Below you will find the Performance Summary of a $10,000 Investment Compounded over Ten Years of the model ETF Pairs Arbitrage. The model is allocated based on 97% of Equity so that on close a market order is submitted to arbitrage either QID and QLD:

All Trades Long Trades Short Trades Benchmark Buy & Hold (QQQ)
Starting Capital $10,000.00 $10,000.00 $10,000.00 $10,000.00
Ending Capital $748,879.70 $748,879.70 $10,009.99 $29,123.63
Net Profit $738,879.70 $738,879.70 $9.99 $19,123.63
Net Profit % 7,388.80% 7,388.80% 0.10% 191.24%
Annualized Gain % 54.04% 54.04% 0.01% 11.29%
Exposure 65.75% 65.75% 0.00% 97.02%
Total Commission ($1,383.30) ($1,383.30) $0.00 ($7.95)
Return on Cash $58.74 $58.74 $9.99 $0.51
Margin Interest Paid $0.00 $0.00 $0.00 $0.00
Dividends Received $3,190.07 $3,190.07 $0.00 $1,618.03

Number of Trades 87 87 0 1
Average Profit $8,492.87 $8,492.87 $0.00 $19,123.63
Average Profit % 5.62% 5.62% 0.00% 175.78%
Average Bars Held 19.64 19.64 0.00 2,515.00

Winning Trades 68 68 0 1
Win Rate 78.16% 78.16% 0.00% 100.00%
Gross Profit $871,984.86 $871,984.86 $0.00 $17,505.09
Average Profit $12,823.31 $12,823.31 $0.00 $17,505.09
Average Profit % 8.84% 8.84% 0.00% 175.78%
Average Bars Held 18.43 18.43 0.00 2,515.00
Max Consecutive Winners 13 13 0 1

Losing Trades 19 19 0 0
Loss Rate 21.84% 21.84% 0.00% 0.00%
Gross Loss ($136,353.98) ($136,353.98) $0.00 $0.00
Average Loss ($7,176.53) ($7,176.53) $0.00 $0.00
Average Loss % -5.89% -5.89% 0.00% 0.00%
Average Bars Held 24.00 24.00 0.00 0.00
Max Consecutive Losses 3 3 0 0

Maximum Drawdown ($85,823.63) ($85,823.63) $0.00 ($7,564.99)
Maximum Drawdown Date 1/20/2016 1/20/2016 6/21/2006 11/20/2008
Maximum Drawdown % -32.98% -32.98% 0.00% -53.00%
Maximum Drawdown % Date 10/27/2008 10/27/2008 6/18/2016 11/20/2008

Wealth-Lab Score 55.08 55.08 0.00 5.47
Sharpe Ratio 1.61 1.61 0.00 0.69
Profit Factor 6.40 6.40 0.00 ∞
Recovery Factor 8.61 8.61 ∞ 2.53
Payoff Ratio 1.50 1.50 0.00 0.00
Profit / Total Bars $293.67 $293.67 $0.00 $7.60





The model that can be used to gain extra leverage and increased return by substituting QLD trades with TQQQ and QID trades with SQQQ with the same $10,000 Investment using a 1.5 Margin Factor which approximates the 3x Leverage in these alternative instruments is below:

All Trades Long Trades Short Trades Benchmark Buy & Hold (QQQ)
Starting Capital $10,000.00 $10,000.00 $10,000.00 $10,000.00
Ending Capital $5,777,912.43 $5,777,912.43 $10,009.99 $37,951.72
Net Profit $5,767,912.43 $5,767,912.43 $9.99 $27,951.72
Net Profit % 57,679.12% 57,679.12% 0.10% 279.52%
Annualized Gain % 88.99% 88.99% 0.01% 14.28%
Exposure 100.22% 100.22% 0.00% 123.94%
Total Commission ($1,383.30) ($1,383.30) $0.00 ($7.95)
Return on Cash $273.82 $273.82 $9.99 $0.00
Margin Interest Paid ($54,904.63) ($54,904.63) $0.00 ($959.39)
Dividends Received $23,199.12 $23,199.12 $0.00 $2,445.86

Number of Trades 87 87 0 1
Average Profit $66,297.84 $66,297.84 $0.00 $27,951.72
Average Profit % 5.74% 5.74% 0.00% 175.80%
Average Bars Held 19.63 19.63 0.00 2,515.00

Winning Trades 68 68 0 1
Win Rate 78.16% 78.16% 0.00% 100.00%
Gross Profit $6,822,456.08 $6,822,456.08 $0.00 $26,465.25
Average Profit $100,330.24 $100,330.24 $0.00 $26,465.25
Average Profit % 8.98% 8.98% 0.00% 175.80%
Average Bars Held 18.41 18.41 0.00 2,515.00
Max Consecutive Winners 13 13 0 1

Losing Trades 19 19 0 0
Loss Rate 21.84% 21.84% 0.00% 0.00%
Gross Loss ($1,023,111.96) ($1,023,111.96) $0.00 $0.00
Average Loss ($53,848.00) ($53,848.00) $0.00 $0.00
Average Loss % -5.87% -5.87% 0.00% 0.00%
Average Bars Held 24.00 24.00 0.00 0.00
Max Consecutive Losses 3 3 0 0

Maximum Drawdown ($948,672.79) ($948,672.79) $0.00 ($11,543.33)
Maximum Drawdown Date 1/20/2016 1/20/2016 6/21/2006 11/20/2008
Maximum Drawdown % -46.44% -46.44% 0.00% -70.70%
Maximum Drawdown % Date 10/27/2008 10/27/2008 6/18/2016 11/20/2008

Wealth-Lab Score 47.56 47.56 0.00 3.38
Sharpe Ratio 1.63 1.63 0.00 0.65
Profit Factor 6.67 6.67 0.00 ∞
Recovery Factor 6.08 6.08 ∞ 2.42
Payoff Ratio 1.53 1.53 0.00 0.00
Profit / Total Bars $2,292.49 $2,292.49 $0.00 $11.11


Now, the model below uses TQQQ and SQQQ for the same substitution of QID and QLD trades, but uses the maximum allowable equity of 133% as stated at Fidelity Investments for a 75% Margin:

All Trades Long Trades Short Trades Benchmark Buy & Hold (QQQ)
Starting Capital $10,000.00 $10,000.00 $10,000.00 $10,000.00
Ending Capital $125,469,217.14 $125,469,217.14 $10,009.99 $53,812.51
Net Profit $125,459,217.14 $125,459,217.14 $9.99 $43,812.51
Net Profit % 1,254,592.17% 1,254,592.17% 0.10% 438.13%
Annualized Gain % 157.19% 157.19% 0.01% 18.35%
Exposure 163.25% 163.25% 0.00% 156.49%
Total Commission ($1,383.30) ($1,383.30) $0.00 ($7.95)
Return on Cash $3,715.04 $3,715.04 $9.99 $0.00
Margin Interest Paid ($2,321,037.33) ($2,321,037.33) $0.00 ($2,894.95)
Dividends Received $569,925.11 $569,925.11 $0.00 $3,951.01

Number of Trades 87 87 0 1
Average Profit $1,442,059.97 $1,442,059.97 $0.00 $43,812.51
Average Profit % 5.75% 5.75% 0.00% 175.82%
Average Bars Held 19.63 19.63 0.00 2,515.00

Winning Trades 68 68 0 1
Win Rate 78.16% 78.16% 0.00% 100.00%
Gross Profit $151,809,746.47 $151,809,746.47 $0.00 $42,756.45
Average Profit $2,232,496.27 $2,232,496.27 $0.00 $42,756.45
Average Profit % 8.99% 8.99% 0.00% 175.82%
Average Bars Held 18.41 18.41 0.00 2,515.00
Max Consecutive Winners 13 13 0 1

Losing Trades 19 19 0 0
Loss Rate 21.84% 21.84% 0.00% 0.00%
Gross Loss ($24,603,132.16) ($24,603,132.16) $0.00 $0.00
Average Loss ($1,294,901.69) ($1,294,901.69) $0.00 $0.00
Average Loss % -5.87% -5.87% 0.00% 0.00%
Average Bars Held 24.00 24.00 0.00 0.00
Max Consecutive Losses 3 3 0 0

Maximum Drawdown ($32,970,121.17) ($32,970,121.17) $0.00 ($18,780.51)
Maximum Drawdown Date 5/5/2016 5/5/2016 6/21/2006 11/20/2008
Maximum Drawdown % -68.87% -68.87% 0.00% -93.63%
Maximum Drawdown % Date 8/19/2011 8/19/2011 6/18/2016 11/20/2008

Wealth-Lab Score 29.98 29.98 0.00 0.75
Sharpe Ratio 1.61 1.61 0.00 0.59
Profit Factor 6.17 6.17 0.00 ∞
Recovery Factor 3.81 3.81 ∞ 2.33
Payoff Ratio 1.53 1.53 0.00 0.00
Profit / Total Bars $49,864.55 $49,864.55 $0.00 $17.41


So if you had $32,500 to invest, these would be the approximate returns you'd earn not counting my monthly subscription fees which are negligible compared to the absolute return:

All Trades Long Trades Short Trades Benchmark Buy & Hold (QQQ)
Starting Capital $32,500.00 $32,500.00 $32,500.00 $32,500.00
Ending Capital $414,264,682.16 $414,264,682.16 $32,532.48 $175,077.68
Net Profit $414,232,182.16 $414,232,182.16 $32.48 $142,577.68
Net Profit % 1,274,560.56% 1,274,560.56% 0.10% 438.70%
Annualized Gain % 157.59% 157.59% 0.01% 18.36%
Exposure 163.26% 163.26% 0.00% 156.53%
Total Commission ($1,383.30) ($1,383.30) $0.00 ($7.95)
Return on Cash $12,265.87 $12,265.87 $32.48 $0.00
Margin Interest Paid ($7,663,355.94) ($7,663,355.94) $0.00 ($9,424.83)
Dividends Received $1,881,600.78 $1,881,600.78 $0.00 $12,856.45

Number of Trades 87 87 0 1
Average Profit $4,761,289.45 $4,761,289.45 $0.00 $142,577.68
Average Profit % 5.75% 5.75% 0.00% 175.84%
Average Bars Held 19.63 19.63 0.00 2,515.00

Winning Trades 68 68 0 1
Win Rate 78.16% 78.16% 0.00% 100.00%
Gross Profit $501,231,722.80 $501,231,722.80 $0.00 $139,146.05
Average Profit $7,371,054.75 $7,371,054.75 $0.00 $139,146.05
Average Profit % 9.00% 9.00% 0.00% 175.84%
Average Bars Held 18.41 18.41 0.00 2,515.00
Max Consecutive Winners 13 13 0 1

Losing Trades 19 19 0 0
Loss Rate 21.84% 21.84% 0.00% 0.00%
Gross Loss ($81,230,051.35) ($81,230,051.35) $0.00 $0.00
Average Loss ($4,275,265.86) ($4,275,265.86) $0.00 $0.00
Average Loss % -5.87% -5.87% 0.00% 0.00%
Average Bars Held 24.00 24.00 0.00 0.00
Max Consecutive Losses 3 3 0 0

Maximum Drawdown ($108,858,212.96) ($108,858,212.96) $0.00 ($61,111.66)
Maximum Drawdown Date 5/5/2016 5/5/2016 6/21/2006 11/20/2008
Maximum Drawdown % -68.87% -68.87% 0.00% -93.66%
Maximum Drawdown % Date 8/19/2011 8/19/2011 6/18/2016 11/20/2008

Wealth-Lab Score 30.05 30.05 0.00 0.74
Sharpe Ratio 1.61 1.61 0.00 0.59
Profit Factor 6.17 6.17 0.00 ∞
Recovery Factor 3.81 3.81 ∞ 2.33
Payoff Ratio 1.53 1.53 0.00 0.00
Profit / Total Bars $164,639.18 $164,639.18 $0.01 $56.67

And with the Annual Returns Below, you should see that it is easy to compound up to these levels if you're more aggressive with the signals I give:

Period Starting Return Return % Max DD % Exposure % Entries Exits
6/22/2006 $32,754.04 100.78 -8.94 107.90 5 4
1/3/2007 $96,726.78 148.23 -42.79 135.54 10 10
1/2/2008 $479,366.05 295.94 -66.45 141.46 10 10
1/2/2009 $2,425,272.42 378.15 -45.74 164.51 9 9
1/4/2010 $749,162.73 24.43 -57.20 166.56 7 7
1/3/2011 $975,240.50 25.56 -68.87 160.60 8 8
1/3/2012 $5,518,370.61 115.18 -24.36 112.75 10 10
1/2/2013 $34,816,799.31 337.72 -16.36 160.20 9 9
1/2/2014 $38,109,039.66 84.45 -34.40 168.92 6 6
1/2/2015 $229,074,685.07 275.21 -19.50 156.08 8 9
1/4/2016 $101,954,764.98 32.65 -31.05 170.70 5 5


So that's the first ten years of my model that I started originally on collective2.com on March 21st, 2007 just eight months after QID and QLD became available to arbitrage and then onto Covestor.com, worldcupadvisor.com, and to its final home here on wealth-lab.com, where it belongs and will stay for as long as I am alive.