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ETF Timer
(30415311)

Created by: ETFTIMER ETFTIMER
Started: 01/2008
Stocks
Last trade: 10 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $79.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
14.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(44.2%)
Max Drawdown
115
Num Trades
74.8%
Win Trades
2.1 : 1
Profit Factor
62.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008(0.7%)+4.6%+5.7%+4.3%+16.9%+2.3%+0.1%+0.3%+15.6%+2.2%+8.0%+1.0%+77.0%
2009+7.1%+0.9%+12.5%+15.9%+4.0%+2.1%(3%)+3.2%+6.1%(3.1%)+8.7%+4.6%+75.1%
2010(2.1%)+3.7%+10.1%  -  +8.4%(1.1%)(5%)(0.4%)(2.8%)(3.1%)+0.3%(1.1%)+5.9%
2011(2.1%)(4.2%)+0.5%+0.9%(3.8%)(2.1%)+0.1%(4.3%)(6.2%)(1.1%)(7.3%)(1.4%)(27.3%)
2012+9.9%+0.3%(2.1%)+2.2%+3.4%+0.6%+0.6%+4.0%+1.6%(5%)+3.4%(0.3%)+19.5%
2013+2.7%+1.3%+1.1%(2.6%)(3.7%)+6.4%(4%)+1.1%(4.2%)+3.3%(5.4%)(5%)(9.3%)
2014+2.9%+3.2%+4.7%+4.6%(2.4%)(3.6%)(0.5%)(7.4%)+0.7%+5.7%(3.8%)+4.3%+7.7%
2015(2.1%)+11.9%(4.3%)+2.9%+3.6%(4.4%)+7.4%(11.9%)(4.3%)+18.8%+1.0%(4.4%)+11.1%
2016(9.1%)(2.4%)+20.7%+0.6%+3.9%(3.8%)+9.1%+1.2%+0.9%(0.9%)+5.3%  -  +25.2%
2017+3.7%+2.6%+1.1%+1.2%+1.1%+1.4%+3.8%(2.9%)+5.9%+0.6%+1.6%+1.2%+23.2%
2018+4.6%(4.2%)(2.3%)(1.3%)+8.7%+1.7%+3.0%+4.1%  -  (5.8%)+2.4%(13.8%)(4.8%)
2019+12.5%+5.6%+1.2%+3.0%(8.1%)+7.5%+1.3%(3.4%)+2.4%+3.0%+3.5%+1.6%+32.8%
2020(0.5%)(9.7%)(21.3%)+12.7%+6.8%+4.6%+4.0%+6.0%(5.2%)                  (6.9%)

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 96 hours.

Trading Record

This strategy has placed 196 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 328 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/14/20 15:45 EEM ISHARES MSCI EMERGING MARKETS LONG 900 41.96 7/6 9:30 42.78 4.2%
Trade id #127521923
Max drawdown($8,469)
Time3/23/20 0:00
Quant open600
Worst price30.09
Drawdown as % of equity-4.20%
$727
Includes Typical Broker Commissions trade costs of $8.00
1/28/20 9:30 FFTY ACADEMY FUNDS INNOVATOR IBD 50 LONG 1,000 34.29 6/22 15:45 34.58 3.91%
Trade id #127248027
Max drawdown($9,256)
Time3/16/20 0:00
Quant open800
Worst price24.03
Drawdown as % of equity-3.91%
$279
Includes Typical Broker Commissions trade costs of $7.00
1/31/20 15:45 SSO PROSHARES ULTRA S&P500 LONG 500 136.28 6/5 9:30 138.66 11.42%
Trade id #127316363
Max drawdown($23,056)
Time3/23/20 0:00
Quant open300
Worst price64.83
Drawdown as % of equity-11.42%
$1,182
Includes Typical Broker Commissions trade costs of $10.00
3/31/20 15:45 SLV ISHARES SILVER TRUST LONG 1,500 13.07 5/4 15:45 14.05 0.14%
Trade id #128345927
Max drawdown($300)
Time4/1/20 0:00
Quant open1,500
Worst price12.87
Drawdown as % of equity-0.14%
$1,471
Includes Typical Broker Commissions trade costs of $7.50
8/23/19 9:33 MVV PROSHARES ULTRA MIDCAP400 LONG 700 37.71 1/16/20 9:30 43.81 0.54%
Trade id #125056992
Max drawdown($1,449)
Time8/28/19 0:00
Quant open700
Worst price35.64
Drawdown as % of equity-0.54%
$4,261
Includes Typical Broker Commissions trade costs of $9.50
10/17/19 15:45 UWM PROSHARES ULTRA RUSSELL2000 LONG 400 65.92 1/14/20 15:45 74.48 0.21%
Trade id #125843886
Max drawdown($608)
Time10/18/19 0:00
Quant open400
Worst price64.40
Drawdown as % of equity-0.21%
$3,416
Includes Typical Broker Commissions trade costs of $8.00
12/23/19 9:30 GLD SPDR GOLD SHARES LONG 200 139.53 1/6/20 9:30 145.69 n/a $1,227
Includes Typical Broker Commissions trade costs of $4.00
8/9/19 15:45 DDM PROSHARES ULTRA DOW30 LONG 600 47.75 12/20 9:30 52.34 0.83%
Trade id #124862195
Max drawdown($2,250)
Time8/15/19 0:00
Quant open600
Worst price44.00
Drawdown as % of equity-0.83%
$2,743
Includes Typical Broker Commissions trade costs of $8.50
10/12/18 9:30 FFTY ACADEMY FUNDS INNOVATOR IBD 50 LONG 1,200 32.35 12/17/19 15:45 34.15 3.85%
Trade id #120320233
Max drawdown($8,352)
Time12/24/18 0:00
Quant open1,200
Worst price25.39
Drawdown as % of equity-3.85%
$2,139
Includes Typical Broker Commissions trade costs of $15.00
10/14/19 15:45 EEM ISHARES MSCI EMERGING MARKETS LONG 650 41.57 12/2 15:45 43.21 0.01%
Trade id #125772864
Max drawdown($19)
Time10/14/19 16:00
Quant open650
Worst price41.54
Drawdown as % of equity-0.01%
$1,057
Includes Typical Broker Commissions trade costs of $9.00
10/23/19 9:30 SMH VANECK VECTORS SEMICONDUCTOR E LONG 200 121.28 11/19 9:30 131.96 0.05%
Trade id #125912956
Max drawdown($132)
Time10/23/19 9:38
Quant open200
Worst price120.62
Drawdown as % of equity-0.05%
$2,131
Includes Typical Broker Commissions trade costs of $4.00
4/3/19 15:45 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 450 108.39 11/1 15:45 109.06 2%
Trade id #123192336
Max drawdown($5,562)
Time10/2/19 0:00
Quant open450
Worst price96.03
Drawdown as % of equity-2.00%
$292
Includes Typical Broker Commissions trade costs of $9.00
8/12/19 15:45 XRT SPDR S&P RETAIL LONG 700 39.46 10/8 15:45 41.65 0.52%
Trade id #124890334
Max drawdown($1,400)
Time8/15/19 0:00
Quant open700
Worst price37.46
Drawdown as % of equity-0.52%
$1,522
Includes Typical Broker Commissions trade costs of $9.50
8/30/19 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 1,000 26.99 10/3 9:30 27.65 0.21%
Trade id #125157339
Max drawdown($583)
Time9/3/19 0:00
Quant open1,000
Worst price26.41
Drawdown as % of equity-0.21%
$645
Includes Typical Broker Commissions trade costs of $12.50
2/7/19 15:45 SSO PROSHARES ULTRA S&P500 LONG 375 108.48 10/2 15:45 117.75 0.16%
Trade id #122421494
Max drawdown($415)
Time2/8/19 0:00
Quant open250
Worst price105.73
Drawdown as % of equity-0.16%
$3,471
Includes Typical Broker Commissions trade costs of $7.50
6/12/19 9:30 SMH VANECK VECTORS SEMICONDUCTOR E LONG 200 106.06 7/26 15:45 114.85 0.31%
Trade id #124048390
Max drawdown($856)
Time6/12/19 9:30
Quant open200
Worst price101.78
Drawdown as % of equity-0.31%
$1,754
Includes Typical Broker Commissions trade costs of $4.00
10/24/18 9:30 UWM PROSHARES ULTRA RUSSELL2000 LONG 800 67.25 7/19/19 15:45 69.94 3.23%
Trade id #120508176
Max drawdown($8,504)
Time10/24/18 9:30
Quant open400
Worst price46.25
Drawdown as % of equity-3.23%
$2,136
Includes Typical Broker Commissions trade costs of $16.00
6/19/19 9:30 SLV ISHARES SILVER TRUST LONG 1,500 14.03 7/18 15:45 14.84 0.04%
Trade id #124142249
Max drawdown($117)
Time6/19/19 9:30
Quant open1,500
Worst price13.95
Drawdown as % of equity-0.04%
$1,215
Includes Typical Broker Commissions trade costs of $7.50
10/24/18 9:36 MVV PROSHARES ULTRA MIDCAP400 LONG 1,050 38.11 6/6/19 9:30 38.30 1.19%
Trade id #120508659
Max drawdown($3,108)
Time1/14/19 9:36
Quant open700
Worst price33.37
Drawdown as % of equity-1.19%
$184
Includes Typical Broker Commissions trade costs of $12.00
2/8/19 15:45 DDM PROSHARES ULTRA DOW30 LONG 800 44.22 6/5 9:30 45.27 0.51%
Trade id #122437253
Max drawdown($1,414)
Time6/3/19 7:58
Quant open550
Worst price41.65
Drawdown as % of equity-0.51%
$823
Includes Typical Broker Commissions trade costs of $13.00
4/10/19 9:30 IEO ISHARES U.S. OIL & GAS EXPLORATION & PRODUCTION ET LONG 500 58.99 4/23 15:45 62.12 0.05%
Trade id #123266124
Max drawdown($145)
Time4/11/19 12:37
Quant open500
Worst price58.70
Drawdown as % of equity-0.05%
$1,558
Includes Typical Broker Commissions trade costs of $10.00
2/21/19 15:45 DIG PROSHARES ULTRA OIL & GAS LONG 900 30.12 3/12 15:45 30.50 0.32%
Trade id #122631389
Max drawdown($917)
Time3/8/19 9:42
Quant open450
Worst price28.08
Drawdown as % of equity-0.32%
$334
Includes Typical Broker Commissions trade costs of $11.50
1/11/19 13:28 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 200 108.37 3/8 15:45 111.17 0.17%
Trade id #121926672
Max drawdown($469)
Time1/30/19 10:06
Quant open200
Worst price106.02
Drawdown as % of equity-0.17%
$555
Includes Typical Broker Commissions trade costs of $4.00
7/20/18 9:30 SMH VANECK VECTORS SEMICONDUCTOR E LONG 400 101.75 2/6/19 15:45 103.44 0.38%
Trade id #119032308
Max drawdown($1,052)
Time8/17/18 9:34
Quant open200
Worst price101.38
Drawdown as % of equity-0.38%
$669
Includes Typical Broker Commissions trade costs of $8.00
12/4/18 9:30 EEM ISHARES MSCI EMERGING MARKETS LONG 600 41.95 1/25/19 9:30 42.10 1.05%
Trade id #121329938
Max drawdown($2,346)
Time12/26/18 11:00
Quant open600
Worst price38.04
Drawdown as % of equity-1.05%
$85
Includes Typical Broker Commissions trade costs of $5.00
4/7/17 9:30 SSO PROSHARES ULTRA S&P500 LONG 675 101.55 1/7/19 15:45 102.13 2.67%
Trade id #110810188
Max drawdown($6,179)
Time12/24/18 14:38
Quant open300
Worst price80.95
Drawdown as % of equity-2.67%
$382
Includes Typical Broker Commissions trade costs of $13.50
12/13/18 9:30 SLV ISHARES SILVER TRUST LONG 1,000 13.84 1/4/19 9:30 14.63 0.09%
Trade id #121478002
Max drawdown($240)
Time12/14/18 9:36
Quant open1,000
Worst price13.60
Drawdown as % of equity-0.09%
$779
Includes Typical Broker Commissions trade costs of $12.50
11/7/18 15:45 BJK VANECK VECTORS GAMING ETF LONG 600 37.35 12/3 15:45 38.03 0.71%
Trade id #120807174
Max drawdown($1,845)
Time11/20/18 10:20
Quant open600
Worst price34.27
Drawdown as % of equity-0.71%
$403
Includes Typical Broker Commissions trade costs of $5.00
7/17/18 9:30 DDM PROSHARES ULTRA DOW30 LONG 800 44.16 11/28 15:45 45.41 0.26%
Trade id #118971066
Max drawdown($702)
Time10/29/18 15:46
Quant open200
Worst price40.82
Drawdown as % of equity-0.26%
$984
Includes Typical Broker Commissions trade costs of $12.50
10/24/18 15:45 XHB SPDR S&P HOMEBUILDERS LONG 800 32.90 11/26 15:45 34.94 0.33%
Trade id #120521274
Max drawdown($864)
Time10/29/18 15:46
Quant open800
Worst price31.82
Drawdown as % of equity-0.33%
$1,622
Includes Typical Broker Commissions trade costs of $10.50

Statistics

  • Strategy began
    1/31/2008
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    4624.43
  • Age
    154 months ago
  • What it trades
    Stocks
  • # Trades
    115
  • # Profitable
    86
  • % Profitable
    74.80%
  • Avg trade duration
    137.4 days
  • Max peak-to-valley drawdown
    44.18%
  • drawdown period
    June 19, 2010 - Nov 26, 2011
  • Annual Return (Compounded)
    14.6%
  • Avg win
    $4,072
  • Avg loss
    $5,875
  • Model Account Values (Raw)
  • Cash
    $146,991
  • Margin Used
    $0
  • Buying Power
    $176,431
  • Ratios
  • W:L ratio
    2.13:1
  • Sharpe Ratio
    0.58
  • Sortino Ratio
    0.84
  • Calmar Ratio
    0.074
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    318.20%
  • Correlation to SP500
    0.30900
  • Return Percent SP500 (cumu) during strategy life
    143.13%
  • Return Statistics
  • Ann Return (w trading costs)
    14.6%
  • Slump
  • Current Slump as Pcnt Equity
    15.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.05%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.146%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.00%
  • Chance of 20% account loss
    26.00%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    3.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    466
  • Popularity (Last 6 weeks)
    797
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    17
  • Popularity (7 days, Percentile 1000 scale)
    556
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,944
  • Avg Win
    $4,860
  • Sum Trade PL (losers)
    $172,383.000
  • Age
  • Num Months filled monthly returns table
    153
  • Win / Loss
  • Sum Trade PL (winners)
    $417,939.000
  • # Winners
    86
  • Num Months Winners
    97
  • Dividends
  • Dividends Received in Model Acct
    6501
  • Win / Loss
  • # Losers
    29
  • % Winners
    74.8%
  • Frequency
  • Avg Position Time (mins)
    197900.00
  • Avg Position Time (hrs)
    3298.33
  • Avg Trade Length
    137.4 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    1.06
  • Daily leverage (max)
    2.67
  • Regression
  • Alpha
    0.03
  • Beta
    0.27
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    86.64
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.37
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    5.24
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    3.194
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.707
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.680
  • Hold-and-Hope Ratio
    0.378
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08568
  • SD
    0.28535
  • Sharpe ratio (Glass type estimate)
    0.30025
  • Sharpe ratio (Hedges UMVUE)
    0.29870
  • df
    146.00000
  • t
    1.05087
  • p
    0.45668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.86079
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26233
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85974
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37002
  • Upside Potential Ratio
    1.39261
  • Upside part of mean
    0.32245
  • Downside part of mean
    -0.23677
  • Upside SD
    0.16694
  • Downside SD
    0.23154
  • N nonnegative terms
    86.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    0.06976
  • Mean of criterion
    0.08568
  • SD of predictor
    0.20004
  • SD of criterion
    0.28535
  • Covariance
    0.01549
  • r
    0.27135
  • b (slope, estimate of beta)
    0.38706
  • a (intercept, estimate of alpha)
    0.05867
  • Mean Square Error
    0.07595
  • DF error
    145.00000
  • t(b)
    3.39482
  • p(b)
    0.32940
  • t(a)
    0.74138
  • p(a)
    0.46090
  • Lowerbound of 95% confidence interval for beta
    0.16171
  • Upperbound of 95% confidence interval for beta
    0.61241
  • Lowerbound of 95% confidence interval for alpha
    -0.09774
  • Upperbound of 95% confidence interval for alpha
    0.21509
  • Treynor index (mean / b)
    0.22135
  • Jensen alpha (a)
    0.05867
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02507
  • SD
    0.39449
  • Sharpe ratio (Glass type estimate)
    0.06354
  • Sharpe ratio (Hedges UMVUE)
    0.06321
  • df
    146.00000
  • t
    0.22239
  • p
    0.49080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49659
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62348
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62325
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06958
  • Upside Potential Ratio
    0.85727
  • Upside part of mean
    0.30881
  • Downside part of mean
    -0.28374
  • Upside SD
    0.15766
  • Downside SD
    0.36022
  • N nonnegative terms
    86.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    0.04921
  • Mean of criterion
    0.02507
  • SD of predictor
    0.20349
  • SD of criterion
    0.39449
  • Covariance
    0.01474
  • r
    0.18359
  • b (slope, estimate of beta)
    0.35590
  • a (intercept, estimate of alpha)
    0.00755
  • Mean Square Error
    0.15141
  • DF error
    145.00000
  • t(b)
    2.24892
  • p(b)
    0.38378
  • t(a)
    0.06776
  • p(a)
    0.49642
  • Lowerbound of 95% confidence interval for beta
    0.04312
  • Upperbound of 95% confidence interval for beta
    0.66869
  • Lowerbound of 95% confidence interval for alpha
    -0.21272
  • Upperbound of 95% confidence interval for alpha
    0.22783
  • Treynor index (mean / b)
    0.07043
  • Jensen alpha (a)
    0.00755
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16908
  • Expected Shortfall on VaR
    0.20700
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03833
  • Expected Shortfall on VaR
    0.08971
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    147.00000
  • Minimum
    0.30899
  • Quartile 1
    0.98087
  • Median
    1.00913
  • Quartile 3
    1.04111
  • Maximum
    1.20142
  • Mean of quarter 1
    0.93055
  • Mean of quarter 2
    0.99690
  • Mean of quarter 3
    1.02418
  • Mean of quarter 4
    1.08664
  • Inter Quartile Range
    0.06024
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03401
  • Mean of outliers low
    0.74020
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03401
  • Mean of outliers high
    1.16417
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65629
  • VaR(95%) (moments method)
    0.06758
  • Expected Shortfall (moments method)
    0.20885
  • Extreme Value Index (regression method)
    0.60026
  • VaR(95%) (regression method)
    0.05412
  • Expected Shortfall (regression method)
    0.13763
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00114
  • Quartile 1
    0.02806
  • Median
    0.06219
  • Quartile 3
    0.25597
  • Maximum
    0.69101
  • Mean of quarter 1
    0.01043
  • Mean of quarter 2
    0.04943
  • Mean of quarter 3
    0.13925
  • Mean of quarter 4
    0.44445
  • Inter Quartile Range
    0.22791
  • 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
    0.09091
  • Mean of outliers high
    0.69101
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04168
  • VaR(95%) (moments method)
    0.49221
  • Expected Shortfall (moments method)
    0.65158
  • Extreme Value Index (regression method)
    2.05877
  • VaR(95%) (regression method)
    0.76768
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07457
  • Compounded annual return (geometric extrapolation)
    0.05440
  • Calmar ratio (compounded annual return / max draw down)
    0.07873
  • Compounded annual return / average of 25% largest draw downs
    0.12240
  • Compounded annual return / Expected Shortfall lognormal
    0.26280
  • 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
    0.14188
  • SD
    0.45226
  • Sharpe ratio (Glass type estimate)
    0.31370
  • Sharpe ratio (Hedges UMVUE)
    0.31363
  • df
    3225.00000
  • t
    1.10078
  • p
    0.13554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24493
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87229
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87224
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43225
  • Upside Potential Ratio
    4.38740
  • Upside part of mean
    1.44005
  • Downside part of mean
    -1.29817
  • Upside SD
    0.31116
  • Downside SD
    0.32822
  • N nonnegative terms
    1608.00000
  • N negative terms
    1618.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3226.00000
  • Mean of predictor
    0.11773
  • Mean of criterion
    0.14188
  • SD of predictor
    0.37666
  • SD of criterion
    0.45226
  • Covariance
    -0.04209
  • r
    -0.24711
  • b (slope, estimate of beta)
    -0.29670
  • a (intercept, estimate of alpha)
    0.17700
  • Mean Square Error
    0.19211
  • DF error
    3224.00000
  • t(b)
    -14.47980
  • p(b)
    1.00000
  • t(a)
    1.41522
  • p(a)
    0.07855
  • Lowerbound of 95% confidence interval for beta
    -0.33688
  • Upperbound of 95% confidence interval for beta
    -0.25653
  • Lowerbound of 95% confidence interval for alpha
    -0.06815
  • Upperbound of 95% confidence interval for alpha
    0.42176
  • Treynor index (mean / b)
    -0.47817
  • Jensen alpha (a)
    0.17680
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02222
  • SD
    0.51979
  • Sharpe ratio (Glass type estimate)
    0.04275
  • Sharpe ratio (Hedges UMVUE)
    0.04274
  • df
    3225.00000
  • t
    0.15002
  • p
    0.44038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60130
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05126
  • Upside Potential Ratio
    3.22136
  • Upside part of mean
    1.39655
  • Downside part of mean
    -1.37433
  • Upside SD
    0.28663
  • Downside SD
    0.43353
  • N nonnegative terms
    1608.00000
  • N negative terms
    1618.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3226.00000
  • Mean of predictor
    0.04701
  • Mean of criterion
    0.02222
  • SD of predictor
    0.37722
  • SD of criterion
    0.51979
  • Covariance
    -0.04303
  • r
    -0.21946
  • b (slope, estimate of beta)
    -0.30241
  • a (intercept, estimate of alpha)
    0.03644
  • Mean Square Error
    0.25725
  • DF error
    3224.00000
  • t(b)
    -12.77240
  • p(b)
    1.00000
  • t(a)
    0.25209
  • p(a)
    0.40049
  • Lowerbound of 95% confidence interval for beta
    -0.34884
  • Upperbound of 95% confidence interval for beta
    -0.25599
  • Lowerbound of 95% confidence interval for alpha
    -0.24698
  • Upperbound of 95% confidence interval for alpha
    0.31985
  • Treynor index (mean / b)
    -0.07348
  • Jensen alpha (a)
    0.03644
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05137
  • Expected Shortfall on VaR
    0.06395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01094
  • Expected Shortfall on VaR
    0.02552
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3226.00000
  • Minimum
    0.31784
  • Quartile 1
    0.99652
  • Median
    1.00008
  • Quartile 3
    1.00518
  • Maximum
    1.36094
  • Mean of quarter 1
    0.98159
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00225
  • Mean of quarter 4
    1.01993
  • Inter Quartile Range
    0.00865
  • Number outliers low
    219.00000
  • Percentage of outliers low
    0.06789
  • Mean of outliers low
    0.95330
  • Number of outliers high
    206.00000
  • Percentage of outliers high
    0.06386
  • Mean of outliers high
    1.04910
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76442
  • VaR(95%) (moments method)
    0.01609
  • Expected Shortfall (moments method)
    0.07389
  • Extreme Value Index (regression method)
    0.56277
  • VaR(95%) (regression method)
    0.01356
  • Expected Shortfall (regression method)
    0.03533
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    69.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00289
  • Median
    0.00609
  • Quartile 3
    0.01938
  • Maximum
    0.69663
  • Mean of quarter 1
    0.00144
  • Mean of quarter 2
    0.00471
  • Mean of quarter 3
    0.01219
  • Mean of quarter 4
    0.14660
  • Inter Quartile Range
    0.01649
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.15942
  • Mean of outliers high
    0.21114
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.02071
  • VaR(95%) (moments method)
    0.12971
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.86836
  • VaR(95%) (regression method)
    0.13614
  • Expected Shortfall (regression method)
    1.15121
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06934
  • Compounded annual return (geometric extrapolation)
    0.05141
  • Calmar ratio (compounded annual return / max draw down)
    0.07379
  • Compounded annual return / average of 25% largest draw downs
    0.35066
  • Compounded annual return / Expected Shortfall lognormal
    0.80389
  • 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
    0.48909
  • SD
    0.23555
  • Sharpe ratio (Glass type estimate)
    2.07641
  • Sharpe ratio (Hedges UMVUE)
    2.06441
  • df
    130.00000
  • t
    1.46825
  • p
    0.43614
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71074
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84755
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09357
  • Upside Potential Ratio
    10.50380
  • Upside part of mean
    1.66064
  • Downside part of mean
    -1.17155
  • Upside SD
    0.17600
  • Downside SD
    0.15810
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49215
  • Mean of criterion
    0.48909
  • SD of predictor
    0.26457
  • SD of criterion
    0.23555
  • Covariance
    0.04392
  • r
    0.70469
  • b (slope, estimate of beta)
    0.62738
  • a (intercept, estimate of alpha)
    0.18033
  • Mean Square Error
    0.02815
  • DF error
    129.00000
  • t(b)
    11.28060
  • p(b)
    0.09193
  • t(a)
    0.75503
  • p(a)
    0.45780
  • Lowerbound of 95% confidence interval for beta
    0.51734
  • Upperbound of 95% confidence interval for beta
    0.73742
  • Lowerbound of 95% confidence interval for alpha
    -0.29222
  • Upperbound of 95% confidence interval for alpha
    0.65287
  • Treynor index (mean / b)
    0.77958
  • Jensen alpha (a)
    0.18033
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46106
  • SD
    0.23574
  • Sharpe ratio (Glass type estimate)
    1.95585
  • Sharpe ratio (Hedges UMVUE)
    1.94454
  • df
    130.00000
  • t
    1.38299
  • p
    0.43979
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82977
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73408
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72641
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.87613
  • Upside Potential Ratio
    10.26290
  • Upside part of mean
    1.64522
  • Downside part of mean
    -1.18415
  • Upside SD
    0.17395
  • Downside SD
    0.16031
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45695
  • Mean of criterion
    0.46106
  • SD of predictor
    0.26460
  • SD of criterion
    0.23574
  • Covariance
    0.04404
  • r
    0.70605
  • b (slope, estimate of beta)
    0.62904
  • a (intercept, estimate of alpha)
    0.17362
  • Mean Square Error
    0.02808
  • DF error
    129.00000
  • t(b)
    11.32410
  • p(b)
    0.09132
  • t(a)
    0.72843
  • p(a)
    0.45928
  • VAR (95 Confidence Intrvl)
    0.05100
  • Lowerbound of 95% confidence interval for beta
    0.51914
  • Upperbound of 95% confidence interval for beta
    0.73894
  • Lowerbound of 95% confidence interval for alpha
    -0.29796
  • Upperbound of 95% confidence interval for alpha
    0.64521
  • Treynor index (mean / b)
    0.73296
  • Jensen alpha (a)
    0.17362
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02195
  • Expected Shortfall on VaR
    0.02787
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00946
  • Expected Shortfall on VaR
    0.01942
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96185
  • Quartile 1
    0.99533
  • Median
    1.00132
  • Quartile 3
    1.01039
  • Maximum
    1.03862
  • Mean of quarter 1
    0.98380
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00588
  • Mean of quarter 4
    1.01953
  • Inter Quartile Range
    0.01506
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.96728
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03677
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31513
  • VaR(95%) (moments method)
    0.01502
  • Expected Shortfall (moments method)
    0.02692
  • Extreme Value Index (regression method)
    -0.10398
  • VaR(95%) (regression method)
    0.01461
  • Expected Shortfall (regression method)
    0.01966
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00521
  • Median
    0.01638
  • Quartile 3
    0.03606
  • Maximum
    0.10981
  • Mean of quarter 1
    0.00082
  • Mean of quarter 2
    0.01144
  • Mean of quarter 3
    0.02297
  • Mean of quarter 4
    0.05924
  • Inter Quartile Range
    0.03085
  • 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
    0.05263
  • Mean of outliers high
    0.10981
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.09330
  • VaR(95%) (moments method)
    0.06477
  • Expected Shortfall (moments method)
    0.08756
  • Extreme Value Index (regression method)
    0.72182
  • VaR(95%) (regression method)
    0.07867
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.23617
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -309317000
  • Max Equity Drawdown (num days)
    525
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55393
  • Compounded annual return (geometric extrapolation)
    0.63063
  • Calmar ratio (compounded annual return / max draw down)
    5.74304
  • Compounded annual return / average of 25% largest draw downs
    10.64600
  • Compounded annual return / Expected Shortfall lognormal
    22.62710

Strategy Description

ETF Timer is a market-timing trading system in which I utilize my proprietary technical indicators for price, volume, and relative strength. For this system, I trade various single and double leveraged Exchange Traded Products.

Prior to October 2015, the only ETFs traded were QID and QLD. However, in order to better diversify its holdings and reduce potential drawdowns, ETF Timer now trades a number of diversified Exchange Traded Products.

All trade signals are now issued either prior to the opening of the market or approximately 30 minutes prior to the market close. Also, since there is no intraday trading it is easy to manually trade ETF Timer.

Also, ETF Timer may be traded in retirement accounts since it uses no margin.

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.













Summary Statistics

Strategy began
2008-01-31
Suggested Minimum Capital
$45,000
# Trades
115
# Profitable
86
% Profitable
74.8%
Net Dividends
Correlation S&P500
0.309
Sharpe Ratio
0.58
Sortino Ratio
0.84
Beta
0.27
Alpha
0.03
Leverage
1.06 Average
2.67 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.