QQQ ETF Timer (Closed NOV 2012)
Subscription terms. You can subscribe to this system for free.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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%)  (0.5%)  (9.2%) 
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  $25,000  
Buy Power  $6,595  
Cash  $1  
Equity  $1  
Cumulative $  ($10,542)  
Total System Equity  $14,457  
Margined  $1  
Open P/L  ($11,519)  
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  

7/27/12 9:30  BUY  908  QLD  Proshares Ultra QQQ ETF 2x  26.29  10/11 9:30  29.36  0.56%

$2,770 Includes Typical Broker Commission and AutoTrade Fees trade costs of $18.16 

7/25/12 9:30  BUY  85  QID  Proshares UltraShort QQQ ETF 2x  135.56  7/27 9:30  129.84  2.07%

($488) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

7/2/12 9:31  BUY  950  QLD  Proshares Ultra QQQ ETF 2x  26.70  7/25 9:30  25.23  5.6%

($1,416) Includes Typical Broker Commission and AutoTrade Fees trade costs of $19.00 

6/26/12 9:30  BUY  94  QID  Proshares UltraShort QQQ ETF 2x  137.56  7/2 9:30  129.00  3.16%

($807) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

6/19/12 9:30  BUY  1,046  QLD  Proshares Ultra QQQ ETF 2x  26.47  6/26 9:30  25.14  6.43%

($1,407) Includes Typical Broker Commission and AutoTrade Fees trade costs of $20.92 

5/7/12 9:30  BUY  130  QID  Proshares UltraShort QQQ ETF 2x  132.00  6/19 9:30  131.52  0.22%

($65) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.60 

4/27/12 9:30  BUY  1,328  QLD  Proshares Ultra QQQ ETF 2x  29.27  5/7 9:30  26.84  11.55%

($3,251) Includes Typical Broker Commission and AutoTrade Fees trade costs of $26.56 

4/5/12 9:31  BUY  158  QID  Proshares UltraShort QQQ ETF 2x  122.24  4/27 9:30  121.68  0.29%

($91) Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.16 

12/21/11 9:32  BUY  572  QLD  Proshares Ultra QQQ ETF 2x  20.14  4/5/12 9:30  29.42  0.14%

$5,291 Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.44 

11/18/11 9:31  BUY  53  QID  Proshares UltraShort QQQ ETF 2x  185.52  12/21 9:32  182.60  2.08%

($157) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

10/26/11 9:30  BUY  764  QLD  Proshares Ultra QQQ ETF 2x  21.72  11/18 9:30  20.42  4.61%

($1,010) Includes Typical Broker Commission and AutoTrade Fees trade costs of $15.28 

9/23/11 9:31  BUY  48  QID  Proshares UltraShort QQQ ETF 2x  213.04  10/26 9:30  177.08  7.52%

($1,728) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

8/24/11 9:30  BUY  1,152  QLD  Proshares Ultra QQQ ETF 2x  18.10  9/23 9:31  18.72  1.02%

$694 Includes Typical Broker Commission and AutoTrade Fees trade costs of $23.04 

8/9/11 9:35  BUY  50  QID  Proshares UltraShort QQQ ETF 2x  241.72  8/24 9:30  226.20  5.72%

($778) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

7/28/11 9:31  BUY  66  QID  Proshares UltraShort QQQ ETF 2x  192.52  8/9 9:32  241.72  1.26%

$3,245 Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

7/5/11 9:31  BUY  1,104  QLD  Proshares Ultra QQQ ETF 2x  22.82  7/28 9:30  22.87  0.32%

$33 Includes Typical Broker Commission and AutoTrade Fees trade costs of $22.08 

6/2/11 9:42  BUY  79  QID  Proshares UltraShort QQQ ETF 2x  203.28  7/5 9:31  195.08  2.59%

($650) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

6/1/11 9:31  BUY  1,472  QLD  Proshares Ultra QQQ ETF 2x  23.02  6/2 9:31  22.20  5.3%

($1,233) Includes Typical Broker Commission and AutoTrade Fees trade costs of $29.44 

5/5/11 9:33  BUY  85  QID  Proshares UltraShort QQQ ETF 2x  196.56  6/1 9:31  196.52  2.04%

($5) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

3/31/11 9:33  BUY  1,164  QLD  Proshares Ultra QQQ ETF 2x  22.38  5/5 9:32  23.15  7.24%

$872 Includes Typical Broker Commission and AutoTrade Fees trade costs of $23.28 

3/8/11 9:34  BUY  80  QID  Proshares UltraShort QQQ ETF 2x  208.32  3/31 9:33  205.20  1.37%

($252) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

12/15/10 9:30  BUY  1,188  QLD  Proshares Ultra QQQ ETF 2x  20.22  3/8/11 9:34  22.24  1.3%

$2,373 Includes Typical Broker Commission and AutoTrade Fees trade costs of $23.76 

11/22/10 9:31  BUY  49  QID  Proshares UltraShort QQQ ETF 2x  255.40  12/15 9:30  234.60  4.89%

($1,021) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 
Statistics
 Strategy began11/22/2010
 Starting Unit Size$25,000
 Strategy Age (days)1828.24
 Age61 months ago
 What it tradesStocks
 # Trades24
 # Profitable7
 % Profitable29.20%
 Avg trade duration76.2 days
 Max peaktovalley drawdown55.92%
 drawdown periodApril 24, 2012  Nov 03, 2015
 Annual Return (Compounded)10.5%
 Avg win$2,200
 Avg loss$1,526
 Ratios
 W:L ratio0.59:1
 Sharpe Ratio0.745
 Sortino Ratio0.993
 Calmar Ratio0.185
 Daily Change
 Open PL($11,718)
 Open PL (start day)($11,723)
 Open PL Change $$4.04
 Open PL Change %0.03%
 Close PL$1,176
 Closed PL (start day)$1,177
 Closed PL Change $($0.37)
 Closed PL Change %0.03%
 Equity$14,457
 Equity (start day)$14,454
 Equity Change $$3.67
 Equity Change %0.03%
 Return Statistics
 Ann Return (w trading costs)10.5%
 Ann Return (Compnd, No Fees)10.3%
 Risk of Ruin (MonteCarlo)
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account loss100.00%
 Chance of 40% account loss100.00%
 Chance of 50% account loss100.00%
 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$1,526
 Avg Win$2,200
 # Winners7
 # Losers17
 % Winners29.2%
 Frequency
 Avg Position Time (mins)109693.00
 Avg Position Time (hrs)1828.22
 Avg Trade Length76.2 days
 Last Trade Ago1140
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.10824
 SD0.14405
 Sharpe ratio (Glass type estimate)0.75142
 Sharpe ratio (Hedges UMVUE)0.74183
 df59.00000
 t1.68023
 p0.95090
 Lowerbound of 95% confidence interval for Sharpe Ratio1.63523
 Upperbound of 95% confidence interval for Sharpe Ratio0.13858
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.62851
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.14485
 Statistics related to Sortino ratio
 Sortino ratio0.93171
 Upside Potential Ratio1.31030
 Upside part of mean0.15222
 Downside part of mean0.26046
 Upside SD0.08879
 Downside SD0.11617
 N nonnegative terms23.00000
 N negative terms37.00000
 Statistics related to linear regression on benchmark
 N of observations60.00000
 Mean of predictor0.11085
 Mean of criterion0.10824
 SD of predictor0.13499
 SD of criterion0.14405
 Covariance0.00710
 r0.36522
 b (slope, estimate of beta)0.38972
 a (intercept, estimate of alpha)0.06504
 Mean Square Error0.01829
 DF error58.00000
 t(b)2.98782
 p(b)0.99794
 t(a)1.04580
 p(a)0.85001
 Lowerbound of 95% confidence interval for beta0.65082
 Upperbound of 95% confidence interval for beta0.12863
 Lowerbound of 95% confidence interval for alpha0.18952
 Upperbound of 95% confidence interval for alpha0.05945
 Treynor index (mean / b)0.27773
 Jensen alpha (a)0.06504
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.11898
 SD0.14491
 Sharpe ratio (Glass type estimate)0.82105
 Sharpe ratio (Hedges UMVUE)0.81057
 df59.00000
 t1.83592
 p0.96430
 Lowerbound of 95% confidence interval for Sharpe Ratio1.70657
 Upperbound of 95% confidence interval for Sharpe Ratio0.07122
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.69921
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.07807
 Statistics related to Sortino ratio
 Sortino ratio0.99145
 Upside Potential Ratio1.23587
 Upside part of mean0.14831
 Downside part of mean0.26729
 Upside SD0.08618
 Downside SD0.12000
 N nonnegative terms23.00000
 N negative terms37.00000
 Statistics related to linear regression on benchmark
 N of observations60.00000
 Mean of predictor0.10126
 Mean of criterion0.11898
 SD of predictor0.13617
 SD of criterion0.14491
 Covariance0.00722
 r0.36571
 b (slope, estimate of beta)0.38917
 a (intercept, estimate of alpha)0.07957
 Mean Square Error0.01850
 DF error58.00000
 t(b)2.99246
 p(b)0.99797
 t(a)1.27841
 p(a)0.89690
 Lowerbound of 95% confidence interval for beta0.64950
 Upperbound of 95% confidence interval for beta0.12885
 Lowerbound of 95% confidence interval for alpha0.20417
 Upperbound of 95% confidence interval for alpha0.04502
 Treynor index (mean / b)0.30572
 Jensen alpha (a)0.07957
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.07570
 Expected Shortfall on VaR0.09161
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.05620
 Expected Shortfall on VaR0.08702
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations60.00000
 Minimum0.90436
 Quartile 10.96702
 Median0.98401
 Quartile 31.01615
 Maximum1.08533
 Mean of quarter 10.94182
 Mean of quarter 20.97616
 Mean of quarter 31.00077
 Mean of quarter 41.04849
 Inter Quartile Range0.04913
 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)0.43435
 VaR(95%) (moments method)0.06279
 Expected Shortfall (moments method)0.07162
 Extreme Value Index (regression method)0.38934
 VaR(95%) (regression method)0.06241
 Expected Shortfall (regression method)0.07134
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations5.00000
 Minimum0.02400
 Quartile 10.02500
 Median0.03760
 Quartile 30.08504
 Maximum0.54218
 Mean of quarter 10.02450
 Mean of quarter 20.03760
 Mean of quarter 30.08504
 Mean of quarter 40.54218
 Inter Quartile Range0.06004
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high1.00000
 Percentage of outliers high0.20000
 Mean of outliers high0.54218
 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)0.08405
 Compounded annual return (geometric extrapolation)0.10329
 Calmar ratio (compounded annual return / max draw down)0.19052
 Compounded annual return / average of 25% largest draw downs0.19052
 Compounded annual return / Expected Shortfall lognormal1.12754
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.10538
 SD0.15774
 Sharpe ratio (Glass type estimate)0.66805
 Sharpe ratio (Hedges UMVUE)0.66777
 df1745.00000
 t1.50506
 p0.52292
 Lowerbound of 95% confidence interval for Sharpe Ratio1.53823
 Upperbound of 95% confidence interval for Sharpe Ratio0.20228
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53802
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.20249
 Statistics related to Sortino ratio
 Sortino ratio0.90033
 Upside Potential Ratio7.10338
 Upside part of mean0.83140
 Downside part of mean0.93678
 Upside SD0.10583
 Downside SD0.11704
 N nonnegative terms689.00000
 N negative terms1057.00000
 Statistics related to linear regression on benchmark
 N of observations1746.00000
 Mean of predictor0.11147
 Mean of criterion0.10538
 SD of predictor0.15261
 SD of criterion0.15774
 Covariance0.00279
 r0.11579
 b (slope, estimate of beta)0.11968
 a (intercept, estimate of alpha)0.09204
 Mean Square Error0.02456
 DF error1744.00000
 t(b)4.86811
 p(b)0.55789
 t(a)1.32202
 p(a)0.51582
 Lowerbound of 95% confidence interval for beta0.16789
 Upperbound of 95% confidence interval for beta0.07146
 Lowerbound of 95% confidence interval for alpha0.22858
 Upperbound of 95% confidence interval for alpha0.04451
 Treynor index (mean / b)0.88051
 Jensen alpha (a)0.09204
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.11787
 SD0.15819
 Sharpe ratio (Glass type estimate)0.74512
 Sharpe ratio (Hedges UMVUE)0.74480
 df1745.00000
 t1.67869
 p0.52556
 Lowerbound of 95% confidence interval for Sharpe Ratio1.61536
 Upperbound of 95% confidence interval for Sharpe Ratio0.12528
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.61512
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.12552
 Statistics related to Sortino ratio
 Sortino ratio0.99333
 Upside Potential Ratio6.95957
 Upside part of mean0.82585
 Downside part of mean0.94372
 Upside SD0.10473
 Downside SD0.11866
 N nonnegative terms689.00000
 N negative terms1057.00000
 Statistics related to linear regression on benchmark
 N of observations1746.00000
 Mean of predictor0.09979
 Mean of criterion0.11787
 SD of predictor0.15287
 SD of criterion0.15819
 Covariance0.00276
 r0.11431
 b (slope, estimate of beta)0.11829
 a (intercept, estimate of alpha)0.10607
 Mean Square Error0.02471
 DF error1744.00000
 t(b)4.80528
 p(b)0.55716
 t(a)1.51917
 p(a)0.51818
 Lowerbound of 95% confidence interval for beta0.16657
 Upperbound of 95% confidence interval for beta0.07001
 Lowerbound of 95% confidence interval for alpha0.24301
 Upperbound of 95% confidence interval for alpha0.03087
 Treynor index (mean / b)0.99646
 Jensen alpha (a)0.10607
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.01427
 Expected Shortfall on VaR0.01777
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00701
 Expected Shortfall on VaR0.01413
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations1746.00000
 Minimum0.93034
 Quartile 10.99686
 Median1.00000
 Quartile 31.00255
 Maximum1.04519
 Mean of quarter 10.99046
 Mean of quarter 20.99872
 Mean of quarter 31.00067
 Mean of quarter 41.00903
 Inter Quartile Range0.00569
 Number outliers low113.00000
 Percentage of outliers low0.06472
 Mean of outliers low0.98010
 Number of outliers high106.00000
 Percentage of outliers high0.06071
 Mean of outliers high1.01868
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.38728
 VaR(95%) (moments method)0.00934
 Expected Shortfall (moments method)0.01779
 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 observations15.00000
 Minimum0.00103
 Quartile 10.01488
 Median0.04136
 Quartile 30.05653
 Maximum0.55289
 Mean of quarter 10.00429
 Mean of quarter 20.02817
 Mean of quarter 30.04639
 Mean of quarter 40.23575
 Inter Quartile Range0.04165
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high3.00000
 Percentage of outliers high0.20000
 Mean of outliers high0.29255
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.34767
 VaR(95%) (moments method)0.19111
 Expected Shortfall (moments method)0.24349
 Extreme Value Index (regression method)0.70323
 VaR(95%) (regression method)0.42977
 Expected Shortfall (regression method)1.70421
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.08310
 Compounded annual return (geometric extrapolation)0.10230
 Calmar ratio (compounded annual return / max draw down)0.18503
 Compounded annual return / average of 25% largest draw downs0.43394
 Compounded annual return / Expected Shortfall lognormal5.75671
 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
 Mean0.09728
 SD0.10015
 Sharpe ratio (Glass type estimate)0.97133
 Sharpe ratio (Hedges UMVUE)0.96707
 df171.00000
 t0.68684
 p0.53338
 Lowerbound of 95% confidence interval for Sharpe Ratio3.74368
 Upperbound of 95% confidence interval for Sharpe Ratio1.80376
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.74077
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.80663
 Statistics related to Sortino ratio
 Sortino ratio1.33239
 Upside Potential Ratio7.53467
 Upside part of mean0.55010
 Downside part of mean0.64738
 Upside SD0.06833
 Downside SD0.07301
 N nonnegative terms65.00000
 N negative terms107.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.00285
 Mean of criterion0.09728
 SD of predictor0.17189
 SD of criterion0.10015
 Covariance0.01325
 r0.76996
 b (slope, estimate of beta)0.44859
 a (intercept, estimate of alpha)0.09600
 Mean Square Error0.00411
 DF error170.00000
 t(b)15.73280
 p(b)0.88498
 t(a)1.05911
 p(a)0.54048
 Lowerbound of 95% confidence interval for beta0.50487
 Upperbound of 95% confidence interval for beta0.39230
 Lowerbound of 95% confidence interval for alpha0.27492
 Upperbound of 95% confidence interval for alpha0.08293
 Treynor index (mean / b)0.21685
 Jensen alpha (a)0.09600
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.10228
 SD0.10024
 Sharpe ratio (Glass type estimate)1.02038
 Sharpe ratio (Hedges UMVUE)1.01590
 df171.00000
 t0.72152
 p0.53505
 Lowerbound of 95% confidence interval for Sharpe Ratio3.79282
 Upperbound of 95% confidence interval for Sharpe Ratio1.75501
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.78979
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.75800
 Statistics related to Sortino ratio
 Sortino ratio1.39046
 Upside Potential Ratio7.44677
 Upside part of mean0.54777
 Downside part of mean0.65005
 Upside SD0.06789
 Downside SD0.07356
 N nonnegative terms65.00000
 N negative terms107.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.01186
 Mean of criterion0.10228
 SD of predictor0.17216
 SD of criterion0.10024
 Covariance0.01328
 r0.76962
 b (slope, estimate of beta)0.44810
 a (intercept, estimate of alpha)0.10759
 Mean Square Error0.00412
 DF error170.00000
 t(b)15.71570
 p(b)0.88481
 t(a)1.18525
 p(a)0.54526
 Lowerbound of 95% confidence interval for beta0.50439
 Upperbound of 95% confidence interval for beta0.39182
 Lowerbound of 95% confidence interval for alpha0.28679
 Upperbound of 95% confidence interval for alpha0.07160
 Treynor index (mean / b)0.22825
 Jensen alpha (a)0.10759
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00914
 Expected Shortfall on VaR0.01138
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00495
 Expected Shortfall on VaR0.00952
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum0.97127
 Quartile 10.99740
 Median1.00000
 Quartile 31.00196
 Maximum1.02341
 Mean of quarter 10.99361
 Mean of quarter 20.99894
 Mean of quarter 31.00047
 Mean of quarter 41.00597
 Inter Quartile Range0.00456
 Number outliers low3.00000
 Percentage of outliers low0.01744
 Mean of outliers low0.98018
 Number of outliers high8.00000
 Percentage of outliers high0.04651
 Mean of outliers high1.01325
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.25877
 VaR(95%) (moments method)0.00597
 Expected Shortfall (moments method)0.00733
 Extreme Value Index (regression method)0.03808
 VaR(95%) (regression method)0.00624
 Expected Shortfall (regression method)0.00867
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations4.00000
 Minimum0.00542
 Quartile 10.01369
 Median0.02915
 Quartile 30.05557
 Maximum0.09673
 Mean of quarter 10.00542
 Mean of quarter 20.01645
 Mean of quarter 30.04185
 Mean of quarter 40.09673
 Inter Quartile Range0.04188
 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)0.09023
 Compounded annual return (geometric extrapolation)0.08820
 Calmar ratio (compounded annual return / max draw down)0.91173
 Compounded annual return / average of 25% largest draw downs0.91173
 Compounded annual return / Expected Shortfall lognormal7.75148
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 (longonly) ULTRA ProShares QQQ (QLD and QID) 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.