Collective2 Collective2
For your consideration Adaptive Investments Followed by live capital $3.68 million Hypothetical

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QuantFXOpen Beta

By FXXX

Forex · Started Oct 2015

hypothetical · Annual Return (Compounded)
4.0%
Max Drawdown
18.7%
Trades
264
Win Trades
50.8%
Profit Factor
1.10
Win Months
6.7%

About this strategy

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.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20150.12.17.910.3
2016-0.7-5.5-0.8-0.66.6-5.41.7-2.4-1.8-2.6-6.03.5-13.8
20173.73.62.4-4.50.00.00.00.00.00.00.00.05.2
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began10/6/2015
Suggested Minimum Capital$10,000
Age135 months
What it tradesForex
# Trades264
# Profitable134
% Profitable50.8%
Avg trade duration2.1 days
Max peak-to-valley drawdown18.7%
drawdown periodJan 05, 2016 - Dec 13, 2016
Annual Return (Compounded)4.0%
Avg win$104
Avg loss$98

Ratios

W:L ratio1.09
Sharpe Ratio-0.27
Sortino Ratio-0.42
Calmar Ratio0.25

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life289.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-12.4%

Return Statistics

Ann Return (w trading costs)4.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.0%

Slump

Current Slump as Pcnt Equity11.8%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex1.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss36.5%
Chance of 20% account loss4.5%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated94.4%

Popularity

Popularity (Today)356
Popularity (Last 6 weeks)813
Popularity (7 days, Percentile 1000 scale)671

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$98
Avg Win$104
# Winners134
Sum Trade PL (losers)$12,753
Sum Trade PL (winners)$13,880
Num Months Winners9
# Losers130
% Winners50.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table134

Frequency

Avg Position Time (mins)3061.33
Avg Position Time (hrs)51.02
Avg Trade Length2.10
Last Trade Ago3481

Regression

Alpha0
Beta-0.01
Treynor Index0.82

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades35.03
MAE:PL (avg, all trades)0.67
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats41.04
MAE:PL - Winning Trades - this strat Percentile of All Strats78.84
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.47
Avg(MAE) / Avg(PL) - Losing trades-1.28
Hold-and-Hope Ratio0.03

RATIO STATISTICS

Mean0.07
SD0.11
Sharpe ratio (Glass type estimate)0.65
Sharpe ratio (Hedges UMVUE)0.62
df18
t0.82
p0.41
Lowerbound of 95% confidence interval for Sharpe Ratio-0.93
Upperbound of 95% confidence interval for Sharpe Ratio2.21
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.95
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.19
Sortino ratio1.13
Upside Potential Ratio3.07
Upside part of mean0.20
Downside part of mean-0.13
Upside SD0.09
Downside SD0.07
N nonnegative terms9
N negative terms10
N of observations19
Mean of predictor0.11
Mean of criterion0.07
SD of predictor0.11
SD of criterion0.11
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.08
Mean Square Error0.01
DF error17
t(b)-0.13
p(b)0.52
t(a)0.80
p(a)0.38
Lowerbound of 95% confidence interval for beta-0.58
Upperbound of 95% confidence interval for beta0.51
Lowerbound of 95% confidence interval for alpha-0.13
Upperbound of 95% confidence interval for alpha0.28
Treynor index (mean / b)-2.17
Jensen alpha (a)0.08
Mean0.07
SD0.11
Sharpe ratio (Glass type estimate)0.60
Sharpe ratio (Hedges UMVUE)0.57
df18
t0.75
p0.41
Lowerbound of 95% confidence interval for Sharpe Ratio-0.98
Upperbound of 95% confidence interval for Sharpe Ratio2.16
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.00
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.14
Sortino ratio1.02
Upside Potential Ratio2.95
Upside part of mean0.20
Downside part of mean-0.13
Upside SD0.09
Downside SD0.07
N nonnegative terms9
N negative terms10
N of observations19
Mean of predictor0.10
Mean of criterion0.07
SD of predictor0.11
SD of criterion0.11
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.07
Mean Square Error0.01
DF error17
t(b)-0.11
p(b)0.52
t(a)0.73
p(a)0.39
Lowerbound of 95% confidence interval for beta-0.57
Upperbound of 95% confidence interval for beta0.52
Lowerbound of 95% confidence interval for alpha-0.13
Upperbound of 95% confidence interval for alpha0.28
Treynor index (mean / b)-2.35
Jensen alpha (a)0.07
VaR(95%)0.05
Expected Shortfall on VaR0.06
VaR(95%)0.03
Expected Shortfall on VaR0.05
Mean0.06
SD0.13
Sharpe ratio (Glass type estimate)0.49
Sharpe ratio (Hedges UMVUE)0.49
df556
t0.62
p0.27
Lowerbound of 95% confidence interval for Sharpe Ratio-1.05
Upperbound of 95% confidence interval for Sharpe Ratio2.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.05
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.03
Sortino ratio0.78
Upside Potential Ratio9.94
Upside part of mean0.82
Downside part of mean-0.76
Upside SD0.10
Downside SD0.08
N nonnegative terms246
N negative terms311
N of observations557
Mean of predictor0.10
Mean of criterion0.06
SD of predictor0.12
SD of criterion0.13
Covariance-0.00
r-0.06
b (slope, estimate of beta)-0.07
a (intercept, estimate of alpha)0.02
Mean Square Error0.02
DF error555
t(b)-1.50
p(b)0.93
t(a)0.69
p(a)0.25
Lowerbound of 95% confidence interval for beta-0.16
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha-0.13
Upperbound of 95% confidence interval for alpha0.28
Treynor index (mean / b)-0.92
Jensen alpha (a)0.07
Mean0.06
SD0.13
Sharpe ratio (Glass type estimate)0.42
Sharpe ratio (Hedges UMVUE)0.42
df556
t0.54
p0.29
Lowerbound of 95% confidence interval for Sharpe Ratio-1.12
Upperbound of 95% confidence interval for Sharpe Ratio1.96
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.12
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.96
Sortino ratio0.67
Upside Potential Ratio9.81
Upside part of mean0.82
Downside part of mean-0.76
Upside SD0.10
Downside SD0.08
N nonnegative terms246
N negative terms311
N of observations557
Mean of predictor0.10
Mean of criterion0.06
SD of predictor0.12
SD of criterion0.13
Covariance-0.00
r-0.06
b (slope, estimate of beta)-0.07
a (intercept, estimate of alpha)0.06
Mean Square Error0.02
DF error555
t(b)-1.52
p(b)0.93
t(a)0.60
p(a)0.27
Lowerbound of 95% confidence interval for beta-0.16
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.27
Treynor index (mean / b)-0.79
Jensen alpha (a)0.06
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.01
Expected Shortfall on VaR0.01
Mean0.13
SD0.17
Sharpe ratio (Glass type estimate)0.75
Sharpe ratio (Hedges UMVUE)0.75
df171
t0.53
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio-2.02
Upperbound of 95% confidence interval for Sharpe Ratio3.53
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.02
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.52
Sortino ratio1.22
Upside Potential Ratio11.66
Upside part of mean1.25
Downside part of mean-1.12
Upside SD0.14
Downside SD0.11
N nonnegative terms78
N negative terms94
N of observations172
Mean of predictor0.19
Mean of criterion0.13
SD of predictor0.07
SD of criterion0.17
Covariance-0.00
r-0.12
b (slope, estimate of beta)-0.28
a (intercept, estimate of alpha)0.18
Mean Square Error0.03
DF error170
t(b)-1.56
p(b)0.56
t(a)0.75
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.63
Upperbound of 95% confidence interval for beta0.07
Lowerbound of 95% confidence interval for alpha-0.30
Upperbound of 95% confidence interval for alpha0.67
Treynor index (mean / b)-0.47
Jensen alpha (a)0.18
Mean0.12
SD0.17
Sharpe ratio (Glass type estimate)0.67
Sharpe ratio (Hedges UMVUE)0.67
df171
t0.47
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-2.10
Upperbound of 95% confidence interval for Sharpe Ratio3.44
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.11
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.44
Sortino ratio1.07
Upside Potential Ratio11.50
Upside part of mean1.24
Downside part of mean-1.12
Upside SD0.13
Downside SD0.11
N nonnegative terms78
N negative terms94
N of observations172
Mean of predictor0.19
Mean of criterion0.12
SD of predictor0.07
SD of criterion0.17
Covariance-0.00
r-0.12
b (slope, estimate of beta)-0.28
a (intercept, estimate of alpha)0.17
Mean Square Error0.03
DF error170
t(b)-1.58
p(b)0.56
t(a)0.69
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.63
VAR (95 Confidence Intrvl)0.01
Upperbound of 95% confidence interval for beta0.07
Lowerbound of 95% confidence interval for alpha-0.32
Upperbound of 95% confidence interval for alpha0.65
Treynor index (mean / b)-0.41
Jensen alpha (a)0.17
VaR(95%)0.01
Expected Shortfall on VaR0.02
VaR(95%)0.01
Expected Shortfall on VaR0.01

ORDER STATISTICS

Number of observations19
Minimum0.95
Quartile 10.98
Median1.00
Quartile 31.03
Maximum1.06
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.02
Mean of quarter 41.05
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)-1.08
VaR(95%) (moments method)0.04
Expected Shortfall (moments method)0.04
Extreme Value Index (regression method)-1.12
VaR(95%) (regression method)0.04
Expected Shortfall (regression method)0.05
Number of observations557
Minimum0.98
Quartile 11.00
Median1
Quartile 31.00
Maximum1.04
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.01
Number outliers low24
Percentage of outliers low0.04
Mean of outliers low0.98
Number of outliers high30
Percentage of outliers high0.05
Mean of outliers high1.02
Extreme Value Index (moments method)-0.03
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations172
Minimum0.98
Quartile 10.99
Median1
Quartile 31.01
Maximum1.04
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.01
Number outliers low1
Percentage of outliers low0.01
Mean of outliers low0.98
Number of outliers high4
Percentage of outliers high0.02
Mean of outliers high1.03
Extreme Value Index (moments method)-0.36
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.19
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01

DRAW DOWN STATISTICS

Number of observations2
Minimum0.02
Quartile 10.04
Median0.05
Quartile 30.07
Maximum0.08
Mean of quarter 10.02
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.08
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations16
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.02
Maximum0.16
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.08
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high3
Percentage of outliers high0.19
Mean of outliers high0.09
Extreme Value Index (moments method)-0.02
VaR(95%) (moments method)0.07
Expected Shortfall (moments method)0.10
Extreme Value Index (regression method)0.83
VaR(95%) (regression method)0.12
Expected Shortfall (regression method)0.74
Number of observations8
Minimum0.00
Quartile 10.02
Median0.04
Quartile 30.05
Maximum0.11
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.04
Mean of quarter 40.09
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.12
Mean of outliers high0.11
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Max Equity Drawdown (num days)343
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.08
Compounded annual return (geometric extrapolation)0.08
Calmar ratio (compounded annual return / max draw down)0.96
Compounded annual return / average of 25% largest draw downs0.96
Compounded annual return / Expected Shortfall lognormal1.35
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.07
Compounded annual return (geometric extrapolation)0.07
Calmar ratio (compounded annual return / max draw down)0.43
Compounded annual return / average of 25% largest draw downs0.89
Compounded annual return / Expected Shortfall lognormal4.73
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.13
Compounded annual return (geometric extrapolation)0.13
Calmar ratio (compounded annual return / max draw down)1.22
Compounded annual return / average of 25% largest draw downs1.47
Compounded annual return / Expected Shortfall lognormal7.17

Trading record

Placed 10 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
AUD/USD long20Apr 21, 2017Apr 21, 2017$19
GBP/USD short20Apr 21, 2017Apr 21, 2017$23
NZD/USD long20Apr 17, 2017Apr 21, 2017$48
GBP/USD short20Apr 19, 2017Apr 20, 2017$3
EUR/USD short20Apr 20, 2017Apr 20, 2017($90)
EUR/USD short20Apr 17, 2017Apr 18, 2017($48)
GBP/USD short20Apr 18, 2017Apr 18, 2017($146)
GBP/USD short20Apr 16, 2017Apr 17, 2017($124)
EUR/USD short20Apr 17, 2017Apr 17, 2017($48)
GBP/USD short20Apr 14, 2017Apr 14, 2017($36)
AUD/USD long20Apr 11, 2017Apr 14, 2017$166
GBP/USD long20Apr 13, 2017Apr 13, 2017($51)
EUR/USD long20Apr 10, 2017Apr 13, 2017$80
NZD/USD short20Apr 10, 2017Apr 12, 2017$2
GBP/USD long20Apr 11, 2017Apr 12, 2017$196
GBP/USD short20Apr 10, 2017Apr 10, 2017$10
GBP/USD short20Apr 10, 2017Apr 10, 2017($68)
NZD/USD short20Apr 2, 2017Apr 7, 2017$140
GBP/USD long20Apr 4, 2017Apr 7, 2017($199)
AUD/USD long20Apr 4, 2017Apr 7, 2017($166)
EUR/USD long20Apr 2, 2017Apr 5, 2017($65)
GBP/USD long20Apr 3, 2017Apr 4, 2017($69)
GBP/USD long20Mar 31, 2017Mar 31, 2017$175
NZD/USD short20Mar 26, 2017Mar 31, 2017$57
EUR/USD short20Mar 27, 2017Mar 31, 2017$452
AUD/USD long20Mar 27, 2017Mar 31, 2017$42
GBP/USD long20Mar 30, 2017Mar 31, 2017$2
GBP/USD short20Mar 29, 2017Mar 29, 2017($34)
GBP/USD short20Mar 28, 2017Mar 28, 2017$245
EUR/USD short20Mar 26, 2017Mar 27, 2017($127)

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.