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These are hypothetical performance results that have certain inherent limitations. Learn more
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Multi-X Forex
(89138634)

Created by:
Started: 08/2014
Forex
Last trade: 3,429 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 $99.00 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.

11.6%
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.

(67.8%)
Max Drawdown
134
Num Trades
61.9%
Win Trades
3.6 : 1
Profit Factor
54.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                 (1.3%)+2.4%+9.2%(10.7%)(10.8%)(12.1%)
2015+87.8%(25.4%)+27.2%+6.2%(14.3%)(22%)(21.1%)+13.3%+4.0%(11.3%)(10.3%)+21.3%+13.6%
2016+16.9%+49.1%+6.7%(2.5%)(23.1%)+73.8%+4.6%+2.3%+4.3%+10.6%(11.4%)(2.6%)+158.4%
2017+2.8%+3.5%(0.4%)(14.8%)+6.7%+3.1%(7.8%)+12.4%(13.6%)(10.4%)(3.7%)+7.1%(17.9%)
2018(2.9%)+1.1%(12.5%)(1.5%)+20.5%(3.5%)+4.3%+11.4%(3.8%)+1.8%(0.4%)+3.2%+15.0%
2019(8.8%)(4.9%)+7.6%(5.4%)(2%)  -  +13.6%(5.9%)(11.7%)(3.6%)+3.5%+2.3%
2020+3.2%+5.3%+4.0%(2.3%)+5.2%+4.6%(7.5%)(1%)+5.5%(0.3%)(4.9%)+3.0%+14.6%
2021(5.6%)(11.1%)(5.7%)+6.9%+0.6%+1.4%  -  +0.4%+1.9%+4.9%+3.0%+1.7%(3.1%)
2022(4.3%)(1.2%)+5.7%(0.3%)+3.4%+3.3%+7.9%+4.7%+9.1%(16.9%)+1.6%+3.8%+14.9%
2023(4.5%)+0.4%+0.2%(0.8%)+0.8%(2.9%)+4.0%(0.9%)+0.2%+4.9%(3.9%)+10.5%+7.2%
2024(6.6%)(7.2%)(5.1%)+3.1%                                                (15.2%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/24/14 21:28 EUR/AUD EUR/AUD SHORT 4 1.45006 11/30 18:44 1.47236 4.69%
Trade id #90972573
Max drawdown($753)
Time11/30/14 18:44
Quant open3
Worst price1.47249
Drawdown as % of equity-4.69%
 ($753)
11/26/14 7:33 GBP/USD GBP/USD SHORT 2 1.57752 11/28 13:07 1.56714 0.62%
Trade id #91004027
Max drawdown($99)
Time11/27/14 2:20
Quant open-2
Worst price1.58247
Drawdown as % of equity-0.62%
 $208
11/27/14 2:47 AUD/USD AUD/USD SHORT 2 0.86111 11/27 23:19 0.85231 0.04%
Trade id #91023214
Max drawdown($6)
Time11/27/14 2:50
Quant open-2
Worst price0.86144
Drawdown as % of equity-0.04%
 $176
11/26/14 5:05 USD/CHF USD/CHF SHORT 2 0.96547 11/27 3:51 0.96268 0.13%
Trade id #91002090
Max drawdown($20)
Time11/26/14 6:40
Quant open-2
Worst price0.96646
Drawdown as % of equity-0.13%
 $58
11/25/14 3:44 GBP/AUD GBP/AUD SHORT 4 1.83249 11/26 7:53 1.85580 5.11%
Trade id #90977645
Max drawdown($794)
Time11/26/14 7:53
Quant open3
Worst price1.85591
Drawdown as % of equity-5.11%
 ($794)
11/24/14 15:40 USD/CAD USD/CAD SHORT 2 1.12920 11/26 3:40 1.12657 0.25%
Trade id #90968291
Max drawdown($42)
Time11/25/14 4:22
Quant open-2
Worst price1.13157
Drawdown as % of equity-0.25%
 $47
11/24/14 15:46 GBP/CAD GBP/CAD SHORT 2 1.77345 11/25 10:53 1.76845 0.06%
Trade id #90968411
Max drawdown($10)
Time11/25/14 5:13
Quant open-2
Worst price1.77404
Drawdown as % of equity-0.06%
 $89
11/24/14 15:47 EUR/USD EUR/USD SHORT 2 1.24399 11/25 9:37 1.24277 0.03%
Trade id #90968428
Max drawdown($5)
Time11/25/14 3:42
Quant open-2
Worst price1.24428
Drawdown as % of equity-0.03%
 $24
11/21/14 5:38 AUD/USD AUD/USD SHORT 2 0.86984 11/24 9:31 0.86291 0.28%
Trade id #90925667
Max drawdown($46)
Time11/21/14 5:41
Quant open-2
Worst price0.87217
Drawdown as % of equity-0.28%
 $139
11/21/14 5:32 EUR/AUD EUR/AUD LONG 2 1.43685 11/21 6:44 1.42698 1.02%
Trade id #90925341
Max drawdown($172)
Time11/21/14 6:44
Quant open1
Worst price1.42698
Drawdown as % of equity-1.02%
 ($172)
11/20/14 2:11 USD/CAD USD/CAD SHORT 2 1.13645 11/21 6:38 1.12966 0.04%
Trade id #90897715
Max drawdown($6)
Time11/20/14 2:35
Quant open-2
Worst price1.13681
Drawdown as % of equity-0.04%
 $121
11/17/14 21:28 AUD/JPY AUD/JPY SHORT 2 101.622 11/21 5:39 102.563 0.94%
Trade id #90845417
Max drawdown($160)
Time11/21/14 5:39
Quant open1
Worst price102.568
Drawdown as % of equity-0.94%
 ($160)
11/19/14 7:05 GBP/AUD GBP/AUD SHORT 4 1.81689 11/21 5:32 1.81343 1%
Trade id #90878250
Max drawdown($175)
Time11/20/14 4:31
Quant open-2
Worst price1.82697
Drawdown as % of equity-1.00%
 $120
11/20/14 8:30 EUR/CAD EUR/CAD LONG 4 1.41858 11/21 5:32 1.40699 2.34%
Trade id #90903286
Max drawdown($411)
Time11/21/14 5:32
Quant open3
Worst price1.40610
Drawdown as % of equity-2.34%
 ($411)
11/19/14 22:02 EUR/USD EUR/USD SHORT 2 1.25442 11/21 5:03 1.24562 0.35%
Trade id #90894648
Max drawdown($60)
Time11/20/14 3:18
Quant open-2
Worst price1.25742
Drawdown as % of equity-0.35%
 $176
11/19/14 7:08 EUR/AUD EUR/AUD SHORT 2 1.45047 11/19 23:09 1.46070 1.01%
Trade id #90878302
Max drawdown($176)
Time11/19/14 23:09
Quant open1
Worst price1.46074
Drawdown as % of equity-1.01%
 ($176)
11/14/14 10:36 AUD/USD AUD/USD SHORT 2 0.87169 11/19 17:53 0.86309 0.92%
Trade id #90806408
Max drawdown($155)
Time11/16/14 21:56
Quant open-2
Worst price0.87948
Drawdown as % of equity-0.92%
 $172
11/17/14 21:43 USD/CHF USD/CHF SHORT 2 0.96292 11/19 14:31 0.95834 0.05%
Trade id #90845560
Max drawdown($8)
Time11/18/14 0:36
Quant open-2
Worst price0.96335
Drawdown as % of equity-0.05%
 $96
11/18/14 2:30 USD/CAD USD/CAD LONG 2 1.12622 11/19 14:00 1.13057 0.03%
Trade id #90849217
Max drawdown($5)
Time11/18/14 2:32
Quant open2
Worst price1.12591
Drawdown as % of equity-0.03%
 $77
11/14/14 6:53 EUR/CAD EUR/CAD LONG 2 1.41358 11/19 8:53 1.42216 0.94%
Trade id #90801687
Max drawdown($158)
Time11/18/14 2:15
Quant open2
Worst price1.40459
Drawdown as % of equity-0.94%
 $151
11/17/14 21:36 GBP/CHF GBP/CHF SHORT 2 1.50747 11/19 3:10 1.49893 0.07%
Trade id #90845503
Max drawdown($11)
Time11/18/14 1:29
Quant open-2
Worst price1.50800
Drawdown as % of equity-0.07%
 $178
11/18/14 4:50 EUR/AUD EUR/AUD SHORT 2 1.43571 11/18 22:08 1.44534 0.95%
Trade id #90851453
Max drawdown($167)
Time11/18/14 22:08
Quant open1
Worst price1.44524
Drawdown as % of equity-0.95%
 ($167)
11/18/14 5:08 GBP/AUD GBP/AUD SHORT 2 1.79953 11/18 19:04 1.79480 0.18%
Trade id #90851744
Max drawdown($31)
Time11/18/14 5:11
Quant open-2
Worst price1.80133
Drawdown as % of equity-0.18%
 $82
11/12/14 21:46 EUR/USD EUR/USD SHORT 2 1.24337 11/14 12:03 1.24630 0.67%
Trade id #90769418
Max drawdown($114)
Time11/13/14 14:38
Quant open-2
Worst price1.24907
Drawdown as % of equity-0.67%
 ($59)
11/13/14 23:31 GBP/CAD GBP/CAD SHORT 2 1.78378 11/14 9:32 1.77502 0.18%
Trade id #90795838
Max drawdown($29)
Time11/14/14 2:32
Quant open-2
Worst price1.78548
Drawdown as % of equity-0.18%
 $154
11/13/14 23:35 EUR/CAD EUR/CAD SHORT 2 1.41705 11/14 6:46 1.41423 0.13%
Trade id #90795880
Max drawdown($22)
Time11/14/14 3:35
Quant open-2
Worst price1.41830
Drawdown as % of equity-0.13%
 $50
11/13/14 19:33 GBP/CHF GBP/CHF SHORT 2 1.51254 11/13 19:34 1.51307 0.07%
Trade id #90792561
Max drawdown($11)
Time11/13/14 19:34
Quant open0
Worst price1.51307
Drawdown as % of equity-0.07%
 ($11)
11/13/14 3:56 GBP/AUD GBP/AUD SHORT 1 1.80549 11/13 19:34 1.80371 n/a $15
11/13/14 18:11 GBP/JPY GBP/JPY SHORT 2 181.804 11/13 19:34 182.061 0.48%
Trade id #90791545
Max drawdown($82)
Time11/13/14 19:21
Quant open-2
Worst price182.284
Drawdown as % of equity-0.48%
 ($44)
11/13/14 18:03 GBP/CHF GBP/CHF LONG 10 1.51396 11/13 19:33 1.51254 1.32%
Trade id #90791430
Max drawdown($226)
Time11/13/14 19:22
Quant open10
Worst price1.51178
Drawdown as % of equity-1.32%
 ($147)
Next

Statistics

  • Strategy began
    8/18/2014
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    3533.54
  • Age
    118 months ago
  • What it trades
    Forex
  • # Trades
    134
  • # Profitable
    83
  • % Profitable
    61.90%
  • Avg trade duration
    104.0 days
  • Max peak-to-valley drawdown
    67.75%
  • drawdown period
    Jan 15, 2015 - Aug 18, 2015
  • Annual Return (Compounded)
    11.6%
  • Avg win
    $490.45
  • Avg loss
    $223.92
  • Model Account Values (Raw)
  • Cash
    $16,335
  • Margin Used
    $4,616
  • Buying Power
    $36,447
  • Ratios
  • W:L ratio
    3.56:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    0.76
  • Calmar Ratio
    1.019
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    37.16%
  • Correlation to SP500
    -0.15020
  • Return Percent SP500 (cumu) during strategy life
    157.00%
  • Return Statistics
  • Ann Return (w trading costs)
    11.6%
  • Slump
  • Current Slump as Pcnt Equity
    25.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.116%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $224
  • Avg Win
    $490
  • Sum Trade PL (losers)
    $11,420.000
  • Age
  • Num Months filled monthly returns table
    117
  • Win / Loss
  • Sum Trade PL (winners)
    $40,707.000
  • # Winners
    83
  • Num Months Winners
    63
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    51
  • % Winners
    61.9%
  • Frequency
  • Avg Position Time (mins)
    149752.00
  • Avg Position Time (hrs)
    2495.87
  • Avg Trade Length
    104.0 days
  • Last Trade Ago
    3427
  • Regression
  • Alpha
    0.07
  • Beta
    -0.54
  • Treynor Index
    -0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    55.54
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    39.50
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.76
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.010
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.342
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.323
  • Hold-and-Hope Ratio
    1.280
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79219
  • SD
    0.68424
  • Sharpe ratio (Glass type estimate)
    1.15776
  • Sharpe ratio (Hedges UMVUE)
    1.11952
  • df
    23.00000
  • t
    1.63732
  • p
    0.05759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27934
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30364
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54268
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64086
  • Upside Potential Ratio
    4.25916
  • Upside part of mean
    1.27764
  • Downside part of mean
    -0.48545
  • Upside SD
    0.64109
  • Downside SD
    0.29997
  • N nonnegative terms
    15.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.50255
  • Mean of criterion
    0.79219
  • SD of predictor
    0.44550
  • SD of criterion
    0.68424
  • Covariance
    -0.03939
  • r
    -0.12923
  • b (slope, estimate of beta)
    -0.19848
  • a (intercept, estimate of alpha)
    0.89193
  • Mean Square Error
    0.48130
  • DF error
    22.00000
  • t(b)
    -0.61124
  • p(b)
    0.72635
  • t(a)
    1.72525
  • p(a)
    0.04925
  • Lowerbound of 95% confidence interval for beta
    -0.87188
  • Upperbound of 95% confidence interval for beta
    0.47493
  • Lowerbound of 95% confidence interval for alpha
    -0.18024
  • Upperbound of 95% confidence interval for alpha
    1.96410
  • Treynor index (mean / b)
    -3.99136
  • Jensen alpha (a)
    0.89193
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57632
  • SD
    0.62529
  • Sharpe ratio (Glass type estimate)
    0.92169
  • Sharpe ratio (Hedges UMVUE)
    0.89125
  • df
    23.00000
  • t
    1.30347
  • p
    0.10266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32309
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30088
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68434
  • Upside Potential Ratio
    3.25608
  • Upside part of mean
    1.11412
  • Downside part of mean
    -0.53779
  • Upside SD
    0.53413
  • Downside SD
    0.34216
  • N nonnegative terms
    15.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.41522
  • Mean of criterion
    0.57632
  • SD of predictor
    0.38597
  • SD of criterion
    0.62529
  • Covariance
    -0.03204
  • r
    -0.13275
  • b (slope, estimate of beta)
    -0.21506
  • a (intercept, estimate of alpha)
    0.66562
  • Mean Square Error
    0.40156
  • DF error
    22.00000
  • t(b)
    -0.62822
  • p(b)
    0.73184
  • t(a)
    1.41595
  • p(a)
    0.08540
  • Lowerbound of 95% confidence interval for beta
    -0.92502
  • Upperbound of 95% confidence interval for beta
    0.49490
  • Lowerbound of 95% confidence interval for alpha
    -0.30928
  • Upperbound of 95% confidence interval for alpha
    1.64052
  • Treynor index (mean / b)
    -2.67979
  • Jensen alpha (a)
    0.66562
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22032
  • Expected Shortfall on VaR
    0.27539
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07661
  • Expected Shortfall on VaR
    0.16024
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.69325
  • Quartile 1
    0.96337
  • Median
    1.06120
  • Quartile 3
    1.12393
  • Maximum
    1.60665
  • Mean of quarter 1
    0.84777
  • Mean of quarter 2
    1.00962
  • Mean of quarter 3
    1.09455
  • Mean of quarter 4
    1.32144
  • Inter Quartile Range
    0.16057
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.69325
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.51272
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02505
  • VaR(95%) (moments method)
    0.15384
  • Expected Shortfall (moments method)
    0.20841
  • Extreme Value Index (regression method)
    0.72048
  • VaR(95%) (regression method)
    0.18245
  • Expected Shortfall (regression method)
    0.57534
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.07926
  • Quartile 1
    0.14581
  • Median
    0.18258
  • Quartile 3
    0.21847
  • Maximum
    0.30675
  • Mean of quarter 1
    0.11253
  • Mean of quarter 2
    0.18258
  • Mean of quarter 3
    0.21847
  • Mean of quarter 4
    0.30675
  • Inter Quartile Range
    0.07266
  • 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)
    1.17417
  • Compounded annual return (geometric extrapolation)
    0.82985
  • Calmar ratio (compounded annual return / max draw down)
    2.70526
  • Compounded annual return / average of 25% largest draw downs
    2.70526
  • Compounded annual return / Expected Shortfall lognormal
    3.01331
  • 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
    1.04155
  • SD
    1.25799
  • Sharpe ratio (Glass type estimate)
    0.82794
  • Sharpe ratio (Hedges UMVUE)
    0.82677
  • df
    531.00000
  • t
    1.17979
  • p
    0.11930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54876
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54957
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20311
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.12435
  • Upside Potential Ratio
    10.03750
  • Upside part of mean
    4.92127
  • Downside part of mean
    -3.87972
  • Upside SD
    1.15902
  • Downside SD
    0.49029
  • N nonnegative terms
    259.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    532.00000
  • Mean of predictor
    0.50523
  • Mean of criterion
    1.04155
  • SD of predictor
    0.34270
  • SD of criterion
    1.25799
  • Covariance
    -0.06153
  • r
    -0.14272
  • b (slope, estimate of beta)
    -0.52389
  • a (intercept, estimate of alpha)
    1.30600
  • Mean Square Error
    1.55323
  • DF error
    530.00000
  • t(b)
    -3.31962
  • p(b)
    0.99952
  • t(a)
    1.48734
  • p(a)
    0.06876
  • Lowerbound of 95% confidence interval for beta
    -0.83392
  • Upperbound of 95% confidence interval for beta
    -0.21387
  • Lowerbound of 95% confidence interval for alpha
    -0.41902
  • Upperbound of 95% confidence interval for alpha
    3.03148
  • Treynor index (mean / b)
    -1.98808
  • Jensen alpha (a)
    1.30623
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48629
  • SD
    0.98110
  • Sharpe ratio (Glass type estimate)
    0.49566
  • Sharpe ratio (Hedges UMVUE)
    0.49496
  • df
    531.00000
  • t
    0.70630
  • p
    0.24016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87125
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88080
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87073
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94752
  • Upside Potential Ratio
    8.75506
  • Upside part of mean
    4.49331
  • Downside part of mean
    -4.00702
  • Upside SD
    0.83561
  • Downside SD
    0.51323
  • N nonnegative terms
    259.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    532.00000
  • Mean of predictor
    0.44465
  • Mean of criterion
    0.48629
  • SD of predictor
    0.34948
  • SD of criterion
    0.98110
  • Covariance
    -0.05734
  • r
    -0.16723
  • b (slope, estimate of beta)
    -0.46945
  • a (intercept, estimate of alpha)
    0.69503
  • Mean Square Error
    0.93740
  • DF error
    530.00000
  • t(b)
    -3.90482
  • p(b)
    0.99995
  • t(a)
    1.01978
  • p(a)
    0.15415
  • Lowerbound of 95% confidence interval for beta
    -0.70562
  • Upperbound of 95% confidence interval for beta
    -0.23328
  • Lowerbound of 95% confidence interval for alpha
    -0.64384
  • Upperbound of 95% confidence interval for alpha
    2.03390
  • Treynor index (mean / b)
    -1.03587
  • Jensen alpha (a)
    0.69503
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09321
  • Expected Shortfall on VaR
    0.11567
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03468
  • Expected Shortfall on VaR
    0.06759
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    532.00000
  • Minimum
    0.83702
  • Quartile 1
    0.98166
  • Median
    1.00000
  • Quartile 3
    1.02049
  • Maximum
    2.40107
  • Mean of quarter 1
    0.94878
  • Mean of quarter 2
    0.99220
  • Mean of quarter 3
    1.00833
  • Mean of quarter 4
    1.06701
  • Inter Quartile Range
    0.03883
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.04323
  • Mean of outliers low
    0.89307
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.04323
  • Mean of outliers high
    1.19034
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09736
  • VaR(95%) (moments method)
    0.04620
  • Expected Shortfall (moments method)
    0.06701
  • Extreme Value Index (regression method)
    -0.04475
  • VaR(95%) (regression method)
    0.04983
  • Expected Shortfall (regression method)
    0.06791
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00473
  • Quartile 1
    0.01090
  • Median
    0.08782
  • Quartile 3
    0.23955
  • Maximum
    0.65980
  • Mean of quarter 1
    0.00583
  • Mean of quarter 2
    0.02668
  • Mean of quarter 3
    0.18792
  • Mean of quarter 4
    0.45626
  • Inter Quartile Range
    0.22866
  • 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
    0.08333
  • Mean of outliers high
    0.65980
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.62526
  • VaR(95%) (moments method)
    0.49550
  • Expected Shortfall (moments method)
    0.49621
  • Extreme Value Index (regression method)
    -0.62809
  • VaR(95%) (regression method)
    0.70095
  • Expected Shortfall (regression method)
    0.80414
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90658
  • Compounded annual return (geometric extrapolation)
    0.67230
  • Calmar ratio (compounded annual return / max draw down)
    1.01895
  • Compounded annual return / average of 25% largest draw downs
    1.47348
  • Compounded annual return / Expected Shortfall lognormal
    5.81246
  • 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
    0.03203
  • SD
    0.54063
  • Sharpe ratio (Glass type estimate)
    0.05925
  • Sharpe ratio (Hedges UMVUE)
    0.05891
  • df
    130.00000
  • t
    0.04190
  • p
    0.49816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.71257
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83072
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08510
  • Upside Potential Ratio
    9.01912
  • Upside part of mean
    3.39463
  • Downside part of mean
    -3.36260
  • Upside SD
    0.38521
  • Downside SD
    0.37638
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.20569
  • Mean of criterion
    0.03203
  • SD of predictor
    0.44458
  • SD of criterion
    0.54063
  • Covariance
    -0.03322
  • r
    -0.13820
  • b (slope, estimate of beta)
    -0.16805
  • a (intercept, estimate of alpha)
    0.23465
  • Mean Square Error
    0.28892
  • DF error
    129.00000
  • t(b)
    -1.58480
  • p(b)
    0.58770
  • t(a)
    0.30441
  • p(a)
    0.48295
  • Lowerbound of 95% confidence interval for beta
    -0.37785
  • Upperbound of 95% confidence interval for beta
    0.04175
  • Lowerbound of 95% confidence interval for alpha
    -1.29046
  • Upperbound of 95% confidence interval for alpha
    1.75976
  • Treynor index (mean / b)
    -0.19061
  • Jensen alpha (a)
    0.23465
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11297
  • SD
    0.54070
  • Sharpe ratio (Glass type estimate)
    -0.20894
  • Sharpe ratio (Hedges UMVUE)
    -0.20773
  • df
    130.00000
  • t
    -0.14774
  • p
    0.50648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56335
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56419
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29204
  • Upside Potential Ratio
    8.58961
  • Upside part of mean
    3.32273
  • Downside part of mean
    -3.43570
  • Upside SD
    0.37488
  • Downside SD
    0.38683
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.10382
  • Mean of criterion
    -0.11297
  • SD of predictor
    0.44887
  • SD of criterion
    0.54070
  • Covariance
    -0.03423
  • r
    -0.14103
  • b (slope, estimate of beta)
    -0.16988
  • a (intercept, estimate of alpha)
    0.07454
  • Mean Square Error
    0.28876
  • DF error
    129.00000
  • t(b)
    -1.61791
  • p(b)
    0.58948
  • t(a)
    0.09697
  • p(a)
    0.49456
  • VAR (95 Confidence Intrvl)
    0.09300
  • Lowerbound of 95% confidence interval for beta
    -0.37762
  • Upperbound of 95% confidence interval for beta
    0.03786
  • Lowerbound of 95% confidence interval for alpha
    -1.44642
  • Upperbound of 95% confidence interval for alpha
    1.59551
  • Treynor index (mean / b)
    0.66501
  • Jensen alpha (a)
    0.07454
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05387
  • Expected Shortfall on VaR
    0.06691
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03106
  • Expected Shortfall on VaR
    0.05603
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90392
  • Quartile 1
    0.98000
  • Median
    0.99994
  • Quartile 3
    1.02055
  • Maximum
    1.10246
  • Mean of quarter 1
    0.95823
  • Mean of quarter 2
    0.99105
  • Mean of quarter 3
    1.00998
  • Mean of quarter 4
    1.04195
  • Inter Quartile Range
    0.04054
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.90392
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.10246
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.58054
  • VaR(95%) (moments method)
    0.04253
  • Expected Shortfall (moments method)
    0.04797
  • Extreme Value Index (regression method)
    -0.22251
  • VaR(95%) (regression method)
    0.04452
  • Expected Shortfall (regression method)
    0.05483
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01434
  • Quartile 1
    0.12197
  • Median
    0.22960
  • Quartile 3
    0.23895
  • Maximum
    0.24829
  • Mean of quarter 1
    0.01434
  • Mean of quarter 2
    0.22960
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24829
  • Inter Quartile Range
    0.11698
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -362267000
  • Max Equity Drawdown (num days)
    215
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08328
  • Compounded annual return (geometric extrapolation)
    -0.08155
  • Calmar ratio (compounded annual return / max draw down)
    -0.32843
  • Compounded annual return / average of 25% largest draw downs
    -0.32843
  • Compounded annual return / Expected Shortfall lognormal
    -1.21867

Strategy Description

Summary Statistics

Strategy began
2014-08-18
Suggested Minimum Capital
$15,000
# Trades
134
# Profitable
83
% Profitable
61.9%
Correlation S&P500
-0.150
Sharpe Ratio
0.30
Sortino Ratio
0.76
Beta
-0.54
Alpha
0.07

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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