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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Bijagual
(104513838)

Created by: Trejos Trejos
Started: 07/2016
Forex
Last trade: 2,314 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. You can subscribe to this system for free.

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.

-
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(100.0%)
Max Drawdown
44
Num Trades
70.5%
Win Trades
0.3 : 1
Profit Factor
1.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          +3.2%(47.3%)(96.5%)(1463%)  -    -  (126.2%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -                                                              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 9 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2388 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/25/16 19:02 GBP/NZD GBP/NZD LONG 64 1.84600 10/4 9:55 1.77205 571.68%
Trade id #104814541
Max drawdown($34,398)
Time10/4/16 9:55
Quant open49
Worst price1.75546
Drawdown as % of equity571.68%
($34,398)
9/28/16 13:04 EUR/GBP EUR/GBP SHORT 10 0.86177 10/4 4:19 0.87385 589.54%
Trade id #106122779
Max drawdown($1,603)
Time10/3/16 3:32
Quant open-10
Worst price0.87432
Drawdown as % of equity589.54%
($1,543)
9/12/16 9:44 USD/MXN USD/MXN SHORT 10 19.11320 9/20 3:35 19.68190 37.63%
Trade id #105820239
Max drawdown($3,371)
Time9/16/16 11:20
Quant open-10
Worst price19.77540
Drawdown as % of equity-37.63%
($2,896)
9/1/16 9:07 NZD/CAD NZD/CAD SHORT 5 0.95088 9/7 4:08 0.95566 2.03%
Trade id #105573640
Max drawdown($289)
Time9/2/16 8:36
Quant open-5
Worst price0.95831
Drawdown as % of equity-2.03%
($186)
7/25/16 12:02 NZD/CAD NZD/CAD SHORT 45 0.93044 8/10 7:07 0.94170 23.53%
Trade id #104808355
Max drawdown($5,939)
Time8/2/16 4:18
Quant open-45
Worst price0.94761
Drawdown as % of equity-23.53%
($3,897)
8/3/16 7:53 USD/MXN USD/MXN SHORT 10 18.93920 8/5 1:01 18.88400 1.02%
Trade id #104958779
Max drawdown($307)
Time8/3/16 9:39
Quant open-10
Worst price18.99730
Drawdown as % of equity-1.02%
$292
7/28/16 13:30 USD/SEK USD/SEK SHORT 10 8.63958 7/29 7:42 8.61084 0.17%
Trade id #104872116
Max drawdown($58)
Time7/29/16 4:44
Quant open-10
Worst price8.64465
Drawdown as % of equity-0.17%
$334
7/19/16 7:24 USD/SEK USD/SEK SHORT 60 8.63013 7/28 3:30 8.58350 15.89%
Trade id #104698314
Max drawdown($4,346)
Time7/27/16 14:02
Quant open-55
Worst price8.69801
Drawdown as % of equity-15.89%
$3,258
7/25/16 19:02 GBP/NZD GBP/NZD SHORT 10 1.87125 7/25 19:02 1.87135 0.02%
Trade id #104814527
Max drawdown($7)
Time7/25/16 19:02
Quant open0
Worst price1.87135
Drawdown as % of equity-0.02%
($7)
7/24/16 20:13 EUR/AUD EUR/AUD LONG 10 1.46675 7/25 12:28 1.47199 0.4%
Trade id #104795339
Max drawdown($121)
Time7/25/16 3:42
Quant open10
Worst price1.46512
Drawdown as % of equity-0.40%
$391
7/22/16 11:57 GBP/NZD GBP/NZD LONG 15 1.87822 7/25 5:01 1.88457 0.44%
Trade id #104772491
Max drawdown($131)
Time7/22/16 14:46
Quant open5
Worst price1.86884
Drawdown as % of equity-0.44%
$665
7/22/16 12:02 EUR/JPY EUR/JPY SHORT 5 116.517 7/24 21:03 116.808 0.61%
Trade id #104772634
Max drawdown($186)
Time7/24/16 20:56
Quant open-5
Worst price116.915
Drawdown as % of equity-0.61%
($137)
7/21/16 21:41 AUD/CAD AUD/CAD SHORT 21 0.98020 7/22 8:54 0.97822 0.64%
Trade id #104760778
Max drawdown($207)
Time7/22/16 2:48
Quant open-10
Worst price0.98196
Drawdown as % of equity-0.64%
$318
7/21/16 21:34 GBP/USD GBP/USD LONG 10 1.32296 7/22 4:30 1.31991 0.95%
Trade id #104760725
Max drawdown($305)
Time7/22/16 4:30
Quant open0
Worst price1.31991
Drawdown as % of equity-0.95%
($305)
7/20/16 16:17 NZD/USD NZD/USD LONG 10 0.70193 7/20 17:00 0.69834 1.09%
Trade id #104733133
Max drawdown($359)
Time7/20/16 17:00
Quant open0
Worst price0.69834
Drawdown as % of equity-1.09%
($359)
7/20/16 16:07 GBP/USD GBP/USD LONG 10 1.31879 7/20 16:55 1.32127 0.05%
Trade id #104732999
Max drawdown($17)
Time7/20/16 16:09
Quant open10
Worst price1.31862
Drawdown as % of equity-0.05%
$248
7/19/16 15:30 EUR/JPY EUR/JPY SHORT 5 116.853 7/19 22:41 116.586 0.34%
Trade id #104710180
Max drawdown($109)
Time7/19/16 19:12
Quant open-5
Worst price117.085
Drawdown as % of equity-0.34%
$126
7/19/16 15:28 EUR/JPY EUR/JPY LONG 5 116.858 7/19 15:28 116.848 0.02%
Trade id #104710052
Max drawdown($5)
Time7/19/16 15:28
Quant open0
Worst price116.848
Drawdown as % of equity-0.02%
($5)
7/17/16 18:00 EUR/AUD EUR/AUD LONG 3 1.45558 7/18 21:42 1.47076 0.21%
Trade id #104668866
Max drawdown($64)
Time7/18/16 5:00
Quant open3
Worst price1.45272
Drawdown as % of equity-0.21%
$342
7/17/16 19:34 AUD/USD AUD/USD SHORT 13 0.75880 7/18 21:42 0.75257 0.79%
Trade id #104669840
Max drawdown($240)
Time7/18/16 4:43
Quant open-13
Worst price0.76065
Drawdown as % of equity-0.79%
$810
7/18/16 10:13 GBP/NZD GBP/NZD LONG 4 1.86489 7/18 17:30 1.88001 0.35%
Trade id #104677973
Max drawdown($106)
Time7/18/16 16:24
Quant open4
Worst price1.86111
Drawdown as % of equity-0.35%
$427
7/17/16 17:33 GBP/NZD GBP/NZD LONG 3 1.84948 7/17 18:45 1.87002 0.21%
Trade id #104668616
Max drawdown($62)
Time7/17/16 17:53
Quant open3
Worst price1.84656
Drawdown as % of equity-0.21%
$437
7/14/16 8:58 USD/NOK USD/NOK SHORT 3 8.37890 7/15 8:08 8.37740 0.11%
Trade id #104635431
Max drawdown($34)
Time7/15/16 5:05
Quant open-3
Worst price8.38842
Drawdown as % of equity-0.11%
$5
7/14/16 20:04 USD/CHF USD/CHF SHORT 10 0.98161 7/15 0:31 0.97979 0.1%
Trade id #104648205
Max drawdown($30)
Time7/14/16 22:10
Quant open-10
Worst price0.98191
Drawdown as % of equity-0.10%
$186
7/14/16 15:00 GBP/NZD GBP/NZD LONG 3 1.84835 7/14 16:56 1.85302 0.02%
Trade id #104644571
Max drawdown($5)
Time7/14/16 15:04
Quant open3
Worst price1.84810
Drawdown as % of equity-0.02%
$101
7/13/16 10:31 GBP/NZD GBP/NZD LONG 10 1.81998 7/14 0:47 1.83123 1.86%
Trade id #104617418
Max drawdown($530)
Time7/13/16 21:31
Quant open5
Worst price1.79962
Drawdown as % of equity-1.86%
$810
7/13/16 15:22 USD/MXN USD/MXN SHORT 3 18.40530 7/13 23:36 18.36390 0.04%
Trade id #104624233
Max drawdown($10)
Time7/13/16 15:24
Quant open-3
Worst price18.41180
Drawdown as % of equity-0.04%
$68
7/13/16 10:16 NZD/USD NZD/USD SHORT 10 0.72971 7/13 15:21 0.72769 0.57%
Trade id #104616960
Max drawdown($163)
Time7/13/16 10:28
Quant open-10
Worst price0.73134
Drawdown as % of equity-0.57%
$202
7/11/16 20:56 AUD/CAD AUD/CAD SHORT 11 0.99196 7/13 10:12 0.98892 1.57%
Trade id #104583819
Max drawdown($429)
Time7/13/16 8:36
Quant open-11
Worst price0.99703
Drawdown as % of equity-1.57%
$258
7/13/16 8:10 NZD/CAD NZD/CAD SHORT 15 0.95367 7/13 10:11 0.94802 0.68%
Trade id #104614177
Max drawdown($187)
Time7/13/16 9:26
Quant open-15
Worst price0.95529
Drawdown as % of equity-0.68%
$653

Statistics

  • Strategy began
    7/6/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2402.52
  • Age
    80 months ago
  • What it trades
    Forex
  • # Trades
    44
  • # Profitable
    31
  • % Profitable
    70.50%
  • Avg trade duration
    3.2 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 21, 2016 - Oct 04, 2016
  • Cumul. Return
    -125.8%
  • Avg win
    $419.32
  • Avg loss
    $3,384
  • Model Account Values (Raw)
  • Cash
    ($5,994)
  • Margin Used
    $0
  • Buying Power
    ($5,994)
  • Ratios
  • W:L ratio
    0.30:1
  • Sharpe Ratio
    -2.15
  • Sortino Ratio
    -2.17
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -127.41%
  • Correlation to SP500
    -0.15980
  • Return Percent SP500 (cumu) during strategy life
    97.00%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -1.258%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    589
  • 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
    $3,384
  • Avg Win
    $419
  • Sum Trade PL (losers)
    $43,993.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $12,999.000
  • # Winners
    31
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    13
  • % Winners
    70.5%
  • Frequency
  • Avg Position Time (mins)
    4635.62
  • Avg Position Time (hrs)
    77.26
  • Avg Trade Length
    3.2 days
  • Last Trade Ago
    2313
  • Regression
  • Alpha
    0.00
  • Beta
    -5.18
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    21.85
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    7.79
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.18
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -1.771
  • 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
    0.40
  • Avg(MAE) / Avg(PL) - Winning trades
    0.628
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.062
  • Hold-and-Hope Ratio
    -0.565
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.55377
  • SD
    1.70415
  • Sharpe ratio (Glass type estimate)
    -2.67216
  • Sharpe ratio (Hedges UMVUE)
    -1.50761
  • df
    2.00000
  • t
    -1.33608
  • p
    0.84337
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.08306
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.69671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68150
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.38919
  • Upside Potential Ratio
    0.18579
  • Upside part of mean
    0.35412
  • Downside part of mean
    -4.90790
  • Upside SD
    0.17706
  • Downside SD
    1.90599
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.11936
  • Mean of criterion
    -4.55377
  • SD of predictor
    0.05964
  • SD of criterion
    1.70415
  • Covariance
    0.09070
  • r
    0.89244
  • b (slope, estimate of beta)
    25.50140
  • a (intercept, estimate of alpha)
    -7.59767
  • Mean Square Error
    1.18227
  • DF error
    1.00000
  • t(b)
    1.97808
  • p(b)
    0.14899
  • t(a)
    -2.85195
  • p(a)
    0.89265
  • Lowerbound of 95% confidence interval for beta
    -138.30700
  • Upperbound of 95% confidence interval for beta
    189.31000
  • Lowerbound of 95% confidence interval for alpha
    -41.44740
  • Upperbound of 95% confidence interval for alpha
    26.25200
  • Treynor index (mean / b)
    -0.17857
  • Jensen alpha (a)
    -7.59767
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -10.17540
  • SD
    4.20789
  • Sharpe ratio (Glass type estimate)
    -2.41816
  • Sharpe ratio (Hedges UMVUE)
    -1.36430
  • df
    2.00000
  • t
    -1.20908
  • p
    0.82491
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.71789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.50596
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77736
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.25266
  • Upside Potential Ratio
    0.07506
  • Upside part of mean
    0.33904
  • Downside part of mean
    -10.51440
  • Upside SD
    0.16952
  • Downside SD
    4.51704
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.11752
  • Mean of criterion
    -10.17540
  • SD of predictor
    0.05874
  • SD of criterion
    4.20789
  • Covariance
    0.18794
  • r
    0.76037
  • b (slope, estimate of beta)
    54.46850
  • a (intercept, estimate of alpha)
    -16.57650
  • Mean Square Error
    14.93860
  • DF error
    1.00000
  • t(b)
    1.17070
  • p(b)
    0.22502
  • t(a)
    -1.75071
  • p(a)
    0.83481
  • Lowerbound of 95% confidence interval for beta
    -536.70400
  • Upperbound of 95% confidence interval for beta
    645.64100
  • Lowerbound of 95% confidence interval for alpha
    -136.88400
  • Upperbound of 95% confidence interval for alpha
    103.73100
  • Treynor index (mean / b)
    -0.18681
  • Jensen alpha (a)
    -16.57650
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.94192
  • Expected Shortfall on VaR
    0.96200
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    1.02071
  • Expected Shortfall on VaR
    1.32244
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.10853
  • Quartile 1
    0.38734
  • Median
    0.66615
  • Quartile 3
    0.87776
  • Maximum
    1.08936
  • Mean of quarter 1
    0.10853
  • Mean of quarter 2
    0.66615
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.08936
  • Inter Quartile Range
    0.49041
  • 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
    1.00000
  • Minimum
    0.92770
  • Quartile 1
    0.92770
  • Median
    0.92770
  • Quartile 3
    0.92770
  • Maximum
    0.92770
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -3.68496
  • Compounded annual return (geometric extrapolation)
    -0.99996
  • Calmar ratio (compounded annual return / max draw down)
    -1.07789
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.03946
  • 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
    594.77800
  • SD
    291.51000
  • Sharpe ratio (Glass type estimate)
    2.04033
  • Sharpe ratio (Hedges UMVUE)
    2.02484
  • df
    99.00000
  • t
    1.10007
  • p
    0.13698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.68153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.67095
  • Statistics related to Sortino ratio
  • Sortino ratio
    164.48900
  • Upside Potential Ratio
    172.34800
  • Upside part of mean
    623.19700
  • Downside part of mean
    -28.41900
  • Upside SD
    291.79400
  • Downside SD
    3.61592
  • N nonnegative terms
    42.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    100.00000
  • Mean of predictor
    0.04815
  • Mean of criterion
    594.77800
  • SD of predictor
    0.09482
  • SD of criterion
    291.51000
  • Covariance
    6.17055
  • r
    0.22325
  • b (slope, estimate of beta)
    686.36800
  • a (intercept, estimate of alpha)
    135.58300
  • Mean Square Error
    81566.80000
  • DF error
    98.00000
  • t(b)
    2.26726
  • p(b)
    0.01279
  • t(a)
    1.06005
  • p(a)
    0.14586
  • Lowerbound of 95% confidence interval for beta
    85.60960
  • Upperbound of 95% confidence interval for beta
    1287.13000
  • Lowerbound of 95% confidence interval for alpha
    -489.85800
  • Upperbound of 95% confidence interval for alpha
    1613.31000
  • Treynor index (mean / b)
    0.86656
  • Jensen alpha (a)
    561.72700
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -34.84560
  • SD
    22.81300
  • Sharpe ratio (Glass type estimate)
    -1.52744
  • Sharpe ratio (Hedges UMVUE)
    -1.51584
  • df
    99.00000
  • t
    -0.82354
  • p
    0.79391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.16504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.15716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12547
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.75407
  • Upside Potential Ratio
    2.12430
  • Upside part of mean
    42.20040
  • Downside part of mean
    -77.04590
  • Upside SD
    11.14080
  • Downside SD
    19.86560
  • N nonnegative terms
    42.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    100.00000
  • Mean of predictor
    0.04369
  • Mean of criterion
    -34.84560
  • SD of predictor
    0.09502
  • SD of criterion
    22.81300
  • Covariance
    0.30302
  • r
    0.13979
  • b (slope, estimate of beta)
    33.56200
  • a (intercept, estimate of alpha)
    -36.31180
  • Mean Square Error
    515.47100
  • DF error
    98.00000
  • t(b)
    1.39758
  • p(b)
    0.08270
  • t(a)
    -0.86205
  • p(a)
    0.80462
  • Lowerbound of 95% confidence interval for beta
    -14.09380
  • Upperbound of 95% confidence interval for beta
    81.21770
  • Lowerbound of 95% confidence interval for alpha
    -119.90300
  • Upperbound of 95% confidence interval for alpha
    47.27930
  • Treynor index (mean / b)
    -1.03825
  • Jensen alpha (a)
    -36.31180
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.88050
  • Expected Shortfall on VaR
    0.92217
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.20685
  • Expected Shortfall on VaR
    0.42202
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    100.00000
  • Minimum
    0.00031
  • Quartile 1
    0.91828
  • Median
    1.00000
  • Quartile 3
    1.04161
  • Maximum
    157.00000
  • Mean of quarter 1
    0.69528
  • Mean of quarter 2
    0.97434
  • Mean of quarter 3
    1.01365
  • Mean of quarter 4
    8.23287
  • Inter Quartile Range
    0.12333
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.11000
  • Mean of outliers low
    0.49739
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.09000
  • Mean of outliers high
    20.91190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15191
  • VaR(95%) (moments method)
    0.24667
  • Expected Shortfall (moments method)
    0.38397
  • Extreme Value Index (regression method)
    -0.56130
  • VaR(95%) (regression method)
    0.26324
  • Expected Shortfall (regression method)
    0.30752
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00056
  • Quartile 1
    0.00986
  • Median
    0.05516
  • Quartile 3
    0.32302
  • Maximum
    0.99997
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.01296
  • Mean of quarter 3
    0.09737
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.31316
  • 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
    0.25000
  • Mean of outliers high
    0.99997
  • 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)
    -3.43986
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00003
  • Compounded annual return / average of 25% largest draw downs
    -1.00003
  • Compounded annual return / Expected Shortfall lognormal
    -1.08440
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.69500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.75%
  • Max Equity Drawdown (num days)
    13

Strategy Description

Summary Statistics

Strategy began
2016-07-06
Suggested Minimum Capital
$25,000
# Trades
44
# Profitable
31
% Profitable
70.5%
Correlation S&P500
-0.160
Sharpe Ratio
-2.15
Sortino Ratio
-2.17
Beta
-5.18
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have 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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