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Topaz NQ100 M

By ReneKoch

Stocks · Started Apr 2007

hypothetical · Annual Return (Compounded)
19.5%
Max Drawdown
—
Trades
3636
Win Trades
72.1%
Profit Factor
1.20
Win Months
30.9%

About this strategy


Topaz NQ100 M


The name "topaz" is derived from the Greek topazos
"to seek ," which was the name of an island in the Red Sea
that was difficult to find ... in ancient times.


(from Wikipedia)


The Name

Topaz: a gemstone
NQ100: it trades Nasdaq-100 stocks.
M: it is designed for manual trading


What to expect

Topaz generates between 5 and 40 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


Detailed description:
http://www.finantic.de/products/topaz

FAQ:
http://www.finantic.de/products/faq/c2/

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2007-1.77.21.5-0.410.08.010.60.3-1.438.4
2008-12.010.511.83.81.8-9.75.47.2-10.3-15.90.511.6-0.9
200915.49.52.48.47.15.37.55.911.4-2.013.24.8132.9
2010-12.117.63.32.15.6-10.67.32.59.52.92.68.241.6
20115.60.20.44.27.0-6.0-3.5-16.7-13.43.41.4-10.5-27.4
20127.7-0.2-2.1-7.5-5.04.34.31.15.2-3.6-0.312.815.9
20134.37.52.02.73.89.50.83.80.73.84.6-2.149.6
2014-11.02.94.813.16.3-0.4-0.4-2.7-2.6-10.91.2-4.5-6.6
20153.69.23.72.66.2-7.98.9-21.8-6.913.8-0.7-3.71.5
2016-4.1-12.58.40.00.0-0.00.00.00.00.00.00.0-9.0
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
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began4/2/2007
Suggested Minimum Capital$100,000
Age237 months
What it tradesStocks
# Trades3636
# Profitable2623
% Profitable72.1%
Avg trade duration4.1 days
Max peak-to-valley drawdown—
drawdown period—
Annual Return (Compounded)19.5%
Avg win$1,237
Avg loss$2,677

Ratios

W:L ratio1.21
Sharpe Ratio0.32
Sortino Ratio0.47
Calmar Ratio0.27

CORRELATION STATISTICS

Correlation to SP5000.33
Return Percent SP500 (cumu) during strategy life435.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)351.1%

Return Statistics

Ann Return (w trading costs)19.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)10.3%

Slump

Current Slump as Pcnt Equity43.0%
Current Slump, time of slump as pcnt of strategy life0.6%

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 loss64.5%
Chance of 20% account loss34.0%
Chance of 30% account loss20.0%
Chance of 40% account loss8.0%
Chance of 50% account loss2.0%
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 Automated0.0%

Popularity

Popularity (Today)659
Popularity (Last 6 weeks)950
Popularity (7 days, Percentile 1000 scale)899

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,677
Avg Win$1,237
# Winners2623
Sum Trade PL (losers)$2,711,976
Sum Trade PL (winners)$3,243,717
Num Months Winners72
# Losers1013
% Winners72.1%

Dividends

Dividends Received in Model Acct45178

Age

Num Months filled monthly returns table234

Frequency

Avg Position Time (mins)5900.72
Avg Position Time (hrs)98.35
Avg Trade Length4.10
Last Trade Ago3820

Regression

Alpha0.01
Beta0.39
Treynor Index0.06

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades18.92
MAE:PL (avg, all trades)0.16
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats85.80
MAE:PL - Winning Trades - this strat Percentile of All Strats68.60
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.88
Avg(MAE) / Avg(PL) - Losing trades-1.73
Hold-and-Hope Ratio0.05

RATIO STATISTICS

Mean0.23
SD0.25
Sharpe ratio (Glass type estimate)0.92
Sharpe ratio (Hedges UMVUE)0.91
df108
t2.76
p0.37
Lowerbound of 95% confidence interval for Sharpe Ratio0.25
Upperbound of 95% confidence interval for Sharpe Ratio1.58
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.25
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.57
Sortino ratio1.43
Upside Potential Ratio2.87
Upside part of mean0.45
Downside part of mean-0.23
Upside SD0.20
Downside SD0.16
N nonnegative terms77
N negative terms32
N of observations109
Mean of predictor0.04
Mean of criterion0.23
SD of predictor0.16
SD of criterion0.25
Covariance0.02
r0.43
b (slope, estimate of beta)0.67
a (intercept, estimate of alpha)0.20
Mean Square Error0.05
DF error107
t(b)4.91
p(b)0.24
t(a)2.70
p(a)0.34
Lowerbound of 95% confidence interval for beta0.40
Upperbound of 95% confidence interval for beta0.94
Lowerbound of 95% confidence interval for alpha0.05
Upperbound of 95% confidence interval for alpha0.35
Treynor index (mean / b)0.34
Jensen alpha (a)0.20
Mean0.19
SD0.25
Sharpe ratio (Glass type estimate)0.77
Sharpe ratio (Hedges UMVUE)0.77
df108
t2.34
p0.39
Lowerbound of 95% confidence interval for Sharpe Ratio0.11
Upperbound of 95% confidence interval for Sharpe Ratio1.43
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.43
Sortino ratio1.13
Upside Potential Ratio2.52
Upside part of mean0.43
Downside part of mean-0.24
Upside SD0.19
Downside SD0.17
N nonnegative terms77
N negative terms32
N of observations109
Mean of predictor0.02
Mean of criterion0.19
SD of predictor0.16
SD of criterion0.25
Covariance0.02
r0.47
b (slope, estimate of beta)0.73
a (intercept, estimate of alpha)0.18
Mean Square Error0.05
DF error107
t(b)5.46
p(b)0.21
t(a)2.38
p(a)0.36
Lowerbound of 95% confidence interval for beta0.47
Upperbound of 95% confidence interval for beta0.99
Lowerbound of 95% confidence interval for alpha0.03
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)0.27
Jensen alpha (a)0.18
VaR(95%)0.10
Expected Shortfall on VaR0.12
VaR(95%)0.03
Expected Shortfall on VaR0.07
Mean0.23
SD0.26
Sharpe ratio (Glass type estimate)0.88
Sharpe ratio (Hedges UMVUE)0.88
df3148
t2.68
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.24
Upperbound of 95% confidence interval for Sharpe Ratio1.53
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.24
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53
Sortino ratio1.30
Upside Potential Ratio6.85
Upside part of mean1.23
Downside part of mean-0.99
Upside SD0.19
Downside SD0.18
N nonnegative terms1466
N negative terms1683
N of observations3149
Mean of predictor0.05
Mean of criterion0.23
SD of predictor0.22
SD of criterion0.26
Covariance0.02
r0.42
b (slope, estimate of beta)0.52
a (intercept, estimate of alpha)0.48
Mean Square Error0.06
DF error3147
t(b)26.25
p(b)0
t(a)2.61
p(a)0.00
Lowerbound of 95% confidence interval for beta0.48
Upperbound of 95% confidence interval for beta0.56
Lowerbound of 95% confidence interval for alpha0.05
Upperbound of 95% confidence interval for alpha0.36
Treynor index (mean / b)0.45
Jensen alpha (a)0.21
Mean0.20
SD0.26
Sharpe ratio (Glass type estimate)0.76
Sharpe ratio (Hedges UMVUE)0.76
df3148
t2.29
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.11
Upperbound of 95% confidence interval for Sharpe Ratio1.41
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.40
Sortino ratio1.08
Upside Potential Ratio6.55
Upside part of mean1.21
Downside part of mean-1.01
Upside SD0.19
Downside SD0.18
N nonnegative terms1466
N negative terms1683
N of observations3149
Mean of predictor0.03
Mean of criterion0.20
SD of predictor0.22
SD of criterion0.26
Covariance0.02
r0.43
b (slope, estimate of beta)0.52
a (intercept, estimate of alpha)0.18
Mean Square Error0.06
DF error3147
t(b)26.42
p(b)0
t(a)2.33
p(a)0.01
Lowerbound of 95% confidence interval for beta0.48
Upperbound of 95% confidence interval for beta0.56
Lowerbound of 95% confidence interval for alpha0.03
Upperbound of 95% confidence interval for alpha0.34
Treynor index (mean / b)0.38
Jensen alpha (a)0.18
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.08
SD0.23
Sharpe ratio (Glass type estimate)0.36
Sharpe ratio (Hedges UMVUE)0.36
df171
t0.26
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-2.41
Upperbound of 95% confidence interval for Sharpe Ratio3.13
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.41
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.13
Sortino ratio0.49
Upside Potential Ratio7.05
Upside part of mean1.22
Downside part of mean-1.13
Upside SD0.15
Downside SD0.17
N nonnegative terms70
N negative terms102
N of observations172
Mean of predictor0.17
Mean of criterion0.08
SD of predictor0.17
SD of criterion0.23
Covariance0.02
r0.46
b (slope, estimate of beta)0.64
a (intercept, estimate of alpha)-0.03
Mean Square Error0.04
DF error170
t(b)6.82
p(b)0.27
t(a)-0.09
p(a)0.50
Lowerbound of 95% confidence interval for beta0.46
Upperbound of 95% confidence interval for beta0.83
Lowerbound of 95% confidence interval for alpha-0.60
Upperbound of 95% confidence interval for alpha0.55
Treynor index (mean / b)0.13
Jensen alpha (a)-0.03
Mean0.06
SD0.23
Sharpe ratio (Glass type estimate)0.25
Sharpe ratio (Hedges UMVUE)0.24
df171
t0.17
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-2.53
Upperbound of 95% confidence interval for Sharpe Ratio3.02
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.53
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.02
Sortino ratio0.33
Upside Potential Ratio6.85
Upside part of mean1.21
Downside part of mean-1.15
Upside SD0.15
Downside SD0.18
N nonnegative terms70
N negative terms102
N of observations172
Mean of predictor0.16
Mean of criterion0.06
SD of predictor0.17
SD of criterion0.23
Covariance0.02
r0.46
b (slope, estimate of beta)0.65
a (intercept, estimate of alpha)-0.05
Mean Square Error0.04
DF error170
t(b)6.84
p(b)0.27
t(a)-0.15
p(a)0.51
Lowerbound of 95% confidence interval for beta0.46
VAR (95 Confidence Intrvl)0.07
Upperbound of 95% confidence interval for beta0.83
Lowerbound of 95% confidence interval for alpha-0.63
Upperbound of 95% confidence interval for alpha0.53
Treynor index (mean / b)0.09
Jensen alpha (a)-0.05
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02

ORDER STATISTICS

Number of observations109
Minimum0.74
Quartile 10.98
Median1.03
Quartile 31.06
Maximum1.24
Mean of quarter 10.93
Mean of quarter 21.01
Mean of quarter 31.04
Mean of quarter 41.10
Inter Quartile Range0.08
Number outliers low2
Percentage of outliers low0.02
Mean of outliers low0.79
Number of outliers high2
Percentage of outliers high0.02
Mean of outliers high1.23
Extreme Value Index (moments method)0.27
VaR(95%) (moments method)0.07
Expected Shortfall (moments method)0.11
Extreme Value Index (regression method)0.15
VaR(95%) (regression method)0.07
Expected Shortfall (regression method)0.12
Number of observations3149
Minimum0.86
Quartile 11.00
Median1
Quartile 31.00
Maximum1.20
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low361
Percentage of outliers low0.11
Mean of outliers low0.98
Number of outliers high371
Percentage of outliers high0.12
Mean of outliers high1.02
Extreme Value Index (moments method)0.94
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.15
Extreme Value Index (regression method)0.42
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations172
Minimum0.94
Quartile 11.00
Median1
Quartile 31.00
Maximum1.04
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low18
Percentage of outliers low0.10
Mean of outliers low0.98
Number of outliers high23
Percentage of outliers high0.13
Mean of outliers high1.02
Extreme Value Index (moments method)0.58
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.29
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.03

DRAW DOWN STATISTICS

Number of observations13
Minimum0.00
Quartile 10.04
Median0.09
Quartile 30.15
Maximum0.33
Mean of quarter 10.02
Mean of quarter 20.08
Mean of quarter 30.13
Mean of quarter 40.30
Inter Quartile Range0.11
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.15
Mean of outliers high0.33
Extreme Value Index (moments method)-10.23
VaR(95%) (moments method)0.27
Expected Shortfall (moments method)0.27
Extreme Value Index (regression method)-3.65
VaR(95%) (regression method)0.47
Expected Shortfall (regression method)0.47
Number of observations159
Minimum0
Quartile 10.00
Median0.00
Quartile 30.02
Maximum0.41
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.09
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high23
Percentage of outliers high0.14
Mean of outliers high0.14
Extreme Value Index (moments method)0.73
VaR(95%) (moments method)0.08
Expected Shortfall (moments method)0.33
Extreme Value Index (regression method)0.30
VaR(95%) (regression method)0.09
Expected Shortfall (regression method)0.16
Number of observations6
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.01
Maximum0.19
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.11
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.17
Mean of outliers high0.19
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
Max Equity Drawdown (num days)157
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.59
Compounded annual return (geometric extrapolation)0.23
Calmar ratio (compounded annual return / max draw down)0.68
Compounded annual return / average of 25% largest draw downs0.75
Compounded annual return / Expected Shortfall lognormal1.82
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.63
Compounded annual return (geometric extrapolation)0.23
Calmar ratio (compounded annual return / max draw down)0.57
Compounded annual return / average of 25% largest draw downs2.59
Compounded annual return / Expected Shortfall lognormal8.23
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.07
Compounded annual return (geometric extrapolation)0.07
Calmar ratio (compounded annual return / max draw down)0.36
Compounded annual return / average of 25% largest draw downs0.66
Compounded annual return / Expected Shortfall lognormal2.73

Trading record

Placed 3992 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
AMZN long159Mar 21, 2016Mar 22, 2016$2,166
BMRN long2132Mar 16, 2016Mar 22, 2016($903)
ALXN long660Mar 17, 2016Mar 21, 2016$2,120
CELG long1745Mar 16, 2016Mar 18, 2016$4,195
INCY long2682Mar 16, 2016Mar 18, 2016$5,710
VRTX long2158Mar 16, 2016Mar 18, 2016$6,467
ALXN long590Mar 15, 2016Mar 16, 2016$1,960
REGN long214Mar 15, 2016Mar 16, 2016$2,131
LBTYK long2672Mar 10, 2016Mar 14, 2016$2,063
LBTYA long2610Mar 10, 2016Mar 14, 2016$2,065
ALXN long606Mar 10, 2016Mar 11, 2016$2,061
VRTX long988Mar 10, 2016Mar 11, 2016$2,060
INCY long1196Mar 9, 2016Mar 10, 2016$2,184
DLTR long1012Mar 8, 2016Mar 10, 2016$2,439
DLTR long892Mar 3, 2016Mar 4, 2016$1,717
AVGO long696Feb 11, 2016Feb 12, 2016$2,034
DLTR long1106Feb 11, 2016Feb 12, 2016$2,030
LRCX long1283Feb 11, 2016Feb 12, 2016$2,138
MU long8527Feb 11, 2016Feb 12, 2016$3,193
MNST long716Feb 11, 2016Feb 12, 2016$6,081
SWKS long1459Feb 11, 2016Feb 12, 2016$2,111
INTC long2911Feb 11, 2016Feb 12, 2016$2,178
VIAB long2569Feb 10, 2016Feb 11, 2016$2,025
TRIP long1532Feb 5, 2016Feb 11, 2016$1,833
CTSH long1563Feb 5, 2016Feb 11, 2016($9,883)
ATVI long5799Feb 4, 2016Feb 11, 2016($11,877)
MNST long726Feb 5, 2016Feb 11, 2016($8,078)
LVNTA long5050Feb 4, 2016Feb 11, 2016($10,964)
ESRX long1339Feb 4, 2016Feb 10, 2016$102
TRIP long1357Feb 3, 2016Feb 4, 2016$2,777

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.