Collective2 Collective2
Featured Strategy Easiest +108.8% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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Blowgun
(106543804)

Created by: FXWeapon FXWeapon
Started: 10/2016
Forex
Last trade: 2,641 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $49.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

-0.4%
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.

(23.3%)
Max Drawdown
73
Num Trades
78.1%
Win Trades
1.1 : 1
Profit Factor
3.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +4.1%+10.1%+6.9%+22.5%
2017(18.9%)(0.8%)(0.8%)(0.8%)  -    -    -    -    -    -    -    -  (20.9%)
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 84 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/20/17 10:48 EUR/NZD EUR/NZD LONG 10 1.49206 1/24 19:29 1.47797 9.91%
Trade id #108896462
Max drawdown($1,048)
Time1/24/17 19:20
Quant open10
Worst price1.47760
Drawdown as % of equity-9.91%
 ($1,022)
1/19/17 9:04 EUR/NZD EUR/NZD SHORT 10 1.47843 1/20 10:45 1.49198 9.49%
Trade id #108758997
Max drawdown($1,091)
Time1/20/17 10:01
Quant open-10
Worst price1.49369
Drawdown as % of equity-9.49%
 ($969)
1/17/17 11:09 EUR/GBP EUR/GBP SHORT 1 0.86466 1/19 9:14 0.86160 0.59%
Trade id #108690705
Max drawdown($74)
Time1/18/17 7:00
Quant open-1
Worst price0.87073
Drawdown as % of equity-0.59%
 $38
1/18/17 17:19 EUR/NZD EUR/NZD LONG 5 1.49233 1/19 9:03 1.47798 4.27%
Trade id #108735168
Max drawdown($542)
Time1/19/17 8:45
Quant open5
Worst price1.47715
Drawdown as % of equity-4.27%
 ($513)
1/18/17 17:21 GBP/JPY GBP/JPY LONG 3 140.443 1/18 21:49 140.829 0.13%
Trade id #108735213
Max drawdown($15)
Time1/18/17 17:40
Quant open3
Worst price140.382
Drawdown as % of equity-0.13%
 $101
1/18/17 12:01 EUR/CAD EUR/CAD LONG 1 1.40761 1/18 13:20 1.41139 0.02%
Trade id #108725548
Max drawdown($2)
Time1/18/17 12:07
Quant open1
Worst price1.40723
Drawdown as % of equity-0.02%
 $29
1/17/17 19:33 GBP/AUD GBP/AUD LONG 2 1.64170 1/18 6:58 1.62673 1.77%
Trade id #108702449
Max drawdown($226)
Time1/18/17 6:58
Quant open0
Worst price1.62673
Drawdown as % of equity-1.77%
 ($226)
1/17/17 11:09 GBP/AUD GBP/AUD SHORT 1 1.64031 1/17 19:33 1.64182 0.16%
Trade id #108690721
Max drawdown($20)
Time1/17/17 12:01
Quant open-1
Worst price1.64307
Drawdown as % of equity-0.16%
 ($11)
1/16/17 10:00 GBP/JPY GBP/JPY LONG 2 137.654 1/17 7:21 138.702 0.82%
Trade id #108665876
Max drawdown($104)
Time1/17/17 4:13
Quant open2
Worst price137.060
Drawdown as % of equity-0.82%
 $185
1/9/17 5:24 EUR/AUD EUR/AUD SHORT 1 1.43635 1/9 13:23 1.43484 0.14%
Trade id #108439633
Max drawdown($17)
Time1/9/17 11:15
Quant open-1
Worst price1.43871
Drawdown as % of equity-0.14%
 $11
1/9/17 9:00 GBP/NZD GBP/NZD SHORT 1 1.73627 1/9 13:23 1.73135 0.11%
Trade id #108445569
Max drawdown($13)
Time1/9/17 10:17
Quant open-1
Worst price1.73820
Drawdown as % of equity-0.11%
 $35
1/9/17 5:40 GBP/JPY GBP/JPY SHORT 1 142.323 1/9 7:31 141.993 0.04%
Trade id #108439923
Max drawdown($5)
Time1/9/17 5:42
Quant open-1
Worst price142.387
Drawdown as % of equity-0.04%
 $28
1/3/17 5:17 EUR/USD EUR/USD LONG 2 1.04132 1/4 9:43 1.04450 1.16%
Trade id #108299788
Max drawdown($146)
Time1/3/17 10:15
Quant open2
Worst price1.03402
Drawdown as % of equity-1.16%
 $64
1/4/17 6:00 GBP/CAD GBP/CAD SHORT 1 1.63702 1/4 7:50 1.63438 0.29%
Trade id #108329279
Max drawdown($36)
Time1/4/17 7:02
Quant open-1
Worst price1.64190
Drawdown as % of equity-0.29%
 $20
1/2/17 5:41 GBP/JPY GBP/JPY LONG 1 144.616 1/3 4:42 145.057 0.44%
Trade id #108285892
Max drawdown($56)
Time1/2/17 18:03
Quant open1
Worst price143.954
Drawdown as % of equity-0.44%
 $37
12/29/16 21:46 EUR/USD EUR/USD LONG 1 1.05354 12/30 8:16 1.05382 0.24%
Trade id #108259014
Max drawdown($29)
Time12/30/16 3:00
Quant open1
Worst price1.05057
Drawdown as % of equity-0.24%
 $3
12/29/16 21:44 EUR/CAD EUR/CAD LONG 1 1.42008 12/30 6:30 1.42204 0.15%
Trade id #108258989
Max drawdown($19)
Time12/30/16 3:00
Quant open1
Worst price1.41748
Drawdown as % of equity-0.15%
 $15
12/26/16 18:11 EUR/AUD EUR/AUD LONG 2 1.45564 12/29 21:29 1.45582 1.21%
Trade id #108186750
Max drawdown($145)
Time12/28/16 12:13
Quant open2
Worst price1.44560
Drawdown as % of equity-1.21%
 $3
12/28/16 17:16 GBP/JPY GBP/JPY SHORT 10 143.078 12/29 11:18 142.352 1.69%
Trade id #108231172
Max drawdown($199)
Time12/28/16 18:47
Quant open-10
Worst price143.310
Drawdown as % of equity-1.69%
 $624
12/28/16 1:02 GBP/JPY GBP/JPY LONG 2 144.527 12/28 17:14 143.000 2.18%
Trade id #108213335
Max drawdown($261)
Time12/28/16 17:14
Quant open0
Worst price143.000
Drawdown as % of equity-2.18%
 ($261)
12/28/16 5:14 EUR/NZD EUR/NZD SHORT 2 1.50820 12/28 7:17 1.50530 0.11%
Trade id #108215576
Max drawdown($12)
Time12/28/16 6:14
Quant open-2
Worst price1.50914
Drawdown as % of equity-0.11%
 $40
12/28/16 5:18 EUR/CAD EUR/CAD SHORT 2 1.41668 12/28 6:31 1.41421 0%
Trade id #108215625
Max drawdown($0)
Time12/28/16 5:21
Quant open-2
Worst price1.41670
Drawdown as % of equity-0.00%
 $36
12/19/16 12:00 EUR/JPY EUR/JPY SHORT 1 121.781 12/22 5:50 123.082 0.9%
Trade id #108053150
Max drawdown($111)
Time12/22/16 5:50
Quant open0
Worst price123.082
Drawdown as % of equity-0.90%
 ($111)
12/20/16 6:00 EUR/NZD EUR/NZD LONG 4 1.50560 12/22 5:50 1.51595 1.92%
Trade id #108069729
Max drawdown($225)
Time12/20/16 21:00
Quant open4
Worst price1.49745
Drawdown as % of equity-1.92%
 $286
12/19/16 15:09 EUR/NZD EUR/NZD SHORT 2 1.49974 12/20 6:00 1.50540 0.67%
Trade id #108058795
Max drawdown($80)
Time12/20/16 6:00
Quant open-2
Worst price1.50554
Drawdown as % of equity-0.67%
 ($78)
12/15/16 21:55 GBP/JPY GBP/JPY SHORT 1 146.607 12/19 2:05 146.207 0.53%
Trade id #108002846
Max drawdown($63)
Time12/18/16 17:18
Quant open-1
Worst price147.354
Drawdown as % of equity-0.53%
 $34
12/16/16 3:32 EUR/NZD EUR/NZD LONG 2 1.48528 12/16 5:15 1.48750 0.07%
Trade id #108006731
Max drawdown($8)
Time12/16/16 3:34
Quant open2
Worst price1.48466
Drawdown as % of equity-0.07%
 $31
12/14/16 20:17 CAD/JPY CAD/JPY LONG 6 88.387 12/15 5:41 88.872 0.78%
Trade id #107960176
Max drawdown($91)
Time12/14/16 21:55
Quant open6
Worst price88.206
Drawdown as % of equity-0.78%
 $246
12/12/16 18:45 CAD/JPY CAD/JPY SHORT 2 87.568 12/14 20:16 88.385 1.37%
Trade id #107887649
Max drawdown($161)
Time12/14/16 19:34
Quant open-2
Worst price88.515
Drawdown as % of equity-1.37%
 ($139)
12/8/16 13:06 EUR/GBP EUR/GBP SHORT 1 0.84348 12/9 6:56 0.83967 0.24%
Trade id #107825055
Max drawdown($28)
Time12/9/16 2:41
Quant open-1
Worst price0.84575
Drawdown as % of equity-0.24%
 $48
Next

Statistics

  • Strategy began
    10/19/2016
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2734.94
  • Age
    91 months ago
  • What it trades
    Forex
  • # Trades
    73
  • # Profitable
    57
  • % Profitable
    78.10%
  • Avg trade duration
    20.6 hours
  • Max peak-to-valley drawdown
    23.27%
  • drawdown period
    Jan 17, 2017 - April 20, 2017
  • Annual Return (Compounded)
    -0.4%
  • Avg win
    $80.93
  • Avg loss
    $260.62
  • Model Account Values (Raw)
  • Cash
    $10,440
  • Margin Used
    $0
  • Buying Power
    $10,440
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    -0.37
  • Sortino Ratio
    -0.47
  • Calmar Ratio
    0.16
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -142.81%
  • Correlation to SP500
    -0.01030
  • Return Percent SP500 (cumu) during strategy life
    134.21%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.4%
  • Slump
  • Current Slump as Pcnt Equity
    30.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.004%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $261
  • Avg Win
    $81
  • Sum Trade PL (losers)
    $4,170.000
  • Age
  • Num Months filled monthly returns table
    91
  • Win / Loss
  • Sum Trade PL (winners)
    $4,613.000
  • # Winners
    57
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    78.1%
  • Frequency
  • Avg Position Time (mins)
    1235.77
  • Avg Position Time (hrs)
    20.60
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    2642
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    2.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    48.73
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.88
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.33
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    38.676
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.770
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.202
  • Hold-and-Hope Ratio
    0.026
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01806
  • SD
    0.17832
  • Sharpe ratio (Glass type estimate)
    0.10127
  • Sharpe ratio (Hedges UMVUE)
    0.09643
  • df
    16.00000
  • t
    0.12053
  • p
    0.48494
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74680
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55061
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74347
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13622
  • Upside Potential Ratio
    1.13636
  • Upside part of mean
    0.15064
  • Downside part of mean
    -0.13259
  • Upside SD
    0.11127
  • Downside SD
    0.13257
  • N nonnegative terms
    3.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.65412
  • Mean of criterion
    0.01806
  • SD of predictor
    0.34501
  • SD of criterion
    0.17832
  • Covariance
    -0.00427
  • r
    -0.06934
  • b (slope, estimate of beta)
    -0.03584
  • a (intercept, estimate of alpha)
    0.04150
  • Mean Square Error
    0.03375
  • DF error
    15.00000
  • t(b)
    -0.26921
  • p(b)
    0.54411
  • t(a)
    0.23417
  • p(a)
    0.46160
  • Lowerbound of 95% confidence interval for beta
    -0.31960
  • Upperbound of 95% confidence interval for beta
    0.24792
  • Lowerbound of 95% confidence interval for alpha
    -0.33625
  • Upperbound of 95% confidence interval for alpha
    0.41925
  • Treynor index (mean / b)
    -0.50386
  • Jensen alpha (a)
    0.04150
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00242
  • SD
    0.18437
  • Sharpe ratio (Glass type estimate)
    0.01311
  • Sharpe ratio (Hedges UMVUE)
    0.01249
  • df
    16.00000
  • t
    0.01561
  • p
    0.49805
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63422
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65919
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01680
  • Upside Potential Ratio
    1.00431
  • Upside part of mean
    0.14448
  • Downside part of mean
    -0.14206
  • Upside SD
    0.10630
  • Downside SD
    0.14386
  • N nonnegative terms
    3.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.58617
  • Mean of criterion
    0.00242
  • SD of predictor
    0.32263
  • SD of criterion
    0.18437
  • Covariance
    -0.00366
  • r
    -0.06148
  • b (slope, estimate of beta)
    -0.03513
  • a (intercept, estimate of alpha)
    0.02301
  • Mean Square Error
    0.03612
  • DF error
    15.00000
  • t(b)
    -0.23855
  • p(b)
    0.53911
  • t(a)
    0.12677
  • p(a)
    0.47918
  • Lowerbound of 95% confidence interval for beta
    -0.34904
  • Upperbound of 95% confidence interval for beta
    0.27877
  • Lowerbound of 95% confidence interval for alpha
    -0.36390
  • Upperbound of 95% confidence interval for alpha
    0.40992
  • Treynor index (mean / b)
    -0.06881
  • Jensen alpha (a)
    0.02301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08364
  • Expected Shortfall on VaR
    0.10362
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03412
  • Expected Shortfall on VaR
    0.07359
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.84476
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10869
  • Mean of quarter 1
    0.96895
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05510
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.84476
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    1.07347
  • 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
    0.15524
  • Quartile 1
    0.15524
  • Median
    0.15524
  • Quartile 3
    0.15524
  • Maximum
    0.15524
  • 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)
    0.03099
  • Compounded annual return (geometric extrapolation)
    0.03079
  • Calmar ratio (compounded annual return / max draw down)
    0.19834
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.29713
  • 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
    0.00803
  • SD
    0.10777
  • Sharpe ratio (Glass type estimate)
    0.07451
  • Sharpe ratio (Hedges UMVUE)
    0.07436
  • df
    373.00000
  • t
    0.08902
  • p
    0.46455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56595
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71497
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71482
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09719
  • Upside Potential Ratio
    2.97660
  • Upside part of mean
    0.24592
  • Downside part of mean
    -0.23789
  • Upside SD
    0.06897
  • Downside SD
    0.08262
  • N nonnegative terms
    39.00000
  • N negative terms
    335.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    374.00000
  • Mean of predictor
    0.66245
  • Mean of criterion
    0.00803
  • SD of predictor
    0.38982
  • SD of criterion
    0.10777
  • Covariance
    -0.00027
  • r
    -0.00632
  • b (slope, estimate of beta)
    -0.00175
  • a (intercept, estimate of alpha)
    0.00900
  • Mean Square Error
    0.01164
  • DF error
    372.00000
  • t(b)
    -0.12187
  • p(b)
    0.54847
  • t(a)
    0.10116
  • p(a)
    0.45974
  • Lowerbound of 95% confidence interval for beta
    -0.02993
  • Upperbound of 95% confidence interval for beta
    0.02644
  • Lowerbound of 95% confidence interval for alpha
    -0.16939
  • Upperbound of 95% confidence interval for alpha
    0.18776
  • Treynor index (mean / b)
    -4.59684
  • Jensen alpha (a)
    0.00919
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00219
  • SD
    0.10848
  • Sharpe ratio (Glass type estimate)
    0.02017
  • Sharpe ratio (Hedges UMVUE)
    0.02013
  • df
    373.00000
  • t
    0.02409
  • p
    0.49040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66058
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02593
  • Upside Potential Ratio
    2.88732
  • Upside part of mean
    0.24356
  • Downside part of mean
    -0.24137
  • Upside SD
    0.06798
  • Downside SD
    0.08436
  • N nonnegative terms
    39.00000
  • N negative terms
    335.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    374.00000
  • Mean of predictor
    0.58444
  • Mean of criterion
    0.00219
  • SD of predictor
    0.39563
  • SD of criterion
    0.10848
  • Covariance
    -0.00025
  • r
    -0.00584
  • b (slope, estimate of beta)
    -0.00160
  • a (intercept, estimate of alpha)
    0.00312
  • Mean Square Error
    0.01180
  • DF error
    372.00000
  • t(b)
    -0.11261
  • p(b)
    0.54480
  • t(a)
    0.03421
  • p(a)
    0.48636
  • Lowerbound of 95% confidence interval for beta
    -0.02956
  • Upperbound of 95% confidence interval for beta
    0.02635
  • Lowerbound of 95% confidence interval for alpha
    -0.17640
  • Upperbound of 95% confidence interval for alpha
    0.18264
  • Treynor index (mean / b)
    -1.36652
  • Jensen alpha (a)
    0.00312
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01095
  • Expected Shortfall on VaR
    0.01372
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00294
  • Expected Shortfall on VaR
    0.00661
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    374.00000
  • Minimum
    0.94193
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04485
  • Mean of quarter 1
    0.99677
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00378
  • Inter Quartile Range
    0.00000
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.98618
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.10695
  • Mean of outliers high
    1.00888
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32651
  • VaR(95%) (moments method)
    0.00039
  • Expected Shortfall (moments method)
    0.00182
  • Extreme Value Index (regression method)
    0.24838
  • VaR(95%) (regression method)
    0.00146
  • Expected Shortfall (regression method)
    0.01141
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00303
  • Median
    0.00582
  • Quartile 3
    0.01389
  • Maximum
    0.19049
  • Mean of quarter 1
    0.00205
  • Mean of quarter 2
    0.00493
  • Mean of quarter 3
    0.01118
  • Mean of quarter 4
    0.07695
  • Inter Quartile Range
    0.01086
  • 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
    0.07692
  • Mean of outliers high
    0.19049
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.10831
  • VaR(95%) (moments method)
    0.07464
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.94508
  • VaR(95%) (regression method)
    0.30596
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03075
  • Compounded annual return (geometric extrapolation)
    0.03055
  • Calmar ratio (compounded annual return / max draw down)
    0.16039
  • Compounded annual return / average of 25% largest draw downs
    0.39702
  • Compounded annual return / Expected Shortfall lognormal
    2.22716
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64523
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44022
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54821
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44088
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6846280000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -894419000000000101124578843033600.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -338572000
  • Max Equity Drawdown (num days)
    93
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Blowgun identifies areas of sentiment reversal and trend exhaustion where uncertainty is sufficiently high for two things to happen: 1. the market starts to liquidate positions in the previously prevailing direction and 2. early movers are confident a protective local extreme has been reached and start positioning themselves in the opposite direction.
This creates a very high probability (estimated at about 80%-85%) opportunity for a moderate win in the new direction and in aggregate positive expectancy over time.
Trade frequency per pair will be low due to the medium term approach, and a basket of 10 pairs will be traded. A hard stop of maximum 150 pips is mandatory for every position.

Summary Statistics

Strategy began
2016-10-19
Suggested Minimum Capital
$10,000
# Trades
73
# Profitable
57
% Profitable
78.1%
Correlation S&P500
-0.010
Sharpe Ratio
-0.37
Sortino Ratio
-0.47
Beta
-0.00
Alpha
-0.01

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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