Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $152,000 Hypothetical

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Xaden
(95865301)

Created by: CharlesLarry CharlesLarry
Started: 07/2015
Forex
Last trade: 2,711 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $120.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

2.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(31.7%)
Max Drawdown
276
Num Trades
50.0%
Win Trades
1.2 : 1
Profit Factor
8.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                          +18.7%+5.8%+2.8%+13.7%(1.4%)+0.1%+44.9%
2016+11.7%+4.6%(5.5%)(2.8%)(8.2%)(14.5%)+12.3%(3.7%)(0.4%)(5.7%)+1.6%(0.5%)(13.6%)
2017(0.5%)  -    -    -    -    -    -    -    -    -    -    -  (0.5%)
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  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.

Trading Record

This strategy has placed 341 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2799 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/22/16 19:01 EUR/JPY EUR/JPY LONG 10 118.046 11/23 15:00 118.754 0.82%
Trade id #107412619
Max drawdown($295)
Time11/23/16 4:08
Quant open10
Worst price117.714
Drawdown as % of equity-0.82%
 $629
11/21/16 19:01 GBP/USD GBP/USD LONG 10 1.24912 11/22 13:44 1.23895 2.8%
Trade id #107378612
Max drawdown($1,017)
Time11/22/16 13:44
Quant open0
Worst price1.23895
Drawdown as % of equity-2.80%
 ($1,017)
11/17/16 19:01 EUR/JPY EUR/JPY SHORT 10 117.041 11/18 15:00 117.262 1.04%
Trade id #107302456
Max drawdown($385)
Time11/18/16 2:46
Quant open-10
Worst price117.468
Drawdown as % of equity-1.04%
 ($199)
11/16/16 19:01 GBP/USD GBP/USD LONG 10 1.24386 11/17 15:00 1.24134 0.8%
Trade id #107268775
Max drawdown($302)
Time11/17/16 14:57
Quant open10
Worst price1.24084
Drawdown as % of equity-0.80%
 ($252)
11/15/16 19:01 GBP/USD GBP/USD SHORT 10 1.24531 11/16 15:00 1.24402 1.32%
Trade id #107232408
Max drawdown($492)
Time11/16/16 2:16
Quant open-10
Worst price1.25023
Drawdown as % of equity-1.32%
 $129
11/14/16 19:01 GBP/USD GBP/USD SHORT 10 1.25134 11/15 4:30 1.24133 0.42%
Trade id #107192063
Max drawdown($155)
Time11/14/16 19:23
Quant open-10
Worst price1.25289
Drawdown as % of equity-0.42%
 $1,001
11/10/16 19:01 GBP/USD GBP/USD LONG 10 1.25530 11/11 4:59 1.26501 0.78%
Trade id #107108874
Max drawdown($279)
Time11/10/16 20:37
Quant open10
Worst price1.25251
Drawdown as % of equity-0.78%
 $971
11/9/16 19:01 EUR/JPY EUR/JPY SHORT 10 115.562 11/10 7:08 116.575 2.65%
Trade id #107058700
Max drawdown($949)
Time11/10/16 7:08
Quant open0
Worst price116.575
Drawdown as % of equity-2.65%
 ($949)
11/8/16 19:01 GBP/USD GBP/USD SHORT 10 1.23860 11/8 21:23 1.24869 2.69%
Trade id #107009349
Max drawdown($1,009)
Time11/8/16 21:23
Quant open0
Worst price1.24869
Drawdown as % of equity-2.69%
 ($1,009)
11/7/16 19:01 EUR/JPY EUR/JPY LONG 10 115.393 11/8 15:00 115.869 0.73%
Trade id #106978393
Max drawdown($267)
Time11/7/16 22:16
Quant open10
Worst price115.112
Drawdown as % of equity-0.73%
 $453
11/3/16 19:01 GBP/USD GBP/USD LONG 10 1.24670 11/4 15:00 1.25062 0.49%
Trade id #106909740
Max drawdown($178)
Time11/4/16 2:59
Quant open10
Worst price1.24492
Drawdown as % of equity-0.49%
 $392
11/2/16 19:01 GBP/USD GBP/USD LONG 10 1.23050 11/3 6:05 1.24045 0.17%
Trade id #106877746
Max drawdown($60)
Time11/2/16 20:13
Quant open10
Worst price1.22990
Drawdown as % of equity-0.17%
 $995
11/1/16 19:01 EUR/JPY EUR/JPY LONG 10 115.015 11/2 15:00 114.642 1.78%
Trade id #106842146
Max drawdown($640)
Time11/2/16 8:31
Quant open10
Worst price114.353
Drawdown as % of equity-1.78%
 ($361)
10/31/16 19:01 EUR/JPY EUR/JPY LONG 10 115.041 11/1 15:00 114.997 0.64%
Trade id #106808317
Max drawdown($228)
Time10/31/16 22:56
Quant open10
Worst price114.803
Drawdown as % of equity-0.64%
 ($42)
10/27/16 19:01 GBP/USD GBP/USD SHORT 10 1.21584 10/28 15:00 1.21885 1.48%
Trade id #106716654
Max drawdown($539)
Time10/28/16 13:40
Quant open-10
Worst price1.22123
Drawdown as % of equity-1.48%
 ($301)
10/26/16 19:01 GBP/USD GBP/USD LONG 10 1.22350 10/27 15:00 1.21740 2.37%
Trade id #106687022
Max drawdown($863)
Time10/27/16 12:42
Quant open10
Worst price1.21487
Drawdown as % of equity-2.37%
 ($610)
10/25/16 19:01 GBP/USD GBP/USD SHORT 10 1.21799 10/26 15:00 1.22282 1.74%
Trade id #106660790
Max drawdown($644)
Time10/26/16 10:50
Quant open-10
Worst price1.22443
Drawdown as % of equity-1.74%
 ($483)
10/24/16 19:01 EUR/JPY EUR/JPY LONG 10 113.449 10/25 15:00 113.494 0.19%
Trade id #106630942
Max drawdown($70)
Time10/24/16 19:15
Quant open10
Worst price113.376
Drawdown as % of equity-0.19%
 $43
10/20/16 19:01 GBP/USD GBP/USD SHORT 10 1.22530 10/21 15:00 1.22290 0.18%
Trade id #106574021
Max drawdown($68)
Time10/20/16 19:34
Quant open-10
Worst price1.22598
Drawdown as % of equity-0.18%
 $240
10/19/16 19:01 GBP/USD GBP/USD LONG 10 1.22910 10/20 15:00 1.22511 2.18%
Trade id #106549052
Max drawdown($812)
Time10/20/16 9:24
Quant open10
Worst price1.22098
Drawdown as % of equity-2.18%
 ($399)
10/18/16 19:01 GBP/USD GBP/USD LONG 10 1.22995 10/19 15:00 1.22732 1.2%
Trade id #106523503
Max drawdown($456)
Time10/19/16 12:05
Quant open10
Worst price1.22539
Drawdown as % of equity-1.20%
 ($263)
10/17/16 19:01 GBP/USD GBP/USD SHORT 10 1.21879 10/18 5:58 1.22878 2.6%
Trade id #106497173
Max drawdown($999)
Time10/18/16 5:58
Quant open0
Worst price1.22878
Drawdown as % of equity-2.60%
 ($999)
10/13/16 19:01 EUR/JPY EUR/JPY SHORT 10 114.561 10/14 15:00 114.395 1.22%
Trade id #106443418
Max drawdown($470)
Time10/14/16 6:13
Quant open-10
Worst price115.051
Drawdown as % of equity-1.22%
 $159
10/12/16 19:01 EUR/JPY EUR/JPY LONG 10 114.829 10/13 15:00 114.515 2.29%
Trade id #106411386
Max drawdown($882)
Time10/13/16 10:14
Quant open10
Worst price113.915
Drawdown as % of equity-2.29%
 ($303)
10/11/16 19:01 EUR/JPY EUR/JPY SHORT 10 114.386 10/12 15:00 114.844 1.94%
Trade id #106377650
Max drawdown($750)
Time10/12/16 12:24
Quant open-10
Worst price115.168
Drawdown as % of equity-1.94%
 ($439)
10/10/16 19:01 EUR/JPY EUR/JPY LONG 10 115.494 10/11 11:27 114.484 2.45%
Trade id #106344428
Max drawdown($977)
Time10/11/16 11:27
Quant open0
Worst price114.484
Drawdown as % of equity-2.45%
 ($977)
10/6/16 19:01 GBP/USD GBP/USD SHORT 10 1.26132 10/6 19:07 1.25132 n/a $1,000
10/5/16 19:01 GBP/USD GBP/USD SHORT 10 1.27484 10/6 8:21 1.26484 0.3%
Trade id #106257435
Max drawdown($114)
Time10/5/16 19:44
Quant open-10
Worst price1.27598
Drawdown as % of equity-0.30%
 $1,000
10/4/16 19:01 GBP/USD GBP/USD SHORT 10 1.27335 10/5 15:00 1.27504 0.98%
Trade id #106230988
Max drawdown($377)
Time10/5/16 11:17
Quant open-10
Worst price1.27712
Drawdown as % of equity-0.98%
 ($169)
10/3/16 19:01 EUR/JPY EUR/JPY LONG 10 114.011 10/4 11:39 115.001 0.02%
Trade id #106197397
Max drawdown($7)
Time10/3/16 19:06
Quant open10
Worst price114.003
Drawdown as % of equity-0.02%
 $964
Next

Statistics

  • Strategy began
    7/13/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3204.07
  • Age
    107 months ago
  • What it trades
    Forex
  • # Trades
    276
  • # Profitable
    138
  • % Profitable
    50.00%
  • Avg trade duration
    18.2 hours
  • Max peak-to-valley drawdown
    31.66%
  • drawdown period
    March 11, 2016 - Nov 10, 2016
  • Annual Return (Compounded)
    2.5%
  • Avg win
    $598.07
  • Avg loss
    $512.30
  • Model Account Values (Raw)
  • Cash
    $36,840
  • Margin Used
    $0
  • Buying Power
    $36,840
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.16
  • Calmar Ratio
    0.601
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -111.97%
  • Correlation to SP500
    0.04340
  • Return Percent SP500 (cumu) during strategy life
    140.45%
  • Return Statistics
  • Ann Return (w trading costs)
    2.5%
  • Slump
  • Current Slump as Pcnt Equity
    41.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.025%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $512
  • Avg Win
    $598
  • Sum Trade PL (losers)
    $70,697.000
  • Age
  • Num Months filled monthly returns table
    106
  • Win / Loss
  • Sum Trade PL (winners)
    $82,534.000
  • # Winners
    138
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    138
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    1093.40
  • Avg Position Time (hrs)
    18.22
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    2705
  • Regression
  • Alpha
    0.00
  • Beta
    0.02
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    80.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.76
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    15.711
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.508
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.448
  • Hold-and-Hope Ratio
    0.064
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13950
  • SD
    0.18992
  • Sharpe ratio (Glass type estimate)
    0.73453
  • Sharpe ratio (Hedges UMVUE)
    0.71598
  • df
    30.00000
  • t
    1.18059
  • p
    0.12352
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50478
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51683
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94880
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91456
  • Upside Potential Ratio
    3.80736
  • Upside part of mean
    0.27741
  • Downside part of mean
    -0.13791
  • Upside SD
    0.17668
  • Downside SD
    0.07286
  • N nonnegative terms
    8.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.28725
  • Mean of criterion
    0.13950
  • SD of predictor
    0.20561
  • SD of criterion
    0.18992
  • Covariance
    -0.00774
  • r
    -0.19833
  • b (slope, estimate of beta)
    -0.18318
  • a (intercept, estimate of alpha)
    0.19212
  • Mean Square Error
    0.03584
  • DF error
    29.00000
  • t(b)
    -1.08966
  • p(b)
    0.85758
  • t(a)
    1.50909
  • p(a)
    0.07105
  • Lowerbound of 95% confidence interval for beta
    -0.52701
  • Upperbound of 95% confidence interval for beta
    0.16064
  • Lowerbound of 95% confidence interval for alpha
    -0.06825
  • Upperbound of 95% confidence interval for alpha
    0.45249
  • Treynor index (mean / b)
    -0.76151
  • Jensen alpha (a)
    0.19212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12219
  • SD
    0.18077
  • Sharpe ratio (Glass type estimate)
    0.67593
  • Sharpe ratio (Hedges UMVUE)
    0.65887
  • df
    30.00000
  • t
    1.08641
  • p
    0.14297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57191
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88964
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63969
  • Upside Potential Ratio
    3.52272
  • Upside part of mean
    0.26251
  • Downside part of mean
    -0.14032
  • Upside SD
    0.16527
  • Downside SD
    0.07452
  • N nonnegative terms
    8.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.26390
  • Mean of criterion
    0.12219
  • SD of predictor
    0.19958
  • SD of criterion
    0.18077
  • Covariance
    -0.00699
  • r
    -0.19371
  • b (slope, estimate of beta)
    -0.17545
  • a (intercept, estimate of alpha)
    0.16849
  • Mean Square Error
    0.03254
  • DF error
    29.00000
  • t(b)
    -1.06332
  • p(b)
    0.85179
  • t(a)
    1.39968
  • p(a)
    0.08611
  • Lowerbound of 95% confidence interval for beta
    -0.51293
  • Upperbound of 95% confidence interval for beta
    0.16202
  • Lowerbound of 95% confidence interval for alpha
    -0.07771
  • Upperbound of 95% confidence interval for alpha
    0.41469
  • Treynor index (mean / b)
    -0.69642
  • Jensen alpha (a)
    0.16849
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07286
  • Expected Shortfall on VaR
    0.09269
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03337
  • Expected Shortfall on VaR
    0.05830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.93229
  • Quartile 1
    0.98248
  • Median
    1.00000
  • Quartile 3
    1.02071
  • Maximum
    1.19823
  • Mean of quarter 1
    0.96386
  • Mean of quarter 2
    0.99830
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.09191
  • Inter Quartile Range
    0.03823
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12903
  • Mean of outliers high
    1.12313
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32816
  • VaR(95%) (moments method)
    0.03920
  • Expected Shortfall (moments method)
    0.04605
  • Extreme Value Index (regression method)
    0.03144
  • VaR(95%) (regression method)
    0.04756
  • Expected Shortfall (regression method)
    0.06472
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03811
  • Quartile 1
    0.07890
  • Median
    0.11969
  • Quartile 3
    0.16048
  • Maximum
    0.20127
  • Mean of quarter 1
    0.03811
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20127
  • Inter Quartile Range
    0.08158
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.18335
  • Compounded annual return (geometric extrapolation)
    0.16195
  • Calmar ratio (compounded annual return / max draw down)
    0.80462
  • Compounded annual return / average of 25% largest draw downs
    0.80462
  • Compounded annual return / Expected Shortfall lognormal
    1.74716
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13170
  • SD
    0.16073
  • Sharpe ratio (Glass type estimate)
    0.81941
  • Sharpe ratio (Hedges UMVUE)
    0.81852
  • df
    691.00000
  • t
    1.33170
  • p
    0.09170
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38763
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02591
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02529
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.35216
  • Upside Potential Ratio
    7.51933
  • Upside part of mean
    0.73239
  • Downside part of mean
    -0.60069
  • Upside SD
    0.12796
  • Downside SD
    0.09740
  • N nonnegative terms
    183.00000
  • N negative terms
    509.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    692.00000
  • Mean of predictor
    0.36199
  • Mean of criterion
    0.13170
  • SD of predictor
    0.31773
  • SD of criterion
    0.16073
  • Covariance
    0.00224
  • r
    0.04389
  • b (slope, estimate of beta)
    0.02220
  • a (intercept, estimate of alpha)
    0.12400
  • Mean Square Error
    0.02582
  • DF error
    690.00000
  • t(b)
    1.15388
  • p(b)
    0.12447
  • t(a)
    1.24765
  • p(a)
    0.10629
  • Lowerbound of 95% confidence interval for beta
    -0.01557
  • Upperbound of 95% confidence interval for beta
    0.05997
  • Lowerbound of 95% confidence interval for alpha
    -0.07095
  • Upperbound of 95% confidence interval for alpha
    0.31828
  • Treynor index (mean / b)
    5.93252
  • Jensen alpha (a)
    0.12366
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11890
  • SD
    0.15945
  • Sharpe ratio (Glass type estimate)
    0.74568
  • Sharpe ratio (Hedges UMVUE)
    0.74487
  • df
    691.00000
  • t
    1.21186
  • p
    0.11299
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46119
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95150
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20673
  • Upside Potential Ratio
    7.35139
  • Upside part of mean
    0.72434
  • Downside part of mean
    -0.60544
  • Upside SD
    0.12543
  • Downside SD
    0.09853
  • N nonnegative terms
    183.00000
  • N negative terms
    509.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    692.00000
  • Mean of predictor
    0.30984
  • Mean of criterion
    0.11890
  • SD of predictor
    0.32503
  • SD of criterion
    0.15945
  • Covariance
    0.00227
  • r
    0.04387
  • b (slope, estimate of beta)
    0.02152
  • a (intercept, estimate of alpha)
    0.11223
  • Mean Square Error
    0.02541
  • DF error
    690.00000
  • t(b)
    1.15349
  • p(b)
    0.12455
  • t(a)
    1.14219
  • p(a)
    0.12689
  • Lowerbound of 95% confidence interval for beta
    -0.01511
  • Upperbound of 95% confidence interval for beta
    0.05815
  • Lowerbound of 95% confidence interval for alpha
    -0.08069
  • Upperbound of 95% confidence interval for alpha
    0.30516
  • Treynor index (mean / b)
    5.52467
  • Jensen alpha (a)
    0.11223
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01563
  • Expected Shortfall on VaR
    0.01966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00663
  • Expected Shortfall on VaR
    0.01363
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    692.00000
  • Minimum
    0.94871
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00073
  • Maximum
    1.08540
  • Mean of quarter 1
    0.99114
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.01127
  • Inter Quartile Range
    0.00073
  • Number outliers low
    150.00000
  • Percentage of outliers low
    0.21676
  • Mean of outliers low
    0.98985
  • Number of outliers high
    157.00000
  • Percentage of outliers high
    0.22688
  • Mean of outliers high
    1.01229
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.54695
  • VaR(95%) (moments method)
    0.00403
  • Expected Shortfall (moments method)
    0.00491
  • Extreme Value Index (regression method)
    -0.07653
  • VaR(95%) (regression method)
    0.00855
  • Expected Shortfall (regression method)
    0.01308
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00089
  • Quartile 1
    0.00436
  • Median
    0.01218
  • Quartile 3
    0.04054
  • Maximum
    0.26311
  • Mean of quarter 1
    0.00290
  • Mean of quarter 2
    0.00901
  • Mean of quarter 3
    0.02684
  • Mean of quarter 4
    0.09050
  • Inter Quartile Range
    0.03618
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    0.26311
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.73952
  • VaR(95%) (moments method)
    0.09945
  • Expected Shortfall (moments method)
    0.34374
  • Extreme Value Index (regression method)
    1.88939
  • VaR(95%) (regression method)
    0.08736
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17933
  • Compounded annual return (geometric extrapolation)
    0.15813
  • Calmar ratio (compounded annual return / max draw down)
    0.60099
  • Compounded annual return / average of 25% largest draw downs
    1.74722
  • Compounded annual return / Expected Shortfall lognormal
    8.04186
  • 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
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63544
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40108
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55435
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40330
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6841800000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -213836000000000023438508949504000.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period 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 observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -533451000
  • Max Equity Drawdown (num days)
    244
  • 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 downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

This system is 100 percent mechanical. We developed it for trading on NADEX. Thus the timing of trades is based around NADEX expiry times. In general, trades are entered at 7pm EST. All trades will be closed no later than 3pm EST. As a result, it is possible to easily trade the signals with a NADEX bull spread with a daily 3pm expiration.

Summary Statistics

Strategy began
2015-07-13
Suggested Minimum Capital
$25,000
# Trades
276
# Profitable
138
% Profitable
50.0%
Correlation S&P500
0.043
Sharpe Ratio
0.10
Sortino Ratio
0.16
Beta
0.02
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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 under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

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 re-scaled downward to make current go-forward 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 per-trade 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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.