Bullchart ETF Timer
- hypothetical · Annual Return (Compounded)
- 19.0%
- Max Drawdown
- —
- Trades
- 86
- Win Trades
- 77.9%
- Profit Factor
- 1.70
- Win Months
- 9.9%
About this strategy
Highlights of Bullchart ETF Timer
**
Automated system using proprietary software.
**
Trades the leveraged forms of the QQQ (QLD and QID).
**
Both long and short positions are taken. (Shorts are opened with a 'buy' of the QID).
**
Looks for short term overbought and oversold conditions in the QQQ.
**
Trades are generally open for less than 2 weeks.
Objective
The objective of this system is to
substantially
outperform the QQQ by first looking for short term overbought and oversold conditions in the market and then taking the appropriate long or short position in the QQQ. The system is designed with the objective of being profitable in all market conditions, including flat and/or volatile markets.
Background
The software that generates the signals for this system was developed by the founder of www.Bullchart.com which has provided technical analysis and proprietary charts to thousands of investors for over 10 years.
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Disclaimer
Stock trading involves high risks and YOU can LOSE a substantial amount of money. You are responsible for your own investment decisions. We don't know you, your circumstances, or your needs and do not purport to tell people, or suggest to people, what they should buy for themselves. Please read and agree to all of the appropriate warnings on the collective2 web site about auto trading and performance figures.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | -2.3 | -1.6 | 4.5 | -2.7 | -2.4 | ||||||||
| 2011 | -4.2 | 1.3 | -1.4 | -0.1 | 4.7 | -4.6 | -3.2 | 16.9 | 29.8 | -2.4 | -4.4 | 13.9 | 48.8 |
| 2012 | -13.6 | -12.8 | -13.3 | 0.4 | 22.4 | 0.8 | 25.3 | -1.1 | 8.3 | -3.2 | 2.1 | 14.9 | 23.3 |
| 2013 | 10.9 | 6.4 | -2.1 | 3.0 | -7.3 | 18.3 | -11.6 | 1.8 | -12.6 | -3.2 | -9.3 | 0.2 | -9.6 |
| 2014 | -0.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.1 |
| 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 | |
| 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 | 9/17/2010 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 194 months |
| What it trades | Stocks |
| # Trades | 86 |
| # Profitable | 67 |
| % Profitable | 77.9% |
| Avg trade duration | 9.8 days |
| Max peak-to-valley drawdown | — |
| drawdown period | — |
| Annual Return (Compounded) | 19.0% |
| Avg win | $417 |
| Avg loss | $876 |
Ratios
| W:L ratio | 1.68 |
|---|---|
| Sharpe Ratio | 0.13 |
| Sortino Ratio | 0.20 |
| Calmar Ratio | 0.51 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.08 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 576.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 15.9% |
Return Statistics
| Ann Return (w trading costs) | 19.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 4.8% |
Slump
| Current Slump as Pcnt Equity | 46.6% |
|---|---|
| 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 | 35.0% |
|---|---|
| Chance of 20% account loss | 13.0% |
| Chance of 30% account loss | 1.5% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| 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 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 | $876 |
|---|---|
| Avg Win | $417 |
| # Winners | 67 |
| Sum Trade PL (losers) | $16,645 |
| Sum Trade PL (winners) | $27,962 |
| Num Months Winners | 19 |
| # Losers | 19 |
| % Winners | 77.9% |
Dividends
| Dividends Received in Model Acct | -21 |
|---|
Age
| Num Months filled monthly returns table | 193 |
|---|
Frequency
| Avg Position Time (mins) | 14076.25 |
|---|---|
| Avg Position Time (hrs) | 234.60 |
| Avg Trade Length | 9.80 |
| Last Trade Ago | 4660 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | -0.06 |
| Treynor Index | -0.08 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.12 |
| MAE:Equity, average, losing trades | 0.11 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.03 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 4.41 |
| MAE:PL (avg, all trades) | 5.53 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 61.62 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 92.80 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.83 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.61 |
| Hold-and-Hope Ratio | 0.23 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.16 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.02 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 96 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 113 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QID | long | 325 | Oct 16, 2013 | Dec 4, 2013 | ($2,997) |
| QID | long | 306 | Aug 23, 2013 | Oct 8, 2013 | ($826) |
| QID | long | 293 | Jul 1, 2013 | Aug 21, 2013 | ($2,760) |
| QLD | long | 860 | Jun 21, 2013 | Jun 26, 2013 | $571 |
| QID | long | 288 | Jun 17, 2013 | Jun 20, 2013 | $858 |
| QLD | long | 760 | Jun 6, 2013 | Jun 7, 2013 | $1,061 |
| QID | long | 263 | Jun 4, 2013 | Jun 5, 2013 | $658 |
| QID | long | 263 | May 30, 2013 | Jun 3, 2013 | $942 |
| QID | long | 256 | Apr 24, 2013 | May 24, 2013 | ($2,754) |
| QLD | long | 880 | Apr 18, 2013 | Apr 19, 2013 | $512 |
| QID | long | 243 | Apr 9, 2013 | Apr 17, 2013 | $206 |
| QID | long | 238 | Apr 4, 2013 | Apr 5, 2013 | $490 |
| QID | long | 235 | Mar 20, 2013 | Apr 4, 2013 | $305 |
| QID | long | 225 | Mar 6, 2013 | Mar 19, 2013 | $231 |
| QID | long | 225 | Feb 27, 2013 | Mar 4, 2013 | ($68) |
| QID | long | 208 | Feb 25, 2013 | Feb 26, 2013 | $920 |
| QLD | long | 800 | Feb 21, 2013 | Feb 22, 2013 | $334 |
| QID | long | 208 | Jan 30, 2013 | Feb 21, 2013 | $212 |
| QLD | long | 780 | Jan 22, 2013 | Jan 30, 2013 | $159 |
| QID | long | 206 | Jan 18, 2013 | Jan 22, 2013 | ($119) |
| QLD | long | 800 | Jan 15, 2013 | Jan 17, 2013 | $383 |
| QID | long | 200 | Jan 9, 2013 | Jan 15, 2013 | $140 |
| QLD | long | 780 | Jan 7, 2013 | Jan 9, 2013 | $135 |
| QLD | long | 740 | Dec 27, 2012 | Jan 3, 2013 | $1,784 |
| QLD | long | 730 | Dec 14, 2012 | Dec 18, 2012 | $1,159 |
| QLD | long | 690 | Dec 4, 2012 | Dec 11, 2012 | $416 |
| QID | long | 160 | Nov 26, 2012 | Dec 4, 2012 | ($201) |
| QLD | long | 720 | Nov 8, 2012 | Nov 23, 2012 | $603 |
| QID | long | 150 | Oct 26, 2012 | Nov 7, 2012 | $333 |
| QLD | long | 670 | Oct 19, 2012 | Oct 26, 2012 | ($601) |
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.