All Trades Benchmark Buy & Hold (TQQQ)
Starting Capital $100,000.00 $100,000.00
Ending Capital $8,455,456,569.70 $7,665,683.08
Net Profit $8,455,356,569.70 $7,565,683.08
Net Profit % 8455356.57% 7565.68%
Annualized Gain % 159.76% 44.07%
Exposure 177.92% 105.44%
Total Commission ($1,590.00) ($7.95)
Return on Cash $234,158.46 $36.45
Margin Interest Paid ($188,463,244.90) ($24,278.25)
Dividends Received $13,606,624.42 $928.41
Number of Trades 100 1
Average Profit $84,553,565.70 $7,565,683.08
Average Profit % 5.89% 3197.22%
Average Bars Held 20.98 2,075.00
Winning Trades 80 1
Win Rate 80.00% 100.00%
Gross Profit $9,394,121,001.13 $7,588,996.48
Average Profit $117,426,512.51 $7,588,996.48
Average Profit % 8.79% 3197.22%
Average Bars Held 20.05 2,075.00
Max Consecutive Winners 13 1
Losing Trades 20 0
Loss Rate 20.00% 0.00%
Gross Loss ($764,141,969.42) $0.00
Average Loss ($38,207,098.47) $0.00
Average Loss % -5.69% 0.00%
Average Bars Held 24.7 0
Max Consecutive Losses 3 0
Maximum Drawdown ($3,389,280,015.80) ($2,601,605.19)
Maximum Drawdown Date 4/2/2018 4/2/2018
Maximum Drawdown % -68.86% -68.31%
Maximum Drawdown % Date 8/19/2011 7/2/2010
Wealth-Lab Score 27.96 13.25
Sharpe Ratio 1.66 1.05
Profit Factor 12.29 ∞
Recovery Factor 2.49 2.91
Payoff Ratio 1.54 0
Profit / Total Bars $2,825,043.96 $2,527.79
Annually at max leverage in TQQQ and SQQQ:
Period Starting Return Return % Max DD % Exposure % Entries Exits
6/22/2006 $100,979.85 100.98 -8.94 107.92 5 4
1/3/2007 $298,391.44 148.47 -42.79 135.6 10 10
1/2/2008 $1,549,165.76 310.22 -66.45 140.11 10 10
1/2/2009 $7,747,650.71 378.2 -45.74 164.51 9 9
1/4/2010 $2,393,459.76 24.43 -57.2 166.56 7 7
1/3/2011 $3,115,932.05 25.56 -68.86 160.6 8 8
1/3/2012 $17,630,339.51 115.19 -24.36 112.75 10 10
1/2/2013 $111,231,711.16 337.72 -16.36 160.2 9 9
1/2/2014 $121,749,731.97 84.45 -34.4 168.92 6 6
1/2/2015 $731,841,550.32 275.21 -19.5 156.08 8 9
1/4/2016 $1,399,098,337.85 140.22 -31.05 187 9 8
1/3/2017 $4,073,585,796.76 169.96 -21.65 172.86 5 6
1/2/2018 $1,985,013,522.58 30.68 -38.92 187.18 4 4
As of 5/11/2018 here is what the current backtest shows for the 97% of equity allocation between QID and QLD:
All Trades Benchmark Buy & Hold (TQQQ)
Starting Capital $100,000.00 $100,000.00
Ending Capital $18,205,182.74 $3,210,566.47
Net Profit $18,105,182.74 $3,110,566.47
Net Profit % 18105.18% 3110.57%
Annualized Gain % 54.94% 33.89%
Exposure 71.44% 94.62%
Total Commission ($1,590.00) ($7.95)
Return on Cash $1,232.38 $38.85
Margin Interest Paid $0.00 $0.00
Dividends Received $47,977.69 $380.48
Number of Trades 100 1
Average Profit $181,051.83 $3,110,566.47
Average Profit % 5.81% 3197.22%
Average Bars Held 20.99 2,075.00
Winning Trades 80 1
Win Rate 80.00% 100.00%
Gross Profit $19,928,877.22 $3,110,147.14
Average Profit $249,110.97 $3,110,147.14
Average Profit % 8.68% 3197.22%
Average Bars Held 20.06 2,075.00
Max Consecutive Winners 13 1
Losing Trades 20 0
Loss Rate 20.00% 0.00%
Gross Loss ($1,872,904.55) $0.00
Average Loss ($93,645.23) $0.00
Average Loss % -5.69% 0.00%
Average Bars Held 24.7 0
Max Consecutive Losses 3 0
Maximum Drawdown ($2,859,139.70) ($1,066,125.08)
Maximum Drawdown Date 4/2/2018 4/2/2018
Maximum Drawdown % -32.98% -44.42%
Maximum Drawdown % Date 10/27/2008 2/9/2016
Wealth-Lab Score 51.55 19.91
Sharpe Ratio 1.68 1.16
Profit Factor 10.64 ∞
Recovery Factor 6.33 2.92
Payoff Ratio 1.53 0
Profit / Total Bars $6,049.18 $1,039.28
Annually:
Period Starting Return Return % Max DD % Exposure % Entries Exits
6/22/2006 $35,662.39 35.66 -4.12 42.91 5 4
1/3/2007 $67,336.75 49.64 -17.82 54.7 10 10
1/2/2008 $225,618.85 111.14 -32.98 62.92 10 10
1/2/2009 $449,597.37 104.89 -19.93 68.4 9 9
1/4/2010 $132,453.76 15.08 -26.77 68.56 7 7
1/3/2011 $70,283.41 6.95 -30.52 66.75 8 8
1/3/2012 $436,941.23 40.42 -9.99 46.71 10 10
1/2/2013 $1,397,902.60 92.09 -6.62 66.59 9 9
1/2/2014 $912,489.50 31.29 -15.85 72.75 6 6
1/2/2015 $3,147,030.36 82.2 -8.31 63.77 8 9
1/4/2016 $3,389,831.21 48.6 -12.93 77.68 9 8
1/3/2017 $5,811,454.54 56.07 -9.62 74.89 5 6
1/2/2018 $2,028,580.76 12.54 -15.97 70.38 4 4
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