AlphaQ System with few improvements

Trading and Markets
1

All,

I have made a couple of changes in the code of my “AlphaQ System”. It will still trade QQQ (33% TQQQ), QLD (66% TQQQ) and TQQQ (97% TQQQ), PSQ (33% SQQQ), QID (66% SQQQ) and SQQQ (97% SQQQ), or CASH. The system will still typically generate the signal night before so it can be manually traded for next day’s open.

Please note that I only make changes if the modified system is as safe as the current system.

In order for everyone who is subscribing or considering subscribing, I am sharing the following back test results, which are nothing but back tests. I give no guarantee for the future. The results start at the end of 2008 although the test starts in 2004. However, the friend who ran the back test on Fidelity’s welthlab Pro for me could not include the entire period because of great degree of increase in the Equity (running out of shares to buy. LOL). Anyhow, the results between 2004 and 2008 were as good as more recent years, including in 2008.

Here are the results, Please recognize that these are back test results and in real time you usually get lower return and greater max DD. All I can do is to monitor the system for weakness and potential improvement to preserve capital (without overly optimizing it). I trade it myself so I am not interested in artificially making it look great.

My primary goal is to make money in my trading account and not by having more subscribes.

The system typically phases in and out and uses 1x, 2x and 3x leverage (No margin). Some of you asked if it can be traded with only single strength ETF for convenience and reducing number of trades. For them, I have included test results if the system was trades as 100% 3x, 100% 2x and 100% 1x system.

BACKTEST RESULTS OF THE CURRENT SYSTEM

Period Starting Return Return % Max DD % Exposure % Entries Exits
12/3/2008 $3,965.11 39.65 -12.7 88.72 9 9
1/2/2009 $157,233.73 1,125.90 -9.45 93.03 105 104
1/4/2010 $773,676.59 451.92 -7.41 88.52 97 97
1/3/2011 $1,076,930.59 113.98 -9.61 70.87 94 94
1/3/2012 $3,557,892.00 175.98 -6.39 83.08 93 94
1/2/2013 $5,434,945.22 97.41 -7.53 88.39 89 88
1/2/2014 $9,770,617.04 88.71 -8.9 84.77 95 96
1/2/2015 $20,756,411.46 99.86 -10.32 80.22 102 102
1/4/2016 $25,820,066.05 62.15 -12.76 81.17 93 92
1/3/2017 $30,640,084.02 45.49 -11.38 85.7 80 80
1/2/2018 $50,554,957.70 51.59 -17.09 80.11 90 90
1/2/2019 $125,140,310.37 84.24 -11.97 75.03 81 81
1/2/2020 $172,048,441.06 62.86 -16.37 86.62 50 50
All Trades
Starting Capital $10,000.00
Ending Capital $445,745,530.97
Net Profit $445,735,530.97
Net Profit % 4457355.31%
Annualized Gain % 151.36%
Exposure 81.21%
Total Commission $0.00
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 1,078
Average Profit $413,483.79
Average Profit % 1.06%
Average Bars Held 3.23
Winning Trades 670
Win Rate 62.15%
Gross Profit $925,952,838.27
Average Profit $1,382,019.16
Average Profit % 2.64%
Average Bars Held 3.34
Max Consecutive Winners 10
Losing Trades 408
Loss Rate 37.85%
Gross Loss ($480,217,307.30)
Average Loss ($1,177,003.20)
Average Loss % -1.55%
Average Bars Held 3.04
Max Consecutive Losses 5
Maximum Drawdown ($62,090,929.89)
Maximum Drawdown Date 6/11/2020
Maximum Drawdown % -17.09%
Maximum Drawdown % Date 2/8/2018
Wealth-Lab Score 154.52
Sharpe Ratio 2.76
Profit Factor 1.93
Recovery Factor 7.18
Payoff Ratio 1.71
Profit / Total Bars $152,492.48

BACKTEST RESULTS OF THE “NEW” SYSTEM (CURRENT SYSTEM AFTER SOME MODFICIATION)

Period Starting Return Return % Max DD % Exposure % Entries Exits
12/2/2008 $6,927.72 69.28 -6.57 78 9 9
1/2/2009 $331,849.80 1,960.39 -9.45 93.14 88 87
1/4/2010 $1,963,984.98 563.11 -7.85 84.83 86 86
1/3/2011 $2,670,127.44 115.45 -13.83 66.21 89 89
1/3/2012 $11,703,616.40 234.88 -6.09 80.78 89 90
1/2/2013 $17,814,780.94 106.76 -7.53 87.43 84 83
1/2/2014 $31,274,788.58 90.65 -9.51 82.7 88 89
1/2/2015 $93,670,783.84 142.41 -10.56 78.21 97 96
1/4/2016 $129,861,879.74 81.45 -14.57 78.57 85 85
1/3/2017 $136,645,943.20 47.23 -11.34 84.07 75 75
1/2/2018 $228,223,884.09 53.58 -18.23 78.7 78 78
1/2/2019 $640,868,657.11 97.97 -12.21 75.34 80 80
1/2/2020 $1,481,061,848.57 114.36 -14.88 82.37 35 35
All Trades
Starting Capital $10,000.00
Ending Capital $2,776,109,072.40
Net Profit $2,776,099,072.40
Net Profit % 27760990.72%
Annualized Gain % 193.94%
Exposure 79.56%
Total Commission $0.00
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 983
Average Profit $2,824,108.92
Average Profit % 1.37%
Average Bars Held 3.38
Winning Trades 606
Win Rate 61.65%
Gross Profit $4,515,229,960.68
Average Profit $7,450,874.52
Average Profit % 3.24%
Average Bars Held 3.57
Max Consecutive Winners 10
Losing Trades 377
Loss Rate 38.35%
Gross Loss ($1,739,130,888.28)
Average Loss ($4,613,079.28)
Average Loss % -1.62%
Average Bars Held 3.08
Max Consecutive Losses 5
Maximum Drawdown ($376,169,665.00)
Maximum Drawdown Date 6/11/2020
Maximum Drawdown % -18.23%
Maximum Drawdown % Date 2/8/2018
Wealth-Lab Score 199.33
Sharpe Ratio 2.5
Profit Factor 2.6
Recovery Factor 7.38
Payoff Ratio 2
Profit / Total Bars $948,445.19

BACKTEST RESULTS OF THE “NEW” SYSTEM (CURRENT SYSTEM AFTER SOME MODFICIATION)
IF ALL TRADES WERE TAKEN WITH 100% TQQQ and 100% SQQQ (Replace 2x and 1x ETFs with 3x ETF)

Period Starting Return Return % Max DD % Exposure % Entries Exits
12/2/2008 $5,583.96 55.84 -13.42 80.32 6 6
1/2/2009 $293,003.60 1,880.16 -15.62 93.64 44 43
1/4/2010 $4,154,812.94 1,346.40 -9.27 85.79 42 42
1/3/2011 $4,324,491.05 96.89 -30 66.18 56 56
1/3/2012 $33,358,305.33 379.59 -14.26 81.2 47 48
1/2/2013 $46,959,499.42 111.42 -13.49 88.39 27 26
1/2/2014 $74,436,942.31 83.54 -17.04 83.31 46 47
1/2/2015 $303,366,470.91 185.5 -14.55 77.99 45 44
1/4/2016 $356,738,456.96 76.4 -20.32 78.72 40 40
1/3/2017 $655,830,126.41 79.63 -18.78 84.54 24 24
1/2/2018 $1,226,214,088.46 82.88 -33.18 78.07 44 44
1/2/2019 $5,310,125,980.90 196.26 -17.96 75.1 35 35
1/2/2020 $9,357,293,279.82 116.74 -38.81 83.88 11 11
All Trades
Starting Capital $10,000.00
Ending Capital $17,373,111,042.06
Net Profit $17,373,101,042.06
Net Profit % 173731010.42%
Annualized Gain % 244.17%
Exposure 80.13%
Total Commission $0.00
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 467
Average Profit $37,201,501.16
Average Profit % 3.45%
Average Bars Held 6.02
Winning Trades 295
Win Rate 63.17%
Gross Profit $25,298,674,091.04
Average Profit $85,758,217.26
Average Profit % 7.58%
Average Bars Held 7.07
Max Consecutive Winners 9
Losing Trades 172
Loss Rate 36.83%
Gross Loss ($7,925,573,048.98)
Average Loss ($46,078,913.08)
Average Loss % -3.62%
Average Bars Held 4.22
Max Consecutive Losses 5
Maximum Drawdown ($4,151,918,372.96)
Maximum Drawdown Date 3/20/2020
Maximum Drawdown % -38.81%
Maximum Drawdown % Date 3/20/2020
Wealth-Lab Score 186.46
Sharpe Ratio 2.23
Profit Factor 3.19
Recovery Factor 4.18
Payoff Ratio 2.09
Profit / Total Bars $5,935,463.29

BACKTEST RESULTS OF THE “NEW” SYSTEM (CURRENT SYSTEM AFTER SOME MODFICIATION)
IF ALL TRADES WERE TAKEN WITH 100% QLD and 100% QID (Replace 3x and 1x ETFs with 2x ETF)

Period Starting Return Return % Max DD % Exposure % Entries Exits
12/2/2008 $1,630.21 16.3 -16.16 70.81 6 6
1/2/2009 $73,110.81 628.63 -10.68 92.49 44 43
1/4/2010 $430,095.99 507.54 -6.3 84.85 42 42
1/3/2011 $333,450.25 64.77 -20.84 66.23 56 56
1/3/2012 $1,600,347.58 188.66 -9.66 80.92 47 48
1/2/2013 $1,624,729.30 66.35 -9.11 87.41 27 26
1/2/2014 $2,117,593.22 51.99 -11.53 82.91 46 47
1/2/2015 $6,759,115.20 109.18 -9.92 77.76 45 44
1/4/2016 $6,493,230.51 50.14 -13.7 78.2 40 40
1/3/2017 $9,651,395.60 49.64 -12.87 84.36 24 24
1/2/2018 $16,258,236.37 55.88 -23.42 78.51 44 44
1/2/2019 $50,152,751.80 110.58 -12.41 75.57 35 35
1/2/2020 $72,755,357.89 76.18 -28.72 82.98 11 11
All Trades
Starting Capital $10,000.00
Ending Capital $168,261,044.71
Net Profit $168,251,044.71
Net Profit % 1682510.45%
Annualized Gain % 130.96%
Exposure 79.77%
Total Commission $0.00
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 467
Average Profit $360,280.61
Average Profit % 2.26%
Average Bars Held 6.02
Winning Trades 295
Win Rate 63.17%
Gross Profit $250,280,294.52
Average Profit $848,407.78
Average Profit % 5.00%
Average Bars Held 7.09
Max Consecutive Winners 9
Losing Trades 172
Loss Rate 36.83%
Gross Loss ($82,029,249.81)
Average Loss ($476,914.24)
Average Loss % -2.44%
Average Bars Held 4.17
Max Consecutive Losses 5
Maximum Drawdown ($34,543,470.35)
Maximum Drawdown Date 3/20/2020
Maximum Drawdown % -28.72%
Maximum Drawdown % Date 3/20/2020
Wealth-Lab Score 117.01
Sharpe Ratio 2.31
Profit Factor 3.05
Recovery Factor 4.87
Payoff Ratio 2.05
Profit / Total Bars $57,482.42

BACKTEST RESULTS OF THE “NEW” SYSTEM (CURRENT SYSTEM AFTER SOME MODFICIATION)
IF ALL TRADES WERE TAKEN WITH 100% QQQ and 100% PSQ (Replace 3x and 2x ETFs with 1x ETF)

Period Starting Return Return % Max DD % Exposure % Entries Exits
12/2/2008 $1,167.50 11.68 -7.05 83.96 6 6
1/2/2009 $20,568.99 184.19 -5.39 91.37 44 43
1/4/2010 $47,305.62 149.06 -3.09 83.83 42 42
1/3/2011 $24,331.48 30.78 -10.96 66.25 56 56
1/3/2012 $74,226.32 71.8 -4.93 80.5 47 48
1/2/2013 $51,268.71 28.87 -4.44 86.34 27 26
1/2/2014 $55,616.64 24.3 -5.74 82.5 46 47
1/2/2015 $137,130.18 48.2 -5.16 77.42 45 44
1/4/2016 $96,044.73 22.78 -6.91 77.6 40 40
1/3/2017 $122,067.35 23.58 -6.49 84.19 24 24
1/2/2018 $178,248.65 27.86 -12.66 78.91 44 44
1/2/2019 $387,912.72 47.42 -6.35 76.04 35 35
1/2/2020 $439,232.03 36.42 -14.53 82.05 11 11
All Trades
Starting Capital $10,000.00
Ending Capital $1,645,120.93
Net Profit $1,635,120.93
Net Profit % 16351.21%
Annualized Gain % 55.11%
Exposure 79.68%
Total Commission $0.00
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 467
Average Profit $3,501.33
Average Profit % 1.14%
Average Bars Held 6.02
Winning Trades 296
Win Rate 63.38%
Gross Profit $2,470,045.25
Average Profit $8,344.75
Average Profit % 2.49%
Average Bars Held 7.08
Max Consecutive Winners 9
Losing Trades 171
Loss Rate 36.62%
Gross Loss ($834,924.32)
Average Loss ($4,882.60)
Average Loss % -1.20%
Average Bars Held 4.18
Max Consecutive Losses 5
Maximum Drawdown ($197,806.66)
Maximum Drawdown Date 3/23/2020
Maximum Drawdown % -14.53%
Maximum Drawdown % Date 3/23/2020
Wealth-Lab Score 59.12
Sharpe Ratio 2.38
Profit Factor 2.96
Recovery Factor 8.27
Payoff Ratio 2.07
Profit / Total Bars $558.63
2

10k into $455 million. So why are you here?

Not trolling, A serious question

3 Likes
3

We are dealing with real money here (At least I am) so every question to me is a real question. No problem if you are trolling.

First and foremost, the growth of the money is due to compounding effect. I know a colleague whose parent invested with Warren Buffett when he first stated and they have accumulated good chunk of change.

Will the system do as well in the next 12 years as the test shows over the last 12 years? I really doubt it. In fact, I am sure it wont. But that does not negate the value of the system.

I am not here to make few bucks off the subscribers. I am hoping to share a system which will in 2-3 years will give an option to few people to preserve capital.

I also am not trying to build pie in the sky. I have been following my work on timer track since Oct 2015. Here is the result from timertrac on one of my systems which trades 1x or 2x ETF (No 3x ETF). That system is only one of the 10 similar systems I use to generate final AlphaQ signal.

	Nas 100		My System

Annual Returns
Part Year 2015 -0.81 6.09
Year 2016 5.89 38.8
Year 2017 31.52 71.49
Year 2018 -1.03 21.46
Year 2019 37.96 40.46
YTD 2020 21.9 23.8
Total Returns
Total Return 129.88 433.26
Ann Return 19.25 42.47
Best Quarter 29.99 29.78
Worst Quarter -17.02 -15.78

So why do the backtest or share it. Because it is better for subscribers than following black box systems blindly.

For example, I am providing lots of the metrics which every individual should think about before putting a penny in my system. E.g. maximum consecutive losses. Personally, that metric shakes me up in live trading. My system I believe shoes 5 consecutive losses. That means, to make 10K into $455 million will require you to keep reinvesting even if the system loses money, time after time, upto 5-6 times in a row. Can I or subs do it? I can now do it because I have paid the price for not riding through bad times. But, if someone wants to follow my system, they need to have that resolve right from the start. Otherwise, don’t waste your money.

Forget the compunding. One should look at the worst year. I think it was ~50% in the backtest. Then think that if the worst year in the back test was 50%, could future bring at least 20-25% annualized return in live trading. Put that against max DD of ~18%. Lets say in real life you have twice that much. That means that the system could only do 20-25% annualized return with max DD of 35%. Can you be happy with that? I would be. Providing back teast results alows people to decide if the system is suitable for them.

As my one of the few past posts stated, I am moving forward with very humbe and reasonable expectations… Beat income startegy during any three year period and hopefully beat indices during any three year period.

I see you and several others have VIX based systems. I do too. Those show even astronomical results in back tests and real life. My systems have geberated 200-300% in forward test (meaning real time-live), although I never traded it with any serious money. After a huge VXX debacle few years ago, I have lost all courage to chase high returns with VIX based ETF although VIX contango and backwardation are in the code for my AlphaQ system.

Finally, I have had people email with another important question. “If you claim to trade your own system, why not have TOS for AlphaQ”. Answer: I plan to because I believe it lowers C2 fees for me, allows people to put it on autotrde and it adds legitimacy of the system. However, all my accounts are under living trust and to start any new account is a huge pain. That being said, I intend to switch to the TOS. Meanwhile, I am fine without more subs.

At the end, I really don’t know if the AlphaQ System will do well or not. But I do feel that it has as good a chance at any system on C2. I am not being arrogant. I really do believe that.

Everyone, please what I do about my own systems… If you have doubts about AlphaQ System, do not trade it. Frequently, the portfolio fails because we do not take all trades. Subscribe only if you will take all trades. Decide on the dollar amount you are really willing to lose. Then do not start with more than double of that.

Best to all.

2 Likes
4

Why no TOS? Just curious - would be a good way to get some subscribers.

2 Likes
5

I have been asked this question several times. If I understand correctly, it will allow me to keep greater % of subscription fee, create legitimacy and increase subscription. The problem, not insurmountable though, is that My account has to be opened under living trust. Starting a new account has been a pain in the past. But I am thinking about taking a dive and start the process. There is really no other reason. I think I will start looking into it.
Thanks.