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.
Closed Trades
CSVOpened ET  B/S  #  Symbol  Price  Closed  Price  DD  P/L  

10/9/13 9:30  SELL  1  @NQZ3  EMINI NASDAQ 100  3153.75  10/17 9:30  3259.25  2.38%

($2,124) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/10/13 9:31  BUY  3  @NQZ3  EMINI NASDAQ 100  3197.25  10/9 9:30  3153.75  3%

($2,652) Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

8/15/13 19:57  SELL  2  @NQU3  EMINI NASDAQ 100  3074.50  9/10 9:30  3186.25  4.26%

($4,498) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

7/12/13 9:31  BUY  3  @NQU3  EMINI NASDAQ 100  3057.25  8/15 19:57  3074.50  1.85%

$993 Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

6/21/13 9:30  SELL  3  @NQU3  EMINI NASDAQ 100  2883.42  7/12 9:30  3057.00  9.58%

($10,457) Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

6/14/13 9:30  BUY  3  @NQU3  EMINI NASDAQ 100  2955.00  6/21 9:30  2883.50  3.86%

($4,332) Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

6/12/13 9:31  SELL  3  @NQU3  EMINI NASDAQ 100  2972.08  6/14 9:30  2954.25  0.06%

$1,028 Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

4/30/13 9:31  BUY  5  @NQM3  EMINI NASDAQ 100  2908.30  6/12 9:30  2977.70  0.5%

$6,870 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

4/18/13 9:31  SELL  3  @NQM3  EMINI NASDAQ 100  2780.75  4/30 9:30  2863.00  4.59%

($4,977) Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

3/6/13 9:31  BUY  6  @NQM3  EMINI NASDAQ 100  2804.50  4/18 9:30  2780.96  6.57%

($2,909) Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76 

2/26/13 9:31  SELL  3  @NQM3  EMINI NASDAQ 100  2702.75  3/6 9:31  2804.50  4.86%

($6,147) Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

12/24/12 9:31  BUY  6  @NQH3  EMINI NASDAQ 100  2653.50  2/26/13 9:31  2708.50  7.39%

$6,516 Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76 

11/26/12 9:31  BUY  6  @NQZ2  EMINI NASDAQ 100  2631.75  12/21 18:16  2650.50  1.98%

$2,166 Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76 

10/12/12 9:31  SELL  3  @NQZ2  EMINI NASDAQ 100  2713.00  11/26 9:31  2631.75  1.19%

$4,833 Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

10/11/12 9:31  BUY  3  @NQZ2  EMINI NASDAQ 100  2740.75  10/12 9:31  2713.00  1.59%

($1,707) Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

9/19/12 9:30  BUY  5  @NQZ2  EMINI NASDAQ 100  2850.75  10/11 9:31  2740.75  11.42%

($11,070) Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

7/27/12 9:31  BUY  4  @NQU2  EMINI NASDAQ 100  2596.00  9/19 9:30  2856.50  0.49%

$20,784 Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84 

7/25/12 9:31  SELL  2  @NQU2  EMINI NASDAQ 100  2542.00  7/27 9:31  2596.00  2.07%

($2,188) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

7/2/12 9:32  BUY  5  @NQU2  EMINI NASDAQ 100  2612.00  7/25 9:31  2542.00  8.45%

($7,070) Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

6/26/12 9:31  SELL  2  @NQU2  EMINI NASDAQ 100  2536.75  7/2 9:32  2612.00  2.74%

($3,038) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

6/18/12 9:30  BUY  5  @NQU2  EMINI NASDAQ 100  2554.25  6/26 9:31  2536.75  2.74%

($1,820) Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

5/7/12 9:31  SELL  2  @NQM2  EMINI NASDAQ 100  2617.75  6/15 16:45  2544.75  0.74%

$2,892 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

4/26/12 9:30  BUY  6  @NQM2  EMINI NASDAQ 100  2705.75  5/7 9:31  2617.75  11.76%

($10,644) Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76 

4/5/12 9:31  SELL  3  @NQM2  EMINI NASDAQ 100  2736.25  4/26 9:30  2705.75  0.03%

$1,788 Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

3/7/12 9:45  BUY  2  @NQM2  EMINI NASDAQ 100  2596.25  4/5 9:31  2736.25  0.16%

$5,572 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

12/21/11 9:32  BUY  2  @NQH2  EMINI NASDAQ 100  2263.75  3/7/12 9:45  2601.50  0.36%

$13,482 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

12/14/11 9:31  SELL  2  @NQH2  EMINI NASDAQ 100  2253.25  12/21 9:32  2263.75  1.39%

($448) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

11/18/11 9:31  SELL  2  @NQZ1  EMINI NASDAQ 100  2272.75  12/14 9:31  2259.75  2.62%

$492 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

10/13/11 9:30  BUY  3  @NQZ1  EMINI NASDAQ 100  2313.42  11/18 9:31  2272.75  3.05%

($2,482) Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

9/23/11 9:31  SELL  2  @NQZ1  EMINI NASDAQ 100  2160.25  10/13 9:30  2297.25  6.01%

($5,508) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 
Statistics
 Strategy began10/7/2010
 Starting Unit Size$45,000
 Strategy Age (days)1952.42
 Age65 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
 Ratios
 W:L ratio1.05:1
 Sharpe Ratio0.003
 Sortino Ratio0.004
 Calmar Ratio0.036
 Daily Change
 Open PL$0.00
 Open PL (start day)$0.00
 Open PL Change $$0.00
 Open PL Change %n/a
 Close PL$4,883
 Closed PL (start day)$4,883
 Closed PL Change $$0.03
 Closed PL Change %n/a
 Equity$102,829
 Equity (start day)$102,829
 Equity Change $$0.03
 Equity Change %n/a
 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 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 Ago847
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.01277
 SD0.16486
 Sharpe ratio (Glass type estimate)0.07745
 Sharpe ratio (Hedges UMVUE)0.07648
 df60.00000
 t0.17462
 p0.43098
 Lowerbound of 95% confidence interval for Sharpe Ratio0.79227
 Upperbound of 95% confidence interval for Sharpe Ratio0.94656
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.79294
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.94589
 Statistics related to Sortino ratio
 Sortino ratio0.12064
 Upside Potential Ratio1.80011
 Upside part of mean0.19053
 Downside part of mean0.17776
 Upside SD0.12468
 Downside SD0.10584
 N nonnegative terms20.00000
 N negative terms41.00000
 Statistics related to linear regression on benchmark
 N of observations61.00000
 Mean of predictor0.09576
 Mean of criterion0.01277
 SD of predictor0.11995
 SD of criterion0.16486
 Covariance0.00448
 r0.22678
 b (slope, estimate of beta)0.31169
 a (intercept, estimate of alpha)0.01708
 Mean Square Error0.02622
 DF error59.00000
 t(b)1.78857
 p(b)0.03941
 t(a)0.23164
 p(a)0.59119
 Lowerbound of 95% confidence interval for beta0.03702
 Upperbound of 95% confidence interval for beta0.66040
 Lowerbound of 95% confidence interval for alpha0.16461
 Upperbound of 95% confidence interval for alpha0.13046
 Treynor index (mean / b)0.04097
 Jensen alpha (a)0.01708
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00038
 SD0.16290
 Sharpe ratio (Glass type estimate)0.00233
 Sharpe ratio (Hedges UMVUE)0.00230
 df60.00000
 t0.00525
 p0.50209
 Lowerbound of 95% confidence interval for Sharpe Ratio0.87164
 Upperbound of 95% confidence interval for Sharpe Ratio0.86698
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.87161
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86701
 Statistics related to Sortino ratio
 Sortino ratio0.00346
 Upside Potential Ratio1.66812
 Upside part of mean0.18311
 Downside part of mean0.18349
 Upside SD0.11854
 Downside SD0.10977
 N nonnegative terms20.00000
 N negative terms41.00000
 Statistics related to linear regression on benchmark
 N of observations61.00000
 Mean of predictor0.08818
 Mean of criterion0.00038
 SD of predictor0.12108
 SD of criterion0.16290
 Covariance0.00409
 r0.20751
 b (slope, estimate of beta)0.27918
 a (intercept, estimate of alpha)0.02500
 Mean Square Error0.02582
 DF error59.00000
 t(b)1.62939
 p(b)0.05428
 t(a)0.34310
 p(a)0.63363
 Lowerbound of 95% confidence interval for beta0.06367
 Upperbound of 95% confidence interval for beta0.62203
 Lowerbound of 95% confidence interval for alpha0.17079
 Upperbound of 95% confidence interval for alpha0.12079
 Treynor index (mean / b)0.00136
 Jensen alpha (a)0.02500
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.07446
 Expected Shortfall on VaR0.09233
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.04080
 Expected Shortfall on VaR0.07724
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations61.00000
 Minimum0.90560
 Quartile 10.98634
 Median1.00000
 Quartile 31.01687
 Maximum1.15861
 Mean of quarter 10.94565
 Mean of quarter 21.00000
 Mean of quarter 31.00274
 Mean of quarter 41.06293
 Inter Quartile Range0.03053
 Number outliers low6.00000
 Percentage of outliers low0.09836
 Mean of outliers low0.92070
 Number of outliers high7.00000
 Percentage of outliers high0.11475
 Mean of outliers high1.09257
 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)0.06571
 Expected Shortfall (regression method)0.07311
 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)0.00981
 Compounded annual return (geometric extrapolation)0.00962
 Calmar ratio (compounded annual return / max draw down)0.04013
 Compounded annual return / average of 25% largest draw downs0.05322
 Compounded annual return / Expected Shortfall lognormal0.10415
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.01215
 SD0.15900
 Sharpe ratio (Glass type estimate)0.07641
 Sharpe ratio (Hedges UMVUE)0.07637
 df1766.00000
 t0.17317
 p0.49794
 Lowerbound of 95% confidence interval for Sharpe Ratio0.78839
 Upperbound of 95% confidence interval for Sharpe Ratio0.94120
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.78842
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.94116
 Statistics related to Sortino ratio
 Sortino ratio0.10840
 Upside Potential Ratio7.01008
 Upside part of mean0.78565
 Downside part of mean0.77350
 Upside SD0.11272
 Downside SD0.11207
 N nonnegative terms509.00000
 N negative terms1258.00000
 Statistics related to linear regression on benchmark
 N of observations1767.00000
 Mean of predictor0.09416
 Mean of criterion0.01215
 SD of predictor0.15907
 SD of criterion0.15900
 Covariance0.00220
 r0.08709
 b (slope, estimate of beta)0.08705
 a (intercept, estimate of alpha)0.00395
 Mean Square Error0.02510
 DF error1765.00000
 t(b)3.67277
 p(b)0.44463
 t(a)0.05649
 p(a)0.49914
 Lowerbound of 95% confidence interval for beta0.04057
 Upperbound of 95% confidence interval for beta0.13354
 Lowerbound of 95% confidence interval for alpha0.13323
 Upperbound of 95% confidence interval for alpha0.14113
 Treynor index (mean / b)0.13955
 Jensen alpha (a)0.00395
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00048
 SD0.15895
 Sharpe ratio (Glass type estimate)0.00301
 Sharpe ratio (Hedges UMVUE)0.00301
 df1766.00000
 t0.00683
 p0.50008
 Lowerbound of 95% confidence interval for Sharpe Ratio0.86780
 Upperbound of 95% confidence interval for Sharpe Ratio0.86177
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86780
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86177
 Statistics related to Sortino ratio
 Sortino ratio0.00422
 Upside Potential Ratio6.87387
 Upside part of mean0.77937
 Downside part of mean0.77985
 Upside SD0.11134
 Downside SD0.11338
 N nonnegative terms509.00000
 N negative terms1258.00000
 Statistics related to linear regression on benchmark
 N of observations1767.00000
 Mean of predictor0.08147
 Mean of criterion0.00048
 SD of predictor0.15947
 SD of criterion0.15895
 Covariance0.00221
 r0.08707
 b (slope, estimate of beta)0.08678
 a (intercept, estimate of alpha)0.00755
 Mean Square Error0.02509
 DF error1765.00000
 t(b)3.67181
 p(b)0.44464
 t(a)0.10797
 p(a)0.50164
 Lowerbound of 95% confidence interval for beta0.04043
 Upperbound of 95% confidence interval for beta0.13314
 Lowerbound of 95% confidence interval for alpha0.14467
 Upperbound of 95% confidence interval for alpha0.12957
 Treynor index (mean / b)0.00552
 Jensen alpha (a)0.00755
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.01400
 Expected Shortfall on VaR0.01752
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00637
 Expected Shortfall on VaR0.01322
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations1767.00000
 Minimum0.94886
 Quartile 10.99950
 Median1.00000
 Quartile 31.00105
 Maximum1.05386
 Mean of quarter 10.99110
 Mean of quarter 20.99999
 Mean of quarter 31.00008
 Mean of quarter 41.00909
 Inter Quartile Range0.00155
 Number outliers low326.00000
 Percentage of outliers low0.18449
 Mean of outliers low0.98849
 Number of outliers high338.00000
 Percentage of outliers high0.19129
 Mean of outliers high1.01120
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.07427
 VaR(95%) (moments method)0.00396
 Expected Shortfall (moments method)0.00619
 Extreme Value Index (regression method)0.04273
 VaR(95%) (regression method)0.00865
 Expected Shortfall (regression method)0.01330
 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)0.00971
 Compounded annual return (geometric extrapolation)0.00952
 Calmar ratio (compounded annual return / max draw down)0.03551
 Compounded annual return / average of 25% largest draw downs0.06197
 Compounded annual return / Expected Shortfall lognormal0.54322
 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 predictor0.23789
 Mean of criterion0.00995
 SD of predictor0.22438
 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 predictor0.26320
 Mean of criterion0.00995
 SD of predictor0.22569
 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)22218300000000000.00000
 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)161295000000000014242517025292288.00000
 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"!
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.