Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW Followed by live capital $119,000 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it

Pairs Trading QID QLD Scalper

By FinancialScientist

Stocks · Started Mar 2007

hypothetical · Annual Return (Compounded)
1.5%
Max Drawdown
39.0%
Trades
78
Win Trades
60.3%
Profit Factor
1.10
Win Months
7.7%

About this strategy





Hypothetical Backtest from QLD's Inception Date
Long + Short
Starting Capita l$100,000.00
Ending Capital $4,399,524.87
Net Profit $4,299,524.87
Net Profit % 4299.52%
Annualized Gain % 215.17%
Exposure 54.61%

Number of Trades 88
Avg Profit/Loss $48,858.24
Avg Bars Held 284.00%

Winning Trades 66
Winning % 75.00%
Gross Profit $7,116,851.76
Largest Winning Trades $858,041.19
Avg Profit $107,831.09
Avg Bars Held 292.00%
Max Consecutive 11

Losing Trades 22
Losing % 25.00%
Gross Loss ($2,817,326.88)
Largest Losing Trade ($453,686.88)
Avg Loss ($128,060.31)
Avg Bars Held 259.00%
Max Consecutive 2

Max Drawdown ($559,014.00)
Max Drawdown Date 10/1/2009
Max Drawdown % -24.33%
Max Drawdown % Date 11/4/2008

APD 0.7532
APAD 1.6623
Wealth-Lab Score 298.1874
RAR 394.0501
MAR 8.8448
Profit Factor 2.5261
Recovery Factor 7.6913
Sharpe Ratio 2.2443
Sortino Ratio 4.9176
Ulcer Index 6.0821
WL Error Term 7.855
WL Reward Ratio 27.3932
Luck Coefficient 7.9573
Pessimistic Rate of Return 1.8259
Equity Drop Ratio 0.0188
K-Ratio 0.4075
Seykota Lake Ratio 0.0441
Expectancy 0.633
Expectancy Score 16.3583
Max Losers Held 1
Max Winners Held 1

Please e-mail me with any questions you might have at bwolinsky@trewfinance.com. You might want to inquire about a tradelist, and a graphical version of the backtested equity curve.



Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20077.5-5.29.53.5-9.011.711.317.32.04.864.0
2008-13.219.312.7-2.55.4-9.12.32.8-17.8-0.0-6.4-0.0-11.9
2009-5.112.7-15.339.9-7.1-6.3-19.29.812.1-20.55.30.0-8.1
20100.00.00.00.00.00.00.00.00.00.00.00.00.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/20/2007
Suggested Minimum Capital$100,000
Age237 months
What it tradesStocks
# Trades78
# Profitable47
% Profitable60.3%
Avg trade duration2.8 days
Max peak-to-valley drawdown39.0%
drawdown periodJune 10, 2008 - Aug 18, 2009
Annual Return (Compounded)1.5%
Avg win$6,937
Avg loss$9,728

Ratios

W:L ratio1.13
Sharpe Ratio0.01
Sortino Ratio0.02
Calmar Ratio0.12

CORRELATION STATISTICS

Correlation to SP5000.06
Return Percent SP500 (cumu) during strategy life441.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-409.7%

Return Statistics

Ann Return (w trading costs)1.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.7%

Slump

Current Slump as Pcnt Equity50.3%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss26.7%
Chance of 50% account loss6.7%
Chance of 60% account loss (Monte Carlo)0.0%
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 Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$9,728
Avg Win$6,937
# Winners47
Sum Trade PL (losers)$301,571
Sum Trade PL (winners)$326,052
Num Months Winners22
# Losers31
% Winners60.3%

Dividends

Dividends Received in Model Acct14495

Age

Num Months filled monthly returns table235

Frequency

Avg Position Time (mins)4011.98
Avg Position Time (hrs)66.87
Avg Trade Length2.80
Last Trade Ago6157

Regression

Alpha0
Beta0.04
Treynor Index0.02

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.05
MAE:Equity, 95th Percentile Value for this strat0.13
MAE:Equity, average, losing trades0.08
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.03
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-86.18
MAE:PL (avg, all trades)-0.28
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats34.14
MAE:PL - Winning Trades - this strat Percentile of All Strats23.42
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.59
Avg(MAE) / Avg(PL) - Losing trades-1.22
Hold-and-Hope Ratio-0.01

RATIO STATISTICS

Mean0.07
SD0.24
Sharpe ratio (Glass type estimate)0.29
Sharpe ratio (Hedges UMVUE)0.28
df86
t0.77
p0.22
Lowerbound of 95% confidence interval for Sharpe Ratio-0.44
Upperbound of 95% confidence interval for Sharpe Ratio1.02
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.44
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.01
Sortino ratio0.53
Upside Potential Ratio1.68
Upside part of mean0.22
Downside part of mean-0.15
Upside SD0.20
Downside SD0.13
N nonnegative terms70
N negative terms17
N of observations87
Mean of predictor0.16
Mean of criterion0.07
SD of predictor0.22
SD of criterion0.24
Covariance0.00
r0.08
b (slope, estimate of beta)0.09
a (intercept, estimate of alpha)0.06
Mean Square Error0.06
DF error85
t(b)0.73
p(b)0.23
t(a)0.60
p(a)0.27
Lowerbound of 95% confidence interval for beta-0.15
Upperbound of 95% confidence interval for beta0.32
Lowerbound of 95% confidence interval for alpha-0.13
Upperbound of 95% confidence interval for alpha0.24
Treynor index (mean / b)0.80
Jensen alpha (a)0.06
Mean0.04
SD0.23
Sharpe ratio (Glass type estimate)0.18
Sharpe ratio (Hedges UMVUE)0.18
df86
t0.48
p0.31
Lowerbound of 95% confidence interval for Sharpe Ratio-0.55
Upperbound of 95% confidence interval for Sharpe Ratio0.91
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.55
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.91
Sortino ratio0.30
Upside Potential Ratio1.42
Upside part of mean0.20
Downside part of mean-0.16
Upside SD0.18
Downside SD0.14
N nonnegative terms70
N negative terms17
N of observations87
Mean of predictor0.13
Mean of criterion0.04
SD of predictor0.23
SD of criterion0.23
Covariance0.00
r0.09
b (slope, estimate of beta)0.09
a (intercept, estimate of alpha)0.03
Mean Square Error0.05
DF error85
t(b)0.81
p(b)0.21
t(a)0.34
p(a)0.37
Lowerbound of 95% confidence interval for beta-0.13
Upperbound of 95% confidence interval for beta0.31
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.20
Treynor index (mean / b)0.46
Jensen alpha (a)0.03
VaR(95%)0.10
Expected Shortfall on VaR0.13
VaR(95%)0.01
Expected Shortfall on VaR0.04
Mean0.24
SD0.64
Sharpe ratio (Glass type estimate)0.38
Sharpe ratio (Hedges UMVUE)0.38
df1913
t1.02
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.35
Upperbound of 95% confidence interval for Sharpe Ratio1.10
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.35
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.10
Sortino ratio0.59
Upside Potential Ratio3.95
Upside part of mean1.60
Downside part of mean-1.36
Upside SD0.49
Downside SD0.40
N nonnegative terms1728
N negative terms186
N of observations1914
Mean of predictor0.27
Mean of criterion0.24
SD of predictor0.53
SD of criterion0.64
Covariance0.04
r0.13
b (slope, estimate of beta)0.16
a (intercept, estimate of alpha)0.20
Mean Square Error0.40
DF error1912
t(b)5.80
p(b)0.43
t(a)0.84
p(a)0.49
Lowerbound of 95% confidence interval for beta0.11
Upperbound of 95% confidence interval for beta0.21
Lowerbound of 95% confidence interval for alpha-0.26
Upperbound of 95% confidence interval for alpha0.65
Treynor index (mean / b)1.51
Jensen alpha (a)0.20
Mean0.04
SD0.63
Sharpe ratio (Glass type estimate)0.07
Sharpe ratio (Hedges UMVUE)0.07
df1913
t0.18
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.66
Upperbound of 95% confidence interval for Sharpe Ratio0.79
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.66
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.79
Sortino ratio0.09
Upside Potential Ratio3.36
Upside part of mean1.49
Downside part of mean-1.45
Upside SD0.44
Downside SD0.44
N nonnegative terms1728
N negative terms186
N of observations1914
Mean of predictor0.13
Mean of criterion0.04
SD of predictor0.52
SD of criterion0.63
Covariance0.04
r0.13
b (slope, estimate of beta)0.16
a (intercept, estimate of alpha)0.02
Mean Square Error0.39
DF error1912
t(b)5.81
p(b)0.43
t(a)0.09
p(a)0.50
Lowerbound of 95% confidence interval for beta0.10
Upperbound of 95% confidence interval for beta0.21
Lowerbound of 95% confidence interval for alpha-0.43
Upperbound of 95% confidence interval for alpha0.47
Treynor index (mean / b)0.26
Jensen alpha (a)0.02
VaR(95%)0.06
Expected Shortfall on VaR0.08
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.93
Mean of criterion0
SD of predictor0.57
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.76
Mean of criterion0
SD of predictor0.58
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.06
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations87
Minimum0.79
Quartile 11
Median1
Quartile 31
Maximum1.32
Mean of quarter 10.95
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.07
Inter Quartile Range0
Number outliers low17
Percentage of outliers low0.20
Mean of outliers low0.94
Number of outliers high17
Percentage of outliers high0.20
Mean of outliers high1.09
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.30
VaR(95%) (regression method)0.06
Expected Shortfall (regression method)0.09
Number of observations1914
Minimum0.68
Quartile 11
Median1
Quartile 31
Maximum1.48
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.02
Inter Quartile Range0
Number outliers low186
Percentage of outliers low0.10
Mean of outliers low0.95
Number of outliers high204
Percentage of outliers high0.11
Mean of outliers high1.06
Extreme Value Index (moments method)0.20
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations5
Minimum0.00
Quartile 10.01
Median0.03
Quartile 30.22
Maximum0.34
Mean of quarter 10.00
Mean of quarter 20.03
Mean of quarter 30.22
Mean of quarter 40.34
Inter Quartile Range0.22
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations12
Minimum0.04
Quartile 10.08
Median0.16
Quartile 30.28
Maximum0.35
Mean of quarter 10.05
Mean of quarter 20.11
Mean of quarter 30.22
Mean of quarter 40.33
Inter Quartile Range0.21
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)-37.52
VaR(95%) (moments method)0.34
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-2.88
VaR(95%) (regression method)0.37
Expected Shortfall (regression method)0.37
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-417975136
Max Equity Drawdown (num days)434
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.05
Compounded annual return (geometric extrapolation)0.04
Calmar ratio (compounded annual return / max draw down)0.12
Compounded annual return / average of 25% largest draw downs0.12
Compounded annual return / Expected Shortfall lognormal0.34
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.05
Compounded annual return (geometric extrapolation)0.04
Calmar ratio (compounded annual return / max draw down)0.12
Compounded annual return / average of 25% largest draw downs0.13
Compounded annual return / Expected Shortfall lognormal0.55
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 6 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
QLD long21928Oct 29, 2009Nov 4, 2009($2,636)
QLD long22612Oct 27, 2009Oct 28, 2009($13,600)
QLD long25112Sep 30, 2009Oct 7, 2009($11,471)
QLD long24000Sep 25, 2009Sep 29, 2009$8,827
QID long614Sep 11, 2009Sep 14, 2009$4,170
QLD long25580Sep 2, 2009Sep 4, 2009$6,774
QLD long22888Aug 17, 2009Aug 21, 2009$12,767
QID long508Jul 21, 2009Jul 23, 2009($19,715)
QID long508Jul 21, 2009Jul 21, 2009$97
QID long512Jul 16, 2009Jul 17, 2009($10,859)
QLD long35560Jun 16, 2009Jun 17, 2009($7,295)
QID long520Jun 2, 2009Jun 3, 2009($3,125)
QLD long42476May 8, 2009May 11, 2009($12,748)
QLD long44400Apr 21, 2009Apr 21, 2009$11,539
QLD long42400Apr 16, 2009Apr 17, 2009$6,567
QLD long40700Apr 8, 2009Apr 9, 2009$15,380
QLD long37840Mar 31, 2009Apr 7, 2009$20,164
QID long244Mar 11, 2009Mar 12, 2009($23,966)
QID long271Feb 9, 2009Feb 11, 2009$17,447
QID long247Jan 29, 2009Jan 30, 2009$2,416
QLD long22028Jan 13, 2009Jan 15, 2009($9,697)
QLD long26168Nov 21, 2008Nov 24, 2008$12,870
QLD long24560Nov 18, 2008Nov 20, 2008($22,404)
QLD long20000Sep 9, 2008Sep 9, 2008($12,405)
QLD long19576Sep 2, 2008Sep 2, 2008($20,893)
QLD long18480Aug 27, 2008Aug 28, 2008$6,888
QLD long18040Aug 21, 2008Aug 21, 2008($276)
QID long455Aug 15, 2008Aug 18, 2008$992
QID long433Aug 6, 2008Aug 7, 2008($10,661)
QID long409Jul 28, 2008Aug 5, 2008$4,409

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.