00957
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.07427
 VaR(95%) (moments method)0.00387
 Expected Shortfall (moments method)0.00610
 Extreme Value Index (regression method)0.04273
 VaR(95%) (regression method)0.00845
 Expected Shortfall (regression method)0.01311
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations25.00000
 Minimum0.00025
 Quartile 10.00699
 Median0.01984
 Quartile 30.07008
 Maximum0.26800
 Mean of quarter 10.00284
 Mean of quarter 20.01434
 Mean of quarter 30.04217
 Mean of quarter 40.15357
 Inter Quartile Range0.06309
 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 high0.20659
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.38409
 VaR(95%) (moments method)0.15069
 Expected Shortfall (moments method)0.17775
 Extreme Value Index (regression method)0.09396
 VaR(95%) (regression method)0.15954
 Expected Shortfall (regression method)0.22295
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.00932
 Compounded annual return (geometric extrapolation)0.00913
 Calmar ratio (compounded annual return / max draw down)0.03408
 Compounded annual return / average of 25% largest draw downs0.05947
 Compounded annual return / Expected Shortfall lognormal0.53196
 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
 Mean0.00995
 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 ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.18769
 Mean of criterion0.00995
 SD of predictor0.18727
 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
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)31576300000000000.00000
 Sharpe ratio (Hedges UMVUE)31437600000000000.00000
 df171.00000
 t22327800000000000.00000
 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 approximation34769500000000000.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation28105800000000000.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.17019
 Mean of criterion0.00995
 SD of predictor0.18738
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00995
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.00000
 p(b)0.50000
 t(a)22235700000000000.00000
 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 alpha0.00995
 Upperbound of 95% confidence interval for alpha0.00995
 Treynor index (mean / b)410406000000000004387315803750400.00000
 Jensen alpha (a)0.00995
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 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 observations172.00000
 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"!
Statistics
Latest
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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.
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.