Samurai (74026356)
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Jan  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                          0.0 
2017                    0.0 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
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.
Trading Record
Statistics

Strategy began5/27/2012

Starting Unit Size$10,000

Strategy Age (days)1938.58

Age65 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)5.5%

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 Ratio1.164

Sortino Ratio2.936

Calmar Ratio1.411
 Return Statistics

Ann Return (w trading costs)5.5%

Ann Return (Compnd, No Fees)10.1%
 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 Ago1567
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.19201

SD0.21203

Sharpe ratio (Glass type estimate)0.90561

Sharpe ratio (Hedges UMVUE)0.88274

df30.00000

t1.45556

p0.07795

Lowerbound of 95% confidence interval for Sharpe Ratio0.34222

Upperbound of 95% confidence interval for Sharpe Ratio2.13894

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.35697

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.12246
 Statistics related to Sortino ratio

Sortino ratio2.38555

Upside Potential Ratio3.67437

Upside part of mean0.29575

Downside part of mean0.10374

Upside SD0.20025

Downside SD0.08049

N nonnegative terms9.00000

N negative terms22.00000
 Statistics related to linear regression on benchmark

N of observations31.00000

Mean of predictor0.23022

Mean of criterion0.19201

SD of predictor0.15612

SD of criterion0.21203

Covariance0.00263

r0.07946

b (slope, estimate of beta)0.10792

a (intercept, estimate of alpha)0.16717

Mean Square Error0.04621

DF error29.00000

t(b)0.42927

p(b)0.33545

t(a)1.14707

p(a)0.13036

Lowerbound of 95% confidence interval for beta0.40625

Upperbound of 95% confidence interval for beta0.62209

Lowerbound of 95% confidence interval for alpha0.13089

Upperbound of 95% confidence interval for alpha0.46523

Treynor index (mean / b)1.77922

Jensen alpha (a)0.16717
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.17026

SD0.19951

Sharpe ratio (Glass type estimate)0.85340

Sharpe ratio (Hedges UMVUE)0.83185

df30.00000

t1.37164

p0.09017

Lowerbound of 95% confidence interval for Sharpe Ratio0.39171

Upperbound of 95% confidence interval for Sharpe Ratio2.08482

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40561

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.06931
 Statistics related to Sortino ratio

Sortino ratio2.03272

Upside Potential Ratio3.30908

Upside part of mean0.27716

Downside part of mean0.10691

Upside SD0.18417

Downside SD0.08376

N nonnegative terms9.00000

N negative terms22.00000
 Statistics related to linear regression on benchmark

N of observations31.00000

Mean of predictor0.21631

Mean of criterion0.17026

SD of predictor0.15193

SD of criterion0.19951

Covariance0.00267

r0.08823

b (slope, estimate of beta)0.11586

a (intercept, estimate of alpha)0.14520

Mean Square Error0.04085

DF error29.00000

t(b)0.47702

p(b)0.31846

t(a)1.06535

p(a)0.14775

Lowerbound of 95% confidence interval for beta0.38090

Upperbound of 95% confidence interval for beta0.61262

Lowerbound of 95% confidence interval for alpha0.13355

Upperbound of 95% confidence interval for alpha0.42394

Treynor index (mean / b)1.46950

Jensen alpha (a)0.14520
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07738

Expected Shortfall on VaR0.09912
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02444

Expected Shortfall on VaR0.05076
 ORDER STATISTICS
 Quartiles of return rates

Number of observations31.00000

Minimum0.90365

Quartile 11.00000

Median1.00000

Quartile 31.03152

Maximum1.22532

Mean of quarter 10.97289

Mean of quarter 21.00000

Mean of quarter 31.00443

Mean of quarter 41.09426

Inter Quartile Range0.03152

Number outliers low3.00000

Percentage of outliers low0.09677

Mean of outliers low0.93063

Number of outliers high3.00000

Percentage of outliers high0.09677

Mean of outliers high1.16397
 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)0.49132

VaR(95%) (regression method)0.03975

Expected Shortfall (regression method)0.05720
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.09635

Quartile 10.10138

Median0.10640

Quartile 30.11143

Maximum0.11646

Mean of quarter 10.09635

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.11646

Inter Quartile Range0.01005

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)0.25877

Compounded annual return (geometric extrapolation)0.21916

Calmar ratio (compounded annual return / max draw down)1.88191

Compounded annual return / average of 25% largest draw downs1.88191

Compounded annual return / Expected Shortfall lognormal2.21111

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.18141

SD0.15570

Sharpe ratio (Glass type estimate)1.16513

Sharpe ratio (Hedges UMVUE)1.16385

df678.00000

t1.87569

p0.03056

Lowerbound of 95% confidence interval for Sharpe Ratio0.05435

Upperbound of 95% confidence interval for Sharpe Ratio2.38378

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.05521

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.38291
 Statistics related to Sortino ratio

Sortino ratio2.93567

Upside Potential Ratio8.62795

Upside part of mean0.53316

Downside part of mean0.35175

Upside SD0.14322

Downside SD0.06179

N nonnegative terms106.00000

N negative terms573.00000
 Statistics related to linear regression on benchmark

N of observations679.00000

Mean of predictor0.23356

Mean of criterion0.18141

SD of predictor0.17899

SD of criterion0.15570

Covariance0.00101

r0.03634

b (slope, estimate of beta)0.03161

a (intercept, estimate of alpha)0.18900

Mean Square Error0.02425

DF error677.00000

t(b)0.94608

p(b)0.82778

t(a)1.94555

p(a)0.02606

Lowerbound of 95% confidence interval for beta0.09721

Upperbound of 95% confidence interval for beta0.03399

Lowerbound of 95% confidence interval for alpha0.00174

Upperbound of 95% confidence interval for alpha0.37932

Treynor index (mean / b)5.73914

Jensen alpha (a)0.18879
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.16962

SD0.15189

Sharpe ratio (Glass type estimate)1.11673

Sharpe ratio (Hedges UMVUE)1.11550

df678.00000

t1.79777

p0.03633

Lowerbound of 95% confidence interval for Sharpe Ratio0.10258

Upperbound of 95% confidence interval for Sharpe Ratio2.33530

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.10343

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.33443
 Statistics related to Sortino ratio

Sortino ratio2.72302

Upside Potential Ratio8.40013

Upside part of mean0.52327

Downside part of mean0.35364

Upside SD0.13881

Downside SD0.06229

N nonnegative terms106.00000

N negative terms573.00000
 Statistics related to linear regression on benchmark

N of observations679.00000

Mean of predictor0.21732

Mean of criterion0.16962

SD of predictor0.18002

SD of criterion0.15189

Covariance0.00099

r0.03622

b (slope, estimate of beta)0.03056

a (intercept, estimate of alpha)0.17627

Mean Square Error0.02308

DF error677.00000

t(b)0.94300

p(b)0.82699

t(a)1.86282

p(a)0.03146

Lowerbound of 95% confidence interval for beta0.09419

Upperbound of 95% confidence interval for beta0.03307

Lowerbound of 95% confidence interval for alpha0.00952

Upperbound of 95% confidence interval for alpha0.36206

Treynor index (mean / b)5.55066

Jensen alpha (a)0.17627
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01468

Expected Shortfall on VaR0.01853
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00422

Expected Shortfall on VaR0.00874
 ORDER STATISTICS
 Quartiles of return rates

Number of observations679.00000

Minimum0.96576

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.11512

Mean of quarter 10.99500

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00819

Inter Quartile Range0.00000

Number outliers low134.00000

Percentage of outliers low0.19735

Mean of outliers low0.99365

Number of outliers high106.00000

Percentage of outliers high0.15611

Mean of outliers high1.01314
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.20042

VaR(95%) (moments method)0.00332

Expected Shortfall (moments method)0.00592

Extreme Value Index (regression method)0.03727

VaR(95%) (regression method)0.00562

Expected Shortfall (regression method)0.00903
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations16.00000

Minimum0.00071

Quartile 10.00934

Median0.02384

Quartile 30.03684

Maximum0.15480

Mean of quarter 10.00295

Mean of quarter 20.01502

Mean of quarter 30.03297

Mean of quarter 40.09755

Inter Quartile Range0.02750

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.12500

Mean of outliers high0.14492
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.97128

VaR(95%) (moments method)0.09389

Expected Shortfall (moments method)0.09685

Extreme Value Index (regression method)1.38231

VaR(95%) (regression method)0.15117

Expected Shortfall (regression method)0.15992
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.25795

Compounded annual return (geometric extrapolation)0.21839

Calmar ratio (compounded annual return / max draw down)1.41081

Compounded annual return / average of 25% largest draw downs2.23878

Compounded annual return / Expected Shortfall lognormal11.78630

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

Mean0.02791

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 ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.34861

Mean of criterion0.02791

SD of predictor0.28444

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

Mean0.02791

SD0.00000

Sharpe ratio (Glass type estimate)9748420000000000.00000

Sharpe ratio (Hedges UMVUE)9692070000000000.00000

df130.00000

t6893170000000000.00000

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 approximation10870200000000000.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8513980000000000.00000
 Statistics related to Sortino ratio

Sortino ratio16.18640

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.02791

Upside SD0.00000

Downside SD0.00172

N nonnegative terms0.00000

N negative terms131.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.30754

Mean of criterion0.02791

SD of predictor0.28824

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.02791

Mean Square Error0.00000

DF error129.00000

t(b)0.00000

p(b)0.50000

t(a)6851630000000000.00000

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 alpha0.02791

Upperbound of 95% confidence interval for alpha0.02791

Treynor index (mean / b)40778899999999994553994018029568.00000

Jensen alpha (a)0.02791
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00011

Expected Shortfall on VaR0.00011
 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 observations131.00000

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!.
Summary Statistics
Latest Activity
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 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.
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