Collective2 Collective2
Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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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
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Ares
(84274942)

Created by: PrautesTradingLLC PrautesTradingLLC
Started: 03/2014
Forex
Last trade: 3,626 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. You can subscribe to this system for free.

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.

-43.7%
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.

(49.3%)
Max Drawdown
275
Num Trades
32.7%
Win Trades
0.7 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                -  (40.6%)(9.9%)  -    -    -    -    -    -    -  (46.5%)
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 24 hours.

Trading Record

This strategy has placed 340 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3633 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/14/14 11:33 USD/CAD USD/CAD SHORT 3 1.08863 5/16 15:55 1.08606 0.24%
Trade id #87564261
Max drawdown($16)
Time5/14/14 12:13
Quant open-3
Worst price1.08923
Drawdown as % of equity-0.24%
 $71
5/15/14 5:56 AUD/USD AUD/USD SHORT 2 0.93595 5/16 15:55 0.93661 0.33%
Trade id #87579261
Max drawdown($21)
Time5/16/14 13:37
Quant open-2
Worst price0.93704
Drawdown as % of equity-0.33%
 ($13)
5/16/14 8:14 EUR/GBP EUR/GBP SHORT 2 0.81476 5/16 15:55 0.81456 0.33%
Trade id #87607327
Max drawdown($21)
Time5/16/14 9:32
Quant open-2
Worst price0.81541
Drawdown as % of equity-0.33%
 $7
5/15/14 8:59 AUD/JPY AUD/JPY SHORT 2 95.212 5/16 15:55 94.948 0.11%
Trade id #87582090
Max drawdown($7)
Time5/15/14 9:29
Quant open-2
Worst price95.248
Drawdown as % of equity-0.11%
 $52
5/15/14 10:00 USD/JPY USD/JPY SHORT 2 101.642 5/16 15:54 101.555 0.16%
Trade id #87584238
Max drawdown($10)
Time5/15/14 10:04
Quant open-2
Worst price101.695
Drawdown as % of equity-0.16%
 $17
5/15/14 4:16 EUR/GBP EUR/GBP SHORT 3 0.81588 5/15 11:16 0.81710 0.93%
Trade id #87578119
Max drawdown($61)
Time5/15/14 11:16
Quant open0
Worst price0.81710
Drawdown as % of equity-0.93%
 ($61)
5/15/14 3:18 USD/JPY USD/JPY LONG 3 102.007 5/15 8:46 101.809 0.86%
Trade id #87577333
Max drawdown($58)
Time5/15/14 4:40
Quant open3
Worst price101.809
Drawdown as % of equity-0.86%
 ($58)
5/14/14 6:21 EUR/GBP EUR/GBP LONG 2 0.81785 5/15 4:15 0.81585 0.99%
Trade id #87557698
Max drawdown($67)
Time5/15/14 4:15
Quant open0
Worst price0.81585
Drawdown as % of equity-0.99%
 ($67)
5/15/14 3:20 AUD/JPY AUD/JPY LONG 2 95.809 5/15 4:07 95.522 0.82%
Trade id #87577384
Max drawdown($56)
Time5/15/14 4:07
Quant open0
Worst price95.522
Drawdown as % of equity-0.82%
 ($56)
5/14/14 4:43 USD/JPY USD/JPY SHORT 4 101.859 5/15 3:18 102.009 0.87%
Trade id #87556448
Max drawdown($59)
Time5/15/14 3:18
Quant open0
Worst price102.009
Drawdown as % of equity-0.87%
 ($59)
5/14/14 20:00 AUD/JPY AUD/JPY SHORT 2 95.342 5/15 2:09 95.622 0.81%
Trade id #87572036
Max drawdown($55)
Time5/15/14 2:09
Quant open0
Worst price95.622
Drawdown as % of equity-0.81%
 ($55)
5/14/14 23:19 AUD/USD AUD/USD SHORT 3 0.93604 5/15 0:55 0.93797 0.84%
Trade id #87574072
Max drawdown($58)
Time5/15/14 0:55
Quant open0
Worst price0.93797
Drawdown as % of equity-0.84%
 ($58)
5/14/14 4:31 GBP/JPY GBP/JPY SHORT 2 171.555 5/14 9:49 170.815 0.2%
Trade id #87556353
Max drawdown($13)
Time5/14/14 4:39
Quant open-2
Worst price171.626
Drawdown as % of equity-0.20%
 $145
5/11/14 19:54 USD/JPY USD/JPY LONG 3 101.927 5/14 4:43 101.983 0.37%
Trade id #87501624
Max drawdown($25)
Time5/12/14 3:47
Quant open3
Worst price101.840
Drawdown as % of equity-0.37%
 $16
5/12/14 9:40 GBP/JPY GBP/JPY LONG 1 172.327 5/14 4:31 171.566 1.1%
Trade id #87514161
Max drawdown($75)
Time5/14/14 4:31
Quant open0
Worst price171.566
Drawdown as % of equity-1.10%
 ($75)
5/13/14 8:14 AUD/USD AUD/USD LONG 3 0.93677 5/13 13:34 0.93478 0.88%
Trade id #87536571
Max drawdown($60)
Time5/13/14 13:34
Quant open0
Worst price0.93478
Drawdown as % of equity-0.88%
 ($60)
5/13/14 10:08 USD/CAD USD/CAD SHORT 3 1.08875 5/13 13:04 1.09086 0.84%
Trade id #87539337
Max drawdown($58)
Time5/13/14 13:04
Quant open0
Worst price1.09086
Drawdown as % of equity-0.84%
 ($58)
5/12/14 22:25 USD/CAD USD/CAD LONG 4 1.09039 5/13 9:31 1.08874 0.93%
Trade id #87528509
Max drawdown($65)
Time5/13/14 9:31
Quant open4
Worst price1.08862
Drawdown as % of equity-0.93%
 ($61)
5/13/14 2:18 AUD/USD AUD/USD SHORT 4 0.93363 5/13 6:46 0.93527 0.93%
Trade id #87532160
Max drawdown($66)
Time5/13/14 6:46
Quant open0
Worst price0.93527
Drawdown as % of equity-0.93%
 ($66)
5/4/14 20:46 USD/JPY USD/JPY SHORT 2 102.108 5/9 15:55 101.746 0.21%
Trade id #87376863
Max drawdown($13)
Time5/5/14 18:18
Quant open-2
Worst price102.178
Drawdown as % of equity-0.21%
 $71
5/8/14 9:03 EUR/GBP EUR/GBP SHORT 2 0.82005 5/9 15:55 0.81692 0.12%
Trade id #87461017
Max drawdown($8)
Time5/8/14 9:05
Quant open-2
Worst price0.82029
Drawdown as % of equity-0.12%
 $106
5/5/14 21:55 AUD/JPY AUD/JPY LONG 2 94.867 5/9 15:55 95.275 0.86%
Trade id #87400801
Max drawdown($56)
Time5/6/14 1:07
Quant open2
Worst price94.581
Drawdown as % of equity-0.86%
 $80
5/8/14 9:20 USD/CHF USD/CHF LONG 2 0.87760 5/9 10:36 0.88375 0.31%
Trade id #87461454
Max drawdown($20)
Time5/8/14 9:37
Quant open2
Worst price0.87670
Drawdown as % of equity-0.31%
 $139
5/8/14 8:03 GBP/JPY GBP/JPY SHORT 1 172.341 5/9 7:49 171.416 0.54%
Trade id #87459805
Max drawdown($35)
Time5/8/14 10:12
Quant open-1
Worst price172.705
Drawdown as % of equity-0.54%
 $91
5/8/14 9:16 EUR/USD EUR/USD SHORT 1 1.38860 5/9 7:02 1.37958 0.11%
Trade id #87461352
Max drawdown($7)
Time5/8/14 9:37
Quant open-1
Worst price1.38930
Drawdown as % of equity-0.11%
 $90
5/8/14 9:00 EUR/JPY EUR/JPY SHORT 1 141.451 5/8 15:00 140.602 0.03%
Trade id #87460934
Max drawdown($2)
Time5/8/14 9:02
Quant open-1
Worst price141.474
Drawdown as % of equity-0.03%
 $84
5/5/14 11:45 USD/CAD USD/CAD SHORT 3 1.09550 5/8 10:46 1.08984 0.21%
Trade id #87391186
Max drawdown($13)
Time5/5/14 19:05
Quant open-3
Worst price1.09599
Drawdown as % of equity-0.21%
 $156
5/8/14 5:44 EUR/JPY EUR/JPY LONG 1 142.024 5/8 8:56 141.428 0.91%
Trade id #87458111
Max drawdown($59)
Time5/8/14 8:56
Quant open0
Worst price141.428
Drawdown as % of equity-0.91%
 ($59)
5/8/14 4:04 EUR/GBP EUR/GBP LONG 4 0.82143 5/8 8:55 0.82278 0.29%
Trade id #87456934
Max drawdown($18)
Time5/8/14 4:06
Quant open4
Worst price0.82115
Drawdown as % of equity-0.29%
 $92
5/6/14 7:17 EUR/GBP EUR/GBP SHORT 3 0.82126 5/8 4:04 0.82079 0.09%
Trade id #87408680
Max drawdown($5)
Time5/6/14 7:53
Quant open-3
Worst price0.82137
Drawdown as % of equity-0.09%
 $24
Next

Statistics

  • Strategy began
    3/2/2014
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3697.5
  • Age
    123 months ago
  • What it trades
    Forex
  • # Trades
    275
  • # Profitable
    90
  • % Profitable
    32.70%
  • Avg trade duration
    20.5 hours
  • Max peak-to-valley drawdown
    49.28%
  • drawdown period
    March 12, 2014 - May 07, 2014
  • Annual Return (Compounded)
    -43.7%
  • Avg win
    $112.40
  • Avg loss
    $73.24
  • Model Account Values (Raw)
  • Cash
    $6,568
  • Margin Used
    $0
  • Buying Power
    $6,568
  • Ratios
  • W:L ratio
    0.75:1
  • Sharpe Ratio
    -0.78
  • Sortino Ratio
    -0.95
  • Calmar Ratio
    -0.43
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -57.26%
  • Correlation to SP500
    -0.00670
  • Return Percent SP500 (cumu) during strategy life
    168.01%
  • Return Statistics
  • Ann Return (w trading costs)
    -43.7%
  • Slump
  • Current Slump as Pcnt Equity
    97.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.437%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.1%
  • 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)
    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
  • Automation
  • Percentage Signals Automated
    97.05%
  • 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
    $73
  • Avg Win
    $112
  • Sum Trade PL (losers)
    $13,549.000
  • Age
  • Num Months filled monthly returns table
    122
  • Win / Loss
  • Sum Trade PL (winners)
    $10,116.000
  • # Winners
    90
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    185
  • % Winners
    32.7%
  • Frequency
  • Avg Position Time (mins)
    1227.25
  • Avg Position Time (hrs)
    20.45
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    3623
  • Regression
  • Alpha
    -0.02
  • Beta
    -0.00
  • Treynor Index
    6.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    16.41
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    10.21
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.63
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -4.333
  • 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
    0.279
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.063
  • Hold-and-Hope Ratio
    -0.231
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.61681
  • SD
    0.42066
  • Sharpe ratio (Glass type estimate)
    -1.46628
  • Sharpe ratio (Hedges UMVUE)
    -1.27365
  • df
    6.00000
  • t
    -1.11989
  • p
    0.84721
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.10369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.93910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39180
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45500
  • Upside Potential Ratio
    0.18711
  • Upside part of mean
    0.07932
  • Downside part of mean
    -0.69613
  • Upside SD
    0.06058
  • Downside SD
    0.42392
  • N nonnegative terms
    1.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.21285
  • Mean of criterion
    -0.61681
  • SD of predictor
    0.17730
  • SD of criterion
    0.42066
  • Covariance
    0.00943
  • r
    0.12643
  • b (slope, estimate of beta)
    0.29997
  • a (intercept, estimate of alpha)
    -0.68066
  • Mean Square Error
    0.20895
  • DF error
    5.00000
  • t(b)
    0.28500
  • p(b)
    0.39354
  • t(a)
    -1.06509
  • p(a)
    0.83223
  • Lowerbound of 95% confidence interval for beta
    -2.40581
  • Upperbound of 95% confidence interval for beta
    3.00576
  • Lowerbound of 95% confidence interval for alpha
    -2.32348
  • Upperbound of 95% confidence interval for alpha
    0.96217
  • Treynor index (mean / b)
    -2.05622
  • Jensen alpha (a)
    -0.68066
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.73059
  • SD
    0.49647
  • Sharpe ratio (Glass type estimate)
    -1.47159
  • Sharpe ratio (Hedges UMVUE)
    -1.27826
  • df
    6.00000
  • t
    -1.12394
  • p
    0.84801
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.10971
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27457
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.94442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38790
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45466
  • Upside Potential Ratio
    0.15426
  • Upside part of mean
    0.07748
  • Downside part of mean
    -0.80807
  • Upside SD
    0.05917
  • Downside SD
    0.50224
  • N nonnegative terms
    1.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.19820
  • Mean of criterion
    -0.73059
  • SD of predictor
    0.17028
  • SD of criterion
    0.49647
  • Covariance
    0.01087
  • r
    0.12854
  • b (slope, estimate of beta)
    0.37477
  • a (intercept, estimate of alpha)
    -0.80488
  • Mean Square Error
    0.29089
  • DF error
    5.00000
  • t(b)
    0.28983
  • p(b)
    0.39179
  • t(a)
    -1.07140
  • p(a)
    0.83352
  • Lowerbound of 95% confidence interval for beta
    -2.94935
  • Upperbound of 95% confidence interval for beta
    3.69889
  • Lowerbound of 95% confidence interval for alpha
    -2.73606
  • Upperbound of 95% confidence interval for alpha
    1.12631
  • Treynor index (mean / b)
    -1.94945
  • Jensen alpha (a)
    -0.80488
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25667
  • Expected Shortfall on VaR
    0.29891
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18363
  • Expected Shortfall on VaR
    0.34274
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.69048
  • Quartile 1
    0.95421
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04710
  • Mean of quarter 1
    0.79953
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02355
  • Inter Quartile Range
    0.04579
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.69048
  • 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
    1.00000
  • Minimum
    0.37274
  • Quartile 1
    0.37274
  • Median
    0.37274
  • Quartile 3
    0.37274
  • Maximum
    0.37274
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.58834
  • Compounded annual return (geometric extrapolation)
    -0.51356
  • Calmar ratio (compounded annual return / max draw down)
    -1.37779
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.71809
  • 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
    -0.67573
  • SD
    0.31431
  • Sharpe ratio (Glass type estimate)
    -2.14991
  • Sharpe ratio (Hedges UMVUE)
    -2.14188
  • df
    201.00000
  • t
    -1.64747
  • p
    0.57332
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.71363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.41903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.70814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42439
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.75235
  • Upside Potential Ratio
    3.50504
  • Upside part of mean
    0.86053
  • Downside part of mean
    -1.53626
  • Upside SD
    0.19837
  • Downside SD
    0.24551
  • N nonnegative terms
    27.00000
  • N negative terms
    175.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    202.00000
  • Mean of predictor
    0.21061
  • Mean of criterion
    -0.67573
  • SD of predictor
    0.15597
  • SD of criterion
    0.31431
  • Covariance
    -0.00148
  • r
    -0.03014
  • b (slope, estimate of beta)
    -0.06074
  • a (intercept, estimate of alpha)
    -0.19800
  • Mean Square Error
    0.09919
  • DF error
    200.00000
  • t(b)
    -0.42642
  • p(b)
    0.51507
  • t(a)
    -1.60871
  • p(a)
    0.55651
  • Lowerbound of 95% confidence interval for beta
    -0.34160
  • Upperbound of 95% confidence interval for beta
    0.22013
  • Lowerbound of 95% confidence interval for alpha
    -1.47555
  • Upperbound of 95% confidence interval for alpha
    0.14967
  • Treynor index (mean / b)
    11.12570
  • Jensen alpha (a)
    -0.66294
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.72584
  • SD
    0.31560
  • Sharpe ratio (Glass type estimate)
    -2.29989
  • Sharpe ratio (Hedges UMVUE)
    -2.29129
  • df
    201.00000
  • t
    -1.76239
  • p
    0.57833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.86467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.27048
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.85879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27620
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.87069
  • Upside Potential Ratio
    3.32901
  • Upside part of mean
    0.84172
  • Downside part of mean
    -1.56756
  • Upside SD
    0.19160
  • Downside SD
    0.25284
  • N nonnegative terms
    27.00000
  • N negative terms
    175.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    202.00000
  • Mean of predictor
    0.19845
  • Mean of criterion
    -0.72584
  • SD of predictor
    0.15589
  • SD of criterion
    0.31560
  • Covariance
    -0.00157
  • r
    -0.03196
  • b (slope, estimate of beta)
    -0.06471
  • a (intercept, estimate of alpha)
    -0.71300
  • Mean Square Error
    0.10000
  • DF error
    200.00000
  • t(b)
    -0.45228
  • p(b)
    0.51598
  • t(a)
    -1.72371
  • p(a)
    0.56049
  • Lowerbound of 95% confidence interval for beta
    -0.34685
  • Upperbound of 95% confidence interval for beta
    0.21743
  • Lowerbound of 95% confidence interval for alpha
    -1.52865
  • Upperbound of 95% confidence interval for alpha
    0.10266
  • Treynor index (mean / b)
    11.21620
  • Jensen alpha (a)
    -0.71300
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02965
  • Expected Shortfall on VaR
    0.03651
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01426
  • Expected Shortfall on VaR
    0.02974
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    202.00000
  • Minimum
    0.90577
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10903
  • Mean of quarter 1
    0.98241
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00992
  • Inter Quartile Range
    0.00000
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.22277
  • Mean of outliers low
    0.98007
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.13366
  • Mean of outliers high
    1.01874
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.48696
  • VaR(95%) (moments method)
    0.00101
  • Expected Shortfall (moments method)
    0.00102
  • Extreme Value Index (regression method)
    0.12843
  • VaR(95%) (regression method)
    0.01837
  • Expected Shortfall (regression method)
    0.03379
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00108
  • Quartile 1
    0.05785
  • Median
    0.11462
  • Quartile 3
    0.25271
  • Maximum
    0.39081
  • Mean of quarter 1
    0.00108
  • Mean of quarter 2
    0.11462
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39081
  • Inter Quartile Range
    0.19486
  • 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)
    -0.58446
  • Compounded annual return (geometric extrapolation)
    -0.51124
  • Calmar ratio (compounded annual return / max draw down)
    -1.30817
  • Compounded annual return / average of 25% largest draw downs
    -1.30817
  • Compounded annual return / Expected Shortfall lognormal
    -14.00440
  • 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
    -0.92780
  • SD
    0.23130
  • Sharpe ratio (Glass type estimate)
    -4.01117
  • Sharpe ratio (Hedges UMVUE)
    -3.99355
  • df
    171.00000
  • t
    -2.83632
  • p
    0.63393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.80963
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.20130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.79748
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18961
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.32278
  • Upside Potential Ratio
    1.61714
  • Upside part of mean
    0.34709
  • Downside part of mean
    -1.27489
  • Upside SD
    0.09812
  • Downside SD
    0.21463
  • N nonnegative terms
    14.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.21932
  • Mean of criterion
    -0.92780
  • SD of predictor
    0.16359
  • SD of criterion
    0.23130
  • Covariance
    0.00106
  • r
    0.02807
  • b (slope, estimate of beta)
    0.03969
  • a (intercept, estimate of alpha)
    -0.93650
  • Mean Square Error
    0.05377
  • DF error
    170.00000
  • t(b)
    0.36609
  • p(b)
    0.48597
  • t(a)
    -2.84820
  • p(a)
    0.60671
  • Lowerbound of 95% confidence interval for beta
    -0.17430
  • Upperbound of 95% confidence interval for beta
    0.25367
  • Lowerbound of 95% confidence interval for alpha
    -1.58557
  • Upperbound of 95% confidence interval for alpha
    -0.28743
  • Treynor index (mean / b)
    -23.37890
  • Jensen alpha (a)
    -0.93650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.95627
  • SD
    0.23521
  • Sharpe ratio (Glass type estimate)
    -4.06564
  • Sharpe ratio (Hedges UMVUE)
    -4.04778
  • df
    171.00000
  • t
    -2.87484
  • p
    0.63563
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.86498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.25478
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.85259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24297
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.34880
  • Upside Potential Ratio
    1.55700
  • Upside part of mean
    0.34237
  • Downside part of mean
    -1.29864
  • Upside SD
    0.09647
  • Downside SD
    0.21989
  • N nonnegative terms
    14.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.20596
  • Mean of criterion
    -0.95627
  • SD of predictor
    0.16352
  • SD of criterion
    0.23521
  • Covariance
    0.00106
  • r
    0.02752
  • b (slope, estimate of beta)
    0.03959
  • a (intercept, estimate of alpha)
    -0.96442
  • Mean Square Error
    0.05561
  • DF error
    170.00000
  • t(b)
    0.35896
  • p(b)
    0.48624
  • t(a)
    -2.88527
  • p(a)
    0.60803
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.17811
  • Upperbound of 95% confidence interval for beta
    0.25728
  • Lowerbound of 95% confidence interval for alpha
    -1.62425
  • Upperbound of 95% confidence interval for alpha
    -0.30459
  • Treynor index (mean / b)
    -24.15650
  • Jensen alpha (a)
    -0.96442
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02336
  • Expected Shortfall on VaR
    0.02851
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01226
  • Expected Shortfall on VaR
    0.02571
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.93163
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04067
  • Mean of quarter 1
    0.98528
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00405
  • Inter Quartile Range
    0.00000
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.18023
  • Mean of outliers low
    0.97959
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.08140
  • Mean of outliers high
    1.01242
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.63942
  • VaR(95%) (moments method)
    0.00098
  • Expected Shortfall (moments method)
    0.00098
  • Extreme Value Index (regression method)
    0.00361
  • VaR(95%) (regression method)
    0.01495
  • Expected Shortfall (regression method)
    0.02662
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.38769
  • Quartile 1
    0.38769
  • Median
    0.38769
  • Quartile 3
    0.38769
  • Maximum
    0.38769
  • 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
  • Max Equity Drawdown (num days)
    56
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.75394
  • Compounded annual return (geometric extrapolation)
    -0.61183
  • Calmar ratio (compounded annual return / max draw down)
    -1.57816
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -21.45820

Strategy Description

Ares is a fully automated trading system developed by Prautes Trading, LLC (www.prautestrading.com).

ABOUT PRAUTES TRADING, LLC

Prautes Trading, LLC strives to create powerful trading systems, which – at their core – are grounded in sound risk and money management principles aimed at achieving stable returns in a volatile market. The focus of Prautes Trading, LLC is to consistently work within the context of these principles, never allowing emotions to control trading decisions or alter an established risk profile. This is accomplished through the use of automated trading systems, which contain proprietary algorithms designed to consistently capitalize on recurring market patterns. Further, Prautes Trading, LLC commits to be a constant innovator, relentless in the pursuit of perfection, understanding that it is necessary to continually progress in order to maintain an edge.

The principles of Prautes Trading, LLC are:
- A relentless focus on risk and money management
- Pre-defined rules for every trading system which are never broken
- Rigorous historical and live testing to establish confidence in every trading system
- Continuous innovation in order to maintain an edge in a constantly changing market

ABOUT ARES

Ares is a long/short swing trading strategy which trades 10 different currency pairs* simultaneously with an average trade duration of 2.5 days. The system risks approximately 0.75%** of the model account balance per trade.

Ares has been backtested over a period of 12 years (2002-2013) generating 23,615 trades.

Key backtest statistics:
Annual Compounded Return: 54%
Maximum Drawdown: 40%
Average Annual Drawdown: 30%
Profit Factor: 1.1
Avg. Win / Avg. Loss: 1.7
% Profitable: 40%
Expectancy: 1.1%
MAR Ratio: 1.34
Sortino Ratio: 1.75

Because the system utilizes proprietary capital management algorithms and scales out of some profitable trades, a minimum trade scaling percentage of 100% is recommended in order to take full advantage of the system's algorithms. Further, due to the frequency of trades placed by Ares, it is recommended that the system be auto traded.

If you have any questions regarding Ares, please do not hesitate to contact us.

For more information on Prautes Trading, LLC and Ares – including additional backtest statistics – please visit www.prautestrading.com.

*EUR/USD, GBP/USD, EUR/GBP, USD/CHF, USD/CAD, AUD/USD, USD/JPY, EUR/JPY, GBP/JPY, AUD/JPY
**Typically, there will be open positions in multiple currency pairs, simultaneously. Because each pair risks approximately 0.75% of capital, the total capital risked at any point in time could be higher than the 0.75% described above.
***Fills during backtesting take into consideration price and volume at the time of execution. Slippage was assumed to be one pip on all round-trip trades. Commissions were assumed at US$0.50 per 10,000 units traded.

Summary Statistics

Strategy began
2014-03-02
Suggested Minimum Capital
$10,000
# Trades
275
# Profitable
90
% Profitable
32.7%
Correlation S&P500
-0.007
Sharpe Ratio
-0.78
Sortino Ratio
-0.95
Beta
-0.00
Alpha
-0.02

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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Suggested Minimum Capital

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