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

FX4 Trading System
(138240876)

Created by: GlobalTradingSystem GlobalTradingSystem
Started: 11/2021
Forex
Last trade: 825 days ago
Trading style: Futures Trend-following Currencies
Subscriptions not currently available.

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 $68.00 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.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
1.4%
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.

(32.5%)
Max Drawdown
151
Num Trades
58.9%
Win Trades
1.1 : 1
Profit Factor
51.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                      +0.2%(8.7%)(8.5%)
2022+3.7%(3.8%)(13.2%)(1%)(4%)+5.5%+1.5%(3.4%)+13.6%(5.2%)+4.6%+6.3%+1.8%
2023(4.2%)+1.8%+10.6%+5.4%(6.3%)(0.8%)+5.8%+4.4%(10%)+7.8%(0.4%)+3.8%+17.2%
2024+0.1%(3.2%)(0.4%)                                                      (3.4%)

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
12/23/21 3:00 GBP/CHF GBP/CHF LONG 3 1.23005 12/24 10:20 1.23055 0.03%
Trade id #138675313
Max drawdown($78)
Time12/24/21 0:00
Quant open3
Worst price1.22764
Drawdown as % of equity-0.03%
$16
12/23/21 2:26 AUD/USD AUD/USD LONG 4 0.72217 12/24 10:20 0.72244 0%
Trade id #138675199
Max drawdown($4)
Time12/23/21 2:29
Quant open4
Worst price0.72206
Drawdown as % of equity-0.00%
$11
12/22/21 19:09 NZD/JPY NZD/JPY LONG 3 77.722 12/24 10:20 77.988 0.02%
Trade id #138673252
Max drawdown($41)
Time12/22/21 21:27
Quant open3
Worst price77.563
Drawdown as % of equity-0.02%
$70
12/22/21 10:32 AUD/JPY AUD/JPY LONG 2 82.361 12/24 10:19 82.617 0.02%
Trade id #138665677
Max drawdown($47)
Time12/22/21 17:58
Quant open2
Worst price82.090
Drawdown as % of equity-0.02%
$45
12/22/21 8:43 AUD/CHF AUD/CHF LONG 4 0.66244 12/24 10:19 0.66363 0.02%
Trade id #138663525
Max drawdown($55)
Time12/22/21 17:58
Quant open4
Worst price0.66116
Drawdown as % of equity-0.02%
$52
12/22/21 5:47 GBP/JPY GBP/JPY LONG 2 152.188 12/24 10:19 153.206 0.02%
Trade id #138662579
Max drawdown($43)
Time12/22/21 7:57
Quant open2
Worst price151.937
Drawdown as % of equity-0.02%
$178
12/20/21 9:01 NZD/CAD NZD/CAD LONG 23 0.87045 12/24 10:19 0.87346 0.22%
Trade id #138637321
Max drawdown($549)
Time12/20/21 20:03
Quant open23
Worst price0.86739
Drawdown as % of equity-0.22%
$540
12/20/21 9:01 AUD/CAD AUD/CAD LONG 19 0.92144 12/24 10:19 0.92548 0.17%
Trade id #138637319
Max drawdown($424)
Time12/20/21 20:03
Quant open19
Worst price0.91858
Drawdown as % of equity-0.17%
$599
12/20/21 8:07 GBP/CAD GBP/CAD LONG 10 1.70921 12/24 10:19 1.71628 0.1%
Trade id #138636845
Max drawdown($249)
Time12/20/21 20:37
Quant open10
Worst price1.70601
Drawdown as % of equity-0.10%
$552
12/15/21 18:01 CHF/JPY CHF/JPY LONG 1 123.446 12/24 10:19 124.379 0.03%
Trade id #138596576
Max drawdown($68)
Time12/20/21 0:00
Quant open1
Worst price122.663
Drawdown as % of equity-0.03%
$82
12/15/21 5:03 USD/JPY USD/JPY LONG 2 113.748 12/24 10:19 114.364 0.04%
Trade id #138585585
Max drawdown($106)
Time12/17/21 0:00
Quant open2
Worst price113.141
Drawdown as % of equity-0.04%
$108
12/12/21 22:01 AUD/NZD AUD/NZD LONG 2 1.05575 12/24 10:19 1.05859 0.02%
Trade id #138552086
Max drawdown($46)
Time12/13/21 0:00
Quant open2
Worst price1.05234
Drawdown as % of equity-0.02%
$39
12/23/21 3:22 GBP/USD GBP/USD LONG 3 1.33868 12/24 10:19 1.33983 0.01%
Trade id #138675529
Max drawdown($34)
Time12/23/21 4:02
Quant open3
Worst price1.33754
Drawdown as % of equity-0.01%
$35
12/20/21 18:01 EUR/AUD EUR/AUD LONG 11 1.58710 12/23 17:01 1.55994 0.87%
Trade id #138646224
Max drawdown($2,062)
Time12/23/21 10:54
Quant open11
Worst price1.56119
Drawdown as % of equity-0.87%
($2,162)
12/20/21 18:02 EUR/GBP EUR/GBP LONG 26 0.85397 12/23 7:11 0.84237 1.71%
Trade id #138646226
Max drawdown($4,061)
Time12/23/21 7:11
Quant open26
Worst price0.84233
Drawdown as % of equity-1.71%
($4,050)
12/15/21 14:01 GBP/USD GBP/USD SHORT 1 1.31774 12/23 3:22 1.33854 0.09%
Trade id #138592637
Max drawdown($208)
Time12/23/21 3:22
Quant open1
Worst price1.33857
Drawdown as % of equity-0.09%
($208)
12/15/21 14:00 NZD/USD NZD/USD SHORT 2 0.67219 12/23 3:04 0.68297 0.09%
Trade id #138592599
Max drawdown($224)
Time12/16/21 0:00
Quant open2
Worst price0.68339
Drawdown as % of equity-0.09%
($216)
12/14/21 22:18 AUD/USD AUD/USD SHORT 1 0.71025 12/23 2:26 0.72220 0.05%
Trade id #138583455
Max drawdown($121)
Time12/16/21 0:00
Quant open1
Worst price0.72238
Drawdown as % of equity-0.05%
($120)
12/19/21 23:33 NZD/CHF NZD/CHF SHORT 20 0.62090 12/22 10:36 0.62783 0.62%
Trade id #138633878
Max drawdown($1,475)
Time12/22/21 10:36
Quant open20
Worst price0.62768
Drawdown as % of equity-0.62%
($1,503)
12/20/21 2:27 AUD/JPY AUD/JPY SHORT 11 80.348 12/22 10:31 82.354 0.81%
Trade id #138634837
Max drawdown($1,923)
Time12/22/21 10:31
Quant open11
Worst price82.344
Drawdown as % of equity-0.81%
($1,930)
12/19/21 21:54 NZD/JPY NZD/JPY SHORT 4 76.421 12/22 10:11 77.709 0.19%
Trade id #138633396
Max drawdown($449)
Time12/22/21 10:11
Quant open4
Worst price77.704
Drawdown as % of equity-0.19%
($451)
12/20/21 1:01 GBP/CHF GBP/CHF SHORT 13 1.22046 12/22 5:59 1.22999 0.56%
Trade id #138634371
Max drawdown($1,321)
Time12/22/21 5:59
Quant open13
Worst price1.22984
Drawdown as % of equity-0.56%
($1,342)
12/20/21 2:03 GBP/JPY GBP/JPY SHORT 8 149.837 12/22 5:47 152.180 0.7%
Trade id #138634703
Max drawdown($1,657)
Time12/22/21 5:47
Quant open8
Worst price152.203
Drawdown as % of equity-0.70%
($1,640)
12/20/21 2:05 AUD/CHF AUD/CHF SHORT 19 0.65491 12/21 20:02 0.66021 0.52%
Trade id #138634784
Max drawdown($1,291)
Time12/21/21 14:56
Quant open19
Worst price0.66119
Drawdown as % of equity-0.52%
($1,090)
12/9/21 9:19 EUR/GBP EUR/GBP LONG 9 0.85672 12/16 7:00 0.84647 0.52%
Trade id #138521809
Max drawdown($1,284)
Time12/16/21 7:00
Quant open9
Worst price0.84604
Drawdown as % of equity-0.52%
($1,231)
12/9/21 9:19 GBP/CHF GBP/CHF SHORT 5 1.21895 12/16 7:00 1.23396 0.36%
Trade id #138521807
Max drawdown($883)
Time12/16/21 7:00
Quant open5
Worst price1.23522
Drawdown as % of equity-0.36%
($813)
12/9/21 9:19 GBP/CAD GBP/CAD SHORT 3 1.67581 12/14 10:50 1.70042 0.23%
Trade id #138521811
Max drawdown($579)
Time12/14/21 10:49
Quant open3
Worst price1.70061
Drawdown as % of equity-0.23%
($575)
12/9/21 9:19 GBP/USD GBP/USD SHORT 5 1.32005 12/9 9:19 1.32035 0.01%
Trade id #138521813
Max drawdown($15)
Time12/9/21 9:19
Quant open5
Worst price1.32035
Drawdown as % of equity-0.01%
($15)
11/30/21 10:56 GBP/JPY GBP/JPY SHORT 2 150.409 12/9 9:19 149.785 0.07%
Trade id #138394436
Max drawdown($181)
Time12/1/21 0:00
Quant open2
Worst price151.440
Drawdown as % of equity-0.07%
$110
12/8/21 14:24 EUR/GBP EUR/GBP LONG 10 0.85753 12/8 14:30 0.85742 0.01%
Trade id #138514863
Max drawdown($17)
Time12/8/21 14:28
Quant open10
Worst price0.85740
Drawdown as % of equity-0.01%
($15)

Statistics

  • Strategy began
    11/18/2021
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    856.79
  • Age
    29 months ago
  • What it trades
    Forex
  • # Trades
    151
  • # Profitable
    89
  • % Profitable
    58.90%
  • Avg trade duration
    74.8 days
  • Max peak-to-valley drawdown
    32.55%
  • drawdown period
    Dec 03, 2021 - June 07, 2022
  • Annual Return (Compounded)
    1.4%
  • Avg win
    $792.11
  • Avg loss
    $1,004
  • Model Account Values (Raw)
  • Cash
    $235,895
  • Margin Used
    $43,249
  • Buying Power
    $214,970
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.16
  • Calmar Ratio
    0.425
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.05%
  • Correlation to SP500
    -0.17600
  • Return Percent SP500 (cumu) during strategy life
    11.56%
  • Return Statistics
  • Ann Return (w trading costs)
    1.4%
  • Slump
  • Current Slump as Pcnt Equity
    4.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.013%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.00%
  • Chance of 20% account loss
    n/a
  • 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
    100.00%
  • 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
    $1,004
  • Avg Win
    $792
  • Sum Trade PL (losers)
    $62,274.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $70,498.000
  • # Winners
    89
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    62
  • % Winners
    58.9%
  • Frequency
  • Avg Position Time (mins)
    107690.00
  • Avg Position Time (hrs)
    1794.83
  • Avg Trade Length
    74.8 days
  • Last Trade Ago
    821
  • Leverage
  • Daily leverage (average)
    3.24
  • Daily leverage (max)
    11.12
  • Regression
  • Alpha
    0.01
  • Beta
    -0.21
  • Treynor Index
    -0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.24
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    140.382
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    1.301
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.150
  • Hold-and-Hope Ratio
    0.177
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17659
  • SD
    0.49833
  • Sharpe ratio (Glass type estimate)
    0.35436
  • Sharpe ratio (Hedges UMVUE)
    0.28274
  • df
    4.00000
  • t
    0.22874
  • p
    0.41514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.71228
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75993
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32542
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51176
  • Upside Potential Ratio
    2.10529
  • Upside part of mean
    0.72646
  • Downside part of mean
    -0.54987
  • Upside SD
    0.28669
  • Downside SD
    0.34506
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.17302
  • Mean of criterion
    0.17659
  • SD of predictor
    0.35618
  • SD of criterion
    0.49833
  • Covariance
    0.14397
  • r
    0.81112
  • b (slope, estimate of beta)
    1.13484
  • a (intercept, estimate of alpha)
    -0.01976
  • Mean Square Error
    0.11326
  • DF error
    3.00000
  • t(b)
    2.40207
  • p(b)
    0.04785
  • t(a)
    -0.03745
  • p(a)
    0.51376
  • Lowerbound of 95% confidence interval for beta
    -0.36868
  • Upperbound of 95% confidence interval for beta
    2.63836
  • Lowerbound of 95% confidence interval for alpha
    -1.69928
  • Upperbound of 95% confidence interval for alpha
    1.65976
  • Treynor index (mean / b)
    0.15561
  • Jensen alpha (a)
    -0.01976
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06846
  • SD
    0.52932
  • Sharpe ratio (Glass type estimate)
    0.12934
  • Sharpe ratio (Hedges UMVUE)
    0.10319
  • df
    4.00000
  • t
    0.08349
  • p
    0.46874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.91597
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.93401
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14040
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17587
  • Upside Potential Ratio
    1.76446
  • Upside part of mean
    0.68686
  • Downside part of mean
    -0.61840
  • Upside SD
    0.27019
  • Downside SD
    0.38927
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.12095
  • Mean of criterion
    0.06846
  • SD of predictor
    0.35763
  • SD of criterion
    0.52932
  • Covariance
    0.15942
  • r
    0.84215
  • b (slope, estimate of beta)
    1.24648
  • a (intercept, estimate of alpha)
    -0.08230
  • Mean Square Error
    0.10863
  • DF error
    3.00000
  • t(b)
    2.70505
  • p(b)
    0.03674
  • t(a)
    -0.16023
  • p(a)
    0.55856
  • Lowerbound of 95% confidence interval for beta
    -0.21999
  • Upperbound of 95% confidence interval for beta
    2.71295
  • Lowerbound of 95% confidence interval for alpha
    -1.71688
  • Upperbound of 95% confidence interval for alpha
    1.55228
  • Treynor index (mean / b)
    0.05492
  • Jensen alpha (a)
    -0.08230
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21779
  • Expected Shortfall on VaR
    0.26502
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09054
  • Expected Shortfall on VaR
    0.18859
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.77968
  • Quartile 1
    0.99586
  • Median
    1.05363
  • Quartile 3
    1.12511
  • Maximum
    1.13093
  • Mean of quarter 1
    0.88777
  • Mean of quarter 2
    1.05363
  • Mean of quarter 3
    1.12511
  • Mean of quarter 4
    1.13093
  • Inter Quartile Range
    0.12925
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.77968
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.22354
  • Quartile 1
    0.22354
  • Median
    0.22354
  • Quartile 3
    0.22354
  • Maximum
    0.22354
  • 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)
    0.09833
  • Compounded annual return (geometric extrapolation)
    0.10116
  • Calmar ratio (compounded annual return / max draw down)
    0.45254
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.38172
  • 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
    0.19902
  • SD
    0.45336
  • Sharpe ratio (Glass type estimate)
    0.43900
  • Sharpe ratio (Hedges UMVUE)
    0.43602
  • df
    111.00000
  • t
    0.28702
  • p
    0.48267
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43628
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43428
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70223
  • Upside Potential Ratio
    8.65808
  • Upside part of mean
    2.45384
  • Downside part of mean
    -2.25482
  • Upside SD
    0.35146
  • Downside SD
    0.28342
  • N nonnegative terms
    49.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    112.00000
  • Mean of predictor
    0.24421
  • Mean of criterion
    0.19902
  • SD of predictor
    0.38672
  • SD of criterion
    0.45336
  • Covariance
    -0.04869
  • r
    -0.27774
  • b (slope, estimate of beta)
    -0.32560
  • a (intercept, estimate of alpha)
    0.27900
  • Mean Square Error
    0.19140
  • DF error
    110.00000
  • t(b)
    -3.03226
  • p(b)
    0.63887
  • t(a)
    0.41594
  • p(a)
    0.48019
  • Lowerbound of 95% confidence interval for beta
    -0.53840
  • Upperbound of 95% confidence interval for beta
    -0.11280
  • Lowerbound of 95% confidence interval for alpha
    -1.04856
  • Upperbound of 95% confidence interval for alpha
    1.60563
  • Treynor index (mean / b)
    -0.61125
  • Jensen alpha (a)
    0.27854
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09884
  • SD
    0.44780
  • Sharpe ratio (Glass type estimate)
    0.22071
  • Sharpe ratio (Hedges UMVUE)
    0.21922
  • df
    111.00000
  • t
    0.14431
  • p
    0.49128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21814
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.21707
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34019
  • Upside Potential Ratio
    8.24319
  • Upside part of mean
    2.39492
  • Downside part of mean
    -2.29609
  • Upside SD
    0.33818
  • Downside SD
    0.29053
  • N nonnegative terms
    49.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    112.00000
  • Mean of predictor
    0.16873
  • Mean of criterion
    0.09884
  • SD of predictor
    0.39180
  • SD of criterion
    0.44780
  • Covariance
    -0.04791
  • r
    -0.27306
  • b (slope, estimate of beta)
    -0.31209
  • a (intercept, estimate of alpha)
    0.15149
  • Mean Square Error
    0.18726
  • DF error
    110.00000
  • t(b)
    -2.97696
  • p(b)
    0.63653
  • t(a)
    0.22881
  • p(a)
    0.48910
  • Lowerbound of 95% confidence interval for beta
    -0.51984
  • Upperbound of 95% confidence interval for beta
    -0.10433
  • Lowerbound of 95% confidence interval for alpha
    -1.16063
  • Upperbound of 95% confidence interval for alpha
    1.46362
  • Treynor index (mean / b)
    -0.31669
  • Jensen alpha (a)
    0.15149
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04413
  • Expected Shortfall on VaR
    0.05506
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02133
  • Expected Shortfall on VaR
    0.04097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    112.00000
  • Minimum
    0.92681
  • Quartile 1
    0.99075
  • Median
    0.99907
  • Quartile 3
    1.01099
  • Maximum
    1.11912
  • Mean of quarter 1
    0.97008
  • Mean of quarter 2
    0.99579
  • Mean of quarter 3
    1.00423
  • Mean of quarter 4
    1.03337
  • Inter Quartile Range
    0.02024
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.94373
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.04464
  • Mean of outliers high
    1.08424
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00134
  • VaR(95%) (moments method)
    0.02576
  • Expected Shortfall (moments method)
    0.03541
  • Extreme Value Index (regression method)
    -0.05778
  • VaR(95%) (regression method)
    0.03179
  • Expected Shortfall (regression method)
    0.04378
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00684
  • Median
    0.05349
  • Quartile 3
    0.09291
  • Maximum
    0.31763
  • Mean of quarter 1
    0.00338
  • Mean of quarter 2
    0.03021
  • Mean of quarter 3
    0.08301
  • Mean of quarter 4
    0.21022
  • Inter Quartile Range
    0.08607
  • 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
    0.14286
  • Mean of outliers high
    0.31763
  • 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)
    0.13024
  • Compounded annual return (geometric extrapolation)
    0.13512
  • Calmar ratio (compounded annual return / max draw down)
    0.42541
  • Compounded annual return / average of 25% largest draw downs
    0.64278
  • Compounded annual return / Expected Shortfall lognormal
    2.45405
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.04400
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -353918000
  • Max Equity Drawdown (num days)
    186

Strategy Description

A Powerful Short-Term Trading Solution For The One Hour Timeframe

Global Algorithmic Trading Software(GATS)-System #4 uses computer codes and chart analysis to enter and exit trades according to set parameters such as price movements or volatility levels. Once the current market conditions match any predetermined criteria within the software, the trading algorithms will execute a buy or sell order on your behalf.

Global Algorithmic Trading Software(GATS)-System #4 runs on MetaTrader 4, the most popular trading platform in the world. MetaTrader 4 is an advanced trading platform that gives you access to a range of tools and features to help you carry out analysis and customize your trading experience

Stocks, Futures and Forex Trading involves a substantial risk of loss and is not appropriate for all investors. Past performance is not indicative of future performance.

Summary Statistics

Strategy began
2021-11-18
Suggested Minimum Capital
$100,000
# Trades
151
# Profitable
89
% Profitable
58.9%
Correlation S&P500
-0.176
Sharpe Ratio
0.10
Sortino Ratio
0.16
Beta
-0.21
Alpha
0.01
Leverage
3.24 Average
11.12 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.