Collective2 Collective2
Featured Strategy Easiest +110.8% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Kingda Forex
(55489441)

Created by: na_na3 na_na3
Started: 12/2010
Forex
Last trade: 3,515 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.

-1.8%
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.

(33.0%)
Max Drawdown
942
Num Trades
71.4%
Win Trades
1.1 : 1
Profit Factor
45.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                             +8.5%+8.5%
2011+1.4%+8.7%+4.9%+1.6%(2.3%)+1.4%+0.8%+0.9%+1.9%+0.4%(3.2%)  -  +17.3%
2012(1.9%)+7.1%+1.9%+3.1%(6.7%)+8.8%+4.8%(2.1%)(6.6%)(1.7%)+6.5%(4.6%)+7.2%
2013+2.2%+7.2%(11.3%)(4.3%)+1.9%(2.5%)+1.8%+0.9%(0.3%)+0.8%(3%)+0.5%(6.8%)
2014(0.2%)(4.7%)+1.2%(9.9%)(0.3%)(5.8%)(12.6%)+7.8%(70.2%)(0.2%)(1%)+0.3%(77.3%)
2015+1.0%(0.3%)+0.2%(0.3%)(0.2%)(2.3%)+0.3%+0.5%+0.3%(0.3%)(0.2%)+0.3%(1%)
2016+0.3%+0.5%(0.5%)  -  +0.8%+0.8%(0.5%)+0.3%+0.2%(0.5%)(1%)(0.3%)+0.2%
2017  -    -  +0.2%+0.3%+0.2%(0.5%)(0.3%)+0.2%(0.3%)+0.2%+0.5%(0.5%)(0.2%)
2018+0.2%+0.7%+0.5%(0.5%)  -  +0.2%(0.3%)+0.3%(0.3%)+0.2%(0.3%)+0.7%+1.2%
2019+0.2%(0.3%)+0.3%(0.3%)+0.2%  -  +0.7%(0.2%)(0.3%)+0.2%(0.3%)+0.3%
2020+0.3%(0.3%)+1.1%(0.2%)(0.3%)(0.2%)  -  (0.5%)+0.5%+0.2%(0.3%)(0.2%)+0.2%
2021(0.3%)(0.3%)(0.5%)  -  (0.2%)+0.2%+0.2%+0.5%(0.3%)(0.8%)+0.2%+0.2%(1.3%)
2022+0.2%(0.2%)(1.3%)(0.2%)  -  (0.7%)  -  (0.2%)  -  (0.2%)+0.5%+0.5%(1.5%)
2023(0.2%)(0.2%)+0.7%(0.3%)(0.5%)(0.5%)+0.2%(0.2%)(0.2%)+0.2%(0.3%)+0.3%(1%)
2024(0.2%)(0.2%)  -  (0.2%)                                                (0.5%)

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 2 hours.

Trading Record

This strategy has placed 1,202 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3632 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/9/14 8:46 EUR/AUD EUR/AUD SHORT 9 1.39920 9/10 4:06 1.41726 46.59%
Trade id #89535040
Max drawdown($1,483)
Time9/10/14 4:06
Quant open8
Worst price1.41735
Drawdown as % of equity-46.59%
 ($1,483)
9/3/14 14:42 EUR/CAD EUR/CAD SHORT 5 1.43202 9/4 6:41 1.43128 2.14%
Trade id #89421520
Max drawdown($96)
Time9/4/14 2:21
Quant open-5
Worst price1.43413
Drawdown as % of equity-2.14%
 $34
9/3/14 13:37 EUR/AUD EUR/AUD SHORT 2 1.40683 9/3 20:14 1.40613 0.52%
Trade id #89418465
Max drawdown($23)
Time9/3/14 18:36
Quant open-2
Worst price1.40809
Drawdown as % of equity-0.52%
 $13
9/2/14 10:11 EUR/NZD EUR/NZD SHORT 2 1.58031 9/2 11:00 1.58017 0.46%
Trade id #89386184
Max drawdown($21)
Time9/2/14 10:26
Quant open-2
Worst price1.58159
Drawdown as % of equity-0.46%
 $2
8/29/14 10:22 USD/CAD USD/CAD LONG 1 1.08171 8/29 10:27 1.08227 0.15%
Trade id #89352208
Max drawdown($6)
Time8/29/14 10:24
Quant open1
Worst price1.08097
Drawdown as % of equity-0.15%
 $5
8/27/14 14:19 CAD/CHF CAD/CHF SHORT 2 0.84384 8/27 14:47 0.84369 0.22%
Trade id #89319101
Max drawdown($9)
Time8/27/14 14:22
Quant open-2
Worst price0.84430
Drawdown as % of equity-0.22%
 $3
8/27/14 10:16 EUR/USD EUR/USD SHORT 4 1.31978 8/27 11:09 1.31972 0.96%
Trade id #89313955
Max drawdown($43)
Time8/27/14 10:50
Quant open-4
Worst price1.32088
Drawdown as % of equity-0.96%
 $2
8/26/14 8:14 AUD/JPY AUD/JPY SHORT 2 96.922 8/26 12:59 96.875 0.59%
Trade id #89280564
Max drawdown($26)
Time8/26/14 12:06
Quant open-2
Worst price97.062
Drawdown as % of equity-0.59%
 $9
8/25/14 9:40 EUR/CHF EUR/CHF LONG 1 1.20759 8/25 10:00 1.20775 0.07%
Trade id #89251199
Max drawdown($3)
Time8/25/14 9:42
Quant open1
Worst price1.20730
Drawdown as % of equity-0.07%
 $2
8/20/14 14:12 USD/JPY USD/JPY SHORT 3 103.776 8/21 9:37 103.700 1.05%
Trade id #89173058
Max drawdown($47)
Time8/20/14 21:50
Quant open-2
Worst price103.949
Drawdown as % of equity-1.05%
 $22
8/19/14 11:25 USD/CAD USD/CAD SHORT 4 1.09400 8/20 9:24 1.09382 1.74%
Trade id #89149182
Max drawdown($77)
Time8/20/14 6:34
Quant open-4
Worst price1.09612
Drawdown as % of equity-1.74%
 $6
8/19/14 10:58 AUD/USD AUD/USD LONG 3 0.93073 8/19 21:32 0.93077 1.47%
Trade id #89148521
Max drawdown($65)
Time8/19/14 19:52
Quant open3
Worst price0.92853
Drawdown as % of equity-1.47%
 $1
8/19/14 10:59 GBP/AUD GBP/AUD SHORT 2 1.78518 8/19 11:58 1.78487 0.42%
Trade id #89148541
Max drawdown($19)
Time8/19/14 11:32
Quant open-2
Worst price1.78620
Drawdown as % of equity-0.42%
 $6
8/19/14 8:35 EUR/USD EUR/USD LONG 1 1.33234 8/19 8:37 1.33279 0.04%
Trade id #89145603
Max drawdown($1)
Time8/19/14 8:37
Quant open1
Worst price1.33216
Drawdown as % of equity-0.04%
 $5
8/18/14 10:01 USD/CHF USD/CHF SHORT 3 0.90685 8/19 4:54 0.90650 0.66%
Trade id #89127020
Max drawdown($29)
Time8/19/14 2:24
Quant open-3
Worst price0.90774
Drawdown as % of equity-0.66%
 $11
8/15/14 8:34 CAD/JPY CAD/JPY SHORT 1 94.391 8/15 8:37 94.361 n/a $3
8/13/14 8:31 AUD/USD AUD/USD SHORT 2 0.93139 8/13 10:46 0.93088 0.2%
Trade id #89057989
Max drawdown($9)
Time8/13/14 8:51
Quant open-2
Worst price0.93185
Drawdown as % of equity-0.20%
 $10
8/13/14 8:35 EUR/USD EUR/USD SHORT 4 1.33988 8/13 9:16 1.33980 1.32%
Trade id #89058101
Max drawdown($59)
Time8/13/14 8:57
Quant open-3
Worst price1.34142
Drawdown as % of equity-1.32%
 $3
8/12/14 11:07 GBP/USD GBP/USD SHORT 2 1.68102 8/12 19:49 1.68080 0.21%
Trade id #89040468
Max drawdown($9)
Time8/12/14 15:32
Quant open-2
Worst price1.68150
Drawdown as % of equity-0.21%
 $5
8/11/14 10:41 CAD/JPY CAD/JPY SHORT 6 93.430 8/12 8:08 93.401 2.33%
Trade id #89018937
Max drawdown($102)
Time8/11/14 21:07
Quant open-6
Worst price93.604
Drawdown as % of equity-2.33%
 $17
8/8/14 10:09 EUR/USD EUR/USD SHORT 3 1.34212 8/8 10:57 1.34188 0.69%
Trade id #88995228
Max drawdown($30)
Time8/8/14 10:36
Quant open-3
Worst price1.34315
Drawdown as % of equity-0.69%
 $7
8/7/14 11:49 USD/JPY USD/JPY LONG 1 102.067 8/7 12:08 102.103 0.13%
Trade id #88974165
Max drawdown($5)
Time8/7/14 11:56
Quant open1
Worst price102.006
Drawdown as % of equity-0.13%
 $4
8/6/14 21:41 EUR/AUD EUR/AUD SHORT 3 1.44097 8/7 8:33 1.44123 2.32%
Trade id #88960822
Max drawdown($101)
Time8/7/14 1:20
Quant open-3
Worst price1.44462
Drawdown as % of equity-2.32%
 ($7)
8/5/14 9:54 NZD/USD NZD/USD LONG 7 0.84640 8/6 12:17 0.84791 6.99%
Trade id #88925644
Max drawdown($286)
Time8/5/14 21:02
Quant open6
Worst price0.84222
Drawdown as % of equity-6.99%
 $106
8/6/14 9:53 CAD/JPY CAD/JPY SHORT 2 93.596 8/6 10:18 93.558 0.41%
Trade id #88949076
Max drawdown($17)
Time8/6/14 10:09
Quant open-2
Worst price93.684
Drawdown as % of equity-0.41%
 $7
8/5/14 11:14 USD/CAD USD/CAD SHORT 2 1.09706 8/5 12:38 1.09650 0.19%
Trade id #88927905
Max drawdown($8)
Time8/5/14 11:35
Quant open-1
Worst price1.09760
Drawdown as % of equity-0.19%
 $10
8/5/14 10:15 USD/JPY USD/JPY SHORT 1 102.871 8/5 11:03 102.829 0.1%
Trade id #88926355
Max drawdown($4)
Time8/5/14 10:33
Quant open-1
Worst price102.915
Drawdown as % of equity-0.10%
 $4
8/4/14 10:50 NZD/USD NZD/USD SHORT 1 0.85243 8/4 20:36 0.85206 0.07%
Trade id #88905358
Max drawdown($3)
Time8/4/14 19:11
Quant open-1
Worst price0.85275
Drawdown as % of equity-0.07%
 $4
7/31/14 10:13 AUD/JPY AUD/JPY SHORT 1 95.665 7/31 10:48 95.615 0.03%
Trade id #88855342
Max drawdown($1)
Time7/31/14 10:17
Quant open-1
Worst price95.677
Drawdown as % of equity-0.03%
 $5
7/31/14 10:37 USD/CAD USD/CAD LONG 1 1.08840 7/31 10:41 1.08890 0.1%
Trade id #88856200
Max drawdown($4)
Time7/31/14 10:39
Quant open1
Worst price1.08793
Drawdown as % of equity-0.10%
 $5
Next

Statistics

  • Strategy began
    12/3/2010
  • Suggested Minimum Cap
    $2,117
  • Strategy Age (days)
    4883.83
  • Age
    163 months ago
  • What it trades
    Forex
  • # Trades
    942
  • # Profitable
    673
  • % Profitable
    71.40%
  • Avg trade duration
    8.1 hours
  • Max peak-to-valley drawdown
    33.01%
  • drawdown period
    Feb 11, 2014 - Sept 10, 2014
  • Annual Return (Compounded)
    -1.8%
  • Avg win
    $14.72
  • Avg loss
    $33.06
  • Model Account Values (Raw)
  • Cash
    $3,124
  • Margin Used
    $0
  • Buying Power
    $3,124
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    -0.41
  • Sortino Ratio
    -0.44
  • Calmar Ratio
    0.212
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -68.91%
  • Correlation to SP500
    -0.01120
  • Return Percent SP500 (cumu) during strategy life
    314.11%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.8%
  • Slump
  • Current Slump as Pcnt Equity
    446.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.018%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    3.50%
  • 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
    60.05%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    601
  • Popularity (Last 6 weeks)
    855
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $33
  • Avg Win
    $15
  • Sum Trade PL (losers)
    $8,894.000
  • Age
  • Num Months filled monthly returns table
    161
  • Win / Loss
  • Sum Trade PL (winners)
    $9,908.000
  • # Winners
    673
  • Num Months Winners
    73
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    269
  • % Winners
    71.4%
  • Frequency
  • Avg Position Time (mins)
    488.38
  • Avg Position Time (hrs)
    8.14
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    3508
  • Regression
  • Alpha
    -0.03
  • Beta
    -0.01
  • Treynor Index
    2.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    59.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    48.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.91
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    121.454
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.238
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.394
  • Hold-and-Hope Ratio
    0.008
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19891
  • SD
    0.14329
  • Sharpe ratio (Glass type estimate)
    1.38817
  • Sharpe ratio (Hedges UMVUE)
    1.36488
  • df
    45.00000
  • t
    2.71789
  • p
    0.00465
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33996
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40490
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99775
  • Upside Potential Ratio
    4.36596
  • Upside part of mean
    0.28970
  • Downside part of mean
    -0.09079
  • Upside SD
    0.13777
  • Downside SD
    0.06635
  • N nonnegative terms
    34.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.11964
  • Mean of criterion
    0.19891
  • SD of predictor
    0.11979
  • SD of criterion
    0.14329
  • Covariance
    0.00359
  • r
    0.20940
  • b (slope, estimate of beta)
    0.25048
  • a (intercept, estimate of alpha)
    0.16894
  • Mean Square Error
    0.02008
  • DF error
    44.00000
  • t(b)
    1.42051
  • p(b)
    0.08125
  • t(a)
    2.24109
  • p(a)
    0.01506
  • Lowerbound of 95% confidence interval for beta
    -0.10489
  • Upperbound of 95% confidence interval for beta
    0.60585
  • Lowerbound of 95% confidence interval for alpha
    0.01702
  • Upperbound of 95% confidence interval for alpha
    0.32087
  • Treynor index (mean / b)
    0.79413
  • Jensen alpha (a)
    0.16894
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18752
  • SD
    0.13978
  • Sharpe ratio (Glass type estimate)
    1.34150
  • Sharpe ratio (Hedges UMVUE)
    1.31900
  • df
    45.00000
  • t
    2.62652
  • p
    0.00587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37309
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28151
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35649
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74166
  • Upside Potential Ratio
    4.10142
  • Upside part of mean
    0.28052
  • Downside part of mean
    -0.09300
  • Upside SD
    0.13178
  • Downside SD
    0.06840
  • N nonnegative terms
    34.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.11199
  • Mean of criterion
    0.18752
  • SD of predictor
    0.11971
  • SD of criterion
    0.13978
  • Covariance
    0.00349
  • r
    0.20856
  • b (slope, estimate of beta)
    0.24353
  • a (intercept, estimate of alpha)
    0.16024
  • Mean Square Error
    0.01911
  • DF error
    44.00000
  • t(b)
    1.41456
  • p(b)
    0.08212
  • t(a)
    2.18918
  • p(a)
    0.01697
  • Lowerbound of 95% confidence interval for beta
    -0.10343
  • Upperbound of 95% confidence interval for beta
    0.59050
  • Lowerbound of 95% confidence interval for alpha
    0.01272
  • Upperbound of 95% confidence interval for alpha
    0.30777
  • Treynor index (mean / b)
    0.76999
  • Jensen alpha (a)
    0.16024
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04948
  • Expected Shortfall on VaR
    0.06527
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01056
  • Expected Shortfall on VaR
    0.02540
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    46.00000
  • Minimum
    0.92641
  • Quartile 1
    0.99750
  • Median
    1.01401
  • Quartile 3
    1.02643
  • Maximum
    1.13354
  • Mean of quarter 1
    0.97183
  • Mean of quarter 2
    1.00960
  • Mean of quarter 3
    1.01945
  • Mean of quarter 4
    1.06827
  • Inter Quartile Range
    0.02893
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06522
  • Mean of outliers low
    0.93340
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.13043
  • Mean of outliers high
    1.09673
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50347
  • VaR(95%) (moments method)
    0.02245
  • Expected Shortfall (moments method)
    0.05486
  • Extreme Value Index (regression method)
    0.08797
  • VaR(95%) (regression method)
    0.03035
  • Expected Shortfall (regression method)
    0.04863
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00502
  • Quartile 1
    0.01098
  • Median
    0.02054
  • Quartile 3
    0.06059
  • Maximum
    0.08469
  • Mean of quarter 1
    0.00705
  • Mean of quarter 2
    0.01879
  • Mean of quarter 3
    0.04099
  • Mean of quarter 4
    0.07839
  • Inter Quartile Range
    0.04961
  • 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)
    -4.24331
  • VaR(95%) (moments method)
    0.07960
  • Expected Shortfall (moments method)
    0.07963
  • Extreme Value Index (regression method)
    -0.87080
  • VaR(95%) (regression method)
    0.09031
  • Expected Shortfall (regression method)
    0.09399
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29525
  • Compounded annual return (geometric extrapolation)
    0.21832
  • Calmar ratio (compounded annual return / max draw down)
    2.57788
  • Compounded annual return / average of 25% largest draw downs
    2.78484
  • Compounded annual return / Expected Shortfall lognormal
    3.34488
  • 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
    0.18233
  • SD
    0.15685
  • Sharpe ratio (Glass type estimate)
    1.16246
  • Sharpe ratio (Hedges UMVUE)
    1.16181
  • df
    1342.00000
  • t
    2.29686
  • p
    0.46871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16932
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15516
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16888
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15473
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70260
  • Upside Potential Ratio
    6.75846
  • Upside part of mean
    0.72377
  • Downside part of mean
    -0.54143
  • Upside SD
    0.11494
  • Downside SD
    0.10709
  • N nonnegative terms
    521.00000
  • N negative terms
    822.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1343.00000
  • Mean of predictor
    0.12568
  • Mean of criterion
    0.18233
  • SD of predictor
    0.15209
  • SD of criterion
    0.15685
  • Covariance
    0.00082
  • r
    0.03443
  • b (slope, estimate of beta)
    0.03551
  • a (intercept, estimate of alpha)
    0.05400
  • Mean Square Error
    0.02459
  • DF error
    1341.00000
  • t(b)
    1.26149
  • p(b)
    0.47809
  • t(a)
    2.23892
  • p(a)
    0.46117
  • Lowerbound of 95% confidence interval for beta
    -0.01971
  • Upperbound of 95% confidence interval for beta
    0.09072
  • Lowerbound of 95% confidence interval for alpha
    0.02202
  • Upperbound of 95% confidence interval for alpha
    0.33372
  • Treynor index (mean / b)
    5.13531
  • Jensen alpha (a)
    0.17787
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17000
  • SD
    0.15676
  • Sharpe ratio (Glass type estimate)
    1.08447
  • Sharpe ratio (Hedges UMVUE)
    1.08387
  • df
    1342.00000
  • t
    2.14278
  • p
    0.47080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07708
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09107
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07666
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55823
  • Upside Potential Ratio
    6.57468
  • Upside part of mean
    0.71730
  • Downside part of mean
    -0.54730
  • Upside SD
    0.11286
  • Downside SD
    0.10910
  • N nonnegative terms
    521.00000
  • N negative terms
    822.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1343.00000
  • Mean of predictor
    0.11407
  • Mean of criterion
    0.17000
  • SD of predictor
    0.15241
  • SD of criterion
    0.15676
  • Covariance
    0.00082
  • r
    0.03428
  • b (slope, estimate of beta)
    0.03526
  • a (intercept, estimate of alpha)
    0.16598
  • Mean Square Error
    0.02456
  • DF error
    1341.00000
  • t(b)
    1.25601
  • p(b)
    0.47818
  • t(a)
    2.09083
  • p(a)
    0.46373
  • Lowerbound of 95% confidence interval for beta
    -0.01981
  • Upperbound of 95% confidence interval for beta
    0.09033
  • Lowerbound of 95% confidence interval for alpha
    0.01025
  • Upperbound of 95% confidence interval for alpha
    0.32171
  • Treynor index (mean / b)
    4.82168
  • Jensen alpha (a)
    0.16598
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01332
  • Expected Shortfall on VaR
    0.01679
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00400
  • Expected Shortfall on VaR
    0.00898
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1343.00000
  • Minimum
    0.92251
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00179
  • Maximum
    1.07300
  • Mean of quarter 1
    0.99378
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00052
  • Mean of quarter 4
    1.00793
  • Inter Quartile Range
    0.00179
  • Number outliers low
    166.00000
  • Percentage of outliers low
    0.12360
  • Mean of outliers low
    0.98816
  • Number of outliers high
    177.00000
  • Percentage of outliers high
    0.13179
  • Mean of outliers high
    1.01250
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72071
  • VaR(95%) (moments method)
    0.00422
  • Expected Shortfall (moments method)
    0.01871
  • 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
    59.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00238
  • Median
    0.00700
  • Quartile 3
    0.03297
  • Maximum
    0.10251
  • Mean of quarter 1
    0.00092
  • Mean of quarter 2
    0.00473
  • Mean of quarter 3
    0.01966
  • Mean of quarter 4
    0.06458
  • Inter Quartile Range
    0.03058
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.08475
  • Mean of outliers high
    0.09555
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.24445
  • VaR(95%) (moments method)
    0.06685
  • Expected Shortfall (moments method)
    0.08118
  • Extreme Value Index (regression method)
    -0.42376
  • VaR(95%) (regression method)
    0.05681
  • Expected Shortfall (regression method)
    0.06404
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26098
  • Compounded annual return (geometric extrapolation)
    0.19716
  • Calmar ratio (compounded annual return / max draw down)
    1.92324
  • Compounded annual return / average of 25% largest draw downs
    3.05311
  • Compounded annual return / Expected Shortfall lognormal
    11.74120
  • 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
    -0.16361
  • SD
    0.17125
  • Sharpe ratio (Glass type estimate)
    -0.95542
  • Sharpe ratio (Hedges UMVUE)
    -0.95123
  • df
    171.00000
  • t
    -0.67559
  • p
    0.53283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.72771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.72487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82241
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.10116
  • Upside Potential Ratio
    3.86660
  • Upside part of mean
    0.57451
  • Downside part of mean
    -0.73812
  • Upside SD
    0.08459
  • Downside SD
    0.14858
  • N nonnegative terms
    84.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.11429
  • Mean of criterion
    -0.16361
  • SD of predictor
    0.08926
  • SD of criterion
    0.17125
  • Covariance
    0.00153
  • r
    0.09982
  • b (slope, estimate of beta)
    0.19150
  • a (intercept, estimate of alpha)
    -0.18550
  • Mean Square Error
    0.02920
  • DF error
    170.00000
  • t(b)
    1.30801
  • p(b)
    0.45009
  • t(a)
    -0.76571
  • p(a)
    0.52931
  • Lowerbound of 95% confidence interval for beta
    -0.09751
  • Upperbound of 95% confidence interval for beta
    0.48050
  • Lowerbound of 95% confidence interval for alpha
    -0.66372
  • Upperbound of 95% confidence interval for alpha
    0.29272
  • Treynor index (mean / b)
    -0.85439
  • Jensen alpha (a)
    -0.18550
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17858
  • SD
    0.17439
  • Sharpe ratio (Glass type estimate)
    -1.02406
  • Sharpe ratio (Hedges UMVUE)
    -1.01956
  • df
    171.00000
  • t
    -0.72412
  • p
    0.53518
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.79651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.79347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75435
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16844
  • Upside Potential Ratio
    3.73578
  • Upside part of mean
    0.57098
  • Downside part of mean
    -0.74956
  • Upside SD
    0.08347
  • Downside SD
    0.15284
  • N nonnegative terms
    84.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.11029
  • Mean of criterion
    -0.17858
  • SD of predictor
    0.08946
  • SD of criterion
    0.17439
  • Covariance
    0.00158
  • r
    0.10134
  • b (slope, estimate of beta)
    0.19755
  • a (intercept, estimate of alpha)
    -0.20037
  • Mean Square Error
    0.03028
  • DF error
    170.00000
  • t(b)
    1.32812
  • p(b)
    0.44933
  • t(a)
    -0.81247
  • p(a)
    0.53110
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.09607
  • Upperbound of 95% confidence interval for beta
    0.49117
  • Lowerbound of 95% confidence interval for alpha
    -0.68721
  • Upperbound of 95% confidence interval for alpha
    0.28646
  • Treynor index (mean / b)
    -0.90401
  • Jensen alpha (a)
    -0.20037
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01586
  • Expected Shortfall on VaR
    0.01971
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00482
  • Expected Shortfall on VaR
    0.01109
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.92251
  • Quartile 1
    0.99949
  • Median
    1.00000
  • Quartile 3
    1.00157
  • Maximum
    1.04263
  • Mean of quarter 1
    0.99152
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00077
  • Mean of quarter 4
    1.00597
  • Inter Quartile Range
    0.00208
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.13372
  • Mean of outliers low
    0.98528
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.09302
  • Mean of outliers high
    1.01132
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94829
  • VaR(95%) (moments method)
    0.00580
  • Expected Shortfall (moments method)
    0.12696
  • Extreme Value Index (regression method)
    0.88000
  • VaR(95%) (regression method)
    0.00582
  • Expected Shortfall (regression method)
    0.05589
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00085
  • Quartile 1
    0.00298
  • Median
    0.00511
  • Quartile 3
    0.05200
  • Maximum
    0.09890
  • Mean of quarter 1
    0.00085
  • Mean of quarter 2
    0.00511
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09890
  • Inter Quartile Range
    0.04902
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    211
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.16172
  • Compounded annual return (geometric extrapolation)
    -0.15518
  • Calmar ratio (compounded annual return / max draw down)
    -1.56914
  • Compounded annual return / average of 25% largest draw downs
    -1.56914
  • Compounded annual return / Expected Shortfall lognormal
    -7.87298

Strategy Description

Please visit www.kingda.collective2.com for a detailed description.

==================================================

DISCLAIMER:

Trading foreign exchange on margin carries a high level of risk, and may not be suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to trade foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading, and seek advice from an independent financial advisor if you have any doubts.

Summary Statistics

Strategy began
2010-12-03
Suggested Minimum Capital
$2,100
# Trades
942
# Profitable
673
% Profitable
71.4%
Correlation S&P500
-0.011
Sharpe Ratio
-0.41
Sortino Ratio
-0.44
Beta
-0.01
Alpha
-0.03

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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