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These are hypothetical performance results that have certain inherent limitations. Learn more

OldSchool Forex
(104233187)

Created by: OldSchool OldSchool
Started: 06/2016
Forex
Last trade: 2,515 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 $189.00 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.

-8.3%
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.

(52.1%)
Max Drawdown
369
Num Trades
46.9%
Win Trades
0.6 : 1
Profit Factor
37.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +0.1%(2.4%)+3.1%(1.1%)+0.1%+2.6%(0.8%)+1.6%
2017+0.9%(25.3%)(7.5%)(11.1%)(4.7%)(2.5%)(2.3%)(1.5%)+0.5%+0.9%(1.7%)(1.1%)(45.4%)
2018(0.2%)+2.6%  -  (0.7%)+4.2%(1.5%)(1.4%)+1.1%(1.3%)+2.3%(0.2%)+0.9%+5.9%
2019+1.7%(0.4%)+1.1%(0.2%)+1.0%  -  +2.9%+0.4%(0.9%)+0.5%(1.1%)+3.9%
2020+1.6%+0.1%(1.2%)+1.8%(0.9%)(2.1%)(2.9%)(0.2%)+1.2%(0.8%)+0.6%(2.8%)(5.6%)
2021+1.3%(0.3%)(0.1%)(1.4%)(1.6%)+1.3%+1.4%(0.5%)+0.6%(0.4%)+2.2%(1.2%)+1.4%
2022+1.9%+0.4%(3.9%)(1%)(0.3%)(0.8%)+2.3%+0.5%(2.5%)(1.6%)  -  (0.2%)(5.3%)
2023(0.4%)(0.2%)(1.2%)(2.4%)+2.1%(3.5%)  -  (0.5%)+0.2%(0.2%)(0.5%)(0.2%)(6.7%)
2024+0.5%(1.3%)(0.3%)                                                      (1.2%)

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
4/6/17 22:50 EUR/JPY EUR/JPY SHORT 6 117.715 4/25 11:17 121.249 2.74%
Trade id #110791074
Max drawdown($1,912)
Time4/25/17 11:17
Quant open2
Worst price121.249
Drawdown as % of equity-2.74%
($1,912)
4/3/17 12:00 GBP/USD GBP/USD SHORT 6 1.24910 4/18 13:10 1.27753 2.23%
Trade id #110651767
Max drawdown($1,706)
Time4/18/17 13:10
Quant open2
Worst price1.27753
Drawdown as % of equity-2.23%
($1,706)
4/6/17 16:00 EUR/USD EUR/USD SHORT 6 1.06457 4/7 5:46 1.06376 0.12%
Trade id #110782506
Max drawdown($88)
Time4/6/17 22:10
Quant open-6
Worst price1.06604
Drawdown as % of equity-0.12%
$49
4/6/17 8:00 EUR/GBP EUR/GBP LONG 6 0.85505 4/7 2:00 0.85393 0.25%
Trade id #110762303
Max drawdown($188)
Time4/6/17 10:59
Quant open6
Worst price0.85253
Drawdown as % of equity-0.25%
($84)
4/3/17 11:00 EUR/JPY EUR/JPY SHORT 6 118.493 4/6 22:50 117.552 0.22%
Trade id #110649127
Max drawdown($161)
Time4/5/17 9:50
Quant open-6
Worst price118.790
Drawdown as % of equity-0.22%
$511
4/5/17 18:10 EUR/USD EUR/USD LONG 6 1.06552 4/6 16:00 1.06415 0.21%
Trade id #110743779
Max drawdown($157)
Time4/6/17 3:18
Quant open6
Worst price1.06289
Drawdown as % of equity-0.21%
($82)
4/3/17 0:00 EUR/GBP EUR/GBP SHORT 6 0.85422 4/6 8:00 0.85593 0.48%
Trade id #110632971
Max drawdown($358)
Time4/4/17 18:45
Quant open-6
Worst price0.85902
Drawdown as % of equity-0.48%
($128)
3/29/17 8:00 EUR/USD EUR/USD SHORT 2 1.07532 4/5 14:01 1.06591 0.05%
Trade id #110511260
Max drawdown($40)
Time3/29/17 16:00
Quant open-2
Worst price1.07734
Drawdown as % of equity-0.05%
$188
4/3/17 10:59 GBP/JPY GBP/JPY SHORT 2 138.492 4/4 3:00 137.343 0.03%
Trade id #110648957
Max drawdown($22)
Time4/3/17 12:28
Quant open-2
Worst price138.616
Drawdown as % of equity-0.03%
$208
3/30/17 9:36 GBP/USD GBP/USD LONG 8 1.24808 4/3 12:00 1.24779 0.52%
Trade id #110545986
Max drawdown($382)
Time3/31/17 5:57
Quant open8
Worst price1.24330
Drawdown as % of equity-0.52%
($23)
3/29/17 7:54 EUR/JPY EUR/JPY SHORT 8 119.243 4/2 22:00 118.912 0.58%
Trade id #110511009
Max drawdown($432)
Time3/29/17 21:37
Quant open-8
Worst price119.845
Drawdown as % of equity-0.58%
$238
3/30/17 11:00 EUR/GBP EUR/GBP SHORT 2 0.85944 4/2 19:14 0.85082 0.01%
Trade id #110550408
Max drawdown($4)
Time3/30/17 11:07
Quant open-2
Worst price0.85963
Drawdown as % of equity-0.01%
$216
3/30/17 4:00 GBP/JPY GBP/JPY LONG 2 137.922 3/31 9:23 139.144 0.04%
Trade id #110539063
Max drawdown($31)
Time3/30/17 4:11
Quant open2
Worst price137.748
Drawdown as % of equity-0.04%
$219
3/7/17 12:00 EUR/GBP EUR/GBP LONG 12 0.86535 3/30 11:00 0.85936 1.59%
Trade id #110082230
Max drawdown($1,168)
Time3/30/17 9:48
Quant open12
Worst price0.85755
Drawdown as % of equity-1.59%
($897)
3/29/17 5:00 GBP/USD GBP/USD SHORT 6 1.24642 3/30 9:36 1.25172 0.42%
Trade id #110507940
Max drawdown($318)
Time3/30/17 9:36
Quant open2
Worst price1.25175
Drawdown as % of equity-0.42%
($318)
3/29/17 4:52 GBP/USD GBP/USD LONG 2 1.24564 3/29 5:00 1.24450 0.04%
Trade id #110507725
Max drawdown($29)
Time3/29/17 4:54
Quant open2
Worst price1.24418
Drawdown as % of equity-0.04%
($23)
3/28/17 22:00 GBP/USD GBP/USD SHORT 6 1.24203 3/29 4:52 1.24563 0.29%
Trade id #110500466
Max drawdown($216)
Time3/29/17 4:52
Quant open2
Worst price1.24563
Drawdown as % of equity-0.29%
($216)
3/23/17 7:00 GBP/USD GBP/USD LONG 8 1.24765 3/28 22:00 1.24000 1.06%
Trade id #110395945
Max drawdown($805)
Time3/28/17 20:07
Quant open8
Worst price1.23758
Drawdown as % of equity-1.06%
($612)
3/22/17 12:00 GBP/JPY GBP/JPY SHORT 8 138.883 3/28 15:42 138.447 0.49%
Trade id #110381441
Max drawdown($370)
Time3/28/17 4:48
Quant open-8
Worst price139.398
Drawdown as % of equity-0.49%
$314
3/15/17 14:52 EUR/USD EUR/USD LONG 2 1.07101 3/28 12:55 1.08348 0.07%
Trade id #110255362
Max drawdown($49)
Time3/15/17 15:25
Quant open2
Worst price1.06852
Drawdown as % of equity-0.07%
$249
3/28/17 8:00 USD/JPY USD/JPY SHORT 2 110.443 3/28 12:10 110.601 0.04%
Trade id #110474421
Max drawdown($29)
Time3/28/17 12:10
Quant open0
Worst price110.601
Drawdown as % of equity-0.04%
($29)
3/15/17 16:00 EUR/JPY EUR/JPY SHORT 8 121.699 3/28 9:33 119.864 0.56%
Trade id #110258639
Max drawdown($398)
Time3/16/17 23:04
Quant open-8
Worst price122.249
Drawdown as % of equity-0.56%
$1,331
3/24/17 13:00 USD/JPY USD/JPY SHORT 2 110.887 3/27 19:23 110.698 0.1%
Trade id #110425333
Max drawdown($77)
Time3/24/17 16:40
Quant open-2
Worst price111.314
Drawdown as % of equity-0.10%
$34
3/24/17 8:00 USD/JPY USD/JPY SHORT 2 110.971 3/24 9:30 111.197 0.05%
Trade id #110417954
Max drawdown($41)
Time3/24/17 9:30
Quant open0
Worst price111.197
Drawdown as % of equity-0.05%
($41)
3/24/17 7:00 USD/JPY USD/JPY LONG 2 111.024 3/24 8:00 110.972 0.02%
Trade id #110417209
Max drawdown($12)
Time3/24/17 7:57
Quant open2
Worst price110.955
Drawdown as % of equity-0.02%
($9)
3/21/17 10:00 USD/JPY USD/JPY SHORT 2 112.445 3/23 20:54 111.300 n/a $206
3/16/17 9:07 GBP/USD GBP/USD LONG 2 1.23645 3/22 15:00 1.24850 0.11%
Trade id #110271913
Max drawdown($81)
Time3/17/17 3:28
Quant open2
Worst price1.23237
Drawdown as % of equity-0.11%
$241
3/22/17 11:19 GBP/JPY GBP/JPY LONG 2 138.644 3/22 12:00 138.543 0.07%
Trade id #110380311
Max drawdown($50)
Time3/22/17 11:32
Quant open2
Worst price138.362
Drawdown as % of equity-0.07%
($18)
3/14/17 21:00 GBP/JPY GBP/JPY SHORT 10 140.058 3/22 11:18 138.532 0.67%
Trade id #110234130
Max drawdown($492)
Time3/15/17 2:14
Quant open-10
Worst price140.605
Drawdown as % of equity-0.67%
$1,374
3/15/17 14:47 USD/JPY USD/JPY SHORT 6 113.468 3/20 5:12 112.770 0.08%
Trade id #110255027
Max drawdown($54)
Time3/15/17 15:25
Quant open-6
Worst price113.571
Drawdown as % of equity-0.08%
$371

Statistics

  • Strategy began
    6/23/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2834.87
  • Age
    95 months ago
  • What it trades
    Forex
  • # Trades
    369
  • # Profitable
    173
  • % Profitable
    46.90%
  • Avg trade duration
    30.5 days
  • Max peak-to-valley drawdown
    52.11%
  • drawdown period
    Feb 07, 2017 - Nov 14, 2023
  • Annual Return (Compounded)
    -8.3%
  • Avg win
    $326.49
  • Avg loss
    $513.15
  • Model Account Values (Raw)
  • Cash
    $71,308
  • Margin Used
    $3,304
  • Buying Power
    $63,702
  • Ratios
  • W:L ratio
    0.56:1
  • Sharpe Ratio
    -1.08
  • Sortino Ratio
    -1.32
  • Calmar Ratio
    -0.501
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -197.32%
  • Correlation to SP500
    -0.15470
  • Return Percent SP500 (cumu) during strategy life
    148.48%
  • Return Statistics
  • Ann Return (w trading costs)
    -8.3%
  • Slump
  • Current Slump as Pcnt Equity
    107.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.083%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -7.2%
  • 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
    96.73%
  • 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
    $513
  • Avg Win
    $326
  • Sum Trade PL (losers)
    $100,578.000
  • Age
  • Num Months filled monthly returns table
    94
  • Win / Loss
  • Sum Trade PL (winners)
    $56,483.000
  • # Winners
    173
  • Num Months Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    196
  • % Winners
    46.9%
  • Frequency
  • Avg Position Time (mins)
    43902.90
  • Avg Position Time (hrs)
    731.72
  • Avg Trade Length
    30.5 days
  • Last Trade Ago
    2547
  • Regression
  • Alpha
    -0.03
  • Beta
    -0.07
  • Treynor Index
    0.39
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.53
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    39.09
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.79
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -3.574
  • 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
    0.454
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.290
  • Hold-and-Hope Ratio
    -0.225
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27476
  • SD
    0.20360
  • Sharpe ratio (Glass type estimate)
    -1.34947
  • Sharpe ratio (Hedges UMVUE)
    -1.30678
  • df
    24.00000
  • t
    -1.94779
  • p
    0.96839
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74652
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.07352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10055
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32566
  • Upside Potential Ratio
    0.46646
  • Upside part of mean
    0.09668
  • Downside part of mean
    -0.37144
  • Upside SD
    0.05595
  • Downside SD
    0.20726
  • N nonnegative terms
    10.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.42338
  • Mean of criterion
    -0.27476
  • SD of predictor
    0.30366
  • SD of criterion
    0.20360
  • Covariance
    -0.00782
  • r
    -0.12650
  • b (slope, estimate of beta)
    -0.08482
  • a (intercept, estimate of alpha)
    -0.23885
  • Mean Square Error
    0.04256
  • DF error
    23.00000
  • t(b)
    -0.61160
  • p(b)
    0.72660
  • t(a)
    -1.54566
  • p(a)
    0.93208
  • Lowerbound of 95% confidence interval for beta
    -0.37171
  • Upperbound of 95% confidence interval for beta
    0.20207
  • Lowerbound of 95% confidence interval for alpha
    -0.55851
  • Upperbound of 95% confidence interval for alpha
    0.08082
  • Treynor index (mean / b)
    3.23934
  • Jensen alpha (a)
    -0.23885
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29983
  • SD
    0.22138
  • Sharpe ratio (Glass type estimate)
    -1.35435
  • Sharpe ratio (Hedges UMVUE)
    -1.31151
  • df
    24.00000
  • t
    -1.95484
  • p
    0.96883
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.06901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09617
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32070
  • Upside Potential Ratio
    0.41816
  • Upside part of mean
    0.09493
  • Downside part of mean
    -0.39477
  • Upside SD
    0.05479
  • Downside SD
    0.22703
  • N nonnegative terms
    10.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.37849
  • Mean of criterion
    -0.29983
  • SD of predictor
    0.26889
  • SD of criterion
    0.22138
  • Covariance
    -0.00679
  • r
    -0.11401
  • b (slope, estimate of beta)
    -0.09387
  • a (intercept, estimate of alpha)
    -0.26431
  • Mean Square Error
    0.05048
  • DF error
    23.00000
  • t(b)
    -0.55036
  • p(b)
    0.70631
  • t(a)
    -1.56847
  • p(a)
    0.93479
  • Lowerbound of 95% confidence interval for beta
    -0.44668
  • Upperbound of 95% confidence interval for beta
    0.25895
  • Lowerbound of 95% confidence interval for alpha
    -0.61290
  • Upperbound of 95% confidence interval for alpha
    0.08429
  • Treynor index (mean / b)
    3.19426
  • Jensen alpha (a)
    -0.26431
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12200
  • Expected Shortfall on VaR
    0.14490
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07992
  • Expected Shortfall on VaR
    0.14801
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.77378
  • Quartile 1
    0.96443
  • Median
    0.99487
  • Quartile 3
    1.01137
  • Maximum
    1.05448
  • Mean of quarter 1
    0.90683
  • Mean of quarter 2
    0.98564
  • Mean of quarter 3
    1.00432
  • Mean of quarter 4
    1.03304
  • Inter Quartile Range
    0.04694
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.77378
  • 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)
    -0.68922
  • VaR(95%) (moments method)
    0.08985
  • Expected Shortfall (moments method)
    0.10122
  • Extreme Value Index (regression method)
    0.10734
  • VaR(95%) (regression method)
    0.11770
  • Expected Shortfall (regression method)
    0.17743
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01092
  • Quartile 1
    0.01535
  • Median
    0.01978
  • Quartile 3
    0.24358
  • Maximum
    0.46739
  • Mean of quarter 1
    0.01092
  • Mean of quarter 2
    0.01978
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.46739
  • Inter Quartile Range
    0.22823
  • 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)
    -0.20760
  • Compounded annual return (geometric extrapolation)
    -0.23809
  • Calmar ratio (compounded annual return / max draw down)
    -0.50940
  • Compounded annual return / average of 25% largest draw downs
    -0.50940
  • Compounded annual return / Expected Shortfall lognormal
    -1.64318
  • 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
    -0.29285
  • SD
    0.14439
  • Sharpe ratio (Glass type estimate)
    -2.02821
  • Sharpe ratio (Hedges UMVUE)
    -2.02545
  • df
    552.00000
  • t
    -2.94662
  • p
    0.99833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38172
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.67298
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37981
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67110
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.41712
  • Upside Potential Ratio
    5.28456
  • Upside part of mean
    0.64025
  • Downside part of mean
    -0.93309
  • Upside SD
    0.08037
  • Downside SD
    0.12115
  • N nonnegative terms
    259.00000
  • N negative terms
    294.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    553.00000
  • Mean of predictor
    0.45182
  • Mean of criterion
    -0.29285
  • SD of predictor
    0.32743
  • SD of criterion
    0.14439
  • Covariance
    -0.00694
  • r
    -0.14670
  • b (slope, estimate of beta)
    -0.06469
  • a (intercept, estimate of alpha)
    -0.26400
  • Mean Square Error
    0.02044
  • DF error
    551.00000
  • t(b)
    -3.48123
  • p(b)
    0.99973
  • t(a)
    -2.66941
  • p(a)
    0.99609
  • Lowerbound of 95% confidence interval for beta
    -0.10119
  • Upperbound of 95% confidence interval for beta
    -0.02819
  • Lowerbound of 95% confidence interval for alpha
    -0.45760
  • Upperbound of 95% confidence interval for alpha
    -0.06963
  • Treynor index (mean / b)
    4.52690
  • Jensen alpha (a)
    -0.26362
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30347
  • SD
    0.14524
  • Sharpe ratio (Glass type estimate)
    -2.08944
  • Sharpe ratio (Hedges UMVUE)
    -2.08660
  • df
    552.00000
  • t
    -3.03559
  • p
    0.99874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.44322
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.73383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.44128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73193
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.47437
  • Upside Potential Ratio
    5.19367
  • Upside part of mean
    0.63698
  • Downside part of mean
    -0.94045
  • Upside SD
    0.07979
  • Downside SD
    0.12265
  • N nonnegative terms
    259.00000
  • N negative terms
    294.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    553.00000
  • Mean of predictor
    0.39672
  • Mean of criterion
    -0.30347
  • SD of predictor
    0.33320
  • SD of criterion
    0.14524
  • Covariance
    -0.00702
  • r
    -0.14514
  • b (slope, estimate of beta)
    -0.06326
  • a (intercept, estimate of alpha)
    -0.27837
  • Mean Square Error
    0.02069
  • DF error
    551.00000
  • t(b)
    -3.44333
  • p(b)
    0.99969
  • t(a)
    -2.80419
  • p(a)
    0.99739
  • Lowerbound of 95% confidence interval for beta
    -0.09935
  • Upperbound of 95% confidence interval for beta
    -0.02717
  • Lowerbound of 95% confidence interval for alpha
    -0.47337
  • Upperbound of 95% confidence interval for alpha
    -0.08338
  • Treynor index (mean / b)
    4.79689
  • Jensen alpha (a)
    -0.27837
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01579
  • Expected Shortfall on VaR
    0.01947
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00851
  • Expected Shortfall on VaR
    0.01673
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    553.00000
  • Minimum
    0.95205
  • Quartile 1
    0.99549
  • Median
    1.00000
  • Quartile 3
    1.00340
  • Maximum
    1.02875
  • Mean of quarter 1
    0.98788
  • Mean of quarter 2
    0.99816
  • Mean of quarter 3
    1.00139
  • Mean of quarter 4
    1.00861
  • Inter Quartile Range
    0.00792
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.04521
  • Mean of outliers low
    0.97326
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.01808
  • Mean of outliers high
    1.02112
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19517
  • VaR(95%) (moments method)
    0.01154
  • Expected Shortfall (moments method)
    0.01786
  • Extreme Value Index (regression method)
    0.10214
  • VaR(95%) (regression method)
    0.01118
  • Expected Shortfall (regression method)
    0.01618
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00263
  • Median
    0.00820
  • Quartile 3
    0.02134
  • Maximum
    0.48033
  • Mean of quarter 1
    0.00049
  • Mean of quarter 2
    0.00391
  • Mean of quarter 3
    0.01579
  • Mean of quarter 4
    0.18102
  • Inter Quartile Range
    0.01871
  • 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
    0.48033
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.35475
  • VaR(95%) (moments method)
    0.15839
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.23226
  • VaR(95%) (regression method)
    0.84008
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.20894
  • Compounded annual return (geometric extrapolation)
    -0.24086
  • Calmar ratio (compounded annual return / max draw down)
    -0.50144
  • Compounded annual return / average of 25% largest draw downs
    -1.33054
  • Compounded annual return / Expected Shortfall lognormal
    -12.37100
  • 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
    -0.26373
  • SD
    0.14559
  • Sharpe ratio (Glass type estimate)
    -1.81149
  • Sharpe ratio (Hedges UMVUE)
    -1.80102
  • df
    130.00000
  • t
    -1.28091
  • p
    0.55582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.58864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.58145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97942
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.19689
  • Upside Potential Ratio
    6.09780
  • Upside part of mean
    0.73204
  • Downside part of mean
    -0.99577
  • Upside SD
    0.08300
  • Downside SD
    0.12005
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69633
  • Mean of criterion
    -0.26373
  • SD of predictor
    0.42636
  • SD of criterion
    0.14559
  • Covariance
    -0.01651
  • r
    -0.26597
  • b (slope, estimate of beta)
    -0.09082
  • a (intercept, estimate of alpha)
    -0.20049
  • Mean Square Error
    0.01985
  • DF error
    129.00000
  • t(b)
    -3.13372
  • p(b)
    0.66730
  • t(a)
    -1.00113
  • p(a)
    0.55583
  • Lowerbound of 95% confidence interval for beta
    -0.14816
  • Upperbound of 95% confidence interval for beta
    -0.03348
  • Lowerbound of 95% confidence interval for alpha
    -0.59673
  • Upperbound of 95% confidence interval for alpha
    0.19574
  • Treynor index (mean / b)
    2.90389
  • Jensen alpha (a)
    -0.20049
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27443
  • SD
    0.14630
  • Sharpe ratio (Glass type estimate)
    -1.87586
  • Sharpe ratio (Hedges UMVUE)
    -1.86502
  • df
    130.00000
  • t
    -1.32643
  • p
    0.55778
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.65352
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.64608
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91604
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.26168
  • Upside Potential Ratio
    6.00417
  • Upside part of mean
    0.72854
  • Downside part of mean
    -1.00297
  • Upside SD
    0.08248
  • Downside SD
    0.12134
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.60493
  • Mean of criterion
    -0.27443
  • SD of predictor
    0.42774
  • SD of criterion
    0.14630
  • Covariance
    -0.01653
  • r
    -0.26417
  • b (slope, estimate of beta)
    -0.09035
  • a (intercept, estimate of alpha)
    -0.21977
  • Mean Square Error
    0.02006
  • DF error
    129.00000
  • t(b)
    -3.11090
  • p(b)
    0.66620
  • t(a)
    -1.09294
  • p(a)
    0.56089
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.14781
  • Upperbound of 95% confidence interval for beta
    -0.03289
  • Lowerbound of 95% confidence interval for alpha
    -0.61763
  • Upperbound of 95% confidence interval for alpha
    0.17808
  • Treynor index (mean / b)
    3.03739
  • Jensen alpha (a)
    -0.21977
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01579
  • Expected Shortfall on VaR
    0.01949
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00908
  • Expected Shortfall on VaR
    0.01719
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96425
  • Quartile 1
    0.99416
  • Median
    1.00000
  • Quartile 3
    1.00460
  • Maximum
    1.02202
  • Mean of quarter 1
    0.98764
  • Mean of quarter 2
    0.99749
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.00919
  • Inter Quartile Range
    0.01045
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96891
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02202
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24643
  • VaR(95%) (moments method)
    0.01307
  • Expected Shortfall (moments method)
    0.02036
  • Extreme Value Index (regression method)
    0.26927
  • VaR(95%) (regression method)
    0.01149
  • Expected Shortfall (regression method)
    0.01741
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00113
  • Quartile 1
    0.01490
  • Median
    0.01729
  • Quartile 3
    0.02624
  • Maximum
    0.14165
  • Mean of quarter 1
    0.00788
  • Mean of quarter 2
    0.01568
  • Mean of quarter 3
    0.01890
  • Mean of quarter 4
    0.08517
  • Inter Quartile Range
    0.01134
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.14165
  • 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?
    -401896000
  • Max Equity Drawdown (num days)
    2471
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.23194
  • Compounded annual return (geometric extrapolation)
    -0.21849
  • Calmar ratio (compounded annual return / max draw down)
    -1.54240
  • Compounded annual return / average of 25% largest draw downs
    -2.56534
  • Compounded annual return / Expected Shortfall lognormal
    -11.20880

Strategy Description

Risk management is employed through take-profit and stop-loss, as well as trailing stops, which are dynamic and dependent on market volatility. Trades are held on average for up to two days, though some may remain open for longer contingent on market behavior. Due to the numerous currency pairs which may be traded simultaneously, and the long trade duration, the use of equity multipliers is not recommended.
OldSchool Forex Investment Instruments: EURUSD, GBPUSD, USDJPY, EURGBP, EURJPY and GBPJPY;
Green pips to all,
OldSchool.pt

Summary Statistics

Strategy began
2016-06-23
Suggested Minimum Capital
$60,000
# Trades
369
# Profitable
173
% Profitable
46.9%
Correlation S&P500
-0.155
Sharpe Ratio
-1.08
Sortino Ratio
-1.32
Beta
-0.07
Alpha
-0.03

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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