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Q5SideWinder (50198009)

Created by: ArthurHayner ArthurHayner
Started: 06/2010
Stocks
Last trade: 204 days ago

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

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

5.1%
Annual Return (Compounded)
59.1%
Max Drawdown
93
Num Trades
39.8%
Win Trades
1.2 : 1
Profit Factor
48.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                   (20.3%)+3.4%(6.2%)+27.0%+11.4%(0.8%)+9.3%+18.6%
2011+5.3%+4.6%(4%)+5.6%(8.5%)(2.1%)+3.2%(11%)+12.7%+11.1%(8.7%)+2.3%+7.3%
2012+2.9%+14.8%+8.4%(2.5%)(10.6%)+0.3%(7.9%)+5.8%+3.0%(8.5%)+9.3%(2%)+10.0%
2013(3.6%)(1.6%)+4.1%(5.6%)(2.1%)(7.1%)+13.0%(0.9%)+0.7%+11.2%+6.1%+5.9%+19.5%
2014(4.4%)+6.4%(4.9%)(13.8%)+4.9%+6.1%+2.3%+10.1%(2.1%)(2.6%)+9.2%(1.4%)+7.2%
2015(14.2%)+15.0%(1.5%)(0.2%)(2.7%)(8.5%)(6.6%)(40.9%)+1.9%(9.5%)+0.2%(1.2%)(56.4%)
2016+7.3%+32.5%+14.0%(6.6%)+3.6%(0.5%)+15.0%+2.0%(2%)(2.8%)(10.9%)(9%)+41.4%
2017+9.9%+10.7%+1.3%+5.4%+0.6%  -    -    -    -    -    -        +30.8%

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.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/15/16 9:31 QLD PROSHARES ULTRA QQQ LONG 74 88.32 5/1/17 9:31 113.71 n/a $1,878
Includes Typical Broker Commissions trade costs of $1.48
12/13/16 9:31 QID PROSHARES ULTRASHORT QQQ LONG 282 23.75 12/15 9:30 23.38 2.77%
Trade id #107903467
Max drawdown($196)
Time12/13/16 12:04
Quant open282
Worst price23.05
Drawdown as % of equity-2.77%
($110)
Includes Typical Broker Commissions trade costs of $5.64
12/9/16 9:31 QLD PROSHARES ULTRA QQQ LONG 77 86.61 12/13 9:30 86.97 0.97%
Trade id #107844140
Max drawdown($70)
Time12/12/16 12:22
Quant open77
Worst price85.70
Drawdown as % of equity-0.97%
$26
Includes Typical Broker Commissions trade costs of $1.54
12/7/16 9:31 QID PROSHARES ULTRASHORT QQQ LONG 280 24.95 12/9 9:31 23.89 4.18%
Trade id #107784680
Max drawdown($305)
Time12/9/16 9:21
Quant open280
Worst price23.86
Drawdown as % of equity-4.18%
($303)
Includes Typical Broker Commissions trade costs of $5.60
11/22/16 9:31 QLD PROSHARES ULTRA QQQ LONG 84 86.66 12/7 9:30 83.11 6.64%
Trade id #107395298
Max drawdown($492)
Time12/2/16 4:36
Quant open84
Worst price80.80
Drawdown as % of equity-6.64%
($300)
Includes Typical Broker Commissions trade costs of $1.68
11/15/16 9:32 QID PROSHARES ULTRASHORT QQQ LONG 303 25.51 11/22 9:30 23.97 5.99%
Trade id #107211372
Max drawdown($472)
Time11/22/16 8:11
Quant open303
Worst price23.95
Drawdown as % of equity-5.99%
($473)
Includes Typical Broker Commissions trade costs of $6.06
9/14/16 9:32 QLD PROSHARES ULTRA QQQ LONG 95 81.80 11/15 9:30 81.61 3.35%
Trade id #105870405
Max drawdown($277)
Time11/4/16 9:31
Quant open95
Worst price78.88
Drawdown as % of equity-3.35%
($20)
Includes Typical Broker Commissions trade costs of $1.90
9/12/16 9:32 QID PROSHARES ULTRASHORT QQQ LONG 299 26.54 9/14 9:30 25.86 4.28%
Trade id #105819482
Max drawdown($349)
Time9/12/16 15:43
Quant open299
Worst price25.37
Drawdown as % of equity-4.28%
($209)
Includes Typical Broker Commissions trade costs of $5.98
8/19/16 9:31 QLD PROSHARES ULTRA QQQ LONG 103 84.00 9/12 9:31 79.12 7.21%
Trade id #105296946
Max drawdown($621)
Time9/9/16 19:42
Quant open103
Worst price77.97
Drawdown as % of equity-7.21%
($505)
Includes Typical Broker Commissions trade costs of $2.06
8/17/16 9:31 QID PROSHARES ULTRASHORT QQQ LONG 349 25.22 8/19 9:30 25.20 0.7%
Trade id #105235557
Max drawdown($63)
Time8/18/16 10:34
Quant open349
Worst price25.04
Drawdown as % of equity-0.70%
($14)
Includes Typical Broker Commissions trade costs of $6.98
6/29/16 9:31 QLD PROSHARES ULTRA QQQ LONG 106 68.20 8/17 9:31 84.13 n/a $1,687
Includes Typical Broker Commissions trade costs of $2.12
5/11/16 9:30 QLD PROSHARES ULTRA QQQ LONG 102 70.81 6/17 9:30 71.50 5.03%
Trade id #102290179
Max drawdown($357)
Time5/19/16 11:55
Quant open102
Worst price67.31
Drawdown as % of equity-5.03%
$68
Includes Typical Broker Commissions trade costs of $2.04
5/3/16 9:30 QID PROSHARES ULTRASHORT QQQ LONG 230 31.53 5/10 15:49 30.73 2.61%
Trade id #102149396
Max drawdown($190)
Time5/10/16 15:48
Quant open230
Worst price30.70
Drawdown as % of equity-2.61%
($189)
Includes Typical Broker Commissions trade costs of $4.60
2/8/16 9:31 QLD PROSHARES ULTRA QQQ LONG 105 57.36 5/3 9:30 69.25 3.25%
Trade id #100398864
Max drawdown($203)
Time2/11/16 6:56
Quant open105
Worst price55.42
Drawdown as % of equity-3.25%
$1,246
Includes Typical Broker Commissions trade costs of $2.10
1/5/16 9:31 QID PROSHARES ULTRASHORT QQQ LONG 157 30.71 2/8 9:30 39.09 0.29%
Trade id #99028392
Max drawdown($14)
Time1/5/16 9:33
Quant open157
Worst price30.62
Drawdown as % of equity-0.29%
$1,313
Includes Typical Broker Commissions trade costs of $3.14
11/9/15 15:55 QLD PROSHARES ULTRA QQQ LONG 31 80.95 1/5/16 9:31 75.68 4.87%
Trade id #98261486
Max drawdown($243)
Time1/4/16 11:08
Quant open31
Worst price73.08
Drawdown as % of equity-4.87%
($164)
Includes Typical Broker Commissions trade costs of $0.62
10/5/15 9:31 QID PROSHARES ULTRASHORT QQQ LONG 163 34.90 10/26 9:30 29.93 17.07%
Trade id #97601534
Max drawdown($859)
Time10/23/15 14:50
Quant open163
Worst price29.63
Drawdown as % of equity-17.07%
($813)
Includes Typical Broker Commissions trade costs of $3.26
9/23/15 9:31 QLD PROSHARES ULTRA QQQ LONG 82 68.55 10/5 9:30 68.93 11.03%
Trade id #97393644
Max drawdown($590)
Time9/29/15 15:30
Quant open82
Worst price61.35
Drawdown as % of equity-11.03%
$29
Includes Typical Broker Commissions trade costs of $1.64
9/16/15 9:30 QID PROSHARES ULTRASHORT QQQ LONG 165 34.18 9/23 9:30 35.32 4.32%
Trade id #97256948
Max drawdown($239)
Time9/17/15 14:49
Quant open165
Worst price32.73
Drawdown as % of equity-4.32%
$185
Includes Typical Broker Commissions trade costs of $3.30
9/3/15 9:30 QLD PROSHARES ULTRA QQQ LONG 76 68.15 9/16 9:30 71.17 4.77%
Trade id #97027505
Max drawdown($254)
Time9/4/15 9:03
Quant open76
Worst price64.80
Drawdown as % of equity-4.77%
$228
Includes Typical Broker Commissions trade costs of $1.52
8/24/15 9:32 QID PROSHARES ULTRASHORT QQQ LONG 140 42.74 9/3 9:30 35.77 20.66%
Trade id #96803640
Max drawdown($1,108)
Time8/28/15 11:35
Quant open140
Worst price34.82
Drawdown as % of equity-20.66%
($979)
Includes Typical Broker Commissions trade costs of $2.80
7/31/15 9:30 QLD PROSHARES ULTRA QQQ LONG 109 80.37 8/24 9:30 55.85 35.4%
Trade id #96192349
Max drawdown($2,673)
Time8/24/15 9:30
Quant open0
Worst price55.85
Drawdown as % of equity-35.40%
($2,675)
Includes Typical Broker Commissions trade costs of $2.18
7/28/15 9:31 QID PROSHARES ULTRASHORT QQQ LONG 277 32.75 7/30 15:57 31.87 2.9%
Trade id #96102702
Max drawdown($263)
Time7/30/15 15:28
Quant open277
Worst price31.80
Drawdown as % of equity-2.90%
($250)
Includes Typical Broker Commissions trade costs of $5.54
7/15/15 9:32 QLD PROSHARES ULTRA QQQ LONG 117 77.64 7/27 15:58 77.07 0.98%
Trade id #95893854
Max drawdown($91)
Time7/27/15 15:54
Quant open117
Worst price76.86
Drawdown as % of equity-0.98%
($69)
Includes Typical Broker Commissions trade costs of $2.34
7/2/15 9:31 QID PROSHARES ULTRASHORT QQQ LONG 275 34.44 7/15 9:30 32.98 4.52%
Trade id #95674137
Max drawdown($423)
Time7/14/15 15:05
Quant open275
Worst price32.90
Drawdown as % of equity-4.52%
($408)
Includes Typical Broker Commissions trade costs of $5.50
6/19/15 9:31 QLD PROSHARES ULTRA QQQ LONG 127 77.92 7/2 9:30 74.61 7.17%
Trade id #95173121
Max drawdown($684)
Time6/29/15 16:00
Quant open127
Worst price72.53
Drawdown as % of equity-7.17%
($423)
Includes Typical Broker Commissions trade costs of $2.54
6/11/15 9:32 QID PROSHARES ULTRASHORT QQQ LONG 299 33.67 6/18 15:51 33.17 1.83%
Trade id #94950040
Max drawdown($186)
Time6/18/15 12:33
Quant open299
Worst price33.05
Drawdown as % of equity-1.83%
($156)
Includes Typical Broker Commissions trade costs of $5.98
5/15/15 9:31 QLD PROSHARES ULTRA QQQ LONG 132 76.96 6/10 15:55 76.36 5.11%
Trade id #94447991
Max drawdown($512)
Time6/9/15 10:35
Quant open132
Worst price73.07
Drawdown as % of equity-5.11%
($82)
Includes Typical Broker Commissions trade costs of $2.64
5/1/15 9:31 QID PROSHARES ULTRASHORT QQQ LONG 300 35.05 5/15 9:30 33.80 3.72%
Trade id #94188524
Max drawdown($390)
Time5/15/15 7:56
Quant open300
Worst price33.75
Drawdown as % of equity-3.72%
($381)
Includes Typical Broker Commissions trade costs of $6.00
4/9/15 9:30 QLD PROSHARES ULTRA QQQ LONG 144 72.60 5/1 9:30 74.43 2.03%
Trade id #93762111
Max drawdown($211)
Time4/17/15 14:17
Quant open72
Worst price142.25
Drawdown as % of equity-2.03%
$262
Includes Typical Broker Commissions trade costs of $2.88

Statistics

  • Strategy began
    6/11/2010
  • Starting Unit Size
    $6,000
  • Strategy Age (days)
    2720.02
  • Age
    91 months ago
  • What it trades
    Stocks
  • # Trades
    93
  • # Profitable
    37
  • % Profitable
    39.80%
  • Avg trade duration
    26.6 days
  • Max peak-to-valley drawdown
    59.13%
  • drawdown period
    April 27, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    5.1%
  • Avg win
    $599.51
  • Avg loss
    $343.07
  • Model Account Values (Raw)
  • Cash
    $9,051
  • Margin Used
    $0
  • Buying Power
    $9,051
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    0.298
  • Sortino Ratio
    0.406
  • Calmar Ratio
    0.131
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.39600
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Ann Return (Compnd, No Fees)
    5.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.50%
  • Chance of 20% account loss
    63.00%
  • Chance of 30% account loss
    45.50%
  • Chance of 40% account loss
    24.00%
  • Chance of 50% account loss
    13.00%
  • 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
    $343
  • Avg Win
    $600
  • # Winners
    37
  • # Losers
    56
  • % Winners
    39.8%
  • Frequency
  • Avg Position Time (mins)
    38355.50
  • Avg Position Time (hrs)
    639.26
  • Avg Trade Length
    26.6 days
  • Last Trade Ago
    204
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09975
  • SD
    0.33027
  • Sharpe ratio (Glass type estimate)
    0.30202
  • Sharpe ratio (Hedges UMVUE)
    0.29886
  • df
    72.00000
  • t
    0.74491
  • p
    0.22937
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09716
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09501
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45382
  • Upside Potential Ratio
    2.11076
  • Upside part of mean
    0.46393
  • Downside part of mean
    -0.36418
  • Upside SD
    0.24516
  • Downside SD
    0.21979
  • N nonnegative terms
    36.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.11902
  • Mean of criterion
    0.09975
  • SD of predictor
    0.13343
  • SD of criterion
    0.33027
  • Covariance
    0.01436
  • r
    0.32593
  • b (slope, estimate of beta)
    0.80675
  • a (intercept, estimate of alpha)
    0.00373
  • Mean Square Error
    0.09886
  • DF error
    71.00000
  • t(b)
    2.90492
  • p(b)
    0.00245
  • t(a)
    0.02832
  • p(a)
    0.48874
  • Lowerbound of 95% confidence interval for beta
    0.25300
  • Upperbound of 95% confidence interval for beta
    1.36051
  • Lowerbound of 95% confidence interval for alpha
    -0.25886
  • Upperbound of 95% confidence interval for alpha
    0.26632
  • Treynor index (mean / b)
    0.12364
  • Jensen alpha (a)
    0.00373
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04365
  • SD
    0.34121
  • Sharpe ratio (Glass type estimate)
    0.12793
  • Sharpe ratio (Hedges UMVUE)
    0.12659
  • df
    72.00000
  • t
    0.31553
  • p
    0.37664
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92151
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17256
  • Upside Potential Ratio
    1.72355
  • Upside part of mean
    0.43598
  • Downside part of mean
    -0.39232
  • Upside SD
    0.22584
  • Downside SD
    0.25295
  • N nonnegative terms
    36.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.10957
  • Mean of criterion
    0.04365
  • SD of predictor
    0.13203
  • SD of criterion
    0.34121
  • Covariance
    0.01498
  • r
    0.33258
  • b (slope, estimate of beta)
    0.85946
  • a (intercept, estimate of alpha)
    -0.05052
  • Mean Square Error
    0.10501
  • DF error
    71.00000
  • t(b)
    2.97148
  • p(b)
    0.00202
  • t(a)
    -0.37383
  • p(a)
    0.64518
  • Lowerbound of 95% confidence interval for beta
    0.28274
  • Upperbound of 95% confidence interval for beta
    1.43619
  • Lowerbound of 95% confidence interval for alpha
    -0.32000
  • Upperbound of 95% confidence interval for alpha
    0.21896
  • Treynor index (mean / b)
    0.05079
  • Jensen alpha (a)
    -0.05052
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14647
  • Expected Shortfall on VaR
    0.18035
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07039
  • Expected Shortfall on VaR
    0.13892
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.62717
  • Quartile 1
    0.96346
  • Median
    1.00035
  • Quartile 3
    1.06641
  • Maximum
    1.30697
  • Mean of quarter 1
    0.90239
  • Mean of quarter 2
    0.98474
  • Mean of quarter 3
    1.03460
  • Mean of quarter 4
    1.12685
  • Inter Quartile Range
    0.10294
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01370
  • Mean of outliers low
    0.62717
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01370
  • Mean of outliers high
    1.30697
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11089
  • VaR(95%) (moments method)
    0.08791
  • Expected Shortfall (moments method)
    0.11441
  • Extreme Value Index (regression method)
    -0.15236
  • VaR(95%) (regression method)
    0.09190
  • Expected Shortfall (regression method)
    0.11775
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.03654
  • Quartile 1
    0.10110
  • Median
    0.16157
  • Quartile 3
    0.23423
  • Maximum
    0.53708
  • Mean of quarter 1
    0.04120
  • Mean of quarter 2
    0.15895
  • Mean of quarter 3
    0.22643
  • Mean of quarter 4
    0.38955
  • Inter Quartile Range
    0.13313
  • 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
    0.14286
  • Mean of outliers high
    0.53708
  • 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)
    0.08966
  • Compounded annual return (geometric extrapolation)
    0.07418
  • Calmar ratio (compounded annual return / max draw down)
    0.13812
  • Compounded annual return / average of 25% largest draw downs
    0.19042
  • Compounded annual return / Expected Shortfall lognormal
    0.41131
  • 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
    0.09614
  • SD
    0.32259
  • Sharpe ratio (Glass type estimate)
    0.29803
  • Sharpe ratio (Hedges UMVUE)
    0.29789
  • df
    1601.00000
  • t
    0.73695
  • p
    0.48828
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49480
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09058
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40553
  • Upside Potential Ratio
    7.36774
  • Upside part of mean
    1.74671
  • Downside part of mean
    -1.65057
  • Upside SD
    0.21870
  • Downside SD
    0.23708
  • N nonnegative terms
    834.00000
  • N negative terms
    768.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1602.00000
  • Mean of predictor
    0.12739
  • Mean of criterion
    0.09614
  • SD of predictor
    0.17120
  • SD of criterion
    0.32259
  • Covariance
    0.02314
  • r
    0.41908
  • b (slope, estimate of beta)
    0.78968
  • a (intercept, estimate of alpha)
    -0.00400
  • Mean Square Error
    0.08584
  • DF error
    1600.00000
  • t(b)
    18.46270
  • p(b)
    0.29046
  • t(a)
    -0.03757
  • p(a)
    0.50047
  • Lowerbound of 95% confidence interval for beta
    0.70579
  • Upperbound of 95% confidence interval for beta
    0.87358
  • Lowerbound of 95% confidence interval for alpha
    -0.23710
  • Upperbound of 95% confidence interval for alpha
    0.22819
  • Treynor index (mean / b)
    0.12175
  • Jensen alpha (a)
    -0.00446
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04329
  • SD
    0.32671
  • Sharpe ratio (Glass type estimate)
    0.13249
  • Sharpe ratio (Hedges UMVUE)
    0.13243
  • df
    1601.00000
  • t
    0.32761
  • p
    0.49479
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66015
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92507
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17532
  • Upside Potential Ratio
    6.98013
  • Upside part of mean
    1.72332
  • Downside part of mean
    -1.68004
  • Upside SD
    0.21383
  • Downside SD
    0.24689
  • N nonnegative terms
    834.00000
  • N negative terms
    768.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1602.00000
  • Mean of predictor
    0.11269
  • Mean of criterion
    0.04329
  • SD of predictor
    0.17134
  • SD of criterion
    0.32671
  • Covariance
    0.02343
  • r
    0.41848
  • b (slope, estimate of beta)
    0.79793
  • a (intercept, estimate of alpha)
    -0.04663
  • Mean Square Error
    0.08810
  • DF error
    1600.00000
  • t(b)
    18.43060
  • p(b)
    0.29076
  • t(a)
    -0.38817
  • p(a)
    0.50485
  • Lowerbound of 95% confidence interval for beta
    0.71301
  • Upperbound of 95% confidence interval for beta
    0.88285
  • Lowerbound of 95% confidence interval for alpha
    -0.28227
  • Upperbound of 95% confidence interval for alpha
    0.18900
  • Treynor index (mean / b)
    0.05425
  • Jensen alpha (a)
    -0.04663
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03249
  • Expected Shortfall on VaR
    0.04059
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01396
  • Expected Shortfall on VaR
    0.02905
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1602.00000
  • Minimum
    0.77347
  • Quartile 1
    0.99250
  • Median
    1.00050
  • Quartile 3
    1.00921
  • Maximum
    1.10976
  • Mean of quarter 1
    0.97757
  • Mean of quarter 2
    0.99749
  • Mean of quarter 3
    1.00477
  • Mean of quarter 4
    1.02208
  • Inter Quartile Range
    0.01671
  • Number outliers low
    64.00000
  • Percentage of outliers low
    0.03995
  • Mean of outliers low
    0.94708
  • Number of outliers high
    57.00000
  • Percentage of outliers high
    0.03558
  • Mean of outliers high
    1.05108
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17132
  • VaR(95%) (moments method)
    0.02009
  • Expected Shortfall (moments method)
    0.03088
  • Extreme Value Index (regression method)
    0.13443
  • VaR(95%) (regression method)
    0.02061
  • Expected Shortfall (regression method)
    0.03105
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00281
  • Quartile 1
    0.01449
  • Median
    0.03225
  • Quartile 3
    0.09753
  • Maximum
    0.56509
  • Mean of quarter 1
    0.00874
  • Mean of quarter 2
    0.02104
  • Mean of quarter 3
    0.05039
  • Mean of quarter 4
    0.25446
  • Inter Quartile Range
    0.08304
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.35700
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.18200
  • VaR(95%) (moments method)
    0.24839
  • Expected Shortfall (moments method)
    0.26309
  • Extreme Value Index (regression method)
    -0.20261
  • VaR(95%) (regression method)
    0.33891
  • Expected Shortfall (regression method)
    0.43854
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08920
  • Compounded annual return (geometric extrapolation)
    0.07379
  • Calmar ratio (compounded annual return / max draw down)
    0.13058
  • Compounded annual return / average of 25% largest draw downs
    0.28997
  • Compounded annual return / Expected Shortfall lognormal
    1.81771
  • 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
    0.07193
  • SD
    0.17204
  • Sharpe ratio (Glass type estimate)
    0.41807
  • Sharpe ratio (Hedges UMVUE)
    0.41565
  • df
    130.00000
  • t
    0.29562
  • p
    0.48704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35493
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18792
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55607
  • Upside Potential Ratio
    6.29218
  • Upside part of mean
    0.81389
  • Downside part of mean
    -0.74196
  • Upside SD
    0.11252
  • Downside SD
    0.12935
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34943
  • Mean of criterion
    0.07193
  • SD of predictor
    0.10105
  • SD of criterion
    0.17204
  • Covariance
    0.00782
  • r
    0.44983
  • b (slope, estimate of beta)
    0.76589
  • a (intercept, estimate of alpha)
    -0.19570
  • Mean Square Error
    0.02379
  • DF error
    129.00000
  • t(b)
    5.72053
  • p(b)
    0.22360
  • t(a)
    -0.87716
  • p(a)
    0.54897
  • Lowerbound of 95% confidence interval for beta
    0.50100
  • Upperbound of 95% confidence interval for beta
    1.03079
  • Lowerbound of 95% confidence interval for alpha
    -0.63711
  • Upperbound of 95% confidence interval for alpha
    0.24572
  • Treynor index (mean / b)
    0.09391
  • Jensen alpha (a)
    -0.19570
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05709
  • SD
    0.17330
  • Sharpe ratio (Glass type estimate)
    0.32940
  • Sharpe ratio (Hedges UMVUE)
    0.32749
  • df
    130.00000
  • t
    0.23292
  • p
    0.48979
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44460
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09959
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43228
  • Upside Potential Ratio
    6.11538
  • Upside part of mean
    0.80757
  • Downside part of mean
    -0.75048
  • Upside SD
    0.11126
  • Downside SD
    0.13206
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34408
  • Mean of criterion
    0.05709
  • SD of predictor
    0.10120
  • SD of criterion
    0.17330
  • Covariance
    0.00796
  • r
    0.45388
  • b (slope, estimate of beta)
    0.77726
  • a (intercept, estimate of alpha)
    -0.21036
  • Mean Square Error
    0.02403
  • DF error
    129.00000
  • t(b)
    5.78535
  • p(b)
    0.22130
  • t(a)
    -0.93888
  • p(a)
    0.55239
  • Lowerbound of 95% confidence interval for beta
    0.51145
  • Upperbound of 95% confidence interval for beta
    1.04308
  • Lowerbound of 95% confidence interval for alpha
    -0.65365
  • Upperbound of 95% confidence interval for alpha
    0.23293
  • Treynor index (mean / b)
    0.07344
  • Jensen alpha (a)
    -0.21036
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01724
  • Expected Shortfall on VaR
    0.02162
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00714
  • Expected Shortfall on VaR
    0.01532
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93663
  • Quartile 1
    0.99928
  • Median
    1.00000
  • Quartile 3
    1.00417
  • Maximum
    1.03611
  • Mean of quarter 1
    0.98904
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00122
  • Mean of quarter 4
    1.01132
  • Inter Quartile Range
    0.00489
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.98359
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.02139
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43665
  • VaR(95%) (moments method)
    0.00385
  • Expected Shortfall (moments method)
    0.00478
  • Extreme Value Index (regression method)
    -0.15772
  • VaR(95%) (regression method)
    0.00886
  • Expected Shortfall (regression method)
    0.01265
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.20722
  • Quartile 1
    0.20722
  • Median
    0.20722
  • Quartile 3
    0.20722
  • Maximum
    0.20722
  • 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)
    0.08682
  • Compounded annual return (geometric extrapolation)
    0.08871
  • Calmar ratio (compounded annual return / max draw down)
    0.42810
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.10275

Strategy Description

Q5SideWinder is a NASDAQ-100 Timing System that seeks and locks onto market trends by generating Buy and Sell signals, after the market close, for the next market days opening price. System is always in the market and is suitable for trading QQQ (Long & Short - recommended for account sizes 3K+), QLD & QID (Long & Inverse - account sizes 7K+), or Rydex Funds such as RYVYX & RYVNX (Long & Inverse - account sizes 25K+ with Rydex but may be traded with small $100 accounts at brokers such as TD Ameritrade).

Because Collective2 is not currently set up to track AM Rydex prices and requires trades to be entered in shares, I will trade only QLD & QID for this system. SideWinder averages approximately 26 trades per year. All trades are generated by computer algorithm that analyzes price and time from 1987 to the present using traditional and proprietary technical analysis.

Signals are usually sent out between 9pm and Midnight EST and orders placed before the next market open @ 9:30am EST. I assume a commission price of $9.99 per trade and, though I use market orders on the open, I try to avoid the use of margin by leaving uninvested cash in the account.

I trade this system in my TD Ameritrade account using Rydex Nasdaq 100 2x funds.

Estimated Win/Loss Ratio: 1.36 - 2.20 / 1
Estimated Max Account Draw Down: 46% (23%, if not using 2x leveraged funds)
Estimated Max Trade Draw Down: 32% (16%, if not using 2x leveraged funds)
Estimated Max Consecutive Losses: 5 (24% total loss, 12% if not using 2x funds)
Estimated Percent Winning Trades: 60% to 70%
Estimated Percent Losing Trades: 40% to 30%
Estimated CAGR: 30+% (15+% if not using 2x leveraged funds)

Historical Walk Forward Testing from 07/31/2008 thru 02/17/2012
using Rydex NASDAQ-100 2x funds:

CAGR: 47.23%
Profitable Months%: 69%
Max consecutive losing months: 2 (-27.70%)
Worst Month: -22.68% (06/10)
Best Month: 27.37% (09/10)

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. QLD & QID ETFS SEEK 200% THE PERFORMANCE OF THE NASDAQ-100 INDEX BY USING LEVERAGE. PLEASE READ THE PROSPECTUS FOR BOTH QLD & QID BEFORE INVESTING. THIS IS AN AGGRESSIVE STRATEGY THAT SHOULD BE EXPECTED TO HAVE VERY VOLATILE MOVES IN EQUITY AND EXTREME RISK.

http://www.proshares.com/funds/qld.html

http://www.proshares.com/funds/qid.html

Also see Rydex:

http://www.rydex-sgi.com/products/mutual_funds/info/overview.rails?cusip=783554413

http://www.rydex-sgi.com/products/mutual_funds/info/overview.rails?cusip=783554397

-Art Hayner
ahayner@nycap.rr.com

Summary Statistics

Strategy began
2010-06-11
Minimum Capital Required
$5,000
# Trades
93
# Profitable
37
% Profitable
39.8%
Net Dividends
Correlation S&P500
0.396
Sharpe Ratio
0.298

Latest Activity

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subscribed on started simulation #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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