Q-TIPS
- hypothetical · Annual Return (Compounded)
- -4.5%
- Max Drawdown
- 77.2%
- Trades
- 118
- Win Trades
- 58.5%
- Profit Factor
- 1
- Win Months
- 2.0%
About this strategy
No Compounding.
2 sets of 50 NDX or SPX options or combination are long term(1-3months)Timing of signal is dependent on days to expiration of current option contract. 25 contracts to open position..25 contracts on confirmation of trend.
Rolled over if necessary. $6-9 Near money at market limit halfway between bid and ask.
(To avoid getting out of a trend due to options expiration, 2 sets of 50 contracts will be triggered on signal. 1st set expires current month. 2nd set expires the following month which will be out of the money..around $2-4)
10 NDX or 10 SPX Futures are short term swings(intraday to 3 days depending on given signal)
10 RUT Futures are for Mid term swings(usually 1-10 days depending on given signal) Russell 2000 packs more punch at $100 per pt per
contract to maximize mid term confirmed trend signals.
Future Contract orders are at market for Collective2/TradeBullet.
This system is roughly 75% automated signals and the other 25% is done by me until I figure out how to code the rest.
Minimum account size $33,000 preferabble. It is advisable to have at least $30,000 to trade futures without using margin.
Example. 5 contracts of the NDX/SPX option would cost $4500
1 Contract of the NDX/SPX future would cost $5600
1 contract of the RUT future would cost $5600
Subscription includes Q-tips Newsletter emailed out on the First of every month.
There will only be space for 20 subscribers.
Quisp
www.q-tips.net
2 sets of 50 NDX or SPX options or combination are long term(1-3months)Timing of signal is dependent on days to expiration of current option contract. 25 contracts to open position..25 contracts on confirmation of trend.
Rolled over if necessary. $6-9 Near money at market limit halfway between bid and ask.
(To avoid getting out of a trend due to options expiration, 2 sets of 50 contracts will be triggered on signal. 1st set expires current month. 2nd set expires the following month which will be out of the money..around $2-4)
10 NDX or 10 SPX Futures are short term swings(intraday to 3 days depending on given signal)
10 RUT Futures are for Mid term swings(usually 1-10 days depending on given signal) Russell 2000 packs more punch at $100 per pt per
contract to maximize mid term confirmed trend signals.
Future Contract orders are at market for Collective2/TradeBullet.
This system is roughly 75% automated signals and the other 25% is done by me until I figure out how to code the rest.
Minimum account size $33,000 preferabble. It is advisable to have at least $30,000 to trade futures without using margin.
Example. 5 contracts of the NDX/SPX option would cost $4500
1 Contract of the NDX/SPX future would cost $5600
1 contract of the RUT future would cost $5600
Subscription includes Q-tips Newsletter emailed out on the First of every month.
There will only be space for 20 subscribers.
Quisp
www.q-tips.net
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | 29.9 | 31.6 | 52.4 | -3.1 | 152.6 | ||||||||
| 2006 | 6.4 | -31.3 | -24.9 | -51.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -73.6 |
| 2007 | 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 |
| 2008 | 0.0 | 0.0 | 0.0 | 0.0 | 1.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.6 |
| 2009 | 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 |
| 2010 | 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 |
| 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 | |
| 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 | 9/29/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 255 months |
| What it trades | Options, Futures |
| # Trades | 118 |
| # Profitable | 69 |
| % Profitable | 58.5% |
| Avg trade duration | 2.4 days |
| Max peak-to-valley drawdown | 77.2% |
| drawdown period | Jan 12, 2006 - April 17, 2006 |
| Annual return (compounded) | -0.6% |
| Avg win | $5,446 |
| Avg loss | $7,922 |
Ratios
| W:L ratio | 0.97 |
|---|---|
| Sharpe Ratio | -0.09 |
| Sortino Ratio | -0.14 |
| Calmar Ratio | 0.00 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 521.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -51.7% |
Return Statistics
| Ann Return (w trading costs) | -4.5% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -0.6% |
Slump
| Current Slump as Pcnt Equity | 336.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.5% |
| Percent Trades Options | 0.5% |
| Percent Trades Stocks | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $7,922 |
|---|---|
| Avg Win | $5,446 |
| # Winners | 69 |
| Sum Trade PL (losers) | $388,175 |
| Sum Trade PL (winners) | $375,770 |
| Num Months Winners | 7 |
| # Losers | 49 |
| % Winners | 58.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 253 |
|---|
Frequency
| Avg Position Time (mins) | 3519.22 |
|---|---|
| Avg Position Time (hrs) | 58.65 |
| Avg Trade Length | 2.40 |
| Last Trade Ago | 7444 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -0.47 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 1.16 |
| MAE:Equity, average, losing trades | 0.06 |
| 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 | -4.05 |
| MAE:PL (avg, all trades) | 3.61 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 19.61 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 91.56 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.48 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.17 |
| Hold-and-Hope Ratio | -0.24 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.30 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.07 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 95 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| NDYEQ | long | 25 | Mar 30, 2006 | Apr 19, 2006 | ($5,035) |
| NDYDO | long | 100 | Mar 29, 2006 | Apr 19, 2006 | ($69,140) |
| NQ M6 | long | 10 | Mar 29, 2006 | Mar 30, 2006 | $2,120 |
| NDYDF | long | 100 | Mar 29, 2006 | Mar 30, 2006 | ($1,140) |
| NDYEQ | long | 100 | Mar 29, 2006 | Mar 30, 2006 | ($390) |
| ER2 M6 | short | 10 | Mar 28, 2006 | Mar 29, 2006 | ($11,080) |
| NDYDF | long | 100 | Mar 15, 2006 | Mar 28, 2006 | ($38,040) |
| NDYDO | long | 50 | Mar 27, 2006 | Mar 28, 2006 | ($10,570) |
| NDYEQ | long | 100 | Mar 15, 2006 | Mar 28, 2006 | ($17,340) |
| NQ M6 | long | 10 | Mar 15, 2006 | Mar 28, 2006 | ($4,580) |
| ER2 M6 | long | 10 | Mar 20, 2006 | Mar 20, 2006 | $2,220 |
| ES M6 | short | 10 | Mar 16, 2006 | Mar 17, 2006 | ($1,080) |
| ER2 M6 | long | 10 | Mar 15, 2006 | Mar 16, 2006 | $4,220 |
| ES H6 | short | 10 | Mar 14, 2006 | Mar 15, 2006 | $545 |
| NDVPA | long | 70 | Mar 7, 2006 | Mar 14, 2006 | ($16,748) |
| ER2 H6 | short | 10 | Mar 9, 2006 | Mar 14, 2006 | ($9,930) |
| ES H6 | short | 10 | Mar 9, 2006 | Mar 9, 2006 | $3,545 |
| NQ H6 | long | 10 | Mar 8, 2006 | Mar 8, 2006 | $1,820 |
| ES H6 | short | 10 | Mar 7, 2006 | Mar 8, 2006 | ($580) |
| ER2 H6 | short | 10 | Mar 7, 2006 | Mar 7, 2006 | ($680) |
| ER2 H6 | short | 10 | Mar 7, 2006 | Mar 7, 2006 | $3,620 |
| ER2 H6 | short | 10 | Mar 6, 2006 | Mar 7, 2006 | $5,020 |
| NDYCE | long | 110 | Feb 23, 2006 | Mar 3, 2006 | ($54) |
| NDYDP | long | 50 | Feb 23, 2006 | Mar 3, 2006 | $2,230 |
| NQ H6 | long | 10 | Feb 24, 2006 | Mar 3, 2006 | $1,720 |
| ES H6 | long | 10 | Feb 28, 2006 | Mar 1, 2006 | $4,045 |
| ER2 H6 | long | 10 | Feb 28, 2006 | Feb 28, 2006 | ($2,280) |
| ER2 H6 | long | 10 | Feb 27, 2006 | Feb 27, 2006 | $2,520 |
| ES H6 | long | 10 | Feb 22, 2006 | Feb 27, 2006 | $545 |
| NDYCO | long | 50 | Feb 22, 2006 | Feb 23, 2006 | $680 |
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.