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For your consideration US Stock Momentum Followed by live capital $2.70 million Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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ETF MKT TIMER
(72576906)

Created by: QuincyW QuincyW
Started: 04/2012
Stocks
Last trade: 4,898 days ago

Subscriptions not available

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.

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.

14.9%

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(11.1%)
Max Drawdown
35
Num Trades
77.1%
Win Trades
8.5 : 1
Profit Factor
3.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                     (3.5%)+6.4%+2.7%+2.5%(2.1%)(4.6%)+2.3%+4.2%(0.5%)+7.0%
2013+0.9%  -    -    -    -    -    -    -    -    -    -    -  +0.9%
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

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.

Trading Record

This strategy has placed 1 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5171 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/8/12 13:26 SPY SPDR S&P 500 LONG 84 138.49 1/14/13 15:04 146.96 0.45%
Trade id #77633327
Max drawdown($318)
Time11/16/12 11:30
Quant open84
Worst price134.70
Drawdown as % of equity-0.45%
 $709
Includes Typical Broker Commissions trade costs of $1.68
8/3/12 9:33 SPY SPDR S&P 500 SHORT 1,000 138.66 11/8 13:26 139.14 13.99%
Trade id #75779330
Max drawdown($8,920)
Time9/14/12 10:22
Quant open-944
Worst price148.11
Drawdown as % of equity-13.99%
 ($482)
Includes Typical Broker Commissions trade costs of $5.84
7/27/12 9:36 SPY SPDR S&P 500 SHORT 1,000 137.40 8/2 9:30 136.55 2.76%
Trade id #75608458
Max drawdown($1,939)
Time7/30/12 10:26
Quant open-1,000
Worst price139.34
Drawdown as % of equity-2.76%
 $838
Includes Typical Broker Commissions trade costs of $12.50
7/26/12 9:33 SPY SPDR S&P 500 SHORT 1,000 136.09 7/26 10:00 135.93 0.25%
Trade id #75576996
Max drawdown($180)
Time7/26/12 9:36
Quant open-1,000
Worst price136.27
Drawdown as % of equity-0.25%
 $155
Includes Typical Broker Commissions trade costs of $5.00
7/25/12 9:33 SPY SPDR S&P 500 SHORT 800 134.29 7/25 10:04 133.77 0.3%
Trade id #75535230
Max drawdown($216)
Time7/25/12 9:40
Quant open-800
Worst price134.56
Drawdown as % of equity-0.30%
 $411
Includes Typical Broker Commissions trade costs of $5.00
7/24/12 9:33 SPY SPDR S&P 500 SHORT 700 135.06 7/24 9:56 134.81 0.04%
Trade id #75492149
Max drawdown($28)
Time7/24/12 9:35
Quant open-700
Worst price135.10
Drawdown as % of equity-0.04%
 $170
Includes Typical Broker Commissions trade costs of $5.00
7/20/12 9:33 IWM ISHARES RUSSELL 2000 INDEX SHORT 700 79.30 7/20 10:43 79.09 0.09%
Trade id #75409892
Max drawdown($63)
Time7/20/12 9:35
Quant open-700
Worst price79.39
Drawdown as % of equity-0.09%
 $142
Includes Typical Broker Commissions trade costs of $5.00
7/13/12 9:33 IWM ISHARES RUSSELL 2000 INDEX SHORT 1,400 79.20 7/17 10:40 78.86 1.9%
Trade id #75234900
Max drawdown($1,330)
Time7/17/12 9:40
Quant open-1,400
Worst price80.15
Drawdown as % of equity-1.90%
 $469
Includes Typical Broker Commissions trade costs of $7.50
7/12/12 9:33 IWM ISHARES RUSSELL 2000 INDEX SHORT 1,200 78.36 7/12 9:43 78.02 0%
Trade id #75198493
Max drawdown$0
Time7/12/12 9:35
Quant open-1,200
Worst price78.36
Drawdown as % of equity0.00%
 $398
Includes Typical Broker Commissions trade costs of $10.00
7/10/12 9:33 IWM ISHARES RUSSELL 2000 INDEX SHORT 500 80.87 7/10 9:56 80.66 0.06%
Trade id #75127792
Max drawdown($45)
Time7/10/12 9:36
Quant open-500
Worst price80.96
Drawdown as % of equity-0.06%
 $95
Includes Typical Broker Commissions trade costs of $10.00
7/9/12 9:33 IWM ISHARES RUSSELL 2000 INDEX SHORT 800 80.38 7/9 10:01 79.98 n/a $310
Includes Typical Broker Commissions trade costs of $10.50
7/6/12 9:33 IWM ISHARES RUSSELL 2000 INDEX SHORT 400 80.77 7/6 12:38 80.39 0.02%
Trade id #75056841
Max drawdown($12)
Time7/6/12 9:39
Quant open-400
Worst price80.80
Drawdown as % of equity-0.02%
 $144
Includes Typical Broker Commissions trade costs of $8.00
5/25/12 10:21 UNG1216F20 UNG Jun16'12 20 call SHORT 3 0.32 6/17 9:03 0.00 0.4%
Trade id #74012605
Max drawdown($699)
Time6/4/12 3:22
Quant open3
Worst price0.00
Drawdown as % of equity-0.40%
 $94
Includes Typical Broker Commissions trade costs of $2.10
6/6/12 9:33 GLD SPDR GOLD SHARES LONG 1,200 155.96 6/12 10:26 156.09 4.77%
Trade id #74307790
Max drawdown($3,150)
Time6/8/12 9:31
Quant open600
Worst price153.00
Drawdown as % of equity-4.77%
 $136
Includes Typical Broker Commissions trade costs of $17.00
6/6/12 9:33 SPY SPDR S&P 500 SHORT 900 131.69 6/8 9:36 131.50 1.52%
Trade id #74307785
Max drawdown($1,023)
Time6/7/12 9:32
Quant open-300
Worst price133.53
Drawdown as % of equity-1.52%
 $157
Includes Typical Broker Commissions trade costs of $11.50
5/25/12 10:19 UNG UNITED STATES NATURAL GAS LONG 2,400 17.03 6/6 10:52 17.10 0.88%
Trade id #74012519
Max drawdown($1,551)
Time6/1/12 14:24
Quant open1,500
Worst price16.09
Drawdown as % of equity-0.88%
 $136
Includes Typical Broker Commissions trade costs of $26.50
5/31/12 12:32 SPY SPDR S&P 500 SHORT 600 130.60 6/1 9:39 129.62 0.15%
Trade id #74152113
Max drawdown($267)
Time5/31/12 15:39
Quant open-300
Worst price132.45
Drawdown as % of equity-0.15%
 $583
Includes Typical Broker Commissions trade costs of $8.50
5/29/12 15:33 GDX VANECK GOLD MINERS ETF LONG 600 43.62 5/31 9:33 44.32 0.31%
Trade id #74078791
Max drawdown($543)
Time5/30/12 9:42
Quant open600
Worst price42.72
Drawdown as % of equity-0.31%
 $409
Includes Typical Broker Commissions trade costs of $8.50
5/24/12 14:11 GDX1201F46 GDX Jun1'12 46 call SHORT 6 0.35 5/29 11:02 0.38 0.05%
Trade id #73989540
Max drawdown($87)
Time5/25/12 10:08
Quant open-6
Worst price0.50
Drawdown as % of equity-0.05%
 ($23)
Includes Typical Broker Commissions trade costs of $8.40
5/24/12 9:33 GDX VANECK GOLD MINERS ETF LONG 600 44.72 5/29 11:00 45.22 0.18%
Trade id #73976267
Max drawdown($322)
Time5/24/12 14:00
Quant open300
Worst price43.70
Drawdown as % of equity-0.18%
 $294
Includes Typical Broker Commissions trade costs of $8.50
5/22/12 10:21 SPY SPDR S&P 500 SHORT 300 132.90 5/22 14:47 132.46 0.06%
Trade id #73895932
Max drawdown($99)
Time5/22/12 11:02
Quant open-300
Worst price133.23
Drawdown as % of equity-0.06%
 $126
Includes Typical Broker Commissions trade costs of $6.00
5/16/12 15:33 SPY SPDR S&P 500 SHORT 300 132.97 5/17 9:51 132.36 0.05%
Trade id #73752972
Max drawdown($84)
Time5/16/12 15:38
Quant open-300
Worst price133.25
Drawdown as % of equity-0.05%
 $177
Includes Typical Broker Commissions trade costs of $6.00
5/14/12 9:33 SPY SPDR S&P 500 SHORT 300 134.48 5/15 9:30 134.02 0.09%
Trade id #73633007
Max drawdown($165)
Time5/14/12 13:54
Quant open-300
Worst price135.03
Drawdown as % of equity-0.09%
 $132
Includes Typical Broker Commissions trade costs of $6.00
5/8/12 9:30 SPY SPDR S&P 500 SHORT 1,200 136.18 5/8 14:56 135.59 0.04%
Trade id #73460711
Max drawdown($69)
Time5/8/12 9:34
Quant open-300
Worst price136.51
Drawdown as % of equity-0.04%
 $691
Includes Typical Broker Commissions trade costs of $20.50
5/7/12 15:58 SPY SPDR S&P 500 LONG 300 137.14 5/8 9:30 136.28 0.15%
Trade id #73419369
Max drawdown($258)
Time5/8/12 9:30
Quant open0
Worst price136.28
Drawdown as % of equity-0.15%
 ($264)
Includes Typical Broker Commissions trade costs of $6.00
4/24/12 9:33 SPY SPDR S&P 500 SHORT 1,200 138.08 5/4 11:47 137.26 2.49%
Trade id #72961391
Max drawdown($4,302)
Time5/1/12 11:55
Quant open-1,200
Worst price141.66
Drawdown as % of equity-2.49%
 $964
Includes Typical Broker Commissions trade costs of $14.50
4/18/12 11:34 SPY1219Q135 SPY May19'12 135 put SHORT 4 1.42 4/19 14:13 1.74 0.2%
Trade id #72811755
Max drawdown($130)
Time4/19/12 14:13
Quant open-4
Worst price1.75
Drawdown as % of equity-0.20%
 ($132)
Includes Typical Broker Commissions trade costs of $5.60
4/18/12 11:30 SPY1219Q130 SPY May19'12 130 put SHORT 7 0.74 4/19 14:08 0.81 0.07%
Trade id #72811559
Max drawdown($47)
Time4/18/12 11:36
Quant open-4
Worst price0.77
Drawdown as % of equity-0.07%
 ($57)
Includes Typical Broker Commissions trade costs of $9.80
4/19/12 13:21 SPY1219E140 SPY May19'12 140 call SHORT 3 1.55 4/19 14:08 1.52 n/a $5
Includes Typical Broker Commissions trade costs of $4.20
4/19/12 10:06 SPY1219E140 SPY May19'12 140 call SHORT 2 1.62 4/19 10:13 1.64 n/a ($7)
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    4/14/2012
  • Suggested Minimum Cap
    $65,000
  • Strategy Age (days)
    5172.07
  • Age
    172 months ago
  • What it trades
    Stocks
  • # Trades
    35
  • # Profitable
    27
  • % Profitable
    77.10%
  • Avg trade duration
    6.3 days
  • Max peak-to-valley drawdown
    11.09%
  • drawdown period
    Aug 04, 2012 - Sept 14, 2012
  • Annual return (compounded)
    0.7%
  • Avg win
    $317.19
  • Avg loss
    $116.12
  • Model Account Values (Raw)
  • Cash
    $71,941
  • Margin Used
    $0
  • Buying Power
    $71,941
  • Ratios
  • W:L ratio
    8.47:1
  • Sharpe Ratio
    -0.35
  • Sortino Ratio
    -0.52
  • Calmar Ratio
    0.32
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.07360
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.51%
  • Return Percent SP500 (cumu) during strategy life
    442.34%
  • Return Statistics
  • Ann Return (w trading costs)
    14.9%
  • Instruments
  • Percent Trades Options
    0.20%
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Instruments
  • Percent Trades Stocks
    0.80%
  • Slump
  • Current Slump as Pcnt Equity
    0.80%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% 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 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $317
  • Avg Loss
    $116
  • Sum Trade PL (losers)
    $929.000
  • Sum Trade PL (winners)
    $8,564.000
  • # Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    -694
  • Win / Loss
  • Num Months Winners
    6
  • Age
  • Num Months filled monthly returns table
    171
  • Win / Loss
  • # Losers
    8
  • % Winners
    77.1%
  • Frequency
  • Avg Position Time (mins)
    9140.25
  • Avg Position Time (hrs)
    152.34
  • Avg Trade Length
    6.3 days
  • Last Trade Ago
    4897
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.01
  • Treynor Index
    0.25
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    1.15
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.592
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    84.55
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    72.76
  • MAE:Equity, 95th Percentile Value for this strat
    0.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    2.042
  • Avg(MAE) / Avg(PL) - Losing trades
    -10.212
  • Hold-and-Hope Ratio
    0.278
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.01700
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    41
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

The ETF MKT TIMER strategy enables a proprietary Expert Advisor (EA) with enhance annotated alerts that systematically generate triggers using a scripted algorithmic trading signal.

Trading Signal:
Based on the Expert Advisor Market Calls, discretionary orders are then executed next day; also the Market Timing Charts are made available by request in the system Subscriber forum area.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-04-14
Suggested Minimum Capital
$65,000
# Trades
35
# Profitable
27
% Profitable
77.1%
Net Dividends
($694)
Correlation S&P500
-0.074
Sharpe Ratio
-0.35
Sortino Ratio
-0.52
Beta
-0.01
Alpha
-0.00

Latest Activity

subscribed on started simulation

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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Suggested Minimum Capital

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.