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

QTPulse
(76753569)

Created by: QuantaTrading2 QuantaTrading2
Started: 09/2012
Forex
Last trade: 2,337 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. Subscriptions to this system cost $5.00 per month.

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.

0.9%
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.

(77.7%)
Max Drawdown
480
Num Trades
57.7%
Win Trades
1.2 : 1
Profit Factor
56.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                        (1.3%)+1.2%(3.6%)+13.7%+9.5%
2013+12.8%+2.4%+0.2%(14.7%)(17.6%)+1.7%+29.3%+13.0%(14.1%)+9.6%(17.3%)(4.6%)(10.2%)
2014(13%)(8.2%)+3.1%+17.9%+5.9%+1.5%+7.2%(1.4%)(8.4%)+10.5%+12.1%+2.5%+28.1%
2015(37.6%)+4.0%(8.5%)(2.9%)(15.4%)+4.9%+6.2%(29.5%)+24.1%+47.6%+6.1%(4.7%)(29%)
2016+31.3%(11.3%)+2.4%(6.9%)+2.4%(0.1%)+2.4%+2.8%(2.8%)+3.0%+0.7%(0.6%)+19.7%
2017(8.2%)+1.3%+0.5%(3.2%)+3.3%+3.1%+0.6%(8%)+6.1%+6.6%(2.1%)(0.1%)(1.3%)
2018(0.6%)  -    -  +0.2%+0.1%+0.3%  -    -  +0.4%(0.1%)+0.3%(0.2%)+0.3%
2019(0.5%)+0.1%+0.1%+0.1%(0.1%)(0.6%)+0.1%(0.3%)+0.3%+0.1%+0.1%+0.2%(0.5%)
2020  -  +0.3%+0.2%(0.2%)(0.1%)+0.1%(0.4%)+0.1%(0.1%)(0.3%)(0.2%)(0.1%)(0.7%)
2021+0.1%+0.2%+0.3%(0.3%)  -  +0.2%  -    -  +0.1%+0.3%+0.3%+0.1%+1.6%
2022(0.3%)+0.3%+0.4%+1.0%(0.1%)+0.9%(0.1%)+0.4%+0.6%+0.4%(0.5%)(0.5%)+2.7%
2023(0.4%)+0.6%(0.3%)+0.4%+0.6%+0.1%(0.1%)+0.5%  -  +0.3%  -  (0.7%)+1.0%
2024+0.6%+0.1%+0.1%                                                      +0.8%

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 168 hours.

Trading Record

This strategy has placed 845 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2971 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/22/17 2:52 USD/CAD USD/CAD LONG 2 1.23016 11/3 7:10 1.28288 0%
Trade id #113802058
Max drawdown$0
Time9/22/17 2:54
Quant open1
Worst price1.23019
Drawdown as % of equity0.00%
$822
8/11/17 13:12 EUR/CHF EUR/CHF SHORT 6 1.13964 10/26 20:41 1.15024 7.65%
Trade id #113109877
Max drawdown($637)
Time10/26/17 20:41
Quant open4
Worst price1.16114
Drawdown as % of equity-7.65%
($637)
8/8/17 8:42 EUR/JPY EUR/JPY SHORT 1 130.338 8/29 15:01 131.595 1.44%
Trade id #113031797
Max drawdown($115)
Time8/29/17 15:01
Quant open0
Worst price131.595
Drawdown as % of equity-1.44%
($115)
8/1/17 7:08 NZD/CHF NZD/CHF LONG 1 0.72238 8/1 10:36 0.72261 0.28%
Trade id #112914088
Max drawdown($23)
Time8/1/17 9:26
Quant open1
Worst price0.72013
Drawdown as % of equity-0.28%
$2
7/4/17 11:13 NZD/CHF NZD/CHF LONG 1 0.70425 7/13 6:59 0.70845 1.2%
Trade id #112400995
Max drawdown($97)
Time7/11/17 17:34
Quant open1
Worst price0.69480
Drawdown as % of equity-1.20%
$44
7/5/17 5:07 USD/JPY USD/JPY SHORT 1 113.536 7/6 7:20 113.326 0.16%
Trade id #112411320
Max drawdown($13)
Time7/5/17 6:18
Quant open-1
Worst price113.686
Drawdown as % of equity-0.16%
$19
6/18/17 17:11 AUD/USD AUD/USD SHORT 1 0.76211 6/20 10:53 0.75879 0.1%
Trade id #112108503
Max drawdown($8)
Time6/18/17 22:12
Quant open-1
Worst price0.76291
Drawdown as % of equity-0.10%
$33
6/14/17 7:07 GBP/USD GBP/USD SHORT 1 1.27292 6/20 3:30 1.27100 1.1%
Trade id #112048399
Max drawdown($88)
Time6/14/17 12:02
Quant open-1
Worst price1.28181
Drawdown as % of equity-1.10%
$19
3/2/17 21:00 NZD/USD NZD/USD LONG 2 0.70499 6/6 6:44 0.70525 2.99%
Trade id #110003372
Max drawdown($234)
Time3/8/17 8:15
Quant open2
Worst price0.69329
Drawdown as % of equity-2.99%
$5
5/31/17 8:07 EUR/AUD EUR/AUD SHORT 1 1.50491 5/31 22:05 1.52132 1.49%
Trade id #111844985
Max drawdown($121)
Time5/31/17 22:05
Quant open0
Worst price1.52132
Drawdown as % of equity-1.49%
($121)
5/24/17 7:15 GBP/JPY GBP/JPY SHORT 1 144.964 5/25 7:28 144.905 0.52%
Trade id #111745152
Max drawdown($41)
Time5/25/17 4:30
Quant open-1
Worst price145.433
Drawdown as % of equity-0.52%
$5
5/22/17 21:35 USD/CAD USD/CAD SHORT 1 1.34843 5/24 22:39 1.34000 0.52%
Trade id #111721157
Max drawdown($41)
Time5/24/17 1:46
Quant open-1
Worst price1.35403
Drawdown as % of equity-0.52%
$63
5/17/17 6:58 AUD/NZD AUD/NZD LONG 1 1.07513 5/18 20:05 1.07660 0.52%
Trade id #111636123
Max drawdown($40)
Time5/17/17 21:08
Quant open1
Worst price1.06921
Drawdown as % of equity-0.52%
$10
5/17/17 6:53 GBP/JPY GBP/JPY LONG 1 145.854 5/17 9:48 144.511 1.52%
Trade id #111636057
Max drawdown($121)
Time5/17/17 9:48
Quant open0
Worst price144.511
Drawdown as % of equity-1.52%
($121)
5/11/17 13:21 GBP/NZD GBP/NZD SHORT 1 1.87820 5/15 5:14 1.87200 0.8%
Trade id #111551209
Max drawdown($62)
Time5/11/17 21:45
Quant open-1
Worst price1.88722
Drawdown as % of equity-0.80%
$43
5/5/17 15:05 USD/CAD USD/CAD SHORT 3 1.36848 5/15 2:52 1.36486 2.41%
Trade id #111437032
Max drawdown($187)
Time5/11/17 8:38
Quant open-3
Worst price1.37700
Drawdown as % of equity-2.41%
$80
4/9/17 21:28 GBP/USD GBP/USD LONG 1 1.23847 4/12 3:56 1.25001 0.13%
Trade id #110863355
Max drawdown($10)
Time4/9/17 22:11
Quant open1
Worst price1.23745
Drawdown as % of equity-0.13%
$115
3/23/17 8:07 USD/JPY USD/JPY LONG 1 111.083 4/11 10:57 109.777 1.5%
Trade id #110396714
Max drawdown($119)
Time4/11/17 10:57
Quant open0
Worst price109.777
Drawdown as % of equity-1.50%
($119)
3/10/17 7:06 GBP/NZD GBP/NZD SHORT 1 1.75608 3/24 5:44 1.78115 2.42%
Trade id #110164063
Max drawdown($194)
Time3/24/17 4:20
Quant open-1
Worst price1.78375
Drawdown as % of equity-2.42%
($176)
3/1/17 2:12 GBP/USD GBP/USD LONG 1 1.23498 3/20 23:12 1.23654 3.05%
Trade id #109937661
Max drawdown($241)
Time3/14/17 4:16
Quant open1
Worst price1.21088
Drawdown as % of equity-3.05%
$16
3/6/17 23:13 GBP/AUD GBP/AUD LONG 1 1.60762 3/9 6:24 1.62200 0.57%
Trade id #110065207
Max drawdown($45)
Time3/7/17 9:37
Quant open1
Worst price1.60155
Drawdown as % of equity-0.57%
$108
2/17/17 8:10 EUR/JPY EUR/JPY LONG 2 120.020 3/2 14:36 120.061 1.97%
Trade id #109629511
Max drawdown($155)
Time2/24/17 15:21
Quant open1
Worst price118.235
Drawdown as % of equity-1.97%
$7
3/1/17 19:48 GBP/AUD GBP/AUD LONG 2 1.60501 3/2 14:36 1.62050 0.64%
Trade id #109970790
Max drawdown($50)
Time3/1/17 21:31
Quant open2
Worst price1.60166
Drawdown as % of equity-0.64%
$234
2/3/17 8:30 USD/JPY USD/JPY LONG 2 112.700 2/9 9:57 112.800 2.51%
Trade id #109259736
Max drawdown($196)
Time2/6/17 19:43
Quant open2
Worst price111.594
Drawdown as % of equity-2.51%
$18
2/2/17 5:02 USD/JPY USD/JPY LONG 2 112.368 2/2 22:31 112.868 0.71%
Trade id #109226134
Max drawdown($55)
Time2/2/17 8:49
Quant open2
Worst price112.052
Drawdown as % of equity-0.71%
$89
12/14/16 18:09 GBP/USD GBP/USD LONG 4 1.24332 1/6/17 13:03 1.22966 6.9%
Trade id #107955615
Max drawdown($546)
Time1/6/17 13:03
Quant open2
Worst price1.22965
Drawdown as % of equity-6.90%
($546)
12/23/16 7:33 NZD/USD NZD/USD LONG 1 0.68800 1/4/17 9:11 0.69500 0.22%
Trade id #108161282
Max drawdown($17)
Time12/23/16 10:38
Quant open1
Worst price0.68621
Drawdown as % of equity-0.22%
$70
12/12/16 14:02 GBP/AUD GBP/AUD SHORT 1 1.69172 12/12 20:07 1.69109 0.13%
Trade id #107883509
Max drawdown($10)
Time12/12/16 14:24
Quant open-1
Worst price1.69314
Drawdown as % of equity-0.13%
$5
12/5/16 12:39 EUR/USD EUR/USD SHORT 1 1.07501 12/8 10:06 1.06199 1.51%
Trade id #107740214
Max drawdown($123)
Time12/8/16 7:47
Quant open-1
Worst price1.08734
Drawdown as % of equity-1.51%
$130
11/21/16 8:23 GBP/USD GBP/USD SHORT 1 1.23984 11/23 8:32 1.23935 1.39%
Trade id #107355004
Max drawdown($114)
Time11/21/16 20:40
Quant open-1
Worst price1.25124
Drawdown as % of equity-1.39%
$5

Statistics

  • Strategy began
    9/24/2012
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4198.41
  • Age
    140 months ago
  • What it trades
    Forex
  • # Trades
    480
  • # Profitable
    277
  • % Profitable
    57.70%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    77.72%
  • drawdown period
    April 11, 2013 - Aug 24, 2015
  • Annual Return (Compounded)
    0.9%
  • Avg win
    $84.24
  • Avg loss
    $97.32
  • Model Account Values (Raw)
  • Cash
    $8,582
  • Margin Used
    $0
  • Buying Power
    $8,582
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    0.07
  • Sortino Ratio
    0.1
  • Calmar Ratio
    0.21
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -248.08%
  • Correlation to SP500
    0.09760
  • Return Percent SP500 (cumu) during strategy life
    260.66%
  • Return Statistics
  • Ann Return (w trading costs)
    0.9%
  • Slump
  • Current Slump as Pcnt Equity
    23.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.009%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    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)
    100.00%
  • Automation
  • Percentage Signals Automated
    77.72%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $97
  • Avg Win
    $84
  • Sum Trade PL (losers)
    $19,755.000
  • Age
  • Num Months filled monthly returns table
    139
  • Win / Loss
  • Sum Trade PL (winners)
    $23,335.000
  • # Winners
    277
  • Num Months Winners
    83
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    203
  • % Winners
    57.7%
  • Frequency
  • Avg Position Time (mins)
    5382.05
  • Avg Position Time (hrs)
    89.70
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    2332
  • Regression
  • Alpha
    0.00
  • Beta
    0.15
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    90.94
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    72.47
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.86
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    18.244
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.793
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.207
  • Hold-and-Hope Ratio
    0.055
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12304
  • SD
    0.31832
  • Sharpe ratio (Glass type estimate)
    0.38652
  • Sharpe ratio (Hedges UMVUE)
    0.38190
  • df
    63.00000
  • t
    0.89264
  • p
    0.18772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46940
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23321
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60657
  • Upside Potential Ratio
    2.03063
  • Upside part of mean
    0.41190
  • Downside part of mean
    -0.28886
  • Upside SD
    0.24466
  • Downside SD
    0.20284
  • N nonnegative terms
    36.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    64.00000
  • Mean of predictor
    0.21090
  • Mean of criterion
    0.12304
  • SD of predictor
    0.17113
  • SD of criterion
    0.31832
  • Covariance
    -0.00143
  • r
    -0.02622
  • b (slope, estimate of beta)
    -0.04877
  • a (intercept, estimate of alpha)
    0.13332
  • Mean Square Error
    0.10289
  • DF error
    62.00000
  • t(b)
    -0.20653
  • p(b)
    0.58147
  • t(a)
    0.90355
  • p(a)
    0.18486
  • Lowerbound of 95% confidence interval for beta
    -0.52084
  • Upperbound of 95% confidence interval for beta
    0.42329
  • Lowerbound of 95% confidence interval for alpha
    -0.16163
  • Upperbound of 95% confidence interval for alpha
    0.42828
  • Treynor index (mean / b)
    -2.52265
  • Jensen alpha (a)
    0.13332
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07288
  • SD
    0.31829
  • Sharpe ratio (Glass type estimate)
    0.22898
  • Sharpe ratio (Hedges UMVUE)
    0.22624
  • df
    63.00000
  • t
    0.52881
  • p
    0.29940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62336
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07585
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32289
  • Upside Potential Ratio
    1.70447
  • Upside part of mean
    0.38473
  • Downside part of mean
    -0.31185
  • Upside SD
    0.22186
  • Downside SD
    0.22572
  • N nonnegative terms
    36.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    64.00000
  • Mean of predictor
    0.19502
  • Mean of criterion
    0.07288
  • SD of predictor
    0.16525
  • SD of criterion
    0.31829
  • Covariance
    -0.00121
  • r
    -0.02292
  • b (slope, estimate of beta)
    -0.04415
  • a (intercept, estimate of alpha)
    0.08149
  • Mean Square Error
    0.10289
  • DF error
    62.00000
  • t(b)
    -0.18055
  • p(b)
    0.57135
  • t(a)
    0.55493
  • p(a)
    0.29047
  • Lowerbound of 95% confidence interval for beta
    -0.53300
  • Upperbound of 95% confidence interval for beta
    0.44469
  • Lowerbound of 95% confidence interval for alpha
    -0.21207
  • Upperbound of 95% confidence interval for alpha
    0.37505
  • Treynor index (mean / b)
    -1.65063
  • Jensen alpha (a)
    0.08149
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13503
  • Expected Shortfall on VaR
    0.16713
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04991
  • Expected Shortfall on VaR
    0.10702
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    64.00000
  • Minimum
    0.71920
  • Quartile 1
    0.98754
  • Median
    1.00459
  • Quartile 3
    1.04245
  • Maximum
    1.33927
  • Mean of quarter 1
    0.91044
  • Mean of quarter 2
    0.99831
  • Mean of quarter 3
    1.01974
  • Mean of quarter 4
    1.12184
  • Inter Quartile Range
    0.05491
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.07812
  • Mean of outliers low
    0.81871
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.07812
  • Mean of outliers high
    1.20400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09830
  • VaR(95%) (moments method)
    0.05025
  • Expected Shortfall (moments method)
    0.07879
  • Extreme Value Index (regression method)
    0.33863
  • VaR(95%) (regression method)
    0.08733
  • Expected Shortfall (regression method)
    0.17812
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00141
  • Quartile 1
    0.02740
  • Median
    0.17593
  • Quartile 3
    0.28549
  • Maximum
    0.39896
  • Mean of quarter 1
    0.00323
  • Mean of quarter 2
    0.09442
  • Mean of quarter 3
    0.25743
  • Mean of quarter 4
    0.34690
  • Inter Quartile Range
    0.25809
  • 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)
    0.13346
  • Compounded annual return (geometric extrapolation)
    0.10604
  • Calmar ratio (compounded annual return / max draw down)
    0.26580
  • Compounded annual return / average of 25% largest draw downs
    0.30569
  • Compounded annual return / Expected Shortfall lognormal
    0.63449
  • 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
    0.10513
  • SD
    0.25609
  • Sharpe ratio (Glass type estimate)
    0.41053
  • Sharpe ratio (Hedges UMVUE)
    0.41031
  • df
    1402.00000
  • t
    0.95000
  • p
    0.48732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43665
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25757
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25742
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64977
  • Upside Potential Ratio
    6.64310
  • Upside part of mean
    1.07484
  • Downside part of mean
    -0.96971
  • Upside SD
    0.19848
  • Downside SD
    0.16180
  • N nonnegative terms
    676.00000
  • N negative terms
    727.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1403.00000
  • Mean of predictor
    0.23200
  • Mean of criterion
    0.10513
  • SD of predictor
    0.21699
  • SD of criterion
    0.25609
  • Covariance
    0.00562
  • r
    0.10111
  • b (slope, estimate of beta)
    0.11933
  • a (intercept, estimate of alpha)
    0.07700
  • Mean Square Error
    0.06496
  • DF error
    1401.00000
  • t(b)
    3.80406
  • p(b)
    0.43574
  • t(a)
    0.70166
  • p(a)
    0.48807
  • Lowerbound of 95% confidence interval for beta
    0.05779
  • Upperbound of 95% confidence interval for beta
    0.18086
  • Lowerbound of 95% confidence interval for alpha
    -0.13907
  • Upperbound of 95% confidence interval for alpha
    0.29397
  • Treynor index (mean / b)
    0.88103
  • Jensen alpha (a)
    0.07745
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07274
  • SD
    0.25388
  • Sharpe ratio (Glass type estimate)
    0.28650
  • Sharpe ratio (Hedges UMVUE)
    0.28635
  • df
    1402.00000
  • t
    0.66298
  • p
    0.49115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13339
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43717
  • Upside Potential Ratio
    6.34636
  • Upside part of mean
    1.05593
  • Downside part of mean
    -0.98319
  • Upside SD
    0.19170
  • Downside SD
    0.16638
  • N nonnegative terms
    676.00000
  • N negative terms
    727.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1403.00000
  • Mean of predictor
    0.20791
  • Mean of criterion
    0.07274
  • SD of predictor
    0.22023
  • SD of criterion
    0.25388
  • Covariance
    0.00561
  • r
    0.10031
  • b (slope, estimate of beta)
    0.11564
  • a (intercept, estimate of alpha)
    0.04870
  • Mean Square Error
    0.06385
  • DF error
    1401.00000
  • t(b)
    3.77365
  • p(b)
    0.43625
  • t(a)
    0.44518
  • p(a)
    0.49243
  • Lowerbound of 95% confidence interval for beta
    0.05553
  • Upperbound of 95% confidence interval for beta
    0.17575
  • Lowerbound of 95% confidence interval for alpha
    -0.16588
  • Upperbound of 95% confidence interval for alpha
    0.26327
  • Treynor index (mean / b)
    0.62901
  • Jensen alpha (a)
    0.04870
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02520
  • Expected Shortfall on VaR
    0.03155
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00853
  • Expected Shortfall on VaR
    0.01843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1403.00000
  • Minimum
    0.87147
  • Quartile 1
    0.99741
  • Median
    1.00003
  • Quartile 3
    1.00252
  • Maximum
    1.16031
  • Mean of quarter 1
    0.98620
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00089
  • Mean of quarter 4
    1.01572
  • Inter Quartile Range
    0.00511
  • Number outliers low
    156.00000
  • Percentage of outliers low
    0.11119
  • Mean of outliers low
    0.97616
  • Number of outliers high
    165.00000
  • Percentage of outliers high
    0.11761
  • Mean of outliers high
    1.02724
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45233
  • VaR(95%) (moments method)
    0.01078
  • Expected Shortfall (moments method)
    0.02381
  • Extreme Value Index (regression method)
    0.24793
  • VaR(95%) (regression method)
    0.01280
  • Expected Shortfall (regression method)
    0.02299
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00030
  • Quartile 1
    0.01134
  • Median
    0.03954
  • Quartile 3
    0.08868
  • Maximum
    0.50438
  • Mean of quarter 1
    0.00358
  • Mean of quarter 2
    0.01860
  • Mean of quarter 3
    0.06162
  • Mean of quarter 4
    0.24989
  • Inter Quartile Range
    0.07733
  • 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
    0.13636
  • Mean of outliers high
    0.39287
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27828
  • VaR(95%) (moments method)
    0.25567
  • Expected Shortfall (moments method)
    0.43920
  • Extreme Value Index (regression method)
    0.25921
  • VaR(95%) (regression method)
    0.29180
  • Expected Shortfall (regression method)
    0.49251
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13337
  • Compounded annual return (geometric extrapolation)
    0.10588
  • Calmar ratio (compounded annual return / max draw down)
    0.20993
  • Compounded annual return / average of 25% largest draw downs
    0.42372
  • Compounded annual return / Expected Shortfall lognormal
    3.35598
  • 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
    0.04216
  • SD
    0.02243
  • Sharpe ratio (Glass type estimate)
    1.87916
  • Sharpe ratio (Hedges UMVUE)
    1.86829
  • df
    130.00000
  • t
    1.32876
  • p
    0.44212
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90556
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65685
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.64939
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.11355
  • Upside Potential Ratio
    11.10190
  • Upside part of mean
    0.15032
  • Downside part of mean
    -0.10816
  • Upside SD
    0.01797
  • Downside SD
    0.01354
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88891
  • Mean of criterion
    0.04216
  • SD of predictor
    0.41365
  • SD of criterion
    0.02243
  • Covariance
    -0.00166
  • r
    -0.17865
  • b (slope, estimate of beta)
    -0.00969
  • a (intercept, estimate of alpha)
    0.05077
  • Mean Square Error
    0.00049
  • DF error
    129.00000
  • t(b)
    -2.06227
  • p(b)
    0.61313
  • t(a)
    1.60593
  • p(a)
    0.41116
  • Lowerbound of 95% confidence interval for beta
    -0.01898
  • Upperbound of 95% confidence interval for beta
    -0.00039
  • Lowerbound of 95% confidence interval for alpha
    -0.01178
  • Upperbound of 95% confidence interval for alpha
    0.11332
  • Treynor index (mean / b)
    -4.35102
  • Jensen alpha (a)
    0.05077
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04190
  • SD
    0.02242
  • Sharpe ratio (Glass type estimate)
    1.86883
  • Sharpe ratio (Hedges UMVUE)
    1.85802
  • df
    130.00000
  • t
    1.32146
  • p
    0.44244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91579
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64641
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63901
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09138
  • Upside Potential Ratio
    11.07740
  • Upside part of mean
    0.15014
  • Downside part of mean
    -0.10824
  • Upside SD
    0.01794
  • Downside SD
    0.01355
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.80202
  • Mean of criterion
    0.04190
  • SD of predictor
    0.41587
  • SD of criterion
    0.02242
  • Covariance
    -0.00167
  • r
    -0.17963
  • b (slope, estimate of beta)
    -0.00968
  • a (intercept, estimate of alpha)
    0.04967
  • Mean Square Error
    0.00049
  • DF error
    129.00000
  • t(b)
    -2.07389
  • p(b)
    0.61374
  • t(a)
    1.57495
  • p(a)
    0.41284
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.01892
  • Upperbound of 95% confidence interval for beta
    -0.00045
  • Lowerbound of 95% confidence interval for alpha
    -0.01273
  • Upperbound of 95% confidence interval for alpha
    0.11206
  • Treynor index (mean / b)
    -4.32674
  • Jensen alpha (a)
    0.04967
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00212
  • Expected Shortfall on VaR
    0.00269
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00090
  • Expected Shortfall on VaR
    0.00178
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99660
  • Quartile 1
    0.99964
  • Median
    1.00023
  • Quartile 3
    1.00092
  • Maximum
    1.00516
  • Mean of quarter 1
    0.99868
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00054
  • Mean of quarter 4
    1.00196
  • Inter Quartile Range
    0.00128
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99704
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.00401
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.88905
  • VaR(95%) (moments method)
    0.00173
  • Expected Shortfall (moments method)
    0.00197
  • Extreme Value Index (regression method)
    -0.13295
  • VaR(95%) (regression method)
    0.00150
  • Expected Shortfall (regression method)
    0.00192
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00132
  • Median
    0.00205
  • Quartile 3
    0.00329
  • Maximum
    0.01100
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00180
  • Mean of quarter 3
    0.00232
  • Mean of quarter 4
    0.00690
  • Inter Quartile Range
    0.00197
  • 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
    0.09091
  • Mean of outliers high
    0.01100
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.41118
  • VaR(95%) (moments method)
    0.00786
  • Expected Shortfall (moments method)
    0.00937
  • Extreme Value Index (regression method)
    1.14368
  • VaR(95%) (regression method)
    0.01151
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -336440000
  • Max Equity Drawdown (num days)
    865
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07104
  • Compounded annual return (geometric extrapolation)
    0.07230
  • Calmar ratio (compounded annual return / max draw down)
    6.57486
  • Compounded annual return / average of 25% largest draw downs
    10.48040
  • Compounded annual return / Expected Shortfall lognormal
    26.84300

Strategy Description

This system trades most forex currency pairs. The original fully automated system placed 28th in the 2012 Automated Trading Championship. After a 33.4% drawdown from April to June 2013, the system is now semi-automatic, with human intervention only when required.

Summary Statistics

Strategy began
2012-09-24
Suggested Minimum Capital
$10,000
# Trades
480
# Profitable
277
% Profitable
57.7%
Correlation S&P500
0.098
Sharpe Ratio
0.07
Sortino Ratio
0.10
Beta
0.15
Alpha
0.00

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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