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EGI Tidal Wave YouTube
(110369211)

Created by: VinnyEmini VinnyEmini
Started: 03/2017
Forex
Last trade: 27 days ago
Trading style: Futures Short Term Currencies

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 $39.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
26.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(31.8%)
Max Drawdown
570
Num Trades
58.1%
Win Trades
1.1 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              (0.2%)(0.5%)(0.5%)(7.2%)+43.6%+6.4%+11.4%(14.2%)+16.1%+13.1%+75.5%
2018+13.5%(2.8%)(7.6%)+4.4%+7.0%(0.5%)+8.3%+2.4%(17.2%)+3.2%(13.8%)+7.0%(1.1%)
2019(6.9%)+5.8%(4.2%)  -                                                  (5.5%)

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 1,255 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/29/19 10:18 USD/JPY USD/JPY LONG 100 110.820 3/29 11:03 110.920 0.15%
Trade id #123126567
Max drawdown($126)
Time3/29/19 10:25
Quant open100
Worst price110.806
Drawdown as % of equity-0.15%
$904
3/28/19 20:12 GBP/USD GBP/USD LONG 200 1.30610 3/28 22:52 1.30710 1.78%
Trade id #123120067
Max drawdown($1,420)
Time3/28/19 20:57
Quant open200
Worst price1.30539
Drawdown as % of equity-1.78%
$2,000
3/28/19 17:34 EUR/JPY EUR/JPY LONG 200 124.190 3/28 19:17 124.290 0.55%
Trade id #123119475
Max drawdown($433)
Time3/28/19 17:36
Quant open200
Worst price124.166
Drawdown as % of equity-0.55%
$1,807
3/28/19 5:38 GBP/JPY GBP/JPY LONG 200 145.160 3/28 5:53 144.910 5.49%
Trade id #123109153
Max drawdown($4,532)
Time3/28/19 5:53
Quant open180
Worst price144.910
Drawdown as % of equity-5.49%
($4,532)
3/28/19 4:49 USD/JPY USD/JPY LONG 200 110.261 3/28 5:18 110.361 0.22%
Trade id #123108777
Max drawdown($181)
Time3/28/19 5:10
Quant open200
Worst price110.251
Drawdown as % of equity-0.22%
$1,813
3/28/19 3:55 EUR/JPY EUR/JPY SHORT 200 123.740 3/28 4:45 123.970 5.14%
Trade id #123108182
Max drawdown($4,353)
Time3/28/19 4:45
Quant open-200
Worst price123.980
Drawdown as % of equity-5.14%
($4,172)
3/28/19 3:42 EUR/JPY EUR/JPY LONG 200 123.924 3/28 3:53 123.710 4.53%
Trade id #123108073
Max drawdown($3,888)
Time3/28/19 3:53
Quant open0
Worst price123.710
Drawdown as % of equity-4.53%
($3,888)
3/26/19 12:19 GBP/JPY GBP/JPY LONG 100 145.960 3/26 12:33 146.060 0.03%
Trade id #123080262
Max drawdown($27)
Time3/26/19 12:25
Quant open100
Worst price145.957
Drawdown as % of equity-0.03%
$905
3/25/19 1:55 EUR/USD EUR/USD LONG 100 1.13030 3/25 3:49 1.13130 0.36%
Trade id #123051019
Max drawdown($310)
Time3/25/19 2:46
Quant open100
Worst price1.12999
Drawdown as % of equity-0.36%
$1,000
3/25/19 1:54 GBP/JPY GBP/JPY LONG 100 145.140 3/25 2:37 144.890 2.54%
Trade id #123051013
Max drawdown($2,274)
Time3/25/19 2:37
Quant open80
Worst price144.890
Drawdown as % of equity-2.54%
($2,274)
3/18/19 1:31 USD/JPY USD/JPY LONG 100 111.550 3/18 3:02 111.550 0.14%
Trade id #122943931
Max drawdown($125)
Time3/18/19 2:59
Quant open100
Worst price111.536
Drawdown as % of equity-0.14%
$0
3/18/19 1:58 GBP/USD GBP/USD LONG 100 1.32810 3/18 2:45 1.32910 0.76%
Trade id #122944053
Max drawdown($670)
Time3/18/19 2:17
Quant open100
Worst price1.32743
Drawdown as % of equity-0.76%
$1,000
3/14/19 0:56 USD/JPY USD/JPY LONG 100 111.600 3/14 4:29 111.700 0.6%
Trade id #122903875
Max drawdown($519)
Time3/14/19 1:38
Quant open100
Worst price111.542
Drawdown as % of equity-0.60%
$895
3/14/19 0:56 EUR/USD EUR/USD LONG 100 1.13180 3/14 3:32 1.13280 0.65%
Trade id #122903881
Max drawdown($560)
Time3/14/19 3:05
Quant open100
Worst price1.13124
Drawdown as % of equity-0.65%
$1,000
2/28/19 1:28 USD/JPY USD/JPY LONG 100 110.750 2/28 7:12 110.740 0.96%
Trade id #122726506
Max drawdown($803)
Time2/28/19 3:11
Quant open100
Worst price110.661
Drawdown as % of equity-0.96%
($90)
2/28/19 1:29 EUR/JPY EUR/JPY LONG 100 125.950 2/28 6:51 126.490 0.67%
Trade id #122726519
Max drawdown($550)
Time2/28/19 2:04
Quant open100
Worst price125.889
Drawdown as % of equity-0.67%
$4,874
2/27/19 15:11 USD/JPY USD/JPY LONG 100 111.040 2/28 1:26 110.790 2.72%
Trade id #122721617
Max drawdown($2,257)
Time2/28/19 1:26
Quant open80
Worst price110.790
Drawdown as % of equity-2.72%
($2,257)
2/27/19 15:11 EUR/USD EUR/USD LONG 100 1.13680 2/27 18:39 1.13800 0.33%
Trade id #122721648
Max drawdown($270)
Time2/27/19 17:02
Quant open100
Worst price1.13653
Drawdown as % of equity-0.33%
$1,200
2/27/19 3:55 EUR/USD EUR/USD LONG 100 1.13940 2/27 5:34 1.13990 0.82%
Trade id #122708766
Max drawdown($670)
Time2/27/19 4:46
Quant open100
Worst price1.13873
Drawdown as % of equity-0.82%
$500
2/27/19 3:55 GBP/JPY GBP/JPY LONG 100 146.686 2/27 5:16 146.730 2.98%
Trade id #122708774
Max drawdown($2,444)
Time2/27/19 4:15
Quant open100
Worst price146.416
Drawdown as % of equity-2.98%
$398
2/6/19 9:01 GBP/JPY GBP/JPY LONG 200 142.338 2/6 9:31 142.423 1.12%
Trade id #122388537
Max drawdown($898)
Time2/6/19 9:13
Quant open200
Worst price142.289
Drawdown as % of equity-1.12%
$1,547
2/5/19 14:23 GBP/JPY GBP/JPY LONG 100 142.391 2/6 2:20 141.932 5.2%
Trade id #122376152
Max drawdown($4,181)
Time2/6/19 2:20
Quant open80
Worst price141.924
Drawdown as % of equity-5.20%
($4,181)
2/5/19 14:24 GBP/USD GBP/USD LONG 100 1.29494 2/5 19:32 1.29582 1.25%
Trade id #122376179
Max drawdown($1,016)
Time2/5/19 17:41
Quant open100
Worst price1.29392
Drawdown as % of equity-1.25%
$880
1/30/19 9:09 USD/JPY USD/JPY LONG 200 109.678 1/30 14:00 109.419 0.09%
Trade id #122264424
Max drawdown$48
Time1/30/19 9:14
Quant open
Worst price109.498
Drawdown as % of equity0.09%
($4,735)
1/29/19 12:24 USD/JPY USD/JPY LONG 100 109.397 1/29 20:32 109.260 0.03%
Trade id #122247560
Max drawdown$16
Time1/29/19 13:53
Quant open
Worst price109.272
Drawdown as % of equity0.03%
($1,254)
1/11/19 12:38 USD/JPY USD/JPY LONG 120 108.419 1/11 13:11 108.421 0.01%
Trade id #121924923
Max drawdown$6
Time1/11/19 12:41
Quant open
Worst price108.371
Drawdown as % of equity0.01%
$20
12/28/18 12:06 EUR/USD EUR/USD LONG 200 1.14443 12/28 13:22 1.14477 0%
Trade id #121701673
Max drawdown$0
Time12/28/18 12:06
Quant open
Worst price1.14341
Drawdown as % of equity0.00%
$690
12/23/18 20:40 EUR/JPY EUR/JPY LONG 100 126.320 12/23 21:05 126.328 0.01%
Trade id #121637851
Max drawdown$5
Time12/23/18 20:54
Quant open
Worst price126.320
Drawdown as % of equity0.01%
$72
12/20/18 22:49 USD/JPY USD/JPY SHORT 160 111.323 12/21 4:21 111.193 0.04%
Trade id #121610440
Max drawdown$21
Time12/20/18 22:58
Quant open
Worst price111.440
Drawdown as % of equity0.04%
$1,880
12/20/18 22:39 USD/JPY USD/JPY LONG 100 111.380 12/20 22:49 111.321 0.01%
Trade id #121610361
Max drawdown$6
Time12/20/18 22:42
Quant open
Worst price111.320
Drawdown as % of equity0.01%
($526)

Statistics

  • Strategy began
    3/22/2017
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    764.48
  • Age
    26 months ago
  • What it trades
    Forex
  • # Trades
    570
  • # Profitable
    331
  • % Profitable
    58.10%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    31.81%
  • drawdown period
    Sept 13, 2018 - March 28, 2019
  • Annual Return (Compounded)
    26.5%
  • Avg win
    $774.89
  • Avg loss
    $935.03
  • Model Account Values (Raw)
  • Cash
    $83,017
  • Margin Used
    $0
  • Buying Power
    $83,017
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0.741
  • Sortino Ratio
    1.093
  • Calmar Ratio
    0.979
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.09000
  • Return Statistics
  • Ann Return (w trading costs)
    26.5%
  • Ann Return (Compnd, No Fees)
    27.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    78.00%
  • Chance of 20% account loss
    63.00%
  • Chance of 30% account loss
    33.00%
  • Chance of 40% account loss
    17.50%
  • Chance of 50% account loss
    7.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    855
  • C2 Score
    47.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    14
  • Win / Loss
  • Avg Loss
    $935
  • Avg Win
    $775
  • # Winners
    331
  • # Losers
    239
  • % Winners
    58.1%
  • Frequency
  • Avg Position Time (mins)
    1986.82
  • Avg Position Time (hrs)
    33.11
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    27
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40730
  • SD
    0.53681
  • Sharpe ratio (Glass type estimate)
    0.75874
  • Sharpe ratio (Hedges UMVUE)
    0.73252
  • df
    22.00000
  • t
    1.05042
  • p
    0.15246
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68273
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16468
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97306
  • Upside Potential Ratio
    3.78506
  • Upside part of mean
    0.78135
  • Downside part of mean
    -0.37405
  • Upside SD
    0.49684
  • Downside SD
    0.20643
  • N nonnegative terms
    12.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.09977
  • Mean of criterion
    0.40730
  • SD of predictor
    0.16438
  • SD of criterion
    0.53681
  • Covariance
    0.02127
  • r
    0.24103
  • b (slope, estimate of beta)
    0.78713
  • a (intercept, estimate of alpha)
    0.32877
  • Mean Square Error
    0.28435
  • DF error
    21.00000
  • t(b)
    1.13809
  • p(b)
    0.34806
  • t(a)
    0.84018
  • p(a)
    0.38582
  • Lowerbound of 95% confidence interval for beta
    -0.65118
  • Upperbound of 95% confidence interval for beta
    2.22545
  • Lowerbound of 95% confidence interval for alpha
    -0.48499
  • Upperbound of 95% confidence interval for alpha
    1.14253
  • Treynor index (mean / b)
    0.51745
  • Jensen alpha (a)
    0.32877
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28606
  • SD
    0.47613
  • Sharpe ratio (Glass type estimate)
    0.60080
  • Sharpe ratio (Hedges UMVUE)
    0.58004
  • df
    22.00000
  • t
    0.83177
  • p
    0.20724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00609
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28948
  • Upside Potential Ratio
    3.08132
  • Upside part of mean
    0.68355
  • Downside part of mean
    -0.39750
  • Upside SD
    0.41767
  • Downside SD
    0.22184
  • N nonnegative terms
    12.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.08641
  • Mean of criterion
    0.28606
  • SD of predictor
    0.16539
  • SD of criterion
    0.47613
  • Covariance
    0.02127
  • r
    0.27011
  • b (slope, estimate of beta)
    0.77760
  • a (intercept, estimate of alpha)
    0.21886
  • Mean Square Error
    0.22016
  • DF error
    21.00000
  • t(b)
    1.28557
  • p(b)
    0.33016
  • t(a)
    0.63822
  • p(a)
    0.41246
  • Lowerbound of 95% confidence interval for beta
    -0.48029
  • Upperbound of 95% confidence interval for beta
    2.03550
  • Lowerbound of 95% confidence interval for alpha
    -0.49429
  • Upperbound of 95% confidence interval for alpha
    0.93202
  • Treynor index (mean / b)
    0.36787
  • Jensen alpha (a)
    0.21886
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18310
  • Expected Shortfall on VaR
    0.22771
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07031
  • Expected Shortfall on VaR
    0.13332
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.81617
  • Quartile 1
    0.95261
  • Median
    1.00231
  • Quartile 3
    1.06464
  • Maximum
    1.51981
  • Mean of quarter 1
    0.88941
  • Mean of quarter 2
    0.99149
  • Mean of quarter 3
    1.02576
  • Mean of quarter 4
    1.22775
  • Inter Quartile Range
    0.11203
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    1.43616
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.16404
  • VaR(95%) (moments method)
    0.12293
  • Expected Shortfall (moments method)
    0.12922
  • Extreme Value Index (regression method)
    0.20334
  • VaR(95%) (regression method)
    0.10981
  • Expected Shortfall (regression method)
    0.14629
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00471
  • Quartile 1
    0.03612
  • Median
    0.08743
  • Quartile 3
    0.17020
  • Maximum
    0.27481
  • Mean of quarter 1
    0.01478
  • Mean of quarter 2
    0.06992
  • Mean of quarter 3
    0.10494
  • Mean of quarter 4
    0.23338
  • Inter Quartile Range
    0.13407
  • 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)
    0.38101
  • Compounded annual return (geometric extrapolation)
    0.33117
  • Calmar ratio (compounded annual return / max draw down)
    1.20506
  • Compounded annual return / average of 25% largest draw downs
    1.41899
  • Compounded annual return / Expected Shortfall lognormal
    1.45431
  • 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
    0.40414
  • SD
    0.54441
  • Sharpe ratio (Glass type estimate)
    0.74235
  • Sharpe ratio (Hedges UMVUE)
    0.74127
  • df
    517.00000
  • t
    1.04381
  • p
    0.14853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13591
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09256
  • Upside Potential Ratio
    6.97046
  • Upside part of mean
    2.57842
  • Downside part of mean
    -2.17428
  • Upside SD
    0.39951
  • Downside SD
    0.36991
  • N nonnegative terms
    378.00000
  • N negative terms
    140.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    518.00000
  • Mean of predictor
    0.12006
  • Mean of criterion
    0.40414
  • SD of predictor
    0.13742
  • SD of criterion
    0.54441
  • Covariance
    0.00729
  • r
    0.09750
  • b (slope, estimate of beta)
    0.38626
  • a (intercept, estimate of alpha)
    0.35800
  • Mean Square Error
    0.29414
  • DF error
    516.00000
  • t(b)
    2.22539
  • p(b)
    0.01324
  • t(a)
    0.92621
  • p(a)
    0.17738
  • Lowerbound of 95% confidence interval for beta
    0.04527
  • Upperbound of 95% confidence interval for beta
    0.72725
  • Lowerbound of 95% confidence interval for alpha
    -0.40109
  • Upperbound of 95% confidence interval for alpha
    1.11663
  • Treynor index (mean / b)
    1.04631
  • Jensen alpha (a)
    0.35777
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25617
  • SD
    0.54452
  • Sharpe ratio (Glass type estimate)
    0.47046
  • Sharpe ratio (Hedges UMVUE)
    0.46977
  • df
    517.00000
  • t
    0.66151
  • p
    0.25429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92393
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86448
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86398
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66144
  • Upside Potential Ratio
    6.46313
  • Upside part of mean
    2.50317
  • Downside part of mean
    -2.24700
  • Upside SD
    0.38234
  • Downside SD
    0.38730
  • N nonnegative terms
    378.00000
  • N negative terms
    140.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    518.00000
  • Mean of predictor
    0.11059
  • Mean of criterion
    0.25617
  • SD of predictor
    0.13766
  • SD of criterion
    0.54452
  • Covariance
    0.00772
  • r
    0.10300
  • b (slope, estimate of beta)
    0.40741
  • a (intercept, estimate of alpha)
    0.21112
  • Mean Square Error
    0.29393
  • DF error
    516.00000
  • t(b)
    2.35218
  • p(b)
    0.00952
  • t(a)
    0.54687
  • p(a)
    0.29235
  • Lowerbound of 95% confidence interval for beta
    0.06714
  • Upperbound of 95% confidence interval for beta
    0.74768
  • Lowerbound of 95% confidence interval for alpha
    -0.54730
  • Upperbound of 95% confidence interval for alpha
    0.96954
  • Treynor index (mean / b)
    0.62879
  • Jensen alpha (a)
    0.21112
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05291
  • Expected Shortfall on VaR
    0.06605
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01178
  • Expected Shortfall on VaR
    0.02876
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    518.00000
  • Minimum
    0.84082
  • Quartile 1
    0.99847
  • Median
    1.00000
  • Quartile 3
    1.00776
  • Maximum
    1.17890
  • Mean of quarter 1
    0.96697
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00175
  • Mean of quarter 4
    1.03747
  • Inter Quartile Range
    0.00930
  • Number outliers low
    82.00000
  • Percentage of outliers low
    0.15830
  • Mean of outliers low
    0.95148
  • Number of outliers high
    78.00000
  • Percentage of outliers high
    0.15058
  • Mean of outliers high
    1.05327
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66529
  • VaR(95%) (moments method)
    0.01306
  • Expected Shortfall (moments method)
    0.04778
  • Extreme Value Index (regression method)
    0.19784
  • VaR(95%) (regression method)
    0.02747
  • Expected Shortfall (regression method)
    0.05085
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00159
  • Quartile 1
    0.01847
  • Median
    0.06026
  • Quartile 3
    0.15399
  • Maximum
    0.29835
  • Mean of quarter 1
    0.00815
  • Mean of quarter 2
    0.04530
  • Mean of quarter 3
    0.09762
  • Mean of quarter 4
    0.26695
  • Inter Quartile Range
    0.13552
  • 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)
    -16.85580
  • VaR(95%) (moments method)
    0.24306
  • Expected Shortfall (moments method)
    0.24306
  • Extreme Value Index (regression method)
    -1.99958
  • VaR(95%) (regression method)
    0.28141
  • Expected Shortfall (regression method)
    0.28436
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33354
  • Compounded annual return (geometric extrapolation)
    0.29198
  • Calmar ratio (compounded annual return / max draw down)
    0.97865
  • Compounded annual return / average of 25% largest draw downs
    1.09374
  • Compounded annual return / Expected Shortfall lognormal
    4.42036
  • 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
    -0.57082
  • SD
    0.34670
  • Sharpe ratio (Glass type estimate)
    -1.64646
  • Sharpe ratio (Hedges UMVUE)
    -1.63694
  • df
    130.00000
  • t
    -1.16422
  • p
    0.55079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.42234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.41588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14200
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.96781
  • Upside Potential Ratio
    3.12941
  • Upside part of mean
    0.90778
  • Downside part of mean
    -1.47860
  • Upside SD
    0.19073
  • Downside SD
    0.29008
  • N nonnegative terms
    105.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03133
  • Mean of criterion
    -0.57082
  • SD of predictor
    0.19765
  • SD of criterion
    0.34670
  • Covariance
    0.00239
  • r
    0.03485
  • b (slope, estimate of beta)
    0.06112
  • a (intercept, estimate of alpha)
    -0.57274
  • Mean Square Error
    0.12098
  • DF error
    129.00000
  • t(b)
    0.39602
  • p(b)
    0.47782
  • t(a)
    -1.16428
  • p(a)
    0.56481
  • Lowerbound of 95% confidence interval for beta
    -0.24425
  • Upperbound of 95% confidence interval for beta
    0.36650
  • Lowerbound of 95% confidence interval for alpha
    -1.54602
  • Upperbound of 95% confidence interval for alpha
    0.40055
  • Treynor index (mean / b)
    -9.33861
  • Jensen alpha (a)
    -0.57274
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.63241
  • SD
    0.35223
  • Sharpe ratio (Glass type estimate)
    -1.79544
  • Sharpe ratio (Hedges UMVUE)
    -1.78506
  • df
    130.00000
  • t
    -1.26957
  • p
    0.55533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.57244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.56535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99522
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.09811
  • Upside Potential Ratio
    2.95423
  • Upside part of mean
    0.89046
  • Downside part of mean
    -1.52288
  • Upside SD
    0.18383
  • Downside SD
    0.30142
  • N nonnegative terms
    105.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01196
  • Mean of criterion
    -0.63241
  • SD of predictor
    0.19755
  • SD of criterion
    0.35223
  • Covariance
    0.00236
  • r
    0.03389
  • b (slope, estimate of beta)
    0.06043
  • a (intercept, estimate of alpha)
    -0.63314
  • Mean Square Error
    0.12489
  • DF error
    129.00000
  • t(b)
    0.38519
  • p(b)
    0.47843
  • t(a)
    -1.26684
  • p(a)
    0.57043
  • Lowerbound of 95% confidence interval for beta
    -0.24998
  • Upperbound of 95% confidence interval for beta
    0.37085
  • Lowerbound of 95% confidence interval for alpha
    -1.62195
  • Upperbound of 95% confidence interval for alpha
    0.35568
  • Treynor index (mean / b)
    -10.46470
  • Jensen alpha (a)
    -0.63314
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03749
  • Expected Shortfall on VaR
    0.04617
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00596
  • Expected Shortfall on VaR
    0.01638
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89779
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10757
  • Mean of quarter 1
    0.97760
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01375
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.97157
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.24427
  • Mean of outliers high
    1.01418
  • 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)
    0.29937
  • VaR(95%) (regression method)
    0.02393
  • Expected Shortfall (regression method)
    0.05365
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.29150
  • Quartile 1
    0.29150
  • Median
    0.29150
  • Quartile 3
    0.29150
  • Maximum
    0.29150
  • 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)
    -0.54218
  • Compounded annual return (geometric extrapolation)
    -0.46869
  • Calmar ratio (compounded annual return / max draw down)
    -1.60784
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -10.15180

Strategy Description

Summary Statistics

Strategy began
2017-03-22
Suggested Minimum Capital
$80,000
# Trades
570
# Profitable
331
% Profitable
58.1%
Correlation S&P500
0.090
Sharpe Ratio
0.741

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.