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PFSignal com
(116744132)

Created by: MAP MAP
Started: 02/2018
Forex
Last trade: Today
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. You can subscribe to this system for free.

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.
15.4%
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.

(64.7%)
Max Drawdown
374
Num Trades
86.1%
Win Trades
1.1 : 1
Profit Factor
63.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +5.9%+15.8%+24.2%(1.6%)+17.1%+6.1%+4.1%+13.1%(5.9%)+1.4%(6.3%)+95.8%
2019+8.3%+4.1%+5.2%(0.1%)+7.0%+1.9%(2.7%)+6.8%(3.3%)(1.9%)+5.6%(10.8%)+19.9%
2020(2.5%)+7.3%(45.4%)+0.6%                                                (42.5%)

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 2,213 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/1/20 0:27 EUR/USD EUR/USD SHORT 1 1.10217 4/1 3:18 1.09807 n/a $41
3/30/20 14:09 EUR/USD EUR/USD SHORT 2 1.10396 3/31 10:46 1.09547 0.49%
Trade id #128320919
Max drawdown($32)
Time3/30/20 16:26
Quant open2
Worst price1.10557
Drawdown as % of equity-0.49%
$170
3/30/20 6:42 EUR/USD EUR/USD SHORT 1 1.10700 3/30 12:36 1.10236 0.05%
Trade id #128311358
Max drawdown($3)
Time3/30/20 6:59
Quant open1
Worst price1.10734
Drawdown as % of equity-0.05%
$46
3/30/20 2:07 EUR/USD EUR/USD SHORT 1 1.10925 3/30 6:28 1.10590 0.07%
Trade id #128308269
Max drawdown($4)
Time3/30/20 2:24
Quant open1
Worst price1.10970
Drawdown as % of equity-0.07%
$34
3/24/20 8:18 USD/CHF USD/CHF SHORT 10 0.97932 3/25 21:24 0.97791 4.83%
Trade id #128216102
Max drawdown($293)
Time3/24/20 15:48
Quant open5
Worst price0.98456
Drawdown as % of equity-4.83%
$144
3/24/20 5:02 EUR/USD EUR/USD SHORT 3 1.08395 3/24 8:17 1.08302 2.33%
Trade id #128213311
Max drawdown($145)
Time3/24/20 7:06
Quant open3
Worst price1.08881
Drawdown as % of equity-2.33%
$28
3/24/20 4:01 USD/CHF USD/CHF SHORT 1 0.97801 3/24 5:51 0.97459 0.04%
Trade id #128212353
Max drawdown($2)
Time3/24/20 4:55
Quant open1
Worst price0.97825
Drawdown as % of equity-0.04%
$35
3/20/20 4:04 USD/CHF USD/CHF SHORT 20 0.98273 3/24 3:49 0.97994 9.32%
Trade id #128153551
Max drawdown($520)
Time3/23/20 0:00
Quant open6
Worst price0.99017
Drawdown as % of equity-9.32%
$570
3/23/20 6:41 EUR/USD EUR/USD LONG 1 1.06702 3/23 7:08 1.06948 n/a $25
3/19/20 11:37 USD/CHF USD/CHF SHORT 4 0.98056 3/20 3:34 0.97789 4.76%
Trade id #128140463
Max drawdown($254)
Time3/19/20 19:53
Quant open3
Worst price0.98886
Drawdown as % of equity-4.76%
$110
3/19/20 4:15 EUR/USD EUR/USD SHORT 3 1.08500 3/19 6:49 1.08251 2.23%
Trade id #128132317
Max drawdown($119)
Time3/19/20 4:38
Quant open3
Worst price1.08900
Drawdown as % of equity-2.23%
$75
3/18/20 12:59 EUR/USD EUR/USD SHORT 5 1.08589 3/19 4:11 1.08464 10.84%
Trade id #128117704
Max drawdown($558)
Time3/18/20 19:05
Quant open4
Worst price1.09818
Drawdown as % of equity-10.84%
$63
3/16/20 5:34 USD/CHF USD/CHF SHORT 11 0.94879 3/18 10:36 0.96058 25.53%
Trade id #128058760
Max drawdown($1,411)
Time3/18/20 10:36
Quant open7
Worst price0.96831
Drawdown as % of equity-25.53%
($1,339)
3/16/20 4:16 USD/CHF USD/CHF SHORT 5 0.94355 3/16 4:59 0.94004 n/a $186
3/16/20 1:53 USD/CAD USD/CAD SHORT 5 1.38800 3/16 4:14 1.38578 1.74%
Trade id #128056615
Max drawdown($111)
Time3/16/20 3:28
Quant open5
Worst price1.39107
Drawdown as % of equity-1.74%
$80
3/12/20 8:51 EUR/USD EUR/USD SHORT 1 1.12992 3/12 9:41 1.12211 n/a $78
3/12/20 3:10 EUR/USD EUR/USD SHORT 4 1.13069 3/12 5:48 1.12593 0.82%
Trade id #127988122
Max drawdown($50)
Time3/12/20 3:45
Quant open4
Worst price1.13196
Drawdown as % of equity-0.82%
$191
3/11/20 21:20 EUR/USD EUR/USD SHORT 8 1.13143 3/12 0:28 1.13074 2.55%
Trade id #127984458
Max drawdown($154)
Time3/11/20 21:42
Quant open8
Worst price1.13336
Drawdown as % of equity-2.55%
$55
3/11/20 9:45 GBP/USD GBP/USD SHORT 1 1.29519 3/11 11:12 1.29145 0.25%
Trade id #127972459
Max drawdown($12)
Time3/11/20 10:26
Quant open1
Worst price1.29643
Drawdown as % of equity-0.25%
$37
2/27/20 3:31 EUR/USD EUR/USD SHORT 50 1.11150 3/8 21:45 1.12290 102.69%
Trade id #127735923
Max drawdown($5,345)
Time3/8/20 19:39
Quant open19
Worst price1.13964
Drawdown as % of equity-102.69%
($5,698)
3/5/20 5:06 USD/CHF USD/CHF LONG 6 0.94946 3/6 11:04 0.93697 13.1%
Trade id #127863967
Max drawdown($1,065)
Time3/6/20 0:00
Quant open5
Worst price0.93181
Drawdown as % of equity-13.10%
($800)
2/23/20 17:00 USD/CAD USD/CAD SHORT 7 1.32542 2/25 1:00 1.32983 2.21%
Trade id #127666561
Max drawdown($253)
Time2/24/20 0:00
Quant open5
Worst price1.33075
Drawdown as % of equity-2.21%
($232)
2/24/20 4:04 AUD/USD AUD/USD SHORT 3 0.66098 2/25 0:40 0.66120 0.33%
Trade id #127672942
Max drawdown($38)
Time2/24/20 21:58
Quant open3
Worst price0.66225
Drawdown as % of equity-0.33%
($7)
2/24/20 3:38 EUR/USD EUR/USD LONG 1 1.08205 2/24 9:52 1.08433 0.07%
Trade id #127672495
Max drawdown($7)
Time2/24/20 5:31
Quant open1
Worst price1.08130
Drawdown as % of equity-0.07%
$23
2/24/20 1:11 AUD/USD AUD/USD SHORT 1 0.66021 2/24 3:30 0.65909 0%
Trade id #127670711
Max drawdown($0)
Time2/24/20 1:12
Quant open1
Worst price0.66026
Drawdown as % of equity-0.00%
$11
2/24/20 1:12 EUR/USD EUR/USD LONG 2 1.08146 2/24 3:30 1.08272 0.17%
Trade id #127670731
Max drawdown($19)
Time2/24/20 2:09
Quant open2
Worst price1.08049
Drawdown as % of equity-0.17%
$25
2/20/20 10:44 USD/CAD USD/CAD SHORT 14 1.32527 2/21 10:26 1.32424 1.02%
Trade id #127618737
Max drawdown($115)
Time2/20/20 11:36
Quant open7
Worst price1.32689
Drawdown as % of equity-1.02%
$109
2/21/20 5:41 USD/JPY USD/JPY SHORT 3 111.899 2/21 10:03 111.641 0.31%
Trade id #127633121
Max drawdown($35)
Time2/21/20 7:50
Quant open3
Worst price112.031
Drawdown as % of equity-0.31%
$69
2/21/20 1:11 USD/JPY USD/JPY SHORT 1 111.942 2/21 2:48 111.734 0.04%
Trade id #127630529
Max drawdown($4)
Time2/21/20 2:01
Quant open1
Worst price111.993
Drawdown as % of equity-0.04%
$19
2/20/20 10:03 USD/CAD USD/CAD SHORT 2 1.32446 2/20 10:39 1.32336 0%
Trade id #127617897
Max drawdown($0)
Time2/20/20 10:04
Quant open2
Worst price1.32449
Drawdown as % of equity-0.00%
$17

Statistics

  • Strategy began
    2/27/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    764.34
  • Age
    25 months ago
  • What it trades
    Forex
  • # Trades
    374
  • # Profitable
    322
  • % Profitable
    86.10%
  • Avg trade duration
    1.7 days
  • Max peak-to-valley drawdown
    64.7%
  • drawdown period
    Aug 01, 2019 - March 18, 2020
  • Annual Return (Compounded)
    15.4%
  • Avg win
    $64.03
  • Avg loss
    $362.69
  • Model Account Values (Raw)
  • Cash
    $6,759
  • Margin Used
    $0
  • Buying Power
    $6,759
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.4
  • Sortino Ratio
    0.51
  • Calmar Ratio
    0.231
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    45.10%
  • Correlation to SP500
    0.15610
  • Return Percent SP500 (cumu) during strategy life
    -9.92%
  • Return Statistics
  • Ann Return (w trading costs)
    15.4%
  • Slump
  • Current Slump as Pcnt Equity
    1.09%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -44.470%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.154%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.00%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    811
  • Popularity (Last 6 weeks)
    987
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    117
  • Popularity (7 days, Percentile 1000 scale)
    898
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $363
  • Avg Win
    $64
  • Sum Trade PL (losers)
    $18,860.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $20,619.000
  • # Winners
    322
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    24329
  • Win / Loss
  • # Losers
    52
  • % Winners
    86.1%
  • Frequency
  • Avg Position Time (mins)
    2438.80
  • Avg Position Time (hrs)
    40.65
  • Avg Trade Length
    1.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    6.86
  • Daily leverage (max)
    34.31
  • Regression
  • Alpha
    0.05
  • Beta
    0.25
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    25.50
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    53.83
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.84
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    48.026
  • 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
    0.83
  • Avg(MAE) / Avg(PL) - Winning trades
    1.459
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.415
  • Hold-and-Hope Ratio
    0.021
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26946
  • SD
    0.37947
  • Sharpe ratio (Glass type estimate)
    0.71010
  • Sharpe ratio (Hedges UMVUE)
    0.68665
  • df
    23.00000
  • t
    1.00423
  • p
    0.16286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10346
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71339
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08668
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08168
  • Upside Potential Ratio
    2.36937
  • Upside part of mean
    0.59025
  • Downside part of mean
    -0.32078
  • Upside SD
    0.28634
  • Downside SD
    0.24912
  • N nonnegative terms
    14.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.02556
  • Mean of criterion
    0.26946
  • SD of predictor
    0.16608
  • SD of criterion
    0.37947
  • Covariance
    0.02246
  • r
    0.35641
  • b (slope, estimate of beta)
    0.81433
  • a (intercept, estimate of alpha)
    0.24865
  • Mean Square Error
    0.13142
  • DF error
    22.00000
  • t(b)
    1.78922
  • p(b)
    0.04368
  • t(a)
    0.96899
  • p(a)
    0.17154
  • Lowerbound of 95% confidence interval for beta
    -0.12956
  • Upperbound of 95% confidence interval for beta
    1.75822
  • Lowerbound of 95% confidence interval for alpha
    -0.28352
  • Upperbound of 95% confidence interval for alpha
    0.78081
  • Treynor index (mean / b)
    0.33090
  • Jensen alpha (a)
    0.24865
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19350
  • SD
    0.39981
  • Sharpe ratio (Glass type estimate)
    0.48397
  • Sharpe ratio (Hedges UMVUE)
    0.46798
  • df
    23.00000
  • t
    0.68444
  • p
    0.25027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87167
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92450
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86047
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65603
  • Upside Potential Ratio
    1.87250
  • Upside part of mean
    0.55229
  • Downside part of mean
    -0.35880
  • Upside SD
    0.26327
  • Downside SD
    0.29495
  • N nonnegative terms
    14.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.01201
  • Mean of criterion
    0.19350
  • SD of predictor
    0.16879
  • SD of criterion
    0.39981
  • Covariance
    0.02838
  • r
    0.42052
  • b (slope, estimate of beta)
    0.99606
  • a (intercept, estimate of alpha)
    0.18153
  • Mean Square Error
    0.13756
  • DF error
    22.00000
  • t(b)
    2.17395
  • p(b)
    0.02037
  • t(a)
    0.69202
  • p(a)
    0.24808
  • Lowerbound of 95% confidence interval for beta
    0.04585
  • Upperbound of 95% confidence interval for beta
    1.94627
  • Lowerbound of 95% confidence interval for alpha
    -0.36249
  • Upperbound of 95% confidence interval for alpha
    0.72554
  • Treynor index (mean / b)
    0.19426
  • Jensen alpha (a)
    0.18153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15946
  • Expected Shortfall on VaR
    0.19832
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05303
  • Expected Shortfall on VaR
    0.11814
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.67585
  • Quartile 1
    0.98357
  • Median
    1.02808
  • Quartile 3
    1.07225
  • Maximum
    1.23611
  • Mean of quarter 1
    0.90329
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.04990
  • Mean of quarter 4
    1.14692
  • Inter Quartile Range
    0.08869
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.67585
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.23611
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07448
  • VaR(95%) (moments method)
    0.05573
  • Expected Shortfall (moments method)
    0.07960
  • Extreme Value Index (regression method)
    0.60218
  • VaR(95%) (regression method)
    0.08306
  • Expected Shortfall (regression method)
    0.24642
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01225
  • Quartile 1
    0.01522
  • Median
    0.06159
  • Quartile 3
    0.17819
  • Maximum
    0.39182
  • Mean of quarter 1
    0.01225
  • Mean of quarter 2
    0.01621
  • Mean of quarter 3
    0.10698
  • Mean of quarter 4
    0.39182
  • Inter Quartile Range
    0.16297
  • 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)
    0.27853
  • Compounded annual return (geometric extrapolation)
    0.24782
  • Calmar ratio (compounded annual return / max draw down)
    0.63250
  • Compounded annual return / average of 25% largest draw downs
    0.63250
  • Compounded annual return / Expected Shortfall lognormal
    1.24964
  • 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
    0.18005
  • SD
    0.38237
  • Sharpe ratio (Glass type estimate)
    0.47087
  • Sharpe ratio (Hedges UMVUE)
    0.47021
  • df
    541.00000
  • t
    0.67725
  • p
    0.24927
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83320
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58609
  • Upside Potential Ratio
    5.68091
  • Upside part of mean
    1.74517
  • Downside part of mean
    -1.56513
  • Upside SD
    0.22735
  • Downside SD
    0.30720
  • N nonnegative terms
    297.00000
  • N negative terms
    245.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    542.00000
  • Mean of predictor
    -0.04951
  • Mean of criterion
    0.18005
  • SD of predictor
    0.24067
  • SD of criterion
    0.38237
  • Covariance
    0.01907
  • r
    0.20727
  • b (slope, estimate of beta)
    0.32930
  • a (intercept, estimate of alpha)
    0.19600
  • Mean Square Error
    0.14019
  • DF error
    540.00000
  • t(b)
    4.92334
  • p(b)
    0.00000
  • t(a)
    0.75421
  • p(a)
    0.22553
  • Lowerbound of 95% confidence interval for beta
    0.19791
  • Upperbound of 95% confidence interval for beta
    0.46069
  • Lowerbound of 95% confidence interval for alpha
    -0.31505
  • Upperbound of 95% confidence interval for alpha
    0.70775
  • Treynor index (mean / b)
    0.54675
  • Jensen alpha (a)
    0.19635
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10226
  • SD
    0.40154
  • Sharpe ratio (Glass type estimate)
    0.25468
  • Sharpe ratio (Hedges UMVUE)
    0.25433
  • df
    541.00000
  • t
    0.36631
  • p
    0.35714
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10822
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61711
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30593
  • Upside Potential Ratio
    5.14530
  • Upside part of mean
    1.71997
  • Downside part of mean
    -1.61771
  • Upside SD
    0.22189
  • Downside SD
    0.33428
  • N nonnegative terms
    297.00000
  • N negative terms
    245.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    542.00000
  • Mean of predictor
    -0.07871
  • Mean of criterion
    0.10226
  • SD of predictor
    0.24257
  • SD of criterion
    0.40154
  • Covariance
    0.02069
  • r
    0.21238
  • b (slope, estimate of beta)
    0.35156
  • a (intercept, estimate of alpha)
    0.12994
  • Mean Square Error
    0.15425
  • DF error
    540.00000
  • t(b)
    5.05037
  • p(b)
    0.00000
  • t(a)
    0.47575
  • p(a)
    0.31722
  • Lowerbound of 95% confidence interval for beta
    0.21482
  • Upperbound of 95% confidence interval for beta
    0.48830
  • Lowerbound of 95% confidence interval for alpha
    -0.40656
  • Upperbound of 95% confidence interval for alpha
    0.66644
  • Treynor index (mean / b)
    0.29089
  • Jensen alpha (a)
    0.12994
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03961
  • Expected Shortfall on VaR
    0.04947
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01240
  • Expected Shortfall on VaR
    0.02831
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    542.00000
  • Minimum
    0.76315
  • Quartile 1
    0.99502
  • Median
    1.00111
  • Quartile 3
    1.00857
  • Maximum
    1.10039
  • Mean of quarter 1
    0.97759
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00431
  • Mean of quarter 4
    1.02237
  • Inter Quartile Range
    0.01355
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.05904
  • Mean of outliers low
    0.94425
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.04428
  • Mean of outliers high
    1.05107
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48656
  • VaR(95%) (moments method)
    0.01883
  • Expected Shortfall (moments method)
    0.04301
  • Extreme Value Index (regression method)
    0.39813
  • VaR(95%) (regression method)
    0.01841
  • Expected Shortfall (regression method)
    0.03715
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00944
  • Median
    0.01730
  • Quartile 3
    0.04602
  • Maximum
    0.60255
  • Mean of quarter 1
    0.00471
  • Mean of quarter 2
    0.01231
  • Mean of quarter 3
    0.03005
  • Mean of quarter 4
    0.15166
  • Inter Quartile Range
    0.03658
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11429
  • Mean of outliers high
    0.25727
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56236
  • VaR(95%) (moments method)
    0.15194
  • Expected Shortfall (moments method)
    0.38776
  • Extreme Value Index (regression method)
    0.73100
  • VaR(95%) (regression method)
    0.18582
  • Expected Shortfall (regression method)
    0.73321
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14938
  • Compounded annual return (geometric extrapolation)
    0.13902
  • Calmar ratio (compounded annual return / max draw down)
    0.23072
  • Compounded annual return / average of 25% largest draw downs
    0.91667
  • Compounded annual return / Expected Shortfall lognormal
    2.81016
  • 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
    -1.16067
  • SD
    0.57078
  • Sharpe ratio (Glass type estimate)
    -2.03349
  • Sharpe ratio (Hedges UMVUE)
    -2.02173
  • df
    130.00000
  • t
    -1.43789
  • p
    0.56256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.81242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75308
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.80441
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76095
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.15765
  • Upside Potential Ratio
    2.70011
  • Upside part of mean
    1.45248
  • Downside part of mean
    -2.61315
  • Upside SD
    0.19767
  • Downside SD
    0.53793
  • 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
    -0.30615
  • Mean of criterion
    -1.16067
  • SD of predictor
    0.40947
  • SD of criterion
    0.57078
  • Covariance
    0.05744
  • r
    0.24577
  • b (slope, estimate of beta)
    0.34259
  • a (intercept, estimate of alpha)
    -1.05578
  • Mean Square Error
    0.30848
  • DF error
    129.00000
  • t(b)
    2.87975
  • p(b)
    0.34513
  • t(a)
    -1.34270
  • p(a)
    0.57457
  • Lowerbound of 95% confidence interval for beta
    0.10721
  • Upperbound of 95% confidence interval for beta
    0.57796
  • Lowerbound of 95% confidence interval for alpha
    -2.61153
  • Upperbound of 95% confidence interval for alpha
    0.49996
  • Treynor index (mean / b)
    -3.38794
  • Jensen alpha (a)
    -1.05578
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.34578
  • SD
    0.62479
  • Sharpe ratio (Glass type estimate)
    -2.15396
  • Sharpe ratio (Hedges UMVUE)
    -2.14151
  • df
    130.00000
  • t
    -1.52308
  • p
    0.56620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.93398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.92551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64249
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.25258
  • Upside Potential Ratio
    2.39918
  • Upside part of mean
    1.43336
  • Downside part of mean
    -2.77914
  • Upside SD
    0.19331
  • Downside SD
    0.59744
  • 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
    -0.39065
  • Mean of criterion
    -1.34578
  • SD of predictor
    0.41372
  • SD of criterion
    0.62479
  • Covariance
    0.06334
  • r
    0.24502
  • b (slope, estimate of beta)
    0.37003
  • a (intercept, estimate of alpha)
    -1.20122
  • Mean Square Error
    0.36977
  • DF error
    129.00000
  • t(b)
    2.87042
  • p(b)
    0.34559
  • t(a)
    -1.39443
  • p(a)
    0.57739
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    0.11498
  • Upperbound of 95% confidence interval for beta
    0.62509
  • Lowerbound of 95% confidence interval for alpha
    -2.90561
  • Upperbound of 95% confidence interval for alpha
    0.50316
  • Treynor index (mean / b)
    -3.63694
  • Jensen alpha (a)
    -1.20122
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06633
  • Expected Shortfall on VaR
    0.08117
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02083
  • Expected Shortfall on VaR
    0.04788
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.76315
  • Quartile 1
    0.99430
  • Median
    1.00065
  • Quartile 3
    1.00607
  • Maximum
    1.08306
  • Mean of quarter 1
    0.96166
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.00286
  • Mean of quarter 4
    1.01938
  • Inter Quartile Range
    0.01177
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.92633
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.03600
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77515
  • VaR(95%) (moments method)
    0.03051
  • Expected Shortfall (moments method)
    0.15136
  • Extreme Value Index (regression method)
    0.35145
  • VaR(95%) (regression method)
    0.03031
  • Expected Shortfall (regression method)
    0.06117
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00035
  • Quartile 1
    0.00069
  • Median
    0.00571
  • Quartile 3
    0.04651
  • Maximum
    0.59107
  • Mean of quarter 1
    0.00052
  • Mean of quarter 2
    0.00571
  • Mean of quarter 3
    0.04651
  • Mean of quarter 4
    0.59107
  • Inter Quartile Range
    0.04582
  • 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
    0.20000
  • Mean of outliers high
    0.59107
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -282443000
  • Max Equity Drawdown (num days)
    230
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.96520
  • Compounded annual return (geometric extrapolation)
    -0.73230
  • Calmar ratio (compounded annual return / max draw down)
    -1.23894
  • Compounded annual return / average of 25% largest draw downs
    -1.23894
  • Compounded annual return / Expected Shortfall lognormal
    -9.02169

Strategy Description

Hello. My name is Michael. Experience in forex trading since 2006. Trading decisions on the system are made based on the analysis of intraday foreign exchange fees for futures from the Chicago Mercantile Exchange (CME Group). Trade is conducted both by trend and by turns. Trading in the system is carried out on such liquid currency pairs FOREX - GBPUSD; EURUSD; AUDUSD; USDJPY; USDCAD; USDCHF. Trading system is manual. The average trading activity is 15-30 trades per month. Maximum annual drawdown of 30%.

Summary Statistics

Strategy began
2018-02-27
Suggested Minimum Capital
$10,000
# Trades
374
# Profitable
322
% Profitable
86.1%
Correlation S&P500
0.156
Sharpe Ratio
0.40
Sortino Ratio
0.51
Beta
0.25
Alpha
0.05
Leverage
6.86 Average
34.31 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.