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

M-F-T2
(51583144)

Created by: AlexandrChursin AlexandrChursin
Started: 08/2010
Forex
Last trade: 4,620 days ago
Subscriptions not currently available.

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.

10.7%
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.

(28.9%)
Max Drawdown
677
Num Trades
96.3%
Win Trades
20.3 : 1
Profit Factor
58.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                 (3.9%)+4.9%+3.9%+7.7%(13.1%)(1.9%)
2011+25.6%+3.4%+1.9%(7.6%)+17.8%+1.0%(15.4%)+4.1%(3.6%)+5.9%(0.5%)(10.6%)+16.3%
2012(5.2%)+33.8%+8.6%(14.2%)(9.4%)+8.0%(9.9%)+2.7%(3%)+14.4%+7.8%+19.8%+53.2%
2013+17.8%+4.1%+4.9%+9.3%+6.1%(4.6%)(1.5%)+0.3%(0.4%)+0.3%+5.6%+6.2%+57.6%
2014(5%)(0.8%)+2.3%(2%)(1.3%)(0.3%)+0.8%+3.9%+4.4%+4.4%+7.6%+1.8%+16.3%
2015(4.1%)+0.8%+0.1%+0.5%+3.5%(1.2%)+0.3%(1%)(1.8%)+0.2%+1.6%(1.7%)(3%)
2016+1.8%(8%)+0.2%(7.5%)+4.2%(8.1%)(0.8%)+2.0%(2.6%)+6.2%+9.2%+5.7%+0.5%
2017(3.6%)(2.4%)(0.6%)+0.3%+0.7%+1.7%(0.8%)(0.1%)+1.8%+1.2%(1.7%)+0.6%(3.1%)
2018(3.9%)(2.7%)(1.5%)+3.7%(0.9%)+3.1%+0.3%+0.4%+2.3%(1.6%)+1.4%(1.5%)(1.2%)
2019(4.4%)+2.4%+0.1%+0.7%(0.8%)  -  (2.2%)+2.4%+0.6%+0.9%(0.4%)(4.2%)
2020+0.1%(0.8%)+0.3%(1.6%)+1.4%(0.2%)(1.9%)(0.2%)(0.1%)(0.5%)(0.2%)(2.4%)(6.1%)
2021+1.3%+2.5%+4.8%(1.6%)+1.7%+1.6%(2%)+0.2%+2.2%+1.7%(0.4%)+1.8%+14.5%
2022(1.1%)+1.5%+6.2%+5.2%+1.9%+4.5%(3.2%)+5.4%+2.7%+1.8%(4.5%)(2.4%)+18.7%
2023(3%)+4.2%(3%)+2.5%+3.5%+1.7%+0.1%+1.0%+1.9%+0.7%(1.2%)(3.4%)+4.7%
2024+3.7%+1.0%+0.3%                                                      +5.0%

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/4/11 14:57 EUR/AUD EUR/AUD LONG 10 1.34645 8/5 0:43 1.34790 0.02%
Trade id #64235234
Max drawdown($304)
Time8/4/11 15:08
Quant open10
Worst price1.34354
Drawdown as % of equity-0.02%
$152
8/3/11 2:30 GBP/CHF GBP/CHF SHORT 60 1.25963 8/4 23:15 1.24434 0.35%
Trade id #64150472
Max drawdown($4,298)
Time8/3/11 16:00
Quant open-30
Worst price1.26321
Drawdown as % of equity-0.35%
$11,990
8/4/11 12:00 NZD/USD NZD/USD SHORT 10 0.84458 8/4 22:30 0.83925 0.01%
Trade id #64225237
Max drawdown($166)
Time8/4/11 13:33
Quant open-10
Worst price0.84624
Drawdown as % of equity-0.01%
$533
8/3/11 10:13 AUD/USD AUD/USD SHORT 10 1.07240 8/4 22:15 1.04923 0.03%
Trade id #64166411
Max drawdown($349)
Time8/3/11 13:48
Quant open-10
Worst price1.07589
Drawdown as % of equity-0.03%
$2,317
7/12/11 18:00 NZD/USD NZD/USD SHORT 60 0.84879 8/4 11:40 0.84776 1.16%
Trade id #63429945
Max drawdown($13,761)
Time8/1/11 9:33
Quant open-30
Worst price0.87976
Drawdown as % of equity-1.16%
$616
6/28/11 10:33 EUR/AUD EUR/AUD LONG 110 1.33269 8/4 9:31 1.33662 3.76%
Trade id #62956369
Max drawdown($45,721)
Time7/28/11 9:31
Quant open110
Worst price1.29343
Drawdown as % of equity-3.76%
$4,571
7/18/11 3:00 AUD/USD AUD/USD SHORT 60 1.07971 8/3 1:01 1.07519 1.28%
Trade id #63576635
Max drawdown($16,034)
Time7/27/11 9:33
Quant open-60
Worst price1.10643
Drawdown as % of equity-1.28%
$2,708
8/2/11 0:30 GBP/CHF GBP/CHF SHORT 10 1.27659 8/2 21:27 1.24911 n/a $3,582
8/1/11 3:45 GBP/CHF GBP/CHF SHORT 10 1.30070 8/1 15:41 1.27688 n/a $3,043
7/27/11 18:00 GBP/CHF GBP/CHF SHORT 10 1.30779 7/31 18:15 1.30288 0.07%
Trade id #63934354
Max drawdown($859)
Time7/28/11 11:42
Quant open-10
Worst price1.31459
Drawdown as % of equity-0.07%
$621
7/20/11 18:45 USD/CAD USD/CAD SHORT 10 0.94608 7/26 15:02 0.94347 0.01%
Trade id #63704995
Max drawdown($101)
Time7/25/11 9:46
Quant open-10
Worst price0.94704
Drawdown as % of equity-0.01%
$277
7/20/11 18:45 CHF/JPY CHF/JPY SHORT 10 95.789 7/22 2:52 95.667 0.04%
Trade id #63704985
Max drawdown($472)
Time7/21/11 12:09
Quant open-10
Worst price96.160
Drawdown as % of equity-0.04%
$155
7/20/11 18:39 GBP/CHF GBP/CHF LONG 10 1.32967 7/21 8:15 1.33123 0.02%
Trade id #63704834
Max drawdown($211)
Time7/20/11 21:42
Quant open10
Worst price0.00000
Drawdown as % of equity-0.02%
$190
7/19/11 18:15 USD/CAD USD/CAD SHORT 10 0.94972 7/20 12:15 0.94812 0%
Trade id #63657165
Max drawdown($66)
Time7/19/11 21:32
Quant open10
Worst price0.00000
Drawdown as % of equity-0.00%
$169
7/12/11 12:15 CHF/JPY CHF/JPY SHORT 30 96.547 7/19 11:35 96.453 0.18%
Trade id #63419327
Max drawdown($2,420)
Time7/15/11 16:00
Quant open-10
Worst price97.264
Drawdown as % of equity-0.18%
$357
7/4/11 3:00 GBP/CHF GBP/CHF LONG 530 1.32279 7/19 2:52 1.32285 4.57%
Trade id #63156773
Max drawdown($59,535)
Time7/18/11 13:37
Quant open320
Worst price1.30869
Drawdown as % of equity-4.57%
$402
6/27/11 9:15 AUD/USD AUD/USD SHORT 190 1.06288 7/17 20:18 1.06128 1.26%
Trade id #62903604
Max drawdown($18,317)
Time7/1/11 15:00
Quant open-60
Worst price1.07890
Drawdown as % of equity-1.26%
$3,042
7/7/11 19:53 USD/CAD USD/CAD SHORT 10 0.95808 7/17 20:10 0.95570 0.09%
Trade id #63293536
Max drawdown($1,217)
Time7/12/11 9:39
Quant open-10
Worst price0.96973
Drawdown as % of equity-0.09%
$249
7/7/11 18:00 CHF/JPY CHF/JPY SHORT 10 96.104 7/12 6:15 95.713 0.03%
Trade id #63291799
Max drawdown($422)
Time7/8/11 14:30
Quant open-10
Worst price96.440
Drawdown as % of equity-0.03%
$491
7/8/11 2:16 NZD/USD NZD/USD LONG 10 0.83337 7/10 19:36 0.83450 0.01%
Trade id #63301881
Max drawdown($108)
Time7/8/11 10:27
Quant open10
Worst price0.83229
Drawdown as % of equity-0.01%
$113
7/4/11 17:38 NZD/USD NZD/USD LONG 30 0.82949 7/7 20:58 0.83134 0.07%
Trade id #63169468
Max drawdown($969)
Time7/5/11 15:52
Quant open10
Worst price0.82321
Drawdown as % of equity-0.07%
$554
6/30/11 17:00 NZD/USD NZD/USD LONG 10 0.82937 7/4 12:42 0.83012 0.04%
Trade id #63089923
Max drawdown($537)
Time7/1/11 10:07
Quant open10
Worst price0.82400
Drawdown as % of equity-0.04%
$75
6/20/11 14:30 CHF/JPY CHF/JPY SHORT 30 95.337 7/4 9:09 95.139 0.59%
Trade id #62679332
Max drawdown($8,510)
Time6/28/11 13:52
Quant open-30
Worst price97.629
Drawdown as % of equity-0.59%
$736
7/1/11 11:08 USD/CAD USD/CAD SHORT 10 0.96161 7/3 22:00 0.95977 0%
Trade id #63123197
Max drawdown($36)
Time7/1/11 11:13
Quant open-10
Worst price0.96196
Drawdown as % of equity-0.00%
$192
6/30/11 22:13 USD/CAD USD/CAD SHORT 10 0.96305 7/1 10:03 0.96207 0.01%
Trade id #63097668
Max drawdown($204)
Time7/1/11 9:39
Quant open-10
Worst price0.96502
Drawdown as % of equity-0.01%
$102
6/22/11 2:45 USD/CAD USD/CAD SHORT 30 0.97584 6/30 19:21 0.96458 0.32%
Trade id #62744654
Max drawdown($4,637)
Time6/27/11 9:38
Quant open-30
Worst price0.99075
Drawdown as % of equity-0.32%
$3,505
6/29/11 1:45 EUR/GBP EUR/GBP LONG 10 0.89861 6/30 11:00 0.90294 0.02%
Trade id #62979764
Max drawdown($317)
Time6/29/11 9:51
Quant open10
Worst price0.89663
Drawdown as % of equity-0.02%
$695
6/27/11 7:41 GBP/CHF GBP/CHF SHORT 30 1.33637 6/30 4:27 1.33554 0.1%
Trade id #62900749
Max drawdown($1,428)
Time6/29/11 12:32
Quant open-10
Worst price1.34235
Drawdown as % of equity-0.10%
$300
6/29/11 18:00 NZD/USD NZD/USD LONG 10 0.82530 6/30 3:45 0.82888 n/a $358
6/28/11 5:08 EUR/GBP EUR/GBP LONG 10 0.89643 6/28 20:23 0.89753 0.01%
Trade id #62943454
Max drawdown($175)
Time6/28/11 9:36
Quant open10
Worst price0.89533
Drawdown as % of equity-0.01%
$176

Statistics

  • Strategy began
    8/1/2010
  • Suggested Minimum Cap
    $1,000,000
  • Strategy Age (days)
    4987.24
  • Age
    166 months ago
  • What it trades
    Forex
  • # Trades
    677
  • # Profitable
    652
  • % Profitable
    96.30%
  • Avg trade duration
    63.5 days
  • Max peak-to-valley drawdown
    28.86%
  • drawdown period
    March 20, 2012 - July 24, 2012
  • Annual Return (Compounded)
    10.7%
  • Avg win
    $4,920
  • Avg loss
    $6,321
  • Model Account Values (Raw)
  • Cash
    $1,510,030
  • Margin Used
    $206,312
  • Buying Power
    $3,774,758
  • Ratios
  • W:L ratio
    20.30:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.83
  • Calmar Ratio
    1.507
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -71.09%
  • Correlation to SP500
    0.09150
  • Return Percent SP500 (cumu) during strategy life
    376.97%
  • Return Statistics
  • Ann Return (w trading costs)
    10.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.107%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    6.67%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    50.74%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,322
  • Avg Win
    $4,921
  • Sum Trade PL (losers)
    $158,047.000
  • Age
  • Num Months filled monthly returns table
    164
  • Win / Loss
  • Sum Trade PL (winners)
    $3,208,190.000
  • # Winners
    652
  • Num Months Winners
    96
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    25
  • % Winners
    96.3%
  • Frequency
  • Avg Position Time (mins)
    91464.20
  • Avg Position Time (hrs)
    1524.40
  • Avg Trade Length
    63.5 days
  • Last Trade Ago
    4618
  • Regression
  • Alpha
    0.02
  • Beta
    0.09
  • Treynor Index
    0.29
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    86.91
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    94.93
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    5.32
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.951
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.756
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.791
  • Hold-and-Hope Ratio
    1.223
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41687
  • SD
    0.37436
  • Sharpe ratio (Glass type estimate)
    1.11356
  • Sharpe ratio (Hedges UMVUE)
    1.09528
  • df
    46.00000
  • t
    2.20379
  • p
    0.01629
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09182
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07996
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11061
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56546
  • Upside Potential Ratio
    5.49550
  • Upside part of mean
    0.64253
  • Downside part of mean
    -0.22566
  • Upside SD
    0.37145
  • Downside SD
    0.11692
  • N nonnegative terms
    27.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.41187
  • Mean of criterion
    0.41687
  • SD of predictor
    0.24916
  • SD of criterion
    0.37436
  • Covariance
    0.02194
  • r
    0.23516
  • b (slope, estimate of beta)
    0.35333
  • a (intercept, estimate of alpha)
    0.27135
  • Mean Square Error
    0.13534
  • DF error
    45.00000
  • t(b)
    1.62305
  • p(b)
    0.05578
  • t(a)
    1.31477
  • p(a)
    0.09762
  • Lowerbound of 95% confidence interval for beta
    -0.08513
  • Upperbound of 95% confidence interval for beta
    0.79178
  • Lowerbound of 95% confidence interval for alpha
    -0.14433
  • Upperbound of 95% confidence interval for alpha
    0.68702
  • Treynor index (mean / b)
    1.17984
  • Jensen alpha (a)
    0.27135
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35301
  • SD
    0.33131
  • Sharpe ratio (Glass type estimate)
    1.06550
  • Sharpe ratio (Hedges UMVUE)
    1.04801
  • df
    46.00000
  • t
    2.10868
  • p
    0.02022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03477
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06125
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90502
  • Upside Potential Ratio
    4.82125
  • Upside part of mean
    0.58587
  • Downside part of mean
    -0.23286
  • Upside SD
    0.32101
  • Downside SD
    0.12152
  • N nonnegative terms
    27.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    47.00000
  • Mean of predictor
    0.37638
  • Mean of criterion
    0.35301
  • SD of predictor
    0.24230
  • SD of criterion
    0.33131
  • Covariance
    0.01756
  • r
    0.21879
  • b (slope, estimate of beta)
    0.29916
  • a (intercept, estimate of alpha)
    0.24041
  • Mean Square Error
    0.10684
  • DF error
    45.00000
  • t(b)
    1.50412
  • p(b)
    0.06977
  • t(a)
    1.32583
  • p(a)
    0.09579
  • Lowerbound of 95% confidence interval for beta
    -0.10143
  • Upperbound of 95% confidence interval for beta
    0.69974
  • Lowerbound of 95% confidence interval for alpha
    -0.12481
  • Upperbound of 95% confidence interval for alpha
    0.60564
  • Treynor index (mean / b)
    1.18003
  • Jensen alpha (a)
    0.24041
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12006
  • Expected Shortfall on VaR
    0.15401
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03976
  • Expected Shortfall on VaR
    0.07364
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    47.00000
  • Minimum
    0.89638
  • Quartile 1
    0.96984
  • Median
    1.01824
  • Quartile 3
    1.06558
  • Maximum
    1.52172
  • Mean of quarter 1
    0.94030
  • Mean of quarter 2
    0.99112
  • Mean of quarter 3
    1.03764
  • Mean of quarter 4
    1.17014
  • Inter Quartile Range
    0.09574
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06383
  • Mean of outliers high
    1.34068
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12078
  • VaR(95%) (moments method)
    0.06162
  • Expected Shortfall (moments method)
    0.07755
  • Extreme Value Index (regression method)
    -0.08200
  • VaR(95%) (regression method)
    0.05794
  • Expected Shortfall (regression method)
    0.07223
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.02292
  • Quartile 1
    0.02358
  • Median
    0.04783
  • Quartile 3
    0.11581
  • Maximum
    0.18057
  • Mean of quarter 1
    0.02318
  • Mean of quarter 2
    0.03577
  • Mean of quarter 3
    0.06298
  • Mean of quarter 4
    0.17461
  • Inter Quartile Range
    0.09224
  • 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)
    0.76222
  • Compounded annual return (geometric extrapolation)
    0.42335
  • Calmar ratio (compounded annual return / max draw down)
    2.34445
  • Compounded annual return / average of 25% largest draw downs
    2.42449
  • Compounded annual return / Expected Shortfall lognormal
    2.74891
  • 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
    0.42452
  • SD
    0.37712
  • Sharpe ratio (Glass type estimate)
    1.12568
  • Sharpe ratio (Hedges UMVUE)
    1.12486
  • df
    1032.00000
  • t
    2.23519
  • p
    0.46530
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11313
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90827
  • Upside Potential Ratio
    8.83917
  • Upside part of mean
    1.96638
  • Downside part of mean
    -1.54186
  • Upside SD
    0.30542
  • Downside SD
    0.22246
  • N nonnegative terms
    530.00000
  • N negative terms
    503.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1033.00000
  • Mean of predictor
    0.44340
  • Mean of criterion
    0.42452
  • SD of predictor
    0.32168
  • SD of criterion
    0.37712
  • Covariance
    0.01558
  • r
    0.12839
  • b (slope, estimate of beta)
    0.15052
  • a (intercept, estimate of alpha)
    0.35800
  • Mean Square Error
    0.14001
  • DF error
    1031.00000
  • t(b)
    4.15690
  • p(b)
    0.41849
  • t(a)
    1.89174
  • p(a)
    0.46258
  • Lowerbound of 95% confidence interval for beta
    0.07946
  • Upperbound of 95% confidence interval for beta
    0.22157
  • Lowerbound of 95% confidence interval for alpha
    -0.01334
  • Upperbound of 95% confidence interval for alpha
    0.72889
  • Treynor index (mean / b)
    2.82042
  • Jensen alpha (a)
    0.35778
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35478
  • SD
    0.37115
  • Sharpe ratio (Glass type estimate)
    0.95589
  • Sharpe ratio (Hedges UMVUE)
    0.95519
  • df
    1032.00000
  • t
    1.89804
  • p
    0.47051
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03226
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94312
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53680
  • Upside Potential Ratio
    8.32823
  • Upside part of mean
    1.92263
  • Downside part of mean
    -1.56785
  • Upside SD
    0.29122
  • Downside SD
    0.23086
  • N nonnegative terms
    530.00000
  • N negative terms
    503.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1033.00000
  • Mean of predictor
    0.39047
  • Mean of criterion
    0.35478
  • SD of predictor
    0.32620
  • SD of criterion
    0.37115
  • Covariance
    0.01537
  • r
    0.12695
  • b (slope, estimate of beta)
    0.14444
  • a (intercept, estimate of alpha)
    0.29838
  • Mean Square Error
    0.13567
  • DF error
    1031.00000
  • t(b)
    4.10954
  • p(b)
    0.41940
  • t(a)
    1.60416
  • p(a)
    0.46825
  • Lowerbound of 95% confidence interval for beta
    0.07547
  • Upperbound of 95% confidence interval for beta
    0.21342
  • Lowerbound of 95% confidence interval for alpha
    -0.06661
  • Upperbound of 95% confidence interval for alpha
    0.66337
  • Treynor index (mean / b)
    2.45617
  • Jensen alpha (a)
    0.29838
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03571
  • Expected Shortfall on VaR
    0.04487
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01317
  • Expected Shortfall on VaR
    0.02739
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1033.00000
  • Minimum
    0.82052
  • Quartile 1
    0.99335
  • Median
    1.00005
  • Quartile 3
    1.00848
  • Maximum
    1.23822
  • Mean of quarter 1
    0.97944
  • Mean of quarter 2
    0.99708
  • Mean of quarter 3
    1.00389
  • Mean of quarter 4
    1.02616
  • Inter Quartile Range
    0.01513
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.04743
  • Mean of outliers low
    0.95243
  • Number of outliers high
    57.00000
  • Percentage of outliers high
    0.05518
  • Mean of outliers high
    1.06292
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36197
  • VaR(95%) (moments method)
    0.01981
  • Expected Shortfall (moments method)
    0.03673
  • Extreme Value Index (regression method)
    0.22975
  • VaR(95%) (regression method)
    0.01828
  • Expected Shortfall (regression method)
    0.02950
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00758
  • Median
    0.03321
  • Quartile 3
    0.08871
  • Maximum
    0.28251
  • Mean of quarter 1
    0.00412
  • Mean of quarter 2
    0.01743
  • Mean of quarter 3
    0.05641
  • Mean of quarter 4
    0.17517
  • Inter Quartile Range
    0.08113
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.24913
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.17037
  • VaR(95%) (moments method)
    0.19235
  • Expected Shortfall (moments method)
    0.27199
  • Extreme Value Index (regression method)
    0.07844
  • VaR(95%) (regression method)
    0.14993
  • Expected Shortfall (regression method)
    0.18246
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77367
  • Compounded annual return (geometric extrapolation)
    0.42587
  • Calmar ratio (compounded annual return / max draw down)
    1.50744
  • Compounded annual return / average of 25% largest draw downs
    2.43111
  • Compounded annual return / Expected Shortfall lognormal
    9.49120
  • 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
    0.61841
  • SD
    0.20470
  • Sharpe ratio (Glass type estimate)
    3.02101
  • Sharpe ratio (Hedges UMVUE)
    3.00355
  • df
    130.00000
  • t
    2.13618
  • p
    0.40792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81132
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.79929
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.65062
  • Upside Potential Ratio
    11.42100
  • Upside part of mean
    1.51869
  • Downside part of mean
    -0.90028
  • Upside SD
    0.15925
  • Downside SD
    0.13297
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47344
  • Mean of criterion
    0.61841
  • SD of predictor
    0.40919
  • SD of criterion
    0.20470
  • Covariance
    -0.02326
  • r
    -0.27775
  • b (slope, estimate of beta)
    -0.13895
  • a (intercept, estimate of alpha)
    0.68419
  • Mean Square Error
    0.03897
  • DF error
    129.00000
  • t(b)
    -3.28377
  • p(b)
    0.67452
  • t(a)
    2.44444
  • p(a)
    0.36705
  • Lowerbound of 95% confidence interval for beta
    -0.22266
  • Upperbound of 95% confidence interval for beta
    -0.05523
  • Lowerbound of 95% confidence interval for alpha
    0.13041
  • Upperbound of 95% confidence interval for alpha
    1.23798
  • Treynor index (mean / b)
    -4.45076
  • Jensen alpha (a)
    0.68419
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59690
  • SD
    0.20487
  • Sharpe ratio (Glass type estimate)
    2.91353
  • Sharpe ratio (Hedges UMVUE)
    2.89669
  • df
    130.00000
  • t
    2.06018
  • p
    0.41109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.70239
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10261
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.69077
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.42647
  • Upside Potential Ratio
    11.16950
  • Upside part of mean
    1.50619
  • Downside part of mean
    -0.90929
  • Upside SD
    0.15757
  • Downside SD
    0.13485
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38939
  • Mean of criterion
    0.59690
  • SD of predictor
    0.41166
  • SD of criterion
    0.20487
  • Covariance
    -0.02312
  • r
    -0.27410
  • b (slope, estimate of beta)
    -0.13641
  • a (intercept, estimate of alpha)
    0.65002
  • Mean Square Error
    0.03912
  • DF error
    129.00000
  • t(b)
    -3.23722
  • p(b)
    0.67229
  • t(a)
    2.31988
  • p(a)
    0.37345
  • VAR (95 Confidence Intrvl)
    0.03600
  • Lowerbound of 95% confidence interval for beta
    -0.21979
  • Upperbound of 95% confidence interval for beta
    -0.05304
  • Lowerbound of 95% confidence interval for alpha
    0.09565
  • Upperbound of 95% confidence interval for alpha
    1.20439
  • Treynor index (mean / b)
    -4.37565
  • Jensen alpha (a)
    0.65002
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01837
  • Expected Shortfall on VaR
    0.02354
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00658
  • Expected Shortfall on VaR
    0.01429
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95866
  • Quartile 1
    0.99725
  • Median
    1.00215
  • Quartile 3
    1.00846
  • Maximum
    1.03727
  • Mean of quarter 1
    0.98715
  • Mean of quarter 2
    0.99959
  • Mean of quarter 3
    1.00518
  • Mean of quarter 4
    1.01760
  • Inter Quartile Range
    0.01120
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96790
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03069
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41241
  • VaR(95%) (moments method)
    0.01066
  • Expected Shortfall (moments method)
    0.02221
  • Extreme Value Index (regression method)
    0.10193
  • VaR(95%) (regression method)
    0.01135
  • Expected Shortfall (regression method)
    0.01779
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00661
  • Median
    0.01060
  • Quartile 3
    0.02275
  • Maximum
    0.10533
  • Mean of quarter 1
    0.00257
  • Mean of quarter 2
    0.00860
  • Mean of quarter 3
    0.02037
  • Mean of quarter 4
    0.06493
  • Inter Quartile Range
    0.01614
  • 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
    0.15385
  • Mean of outliers high
    0.07672
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.28100
  • VaR(95%) (moments method)
    0.05614
  • Expected Shortfall (moments method)
    0.05922
  • Extreme Value Index (regression method)
    0.24467
  • VaR(95%) (regression method)
    0.08565
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.14434
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -341010000
  • Max Equity Drawdown (num days)
    126
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.69554
  • Compounded annual return (geometric extrapolation)
    0.81648
  • Calmar ratio (compounded annual return / max draw down)
    7.75164
  • Compounded annual return / average of 25% largest draw downs
    12.57530
  • Compounded annual return / Expected Shortfall lognormal
    34.68900

Strategy Description

It trades on 10 pairs: EURGBP, CHFJPY, AUDUSD, AUDNZD, NZDUSD, USDCAD, EURAUD, EURUSD, GBPCHF, USDJPY. 90% of trades opens by trend and only in the case of wrong entrance(loss order) multi-level martingale device will start to take more profit to cover loss(is what cause DD 14.86% on our account). This martingale device has several ways to protect account from big loss.

Minimal balance for M-F-T 2 is $5 000 with minimal lot 0.01 but we recommend $10 000 for safety work
www.forex-robots-signals.com

Summary Statistics

Strategy began
2010-08-01
Suggested Minimum Capital
$1,000,000
# Trades
677
# Profitable
652
% Profitable
96.3%
Correlation S&P500
0.091
Sharpe Ratio
0.50
Sortino Ratio
0.83
Beta
0.09
Alpha
0.02

Latest Activity

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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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