Collective2 Collective2
Featured Strategy IC Algotrading Followed by live capital $346,000 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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QuantFXOpen Beta
(97645553)

Created by: FXXX FXXX
Started: 10/2015
Forex
Last trade: 2,555 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

4.0%
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.

(18.7%)
Max Drawdown
264
Num Trades
50.8%
Win Trades
1.1 : 1
Profit Factor
8.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                               +0.1%+2.1%+7.9%+10.3%
2016(0.7%)(5.5%)(0.8%)(0.6%)+6.6%(5.4%)+1.7%(2.4%)(1.8%)(2.6%)(6%)+3.5%(13.8%)
2017+3.7%+3.6%+2.4%(4.5%)  -    -    -    -    -    -    -    -  +5.2%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 10 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2988 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/21/17 11:30 AUD/USD AUD/USD LONG 2 0.75278 4/21 15:58 0.75371 n/a $19
4/21/17 3:00 GBP/USD GBP/USD SHORT 2 1.28128 4/21 15:58 1.28014 0.39%
Trade id #111179291
Max drawdown($43)
Time4/21/17 4:03
Quant open-2
Worst price1.28345
Drawdown as % of equity-0.39%
 $23
4/17/17 21:30 NZD/USD NZD/USD LONG 2 0.70060 4/21 15:58 0.70299 0.42%
Trade id #111070717
Max drawdown($46)
Time4/20/17 19:07
Quant open2
Worst price0.69828
Drawdown as % of equity-0.42%
 $48
4/19/17 7:30 GBP/USD GBP/USD SHORT 2 1.28483 4/20 11:00 1.28467 0.2%
Trade id #111115725
Max drawdown($21)
Time4/19/17 8:04
Quant open-2
Worst price1.28592
Drawdown as % of equity-0.20%
 $3
4/20/17 2:00 EUR/USD EUR/USD SHORT 2 1.07259 4/20 4:48 1.07709 0.8%
Trade id #111143507
Max drawdown($90)
Time4/20/17 4:48
Quant open0
Worst price1.07709
Drawdown as % of equity-0.80%
 ($90)
4/17/17 10:30 EUR/USD EUR/USD SHORT 2 1.06584 4/18 7:41 1.06825 0.43%
Trade id #111052176
Max drawdown($48)
Time4/18/17 7:41
Quant open0
Worst price1.06825
Drawdown as % of equity-0.43%
 ($48)
4/18/17 2:30 GBP/USD GBP/USD SHORT 2 1.25762 4/18 6:50 1.26491 1.27%
Trade id #111075356
Max drawdown($146)
Time4/18/17 6:50
Quant open0
Worst price1.26491
Drawdown as % of equity-1.27%
 ($146)
4/16/17 19:30 GBP/USD GBP/USD SHORT 2 1.25336 4/17 11:02 1.25958 1.09%
Trade id #111034380
Max drawdown($124)
Time4/17/17 11:02
Quant open0
Worst price1.25958
Drawdown as % of equity-1.09%
 ($124)
4/17/17 4:00 EUR/USD EUR/USD SHORT 2 1.06381 4/17 10:21 1.06623 0.42%
Trade id #111043011
Max drawdown($48)
Time4/17/17 10:04
Quant open-2
Worst price1.06623
Drawdown as % of equity-0.42%
 ($48)
4/14/17 1:30 GBP/USD GBP/USD SHORT 2 1.25121 4/14 15:58 1.25299 0.39%
Trade id #110991624
Max drawdown($45)
Time4/14/17 11:15
Quant open-2
Worst price1.25346
Drawdown as % of equity-0.39%
 ($36)
4/11/17 10:00 AUD/USD AUD/USD LONG 2 0.74885 4/14 15:58 0.75717 0.28%
Trade id #110910026
Max drawdown($31)
Time4/12/17 13:38
Quant open2
Worst price0.74726
Drawdown as % of equity-0.28%
 $166
4/13/17 8:00 GBP/USD GBP/USD LONG 2 1.25298 4/13 15:00 1.25045 0.44%
Trade id #110967160
Max drawdown($51)
Time4/13/17 15:00
Quant open0
Worst price1.25045
Drawdown as % of equity-0.44%
 ($51)
4/10/17 7:30 EUR/USD EUR/USD LONG 2 1.05719 4/13 9:46 1.06121 0.04%
Trade id #110872841
Max drawdown($5)
Time4/10/17 7:33
Quant open2
Worst price1.05694
Drawdown as % of equity-0.04%
 $80
4/10/17 21:30 NZD/USD NZD/USD SHORT 2 0.69567 4/12 15:19 0.69559 0.08%
Trade id #110897040
Max drawdown($9)
Time4/11/17 12:33
Quant open-2
Worst price0.69612
Drawdown as % of equity-0.08%
 $2
4/11/17 3:30 GBP/USD GBP/USD LONG 2 1.24099 4/12 10:30 1.25079 0.12%
Trade id #110902898
Max drawdown($13)
Time4/11/17 4:00
Quant open2
Worst price1.24031
Drawdown as % of equity-0.12%
 $196
4/10/17 11:30 GBP/USD GBP/USD SHORT 2 1.24228 4/10 12:33 1.24179 0.05%
Trade id #110880600
Max drawdown($5)
Time4/10/17 11:33
Quant open-2
Worst price1.24257
Drawdown as % of equity-0.05%
 $10
4/10/17 0:30 GBP/USD GBP/USD SHORT 2 1.23847 4/10 9:46 1.24186 0.61%
Trade id #110866274
Max drawdown($68)
Time4/10/17 9:46
Quant open0
Worst price1.24186
Drawdown as % of equity-0.61%
 ($68)
4/2/17 21:30 NZD/USD NZD/USD SHORT 2 0.70063 4/7 15:58 0.69363 0.28%
Trade id #110630746
Max drawdown($31)
Time4/3/17 19:32
Quant open-2
Worst price0.70221
Drawdown as % of equity-0.28%
 $140
4/4/17 0:30 GBP/USD GBP/USD LONG 2 1.24716 4/7 15:58 1.23723 1.81%
Trade id #110670854
Max drawdown($203)
Time4/7/17 14:25
Quant open2
Worst price1.23699
Drawdown as % of equity-1.81%
 ($199)
4/4/17 1:00 AUD/USD AUD/USD LONG 2 0.75842 4/7 15:58 0.75014 1.61%
Trade id #110671530
Max drawdown($180)
Time4/7/17 15:12
Quant open2
Worst price0.74942
Drawdown as % of equity-1.61%
 ($166)
4/2/17 17:01 EUR/USD EUR/USD LONG 2 1.06665 4/5 14:00 1.06342 0.56%
Trade id #110625882
Max drawdown($65)
Time4/5/17 14:00
Quant open0
Worst price1.06342
Drawdown as % of equity-0.56%
 ($65)
4/3/17 5:00 GBP/USD GBP/USD LONG 2 1.25096 4/4 0:09 1.24752 0.76%
Trade id #110638317
Max drawdown($88)
Time4/3/17 11:22
Quant open2
Worst price1.24654
Drawdown as % of equity-0.76%
 ($69)
3/31/17 6:00 GBP/USD GBP/USD LONG 2 1.24376 3/31 15:58 1.25249 0.04%
Trade id #110575830
Max drawdown($4)
Time3/31/17 6:08
Quant open2
Worst price1.24355
Drawdown as % of equity-0.04%
 $175
3/26/17 19:30 NZD/USD NZD/USD SHORT 2 0.70390 3/31 15:58 0.70103 0.54%
Trade id #110434075
Max drawdown($57)
Time3/27/17 7:53
Quant open-2
Worst price0.70678
Drawdown as % of equity-0.54%
 $57
3/27/17 8:30 EUR/USD EUR/USD SHORT 2 1.08942 3/31 15:58 1.06680 0.22%
Trade id #110441825
Max drawdown($23)
Time3/27/17 9:06
Quant open-2
Worst price1.09058
Drawdown as % of equity-0.22%
 $452
3/27/17 14:30 AUD/USD AUD/USD LONG 2 0.76190 3/31 15:58 0.76399 0.6%
Trade id #110451554
Max drawdown($63)
Time3/28/17 2:47
Quant open2
Worst price0.75872
Drawdown as % of equity-0.60%
 $42
3/30/17 2:30 GBP/USD GBP/USD LONG 2 1.24349 3/31 5:54 1.24360 0.57%
Trade id #110537541
Max drawdown($64)
Time3/30/17 4:12
Quant open2
Worst price1.24029
Drawdown as % of equity-0.57%
 $2
3/29/17 5:00 GBP/USD GBP/USD SHORT 2 1.24451 3/29 7:34 1.24621 0.3%
Trade id #110507914
Max drawdown($34)
Time3/29/17 7:34
Quant open0
Worst price1.24621
Drawdown as % of equity-0.30%
 ($34)
3/28/17 4:00 GBP/USD GBP/USD SHORT 2 1.25831 3/28 18:00 1.24606 0.25%
Trade id #110469370
Max drawdown($26)
Time3/28/17 5:07
Quant open-2
Worst price1.25962
Drawdown as % of equity-0.25%
 $245
3/26/17 17:30 EUR/USD EUR/USD SHORT 2 1.08274 3/27 8:27 1.08911 1.2%
Trade id #110432554
Max drawdown($127)
Time3/27/17 8:27
Quant open0
Worst price1.08911
Drawdown as % of equity-1.20%
 ($127)
Next

Statistics

  • Strategy began
    10/6/2015
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3110.89
  • Age
    104 months ago
  • What it trades
    Forex
  • # Trades
    264
  • # Profitable
    134
  • % Profitable
    50.80%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    18.68%
  • drawdown period
    Jan 05, 2016 - Dec 13, 2016
  • Annual Return (Compounded)
    4.0%
  • Avg win
    $103.58
  • Avg loss
    $98.10
  • Model Account Values (Raw)
  • Cash
    $11,127
  • Margin Used
    $0
  • Buying Power
    $11,127
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    -0.23
  • Sortino Ratio
    -0.36
  • Calmar Ratio
    0.271
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.39%
  • Correlation to SP500
    -0.01990
  • Return Percent SP500 (cumu) during strategy life
    153.10%
  • Return Statistics
  • Ann Return (w trading costs)
    4.0%
  • Slump
  • Current Slump as Pcnt Equity
    11.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.040%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.50%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    94.44%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    356
  • Popularity (Last 6 weeks)
    813
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    671
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $98
  • Avg Win
    $104
  • Sum Trade PL (losers)
    $12,753.000
  • Age
  • Num Months filled monthly returns table
    103
  • Win / Loss
  • Sum Trade PL (winners)
    $13,880.000
  • # Winners
    134
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    130
  • % Winners
    50.8%
  • Frequency
  • Avg Position Time (mins)
    3061.33
  • Avg Position Time (hrs)
    51.02
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    2548
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.01
  • Treynor Index
    0.61
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    78.84
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    41.04
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.67
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    35.027
  • 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
    0.474
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.276
  • Hold-and-Hope Ratio
    0.028
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07466
  • SD
    0.11492
  • Sharpe ratio (Glass type estimate)
    0.64968
  • Sharpe ratio (Hedges UMVUE)
    0.62216
  • df
    18.00000
  • t
    0.81749
  • p
    0.40540
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93092
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94866
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19299
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13364
  • Upside Potential Ratio
    3.07056
  • Upside part of mean
    0.20222
  • Downside part of mean
    -0.12756
  • Upside SD
    0.09294
  • Downside SD
    0.06586
  • N nonnegative terms
    9.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.10530
  • Mean of criterion
    0.07466
  • SD of predictor
    0.10801
  • SD of criterion
    0.11492
  • Covariance
    -0.00040
  • r
    -0.03241
  • b (slope, estimate of beta)
    -0.03448
  • a (intercept, estimate of alpha)
    0.07829
  • Mean Square Error
    0.01397
  • DF error
    17.00000
  • t(b)
    -0.13370
  • p(b)
    0.52063
  • t(a)
    0.80073
  • p(a)
    0.37937
  • Lowerbound of 95% confidence interval for beta
    -0.57865
  • Upperbound of 95% confidence interval for beta
    0.50969
  • Lowerbound of 95% confidence interval for alpha
    -0.12799
  • Upperbound of 95% confidence interval for alpha
    0.28458
  • Treynor index (mean / b)
    -2.16509
  • Jensen alpha (a)
    0.07829
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06819
  • SD
    0.11425
  • Sharpe ratio (Glass type estimate)
    0.59684
  • Sharpe ratio (Hedges UMVUE)
    0.57156
  • df
    18.00000
  • t
    0.75101
  • p
    0.41285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14034
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01557
  • Upside Potential Ratio
    2.94697
  • Upside part of mean
    0.19787
  • Downside part of mean
    -0.12968
  • Upside SD
    0.09080
  • Downside SD
    0.06714
  • N nonnegative terms
    9.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.09932
  • Mean of criterion
    0.06819
  • SD of predictor
    0.10708
  • SD of criterion
    0.11425
  • Covariance
    -0.00033
  • r
    -0.02723
  • b (slope, estimate of beta)
    -0.02905
  • a (intercept, estimate of alpha)
    0.07107
  • Mean Square Error
    0.01381
  • DF error
    17.00000
  • t(b)
    -0.11230
  • p(b)
    0.51733
  • t(a)
    0.73376
  • p(a)
    0.38903
  • Lowerbound of 95% confidence interval for beta
    -0.57480
  • Upperbound of 95% confidence interval for beta
    0.51670
  • Lowerbound of 95% confidence interval for alpha
    -0.13329
  • Upperbound of 95% confidence interval for alpha
    0.27544
  • Treynor index (mean / b)
    -2.34730
  • Jensen alpha (a)
    0.07107
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04741
  • Expected Shortfall on VaR
    0.06037
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02552
  • Expected Shortfall on VaR
    0.04571
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.95276
  • Quartile 1
    0.98374
  • Median
    0.99943
  • Quartile 3
    1.03365
  • Maximum
    1.06048
  • Mean of quarter 1
    0.96579
  • Mean of quarter 2
    0.99548
  • Mean of quarter 3
    1.02409
  • Mean of quarter 4
    1.04626
  • Inter Quartile Range
    0.04991
  • 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)
    -1.07711
  • VaR(95%) (moments method)
    0.03855
  • Expected Shortfall (moments method)
    0.04094
  • Extreme Value Index (regression method)
    -1.12218
  • VaR(95%) (regression method)
    0.04450
  • Expected Shortfall (regression method)
    0.04689
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02451
  • Quartile 1
    0.03946
  • Median
    0.05442
  • Quartile 3
    0.06938
  • Maximum
    0.08433
  • Mean of quarter 1
    0.02451
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08433
  • Inter Quartile Range
    0.02991
  • 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)
    0.08318
  • Compounded annual return (geometric extrapolation)
    0.08127
  • Calmar ratio (compounded annual return / max draw down)
    0.96373
  • Compounded annual return / average of 25% largest draw downs
    0.96373
  • Compounded annual return / Expected Shortfall lognormal
    1.34617
  • 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
    0.06474
  • SD
    0.13261
  • Sharpe ratio (Glass type estimate)
    0.48819
  • Sharpe ratio (Hedges UMVUE)
    0.48753
  • df
    556.00000
  • t
    0.62121
  • p
    0.26736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02808
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77996
  • Upside Potential Ratio
    9.93643
  • Upside part of mean
    0.82476
  • Downside part of mean
    -0.76002
  • Upside SD
    0.10333
  • Downside SD
    0.08300
  • N nonnegative terms
    246.00000
  • N negative terms
    311.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    557.00000
  • Mean of predictor
    0.10278
  • Mean of criterion
    0.06474
  • SD of predictor
    0.11981
  • SD of criterion
    0.13261
  • Covariance
    -0.00101
  • r
    -0.06359
  • b (slope, estimate of beta)
    -0.07038
  • a (intercept, estimate of alpha)
    0.02300
  • Mean Square Error
    0.01755
  • DF error
    555.00000
  • t(b)
    -1.50113
  • p(b)
    0.93305
  • t(a)
    0.69067
  • p(a)
    0.24503
  • Lowerbound of 95% confidence interval for beta
    -0.16248
  • Upperbound of 95% confidence interval for beta
    0.02171
  • Lowerbound of 95% confidence interval for alpha
    -0.13272
  • Upperbound of 95% confidence interval for alpha
    0.27667
  • Treynor index (mean / b)
    -0.91980
  • Jensen alpha (a)
    0.07197
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05600
  • SD
    0.13209
  • Sharpe ratio (Glass type estimate)
    0.42397
  • Sharpe ratio (Hedges UMVUE)
    0.42340
  • df
    556.00000
  • t
    0.53949
  • p
    0.29488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11708
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96388
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67050
  • Upside Potential Ratio
    9.81139
  • Upside part of mean
    0.81948
  • Downside part of mean
    -0.76348
  • Upside SD
    0.10222
  • Downside SD
    0.08352
  • N nonnegative terms
    246.00000
  • N negative terms
    311.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    557.00000
  • Mean of predictor
    0.09559
  • Mean of criterion
    0.05600
  • SD of predictor
    0.11989
  • SD of criterion
    0.13209
  • Covariance
    -0.00102
  • r
    -0.06422
  • b (slope, estimate of beta)
    -0.07076
  • a (intercept, estimate of alpha)
    0.06277
  • Mean Square Error
    0.01741
  • DF error
    555.00000
  • t(b)
    -1.51609
  • p(b)
    0.93497
  • t(a)
    0.60479
  • p(a)
    0.27278
  • Lowerbound of 95% confidence interval for beta
    -0.16243
  • Upperbound of 95% confidence interval for beta
    0.02092
  • Lowerbound of 95% confidence interval for alpha
    -0.14109
  • Upperbound of 95% confidence interval for alpha
    0.26662
  • Treynor index (mean / b)
    -0.79147
  • Jensen alpha (a)
    0.06277
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01149
  • Expected Shortfall on VaR
    0.01442
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00545
  • Expected Shortfall on VaR
    0.01046
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    557.00000
  • Minimum
    0.97612
  • Quartile 1
    0.99729
  • Median
    1.00000
  • Quartile 3
    1.00297
  • Maximum
    1.04490
  • Mean of quarter 1
    0.99234
  • Mean of quarter 2
    0.99893
  • Mean of quarter 3
    1.00102
  • Mean of quarter 4
    1.00864
  • Inter Quartile Range
    0.00568
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.04309
  • Mean of outliers low
    0.98492
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.05386
  • Mean of outliers high
    1.01928
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03412
  • VaR(95%) (moments method)
    0.00665
  • Expected Shortfall (moments method)
    0.00896
  • 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
    16.00000
  • Minimum
    0.00100
  • Quartile 1
    0.00265
  • Median
    0.00492
  • Quartile 3
    0.01763
  • Maximum
    0.15763
  • Mean of quarter 1
    0.00174
  • Mean of quarter 2
    0.00351
  • Mean of quarter 3
    0.00930
  • Mean of quarter 4
    0.07653
  • Inter Quartile Range
    0.01498
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.09116
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02136
  • VaR(95%) (moments method)
    0.07114
  • Expected Shortfall (moments method)
    0.09927
  • Extreme Value Index (regression method)
    0.83438
  • VaR(95%) (regression method)
    0.12182
  • Expected Shortfall (regression method)
    0.74126
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06960
  • Compounded annual return (geometric extrapolation)
    0.06818
  • Calmar ratio (compounded annual return / max draw down)
    0.43251
  • Compounded annual return / average of 25% largest draw downs
    0.89088
  • Compounded annual return / Expected Shortfall lognormal
    4.72819
  • 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
    0.13044
  • SD
    0.17315
  • Sharpe ratio (Glass type estimate)
    0.75335
  • Sharpe ratio (Hedges UMVUE)
    0.75004
  • df
    171.00000
  • t
    0.53270
  • p
    0.47409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52298
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22020
  • Upside Potential Ratio
    11.65680
  • Upside part of mean
    1.24612
  • Downside part of mean
    -1.11568
  • Upside SD
    0.13575
  • Downside SD
    0.10690
  • N nonnegative terms
    78.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.19235
  • Mean of criterion
    0.13044
  • SD of predictor
    0.07456
  • SD of criterion
    0.17315
  • Covariance
    -0.00154
  • r
    -0.11895
  • b (slope, estimate of beta)
    -0.27623
  • a (intercept, estimate of alpha)
    0.18357
  • Mean Square Error
    0.02973
  • DF error
    170.00000
  • t(b)
    -1.56195
  • p(b)
    0.55947
  • t(a)
    0.74562
  • p(a)
    0.47145
  • Lowerbound of 95% confidence interval for beta
    -0.62533
  • Upperbound of 95% confidence interval for beta
    0.07287
  • Lowerbound of 95% confidence interval for alpha
    -0.30244
  • Upperbound of 95% confidence interval for alpha
    0.66959
  • Treynor index (mean / b)
    -0.47222
  • Jensen alpha (a)
    0.18357
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11560
  • SD
    0.17244
  • Sharpe ratio (Glass type estimate)
    0.67036
  • Sharpe ratio (Hedges UMVUE)
    0.66741
  • df
    171.00000
  • t
    0.47401
  • p
    0.47694
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10331
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.10530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44012
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07439
  • Upside Potential Ratio
    11.49740
  • Upside part of mean
    1.23701
  • Downside part of mean
    -1.12141
  • Upside SD
    0.13426
  • Downside SD
    0.10759
  • N nonnegative terms
    78.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.18954
  • Mean of criterion
    0.11560
  • SD of predictor
    0.07433
  • SD of criterion
    0.17244
  • Covariance
    -0.00155
  • r
    -0.12057
  • b (slope, estimate of beta)
    -0.27972
  • a (intercept, estimate of alpha)
    0.16861
  • Mean Square Error
    0.02948
  • DF error
    170.00000
  • t(b)
    -1.58357
  • p(b)
    0.56028
  • t(a)
    0.68795
  • p(a)
    0.47365
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.62840
  • Upperbound of 95% confidence interval for beta
    0.06897
  • Lowerbound of 95% confidence interval for alpha
    -0.31521
  • Upperbound of 95% confidence interval for alpha
    0.65243
  • Treynor index (mean / b)
    -0.41326
  • Jensen alpha (a)
    0.16861
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01485
  • Expected Shortfall on VaR
    0.01866
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00796
  • Expected Shortfall on VaR
    0.01412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97612
  • Quartile 1
    0.99441
  • Median
    1.00000
  • Quartile 3
    1.00537
  • Maximum
    1.04490
  • Mean of quarter 1
    0.98958
  • Mean of quarter 2
    0.99751
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.01237
  • Inter Quartile Range
    0.01096
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00581
  • Mean of outliers low
    0.97612
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.02326
  • Mean of outliers high
    1.02952
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36483
  • VaR(95%) (moments method)
    0.01088
  • Expected Shortfall (moments method)
    0.01268
  • Extreme Value Index (regression method)
    -0.19112
  • VaR(95%) (regression method)
    0.01059
  • Expected Shortfall (regression method)
    0.01282
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00278
  • Quartile 1
    0.01511
  • Median
    0.03592
  • Quartile 3
    0.05078
  • Maximum
    0.10950
  • Mean of quarter 1
    0.00771
  • Mean of quarter 2
    0.02428
  • Mean of quarter 3
    0.04143
  • Mean of quarter 4
    0.09086
  • Inter Quartile Range
    0.03567
  • 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
    0.12500
  • Mean of outliers high
    0.10950
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    343
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12957
  • Compounded annual return (geometric extrapolation)
    0.13377
  • Calmar ratio (compounded annual return / max draw down)
    1.22163
  • Compounded annual return / average of 25% largest draw downs
    1.47230
  • Compounded annual return / Expected Shortfall lognormal
    7.16889

Strategy Description

FAQ
Q-How come your trading system is free?
A-It's free for now because I want people like yourself to be rewarded with no subscription fee for being an early believer in the QuantFXOpen concept as I create and finish the portfolio. Once it's complete I will charge a subscription fee and possibly reward those early believers with some sort of a initial discount.

Q-Why did you create a fully automated trading system and don't manually trade with discretion instead?
A-I wanted to avoid some of the pitfalls that come along with manually trading such as, human emotions which can overcome a trader into making poor decisions which can lead to very large losses that in most cases can't be recovered.

Q-What lot sizes do you trade with
A-Currently right now .1lots for the EUR/USD and .5lots for the GBP/USD pair.

Q-What Risk Management do you have set in place?
A-ALL TRADES ARE PLACED WITH A STOP LOSS.

Q-How long do you hold positions?
A-Positions are held any where from several minutes/hours to several days, with all positions being closed by the end of the trading day on Friday. There are no positions held over the weekend.

Q-Do you use any grid techniques in your portfolio?
A-No not at all!

Q-Who would you recommend to follow this strategy?
A- QuantFXOpen is not for the gamblers, you know who you are out there! If you've been burnt, got caught up in the lure of profits over risk, had your account blown up, followed a strategy that didn't use a Stop Loss, was full discretionary with no trading strategy then this portfolio is for you. It's about steady growth, with reasonable risk vs return. While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, we do make an effort to control risk.
****Stay tuned for new announcements,exciting offers and opportunities coming up in the near future!******

Thank you for your business and happy trading.

Summary Statistics

Strategy began
2015-10-06
Suggested Minimum Capital
$5,000
# Trades
264
# Profitable
134
% Profitable
50.8%
Correlation S&P500
-0.020
Sharpe Ratio
-0.23
Sortino Ratio
-0.36
Beta
-0.01
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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