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Started: 05/2012
Mostly Forex; (some stocks)
Last trade: 512 days ago

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Free AutoTrade
3.3%
Annual Return (Compounded)
16.9%
Max Drawdown
560
Num Trades
28.2%
Win Trades
1.4 : 1
Profit Factor
23.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                              -  +2.3%+17.9%+24.3%+2.3%(2.9%)(10.3%)+3.0%+37.6%
2013+8.6%+7.3%(0.1%)(7.9%)(8.8%)(2%)(1.1%)(1.1%)(1.1%)(1.2%)(1.2%)(1.2%)(10.6%)
2014(1.2%)(1.2%)(1.2%)(1.2%)(1.3%)(1.3%)(1.3%)(1.3%)(1.3%)(1.3%)            (11.9%)

Model Account Details

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Closed Trades

CSV
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Opened ETB/S#Symbol PriceClosedPriceDDP/L
6/3/13 7:26 BUY 2 USD/CHF 0.95813 6/3 10:05 0.95551 0.33%
Trade id #81240950
Max drawdown($55)
Time6/3/13 10:05
Quant open0
Worst price0.95551
Drawdown as % of equity-0.33%
($57)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
6/3/13 5:10 BUY 2 USD/CHF 0.95789 6/3 5:29 0.95648 0.18%
Trade id #81239576
Max drawdown($30)
Time6/3/13 5:28
Quant open2
Worst price0.95644
Drawdown as % of equity-0.18%
($32)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/31/13 9:44 SELL 2 GBP/USD 1.51834 6/2 20:49 1.52109 0.33%
Trade id #81207585
Max drawdown($55)
Time6/2/13 20:49
Quant open0
Worst price1.52109
Drawdown as % of equity-0.33%
($57)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/31/13 6:07 SELL 2 GBP/USD 1.51867 5/31 6:58 1.52096 0.27%
Trade id #81204372
Max drawdown($46)
Time5/31/13 6:58
Quant open0
Worst price1.52096
Drawdown as % of equity-0.27%
($48)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/31/13 4:23 SELL 3 GBP/USD 1.51910 5/31 4:45 1.52079 0.3%
Trade id #81201762
Max drawdown($51)
Time5/31/13 4:45
Quant open0
Worst price1.52079
Drawdown as % of equity-0.30%
($54)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00
5/30/13 15:25 SELL 1 EUR/JPY 131.385 5/30 18:24 131.706 0.19%
Trade id #81188413
Max drawdown($32)
Time5/30/13 18:24
Quant open0
Worst price131.706
Drawdown as % of equity-0.19%
($33)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00
5/30/13 7:30 BUY 1 USD/CHF 0.96197 5/30 8:51 0.95934 0.16%
Trade id #81175951
Max drawdown($27)
Time5/30/13 8:51
Quant open0
Worst price0.95934
Drawdown as % of equity-0.16%
($28)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00
5/30/13 7:29 SELL 2 GBP/USD 1.51342 5/30 8:48 1.51670 0.39%
Trade id #81175911
Max drawdown($66)
Time5/30/13 8:48
Quant open0
Worst price1.51670
Drawdown as % of equity-0.39%
($68)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/28/13 10:59 SELL 1 EUR/JPY 131.538 5/30 7:40 131.758 0.22%
Trade id #81128560
Max drawdown($38)
Time5/30/13 6:37
Quant open-1
Worst price131.925
Drawdown as % of equity-0.22%
($23)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00
5/29/13 4:21 SELL 1 USD/CHF 0.97033 5/30 7:30 0.96197 0.1%
Trade id #81147460
Max drawdown($16)
Time5/29/13 4:30
Quant open-1
Worst price0.97195
Drawdown as % of equity-0.10%
$86
Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00
5/29/13 9:28 BUY 1 GBP/USD 1.51263 5/30 7:29 1.51342 0.17%
Trade id #81152419
Max drawdown($28)
Time5/29/13 11:15
Quant open1
Worst price1.50976
Drawdown as % of equity-0.17%
$7
Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00
5/28/13 10:13 SELL 2 EUR/USD 1.28919 5/29 4:09 1.28806 n/a $21
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/28/13 7:16 BUY 2 GBP/USD 1.51182 5/28 14:53 1.50592 1.01%
Trade id #81122597
Max drawdown($172)
Time5/28/13 11:01
Quant open2
Worst price1.50322
Drawdown as % of equity-1.01%
($120)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/28/13 5:59 BUY 2 EUR/USD 1.29310 5/28 9:19 1.29118 0.22%
Trade id #81121588
Max drawdown($38)
Time5/28/13 9:19
Quant open0
Worst price1.29118
Drawdown as % of equity-0.22%
($40)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/27/13 8:02 SELL 3 GBP/USD 1.51182 5/28 7:16 1.51182 0.12%
Trade id #81105717
Max drawdown($21)
Time5/27/13 8:14
Quant open-3
Worst price1.51252
Drawdown as % of equity-0.12%
($3)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00
5/27/13 11:23 SELL 4 EUR/USD 1.29306 5/28 5:58 1.29310 0.16%
Trade id #81108205
Max drawdown($27)
Time5/27/13 17:38
Quant open-4
Worst price1.29375
Drawdown as % of equity-0.16%
($6)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
5/27/13 11:23 BUY 4 USD/CHF 0.96401 5/27 14:52 0.96209 0.46%
Trade id #81108193
Max drawdown($80)
Time5/27/13 14:52
Quant open0
Worst price0.96209
Drawdown as % of equity-0.46%
($84)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
5/27/13 8:47 BUY 3 USD/CHF 0.96335 5/27 10:58 0.96213 0.22%
Trade id #81106168
Max drawdown($38)
Time5/27/13 10:58
Quant open0
Worst price0.96213
Drawdown as % of equity-0.22%
($41)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00
5/24/13 10:43 BUY 2 GBP/USD 1.51371 5/27 3:02 1.51267 0.3%
Trade id #81086971
Max drawdown($51)
Time5/24/13 11:37
Quant open2
Worst price1.51115
Drawdown as % of equity-0.30%
($23)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/24/13 11:15 SELL 1 EUR/USD 1.29182 5/24 14:51 1.29346 0.09%
Trade id #81087864
Max drawdown($16)
Time5/24/13 14:51
Quant open0
Worst price1.29346
Drawdown as % of equity-0.09%
($17)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00
5/23/13 4:11 BUY 2 EUR/USD 1.28812 5/24 11:14 1.29146 0.1%
Trade id #81051570
Max drawdown($16)
Time5/23/13 4:23
Quant open2
Worst price1.28728
Drawdown as % of equity-0.10%
$65
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/24/13 6:20 BUY 2 GBP/USD 1.51233 5/24 8:14 1.50988 0.28%
Trade id #81080862
Max drawdown($49)
Time5/24/13 8:14
Quant open0
Worst price1.50988
Drawdown as % of equity-0.28%
($51)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/24/13 4:28 BUY 2 GBP/USD 1.51161 5/24 5:32 1.50905 0.29%
Trade id #81079556
Max drawdown($51)
Time5/24/13 5:32
Quant open0
Worst price1.50905
Drawdown as % of equity-0.29%
($53)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/23/13 11:23 BUY 2 GBP/USD 1.50971 5/23 20:22 1.50723 0.29%
Trade id #81060823
Max drawdown($50)
Time5/23/13 20:22
Quant open0
Worst price1.50723
Drawdown as % of equity-0.29%
($52)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/23/13 14:06 SELL 1 USD/CHF 0.96696 5/23 19:58 0.97032 0.2%
Trade id #81065469
Max drawdown($35)
Time5/23/13 19:58
Quant open0
Worst price0.97032
Drawdown as % of equity-0.20%
($36)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00
5/22/13 10:37 SELL 1 EUR/USD 1.29042 5/23 3:43 1.28622 0.11%
Trade id #81029829
Max drawdown($19)
Time5/22/13 10:45
Quant open-1
Worst price1.29232
Drawdown as % of equity-0.11%
$41
Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00
5/21/13 4:27 SELL 3 GBP/USD 1.52110 5/21 22:11 1.51577 0.13%
Trade id #80991903
Max drawdown($22)
Time5/21/13 4:30
Quant open-3
Worst price1.52184
Drawdown as % of equity-0.13%
$157
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00
5/21/13 10:25 SELL 2 EUR/JPY 132.003 5/21 11:21 132.243 0.27%
Trade id #80998279
Max drawdown($47)
Time5/21/13 11:21
Quant open0
Worst price132.243
Drawdown as % of equity-0.27%
($49)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/21/13 7:13 SELL 2 EUR/JPY 132.030 5/21 7:50 132.214 0.21%
Trade id #80993893
Max drawdown($36)
Time5/21/13 7:50
Quant open0
Worst price132.214
Drawdown as % of equity-0.21%
($38)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
5/20/13 10:48 BUY 3 GBP/USD 1.52204 5/21 4:26 1.52203 0.12%
Trade id #80972904
Max drawdown($21)
Time5/20/13 11:53
Quant open3
Worst price1.52133
Drawdown as % of equity-0.12%
($3)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00

Statistics

  • Strategy began
    5/27/2012
  • Age
    30 months ago
  • What it trades
    Forex
  • # Trades
    560
  • # Profitable
    158
  • % Profitable
    28.20%
  • Avg trade duration
    16.8 hours
  • Max peak-to-valley drawdown
    16.88%
  • drawdown period
    April 17, 2013 - June 03, 2013
  • Annual Return (Compounded)
    3.3%
  • Avg win
    $161.81
  • Avg loss
    $46.97
  • W:L ratio
    1.35:1
  • Close PL
    $16,685
  • Closed PL (start day)
    $6,685
  • Closed PL Change $
    $10,000
  • Closed PL Change %
    149.59%
  • Equity
    $16,685
  • Equity (start day)
    $16,685
  • Equity Change $
    $0.00
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    884
  • # Trades
    560
  • Avg Trade Length
    0.7
  • PROFIT
  • Profit Factor
    1.4
  • SORTINO STATISTICS
  • Sortino Ratio
    3.209
  • CALMAR STATISTICS
  • Calmar Ratio
    2.091
  • Ann Return (w trading costs)
    3.3%
  • SHARPE STATISTICS
  • Sharpe Ratio
    1.442
  • Ann Return (Compnd, No Fees)
    23.4%
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • PROFIT STATISTICS
  • APD
    0.24
  • DRAW DOWN STATISTICS
  • Max Drawdown
    16.9%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $147
  • Billing Period (days)
    30
  • Trial Days
    7
  • WIN STATISTICS
  • Avg Loss
    $47
  • Avg Win
    $162
  • # Winners
    158
  • # Losers
    402
  • % Winners
    28.2%
  • TIME STATISTICS
  • Avg Position Time (mins)
    1009.95
  • Avg Position Time (hrs)
    16.83
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31742
  • SD
    0.26436
  • Sharpe ratio (Glass type estimate)
    1.20068
  • Sharpe ratio (Hedges UMVUE)
    1.15499
  • df
    20.00000
  • t
    1.58835
  • p
    0.33266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36923
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67920
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97777
  • Upside Potential Ratio
    4.40222
  • Upside part of mean
    0.46925
  • Downside part of mean
    -0.15184
  • Upside SD
    0.25218
  • Downside SD
    0.10659
  • N nonnegative terms
    9.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.23644
  • Mean of criterion
    0.31742
  • SD of predictor
    0.11752
  • SD of criterion
    0.26436
  • Covariance
    0.01042
  • r
    0.33549
  • b (slope, estimate of beta)
    0.75470
  • a (intercept, estimate of alpha)
    0.13897
  • Mean Square Error
    0.06529
  • DF error
    19.00000
  • t(b)
    1.55233
  • p(b)
    0.29050
  • t(a)
    0.61828
  • p(a)
    0.41089
  • Lowerbound of 95% confidence interval for beta
    -0.26287
  • Upperbound of 95% confidence interval for beta
    1.77227
  • Lowerbound of 95% confidence interval for alpha
    -0.33147
  • Upperbound of 95% confidence interval for alpha
    0.60941
  • Treynor index (mean / b)
    0.42058
  • Jensen alpha (a)
    0.13897
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28251
  • SD
    0.25127
  • Sharpe ratio (Glass type estimate)
    1.12433
  • Sharpe ratio (Hedges UMVUE)
    1.08154
  • df
    20.00000
  • t
    1.48735
  • p
    0.34221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41043
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43749
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60057
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53797
  • Upside Potential Ratio
    3.95495
  • Upside part of mean
    0.44024
  • Downside part of mean
    -0.15773
  • Upside SD
    0.23322
  • Downside SD
    0.11131
  • N nonnegative terms
    9.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.22750
  • Mean of criterion
    0.28251
  • SD of predictor
    0.11712
  • SD of criterion
    0.25127
  • Covariance
    0.01037
  • r
    0.35238
  • b (slope, estimate of beta)
    0.75603
  • a (intercept, estimate of alpha)
    0.11052
  • Mean Square Error
    0.05821
  • DF error
    19.00000
  • t(b)
    1.64128
  • p(b)
    0.28040
  • t(a)
    0.52542
  • p(a)
    0.42400
  • Lowerbound of 95% confidence interval for beta
    -0.20809
  • Upperbound of 95% confidence interval for beta
    1.72015
  • Lowerbound of 95% confidence interval for alpha
    -0.32973
  • Upperbound of 95% confidence interval for alpha
    0.55076
  • Treynor index (mean / b)
    0.37367
  • Jensen alpha (a)
    0.11052
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09132
  • Expected Shortfall on VaR
    0.11814
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03133
  • Expected Shortfall on VaR
    0.06471
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.90791
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.05746
  • Maximum
    1.20323
  • Mean of quarter 1
    0.95737
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.03349
  • Mean of quarter 4
    1.13224
  • Inter Quartile Range
    0.05746
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09524
  • Mean of outliers low
    0.90835
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    1.20000
  • 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)
    -3.19131
  • VaR(95%) (regression method)
    0.09377
  • Expected Shortfall (regression method)
    0.09434
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03263
  • Quartile 1
    0.06236
  • Median
    0.09209
  • Quartile 3
    0.10975
  • Maximum
    0.12741
  • Mean of quarter 1
    0.03263
  • Mean of quarter 2
    0.09209
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12741
  • Inter Quartile Range
    0.04739
  • 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)
    0.38189
  • Compounded annual return (geometric extrapolation)
    0.33972
  • Calmar ratio (compounded annual return / max draw down)
    2.66629
  • Compounded annual return / average of 25% largest draw downs
    2.66629
  • Compounded annual return / Expected Shortfall lognormal
    2.87563
  • 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
    0.28836
  • SD
    0.19159
  • Sharpe ratio (Glass type estimate)
    1.50513
  • Sharpe ratio (Hedges UMVUE)
    1.50332
  • df
    627.00000
  • t
    2.03364
  • p
    0.02120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95631
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46264
  • Upside Potential Ratio
    9.73897
  • Upside part of mean
    0.81104
  • Downside part of mean
    -0.52268
  • Upside SD
    0.17307
  • Downside SD
    0.08328
  • N nonnegative terms
    135.00000
  • N negative terms
    493.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    628.00000
  • Mean of predictor
    0.20682
  • Mean of criterion
    0.28836
  • SD of predictor
    0.13157
  • SD of criterion
    0.19159
  • Covariance
    -0.00146
  • r
    -0.05789
  • b (slope, estimate of beta)
    -0.08430
  • a (intercept, estimate of alpha)
    0.30579
  • Mean Square Error
    0.03664
  • DF error
    626.00000
  • t(b)
    -1.45084
  • p(b)
    0.92634
  • t(a)
    2.15076
  • p(a)
    0.01594
  • Lowerbound of 95% confidence interval for beta
    -0.19840
  • Upperbound of 95% confidence interval for beta
    0.02980
  • Lowerbound of 95% confidence interval for alpha
    0.02659
  • Upperbound of 95% confidence interval for alpha
    0.58500
  • Treynor index (mean / b)
    -3.42077
  • Jensen alpha (a)
    0.30579
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27047
  • SD
    0.18729
  • Sharpe ratio (Glass type estimate)
    1.44408
  • Sharpe ratio (Hedges UMVUE)
    1.44235
  • df
    627.00000
  • t
    1.95115
  • p
    0.02574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89514
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20923
  • Upside Potential Ratio
    9.45267
  • Upside part of mean
    0.79665
  • Downside part of mean
    -0.52618
  • Upside SD
    0.16773
  • Downside SD
    0.08428
  • N nonnegative terms
    135.00000
  • N negative terms
    493.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    628.00000
  • Mean of predictor
    0.19812
  • Mean of criterion
    0.27047
  • SD of predictor
    0.13146
  • SD of criterion
    0.18729
  • Covariance
    -0.00146
  • r
    -0.05936
  • b (slope, estimate of beta)
    -0.08457
  • a (intercept, estimate of alpha)
    0.28722
  • Mean Square Error
    0.03501
  • DF error
    626.00000
  • t(b)
    -1.48789
  • p(b)
    0.93136
  • t(a)
    2.06721
  • p(a)
    0.01956
  • Lowerbound of 95% confidence interval for beta
    -0.19620
  • Upperbound of 95% confidence interval for beta
    0.02705
  • Lowerbound of 95% confidence interval for alpha
    0.01437
  • Upperbound of 95% confidence interval for alpha
    0.56007
  • Treynor index (mean / b)
    -3.19798
  • Jensen alpha (a)
    0.28722
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01570
  • Expected Shortfall on VaR
    0.01984
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00456
  • Expected Shortfall on VaR
    0.00960
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    628.00000
  • Minimum
    0.95538
  • Quartile 1
    0.99952
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.11514
  • Mean of quarter 1
    0.99403
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00946
  • Inter Quartile Range
    0.00047
  • Number outliers low
    139.00000
  • Percentage of outliers low
    0.22134
  • Mean of outliers low
    0.99336
  • Number of outliers high
    121.00000
  • Percentage of outliers high
    0.19268
  • Mean of outliers high
    1.01223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52520
  • VaR(95%) (moments method)
    0.00443
  • Expected Shortfall (moments method)
    0.01132
  • Extreme Value Index (regression method)
    0.30292
  • VaR(95%) (regression method)
    0.00498
  • Expected Shortfall (regression method)
    0.00965
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00103
  • Quartile 1
    0.00538
  • Median
    0.02722
  • Quartile 3
    0.03722
  • Maximum
    0.15482
  • Mean of quarter 1
    0.00211
  • Mean of quarter 2
    0.01324
  • Mean of quarter 3
    0.03328
  • Mean of quarter 4
    0.08898
  • Inter Quartile Range
    0.03184
  • 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
    0.10526
  • Mean of outliers high
    0.14492
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.49128
  • VaR(95%) (moments method)
    0.08952
  • Expected Shortfall (moments method)
    0.10610
  • Extreme Value Index (regression method)
    -0.52776
  • VaR(95%) (regression method)
    0.11471
  • Expected Shortfall (regression method)
    0.13454
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36618
  • Compounded annual return (geometric extrapolation)
    0.32368
  • Calmar ratio (compounded annual return / max draw down)
    2.09070
  • Compounded annual return / average of 25% largest draw downs
    3.63759
  • Compounded annual return / Expected Shortfall lognormal
    16.31700
  • 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
    -0.00971
  • SD
    0.00017
  • Sharpe ratio (Glass type estimate)
    -57.27700
  • Sharpe ratio (Hedges UMVUE)
    -57.02540
  • df
    171.00000
  • t
    -40.50090
  • p
    0.99366
  • 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
    -63.67440
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -50.37640
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.15320
  • Upside Potential Ratio
    0.34007
  • Upside part of mean
    0.00018
  • Downside part of mean
    -0.00989
  • Upside SD
    0.00013
  • Downside SD
    0.00053
  • N nonnegative terms
    1.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.23971
  • Mean of criterion
    -0.00971
  • SD of predictor
    0.14641
  • SD of criterion
    0.00017
  • Covariance
    -0.00000
  • r
    -0.00705
  • b (slope, estimate of beta)
    -0.00001
  • a (intercept, estimate of alpha)
    -0.00971
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    -0.09194
  • p(b)
    0.50353
  • t(a)
    -40.21790
  • p(a)
    0.97563
  • Lowerbound of 95% confidence interval for beta
    -0.00018
  • Upperbound of 95% confidence interval for beta
    0.00017
  • Lowerbound of 95% confidence interval for alpha
    -0.01019
  • Upperbound of 95% confidence interval for alpha
    -0.00923
  • Treynor index (mean / b)
    1189.23000
  • Jensen alpha (a)
    -0.00971
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00971
  • SD
    0.00017
  • Sharpe ratio (Glass type estimate)
    -57.27970
  • Sharpe ratio (Hedges UMVUE)
    -57.02810
  • df
    171.00000
  • t
    -40.50280
  • p
    0.99366
  • 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
    -63.67730
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -50.37880
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.15320
  • Upside Potential Ratio
    0.34005
  • Upside part of mean
    0.00018
  • Downside part of mean
    -0.00989
  • Upside SD
    0.00013
  • Downside SD
    0.00053
  • N nonnegative terms
    1.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.22899
  • Mean of criterion
    -0.00971
  • SD of predictor
    0.14614
  • SD of criterion
    0.00017
  • Covariance
    -0.00000
  • r
    -0.00676
  • b (slope, estimate of beta)
    -0.00001
  • a (intercept, estimate of alpha)
    -0.00971
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    -0.08815
  • p(b)
    0.50338
  • t(a)
    -40.23350
  • p(a)
    0.97565
  • Lowerbound of 95% confidence interval for beta
    -0.00018
  • Upperbound of 95% confidence interval for beta
    0.00017
  • Lowerbound of 95% confidence interval for alpha
    -0.01019
  • Upperbound of 95% confidence interval for alpha
    -0.00923
  • Treynor index (mean / b)
    1238.13000
  • Jensen alpha (a)
    -0.00971
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00004
  • Expected Shortfall on VaR
    0.00005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • 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
    1.00012
  • 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
    1.00000
  • Percentage of outliers high
    0.00581
  • Mean of outliers high
    1.00012
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00024
  • Compounded annual return (geometric extrapolation)
    0.00024
  • 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
    5.09287

Strategy Description

Samurai has been programmed in TradeStation and so is a fully automated system helping eradicate poor discipline on a trade by trade basis. Both technical and fundamental analysis are used to identify opportunities with a positive expectancy.

Samurai is a trend trading system and so like most system of this nature it has an asymmetric risk profile where the average gain is much larger than the average loss but with a lower win: loss ratio.

Hosted on a dedicated RapidSwitch.com RAW II server
Backtested over 8 years of data with a sample size of nearly 6000 trades
Traded live since February 2010
An average of 60 trades a month
0.3% risked per trade with an absolute maximum of 0.7%
Traded on: EURUSD, USDCHF, GBPUSD, EURJPY
Lower subscription rates for trading accounts smaller than 10k (Please ask)

I'm willing to provide the full backtest report to prospective clients. Please do contact me if you have any questions.

Please see my other system on Collective2 which works well in conjunction with Samurai:
http://collective2.com/cgi-perl/system75489047

Onwards and upwards!.

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. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • 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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