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Just Forex Trades
(94987184)

Created by: JFT JFT
Started: 06/2015
Forex
Last trade: 6 days ago
Trading style: Equity Momentum Short-term Reversal

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 $225.00 per month.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
62.6%
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.

(30.8%)
Max Drawdown
728
Num Trades
93.0%
Win Trades
5.1 : 1
Profit Factor
67.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +10.9%(1.4%)+14.0%+5.2%+12.9%(9.9%)+10.6%+47.6%
2016(5.9%)+13.6%(17.1%)+39.5%+16.6%+10.2%+4.8%+1.9%+0.8%(3.4%)+7.4%+2.9%+82.7%
2017+9.4%+3.6%+4.2%(13.3%)(5%)+3.9%+2.0%(2.9%)+1.7%+10.1%(5.6%)+17.2%+23.8%
2018(3.7%)+13.7%(6.2%)+15.6%+19.9%+0.2%+9.6%(2.7%)+1.3%+14.2%(3.1%)(3.2%)+65.3%

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 1,203 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/28/18 9:27 USD/CHF USD/CHF SHORT 35 0.99058 12/6 10:24 0.99054 5%
Trade id #120084271
Max drawdown($6,342)
Time11/13/18 5:23
Quant open-25
Worst price1.01285
Drawdown as % of equity-5.00%
$15
12/3/18 12:34 CAD/JPY CAD/JPY SHORT 30 86.159 12/3 13:50 86.055 0.1%
Trade id #121313925
Max drawdown($125)
Time12/3/18 13:14
Quant open-30
Worst price86.206
Drawdown as % of equity-0.10%
$272
11/30/18 12:29 USD/JPY USD/JPY SHORT 25 113.553 12/2 23:08 113.453 0.48%
Trade id #121276470
Max drawdown($594)
Time12/2/18 18:21
Quant open-25
Worst price113.823
Drawdown as % of equity-0.48%
$221
11/29/18 9:32 AUD/CHF AUD/CHF SHORT 25 0.73015 11/29 12:53 0.72821 0.25%
Trade id #121239333
Max drawdown($310)
Time11/29/18 10:31
Quant open-25
Worst price0.73139
Drawdown as % of equity-0.25%
$486
11/26/18 16:53 USD/CAD USD/CAD SHORT 25 1.32565 11/28 13:12 1.32557 1.56%
Trade id #121175794
Max drawdown($1,951)
Time11/28/18 11:03
Quant open-25
Worst price1.33599
Drawdown as % of equity-1.56%
$15
11/22/18 9:03 CAD/JPY CAD/JPY SHORT 25 85.413 11/23 8:41 85.118 0.5%
Trade id #121117715
Max drawdown($650)
Time11/22/18 16:01
Quant open-25
Worst price85.707
Drawdown as % of equity-0.50%
$655
11/20/18 9:10 USD/CAD USD/CAD SHORT 25 1.32090 11/22 12:05 1.32042 1.64%
Trade id #121070572
Max drawdown($2,062)
Time11/20/18 15:07
Quant open-25
Worst price1.33179
Drawdown as % of equity-1.64%
$89
11/21/18 9:18 AUD/JPY AUD/JPY SHORT 25 82.000 11/22 3:15 81.803 0.41%
Trade id #121093450
Max drawdown($525)
Time11/21/18 17:39
Quant open-25
Worst price82.237
Drawdown as % of equity-0.41%
$435
11/19/18 9:02 CHF/JPY CHF/JPY SHORT 25 113.231 11/19 10:04 113.146 0.11%
Trade id #121041507
Max drawdown($146)
Time11/19/18 9:25
Quant open-25
Worst price113.297
Drawdown as % of equity-0.11%
$188
11/16/18 13:47 AUD/USD AUD/USD SHORT 25 0.73273 11/18 17:14 0.73164 0.21%
Trade id #121019004
Max drawdown($267)
Time11/16/18 16:46
Quant open-25
Worst price0.73380
Drawdown as % of equity-0.21%
$274
11/16/18 9:47 EUR/USD EUR/USD SHORT 25 1.14057 11/16 10:37 1.13957 0.05%
Trade id #121002076
Max drawdown($61)
Time11/16/18 9:57
Quant open-25
Worst price1.14082
Drawdown as % of equity-0.05%
$252
11/15/18 13:51 USD/JPY USD/JPY SHORT 25 113.587 11/15 21:15 113.422 0.21%
Trade id #120981780
Max drawdown($264)
Time11/15/18 14:09
Quant open-25
Worst price113.707
Drawdown as % of equity-0.21%
$366
11/9/18 9:59 USD/CAD USD/CAD SHORT 25 1.31961 11/15 13:29 1.31766 1.02%
Trade id #120849942
Max drawdown($1,287)
Time11/14/18 10:16
Quant open-25
Worst price1.32640
Drawdown as % of equity-1.02%
$370
11/12/18 13:38 CAD/CHF CAD/CHF SHORT 25 0.76319 11/13 9:30 0.76237 0.33%
Trade id #120888072
Max drawdown($423)
Time11/13/18 5:23
Quant open-25
Worst price0.76490
Drawdown as % of equity-0.33%
$202
11/7/18 11:30 AUD/USD AUD/USD SHORT 25 0.72839 11/8 14:29 0.72632 0.36%
Trade id #120798246
Max drawdown($468)
Time11/8/18 9:33
Quant open-25
Worst price0.73026
Drawdown as % of equity-0.36%
$518
8/20/18 14:53 EUR/AUD EUR/AUD SHORT 35 1.57343 11/7 8:21 1.57434 14.09%
Trade id #119519403
Max drawdown($15,921)
Time10/11/18 0:26
Quant open-35
Worst price1.63577
Drawdown as % of equity-14.09%
($233)
11/5/18 15:35 EUR/CHF EUR/CHF SHORT 20 1.14587 11/7 8:21 1.14446 0.18%
Trade id #120741082
Max drawdown($233)
Time11/6/18 4:10
Quant open-20
Worst price1.14703
Drawdown as % of equity-0.18%
$282
11/6/18 16:45 USD/CAD USD/CAD SHORT 25 1.31249 11/6 23:25 1.31044 0.5%
Trade id #120776000
Max drawdown($644)
Time11/6/18 21:28
Quant open-25
Worst price1.31587
Drawdown as % of equity-0.50%
$391
10/31/18 13:53 CAD/CHF CAD/CHF SHORT 25 0.76677 11/1 5:00 0.76488 0.06%
Trade id #120646726
Max drawdown($75)
Time10/31/18 14:00
Quant open-25
Worst price0.76707
Drawdown as % of equity-0.06%
$471
10/31/18 9:22 AUD/NZD AUD/NZD SHORT 25 1.08457 11/1 1:26 1.08267 0.42%
Trade id #120639065
Max drawdown($531)
Time10/31/18 20:45
Quant open-25
Worst price1.08780
Drawdown as % of equity-0.42%
$314
10/30/18 10:09 EUR/GBP EUR/GBP SHORT 20 0.89045 10/31 8:44 0.88844 0.7%
Trade id #120618789
Max drawdown($889)
Time10/30/18 13:00
Quant open-20
Worst price0.89394
Drawdown as % of equity-0.70%
$513
10/26/18 9:51 AUD/CAD AUD/CAD SHORT 10 0.92622 10/29 17:09 0.92713 0.29%
Trade id #120561253
Max drawdown($366)
Time10/29/18 4:03
Quant open-10
Worst price0.93103
Drawdown as % of equity-0.29%
($69)
10/29/18 9:25 CAD/JPY CAD/JPY SHORT 25 85.814 10/29 12:11 85.620 0.12%
Trade id #120593701
Max drawdown($155)
Time10/29/18 9:37
Quant open-25
Worst price85.884
Drawdown as % of equity-0.12%
$432
8/21/18 12:39 CHF/JPY CHF/JPY SHORT 25 111.932 10/26 5:12 111.936 10.93%
Trade id #119535530
Max drawdown($11,770)
Time9/26/18 14:07
Quant open-25
Worst price117.201
Drawdown as % of equity-10.93%
($11)
10/24/18 10:52 CAD/JPY CAD/JPY SHORT 20 86.531 10/24 11:10 86.343 0.06%
Trade id #120511327
Max drawdown($76)
Time10/24/18 10:56
Quant open-20
Worst price86.574
Drawdown as % of equity-0.06%
$333
10/15/18 12:17 NZD/JPY NZD/JPY SHORT 15 73.586 10/23 10:02 73.391 0.94%
Trade id #120356458
Max drawdown($1,108)
Time10/21/18 17:11
Quant open-15
Worst price74.414
Drawdown as % of equity-0.94%
$262
10/22/18 9:33 EUR/GBP EUR/GBP SHORT 10 0.88438 10/23 8:26 0.88091 0.09%
Trade id #120466384
Max drawdown($111)
Time10/22/18 10:07
Quant open-10
Worst price0.88524
Drawdown as % of equity-0.09%
$452
10/19/18 10:30 GBP/CAD GBP/CAD SHORT 10 1.70736 10/22 8:34 1.70139 0.74%
Trade id #120440298
Max drawdown($884)
Time10/19/18 12:48
Quant open-10
Worst price1.71894
Drawdown as % of equity-0.74%
$456
10/17/18 9:02 NZD/CHF NZD/CHF SHORT 15 0.65175 10/18 18:03 0.64982 0.35%
Trade id #120397778
Max drawdown($422)
Time10/18/18 8:53
Quant open-15
Worst price0.65455
Drawdown as % of equity-0.35%
$289
10/18/18 9:21 AUD/CHF AUD/CHF SHORT 15 0.71071 10/18 11:44 0.70877 n/a $292

Statistics

  • Strategy began
    6/12/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1279.12
  • Age
    43 months ago
  • What it trades
    Forex
  • # Trades
    728
  • # Profitable
    677
  • % Profitable
    93.00%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    30.76%
  • drawdown period
    April 14, 2017 - Sept 20, 2017
  • Annual Return (Compounded)
    62.6%
  • Avg win
    $187.62
  • Avg loss
    $489.61
  • Model Account Values (Raw)
  • Cash
    $143,301
  • Margin Used
    $32,727
  • Buying Power
    $89,324
  • Ratios
  • W:L ratio
    5.09:1
  • Sharpe Ratio
    1.861
  • Sortino Ratio
    2.939
  • Calmar Ratio
    2.905
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.03600
  • Return Statistics
  • Ann Return (w trading costs)
    62.6%
  • Ann Return (Compnd, No Fees)
    67.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.00%
  • Chance of 20% account loss
    16.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    989
  • Popularity (Last 6 weeks)
    998
  • C2 Score
    96.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $489
  • Avg Win
    $188
  • # Winners
    677
  • # Losers
    51
  • % Winners
    93.0%
  • Frequency
  • Avg Position Time (mins)
    14350.80
  • Avg Position Time (hrs)
    239.18
  • Avg Trade Length
    10.0 days
  • Last Trade Ago
    6
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59829
  • SD
    0.35634
  • Sharpe ratio (Glass type estimate)
    1.67898
  • Sharpe ratio (Hedges UMVUE)
    1.64727
  • df
    40.00000
  • t
    3.10346
  • p
    0.00175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76737
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24616
  • Upside Potential Ratio
    4.72770
  • Upside part of mean
    0.87135
  • Downside part of mean
    -0.27306
  • Upside SD
    0.34604
  • Downside SD
    0.18431
  • N nonnegative terms
    29.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.04580
  • Mean of criterion
    0.59829
  • SD of predictor
    0.11510
  • SD of criterion
    0.35634
  • Covariance
    0.00356
  • r
    0.08690
  • b (slope, estimate of beta)
    0.26902
  • a (intercept, estimate of alpha)
    0.58597
  • Mean Square Error
    0.12925
  • DF error
    39.00000
  • t(b)
    0.54474
  • p(b)
    0.29452
  • t(a)
    2.99255
  • p(a)
    0.00239
  • Lowerbound of 95% confidence interval for beta
    -0.72989
  • Upperbound of 95% confidence interval for beta
    1.26793
  • Lowerbound of 95% confidence interval for alpha
    0.18991
  • Upperbound of 95% confidence interval for alpha
    0.98203
  • Treynor index (mean / b)
    2.22395
  • Jensen alpha (a)
    0.58597
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52384
  • SD
    0.35131
  • Sharpe ratio (Glass type estimate)
    1.49109
  • Sharpe ratio (Hedges UMVUE)
    1.46293
  • df
    40.00000
  • t
    2.75617
  • p
    0.00438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35519
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57067
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61609
  • Upside Potential Ratio
    4.07114
  • Upside part of mean
    0.81520
  • Downside part of mean
    -0.29136
  • Upside SD
    0.32122
  • Downside SD
    0.20024
  • N nonnegative terms
    29.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.03907
  • Mean of criterion
    0.52384
  • SD of predictor
    0.11647
  • SD of criterion
    0.35131
  • Covariance
    0.00391
  • r
    0.09547
  • b (slope, estimate of beta)
    0.28797
  • a (intercept, estimate of alpha)
    0.51259
  • Mean Square Error
    0.12543
  • DF error
    39.00000
  • t(b)
    0.59891
  • p(b)
    0.27635
  • t(a)
    2.66251
  • p(a)
    0.00561
  • Lowerbound of 95% confidence interval for beta
    -0.68457
  • Upperbound of 95% confidence interval for beta
    1.26051
  • Lowerbound of 95% confidence interval for alpha
    0.12318
  • Upperbound of 95% confidence interval for alpha
    0.90201
  • Treynor index (mean / b)
    1.81911
  • Jensen alpha (a)
    0.51259
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11588
  • Expected Shortfall on VaR
    0.15197
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03535
  • Expected Shortfall on VaR
    0.08053
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    41.00000
  • Minimum
    0.80693
  • Quartile 1
    0.97890
  • Median
    1.05413
  • Quartile 3
    1.13919
  • Maximum
    1.21346
  • Mean of quarter 1
    0.91857
  • Mean of quarter 2
    1.02957
  • Mean of quarter 3
    1.10542
  • Mean of quarter 4
    1.16854
  • Inter Quartile Range
    0.16029
  • 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)
    0.37221
  • VaR(95%) (moments method)
    0.07469
  • Expected Shortfall (moments method)
    0.14599
  • Extreme Value Index (regression method)
    0.02768
  • VaR(95%) (regression method)
    0.05572
  • Expected Shortfall (regression method)
    0.07772
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00930
  • Quartile 1
    0.02923
  • Median
    0.06004
  • Quartile 3
    0.11364
  • Maximum
    0.19980
  • Mean of quarter 1
    0.01781
  • Mean of quarter 2
    0.05362
  • Mean of quarter 3
    0.08662
  • Mean of quarter 4
    0.16742
  • Inter Quartile Range
    0.08441
  • 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)
    -156.22500
  • VaR(95%) (moments method)
    0.17507
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.67615
  • VaR(95%) (regression method)
    0.29260
  • Expected Shortfall (regression method)
    0.29288
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.63531
  • Compounded annual return (geometric extrapolation)
    0.73629
  • Calmar ratio (compounded annual return / max draw down)
    3.68514
  • Compounded annual return / average of 25% largest draw downs
    4.39800
  • Compounded annual return / Expected Shortfall lognormal
    4.84492
  • 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
    0.53763
  • SD
    0.28865
  • Sharpe ratio (Glass type estimate)
    1.86259
  • Sharpe ratio (Hedges UMVUE)
    1.86105
  • df
    907.00000
  • t
    3.46745
  • p
    0.00028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.80580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91736
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93893
  • Upside Potential Ratio
    10.82300
  • Upside part of mean
    1.97989
  • Downside part of mean
    -1.44226
  • Upside SD
    0.22553
  • Downside SD
    0.18293
  • N nonnegative terms
    503.00000
  • N negative terms
    405.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    908.00000
  • Mean of predictor
    0.04921
  • Mean of criterion
    0.53763
  • SD of predictor
    0.13442
  • SD of criterion
    0.28865
  • Covariance
    0.00101
  • r
    0.02616
  • b (slope, estimate of beta)
    0.05617
  • a (intercept, estimate of alpha)
    0.53500
  • Mean Square Error
    0.08335
  • DF error
    906.00000
  • t(b)
    0.78762
  • p(b)
    0.21556
  • t(a)
    3.44802
  • p(a)
    0.00030
  • Lowerbound of 95% confidence interval for beta
    -0.08380
  • Upperbound of 95% confidence interval for beta
    0.19614
  • Lowerbound of 95% confidence interval for alpha
    0.23042
  • Upperbound of 95% confidence interval for alpha
    0.83931
  • Treynor index (mean / b)
    9.57111
  • Jensen alpha (a)
    0.53487
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49562
  • SD
    0.28789
  • Sharpe ratio (Glass type estimate)
    1.72157
  • Sharpe ratio (Hedges UMVUE)
    1.72014
  • df
    907.00000
  • t
    3.20491
  • p
    0.00070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77594
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66375
  • Upside Potential Ratio
    10.50640
  • Upside part of mean
    1.95483
  • Downside part of mean
    -1.45922
  • Upside SD
    0.22160
  • Downside SD
    0.18606
  • N nonnegative terms
    503.00000
  • N negative terms
    405.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    908.00000
  • Mean of predictor
    0.04014
  • Mean of criterion
    0.49562
  • SD of predictor
    0.13478
  • SD of criterion
    0.28789
  • Covariance
    0.00101
  • r
    0.02600
  • b (slope, estimate of beta)
    0.05553
  • a (intercept, estimate of alpha)
    0.49339
  • Mean Square Error
    0.08292
  • DF error
    906.00000
  • t(b)
    0.78284
  • p(b)
    0.21696
  • t(a)
    3.18928
  • p(a)
    0.00074
  • Lowerbound of 95% confidence interval for beta
    -0.08369
  • Upperbound of 95% confidence interval for beta
    0.19476
  • Lowerbound of 95% confidence interval for alpha
    0.18977
  • Upperbound of 95% confidence interval for alpha
    0.79701
  • Treynor index (mean / b)
    8.92453
  • Jensen alpha (a)
    0.49339
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02699
  • Expected Shortfall on VaR
    0.03418
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01179
  • Expected Shortfall on VaR
    0.02349
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    908.00000
  • Minimum
    0.92898
  • Quartile 1
    0.99240
  • Median
    1.00171
  • Quartile 3
    1.01114
  • Maximum
    1.07349
  • Mean of quarter 1
    0.98103
  • Mean of quarter 2
    0.99731
  • Mean of quarter 3
    1.00593
  • Mean of quarter 4
    1.02437
  • Inter Quartile Range
    0.01874
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.02423
  • Mean of outliers low
    0.95388
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.03194
  • Mean of outliers high
    1.04898
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18782
  • VaR(95%) (moments method)
    0.01857
  • Expected Shortfall (moments method)
    0.02831
  • Extreme Value Index (regression method)
    0.02055
  • VaR(95%) (regression method)
    0.01722
  • Expected Shortfall (regression method)
    0.02343
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    66.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00640
  • Median
    0.01611
  • Quartile 3
    0.04400
  • Maximum
    0.23682
  • Mean of quarter 1
    0.00310
  • Mean of quarter 2
    0.01019
  • Mean of quarter 3
    0.02653
  • Mean of quarter 4
    0.11397
  • Inter Quartile Range
    0.03760
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.15176
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.66431
  • VaR(95%) (moments method)
    0.10979
  • Expected Shortfall (moments method)
    0.12358
  • Extreme Value Index (regression method)
    -0.41484
  • VaR(95%) (regression method)
    0.11616
  • Expected Shortfall (regression method)
    0.13764
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.48230
  • Compounded annual return (geometric extrapolation)
    0.68797
  • Calmar ratio (compounded annual return / max draw down)
    2.90500
  • Compounded annual return / average of 25% largest draw downs
    6.03622
  • Compounded annual return / Expected Shortfall lognormal
    20.13020
  • 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
    0.31119
  • SD
    0.23887
  • Sharpe ratio (Glass type estimate)
    1.30273
  • Sharpe ratio (Hedges UMVUE)
    1.29520
  • df
    130.00000
  • t
    0.92117
  • p
    0.45974
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47602
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07664
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48107
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07147
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94588
  • Upside Potential Ratio
    10.45950
  • Upside part of mean
    1.67270
  • Downside part of mean
    -1.36151
  • Upside SD
    0.17726
  • Downside SD
    0.15992
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    0.31119
  • SD of predictor
    0.14819
  • SD of criterion
    0.23887
  • Covariance
    -0.00216
  • r
    -0.06111
  • b (slope, estimate of beta)
    -0.09851
  • a (intercept, estimate of alpha)
    0.29968
  • Mean Square Error
    0.05729
  • DF error
    129.00000
  • t(b)
    -0.69542
  • p(b)
    0.53888
  • t(a)
    0.88428
  • p(a)
    0.45063
  • Lowerbound of 95% confidence interval for beta
    -0.37878
  • Upperbound of 95% confidence interval for beta
    0.18176
  • Lowerbound of 95% confidence interval for alpha
    -0.37084
  • Upperbound of 95% confidence interval for alpha
    0.97020
  • Treynor index (mean / b)
    -3.15894
  • Jensen alpha (a)
    0.29968
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28269
  • SD
    0.23883
  • Sharpe ratio (Glass type estimate)
    1.18362
  • Sharpe ratio (Hedges UMVUE)
    1.17678
  • df
    130.00000
  • t
    0.83695
  • p
    0.46340
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59409
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95228
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74569
  • Upside Potential Ratio
    10.23280
  • Upside part of mean
    1.65706
  • Downside part of mean
    -1.37437
  • Upside SD
    0.17518
  • Downside SD
    0.16194
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    0.28269
  • SD of predictor
    0.14884
  • SD of criterion
    0.23883
  • Covariance
    -0.00218
  • r
    -0.06127
  • b (slope, estimate of beta)
    -0.09832
  • a (intercept, estimate of alpha)
    0.27013
  • Mean Square Error
    0.05727
  • DF error
    129.00000
  • t(b)
    -0.69722
  • p(b)
    0.53898
  • t(a)
    0.79703
  • p(a)
    0.45547
  • Lowerbound of 95% confidence interval for beta
    -0.37732
  • Upperbound of 95% confidence interval for beta
    0.18068
  • Lowerbound of 95% confidence interval for alpha
    -0.40042
  • Upperbound of 95% confidence interval for alpha
    0.94067
  • Treynor index (mean / b)
    -2.87523
  • Jensen alpha (a)
    0.27013
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02292
  • Expected Shortfall on VaR
    0.02892
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01093
  • Expected Shortfall on VaR
    0.02101
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95781
  • Quartile 1
    0.99110
  • Median
    1.00161
  • Quartile 3
    1.01052
  • Maximum
    1.03924
  • Mean of quarter 1
    0.98272
  • Mean of quarter 2
    0.99701
  • Mean of quarter 3
    1.00574
  • Mean of quarter 4
    1.01984
  • Inter Quartile Range
    0.01942
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95863
  • 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)
    0.07963
  • VaR(95%) (moments method)
    0.01791
  • Expected Shortfall (moments method)
    0.02422
  • Extreme Value Index (regression method)
    -0.24012
  • VaR(95%) (regression method)
    0.01902
  • Expected Shortfall (regression method)
    0.02303
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01200
  • Quartile 1
    0.02321
  • Median
    0.07058
  • Quartile 3
    0.10223
  • Maximum
    0.15955
  • Mean of quarter 1
    0.01760
  • Mean of quarter 2
    0.07058
  • Mean of quarter 3
    0.10223
  • Mean of quarter 4
    0.15955
  • Inter Quartile Range
    0.07902
  • 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)
    0.33601
  • Compounded annual return (geometric extrapolation)
    0.36424
  • Calmar ratio (compounded annual return / max draw down)
    2.28294
  • Compounded annual return / average of 25% largest draw downs
    2.28294
  • Compounded annual return / Expected Shortfall lognormal
    12.59670

Strategy Description

Our approach is based upon 3 principles
1)Exhaustive momentum is not sustainable.
2)Currencies are range bound.
3)Prices fall faster than they rise.

As such, we are a momentum based, Short only and we do not use initial stops, we therefore are non-correlated to most other programs.

Summary Statistics

Strategy began
2015-06-12
Suggested Minimum Capital
$100,000
# Trades
728
# Profitable
677
% Profitable
93.0%
Correlation S&P500
0.036
Sharpe Ratio
1.861

Latest Activity

#PERSONNAME#
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.