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                          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.
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)1732.61
 Age58 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)6.2%
 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 Ratio1.193
 Sortino Ratio2.656
 Calmar Ratio1.415
 Return Statistics
 Ann Return (w trading costs)6.2%
 Ann Return (Compnd, No Fees)11.4%
 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)499
 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 Ago1361
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.21186
 SD0.22047
 Sharpe ratio (Glass type estimate)0.96095
 Sharpe ratio (Hedges UMVUE)0.93668
 df30.00000
 t1.54450
 p0.06648
 Lowerbound of 95% confidence interval for Sharpe Ratio0.28995
 Upperbound of 95% confidence interval for Sharpe Ratio2.19654
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.30557
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.17894
 Statistics related to Sortino ratio
 Sortino ratio2.41439
 Upside Potential Ratio3.62266
 Upside part of mean0.31788
 Downside part of mean0.10602
 Upside SD0.20755
 Downside SD0.08775
 N nonnegative terms9.00000
 N negative terms22.00000
 Statistics related to linear regression on benchmark
 N of observations31.00000
 Mean of predictor0.22455
 Mean of criterion0.21186
 SD of predictor0.13239
 SD of criterion0.22047
 Covariance0.00718
 r0.24583
 b (slope, estimate of beta)0.40938
 a (intercept, estimate of alpha)0.11993
 Mean Square Error0.04724
 DF error29.00000
 t(b)1.36574
 p(b)0.09126
 t(a)0.79396
 p(a)0.21683
 Lowerbound of 95% confidence interval for beta0.20367
 Upperbound of 95% confidence interval for beta1.02243
 Lowerbound of 95% confidence interval for alpha0.18901
 Upperbound of 95% confidence interval for alpha0.42888
 Treynor index (mean / b)0.51751
 Jensen alpha (a)0.11993
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.18821
 SD0.20904
 Sharpe ratio (Glass type estimate)0.90036
 Sharpe ratio (Hedges UMVUE)0.87763
 df30.00000
 t1.44713
 p0.07912
 Lowerbound of 95% confidence interval for Sharpe Ratio0.34722
 Upperbound of 95% confidence interval for Sharpe Ratio2.13351
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.36186
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.11712
 Statistics related to Sortino ratio
 Sortino ratio2.05404
 Upside Potential Ratio3.25464
 Upside part of mean0.29823
 Downside part of mean0.11001
 Upside SD0.19195
 Downside SD0.09163
 N nonnegative terms9.00000
 N negative terms22.00000
 Statistics related to linear regression on benchmark
 N of observations31.00000
 Mean of predictor0.21407
 Mean of criterion0.18821
 SD of predictor0.13057
 SD of criterion0.20904
 Covariance0.00714
 r0.26165
 b (slope, estimate of beta)0.41888
 a (intercept, estimate of alpha)0.09854
 Mean Square Error0.04211
 DF error29.00000
 t(b)1.45986
 p(b)0.07754
 t(a)0.69552
 p(a)0.24613
 Lowerbound of 95% confidence interval for beta0.16796
 Upperbound of 95% confidence interval for beta1.00572
 Lowerbound of 95% confidence interval for alpha0.19123
 Upperbound of 95% confidence interval for alpha0.38832
 Treynor index (mean / b)0.44933
 Jensen alpha (a)0.09854
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.08018
 Expected Shortfall on VaR0.10286
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.02493
 Expected Shortfall on VaR0.05263
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations31.00000
 Minimum0.90791
 Quartile 11.00000
 Median1.00000
 Quartile 31.02850
 Maximum1.20323
 Mean of quarter 10.96803
 Mean of quarter 21.00000
 Mean of quarter 31.00238
 Mean of quarter 41.10152
 Inter Quartile Range0.02850
 Number outliers low2.00000
 Percentage of outliers low0.06452
 Mean of outliers low0.90835
 Number of outliers high4.00000
 Percentage of outliers high0.12903
 Mean of outliers high1.14949
 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)0.09203
 Expected Shortfall (regression method)0.09393
 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)0.25877
 Compounded annual return (geometric extrapolation)0.21916
 Calmar ratio (compounded annual return / max draw down)1.72011
 Compounded annual return / average of 25% largest draw downs1.72011
 Compounded annual return / Expected Shortfall lognormal2.13071
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.20078
 SD0.16115
 Sharpe ratio (Glass type estimate)1.24589
 Sharpe ratio (Hedges UMVUE)1.24484
 df888.00000
 t2.00287
 p0.02275
 Lowerbound of 95% confidence interval for Sharpe Ratio0.02499
 Upperbound of 95% confidence interval for Sharpe Ratio2.46615
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02426
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.46542
 Statistics related to Sortino ratio
 Sortino ratio2.86853
 Upside Potential Ratio8.18536
 Upside part of mean0.57293
 Downside part of mean0.37215
 Upside SD0.14546
 Downside SD0.06999
 N nonnegative terms135.00000
 N negative terms754.00000
 Statistics related to linear regression on benchmark
 N of observations889.00000
 Mean of predictor0.22863
 Mean of criterion0.20078
 SD of predictor0.17077
 SD of criterion0.16115
 Covariance0.00104
 r0.03793
 b (slope, estimate of beta)0.03579
 a (intercept, estimate of alpha)0.20900
 Mean Square Error0.02596
 DF error887.00000
 t(b)1.13035
 p(b)0.87068
 t(a)2.07941
 p(a)0.01893
 Lowerbound of 95% confidence interval for beta0.09794
 Upperbound of 95% confidence interval for beta0.02635
 Lowerbound of 95% confidence interval for alpha0.01173
 Upperbound of 95% confidence interval for alpha0.40619
 Treynor index (mean / b)5.60972
 Jensen alpha (a)0.20896
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.18814
 SD0.15753
 Sharpe ratio (Glass type estimate)1.19430
 Sharpe ratio (Hedges UMVUE)1.19329
 df888.00000
 t1.91993
 p0.02759
 Lowerbound of 95% confidence interval for Sharpe Ratio0.02650
 Upperbound of 95% confidence interval for Sharpe Ratio2.41444
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02718
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.41376
 Statistics related to Sortino ratio
 Sortino ratio2.65604
 Upside Potential Ratio7.94474
 Upside part of mean0.56276
 Downside part of mean0.37462
 Upside SD0.14097
 Downside SD0.07083
 N nonnegative terms135.00000
 N negative terms754.00000
 Statistics related to linear regression on benchmark
 N of observations889.00000
 Mean of predictor0.21399
 Mean of criterion0.18814
 SD of predictor0.17081
 SD of criterion0.15753
 Covariance0.00104
 r0.03869
 b (slope, estimate of beta)0.03568
 a (intercept, estimate of alpha)0.19578
 Mean Square Error0.02481
 DF error887.00000
 t(b)1.15326
 p(b)0.87544
 t(a)1.99368
 p(a)0.02325
 Lowerbound of 95% confidence interval for beta0.09641
 Upperbound of 95% confidence interval for beta0.02504
 Lowerbound of 95% confidence interval for alpha0.00305
 Upperbound of 95% confidence interval for alpha0.38850
 Treynor index (mean / b)5.27227
 Jensen alpha (a)0.19578
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.01333
 Expected Shortfall on VaR0.01682
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00340
 Expected Shortfall on VaR0.00733
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations889.00000
 Minimum0.95538
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.11514
 Mean of quarter 10.99579
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00669
 Inter Quartile Range0.00000
 Number outliers low166.00000
 Percentage of outliers low0.18673
 Mean of outliers low0.99434
 Number of outliers high135.00000
 Percentage of outliers high0.15186
 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)0.00339
 Expected Shortfall (moments method)0.00913
 Extreme Value Index (regression method)0.30292
 VaR(95%) (regression method)0.00391
 Expected Shortfall (regression method)0.00811
 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)0.25868
 Compounded annual return (geometric extrapolation)0.21907
 Calmar ratio (compounded annual return / max draw down)1.41501
 Compounded annual return / average of 25% largest draw downs2.46197
 Compounded annual return / Expected Shortfall lognormal13.02090
 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 predictor0.22094
 Mean of criterion0.00995
 SD of predictor0.26243
 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 predictor0.18655
 Mean of criterion0.00995
 SD of predictor0.26302
 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)22246100000000000.00000
 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)1265630000000000079032444027666432.00000
 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!.
Subscriptions not available
No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.
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.
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.