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

Vision forex
(77110794)

Created by: GandinPatrice GandinPatrice
Started: 10/2012
Forex
Last trade: 3,436 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 $225.00 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.

-
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(100.0%)
Max Drawdown
656
Num Trades
93.0%
Win Trades
0.9 : 1
Profit Factor
13.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +6.5%+10.0%(12.7%)+2.2%
2013+32.8%+19.5%+2.9%+27.5%+6.9%+9.1%(4.8%)+14.3%+3.4%(2.1%)+4.9%+8.3%+204.5%
2014(43%)+72.1%+15.7%+11.7%(8.4%)+2.4%(25.9%)(15.6%)(31.4%)+9.5%+61.3%(68.3%)(71.4%)
2015(654.8%)(0.5%)(53.9%)(37.2%)(9.1%)(7.3%)(8.5%)(20.8%)(9.6%)(29.8%)(30.7%)(20.2%)(793.6%)
2016(12.2%)(21.2%)(30.4%)(12%)(21.1%)(32%)(0.3%)(1.2%)(0.8%)(4.6%)(1.1%)(0.7%)(73.9%)
2017(12.1%)(13.3%)(0.8%)(10.5%)(23%)(25.9%)(42.9%)(18.1%)(11.1%)(28.7%)(29.1%)(30.5%)-
2018(105.6%)(1300.3%)(14.2%)(96.2%)(112%)(26.9%)(2.3%)(12.9%)(16.8%)(69.8%)(1.2%)(12.7%)(229.7%)
2019(6.6%)(1.5%)(16.1%)(0.7%)(4.9%)(1.9%)(4.9%)(22.1%)(1.3%)(12.2%)(8.2%)(12.9%)(33.8%)
2020(11.8%)(3.4%)(4%)(23%)(17.3%)(6.2%)(38.9%)(12.9%)(39%)(3.1%)(29.1%)(39.6%)-
2021(15.7%)(6%)(31.6%)(37.7%)(53.4%)(153.5%)(17.7%)(6.5%)(9.5%)(2.5%)(51.6%)(9.9%)(92.6%)
2022(20.5%)(5.1%)(12.9%)(11%)(3.4%)(1%)(37.6%)(7.9%)(10%)(24.9%)(23%)(7%)(1.4%)
2023(13.4%)(10.1%)(17.7%)(30%)(25.4%)(59%)(15.3%)(47.8%)(42.4%)(1.1%)(69%)(46.4%)-
2024(3.2%)(6.5%)(31.4%)                                                      

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 24 hours.

Trading Record

This strategy has placed 2,787 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/19/14 1:45 GBP/CHF GBP/CHF LONG 10 1.53820 9/19 1:52 1.54022 0.03%
Trade id #89772363
Max drawdown($51)
Time9/19/14 1:47
Quant open10
Worst price1.53772
Drawdown as % of equity-0.03%
$216
5/2/14 8:39 EUR/JPY EUR/JPY LONG 675 140.538 9/19 1:38 140.644 87.06%
Trade id #87361126
Max drawdown($97,283)
Time8/7/14 22:17
Quant open215
Worst price135.716
Drawdown as % of equity-87.06%
$6,613
9/4/14 2:45 GBP/CHF GBP/CHF LONG 15 1.51154 9/4 6:45 1.51250 0.13%
Trade id #89431290
Max drawdown($202)
Time9/4/14 5:36
Quant open15
Worst price1.51030
Drawdown as % of equity-0.13%
$157
8/22/14 2:54 GBP/CHF GBP/CHF SHORT 55 1.51199 9/3 14:42 1.51145 2.45%
Trade id #89223920
Max drawdown($3,004)
Time9/1/14 4:29
Quant open-15
Worst price1.52854
Drawdown as % of equity-2.45%
$326
8/19/14 5:23 GBP/CHF GBP/CHF SHORT 15 1.50969 8/19 8:01 1.50849 0.08%
Trade id #89143516
Max drawdown($127)
Time8/19/14 6:00
Quant open-15
Worst price1.51046
Drawdown as % of equity-0.08%
$199
8/18/14 3:02 GBP/CHF GBP/CHF SHORT 75 1.51515 8/19 4:30 1.51385 1.27%
Trade id #89121192
Max drawdown($1,878)
Time8/19/14 2:20
Quant open-75
Worst price1.51742
Drawdown as % of equity-1.27%
$1,075
8/17/14 17:24 GBP/CHF GBP/CHF LONG 15 1.51094 8/18 2:49 1.51269 0.12%
Trade id #89114287
Max drawdown($187)
Time8/17/14 23:23
Quant open15
Worst price1.50981
Drawdown as % of equity-0.12%
$290
8/14/14 9:51 GBP/CHF GBP/CHF SHORT 70 1.50950 8/15 11:57 1.50829 1.51%
Trade id #89081366
Max drawdown($2,216)
Time8/15/14 2:36
Quant open-35
Worst price1.51375
Drawdown as % of equity-1.51%
$935
8/13/14 8:39 EUR/USD EUR/USD LONG 90 1.33777 8/15 7:07 1.33819 0.37%
Trade id #89058219
Max drawdown($520)
Time8/14/14 2:01
Quant open10
Worst price1.33474
Drawdown as % of equity-0.37%
$380
6/9/14 5:15 GBP/CHF GBP/CHF SHORT 320 1.51590 8/14 8:57 1.51434 25.94%
Trade id #87995588
Max drawdown($27,470)
Time7/23/14 4:08
Quant open-90
Worst price1.54321
Drawdown as % of equity-25.94%
$5,526
6/30/14 11:03 EUR/USD EUR/USD LONG 20 1.36894 7/1 10:01 1.36933 0.14%
Trade id #88354564
Max drawdown($240)
Time7/1/14 2:37
Quant open20
Worst price1.36774
Drawdown as % of equity-0.14%
$77
6/25/14 8:58 EUR/USD EUR/USD LONG 100 1.36321 6/27 12:51 1.36365 1.65%
Trade id #88275486
Max drawdown($2,784)
Time6/26/14 9:46
Quant open40
Worst price1.35746
Drawdown as % of equity-1.65%
$436
6/9/14 5:15 EUR/USD EUR/USD LONG 215 1.36022 6/25 8:53 1.36217 2.64%
Trade id #87995570
Max drawdown($4,305)
Time6/12/14 5:49
Quant open50
Worst price1.35113
Drawdown as % of equity-2.64%
$4,188
6/6/14 10:46 EUR/USD EUR/USD LONG 15 1.36358 6/9 2:29 1.36517 0.05%
Trade id #87973323
Max drawdown($91)
Time6/6/14 11:28
Quant open15
Worst price1.36297
Drawdown as % of equity-0.05%
$239
6/6/14 4:09 EUR/USD EUR/USD LONG 10 1.36489 6/6 8:33 1.36621 0.16%
Trade id #87966130
Max drawdown($290)
Time6/6/14 6:01
Quant open10
Worst price1.36199
Drawdown as % of equity-0.16%
$132
6/6/14 4:06 GBP/CHF GBP/CHF LONG 10 1.49924 6/6 4:27 1.50050 0.02%
Trade id #87966080
Max drawdown($42)
Time6/6/14 4:08
Quant open10
Worst price1.49886
Drawdown as % of equity-0.02%
$141
6/5/14 10:28 EUR/USD EUR/USD LONG 50 1.36262 6/5 13:52 1.36391 0.4%
Trade id #87946150
Max drawdown($679)
Time6/5/14 11:17
Quant open40
Worst price1.36055
Drawdown as % of equity-0.40%
$644
5/16/14 3:47 EUR/USD EUR/USD LONG 265 1.36221 6/5 10:27 1.36305 5.77%
Trade id #87604247
Max drawdown($10,124)
Time6/5/14 8:40
Quant open80
Worst price1.35018
Drawdown as % of equity-5.77%
$2,231
5/23/14 4:13 GBP/CHF GBP/CHF SHORT 25 1.50953 5/23 7:37 1.50822 0.33%
Trade id #87727022
Max drawdown($569)
Time5/23/14 4:41
Quant open-25
Worst price1.51157
Drawdown as % of equity-0.33%
$366
5/20/14 2:06 GBP/CHF GBP/CHF SHORT 55 1.50836 5/22 13:50 1.50768 1.16%
Trade id #87648525
Max drawdown($2,004)
Time5/22/14 3:31
Quant open-55
Worst price1.51162
Drawdown as % of equity-1.16%
$416
5/15/14 13:21 EUR/USD EUR/USD LONG 25 1.37098 5/16 3:27 1.37220 0.07%
Trade id #87591576
Max drawdown($124)
Time5/15/14 13:25
Quant open25
Worst price1.37048
Drawdown as % of equity-0.07%
$306
5/14/14 14:43 EUR/USD EUR/USD LONG 25 1.37095 5/15 11:17 1.37266 0.9%
Trade id #87567671
Max drawdown($1,558)
Time5/15/14 8:32
Quant open25
Worst price1.36472
Drawdown as % of equity-0.90%
$428
5/14/14 7:22 GBP/CHF GBP/CHF LONG 20 1.49247 5/14 11:08 1.49333 0.21%
Trade id #87558570
Max drawdown($375)
Time5/14/14 7:44
Quant open20
Worst price1.49080
Drawdown as % of equity-0.21%
$193
5/14/14 5:40 GBP/CHF GBP/CHF LONG 10 1.49345 5/14 6:00 1.49500 0.04%
Trade id #87557168
Max drawdown($78)
Time5/14/14 5:48
Quant open10
Worst price1.49275
Drawdown as % of equity-0.04%
$174
5/13/14 4:43 GBP/CHF GBP/CHF SHORT 40 1.49617 5/14 5:30 1.49518 0.87%
Trade id #87533966
Max drawdown($1,565)
Time5/14/14 4:30
Quant open-30
Worst price1.50067
Drawdown as % of equity-0.87%
$444
5/12/14 14:45 AUD/CHF AUD/CHF LONG 35 0.83002 5/13 7:22 0.83147 0.37%
Trade id #87522266
Max drawdown($686)
Time5/13/14 3:27
Quant open15
Worst price0.82765
Drawdown as % of equity-0.37%
$571
5/12/14 7:17 GBP/CHF GBP/CHF SHORT 20 1.49853 5/12 11:54 1.49751 0.08%
Trade id #87511216
Max drawdown($139)
Time5/12/14 9:46
Quant open-20
Worst price1.49915
Drawdown as % of equity-0.08%
$230
4/15/14 7:59 GBP/CHF GBP/CHF SHORT 100 1.47780 5/8 8:45 1.47847 4.44%
Trade id #87059046
Max drawdown($7,828)
Time4/22/14 11:27
Quant open-50
Worst price1.49024
Drawdown as % of equity-4.44%
($775)
4/30/14 7:16 EUR/JPY EUR/JPY LONG 65 141.844 5/2 2:31 141.956 0.79%
Trade id #87313672
Max drawdown($1,454)
Time4/30/14 14:01
Quant open40
Worst price141.513
Drawdown as % of equity-0.79%
$710
4/30/14 5:48 EUR/JPY EUR/JPY LONG 15 141.774 4/30 6:05 141.856 0.04%
Trade id #87312732
Max drawdown($67)
Time4/30/14 5:50
Quant open15
Worst price141.728
Drawdown as % of equity-0.04%
$120

Statistics

  • Strategy began
    10/12/2012
  • Suggested Minimum Cap
    $41,199
  • Strategy Age (days)
    4183.27
  • Age
    140 months ago
  • What it trades
    Forex
  • # Trades
    656
  • # Profitable
    610
  • % Profitable
    93.00%
  • Avg trade duration
    12.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 30, 2018 - May 06, 2020
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $593.69
  • Avg loss
    $8,866
  • Model Account Values (Raw)
  • Cash
    $210,141
  • Margin Used
    $87,820
  • Buying Power
    ($124,397)
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    0.23
  • Sortino Ratio
    0.46
  • Calmar Ratio
    -0.939
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -440.00%
  • Correlation to SP500
    0.05540
  • Return Percent SP500 (cumu) during strategy life
    267.39%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.86%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $8,866
  • Avg Win
    $594
  • Sum Trade PL (losers)
    $407,859.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $362,151.000
  • # Winners
    610
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    46
  • % Winners
    93.0%
  • Frequency
  • Avg Position Time (mins)
    17738.50
  • Avg Position Time (hrs)
    295.64
  • Avg Trade Length
    12.3 days
  • Last Trade Ago
    3472
  • Regression
  • Alpha
    0.00
  • Beta
    0.93
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    46.73
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    43.70
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.13
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -27.363
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    2.751
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.584
  • Hold-and-Hope Ratio
    -0.037
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16845
  • SD
    0.76104
  • Sharpe ratio (Glass type estimate)
    0.22134
  • Sharpe ratio (Hedges UMVUE)
    0.21754
  • df
    44.00000
  • t
    0.42862
  • p
    0.33515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79308
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23068
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29285
  • Upside Potential Ratio
    1.25462
  • Upside part of mean
    0.72165
  • Downside part of mean
    -0.55320
  • Upside SD
    0.48768
  • Downside SD
    0.57519
  • N nonnegative terms
    16.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.29221
  • Mean of criterion
    0.16845
  • SD of predictor
    0.20582
  • SD of criterion
    0.76104
  • Covariance
    0.02096
  • r
    0.13379
  • b (slope, estimate of beta)
    0.49470
  • a (intercept, estimate of alpha)
    0.02389
  • Mean Square Error
    0.58204
  • DF error
    43.00000
  • t(b)
    0.88525
  • p(b)
    0.19047
  • t(a)
    0.05603
  • p(a)
    0.47779
  • Lowerbound of 95% confidence interval for beta
    -0.63227
  • Upperbound of 95% confidence interval for beta
    1.62166
  • Lowerbound of 95% confidence interval for alpha
    -0.83616
  • Upperbound of 95% confidence interval for alpha
    0.88395
  • Treynor index (mean / b)
    0.34051
  • Jensen alpha (a)
    0.02389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.86173
  • SD
    6.16175
  • Sharpe ratio (Glass type estimate)
    -0.46443
  • Sharpe ratio (Hedges UMVUE)
    -0.45647
  • df
    44.00000
  • t
    -0.89937
  • p
    0.81332
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47859
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47307
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56014
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46643
  • Upside Potential Ratio
    0.10235
  • Upside part of mean
    0.62793
  • Downside part of mean
    -3.48967
  • Upside SD
    0.40354
  • Downside SD
    6.13540
  • N nonnegative terms
    16.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.26953
  • Mean of criterion
    -2.86173
  • SD of predictor
    0.19186
  • SD of criterion
    6.16175
  • Covariance
    0.06342
  • r
    0.05365
  • b (slope, estimate of beta)
    1.72302
  • a (intercept, estimate of alpha)
    -3.32615
  • Mean Square Error
    38.73830
  • DF error
    43.00000
  • t(b)
    0.35231
  • p(b)
    0.36316
  • t(a)
    -0.95747
  • p(a)
    0.82816
  • Lowerbound of 95% confidence interval for beta
    -8.13991
  • Upperbound of 95% confidence interval for beta
    11.58600
  • Lowerbound of 95% confidence interval for alpha
    -10.33190
  • Upperbound of 95% confidence interval for alpha
    3.67961
  • Treynor index (mean / b)
    -1.66088
  • Jensen alpha (a)
    -3.32615
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.95775
  • Expected Shortfall on VaR
    0.97632
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12136
  • Expected Shortfall on VaR
    0.27010
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.05863
  • Maximum
    1.62070
  • Mean of quarter 1
    0.83275
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01976
  • Mean of quarter 4
    1.22964
  • Inter Quartile Range
    0.05863
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.08889
  • Mean of outliers low
    0.57027
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.15556
  • Mean of outliers high
    1.30877
  • 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)
    0.84528
  • VaR(95%) (regression method)
    0.17802
  • Expected Shortfall (regression method)
    1.50368
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00541
  • Quartile 1
    0.03522
  • Median
    0.10587
  • Quartile 3
    0.37493
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00541
  • Mean of quarter 2
    0.04516
  • Mean of quarter 3
    0.16657
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.33970
  • 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
    0.25000
  • Mean of outliers high
    0.99999
  • 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)
    -0.26666
  • Compounded annual return (geometric extrapolation)
    -0.94121
  • Calmar ratio (compounded annual return / max draw down)
    -0.94122
  • Compounded annual return / average of 25% largest draw downs
    -0.94122
  • Compounded annual return / Expected Shortfall lognormal
    -0.96404
  • 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
    798.93500
  • SD
    1555.51000
  • Sharpe ratio (Glass type estimate)
    0.51362
  • Sharpe ratio (Hedges UMVUE)
    0.51323
  • df
    994.00000
  • t
    1.00092
  • p
    0.15855
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51949
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51922
  • Statistics related to Sortino ratio
  • Sortino ratio
    818.05700
  • Upside Potential Ratio
    821.04000
  • Upside part of mean
    801.84900
  • Downside part of mean
    -2.91342
  • Upside SD
    1555.51000
  • Downside SD
    0.97662
  • N nonnegative terms
    335.00000
  • N negative terms
    660.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    995.00000
  • Mean of predictor
    0.35140
  • Mean of criterion
    798.93500
  • SD of predictor
    0.29461
  • SD of criterion
    1555.51000
  • Covariance
    13.36260
  • r
    0.02916
  • b (slope, estimate of beta)
    153.95500
  • a (intercept, estimate of alpha)
    744.83500
  • Mean Square Error
    2419990.00000
  • DF error
    993.00000
  • t(b)
    0.91924
  • p(b)
    0.17910
  • t(a)
    0.93054
  • p(a)
    0.17616
  • Lowerbound of 95% confidence interval for beta
    -174.70200
  • Upperbound of 95% confidence interval for beta
    482.61100
  • Lowerbound of 95% confidence interval for alpha
    -825.89200
  • Upperbound of 95% confidence interval for alpha
    2315.56000
  • Treynor index (mean / b)
    5.18942
  • Jensen alpha (a)
    744.83500
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.82613
  • SD
    8.29667
  • Sharpe ratio (Glass type estimate)
    -0.34064
  • Sharpe ratio (Hedges UMVUE)
    -0.34038
  • df
    994.00000
  • t
    -0.66382
  • p
    0.74652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34643
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.66528
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66548
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.39585
  • Upside Potential Ratio
    0.71674
  • Upside part of mean
    5.11711
  • Downside part of mean
    -7.94324
  • Upside SD
    4.22202
  • Downside SD
    7.13937
  • N nonnegative terms
    335.00000
  • N negative terms
    660.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    995.00000
  • Mean of predictor
    0.30908
  • Mean of criterion
    -2.82613
  • SD of predictor
    0.28851
  • SD of criterion
    8.29667
  • Covariance
    0.24486
  • r
    0.10229
  • b (slope, estimate of beta)
    2.94173
  • a (intercept, estimate of alpha)
    -3.73538
  • Mean Square Error
    68.18300
  • DF error
    993.00000
  • t(b)
    3.24050
  • p(b)
    0.00062
  • t(a)
    -0.87964
  • p(a)
    0.81037
  • Lowerbound of 95% confidence interval for beta
    1.16030
  • Upperbound of 95% confidence interval for beta
    4.72316
  • Lowerbound of 95% confidence interval for alpha
    -12.06840
  • Upperbound of 95% confidence interval for alpha
    4.59770
  • Treynor index (mean / b)
    -0.96071
  • Jensen alpha (a)
    -3.73538
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.57424
  • Expected Shortfall on VaR
    0.65058
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02959
  • Expected Shortfall on VaR
    0.06830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    995.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00453
  • Maximum
    3032.33000
  • Mean of quarter 1
    0.95585
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00087
  • Mean of quarter 4
    13.22890
  • Inter Quartile Range
    0.00453
  • Number outliers low
    164.00000
  • Percentage of outliers low
    0.16482
  • Mean of outliers low
    0.93398
  • Number of outliers high
    174.00000
  • Percentage of outliers high
    0.17487
  • Mean of outliers high
    18.49670
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.08075
  • VaR(95%) (moments method)
    0.01085
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.39813
  • VaR(95%) (regression method)
    0.02762
  • Expected Shortfall (regression method)
    0.06798
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00439
  • Median
    0.02107
  • Quartile 3
    0.05919
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00132
  • Mean of quarter 2
    0.01159
  • Mean of quarter 3
    0.03389
  • Mean of quarter 4
    0.22132
  • Inter Quartile Range
    0.05481
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08511
  • Mean of outliers high
    0.48015
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.78922
  • VaR(95%) (moments method)
    0.24373
  • Expected Shortfall (moments method)
    1.16472
  • Extreme Value Index (regression method)
    1.25104
  • VaR(95%) (regression method)
    0.20891
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.26331
  • Compounded annual return (geometric extrapolation)
    -0.93908
  • Calmar ratio (compounded annual return / max draw down)
    -0.93909
  • Compounded annual return / average of 25% largest draw downs
    -4.24319
  • Compounded annual return / Expected Shortfall lognormal
    -1.44345
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.24283
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46481
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.13326
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46376
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6789090000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.57400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    188503000000000033020864588939264.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -543090000
  • Max Equity Drawdown (num days)
    827
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trading Forex only. My system need that customers accept a lot of risk. Before you start to autotrade with my system, please send me an e-mail with the amount in your account and the leverage you will use. When I have this information, I can explain you exactly how to trade with me.

Summary Statistics

Strategy began
2012-10-12
Suggested Minimum Capital
$41,100
# Trades
656
# Profitable
610
% Profitable
93.0%
Correlation S&P500
0.055
Sharpe Ratio
0.23
Sortino Ratio
0.46
Beta
0.93
Alpha
0.00

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.