Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $157,000 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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Sloan Project X
(89552008)

Created by: JeffPeterson JeffPeterson
Started: 09/2014
Forex
Last trade: 3,338 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 $119.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(100.0%)
Max Drawdown
86
Num Trades
46.5%
Win Trades
0.8 : 1
Profit Factor
1.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                        +10.7%+0.4%(4.4%)(20.2%)(15.2%)
2015(75.8%)(306.3%)(15.3%)  -    -    -    -    -    -    -    -    -  (142.3%)
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/6/15 4:04 EUR/USD EUR/USD SHORT 1 1.09951 3/6 6:58 1.09360 0.97%
Trade id #92991374
Max drawdown($4)
Time3/6/15 4:06
Quant open-1
Worst price1.09991
Drawdown as % of equity-0.97%
 $59
3/3/15 2:49 EUR/USD EUR/USD LONG 1 1.12090 3/3 3:03 1.11922 5.09%
Trade id #92874944
Max drawdown($21)
Time3/3/15 3:03
Quant open1
Worst price1.11871
Drawdown as % of equity-5.09%
 ($17)
2/26/15 4:12 EUR/USD EUR/USD SHORT 1 1.13505 2/26 4:53 1.13732 5.04%
Trade id #92773073
Max drawdown($23)
Time2/26/15 4:53
Quant open0
Worst price1.13732
Drawdown as % of equity-5.04%
 ($23)
2/25/15 20:33 EUR/JPY EUR/JPY LONG 1 135.380 2/26 3:57 134.804 11.54%
Trade id #92764847
Max drawdown($52)
Time2/26/15 3:57
Quant open1
Worst price134.755
Drawdown as % of equity-11.54%
 ($49)
2/19/15 8:26 GBP/USD GBP/USD SHORT 1 1.54145 2/19 9:32 1.54272 2.53%
Trade id #92620904
Max drawdown($13)
Time2/19/15 9:32
Quant open0
Worst price1.54272
Drawdown as % of equity-2.53%
 ($13)
2/19/15 7:24 EUR/JPY EUR/JPY SHORT 1 135.095 2/19 8:09 135.500 6.2%
Trade id #92620070
Max drawdown($34)
Time2/19/15 8:09
Quant open0
Worst price135.500
Drawdown as % of equity-6.20%
 ($34)
2/16/15 22:54 GBP/JPY GBP/JPY LONG 1 182.391 2/17 1:39 182.127 4.31%
Trade id #92554224
Max drawdown($23)
Time2/17/15 1:39
Quant open1
Worst price182.107
Drawdown as % of equity-4.31%
 ($22)
2/12/15 8:41 EUR/USD EUR/USD LONG 1 1.13755 2/16 11:55 1.13756 9.09%
Trade id #92481347
Max drawdown($50)
Time2/12/15 9:09
Quant open1
Worst price1.13254
Drawdown as % of equity-9.09%
 $0
2/11/15 2:21 EUR/USD EUR/USD SHORT 1 1.13022 2/12 8:40 1.13742 11.84%
Trade id #92443802
Max drawdown($72)
Time2/12/15 8:40
Quant open0
Worst price1.13742
Drawdown as % of equity-11.84%
 ($72)
2/10/15 2:31 GBP/JPY GBP/JPY LONG 1 180.871 2/10 3:35 180.877 1.33%
Trade id #92409558
Max drawdown($8)
Time2/10/15 2:41
Quant open1
Worst price180.770
Drawdown as % of equity-1.33%
 $1
2/9/15 10:49 AUD/USD AUD/USD LONG 1 0.78338 2/9 11:46 0.78138 3.45%
Trade id #92390855
Max drawdown($22)
Time2/9/15 11:46
Quant open1
Worst price0.78110
Drawdown as % of equity-3.45%
 ($20)
2/6/15 9:06 EUR/USD EUR/USD SHORT 1 1.13612 2/6 9:24 1.13431 1.54%
Trade id #92353751
Max drawdown($9)
Time2/6/15 9:15
Quant open-1
Worst price1.13711
Drawdown as % of equity-1.54%
 $18
2/6/15 8:31 EUR/USD EUR/USD SHORT 1 1.13789 2/6 8:47 1.13790 n/a $0
2/6/15 5:57 EUR/JPY EUR/JPY SHORT 1 134.126 2/6 7:16 134.426 3.89%
Trade id #92349961
Max drawdown($26)
Time2/6/15 7:16
Quant open0
Worst price134.426
Drawdown as % of equity-3.89%
 ($26)
2/5/15 5:23 EUR/USD EUR/USD LONG 1 1.13979 2/5 5:30 1.14163 0.91%
Trade id #92319473
Max drawdown($5)
Time2/5/15 5:25
Quant open1
Worst price1.13920
Drawdown as % of equity-0.91%
 $18
2/2/15 23:19 AUD/USD AUD/USD SHORT 1 0.76588 2/3 2:35 0.76398 2.78%
Trade id #92250605
Max drawdown($17)
Time2/3/15 2:13
Quant open-1
Worst price0.76759
Drawdown as % of equity-2.78%
 $19
2/2/15 22:36 AUD/USD AUD/USD SHORT 1 0.76689 2/2 23:06 0.76691 2.69%
Trade id #92249775
Max drawdown($17)
Time2/2/15 22:43
Quant open-1
Worst price0.76859
Drawdown as % of equity-2.69%
 $0
2/2/15 3:31 EUR/USD EUR/USD LONG 1 1.13387 2/2 4:21 1.13195 3.51%
Trade id #92228129
Max drawdown($22)
Time2/2/15 4:11
Quant open1
Worst price1.13163
Drawdown as % of equity-3.51%
 ($19)
1/30/15 4:22 EUR/JPY EUR/JPY SHORT 1 133.315 1/30 5:34 133.315 n/a $0
1/30/15 2:14 EUR/JPY EUR/JPY SHORT 1 133.412 1/30 3:22 133.712 3.7%
Trade id #92196797
Max drawdown($25)
Time1/30/15 3:22
Quant open0
Worst price133.712
Drawdown as % of equity-3.70%
 ($25)
1/29/15 6:36 EUR/JPY EUR/JPY LONG 1 133.439 1/29 7:09 133.619 1.36%
Trade id #92171521
Max drawdown($8)
Time1/29/15 6:47
Quant open1
Worst price133.333
Drawdown as % of equity-1.36%
 $15
1/28/15 3:54 EUR/JPY EUR/JPY SHORT 1 133.547 1/28 4:31 133.598 1.4%
Trade id #92139267
Max drawdown($9)
Time1/28/15 4:02
Quant open-1
Worst price133.657
Drawdown as % of equity-1.40%
 ($4)
1/22/15 9:04 EUR/JPY EUR/JPY SHORT 1 135.822 1/22 9:24 135.256 0.17%
Trade id #92027308
Max drawdown($1)
Time1/22/15 9:06
Quant open-1
Worst price135.834
Drawdown as % of equity-0.17%
 $48
1/21/15 22:28 EUR/JPY EUR/JPY LONG 1 137.303 1/21 23:46 137.032 4.07%
Trade id #92017774
Max drawdown($25)
Time1/21/15 23:46
Quant open1
Worst price136.998
Drawdown as % of equity-4.07%
 ($23)
1/15/15 2:27 GBP/USD GBP/USD SHORT 1 1.52089 1/15 2:42 1.52223 1.99%
Trade id #91875292
Max drawdown($13)
Time1/15/15 2:42
Quant open0
Worst price1.52223
Drawdown as % of equity-1.99%
 ($13)
1/14/15 8:59 GBP/USD GBP/USD LONG 1 1.52646 1/14 10:01 1.51999 9.05%
Trade id #91852853
Max drawdown($65)
Time1/14/15 10:01
Quant open0
Worst price1.51999
Drawdown as % of equity-9.05%
 ($65)
1/14/15 2:46 EUR/USD EUR/USD LONG 1 1.18059 1/14 3:01 1.17739 4.27%
Trade id #91846278
Max drawdown($32)
Time1/14/15 3:01
Quant open0
Worst price1.17739
Drawdown as % of equity-4.27%
 ($32)
1/12/15 5:32 EUR/USD EUR/USD SHORT 1 1.17940 1/12 9:50 1.18420 6.24%
Trade id #91794188
Max drawdown($48)
Time1/12/15 9:50
Quant open0
Worst price1.18420
Drawdown as % of equity-6.24%
 ($48)
1/12/15 4:49 EUR/JPY EUR/JPY LONG 1 140.664 1/12 5:26 140.663 0.79%
Trade id #91793468
Max drawdown($6)
Time1/12/15 4:51
Quant open1
Worst price140.589
Drawdown as % of equity-0.79%
 $0
1/8/15 3:12 GBP/CHF GBP/CHF SHORT 1 1.52904 1/8 4:35 1.53252 4.09%
Trade id #91736539
Max drawdown($34)
Time1/8/15 4:35
Quant open0
Worst price1.53252
Drawdown as % of equity-4.09%
 ($34)
Next

Statistics

  • Strategy began
    9/9/2014
  • Suggested Minimum Cap
    $619
  • Strategy Age (days)
    3514.68
  • Age
    117 months ago
  • What it trades
    Forex
  • # Trades
    86
  • # Profitable
    40
  • % Profitable
    46.50%
  • Avg trade duration
    4.6 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 17, 2015 - March 06, 2015
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $19.02
  • Avg loss
    $19.78
  • Model Account Values (Raw)
  • Cash
    $471
  • Margin Used
    $0
  • Buying Power
    $471
  • Ratios
  • W:L ratio
    0.84:1
  • Sharpe Ratio
    -2.49
  • Sortino Ratio
    -2.54
  • Calmar Ratio
    -0.152
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -123.42%
  • Correlation to SP500
    0.01480
  • Return Percent SP500 (cumu) during strategy life
    155.06%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -2.8%
  • 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)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $20
  • Avg Win
    $19
  • Sum Trade PL (losers)
    $910.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $761.000
  • # Winners
    40
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    46
  • % Winners
    46.5%
  • Frequency
  • Avg Position Time (mins)
    277.65
  • Avg Position Time (hrs)
    4.63
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    3337
  • Regression
  • Alpha
    0.00
  • Beta
    0.30
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.50
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    9.74
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.46
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -8.156
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.651
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.082
  • Hold-and-Hope Ratio
    -0.115
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08742
  • SD
    0.31007
  • Sharpe ratio (Glass type estimate)
    -0.28193
  • Sharpe ratio (Hedges UMVUE)
    -0.27301
  • df
    24.00000
  • t
    -0.40693
  • p
    0.65617
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.08116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63311
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08709
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34085
  • Upside Potential Ratio
    0.72566
  • Upside part of mean
    0.18611
  • Downside part of mean
    -0.27352
  • Upside SD
    0.16479
  • Downside SD
    0.25647
  • N nonnegative terms
    4.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.02042
  • Mean of criterion
    -0.08742
  • SD of predictor
    0.09656
  • SD of criterion
    0.31007
  • Covariance
    0.00434
  • r
    0.14497
  • b (slope, estimate of beta)
    0.46553
  • a (intercept, estimate of alpha)
    -0.09692
  • Mean Square Error
    0.09821
  • DF error
    23.00000
  • t(b)
    0.70269
  • p(b)
    0.24465
  • t(a)
    -0.44553
  • p(a)
    0.66995
  • Lowerbound of 95% confidence interval for beta
    -0.90495
  • Upperbound of 95% confidence interval for beta
    1.83602
  • Lowerbound of 95% confidence interval for alpha
    -0.54694
  • Upperbound of 95% confidence interval for alpha
    0.35310
  • Treynor index (mean / b)
    -0.18778
  • Jensen alpha (a)
    -0.09692
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14009
  • SD
    0.34118
  • Sharpe ratio (Glass type estimate)
    -0.41061
  • Sharpe ratio (Hedges UMVUE)
    -0.39762
  • df
    24.00000
  • t
    -0.59266
  • p
    0.72052
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76923
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76017
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96493
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46611
  • Upside Potential Ratio
    0.57823
  • Upside part of mean
    0.17379
  • Downside part of mean
    -0.31388
  • Upside SD
    0.15182
  • Downside SD
    0.30056
  • N nonnegative terms
    4.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.01590
  • Mean of criterion
    -0.14009
  • SD of predictor
    0.09679
  • SD of criterion
    0.34118
  • Covariance
    0.00356
  • r
    0.10787
  • b (slope, estimate of beta)
    0.38024
  • a (intercept, estimate of alpha)
    -0.14614
  • Mean Square Error
    0.12005
  • DF error
    23.00000
  • t(b)
    0.52036
  • p(b)
    0.30389
  • t(a)
    -0.60806
  • p(a)
    0.72545
  • Lowerbound of 95% confidence interval for beta
    -1.13137
  • Upperbound of 95% confidence interval for beta
    1.89184
  • Lowerbound of 95% confidence interval for alpha
    -0.64330
  • Upperbound of 95% confidence interval for alpha
    0.35103
  • Treynor index (mean / b)
    -0.36843
  • Jensen alpha (a)
    -0.14614
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15943
  • Expected Shortfall on VaR
    0.19279
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07132
  • Expected Shortfall on VaR
    0.15192
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.68788
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.20494
  • Mean of quarter 1
    0.92108
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06517
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.12000
  • Mean of outliers low
    0.81586
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16000
  • Mean of outliers high
    1.09776
  • 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)
    -0.29934
  • VaR(95%) (regression method)
    0.20853
  • Expected Shortfall (regression method)
    0.32865
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.47086
  • Quartile 1
    0.47086
  • Median
    0.47086
  • Quartile 3
    0.47086
  • Maximum
    0.47086
  • 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)
    -0.11399
  • Compounded annual return (geometric extrapolation)
    -0.12203
  • Calmar ratio (compounded annual return / max draw down)
    -0.25916
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.63296
  • 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
    -0.11542
  • SD
    0.21624
  • Sharpe ratio (Glass type estimate)
    -0.53374
  • Sharpe ratio (Hedges UMVUE)
    -0.53319
  • df
    725.00000
  • t
    -0.77538
  • p
    0.78082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.81584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88261
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81624
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.79667
  • Upside Potential Ratio
    3.24200
  • Upside part of mean
    0.46967
  • Downside part of mean
    -0.58509
  • Upside SD
    0.16045
  • Downside SD
    0.14487
  • N nonnegative terms
    43.00000
  • N negative terms
    683.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    726.00000
  • Mean of predictor
    0.04100
  • Mean of criterion
    -0.11542
  • SD of predictor
    0.14661
  • SD of criterion
    0.21624
  • Covariance
    -0.00044
  • r
    -0.01402
  • b (slope, estimate of beta)
    -0.02067
  • a (intercept, estimate of alpha)
    -0.09900
  • Mean Square Error
    0.04681
  • DF error
    724.00000
  • t(b)
    -0.37719
  • p(b)
    0.64693
  • t(a)
    -0.76915
  • p(a)
    0.77897
  • Lowerbound of 95% confidence interval for beta
    -0.12828
  • Upperbound of 95% confidence interval for beta
    0.08693
  • Lowerbound of 95% confidence interval for alpha
    -0.40700
  • Upperbound of 95% confidence interval for alpha
    0.17786
  • Treynor index (mean / b)
    5.58252
  • Jensen alpha (a)
    -0.11457
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13842
  • SD
    0.21381
  • Sharpe ratio (Glass type estimate)
    -0.64739
  • Sharpe ratio (Hedges UMVUE)
    -0.64672
  • df
    725.00000
  • t
    -0.94049
  • p
    0.82636
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.99675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.70237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70284
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93044
  • Upside Potential Ratio
    3.07547
  • Upside part of mean
    0.45752
  • Downside part of mean
    -0.59594
  • Upside SD
    0.15355
  • Downside SD
    0.14877
  • N nonnegative terms
    43.00000
  • N negative terms
    683.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    726.00000
  • Mean of predictor
    0.03024
  • Mean of criterion
    -0.13842
  • SD of predictor
    0.14680
  • SD of criterion
    0.21381
  • Covariance
    -0.00039
  • r
    -0.01246
  • b (slope, estimate of beta)
    -0.01815
  • a (intercept, estimate of alpha)
    -0.13787
  • Mean Square Error
    0.04577
  • DF error
    724.00000
  • t(b)
    -0.33535
  • p(b)
    0.63127
  • t(a)
    -0.93613
  • p(a)
    0.82524
  • Lowerbound of 95% confidence interval for beta
    -0.12441
  • Upperbound of 95% confidence interval for beta
    0.08811
  • Lowerbound of 95% confidence interval for alpha
    -0.42701
  • Upperbound of 95% confidence interval for alpha
    0.15127
  • Treynor index (mean / b)
    7.62595
  • Jensen alpha (a)
    -0.13787
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01918
  • Expected Shortfall on VaR
    0.02388
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00570
  • Expected Shortfall on VaR
    0.01256
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    726.00000
  • Minimum
    0.91513
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.14851
  • Mean of quarter 1
    0.99332
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00545
  • Inter Quartile Range
    0.00000
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.08678
  • Mean of outliers low
    0.98071
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.05923
  • Mean of outliers high
    1.02308
  • 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)
    0.15118
  • VaR(95%) (regression method)
    0.00556
  • Expected Shortfall (regression method)
    0.01765
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00493
  • Quartile 1
    0.00982
  • Median
    0.01527
  • Quartile 3
    0.04788
  • Maximum
    0.55060
  • Mean of quarter 1
    0.00704
  • Mean of quarter 2
    0.01161
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.22571
  • Inter Quartile Range
    0.03806
  • 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
    0.10000
  • Mean of outliers high
    0.55060
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.97076
  • VaR(95%) (moments method)
    0.26064
  • Expected Shortfall (moments method)
    9.54687
  • Extreme Value Index (regression method)
    3.65332
  • VaR(95%) (regression method)
    1.21320
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11253
  • Compounded annual return (geometric extrapolation)
    -0.12056
  • Calmar ratio (compounded annual return / max draw down)
    -0.21896
  • Compounded annual return / average of 25% largest draw downs
    -0.53412
  • Compounded annual return / Expected Shortfall lognormal
    -5.04805
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.10816
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.11781
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.10122
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.11812
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22238600000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -72034199999999998861324310282240.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    17
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Two main currency pairs will be used for this system: EURUSD and EURJPY. Occasionally, another pair may be used at my discretion. System has been in development for close to 2 years with the goal of starting with the smallest amount of capital to strive for a return of 50-100% per quarter. The risk for each trade will range between 2-4%. The goal is to keep the Max Drawdown at its current number (13.5%). And the worst-case scenario per quarter is to break-even regardless of what the Max Drawdown may actually be. In other words, your beginning capital at the start of each quarter should be at least that same amount after 90 days. The number of trades per month will range from 8-17. Another goal for the system is to keep the Sharpe Ratio at least above 3, but hopefully even better than that. As mentioned earlier, the goal of the system is based on 90-day periods. The approach in the beginning of the 90 days is less trade volume in order to start momentum moving forward. Quarterly periods will be in effect beginning January 1, 2015.

Summary Statistics

Strategy began
2014-09-09
Suggested Minimum Capital
$5,000
# Trades
86
# Profitable
40
% Profitable
46.5%
Correlation S&P500
0.015
Sharpe Ratio
-2.49
Sortino Ratio
-2.54
Beta
0.30
Alpha
0.00

Latest Activity

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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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