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These are hypothetical performance results that have certain inherent limitations. Learn more
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AI-Forex
(114872715)

Created by: TaoLi2 TaoLi2
Started: 11/2017
Forex
Last trade: 2,098 days ago
Trading style: Futures 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 $59.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
-
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.

(100.0%)
Max Drawdown
43
Num Trades
79.1%
Win Trades
0.2 : 1
Profit Factor
32.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                      (3.2%)+6.1%+2.7%
2018(30.8%)+30.2%(11.8%)+15.9%+7.6%+17.5%(7.1%)(25.5%)(0.4%)(20.6%)+38.7%(35.2%)(42.7%)
2019+76.2%(15.1%)(10.1%)(8.6%)(46.1%)+51.4%(41.6%)(101.1%)(471.8%)(1548.9%)(35.8%)+157.8%(9.1%)
2020(68.3%)(169.8%)(512.1%)(77.1%)(68.9%)(542.6%)+189.5%+58.0%(40%)+15.5%+76.3%+26.4%+201.4%
2021+3.9%+11.4%(12.6%)+15.7%+1.5%(18.4%)(15.9%)(4.9%)(0.4%)+27.5%(32.5%)+18.6%(21.3%)
2022(16.4%)+13.6%+32.3%(42.4%)(4.7%)(35.6%)+12.1%(46.3%)(167.9%)(103.4%)(142.9%)(60.9%)(93.8%)
2023+894.3%(80.9%)+8.8%(92%)(1685.4%)(10.4%)(60%)(474%)(26.3%)(14.8%)(89.5%)(265%)+35.0%
2024(293.8%)(58.6%)(12%)(57.6%)                                                (526.4%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/9/18 21:59 AUD/USD AUD/USD LONG 2 0.74710 7/9 23:27 0.74811 0.02%
Trade id #118835062
Max drawdown($2)
Time7/9/18 22:01
Quant open2
Worst price0.74698
Drawdown as % of equity-0.02%
 $20
7/5/18 7:57 AUD/USD AUD/USD LONG 15 0.73905 7/9 21:11 0.74162 1.39%
Trade id #118782370
Max drawdown($172)
Time7/5/18 14:15
Quant open7
Worst price0.73741
Drawdown as % of equity-1.39%
 $386
7/4/18 6:16 USD/CNH USD/CNH SHORT 5 6.64983 7/9 21:06 6.63362 1.35%
Trade id #118771438
Max drawdown($165)
Time7/5/18 23:46
Quant open-3
Worst price6.68642
Drawdown as % of equity-1.35%
 $123
7/5/18 8:01 NZD/CAD NZD/CAD LONG 1 0.89070 7/9 0:14 0.89487 0.04%
Trade id #118782391
Max drawdown($5)
Time7/5/18 10:53
Quant open1
Worst price0.89002
Drawdown as % of equity-0.04%
 $32
7/5/18 17:19 EUR/USD EUR/USD LONG 1 1.16916 7/5 20:49 1.16936 0.02%
Trade id #118793894
Max drawdown($3)
Time7/5/18 17:45
Quant open1
Worst price1.16885
Drawdown as % of equity-0.02%
 $2
7/4/18 21:04 AUD/USD AUD/USD SHORT 10 0.73701 7/5 7:52 0.73990 2.36%
Trade id #118778504
Max drawdown($296)
Time7/5/18 7:49
Quant open-10
Worst price0.73997
Drawdown as % of equity-2.36%
 ($289)
7/4/18 21:05 NZD/CAD NZD/CAD SHORT 2 0.88904 7/5 0:24 0.89063 0.19%
Trade id #118778513
Max drawdown($24)
Time7/5/18 0:24
Quant open0
Worst price0.89063
Drawdown as % of equity-0.19%
 ($24)
7/3/18 12:47 NZD/CAD NZD/CAD LONG 30 0.88844 7/4 21:05 0.88776 1.22%
Trade id #118763672
Max drawdown($156)
Time7/4/18 21:05
Quant open0
Worst price0.88776
Drawdown as % of equity-1.22%
 ($156)
6/29/18 11:19 AUD/USD AUD/USD LONG 40 0.73816 7/4 20:55 0.73938 24.62%
Trade id #118713400
Max drawdown($2,697)
Time7/2/18 11:15
Quant open35
Worst price0.73105
Drawdown as % of equity-24.62%
 $488
7/1/18 21:01 AUD/CHF AUD/CHF LONG 5 0.73277 7/1 21:53 0.73321 0.12%
Trade id #118732616
Max drawdown($15)
Time7/1/18 21:07
Quant open5
Worst price0.73247
Drawdown as % of equity-0.12%
 $22
12/12/17 22:25 USD/CNH USD/CNH LONG 5 6.56755 6/29/18 10:44 6.62693 13.71%
Trade id #115323923
Max drawdown($1,451)
Time6/6/18 17:25
Quant open5
Worst price6.37520
Drawdown as % of equity-13.71%
 $448
12/19/17 9:07 EUR/USD EUR/USD SHORT 6 1.19359 5/1/18 12:09 1.19493 16.72%
Trade id #115422232
Max drawdown($1,433)
Time4/17/18 3:33
Quant open-3
Worst price1.24137
Drawdown as % of equity-16.72%
 ($80)
12/26/17 9:24 USD/CAD USD/CAD LONG 3 1.26497 3/2/18 13:32 1.28218 13.01%
Trade id #115516106
Max drawdown($935)
Time1/31/18 8:31
Quant open3
Worst price1.22472
Drawdown as % of equity-13.01%
 $400
12/28/17 15:01 USD/CHF USD/CHF LONG 1 0.97833 1/9/18 8:37 0.98338 0.83%
Trade id #115575465
Max drawdown($85)
Time1/2/18 5:47
Quant open1
Worst price0.96997
Drawdown as % of equity-0.83%
 $51
12/26/17 18:40 GBP/USD GBP/USD LONG 2 1.33748 1/4/18 9:48 1.34993 0.13%
Trade id #115527911
Max drawdown($14)
Time12/26/17 21:52
Quant open2
Worst price1.33676
Drawdown as % of equity-0.13%
 $249
1/3/18 20:57 AUD/USD AUD/USD LONG 1 0.78189 1/3 23:05 0.78321 0.01%
Trade id #115685206
Max drawdown($0)
Time1/3/18 20:59
Quant open1
Worst price0.78180
Drawdown as % of equity-0.01%
 $13
12/21/17 21:59 USD/JPY USD/JPY SHORT 3 113.353 12/27 16:08 113.298 0.11%
Trade id #115475671
Max drawdown($11)
Time12/22/17 3:07
Quant open-1
Worst price113.448
Drawdown as % of equity-0.11%
 $15
12/6/17 10:05 GBP/USD GBP/USD LONG 9 1.33788 12/26 12:06 1.33931 2.27%
Trade id #115219646
Max drawdown($249)
Time12/15/17 13:46
Quant open3
Worst price1.33014
Drawdown as % of equity-2.27%
 $129
12/21/17 10:10 USD/CAD USD/CAD LONG 1 1.27468 12/22 10:08 1.27728 0.34%
Trade id #115462714
Max drawdown($38)
Time12/22/17 8:11
Quant open1
Worst price1.26977
Drawdown as % of equity-0.34%
 $20
12/5/17 12:19 AUD/USD AUD/USD LONG 8 0.76231 12/21 16:12 0.76418 2.47%
Trade id #115203314
Max drawdown($253)
Time12/7/17 20:57
Quant open3
Worst price0.75012
Drawdown as % of equity-2.47%
 $150
12/18/17 8:52 EUR/USD EUR/USD SHORT 1 1.17954 12/18 15:27 1.17839 0.35%
Trade id #115404844
Max drawdown($39)
Time12/18/17 10:43
Quant open-1
Worst price1.18344
Drawdown as % of equity-0.35%
 $12
12/15/17 10:13 USD/CHF USD/CHF SHORT 1 0.99062 12/17 23:50 0.99024 0.26%
Trade id #115372877
Max drawdown($28)
Time12/15/17 10:57
Quant open-1
Worst price0.99345
Drawdown as % of equity-0.26%
 $4
12/13/17 13:06 EUR/USD EUR/USD SHORT 1 1.17673 12/14 19:34 1.17812 0.86%
Trade id #115335687
Max drawdown($95)
Time12/14/17 8:41
Quant open-1
Worst price1.18628
Drawdown as % of equity-0.86%
 ($14)
12/14/17 13:12 USD/CAD USD/CAD LONG 1 1.27339 12/14 18:32 1.27946 0.14%
Trade id #115356168
Max drawdown($15)
Time12/14/17 13:19
Quant open1
Worst price1.27135
Drawdown as % of equity-0.14%
 $47
12/7/17 22:57 USD/JPY USD/JPY SHORT 2 113.306 12/13 14:02 113.204 0.75%
Trade id #115250698
Max drawdown($78)
Time12/12/17 10:40
Quant open-2
Worst price113.752
Drawdown as % of equity-0.75%
 $18
12/7/17 22:57 USD/CHF USD/CHF SHORT 3 0.99413 12/13 14:00 0.98987 0.62%
Trade id #115250693
Max drawdown($63)
Time12/8/17 6:13
Quant open-2
Worst price0.99777
Drawdown as % of equity-0.62%
 $130
11/15/17 13:40 NZD/USD NZD/USD LONG 13 0.68458 12/13 10:57 0.68825 2.16%
Trade id #114872731
Max drawdown($213)
Time11/17/17 5:36
Quant open3
Worst price0.67804
Drawdown as % of equity-2.16%
 $477
11/22/17 11:39 USD/CNH USD/CNH LONG 5 6.61214 12/12 12:29 6.62088 1.15%
Trade id #114984284
Max drawdown($116)
Time11/23/17 20:31
Quant open2
Worst price6.56780
Drawdown as % of equity-1.15%
 $66
12/10/17 17:15 EUR/USD EUR/USD SHORT 1 1.17632 12/11 16:00 1.17726 0.46%
Trade id #115277850
Max drawdown($48)
Time12/11/17 10:18
Quant open-1
Worst price1.18117
Drawdown as % of equity-0.46%
 ($9)
12/1/17 10:03 USD/CAD USD/CAD LONG 2 1.27058 12/6 13:47 1.27589 1.25%
Trade id #115141286
Max drawdown($128)
Time12/5/17 8:36
Quant open2
Worst price1.26237
Drawdown as % of equity-1.25%
 $83
Next

Statistics

  • Strategy began
    11/15/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2347.32
  • Age
    78 months ago
  • What it trades
    Forex
  • # Trades
    43
  • # Profitable
    34
  • % Profitable
    79.10%
  • Avg trade duration
    111.7 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 01, 2020 - March 24, 2020
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $109.41
  • Avg loss
    $1,935
  • Model Account Values (Raw)
  • Cash
    $13,082
  • Margin Used
    $4,001
  • Buying Power
    $2,089
  • Ratios
  • W:L ratio
    0.21:1
  • Sharpe Ratio
    -0.42
  • Sortino Ratio
    -0.43
  • Calmar Ratio
    -0.984
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -238.93%
  • Correlation to SP500
    0.19190
  • Return Percent SP500 (cumu) during strategy life
    97.21%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.50%
  • Chance of 20% account loss
    50.50%
  • Chance of 30% account loss
    19.00%
  • Chance of 40% account loss
    7.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,935
  • Avg Win
    $109
  • Sum Trade PL (losers)
    $17,415.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $3,720.000
  • # Winners
    34
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    9
  • % Winners
    79.1%
  • Frequency
  • Avg Position Time (mins)
    160890.00
  • Avg Position Time (hrs)
    2681.51
  • Avg Trade Length
    111.7 days
  • Last Trade Ago
    2094
  • Regression
  • Alpha
    0.00
  • Beta
    2.08
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    51.37
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    80.12
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.97
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -2.901
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.940
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.862
  • Hold-and-Hope Ratio
    0.310
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    8568.33000
  • SD
    12613.90000
  • Sharpe ratio (Glass type estimate)
    0.67928
  • Sharpe ratio (Hedges UMVUE)
    0.65866
  • df
    25.00000
  • t
    0.99987
  • p
    0.16348
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01732
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68533
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00265
  • Statistics related to Sortino ratio
  • Sortino ratio
    6543.94000
  • Upside Potential Ratio
    6545.96000
  • Upside part of mean
    8570.97000
  • Downside part of mean
    -2.64578
  • Upside SD
    12613.80000
  • Downside SD
    1.30935
  • N nonnegative terms
    11.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.27368
  • Mean of criterion
    8568.33000
  • SD of predictor
    0.31557
  • SD of criterion
    12613.90000
  • Covariance
    2816.91000
  • r
    0.70766
  • b (slope, estimate of beta)
    28285.80000
  • a (intercept, estimate of alpha)
    827.07700
  • Mean Square Error
    82740500.00000
  • DF error
    24.00000
  • t(b)
    4.90661
  • p(b)
    0.00003
  • t(a)
    0.12968
  • p(a)
    0.44895
  • Lowerbound of 95% confidence interval for beta
    16387.80000
  • Upperbound of 95% confidence interval for beta
    40183.80000
  • Lowerbound of 95% confidence interval for alpha
    -12336.20000
  • Upperbound of 95% confidence interval for alpha
    13990.30000
  • Treynor index (mean / b)
    0.30292
  • Jensen alpha (a)
    827.07700
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.27844
  • SD
    10.45420
  • Sharpe ratio (Glass type estimate)
    -0.40926
  • Sharpe ratio (Hedges UMVUE)
    -0.39683
  • df
    25.00000
  • t
    -0.60241
  • p
    0.72384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.93108
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73290
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93923
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54645
  • Upside Potential Ratio
    0.70985
  • Upside part of mean
    5.55780
  • Downside part of mean
    -9.83624
  • Upside SD
    6.73127
  • Downside SD
    7.82955
  • N nonnegative terms
    11.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.22681
  • Mean of criterion
    -4.27844
  • SD of predictor
    0.29637
  • SD of criterion
    10.45420
  • Covariance
    1.45846
  • r
    0.47073
  • b (slope, estimate of beta)
    16.60490
  • a (intercept, estimate of alpha)
    -8.04459
  • Mean Square Error
    88.61700
  • DF error
    24.00000
  • t(b)
    2.61382
  • p(b)
    0.00761
  • t(a)
    -1.22713
  • p(a)
    0.88416
  • Lowerbound of 95% confidence interval for beta
    3.49351
  • Upperbound of 95% confidence interval for beta
    29.71620
  • Lowerbound of 95% confidence interval for alpha
    -21.57470
  • Upperbound of 95% confidence interval for alpha
    5.48556
  • Treynor index (mean / b)
    -0.25766
  • Jensen alpha (a)
    -8.04459
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99511
  • Expected Shortfall on VaR
    0.99792
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.55755
  • Expected Shortfall on VaR
    0.95616
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.00025
  • Quartile 1
    0.70540
  • Median
    0.90201
  • Quartile 3
    1.10461
  • Maximum
    18568.00000
  • Mean of quarter 1
    0.33813
  • Mean of quarter 2
    0.84233
  • Mean of quarter 3
    1.02646
  • Mean of quarter 4
    2653.88000
  • Inter Quartile Range
    0.39921
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.00035
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    9285.69000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.14761
  • VaR(95%) (moments method)
    0.69107
  • Expected Shortfall (moments method)
    0.73286
  • Extreme Value Index (regression method)
    -3.22734
  • VaR(95%) (regression method)
    0.59187
  • Expected Shortfall (regression method)
    0.59291
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.26501
  • Quartile 1
    0.63246
  • Median
    0.99992
  • Quartile 3
    0.99993
  • Maximum
    0.99995
  • Mean of quarter 1
    0.26501
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99995
  • Inter Quartile Range
    0.36747
  • 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)
    -0.46149
  • Compounded annual return (geometric extrapolation)
    -0.98574
  • Calmar ratio (compounded annual return / max draw down)
    -0.98579
  • Compounded annual return / average of 25% largest draw downs
    -0.98579
  • Compounded annual return / Expected Shortfall lognormal
    -0.98779
  • 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
    6194.01000
  • SD
    3748.76000
  • Sharpe ratio (Glass type estimate)
    1.65228
  • Sharpe ratio (Hedges UMVUE)
    1.65017
  • df
    586.00000
  • t
    2.47316
  • p
    0.00684
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96299
  • Statistics related to Sortino ratio
  • Sortino ratio
    2387.76000
  • Upside Potential Ratio
    2393.13000
  • Upside part of mean
    6207.94000
  • Downside part of mean
    -13.92620
  • Upside SD
    3765.06000
  • Downside SD
    2.59407
  • N nonnegative terms
    282.00000
  • N negative terms
    305.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    587.00000
  • Mean of predictor
    0.31330
  • Mean of criterion
    6194.01000
  • SD of predictor
    0.30382
  • SD of criterion
    3748.76000
  • Covariance
    156.82500
  • r
    0.13769
  • b (slope, estimate of beta)
    1698.98000
  • a (intercept, estimate of alpha)
    5661.73000
  • Mean Square Error
    13810300.00000
  • DF error
    585.00000
  • t(b)
    3.36239
  • p(b)
    0.00041
  • t(a)
    2.27580
  • p(a)
    0.01161
  • Lowerbound of 95% confidence interval for beta
    706.58100
  • Upperbound of 95% confidence interval for beta
    2691.39000
  • Lowerbound of 95% confidence interval for alpha
    775.62600
  • Upperbound of 95% confidence interval for alpha
    10547.80000
  • Treynor index (mean / b)
    3.64571
  • Jensen alpha (a)
    5661.72000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.13845
  • SD
    19.22450
  • Sharpe ratio (Glass type estimate)
    -0.21527
  • Sharpe ratio (Hedges UMVUE)
    -0.21499
  • df
    586.00000
  • t
    -0.32222
  • p
    0.62630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09427
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09449
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.30857
  • Upside Potential Ratio
    2.56795
  • Upside part of mean
    34.44050
  • Downside part of mean
    -38.57890
  • Upside SD
    13.75300
  • Downside SD
    13.41170
  • N nonnegative terms
    282.00000
  • N negative terms
    305.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    587.00000
  • Mean of predictor
    0.26715
  • Mean of criterion
    -4.13845
  • SD of predictor
    0.30339
  • SD of criterion
    19.22450
  • Covariance
    1.43372
  • r
    0.24581
  • b (slope, estimate of beta)
    15.57590
  • a (intercept, estimate of alpha)
    -8.29947
  • Mean Square Error
    347.84500
  • DF error
    585.00000
  • t(b)
    6.13359
  • p(b)
    0.00000
  • t(a)
    -0.66509
  • p(a)
    0.74687
  • Lowerbound of 95% confidence interval for beta
    10.58840
  • Upperbound of 95% confidence interval for beta
    20.56340
  • Lowerbound of 95% confidence interval for alpha
    -32.80780
  • Upperbound of 95% confidence interval for alpha
    16.20890
  • Treynor index (mean / b)
    -0.26570
  • Jensen alpha (a)
    -8.29947
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.86046
  • Expected Shortfall on VaR
    0.90798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12194
  • Expected Shortfall on VaR
    0.27021
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    587.00000
  • Minimum
    0.00046
  • Quartile 1
    0.96552
  • Median
    1.00000
  • Quartile 3
    1.02878
  • Maximum
    2854.00000
  • Mean of quarter 1
    0.80037
  • Mean of quarter 2
    0.98760
  • Mean of quarter 3
    1.01095
  • Mean of quarter 4
    95.60580
  • Inter Quartile Range
    0.06326
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.09199
  • Mean of outliers low
    0.58072
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.07666
  • Mean of outliers high
    309.89900
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81042
  • VaR(95%) (moments method)
    0.17885
  • Expected Shortfall (moments method)
    1.02478
  • Extreme Value Index (regression method)
    -0.30598
  • VaR(95%) (regression method)
    0.13773
  • Expected Shortfall (regression method)
    0.17560
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00748
  • Quartile 1
    0.02041
  • Median
    0.03245
  • Quartile 3
    0.16638
  • Maximum
    0.99995
  • Mean of quarter 1
    0.01087
  • Mean of quarter 2
    0.02372
  • Mean of quarter 3
    0.07982
  • Mean of quarter 4
    0.78670
  • Inter Quartile Range
    0.14597
  • 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
    0.16667
  • Mean of outliers high
    0.99994
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2332410000.00000
  • VaR(95%) (moments method)
    0.72799
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -15.38520
  • VaR(95%) (regression method)
    42.93060
  • Expected Shortfall (regression method)
    42.93060
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.44629
  • Compounded annual return (geometric extrapolation)
    -0.98360
  • Calmar ratio (compounded annual return / max draw down)
    -0.98365
  • Compounded annual return / average of 25% largest draw downs
    -1.25029
  • Compounded annual return / Expected Shortfall lognormal
    -1.08329
  • 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
    20636.50000
  • SD
    6705.56000
  • Sharpe ratio (Glass type estimate)
    3.07753
  • Sharpe ratio (Hedges UMVUE)
    3.05974
  • df
    130.00000
  • t
    2.17614
  • p
    0.40626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27487
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.86862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.85638
  • Statistics related to Sortino ratio
  • Sortino ratio
    4512.04000
  • Upside Potential Ratio
    4518.90000
  • Upside part of mean
    20667.90000
  • Downside part of mean
    -31.37370
  • Upside SD
    6800.50000
  • Downside SD
    4.57366
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56845
  • Mean of criterion
    20636.50000
  • SD of predictor
    0.42035
  • SD of criterion
    6705.56000
  • Covariance
    384.56800
  • r
    0.13643
  • b (slope, estimate of beta)
    2176.42000
  • a (intercept, estimate of alpha)
    19399.40000
  • Mean Square Error
    44469700.00000
  • DF error
    129.00000
  • t(b)
    1.56422
  • p(b)
    0.41341
  • t(a)
    2.04983
  • p(a)
    0.38753
  • Lowerbound of 95% confidence interval for beta
    -576.45700
  • Upperbound of 95% confidence interval for beta
    4929.29000
  • Lowerbound of 95% confidence interval for alpha
    674.84100
  • Upperbound of 95% confidence interval for alpha
    38123.90000
  • Treynor index (mean / b)
    9.48190
  • Jensen alpha (a)
    19399.40000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -19.75370
  • SD
    35.63550
  • Sharpe ratio (Glass type estimate)
    -0.55432
  • Sharpe ratio (Hedges UMVUE)
    -0.55112
  • df
    130.00000
  • t
    -0.39197
  • p
    0.51718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.32599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.32374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22149
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78389
  • Upside Potential Ratio
    3.84900
  • Upside part of mean
    96.99290
  • Downside part of mean
    -116.74700
  • Upside SD
    25.03330
  • Downside SD
    25.19950
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48071
  • Mean of criterion
    -19.75370
  • SD of predictor
    0.41869
  • SD of criterion
    35.63550
  • Covariance
    2.14333
  • r
    0.14365
  • b (slope, estimate of beta)
    12.22670
  • a (intercept, estimate of alpha)
    -25.63110
  • Mean Square Error
    1253.32000
  • DF error
    129.00000
  • t(b)
    1.64869
  • p(b)
    0.40886
  • t(a)
    -0.51065
  • p(a)
    0.52858
  • VAR (95 Confidence Intrvl)
    0.86000
  • Lowerbound of 95% confidence interval for beta
    -2.44607
  • Upperbound of 95% confidence interval for beta
    26.89940
  • Lowerbound of 95% confidence interval for alpha
    -124.94000
  • Upperbound of 95% confidence interval for alpha
    73.67730
  • Treynor index (mean / b)
    -1.61562
  • Jensen alpha (a)
    -25.63110
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.97519
  • Expected Shortfall on VaR
    0.98746
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.30729
  • Expected Shortfall on VaR
    0.62395
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00046
  • Quartile 1
    0.89780
  • Median
    1.00000
  • Quartile 3
    1.06226
  • Maximum
    2838.00000
  • Mean of quarter 1
    0.55471
  • Mean of quarter 2
    0.97018
  • Mean of quarter 3
    1.01631
  • Mean of quarter 4
    314.13500
  • Inter Quartile Range
    0.16447
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.20611
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1034.06000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60455
  • VaR(95%) (moments method)
    0.43522
  • Expected Shortfall (moments method)
    1.24612
  • Extreme Value Index (regression method)
    -1.87278
  • VaR(95%) (regression method)
    0.30861
  • Expected Shortfall (regression method)
    0.31535
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07898
  • Quartile 1
    0.30922
  • Median
    0.53946
  • Quartile 3
    0.76971
  • Maximum
    0.99995
  • Mean of quarter 1
    0.07898
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99995
  • Inter Quartile Range
    0.46049
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -489392000
  • Max Equity Drawdown (num days)
    52
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99990
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00005
  • Compounded annual return / average of 25% largest draw downs
    -1.00005
  • Compounded annual return / Expected Shortfall lognormal
    -1.01270

Strategy Description

AI based.

Summary Statistics

Strategy began
2017-11-15
Suggested Minimum Capital
$10,000
# Trades
43
# Profitable
34
% Profitable
79.1%
Correlation S&P500
0.192
Sharpe Ratio
-0.42
Sortino Ratio
-0.43
Beta
2.08
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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