Ruby NQ100 M
- hypothetical · Annual Return (Compounded)
- 17.9%
- Max Drawdown
- —
- Trades
- 841
- Win Trades
- 76.3%
- Profit Factor
- 1.40
- Win Months
- 11.8%
About this strategy
Ruby NQ100 M
For thousands of years, the ruby has been considered one of the most valuable gemstones on Earth. It has everything a precious stone should have: magnificent color, excellent hardness and outstanding brilliance. In addition to that, it is an extremely rare gemstone, especially in its finer qualities.
The Name
Ruby: a gemstone
NQ100: it trades Nasdaq-100 stocks.
M: it is designed for manual trading
What to expect
Ruby generates between 5 and 60 limit orders once a day. Positions are held at least one night and a maximum of 12 days.
While trades will be filled during the day it is possible to trade it with a one time effort per day.
WARNING: Do not trade this system if did not fully read and understand all trading instructions. Ignoring some of these instructions may cause severe losses in your trading account.
read more: www.finantic.de/Ruby
Remark: This trading system started as a testbed for automatic order entry software. We needed a good trading system to drive the tests. It turned out, that our "test system" was too good to throw it away, so we decided to keep the excellent track record on C2 and simply rename the system. This also explains, why C2s equity curve shows some "sleepy" period before March 2007. We implemented the order entry software before this date and generated mere "test orders". The "true" Ruby system runs, clearly visible, since march 2007.
For thousands of years, the ruby has been considered one of the most valuable gemstones on Earth. It has everything a precious stone should have: magnificent color, excellent hardness and outstanding brilliance. In addition to that, it is an extremely rare gemstone, especially in its finer qualities.
The Name
Ruby: a gemstone
NQ100: it trades Nasdaq-100 stocks.
M: it is designed for manual trading
What to expect
Ruby generates between 5 and 60 limit orders once a day. Positions are held at least one night and a maximum of 12 days.
While trades will be filled during the day it is possible to trade it with a one time effort per day.
WARNING: Do not trade this system if did not fully read and understand all trading instructions. Ignoring some of these instructions may cause severe losses in your trading account.
read more: www.finantic.de/Ruby
Remark: This trading system started as a testbed for automatic order entry software. We needed a good trading system to drive the tests. It turned out, that our "test system" was too good to throw it away, so we decided to keep the excellent track record on C2 and simply rename the system. This also explains, why C2s equity curve shows some "sleepy" period before March 2007. We implemented the order entry software before this date and generated mere "test orders". The "true" Ruby system runs, clearly visible, since march 2007.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | -0.1 | -0.1 | |||||||||||
| 2007 | 1.4 | -3.1 | 4.1 | 0.4 | 9.3 | 3.0 | 1.2 | 19.4 | 6.5 | 5.1 | -2.2 | 5.3 | 61.1 |
| 2008 | -11.0 | 10.0 | 5.4 | -1.3 | -5.5 | -14.4 | 5.3 | 10.8 | -7.3 | -44.1 | 15.3 | 0.8 | -42.1 |
| 2009 | -0.9 | 13.0 | 9.1 | 3.4 | 16.7 | -2.6 | 2.2 | 7.5 | 6.0 | 0.4 | 7.8 | 1.1 | 83.0 |
| 2010 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 0.0 | 0.0 | 5.6 | 5.8 |
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | -0.0 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 12/20/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 240 months |
| What it trades | Stocks |
| # Trades | 841 |
| # Profitable | 642 |
| % Profitable | 76.3% |
| Avg trade duration | 4.1 days |
| Max peak-to-valley drawdown | — |
| drawdown period | — |
| Annual return (compounded) | 4.2% |
| Avg win | $697 |
| Avg loss | $1,674 |
Ratios
| W:L ratio | 1.38 |
|---|---|
| Sharpe Ratio | 0.12 |
| Sortino Ratio | 0.18 |
| Calmar Ratio | 0.20 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.26 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 436.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 104.5% |
Return Statistics
| Ann Return (w trading costs) | 17.9% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 4.2% |
Slump
| Current Slump as Pcnt Equity | 0.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 61.0% |
|---|---|
| Chance of 20% account loss | 45.2% |
| Chance of 30% account loss | 11.6% |
| Chance of 40% account loss | 4.5% |
| Chance of 50% account loss | 2.2% |
| Chance of 60% account loss (Monte Carlo) | 4.4% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,674 |
|---|---|
| Avg Win | $697 |
| # Winners | 642 |
| Sum Trade PL (losers) | $333,064 |
| Sum Trade PL (winners) | $447,777 |
| Num Months Winners | 31 |
| # Losers | 199 |
| % Winners | 76.3% |
Dividends
| Dividends Received in Model Acct | 10687 |
|---|
Age
| Num Months filled monthly returns table | 238 |
|---|
Frequency
| Avg Position Time (mins) | 5971.88 |
|---|---|
| Avg Position Time (hrs) | 99.53 |
| Avg Trade Length | 4.10 |
| Last Trade Ago | 6127 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.23 |
| Treynor Index | 0.03 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 10.52 |
| MAE:PL (avg, all trades) | 0.77 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 78.90 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 72.88 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.06 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.52 |
| Hold-and-Hope Ratio | 0.09 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.08 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.07 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 34 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 509 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| LBTYA | long | 1740 | Nov 24, 2009 | Dec 4, 2009 | $708 |
| ERTS | long | 1830 | Nov 19, 2009 | Dec 4, 2009 | ($1,286) |
| ILMN | short | 1023 | Dec 2, 2009 | Dec 3, 2009 | $507 |
| ILMN | long | 4404 | Nov 17, 2009 | Dec 2, 2009 | ($4,427) |
| LINTA | long | 3022 | Nov 24, 2009 | Nov 25, 2009 | $781 |
| RYAAY | long | 1233 | Nov 19, 2009 | Nov 23, 2009 | $796 |
| LINTA | long | 2969 | Nov 13, 2009 | Nov 16, 2009 | $797 |
| PPDI | long | 1399 | Nov 3, 2009 | Nov 16, 2009 | ($397) |
| APOL | long | 597 | Nov 9, 2009 | Nov 10, 2009 | $1,052 |
| FAST | long | 1752 | Oct 27, 2009 | Nov 9, 2009 | $39 |
| RIMM | long | 1016 | Oct 27, 2009 | Nov 9, 2009 | ($1,768) |
| ERTS | long | 1679 | Oct 27, 2009 | Nov 9, 2009 | $432 |
| CELG | long | 1206 | Oct 26, 2009 | Nov 6, 2009 | ($680) |
| BRCM | long | 1182 | Oct 27, 2009 | Nov 6, 2009 | ($147) |
| HOLX | long | 2104 | Oct 27, 2009 | Nov 6, 2009 | $142 |
| AMGN | long | 578 | Oct 26, 2009 | Nov 6, 2009 | ($739) |
| FLEX | long | 4618 | Oct 27, 2009 | Nov 5, 2009 | $780 |
| INTC | long | 1594 | Nov 3, 2009 | Nov 5, 2009 | $728 |
| JBHT | long | 1011 | Oct 27, 2009 | Nov 4, 2009 | $885 |
| FWLT | long | 1067 | Oct 27, 2009 | Nov 4, 2009 | $785 |
| COST | long | 559 | Oct 27, 2009 | Nov 3, 2009 | $168 |
| MRVL | long | 2239 | Oct 28, 2009 | Nov 2, 2009 | ($1,013) |
| WCRX | long | 1453 | Oct 27, 2009 | Oct 30, 2009 | $794 |
| ILMN | long | 772 | Oct 22, 2009 | Oct 26, 2009 | $790 |
| MRVL | long | 2176 | Oct 22, 2009 | Oct 23, 2009 | $800 |
| WYNN | long | 515 | Oct 22, 2009 | Oct 23, 2009 | $1,406 |
| NVDA | long | 2369 | Oct 16, 2009 | Oct 19, 2009 | $777 |
| DISH | long | 1710 | Oct 16, 2009 | Oct 19, 2009 | $782 |
| QCOM | long | 758 | Oct 9, 2009 | Oct 12, 2009 | $768 |
| RYAAY | long | 1022 | Oct 2, 2009 | Oct 2, 2009 | $792 |
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.