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ETF Timer
(30415311)

Created by: ETFTIMER ETFTIMER
Started: 01/2008
Stocks
Last trade: 4 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 $59.00 per month.

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.
16.2%
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.

(43.3%)
Max Drawdown
94
Num Trades
73.4%
Win Trades
2.5 : 1
Profit Factor
62.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008(0.6%)+4.5%+5.8%+4.4%+17.0%+2.3%+0.2%+0.4%+15.6%+2.3%+8.0%+1.0%+78.2%
2009+7.1%+0.9%+12.5%+15.8%+4.1%+2.1%(2.9%)+3.2%+6.1%(3%)+8.7%+4.6%+75.3%
2010(2.1%)+3.7%+10.1%  -  +8.3%(1%)(4.9%)(0.4%)(2.7%)(3.1%)+0.3%(1.1%)+6.3%
2011(2%)(4.1%)+0.6%+0.9%(3.7%)(2.1%)+0.1%(4.2%)(6.1%)(1.1%)(7.1%)(1.3%)(26.6%)
2012+9.7%+0.4%(2%)+2.2%+3.4%+0.6%+0.7%+4.0%+1.6%(4.9%)+3.4%(0.3%)+19.6%
2013+2.7%+1.3%+1.2%(2.5%)(3.5%)+6.3%(3.9%)+1.1%(4.1%)+3.2%(5.2%)(4.8%)(8.7%)
2014+2.9%+3.1%+4.6%+4.5%(2.3%)(3.4%)(0.5%)(7.1%)+0.7%+5.5%(3.6%)+4.2%+8.0%
2015(2%)+11.6%(4.1%)+2.9%+3.5%(4.2%)+7.2%(11.5%)(4.1%)+18.1%+1.0%(4.2%)+11.2%
2016(8.8%)(2.3%)+20.0%+0.6%+3.8%(3.7%)+8.9%+1.2%+0.9%(0.8%)+5.2%  -  +24.8%
2017+3.6%+2.5%+1.1%+1.2%+1.1%+1.4%+3.7%(2.8%)+5.7%+0.6%+1.6%+1.2%+22.8%
2018+4.5%(4.1%)(2.3%)(1.2%)+8.5%+1.6%+2.9%+4.0%+0.1%(5.6%)+2.4%(13.4%)(4.4%)
2019+12.1%+5.5%+1.2%+3.0%(5.3%)                                          +16.7%

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 176 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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
6/25/18 9:30 FXI ISHARES FTSE CHINA 25 INDEX FU LONG 1,600 41.94 11/5 15:45 42.22 1.08%
Trade id #118621237
Max drawdown($2,865)
Time10/29/18 15:45
Quant open700
Worst price37.84
Drawdown as % of equity-1.08%
$425
Includes Typical Broker Commissions trade costs of $28.50
8/23/18 9:30 JJOFF BARCLAYS BK PLC IPATH DOW JONES-UBS COFFEE SUBINDE LONG 1,200 11.00 10/29 15:46 12.66 0.21%
Trade id #119565281
Max drawdown($593)
Time9/18/18 11:04
Quant open800
Worst price10.26
Drawdown as % of equity-0.21%
$1,982
Includes Typical Broker Commissions trade costs of $14.50
3/16/17 15:45 MVV PROSHARES ULTRA MIDCAP400 LONG 1,212 35.91 10/5/18 15:45 42.04 n/a $7,416
Includes Typical Broker Commissions trade costs of $17.18
11/4/15 9:37 TBF PROSHARES SHORT 20+ YEAR TREAS LONG 1,600 24.03 10/4/18 11:15 24.06 0.91%
Trade id #98179882
Max drawdown($2,229)
Time4/2/18 14:04
Quant open1,300
Worst price22.58
Drawdown as % of equity-0.91%
$40
Includes Typical Broker Commissions trade costs of $14.00
1/31/17 15:45 UWM PROSHARES ULTRA RUSSELL2000 LONG 800 59.32 10/2/18 15:45 75.83 n/a $13,193
Includes Typical Broker Commissions trade costs of $16.00
7/23/18 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 800 27.56 9/27 15:45 28.30 n/a $578
Includes Typical Broker Commissions trade costs of $10.50
2/20/18 9:31 SMH VANECK VECTORS SEMICONDUCTOR E LONG 360 102.05 6/26 15:45 109.35 0.23%
Trade id #116612188
Max drawdown($562)
Time4/4/18 8:12
Quant open120
Worst price98.15
Drawdown as % of equity-0.23%
$2,620
Includes Typical Broker Commissions trade costs of $7.20
4/20/18 15:45 DDM PROSHARES ULTRA DOW30 LONG 900 41.86 6/21 15:45 43.15 0.03%
Trade id #117604222
Max drawdown($69)
Time5/29/18 14:54
Quant open450
Worst price41.71
Drawdown as % of equity-0.03%
$1,144
Includes Typical Broker Commissions trade costs of $14.50
4/16/18 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 900 27.62 5/30 9:30 27.71 0.44%
Trade id #117524088
Max drawdown($1,044)
Time5/3/18 11:43
Quant open900
Worst price26.46
Drawdown as % of equity-0.44%
$75
Includes Typical Broker Commissions trade costs of $11.50
1/9/17 9:31 EEM ISHARES MSCI EMERGING MARKETS LONG 1,000 41.70 5/18/18 15:45 43.94 0.01%
Trade id #108447231
Max drawdown($27)
Time1/9/17 9:49
Quant open500
Worst price35.87
Drawdown as % of equity-0.01%
$2,225
Includes Typical Broker Commissions trade costs of $15.00
2/14/18 9:30 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 375 105.50 5/11 15:45 106.83 0.79%
Trade id #116500685
Max drawdown($1,902)
Time5/3/18 11:06
Quant open375
Worst price100.43
Drawdown as % of equity-0.79%
$491
Includes Typical Broker Commissions trade costs of $7.50
1/20/17 15:54 JO IPATH SER B BLOOMBERG COFFEE SUBINDEX TOT RET LONG 1,200 20.63 4/5/18 15:45 14.27 3.2%
Trade id #108909095
Max drawdown($7,876)
Time4/4/18 8:52
Quant open1,200
Worst price14.07
Drawdown as % of equity-3.20%
($7,645)
Includes Typical Broker Commissions trade costs of $9.00
7/31/17 9:39 DIG PROSHARES ULTRA OIL & GAS LONG 700 32.96 2/8/18 14:55 34.75 1.36%
Trade id #112893521
Max drawdown($3,115)
Time8/30/17 9:11
Quant open700
Worst price28.51
Drawdown as % of equity-1.36%
$1,244
Includes Typical Broker Commissions trade costs of $9.50
11/10/15 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,380 30.34 2/7/18 15:45 41.86 8.25%
Trade id #98272291
Max drawdown($11,427)
Time2/16/16 10:12
Quant open2,800
Worst price16.98
Drawdown as % of equity-8.25%
$38,889
Includes Typical Broker Commissions trade costs of $43.60
10/13/17 9:30 AGQ PROSHARES ULTRA SILVER LONG 600 35.86 1/25/18 13:08 36.50 0.9%
Trade id #114239017
Max drawdown($2,294)
Time12/26/17 10:00
Quant open600
Worst price32.04
Drawdown as % of equity-0.90%
$379
Includes Typical Broker Commissions trade costs of $5.00
11/4/15 15:45 IBB ISHARES NASDAQ BIOTECHNOLOGY E LONG 125 295.24 10/27/17 15:45 310.09 2.46%
Trade id #98189615
Max drawdown($4,812)
Time11/3/16 16:07
Quant open75
Worst price245.66
Drawdown as % of equity-2.46%
$1,855
Includes Typical Broker Commissions trade costs of $2.50
11/29/16 15:45 EWW ISHARES MSCI MEXICO ETF LONG 750 43.40 9/28/17 9:30 48.25 0.66%
Trade id #107588732
Max drawdown($1,400)
Time1/11/17 12:03
Quant open500
Worst price41.23
Drawdown as % of equity-0.66%
$3,620
Includes Typical Broker Commissions trade costs of $15.00
5/8/17 15:45 SLV ISHARES SILVER TRUST LONG 1,400 15.44 7/7 15:45 15.55 0.29%
Trade id #111464575
Max drawdown($658)
Time7/6/17 19:08
Quant open700
Worst price14.50
Drawdown as % of equity-0.29%
$154
Includes Typical Broker Commissions trade costs of $7.50
4/20/16 15:45 JO IPATH SER B BLOOMBERG COFFEE SUBINDEX TOT RET LONG 900 19.60 11/28 15:45 23.10 0.01%
Trade id #101936857
Max drawdown($18)
Time5/16/16 0:33
Quant open900
Worst price0.00
Drawdown as % of equity-0.01%
$3,139
Includes Typical Broker Commissions trade costs of $11.50
11/6/15 9:32 XRT SPDR S&P RETAIL LONG 350 46.27 11/22/16 15:30 46.55 0.94%
Trade id #98221657
Max drawdown($1,897)
Time11/9/16 9:31
Quant open350
Worst price40.85
Drawdown as % of equity-0.94%
$91
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    1/31/2008
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    4130.17
  • Age
    138 months ago
  • What it trades
    Stocks
  • # Trades
    94
  • # Profitable
    69
  • % Profitable
    73.40%
  • Avg trade duration
    133.5 days
  • Max peak-to-valley drawdown
    43.35%
  • drawdown period
    June 18, 2010 - Nov 26, 2011
  • Annual Return (Compounded)
    16.2%
  • Avg win
    $4,616
  • Avg loss
    $5,227
  • Model Account Values (Raw)
  • Cash
    $169,272
  • Margin Used
    $0
  • Buying Power
    $216,990
  • Ratios
  • W:L ratio
    2.52:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    1.04
  • Calmar Ratio
    0.079
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.20820
  • Return Statistics
  • Ann Return (w trading costs)
    16.2%
  • Ann Return (Compnd, No Fees)
    16.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    12.50%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    631
  • Popularity (Last 6 weeks)
    922
  • C2 Score
    94.8
  • 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
    $5,244
  • Avg Win
    $5,231
  • # Winners
    69
  • # Losers
    25
  • % Winners
    73.4%
  • Frequency
  • Avg Position Time (mins)
    192082.00
  • Avg Position Time (hrs)
    3201.37
  • Avg Trade Length
    133.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.51
  • Daily leverage (max)
    2.77
  • Unknown
  • Alpha
    0.04
  • Beta
    0.18
  • Treynor Index
    0.22
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09137
  • SD
    0.28465
  • Sharpe ratio (Glass type estimate)
    0.32097
  • Sharpe ratio (Hedges UMVUE)
    0.31911
  • df
    130.00000
  • t
    1.06050
  • p
    0.45369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91358
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39489
  • Upside Potential Ratio
    1.37459
  • Upside part of mean
    0.31804
  • Downside part of mean
    -0.22667
  • Upside SD
    0.16605
  • Downside SD
    0.23137
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06390
  • Mean of criterion
    0.09137
  • SD of predictor
    0.19465
  • SD of criterion
    0.28465
  • Covariance
    0.00903
  • r
    0.16304
  • b (slope, estimate of beta)
    0.23842
  • a (intercept, estimate of alpha)
    0.07613
  • Mean Square Error
    0.07949
  • DF error
    129.00000
  • t(b)
    1.87687
  • p(b)
    0.39667
  • t(a)
    0.88819
  • p(a)
    0.45042
  • Lowerbound of 95% confidence interval for beta
    -0.01291
  • Upperbound of 95% confidence interval for beta
    0.48976
  • Lowerbound of 95% confidence interval for alpha
    -0.09346
  • Upperbound of 95% confidence interval for alpha
    0.24572
  • Treynor index (mean / b)
    0.38321
  • Jensen alpha (a)
    0.07613
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02896
  • SD
    0.40364
  • Sharpe ratio (Glass type estimate)
    0.07176
  • Sharpe ratio (Hedges UMVUE)
    0.07134
  • df
    130.00000
  • t
    0.23709
  • p
    0.48961
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52164
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.66490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66461
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07820
  • Upside Potential Ratio
    0.82230
  • Upside part of mean
    0.30455
  • Downside part of mean
    -0.27559
  • Upside SD
    0.15678
  • Downside SD
    0.37037
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04459
  • Mean of criterion
    0.02896
  • SD of predictor
    0.19712
  • SD of criterion
    0.40364
  • Covariance
    0.00721
  • r
    0.09056
  • b (slope, estimate of beta)
    0.18545
  • a (intercept, estimate of alpha)
    0.02070
  • Mean Square Error
    0.16284
  • DF error
    129.00000
  • t(b)
    1.03283
  • p(b)
    0.44243
  • t(a)
    0.16909
  • p(a)
    0.49052
  • Lowerbound of 95% confidence interval for beta
    -0.16980
  • Upperbound of 95% confidence interval for beta
    0.54069
  • Lowerbound of 95% confidence interval for alpha
    -0.22147
  • Upperbound of 95% confidence interval for alpha
    0.26286
  • Treynor index (mean / b)
    0.15619
  • Jensen alpha (a)
    0.02070
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17242
  • Expected Shortfall on VaR
    0.21102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03789
  • Expected Shortfall on VaR
    0.08861
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.30899
  • Quartile 1
    0.98087
  • Median
    1.00708
  • Quartile 3
    1.04187
  • Maximum
    1.20142
  • Mean of quarter 1
    0.93476
  • Mean of quarter 2
    0.99569
  • Mean of quarter 3
    1.02366
  • Mean of quarter 4
    1.08609
  • Inter Quartile Range
    0.06100
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.73636
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.18379
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65269
  • VaR(95%) (moments method)
    0.06367
  • Expected Shortfall (moments method)
    0.19186
  • Extreme Value Index (regression method)
    0.43900
  • VaR(95%) (regression method)
    0.04805
  • Expected Shortfall (regression method)
    0.09187
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00114
  • Quartile 1
    0.01751
  • Median
    0.05837
  • Quartile 3
    0.24430
  • Maximum
    0.69101
  • Mean of quarter 1
    0.00567
  • Mean of quarter 2
    0.03494
  • Mean of quarter 3
    0.13925
  • Mean of quarter 4
    0.51656
  • Inter Quartile Range
    0.22679
  • 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
    0.12500
  • Mean of outliers high
    0.69101
  • 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)
    0.07882
  • Compounded annual return (geometric extrapolation)
    0.05852
  • Calmar ratio (compounded annual return / max draw down)
    0.08469
  • Compounded annual return / average of 25% largest draw downs
    0.11329
  • Compounded annual return / Expected Shortfall lognormal
    0.27731
  • 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
    0.15669
  • SD
    0.47280
  • Sharpe ratio (Glass type estimate)
    0.33140
  • Sharpe ratio (Hedges UMVUE)
    0.33131
  • df
    2878.00000
  • t
    1.09856
  • p
    0.13603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26001
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92263
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45766
  • Upside Potential Ratio
    4.32022
  • Upside part of mean
    1.47910
  • Downside part of mean
    -1.32241
  • Upside SD
    0.32611
  • Downside SD
    0.34237
  • N nonnegative terms
    1413.00000
  • N negative terms
    1466.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2879.00000
  • Mean of predictor
    0.11407
  • Mean of criterion
    0.15669
  • SD of predictor
    0.38466
  • SD of criterion
    0.47280
  • Covariance
    -0.05292
  • r
    -0.29099
  • b (slope, estimate of beta)
    -0.35767
  • a (intercept, estimate of alpha)
    0.19700
  • Mean Square Error
    0.20469
  • DF error
    2877.00000
  • t(b)
    -16.31390
  • p(b)
    1.00000
  • t(a)
    1.44673
  • p(a)
    0.07404
  • Lowerbound of 95% confidence interval for beta
    -0.40065
  • Upperbound of 95% confidence interval for beta
    -0.31468
  • Lowerbound of 95% confidence interval for alpha
    -0.07017
  • Upperbound of 95% confidence interval for alpha
    0.46514
  • Treynor index (mean / b)
    -0.43808
  • Jensen alpha (a)
    0.19749
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02548
  • SD
    0.54497
  • Sharpe ratio (Glass type estimate)
    0.04675
  • Sharpe ratio (Hedges UMVUE)
    0.04673
  • df
    2878.00000
  • t
    0.15496
  • p
    0.43843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54451
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63801
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54453
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63799
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05600
  • Upside Potential Ratio
    3.14669
  • Upside part of mean
    1.43143
  • Downside part of mean
    -1.40595
  • Upside SD
    0.29994
  • Downside SD
    0.45490
  • N nonnegative terms
    1413.00000
  • N negative terms
    1466.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2879.00000
  • Mean of predictor
    0.04039
  • Mean of criterion
    0.02548
  • SD of predictor
    0.38506
  • SD of criterion
    0.54497
  • Covariance
    -0.05412
  • r
    -0.25791
  • b (slope, estimate of beta)
    -0.36502
  • a (intercept, estimate of alpha)
    0.04022
  • Mean Square Error
    0.27734
  • DF error
    2877.00000
  • t(b)
    -14.31800
  • p(b)
    1.00000
  • t(a)
    0.25314
  • p(a)
    0.40009
  • Lowerbound of 95% confidence interval for beta
    -0.41500
  • Upperbound of 95% confidence interval for beta
    -0.31503
  • Lowerbound of 95% confidence interval for alpha
    -0.27129
  • Upperbound of 95% confidence interval for alpha
    0.35173
  • Treynor index (mean / b)
    -0.06979
  • Jensen alpha (a)
    0.04022
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05378
  • Expected Shortfall on VaR
    0.06693
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01125
  • Expected Shortfall on VaR
    0.02627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2879.00000
  • Minimum
    0.31784
  • Quartile 1
    0.99651
  • Median
    1.00000
  • Quartile 3
    1.00514
  • Maximum
    1.36094
  • Mean of quarter 1
    0.98123
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.02062
  • Inter Quartile Range
    0.00863
  • Number outliers low
    190.00000
  • Percentage of outliers low
    0.06600
  • Mean of outliers low
    0.95078
  • Number of outliers high
    185.00000
  • Percentage of outliers high
    0.06426
  • Mean of outliers high
    1.05172
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78796
  • VaR(95%) (moments method)
    0.01635
  • Expected Shortfall (moments method)
    0.08285
  • Extreme Value Index (regression method)
    0.58735
  • VaR(95%) (regression method)
    0.01323
  • Expected Shortfall (regression method)
    0.03590
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00064
  • Quartile 1
    0.00370
  • Median
    0.00840
  • Quartile 3
    0.02202
  • Maximum
    0.69663
  • Mean of quarter 1
    0.00197
  • Mean of quarter 2
    0.00543
  • Mean of quarter 3
    0.01526
  • Mean of quarter 4
    0.14991
  • Inter Quartile Range
    0.01832
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.14000
  • Mean of outliers high
    0.25109
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.04050
  • VaR(95%) (moments method)
    0.14174
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.89104
  • VaR(95%) (regression method)
    0.14953
  • Expected Shortfall (regression method)
    1.51081
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07261
  • Compounded annual return (geometric extrapolation)
    0.05483
  • Calmar ratio (compounded annual return / max draw down)
    0.07871
  • Compounded annual return / average of 25% largest draw downs
    0.36578
  • Compounded annual return / Expected Shortfall lognormal
    0.81928
  • 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
    0.13731
  • SD
    0.17841
  • Sharpe ratio (Glass type estimate)
    0.76961
  • Sharpe ratio (Hedges UMVUE)
    0.76516
  • df
    130.00000
  • t
    0.54419
  • p
    0.47616
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00821
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53852
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04033
  • Upside Potential Ratio
    8.40787
  • Upside part of mean
    1.10970
  • Downside part of mean
    -0.97239
  • Upside SD
    0.11933
  • Downside SD
    0.13198
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08186
  • Mean of criterion
    0.13731
  • SD of predictor
    0.17132
  • SD of criterion
    0.17841
  • Covariance
    0.02178
  • r
    0.71241
  • b (slope, estimate of beta)
    0.74190
  • a (intercept, estimate of alpha)
    0.07657
  • Mean Square Error
    0.01580
  • DF error
    129.00000
  • t(b)
    11.53020
  • p(b)
    0.08847
  • t(a)
    0.43060
  • p(a)
    0.47589
  • Lowerbound of 95% confidence interval for beta
    0.61459
  • Upperbound of 95% confidence interval for beta
    0.86920
  • Lowerbound of 95% confidence interval for alpha
    -0.27526
  • Upperbound of 95% confidence interval for alpha
    0.42840
  • Treynor index (mean / b)
    0.18507
  • Jensen alpha (a)
    0.07657
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12139
  • SD
    0.17908
  • Sharpe ratio (Glass type estimate)
    0.67788
  • Sharpe ratio (Hedges UMVUE)
    0.67396
  • df
    130.00000
  • t
    0.47933
  • p
    0.47900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44970
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09906
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44698
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.90784
  • Upside Potential Ratio
    8.24551
  • Upside part of mean
    1.10254
  • Downside part of mean
    -0.98115
  • Upside SD
    0.11832
  • Downside SD
    0.13371
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06731
  • Mean of criterion
    0.12139
  • SD of predictor
    0.17110
  • SD of criterion
    0.17908
  • Covariance
    0.02192
  • r
    0.71552
  • b (slope, estimate of beta)
    0.74888
  • a (intercept, estimate of alpha)
    0.07098
  • Mean Square Error
    0.01577
  • DF error
    129.00000
  • t(b)
    11.63310
  • p(b)
    0.08708
  • t(a)
    0.39956
  • p(a)
    0.47762
  • Lowerbound of 95% confidence interval for beta
    0.62151
  • Upperbound of 95% confidence interval for beta
    0.87624
  • Lowerbound of 95% confidence interval for alpha
    -0.28051
  • Upperbound of 95% confidence interval for alpha
    0.42248
  • Treynor index (mean / b)
    0.16210
  • Jensen alpha (a)
    0.07098
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01758
  • Expected Shortfall on VaR
    0.02210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00757
  • Expected Shortfall on VaR
    0.01571
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95613
  • Quartile 1
    0.99519
  • Median
    1.00123
  • Quartile 3
    1.00676
  • Maximum
    1.02876
  • Mean of quarter 1
    0.98694
  • Mean of quarter 2
    0.99875
  • Mean of quarter 3
    1.00400
  • Mean of quarter 4
    1.01294
  • Inter Quartile Range
    0.01157
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96929
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02876
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43510
  • VaR(95%) (moments method)
    0.01379
  • Expected Shortfall (moments method)
    0.02764
  • Extreme Value Index (regression method)
    0.25722
  • VaR(95%) (regression method)
    0.01243
  • Expected Shortfall (regression method)
    0.02020
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00107
  • Quartile 1
    0.00290
  • Median
    0.00503
  • Quartile 3
    0.02598
  • Maximum
    0.19301
  • Mean of quarter 1
    0.00194
  • Mean of quarter 2
    0.00405
  • Mean of quarter 3
    0.02040
  • Mean of quarter 4
    0.08811
  • Inter Quartile Range
    0.02308
  • 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
    0.19301
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.42538
  • VaR(95%) (moments method)
    0.08497
  • Expected Shortfall (moments method)
    0.18484
  • Extreme Value Index (regression method)
    2.28129
  • VaR(95%) (regression method)
    0.23300
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15501
  • Compounded annual return (geometric extrapolation)
    0.16102
  • Calmar ratio (compounded annual return / max draw down)
    0.83425
  • Compounded annual return / average of 25% largest draw downs
    1.82756
  • Compounded annual return / Expected Shortfall lognormal
    7.28568

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.

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.













Summary Statistics

Strategy began
2008-01-31
Suggested Minimum Capital
$45,000
# Trades
94
# Profitable
69
% Profitable
73.4%
Net Dividends
Correlation S&P500
0.208
Sharpe Ratio
0.70
Sortino Ratio
1.04
Beta
0.18
Alpha
0.04
Leverage
1.51 Average
2.77 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 nominal 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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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.