Collective2 Collective2
For your consideration SharpeQuant Strategy +27.3% Annual Return (Compounded) since Jun 13, 2025 Hypothetical

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Test Testing

By AllYouCanEatForex

Forex · Started Jul 2017

hypothetical · Annual Return (Compounded)
-89.0%
Max Drawdown
60.9%
Trades
176
Win Trades
57.4%
Profit Factor
0.90
Win Months
0.9%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201727.0-43.60.00.00.00.0-28.3
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began7/2/2017
Suggested Minimum Capital$5,000
Age113 months
What it tradesForex
# Trades176
# Profitable101
% Profitable57.4%
Avg trade duration3.3 hours
Max peak-to-valley drawdown60.9%
drawdown periodJuly 17, 2017 - Aug 21, 2017
Cumul. Return-27.7%
Avg win$155
Avg loss$226

Ratios

W:L ratio0.93
Sharpe Ratio-0.22
Sortino Ratio-0.30
Calmar Ratio-0.38

CORRELATION STATISTICS

Correlation to SP5000.00
Return Percent SP500 (cumu) during strategy life214.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-28.7%

Return Statistics

Ann Return (w trading costs)-89.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-3.0%

Slump

Current Slump as Pcnt Equity113.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex1.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss83.0%
Chance of 40% account loss57.5%
Chance of 50% account loss28.0%
Chance of 60% account loss (Monte Carlo)6.5%
Chance of 70% account loss (Monte Carlo)0.5%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)796
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$226
Avg Win$155
# Winners101
Sum Trade PL (losers)$16,924
Sum Trade PL (winners)$15,687
Num Months Winners1
# Losers75
% Winners57.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table112

Frequency

Avg Position Time (mins)198.43
Avg Position Time (hrs)3.31
Avg Trade Length0.10
Last Trade Ago3340

Regression

Alpha-0.01
Beta0
Treynor Index-2.91

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.05
MAE:Equity, average, losing trades0.05
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-16.86
MAE:PL (avg, all trades)0.18
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats44.62
MAE:PL - Winning Trades - this strat Percentile of All Strats59.08
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.77
Avg(MAE) / Avg(PL) - Losing trades-1.11
Hold-and-Hope Ratio-0.06

RATIO STATISTICS

a (intercept, estimate of alpha)-0.15
VAR (95 Confidence Intrvl)0.04

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)35
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
USD/JPY long110Aug 20, 2017Aug 21, 2017$1
GBP/AUD long90Aug 20, 2017Aug 20, 2017$47
USD/JPY short110Aug 18, 2017Aug 18, 2017$2
USD/JPY long130Aug 17, 2017Aug 18, 2017($4)
USD/CAD long110Aug 17, 2017Aug 17, 2017$242
USD/CAD short110Aug 17, 2017Aug 17, 2017($68)
USD/CHF short130Aug 16, 2017Aug 16, 2017$370
USD/CHF long130Aug 15, 2017Aug 16, 2017($889)
USD/CHF short130Aug 15, 2017Aug 15, 2017($358)
USD/JPY short150Aug 14, 2017Aug 14, 2017($2)
USD/CAD short150Aug 13, 2017Aug 14, 2017($342)
USD/JPY long150Aug 13, 2017Aug 13, 2017$1
USD/JPY short150Aug 11, 2017Aug 13, 2017($3)
USD/JPY long150Aug 11, 2017Aug 11, 2017($1)
USD/JPY short150Aug 11, 2017Aug 11, 2017($1)
NZD/USD long250Aug 11, 2017Aug 11, 2017$80
NZD/USD long200Aug 11, 2017Aug 11, 2017$234
EUR/JPY short120Aug 11, 2017Aug 11, 2017($1)
EUR/JPY short120Aug 10, 2017Aug 10, 2017$0
EUR/JPY short110Aug 10, 2017Aug 10, 2017$1
EUR/JPY short110Aug 10, 2017Aug 10, 2017$1
GBP/USD short130Aug 10, 2017Aug 10, 2017$0
GBP/CAD long130Aug 10, 2017Aug 10, 2017$149
GBP/NZD long110Aug 9, 2017Aug 9, 2017$351
EUR/JPY long110Aug 9, 2017Aug 9, 2017$1
GBP/NZD short100Aug 9, 2017Aug 9, 2017$101
GBP/NZD long100Aug 9, 2017Aug 9, 2017($213)
EUR/CAD short140Aug 8, 2017Aug 9, 2017($592)
EUR/NZD long130Aug 8, 2017Aug 8, 2017($71)
EUR/NZD short130Aug 7, 2017Aug 8, 2017$71

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.