Samurai
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Free AutoTradeJan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2012    +2.3%  +17.9%  +24.3%  +2.3%  (2.9%)  (10.3%)  +3.0%  +37.6%  
2013  +8.6%  +7.3%  (0.1%)  (7.9%)  (8.8%)  (0.9%)              (3.1%) 
2014                          0.0 
2015                          0.0 
2016           
Model Account Details
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $10,000  
Buy Power  $16,684  
Cash  $1  
Equity  $1  
Cumulative $  $6,684  
Total System Equity  $16,684  
Margined  $1  
Open P/L  $0  
Data has been delayed by 5 hours for nonsubscribers 
System developer has asked us to delay this information by 5 hours.
Open positions are hidden from nonsubscribers.

Trading Record 

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Statistics
 Strategy began5/27/2012
 Starting Unit Size$10,000
 Strategy Age (days)1460.48
 Age49 months ago
 What it tradesForex
 # Trades560
 # Profitable158
 % Profitable28.20%
 Avg trade duration16.6 hours
 Max peaktovalley drawdown22.48%
 drawdown periodApril 17, 2013  June 03, 2013
 Annual Return (Compounded)7.4%
 Avg win$161.86
 Avg loss$46.97
 Model Account Values (Raw)
 Cash$16,684
 Margin Used$0
 Buying Power$16,684
 Ratios
 W:L ratio1.35:1
 Sharpe Ratio1.24
 Sortino Ratio2.76
 Calmar Ratio1.529
 Daily Change
 Close PL$6,684
 Closed PL (start day)$6,685
 Closed PL Change $($0.21)
 Closed PL Change %n/a
 Equity$16,684
 Equity (start day)$16,685
 Equity Change $($0.21)
 Equity Change %n/a
 Return Statistics
 Ann Return (w trading costs)7.4%
 Ann Return (Compnd, No Fees)13.6%
 Risk of Ruin (MonteCarlo)
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account lossn/a
 Chance of 40% account lossn/a
 Chance of 50% account lossn/a
 Popularity
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TradesOwnSystem Certification
 Trades Own System?0
 TOS percentn/a
 Subscription Price
 Billing Period (days)30
 Trial Days7
 Win / Loss
 Avg Loss$47
 Avg Win$162
 # Winners158
 # Losers402
 % Winners28.2%
 Frequency
 Avg Position Time (mins)994.00
 Avg Position Time (hrs)16.57
 Avg Trade Length0.7 days
 Last Trade Ago1089
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.23562
 SD0.23131
 Sharpe ratio (Glass type estimate)1.01866
 Sharpe ratio (Hedges UMVUE)0.99006
 df27.00000
 t1.55604
 p0.06567
 Lowerbound of 95% confidence interval for Sharpe Ratio0.30159
 Upperbound of 95% confidence interval for Sharpe Ratio2.32095
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.31993
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.30005
 Statistics related to Sortino ratio
 Sortino ratio2.55212
 Upside Potential Ratio3.81199
 Upside part of mean0.35194
 Downside part of mean0.11632
 Upside SD0.21839
 Downside SD0.09232
 N nonnegative terms9.00000
 N negative terms19.00000
 Statistics related to linear regression on benchmark
 N of observations28.00000
 Mean of predictor0.16148
 Mean of criterion0.23562
 SD of predictor0.11923
 SD of criterion0.23131
 Covariance0.00931
 r0.33762
 b (slope, estimate of beta)0.65498
 a (intercept, estimate of alpha)0.12986
 Mean Square Error0.04923
 DF error26.00000
 t(b)1.82890
 p(b)0.03945
 t(a)0.83061
 p(a)0.20688
 Lowerbound of 95% confidence interval for beta0.08116
 Upperbound of 95% confidence interval for beta1.39113
 Lowerbound of 95% confidence interval for alpha0.19150
 Upperbound of 95% confidence interval for alpha0.45122
 Treynor index (mean / b)0.35974
 Jensen alpha (a)0.12986
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.20945
 SD0.21943
 Sharpe ratio (Glass type estimate)0.95448
 Sharpe ratio (Hedges UMVUE)0.92768
 df27.00000
 t1.45799
 p0.07819
 Lowerbound of 95% confidence interval for Sharpe Ratio0.36182
 Upperbound of 95% confidence interval for Sharpe Ratio2.25390
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.37906
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.23441
 Statistics related to Sortino ratio
 Sortino ratio2.17244
 Upside Potential Ratio3.42472
 Upside part of mean0.33018
 Downside part of mean0.12073
 Upside SD0.20197
 Downside SD0.09641
 N nonnegative terms9.00000
 N negative terms19.00000
 Statistics related to linear regression on benchmark
 N of observations28.00000
 Mean of predictor0.15351
 Mean of criterion0.20945
 SD of predictor0.11890
 SD of criterion0.21943
 Covariance0.00908
 r0.34817
 b (slope, estimate of beta)0.64257
 a (intercept, estimate of alpha)0.11081
 Mean Square Error0.04394
 DF error26.00000
 t(b)1.89379
 p(b)0.03472
 t(a)0.75489
 p(a)0.22855
 Lowerbound of 95% confidence interval for beta0.05488
 Upperbound of 95% confidence interval for beta1.34003
 Lowerbound of 95% confidence interval for alpha0.19091
 Upperbound of 95% confidence interval for alpha0.41252
 Treynor index (mean / b)0.32595
 Jensen alpha (a)0.11081
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.08308
 Expected Shortfall on VaR0.10679
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.02662
 Expected Shortfall on VaR0.05589
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations28.00000
 Minimum0.90791
 Quartile 11.00000
 Median1.00000
 Quartile 31.04360
 Maximum1.20323
 Mean of quarter 10.96346
 Mean of quarter 21.00000
 Mean of quarter 31.00816
 Mean of quarter 41.11024
 Inter Quartile Range0.04360
 Number outliers low2.00000
 Percentage of outliers low0.07143
 Mean of outliers low0.90835
 Number of outliers high3.00000
 Percentage of outliers high0.10714
 Mean of outliers high1.17386
 Risk estimates for a oneperiod 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)3.19131
 VaR(95%) (regression method)0.09270
 Expected Shortfall (regression method)0.09409
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations3.00000
 Minimum0.03263
 Quartile 10.06236
 Median0.09209
 Quartile 30.10975
 Maximum0.12741
 Mean of quarter 10.03263
 Mean of quarter 20.09209
 Mean of quarter 30.00000
 Mean of quarter 40.12741
 Inter Quartile Range0.04739
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 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)0.28650
 Compounded annual return (geometric extrapolation)0.24532
 Calmar ratio (compounded annual return / max draw down)1.92544
 Compounded annual return / average of 25% largest draw downs1.92544
 Compounded annual return / Expected Shortfall lognormal2.29722
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.21603
 SD0.16686
 Sharpe ratio (Glass type estimate)1.29469
 Sharpe ratio (Hedges UMVUE)1.29351
 df828.00000
 t2.00985
 p0.02239
 Lowerbound of 95% confidence interval for Sharpe Ratio0.03024
 Upperbound of 95% confidence interval for Sharpe Ratio2.55843
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02942
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.55760
 Statistics related to Sortino ratio
 Sortino ratio2.98046
 Upside Potential Ratio8.47642
 Upside part of mean0.61439
 Downside part of mean0.39836
 Upside SD0.15063
 Downside SD0.07248
 N nonnegative terms135.00000
 N negative terms694.00000
 Statistics related to linear regression on benchmark
 N of observations829.00000
 Mean of predictor0.18720
 Mean of criterion0.21603
 SD of predictor0.16865
 SD of criterion0.16686
 Covariance0.00109
 r0.03881
 b (slope, estimate of beta)0.03839
 a (intercept, estimate of alpha)0.22322
 Mean Square Error0.02783
 DF error827.00000
 t(b)1.11684
 p(b)0.86781
 t(a)2.07331
 p(a)0.01923
 Lowerbound of 95% confidence interval for beta0.10587
 Upperbound of 95% confidence interval for beta0.02908
 Lowerbound of 95% confidence interval for alpha0.01189
 Upperbound of 95% confidence interval for alpha0.43454
 Treynor index (mean / b)5.62663
 Jensen alpha (a)0.22322
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.20248
 SD0.16311
 Sharpe ratio (Glass type estimate)1.24133
 Sharpe ratio (Hedges UMVUE)1.24021
 df828.00000
 t1.92702
 p0.02716
 Lowerbound of 95% confidence interval for Sharpe Ratio0.02298
 Upperbound of 95% confidence interval for Sharpe Ratio2.50495
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02376
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.50418
 Statistics related to Sortino ratio
 Sortino ratio2.76030
 Upside Potential Ratio8.22724
 Upside part of mean0.60350
 Downside part of mean0.40102
 Upside SD0.14599
 Downside SD0.07335
 N nonnegative terms135.00000
 N negative terms694.00000
 Statistics related to linear regression on benchmark
 N of observations829.00000
 Mean of predictor0.17294
 Mean of criterion0.20248
 SD of predictor0.16871
 SD of criterion0.16311
 Covariance0.00109
 r0.03966
 b (slope, estimate of beta)0.03834
 a (intercept, estimate of alpha)0.20911
 Mean Square Error0.02660
 DF error827.00000
 t(b)1.14128
 p(b)0.87296
 t(a)1.98745
 p(a)0.02360
 Lowerbound of 95% confidence interval for beta0.10428
 Upperbound of 95% confidence interval for beta0.02760
 Lowerbound of 95% confidence interval for alpha0.00259
 Upperbound of 95% confidence interval for alpha0.41563
 Treynor index (mean / b)5.28120
 Jensen alpha (a)0.20911
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.01378
 Expected Shortfall on VaR0.01739
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00361
 Expected Shortfall on VaR0.00775
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations829.00000
 Minimum0.95538
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.11514
 Mean of quarter 10.99548
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00717
 Inter Quartile Range0.00000
 Number outliers low166.00000
 Percentage of outliers low0.20024
 Mean of outliers low0.99434
 Number of outliers high135.00000
 Percentage of outliers high0.16285
 Mean of outliers high1.01100
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.52520
 VaR(95%) (moments method)0.00358
 Expected Shortfall (moments method)0.00954
 Extreme Value Index (regression method)0.30292
 VaR(95%) (regression method)0.00412
 Expected Shortfall (regression method)0.00841
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations19.00000
 Minimum0.00103
 Quartile 10.00538
 Median0.02722
 Quartile 30.03722
 Maximum0.15482
 Mean of quarter 10.00211
 Mean of quarter 20.01324
 Mean of quarter 30.03328
 Mean of quarter 40.08898
 Inter Quartile Range0.03184
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high2.00000
 Percentage of outliers high0.10526
 Mean of outliers high0.14492
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.49128
 VaR(95%) (moments method)0.08952
 Expected Shortfall (moments method)0.10610
 Extreme Value Index (regression method)0.52776
 VaR(95%) (regression method)0.11471
 Expected Shortfall (regression method)0.13454
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.27740
 Compounded annual return (geometric extrapolation)0.23668
 Calmar ratio (compounded annual return / max draw down)1.52871
 Compounded annual return / average of 25% largest draw downs2.65980
 Compounded annual return / Expected Shortfall lognormal13.60720
 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
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)0.00000
 Sharpe ratio (Hedges UMVUE)0.00000
 df0.00000
 t0.00000
 p0.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.04838
 Mean of criterion0.00995
 SD of predictor0.25248
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00000
 Mean Square Error0.00000
 DF error0.00000
 t(b)0.00000
 p(b)0.00000
 t(a)0.00000
 p(a)0.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00000
 Upperbound of 95% confidence interval for alpha0.00000
 Treynor index (mean / b)0.00000
 Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)31576300000000000.00000
 Sharpe ratio (Hedges UMVUE)31437600000000000.00000
 df171.00000
 t22327800000000000.00000
 p1.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation34769500000000000.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation28105800000000000.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.01659
 Mean of criterion0.00995
 SD of predictor0.25308
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00995
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.00000
 p(b)0.50000
 t(a)22262300000000000.00000
 p(a)1.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00995
 Upperbound of 95% confidence interval for alpha0.00995
 Treynor index (mean / b)481279000000000004847183723495424.00000
 Jensen alpha (a)0.00995
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00000
 Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum1.00000
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.00000
 Mean of quarter 11.00000
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000
 Minimum0.00000
 Quartile 10.00000
 Median0.00000
 Quartile 30.00000
 Maximum0.00000
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 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)0.00000
 Compounded annual return (geometric extrapolation)0.00000
 Calmar ratio (compounded annual return / max draw down)0.00000
 Compounded annual return / average of 25% largest draw downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
Samurai has been programmed in TradeStation and so is a fully automated system helping eradicate poor discipline on a trade by trade basis. Both technical and fundamental analysis are used to identify opportunities with a positive expectancy.Samurai is a trend trading system and so like most system of this nature it has an asymmetric risk profile where the average gain is much larger than the average loss but with a lower win: loss ratio.
Hosted on a dedicated RapidSwitch.com RAW II server
Backtested over 8 years of data with a sample size of nearly 6000 trades
Traded live since February 2010
An average of 60 trades a month
0.3% risked per trade with an absolute maximum of 0.7%
Traded on: EURUSD, USDCHF, GBPUSD, EURJPY
Lower subscription rates for trading accounts smaller than 10k (Please ask)
I'm willing to provide the full backtest report to prospective clients. Please do contact me if you have any questions.
Please see my other system on Collective2 which works well in conjunction with Samurai:
http://collective2.com/cgiperl/system75489047
Onwards and upwards!.
Statistics
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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.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.