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%)  (2%)  (1.1%)  (1.1%)  (1.1%)  (1.2%)  (1.2%)  (1.2%)  (10.6%) 
2014  (1.2%)  (1.2%)  (1.2%)  (1.2%)  (1.3%)  (1.3%)  (1.3%)  (1.3%)  (1.3%)  (1.3%)  (1.4%)  (1.4%)  (14.3%) 
2015  (1.4%)  (1.4%)  (1.4%)  (1.5%)  (1.5%)  (7%) 
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.
Closed Trades
CSVOpened ET  B/S  #  Symbol  Price  Closed  Price  DD  P/L  

6/3/13 7:26  BUY  2  USD/CHF  0.95813  6/3 10:05  0.95551  0.33%

($57) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

6/3/13 5:10  BUY  2  USD/CHF  0.95789  6/3 5:29  0.95648  0.18%

($32) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/31/13 9:44  SELL  2  GBP/USD  1.51834  6/2 20:49  1.52109  0.33%

($57) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/31/13 6:07  SELL  2  GBP/USD  1.51867  5/31 6:58  1.52096  0.27%

($48) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/31/13 4:23  SELL  3  GBP/USD  1.51910  5/31 4:45  1.52079  0.3%

($54) Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00 

5/30/13 15:25  SELL  1  EUR/JPY  131.385  5/30 18:24  131.706  0.19%

($33) Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00 

5/30/13 7:30  BUY  1  USD/CHF  0.96197  5/30 8:51  0.95934  0.16%

($28) Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00 

5/30/13 7:29  SELL  2  GBP/USD  1.51342  5/30 8:48  1.51670  0.39%

($68) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/28/13 10:59  SELL  1  EUR/JPY  131.538  5/30 7:40  131.758  0.22%

($23) Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00 

5/29/13 4:21  SELL  1  USD/CHF  0.97033  5/30 7:30  0.96197  0.1%

$86 Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00 

5/29/13 9:28  BUY  1  GBP/USD  1.51263  5/30 7:29  1.51342  0.17%

$7 Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00 

5/28/13 10:13  SELL  2  EUR/USD  1.28919  5/29 4:09  1.28806  n/a  $21 Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/28/13 7:16  BUY  2  GBP/USD  1.51182  5/28 14:53  1.50592  1.01%

($120) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/28/13 5:59  BUY  2  EUR/USD  1.29310  5/28 9:19  1.29118  0.22%

($40) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/27/13 8:02  SELL  3  GBP/USD  1.51182  5/28 7:16  1.51182  0.12%

($3) Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00 

5/27/13 11:23  SELL  4  EUR/USD  1.29306  5/28 5:58  1.29310  0.16%

($6) Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00 

5/27/13 11:23  BUY  4  USD/CHF  0.96401  5/27 14:52  0.96209  0.46%

($84) Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00 

5/27/13 8:47  BUY  3  USD/CHF  0.96335  5/27 10:58  0.96213  0.22%

($41) Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00 

5/24/13 10:43  BUY  2  GBP/USD  1.51371  5/27 3:02  1.51267  0.3%

($23) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/24/13 11:15  SELL  1  EUR/USD  1.29182  5/24 14:51  1.29346  0.09%

($17) Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00 

5/23/13 4:11  BUY  2  EUR/USD  1.28812  5/24 11:14  1.29146  0.1%

$65 Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/24/13 6:20  BUY  2  GBP/USD  1.51233  5/24 8:14  1.50988  0.28%

($51) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/24/13 4:28  BUY  2  GBP/USD  1.51161  5/24 5:32  1.50905  0.29%

($53) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/23/13 11:23  BUY  2  GBP/USD  1.50971  5/23 20:22  1.50723  0.29%

($52) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/23/13 14:06  SELL  1  USD/CHF  0.96696  5/23 19:58  0.97032  0.2%

($36) Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00 

5/22/13 10:37  SELL  1  EUR/USD  1.29042  5/23 3:43  1.28622  0.11%

$41 Includes Typical Broker Commission and AutoTrade Fees trade costs of $1.00 

5/21/13 4:27  SELL  3  GBP/USD  1.52110  5/21 22:11  1.51577  0.13%

$157 Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00 

5/21/13 10:25  SELL  2  EUR/JPY  132.003  5/21 11:21  132.243  0.27%

($49) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/21/13 7:13  SELL  2  EUR/JPY  132.030  5/21 7:50  132.214  0.21%

($38) Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00 

5/20/13 10:48  BUY  3  GBP/USD  1.52204  5/21 4:26  1.52203  0.12%

($3) Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00 
Statistics
 Strategy began5/27/2012
 Age36 months ago
 What it tradesForex
 # Trades560
 # Profitable158
 % Profitable28.20%
 Avg trade duration16.8 hours
 Max peaktovalley drawdown42.99%
 drawdown periodApril 17, 2013  May 21, 2015
 Annual Return (Compounded)0.7%
 Avg win$161.81
 Avg loss$46.97
 W:L ratio1.35:1
 Open PL$0.00
 Open PL (start day)$0.00
 Open PL Change $$0.00
 Open PL Change %n/a
 Close PL$6,684
 Closed PL (start day)$6,685
 Closed PL Change $($0.25)
 Closed PL Change %n/a
 Equity$16,684
 Equity (start day)$16,685
 Equity Change $($0.25)
 Equity Change %n/a
 GENERAL STATISTICS
 Age1093
 # Trades560
 Starting Unit Size10000
 Avg Trade Length0.7
 PROFIT
 Profit Factor1.4
 SORTINO STATISTICS
 Sortino Ratio2.986
 CALMAR STATISTICS
 Calmar Ratio1.795
 Ann Return (w trading costs)0.7%
 SHARPE STATISTICS
 Sharpe Ratio1.342
 Ann Return (Compnd, No Fees)18.6%
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account loss100.00%
 Chance of 40% account loss100.00%
 Chance of 50% account lossn/a
 PROFIT STATISTICS
 APD0.24
 DRAW DOWN STATISTICS
 Max Drawdown43.0%
 POPULARITY STATISTICS
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TOS STATISTICS
 Trades Own System?0
 TOS percentn/a
 BILLING STATISTICS
 Subscription Price$147
 Billing Period (days)30
 Trial Days7
 WIN STATISTICS
 Avg Loss$47
 Avg Win$162
 # Winners158
 # Losers402
 % Winners28.2%
 TIME STATISTICS
 Avg Position Time (mins)1009.95
 Avg Position Time (hrs)16.83
 OWNER STATISTICS
 Developer
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.26509
 SD0.24390
 Sharpe ratio (Glass type estimate)1.08689
 Sharpe ratio (Hedges UMVUE)1.05251
 df24.00000
 t1.56880
 p0.06489
 Lowerbound of 95% confidence interval for Sharpe Ratio0.31572
 Upperbound of 95% confidence interval for Sharpe Ratio2.46811
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.33765
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.44267
 Statistics related to Sortino ratio
 Sortino ratio2.71328
 Upside Potential Ratio4.03444
 Upside part of mean0.39417
 Downside part of mean0.12908
 Upside SD0.23112
 Downside SD0.09770
 N nonnegative terms9.00000
 N negative terms16.00000
 Statistics related to linear regression on benchmark
 N of observations25.00000
 Mean of predictor0.22869
 Mean of criterion0.26509
 SD of predictor0.10974
 SD of criterion0.24390
 Covariance0.00887
 r0.33141
 b (slope, estimate of beta)0.73656
 a (intercept, estimate of alpha)0.09665
 Mean Square Error0.05526
 DF error23.00000
 t(b)1.68456
 p(b)0.05280
 t(a)0.50576
 p(a)0.30892
 Lowerbound of 95% confidence interval for beta0.16794
 Upperbound of 95% confidence interval for beta1.64105
 Lowerbound of 95% confidence interval for alpha0.29868
 Upperbound of 95% confidence interval for alpha0.49198
 Treynor index (mean / b)0.35991
 Jensen alpha (a)0.09665
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.23577
 SD0.23154
 Sharpe ratio (Glass type estimate)1.01830
 Sharpe ratio (Hedges UMVUE)0.98608
 df24.00000
 t1.46979
 p0.07730
 Lowerbound of 95% confidence interval for Sharpe Ratio0.37958
 Upperbound of 95% confidence interval for Sharpe Ratio2.39601
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40017
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.37235
 Statistics related to Sortino ratio
 Sortino ratio2.31091
 Upside Potential Ratio3.62456
 Upside part of mean0.36980
 Downside part of mean0.13403
 Upside SD0.21375
 Downside SD0.10203
 N nonnegative terms9.00000
 N negative terms16.00000
 Statistics related to linear regression on benchmark
 N of observations25.00000
 Mean of predictor0.22068
 Mean of criterion0.23577
 SD of predictor0.10925
 SD of criterion0.23154
 Covariance0.00879
 r0.34735
 b (slope, estimate of beta)0.73613
 a (intercept, estimate of alpha)0.07333
 Mean Square Error0.04919
 DF error23.00000
 t(b)1.77641
 p(b)0.04445
 t(a)0.41007
 p(a)0.34277
 Lowerbound of 95% confidence interval for beta0.12110
 Upperbound of 95% confidence interval for beta1.59336
 Lowerbound of 95% confidence interval for alpha0.29658
 Upperbound of 95% confidence interval for alpha0.44323
 Treynor index (mean / b)0.32029
 Jensen alpha (a)0.07333
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.08634
 Expected Shortfall on VaR0.11123
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.02852
 Expected Shortfall on VaR0.05950
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations25.00000
 Minimum0.90791
 Quartile 11.00000
 Median1.00000
 Quartile 31.05299
 Maximum1.20323
 Mean of quarter 10.96346
 Mean of quarter 21.00000
 Mean of quarter 31.01835
 Mean of quarter 41.11978
 Inter Quartile Range0.05299
 Number outliers low2.00000
 Percentage of outliers low0.08000
 Mean of outliers low0.90835
 Number of outliers high2.00000
 Percentage of outliers high0.08000
 Mean of outliers high1.20000
 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)0.09324
 Expected Shortfall (regression method)0.09422
 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)0.32088
 Compounded annual return (geometric extrapolation)0.27855
 Calmar ratio (compounded annual return / max draw down)2.18618
 Compounded annual return / average of 25% largest draw downs2.18618
 Compounded annual return / Expected Shortfall lognormal2.50424
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.25097
 SD0.17924
 Sharpe ratio (Glass type estimate)1.40020
 Sharpe ratio (Hedges UMVUE)1.39873
 df717.00000
 t2.02289
 p0.02173
 Lowerbound of 95% confidence interval for Sharpe Ratio0.04117
 Upperbound of 95% confidence interval for Sharpe Ratio2.75832
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04016
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.75730
 Statistics related to Sortino ratio
 Sortino ratio3.22234
 Upside Potential Ratio9.10813
 Upside part of mean0.70937
 Downside part of mean0.45841
 Upside SD0.16186
 Downside SD0.07788
 N nonnegative terms135.00000
 N negative terms583.00000
 Statistics related to linear regression on benchmark
 N of observations718.00000
 Mean of predictor0.22902
 Mean of criterion0.25097
 SD of predictor0.14034
 SD of criterion0.17924
 Covariance0.00129
 r0.05140
 b (slope, estimate of beta)0.06565
 a (intercept, estimate of alpha)0.26600
 Mean Square Error0.03209
 DF error716.00000
 t(b)1.37718
 p(b)0.91556
 t(a)2.13714
 p(a)0.01646
 Lowerbound of 95% confidence interval for beta0.15923
 Upperbound of 95% confidence interval for beta0.02794
 Lowerbound of 95% confidence interval for alpha0.02164
 Upperbound of 95% confidence interval for alpha0.51036
 Treynor index (mean / b)3.82307
 Jensen alpha (a)0.26600
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.23532
 SD0.17522
 Sharpe ratio (Glass type estimate)1.34300
 Sharpe ratio (Hedges UMVUE)1.34160
 df717.00000
 t1.94026
 p0.02637
 Lowerbound of 95% confidence interval for Sharpe Ratio0.01587
 Upperbound of 95% confidence interval for Sharpe Ratio2.70097
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.01682
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.70002
 Statistics related to Sortino ratio
 Sortino ratio2.98553
 Upside Potential Ratio8.84038
 Upside part of mean0.69679
 Downside part of mean0.46148
 Upside SD0.15687
 Downside SD0.07882
 N nonnegative terms135.00000
 N negative terms583.00000
 Statistics related to linear regression on benchmark
 N of observations718.00000
 Mean of predictor0.21912
 Mean of criterion0.23532
 SD of predictor0.14014
 SD of criterion0.17522
 Covariance0.00129
 r0.05266
 b (slope, estimate of beta)0.06584
 a (intercept, estimate of alpha)0.24974
 Mean Square Error0.03066
 DF error716.00000
 t(b)1.41111
 p(b)0.92068
 t(a)2.05335
 p(a)0.02020
 Lowerbound of 95% confidence interval for beta0.15745
 Upperbound of 95% confidence interval for beta0.02576
 Lowerbound of 95% confidence interval for alpha0.01095
 Upperbound of 95% confidence interval for alpha0.48853
 Treynor index (mean / b)3.57400
 Jensen alpha (a)0.24974
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.01475
 Expected Shortfall on VaR0.01862
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00408
 Expected Shortfall on VaR0.00868
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations718.00000
 Minimum0.95538
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.11514
 Mean of quarter 10.99478
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00825
 Inter Quartile Range0.00000
 Number outliers low166.00000
 Percentage of outliers low0.23120
 Mean of outliers low0.99434
 Number of outliers high135.00000
 Percentage of outliers high0.18802
 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)0.00401
 Expected Shortfall (moments method)0.01043
 Extreme Value Index (regression method)0.30292
 VaR(95%) (regression method)0.00455
 Expected Shortfall (regression method)0.00904
 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)0.32028
 Compounded annual return (geometric extrapolation)0.27796
 Calmar ratio (compounded annual return / max draw down)1.79539
 Compounded annual return / average of 25% largest draw downs3.12380
 Compounded annual return / Expected Shortfall lognormal14.92750
 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
 Mean0.00971
 SD0.00017
 Sharpe ratio (Glass type estimate)57.27700
 Sharpe ratio (Hedges UMVUE)57.02540
 df171.00000
 t40.50090
 p0.99366
 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 approximation63.67440
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation50.37640
 Statistics related to Sortino ratio
 Sortino ratio18.15320
 Upside Potential Ratio0.34007
 Upside part of mean0.00018
 Downside part of mean0.00989
 Upside SD0.00013
 Downside SD0.00053
 N nonnegative terms1.00000
 N negative terms171.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.29000
 Mean of criterion0.00971
 SD of predictor0.16873
 SD of criterion0.00017
 Covariance0.00000
 r0.00735
 b (slope, estimate of beta)0.00001
 a (intercept, estimate of alpha)0.00971
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.09585
 p(b)0.50367
 t(a)40.20130
 p(a)0.97561
 Lowerbound of 95% confidence interval for beta0.00016
 Upperbound of 95% confidence interval for beta0.00014
 Lowerbound of 95% confidence interval for alpha0.01019
 Upperbound of 95% confidence interval for alpha0.00923
 Treynor index (mean / b)1314.76000
 Jensen alpha (a)0.00971
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00971
 SD0.00017
 Sharpe ratio (Glass type estimate)57.27970
 Sharpe ratio (Hedges UMVUE)57.02810
 df171.00000
 t40.50280
 p0.99366
 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 approximation63.67730
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation50.37880
 Statistics related to Sortino ratio
 Sortino ratio18.15320
 Upside Potential Ratio0.34005
 Upside part of mean0.00018
 Downside part of mean0.00989
 Upside SD0.00013
 Downside SD0.00053
 N nonnegative terms1.00000
 N negative terms171.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.27575
 Mean of criterion0.00971
 SD of predictor0.16857
 SD of criterion0.00017
 Covariance0.00000
 r0.00701
 b (slope, estimate of beta)0.00001
 a (intercept, estimate of alpha)0.00971
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.09138
 p(b)0.50350
 t(a)40.22010
 p(a)0.97563
 Lowerbound of 95% confidence interval for beta0.00016
 Upperbound of 95% confidence interval for beta0.00015
 Lowerbound of 95% confidence interval for alpha0.01019
 Upperbound of 95% confidence interval for alpha0.00923
 Treynor index (mean / b)1377.74000
 Jensen alpha (a)0.00971
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00004
 Expected Shortfall on VaR0.00005
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum1.00000
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.00012
 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 high1.00000
 Percentage of outliers high0.00581
 Mean of outliers high1.00012
 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)0.00024
 Compounded annual return (geometric extrapolation)0.00024
 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 lognormal5.09287
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!.
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. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
 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.