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

FX Micro Futures
(121833418)

Created by: MAP MAP
Started: 01/2019
Forex
Last trade: 1,559 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. 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.
11.9%
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.

(21.7%)
Max Drawdown
112
Num Trades
87.5%
Win Trades
1.3 : 1
Profit Factor
11.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+4.0%+4.3%+3.1%(3.7%)+3.4%+3.8%(2.5%)+7.3%(3%)(8.3%)+4.7%(4.6%)+7.3%
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 100 hours.

Trading Record

This strategy has placed 265 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1685 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/19 3:05 @M6BZ9 E-MICRO GBP/USD SHORT 34 1.3023 12/12 13:12 1.3048 19.23%
Trade id #126380265
Max drawdown($1,863)
Time12/12/19 2:32
Quant open14
Worst price1.3224
Drawdown as % of equity-19.23%
($561)
Includes Typical Broker Commissions trade costs of $26.52
12/3/19 4:50 @M6AZ9 E-MICRO AUD/USD SHORT 1 0.6863 12/3 5:27 0.6844 0.01%
Trade id #126452823
Max drawdown($1)
Time12/3/19 4:53
Quant open1
Worst price0.6864
Drawdown as % of equity-0.01%
$18
Includes Typical Broker Commissions trade costs of $0.78
12/2/19 8:50 @BPZ9 BRITISH POUND SHORT 1 1.2937 12/2 8:50 1.2938 0.05%
Trade id #126438527
Max drawdown($6)
Time12/2/19 8:50
Quant open1
Worst price1.2938
Drawdown as % of equity-0.05%
($14)
Includes Typical Broker Commissions trade costs of $8.00
11/26/19 11:02 @M6BZ9 E-MICRO GBP/USD SHORT 6 1.2862 11/27 2:34 1.2854 0.51%
Trade id #126370355
Max drawdown($58)
Time11/26/19 14:59
Quant open6
Worst price1.2878
Drawdown as % of equity-0.51%
$26
Includes Typical Broker Commissions trade costs of $4.68
11/22/19 13:44 @M6BZ9 E-MICRO GBP/USD SHORT 13 1.2880 11/26 11:01 1.2868 0.84%
Trade id #126332138
Max drawdown($93)
Time11/25/19 0:00
Quant open2
Worst price1.2920
Drawdown as % of equity-0.84%
$87
Includes Typical Broker Commissions trade costs of $10.14
11/22/19 6:40 @M6BZ9 E-MICRO GBP/USD SHORT 1 1.2895 11/22 7:51 1.2864 0.01%
Trade id #126320574
Max drawdown($0)
Time11/22/19 6:41
Quant open1
Worst price1.2896
Drawdown as % of equity-0.01%
$18
Includes Typical Broker Commissions trade costs of $0.78
11/15/19 10:21 @M6AZ9 E-MICRO AUD/USD SHORT 2 0.6820 11/18 6:02 0.6814 0.13%
Trade id #126226923
Max drawdown($14)
Time11/15/19 16:56
Quant open2
Worst price0.6827
Drawdown as % of equity-0.13%
$10
Includes Typical Broker Commissions trade costs of $1.56
11/12/19 20:00 @M6AZ9 E-MICRO AUD/USD SHORT 1 0.6860 11/13 4:47 0.6836 0.03%
Trade id #126182183
Max drawdown($3)
Time11/12/19 20:01
Quant open1
Worst price0.6863
Drawdown as % of equity-0.03%
$23
Includes Typical Broker Commissions trade costs of $0.78
11/8/19 16:38 @M6AZ9 E-MICRO AUD/USD SHORT 3 0.6870 11/11 23:18 0.6855 0.03%
Trade id #126137438
Max drawdown($3)
Time11/11/19 5:18
Quant open3
Worst price0.6871
Drawdown as % of equity-0.03%
$42
Includes Typical Broker Commissions trade costs of $2.34
11/8/19 7:07 @M6AZ9 E-MICRO AUD/USD SHORT 1 0.6875 11/8 11:32 0.6860 0.01%
Trade id #126127674
Max drawdown($1)
Time11/8/19 7:08
Quant open1
Worst price0.6876
Drawdown as % of equity-0.01%
$14
Includes Typical Broker Commissions trade costs of $0.78
11/7/19 22:26 @M6AZ9 E-MICRO AUD/USD SHORT 2 0.6888 11/8 6:26 0.6871 0.08%
Trade id #126123863
Max drawdown($9)
Time11/8/19 3:22
Quant open2
Worst price0.6893
Drawdown as % of equity-0.08%
$33
Includes Typical Broker Commissions trade costs of $1.56
11/6/19 14:16 AUD/USD AUD/USD SHORT 2 0.68825 11/6 22:41 0.68643 0.05%
Trade id #126098483
Max drawdown($5)
Time11/6/19 16:57
Quant open2
Worst price0.68854
Drawdown as % of equity-0.05%
$36
11/4/19 16:41 AUD/USD AUD/USD SHORT 10 0.69003 11/6 12:32 0.68828 1.07%
Trade id #126067725
Max drawdown($114)
Time11/5/19 0:00
Quant open3
Worst price0.69281
Drawdown as % of equity-1.07%
$175
11/1/19 5:08 AUD/USD AUD/USD SHORT 10 0.69032 11/4 14:19 0.68902 1.45%
Trade id #126034692
Max drawdown($152)
Time11/4/19 2:21
Quant open7
Worst price0.69250
Drawdown as % of equity-1.45%
$130
10/30/19 9:04 USD/CAD USD/CAD LONG 5 1.30886 10/30 10:01 1.31253 0.25%
Trade id #126002924
Max drawdown($25)
Time10/30/19 10:01
Quant open5
Worst price1.30818
Drawdown as % of equity-0.25%
$140
10/23/19 1:58 USD/CAD USD/CAD LONG 8 1.30834 10/29 12:56 1.30872 1.84%
Trade id #125909723
Max drawdown($189)
Time10/29/19 7:50
Quant open6
Worst price1.30421
Drawdown as % of equity-1.84%
$23
10/21/19 13:41 USD/CHF USD/CHF LONG 1 0.98550 10/21 22:18 0.98682 0.01%
Trade id #125880892
Max drawdown($1)
Time10/21/19 14:12
Quant open1
Worst price0.98538
Drawdown as % of equity-0.01%
$13
10/11/19 4:53 GBP/USD GBP/USD SHORT 14 1.25753 10/15 10:27 1.26459 9.67%
Trade id #125736100
Max drawdown($1,051)
Time10/11/19 10:02
Quant open7
Worst price1.27069
Drawdown as % of equity-9.67%
($989)
10/4/19 9:40 USD/CAD USD/CAD SHORT 5 1.33146 10/7 3:29 1.33270 0.63%
Trade id #125630326
Max drawdown($71)
Time10/4/19 12:00
Quant open5
Worst price1.33338
Drawdown as % of equity-0.63%
($46)
10/3/19 7:23 USD/CAD USD/CAD SHORT 6 1.33288 10/4 9:01 1.33093 0.44%
Trade id #125608844
Max drawdown($50)
Time10/3/19 16:51
Quant open4
Worst price1.33453
Drawdown as % of equity-0.44%
$87
9/25/19 2:24 GBP/USD GBP/USD LONG 16 1.23624 10/1 4:18 1.23010 7.8%
Trade id #125495026
Max drawdown($903)
Time10/1/19 2:23
Quant open10
Worst price1.22721
Drawdown as % of equity-7.80%
($982)
9/24/19 2:16 EUR/USD EUR/USD LONG 1 1.09850 9/24 8:11 1.10029 0.01%
Trade id #125471585
Max drawdown($1)
Time9/24/19 2:17
Quant open1
Worst price1.09838
Drawdown as % of equity-0.01%
$18
9/23/19 3:35 EUR/USD EUR/USD LONG 3 1.09792 9/23 13:41 1.09888 0.32%
Trade id #125453893
Max drawdown($39)
Time9/23/19 3:44
Quant open3
Worst price1.09662
Drawdown as % of equity-0.32%
$29
9/22/19 23:00 USD/JPY USD/JPY SHORT 4 107.708 9/23 3:33 107.532 0.19%
Trade id #125452090
Max drawdown($23)
Time9/23/19 3:06
Quant open4
Worst price107.770
Drawdown as % of equity-0.19%
$65
9/12/19 10:55 USD/JPY USD/JPY SHORT 15 108.041 9/20 14:21 107.904 2.41%
Trade id #125328833
Max drawdown($287)
Time9/18/19 0:00
Quant open7
Worst price108.477
Drawdown as % of equity-2.41%
$191
9/12/19 9:53 USD/JPY USD/JPY SHORT 5 107.782 9/12 10:54 107.768 1.16%
Trade id #125327085
Max drawdown($140)
Time9/12/19 10:12
Quant open5
Worst price108.086
Drawdown as % of equity-1.16%
$6
9/12/19 6:34 EUR/USD EUR/USD LONG 6 1.09994 9/12 9:51 1.10111 3.72%
Trade id #125322620
Max drawdown($433)
Time9/12/19 8:48
Quant open6
Worst price1.09271
Drawdown as % of equity-3.72%
$70
9/4/19 6:41 GBP/USD GBP/USD SHORT 23 1.23095 9/12 9:12 1.23091 4.78%
Trade id #125210607
Max drawdown($550)
Time9/6/19 0:00
Quant open6
Worst price1.23432
Drawdown as % of equity-4.78%
$10
9/11/19 23:13 EUR/USD EUR/USD LONG 4 1.10125 9/12 5:39 1.10261 0.23%
Trade id #125318594
Max drawdown($27)
Time9/12/19 2:39
Quant open4
Worst price1.10056
Drawdown as % of equity-0.23%
$54
9/2/19 2:45 GBP/USD GBP/USD SHORT 2 1.21650 9/2 3:40 1.21489 0.04%
Trade id #125179139
Max drawdown($5)
Time9/2/19 2:54
Quant open2
Worst price1.21676
Drawdown as % of equity-0.04%
$32

Statistics

  • Strategy began
    1/7/2019
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1889.56
  • Age
    63 months ago
  • What it trades
    Forex
  • # Trades
    112
  • # Profitable
    98
  • % Profitable
    87.50%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    21.74%
  • drawdown period
    Sept 25, 2019 - Dec 11, 2019
  • Cumul. Return
    11.3%
  • Avg win
    $51.59
  • Avg loss
    $277.36
  • Model Account Values (Raw)
  • Cash
    $11,169
  • Margin Used
    $0
  • Buying Power
    $11,169
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    -0.03
  • Sortino Ratio
    -0.04
  • Calmar Ratio
    0.436
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -13.88%
  • Correlation to SP500
    0.02260
  • Return Percent SP500 (cumu) during strategy life
    101.96%
  • Return Statistics
  • Ann Return (w trading costs)
    11.9%
  • Slump
  • Current Slump as Pcnt Equity
    16.70%
  • Instruments
  • Percent Trades Futures
    0.12%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.86%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.113%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.88%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    693
  • Popularity (Last 6 weeks)
    889
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    749
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $277
  • Avg Win
    $52
  • Sum Trade PL (losers)
    $3,883.000
  • Age
  • Num Months filled monthly returns table
    63
  • Win / Loss
  • Sum Trade PL (winners)
    $5,056.000
  • # Winners
    98
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    14
  • % Winners
    87.5%
  • Frequency
  • Avg Position Time (mins)
    2010.32
  • Avg Position Time (hrs)
    33.51
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    1551
  • Leverage
  • Daily leverage (average)
    4.48
  • Daily leverage (max)
    10.68
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.73
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    27.26
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.60
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    13.891
  • 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
    0.19
  • Avg(MAE) / Avg(PL) - Winning trades
    1.466
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.538
  • Hold-and-Hope Ratio
    0.072
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10396
  • SD
    0.15233
  • Sharpe ratio (Glass type estimate)
    0.68242
  • Sharpe ratio (Hedges UMVUE)
    0.62970
  • df
    10.00000
  • t
    0.65337
  • p
    0.26413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40228
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69533
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03364
  • Upside Potential Ratio
    2.69934
  • Upside part of mean
    0.27148
  • Downside part of mean
    -0.16753
  • Upside SD
    0.10900
  • Downside SD
    0.10057
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.21870
  • Mean of criterion
    0.10396
  • SD of predictor
    0.12562
  • SD of criterion
    0.15233
  • Covariance
    0.00941
  • r
    0.49191
  • b (slope, estimate of beta)
    0.59650
  • a (intercept, estimate of alpha)
    -0.02650
  • Mean Square Error
    0.01955
  • DF error
    9.00000
  • t(b)
    1.69496
  • p(b)
    0.06216
  • t(a)
    -0.16054
  • p(a)
    0.56200
  • Lowerbound of 95% confidence interval for beta
    -0.19961
  • Upperbound of 95% confidence interval for beta
    1.39260
  • Lowerbound of 95% confidence interval for alpha
    -0.39990
  • Upperbound of 95% confidence interval for alpha
    0.34690
  • Treynor index (mean / b)
    0.17428
  • Jensen alpha (a)
    -0.02650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09270
  • SD
    0.15340
  • Sharpe ratio (Glass type estimate)
    0.60429
  • Sharpe ratio (Hedges UMVUE)
    0.55761
  • df
    10.00000
  • t
    0.57857
  • p
    0.28784
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65343
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50404
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61926
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89120
  • Upside Potential Ratio
    2.54877
  • Upside part of mean
    0.26512
  • Downside part of mean
    -0.17242
  • Upside SD
    0.10625
  • Downside SD
    0.10402
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.20924
  • Mean of criterion
    0.09270
  • SD of predictor
    0.12459
  • SD of criterion
    0.15340
  • Covariance
    0.00913
  • r
    0.47764
  • b (slope, estimate of beta)
    0.58812
  • a (intercept, estimate of alpha)
    -0.03035
  • Mean Square Error
    0.02018
  • DF error
    9.00000
  • t(b)
    1.63102
  • p(b)
    0.06866
  • t(a)
    -0.18235
  • p(a)
    0.57033
  • Lowerbound of 95% confidence interval for beta
    -0.22758
  • Upperbound of 95% confidence interval for beta
    1.40382
  • Lowerbound of 95% confidence interval for alpha
    -0.40691
  • Upperbound of 95% confidence interval for alpha
    0.34620
  • Treynor index (mean / b)
    0.15762
  • Jensen alpha (a)
    -0.03035
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06304
  • Expected Shortfall on VaR
    0.08010
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02600
  • Expected Shortfall on VaR
    0.05393
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.92007
  • Quartile 1
    0.98540
  • Median
    1.02680
  • Quartile 3
    1.04446
  • Maximum
    1.06403
  • Mean of quarter 1
    0.95135
  • Mean of quarter 2
    1.01157
  • Mean of quarter 3
    1.03726
  • Mean of quarter 4
    1.05254
  • Inter Quartile Range
    0.05906
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17826
  • VaR(95%) (moments method)
    0.05508
  • Expected Shortfall (moments method)
    0.08061
  • Extreme Value Index (regression method)
    2.40334
  • VaR(95%) (regression method)
    0.09319
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03512
  • Quartile 1
    0.05204
  • Median
    0.06896
  • Quartile 3
    0.08588
  • Maximum
    0.10280
  • Mean of quarter 1
    0.03512
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10280
  • Inter Quartile Range
    0.03384
  • 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)
    0.12753
  • Compounded annual return (geometric extrapolation)
    0.12818
  • Calmar ratio (compounded annual return / max draw down)
    1.24685
  • Compounded annual return / average of 25% largest draw downs
    1.24685
  • Compounded annual return / Expected Shortfall lognormal
    1.60037
  • 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
    0.10440
  • SD
    0.15509
  • Sharpe ratio (Glass type estimate)
    0.67318
  • Sharpe ratio (Hedges UMVUE)
    0.67108
  • df
    240.00000
  • t
    0.64564
  • p
    0.25956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37193
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71553
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85655
  • Upside Potential Ratio
    6.12905
  • Upside part of mean
    0.74703
  • Downside part of mean
    -0.64263
  • Upside SD
    0.09559
  • Downside SD
    0.12188
  • N nonnegative terms
    115.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    241.00000
  • Mean of predictor
    0.22376
  • Mean of criterion
    0.10440
  • SD of predictor
    0.12243
  • SD of criterion
    0.15509
  • Covariance
    0.00194
  • r
    0.10226
  • b (slope, estimate of beta)
    0.12953
  • a (intercept, estimate of alpha)
    0.05100
  • Mean Square Error
    0.02390
  • DF error
    239.00000
  • t(b)
    1.58923
  • p(b)
    0.05667
  • t(a)
    0.46491
  • p(a)
    0.32121
  • Lowerbound of 95% confidence interval for beta
    -0.03103
  • Upperbound of 95% confidence interval for beta
    0.29009
  • Lowerbound of 95% confidence interval for alpha
    -0.24414
  • Upperbound of 95% confidence interval for alpha
    0.39498
  • Treynor index (mean / b)
    0.80599
  • Jensen alpha (a)
    0.07542
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09228
  • SD
    0.15619
  • Sharpe ratio (Glass type estimate)
    0.59084
  • Sharpe ratio (Hedges UMVUE)
    0.58899
  • df
    240.00000
  • t
    0.56666
  • p
    0.28574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63450
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63324
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74476
  • Upside Potential Ratio
    5.99178
  • Upside part of mean
    0.74244
  • Downside part of mean
    -0.65016
  • Upside SD
    0.09473
  • Downside SD
    0.12391
  • N nonnegative terms
    115.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    241.00000
  • Mean of predictor
    0.21616
  • Mean of criterion
    0.09228
  • SD of predictor
    0.12274
  • SD of criterion
    0.15619
  • Covariance
    0.00195
  • r
    0.10197
  • b (slope, estimate of beta)
    0.12976
  • a (intercept, estimate of alpha)
    0.06423
  • Mean Square Error
    0.02424
  • DF error
    239.00000
  • t(b)
    1.58471
  • p(b)
    0.05718
  • t(a)
    0.39333
  • p(a)
    0.34721
  • Lowerbound of 95% confidence interval for beta
    -0.03154
  • Upperbound of 95% confidence interval for beta
    0.29107
  • Lowerbound of 95% confidence interval for alpha
    -0.25747
  • Upperbound of 95% confidence interval for alpha
    0.38594
  • Treynor index (mean / b)
    0.71116
  • Jensen alpha (a)
    0.06423
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01540
  • Expected Shortfall on VaR
    0.01936
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00565
  • Expected Shortfall on VaR
    0.01255
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    241.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99982
  • Median
    1.00000
  • Quartile 3
    1.00371
  • Maximum
    1.03661
  • Mean of quarter 1
    0.99054
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00155
  • Mean of quarter 4
    1.01010
  • Inter Quartile Range
    0.00390
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.10788
  • Mean of outliers low
    0.98073
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.10788
  • Mean of outliers high
    1.01517
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82894
  • VaR(95%) (moments method)
    0.00600
  • Expected Shortfall (moments method)
    0.04113
  • Extreme Value Index (regression method)
    0.41076
  • VaR(95%) (regression method)
    0.00874
  • Expected Shortfall (regression method)
    0.02080
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00273
  • Median
    0.00377
  • Quartile 3
    0.02226
  • Maximum
    0.17712
  • Mean of quarter 1
    0.00085
  • Mean of quarter 2
    0.00336
  • Mean of quarter 3
    0.01155
  • Mean of quarter 4
    0.07661
  • Inter Quartile Range
    0.01952
  • 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
    0.12500
  • Mean of outliers high
    0.12711
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37808
  • VaR(95%) (moments method)
    0.06859
  • Expected Shortfall (moments method)
    0.13957
  • Extreme Value Index (regression method)
    1.29033
  • VaR(95%) (regression method)
    0.12643
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12709
  • Compounded annual return (geometric extrapolation)
    0.12771
  • Calmar ratio (compounded annual return / max draw down)
    0.72105
  • Compounded annual return / average of 25% largest draw downs
    1.66714
  • Compounded annual return / Expected Shortfall lognormal
    6.59813
  • 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
    -0.02566
  • SD
    0.18404
  • Sharpe ratio (Glass type estimate)
    -0.13941
  • Sharpe ratio (Hedges UMVUE)
    -0.13860
  • df
    130.00000
  • t
    -0.09857
  • p
    0.50432
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.91102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63326
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17322
  • Upside Potential Ratio
    5.62856
  • Upside part of mean
    0.83370
  • Downside part of mean
    -0.85936
  • Upside SD
    0.10806
  • Downside SD
    0.14812
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18072
  • Mean of criterion
    -0.02566
  • SD of predictor
    0.12685
  • SD of criterion
    0.18404
  • Covariance
    0.00254
  • r
    0.10896
  • b (slope, estimate of beta)
    0.15809
  • a (intercept, estimate of alpha)
    -0.05423
  • Mean Square Error
    0.03373
  • DF error
    129.00000
  • t(b)
    1.24499
  • p(b)
    0.43077
  • t(a)
    -0.20797
  • p(a)
    0.51165
  • Lowerbound of 95% confidence interval for beta
    -0.09314
  • Upperbound of 95% confidence interval for beta
    0.40932
  • Lowerbound of 95% confidence interval for alpha
    -0.57011
  • Upperbound of 95% confidence interval for alpha
    0.46165
  • Treynor index (mean / b)
    -0.16229
  • Jensen alpha (a)
    -0.05423
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04263
  • SD
    0.18545
  • Sharpe ratio (Glass type estimate)
    -0.22988
  • Sharpe ratio (Hedges UMVUE)
    -0.22855
  • df
    130.00000
  • t
    -0.16255
  • p
    0.50713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.00147
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.00050
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54339
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28298
  • Upside Potential Ratio
    5.49502
  • Upside part of mean
    0.82786
  • Downside part of mean
    -0.87049
  • Upside SD
    0.10696
  • Downside SD
    0.15066
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17262
  • Mean of criterion
    -0.04263
  • SD of predictor
    0.12731
  • SD of criterion
    0.18545
  • Covariance
    0.00256
  • r
    0.10851
  • b (slope, estimate of beta)
    0.15807
  • a (intercept, estimate of alpha)
    -0.06992
  • Mean Square Error
    0.03425
  • DF error
    129.00000
  • t(b)
    1.23980
  • p(b)
    0.43105
  • t(a)
    -0.26620
  • p(a)
    0.51492
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    -0.09419
  • Upperbound of 95% confidence interval for beta
    0.41033
  • Lowerbound of 95% confidence interval for alpha
    -0.58959
  • Upperbound of 95% confidence interval for alpha
    0.44975
  • Treynor index (mean / b)
    -0.26970
  • Jensen alpha (a)
    -0.06992
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01883
  • Expected Shortfall on VaR
    0.02351
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00748
  • Expected Shortfall on VaR
    0.01632
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99933
  • Median
    1.00002
  • Quartile 3
    1.00469
  • Maximum
    1.03661
  • Mean of quarter 1
    0.98725
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.01125
  • Inter Quartile Range
    0.00536
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.97682
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.01911
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78573
  • VaR(95%) (moments method)
    0.00612
  • Expected Shortfall (moments method)
    0.03377
  • Extreme Value Index (regression method)
    0.32925
  • VaR(95%) (regression method)
    0.01076
  • Expected Shortfall (regression method)
    0.02272
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00382
  • Median
    0.01811
  • Quartile 3
    0.02438
  • Maximum
    0.17712
  • Mean of quarter 1
    0.00191
  • Mean of quarter 2
    0.00898
  • Mean of quarter 3
    0.02239
  • Mean of quarter 4
    0.10333
  • Inter Quartile Range
    0.02056
  • 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
    0.12500
  • Mean of outliers high
    0.17712
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -281177000
  • Max Equity Drawdown (num days)
    77
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01467
  • Compounded annual return (geometric extrapolation)
    -0.01462
  • Calmar ratio (compounded annual return / max draw down)
    -0.08253
  • Compounded annual return / average of 25% largest draw downs
    -0.14147
  • Compounded annual return / Expected Shortfall lognormal
    -0.62187

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 carried out both on a trend and on turns. Trading in the system is carried out on such liquid currency pairs FOREX - GBPUSD; EURUSD; AUDUSD; USDJPY; USDCAD; USDCHF. Trading system is manual. Low trading activity of 5-10 trades per month. Maximum annual drawdown of 30%.

Summary Statistics

Strategy began
2019-01-07
Suggested Minimum Capital
$25,000
# Trades
112
# Profitable
98
% Profitable
87.5%
Correlation S&P500
0.023
Sharpe Ratio
-0.03
Sortino Ratio
-0.04
Beta
0.01
Alpha
-0.00
Leverage
4.48 Average
10.68 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.