Collective2 Collective2
Featured Strategy Quant AI pro Followed by live capital $113,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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2d
(65418922)

Created by: TsanyNickolov TsanyNickolov
Started: 09/2011
Forex
Last trade: 3,764 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 $21.00 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.

7.4%
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.

(50.5%)
Max Drawdown
1072
Num Trades
98.7%
Win Trades
0.1 : 1
Profit Factor
16.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                        +5.1%+4.0%+3.7%+3.4%+17.1%
2012+4.1%+2.0%+2.2%+3.3%+3.6%+0.3%+3.7%(2.3%)(10.9%)(18.5%)+42.0%(0.4%)+21.2%
2013(1.9%)+10.6%+4.5%+0.3%+4.0%+0.6%+0.3%+2.1%+2.3%+0.9%+0.2%+2.2%+28.9%
2014(0.6%)+2.2%+1.5%(2%)+4.2%(4%)+3.2%(12.8%)(58.2%)(53.1%)(168.5%)(248.3%)(142.6%)
2015(204.7%)(13.1%)(58.4%)(26.8%)(4.6%)(19.6%)(6.2%)(3.8%)(10.9%)(2.1%)(34.5%)(5%)(281.3%)
2016(30.5%)(6.3%)(23.6%)(7.2%)(3.9%)(50.9%)(1.5%)(3.5%)(1.8%)(18.4%)(10.9%)(7.4%)(125.9%)
2017(11.1%)(8.3%)(7.2%)(9.8%)(8.9%)(9.7%)(17%)(0.6%)(5.7%)(12.1%)(14.6%)(2.6%)-
2018(43.6%)(11.9%)(2.8%)(25.5%)(51.5%)(3.3%)(3.7%)(0.6%)(3.9%)(15.6%)(3.6%)(2.4%)(46.7%)
2019(10%)(1.6%)(10.7%)(0.6%)(0.3%)(3.7%)(5.2%)(15.8%)(0.3%)(18.2%)(5.6%)(8.7%)-
2020(0.2%)(9.4%)(6.1%)(5.8%)(2.8%)(4.3%)(27.4%)(0.6%)(2%)(4.2%)(12.7%)(16.1%)-
2021(2.4%)(10.3%)(25.8%)(15.3%)(22.9%)(38.8%)(1.9%)(9.1%)(20.3%)(14.4%)(31.8%)(3.2%)(45.8%)
2022(3.4%)(1.7%)(14.5%)(20.1%)(2.9%)(9.3%)(9.5%)(11.1%)(11%)(3%)(17.1%)(7.6%)(57.5%)
2023(10.8%)(15.4%)(9.9%)(6.6%)(9.4%)(11.1%)(5%)(8.3%)(16.4%)(1.4%)(16.3%)(8.2%)-
2024(10.1%)(1.2%)(0.8%)(6.7%)(9.3%)(6.1%)(8%)(11.2%)(10.1%)(23.7%)(13%)(3.9%)(23%)

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 2 hours.

Trading Record

This strategy has placed 1,843 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/14 5:00 GBP/USD GBP/USD LONG 11 1.68156 8/13 2:21 1.68230 0.65%
Trade id #88921453
Max drawdown($657)
Time8/12/14 1:08
Quant open11
Worst price1.67558
Drawdown as % of equity-0.65%
 $82
7/29/14 13:05 GBP/USD GBP/USD LONG 11 1.68793 8/5 4:34 1.68850 0.75%
Trade id #88812097
Max drawdown($752)
Time8/1/14 8:30
Quant open11
Worst price1.68109
Drawdown as % of equity-0.75%
 $62
7/29/14 6:47 GBP/USD GBP/USD SHORT 2 1.69556 7/29 9:47 1.69354 0.01%
Trade id #88804682
Max drawdown($13)
Time7/29/14 7:19
Quant open-2
Worst price1.69623
Drawdown as % of equity-0.01%
 $40
7/24/14 10:00 GBP/USD GBP/USD SHORT 2 1.69706 7/29 6:36 1.69514 0.06%
Trade id #88735336
Max drawdown($58)
Time7/28/14 9:02
Quant open-2
Worst price1.69998
Drawdown as % of equity-0.06%
 $38
6/10/14 20:26 GBP/USD GBP/USD SHORT 46 1.70162 7/24 9:16 1.69885 8.35%
Trade id #88037098
Max drawdown($8,019)
Time7/15/14 10:01
Quant open-46
Worst price1.71905
Drawdown as % of equity-8.35%
 $1,273
7/10/14 16:00 EUR/USD EUR/USD LONG 2 1.36075 7/14 3:30 1.36287 0.03%
Trade id #88524959
Max drawdown($33)
Time7/11/14 9:07
Quant open2
Worst price1.35906
Drawdown as % of equity-0.03%
 $42
7/8/14 23:00 EUR/USD EUR/USD SHORT 4 1.36260 7/10 7:31 1.36112 0.1%
Trade id #88487870
Max drawdown($94)
Time7/10/14 2:25
Quant open-4
Worst price1.36496
Drawdown as % of equity-0.10%
 $59
7/7/14 4:38 EUR/USD EUR/USD LONG 2 1.35998 7/8 20:07 1.36197 0.03%
Trade id #88450609
Max drawdown($29)
Time7/7/14 6:28
Quant open2
Worst price1.35851
Drawdown as % of equity-0.03%
 $40
7/3/14 9:00 EUR/USD EUR/USD SHORT 2 1.36032 7/6 21:09 1.35816 0.03%
Trade id #88416757
Max drawdown($32)
Time7/3/14 10:26
Quant open-2
Worst price1.36195
Drawdown as % of equity-0.03%
 $43
7/2/14 9:00 EUR/USD EUR/USD SHORT 2 1.36450 7/3 8:30 1.36237 0.04%
Trade id #88395191
Max drawdown($36)
Time7/3/14 3:58
Quant open-2
Worst price1.36632
Drawdown as % of equity-0.04%
 $43
6/27/14 5:31 EUR/USD EUR/USD SHORT 7 1.36533 7/2 8:15 1.36477 0.33%
Trade id #88320336
Max drawdown($323)
Time7/1/14 10:03
Quant open-7
Worst price1.36995
Drawdown as % of equity-0.33%
 $40
6/26/14 11:40 EUR/USD EUR/USD LONG 2 1.36099 6/27 2:45 1.36320 0.01%
Trade id #88304478
Max drawdown($11)
Time6/26/14 11:43
Quant open2
Worst price1.36044
Drawdown as % of equity-0.01%
 $44
6/24/14 10:22 EUR/USD EUR/USD SHORT 4 1.36143 6/26 8:35 1.36027 0.11%
Trade id #88253099
Max drawdown($109)
Time6/25/14 8:54
Quant open-2
Worst price1.36502
Drawdown as % of equity-0.11%
 $46
6/24/14 8:09 EUR/USD EUR/USD SHORT 2 1.36163 6/24 10:22 1.35956 0.01%
Trade id #88250048
Max drawdown($9)
Time6/24/14 9:26
Quant open-2
Worst price1.36209
Drawdown as % of equity-0.01%
 $41
6/19/14 3:00 EUR/USD EUR/USD LONG 4 1.36079 6/24 4:45 1.36220 0.18%
Trade id #88182615
Max drawdown($179)
Time6/20/14 9:04
Quant open4
Worst price1.35632
Drawdown as % of equity-0.18%
 $56
6/18/14 14:00 EUR/USD EUR/USD LONG 2 1.35961 6/19 2:26 1.36180 0.1%
Trade id #88171943
Max drawdown($98)
Time6/18/14 14:07
Quant open2
Worst price1.35468
Drawdown as % of equity-0.10%
 $44
6/16/14 18:27 EUR/USD EUR/USD LONG 4 1.35600 6/18 9:51 1.35753 0.1%
Trade id #88131757
Max drawdown($98)
Time6/17/14 10:44
Quant open4
Worst price1.35353
Drawdown as % of equity-0.10%
 $61
6/13/14 14:03 EUR/USD EUR/USD LONG 2 1.35362 6/16 9:07 1.35564 0.05%
Trade id #88104488
Max drawdown($48)
Time6/16/14 3:26
Quant open2
Worst price1.35119
Drawdown as % of equity-0.05%
 $40
6/13/14 6:55 EUR/USD EUR/USD SHORT 2 1.35487 6/13 10:51 1.35267 n/a $44
6/12/14 17:00 EUR/USD EUR/USD SHORT 4 1.35616 6/13 6:55 1.35472 0.06%
Trade id #88084315
Max drawdown($58)
Time6/13/14 4:02
Quant open-2
Worst price1.35780
Drawdown as % of equity-0.06%
 $58
6/9/14 16:00 EUR/USD EUR/USD LONG 7 1.35491 6/12 11:27 1.35593 0.23%
Trade id #88008885
Max drawdown($229)
Time6/12/14 5:49
Quant open4
Worst price1.35113
Drawdown as % of equity-0.23%
 $71
6/10/14 6:20 GBP/USD GBP/USD SHORT 2 1.67742 6/10 10:51 1.67556 0.02%
Trade id #88019916
Max drawdown($17)
Time6/10/14 7:27
Quant open-2
Worst price1.67831
Drawdown as % of equity-0.02%
 $37
6/5/14 8:31 GBP/USD GBP/USD SHORT 7 1.67819 6/10 6:20 1.67729 0.44%
Trade id #87941435
Max drawdown($443)
Time6/6/14 8:35
Quant open-7
Worst price1.68453
Drawdown as % of equity-0.44%
 $63
6/5/14 9:00 EUR/USD EUR/USD SHORT 7 1.36162 6/9 7:29 1.36079 0.41%
Trade id #87942210
Max drawdown($418)
Time6/6/14 8:51
Quant open-7
Worst price1.36760
Drawdown as % of equity-0.41%
 $58
6/5/14 8:00 EUR/USD EUR/USD SHORT 2 1.35691 6/5 8:31 1.35289 0.02%
Trade id #87940819
Max drawdown($17)
Time6/5/14 8:23
Quant open-2
Worst price1.35776
Drawdown as % of equity-0.02%
 $80
6/4/14 10:00 GBP/USD GBP/USD SHORT 2 1.67504 6/5 8:31 1.67273 0.08%
Trade id #87919122
Max drawdown($82)
Time6/5/14 5:44
Quant open-2
Worst price1.67915
Drawdown as % of equity-0.08%
 $46
6/5/14 7:48 EUR/USD EUR/USD SHORT 2 1.35820 6/5 7:49 1.35608 n/a $42
6/5/14 2:08 EUR/USD EUR/USD LONG 2 1.36113 6/5 7:45 1.36357 0.02%
Trade id #87936331
Max drawdown($23)
Time6/5/14 3:13
Quant open2
Worst price1.35996
Drawdown as % of equity-0.02%
 $49
6/3/14 11:00 EUR/USD EUR/USD SHORT 2 1.36210 6/4 14:33 1.36009 0.03%
Trade id #87898744
Max drawdown($34)
Time6/4/14 8:49
Quant open-2
Worst price1.36380
Drawdown as % of equity-0.03%
 $40
6/3/14 4:24 GBP/USD GBP/USD LONG 7 1.67450 6/4 7:15 1.67598 0.33%
Trade id #87892042
Max drawdown($330)
Time6/4/14 4:24
Quant open7
Worst price1.66978
Drawdown as % of equity-0.33%
 $104
Next

Statistics

  • Strategy began
    9/7/2011
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    4855.77
  • Age
    162 months ago
  • What it trades
    Forex
  • # Trades
    1072
  • # Profitable
    1058
  • % Profitable
    98.70%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    50.46%
  • drawdown period
    July 24, 2014 - Sept 09, 2014
  • Annual Return (Compounded)
    7.4%
  • Avg win
    $52.03
  • Avg loss
    $29,419
  • Model Account Values (Raw)
  • Cash
    $104,621
  • Margin Used
    $42,126
  • Buying Power
    ($348,995)
  • Ratios
  • W:L ratio
    0.13:1
  • Sharpe Ratio
    -0.04
  • Sortino Ratio
    -0.07
  • Calmar Ratio
    -0.888
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -43.48%
  • Correlation to SP500
    -0.02710
  • Return Percent SP500 (cumu) during strategy life
    403.71%
  • Return Statistics
  • Ann Return (w trading costs)
    7.4%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.074%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    81.00%
  • Chance of 20% account loss
    62.50%
  • Chance of 30% account loss
    41.00%
  • Chance of 40% account loss
    21.50%
  • Chance of 60% account loss (Monte Carlo)
    2.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    50.41%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    10.00%
  • Popularity
  • Popularity (Today)
    380
  • Popularity (Last 6 weeks)
    776
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $29,419
  • Avg Win
    $52
  • Sum Trade PL (losers)
    $411,866.000
  • Age
  • Num Months filled monthly returns table
    39
  • Win / Loss
  • Sum Trade PL (winners)
    $55,050.000
  • # Winners
    1058
  • Num Months Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    14
  • % Winners
    98.7%
  • Frequency
  • Avg Position Time (mins)
    11488.20
  • Avg Position Time (hrs)
    191.47
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    3759
  • Regression
  • Alpha
    0.00
  • Beta
    -1.04
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    49.42
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    34.66
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.50
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -2.284
  • 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
    4.881
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.411
  • Hold-and-Hope Ratio
    -0.584
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12935
  • SD
    0.31686
  • Sharpe ratio (Glass type estimate)
    0.40823
  • Sharpe ratio (Hedges UMVUE)
    0.39965
  • df
    36.00000
  • t
    0.71683
  • p
    0.23905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71469
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51965
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56751
  • Upside Potential Ratio
    1.60765
  • Upside part of mean
    0.36643
  • Downside part of mean
    -0.23708
  • Upside SD
    0.21710
  • Downside SD
    0.22793
  • N nonnegative terms
    26.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.16168
  • Mean of criterion
    0.12935
  • SD of predictor
    0.08199
  • SD of criterion
    0.31686
  • Covariance
    -0.00570
  • r
    -0.21931
  • b (slope, estimate of beta)
    -0.84752
  • a (intercept, estimate of alpha)
    0.26638
  • Mean Square Error
    0.09830
  • DF error
    35.00000
  • t(b)
    -1.32980
  • p(b)
    0.90391
  • t(a)
    1.29213
  • p(a)
    0.10239
  • Lowerbound of 95% confidence interval for beta
    -2.14136
  • Upperbound of 95% confidence interval for beta
    0.44632
  • Lowerbound of 95% confidence interval for alpha
    -0.15214
  • Upperbound of 95% confidence interval for alpha
    0.68490
  • Treynor index (mean / b)
    -0.15263
  • Jensen alpha (a)
    0.26638
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07538
  • SD
    0.34192
  • Sharpe ratio (Glass type estimate)
    0.22045
  • Sharpe ratio (Hedges UMVUE)
    0.21582
  • df
    36.00000
  • t
    0.38709
  • p
    0.35048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33629
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90149
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33312
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27357
  • Upside Potential Ratio
    1.25446
  • Upside part of mean
    0.34564
  • Downside part of mean
    -0.27026
  • Upside SD
    0.19573
  • Downside SD
    0.27553
  • N nonnegative terms
    26.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.15729
  • Mean of criterion
    0.07538
  • SD of predictor
    0.08093
  • SD of criterion
    0.34192
  • Covariance
    -0.00603
  • r
    -0.21802
  • b (slope, estimate of beta)
    -0.92109
  • a (intercept, estimate of alpha)
    0.22025
  • Mean Square Error
    0.11453
  • DF error
    35.00000
  • t(b)
    -1.32162
  • p(b)
    0.90256
  • t(a)
    0.99334
  • p(a)
    0.16368
  • Lowerbound of 95% confidence interval for beta
    -2.33596
  • Upperbound of 95% confidence interval for beta
    0.49378
  • Lowerbound of 95% confidence interval for alpha
    -0.22988
  • Upperbound of 95% confidence interval for alpha
    0.67038
  • Treynor index (mean / b)
    -0.08183
  • Jensen alpha (a)
    0.22025
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14450
  • Expected Shortfall on VaR
    0.17853
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02970
  • Expected Shortfall on VaR
    0.07380
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.63878
  • Quartile 1
    0.99984
  • Median
    1.01311
  • Quartile 3
    1.03616
  • Maximum
    1.30810
  • Mean of quarter 1
    0.92773
  • Mean of quarter 2
    1.00950
  • Mean of quarter 3
    1.02625
  • Mean of quarter 4
    1.09228
  • Inter Quartile Range
    0.03632
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.08108
  • Mean of outliers low
    0.80740
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08108
  • Mean of outliers high
    1.18516
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.74422
  • VaR(95%) (moments method)
    0.00118
  • Expected Shortfall (moments method)
    0.00118
  • Extreme Value Index (regression method)
    1.01457
  • VaR(95%) (regression method)
    0.05833
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00016
  • Quartile 1
    0.02493
  • Median
    0.03851
  • Quartile 3
    0.12895
  • Maximum
    0.36122
  • Mean of quarter 1
    0.00962
  • Mean of quarter 2
    0.03464
  • Mean of quarter 3
    0.03900
  • Mean of quarter 4
    0.29006
  • Inter Quartile Range
    0.10402
  • 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
    0.36122
  • 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)
    0.09760
  • Compounded annual return (geometric extrapolation)
    0.08907
  • Calmar ratio (compounded annual return / max draw down)
    0.24659
  • Compounded annual return / average of 25% largest draw downs
    0.30708
  • Compounded annual return / Expected Shortfall lognormal
    0.49892
  • 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
    0.16981
  • SD
    0.37087
  • Sharpe ratio (Glass type estimate)
    0.45786
  • Sharpe ratio (Hedges UMVUE)
    0.45754
  • df
    1069.00000
  • t
    0.80751
  • p
    0.48428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56902
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64816
  • Upside Potential Ratio
    5.53452
  • Upside part of mean
    1.44994
  • Downside part of mean
    -1.28013
  • Upside SD
    0.26242
  • Downside SD
    0.26198
  • N nonnegative terms
    606.00000
  • N negative terms
    464.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1070.00000
  • Mean of predictor
    0.16584
  • Mean of criterion
    0.16981
  • SD of predictor
    0.13783
  • SD of criterion
    0.37087
  • Covariance
    -0.00514
  • r
    -0.10059
  • b (slope, estimate of beta)
    -0.27066
  • a (intercept, estimate of alpha)
    850.70200
  • Mean Square Error
    0.13628
  • DF error
    1068.00000
  • t(b)
    -3.30392
  • p(b)
    0.55029
  • t(a)
    1.02354
  • p(a)
    0.48435
  • Lowerbound of 95% confidence interval for beta
    -0.43140
  • Upperbound of 95% confidence interval for beta
    -0.10991
  • Lowerbound of 95% confidence interval for alpha
    -0.19689
  • Upperbound of 95% confidence interval for alpha
    0.62627
  • Treynor index (mean / b)
    -0.62738
  • Jensen alpha (a)
    0.21469
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10032
  • SD
    0.37424
  • Sharpe ratio (Glass type estimate)
    0.26808
  • Sharpe ratio (Hedges UMVUE)
    0.26789
  • df
    1069.00000
  • t
    0.47280
  • p
    0.49079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37941
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84348
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37926
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36290
  • Upside Potential Ratio
    5.12657
  • Upside part of mean
    1.41728
  • Downside part of mean
    -1.31695
  • Upside SD
    0.25204
  • Downside SD
    0.27646
  • N nonnegative terms
    606.00000
  • N negative terms
    464.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1070.00000
  • Mean of predictor
    0.15631
  • Mean of criterion
    0.10032
  • SD of predictor
    0.13781
  • SD of criterion
    0.37424
  • Covariance
    -0.00516
  • r
    -0.10002
  • b (slope, estimate of beta)
    -0.27160
  • a (intercept, estimate of alpha)
    0.14278
  • Mean Square Error
    0.13878
  • DF error
    1068.00000
  • t(b)
    -3.28508
  • p(b)
    0.55001
  • t(a)
    0.67468
  • p(a)
    0.48968
  • Lowerbound of 95% confidence interval for beta
    -0.43383
  • Upperbound of 95% confidence interval for beta
    -0.10937
  • Lowerbound of 95% confidence interval for alpha
    -0.27247
  • Upperbound of 95% confidence interval for alpha
    0.55802
  • Treynor index (mean / b)
    -0.36938
  • Jensen alpha (a)
    0.14278
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03236
  • Expected Shortfall on VaR
    0.04046
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00742
  • Expected Shortfall on VaR
    0.01753
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1070.00000
  • Minimum
    0.82675
  • Quartile 1
    0.99847
  • Median
    1.00040
  • Quartile 3
    1.00234
  • Maximum
    1.17616
  • Mean of quarter 1
    0.98550
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00118
  • Mean of quarter 4
    1.01566
  • Inter Quartile Range
    0.00387
  • Number outliers low
    114.00000
  • Percentage of outliers low
    0.10654
  • Mean of outliers low
    0.97066
  • Number of outliers high
    104.00000
  • Percentage of outliers high
    0.09720
  • Mean of outliers high
    1.03336
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.08902
  • VaR(95%) (moments method)
    0.01170
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.76687
  • VaR(95%) (regression method)
    0.00960
  • Expected Shortfall (regression method)
    0.04703
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    134.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00055
  • Median
    0.00183
  • Quartile 3
    0.00846
  • Maximum
    0.47539
  • Mean of quarter 1
    0.00028
  • Mean of quarter 2
    0.00115
  • Mean of quarter 3
    0.00402
  • Mean of quarter 4
    0.05931
  • Inter Quartile Range
    0.00791
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14179
  • Mean of outliers high
    0.09716
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.06001
  • VaR(95%) (moments method)
    0.05180
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.95820
  • VaR(95%) (regression method)
    0.04225
  • Expected Shortfall (regression method)
    1.02575
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13155
  • Compounded annual return (geometric extrapolation)
    0.11659
  • Calmar ratio (compounded annual return / max draw down)
    0.24524
  • Compounded annual return / average of 25% largest draw downs
    1.96574
  • Compounded annual return / Expected Shortfall lognormal
    2.88155
  • 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
    -0.62518
  • SD
    0.35264
  • Sharpe ratio (Glass type estimate)
    -1.77286
  • Sharpe ratio (Hedges UMVUE)
    -1.76508
  • df
    171.00000
  • t
    -1.25360
  • p
    0.56066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.54850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.54319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01303
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.06102
  • Upside Potential Ratio
    3.64484
  • Upside part of mean
    1.10561
  • Downside part of mean
    -1.73079
  • Upside SD
    0.18098
  • Downside SD
    0.30333
  • N nonnegative terms
    85.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.16201
  • Mean of criterion
    -0.62518
  • SD of predictor
    0.08899
  • SD of criterion
    0.35264
  • Covariance
    0.00204
  • r
    0.06506
  • b (slope, estimate of beta)
    0.25782
  • a (intercept, estimate of alpha)
    -0.66695
  • Mean Square Error
    0.12456
  • DF error
    170.00000
  • t(b)
    0.85008
  • p(b)
    0.46747
  • t(a)
    -1.32985
  • p(a)
    0.55073
  • Lowerbound of 95% confidence interval for beta
    -0.34087
  • Upperbound of 95% confidence interval for beta
    0.85651
  • Lowerbound of 95% confidence interval for alpha
    -1.65696
  • Upperbound of 95% confidence interval for alpha
    0.32307
  • Treynor index (mean / b)
    -2.42488
  • Jensen alpha (a)
    -0.66695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.69021
  • SD
    0.36383
  • Sharpe ratio (Glass type estimate)
    -1.89707
  • Sharpe ratio (Hedges UMVUE)
    -1.88874
  • df
    171.00000
  • t
    -1.34143
  • p
    0.56485
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.67342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.88477
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.66776
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89029
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.16251
  • Upside Potential Ratio
    3.41432
  • Upside part of mean
    1.08975
  • Downside part of mean
    -1.77996
  • Upside SD
    0.17640
  • Downside SD
    0.31917
  • N nonnegative terms
    85.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15802
  • Mean of criterion
    -0.69021
  • SD of predictor
    0.08918
  • SD of criterion
    0.36383
  • Covariance
    0.00210
  • r
    0.06466
  • b (slope, estimate of beta)
    0.26378
  • a (intercept, estimate of alpha)
    -0.73189
  • Mean Square Error
    0.13259
  • DF error
    170.00000
  • t(b)
    0.84479
  • p(b)
    0.46767
  • t(a)
    -1.41477
  • p(a)
    0.55394
  • VAR (95 Confidence Intrvl)
    0.50600
  • Lowerbound of 95% confidence interval for beta
    -0.35258
  • Upperbound of 95% confidence interval for beta
    0.88014
  • Lowerbound of 95% confidence interval for alpha
    -1.75309
  • Upperbound of 95% confidence interval for alpha
    0.28931
  • Treynor index (mean / b)
    -2.61665
  • Jensen alpha (a)
    -0.73189
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03369
  • Expected Shortfall on VaR
    0.04155
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01128
  • Expected Shortfall on VaR
    0.02546
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.85846
  • Quartile 1
    0.99680
  • Median
    1.00001
  • Quartile 3
    1.00240
  • Maximum
    1.07651
  • Mean of quarter 1
    0.98105
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00105
  • Mean of quarter 4
    1.01186
  • Inter Quartile Range
    0.00560
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.09884
  • Mean of outliers low
    0.96131
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.06395
  • Mean of outliers high
    1.03127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.88125
  • VaR(95%) (moments method)
    0.01704
  • Expected Shortfall (moments method)
    0.15335
  • Extreme Value Index (regression method)
    0.83486
  • VaR(95%) (regression method)
    0.01485
  • Expected Shortfall (regression method)
    0.09452
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00038
  • Median
    0.00052
  • Quartile 3
    0.00360
  • Maximum
    0.45370
  • Mean of quarter 1
    0.00016
  • Mean of quarter 2
    0.00043
  • Mean of quarter 3
    0.00183
  • Mean of quarter 4
    0.18042
  • Inter Quartile Range
    0.00322
  • 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
    0.23077
  • Mean of outliers high
    0.18042
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.11636
  • VaR(95%) (moments method)
    0.02184
  • Expected Shortfall (moments method)
    0.03159
  • Extreme Value Index (regression method)
    1.63090
  • VaR(95%) (regression method)
    0.33499
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    47
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.57664
  • Compounded annual return (geometric extrapolation)
    -0.49351
  • Calmar ratio (compounded annual return / max draw down)
    -1.08775
  • Compounded annual return / average of 25% largest draw downs
    -2.73541
  • Compounded annual return / Expected Shortfall lognormal
    -11.87620

Strategy Description

Philosophy
Steady win!
Philosophy means vision, objective and goal! Philosophy is not a promise, but it is sure, 2d system will do make an effort to control the risk, any time!

Some Features
Trades per week: 5-20;
Max simultaneously opened positions: 8-10 (more - very rare);
Orders per position: 1 (at market).
Currency pair: EURUSD, GBPUSD.

Advisable Use
Collective2 autotrading.

Remarks
If you will use 2d system in account with leverage 100:1, and to be save, you could use the empirical formula (k/100000)*(Your_Capital_for_2d_System) to calculate your starting lot (Standard Lot Size), where k=0.2. In case of your account is with leverage of 500:1, you could use k=0.4, with the same security.
Example: Let we have an 30K USD account with leverage 100:1. Next we decide to use 15K USD for trading with 2d system and 15K USD for trading with another one (if we want). So, implementing the proposed formula we have (0.2/100000)*15000 = 0.030. That means, our starting lot for 2d system have to be 0.03 Standard Lots (0.3 Mini Lots). The same example with 500:1 account could use 0.06 Standard Lots (0.6 Mini Lots) as starting lot.

Warmest regards,
Trading Dimensions Team.

Summary Statistics

Strategy began
2011-09-07
Suggested Minimum Capital
$50,000
# Trades
1072
# Profitable
1058
% Profitable
98.7%
Correlation S&P500
-0.027
Sharpe Ratio
-0.04
Sortino Ratio
-0.07
Beta
-1.04
Alpha
0.00

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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