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Signals4Winners
(112810155)

Created by: S4W S4W
Started: 07/2017
Forex
Last trade: 25 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 $69.00 per month.

18.5%
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.

(12.6%)
Max Drawdown
99
Num Trades
96.0%
Win Trades
88.9 : 1
Profit Factor
37.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          (1%)+17.1%+2.9%+4.7%(1.1%)(1.2%)+22.1%
2018(0.5%)+3.7%(0.5%)(1.2%)+0.6%  -  (0.3%)(1.1%)+0.5%  -              +1.0%

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 43 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/20/18 23:09 USD/CHF USD/CHF LONG 4 0.95670 9/23 18:46 0.95822 1.47%
Trade id #119961645
Max drawdown($103)
Time9/21/18 8:35
Quant open4
Worst price0.95421
Drawdown as % of equity-1.47%
$64
9/20/18 22:41 USD/JPY USD/JPY SHORT 3 112.711 9/21 8:11 112.671 0.61%
Trade id #119961556
Max drawdown($43)
Time9/21/18 2:49
Quant open-3
Worst price112.874
Drawdown as % of equity-0.61%
$10
9/13/18 15:24 USD/JPY USD/JPY SHORT 4 111.992 9/13 22:25 111.925 0.39%
Trade id #119850529
Max drawdown($27)
Time9/13/18 20:11
Quant open-3
Worst price112.078
Drawdown as % of equity-0.39%
$24
7/22/18 21:30 USD/JPY USD/JPY LONG 2 110.888 7/23 5:12 111.028 0.35%
Trade id #119052902
Max drawdown($24)
Time7/22/18 21:45
Quant open2
Worst price110.752
Drawdown as % of equity-0.35%
$25
7/10/18 1:34 USD/JPY USD/JPY SHORT 1 111.177 7/10 2:49 111.049 0.02%
Trade id #118836578
Max drawdown($1)
Time7/10/18 1:40
Quant open-1
Worst price111.194
Drawdown as % of equity-0.02%
$12
7/2/18 9:39 USD/JPY USD/JPY SHORT 1 110.920 7/2 10:49 110.782 n/a $12
6/20/18 2:02 USD/CAD USD/CAD SHORT 1 1.32831 6/29 1:04 1.32310 1.11%
Trade id #118525211
Max drawdown($77)
Time6/27/18 15:19
Quant open-1
Worst price1.33861
Drawdown as % of equity-1.11%
$39
6/18/18 23:20 AUD/NZD AUD/NZD LONG 2 1.06776 6/19 17:05 1.06923 0.39%
Trade id #118497411
Max drawdown($27)
Time6/19/18 1:57
Quant open2
Worst price1.06580
Drawdown as % of equity-0.39%
$20
6/17/18 20:34 USD/CAD USD/CAD SHORT 1 1.32038 6/17 22:17 1.31914 0.01%
Trade id #118471550
Max drawdown($0)
Time6/17/18 21:10
Quant open-1
Worst price1.32047
Drawdown as % of equity-0.01%
$9
5/15/18 21:07 USD/JPY USD/JPY SHORT 2 110.338 5/15 22:21 110.261 0.12%
Trade id #117952382
Max drawdown($8)
Time5/15/18 21:32
Quant open-2
Worst price110.386
Drawdown as % of equity-0.12%
$14
5/8/18 15:50 EUR/USD EUR/USD LONG 1 1.18600 5/9 6:56 1.18755 0.54%
Trade id #117846962
Max drawdown($37)
Time5/9/18 3:20
Quant open1
Worst price1.18224
Drawdown as % of equity-0.54%
$16
5/8/18 6:18 EUR/USD EUR/USD LONG 1 1.18739 5/8 12:30 1.18855 0.52%
Trade id #117833947
Max drawdown($35)
Time5/8/18 9:45
Quant open1
Worst price1.18380
Drawdown as % of equity-0.52%
$12
5/4/18 8:30 USD/JPY USD/JPY LONG 2 108.745 5/4 9:31 108.980 0.26%
Trade id #117793046
Max drawdown($18)
Time5/4/18 8:47
Quant open2
Worst price108.646
Drawdown as % of equity-0.26%
$43
4/30/18 9:29 AUD/CAD AUD/CAD LONG 6 0.96631 5/2 23:14 0.96664 3.93%
Trade id #117713332
Max drawdown($261)
Time5/1/18 19:49
Quant open6
Worst price0.96070
Drawdown as % of equity-3.93%
$15
3/26/18 12:22 AUD/NZD AUD/NZD LONG 2 1.05930 3/26 16:57 1.06176 0.11%
Trade id #117233526
Max drawdown($7)
Time3/26/18 13:06
Quant open2
Worst price1.05880
Drawdown as % of equity-0.11%
$36
2/21/18 16:01 AUD/NZD AUD/NZD LONG 2 1.06615 2/22 1:41 1.06762 0.16%
Trade id #116651457
Max drawdown($10)
Time2/21/18 20:32
Quant open2
Worst price1.06540
Drawdown as % of equity-0.16%
$21
2/16/18 14:16 AUD/NZD AUD/NZD LONG 2 1.07049 2/19 3:51 1.07357 0.15%
Trade id #116566366
Max drawdown($10)
Time2/16/18 16:50
Quant open2
Worst price1.06978
Drawdown as % of equity-0.15%
$45
1/24/18 3:48 USD/JPY USD/JPY LONG 5 109.709 2/2 1:54 109.796 10.5%
Trade id #116063067
Max drawdown($649)
Time1/26/18 12:19
Quant open5
Worst price108.282
Drawdown as % of equity-10.50%
$40
1/23/18 5:07 AUD/NZD AUD/NZD LONG 2 1.08730 1/23 6:49 1.08857 0.05%
Trade id #116042462
Max drawdown($3)
Time1/23/18 5:28
Quant open2
Worst price1.08707
Drawdown as % of equity-0.05%
$19
1/11/18 17:31 AUD/NZD AUD/NZD LONG 2 1.08583 1/12 1:05 1.08746 0.21%
Trade id #115844499
Max drawdown($13)
Time1/11/18 22:06
Quant open2
Worst price1.08487
Drawdown as % of equity-0.21%
$24
1/11/18 13:17 USD/JPY USD/JPY LONG 5 111.110 1/11 15:54 111.230 0.45%
Trade id #115836384
Max drawdown($29)
Time1/11/18 14:24
Quant open5
Worst price111.044
Drawdown as % of equity-0.45%
$54
1/5/18 1:05 USD/JPY USD/JPY SHORT 10 113.070 1/8 8:25 112.935 4.44%
Trade id #115709959
Max drawdown($281)
Time1/8/18 2:59
Quant open-10
Worst price113.387
Drawdown as % of equity-4.44%
$119
1/2/18 12:41 USD/JPY USD/JPY SHORT 2 112.266 1/2 18:21 112.210 0.26%
Trade id #115648306
Max drawdown($17)
Time1/2/18 17:11
Quant open-2
Worst price112.362
Drawdown as % of equity-0.26%
$10
12/27/17 9:25 EUR/USD EUR/USD SHORT 1 1.19031 12/27 10:48 1.19078 0.11%
Trade id #115536646
Max drawdown($7)
Time12/27/17 10:02
Quant open-1
Worst price1.19104
Drawdown as % of equity-0.11%
($5)
10/31/17 12:05 NZD/USD NZD/USD LONG 3 0.68375 10/31 17:45 0.68599 0.27%
Trade id #114613061
Max drawdown($17)
Time10/31/17 13:18
Quant open3
Worst price0.68316
Drawdown as % of equity-0.27%
$67
10/26/17 14:16 NZD/USD NZD/USD LONG 2 0.68329 10/27 6:06 0.68525 0.46%
Trade id #114550655
Max drawdown($29)
Time10/26/17 22:10
Quant open2
Worst price0.68182
Drawdown as % of equity-0.46%
$39
10/24/17 11:19 USD/JPY USD/JPY SHORT 2 113.955 10/24 14:45 113.775 0.18%
Trade id #114464971
Max drawdown($11)
Time10/24/17 11:47
Quant open-2
Worst price114.022
Drawdown as % of equity-0.18%
$32
10/18/17 10:56 USD/JPY USD/JPY SHORT 2 113.008 10/18 13:37 112.873 0.12%
Trade id #114349562
Max drawdown($7)
Time10/18/17 11:15
Quant open-2
Worst price113.052
Drawdown as % of equity-0.12%
$24
10/18/17 8:51 USD/JPY USD/JPY SHORT 1 112.895 10/18 9:40 112.765 0.04%
Trade id #114345569
Max drawdown($2)
Time10/18/17 8:53
Quant open-1
Worst price112.925
Drawdown as % of equity-0.04%
$12
10/17/17 10:32 USD/JPY USD/JPY SHORT 2 112.385 10/17 12:35 112.278 0.06%
Trade id #114318014
Max drawdown($3)
Time10/17/17 11:21
Quant open-2
Worst price112.406
Drawdown as % of equity-0.06%
$19

Statistics

  • Strategy began
    7/27/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    448.46
  • Age
    15 months ago
  • What it trades
    Forex
  • # Trades
    99
  • # Profitable
    95
  • % Profitable
    96.00%
  • Avg trade duration
    11.7 hours
  • Max peak-to-valley drawdown
    12.65%
  • drawdown period
    Aug 17, 2017 - Aug 18, 2017
  • Annual Return (Compounded)
    18.5%
  • Avg win
    $23.39
  • Avg loss
    $6.25
  • Model Account Values (Raw)
  • Cash
    $7,197
  • Margin Used
    $0
  • Buying Power
    $7,197
  • Ratios
  • W:L ratio
    88.88:1
  • Sharpe Ratio
    2.545
  • Sortino Ratio
    4.777
  • Calmar Ratio
    5.657
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.02500
  • Return Statistics
  • Ann Return (w trading costs)
    18.5%
  • Ann Return (Compnd, No Fees)
    34.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    318
  • Popularity (Last 6 weeks)
    855
  • C2 Score
    76.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $6
  • Avg Win
    $23
  • # Winners
    95
  • # Losers
    4
  • % Winners
    96.0%
  • Frequency
  • Avg Position Time (mins)
    704.83
  • Avg Position Time (hrs)
    11.75
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    25
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34448
  • SD
    0.17571
  • Sharpe ratio (Glass type estimate)
    1.96057
  • Sharpe ratio (Hedges UMVUE)
    1.83498
  • df
    12.00000
  • t
    2.04063
  • p
    0.24622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85610
  • Statistics related to Sortino ratio
  • Sortino ratio
    283.49200
  • Upside Potential Ratio
    284.45300
  • Upside part of mean
    0.34565
  • Downside part of mean
    -0.00117
  • Upside SD
    0.19592
  • Downside SD
    0.00122
  • N nonnegative terms
    12.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.16096
  • Mean of criterion
    0.34448
  • SD of predictor
    0.09827
  • SD of criterion
    0.17571
  • Covariance
    -0.00466
  • r
    -0.26992
  • b (slope, estimate of beta)
    -0.48263
  • a (intercept, estimate of alpha)
    0.42217
  • Mean Square Error
    0.03122
  • DF error
    11.00000
  • t(b)
    -0.92972
  • p(b)
    0.81377
  • t(a)
    2.23107
  • p(a)
    0.02372
  • Lowerbound of 95% confidence interval for beta
    -1.62518
  • Upperbound of 95% confidence interval for beta
    0.65992
  • Lowerbound of 95% confidence interval for alpha
    0.00569
  • Upperbound of 95% confidence interval for alpha
    0.83864
  • Treynor index (mean / b)
    -0.71376
  • Jensen alpha (a)
    0.42217
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32718
  • SD
    0.16110
  • Sharpe ratio (Glass type estimate)
    2.03084
  • Sharpe ratio (Hedges UMVUE)
    1.90075
  • df
    12.00000
  • t
    2.11376
  • p
    0.23956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93157
  • Statistics related to Sortino ratio
  • Sortino ratio
    269.08000
  • Upside Potential Ratio
    270.04000
  • Upside part of mean
    0.32834
  • Downside part of mean
    -0.00117
  • Upside SD
    0.18132
  • Downside SD
    0.00122
  • N nonnegative terms
    12.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.15552
  • Mean of criterion
    0.32718
  • SD of predictor
    0.09751
  • SD of criterion
    0.16110
  • Covariance
    -0.00421
  • r
    -0.26795
  • b (slope, estimate of beta)
    -0.44273
  • a (intercept, estimate of alpha)
    0.39603
  • Mean Square Error
    0.02628
  • DF error
    11.00000
  • t(b)
    -0.92244
  • p(b)
    0.81195
  • t(a)
    2.29294
  • p(a)
    0.02128
  • Lowerbound of 95% confidence interval for beta
    -1.49910
  • Upperbound of 95% confidence interval for beta
    0.61365
  • Lowerbound of 95% confidence interval for alpha
    0.01588
  • Upperbound of 95% confidence interval for alpha
    0.77617
  • Treynor index (mean / b)
    -0.73900
  • Jensen alpha (a)
    0.39603
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04804
  • Expected Shortfall on VaR
    0.06622
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00014
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.99874
  • Quartile 1
    1.00511
  • Median
    1.01160
  • Quartile 3
    1.02046
  • Maximum
    1.18818
  • Mean of quarter 1
    1.00309
  • Mean of quarter 2
    1.00895
  • Mean of quarter 3
    1.01744
  • Mean of quarter 4
    1.09388
  • Inter Quartile Range
    0.01535
  • 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
    0.15385
  • Mean of outliers high
    1.12564
  • 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
    0.00126
  • Quartile 1
    0.00126
  • Median
    0.00126
  • Quartile 3
    0.00126
  • Maximum
    0.00126
  • 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)
    0.39266
  • Compounded annual return (geometric extrapolation)
    0.38704
  • Calmar ratio (compounded annual return / max draw down)
    306.02400
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.84461
  • 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
    0.32624
  • SD
    0.12784
  • Sharpe ratio (Glass type estimate)
    2.55189
  • Sharpe ratio (Hedges UMVUE)
    2.54548
  • df
    299.00000
  • t
    2.73068
  • p
    0.00335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.39278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70252
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38844
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.77654
  • Upside Potential Ratio
    7.47261
  • Upside part of mean
    0.51038
  • Downside part of mean
    -0.18414
  • Upside SD
    0.10968
  • Downside SD
    0.06830
  • N nonnegative terms
    273.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.11754
  • Mean of criterion
    0.32624
  • SD of predictor
    0.12829
  • SD of criterion
    0.12784
  • Covariance
    -0.00047
  • r
    -0.02853
  • b (slope, estimate of beta)
    -0.02843
  • a (intercept, estimate of alpha)
    0.33000
  • Mean Square Error
    0.01639
  • DF error
    298.00000
  • t(b)
    -0.49278
  • p(b)
    0.68873
  • t(a)
    2.75074
  • p(a)
    0.00315
  • Lowerbound of 95% confidence interval for beta
    -0.14199
  • Upperbound of 95% confidence interval for beta
    0.08512
  • Lowerbound of 95% confidence interval for alpha
    0.09379
  • Upperbound of 95% confidence interval for alpha
    0.56537
  • Treynor index (mean / b)
    -11.47330
  • Jensen alpha (a)
    0.32958
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31798
  • SD
    0.12696
  • Sharpe ratio (Glass type estimate)
    2.50455
  • Sharpe ratio (Hedges UMVUE)
    2.49826
  • df
    299.00000
  • t
    2.68003
  • p
    0.00388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65993
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34080
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.56481
  • Upside Potential Ratio
    7.24272
  • Upside part of mean
    0.50451
  • Downside part of mean
    -0.18654
  • Upside SD
    0.10770
  • Downside SD
    0.06966
  • N nonnegative terms
    273.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.10926
  • Mean of criterion
    0.31798
  • SD of predictor
    0.12887
  • SD of criterion
    0.12696
  • Covariance
    -0.00047
  • r
    -0.02880
  • b (slope, estimate of beta)
    -0.02837
  • a (intercept, estimate of alpha)
    0.32107
  • Mean Square Error
    0.01616
  • DF error
    298.00000
  • t(b)
    -0.49729
  • p(b)
    0.69032
  • t(a)
    2.69903
  • p(a)
    0.00368
  • Lowerbound of 95% confidence interval for beta
    -0.14063
  • Upperbound of 95% confidence interval for beta
    0.08389
  • Lowerbound of 95% confidence interval for alpha
    0.08697
  • Upperbound of 95% confidence interval for alpha
    0.55518
  • Treynor index (mean / b)
    -11.20900
  • Jensen alpha (a)
    0.32107
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01162
  • Expected Shortfall on VaR
    0.01485
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00025
  • Expected Shortfall on VaR
    0.00118
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    300.00000
  • Minimum
    0.94553
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00025
  • Maximum
    1.05977
  • Mean of quarter 1
    0.99719
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00779
  • Inter Quartile Range
    0.00025
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.98953
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.23333
  • Mean of outliers high
    1.00831
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53729
  • VaR(95%) (moments method)
    0.00073
  • Expected Shortfall (moments method)
    0.00394
  • Extreme Value Index (regression method)
    0.38330
  • VaR(95%) (regression method)
    0.00148
  • Expected Shortfall (regression method)
    0.01028
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00035
  • Median
    0.00254
  • Quartile 3
    0.01248
  • Maximum
    0.06617
  • Mean of quarter 1
    0.00021
  • Mean of quarter 2
    0.00149
  • Mean of quarter 3
    0.00755
  • Mean of quarter 4
    0.04271
  • Inter Quartile Range
    0.01213
  • 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
    0.11765
  • Mean of outliers high
    0.06470
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.18595
  • VaR(95%) (moments method)
    0.03389
  • Expected Shortfall (moments method)
    0.04395
  • Extreme Value Index (regression method)
    -1.21268
  • VaR(95%) (regression method)
    0.04255
  • Expected Shortfall (regression method)
    0.04490
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38357
  • Compounded annual return (geometric extrapolation)
    0.37434
  • Calmar ratio (compounded annual return / max draw down)
    5.65743
  • Compounded annual return / average of 25% largest draw downs
    8.76405
  • Compounded annual return / Expected Shortfall lognormal
    25.20860
  • 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
    0.09053
  • SD
    0.03930
  • Sharpe ratio (Glass type estimate)
    2.30369
  • Sharpe ratio (Hedges UMVUE)
    2.29038
  • df
    130.00000
  • t
    1.62896
  • p
    0.42928
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.08524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49537
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07613
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.73191
  • Upside Potential Ratio
    5.87486
  • Upside part of mean
    0.14252
  • Downside part of mean
    -0.05199
  • Upside SD
    0.03123
  • Downside SD
    0.02426
  • N nonnegative terms
    122.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15003
  • Mean of criterion
    0.09053
  • SD of predictor
    0.12404
  • SD of criterion
    0.03930
  • Covariance
    -0.00001
  • r
    -0.00218
  • b (slope, estimate of beta)
    -0.00069
  • a (intercept, estimate of alpha)
    0.09063
  • Mean Square Error
    0.00156
  • DF error
    129.00000
  • t(b)
    -0.02474
  • p(b)
    0.50139
  • t(a)
    1.61999
  • p(a)
    0.41041
  • Lowerbound of 95% confidence interval for beta
    -0.05588
  • Upperbound of 95% confidence interval for beta
    0.05450
  • Lowerbound of 95% confidence interval for alpha
    -0.02006
  • Upperbound of 95% confidence interval for alpha
    0.20133
  • Treynor index (mean / b)
    -131.16900
  • Jensen alpha (a)
    0.09063
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08975
  • SD
    0.03930
  • Sharpe ratio (Glass type estimate)
    2.28366
  • Sharpe ratio (Hedges UMVUE)
    2.27046
  • df
    130.00000
  • t
    1.61479
  • p
    0.42989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.05597
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67029
  • Upside Potential Ratio
    5.80838
  • Upside part of mean
    0.14203
  • Downside part of mean
    -0.05228
  • Upside SD
    0.03107
  • Downside SD
    0.02445
  • N nonnegative terms
    122.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14233
  • Mean of criterion
    0.08975
  • SD of predictor
    0.12441
  • SD of criterion
    0.03930
  • Covariance
    -0.00001
  • r
    -0.00170
  • b (slope, estimate of beta)
    -0.00054
  • a (intercept, estimate of alpha)
    0.08983
  • Mean Square Error
    0.00156
  • DF error
    129.00000
  • t(b)
    -0.01934
  • p(b)
    0.50108
  • t(a)
    1.60590
  • p(a)
    0.41117
  • Lowerbound of 95% confidence interval for beta
    -0.05557
  • Upperbound of 95% confidence interval for beta
    0.05449
  • Lowerbound of 95% confidence interval for alpha
    -0.02084
  • Upperbound of 95% confidence interval for alpha
    0.20050
  • Treynor index (mean / b)
    -166.88400
  • Jensen alpha (a)
    0.08983
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00364
  • Expected Shortfall on VaR
    0.00465
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00027
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98334
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01468
  • Mean of quarter 1
    0.99921
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00216
  • Inter Quartile Range
    0.00000
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99711
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.00310
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15491
  • VaR(95%) (moments method)
    0.00029
  • Expected Shortfall (moments method)
    0.00108
  • Extreme Value Index (regression method)
    0.83223
  • VaR(95%) (regression method)
    0.00041
  • Expected Shortfall (regression method)
    0.00687
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00030
  • Median
    0.00099
  • Quartile 3
    0.00371
  • Maximum
    0.01924
  • Mean of quarter 1
    0.00016
  • Mean of quarter 2
    0.00035
  • Mean of quarter 3
    0.00162
  • Mean of quarter 4
    0.01183
  • Inter Quartile Range
    0.00341
  • 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
    0.16667
  • Mean of outliers high
    0.01924
  • 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)
    0.09179
  • Compounded annual return (geometric extrapolation)
    0.09390
  • Calmar ratio (compounded annual return / max draw down)
    4.88011
  • Compounded annual return / average of 25% largest draw downs
    7.94084
  • Compounded annual return / Expected Shortfall lognormal
    20.17420

Strategy Description

Summary Statistics

Strategy began
2017-07-27
Suggested Minimum Capital
$10,000
# Trades
99
# Profitable
95
% Profitable
96.0%
Correlation S&P500
-0.025
Sharpe Ratio
2.545

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.