Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 03/04/2019
Most recent certification approved 6/11/19 11:59 ET
Trades at broker Oanda
Scaling percentage used 100%
# trading signals issued by system since certification 569
# trading signals executed in manager's Oanda account 540
Percent signals followed since 03/04/2019 94.9%
This information was last updated 8/8/19 4:06 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/04/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

PFSignal com
(116744132)

Created by: MAP MAP
Started: 02/2018
Forex
Last trade: 4 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 $79.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
81.1%
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.

(22.4%)
Max Drawdown
251
Num Trades
86.9%
Win Trades
2.2 : 1
Profit Factor
73.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +4.3%+14.6%+23.5%(2.8%)+16.8%+5.4%+3.4%+13.1%(7%)+0.7%(7.6%)+78.5%
2019+8.3%+3.6%+4.9%(0.8%)+7.1%+1.4%(3.7%)+10.4%                        +34.8%

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 100 hours.

Trading Record

This strategy has placed 1,465 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/13/19 6:46 USD/CAD USD/CAD SHORT 3 1.32658 8/13 9:50 1.32310 0.55%
Trade id #124902290
Max drawdown($62)
Time8/13/19 6:46
Quant open3
Worst price1.32933
Drawdown as % of equity-0.55%
$79
8/7/19 7:24 USD/JPY USD/JPY LONG 10 105.844 8/7 13:53 105.966 1.46%
Trade id #124808522
Max drawdown($164)
Time8/7/19 7:24
Quant open5
Worst price105.495
Drawdown as % of equity-1.46%
$115
8/7/19 0:28 USD/JPY USD/JPY LONG 1 106.105 8/7 1:22 106.224 0.03%
Trade id #124804025
Max drawdown($3)
Time8/7/19 0:28
Quant open1
Worst price106.069
Drawdown as % of equity-0.03%
$11
8/6/19 22:44 USD/JPY USD/JPY LONG 2 106.054 8/7 0:12 106.142 0.2%
Trade id #124803043
Max drawdown($22)
Time8/6/19 22:44
Quant open2
Worst price105.932
Drawdown as % of equity-0.20%
$17
8/2/19 9:05 USD/JPY USD/JPY LONG 12 106.520 8/6 1:36 106.545 5.22%
Trade id #124735595
Max drawdown($584)
Time8/2/19 9:05
Quant open6
Worst price105.786
Drawdown as % of equity-5.22%
$28
8/2/19 2:57 USD/JPY USD/JPY LONG 2 106.896 8/2 9:03 107.037 0.48%
Trade id #124732365
Max drawdown($54)
Time8/2/19 2:57
Quant open2
Worst price106.607
Drawdown as % of equity-0.48%
$27
7/30/19 8:01 USD/CHF USD/CHF SHORT 17 0.99118 8/2 1:55 0.99036 2.47%
Trade id #124673131
Max drawdown($271)
Time7/30/19 8:01
Quant open4
Worst price0.99758
Drawdown as % of equity-2.47%
$142
7/25/19 10:30 EUR/USD EUR/USD LONG 6 1.11478 7/31 1:31 1.11504 1.27%
Trade id #124613058
Max drawdown($139)
Time7/25/19 10:30
Quant open4
Worst price1.11129
Drawdown as % of equity-1.27%
$15
7/22/19 4:36 USD/CHF USD/CHF LONG 5 0.98166 7/22 14:37 0.98142 0.58%
Trade id #124559704
Max drawdown($64)
Time7/22/19 4:36
Quant open5
Worst price0.98039
Drawdown as % of equity-0.58%
($12)
7/19/19 11:37 USD/JPY USD/JPY LONG 3 107.727 7/21 23:50 107.923 0.13%
Trade id #124536271
Max drawdown($14)
Time7/19/19 11:37
Quant open3
Worst price107.676
Drawdown as % of equity-0.13%
$55
7/19/19 8:50 AUD/USD AUD/USD SHORT 3 0.70558 7/19 10:58 0.70475 0.25%
Trade id #124530372
Max drawdown($27)
Time7/19/19 8:50
Quant open3
Worst price0.70649
Drawdown as % of equity-0.25%
$25
7/18/19 10:17 USD/CAD USD/CAD LONG 6 1.30731 7/18 16:43 1.30281 1.87%
Trade id #124515966
Max drawdown($209)
Time7/18/19 10:17
Quant open6
Worst price1.30276
Drawdown as % of equity-1.87%
($207)
7/16/19 15:51 USD/CAD USD/CAD LONG 18 1.30594 7/18 10:10 1.30702 0.65%
Trade id #124485583
Max drawdown($72)
Time7/16/19 15:51
Quant open7
Worst price1.30461
Drawdown as % of equity-0.65%
$149
7/16/19 21:19 AUD/USD AUD/USD SHORT 1 0.70196 7/17 2:11 0.70083 0%
Trade id #124487574
Max drawdown($0)
Time7/16/19 21:19
Quant open1
Worst price0.70200
Drawdown as % of equity-0.00%
$11
7/16/19 11:47 AUD/USD AUD/USD SHORT 1 0.70239 7/16 15:47 0.70147 0.01%
Trade id #124478882
Max drawdown($1)
Time7/16/19 11:47
Quant open1
Worst price0.70250
Drawdown as % of equity-0.01%
$9
7/15/19 11:44 GBP/USD GBP/USD SHORT 1 1.25194 7/16 2:42 1.25043 0.05%
Trade id #124462930
Max drawdown($5)
Time7/15/19 11:44
Quant open1
Worst price1.25244
Drawdown as % of equity-0.05%
$15
7/15/19 1:49 GBP/USD GBP/USD SHORT 1 1.25690 7/15 8:02 1.25406 0.06%
Trade id #124455545
Max drawdown($7)
Time7/15/19 1:49
Quant open1
Worst price1.25761
Drawdown as % of equity-0.06%
$28
7/10/19 10:09 USD/CAD USD/CAD LONG 11 1.31037 7/12 1:32 1.30360 5.16%
Trade id #124402041
Max drawdown($571)
Time7/12/19 1:32
Quant open10
Worst price1.30309
Drawdown as % of equity-5.16%
($571)
7/10/19 2:52 USD/CAD USD/CAD LONG 5 1.31278 7/10 10:08 1.31351 1.93%
Trade id #124396562
Max drawdown($223)
Time7/10/19 2:52
Quant open5
Worst price1.30694
Drawdown as % of equity-1.93%
$28
7/9/19 10:39 USD/CHF USD/CHF SHORT 2 0.99372 7/9 23:00 0.99333 0.07%
Trade id #124388164
Max drawdown($8)
Time7/9/19 10:39
Quant open2
Worst price0.99414
Drawdown as % of equity-0.07%
$8
7/9/19 8:33 USD/CHF USD/CHF SHORT 3 0.99332 7/9 10:21 0.99261 0.11%
Trade id #124385721
Max drawdown($12)
Time7/9/19 8:33
Quant open3
Worst price0.99374
Drawdown as % of equity-0.11%
$21
7/7/19 19:59 AUD/USD AUD/USD SHORT 5 0.69820 7/8 22:41 0.69660 0.36%
Trade id #124362471
Max drawdown($40)
Time7/7/19 19:59
Quant open4
Worst price0.69942
Drawdown as % of equity-0.36%
$80
7/2/19 0:32 AUD/USD AUD/USD SHORT 10 0.69997 7/5 11:18 0.69850 2.16%
Trade id #124298798
Max drawdown($244)
Time7/2/19 0:32
Quant open5
Worst price0.70478
Drawdown as % of equity-2.16%
$147
7/5/19 4:07 USD/CHF USD/CHF SHORT 3 0.98708 7/5 6:47 0.98737 0.2%
Trade id #124342816
Max drawdown($22)
Time7/5/19 4:07
Quant open3
Worst price0.98783
Drawdown as % of equity-0.20%
($9)
7/3/19 10:57 USD/CHF USD/CHF SHORT 2 0.98623 7/3 20:09 0.98611 0.2%
Trade id #124326455
Max drawdown($21)
Time7/3/19 10:57
Quant open2
Worst price0.98731
Drawdown as % of equity-0.20%
$2
7/3/19 9:01 USD/CHF USD/CHF SHORT 1 0.98571 7/3 9:28 0.98485 0.02%
Trade id #124323237
Max drawdown($2)
Time7/3/19 9:01
Quant open1
Worst price0.98596
Drawdown as % of equity-0.02%
$9
6/30/19 18:51 AUD/USD AUD/USD SHORT 2 0.70280 7/1 0:36 0.70049 0.06%
Trade id #124281218
Max drawdown($6)
Time6/30/19 18:51
Quant open2
Worst price0.70314
Drawdown as % of equity-0.06%
$46
6/26/19 11:36 EUR/USD EUR/USD SHORT 2 1.13874 6/26 13:23 1.13813 0.07%
Trade id #124240523
Max drawdown($8)
Time6/26/19 11:36
Quant open2
Worst price1.13914
Drawdown as % of equity-0.07%
$12
6/24/19 10:30 USD/CAD USD/CAD LONG 11 1.31791 6/26 11:13 1.31607 1.82%
Trade id #124203631
Max drawdown($207)
Time6/24/19 10:30
Quant open5
Worst price1.31246
Drawdown as % of equity-1.82%
($155)
6/23/19 23:18 USD/CAD USD/CAD LONG 5 1.31898 6/24 9:49 1.32001 0.28%
Trade id #124198030
Max drawdown($32)
Time6/23/19 23:18
Quant open4
Worst price1.31777
Drawdown as % of equity-0.28%
$39

Statistics

  • Strategy began
    2/27/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    536.36
  • Age
    18 months ago
  • What it trades
    Forex
  • # Trades
    251
  • # Profitable
    218
  • % Profitable
    86.90%
  • Avg trade duration
    1.8 days
  • Max peak-to-valley drawdown
    22.44%
  • drawdown period
    March 21, 2018 - March 26, 2018
  • Annual Return (Compounded)
    81.1%
  • Avg win
    $67.36
  • Avg loss
    $205.12
  • Model Account Values (Raw)
  • Cash
    $12,868
  • Margin Used
    $900
  • Buying Power
    $12,015
  • Ratios
  • W:L ratio
    2.17:1
  • Sharpe Ratio
    1.63
  • Sortino Ratio
    2.59
  • Calmar Ratio
    5.394
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.15800
  • Return Statistics
  • Ann Return (w trading costs)
    81.1%
  • Ann Return (Compnd, No Fees)
    95.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    967
  • Popularity (Last 6 weeks)
    994
  • C2 Score
    361
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $205
  • Avg Win
    $70
  • # Winners
    218
  • # Losers
    33
  • % Winners
    86.8%
  • Frequency
  • Avg Position Time (mins)
    2601.08
  • Avg Position Time (hrs)
    43.35
  • Avg Trade Length
    1.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    8.37
  • Daily leverage (max)
    28.37
  • Regression
  • Alpha
    0.17
  • Beta
    0.33
  • Treynor Index
    0.52
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    4.501
  • Avg(MAE) / Avg(PL) - Winning trades
    1.563
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.654
  • Hold-and-Hope Ratio
    0.242
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65490
  • SD
    0.29948
  • Sharpe ratio (Glass type estimate)
    2.18683
  • Sharpe ratio (Hedges UMVUE)
    2.08241
  • df
    16.00000
  • t
    2.60285
  • p
    0.22730
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34866
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28459
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88024
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.88444
  • Upside Potential Ratio
    9.33568
  • Upside part of mean
    0.77545
  • Downside part of mean
    -0.12054
  • Upside SD
    0.33653
  • Downside SD
    0.08306
  • N nonnegative terms
    12.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.03120
  • Mean of criterion
    0.65490
  • SD of predictor
    0.16090
  • SD of criterion
    0.29948
  • Covariance
    0.00828
  • r
    0.17181
  • b (slope, estimate of beta)
    0.31979
  • a (intercept, estimate of alpha)
    0.64493
  • Mean Square Error
    0.09284
  • DF error
    15.00000
  • t(b)
    0.67547
  • p(b)
    0.39116
  • t(a)
    2.51508
  • p(a)
    0.17128
  • Lowerbound of 95% confidence interval for beta
    -0.68932
  • Upperbound of 95% confidence interval for beta
    1.32890
  • Lowerbound of 95% confidence interval for alpha
    0.09837
  • Upperbound of 95% confidence interval for alpha
    1.19148
  • Treynor index (mean / b)
    2.04790
  • Jensen alpha (a)
    0.64493
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59935
  • SD
    0.27827
  • Sharpe ratio (Glass type estimate)
    2.15387
  • Sharpe ratio (Hedges UMVUE)
    2.05103
  • df
    16.00000
  • t
    2.56361
  • p
    0.23020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93146
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25754
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84452
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.99499
  • Upside Potential Ratio
    8.44047
  • Upside part of mean
    0.72321
  • Downside part of mean
    -0.12385
  • Upside SD
    0.30899
  • Downside SD
    0.08568
  • N nonnegative terms
    12.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.01881
  • Mean of criterion
    0.59935
  • SD of predictor
    0.16223
  • SD of criterion
    0.27827
  • Covariance
    0.00952
  • r
    0.21081
  • b (slope, estimate of beta)
    0.36161
  • a (intercept, estimate of alpha)
    0.59255
  • Mean Square Error
    0.07893
  • DF error
    15.00000
  • t(b)
    0.83524
  • p(b)
    0.36679
  • t(a)
    2.50896
  • p(a)
    0.17178
  • Lowerbound of 95% confidence interval for beta
    -0.56118
  • Upperbound of 95% confidence interval for beta
    1.28439
  • Lowerbound of 95% confidence interval for alpha
    0.08916
  • Upperbound of 95% confidence interval for alpha
    1.09594
  • Treynor index (mean / b)
    1.65747
  • Jensen alpha (a)
    0.59255
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07890
  • Expected Shortfall on VaR
    0.10891
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01561
  • Expected Shortfall on VaR
    0.03579
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.93399
  • Quartile 1
    1.00042
  • Median
    1.04063
  • Quartile 3
    1.08344
  • Maximum
    1.23611
  • Mean of quarter 1
    0.96817
  • Mean of quarter 2
    1.02656
  • Mean of quarter 3
    1.07499
  • Mean of quarter 4
    1.18007
  • Inter Quartile Range
    0.08301
  • 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
    0.05882
  • Mean of outliers high
    1.23611
  • 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)
    -2.46318
  • VaR(95%) (regression method)
    0.04510
  • Expected Shortfall (regression method)
    0.04558
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01225
  • Quartile 1
    0.01423
  • Median
    0.01621
  • Quartile 3
    0.06159
  • Maximum
    0.10698
  • Mean of quarter 1
    0.01225
  • Mean of quarter 2
    0.01621
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10698
  • Inter Quartile Range
    0.04736
  • 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)
    1.01066
  • Compounded annual return (geometric extrapolation)
    0.87247
  • Calmar ratio (compounded annual return / max draw down)
    8.15573
  • Compounded annual return / average of 25% largest draw downs
    8.15573
  • Compounded annual return / Expected Shortfall lognormal
    8.01088
  • 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
    0.67613
  • SD
    0.30368
  • Sharpe ratio (Glass type estimate)
    2.22643
  • Sharpe ratio (Hedges UMVUE)
    2.22204
  • df
    380.00000
  • t
    2.68486
  • p
    0.00379
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85501
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67433
  • Upside Potential Ratio
    10.56750
  • Upside part of mean
    1.94458
  • Downside part of mean
    -1.26845
  • Upside SD
    0.24467
  • Downside SD
    0.18401
  • N nonnegative terms
    209.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    381.00000
  • Mean of predictor
    0.01920
  • Mean of criterion
    0.67613
  • SD of predictor
    0.15397
  • SD of criterion
    0.30368
  • Covariance
    0.00688
  • r
    0.14713
  • b (slope, estimate of beta)
    0.29019
  • a (intercept, estimate of alpha)
    0.67100
  • Mean Square Error
    0.09046
  • DF error
    379.00000
  • t(b)
    2.89581
  • p(b)
    0.00200
  • t(a)
    2.68841
  • p(a)
    0.00375
  • Lowerbound of 95% confidence interval for beta
    0.09315
  • Upperbound of 95% confidence interval for beta
    0.48723
  • Lowerbound of 95% confidence interval for alpha
    0.18013
  • Upperbound of 95% confidence interval for alpha
    1.16099
  • Treynor index (mean / b)
    2.32992
  • Jensen alpha (a)
    0.67056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62969
  • SD
    0.30168
  • Sharpe ratio (Glass type estimate)
    2.08726
  • Sharpe ratio (Hedges UMVUE)
    2.08314
  • df
    380.00000
  • t
    2.51703
  • p
    0.00612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71518
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35017
  • Upside Potential Ratio
    10.19070
  • Upside part of mean
    1.91542
  • Downside part of mean
    -1.28573
  • Upside SD
    0.23866
  • Downside SD
    0.18796
  • N nonnegative terms
    209.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    381.00000
  • Mean of predictor
    0.00736
  • Mean of criterion
    0.62969
  • SD of predictor
    0.15413
  • SD of criterion
    0.30168
  • Covariance
    0.00697
  • r
    0.14988
  • b (slope, estimate of beta)
    0.29335
  • a (intercept, estimate of alpha)
    0.62753
  • Mean Square Error
    0.08920
  • DF error
    379.00000
  • t(b)
    2.95114
  • p(b)
    0.00168
  • t(a)
    2.53371
  • p(a)
    0.00584
  • Lowerbound of 95% confidence interval for beta
    0.09790
  • Upperbound of 95% confidence interval for beta
    0.48880
  • Lowerbound of 95% confidence interval for alpha
    0.14055
  • Upperbound of 95% confidence interval for alpha
    1.11452
  • Treynor index (mean / b)
    2.14652
  • Jensen alpha (a)
    0.62753
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02786
  • Expected Shortfall on VaR
    0.03538
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01029
  • Expected Shortfall on VaR
    0.02169
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    381.00000
  • Minimum
    0.91906
  • Quartile 1
    0.99495
  • Median
    1.00161
  • Quartile 3
    1.01039
  • Maximum
    1.10039
  • Mean of quarter 1
    0.98234
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00548
  • Mean of quarter 4
    1.02433
  • Inter Quartile Range
    0.01543
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.04199
  • Mean of outliers low
    0.95659
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.04724
  • Mean of outliers high
    1.05392
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22330
  • VaR(95%) (moments method)
    0.01513
  • Expected Shortfall (moments method)
    0.02474
  • Extreme Value Index (regression method)
    0.26455
  • VaR(95%) (regression method)
    0.01686
  • Expected Shortfall (regression method)
    0.02908
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00943
  • Median
    0.01550
  • Quartile 3
    0.04554
  • Maximum
    0.17244
  • Mean of quarter 1
    0.00471
  • Mean of quarter 2
    0.01169
  • Mean of quarter 3
    0.02842
  • Mean of quarter 4
    0.09530
  • Inter Quartile Range
    0.03611
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.14218
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.03457
  • VaR(95%) (moments method)
    0.09318
  • Expected Shortfall (moments method)
    0.12531
  • Extreme Value Index (regression method)
    0.20714
  • VaR(95%) (regression method)
    0.11209
  • Expected Shortfall (regression method)
    0.17165
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.10163
  • Compounded annual return (geometric extrapolation)
    0.93015
  • Calmar ratio (compounded annual return / max draw down)
    5.39417
  • Compounded annual return / average of 25% largest draw downs
    9.76027
  • Compounded annual return / Expected Shortfall lognormal
    26.29270
  • 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
    0.46089
  • SD
    0.18316
  • Sharpe ratio (Glass type estimate)
    2.51627
  • Sharpe ratio (Hedges UMVUE)
    2.50172
  • df
    130.00000
  • t
    1.77927
  • p
    0.42291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29016
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.00073
  • Upside Potential Ratio
    10.33360
  • Upside part of mean
    1.19043
  • Downside part of mean
    -0.72955
  • Upside SD
    0.14433
  • Downside SD
    0.11520
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08183
  • Mean of criterion
    0.46089
  • SD of predictor
    0.12836
  • SD of criterion
    0.18316
  • Covariance
    0.00618
  • r
    0.26294
  • b (slope, estimate of beta)
    0.37519
  • a (intercept, estimate of alpha)
    0.43019
  • Mean Square Error
    0.03147
  • DF error
    129.00000
  • t(b)
    3.09532
  • p(b)
    0.33456
  • t(a)
    1.71334
  • p(a)
    0.40539
  • Lowerbound of 95% confidence interval for beta
    0.13537
  • Upperbound of 95% confidence interval for beta
    0.61501
  • Lowerbound of 95% confidence interval for alpha
    -0.06658
  • Upperbound of 95% confidence interval for alpha
    0.92695
  • Treynor index (mean / b)
    1.22842
  • Jensen alpha (a)
    0.43019
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44382
  • SD
    0.18308
  • Sharpe ratio (Glass type estimate)
    2.42417
  • Sharpe ratio (Hedges UMVUE)
    2.41016
  • df
    130.00000
  • t
    1.71415
  • p
    0.42567
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.20698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.19740
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.79472
  • Upside Potential Ratio
    10.08970
  • Upside part of mean
    1.18006
  • Downside part of mean
    -0.73624
  • Upside SD
    0.14260
  • Downside SD
    0.11696
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07360
  • Mean of criterion
    0.44382
  • SD of predictor
    0.12877
  • SD of criterion
    0.18308
  • Covariance
    0.00621
  • r
    0.26344
  • b (slope, estimate of beta)
    0.37455
  • a (intercept, estimate of alpha)
    0.41625
  • Mean Square Error
    0.03143
  • DF error
    129.00000
  • t(b)
    3.10168
  • p(b)
    0.33425
  • t(a)
    1.65908
  • p(a)
    0.40830
  • Lowerbound of 95% confidence interval for beta
    0.13563
  • Upperbound of 95% confidence interval for beta
    0.61347
  • Lowerbound of 95% confidence interval for alpha
    -0.08015
  • Upperbound of 95% confidence interval for alpha
    0.91265
  • Treynor index (mean / b)
    1.18493
  • Jensen alpha (a)
    0.41625
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01677
  • Expected Shortfall on VaR
    0.02140
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00600
  • Expected Shortfall on VaR
    0.01294
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95073
  • Quartile 1
    0.99763
  • Median
    1.00068
  • Quartile 3
    1.00613
  • Maximum
    1.04086
  • Mean of quarter 1
    0.98956
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00284
  • Mean of quarter 4
    1.01546
  • Inter Quartile Range
    0.00850
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97321
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.02587
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28245
  • VaR(95%) (moments method)
    0.00837
  • Expected Shortfall (moments method)
    0.01479
  • Extreme Value Index (regression method)
    0.44977
  • VaR(95%) (regression method)
    0.01045
  • Expected Shortfall (regression method)
    0.02309
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00224
  • Quartile 1
    0.00774
  • Median
    0.01341
  • Quartile 3
    0.02100
  • Maximum
    0.08280
  • Mean of quarter 1
    0.00411
  • Mean of quarter 2
    0.01025
  • Mean of quarter 3
    0.01774
  • Mean of quarter 4
    0.05349
  • Inter Quartile Range
    0.01326
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.06885
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -12.37110
  • VaR(95%) (moments method)
    0.04949
  • Expected Shortfall (moments method)
    0.04949
  • Extreme Value Index (regression method)
    -1.20366
  • VaR(95%) (regression method)
    0.09594
  • Expected Shortfall (regression method)
    0.10348
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53200
  • Compounded annual return (geometric extrapolation)
    0.60276
  • Calmar ratio (compounded annual return / max draw down)
    7.27956
  • Compounded annual return / average of 25% largest draw downs
    11.26820
  • Compounded annual return / Expected Shortfall lognormal
    28.17170

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
251
# Profitable
218
% Profitable
86.9%
Correlation S&P500
0.158
Sharpe Ratio
1.63
Sortino Ratio
2.59
Beta
0.33
Alpha
0.17
Leverage
8.37 Average
28.37 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.