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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

NEW METHOD
(79853370)

Created by: Dave Dave
Started: 03/2013
Forex
Last trade: 3,362 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 $250.00 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.

2.5%
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.

(56.4%)
Max Drawdown
576
Num Trades
75.5%
Win Trades
1.0 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013              (0.8%)+10.5%+34.1%(37.8%)+15.8%+21.3%+8.7%+21.6%+18.0%+4.7%+110.2%
2014(0.4%)+10.3%(1.1%)+2.1%(1.7%)+4.2%(3.9%)+6.5%+4.4%(46.6%)(12.5%)(3.2%)(45.1%)
2015(9.8%)+0.8%(1%)+2.1%(3%)(0.4%)(2.1%)(1.1%)(0.4%)+1.9%(2.1%)+1.6%(13.3%)
2016(1.9%)+1.6%+2.5%+2.0%(2.6%)+2.0%+0.3%+0.8%+0.3%(1.7%)(1.8%)(2.1%)(0.8%)
2017+3.1%(0.1%)(0.6%)(0.7%)+1.1%+1.1%+1.7%(0.2%)(0.7%)+7.5%(8.7%)+1.2%+3.7%
2018+2.8%(0.1%)(0.8%)(1.5%)(1%)(0.9%)  -  (0.2%)(0.7%)(0.3%)+0.7%(0.5%)(2.8%)
2019+1.3%(0.2%)(0.5%)(1.4%)+0.4%+1.2%(0.2%)(1.4%)(0.5%)+1.1%(0.4%)+1.7%+0.9%
2020(0.6%)(1.3%)(1.4%)+0.4%+0.5%+1.4%+1.8%+1.3%(1.7%)+0.7%+2.4%+0.9%+4.4%
2021+0.2%  -  (1.9%)+1.6%+0.5%(1.4%)(0.3%)(0.7%)(0.9%)+1.7%(2.1%)  -  (3.2%)
2022(1.4%)+1.1%+0.2%(2.9%)(1%)(1.5%)(0.6%)(0.2%)(4.7%)(0.2%)+4.7%+1.2%(5.5%)
2023+1.3%(3.2%)+0.5%(0.3%)(1.3%)+1.0%+1.4%(3.1%)(0.3%)(1.3%)+1.8%+3.0%(0.6%)
2024(1.7%)(0.5%)(1.5%)                                                      (3.6%)

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.

Trading Record

This strategy has placed 941 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
1/6/15 13:40 NZD/CAD NZD/CAD SHORT 12 0.92158 1/14 14:47 0.92385 0.87%
Trade id #91696049
Max drawdown($1,062)
Time1/13/15 2:59
Quant open-12
Worst price0.93217
Drawdown as % of equity-0.87%
($228)
1/13/15 22:53 AUD/CAD AUD/CAD LONG 12 0.97016 1/14 3:36 0.97303 0.17%
Trade id #91842825
Max drawdown($211)
Time1/14/15 1:39
Quant open12
Worst price0.96805
Drawdown as % of equity-0.17%
$288
1/13/15 22:33 CHF/JPY CHF/JPY LONG 12 115.076 1/13 22:56 115.146 0.04%
Trade id #91842604
Max drawdown($45)
Time1/13/15 22:35
Quant open12
Worst price115.031
Drawdown as % of equity-0.04%
$72
1/6/15 0:53 EUR/JPY EUR/JPY LONG 36 141.016 1/13 10:07 139.452 3.9%
Trade id #91678039
Max drawdown($4,751)
Time1/13/15 10:07
Quant open24
Worst price139.340
Drawdown as % of equity-3.90%
($4,751)
1/6/15 16:57 CHF/JPY CHF/JPY LONG 12 117.252 1/12 20:05 116.122 0.94%
Trade id #91700943
Max drawdown($1,151)
Time1/12/15 20:05
Quant open0
Worst price116.122
Drawdown as % of equity-0.94%
($1,151)
1/11/15 20:29 AUD/CHF AUD/CHF SHORT 12 0.83290 1/12 7:55 0.82945 0.29%
Trade id #91786175
Max drawdown($358)
Time1/11/15 23:10
Quant open-12
Worst price0.83594
Drawdown as % of equity-0.29%
$407
1/5/15 13:24 EUR/AUD EUR/AUD LONG 24 1.46528 1/9 8:30 1.44703 2.83%
Trade id #91664996
Max drawdown($3,568)
Time1/9/15 8:30
Quant open12
Worst price1.44737
Drawdown as % of equity-2.83%
($3,568)
12/17/14 13:57 EUR/JPY EUR/JPY LONG 12 145.651 12/29 9:41 147.189 0.33%
Trade id #91384007
Max drawdown($438)
Time12/17/14 14:01
Quant open12
Worst price145.210
Drawdown as % of equity-0.33%
$1,530
12/18/14 14:32 EUR/CAD EUR/CAD LONG 24 1.42429 12/19 0:03 1.42079 0.55%
Trade id #91411639
Max drawdown($726)
Time12/19/14 0:03
Quant open0
Worst price1.42079
Drawdown as % of equity-0.55%
($726)
12/17/14 19:33 AUD/NZD AUD/NZD LONG 12 1.05558 12/18 14:18 1.05371 0.25%
Trade id #91390822
Max drawdown($323)
Time12/18/14 12:23
Quant open12
Worst price1.05210
Drawdown as % of equity-0.25%
($174)
12/17/14 12:15 EUR/CAD EUR/CAD LONG 12 1.44063 12/18 2:14 1.43099 0.76%
Trade id #91381918
Max drawdown($994)
Time12/18/14 2:14
Quant open0
Worst price1.43099
Drawdown as % of equity-0.76%
($994)
12/16/14 17:37 NZD/CAD NZD/CAD LONG 24 0.90335 12/17 17:38 0.89460 1.36%
Trade id #91362951
Max drawdown($1,804)
Time12/17/14 17:38
Quant open12
Worst price0.89460
Drawdown as % of equity-1.36%
($1,804)
12/16/14 22:13 CAD/CHF CAD/CHF SHORT 24 0.82781 12/17 14:46 0.83602 1.52%
Trade id #91366630
Max drawdown($2,027)
Time12/17/14 14:46
Quant open12
Worst price0.83602
Drawdown as % of equity-1.52%
($2,027)
12/8/14 10:48 CAD/JPY CAD/JPY LONG 96 102.964 12/14 18:26 101.861 6.33%
Trade id #91193665
Max drawdown($8,988)
Time12/14/14 18:26
Quant open0
Worst price101.861
Drawdown as % of equity-6.33%
($8,988)
12/9/14 10:07 GBP/JPY GBP/JPY LONG 24 185.894 12/11 9:33 186.698 1.05%
Trade id #91219087
Max drawdown($1,446)
Time12/10/14 15:07
Quant open12
Worst price184.951
Drawdown as % of equity-1.05%
$1,620
12/9/14 9:52 USD/JPY USD/JPY LONG 24 118.533 12/11 4:39 118.779 1.63%
Trade id #91218328
Max drawdown($2,234)
Time12/10/14 19:13
Quant open24
Worst price117.427
Drawdown as % of equity-1.63%
$497
12/3/14 0:08 NZD/USD NZD/USD LONG 10 0.77938 12/10 15:03 0.77942 1.33%
Trade id #91112260
Max drawdown($1,863)
Time12/8/14 22:52
Quant open10
Worst price0.76075
Drawdown as % of equity-1.33%
$4
11/25/14 4:20 AUD/JPY AUD/JPY LONG 20 100.399 12/5 10:39 101.318 0.58%
Trade id #90978175
Max drawdown($798)
Time11/26/14 4:47
Quant open20
Worst price99.914
Drawdown as % of equity-0.58%
$1,511
12/4/14 11:00 EUR/CHF EUR/CHF LONG 10 1.20225 12/5 8:30 1.20220 0.04%
Trade id #91146666
Max drawdown($61)
Time12/5/14 8:30
Quant open10
Worst price1.20165
Drawdown as % of equity-0.04%
($5)
12/3/14 12:23 GBP/NZD GBP/NZD SHORT 10 2.02301 12/4 11:27 2.01432 0.31%
Trade id #91125311
Max drawdown($435)
Time12/4/14 2:05
Quant open-10
Worst price2.02859
Drawdown as % of equity-0.31%
$679
11/25/14 1:00 EUR/CAD EUR/CAD SHORT 20 1.40842 12/3 3:09 1.40872 2.39%
Trade id #90975224
Max drawdown($3,222)
Time11/28/14 10:30
Quant open-20
Worst price1.42677
Drawdown as % of equity-2.39%
($53)
11/25/14 1:01 CAD/CHF CAD/CHF LONG 30 0.85078 12/2 11:12 0.85212 1.8%
Trade id #90975359
Max drawdown($2,422)
Time11/28/14 10:30
Quant open20
Worst price0.84182
Drawdown as % of equity-1.80%
$414
12/1/14 14:35 USD/CAD USD/CAD LONG 10 1.13225 12/2 9:31 1.13952 0.07%
Trade id #91081572
Max drawdown($92)
Time12/1/14 14:50
Quant open10
Worst price1.13120
Drawdown as % of equity-0.07%
$637
12/2/14 1:39 AUD/USD AUD/USD SHORT 10 0.85409 12/2 5:06 0.84708 n/a $701
12/2/14 1:46 AUD/CHF AUD/CHF SHORT 10 0.82382 12/2 5:06 0.82059 0.02%
Trade id #91090802
Max drawdown($21)
Time12/2/14 1:48
Quant open-10
Worst price0.82403
Drawdown as % of equity-0.02%
$334
11/27/14 11:29 CAD/JPY CAD/JPY LONG 10 103.757 12/1 14:49 104.528 0.19%
Trade id #91029788
Max drawdown($260)
Time12/1/14 4:39
Quant open10
Worst price103.449
Drawdown as % of equity-0.19%
$652
11/27/14 11:01 AUD/CAD AUD/CAD SHORT 10 0.96896 11/27 22:43 0.96470 0.08%
Trade id #91029259
Max drawdown($110)
Time11/27/14 11:31
Quant open-10
Worst price0.97021
Drawdown as % of equity-0.08%
$376
11/26/14 11:34 GBP/USD GBP/USD SHORT 20 1.57852 11/27 2:19 1.58268 0.6%
Trade id #91010092
Max drawdown($832)
Time11/27/14 2:19
Quant open0
Worst price1.58268
Drawdown as % of equity-0.60%
($832)
11/26/14 11:30 NZD/USD NZD/USD SHORT 20 0.78783 11/26 13:37 0.78929 0.21%
Trade id #91009880
Max drawdown($292)
Time11/26/14 13:37
Quant open0
Worst price0.78929
Drawdown as % of equity-0.21%
($292)
11/25/14 7:18 NZD/JPY NZD/JPY LONG 10 91.924 11/26 8:39 92.610 0.07%
Trade id #90980207
Max drawdown($96)
Time11/25/14 8:32
Quant open10
Worst price91.810
Drawdown as % of equity-0.07%
$583

Statistics

  • Strategy began
    3/23/2013
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4022.83
  • Age
    134 months ago
  • What it trades
    Forex
  • # Trades
    576
  • # Profitable
    435
  • % Profitable
    75.50%
  • Avg trade duration
    7.9 days
  • Max peak-to-valley drawdown
    56.43%
  • drawdown period
    Oct 08, 2014 - Jan 30, 2015
  • Annual Return (Compounded)
    2.5%
  • Avg win
    $817.64
  • Avg loss
    $2,462
  • Model Account Values (Raw)
  • Cash
    $108,472
  • Margin Used
    $0
  • Buying Power
    $108,472
  • Ratios
  • W:L ratio
    1.02:1
  • Sharpe Ratio
    -0.02
  • Sortino Ratio
    -0.03
  • Calmar Ratio
    0.04
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -23.37%
  • Correlation to SP500
    0.07020
  • Return Percent SP500 (cumu) during strategy life
    237.49%
  • Return Statistics
  • Ann Return (w trading costs)
    2.5%
  • Slump
  • Current Slump as Pcnt Equity
    184.20%
  • 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)
    0.025%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    82.50%
  • Chance of 20% account loss
    65.00%
  • Chance of 30% account loss
    47.00%
  • Chance of 40% account loss
    17.50%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
  • Automation
  • Percentage Signals Automated
    16.46%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    5.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    881
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,462
  • Avg Win
    $818
  • Sum Trade PL (losers)
    $347,194.000
  • Age
  • Num Months filled monthly returns table
    133
  • Win / Loss
  • Sum Trade PL (winners)
    $355,675.000
  • # Winners
    435
  • Num Months Winners
    60
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    141
  • % Winners
    75.5%
  • Frequency
  • Avg Position Time (mins)
    11331.50
  • Avg Position Time (hrs)
    188.86
  • Avg Trade Length
    7.9 days
  • Last Trade Ago
    3361
  • Regression
  • Alpha
    -0.00
  • Beta
    0.08
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.75
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.49
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.61
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    127.317
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.020
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.462
  • Hold-and-Hope Ratio
    0.008
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26482
  • SD
    0.57340
  • Sharpe ratio (Glass type estimate)
    0.46185
  • Sharpe ratio (Hedges UMVUE)
    0.44589
  • df
    22.00000
  • t
    0.63940
  • p
    0.26458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96549
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97594
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86772
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75784
  • Upside Potential Ratio
    2.23667
  • Upside part of mean
    0.78159
  • Downside part of mean
    -0.51677
  • Upside SD
    0.44523
  • Downside SD
    0.34944
  • N nonnegative terms
    12.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.13089
  • Mean of criterion
    0.26482
  • SD of predictor
    0.09807
  • SD of criterion
    0.57340
  • Covariance
    0.00875
  • r
    0.15566
  • b (slope, estimate of beta)
    0.91016
  • a (intercept, estimate of alpha)
    0.14569
  • Mean Square Error
    0.33610
  • DF error
    21.00000
  • t(b)
    0.72213
  • p(b)
    0.40131
  • t(a)
    0.32370
  • p(a)
    0.45518
  • Lowerbound of 95% confidence interval for beta
    -1.71096
  • Upperbound of 95% confidence interval for beta
    3.53128
  • Lowerbound of 95% confidence interval for alpha
    -0.79030
  • Upperbound of 95% confidence interval for alpha
    1.08168
  • Treynor index (mean / b)
    0.29096
  • Jensen alpha (a)
    0.14569
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10305
  • SD
    0.58893
  • Sharpe ratio (Glass type estimate)
    0.17497
  • Sharpe ratio (Hedges UMVUE)
    0.16893
  • df
    22.00000
  • t
    0.24224
  • p
    0.40542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24360
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24766
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58552
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23941
  • Upside Potential Ratio
    1.62574
  • Upside part of mean
    0.69976
  • Downside part of mean
    -0.59671
  • Upside SD
    0.38390
  • Downside SD
    0.43043
  • N nonnegative terms
    12.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.12562
  • Mean of criterion
    0.10305
  • SD of predictor
    0.09633
  • SD of criterion
    0.58893
  • Covariance
    0.00191
  • r
    0.03373
  • b (slope, estimate of beta)
    0.20620
  • a (intercept, estimate of alpha)
    0.07714
  • Mean Square Error
    0.36294
  • DF error
    21.00000
  • t(b)
    0.15465
  • p(b)
    0.47853
  • t(a)
    0.16545
  • p(a)
    0.47704
  • Lowerbound of 95% confidence interval for beta
    -2.56655
  • Upperbound of 95% confidence interval for beta
    2.97894
  • Lowerbound of 95% confidence interval for alpha
    -0.89253
  • Upperbound of 95% confidence interval for alpha
    1.04682
  • Treynor index (mean / b)
    0.49975
  • Jensen alpha (a)
    0.07714
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23742
  • Expected Shortfall on VaR
    0.28834
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09519
  • Expected Shortfall on VaR
    0.19875
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.59254
  • Quartile 1
    0.95780
  • Median
    1.00800
  • Quartile 3
    1.07798
  • Maximum
    1.46714
  • Mean of quarter 1
    0.85057
  • Mean of quarter 2
    0.98721
  • Mean of quarter 3
    1.03851
  • Mean of quarter 4
    1.21791
  • Inter Quartile Range
    0.12018
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.59254
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.46714
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34155
  • VaR(95%) (moments method)
    0.13864
  • Expected Shortfall (moments method)
    0.26060
  • Extreme Value Index (regression method)
    1.11304
  • VaR(95%) (regression method)
    0.16070
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00602
  • Quartile 1
    0.01264
  • Median
    0.03364
  • Quartile 3
    0.19322
  • Maximum
    0.53598
  • Mean of quarter 1
    0.00665
  • Mean of quarter 2
    0.02873
  • Mean of quarter 3
    0.03854
  • Mean of quarter 4
    0.39038
  • Inter Quartile Range
    0.18058
  • 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
    0.16667
  • Mean of outliers high
    0.53598
  • 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)
    0.12617
  • Compounded annual return (geometric extrapolation)
    0.11963
  • Calmar ratio (compounded annual return / max draw down)
    0.22320
  • Compounded annual return / average of 25% largest draw downs
    0.30644
  • Compounded annual return / Expected Shortfall lognormal
    0.41488
  • 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
    0.18121
  • SD
    0.42947
  • Sharpe ratio (Glass type estimate)
    0.42194
  • Sharpe ratio (Hedges UMVUE)
    0.42146
  • df
    673.00000
  • t
    0.59060
  • p
    0.27749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97858
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82223
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82187
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55146
  • Upside Potential Ratio
    5.67028
  • Upside part of mean
    1.86324
  • Downside part of mean
    -1.68203
  • Upside SD
    0.27621
  • Downside SD
    0.32860
  • N nonnegative terms
    324.00000
  • N negative terms
    350.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    674.00000
  • Mean of predictor
    0.12296
  • Mean of criterion
    0.18121
  • SD of predictor
    0.11286
  • SD of criterion
    0.42947
  • Covariance
    -0.00275
  • r
    -0.05670
  • b (slope, estimate of beta)
    -0.21577
  • a (intercept, estimate of alpha)
    0.01900
  • Mean Square Error
    0.18413
  • DF error
    672.00000
  • t(b)
    -1.47227
  • p(b)
    0.92929
  • t(a)
    0.67649
  • p(a)
    0.24948
  • Lowerbound of 95% confidence interval for beta
    -0.50353
  • Upperbound of 95% confidence interval for beta
    0.07199
  • Lowerbound of 95% confidence interval for alpha
    -0.39522
  • Upperbound of 95% confidence interval for alpha
    0.81070
  • Treynor index (mean / b)
    -0.83983
  • Jensen alpha (a)
    0.20774
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08359
  • SD
    0.44958
  • Sharpe ratio (Glass type estimate)
    0.18593
  • Sharpe ratio (Hedges UMVUE)
    0.18572
  • df
    673.00000
  • t
    0.26025
  • p
    0.39737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58613
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21454
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58598
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23108
  • Upside Potential Ratio
    5.05017
  • Upside part of mean
    1.82684
  • Downside part of mean
    -1.74325
  • Upside SD
    0.26644
  • Downside SD
    0.36174
  • N nonnegative terms
    324.00000
  • N negative terms
    350.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    674.00000
  • Mean of predictor
    0.11657
  • Mean of criterion
    0.08359
  • SD of predictor
    0.11295
  • SD of criterion
    0.44958
  • Covariance
    -0.00315
  • r
    -0.06197
  • b (slope, estimate of beta)
    -0.24665
  • a (intercept, estimate of alpha)
    0.11234
  • Mean Square Error
    0.20164
  • DF error
    672.00000
  • t(b)
    -1.60945
  • p(b)
    0.94601
  • t(a)
    0.34963
  • p(a)
    0.36336
  • Lowerbound of 95% confidence interval for beta
    -0.54755
  • Upperbound of 95% confidence interval for beta
    0.05426
  • Lowerbound of 95% confidence interval for alpha
    -0.51854
  • Upperbound of 95% confidence interval for alpha
    0.74322
  • Treynor index (mean / b)
    -0.33890
  • Jensen alpha (a)
    0.11234
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03885
  • Expected Shortfall on VaR
    0.04850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01111
  • Expected Shortfall on VaR
    0.02542
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    674.00000
  • Minimum
    0.71613
  • Quartile 1
    0.99665
  • Median
    1.00000
  • Quartile 3
    1.00476
  • Maximum
    1.14601
  • Mean of quarter 1
    0.98184
  • Mean of quarter 2
    0.99871
  • Mean of quarter 3
    1.00178
  • Mean of quarter 4
    1.01989
  • Inter Quartile Range
    0.00811
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.07270
  • Mean of outliers low
    0.95522
  • Number of outliers high
    56.00000
  • Percentage of outliers high
    0.08309
  • Mean of outliers high
    1.04136
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82243
  • VaR(95%) (moments method)
    0.01637
  • Expected Shortfall (moments method)
    0.09854
  • Extreme Value Index (regression method)
    0.66349
  • VaR(95%) (regression method)
    0.01404
  • Expected Shortfall (regression method)
    0.04611
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00353
  • Median
    0.00672
  • Quartile 3
    0.02631
  • Maximum
    0.56152
  • Mean of quarter 1
    0.00150
  • Mean of quarter 2
    0.00490
  • Mean of quarter 3
    0.01752
  • Mean of quarter 4
    0.13386
  • Inter Quartile Range
    0.02279
  • 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
    0.06667
  • Mean of outliers high
    0.37097
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.98047
  • VaR(95%) (moments method)
    0.12620
  • Expected Shortfall (moments method)
    6.48045
  • Extreme Value Index (regression method)
    0.80552
  • VaR(95%) (regression method)
    0.08162
  • Expected Shortfall (regression method)
    0.39296
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10266
  • Compounded annual return (geometric extrapolation)
    0.09805
  • Calmar ratio (compounded annual return / max draw down)
    0.17462
  • Compounded annual return / average of 25% largest draw downs
    0.73253
  • Compounded annual return / Expected Shortfall lognormal
    2.02170
  • 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
    -1.32426
  • SD
    0.47080
  • Sharpe ratio (Glass type estimate)
    -2.81277
  • Sharpe ratio (Hedges UMVUE)
    -2.80042
  • df
    171.00000
  • t
    -1.98893
  • p
    0.59537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.59654
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.02096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.58807
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01277
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.87194
  • Upside Potential Ratio
    1.86683
  • Upside part of mean
    0.86080
  • Downside part of mean
    -2.18506
  • Upside SD
    0.11335
  • Downside SD
    0.46110
  • N nonnegative terms
    72.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08546
  • Mean of criterion
    -1.32426
  • SD of predictor
    0.12942
  • SD of criterion
    0.47080
  • Covariance
    -0.00567
  • r
    -0.09308
  • b (slope, estimate of beta)
    -0.33862
  • a (intercept, estimate of alpha)
    -1.29532
  • Mean Square Error
    0.22103
  • DF error
    170.00000
  • t(b)
    -1.21893
  • p(b)
    0.54654
  • t(a)
    -1.94699
  • p(a)
    0.57385
  • Lowerbound of 95% confidence interval for beta
    -0.88701
  • Upperbound of 95% confidence interval for beta
    0.20977
  • Lowerbound of 95% confidence interval for alpha
    -2.60863
  • Upperbound of 95% confidence interval for alpha
    0.01798
  • Treynor index (mean / b)
    3.91074
  • Jensen alpha (a)
    -1.29532
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.45737
  • SD
    0.53446
  • Sharpe ratio (Glass type estimate)
    -2.72681
  • Sharpe ratio (Hedges UMVUE)
    -2.71483
  • df
    171.00000
  • t
    -1.92815
  • p
    0.59253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.50973
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.06394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.50153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07187
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.76616
  • Upside Potential Ratio
    1.62177
  • Upside part of mean
    0.85444
  • Downside part of mean
    -2.31181
  • Upside SD
    0.11217
  • Downside SD
    0.52685
  • N nonnegative terms
    72.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.07713
  • Mean of criterion
    -1.45737
  • SD of predictor
    0.12937
  • SD of criterion
    0.53446
  • Covariance
    -0.00677
  • r
    -0.09797
  • b (slope, estimate of beta)
    -0.40475
  • a (intercept, estimate of alpha)
    -1.42615
  • Mean Square Error
    0.28457
  • DF error
    170.00000
  • t(b)
    -1.28356
  • p(b)
    0.54898
  • t(a)
    -1.88943
  • p(a)
    0.57171
  • VAR (95 Confidence Intrvl)
    0.03500
  • Lowerbound of 95% confidence interval for beta
    -1.02721
  • Upperbound of 95% confidence interval for beta
    0.21772
  • Lowerbound of 95% confidence interval for alpha
    -2.91614
  • Upperbound of 95% confidence interval for alpha
    0.06385
  • Treynor index (mean / b)
    3.60071
  • Jensen alpha (a)
    -1.42615
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05032
  • Expected Shortfall on VaR
    0.06164
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01556
  • Expected Shortfall on VaR
    0.03544
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.71613
  • Quartile 1
    0.99635
  • Median
    0.99955
  • Quartile 3
    1.00203
  • Maximum
    1.03019
  • Mean of quarter 1
    0.97639
  • Mean of quarter 2
    0.99835
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.00943
  • Inter Quartile Range
    0.00567
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.13372
  • Mean of outliers low
    0.96152
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07558
  • Mean of outliers high
    1.01950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77636
  • VaR(95%) (moments method)
    0.01876
  • Expected Shortfall (moments method)
    0.09262
  • Extreme Value Index (regression method)
    0.70410
  • VaR(95%) (regression method)
    0.01696
  • Expected Shortfall (regression method)
    0.06364
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00259
  • Median
    0.00397
  • Quartile 3
    0.01308
  • Maximum
    0.56152
  • Mean of quarter 1
    0.00132
  • Mean of quarter 2
    0.00358
  • Mean of quarter 3
    0.00697
  • Mean of quarter 4
    0.20107
  • Inter Quartile Range
    0.01049
  • 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
    0.56152
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.66551
  • VaR(95%) (moments method)
    0.17298
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    6.11465
  • VaR(95%) (regression method)
    2.02107
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    114
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.03010
  • Compounded annual return (geometric extrapolation)
    -0.76482
  • Calmar ratio (compounded annual return / max draw down)
    -1.36206
  • Compounded annual return / average of 25% largest draw downs
    -3.80369
  • Compounded annual return / Expected Shortfall lognormal
    -12.40840

Strategy Description

Trades most Forex pairs. Now uses stops and targets with every trade.

Summary Statistics

Strategy began
2013-03-23
Suggested Minimum Capital
$100,000
# Trades
576
# Profitable
435
% Profitable
75.5%
Correlation S&P500
0.070
Sharpe Ratio
-0.02
Sortino Ratio
-0.03
Beta
0.08
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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