Collective2 Collective2
Featured Strategy Cryptoverse +50.9% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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.
(51254521)

Created by: BC2 BC2
Started: 07/2010
Forex
Last trade: 5,008 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
106
Num Trades
93.4%
Win Trades
0.6 : 1
Profit Factor
3.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                          (0.1%)+16.9%+28.7%+9.5%+5.7%+12.3%+95.4%
2011(40.2%)+19.5%(140.5%)(22.6%)  -    -    -    -    -    -    -    -  (135.5%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -  (0.1%)  -    -    -  -
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by one hour.

Trading Record

This strategy has placed 410 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/17/11 20:09 EUR/JPY EUR/JPY SHORT 1,100 114.317 4/7 17:45 116.081 488.85%
Trade id #58899949
Max drawdown($228,172)
Time4/7/11 17:45
Quant open1,056
Worst price121.603
Drawdown as % of equity488.85%
 ($228,162)
3/16/11 19:39 EUR/JPY EUR/JPY SHORT 375 109.898 3/16 20:31 109.637 n/a $12,336
3/14/11 23:26 EUR/JPY EUR/JPY SHORT 150 113.961 3/14 23:35 113.808 n/a $2,813
3/3/11 12:46 EUR/JPY EUR/JPY SHORT 450 115.360 3/4 11:12 115.242 1.23%
Trade id #58380538
Max drawdown($1,947)
Time3/3/11 15:43
Quant open-150
Worst price115.012
Drawdown as % of equity-1.23%
 $6,407
2/25/11 10:48 EUR/JPY EUR/JPY LONG 150 112.419 2/25 12:03 112.495 1.33%
Trade id #58168609
Max drawdown($2,091)
Time2/25/11 11:11
Quant open150
Worst price112.305
Drawdown as % of equity-1.33%
 $1,395
2/24/11 4:29 EUR/JPY EUR/JPY SHORT 300 112.759 2/24 7:03 112.584 n/a $6,416
2/10/11 4:58 EUR/JPY EUR/JPY LONG 300 112.707 2/10 6:56 112.838 n/a $4,750
2/4/11 12:14 EUR/JPY EUR/JPY SHORT 300 111.647 2/7 8:39 111.415 10.75%
Trade id #57567617
Max drawdown($14,835)
Time2/4/11 12:52
Quant open-300
Worst price112.054
Drawdown as % of equity-10.75%
 $8,456
2/4/11 9:47 EUR/JPY EUR/JPY LONG 200 110.995 2/4 11:01 111.114 4.29%
Trade id #57559802
Max drawdown($5,854)
Time2/4/11 10:01
Quant open200
Worst price110.755
Drawdown as % of equity-4.29%
 $2,903
2/4/11 9:39 EUR/JPY EUR/JPY LONG 200 111.010 2/4 9:44 111.004 1.22%
Trade id #57559055
Max drawdown($1,662)
Time2/4/11 9:42
Quant open200
Worst price110.942
Drawdown as % of equity-1.22%
 ($147)
2/2/11 9:40 EUR/JPY EUR/JPY SHORT 275 112.459 2/3 6:50 112.433 7.73%
Trade id #57465649
Max drawdown($10,200)
Time2/2/11 10:46
Quant open-275
Worst price112.762
Drawdown as % of equity-7.73%
 $875
1/28/11 11:24 EUR/JPY EUR/JPY LONG 275 112.064 1/28 15:21 111.788 13.16%
Trade id #57303512
Max drawdown($19,055)
Time1/28/11 12:03
Quant open275
Worst price111.495
Drawdown as % of equity-13.16%
 ($9,243)
1/28/11 9:04 EUR/JPY EUR/JPY SHORT 200 112.763 1/28 10:01 112.668 1.7%
Trade id #57293137
Max drawdown($2,397)
Time1/28/11 9:46
Quant open-200
Worst price112.862
Drawdown as % of equity-1.70%
 $2,317
1/27/11 12:19 EUR/JPY EUR/JPY LONG 100 113.671 1/27 12:30 113.728 0.07%
Trade id #57261769
Max drawdown($96)
Time1/27/11 12:21
Quant open100
Worst price113.663
Drawdown as % of equity-0.07%
 $687
1/27/11 11:00 EUR/JPY EUR/JPY SHORT 100 113.787 1/27 11:44 113.698 0.24%
Trade id #57257296
Max drawdown($337)
Time1/27/11 11:06
Quant open-100
Worst price113.815
Drawdown as % of equity-0.24%
 $1,072
1/26/11 14:48 EUR/JPY EUR/JPY SHORT 100 112.858 1/26 15:04 112.812 0.23%
Trade id #57220260
Max drawdown($328)
Time1/26/11 14:51
Quant open-100
Worst price112.885
Drawdown as % of equity-0.23%
 $560
1/26/11 10:15 EUR/JPY EUR/JPY LONG 100 112.530 1/26 10:44 112.614 0.81%
Trade id #57204425
Max drawdown($1,119)
Time1/26/11 10:23
Quant open100
Worst price112.438
Drawdown as % of equity-0.81%
 $1,022
1/21/11 11:03 EUR/JPY EUR/JPY SHORT 100 112.297 1/21 11:19 112.195 0.07%
Trade id #57043698
Max drawdown($96)
Time1/21/11 11:05
Quant open-100
Worst price112.305
Drawdown as % of equity-0.07%
 $1,234
1/20/11 9:58 EUR/JPY EUR/JPY SHORT 250 111.544 1/20 10:41 111.440 3.84%
Trade id #56991265
Max drawdown($5,050)
Time1/20/11 10:09
Quant open-250
Worst price111.712
Drawdown as % of equity-3.84%
 $3,141
1/18/11 9:44 EUR/JPY EUR/JPY SHORT 175 110.969 1/18 10:53 110.820 2.94%
Trade id #56888625
Max drawdown($3,843)
Time1/18/11 10:31
Quant open-175
Worst price111.151
Drawdown as % of equity-2.94%
 $3,163
1/18/11 9:12 EUR/JPY EUR/JPY LONG 100 110.393 1/18 9:21 110.651 n/a $3,127
1/14/11 2:53 EUR/JPY EUR/JPY SHORT 275 110.591 1/14 9:07 110.543 n/a $1,588
1/13/11 19:42 EUR/JPY EUR/JPY SHORT 200 110.363 1/13 20:56 110.294 n/a $1,680
1/13/11 11:24 EUR/JPY EUR/JPY SHORT 300 110.455 1/13 19:11 110.438 6.31%
Trade id #56770302
Max drawdown($7,684)
Time1/13/11 13:18
Quant open-300
Worst price110.667
Drawdown as % of equity-6.31%
 $616
1/13/11 10:32 EUR/JPY EUR/JPY SHORT 228 110.425 1/13 11:11 110.245 1.18%
Trade id #56767540
Max drawdown($1,418)
Time1/13/11 10:46
Quant open-228
Worst price110.477
Drawdown as % of equity-1.18%
 $4,972
1/13/11 10:26 EUR/JPY EUR/JPY LONG 114 110.493 1/13 10:31 110.418 0.89%
Trade id #56767206
Max drawdown($1,072)
Time1/13/11 10:30
Quant open114
Worst price110.415
Drawdown as % of equity-0.89%
 ($1,031)
1/12/11 9:42 EUR/JPY EUR/JPY SHORT 1,200 109.221 1/13 10:26 109.895 78.2%
Trade id #56717743
Max drawdown($97,701)
Time1/13/11 10:26
Quant open814
Worst price110.492
Drawdown as % of equity-78.20%
 ($97,701)
1/11/11 11:11 EUR/JPY EUR/JPY SHORT 250 108.165 1/11 12:38 108.048 1.18%
Trade id #56680039
Max drawdown($2,526)
Time1/11/11 11:53
Quant open-150
Worst price108.260
Drawdown as % of equity-1.18%
 $3,523
1/7/11 11:46 EUR/JPY EUR/JPY LONG 425 107.210 1/7 13:26 107.287 6.57%
Trade id #56583481
Max drawdown($13,491)
Time1/7/11 12:48
Quant open325
Worst price106.934
Drawdown as % of equity-6.57%
 $3,963
1/5/11 13:21 EUR/JPY EUR/JPY SHORT 75 109.546 1/5 14:19 109.536 0.12%
Trade id #56494342
Max drawdown($252)
Time1/5/11 13:41
Quant open-75
Worst price109.574
Drawdown as % of equity-0.12%
 $90
Next

Statistics

  • Strategy began
    7/20/2010
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5262.14
  • Age
    176 months ago
  • What it trades
    Forex
  • # Trades
    106
  • # Profitable
    99
  • % Profitable
    93.40%
  • Avg trade duration
    7.1 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 31, 2011 - Sept 18, 2014
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $1,929
  • Avg loss
    $48,200
  • Model Account Values (Raw)
  • Cash
    ($46,395)
  • Margin Used
    $0
  • Buying Power
    ($46,395)
  • Ratios
  • W:L ratio
    0.57:1
  • Sharpe Ratio
    -1.16
  • Sortino Ratio
    -1.21
  • Calmar Ratio
    -0.948
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -254.10%
  • Correlation to SP500
    -0.08020
  • Return Percent SP500 (cumu) during strategy life
    447.44%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $48,200
  • Avg Win
    $1,929
  • Sum Trade PL (losers)
    $337,400.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $191,007.000
  • # Winners
    99
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    7
  • % Winners
    93.4%
  • Frequency
  • Avg Position Time (mins)
    423.92
  • Avg Position Time (hrs)
    7.07
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    5001
  • Regression
  • Alpha
    0.00
  • Beta
    -0.60
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    97.55
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    99.26
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    9.90
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.16
  • Avg(MAE) / Avg(PL) - All trades
    -4.175
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    2.602
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.039
  • Hold-and-Hope Ratio
    -0.240
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15364
  • SD
    0.84278
  • Sharpe ratio (Glass type estimate)
    -0.18231
  • Sharpe ratio (Hedges UMVUE)
    -0.17628
  • df
    23.00000
  • t
    -0.25782
  • p
    0.60058
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20654
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21055
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20411
  • Upside Potential Ratio
    0.70990
  • Upside part of mean
    0.53438
  • Downside part of mean
    -0.68803
  • Upside SD
    0.34062
  • Downside SD
    0.75275
  • N nonnegative terms
    7.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.31442
  • Mean of criterion
    -0.15364
  • SD of predictor
    0.20388
  • SD of criterion
    0.84278
  • Covariance
    -0.01945
  • r
    -0.11318
  • b (slope, estimate of beta)
    -0.46785
  • a (intercept, estimate of alpha)
    -0.00654
  • Mean Square Error
    0.73306
  • DF error
    22.00000
  • t(b)
    -0.53430
  • p(b)
    0.70075
  • t(a)
    -0.00983
  • p(a)
    0.50388
  • Lowerbound of 95% confidence interval for beta
    -2.28381
  • Upperbound of 95% confidence interval for beta
    1.34810
  • Lowerbound of 95% confidence interval for alpha
    -1.38583
  • Upperbound of 95% confidence interval for alpha
    1.37274
  • Treynor index (mean / b)
    0.32840
  • Jensen alpha (a)
    -0.00654
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.76641
  • SD
    8.54003
  • Sharpe ratio (Glass type estimate)
    -0.67522
  • Sharpe ratio (Hedges UMVUE)
    -0.65292
  • df
    23.00000
  • t
    -0.95491
  • p
    0.82522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.06750
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73133
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.05161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74577
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67689
  • Upside Potential Ratio
    0.05687
  • Upside part of mean
    0.48451
  • Downside part of mean
    -6.25092
  • Upside SD
    0.30238
  • Downside SD
    8.51897
  • N nonnegative terms
    7.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.29123
  • Mean of criterion
    -5.76641
  • SD of predictor
    0.19867
  • SD of criterion
    8.54003
  • Covariance
    -0.20066
  • r
    -0.11827
  • b (slope, estimate of beta)
    -5.08363
  • a (intercept, estimate of alpha)
    -4.28593
  • Mean Square Error
    75.18080
  • DF error
    22.00000
  • t(b)
    -0.55863
  • p(b)
    0.70897
  • t(a)
    -0.64167
  • p(a)
    0.73614
  • Lowerbound of 95% confidence interval for beta
    -23.95610
  • Upperbound of 95% confidence interval for beta
    13.78880
  • Lowerbound of 95% confidence interval for alpha
    -18.13810
  • Upperbound of 95% confidence interval for alpha
    9.56621
  • Treynor index (mean / b)
    1.13431
  • Jensen alpha (a)
    -4.28593
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98928
  • Expected Shortfall on VaR
    0.99489
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.16043
  • Expected Shortfall on VaR
    0.35586
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.04806
  • Maximum
    1.35268
  • Mean of quarter 1
    0.77301
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00752
  • Mean of quarter 4
    1.17158
  • Inter Quartile Range
    0.04806
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.31903
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.25022
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.18217
  • VaR(95%) (regression method)
    0.63072
  • Expected Shortfall (regression method)
    1.19283
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99999
  • Quartile 1
    0.99999
  • Median
    0.99999
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.50000
  • Compounded annual return (geometric extrapolation)
    -0.99684
  • Calmar ratio (compounded annual return / max draw down)
    -0.99684
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00195
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.94455
  • SD
    1.00314
  • Sharpe ratio (Glass type estimate)
    -0.94159
  • Sharpe ratio (Hedges UMVUE)
    -0.94060
  • df
    711.00000
  • t
    -1.35464
  • p
    0.91202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30451
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.42194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30382
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42262
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.97293
  • Upside Potential Ratio
    0.96964
  • Upside part of mean
    0.94136
  • Downside part of mean
    -1.88590
  • Upside SD
    0.25485
  • Downside SD
    0.97083
  • N nonnegative terms
    88.00000
  • N negative terms
    624.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    712.00000
  • Mean of predictor
    0.31009
  • Mean of criterion
    -0.94455
  • SD of predictor
    0.21835
  • SD of criterion
    1.00314
  • Covariance
    -0.00201
  • r
    -0.00919
  • b (slope, estimate of beta)
    -0.04223
  • a (intercept, estimate of alpha)
    16572.50000
  • Mean Square Error
    1.00762
  • DF error
    710.00000
  • t(b)
    -0.24492
  • p(b)
    0.59670
  • t(a)
    -1.33108
  • p(a)
    0.90821
  • Lowerbound of 95% confidence interval for beta
    -0.38072
  • Upperbound of 95% confidence interval for beta
    0.29627
  • Lowerbound of 95% confidence interval for alpha
    -2.30533
  • Upperbound of 95% confidence interval for alpha
    0.44242
  • Treynor index (mean / b)
    22.36870
  • Jensen alpha (a)
    -0.93145
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.57237
  • SD
    6.79703
  • Sharpe ratio (Glass type estimate)
    -0.81983
  • Sharpe ratio (Hedges UMVUE)
    -0.81896
  • df
    711.00000
  • t
    -1.17946
  • p
    0.88070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18258
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54405
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.82012
  • Upside Potential Ratio
    0.13409
  • Upside part of mean
    0.91108
  • Downside part of mean
    -6.48346
  • Upside SD
    0.24167
  • Downside SD
    6.79460
  • N nonnegative terms
    88.00000
  • N negative terms
    624.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    712.00000
  • Mean of predictor
    0.28618
  • Mean of criterion
    -5.57237
  • SD of predictor
    0.21821
  • SD of criterion
    6.79703
  • Covariance
    0.00564
  • r
    0.00380
  • b (slope, estimate of beta)
    0.11849
  • a (intercept, estimate of alpha)
    -5.60628
  • Mean Square Error
    46.26400
  • DF error
    710.00000
  • t(b)
    0.10136
  • p(b)
    0.45965
  • t(a)
    -1.18285
  • p(a)
    0.88137
  • Lowerbound of 95% confidence interval for beta
    -2.17660
  • Upperbound of 95% confidence interval for beta
    2.41358
  • Lowerbound of 95% confidence interval for alpha
    -14.91170
  • Upperbound of 95% confidence interval for alpha
    3.69910
  • Treynor index (mean / b)
    -47.02960
  • Jensen alpha (a)
    -5.60628
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.46151
  • Expected Shortfall on VaR
    0.53394
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01749
  • Expected Shortfall on VaR
    0.04008
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    712.00000
  • Minimum
    0.00006
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.19656
  • Mean of quarter 1
    0.97817
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01096
  • Inter Quartile Range
    0.00000
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.05337
  • Mean of outliers low
    0.89775
  • Number of outliers high
    92.00000
  • Percentage of outliers high
    0.12921
  • Mean of outliers high
    1.02121
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.20140
  • VaR(95%) (moments method)
    -0.00001
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.86160
  • VaR(95%) (regression method)
    -0.00117
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00160
  • Median
    0.01396
  • Quartile 3
    0.04268
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00001
  • Mean of quarter 2
    0.00764
  • Mean of quarter 3
    0.02864
  • Mean of quarter 4
    0.33001
  • Inter Quartile Range
    0.04108
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.58770
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.87246
  • VaR(95%) (moments method)
    0.27675
  • Expected Shortfall (moments method)
    2.45422
  • Extreme Value Index (regression method)
    1.85698
  • VaR(95%) (regression method)
    0.64168
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.48314
  • Compounded annual return (geometric extrapolation)
    -0.99616
  • Calmar ratio (compounded annual return / max draw down)
    -0.99616
  • Compounded annual return / average of 25% largest draw downs
    -3.01855
  • Compounded annual return / Expected Shortfall lognormal
    -1.86569
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.76220
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.21524
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.73844
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.21455
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -21886600000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.62500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    152513999999999995851131116847104.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    1267
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2010-07-20
Suggested Minimum Capital
$100,000
# Trades
106
# Profitable
99
% Profitable
93.4%
Correlation S&P500
-0.080
Sharpe Ratio
-1.16
Sortino Ratio
-1.21
Beta
-0.60
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

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