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These are hypothetical performance results that have certain inherent limitations. Learn more
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VTL 2 - Dynamic
(78174577)

Created by: Vu Vu
Started: 12/2012
Forex
Last trade: 3,413 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 $69.00 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.

-0.4%
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.

(10.5%)
Max Drawdown
81
Num Trades
49.4%
Win Trades
1.0 : 1
Profit Factor
10.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                             (1.1%)(1.1%)
2013+0.8%(1.2%)+1.8%+0.2%+0.9%+1.9%(1.1%)(2.3%)(4.2%)+2.5%+1.5%+0.3%+0.9%
2014(0.9%)+1.4%(2.3%)(0.5%)+0.4%+0.5%+1.2%+1.1%+4.4%(5.4%)+0.3%(3.7%)(3.8%)
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 6 hours.

Trading Record

This strategy has placed 159 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/18/14 22:55 USD/JPY USD/JPY LONG 20 119.303 12/21 18:00 119.559 0.8%
Trade id #91418799
Max drawdown($801)
Time12/19/14 8:51
Quant open20
Worst price118.824
Drawdown as % of equity-0.80%
 $428
12/16/14 3:11 EUR/USD EUR/USD LONG 24 1.24572 12/17 10:23 1.24128 1.13%
Trade id #91343282
Max drawdown($1,149)
Time12/17/14 10:15
Quant open24
Worst price1.24093
Drawdown as % of equity-1.13%
 ($1,066)
12/12/14 9:57 USD/JPY USD/JPY LONG 20 119.026 12/12 11:04 118.368 1.09%
Trade id #91294838
Max drawdown($1,113)
Time12/12/14 11:04
Quant open0
Worst price118.368
Drawdown as % of equity-1.09%
 ($1,113)
12/11/14 9:01 USD/JPY USD/JPY LONG 20 118.909 12/12 4:01 118.392 0.84%
Trade id #91269385
Max drawdown($874)
Time12/12/14 4:01
Quant open0
Worst price118.392
Drawdown as % of equity-0.84%
 ($874)
12/10/14 15:41 USD/JPY USD/JPY SHORT 17 117.720 12/11 1:29 118.351 0.9%
Trade id #91253749
Max drawdown($933)
Time12/11/14 1:29
Quant open-17
Worst price118.368
Drawdown as % of equity-0.90%
 ($909)
12/9/14 20:37 USD/JPY USD/JPY LONG 20 119.820 12/9 23:49 118.873 1.55%
Trade id #91232356
Max drawdown($1,632)
Time12/9/14 23:30
Quant open20
Worst price118.850
Drawdown as % of equity-1.55%
 ($1,594)
12/5/14 3:16 USD/JPY USD/JPY LONG 20 120.266 12/7 18:00 121.800 0.31%
Trade id #91161483
Max drawdown($320)
Time12/5/14 8:30
Quant open20
Worst price120.071
Drawdown as % of equity-0.31%
 $2,519
11/27/14 17:46 EUR/USD EUR/USD SHORT 16 1.24565 12/1 9:55 1.24995 0.67%
Trade id #91033798
Max drawdown($688)
Time12/1/14 9:55
Quant open0
Worst price1.24995
Drawdown as % of equity-0.67%
 ($688)
11/24/14 4:07 USD/JPY USD/JPY LONG 20 118.381 11/25 18:00 117.916 1.15%
Trade id #90952101
Max drawdown($1,192)
Time11/25/14 2:04
Quant open20
Worst price117.678
Drawdown as % of equity-1.15%
 ($789)
11/20/14 10:00 GBP/USD GBP/USD LONG 14 1.57135 11/23 18:00 1.56466 1.2%
Trade id #90906169
Max drawdown($1,243)
Time11/21/14 5:02
Quant open14
Worst price1.56247
Drawdown as % of equity-1.20%
 ($937)
11/19/14 14:00 EUR/USD EUR/USD LONG 24 1.25916 11/20 3:17 1.25731 1.62%
Trade id #90887385
Max drawdown($1,668)
Time11/20/14 2:36
Quant open24
Worst price1.25221
Drawdown as % of equity-1.62%
 ($444)
11/18/14 19:09 USD/JPY USD/JPY LONG 20 117.120 11/20 0:24 118.679 0.38%
Trade id #90868323
Max drawdown($390)
Time11/18/14 20:11
Quant open20
Worst price116.888
Drawdown as % of equity-0.38%
 $2,627
11/16/14 18:50 USD/JPY USD/JPY LONG 20 116.910 11/16 21:10 115.934 1.62%
Trade id #90819419
Max drawdown($1,689)
Time11/16/14 20:49
Quant open20
Worst price115.932
Drawdown as % of equity-1.62%
 ($1,686)
11/12/14 12:07 USD/JPY USD/JPY LONG 20 115.493 11/13 18:00 115.763 0.32%
Trade id #90760853
Max drawdown($338)
Time11/13/14 8:33
Quant open20
Worst price115.297
Drawdown as % of equity-0.32%
 $467
11/11/14 2:38 EUR/USD EUR/USD SHORT 16 1.24136 11/12 6:23 1.24806 1.3%
Trade id #90726166
Max drawdown($1,358)
Time11/11/14 14:20
Quant open-16
Worst price1.24985
Drawdown as % of equity-1.30%
 ($1,072)
11/7/14 4:46 USD/JPY USD/JPY LONG 1 115.219 11/7 4:46 115.215 n/a $0
11/5/14 10:02 EUR/USD EUR/USD SHORT 16 1.24770 11/5 23:25 1.24985 0.49%
Trade id #90627432
Max drawdown($513)
Time11/5/14 23:23
Quant open-16
Worst price1.25091
Drawdown as % of equity-0.49%
 ($344)
11/4/14 19:36 USD/JPY USD/JPY LONG 20 113.766 11/5 22:17 115.304 0.52%
Trade id #90614857
Max drawdown($530)
Time11/4/14 20:37
Quant open20
Worst price113.460
Drawdown as % of equity-0.52%
 $2,668
10/21/14 0:27 EUR/USD EUR/USD LONG 25 1.28192 10/22 4:01 1.26922 3.06%
Trade id #90353213
Max drawdown($3,175)
Time10/22/14 4:01
Quant open0
Worst price1.26922
Drawdown as % of equity-3.06%
 ($3,175)
10/14/14 6:34 EUR/USD EUR/USD SHORT 16 1.26964 10/15 9:17 1.27683 1.07%
Trade id #90232278
Max drawdown($1,150)
Time10/15/14 9:17
Quant open0
Worst price1.27683
Drawdown as % of equity-1.07%
 ($1,150)
10/10/14 7:16 EUR/USD EUR/USD SHORT 16 1.26593 10/12 23:25 1.26860 0.56%
Trade id #90182367
Max drawdown($595)
Time10/12/14 22:41
Quant open-16
Worst price1.26965
Drawdown as % of equity-0.56%
 ($427)
10/8/14 13:17 USD/JPY USD/JPY LONG 20 108.592 10/9 2:51 107.663 1.6%
Trade id #90141398
Max drawdown($1,725)
Time10/9/14 2:51
Quant open0
Worst price107.663
Drawdown as % of equity-1.60%
 ($1,725)
10/3/14 8:30 EUR/USD EUR/USD SHORT 16 1.25312 10/6 8:29 1.25582 0.55%
Trade id #90055574
Max drawdown($601)
Time10/6/14 8:08
Quant open-16
Worst price1.25688
Drawdown as % of equity-0.55%
 ($432)
10/2/14 21:57 USD/JPY USD/JPY LONG 20 108.915 10/5 18:00 109.716 0.44%
Trade id #90047104
Max drawdown($473)
Time10/3/14 3:43
Quant open20
Worst price108.655
Drawdown as % of equity-0.44%
 $1,460
9/29/14 1:04 USD/JPY USD/JPY LONG 20 109.573 9/30 18:00 109.606 0.77%
Trade id #89944890
Max drawdown($824)
Time9/29/14 9:03
Quant open20
Worst price109.121
Drawdown as % of equity-0.77%
 $60
9/24/14 9:07 EUR/USD EUR/USD SHORT 16 1.28214 9/25 11:09 1.27412 n/a $1,283
9/23/14 10:17 USD/JPY USD/JPY LONG 20 108.898 9/24 18:00 109.064 0.78%
Trade id #89841905
Max drawdown($825)
Time9/23/14 19:53
Quant open20
Worst price108.448
Drawdown as % of equity-0.78%
 $304
9/17/14 15:19 EUR/USD EUR/USD SHORT 16 1.29030 9/23 5:44 1.28879 0.4%
Trade id #89740829
Max drawdown($424)
Time9/18/14 16:49
Quant open-16
Worst price1.29295
Drawdown as % of equity-0.40%
 $242
9/21/14 17:15 USD/JPY USD/JPY LONG 21 109.157 9/22 18:00 108.821 0.91%
Trade id #89799189
Max drawdown($968)
Time9/21/14 23:04
Quant open21
Worst price108.655
Drawdown as % of equity-0.91%
 ($648)
9/17/14 11:11 USD/JPY USD/JPY LONG 12 107.501 9/17 15:57 108.242 0.15%
Trade id #89732513
Max drawdown($156)
Time9/17/14 14:01
Quant open12
Worst price107.360
Drawdown as % of equity-0.15%
 $821
Next

Statistics

  • Strategy began
    12/16/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4144.07
  • Age
    138 months ago
  • What it trades
    Forex
  • # Trades
    81
  • # Profitable
    40
  • % Profitable
    49.40%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    10.52%
  • drawdown period
    Oct 03, 2014 - Dec 21, 2014
  • Annual Return (Compounded)
    -0.4%
  • Avg win
    $1,063
  • Avg loss
    $1,037
  • Model Account Values (Raw)
  • Cash
    $100,000
  • Margin Used
    $0
  • Buying Power
    $100,000
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    -0.62
  • Sortino Ratio
    -0.83
  • Calmar Ratio
    0
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -255.39%
  • Correlation to SP500
    -0.01660
  • Return Percent SP500 (cumu) during strategy life
    258.78%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.4%
  • Slump
  • Current Slump as Pcnt Equity
    11.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.84%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.004%
  • 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
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,038
  • Avg Win
    $1,064
  • Sum Trade PL (losers)
    $42,541.000
  • Age
  • Num Months filled monthly returns table
    137
  • Win / Loss
  • Sum Trade PL (winners)
    $42,540.000
  • # Winners
    40
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    41
  • % Winners
    49.4%
  • Frequency
  • Avg Position Time (mins)
    3266.98
  • Avg Position Time (hrs)
    54.45
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    3409
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    2.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    73.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.69
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.72
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -57.193
  • 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
    0.597
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.147
  • Hold-and-Hope Ratio
    -0.017
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02582
  • SD
    0.06583
  • Sharpe ratio (Glass type estimate)
    -0.39221
  • Sharpe ratio (Hedges UMVUE)
    -0.38322
  • df
    33.00000
  • t
    -0.66020
  • p
    0.74314
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55750
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78483
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50487
  • Upside Potential Ratio
    0.96471
  • Upside part of mean
    0.04933
  • Downside part of mean
    -0.07515
  • Upside SD
    0.04057
  • Downside SD
    0.05114
  • N nonnegative terms
    7.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.40048
  • Mean of criterion
    -0.02582
  • SD of predictor
    0.23138
  • SD of criterion
    0.06583
  • Covariance
    0.00180
  • r
    0.11812
  • b (slope, estimate of beta)
    0.03361
  • a (intercept, estimate of alpha)
    -0.03928
  • Mean Square Error
    0.00441
  • DF error
    32.00000
  • t(b)
    0.67293
  • p(b)
    0.25291
  • t(a)
    -0.88827
  • p(a)
    0.80949
  • Lowerbound of 95% confidence interval for beta
    -0.06812
  • Upperbound of 95% confidence interval for beta
    0.13533
  • Lowerbound of 95% confidence interval for alpha
    -0.12934
  • Upperbound of 95% confidence interval for alpha
    0.05079
  • Treynor index (mean / b)
    -0.76827
  • Jensen alpha (a)
    -0.03928
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.06627
  • Sharpe ratio (Glass type estimate)
    -0.42110
  • Sharpe ratio (Hedges UMVUE)
    -0.41144
  • df
    33.00000
  • t
    -0.70881
  • p
    0.75829
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58006
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75717
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53204
  • Upside Potential Ratio
    0.92314
  • Upside part of mean
    0.04842
  • Downside part of mean
    -0.07633
  • Upside SD
    0.03970
  • Downside SD
    0.05245
  • N nonnegative terms
    7.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.36886
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.22322
  • SD of criterion
    0.06627
  • Covariance
    0.00176
  • r
    0.11929
  • b (slope, estimate of beta)
    0.03542
  • a (intercept, estimate of alpha)
    -0.04097
  • Mean Square Error
    0.00446
  • DF error
    32.00000
  • t(b)
    0.67966
  • p(b)
    0.25080
  • t(a)
    -0.92894
  • p(a)
    0.82006
  • Lowerbound of 95% confidence interval for beta
    -0.07072
  • Upperbound of 95% confidence interval for beta
    0.14156
  • Lowerbound of 95% confidence interval for alpha
    -0.13081
  • Upperbound of 95% confidence interval for alpha
    0.04887
  • Treynor index (mean / b)
    -0.78798
  • Jensen alpha (a)
    -0.04097
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03323
  • Expected Shortfall on VaR
    0.04090
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01900
  • Expected Shortfall on VaR
    0.03743
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.93445
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04634
  • Mean of quarter 1
    0.98325
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01742
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.17647
  • Mean of outliers low
    0.97488
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.23529
  • Mean of outliers high
    1.01959
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -10.15340
  • VaR(95%) (moments method)
    0.00269
  • Expected Shortfall (moments method)
    0.00269
  • Extreme Value Index (regression method)
    0.02199
  • VaR(95%) (regression method)
    0.03098
  • Expected Shortfall (regression method)
    0.05660
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00052
  • Quartile 1
    0.00736
  • Median
    0.03593
  • Quartile 3
    0.06305
  • Maximum
    0.06555
  • Mean of quarter 1
    0.00052
  • Mean of quarter 2
    0.00964
  • Mean of quarter 3
    0.06221
  • Mean of quarter 4
    0.06555
  • Inter Quartile Range
    0.05569
  • 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)
    0.00000
  • 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
  • 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
    -0.02612
  • SD
    0.05985
  • Sharpe ratio (Glass type estimate)
    -0.43641
  • Sharpe ratio (Hedges UMVUE)
    -0.43598
  • df
    756.00000
  • t
    -0.74181
  • p
    0.77079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71729
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61715
  • Upside Potential Ratio
    3.83750
  • Upside part of mean
    0.16241
  • Downside part of mean
    -0.18853
  • Upside SD
    0.04229
  • Downside SD
    0.04232
  • N nonnegative terms
    79.00000
  • N negative terms
    678.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    757.00000
  • Mean of predictor
    0.46142
  • Mean of criterion
    -0.02612
  • SD of predictor
    0.29952
  • SD of criterion
    0.05985
  • Covariance
    -0.00027
  • r
    -0.01513
  • b (slope, estimate of beta)
    -0.00302
  • a (intercept, estimate of alpha)
    -0.02500
  • Mean Square Error
    0.00359
  • DF error
    755.00000
  • t(b)
    -0.41566
  • p(b)
    0.66111
  • t(a)
    -0.69866
  • p(a)
    0.75751
  • Lowerbound of 95% confidence interval for beta
    -0.01730
  • Upperbound of 95% confidence interval for beta
    0.01125
  • Lowerbound of 95% confidence interval for alpha
    -0.09420
  • Upperbound of 95% confidence interval for alpha
    0.04475
  • Treynor index (mean / b)
    8.64191
  • Jensen alpha (a)
    -0.02473
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.05985
  • Sharpe ratio (Glass type estimate)
    -0.46625
  • Sharpe ratio (Hedges UMVUE)
    -0.46579
  • df
    756.00000
  • t
    -0.79253
  • p
    0.78585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68751
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.65426
  • Upside Potential Ratio
    3.78653
  • Upside part of mean
    0.16151
  • Downside part of mean
    -0.18942
  • Upside SD
    0.04197
  • Downside SD
    0.04265
  • N nonnegative terms
    79.00000
  • N negative terms
    678.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    757.00000
  • Mean of predictor
    0.41529
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.30437
  • SD of criterion
    0.05985
  • Covariance
    -0.00027
  • r
    -0.01457
  • b (slope, estimate of beta)
    -0.00287
  • a (intercept, estimate of alpha)
    -0.02672
  • Mean Square Error
    0.00359
  • DF error
    755.00000
  • t(b)
    -0.40040
  • p(b)
    0.65551
  • t(a)
    -0.75563
  • p(a)
    0.77495
  • Lowerbound of 95% confidence interval for beta
    -0.01691
  • Upperbound of 95% confidence interval for beta
    0.01118
  • Lowerbound of 95% confidence interval for alpha
    -0.09613
  • Upperbound of 95% confidence interval for alpha
    0.04269
  • Treynor index (mean / b)
    9.73979
  • Jensen alpha (a)
    -0.02672
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00617
  • Expected Shortfall on VaR
    0.00770
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00234
  • Expected Shortfall on VaR
    0.00505
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    757.00000
  • Minimum
    0.97225
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02778
  • Mean of quarter 1
    0.99751
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00253
  • Inter Quartile Range
    0.00000
  • Number outliers low
    86.00000
  • Percentage of outliers low
    0.11361
  • Mean of outliers low
    0.99450
  • Number of outliers high
    81.00000
  • Percentage of outliers high
    0.10700
  • Mean of outliers high
    1.00590
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09067
  • VaR(95%) (moments method)
    0.00204
  • Expected Shortfall (moments method)
    0.00382
  • Extreme Value Index (regression method)
    0.15441
  • VaR(95%) (regression method)
    0.00276
  • Expected Shortfall (regression method)
    0.00598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00151
  • Quartile 1
    0.00371
  • Median
    0.01327
  • Quartile 3
    0.02784
  • Maximum
    0.08938
  • Mean of quarter 1
    0.00239
  • Mean of quarter 2
    0.00726
  • Mean of quarter 3
    0.02127
  • Mean of quarter 4
    0.06438
  • Inter Quartile Range
    0.02413
  • 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
    0.20000
  • Mean of outliers high
    0.08215
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -68.32480
  • VaR(95%) (moments method)
    0.05936
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.67233
  • VaR(95%) (regression method)
    0.12966
  • Expected Shortfall (regression method)
    0.13046
  • 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
  • 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
    1.01574
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44859
  • 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
    0.91299
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45236
  • 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)
    -6813440000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00600
  • 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)
    109171000000000013803903690735616.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -389668000
  • Max Equity Drawdown (num days)
    79
  • 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

VTL II - Dynamic
Underlying: EURUSD GBPUSD USDJPY- 24 hours

2014/09/12 new underlying included: USDJPY
because VTL 3 will stop now, VTL 2 include the strategy from VTL 3 for USDJPY.
VTL 3 combines a "Breakout-Strategy" with some special trend components for the entry and market components for the stops.
2013/05/28 new underlying included: GBPUSD


VTL II has a swing strategy and trades only the major trend. It combines market components for entry & stops.
It's designed in 2010 and is life at IB.

VTL II is full automated and sends the signals via Investox (www.investox.de) to the C2-plattform.
Frequency: 6-10 trades per month.

Trade duration is up to 5 days.

VTL II - Dynamic is backtested round over 3 years. Comission and slippage are included (5 USD per RT each contract).

Profitable trades : 60%
Consecutive winner: 7
Consecutive looser: 4

It has an intelligent money-/riskmanagement with predefined stoploss.
Initstops at C2 are round about 20% larger than real systemstops (technical reasons).

Entryorder: LMT
Stops/Exits: MKT

Max risk per trade: 2.75 %
Average risk: 0.9%

Max winner per trade: 3.8%
Average winner: 1.56%

CRV: 1.78:1

VTL II - Dynamic starts with 100.000 USD and will increase/decrease contracts depending on the capital.
The statistical drawdown is very low, only 5-10% in 5 years.The number of contracts bid/ask is different and depends on the statistical risk.

It is easy to scale it up/down because the risk is known.

-------------------------------

If you want to trade without dynamic (fixed contract) I recommend for each contract* minimum 1.800 USD capital.
Drawdown 900 USD (MonteCarlo worst) / 400 (MonteCarlo mid).


Max risk per contract: 137 USD
Average risk: 45 USD

Max winner: 180 USD
average winner: 87 USD

*) 1 minilot / 10.000 $

-------------------------------

Summary Statistics

Strategy began
2012-12-16
Suggested Minimum Capital
$100,000
# Trades
81
# Profitable
40
% Profitable
49.4%
Correlation S&P500
-0.017
Sharpe Ratio
-0.62
Sortino Ratio
-0.83
Beta
-0.00
Alpha
-0.01

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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