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COREX
(113004400)

Created by: corridorinvest_com corridorinvest_com
Started: 08/2017
Forex
Last trade: 12 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 $350.00 per month.

38.8%
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.

(10.8%)
Max Drawdown
381
Num Trades
62.7%
Win Trades
1.4 : 1
Profit Factor
76.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +4.0%+8.4%+10.2%+2.5%(3.8%)+22.6%
2018+5.8%(4.3%)+9.5%+0.5%(0.8%)+2.4%+5.0%(5%)+5.1%+3.0%+2.7%+2.0%+28.1%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 655 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/6/18 3:18 GBP/USD GBP/USD LONG 10 1.27276 12/6 7:17 1.27476 0.29%
Trade id #121368237
Max drawdown($241)
Time12/6/18 3:32
Quant open10
Worst price1.27034
Drawdown as % of equity-0.29%
$201
12/4/18 23:58 GBP/USD GBP/USD LONG 10 1.26936 12/5 3:35 1.27258 0.26%
Trade id #121348961
Max drawdown($216)
Time12/5/18 1:03
Quant open10
Worst price1.26719
Drawdown as % of equity-0.26%
$322
12/3/18 3:09 GBP/USD GBP/USD LONG 10 1.28232 12/4 4:44 1.28287 1.52%
Trade id #121303192
Max drawdown($1,246)
Time12/3/18 9:01
Quant open10
Worst price1.26986
Drawdown as % of equity-1.52%
$55
12/3/18 8:27 USD/JPY USD/JPY SHORT 10 113.537 12/4 0:43 113.141 0.19%
Trade id #121306952
Max drawdown($153)
Time12/3/18 14:26
Quant open-10
Worst price113.710
Drawdown as % of equity-0.19%
$350
11/30/18 5:26 GBP/USD GBP/USD LONG 10 1.27561 11/30 8:44 1.27615 0.13%
Trade id #121265810
Max drawdown($104)
Time11/30/18 5:44
Quant open10
Worst price1.27457
Drawdown as % of equity-0.13%
$54
11/29/18 6:48 GBP/USD GBP/USD LONG 10 1.27632 11/29 8:25 1.27777 0.09%
Trade id #121235587
Max drawdown($74)
Time11/29/18 6:50
Quant open10
Worst price1.27558
Drawdown as % of equity-0.09%
$145
11/28/18 3:50 EUR/USD EUR/USD LONG 10 1.12741 11/28 6:03 1.12913 0.01%
Trade id #121207876
Max drawdown($4)
Time11/28/18 3:52
Quant open10
Worst price1.12737
Drawdown as % of equity-0.01%
$172
11/27/18 3:11 GBP/USD GBP/USD LONG 10 1.27423 11/28 6:03 1.27919 0.2%
Trade id #121180592
Max drawdown($167)
Time11/27/18 11:53
Quant open10
Worst price1.27255
Drawdown as % of equity-0.20%
$496
11/26/18 5:49 USD/JPY USD/JPY SHORT 10 113.244 11/28 6:03 113.759 0.7%
Trade id #121158652
Max drawdown($578)
Time11/28/18 0:23
Quant open-10
Worst price113.902
Drawdown as % of equity-0.70%
($453)
11/22/18 3:35 GBP/USD GBP/USD LONG 10 1.27789 11/22 4:55 1.27927 0.03%
Trade id #121116154
Max drawdown($25)
Time11/22/18 3:37
Quant open10
Worst price1.27764
Drawdown as % of equity-0.03%
$138
11/20/18 15:23 GBP/USD GBP/USD LONG 10 1.27884 11/21 4:03 1.28008 0.14%
Trade id #121079669
Max drawdown($116)
Time11/20/18 17:31
Quant open10
Worst price1.27768
Drawdown as % of equity-0.14%
$124
11/20/18 3:26 EUR/USD EUR/USD SHORT 10 1.14666 11/20 3:43 1.14491 0.01%
Trade id #121066843
Max drawdown($5)
Time11/20/18 3:30
Quant open-10
Worst price1.14672
Drawdown as % of equity-0.01%
$176
11/15/18 5:05 GBP/USD GBP/USD LONG 10 1.27956 11/15 7:12 1.28253 0.55%
Trade id #120956350
Max drawdown($449)
Time11/15/18 5:20
Quant open10
Worst price1.27506
Drawdown as % of equity-0.55%
$297
11/14/18 4:17 USD/JPY USD/JPY SHORT 10 113.835 11/14 12:15 113.654 0.19%
Trade id #120923573
Max drawdown($153)
Time11/14/18 9:01
Quant open-10
Worst price114.009
Drawdown as % of equity-0.19%
$159
11/13/18 11:46 GBP/USD GBP/USD SHORT 10 1.30327 11/13 13:44 1.29581 0.14%
Trade id #120909303
Max drawdown($115)
Time11/13/18 11:48
Quant open-10
Worst price1.30442
Drawdown as % of equity-0.14%
$746
11/12/18 2:57 EUR/USD EUR/USD LONG 10 1.12627 11/13 11:31 1.12833 0.59%
Trade id #120876448
Max drawdown($471)
Time11/12/18 16:55
Quant open10
Worst price1.12155
Drawdown as % of equity-0.59%
$207
11/12/18 2:57 USD/JPY USD/JPY SHORT 10 114.175 11/13 11:31 114.007 0.01%
Trade id #120876455
Max drawdown($5)
Time11/12/18 2:59
Quant open-10
Worst price114.181
Drawdown as % of equity-0.01%
$147
10/31/18 9:46 EUR/USD EUR/USD LONG 10 1.13126 11/1 1:37 1.13423 0.13%
Trade id #120640233
Max drawdown($105)
Time10/31/18 13:54
Quant open10
Worst price1.13021
Drawdown as % of equity-0.13%
$296
10/29/18 13:56 GBP/USD GBP/USD LONG 10 1.28036 11/1 1:37 1.28500 1.37%
Trade id #120602827
Max drawdown($1,077)
Time10/30/18 14:21
Quant open10
Worst price1.26958
Drawdown as % of equity-1.37%
$464
10/31/18 5:35 USD/JPY USD/JPY SHORT 10 113.141 11/1 1:37 112.886 0.27%
Trade id #120636794
Max drawdown($216)
Time10/31/18 9:59
Quant open-10
Worst price113.385
Drawdown as % of equity-0.27%
$226
10/25/18 10:05 GBP/USD GBP/USD LONG 10 1.28429 10/26 12:44 1.28351 0.83%
Trade id #120538042
Max drawdown($660)
Time10/26/18 7:42
Quant open10
Worst price1.27769
Drawdown as % of equity-0.83%
($78)
10/24/18 15:24 GBP/USD GBP/USD LONG 10 1.28838 10/25 3:44 1.29036 0.12%
Trade id #120520535
Max drawdown($95)
Time10/24/18 17:03
Quant open10
Worst price1.28742
Drawdown as % of equity-0.12%
$198
10/22/18 2:48 GBP/USD GBP/USD LONG 10 1.30885 10/24 4:08 1.29411 1.9%
Trade id #120462437
Max drawdown($1,516)
Time10/23/18 2:10
Quant open10
Worst price1.29369
Drawdown as % of equity-1.90%
($1,474)
10/22/18 4:09 EUR/USD EUR/USD SHORT 10 1.15282 10/22 6:41 1.15039 0.03%
Trade id #120463081
Max drawdown($27)
Time10/22/18 4:14
Quant open-10
Worst price1.15310
Drawdown as % of equity-0.03%
$243
10/18/18 10:02 GBP/USD GBP/USD LONG 10 1.30873 10/19 13:48 1.30725 0.96%
Trade id #120418414
Max drawdown($760)
Time10/19/18 3:50
Quant open10
Worst price1.30113
Drawdown as % of equity-0.96%
($148)
10/18/18 10:02 EUR/USD EUR/USD LONG 10 1.14915 10/19 12:24 1.15138 0.73%
Trade id #120418409
Max drawdown($586)
Time10/19/18 3:26
Quant open10
Worst price1.14329
Drawdown as % of equity-0.73%
$223
10/17/18 23:39 GBP/USD GBP/USD LONG 10 1.30998 10/18 5:26 1.31120 0.3%
Trade id #120412876
Max drawdown($238)
Time10/18/18 2:06
Quant open10
Worst price1.30760
Drawdown as % of equity-0.30%
$121
10/17/18 23:39 EUR/USD EUR/USD LONG 10 1.14993 10/18 5:26 1.15230 0.22%
Trade id #120412868
Max drawdown($176)
Time10/18/18 2:52
Quant open10
Worst price1.14817
Drawdown as % of equity-0.22%
$237
10/17/18 8:46 EUR/USD EUR/USD LONG 10 1.15247 10/17 10:29 1.15415 n/a $167
10/17/18 7:17 GBP/USD GBP/USD LONG 10 1.31215 10/17 10:29 1.31326 0.27%
Trade id #120396101
Max drawdown($219)
Time10/17/18 7:46
Quant open10
Worst price1.30996
Drawdown as % of equity-0.27%
$111

Statistics

  • Strategy began
    8/6/2017
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    499.87
  • Age
    17 months ago
  • What it trades
    Forex
  • # Trades
    381
  • # Profitable
    239
  • % Profitable
    62.70%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    10.77%
  • drawdown period
    Nov 22, 2017 - Dec 21, 2017
  • Annual Return (Compounded)
    38.8%
  • Avg win
    $482.24
  • Avg loss
    $568.61
  • Model Account Values (Raw)
  • Cash
    $84,682
  • Margin Used
    $3,000
  • Buying Power
    $81,513
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    2.922
  • Sortino Ratio
    4.813
  • Calmar Ratio
    5.045
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.03500
  • Return Statistics
  • Ann Return (w trading costs)
    38.8%
  • Ann Return (Compnd, No Fees)
    46.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • 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)
    949
  • Popularity (Last 6 weeks)
    985
  • C2 Score
    99.5
  • 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
    $569
  • Avg Win
    $482
  • # Winners
    239
  • # Losers
    142
  • % Winners
    62.7%
  • Frequency
  • Avg Position Time (mins)
    1909.25
  • Avg Position Time (hrs)
    31.82
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38217
  • SD
    0.16550
  • Sharpe ratio (Glass type estimate)
    2.30921
  • Sharpe ratio (Hedges UMVUE)
    2.19146
  • df
    15.00000
  • t
    2.66644
  • p
    0.15940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39351
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32168
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06123
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.60100
  • Upside Potential Ratio
    10.21220
  • Upside part of mean
    0.45376
  • Downside part of mean
    -0.07159
  • Upside SD
    0.18941
  • Downside SD
    0.04443
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.02628
  • Mean of criterion
    0.38217
  • SD of predictor
    0.13396
  • SD of criterion
    0.16550
  • Covariance
    -0.00411
  • r
    -0.18520
  • b (slope, estimate of beta)
    -0.22881
  • a (intercept, estimate of alpha)
    0.38818
  • Mean Square Error
    0.02834
  • DF error
    14.00000
  • t(b)
    -0.70517
  • p(b)
    0.59260
  • t(a)
    2.65808
  • p(a)
    0.21043
  • Lowerbound of 95% confidence interval for beta
    -0.92473
  • Upperbound of 95% confidence interval for beta
    0.46712
  • Lowerbound of 95% confidence interval for alpha
    0.07496
  • Upperbound of 95% confidence interval for alpha
    0.70141
  • Treynor index (mean / b)
    -1.67028
  • Jensen alpha (a)
    0.38818
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36354
  • SD
    0.15811
  • Sharpe ratio (Glass type estimate)
    2.29932
  • Sharpe ratio (Hedges UMVUE)
    2.18207
  • df
    15.00000
  • t
    2.65503
  • p
    0.16027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15159
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.05044
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.07340
  • Upside Potential Ratio
    9.68188
  • Upside part of mean
    0.43597
  • Downside part of mean
    -0.07243
  • Upside SD
    0.18006
  • Downside SD
    0.04503
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.01779
  • Mean of criterion
    0.36354
  • SD of predictor
    0.13411
  • SD of criterion
    0.15811
  • Covariance
    -0.00414
  • r
    -0.19541
  • b (slope, estimate of beta)
    -0.23038
  • a (intercept, estimate of alpha)
    0.36764
  • Mean Square Error
    0.02576
  • DF error
    14.00000
  • t(b)
    -0.74552
  • p(b)
    0.59770
  • t(a)
    2.64284
  • p(a)
    0.21154
  • Lowerbound of 95% confidence interval for beta
    -0.89314
  • Upperbound of 95% confidence interval for beta
    0.43239
  • Lowerbound of 95% confidence interval for alpha
    0.06928
  • Upperbound of 95% confidence interval for alpha
    0.66600
  • Treynor index (mean / b)
    -1.57803
  • Jensen alpha (a)
    0.36764
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04379
  • Expected Shortfall on VaR
    0.06172
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00990
  • Expected Shortfall on VaR
    0.02148
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.96474
  • Quartile 1
    0.99879
  • Median
    1.03293
  • Quartile 3
    1.05133
  • Maximum
    1.13677
  • Mean of quarter 1
    0.97901
  • Mean of quarter 2
    1.01979
  • Mean of quarter 3
    1.04083
  • Mean of quarter 4
    1.09708
  • Inter Quartile Range
    0.05254
  • 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
    0.06250
  • Mean of outliers high
    1.13677
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -21.98290
  • VaR(95%) (moments method)
    0.01391
  • Expected Shortfall (moments method)
    0.01391
  • Extreme Value Index (regression method)
    -0.68634
  • VaR(95%) (regression method)
    0.02033
  • Expected Shortfall (regression method)
    0.02357
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00523
  • Quartile 1
    0.01738
  • Median
    0.02173
  • Quartile 3
    0.02534
  • Maximum
    0.03526
  • Mean of quarter 1
    0.00523
  • Mean of quarter 2
    0.02143
  • Mean of quarter 3
    0.02203
  • Mean of quarter 4
    0.03526
  • Inter Quartile Range
    0.00796
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.00523
  • 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)
    0.51396
  • Compounded annual return (geometric extrapolation)
    0.47912
  • Calmar ratio (compounded annual return / max draw down)
    13.58990
  • Compounded annual return / average of 25% largest draw downs
    13.58990
  • Compounded annual return / Expected Shortfall lognormal
    7.76264
  • 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
    0.37330
  • SD
    0.12746
  • Sharpe ratio (Glass type estimate)
    2.92870
  • Sharpe ratio (Hedges UMVUE)
    2.92247
  • df
    353.00000
  • t
    3.40428
  • p
    0.00037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.22678
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62661
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62235
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.81314
  • Upside Potential Ratio
    11.97590
  • Upside part of mean
    0.92882
  • Downside part of mean
    -0.55553
  • Upside SD
    0.10352
  • Downside SD
    0.07756
  • N nonnegative terms
    203.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    354.00000
  • Mean of predictor
    0.00114
  • Mean of criterion
    0.37330
  • SD of predictor
    0.14000
  • SD of criterion
    0.12746
  • Covariance
    -0.00087
  • r
    -0.04888
  • b (slope, estimate of beta)
    -0.04451
  • a (intercept, estimate of alpha)
    0.37300
  • Mean Square Error
    0.01625
  • DF error
    352.00000
  • t(b)
    -0.91826
  • p(b)
    0.82044
  • t(a)
    3.40399
  • p(a)
    0.00037
  • Lowerbound of 95% confidence interval for beta
    -0.13983
  • Upperbound of 95% confidence interval for beta
    0.05082
  • Lowerbound of 95% confidence interval for alpha
    0.15764
  • Upperbound of 95% confidence interval for alpha
    0.58906
  • Treynor index (mean / b)
    -8.38756
  • Jensen alpha (a)
    0.37335
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36491
  • SD
    0.12732
  • Sharpe ratio (Glass type estimate)
    2.86622
  • Sharpe ratio (Hedges UMVUE)
    2.86012
  • df
    353.00000
  • t
    3.33165
  • p
    0.00048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.16488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56359
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55942
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.66235
  • Upside Potential Ratio
    11.79830
  • Upside part of mean
    0.92342
  • Downside part of mean
    -0.55851
  • Upside SD
    0.10269
  • Downside SD
    0.07827
  • N nonnegative terms
    203.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    354.00000
  • Mean of predictor
    -0.00869
  • Mean of criterion
    0.36491
  • SD of predictor
    0.14066
  • SD of criterion
    0.12732
  • Covariance
    -0.00087
  • r
    -0.04875
  • b (slope, estimate of beta)
    -0.04412
  • a (intercept, estimate of alpha)
    0.36453
  • Mean Square Error
    0.01622
  • DF error
    352.00000
  • t(b)
    -0.91563
  • p(b)
    0.81976
  • t(a)
    3.32737
  • p(a)
    0.00048
  • Lowerbound of 95% confidence interval for beta
    -0.13889
  • Upperbound of 95% confidence interval for beta
    0.05065
  • Lowerbound of 95% confidence interval for alpha
    0.14906
  • Upperbound of 95% confidence interval for alpha
    0.57999
  • Treynor index (mean / b)
    -8.27097
  • Jensen alpha (a)
    0.36453
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01148
  • Expected Shortfall on VaR
    0.01472
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00436
  • Expected Shortfall on VaR
    0.00913
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    354.00000
  • Minimum
    0.95946
  • Quartile 1
    0.99747
  • Median
    1.00088
  • Quartile 3
    1.00539
  • Maximum
    1.03359
  • Mean of quarter 1
    0.99230
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00298
  • Mean of quarter 4
    1.01126
  • Inter Quartile Range
    0.00791
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02260
  • Mean of outliers low
    0.97932
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03107
  • Mean of outliers high
    1.02239
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06777
  • VaR(95%) (moments method)
    0.00646
  • Expected Shortfall (moments method)
    0.00863
  • Extreme Value Index (regression method)
    -0.11779
  • VaR(95%) (regression method)
    0.00742
  • Expected Shortfall (regression method)
    0.00988
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00365
  • Median
    0.00807
  • Quartile 3
    0.01405
  • Maximum
    0.09538
  • Mean of quarter 1
    0.00127
  • Mean of quarter 2
    0.00585
  • Mean of quarter 3
    0.01220
  • Mean of quarter 4
    0.05151
  • Inter Quartile Range
    0.01040
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.05942
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.71235
  • VaR(95%) (moments method)
    0.03710
  • Expected Shortfall (moments method)
    0.03733
  • Extreme Value Index (regression method)
    -0.48460
  • VaR(95%) (regression method)
    0.06192
  • Expected Shortfall (regression method)
    0.07450
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51824
  • Compounded annual return (geometric extrapolation)
    0.48115
  • Calmar ratio (compounded annual return / max draw down)
    5.04459
  • Compounded annual return / average of 25% largest draw downs
    9.34169
  • Compounded annual return / Expected Shortfall lognormal
    32.69150
  • 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
    0.33642
  • SD
    0.09026
  • Sharpe ratio (Glass type estimate)
    3.72745
  • Sharpe ratio (Hedges UMVUE)
    3.70590
  • df
    130.00000
  • t
    2.63570
  • p
    0.38739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.91201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.52907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89773
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.51407
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.37874
  • Upside Potential Ratio
    12.85020
  • Upside part of mean
    0.67773
  • Downside part of mean
    -0.34131
  • Upside SD
    0.07572
  • Downside SD
    0.05274
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    0.33642
  • SD of predictor
    0.15311
  • SD of criterion
    0.09026
  • Covariance
    -0.00033
  • r
    -0.02398
  • b (slope, estimate of beta)
    -0.01413
  • a (intercept, estimate of alpha)
    0.33377
  • Mean Square Error
    0.00820
  • DF error
    129.00000
  • t(b)
    -0.27242
  • p(b)
    0.51526
  • t(a)
    2.59814
  • p(a)
    0.35922
  • Lowerbound of 95% confidence interval for beta
    -0.11679
  • Upperbound of 95% confidence interval for beta
    0.08852
  • Lowerbound of 95% confidence interval for alpha
    0.07960
  • Upperbound of 95% confidence interval for alpha
    0.58794
  • Treynor index (mean / b)
    -23.80080
  • Jensen alpha (a)
    0.33377
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33214
  • SD
    0.09009
  • Sharpe ratio (Glass type estimate)
    3.68657
  • Sharpe ratio (Hedges UMVUE)
    3.66526
  • df
    130.00000
  • t
    2.60680
  • p
    0.38856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87193
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.48740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.47265
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.26307
  • Upside Potential Ratio
    12.72480
  • Upside part of mean
    0.67482
  • Downside part of mean
    -0.34268
  • Upside SD
    0.07526
  • Downside SD
    0.05303
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    0.33214
  • SD of predictor
    0.15382
  • SD of criterion
    0.09009
  • Covariance
    -0.00033
  • r
    -0.02414
  • b (slope, estimate of beta)
    -0.01414
  • a (intercept, estimate of alpha)
    0.32932
  • Mean Square Error
    0.00818
  • DF error
    129.00000
  • t(b)
    -0.27428
  • p(b)
    0.51537
  • t(a)
    2.56721
  • p(a)
    0.36079
  • Lowerbound of 95% confidence interval for beta
    -0.11614
  • Upperbound of 95% confidence interval for beta
    0.08786
  • Lowerbound of 95% confidence interval for alpha
    0.07552
  • Upperbound of 95% confidence interval for alpha
    0.58313
  • Treynor index (mean / b)
    -23.48890
  • Jensen alpha (a)
    0.32932
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00786
  • Expected Shortfall on VaR
    0.01016
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00248
  • Expected Shortfall on VaR
    0.00547
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98076
  • Quartile 1
    0.99980
  • Median
    1.00080
  • Quartile 3
    1.00392
  • Maximum
    1.02158
  • Mean of quarter 1
    0.99500
  • Mean of quarter 2
    1.00021
  • Mean of quarter 3
    1.00221
  • Mean of quarter 4
    1.00817
  • Inter Quartile Range
    0.00411
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.99047
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01458
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38094
  • VaR(95%) (moments method)
    0.00317
  • Expected Shortfall (moments method)
    0.00398
  • Extreme Value Index (regression method)
    -0.42509
  • VaR(95%) (regression method)
    0.00600
  • Expected Shortfall (regression method)
    0.00768
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00152
  • Median
    0.00466
  • Quartile 3
    0.01311
  • Maximum
    0.06770
  • Mean of quarter 1
    0.00055
  • Mean of quarter 2
    0.00333
  • Mean of quarter 3
    0.00963
  • Mean of quarter 4
    0.03606
  • Inter Quartile Range
    0.01158
  • 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
    0.06770
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.52934
  • VaR(95%) (moments method)
    0.03794
  • Expected Shortfall (moments method)
    0.08827
  • Extreme Value Index (regression method)
    2.25571
  • VaR(95%) (regression method)
    0.06637
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39449
  • Compounded annual return (geometric extrapolation)
    0.43340
  • Calmar ratio (compounded annual return / max draw down)
    6.40176
  • Compounded annual return / average of 25% largest draw downs
    12.01860
  • Compounded annual return / Expected Shortfall lognormal
    42.65980

Strategy Description

COREX STRATEGY:
Traded portfolio size: EURUSD:100K / USDJPY:100K / GBPUSD:100K
Max open positions: 3
Trailing stop placed
Fixed rules, no martingale
Low frequency, low cost
Self adjusting
Stresscase tested
High scalability
No trend follower
To use as diversified or stand alone
API automated signals: NinjaTrader to InteractiveBrokers to Collective2
24/5 up and running, no positions over the weekend
Realtime system monitoring
Redundant servers

COREX PAST PERFORMANCE FACTSHEET: 5 years 05/2012-07/2017
https://forums.collective2.com/t/corex-past-performance-factsheet-05-2012-07-2017/11115

RECOMMENDED REQUIREMENTS FOR SUBSCRIBING/AUTOTRADING:
Follow strategy order entries and exits
Min. investment period: 6 months
5000$ account equity for 10% scaling
10000$ account equity for 20% scaling
25000$ account equity for 50% scaling
50000$ account equity for 100% scaling
100000$ account equity for 200% scaling
etc.

DISCLAIMER:
Drawdowns that last a few weeks are part of the strategy.
Past performance is not indicative of future results.

Summary Statistics

Strategy began
2017-08-06
Suggested Minimum Capital
$80,000
# Trades
381
# Profitable
239
% Profitable
62.7%
Correlation S&P500
-0.035
Sharpe Ratio
2.922

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.