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These are hypothetical performance results that have certain inherent limitations. Learn more

QQQ ETF Timer (Closed NOV 2012)

Created by:
GilbertJArevalo
GilbertJArevalo
Started:   11/2010
Stocks
Last trade:   1,414 days ago

Subscription terms. You can subscribe to this system for free.

-9.9%
Annual Return (Compounded)
57.5%
Max Drawdown
24
Num Trades
29.2%
Win Trades
0.6 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                      +0.2%(3.7%)(3.5%)
2011+5.5%+6.2%(3%)+5.8%(2%)(5.6%)(1.8%)+18.8%(4.7%)(4.8%)(4.1%)(1.9%)+5.9%
2012+7.7%+7.4%+4.5%(2.2%)(5.5%)(11.9%)(4.9%)+10.9%+1.6%+0.7%(2.2%)+0.3%+4.2%
2013(3.5%)(0.8%)(3.7%)(3.2%)(4.6%)+3.0%(6.7%)+0.1%(4.9%)(4.9%)(3.3%)(2.8%)(30.4%)
2014+1.7%(4.5%)+2.1%(0.2%)(3.8%)(2.6%)(1.1%)(3.8%)+0.4%(2.3%)(3.1%)+1.4%(15.1%)
2015+1.1%(4.7%)+1.3%(1.4%)(1.6%)+1.4%(2.9%)+3.7%+1.0%(6.7%)(0.6%)+0.7%(8.6%)
2016+3.8%+0.5%(4%)+1.7%(2.4%)+0.9%(3.7%)(1.1%)                        (4.5%)

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.

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

Open positions are hidden from non-subscribers.

Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV Show More detailsShow fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/27/12 9:30 QLD PROSHARES ULTRA QQQ LONG 908 26.29 10/11 9:30 29.36 0.56%
Trade id #75606233
Max drawdown($131)
Time7/27/12 9:41
Quant open454
Worst price52.28
Drawdown as % of equity-0.56%
$2,770
Includes Typical Commission and AutoTrade Fees trade costs of $18.16
7/25/12 9:30 QID PROSHARES ULTRASHORT QQQ LONG 85 135.56 7/27 9:30 129.84 2.07%
Trade id #75534939
Max drawdown($486)
Time7/27/12 9:30
Quant open0
Worst price32.46
Drawdown as % of equity-2.07%
($488)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
7/2/12 9:31 QLD PROSHARES ULTRA QQQ LONG 950 26.70 7/25 9:30 25.23 5.6%
Trade id #74964836
Max drawdown($1,410)
Time7/23/12 9:49
Quant open475
Worst price50.43
Drawdown as % of equity-5.60%
($1,416)
Includes Typical Commission and AutoTrade Fees trade costs of $19.00
6/26/12 9:30 QID PROSHARES ULTRASHORT QQQ LONG 94 137.56 7/2 9:30 129.00 3.16%
Trade id #74830999
Max drawdown($800)
Time7/2/12 9:30
Quant open0
Worst price32.25
Drawdown as % of equity-3.16%
($807)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
6/19/12 9:30 QLD PROSHARES ULTRA QQQ LONG 1,046 26.47 6/26 9:30 25.14 6.43%
Trade id #74654879
Max drawdown($1,684)
Time6/25/12 12:02
Quant open523
Worst price49.72
Drawdown as % of equity-6.43%
($1,407)
Includes Typical Commission and AutoTrade Fees trade costs of $20.92
5/7/12 9:30 QID PROSHARES ULTRASHORT QQQ LONG 130 132.00 6/19 9:30 131.52 0.22%
Trade id #73397942
Max drawdown($62)
Time6/19/12 9:30
Quant open0
Worst price32.88
Drawdown as % of equity-0.22%
($65)
Includes Typical Commission and AutoTrade Fees trade costs of $2.60
4/27/12 9:30 QLD PROSHARES ULTRA QQQ LONG 1,328 29.27 5/7 9:30 26.84 11.55%
Trade id #73104722
Max drawdown($3,224)
Time5/7/12 9:30
Quant open0
Worst price107.38
Drawdown as % of equity-11.55%
($3,251)
Includes Typical Commission and AutoTrade Fees trade costs of $26.56
4/5/12 9:31 QID PROSHARES ULTRASHORT QQQ LONG 158 122.24 4/27 9:30 121.68 0.29%
Trade id #72395504
Max drawdown($89)
Time4/27/12 9:30
Quant open0
Worst price30.42
Drawdown as % of equity-0.29%
($91)
Includes Typical Commission and AutoTrade Fees trade costs of $3.16
12/21/11 9:32 QLD PROSHARES ULTRA QQQ LONG 572 20.14 4/5/12 9:30 29.42 0.14%
Trade id #69171336
Max drawdown($36)
Time12/28/11 15:31
Quant open143
Worst price80.32
Drawdown as % of equity-0.14%
$5,291
Includes Typical Commission and AutoTrade Fees trade costs of $11.44
11/18/11 9:31 QID PROSHARES ULTRASHORT QQQ LONG 53 185.52 12/21 9:32 182.60 2.08%
Trade id #68108729
Max drawdown($527)
Time12/13/11 9:46
Quant open211
Worst price43.88
Drawdown as % of equity-2.08%
($157)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
10/26/11 9:30 QLD PROSHARES ULTRA QQQ LONG 764 21.72 11/18 9:30 20.42 4.61%
Trade id #67226090
Max drawdown($1,216)
Time11/17/11 12:42
Quant open191
Worst price80.50
Drawdown as % of equity-4.61%
($1,010)
Includes Typical Commission and AutoTrade Fees trade costs of $15.28
9/23/11 9:31 QID PROSHARES ULTRASHORT QQQ LONG 48 213.04 10/26 9:30 177.08 7.52%
Trade id #66029732
Max drawdown($2,014)
Time10/24/11 13:56
Quant open193
Worst price42.82
Drawdown as % of equity-7.52%
($1,728)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
8/24/11 9:30 QLD PROSHARES ULTRA QQQ LONG 1,152 18.10 9/23 9:31 18.72 1.02%
Trade id #64963562
Max drawdown($282)
Time9/6/11 10:47
Quant open288
Worst price71.41
Drawdown as % of equity-1.02%
$694
Includes Typical Commission and AutoTrade Fees trade costs of $23.04
8/9/11 9:35 QID PROSHARES ULTRASHORT QQQ LONG 50 241.72 8/24 9:30 226.20 5.72%
Trade id #64400725
Max drawdown($1,548)
Time8/17/11 9:54
Quant open200
Worst price52.69
Drawdown as % of equity-5.72%
($778)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
7/28/11 9:31 QID PROSHARES ULTRASHORT QQQ LONG 66 192.52 8/9 9:32 241.72 1.26%
Trade id #63955624
Max drawdown($319)
Time8/1/11 9:32
Quant open262
Worst price46.91
Drawdown as % of equity-1.26%
$3,245
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
7/5/11 9:31 QLD PROSHARES ULTRA QQQ LONG 1,104 22.82 7/28 9:30 22.87 0.32%
Trade id #63186649
Max drawdown($80)
Time7/27/11 15:24
Quant open276
Worst price90.98
Drawdown as % of equity-0.32%
$33
Includes Typical Commission and AutoTrade Fees trade costs of $22.08
6/2/11 9:42 QID PROSHARES ULTRASHORT QQQ LONG 79 203.28 7/5 9:31 195.08 2.59%
Trade id #62000927
Max drawdown($654)
Time7/1/11 15:00
Quant open316
Worst price48.75
Drawdown as % of equity-2.59%
($650)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
6/1/11 9:31 QLD PROSHARES ULTRA QQQ LONG 1,472 23.02 6/2 9:31 22.20 5.3%
Trade id #61946583
Max drawdown($1,376)
Time6/1/11 16:01
Quant open368
Worst price88.35
Drawdown as % of equity-5.30%
($1,233)
Includes Typical Commission and AutoTrade Fees trade costs of $29.44
5/5/11 9:33 QID PROSHARES ULTRASHORT QQQ LONG 85 196.56 6/1 9:31 196.52 2.04%
Trade id #60560367
Max drawdown($542)
Time5/11/11 9:53
Quant open341
Worst price47.55
Drawdown as % of equity-2.04%
($5)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
3/31/11 9:33 QLD PROSHARES ULTRA QQQ LONG 1,164 22.38 5/5 9:32 23.15 7.24%
Trade id #59286347
Max drawdown($1,786)
Time4/18/11 10:08
Quant open291
Worst price83.39
Drawdown as % of equity-7.24%
$872
Includes Typical Commission and AutoTrade Fees trade costs of $23.28
3/8/11 9:34 QID PROSHARES ULTRASHORT QQQ LONG 80 208.32 3/31 9:33 205.20 1.37%
Trade id #58499549
Max drawdown($357)
Time3/30/11 13:07
Quant open319
Worst price50.96
Drawdown as % of equity-1.37%
($252)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
12/15/10 9:30 QLD PROSHARES ULTRA QQQ LONG 1,188 20.22 3/8/11 9:34 22.24 1.3%
Trade id #55829922
Max drawdown($308)
Time12/15/10 14:32
Quant open297
Worst price79.84
Drawdown as % of equity-1.30%
$2,373
Includes Typical Commission and AutoTrade Fees trade costs of $23.76
11/22/10 9:31 QID PROSHARES ULTRASHORT QQQ LONG 49 255.40 12/15 9:30 234.60 4.89%
Trade id #55058034
Max drawdown($1,166)
Time12/13/10 10:56
Quant open980
Worst price11.58
Drawdown as % of equity-4.89%
($1,021)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00

Statistics

  • Strategy began
    11/22/2010
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    2101.81
  • Age
    70 months ago
  • What it trades
    Stocks
  • # Trades
    24
  • # Profitable
    7
  • % Profitable
    29.20%
  • Avg trade duration
    87.3 days
  • Max peak-to-valley drawdown
    57.46%
  • drawdown period
    April 24, 2012 - Aug 16, 2016
  • Annual Return (Compounded)
    -9.9%
  • Avg win
    $2,200
  • Avg loss
    $1,558
  • Model Account Values (Raw)
  • Cash
    $18,313
  • Margin Used
    $0
  • Buying Power
    $6,035
  • Ratios
  • W:L ratio
    0.58:1
  • Sharpe Ratio
    -0.744
  • Sortino Ratio
    -0.994
  • Calmar Ratio
    -0.174
  • Daily Change
  • Open PL
    ($12,277)
  • Open PL (start day)
    ($12,278)
  • Open PL Change $
    $0.14
  • Open PL Change %
    n/a
  • Close PL
    $1,176
  • Closed PL (start day)
    $1,177
  • Closed PL Change $
    ($0.37)
  • Closed PL Change %
    -0.03%
  • Equity
    $13,898
  • Equity (start day)
    $13,899
  • Equity Change $
    ($0.23)
  • Equity Change %
    n/a
  • Return Statistics
  • Ann Return (w trading costs)
    -9.9%
  • Ann Return (Compnd, No Fees)
    -9.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • 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
    $1,559
  • Avg Win
    $2,200
  • # Winners
    7
  • # Losers
    17
  • % Winners
    29.2%
  • Frequency
  • Avg Position Time (mins)
    125748.00
  • Avg Position Time (hrs)
    2095.80
  • Avg Trade Length
    87.3 days
  • Last Trade Ago
    1413
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09690
  • SD
    0.14123
  • Sharpe ratio (Glass type estimate)
    -0.68610
  • Sharpe ratio (Hedges UMVUE)
    -0.67827
  • df
    66.00000
  • t
    -1.62118
  • p
    0.94513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.15409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51577
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15923
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.85996
  • Upside Potential Ratio
    1.36848
  • Upside part of mean
    0.15420
  • Downside part of mean
    -0.25110
  • Upside SD
    0.08795
  • Downside SD
    0.11268
  • N nonnegative terms
    26.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.10144
  • Mean of criterion
    -0.09690
  • SD of predictor
    0.13662
  • SD of criterion
    0.14123
  • Covariance
    -0.00808
  • r
    -0.41852
  • b (slope, estimate of beta)
    -0.43264
  • a (intercept, estimate of alpha)
    -0.05301
  • Mean Square Error
    0.01671
  • DF error
    65.00000
  • t(b)
    -3.71522
  • p(b)
    0.99979
  • t(a)
    -0.94733
  • p(a)
    0.82651
  • Lowerbound of 95% confidence interval for beta
    -0.66520
  • Upperbound of 95% confidence interval for beta
    -0.20007
  • Lowerbound of 95% confidence interval for alpha
    -0.16478
  • Upperbound of 95% confidence interval for alpha
    0.05875
  • Treynor index (mean / b)
    0.22397
  • Jensen alpha (a)
    -0.05301
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10716
  • SD
    0.14203
  • Sharpe ratio (Glass type estimate)
    -0.75446
  • Sharpe ratio (Hedges UMVUE)
    -0.74585
  • df
    66.00000
  • t
    -1.78272
  • p
    0.96039
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.08767
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09332
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.92123
  • Upside Potential Ratio
    1.29259
  • Upside part of mean
    0.15035
  • Downside part of mean
    -0.25751
  • Upside SD
    0.08543
  • Downside SD
    0.11632
  • N nonnegative terms
    26.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.09168
  • Mean of criterion
    -0.10716
  • SD of predictor
    0.13787
  • SD of criterion
    0.14203
  • Covariance
    -0.00819
  • r
    -0.41813
  • b (slope, estimate of beta)
    -0.43074
  • a (intercept, estimate of alpha)
    -0.06766
  • Mean Square Error
    0.01690
  • DF error
    65.00000
  • t(b)
    -3.71108
  • p(b)
    0.99979
  • t(a)
    -1.20743
  • p(a)
    0.88418
  • Lowerbound of 95% confidence interval for beta
    -0.66255
  • Upperbound of 95% confidence interval for beta
    -0.19894
  • Lowerbound of 95% confidence interval for alpha
    -0.17958
  • Upperbound of 95% confidence interval for alpha
    0.04425
  • Treynor index (mean / b)
    0.24877
  • Jensen alpha (a)
    -0.06766
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07353
  • Expected Shortfall on VaR
    0.08916
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05404
  • Expected Shortfall on VaR
    0.08428
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    67.00000
  • Minimum
    0.90436
  • Quartile 1
    0.96846
  • Median
    0.98409
  • Quartile 3
    1.02102
  • Maximum
    1.08533
  • Mean of quarter 1
    0.94413
  • Mean of quarter 2
    0.97709
  • Mean of quarter 3
    1.00281
  • Mean of quarter 4
    1.04758
  • Inter Quartile Range
    0.05256
  • 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)
    -0.49846
  • VaR(95%) (moments method)
    0.06000
  • Expected Shortfall (moments method)
    0.06781
  • Extreme Value Index (regression method)
    -0.44648
  • VaR(95%) (regression method)
    0.06246
  • Expected Shortfall (regression method)
    0.07131
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02400
  • Quartile 1
    0.02500
  • Median
    0.03760
  • Quartile 3
    0.08504
  • Maximum
    0.54370
  • Mean of quarter 1
    0.02450
  • Mean of quarter 2
    0.03760
  • Mean of quarter 3
    0.08504
  • Mean of quarter 4
    0.54370
  • Inter Quartile Range
    0.06004
  • 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
    0.20000
  • Mean of outliers high
    0.54370
  • 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)
    -0.07502
  • Compounded annual return (geometric extrapolation)
    -0.09263
  • Calmar ratio (compounded annual return / max draw down)
    -0.17037
  • Compounded annual return / average of 25% largest draw downs
    -0.17037
  • Compounded annual return / Expected Shortfall lognormal
    -1.03894
  • 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
    -0.10232
  • SD
    0.15292
  • Sharpe ratio (Glass type estimate)
    -0.66908
  • Sharpe ratio (Hedges UMVUE)
    -0.66882
  • df
    1935.00000
  • t
    -1.58727
  • p
    0.52295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.15745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49527
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15763
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90402
  • Upside Potential Ratio
    7.11090
  • Upside part of mean
    0.80480
  • Downside part of mean
    -0.90711
  • Upside SD
    0.10293
  • Downside SD
    0.11318
  • N nonnegative terms
    769.00000
  • N negative terms
    1167.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1936.00000
  • Mean of predictor
    0.10897
  • Mean of criterion
    -0.10232
  • SD of predictor
    0.15608
  • SD of criterion
    0.15292
  • Covariance
    -0.00390
  • r
    -0.16336
  • b (slope, estimate of beta)
    -0.16005
  • a (intercept, estimate of alpha)
    -0.08488
  • Mean Square Error
    0.02277
  • DF error
    1934.00000
  • t(b)
    -7.28177
  • p(b)
    0.58168
  • t(a)
    -1.33335
  • p(a)
    0.51515
  • Lowerbound of 95% confidence interval for beta
    -0.20315
  • Upperbound of 95% confidence interval for beta
    -0.11694
  • Lowerbound of 95% confidence interval for alpha
    -0.20972
  • Upperbound of 95% confidence interval for alpha
    0.03997
  • Treynor index (mean / b)
    0.63928
  • Jensen alpha (a)
    -0.08488
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11406
  • SD
    0.15334
  • Sharpe ratio (Glass type estimate)
    -0.74384
  • Sharpe ratio (Hedges UMVUE)
    -0.74355
  • df
    1935.00000
  • t
    -1.76463
  • p
    0.52551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.08275
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57006
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08296
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99431
  • Upside Potential Ratio
    6.97012
  • Upside part of mean
    0.79955
  • Downside part of mean
    -0.91361
  • Upside SD
    0.10188
  • Downside SD
    0.11471
  • N nonnegative terms
    769.00000
  • N negative terms
    1167.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1936.00000
  • Mean of predictor
    0.09675
  • Mean of criterion
    -0.11406
  • SD of predictor
    0.15635
  • SD of criterion
    0.15334
  • Covariance
    -0.00388
  • r
    -0.16184
  • b (slope, estimate of beta)
    -0.15873
  • a (intercept, estimate of alpha)
    -0.09870
  • Mean Square Error
    0.02291
  • DF error
    1934.00000
  • t(b)
    -7.21255
  • p(b)
    0.58092
  • t(a)
    -1.54618
  • p(a)
    0.51757
  • Lowerbound of 95% confidence interval for beta
    -0.20189
  • Upperbound of 95% confidence interval for beta
    -0.11557
  • Lowerbound of 95% confidence interval for alpha
    -0.22390
  • Upperbound of 95% confidence interval for alpha
    0.02649
  • Treynor index (mean / b)
    0.71858
  • Jensen alpha (a)
    -0.09870
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01383
  • Expected Shortfall on VaR
    0.01723
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00677
  • Expected Shortfall on VaR
    0.01365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1936.00000
  • Minimum
    0.93034
  • Quartile 1
    0.99689
  • Median
    1.00000
  • Quartile 3
    1.00246
  • Maximum
    1.04519
  • Mean of quarter 1
    0.99077
  • Mean of quarter 2
    0.99875
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.00875
  • Inter Quartile Range
    0.00557
  • Number outliers low
    119.00000
  • Percentage of outliers low
    0.06147
  • Mean of outliers low
    0.98042
  • Number of outliers high
    114.00000
  • Percentage of outliers high
    0.05888
  • Mean of outliers high
    1.01840
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38724
  • VaR(95%) (moments method)
    0.00912
  • Expected Shortfall (moments method)
    0.01731
  • 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
    15.00000
  • Minimum
    0.00103
  • Quartile 1
    0.01488
  • Median
    0.04136
  • Quartile 3
    0.05653
  • Maximum
    0.56900
  • Mean of quarter 1
    0.00429
  • Mean of quarter 2
    0.02817
  • Mean of quarter 3
    0.04639
  • Mean of quarter 4
    0.23978
  • Inter Quartile Range
    0.04165
  • 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
    0.20000
  • Mean of outliers high
    0.29792
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.28349
  • VaR(95%) (moments method)
    0.19108
  • Expected Shortfall (moments method)
    0.24876
  • Extreme Value Index (regression method)
    0.74668
  • VaR(95%) (regression method)
    0.43798
  • Expected Shortfall (regression method)
    2.00850
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07879
  • Compounded annual return (geometric extrapolation)
    -0.09887
  • Calmar ratio (compounded annual return / max draw down)
    -0.17376
  • Compounded annual return / average of 25% largest draw downs
    -0.41235
  • Compounded annual return / Expected Shortfall lognormal
    -5.73839
  • 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
    -0.08854
  • SD
    0.09610
  • Sharpe ratio (Glass type estimate)
    -0.92132
  • Sharpe ratio (Hedges UMVUE)
    -0.91727
  • df
    171.00000
  • t
    -0.65147
  • p
    0.53166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.69358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85347
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.69078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85624
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.27478
  • Upside Potential Ratio
    7.84636
  • Upside part of mean
    0.54498
  • Downside part of mean
    -0.63352
  • Upside SD
    0.06619
  • Downside SD
    0.06946
  • N nonnegative terms
    74.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.12266
  • Mean of criterion
    -0.08854
  • SD of predictor
    0.18292
  • SD of criterion
    0.09610
  • Covariance
    -0.01361
  • r
    -0.77436
  • b (slope, estimate of beta)
    -0.40684
  • a (intercept, estimate of alpha)
    -0.03864
  • Mean Square Error
    0.00372
  • DF error
    170.00000
  • t(b)
    -15.95630
  • p(b)
    0.88718
  • t(a)
    -0.44769
  • p(a)
    0.51716
  • Lowerbound of 95% confidence interval for beta
    -0.45717
  • Upperbound of 95% confidence interval for beta
    -0.35650
  • Lowerbound of 95% confidence interval for alpha
    -0.20901
  • Upperbound of 95% confidence interval for alpha
    0.13173
  • Treynor index (mean / b)
    0.21764
  • Jensen alpha (a)
    -0.03864
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09314
  • SD
    0.09607
  • Sharpe ratio (Glass type estimate)
    -0.96951
  • Sharpe ratio (Hedges UMVUE)
    -0.96525
  • df
    171.00000
  • t
    -0.68555
  • p
    0.53331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.74185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80557
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80844
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.33401
  • Upside Potential Ratio
    7.77419
  • Upside part of mean
    0.54279
  • Downside part of mean
    -0.63593
  • Upside SD
    0.06577
  • Downside SD
    0.06982
  • N nonnegative terms
    74.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.10598
  • Mean of criterion
    -0.09314
  • SD of predictor
    0.18315
  • SD of criterion
    0.09607
  • Covariance
    -0.01363
  • r
    -0.77450
  • b (slope, estimate of beta)
    -0.40626
  • a (intercept, estimate of alpha)
    -0.05008
  • Mean Square Error
    0.00371
  • DF error
    170.00000
  • t(b)
    -15.96370
  • p(b)
    0.88725
  • t(a)
    -0.58076
  • p(a)
    0.52225
  • Lowerbound of 95% confidence interval for beta
    -0.45649
  • Upperbound of 95% confidence interval for beta
    -0.35602
  • Lowerbound of 95% confidence interval for alpha
    -0.22032
  • Upperbound of 95% confidence interval for alpha
    0.12015
  • Treynor index (mean / b)
    0.22926
  • Jensen alpha (a)
    -0.05008
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00875
  • Expected Shortfall on VaR
    0.01089
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00460
  • Expected Shortfall on VaR
    0.00882
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.98142
  • Quartile 1
    0.99756
  • Median
    1.00000
  • Quartile 3
    1.00180
  • Maximum
    1.02271
  • Mean of quarter 1
    0.99356
  • Mean of quarter 2
    0.99914
  • Mean of quarter 3
    1.00058
  • Mean of quarter 4
    1.00581
  • Inter Quartile Range
    0.00424
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04651
  • Mean of outliers low
    0.98743
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.05233
  • Mean of outliers high
    1.01219
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05494
  • VaR(95%) (moments method)
    0.00581
  • Expected Shortfall (moments method)
    0.00772
  • Extreme Value Index (regression method)
    -0.09205
  • VaR(95%) (regression method)
    0.00605
  • Expected Shortfall (regression method)
    0.00795
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00084
  • Quartile 1
    0.00485
  • Median
    0.00600
  • Quartile 3
    0.02228
  • Maximum
    0.12345
  • Mean of quarter 1
    0.00279
  • Mean of quarter 2
    0.00518
  • Mean of quarter 3
    0.00682
  • Mean of quarter 4
    0.07544
  • Inter Quartile Range
    0.01743
  • 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
    0.12345
  • 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)
    -0.08148
  • Compounded annual return (geometric extrapolation)
    -0.07982
  • Calmar ratio (compounded annual return / max draw down)
    -0.64663
  • Compounded annual return / average of 25% largest draw downs
    -1.05812
  • Compounded annual return / Expected Shortfall lognormal
    -7.32769

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 (long-only) ULTRA ProShares QQQ (QLD and QID) based on IBD's market bias.

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

Statistics

Strategy began
2010-11-22
Minimum Capital Required
$25,000
# Trades
24
# Profitable
7
% Profitable
29.2%
Correlation S&P500
-0.149
Sharpe Ratio
-0.744

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.

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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