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Just Forex Trades
(94987184)

Created by: JFT JFT
Started: 06/2015
Forex
Last trade: Today
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).
67.2%
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
753
Num Trades
92.7%
Win Trades
13.9 : 1
Profit Factor
68.9%
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%)(17.3%)+41.2%
2019+36.5%+3.8%                                                            +41.7%

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 1,257 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/15/19 12:16 NZD/CHF NZD/CHF SHORT 25 0.69000 2/18 11:14 0.68766 n/a $583
2/15/19 10:30 NZD/USD NZD/USD SHORT 251 0.68508 2/15 10:32 0.68534 0.46%
Trade id #122543840
Max drawdown($653)
Time2/15/19 10:32
Quant open0
Worst price0.68534
Drawdown as % of equity-0.46%
($653)
2/12/19 14:40 CAD/JPY CAD/JPY SHORT 25 83.442 2/14 9:17 83.083 0.85%
Trade id #122485548
Max drawdown($1,198)
Time2/14/19 2:04
Quant open-25
Worst price83.972
Drawdown as % of equity-0.85%
$811
2/12/19 21:05 NZD/CAD NZD/CAD SHORT 25 0.90191 2/13 14:27 0.90084 0.4%
Trade id #122491416
Max drawdown($570)
Time2/13/19 0:10
Quant open-25
Worst price0.90493
Drawdown as % of equity-0.40%
$202
11/7/18 9:14 NZD/CAD NZD/CAD SHORT 37 0.89252 2/12/19 12:17 0.89230 5.16%
Trade id #120791355
Max drawdown($5,692)
Time12/26/18 0:43
Quant open-25
Worst price0.91669
Drawdown as % of equity-5.16%
$62
11/13/18 10:14 EUR/CAD EUR/CAD SHORT 35 1.49567 2/12/19 6:45 1.49568 5.87%
Trade id #120905442
Max drawdown($7,806)
Time1/14/19 2:06
Quant open-35
Worst price1.52526
Drawdown as % of equity-5.87%
($2)
1/29/19 9:33 EUR/CHF EUR/CHF SHORT 25 1.13576 2/7 7:47 1.13603 1.56%
Trade id #122241038
Max drawdown($2,157)
Time2/5/19 7:25
Quant open-25
Worst price1.14440
Drawdown as % of equity-1.56%
($66)
2/1/19 9:47 CAD/JPY CAD/JPY SHORT 25 83.249 2/6 2:17 83.248 1.18%
Trade id #122313802
Max drawdown($1,664)
Time2/4/19 5:40
Quant open-25
Worst price83.980
Drawdown as % of equity-1.18%
$1
1/31/19 16:11 AUD/JPY AUD/JPY SHORT 25 79.202 1/31 20:26 79.013 0.18%
Trade id #122301816
Max drawdown($248)
Time1/31/19 19:19
Quant open-25
Worst price79.310
Drawdown as % of equity-0.18%
$434
1/30/19 9:25 CAD/JPY CAD/JPY SHORT 25 82.967 1/31 4:08 82.764 0.36%
Trade id #122264913
Max drawdown($503)
Time1/30/19 14:05
Quant open-25
Worst price83.186
Drawdown as % of equity-0.36%
$467
1/25/19 12:18 AUD/USD AUD/USD SHORT 25 0.71774 1/28 18:10 0.71616 0.48%
Trade id #122185333
Max drawdown($663)
Time1/27/19 23:56
Quant open-25
Worst price0.72039
Drawdown as % of equity-0.48%
$394
1/25/19 15:44 CAD/JPY CAD/JPY SHORT 20 82.835 1/28 8:20 82.635 0.12%
Trade id #122193222
Max drawdown($162)
Time1/27/19 18:05
Quant open-20
Worst price82.924
Drawdown as % of equity-0.12%
$365
1/23/19 12:25 EUR/AUD EUR/AUD SHORT 25 1.59553 1/23 15:55 1.59365 0.07%
Trade id #122135556
Max drawdown($100)
Time1/23/19 12:40
Quant open-25
Worst price1.59609
Drawdown as % of equity-0.07%
$335
1/18/19 13:40 CAD/CHF CAD/CHF SHORT 25 0.75055 1/22 2:02 0.74862 0.09%
Trade id #122062988
Max drawdown($125)
Time1/21/19 11:00
Quant open-25
Worst price0.75105
Drawdown as % of equity-0.09%
$483
1/17/19 14:39 AUD/NZD AUD/NZD SHORT 25 1.06383 1/18 2:58 1.06198 0.17%
Trade id #122038020
Max drawdown($234)
Time1/17/19 20:47
Quant open-25
Worst price1.06522
Drawdown as % of equity-0.17%
$314
1/16/19 18:06 CAD/JPY CAD/JPY SHORT 25 82.279 1/16 20:33 82.088 0.04%
Trade id #122019796
Max drawdown($53)
Time1/16/19 18:16
Quant open-25
Worst price82.302
Drawdown as % of equity-0.04%
$439
1/10/19 9:29 AUD/USD AUD/USD SHORT 20 0.71825 1/16 6:02 0.71725 0.79%
Trade id #121893679
Max drawdown($1,051)
Time1/11/19 5:54
Quant open-20
Worst price0.72351
Drawdown as % of equity-0.79%
$200
12/19/18 1:43 EUR/AUD EUR/AUD SHORT 25 1.58330 1/15/19 12:13 1.58338 12.13%
Trade id #121565050
Max drawdown($12,989)
Time1/2/19 18:01
Quant open-25
Worst price1.65550
Drawdown as % of equity-12.13%
($14)
1/4/19 14:44 AUD/NZD AUD/NZD SHORT 20 1.05477 1/15 1:28 1.05396 0.93%
Trade id #121796866
Max drawdown($1,239)
Time1/8/19 18:56
Quant open-20
Worst price1.06383
Drawdown as % of equity-0.93%
$112
1/7/19 10:49 CAD/JPY CAD/JPY SHORT 25 81.474 1/13 22:09 81.446 1.61%
Trade id #121819095
Max drawdown($2,150)
Time1/8/19 21:43
Quant open-25
Worst price82.404
Drawdown as % of equity-1.61%
$64
12/4/18 14:27 USD/CAD USD/CAD SHORT 35 1.32450 1/8/19 18:56 1.32470 10.32%
Trade id #121341275
Max drawdown($11,094)
Time12/31/18 10:59
Quant open-35
Worst price1.36648
Drawdown as % of equity-10.32%
($54)
12/28/18 16:22 GBP/AUD GBP/AUD SHORT 3 1.80315 1/4/19 11:18 1.79230 0.5%
Trade id #121706567
Max drawdown($538)
Time1/2/19 18:08
Quant open-3
Worst price1.82843
Drawdown as % of equity-0.50%
$231
11/1/18 9:29 NZD/JPY NZD/JPY SHORT 25 74.739 12/27 18:03 74.313 7.41%
Trade id #120664331
Max drawdown($9,292)
Time12/3/18 22:50
Quant open-25
Worst price78.861
Drawdown as % of equity-7.41%
$960
12/18/18 13:52 EUR/AUD EUR/AUD SHORT 25 1.58452 12/18 16:16 1.58173 0.09%
Trade id #121557754
Max drawdown($109)
Time12/18/18 13:57
Quant open-25
Worst price1.58513
Drawdown as % of equity-0.09%
$502
12/14/18 15:33 USD/CHF USD/CHF SHORT 25 0.99764 12/17 9:06 0.99240 0.26%
Trade id #121508719
Max drawdown($324)
Time12/14/18 16:44
Quant open-25
Worst price0.99893
Drawdown as % of equity-0.26%
$1,321
12/13/18 11:06 USD/JPY USD/JPY SHORT 25 113.620 12/13 19:42 113.528 0.16%
Trade id #121482140
Max drawdown($194)
Time12/13/18 11:45
Quant open-25
Worst price113.708
Drawdown as % of equity-0.16%
$201
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

Statistics

  • Strategy began
    6/12/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1346.67
  • Age
    45 months ago
  • What it trades
    Forex
  • # Trades
    753
  • # Profitable
    698
  • % Profitable
    92.70%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    30.76%
  • drawdown period
    April 14, 2017 - Sept 20, 2017
  • Annual Return (Compounded)
    67.2%
  • Avg win
    $194.13
  • Avg loss
    $177.71
  • Model Account Values (Raw)
  • Cash
    $150,993
  • Margin Used
    $28,445
  • Buying Power
    $117,223
  • Ratios
  • W:L ratio
    13.86:1
  • Sharpe Ratio
    1.923
  • Sortino Ratio
    3.065
  • Calmar Ratio
    3.054
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05600
  • Return Statistics
  • Ann Return (w trading costs)
    67.2%
  • Ann Return (Compnd, No Fees)
    71.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.50%
  • Chance of 20% account loss
    18.50%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    958
  • Popularity (Last 6 weeks)
    996
  • C2 Score
    94.0
  • 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
    $177
  • Avg Win
    $194
  • # Winners
    698
  • # Losers
    55
  • % Winners
    92.7%
  • Frequency
  • Avg Position Time (mins)
    14455.80
  • Avg Position Time (hrs)
    240.93
  • Avg Trade Length
    10.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59441
  • SD
    0.37392
  • Sharpe ratio (Glass type estimate)
    1.58967
  • Sharpe ratio (Hedges UMVUE)
    1.56108
  • df
    42.00000
  • t
    3.00920
  • p
    0.00221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47321
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64896
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05885
  • Upside Potential Ratio
    4.59793
  • Upside part of mean
    0.89349
  • Downside part of mean
    -0.29908
  • Upside SD
    0.35812
  • Downside SD
    0.19432
  • N nonnegative terms
    30.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.04481
  • Mean of criterion
    0.59441
  • SD of predictor
    0.12323
  • SD of criterion
    0.37392
  • Covariance
    0.01036
  • r
    0.22476
  • b (slope, estimate of beta)
    0.68201
  • a (intercept, estimate of alpha)
    0.56385
  • Mean Square Error
    0.13599
  • DF error
    41.00000
  • t(b)
    1.47696
  • p(b)
    0.07366
  • t(a)
    2.87815
  • p(a)
    0.00316
  • Lowerbound of 95% confidence interval for beta
    -0.25054
  • Upperbound of 95% confidence interval for beta
    1.61456
  • Lowerbound of 95% confidence interval for alpha
    0.16821
  • Upperbound of 95% confidence interval for alpha
    0.95949
  • Treynor index (mean / b)
    0.87156
  • Jensen alpha (a)
    0.56385
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51431
  • SD
    0.36786
  • Sharpe ratio (Glass type estimate)
    1.39813
  • Sharpe ratio (Hedges UMVUE)
    1.37299
  • df
    42.00000
  • t
    2.64661
  • p
    0.00570
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46792
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29677
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44920
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44010
  • Upside Potential Ratio
    3.95539
  • Upside part of mean
    0.83370
  • Downside part of mean
    -0.31939
  • Upside SD
    0.33135
  • Downside SD
    0.21078
  • N nonnegative terms
    30.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.03715
  • Mean of criterion
    0.51431
  • SD of predictor
    0.12440
  • SD of criterion
    0.36786
  • Covariance
    0.01046
  • r
    0.22847
  • b (slope, estimate of beta)
    0.67560
  • a (intercept, estimate of alpha)
    0.48922
  • Mean Square Error
    0.13138
  • DF error
    41.00000
  • t(b)
    1.50267
  • p(b)
    0.07029
  • t(a)
    2.54523
  • p(a)
    0.00739
  • Lowerbound of 95% confidence interval for beta
    -0.23239
  • Upperbound of 95% confidence interval for beta
    1.58358
  • Lowerbound of 95% confidence interval for alpha
    0.10104
  • Upperbound of 95% confidence interval for alpha
    0.87739
  • Treynor index (mean / b)
    0.76127
  • Jensen alpha (a)
    0.48922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12349
  • Expected Shortfall on VaR
    0.16090
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03998
  • Expected Shortfall on VaR
    0.08910
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.80693
  • Quartile 1
    0.97879
  • Median
    1.05413
  • Quartile 3
    1.13925
  • Maximum
    1.22689
  • Mean of quarter 1
    0.90809
  • Mean of quarter 2
    1.02496
  • Mean of quarter 3
    1.10542
  • Mean of quarter 4
    1.17385
  • Inter Quartile Range
    0.16046
  • 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)
    -0.39024
  • VaR(95%) (moments method)
    0.06761
  • Expected Shortfall (moments method)
    0.08342
  • Extreme Value Index (regression method)
    -0.41907
  • VaR(95%) (regression method)
    0.07643
  • Expected Shortfall (regression method)
    0.09334
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00930
  • Quartile 1
    0.03566
  • Median
    0.06135
  • Quartile 3
    0.12532
  • Maximum
    0.19980
  • Mean of quarter 1
    0.01781
  • Mean of quarter 2
    0.05619
  • Mean of quarter 3
    0.11306
  • Mean of quarter 4
    0.17481
  • Inter Quartile Range
    0.08967
  • 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)
    -68.57080
  • VaR(95%) (moments method)
    0.18510
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.16151
  • VaR(95%) (regression method)
    0.25377
  • Expected Shortfall (regression method)
    0.25432
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.66865
  • Compounded annual return (geometric extrapolation)
    0.71982
  • Calmar ratio (compounded annual return / max draw down)
    3.60272
  • Compounded annual return / average of 25% largest draw downs
    4.11760
  • Compounded annual return / Expected Shortfall lognormal
    4.47385
  • 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
    0.55888
  • SD
    0.29035
  • Sharpe ratio (Glass type estimate)
    1.92482
  • Sharpe ratio (Hedges UMVUE)
    1.92331
  • df
    953.00000
  • t
    3.67295
  • p
    0.00013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89256
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95406
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.06519
  • Upside Potential Ratio
    10.95320
  • Upside part of mean
    1.99711
  • Downside part of mean
    -1.43823
  • Upside SD
    0.22839
  • Downside SD
    0.18233
  • N nonnegative terms
    528.00000
  • N negative terms
    426.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    954.00000
  • Mean of predictor
    0.05926
  • Mean of criterion
    0.55888
  • SD of predictor
    0.13975
  • SD of criterion
    0.29035
  • Covariance
    0.00203
  • r
    0.05006
  • b (slope, estimate of beta)
    0.10400
  • a (intercept, estimate of alpha)
    0.55300
  • Mean Square Error
    0.08418
  • DF error
    952.00000
  • t(b)
    1.54637
  • p(b)
    0.06117
  • t(a)
    3.63385
  • p(a)
    0.00015
  • Lowerbound of 95% confidence interval for beta
    -0.02798
  • Upperbound of 95% confidence interval for beta
    0.23597
  • Lowerbound of 95% confidence interval for alpha
    0.25422
  • Upperbound of 95% confidence interval for alpha
    0.85121
  • Treynor index (mean / b)
    5.37402
  • Jensen alpha (a)
    0.55272
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51636
  • SD
    0.28943
  • Sharpe ratio (Glass type estimate)
    1.78407
  • Sharpe ratio (Hedges UMVUE)
    1.78267
  • df
    953.00000
  • t
    3.40437
  • p
    0.00035
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.75340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81291
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78460
  • Upside Potential Ratio
    10.63150
  • Upside part of mean
    1.97144
  • Downside part of mean
    -1.45508
  • Upside SD
    0.22431
  • Downside SD
    0.18543
  • N nonnegative terms
    528.00000
  • N negative terms
    426.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    954.00000
  • Mean of predictor
    0.04947
  • Mean of criterion
    0.51636
  • SD of predictor
    0.13999
  • SD of criterion
    0.28943
  • Covariance
    0.00199
  • r
    0.04918
  • b (slope, estimate of beta)
    0.10168
  • a (intercept, estimate of alpha)
    0.51133
  • Mean Square Error
    0.08365
  • DF error
    952.00000
  • t(b)
    1.51931
  • p(b)
    0.06451
  • t(a)
    3.37272
  • p(a)
    0.00039
  • Lowerbound of 95% confidence interval for beta
    -0.02966
  • Upperbound of 95% confidence interval for beta
    0.23302
  • Lowerbound of 95% confidence interval for alpha
    0.21381
  • Upperbound of 95% confidence interval for alpha
    0.80886
  • Treynor index (mean / b)
    5.07832
  • Jensen alpha (a)
    0.51133
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02707
  • Expected Shortfall on VaR
    0.03429
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01176
  • Expected Shortfall on VaR
    0.02343
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    954.00000
  • Minimum
    0.92898
  • Quartile 1
    0.99240
  • Median
    1.00176
  • Quartile 3
    1.01115
  • Maximum
    1.07650
  • Mean of quarter 1
    0.98112
  • Mean of quarter 2
    0.99733
  • Mean of quarter 3
    1.00597
  • Mean of quarter 4
    1.02455
  • Inter Quartile Range
    0.01875
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.02516
  • Mean of outliers low
    0.95442
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.03249
  • Mean of outliers high
    1.04983
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19646
  • VaR(95%) (moments method)
    0.01859
  • Expected Shortfall (moments method)
    0.02852
  • Extreme Value Index (regression method)
    0.04059
  • VaR(95%) (regression method)
    0.01700
  • Expected Shortfall (regression method)
    0.02328
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    71.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00627
  • Median
    0.01438
  • Quartile 3
    0.03803
  • Maximum
    0.23682
  • Mean of quarter 1
    0.00279
  • Mean of quarter 2
    0.00952
  • Mean of quarter 3
    0.02500
  • Mean of quarter 4
    0.11434
  • Inter Quartile Range
    0.03176
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.16901
  • Mean of outliers high
    0.14388
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68623
  • VaR(95%) (moments method)
    0.10216
  • Expected Shortfall (moments method)
    0.11552
  • Extreme Value Index (regression method)
    -0.48592
  • VaR(95%) (regression method)
    0.12230
  • Expected Shortfall (regression method)
    0.14532
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.71805
  • Compounded annual return (geometric extrapolation)
    0.72335
  • Calmar ratio (compounded annual return / max draw down)
    3.05438
  • Compounded annual return / average of 25% largest draw downs
    6.32631
  • Compounded annual return / Expected Shortfall lognormal
    21.09580
  • 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
    0.30908
  • SD
    0.28481
  • Sharpe ratio (Glass type estimate)
    1.08521
  • Sharpe ratio (Hedges UMVUE)
    1.07894
  • df
    130.00000
  • t
    0.76736
  • p
    0.46642
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85810
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85384
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73061
  • Upside Potential Ratio
    10.40870
  • Upside part of mean
    1.85893
  • Downside part of mean
    -1.54985
  • Upside SD
    0.22128
  • Downside SD
    0.17859
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04035
  • Mean of criterion
    0.30908
  • SD of predictor
    0.19124
  • SD of criterion
    0.28481
  • Covariance
    0.00558
  • r
    0.10248
  • b (slope, estimate of beta)
    0.15262
  • a (intercept, estimate of alpha)
    0.31523
  • Mean Square Error
    0.08089
  • DF error
    129.00000
  • t(b)
    1.17012
  • p(b)
    0.43487
  • t(a)
    0.78369
  • p(a)
    0.45621
  • Lowerbound of 95% confidence interval for beta
    -0.10544
  • Upperbound of 95% confidence interval for beta
    0.41068
  • Lowerbound of 95% confidence interval for alpha
    -0.48061
  • Upperbound of 95% confidence interval for alpha
    1.11108
  • Treynor index (mean / b)
    2.02513
  • Jensen alpha (a)
    0.31523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26894
  • SD
    0.28326
  • Sharpe ratio (Glass type estimate)
    0.94946
  • Sharpe ratio (Hedges UMVUE)
    0.94397
  • df
    130.00000
  • t
    0.67137
  • p
    0.47061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71815
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48496
  • Upside Potential Ratio
    10.13120
  • Upside part of mean
    1.83488
  • Downside part of mean
    -1.56593
  • Upside SD
    0.21702
  • Downside SD
    0.18111
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05849
  • Mean of criterion
    0.26894
  • SD of predictor
    0.19123
  • SD of criterion
    0.28326
  • Covariance
    0.00531
  • r
    0.09804
  • b (slope, estimate of beta)
    0.14522
  • a (intercept, estimate of alpha)
    0.27744
  • Mean Square Error
    0.08008
  • DF error
    129.00000
  • t(b)
    1.11894
  • p(b)
    0.43768
  • t(a)
    0.69312
  • p(a)
    0.46125
  • Lowerbound of 95% confidence interval for beta
    -0.11156
  • Upperbound of 95% confidence interval for beta
    0.40201
  • Lowerbound of 95% confidence interval for alpha
    -0.51452
  • Upperbound of 95% confidence interval for alpha
    1.06939
  • Treynor index (mean / b)
    1.85192
  • Jensen alpha (a)
    0.27744
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02738
  • Expected Shortfall on VaR
    0.03444
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01342
  • Expected Shortfall on VaR
    0.02504
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95781
  • Quartile 1
    0.99113
  • Median
    1.00041
  • Quartile 3
    1.00990
  • Maximum
    1.07650
  • Mean of quarter 1
    0.98097
  • Mean of quarter 2
    0.99578
  • Mean of quarter 3
    1.00521
  • Mean of quarter 4
    1.02331
  • Inter Quartile Range
    0.01876
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.95953
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05446
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09097
  • VaR(95%) (moments method)
    0.01922
  • Expected Shortfall (moments method)
    0.02671
  • Extreme Value Index (regression method)
    -0.39771
  • VaR(95%) (regression method)
    0.01890
  • Expected Shortfall (regression method)
    0.02199
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00164
  • Quartile 1
    0.00432
  • Median
    0.01074
  • Quartile 3
    0.09185
  • Maximum
    0.18398
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.00850
  • Mean of quarter 3
    0.02415
  • Mean of quarter 4
    0.17177
  • Inter Quartile Range
    0.08753
  • 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)
    0.32001
  • Compounded annual return (geometric extrapolation)
    0.34561
  • Calmar ratio (compounded annual return / max draw down)
    1.87850
  • Compounded annual return / average of 25% largest draw downs
    2.01211
  • Compounded annual return / Expected Shortfall lognormal
    10.03450

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
753
# Profitable
698
% Profitable
92.7%
Correlation S&P500
0.056
Sharpe Ratio
1.923

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.