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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

2 and 3
(115071232)

Created by: Proxy Proxy
Started: 11/2017
Forex
Last trade: 2,110 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 $300.00 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.

-15.4%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(59.5%)
Max Drawdown
24
Num Trades
91.7%
Win Trades
0.9 : 1
Profit Factor
3.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                      (6.4%)+31.3%+22.9%
2018(18.9%)+82.1%+10.9%(23.8%)(26.4%)(23.9%)  -    -    -    -    -    -  (30.1%)
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 9 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2186 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/4/18 8:31 GBP/USD GBP/USD LONG 100 1.34627 6/19 14:56 1.31926 110.9%
Trade id #117793066
Max drawdown($27,005)
Time6/19/18 14:56
Quant open27
Worst price1.31708
Drawdown as % of equity-110.90%
($27,005)
3/19/18 8:03 GBP/CHF GBP/CHF SHORT 136 1.35887 5/4 5:48 1.35959 92.46%
Trade id #117112024
Max drawdown($21,681)
Time4/18/18 3:09
Quant open-81
Worst price1.38559
Drawdown as % of equity-92.46%
($985)
3/5/18 23:13 EUR/CAD EUR/CAD SHORT 21 1.60243 3/8 11:24 1.59329 3.24%
Trade id #116874042
Max drawdown($1,594)
Time3/7/18 12:11
Quant open-21
Worst price1.61225
Drawdown as % of equity-3.24%
$1,484
3/5/18 23:12: Rescaled downward to 91% of previous Model Account size
2/28/18 11:13 GBP/JPY GBP/JPY LONG 42.770000458 145.695 3/5 10:45 146.477 6.41%
Trade id #116775775
Max drawdown($2,865)
Time3/2/18 8:11
Quant open43
Worst price144.986
Drawdown as % of equity-6.41%
$3,159
2/22/18 13:30 USD/CHF USD/CHF LONG 20.930000305 0.93345 2/28 1:10 0.93971 0.55%
Trade id #116672348
Max drawdown($249)
Time2/22/18 17:31
Quant open19
Worst price0.93222
Drawdown as % of equity-0.55%
$1,394
2/22/18 10:31: Rescaled downward to 83% of previous Model Account size
2/9/18 0:47 USD/CHF USD/CHF LONG 34.743999481 0.93185 2/22 2:00 0.94046 11.61%
Trade id #116407574
Max drawdown($4,402)
Time2/16/18 4:36
Quant open32
Worst price0.91876
Drawdown as % of equity-11.61%
$3,181
2/6/18 0:30 USD/CHF USD/CHF LONG 35.499000549 0.93192 2/7 12:07 0.94402 0.45%
Trade id #116324856
Max drawdown($170)
Time2/6/18 1:51
Quant open26
Worst price0.93132
Drawdown as % of equity-0.45%
$4,550
2/6/18 0:27: Rescaled downward to 84% of previous Model Account size
12/26/17 23:35 AUD/USD AUD/USD SHORT 86.285003662 0.79520 2/4/18 17:59 0.79045 53.21%
Trade id #115530488
Max drawdown($11,980)
Time1/26/18 14:12
Quant open-66
Worst price0.81358
Drawdown as % of equity-53.21%
$4,097
1/10/18 14:32 EUR/JPY EUR/JPY LONG 8.248000145 133.120 1/11 8:17 134.169 0.15%
Trade id #115810817
Max drawdown($47)
Time1/10/18 17:40
Quant open5
Worst price133.018
Drawdown as % of equity-0.15%
$775
1/5/18 9:50 USD/CAD USD/CAD LONG 3.171999931 1.23826 1/10 14:12 1.25583 0.04%
Trade id #115715846
Max drawdown($12)
Time1/5/18 10:01
Quant open2
Worst price1.23750
Drawdown as % of equity-0.04%
$444
12/29/17 12:56 USD/CHF USD/CHF LONG 8.248000145 0.97234 1/3/18 9:40 0.97743 0.41%
Trade id #115597031
Max drawdown($127)
Time1/2/18 5:47
Quant open5
Worst price0.96997
Drawdown as % of equity-0.41%
$429
12/21/17 11:04 USD/JPY USD/JPY SHORT 3.171999931 113.469 12/26 13:17 113.165 0.01%
Trade id #115464381
Max drawdown($4)
Time12/21/17 13:03
Quant open-2
Worst price113.496
Drawdown as % of equity-0.01%
$85
12/20/17 0:51 CHF/JPY CHF/JPY SHORT 8.248000145 114.922 12/21 8:59 114.548 0.38%
Trade id #115435920
Max drawdown($119)
Time12/21/17 2:42
Quant open-5
Worst price115.182
Drawdown as % of equity-0.38%
$272
12/20/17 0:51: Rescaled downward to 80% of previous Model Account size
12/19/17 11:41 USD/CAD USD/CAD SHORT 2.538000107 1.29072 12/20 0:49 1.28728 0.05%
Trade id #115426836
Max drawdown($16)
Time12/19/17 12:19
Quant open-2
Worst price1.29202
Drawdown as % of equity-0.05%
$68
12/12/17 8:32 EUR/AUD EUR/AUD LONG 69.027999878 1.53991 12/19 11:06 1.54368 9.56%
Trade id #115306804
Max drawdown($2,566)
Time12/15/17 3:44
Quant open44
Worst price1.53225
Drawdown as % of equity-9.56%
$1,992
12/8/17 0:02 AUD/USD AUD/USD LONG 13.196999550 0.75120 12/12 3:31 0.75555 0.24%
Trade id #115250969
Max drawdown($68)
Time12/8/17 13:47
Quant open6
Worst price0.75017
Drawdown as % of equity-0.24%
$574
12/8/17 1:09 GBP/CHF GBP/CHF SHORT 2.538000107 1.34586 12/8 8:16 1.33642 0.05%
Trade id #115251314
Max drawdown($14)
Time12/8/17 1:37
Quant open-2
Worst price1.34695
Drawdown as % of equity-0.05%
$240
12/5/17 20:48 CHF/JPY CHF/JPY LONG 41.112998962 113.611 12/7 23:57 113.884 2.17%
Trade id #115210687
Max drawdown($583)
Time12/6/17 13:50
Quant open22
Worst price113.294
Drawdown as % of equity-2.17%
$991
12/4/17 1:13 EUR/CAD EUR/CAD LONG 23.856000900 1.50462 12/6 11:48 1.50804 4.68%
Trade id #115164832
Max drawdown($1,178)
Time12/6/17 10:00
Quant open12
Worst price1.49217
Drawdown as % of equity-4.68%
$638
12/5/17 2:45 EUR/AUD EUR/AUD LONG 2.538000107 1.55238 12/5 19:39 1.56050 0.14%
Trade id #115191491
Max drawdown($38)
Time12/5/17 19:31
Quant open2
Worst price1.54844
Drawdown as % of equity-0.14%
$156
12/4/17 0:34 EUR/GBP EUR/GBP LONG 13.196999550 0.88153 12/5 2:31 0.88359 2.13%
Trade id #115164608
Max drawdown($535)
Time12/4/17 10:05
Quant open6
Worst price0.87558
Drawdown as % of equity-2.13%
$365
12/1/17 12:01 EUR/CHF EUR/CHF LONG 6.598000050 1.16081 12/3 18:00 1.16361 0.13%
Trade id #115145900
Max drawdown($33)
Time12/1/17 12:44
Quant open4
Worst price1.15984
Drawdown as % of equity-0.13%
$188
11/29/17 20:30 GBP/JPY GBP/JPY SHORT 13.196999550 151.546 12/1 11:57 151.086 2.33%
Trade id #115110314
Max drawdown($560)
Time12/1/17 3:05
Quant open-6
Worst price152.482
Drawdown as % of equity-2.33%
$542
11/29/17 0:41 USD/CAD USD/CAD SHORT 23.856000900 1.28513 12/1 8:30 1.28155 2.32%
Trade id #115089238
Max drawdown($549)
Time11/30/17 12:55
Quant open-12
Worst price1.29094
Drawdown as % of equity-2.32%
$666

Statistics

  • Strategy began
    11/28/2017
  • Suggested Minimum Cap
    $25,378
  • Strategy Age (days)
    2312.57
  • Age
    77 months ago
  • What it trades
    Forex
  • # Trades
    24
  • # Profitable
    22
  • % Profitable
    91.70%
  • Avg trade duration
    8.4 days
  • Max peak-to-valley drawdown
    59.51%
  • drawdown period
    March 23, 2018 - June 19, 2018
  • Cumul. Return
    -15.0%
  • Avg win
    $1,195
  • Avg loss
    $13,995
  • Model Account Values (Raw)
  • Cash
    $23,679
  • Margin Used
    $0
  • Buying Power
    $23,679
  • Ratios
  • W:L ratio
    0.94:1
  • Sharpe Ratio
    0.03
  • Sortino Ratio
    0.04
  • Calmar Ratio
    -0.084
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -19.38%
  • Correlation to SP500
    -0.03080
  • Return Percent SP500 (cumu) during strategy life
    100.01%
  • Return Statistics
  • Ann Return (w trading costs)
    -15.4%
  • Slump
  • Current Slump as Pcnt Equity
    140.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.150%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    98.50%
  • Chance of 20% account loss
    91.50%
  • Chance of 30% account loss
    84.50%
  • Chance of 40% account loss
    63.00%
  • Chance of 60% account loss (Monte Carlo)
    28.50%
  • Chance of 70% account loss (Monte Carlo)
    12.50%
  • Chance of 80% account loss (Monte Carlo)
    1.50%
  • 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
    45.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    427
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    351
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $13,995
  • Avg Win
    $1,195
  • Sum Trade PL (losers)
    $27,990.000
  • Age
  • Num Months filled monthly returns table
    77
  • Win / Loss
  • Sum Trade PL (winners)
    $26,290.000
  • # Winners
    22
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    2
  • % Winners
    91.7%
  • Frequency
  • Avg Position Time (mins)
    12080.20
  • Avg Position Time (hrs)
    201.34
  • Avg Trade Length
    8.4 days
  • Last Trade Ago
    2109
  • Regression
  • Alpha
    0.00
  • Beta
    -0.05
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.13
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    14.14
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    91.34
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.32
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    1.09
  • Avg(MAE) / Avg(PL) - All trades
    -44.944
  • 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
    1.20
  • Avg(MAE) / Avg(PL) - Winning trades
    1.054
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.739
  • Hold-and-Hope Ratio
    -0.022
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55048
  • SD
    1.41638
  • Sharpe ratio (Glass type estimate)
    0.38865
  • Sharpe ratio (Hedges UMVUE)
    0.35084
  • df
    8.00000
  • t
    0.33658
  • p
    0.37255
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64775
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91885
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62053
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94378
  • Upside Potential Ratio
    3.12071
  • Upside part of mean
    1.82020
  • Downside part of mean
    -1.26973
  • Upside SD
    1.21173
  • Downside SD
    0.58327
  • N nonnegative terms
    3.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.00073
  • Mean of criterion
    0.55048
  • SD of predictor
    0.16736
  • SD of criterion
    1.41638
  • Covariance
    -0.11988
  • r
    -0.50574
  • b (slope, estimate of beta)
    -4.28016
  • a (intercept, estimate of alpha)
    0.55358
  • Mean Square Error
    1.70631
  • DF error
    7.00000
  • t(b)
    -1.55102
  • p(b)
    0.91758
  • t(a)
    0.36701
  • p(a)
    0.36223
  • Lowerbound of 95% confidence interval for beta
    -10.80550
  • Upperbound of 95% confidence interval for beta
    2.24522
  • Lowerbound of 95% confidence interval for alpha
    -3.01309
  • Upperbound of 95% confidence interval for alpha
    4.12025
  • Treynor index (mean / b)
    -0.12861
  • Jensen alpha (a)
    0.55358
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12030
  • SD
    1.16095
  • Sharpe ratio (Glass type estimate)
    -0.10362
  • Sharpe ratio (Hedges UMVUE)
    -0.09354
  • df
    8.00000
  • t
    -0.08974
  • p
    0.53465
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17009
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17570
  • Upside Potential Ratio
    1.98155
  • Upside part of mean
    1.35672
  • Downside part of mean
    -1.47702
  • Upside SD
    0.85467
  • Downside SD
    0.68468
  • N nonnegative terms
    3.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.01194
  • Mean of criterion
    -0.12030
  • SD of predictor
    0.16972
  • SD of criterion
    1.16095
  • Covariance
    -0.10452
  • r
    -0.53045
  • b (slope, estimate of beta)
    -3.62838
  • a (intercept, estimate of alpha)
    -0.16362
  • Mean Square Error
    1.10693
  • DF error
    7.00000
  • t(b)
    -1.65554
  • p(b)
    0.92911
  • t(a)
    -0.13465
  • p(a)
    0.55166
  • Lowerbound of 95% confidence interval for beta
    -8.81087
  • Upperbound of 95% confidence interval for beta
    1.55410
  • Lowerbound of 95% confidence interval for alpha
    -3.03701
  • Upperbound of 95% confidence interval for alpha
    2.70977
  • Treynor index (mean / b)
    0.03315
  • Jensen alpha (a)
    -0.16362
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.42952
  • Expected Shortfall on VaR
    0.50043
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.28600
  • Expected Shortfall on VaR
    0.45192
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.68720
  • Quartile 1
    0.73630
  • Median
    1.00000
  • Quartile 3
    1.09991
  • Maximum
    2.01580
  • Mean of quarter 1
    0.71599
  • Mean of quarter 2
    0.95686
  • Mean of quarter 3
    1.04996
  • Mean of quarter 4
    1.63611
  • Inter Quartile Range
    0.36362
  • 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
    0.11111
  • Mean of outliers high
    2.01580
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.82310
  • VaR(95%) (moments method)
    0.30802
  • Expected Shortfall (moments method)
    0.31631
  • Extreme Value Index (regression method)
    0.65644
  • VaR(95%) (regression method)
    0.32560
  • Expected Shortfall (regression method)
    0.49662
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.27553
  • Quartile 1
    0.34107
  • Median
    0.40660
  • Quartile 3
    0.47214
  • Maximum
    0.53768
  • Mean of quarter 1
    0.27553
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.53768
  • Inter Quartile Range
    0.13108
  • 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)
    -0.08926
  • Compounded annual return (geometric extrapolation)
    -0.08825
  • Calmar ratio (compounded annual return / max draw down)
    -0.16414
  • Compounded annual return / average of 25% largest draw downs
    -0.16414
  • Compounded annual return / Expected Shortfall lognormal
    -0.17635
  • 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
    0.27191
  • SD
    0.87848
  • Sharpe ratio (Glass type estimate)
    0.30952
  • Sharpe ratio (Hedges UMVUE)
    0.30836
  • df
    200.00000
  • t
    0.27111
  • p
    0.49042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.92869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54711
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92953
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54626
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43283
  • Upside Potential Ratio
    6.26170
  • Upside part of mean
    3.93369
  • Downside part of mean
    -3.66178
  • Upside SD
    0.61116
  • Downside SD
    0.62821
  • N nonnegative terms
    77.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    201.00000
  • Mean of predictor
    0.04260
  • Mean of criterion
    0.27191
  • SD of predictor
    0.16832
  • SD of criterion
    0.87848
  • Covariance
    -0.02189
  • r
    -0.14805
  • b (slope, estimate of beta)
    -0.77269
  • a (intercept, estimate of alpha)
    0.16800
  • Mean Square Error
    0.75860
  • DF error
    199.00000
  • t(b)
    -2.11179
  • p(b)
    0.59391
  • t(a)
    0.30651
  • p(a)
    0.48617
  • Lowerbound of 95% confidence interval for beta
    -1.49422
  • Upperbound of 95% confidence interval for beta
    -0.05116
  • Lowerbound of 95% confidence interval for alpha
    -1.65631
  • Upperbound of 95% confidence interval for alpha
    2.26598
  • Treynor index (mean / b)
    -0.35190
  • Jensen alpha (a)
    0.30483
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11823
  • SD
    0.89082
  • Sharpe ratio (Glass type estimate)
    -0.13272
  • Sharpe ratio (Hedges UMVUE)
    -0.13222
  • df
    200.00000
  • t
    -0.11625
  • p
    0.50411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37030
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.36995
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10551
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17378
  • Upside Potential Ratio
    5.53034
  • Upside part of mean
    3.76250
  • Downside part of mean
    -3.88073
  • Upside SD
    0.57167
  • Downside SD
    0.68034
  • N nonnegative terms
    77.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    201.00000
  • Mean of predictor
    0.02840
  • Mean of criterion
    -0.11823
  • SD of predictor
    0.16924
  • SD of criterion
    0.89082
  • Covariance
    -0.02129
  • r
    -0.14119
  • b (slope, estimate of beta)
    -0.74314
  • a (intercept, estimate of alpha)
    -0.09712
  • Mean Square Error
    0.78165
  • DF error
    199.00000
  • t(b)
    -2.01183
  • p(b)
    0.58958
  • t(a)
    -0.09622
  • p(a)
    0.50434
  • Lowerbound of 95% confidence interval for beta
    -1.47155
  • Upperbound of 95% confidence interval for beta
    -0.01473
  • Lowerbound of 95% confidence interval for alpha
    -2.08770
  • Upperbound of 95% confidence interval for alpha
    1.89345
  • Treynor index (mean / b)
    0.15910
  • Jensen alpha (a)
    -0.09712
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08696
  • Expected Shortfall on VaR
    0.10753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03610
  • Expected Shortfall on VaR
    0.07681
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    201.00000
  • Minimum
    0.77343
  • Quartile 1
    0.99425
  • Median
    1.00000
  • Quartile 3
    1.01258
  • Maximum
    1.22905
  • Mean of quarter 1
    0.94573
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00385
  • Mean of quarter 4
    1.05667
  • Inter Quartile Range
    0.01833
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.11940
  • Mean of outliers low
    0.90381
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.11443
  • Mean of outliers high
    1.09536
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72498
  • VaR(95%) (moments method)
    0.03685
  • Expected Shortfall (moments method)
    0.15607
  • Extreme Value Index (regression method)
    0.08738
  • VaR(95%) (regression method)
    0.04264
  • Expected Shortfall (regression method)
    0.06940
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00662
  • Quartile 1
    0.01222
  • Median
    0.05171
  • Quartile 3
    0.14815
  • Maximum
    0.54562
  • Mean of quarter 1
    0.00762
  • Mean of quarter 2
    0.02867
  • Mean of quarter 3
    0.06824
  • Mean of quarter 4
    0.45364
  • Inter Quartile Range
    0.13594
  • 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
    0.25000
  • Mean of outliers high
    0.45364
  • 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)
    -0.08727
  • Compounded annual return (geometric extrapolation)
    -0.08636
  • Calmar ratio (compounded annual return / max draw down)
    -0.15829
  • Compounded annual return / average of 25% largest draw downs
    -0.19038
  • Compounded annual return / Expected Shortfall lognormal
    -0.80314
  • 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
    -1.18659
  • SD
    0.84151
  • Sharpe ratio (Glass type estimate)
    -1.41008
  • Sharpe ratio (Hedges UMVUE)
    -1.40193
  • df
    130.00000
  • t
    -0.99708
  • p
    0.54356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.18452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.17897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37511
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.82555
  • Upside Potential Ratio
    4.53246
  • Upside part of mean
    2.94606
  • Downside part of mean
    -4.13265
  • Upside SD
    0.53443
  • Downside SD
    0.64999
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01004
  • Mean of criterion
    -1.18659
  • SD of predictor
    0.17295
  • SD of criterion
    0.84151
  • Covariance
    -0.00568
  • r
    -0.03903
  • b (slope, estimate of beta)
    -0.18991
  • a (intercept, estimate of alpha)
    -1.18850
  • Mean Square Error
    0.71254
  • DF error
    129.00000
  • t(b)
    -0.44365
  • p(b)
    0.52484
  • t(a)
    -0.99558
  • p(a)
    0.55552
  • Lowerbound of 95% confidence interval for beta
    -1.03685
  • Upperbound of 95% confidence interval for beta
    0.65703
  • Lowerbound of 95% confidence interval for alpha
    -3.55041
  • Upperbound of 95% confidence interval for alpha
    1.17341
  • Treynor index (mean / b)
    6.24817
  • Jensen alpha (a)
    -1.18850
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.54965
  • SD
    0.85703
  • Sharpe ratio (Glass type estimate)
    -1.80816
  • Sharpe ratio (Hedges UMVUE)
    -1.79771
  • df
    130.00000
  • t
    -1.27856
  • p
    0.55572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.58528
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.57812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98269
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.22239
  • Upside Potential Ratio
    4.03629
  • Upside part of mean
    2.81447
  • Downside part of mean
    -4.36413
  • Upside SD
    0.50184
  • Downside SD
    0.69729
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02496
  • Mean of criterion
    -1.54965
  • SD of predictor
    0.17364
  • SD of criterion
    0.85703
  • Covariance
    -0.00569
  • r
    -0.03823
  • b (slope, estimate of beta)
    -0.18868
  • a (intercept, estimate of alpha)
    -1.55436
  • Mean Square Error
    0.73912
  • DF error
    129.00000
  • t(b)
    -0.43450
  • p(b)
    0.52433
  • t(a)
    -1.27839
  • p(a)
    0.57106
  • VAR (95 Confidence Intrvl)
    0.06300
  • Lowerbound of 95% confidence interval for beta
    -1.04785
  • Upperbound of 95% confidence interval for beta
    0.67049
  • Lowerbound of 95% confidence interval for alpha
    -3.96000
  • Upperbound of 95% confidence interval for alpha
    0.85127
  • Treynor index (mean / b)
    8.21317
  • Jensen alpha (a)
    -1.55436
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08881
  • Expected Shortfall on VaR
    0.10858
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04699
  • Expected Shortfall on VaR
    0.09525
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.83498
  • Quartile 1
    0.99128
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.20940
  • Mean of quarter 1
    0.93851
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04473
  • Inter Quartile Range
    0.00872
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.92627
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.05938
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36881
  • VaR(95%) (moments method)
    0.04448
  • Expected Shortfall (moments method)
    0.08878
  • Extreme Value Index (regression method)
    -0.20784
  • VaR(95%) (regression method)
    0.05595
  • Expected Shortfall (regression method)
    0.07546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.54562
  • Quartile 1
    0.54562
  • Median
    0.54562
  • Quartile 3
    0.54562
  • Maximum
    0.54562
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -58
  • Max Equity Drawdown (num days)
    88
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.06548
  • Compounded annual return (geometric extrapolation)
    -0.78167
  • Calmar ratio (compounded annual return / max draw down)
    -1.43264
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -7.19907

Strategy Description

This system reflects the same logic utilized in the system "Freedom Forex" but is far more aggressive and enters higher probability trades.

I will be giving the first month for free to all new subscribers - if you are interested, please contact me for your coupon code. I want to make your first month's payment for you. If there are no entries and subsequent exits, your test period will be extended. Thereafter, I will be charging 38% of all monthly profits this system generates.

System will be rescaled after each "trade cycle" when all trades have closed.

Summary Statistics

Strategy began
2017-11-28
Suggested Minimum Capital
$20,000
# Trades
24
# Profitable
22
% Profitable
91.7%
Correlation S&P500
-0.031
Sharpe Ratio
0.03
Sortino Ratio
0.04
Beta
-0.05
Alpha
0.00

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.