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Diamond 4x
(115990904)

Created by: Enzo Enzo
Started: 01/2018
Forex
Last trade: 7 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 $300.00 per month.

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
111.6%
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.

(20.3%)
Max Drawdown
77
Num Trades
98.7%
Win Trades
5.6 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018+12.9%+18.3%+18.0%(4.8%)+12.5%+10.6%+1.2%+10.6%+0.3%(0.2%)(2.3%)+3.5%+111.6%

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 239 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/11/18 17:52 NZD/USD NZD/USD LONG 110 0.65287 10/15 10:10 0.65416 1.57%
Trade id #120311610
Max drawdown($3,682)
Time10/14/18 19:04
Quant open100
Worst price0.64942
Drawdown as % of equity-1.57%
$1,419
9/13/18 9:51 USD/JPY USD/JPY SHORT 170 112.214 10/11 15:14 112.048 15.69%
Trade id #119840685
Max drawdown($32,078)
Time10/3/18 19:23
Quant open-145
Worst price114.550
Drawdown as % of equity-15.69%
$2,529
9/11/18 14:53 EUR/USD EUR/USD LONG 120 1.15965 9/13 9:23 1.16861 0.86%
Trade id #119809672
Max drawdown($1,925)
Time9/12/18 2:56
Quant open100
Worst price1.15701
Drawdown as % of equity-0.86%
$10,749
9/13/18 2:08 AUD/USD AUD/USD LONG 50 0.71798 9/13 8:39 0.72195 0.08%
Trade id #119834976
Max drawdown($189)
Time9/13/18 6:04
Quant open50
Worst price0.71760
Drawdown as % of equity-0.08%
$1,988
9/2/18 23:02 USD/CAD USD/CAD SHORT 115 1.30972 9/11 16:46 1.30580 4.42%
Trade id #119696684
Max drawdown($9,077)
Time9/6/18 11:23
Quant open-77
Worst price1.32264
Drawdown as % of equity-4.42%
$3,455
8/22/18 9:07 USD/JPY USD/JPY SHORT 174 110.668 9/6 19:40 110.539 8.97%
Trade id #119546671
Max drawdown($18,052)
Time8/29/18 11:51
Quant open-167
Worst price111.828
Drawdown as % of equity-8.97%
$2,038
8/23/18 13:18 EUR/USD EUR/USD LONG 40 1.15376 8/23 22:11 1.15458 0.15%
Trade id #119573338
Max drawdown($309)
Time8/23/18 15:04
Quant open40
Worst price1.15299
Drawdown as % of equity-0.15%
$328
8/23/18 10:22 EUR/USD EUR/USD LONG 30 1.15622 8/23 11:35 1.15749 0.12%
Trade id #119567460
Max drawdown($244)
Time8/23/18 10:25
Quant open30
Worst price1.15541
Drawdown as % of equity-0.12%
$380
8/21/18 23:40 NZD/USD NZD/USD SHORT 75 0.67044 8/22 6:44 0.66968 0.04%
Trade id #119542991
Max drawdown($83)
Time8/22/18 1:01
Quant open-75
Worst price0.67055
Drawdown as % of equity-0.04%
$569
8/21/18 15:51 USD/JPY USD/JPY SHORT 50 110.416 8/21 18:15 110.197 0%
Trade id #119540660
Max drawdown($7)
Time8/21/18 15:53
Quant open-50
Worst price110.418
Drawdown as % of equity-0.00%
$998
8/21/18 8:17 EUR/USD EUR/USD LONG 75 1.14963 8/21 13:18 1.15616 0.16%
Trade id #119527136
Max drawdown($332)
Time8/21/18 8:32
Quant open75
Worst price1.14919
Drawdown as % of equity-0.16%
$4,897
8/9/18 21:09 USD/CAD USD/CAD SHORT 100 1.30739 8/21 7:06 1.30253 3.77%
Trade id #119369849
Max drawdown($7,570)
Time8/15/18 11:05
Quant open-90
Worst price1.31746
Drawdown as % of equity-3.77%
$3,731
8/8/18 18:42 AUD/JPY AUD/JPY SHORT 100 82.416 8/9 11:33 82.082 1.02%
Trade id #119350918
Max drawdown($2,069)
Time8/9/18 2:19
Quant open-100
Worst price82.646
Drawdown as % of equity-1.02%
$3,018
8/8/18 9:58 USD/CAD USD/CAD SHORT 75 1.30690 8/8 18:36 1.30187 0.3%
Trade id #119338497
Max drawdown($594)
Time8/8/18 12:43
Quant open-75
Worst price1.30793
Drawdown as % of equity-0.30%
$2,900
8/7/18 9:54 USD/JPY USD/JPY SHORT 100 111.205 8/8 9:34 110.987 1.15%
Trade id #119317030
Max drawdown($2,263)
Time8/7/18 14:29
Quant open-75
Worst price111.479
Drawdown as % of equity-1.15%
$1,962
8/6/18 10:58 USD/CAD USD/CAD SHORT 100 1.30030 8/6 23:45 1.29938 0.26%
Trade id #119298104
Max drawdown($506)
Time8/6/18 12:20
Quant open-75
Worst price1.30126
Drawdown as % of equity-0.26%
$710
8/5/18 23:13 NZD/USD NZD/USD SHORT 100 0.67439 8/6 7:24 0.67296 0.15%
Trade id #119288624
Max drawdown($300)
Time8/6/18 3:55
Quant open-100
Worst price0.67469
Drawdown as % of equity-0.15%
$1,430
8/5/18 18:29 GBP/USD GBP/USD SHORT 40 1.30007 8/5 23:12 1.29969 0.11%
Trade id #119287334
Max drawdown($212)
Time8/5/18 19:18
Quant open-40
Worst price1.30060
Drawdown as % of equity-0.11%
$152
8/3/18 13:16 AUD/USD AUD/USD SHORT 75 0.74047 8/5 18:06 0.73991 0.07%
Trade id #119276850
Max drawdown($135)
Time8/3/18 13:18
Quant open-75
Worst price0.74065
Drawdown as % of equity-0.07%
$420
8/2/18 9:58 USD/JPY USD/JPY SHORT 50 111.448 8/3 10:07 111.163 1%
Trade id #119245615
Max drawdown($1,938)
Time8/3/18 4:01
Quant open-50
Worst price111.879
Drawdown as % of equity-1.00%
$1,283
7/27/18 0:21 NZD/USD NZD/USD SHORT 85 0.67839 8/2 6:05 0.67524 2.22%
Trade id #119149524
Max drawdown($4,178)
Time7/30/18 11:21
Quant open-80
Worst price0.68346
Drawdown as % of equity-2.22%
$2,677
7/8/18 18:35 NZD/JPY NZD/JPY SHORT 210 75.525 7/26 19:09 75.441 13.88%
Trade id #118815291
Max drawdown($24,036)
Time7/16/18 23:58
Quant open-200
Worst price76.859
Drawdown as % of equity-13.88%
$1,584
7/5/18 9:23 USD/JPY USD/JPY SHORT 50 110.591 7/6 16:24 110.427 0.47%
Trade id #118783120
Max drawdown($887)
Time7/6/18 1:36
Quant open-50
Worst price110.787
Drawdown as % of equity-0.47%
$743
7/1/18 23:42 USD/CAD USD/CAD SHORT 50 1.31639 7/3 20:26 1.31330 1.25%
Trade id #118733173
Max drawdown($2,326)
Time7/2/18 12:17
Quant open-50
Worst price1.32250
Drawdown as % of equity-1.25%
$1,176
6/24/18 22:46 USD/CAD USD/CAD SHORT 120 1.32952 6/27 10:33 1.32868 1.67%
Trade id #118612450
Max drawdown($3,093)
Time6/26/18 8:05
Quant open-120
Worst price1.33294
Drawdown as % of equity-1.67%
$754
6/19/18 11:02 USD/CAD USD/CAD SHORT 140 1.32844 6/22 8:21 1.32719 2.8%
Trade id #118510825
Max drawdown($5,111)
Time6/21/18 8:12
Quant open-120
Worst price1.33353
Drawdown as % of equity-2.80%
$1,322
6/17/18 19:45 NZD/JPY NZD/JPY SHORT 100 76.789 6/18 20:11 76.377 0.4%
Trade id #118471107
Max drawdown($735)
Time6/18/18 6:31
Quant open-100
Worst price76.870
Drawdown as % of equity-0.40%
$3,740
6/14/18 22:19 NZD/JPY NZD/JPY SHORT 100 76.880 6/15 10:56 76.807 1.39%
Trade id #118445572
Max drawdown($2,516)
Time6/15/18 1:39
Quant open-100
Worst price77.158
Drawdown as % of equity-1.39%
$661
6/11/18 7:18 NZD/JPY NZD/JPY SHORT 200 77.334 6/14 21:06 76.830 3.79%
Trade id #118364629
Max drawdown($6,411)
Time6/13/18 8:51
Quant open-125
Worst price77.878
Drawdown as % of equity-3.79%
$9,113
6/3/18 22:15 NZD/JPY NZD/JPY SHORT 120 76.865 6/8 7:18 76.690 5.28%
Trade id #118241868
Max drawdown($8,724)
Time6/6/18 3:06
Quant open-110
Worst price77.684
Drawdown as % of equity-5.28%
$1,920

Statistics

  • Strategy began
    1/19/2018
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    327.3
  • Age
    11 months ago
  • What it trades
    Forex
  • # Trades
    77
  • # Profitable
    76
  • % Profitable
    98.70%
  • Avg trade duration
    3.8 days
  • Max peak-to-valley drawdown
    20.29%
  • drawdown period
    Oct 16, 2018 - Nov 12, 2018
  • Cumul. Return
    111.6%
  • Avg win
    $1,836
  • Avg loss
    $24,999
  • Model Account Values (Raw)
  • Cash
    $239,605
  • Margin Used
    $50,811
  • Buying Power
    $163,884
  • Ratios
  • W:L ratio
    5.58:1
  • Sharpe Ratio
    2.281
  • Sortino Ratio
    4.083
  • Calmar Ratio
    7.758
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.02300
  • Return Statistics
  • Ann Return (w trading costs)
    128.8%
  • Ann Return (Compnd, No Fees)
    134.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    773
  • Popularity (Last 6 weeks)
    976
  • C2 Score
    78.8
  • 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
    $24,686
  • Avg Win
    $1,837
  • # Winners
    76
  • # Losers
    1
  • % Winners
    98.7%
  • Frequency
  • Avg Position Time (mins)
    5408.57
  • Avg Position Time (hrs)
    90.14
  • Avg Trade Length
    3.8 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.06973
  • SD
    0.55504
  • Sharpe ratio (Glass type estimate)
    1.92730
  • Sharpe ratio (Hedges UMVUE)
    1.76131
  • df
    9.00000
  • t
    1.75938
  • p
    0.05619
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.05735
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.09915
  • Upside Potential Ratio
    7.45328
  • Upside part of mean
    1.30723
  • Downside part of mean
    -0.23750
  • Upside SD
    0.58469
  • Downside SD
    0.17539
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.09287
  • Mean of criterion
    1.06973
  • SD of predictor
    0.10816
  • SD of criterion
    0.55504
  • Covariance
    -0.00373
  • r
    -0.06218
  • b (slope, estimate of beta)
    -0.31910
  • a (intercept, estimate of alpha)
    1.04010
  • Mean Square Error
    0.34524
  • DF error
    8.00000
  • t(b)
    -0.17622
  • p(b)
    0.56775
  • t(a)
    1.56344
  • p(a)
    0.07829
  • Lowerbound of 95% confidence interval for beta
    -4.49483
  • Upperbound of 95% confidence interval for beta
    3.85662
  • Lowerbound of 95% confidence interval for alpha
    -0.49400
  • Upperbound of 95% confidence interval for alpha
    2.57419
  • Treynor index (mean / b)
    -3.35230
  • Jensen alpha (a)
    1.04010
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90903
  • SD
    0.49944
  • Sharpe ratio (Glass type estimate)
    1.82008
  • Sharpe ratio (Hedges UMVUE)
    1.66333
  • df
    9.00000
  • t
    1.66150
  • p
    0.06549
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52441
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07820
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94372
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.80091
  • Upside Potential Ratio
    6.14215
  • Upside part of mean
    1.16298
  • Downside part of mean
    -0.25396
  • Upside SD
    0.50745
  • Downside SD
    0.18935
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.09842
  • Mean of criterion
    0.90903
  • SD of predictor
    0.10993
  • SD of criterion
    0.49944
  • Covariance
    -0.00339
  • r
    -0.06166
  • b (slope, estimate of beta)
    -0.28013
  • a (intercept, estimate of alpha)
    0.88146
  • Mean Square Error
    0.27956
  • DF error
    8.00000
  • t(b)
    -0.17472
  • p(b)
    0.56718
  • t(a)
    1.46835
  • p(a)
    0.09010
  • Lowerbound of 95% confidence interval for beta
    -3.97725
  • Upperbound of 95% confidence interval for beta
    3.41699
  • Lowerbound of 95% confidence interval for alpha
    -0.50285
  • Upperbound of 95% confidence interval for alpha
    2.26577
  • Treynor index (mean / b)
    -3.24503
  • Jensen alpha (a)
    0.88146
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14905
  • Expected Shortfall on VaR
    0.19768
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03090
  • Expected Shortfall on VaR
    0.07214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.84753
  • Quartile 1
    1.00744
  • Median
    1.05874
  • Quartile 3
    1.13412
  • Maximum
    1.35869
  • Mean of quarter 1
    0.93636
  • Mean of quarter 2
    1.04133
  • Mean of quarter 3
    1.08680
  • Mean of quarter 4
    1.28314
  • Inter Quartile Range
    0.12667
  • 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
    0.20000
  • Mean of outliers high
    1.35348
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.56386
  • VaR(95%) (regression method)
    0.17431
  • Expected Shortfall (regression method)
    0.54036
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03851
  • Quartile 1
    0.06700
  • Median
    0.09549
  • Quartile 3
    0.12398
  • Maximum
    0.15247
  • Mean of quarter 1
    0.03851
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15247
  • Inter Quartile Range
    0.05698
  • 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)
    1.41981
  • Compounded annual return (geometric extrapolation)
    1.55215
  • Calmar ratio (compounded annual return / max draw down)
    10.18010
  • Compounded annual return / average of 25% largest draw downs
    10.18010
  • Compounded annual return / Expected Shortfall lognormal
    7.85191
  • 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
    0.89930
  • SD
    0.39301
  • Sharpe ratio (Glass type estimate)
    2.28821
  • Sharpe ratio (Hedges UMVUE)
    2.28080
  • df
    232.00000
  • t
    2.15786
  • p
    0.01598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19706
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.37452
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19211
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36950
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.08333
  • Upside Potential Ratio
    12.50460
  • Upside part of mean
    2.75397
  • Downside part of mean
    -1.85467
  • Upside SD
    0.32921
  • Downside SD
    0.22024
  • N nonnegative terms
    129.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    233.00000
  • Mean of predictor
    -0.08025
  • Mean of criterion
    0.89930
  • SD of predictor
    0.16255
  • SD of criterion
    0.39301
  • Covariance
    -0.00019
  • r
    -0.00292
  • b (slope, estimate of beta)
    -0.00705
  • a (intercept, estimate of alpha)
    0.89900
  • Mean Square Error
    0.15513
  • DF error
    231.00000
  • t(b)
    -0.04431
  • p(b)
    0.51765
  • t(a)
    2.15085
  • p(a)
    0.01626
  • Lowerbound of 95% confidence interval for beta
    -0.32048
  • Upperbound of 95% confidence interval for beta
    0.30638
  • Lowerbound of 95% confidence interval for alpha
    0.07545
  • Upperbound of 95% confidence interval for alpha
    1.72201
  • Treynor index (mean / b)
    -127.57500
  • Jensen alpha (a)
    0.89873
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82256
  • SD
    0.38688
  • Sharpe ratio (Glass type estimate)
    2.12616
  • Sharpe ratio (Hedges UMVUE)
    2.11928
  • df
    232.00000
  • t
    2.00504
  • p
    0.02306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21126
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20657
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67280
  • Upside Potential Ratio
    12.06390
  • Upside part of mean
    2.70183
  • Downside part of mean
    -1.87927
  • Upside SD
    0.31852
  • Downside SD
    0.22396
  • N nonnegative terms
    129.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    233.00000
  • Mean of predictor
    -0.09349
  • Mean of criterion
    0.82256
  • SD of predictor
    0.16334
  • SD of criterion
    0.38688
  • Covariance
    -0.00030
  • r
    -0.00469
  • b (slope, estimate of beta)
    -0.01112
  • a (intercept, estimate of alpha)
    0.82152
  • Mean Square Error
    0.15032
  • DF error
    231.00000
  • t(b)
    -0.07134
  • p(b)
    0.52841
  • t(a)
    1.99696
  • p(a)
    0.02350
  • Lowerbound of 95% confidence interval for beta
    -0.31815
  • Upperbound of 95% confidence interval for beta
    0.29592
  • Lowerbound of 95% confidence interval for alpha
    0.01097
  • Upperbound of 95% confidence interval for alpha
    1.63207
  • Treynor index (mean / b)
    -73.98880
  • Jensen alpha (a)
    0.82152
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03553
  • Expected Shortfall on VaR
    0.04508
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01529
  • Expected Shortfall on VaR
    0.02938
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    233.00000
  • Minimum
    0.94563
  • Quartile 1
    0.98976
  • Median
    1.00311
  • Quartile 3
    1.01513
  • Maximum
    1.14074
  • Mean of quarter 1
    0.97588
  • Mean of quarter 2
    0.99657
  • Mean of quarter 3
    1.00925
  • Mean of quarter 4
    1.03294
  • Inter Quartile Range
    0.02537
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.00858
  • Mean of outliers low
    0.94695
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03004
  • Mean of outliers high
    1.08118
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33579
  • VaR(95%) (moments method)
    0.02336
  • Expected Shortfall (moments method)
    0.02798
  • Extreme Value Index (regression method)
    -0.11336
  • VaR(95%) (regression method)
    0.02180
  • Expected Shortfall (regression method)
    0.02765
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00411
  • Median
    0.02009
  • Quartile 3
    0.07641
  • Maximum
    0.17282
  • Mean of quarter 1
    0.00253
  • Mean of quarter 2
    0.01434
  • Mean of quarter 3
    0.04840
  • Mean of quarter 4
    0.11703
  • Inter Quartile Range
    0.07230
  • 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)
    0.16814
  • VaR(95%) (moments method)
    0.12785
  • Expected Shortfall (moments method)
    0.17270
  • Extreme Value Index (regression method)
    -0.13002
  • VaR(95%) (regression method)
    0.09759
  • Expected Shortfall (regression method)
    0.10755
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.27114
  • Compounded annual return (geometric extrapolation)
    1.34074
  • Calmar ratio (compounded annual return / max draw down)
    7.75801
  • Compounded annual return / average of 25% largest draw downs
    11.45600
  • Compounded annual return / Expected Shortfall lognormal
    29.74460
  • 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
    0.46786
  • SD
    0.33283
  • Sharpe ratio (Glass type estimate)
    1.40569
  • Sharpe ratio (Hedges UMVUE)
    1.39756
  • df
    130.00000
  • t
    0.99397
  • p
    0.45658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17457
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10066
  • Upside Potential Ratio
    10.64110
  • Upside part of mean
    2.37000
  • Downside part of mean
    -1.90213
  • Upside SD
    0.24731
  • Downside SD
    0.22272
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    0.46786
  • SD of predictor
    0.14819
  • SD of criterion
    0.33283
  • Covariance
    -0.00004
  • r
    -0.00089
  • b (slope, estimate of beta)
    -0.00201
  • a (intercept, estimate of alpha)
    0.46763
  • Mean Square Error
    0.11164
  • DF error
    129.00000
  • t(b)
    -0.01016
  • p(b)
    0.50057
  • t(a)
    0.98847
  • p(a)
    0.44487
  • Lowerbound of 95% confidence interval for beta
    -0.39325
  • Upperbound of 95% confidence interval for beta
    0.38923
  • Lowerbound of 95% confidence interval for alpha
    -0.46838
  • Upperbound of 95% confidence interval for alpha
    1.40364
  • Treynor index (mean / b)
    -232.82900
  • Jensen alpha (a)
    0.46763
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41252
  • SD
    0.33275
  • Sharpe ratio (Glass type estimate)
    1.23975
  • Sharpe ratio (Hedges UMVUE)
    1.23258
  • df
    130.00000
  • t
    0.87664
  • p
    0.46167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53845
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01335
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00844
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82129
  • Upside Potential Ratio
    10.33030
  • Upside part of mean
    2.33982
  • Downside part of mean
    -1.92729
  • Upside SD
    0.24336
  • Downside SD
    0.22650
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    0.41252
  • SD of predictor
    0.14884
  • SD of criterion
    0.33275
  • Covariance
    0.00007
  • r
    0.00147
  • b (slope, estimate of beta)
    0.00328
  • a (intercept, estimate of alpha)
    0.41294
  • Mean Square Error
    0.11158
  • DF error
    129.00000
  • t(b)
    0.01666
  • p(b)
    0.49907
  • t(a)
    0.87291
  • p(a)
    0.45126
  • Lowerbound of 95% confidence interval for beta
    -0.38616
  • Upperbound of 95% confidence interval for beta
    0.39272
  • Lowerbound of 95% confidence interval for alpha
    -0.52303
  • Upperbound of 95% confidence interval for alpha
    1.34891
  • Treynor index (mean / b)
    125.76100
  • Jensen alpha (a)
    0.41294
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03172
  • Expected Shortfall on VaR
    0.03998
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01596
  • Expected Shortfall on VaR
    0.03029
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94563
  • Quartile 1
    0.98889
  • Median
    1.00177
  • Quartile 3
    1.01491
  • Maximum
    1.06067
  • Mean of quarter 1
    0.97554
  • Mean of quarter 2
    0.99598
  • Mean of quarter 3
    1.00906
  • Mean of quarter 4
    1.02721
  • Inter Quartile Range
    0.02602
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.94563
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.06067
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15652
  • VaR(95%) (moments method)
    0.02433
  • Expected Shortfall (moments method)
    0.03044
  • Extreme Value Index (regression method)
    -0.25949
  • VaR(95%) (regression method)
    0.02399
  • Expected Shortfall (regression method)
    0.02891
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00714
  • Median
    0.01476
  • Quartile 3
    0.08046
  • Maximum
    0.16710
  • Mean of quarter 1
    0.00333
  • Mean of quarter 2
    0.01198
  • Mean of quarter 3
    0.03856
  • Mean of quarter 4
    0.12321
  • Inter Quartile Range
    0.07333
  • 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)
    -0.51673
  • VaR(95%) (moments method)
    0.13167
  • Expected Shortfall (moments method)
    0.14616
  • Extreme Value Index (regression method)
    0.83412
  • VaR(95%) (regression method)
    0.10465
  • Expected Shortfall (regression method)
    0.26341
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49269
  • Compounded annual return (geometric extrapolation)
    0.55337
  • Calmar ratio (compounded annual return / max draw down)
    3.31167
  • Compounded annual return / average of 25% largest draw downs
    4.49120
  • Compounded annual return / Expected Shortfall lognormal
    13.84170

Strategy Description

Diamond 4x is a live trading account of an experienced Forex trading team, led by Enzo Stipoli. The team uses fundamental, proprietary technical analysis, and unique capital management techniques to form the strategy. The trading system is implemented in a semi-automated manner by the team so that we have a final decision for each trade opened. The system is constantly monitored, adjusted and optimized. Trading size might vary according to market conditions.

Summary Statistics

Strategy began
2018-01-19
Suggested Minimum Capital
$100,000
# Trades
77
# Profitable
76
% Profitable
98.7%
Correlation S&P500
0.023
Sharpe Ratio
2.281

Latest Activity

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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.