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

FX Velocity
(122203072)

Created by: AlohaZen AlohaZen
Started: 01/2019
Forex
Last trade: 136 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $100.00 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.

-4.3%
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.

(87.5%)
Max Drawdown
119
Num Trades
97.5%
Win Trades
0.8 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+0.9%+3.0%+21.0%+3.6%(13.7%)(12%)(60.7%)+13.2%+42.8%+32.6%+6.0%+7.1%(5.5%)
2020+4.4%(3.4%)                                                            +0.9%

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 24 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/8/19 8:23 GBP/JPY GBP/JPY LONG 27 138.717 7/30 0:36 132.060 25.3%
Trade id #123570741
Max drawdown($16,584)
Time5/8/19 8:23
Quant open27
Worst price132.035
Drawdown as % of equity-25.30%
($16,547)
5/16/19 16:56 GBP/CHF GBP/CHF LONG 24 1.27555 7/29 22:28 1.21610 78.04%
Trade id #123703236
Max drawdown($14,393)
Time7/29/19 22:28
Quant open12
Worst price1.20721
Drawdown as % of equity-78.04%
($14,393)
5/31/19 14:08 USD/JPY USD/JPY LONG 6 108.407 6/9 19:13 108.468 0.58%
Trade id #123893049
Max drawdown($327)
Time6/5/19 8:26
Quant open6
Worst price107.815
Drawdown as % of equity-0.58%
$34
5/16/19 10:40 GBP/USD GBP/USD LONG 18 1.27207 6/7 8:36 1.27438 4.67%
Trade id #123695503
Max drawdown($2,911)
Time5/31/19 7:39
Quant open18
Worst price1.25589
Drawdown as % of equity-4.67%
$417
4/18/19 15:09 CHF/JPY CHF/JPY LONG 36 108.768 5/20 20:11 109.072 5.83%
Trade id #123364383
Max drawdown($3,774)
Time5/8/19 22:38
Quant open36
Worst price107.614
Drawdown as % of equity-5.83%
$994
5/13/19 11:57 EUR/AUD EUR/AUD SHORT 3 1.62090 5/19 22:31 1.61422 0.17%
Trade id #123646525
Max drawdown($110)
Time5/17/19 15:07
Quant open-3
Worst price1.62622
Drawdown as % of equity-0.17%
$139
5/7/19 17:08 USD/JPY USD/JPY LONG 12 109.693 5/19 19:54 110.200 1.03%
Trade id #123565668
Max drawdown($685)
Time5/13/19 10:05
Quant open9
Worst price109.019
Drawdown as % of equity-1.03%
$552
5/16/19 10:45 EUR/CAD EUR/CAD LONG 3 1.50024 5/16 14:55 1.50423 0.02%
Trade id #123695631
Max drawdown($15)
Time5/16/19 10:52
Quant open3
Worst price1.49954
Drawdown as % of equity-0.02%
$89
5/8/19 8:18 GBP/USD GBP/USD LONG 2 1.29909 5/9 11:27 1.30191 0.07%
Trade id #123570689
Max drawdown($47)
Time5/9/19 9:31
Quant open2
Worst price1.29673
Drawdown as % of equity-0.07%
$56
5/7/19 17:13 NZD/JPY NZD/JPY LONG 3 72.331 5/8 8:17 72.548 0.21%
Trade id #123565697
Max drawdown($136)
Time5/7/19 22:01
Quant open3
Worst price71.830
Drawdown as % of equity-0.21%
$59
5/1/19 8:12 GBP/AUD GBP/AUD SHORT 12 1.87405 5/7 0:30 1.86724 1.84%
Trade id #123488207
Max drawdown($1,199)
Time5/5/19 21:01
Quant open-12
Worst price1.88827
Drawdown as % of equity-1.84%
$574
5/3/19 14:10 GBP/CHF GBP/CHF SHORT 3 1.33919 5/6 17:39 1.33284 0.02%
Trade id #123524433
Max drawdown($14)
Time5/3/19 15:17
Quant open-3
Worst price1.33969
Drawdown as % of equity-0.02%
$187
5/3/19 14:08 EUR/GBP EUR/GBP LONG 2 0.84999 5/5 23:39 0.85289 0.03%
Trade id #123524399
Max drawdown($22)
Time5/5/19 17:08
Quant open1
Worst price0.84882
Drawdown as % of equity-0.03%
$76
5/3/19 10:50 GBP/USD GBP/USD SHORT 6 1.31341 5/5 23:39 1.31219 0.32%
Trade id #123521317
Max drawdown($211)
Time5/3/19 11:17
Quant open-3
Worst price1.31765
Drawdown as % of equity-0.32%
$74
4/30/19 16:45 GBP/USD GBP/USD SHORT 3 1.30485 5/2 14:33 1.30287 0.24%
Trade id #123483098
Max drawdown($161)
Time5/1/19 14:06
Quant open-3
Worst price1.31023
Drawdown as % of equity-0.24%
$59
5/1/19 14:55 EUR/GBP EUR/GBP LONG 2 0.85795 5/2 7:28 0.85856 0.05%
Trade id #123496450
Max drawdown($36)
Time5/2/19 7:01
Quant open2
Worst price0.85654
Drawdown as % of equity-0.05%
$16
4/16/19 15:43 USD/CHF USD/CHF SHORT 25 1.01678 5/1 14:00 1.01324 2.65%
Trade id #123333125
Max drawdown($1,702)
Time4/26/19 8:31
Quant open-25
Worst price1.02369
Drawdown as % of equity-2.65%
$872
4/30/19 16:43 USD/CAD USD/CAD LONG 2 1.33922 5/1 8:11 1.34092 0.03%
Trade id #123482857
Max drawdown($22)
Time4/30/19 23:49
Quant open2
Worst price1.33770
Drawdown as % of equity-0.03%
$25
4/24/19 14:59 EUR/USD EUR/USD LONG 1 1.11438 4/29 15:09 1.11828 0.05%
Trade id #123417100
Max drawdown($34)
Time4/26/19 8:31
Quant open1
Worst price1.11097
Drawdown as % of equity-0.05%
$39
4/24/19 7:32 AUD/JPY AUD/JPY LONG 3 78.491 4/29 13:04 78.942 0.16%
Trade id #123410409
Max drawdown($104)
Time4/25/19 10:31
Quant open3
Worst price78.101
Drawdown as % of equity-0.16%
$121
4/24/19 15:05 EUR/CAD EUR/CAD LONG 6 1.50060 4/26 15:03 1.50101 0.16%
Trade id #123417182
Max drawdown($100)
Time4/26/19 8:31
Quant open6
Worst price1.49835
Drawdown as % of equity-0.16%
$18
4/24/19 15:03 AUD/USD AUD/USD LONG 2 0.70062 4/26 10:38 0.70590 0.06%
Trade id #123417140
Max drawdown($36)
Time4/25/19 8:33
Quant open2
Worst price0.69881
Drawdown as % of equity-0.06%
$106
4/24/19 7:30 USD/CAD USD/CAD SHORT 3 1.34792 4/26 9:48 1.34550 0.15%
Trade id #123410398
Max drawdown($94)
Time4/24/19 10:02
Quant open-3
Worst price1.35214
Drawdown as % of equity-0.15%
$54
4/22/19 13:35 EUR/AUD EUR/AUD SHORT 24 1.58674 4/25 21:14 1.58667 2.31%
Trade id #123391579
Max drawdown($1,465)
Time4/24/19 0:08
Quant open-18
Worst price1.59591
Drawdown as % of equity-2.31%
$12
4/16/19 15:39 EUR/CHF EUR/CHF SHORT 6 1.14383 4/24 20:23 1.13841 0.35%
Trade id #123333019
Max drawdown($224)
Time4/23/19 5:41
Quant open-6
Worst price1.14765
Drawdown as % of equity-0.35%
$319
4/22/19 13:31 GBP/USD GBP/USD LONG 1 1.29846 4/23 7:32 1.30041 0.01%
Trade id #123391540
Max drawdown($9)
Time4/22/19 20:26
Quant open1
Worst price1.29748
Drawdown as % of equity-0.01%
$20
4/16/19 15:40 USD/JPY USD/JPY SHORT 1 111.989 4/22 21:05 111.719 0.02%
Trade id #123333062
Max drawdown($15)
Time4/16/19 20:22
Quant open-1
Worst price112.166
Drawdown as % of equity-0.02%
$24
4/18/19 15:10 EUR/USD EUR/USD LONG 1 1.12299 4/22 13:25 1.12595 0%
Trade id #123364410
Max drawdown($2)
Time4/18/19 17:10
Quant open1
Worst price1.12272
Drawdown as % of equity-0.00%
$30
4/12/19 7:00 AUD/JPY AUD/JPY SHORT 3 80.305 4/18 12:58 79.941 0.17%
Trade id #123292267
Max drawdown($110)
Time4/16/19 22:07
Quant open-3
Worst price80.719
Drawdown as % of equity-0.17%
$97
4/15/19 17:55 EUR/JPY EUR/JPY SHORT 1 126.565 4/18 3:32 126.082 0.03%
Trade id #123320814
Max drawdown($21)
Time4/17/19 4:21
Quant open-1
Worst price126.807
Drawdown as % of equity-0.03%
$43

Statistics

  • Strategy began
    1/27/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    395.32
  • Age
    13 months ago
  • What it trades
    Forex
  • # Trades
    119
  • # Profitable
    116
  • % Profitable
    97.50%
  • Avg trade duration
    7.4 days
  • Max peak-to-valley drawdown
    87.5%
  • drawdown period
    May 14, 2019 - Aug 11, 2019
  • Annual Return (Compounded)
    -4.3%
  • Avg win
    $212.53
  • Avg loss
    $10,313
  • Model Account Values (Raw)
  • Cash
    $39,884
  • Margin Used
    $7,858
  • Buying Power
    $35,855
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    0.39
  • Sortino Ratio
    0.56
  • Calmar Ratio
    -0.048
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -21.68%
  • Correlation to SP500
    0.13740
  • Return Percent SP500 (cumu) during strategy life
    11.78%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.44%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.73%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.043%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -2.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    40.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • 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
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • 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
    $10,313
  • Avg Win
    $254
  • Sum Trade PL (losers)
    $30,940.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $29,476.000
  • # Winners
    116
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    3
  • % Winners
    97.5%
  • Frequency
  • Avg Position Time (mins)
    10592.80
  • Avg Position Time (hrs)
    176.55
  • Avg Trade Length
    7.4 days
  • Last Trade Ago
    206
  • Leverage
  • Daily leverage (average)
    13.81
  • Daily leverage (max)
    50.07
  • Regression
  • Alpha
    0.10
  • Beta
    1.01
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    40.20
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.79
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.25
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.52
  • Avg(MAE) / Avg(PL) - All trades
    62.125
  • 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
    0.78
  • Avg(MAE) / Avg(PL) - Winning trades
    1.938
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.001
  • Hold-and-Hope Ratio
    -0.016
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60085
  • SD
    1.22378
  • Sharpe ratio (Glass type estimate)
    0.49098
  • Sharpe ratio (Hedges UMVUE)
    0.44321
  • df
    8.00000
  • t
    0.42520
  • p
    0.34095
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71678
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80455
  • Upside Potential Ratio
    2.39408
  • Upside part of mean
    1.78793
  • Downside part of mean
    -1.18708
  • Upside SD
    0.89643
  • Downside SD
    0.74682
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.20294
  • Mean of criterion
    0.60085
  • SD of predictor
    0.15560
  • SD of criterion
    1.22378
  • Covariance
    0.07160
  • r
    0.37601
  • b (slope, estimate of beta)
    2.95733
  • a (intercept, estimate of alpha)
    0.00070
  • Mean Square Error
    1.46959
  • DF error
    7.00000
  • t(b)
    1.07362
  • p(b)
    0.15930
  • t(a)
    0.00046
  • p(a)
    0.49982
  • Lowerbound of 95% confidence interval for beta
    -3.55617
  • Upperbound of 95% confidence interval for beta
    9.47084
  • Lowerbound of 95% confidence interval for alpha
    -3.56350
  • Upperbound of 95% confidence interval for alpha
    3.56490
  • Treynor index (mean / b)
    0.20317
  • Jensen alpha (a)
    0.00070
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17190
  • SD
    1.41107
  • Sharpe ratio (Glass type estimate)
    -0.12182
  • Sharpe ratio (Hedges UMVUE)
    -0.10997
  • df
    8.00000
  • t
    -0.10550
  • p
    0.54071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.38202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15384
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15210
  • Upside Potential Ratio
    1.32199
  • Upside part of mean
    1.49408
  • Downside part of mean
    -1.66598
  • Upside SD
    0.70361
  • Downside SD
    1.13017
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.19027
  • Mean of criterion
    -0.17190
  • SD of predictor
    0.15437
  • SD of criterion
    1.41107
  • Covariance
    0.07831
  • r
    0.35953
  • b (slope, estimate of beta)
    3.28635
  • a (intercept, estimate of alpha)
    -0.79718
  • Mean Square Error
    1.98144
  • DF error
    7.00000
  • t(b)
    1.01938
  • p(b)
    0.17098
  • t(a)
    -0.45887
  • p(a)
    0.66988
  • Lowerbound of 95% confidence interval for beta
    -4.33697
  • Upperbound of 95% confidence interval for beta
    10.90970
  • Lowerbound of 95% confidence interval for alpha
    -4.90524
  • Upperbound of 95% confidence interval for alpha
    3.31087
  • Treynor index (mean / b)
    -0.05231
  • Jensen alpha (a)
    -0.79718
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49558
  • Expected Shortfall on VaR
    0.56997
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17171
  • Expected Shortfall on VaR
    0.37004
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.38511
  • Quartile 1
    0.87087
  • Median
    1.06636
  • Quartile 3
    1.17209
  • Maximum
    1.70934
  • Mean of quarter 1
    0.70556
  • Mean of quarter 2
    1.05629
  • Mean of quarter 3
    1.15252
  • Mean of quarter 4
    1.46865
  • Inter Quartile Range
    0.30122
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.38511
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.70934
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71084
  • VaR(95%) (moments method)
    0.40966
  • Expected Shortfall (moments method)
    1.46470
  • Extreme Value Index (regression method)
    4.54644
  • VaR(95%) (regression method)
    2.57281
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.71134
  • Quartile 1
    0.71134
  • Median
    0.71134
  • Quartile 3
    0.71134
  • Maximum
    0.71134
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13649
  • Compounded annual return (geometric extrapolation)
    -0.13411
  • Calmar ratio (compounded annual return / max draw down)
    -0.18853
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.23529
  • 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
    0.56907
  • SD
    1.10119
  • Sharpe ratio (Glass type estimate)
    0.51678
  • Sharpe ratio (Hedges UMVUE)
    0.51489
  • df
    205.00000
  • t
    0.45824
  • p
    0.32363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72710
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69604
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72582
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73377
  • Upside Potential Ratio
    6.44976
  • Upside part of mean
    5.00212
  • Downside part of mean
    -4.43305
  • Upside SD
    0.77877
  • Downside SD
    0.77555
  • N nonnegative terms
    120.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    206.00000
  • Mean of predictor
    0.29287
  • Mean of criterion
    0.56907
  • SD of predictor
    0.14696
  • SD of criterion
    1.10119
  • Covariance
    0.02672
  • r
    0.16511
  • b (slope, estimate of beta)
    1.23719
  • a (intercept, estimate of alpha)
    0.20700
  • Mean Square Error
    1.18534
  • DF error
    204.00000
  • t(b)
    2.39112
  • p(b)
    0.00885
  • t(a)
    0.16710
  • p(a)
    0.43373
  • Lowerbound of 95% confidence interval for beta
    0.21703
  • Upperbound of 95% confidence interval for beta
    2.25735
  • Lowerbound of 95% confidence interval for alpha
    -2.23250
  • Upperbound of 95% confidence interval for alpha
    2.64597
  • Treynor index (mean / b)
    0.45997
  • Jensen alpha (a)
    0.20673
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06925
  • SD
    1.15718
  • Sharpe ratio (Glass type estimate)
    -0.05985
  • Sharpe ratio (Hedges UMVUE)
    -0.05963
  • df
    205.00000
  • t
    -0.05307
  • p
    0.52114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15075
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07586
  • Upside Potential Ratio
    5.18739
  • Upside part of mean
    4.73569
  • Downside part of mean
    -4.80494
  • Upside SD
    0.70651
  • Downside SD
    0.91292
  • N nonnegative terms
    120.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    206.00000
  • Mean of predictor
    0.28196
  • Mean of criterion
    -0.06925
  • SD of predictor
    0.14680
  • SD of criterion
    1.15718
  • Covariance
    0.02828
  • r
    0.16650
  • b (slope, estimate of beta)
    1.31248
  • a (intercept, estimate of alpha)
    -0.43932
  • Mean Square Error
    1.30833
  • DF error
    204.00000
  • t(b)
    2.41170
  • p(b)
    0.00838
  • t(a)
    -0.33819
  • p(a)
    0.63221
  • Lowerbound of 95% confidence interval for beta
    0.23948
  • Upperbound of 95% confidence interval for beta
    2.38549
  • Lowerbound of 95% confidence interval for alpha
    -3.00061
  • Upperbound of 95% confidence interval for alpha
    2.12197
  • Treynor index (mean / b)
    -0.05277
  • Jensen alpha (a)
    -0.43932
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11118
  • Expected Shortfall on VaR
    0.13703
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03346
  • Expected Shortfall on VaR
    0.07549
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    206.00000
  • Minimum
    0.57901
  • Quartile 1
    0.98545
  • Median
    1.00161
  • Quartile 3
    1.01820
  • Maximum
    1.41055
  • Mean of quarter 1
    0.93707
  • Mean of quarter 2
    0.99633
  • Mean of quarter 3
    1.00802
  • Mean of quarter 4
    1.06769
  • Inter Quartile Range
    0.03275
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.05825
  • Mean of outliers low
    0.84471
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.08252
  • Mean of outliers high
    1.14187
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43776
  • VaR(95%) (moments method)
    0.05312
  • Expected Shortfall (moments method)
    0.11274
  • Extreme Value Index (regression method)
    0.46471
  • VaR(95%) (regression method)
    0.04579
  • Expected Shortfall (regression method)
    0.09717
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00057
  • Quartile 1
    0.00185
  • Median
    0.01241
  • Quartile 3
    0.01910
  • Maximum
    0.83996
  • Mean of quarter 1
    0.00091
  • Mean of quarter 2
    0.00564
  • Mean of quarter 3
    0.01596
  • Mean of quarter 4
    0.31228
  • Inter Quartile Range
    0.01725
  • 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
    0.18182
  • Mean of outliers high
    0.45858
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75908
  • VaR(95%) (moments method)
    0.13011
  • Expected Shortfall (moments method)
    0.68714
  • Extreme Value Index (regression method)
    2.72902
  • VaR(95%) (regression method)
    1.13245
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04068
  • Compounded annual return (geometric extrapolation)
    -0.04050
  • Calmar ratio (compounded annual return / max draw down)
    -0.04822
  • Compounded annual return / average of 25% largest draw downs
    -0.12970
  • Compounded annual return / Expected Shortfall lognormal
    -0.29557
  • 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
    0.31423
  • SD
    1.37496
  • Sharpe ratio (Glass type estimate)
    0.22854
  • Sharpe ratio (Hedges UMVUE)
    0.22722
  • df
    130.00000
  • t
    0.16160
  • p
    0.49291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.54377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.54472
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99916
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32397
  • Upside Potential Ratio
    7.19195
  • Upside part of mean
    6.97588
  • Downside part of mean
    -6.66165
  • Upside SD
    0.96729
  • Downside SD
    0.96996
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34991
  • Mean of criterion
    0.31423
  • SD of predictor
    0.16525
  • SD of criterion
    1.37496
  • Covariance
    0.04212
  • r
    0.18538
  • b (slope, estimate of beta)
    1.54242
  • a (intercept, estimate of alpha)
    -0.22547
  • Mean Square Error
    1.83970
  • DF error
    129.00000
  • t(b)
    2.14263
  • p(b)
    0.38266
  • t(a)
    -0.11654
  • p(a)
    0.50653
  • Lowerbound of 95% confidence interval for beta
    0.11814
  • Upperbound of 95% confidence interval for beta
    2.96670
  • Lowerbound of 95% confidence interval for alpha
    -4.05321
  • Upperbound of 95% confidence interval for alpha
    3.60227
  • Treynor index (mean / b)
    0.20373
  • Jensen alpha (a)
    -0.22547
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.67811
  • SD
    1.44468
  • Sharpe ratio (Glass type estimate)
    -0.46938
  • Sharpe ratio (Hedges UMVUE)
    -0.46667
  • df
    130.00000
  • t
    -0.33190
  • p
    0.51455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.24093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.23906
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30572
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59350
  • Upside Potential Ratio
    5.74662
  • Upside part of mean
    6.56583
  • Downside part of mean
    -7.24393
  • Upside SD
    0.87606
  • Downside SD
    1.14255
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33614
  • Mean of criterion
    -0.67811
  • SD of predictor
    0.16494
  • SD of criterion
    1.44468
  • Covariance
    0.04477
  • r
    0.18788
  • b (slope, estimate of beta)
    1.64553
  • a (intercept, estimate of alpha)
    -1.23123
  • Mean Square Error
    2.02903
  • DF error
    129.00000
  • t(b)
    2.17255
  • p(b)
    0.38110
  • t(a)
    -0.60637
  • p(a)
    0.53392
  • VAR (95 Confidence Intrvl)
    0.11100
  • Lowerbound of 95% confidence interval for beta
    0.14696
  • Upperbound of 95% confidence interval for beta
    3.14409
  • Lowerbound of 95% confidence interval for alpha
    -5.24860
  • Upperbound of 95% confidence interval for alpha
    2.78614
  • Treynor index (mean / b)
    -0.41209
  • Jensen alpha (a)
    -1.23123
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13877
  • Expected Shortfall on VaR
    0.16985
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05756
  • Expected Shortfall on VaR
    0.11982
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.57901
  • Quartile 1
    0.97036
  • Median
    1.00028
  • Quartile 3
    1.02965
  • Maximum
    1.41055
  • Mean of quarter 1
    0.91405
  • Mean of quarter 2
    0.98523
  • Mean of quarter 3
    1.01365
  • Mean of quarter 4
    1.09266
  • Inter Quartile Range
    0.05929
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.75143
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.16685
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47180
  • VaR(95%) (moments method)
    0.08831
  • Expected Shortfall (moments method)
    0.18700
  • Extreme Value Index (regression method)
    0.39599
  • VaR(95%) (regression method)
    0.06952
  • Expected Shortfall (regression method)
    0.12437
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.83996
  • Quartile 1
    0.83996
  • Median
    0.83996
  • Quartile 3
    0.83996
  • Maximum
    0.83996
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -293460000
  • Max Equity Drawdown (num days)
    89
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.55509
  • Compounded annual return (geometric extrapolation)
    -0.47806
  • Calmar ratio (compounded annual return / max draw down)
    -0.56914
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.81459

Strategy Description

http://www.forexvelocity.com

Summary Statistics

Strategy began
2019-01-27
Suggested Minimum Capital
$45,000
# Trades
119
# Profitable
116
% Profitable
97.5%
Correlation S&P500
0.137
Sharpe Ratio
0.39
Sortino Ratio
0.56
Beta
1.01
Alpha
0.10
Leverage
13.81 Average
50.07 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

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.