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NQ Timer

Created by:
GilbertJArevalo
GilbertJArevalo
Started:   10/2010
Futures
Last trade:   1,150 days ago

Subscription terms. Subscriptions to this system cost $50.00 per month.

0.2%
Annual Return (Compounded)
28.4%
Max Drawdown
42
Num Trades
45.2%
Win Trades
1.0 : 1
Profit Factor
17.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
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

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.

System developer has asked us to delay this information by 168 hours.

Open positions are hidden from non-subscribers.

This strategy has placed 24 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/9/13 9:30 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 1 3153.75 10/17 9:30 3259.25 2.38%
Trade id #83389911
Max drawdown($2,455)
Time10/16/13 11:13
Quant open-1
Worst price3276.50
Drawdown as % of equity-2.38%
($2,124)
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
9/10/13 9:31 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 3 3197.25 10/9 9:30 3153.75 3%
Trade id #82915376
Max drawdown($3,180)
Time10/8/13 14:22
Quant open3
Worst price3144.25
Drawdown as % of equity-3.00%
($2,652)
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
8/15/13 19:57 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 2 3074.50 9/10 9:30 3186.25 4.26%
Trade id #82557930
Max drawdown($4,590)
Time9/10/13 7:49
Quant open-2
Worst price3189.25
Drawdown as % of equity-4.26%
($4,498)
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
7/12/13 9:31 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 3 3057.25 8/15 19:57 3074.50 1.85%
Trade id #81972432
Max drawdown($2,025)
Time7/23/13 15:53
Quant open3
Worst price3023.50
Drawdown as % of equity-1.85%
$993
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
6/21/13 9:30 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 3 2883.42 7/12 9:30 3057.00 9.58%
Trade id #81637075
Max drawdown($10,654)
Time7/12/13 7:31
Quant open-3
Worst price3061.00
Drawdown as % of equity-9.58%
($10,457)
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
6/14/13 9:30 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 3 2955.00 6/21 9:30 2883.50 3.86%
Trade id #81497930
Max drawdown($4,755)
Time6/20/13 15:48
Quant open3
Worst price2875.75
Drawdown as % of equity-3.86%
($4,332)
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
6/12/13 9:31 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 3 2972.08 6/14 9:30 2954.25 0.06%
Trade id #81442765
Max drawdown($70)
Time6/12/13 9:33
Quant open-3
Worst price2973.25
Drawdown as % of equity-0.06%
$1,028
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
4/30/13 9:31 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 5 2908.30 6/12 9:30 2977.70 0.5%
Trade id #80595756
Max drawdown($585)
Time4/30/13 10:03
Quant open3
Worst price2853.25
Drawdown as % of equity-0.50%
$6,870
Includes Typical Commission and AutoTrade Fees trade costs of $69.80
4/18/13 9:31 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 3 2780.75 4/30 9:30 2863.00 4.59%
Trade id #80327075
Max drawdown($5,460)
Time4/29/13 12:38
Quant open-3
Worst price2871.75
Drawdown as % of equity-4.59%
($4,977)
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
3/6/13 9:31 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 6 2804.50 4/18 9:30 2780.96 6.57%
Trade id #79564817
Max drawdown($8,040)
Time4/5/13 9:33
Quant open6
Worst price2737.50
Drawdown as % of equity-6.57%
($2,909)
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
2/26/13 9:31 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 3 2702.75 3/6 9:31 2804.50 4.86%
Trade id #79414960
Max drawdown($6,105)
Time3/6/13 9:31
Quant open-3
Worst price2804.50
Drawdown as % of equity-4.86%
($6,147)
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
12/24/12 9:31 @NQH3 E-MINI NASDAQ 100 STK IDX LONG 6 2653.50 2/26/13 9:31 2708.50 7.39%
Trade id #78300111
Max drawdown($8,670)
Time12/31/12 7:37
Quant open6
Worst price2581.25
Drawdown as % of equity-7.39%
$6,516
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
11/26/12 9:31 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 6 2631.75 12/21 18:16 2650.50 1.98%
Trade id #77827609
Max drawdown($2,430)
Time11/28/12 10:06
Quant open6
Worst price2611.50
Drawdown as % of equity-1.98%
$2,166
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
10/12/12 9:31 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 3 2713.00 11/26 9:31 2631.75 1.19%
Trade id #77115027
Max drawdown($1,395)
Time10/19/12 9:31
Quant open-3
Worst price2736.25
Drawdown as % of equity-1.19%
$4,833
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
10/11/12 9:31 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 3 2740.75 10/12 9:31 2713.00 1.59%
Trade id #77090851
Max drawdown($1,875)
Time10/12/12 3:12
Quant open3
Worst price2709.50
Drawdown as % of equity-1.59%
($1,707)
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
9/19/12 9:30 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 5 2850.75 10/11 9:31 2740.75 11.42%
Trade id #76684207
Max drawdown($13,625)
Time10/10/12 16:57
Quant open5
Worst price2714.50
Drawdown as % of equity-11.42%
($11,070)
Includes Typical Commission and AutoTrade Fees trade costs of $69.80
7/27/12 9:31 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 4 2596.00 9/19 9:30 2856.50 0.49%
Trade id #75606406
Max drawdown($540)
Time7/27/12 9:41
Quant open4
Worst price2589.25
Drawdown as % of equity-0.49%
$20,784
Includes Typical Commission and AutoTrade Fees trade costs of $55.84
7/25/12 9:31 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 2 2542.00 7/27 9:31 2596.00 2.07%
Trade id #75535068
Max drawdown($2,280)
Time7/27/12 9:20
Quant open-2
Worst price2599.00
Drawdown as % of equity-2.07%
($2,188)
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
7/2/12 9:32 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 5 2612.00 7/25 9:31 2542.00 8.45%
Trade id #74964991
Max drawdown($9,525)
Time7/24/12 16:34
Quant open5
Worst price2516.75
Drawdown as % of equity-8.45%
($7,070)
Includes Typical Commission and AutoTrade Fees trade costs of $69.80
6/26/12 9:31 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 2 2536.75 7/2 9:32 2612.00 2.74%
Trade id #74831403
Max drawdown($3,250)
Time7/2/12 4:48
Quant open-2
Worst price2618.00
Drawdown as % of equity-2.74%
($3,038)
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
6/18/12 9:30 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 5 2554.25 6/26 9:31 2536.75 2.74%
Trade id #74622898
Max drawdown($3,325)
Time6/25/12 12:02
Quant open5
Worst price2521.00
Drawdown as % of equity-2.74%
($1,820)
Includes Typical Commission and AutoTrade Fees trade costs of $69.80
5/7/12 9:31 @NQM2 E-MINI NASDAQ 100 STK IDX SHORT 2 2617.75 6/15 16:45 2544.75 0.74%
Trade id #73398618
Max drawdown($900)
Time5/11/12 10:42
Quant open-2
Worst price2640.25
Drawdown as % of equity-0.74%
$2,892
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
4/26/12 9:30 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 6 2705.75 5/7 9:31 2617.75 11.76%
Trade id #73048527
Max drawdown($14,310)
Time5/6/12 18:39
Quant open6
Worst price2586.50
Drawdown as % of equity-11.76%
($10,644)
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
4/5/12 9:31 @NQM2 E-MINI NASDAQ 100 STK IDX SHORT 3 2736.25 4/26 9:30 2705.75 0.03%
Trade id #72395587
Max drawdown($45)
Time4/13/12 7:00
Quant open-3
Worst price2737.00
Drawdown as % of equity-0.03%
$1,788
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
3/7/12 9:45 @NQM2 E-MINI NASDAQ 100 STK IDX LONG 2 2596.25 4/5 9:31 2736.25 0.16%
Trade id #71263164
Max drawdown($200)
Time3/7/12 9:50
Quant open2
Worst price2591.25
Drawdown as % of equity-0.16%
$5,572
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
12/21/11 9:32 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 2 2263.75 3/7/12 9:45 2601.50 0.36%
Trade id #69171320
Max drawdown($400)
Time12/28/11 15:28
Quant open2
Worst price2253.75
Drawdown as % of equity-0.36%
$13,482
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
12/14/11 9:31 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 2 2253.25 12/21 9:32 2263.75 1.39%
Trade id #68952525
Max drawdown($1,520)
Time12/21/11 5:23
Quant open-2
Worst price2291.25
Drawdown as % of equity-1.39%
($448)
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
11/18/11 9:31 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 2 2272.75 12/14 9:31 2259.75 2.62%
Trade id #68108795
Max drawdown($2,840)
Time12/5/11 10:38
Quant open-2
Worst price2343.75
Drawdown as % of equity-2.62%
$492
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
10/13/11 9:30 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 3 2313.42 11/18 9:31 2272.75 3.05%
Trade id #66733265
Max drawdown($3,445)
Time11/17/11 13:54
Quant open3
Worst price2256.00
Drawdown as % of equity-3.05%
($2,482)
Includes Typical Commission and AutoTrade Fees trade costs of $41.88
9/23/11 9:31 @NQZ1 E-MINI NASDAQ 100 STK IDX SHORT 2 2160.25 10/13 9:30 2297.25 6.01%
Trade id #66030030
Max drawdown($6,750)
Time10/12/11 14:34
Quant open-2
Worst price2329.00
Drawdown as % of equity-6.01%
($5,508)
Includes Typical Commission and AutoTrade Fees trade costs of $27.92

Statistics

  • Strategy began
    10/7/2010
  • Starting Unit Size
    $97,946
  • Strategy Age (days)
    2251.48
  • Age
    75 months ago
  • What it trades
    Futures
  • # Trades
    42
  • # Profitable
    19
  • % Profitable
    45.20%
  • Avg trade duration
    26.0 days
  • Max peak-to-valley drawdown
    28.39%
  • drawdown period
    Feb 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 ratio
    1.05:1
  • Sharpe Ratio
    -0.007
  • Sortino Ratio
    -0.009
  • Calmar Ratio
    0.033
  • Return Statistics
  • Ann Return (w trading costs)
    0.2%
  • Ann Return (Compnd, No Fees)
    0.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    26.67%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $4,496
  • Avg Win
    $5,700
  • # Winners
    19
  • # Losers
    23
  • % Winners
    45.2%
  • Frequency
  • Avg Position Time (mins)
    37496.80
  • Avg Position Time (hrs)
    624.95
  • Avg Trade Length
    26.0 days
  • Last Trade Ago
    1146
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01137
  • SD
    0.15963
  • Sharpe ratio (Glass type estimate)
    0.07123
  • Sharpe ratio (Hedges UMVUE)
    0.07039
  • df
    64.00000
  • t
    0.16577
  • p
    0.43443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77126
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91319
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91261
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11089
  • Upside Potential Ratio
    1.74380
  • Upside part of mean
    0.17880
  • Downside part of mean
    -0.16743
  • Upside SD
    0.12078
  • Downside SD
    0.10254
  • N nonnegative terms
    20.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.11464
  • Mean of criterion
    0.01137
  • SD of predictor
    0.12274
  • SD of criterion
    0.15963
  • Covariance
    0.00417
  • r
    0.21285
  • b (slope, estimate of beta)
    0.27683
  • a (intercept, estimate of alpha)
    -0.02037
  • Mean Square Error
    0.02472
  • DF error
    63.00000
  • t(b)
    1.72905
  • p(b)
    0.04435
  • t(a)
    -0.29095
  • p(a)
    0.61398
  • Lowerbound of 95% confidence interval for beta
    -0.04312
  • Upperbound of 95% confidence interval for beta
    0.59677
  • Lowerbound of 95% confidence interval for alpha
    -0.16024
  • Upperbound of 95% confidence interval for alpha
    0.11951
  • Treynor index (mean / b)
    0.04107
  • Jensen alpha (a)
    -0.02037
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00097
  • SD
    0.15773
  • Sharpe ratio (Glass type estimate)
    -0.00614
  • Sharpe ratio (Hedges UMVUE)
    -0.00607
  • df
    64.00000
  • t
    -0.01429
  • p
    0.50568
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84828
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83607
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00911
  • Upside Potential Ratio
    1.61594
  • Upside part of mean
    0.17184
  • Downside part of mean
    -0.17281
  • Upside SD
    0.11483
  • Downside SD
    0.10634
  • N nonnegative terms
    20.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.10659
  • Mean of criterion
    -0.00097
  • SD of predictor
    0.12339
  • SD of criterion
    0.15773
  • Covariance
    0.00382
  • r
    0.19644
  • b (slope, estimate of beta)
    0.25110
  • a (intercept, estimate of alpha)
    -0.02773
  • Mean Square Error
    0.02430
  • DF error
    63.00000
  • t(b)
    1.59016
  • p(b)
    0.05840
  • t(a)
    -0.40159
  • p(a)
    0.65533
  • Lowerbound of 95% confidence interval for beta
    -0.06445
  • Upperbound of 95% confidence interval for beta
    0.56666
  • Lowerbound of 95% confidence interval for alpha
    -0.16573
  • Upperbound of 95% confidence interval for alpha
    0.11027
  • Treynor index (mean / b)
    -0.00386
  • Jensen alpha (a)
    -0.02773
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07223
  • Expected Shortfall on VaR
    0.08959
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03909
  • Expected Shortfall on VaR
    0.07476
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    65.00000
  • Minimum
    0.90560
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01371
  • Maximum
    1.15861
  • Mean of quarter 1
    0.94885
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00152
  • Mean of quarter 4
    1.06005
  • Inter Quartile Range
    0.01371
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.23077
  • Mean of outliers low
    0.94294
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.16923
  • Mean of outliers high
    1.07715
  • Risk estimates for a one-period 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)
    -1.00878
  • VaR(95%) (regression method)
    0.06166
  • Expected Shortfall (regression method)
    0.06899
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.03520
  • Quartile 1
    0.06878
  • Median
    0.09630
  • Quartile 3
    0.12032
  • Maximum
    0.23964
  • Mean of quarter 1
    0.05069
  • Mean of quarter 2
    0.07658
  • Mean of quarter 3
    0.11602
  • Mean of quarter 4
    0.18070
  • Inter Quartile Range
    0.05153
  • 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
    0.23964
  • 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)
    0.00920
  • Compounded annual return (geometric extrapolation)
    0.00902
  • Calmar ratio (compounded annual return / max draw down)
    0.03765
  • Compounded annual return / average of 25% largest draw downs
    0.04993
  • Compounded annual return / Expected Shortfall lognormal
    0.10071
  • 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
    0.01084
  • SD
    0.15423
  • Sharpe ratio (Glass type estimate)
    0.07030
  • Sharpe ratio (Hedges UMVUE)
    0.07027
  • df
    1877.00000
  • t
    0.16426
  • p
    0.49759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90914
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90912
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09973
  • Upside Potential Ratio
    6.79976
  • Upside part of mean
    0.73921
  • Downside part of mean
    -0.72837
  • Upside SD
    0.10934
  • Downside SD
    0.10871
  • N nonnegative terms
    509.00000
  • N negative terms
    1369.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1878.00000
  • Mean of predictor
    0.12014
  • Mean of criterion
    0.01084
  • SD of predictor
    0.16272
  • SD of criterion
    0.15423
  • Covariance
    0.00207
  • r
    0.08252
  • b (slope, estimate of beta)
    0.07821
  • a (intercept, estimate of alpha)
    0.00145
  • Mean Square Error
    0.02364
  • DF error
    1876.00000
  • t(b)
    3.58627
  • p(b)
    0.45874
  • t(a)
    0.02196
  • p(a)
    0.49975
  • Lowerbound of 95% confidence interval for beta
    0.03544
  • Upperbound of 95% confidence interval for beta
    0.12098
  • Lowerbound of 95% confidence interval for alpha
    -0.12770
  • Upperbound of 95% confidence interval for alpha
    0.13059
  • Treynor index (mean / b)
    0.13863
  • Jensen alpha (a)
    0.00145
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00104
  • SD
    0.15418
  • Sharpe ratio (Glass type estimate)
    -0.00674
  • Sharpe ratio (Hedges UMVUE)
    -0.00673
  • df
    1877.00000
  • t
    -0.01574
  • p
    0.50023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83210
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83211
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00944
  • Upside Potential Ratio
    6.66763
  • Upside part of mean
    0.73331
  • Downside part of mean
    -0.73435
  • Upside SD
    0.10799
  • Downside SD
    0.10998
  • N nonnegative terms
    509.00000
  • N negative terms
    1369.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1878.00000
  • Mean of predictor
    0.10685
  • Mean of criterion
    -0.00104
  • SD of predictor
    0.16306
  • SD of criterion
    0.15418
  • Covariance
    0.00208
  • r
    0.08257
  • b (slope, estimate of beta)
    0.07808
  • a (intercept, estimate of alpha)
    -0.00938
  • Mean Square Error
    0.02362
  • DF error
    1876.00000
  • t(b)
    3.58862
  • p(b)
    0.45871
  • t(a)
    -0.14253
  • p(a)
    0.50165
  • Lowerbound of 95% confidence interval for beta
    0.03541
  • Upperbound of 95% confidence interval for beta
    0.12074
  • Lowerbound of 95% confidence interval for alpha
    -0.13847
  • Upperbound of 95% confidence interval for alpha
    0.11971
  • Treynor index (mean / b)
    -0.01330
  • Jensen alpha (a)
    -0.00938
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01358
  • Expected Shortfall on VaR
    0.01700
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00608
  • Expected Shortfall on VaR
    0.01269
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1878.00000
  • Minimum
    0.94886
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00057
  • Maximum
    1.05386
  • Mean of quarter 1
    0.99162
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.00859
  • Inter Quartile Range
    0.00057
  • Number outliers low
    418.00000
  • Percentage of outliers low
    0.22258
  • Mean of outliers low
    0.99063
  • Number of outliers high
    424.00000
  • Percentage of outliers high
    0.22577
  • Mean of outliers high
    1.00942
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07427
  • VaR(95%) (moments method)
    0.00383
  • Expected Shortfall (moments method)
    0.00606
  • Extreme Value Index (regression method)
    -0.04273
  • VaR(95%) (regression method)
    0.00836
  • Expected Shortfall (regression method)
    0.01302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00699
  • Median
    0.01984
  • Quartile 3
    0.07008
  • Maximum
    0.26800
  • Mean of quarter 1
    0.00284
  • Mean of quarter 2
    0.01434
  • Mean of quarter 3
    0.04217
  • Mean of quarter 4
    0.15357
  • Inter Quartile Range
    0.06309
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12000
  • Mean of outliers high
    0.20659
  • 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)
    0.00913
  • Compounded annual return (geometric extrapolation)
    0.00895
  • Calmar ratio (compounded annual return / max draw down)
    0.03340
  • Compounded annual return / average of 25% largest draw downs
    0.05829
  • Compounded annual return / Expected Shortfall lognormal
    0.52658
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08957
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.22046
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.06539
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.22051
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22259600000000000.00000
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -511518000000000051120886090039296.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period 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 observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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 downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Proven EOD long-term 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 follow-through 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 back-tested 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 stop-loss orders in case of emergencies as capital preservation is the top priority.

This system is developed to greatly out-perform stocks for the long-term, while keeping loss periods contained. This trend-following system holds NQ contracts either Long or Short based on IBD's market bias.

Thank you for following and
welcome to the "IBD Experiment"!

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Statistics

Strategy began
2010-10-07
Minimum Capital Required
$45,000
# Trades
42
# Profitable
19
% Profitable
45.2%
Correlation S&P500
0.086
Sharpe Ratio
-0.007

Latest

#PERSONNAME#
subscribed on #SUBSCRIBEDDATE#

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 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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