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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 07/09/2020
Most recent certification approved 7/12/20 22:47 ET
Trades at broker Oanda
Scaling percentage used 100%
# trading signals issued by system since certification 276
# trading signals executed in manager's Oanda account 259
Percent signals followed since 07/09/2020 93.8%
This information was last updated 9/16/20 23:37 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 07/09/2020, 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.

View Model Analyzer
(122288593)

Created by: AndrewKamal AndrewKamal
Started: 01/2019
Forex
Last trade: 44 days ago
Trading style: Equity Trend-following Momentum

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 $49.00 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: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-7.2%
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.

(38.5%)
Max Drawdown
254
Num Trades
84.3%
Win Trades
1.1 : 1
Profit Factor
22.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019(1.2%)+6.7%(0.8%)+1.4%(0.8%)(0.5%)(0.8%)(0.8%)(1.6%)(0.8%)  -  (1.6%)(1.1%)
2020(0.8%)(0.8%)(0.8%)  -  +4.7%+2.8%+11.3%(5.4%)(9.5%)(11.3%)            (11.3%)

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 258 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/16/20 17:04 GBP/NZD GBP/NZD LONG 2 1.92796 9/16 23:37 1.93067 0.8%
Trade id #131210251
Max drawdown($78)
Time9/16/20 17:11
Quant open2
Worst price1.92213
Drawdown as % of equity-0.80%
$36
9/16/20 17:02 AUD/NZD AUD/NZD LONG 2 1.08609 9/16 23:37 1.08634 0.4%
Trade id #131210224
Max drawdown($39)
Time9/16/20 20:46
Quant open2
Worst price1.08314
Drawdown as % of equity-0.40%
$3
9/15/20 23:31 GBP/CAD GBP/CAD LONG 2 1.70039 9/16 12:19 1.70867 0.52%
Trade id #131192400
Max drawdown($52)
Time9/16/20 3:38
Quant open2
Worst price1.69695
Drawdown as % of equity-0.52%
$126
9/15/20 23:31 AUD/CHF AUD/CHF LONG 1 0.66453 9/16 12:18 0.66571 0.24%
Trade id #131192403
Max drawdown($24)
Time9/16/20 0:00
Quant open1
Worst price0.66232
Drawdown as % of equity-0.24%
$13
8/23/20 21:10 USD/MXN USD/MXN LONG 5 21.99776 8/24 14:29 22.01230 2.12%
Trade id #130747715
Max drawdown($269)
Time8/24/20 8:24
Quant open5
Worst price21.87930
Drawdown as % of equity-2.12%
$33
8/23/20 21:01 USD/MXN USD/MXN LONG 4 21.98760 8/23 21:07 21.99750 n/a $18
7/21/20 12:49 CAD/CHF CAD/CHF LONG 11 0.69175 8/23 20:57 0.69229 17.16%
Trade id #130192138
Max drawdown($1,974)
Time7/31/20 0:00
Quant open10
Worst price0.67464
Drawdown as % of equity-17.16%
$65
8/12/20 12:35 USD/MXN USD/MXN LONG 3 22.32200 8/12 12:56 22.33250 0.22%
Trade id #130585445
Max drawdown($28)
Time8/12/20 12:39
Quant open3
Worst price22.30100
Drawdown as % of equity-0.22%
$14
8/11/20 11:44 USD/CHF USD/CHF LONG 1 0.91630 8/11 14:53 0.91727 0.1%
Trade id #130561261
Max drawdown($13)
Time8/11/20 12:29
Quant open1
Worst price0.91507
Drawdown as % of equity-0.10%
$11
8/6/20 4:47 EUR/CAD EUR/CAD LONG 2 1.57432 8/6 11:28 1.57622 0.3%
Trade id #130483595
Max drawdown($38)
Time8/6/20 10:09
Quant open2
Worst price1.57177
Drawdown as % of equity-0.30%
$29
8/5/20 13:02 USD/MXN USD/MXN LONG 5 22.37940 8/6 4:44 22.46980 1.33%
Trade id #130473259
Max drawdown($165)
Time8/6/20 2:08
Quant open5
Worst price22.30460
Drawdown as % of equity-1.33%
$201
8/3/20 3:17 EUR/CAD EUR/CAD LONG 7 1.57648 8/5 13:00 1.57685 3.48%
Trade id #130411971
Max drawdown($427)
Time8/5/20 3:38
Quant open7
Worst price1.56837
Drawdown as % of equity-3.48%
$19
8/3/20 1:27 GBP/USD GBP/USD LONG 5 1.30762 8/4 21:55 1.30817 2.42%
Trade id #130410525
Max drawdown($306)
Time8/4/20 0:00
Quant open3
Worst price1.29814
Drawdown as % of equity-2.42%
$27
8/3/20 17:53 USD/MXN USD/MXN LONG 2 22.66040 8/4 12:03 22.74450 0.83%
Trade id #130432520
Max drawdown($105)
Time8/4/20 3:32
Quant open2
Worst price22.54060
Drawdown as % of equity-0.83%
$74
8/3/20 3:11 EUR/CAD EUR/CAD LONG 2 1.57787 8/3 3:17 1.57865 0.02%
Trade id #130411894
Max drawdown($2)
Time8/3/20 3:14
Quant open2
Worst price1.57772
Drawdown as % of equity-0.02%
$12
8/2/20 17:10 EUR/CHF EUR/CHF LONG 2 1.07750 8/3 3:02 1.07827 0.51%
Trade id #130405144
Max drawdown($62)
Time8/2/20 18:00
Quant open2
Worst price1.07464
Drawdown as % of equity-0.51%
$17
8/3/20 1:26 USD/MXN USD/MXN LONG 2 22.26380 8/3 3:00 22.35820 0.08%
Trade id #130410511
Max drawdown($9)
Time8/3/20 1:49
Quant open2
Worst price22.25290
Drawdown as % of equity-0.08%
$84
7/30/20 22:24 USD/MXN USD/MXN LONG 3 22.02010 7/31 11:36 22.16680 0.52%
Trade id #130378146
Max drawdown($59)
Time7/31/20 2:56
Quant open3
Worst price21.97610
Drawdown as % of equity-0.52%
$198
7/30/20 15:03 USD/MXN USD/MXN LONG 10 22.08030 7/30 15:06 22.08741 n/a $32
7/30/20 13:41 GBP/USD GBP/USD LONG 5 1.30803 7/30 14:58 1.30832 0.27%
Trade id #130370147
Max drawdown($31)
Time7/30/20 14:27
Quant open5
Worst price1.30740
Drawdown as % of equity-0.27%
$15
7/30/20 14:37 USD/JPY USD/JPY LONG 2 104.869 7/30 14:58 104.881 0.01%
Trade id #130371090
Max drawdown($0)
Time7/30/20 14:41
Quant open2
Worst price104.864
Drawdown as % of equity-0.01%
$2
7/30/20 13:07 EUR/CHF EUR/CHF LONG 2 1.07630 7/30 13:34 1.07680 0.08%
Trade id #130369522
Max drawdown($9)
Time7/30/20 13:20
Quant open2
Worst price1.07585
Drawdown as % of equity-0.08%
$11
7/30/20 12:17 EUR/JPY EUR/JPY LONG 5 123.916 7/30 13:24 123.943 0.29%
Trade id #130368437
Max drawdown($33)
Time7/30/20 12:27
Quant open5
Worst price123.845
Drawdown as % of equity-0.29%
$13
7/30/20 12:32 NZD/USD NZD/USD LONG 3 0.66500 7/30 13:19 0.66592 0.06%
Trade id #130368944
Max drawdown($6)
Time7/30/20 12:35
Quant open3
Worst price0.66477
Drawdown as % of equity-0.06%
$28
7/30/20 12:30 GBP/USD GBP/USD LONG 2 1.30583 7/30 13:19 1.30749 0.05%
Trade id #130368872
Max drawdown($6)
Time7/30/20 12:38
Quant open2
Worst price1.30552
Drawdown as % of equity-0.05%
$33
7/30/20 12:27 AUD/USD AUD/USD LONG 5 0.71441 7/30 13:19 0.71650 0.06%
Trade id #130368792
Max drawdown($7)
Time7/30/20 12:30
Quant open5
Worst price0.71427
Drawdown as % of equity-0.06%
$105
7/29/20 12:13 AUD/CAD AUD/CAD LONG 2 0.95878 7/30 12:13 0.95983 0.4%
Trade id #130342483
Max drawdown($47)
Time7/30/20 2:31
Quant open2
Worst price0.95562
Drawdown as % of equity-0.40%
$16
7/29/20 12:15 USD/CAD USD/CAD LONG 5 1.33722 7/30 12:13 1.34402 1.34%
Trade id #130342570
Max drawdown($155)
Time7/29/20 17:00
Quant open5
Worst price1.33304
Drawdown as % of equity-1.34%
$253
7/29/20 14:31 USD/MXN USD/MXN LONG 3 22.00217 7/30 12:13 22.17760 0.96%
Trade id #130345027
Max drawdown($110)
Time7/29/20 14:52
Quant open3
Worst price21.92090
Drawdown as % of equity-0.96%
$237
7/29/20 0:18 AUD/JPY AUD/JPY LONG 1 75.290 7/29 12:08 75.286 0.07%
Trade id #130330410
Max drawdown($8)
Time7/29/20 1:07
Quant open1
Worst price75.198
Drawdown as % of equity-0.07%
$0

Statistics

  • Strategy began
    1/31/2019
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    638.08
  • Age
    21 months ago
  • What it trades
    Forex
  • # Trades
    254
  • # Profitable
    214
  • % Profitable
    84.30%
  • Avg trade duration
    16.7 hours
  • Max peak-to-valley drawdown
    38.46%
  • drawdown period
    Aug 12, 2020 - Oct 21, 2020
  • Annual Return (Compounded)
    -7.2%
  • Avg win
    $29.09
  • Avg loss
    $139.55
  • Model Account Values (Raw)
  • Cash
    $15,351
  • Margin Used
    $3,300
  • Buying Power
    $7,345
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    -0.09
  • Sortino Ratio
    -0.14
  • Calmar Ratio
    0.329
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.59%
  • Correlation to SP500
    -0.07120
  • Return Percent SP500 (cumu) during strategy life
    20.46%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.2%
  • Slump
  • Current Slump as Pcnt Equity
    33.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -10.230%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.072%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    555
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    7
  • 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?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $141
  • Avg Win
    $29
  • Sum Trade PL (losers)
    $5,630.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $6,226.000
  • # Winners
    214
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    10607
  • Win / Loss
  • # Losers
    40
  • % Winners
    84.2%
  • Frequency
  • Avg Position Time (mins)
    1000.40
  • Avg Position Time (hrs)
    16.67
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    44
  • Leverage
  • Daily leverage (average)
    18.29
  • Daily leverage (max)
    45.95
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.07
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    85.69
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.76
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.89
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -46.127
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    3.347
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.334
  • Hold-and-Hope Ratio
    -0.011
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07545
  • SD
    0.33789
  • Sharpe ratio (Glass type estimate)
    0.22330
  • Sharpe ratio (Hedges UMVUE)
    0.20158
  • df
    8.00000
  • t
    0.19339
  • p
    0.42574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48225
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06375
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46690
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31288
  • Upside Potential Ratio
    1.95085
  • Upside part of mean
    0.47046
  • Downside part of mean
    -0.39500
  • Upside SD
    0.20930
  • Downside SD
    0.24115
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.31808
  • Mean of criterion
    0.07545
  • SD of predictor
    0.19051
  • SD of criterion
    0.33789
  • Covariance
    0.00227
  • r
    0.03525
  • b (slope, estimate of beta)
    0.06252
  • a (intercept, estimate of alpha)
    0.05556
  • Mean Square Error
    0.13032
  • DF error
    7.00000
  • t(b)
    0.09333
  • p(b)
    0.46413
  • t(a)
    0.11869
  • p(a)
    0.45443
  • Lowerbound of 95% confidence interval for beta
    -1.52165
  • Upperbound of 95% confidence interval for beta
    1.64670
  • Lowerbound of 95% confidence interval for alpha
    -1.05145
  • Upperbound of 95% confidence interval for alpha
    1.16258
  • Treynor index (mean / b)
    1.20677
  • Jensen alpha (a)
    0.05556
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02259
  • SD
    0.34798
  • Sharpe ratio (Glass type estimate)
    0.06492
  • Sharpe ratio (Hedges UMVUE)
    0.05860
  • df
    8.00000
  • t
    0.05622
  • p
    0.47827
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20045
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32634
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.20475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32195
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08652
  • Upside Potential Ratio
    1.71950
  • Upside part of mean
    0.44895
  • Downside part of mean
    -0.42636
  • Upside SD
    0.19876
  • Downside SD
    0.26109
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.29825
  • Mean of criterion
    0.02259
  • SD of predictor
    0.18274
  • SD of criterion
    0.34798
  • Covariance
    0.00249
  • r
    0.03914
  • b (slope, estimate of beta)
    0.07454
  • a (intercept, estimate of alpha)
    0.00036
  • Mean Square Error
    0.13817
  • DF error
    7.00000
  • t(b)
    0.10364
  • p(b)
    0.46018
  • t(a)
    0.00075
  • p(a)
    0.49971
  • Lowerbound of 95% confidence interval for beta
    -1.62605
  • Upperbound of 95% confidence interval for beta
    1.77513
  • Lowerbound of 95% confidence interval for alpha
    -1.13427
  • Upperbound of 95% confidence interval for alpha
    1.13499
  • Treynor index (mean / b)
    0.30307
  • Jensen alpha (a)
    0.00036
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15070
  • Expected Shortfall on VaR
    0.18506
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07007
  • Expected Shortfall on VaR
    0.14172
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.83390
  • Quartile 1
    1.00000
  • Median
    1.01845
  • Quartile 3
    1.09021
  • Maximum
    1.12685
  • Mean of quarter 1
    0.90426
  • Mean of quarter 2
    1.00937
  • Mean of quarter 3
    1.06304
  • Mean of quarter 4
    1.10998
  • Inter Quartile Range
    0.09021
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.83390
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.42866
  • VaR(95%) (regression method)
    0.26356
  • Expected Shortfall (regression method)
    0.26600
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.26710
  • Quartile 1
    0.26710
  • Median
    0.26710
  • Quartile 3
    0.26710
  • Maximum
    0.26710
  • 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)
    0.05147
  • Compounded annual return (geometric extrapolation)
    0.05179
  • Calmar ratio (compounded annual return / max draw down)
    0.19391
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.27988
  • 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
    0.10452
  • SD
    0.27042
  • Sharpe ratio (Glass type estimate)
    0.38650
  • Sharpe ratio (Hedges UMVUE)
    0.38506
  • df
    202.00000
  • t
    0.34021
  • p
    0.36703
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61299
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61202
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56765
  • Upside Potential Ratio
    6.31263
  • Upside part of mean
    1.16230
  • Downside part of mean
    -1.05778
  • Upside SD
    0.19726
  • Downside SD
    0.18412
  • N nonnegative terms
    55.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    203.00000
  • Mean of predictor
    0.26464
  • Mean of criterion
    0.10452
  • SD of predictor
    0.31857
  • SD of criterion
    0.27042
  • Covariance
    -0.00641
  • r
    -0.07441
  • b (slope, estimate of beta)
    -0.06316
  • a (intercept, estimate of alpha)
    0.12100
  • Mean Square Error
    0.07309
  • DF error
    201.00000
  • t(b)
    -1.05782
  • p(b)
    0.54732
  • t(a)
    0.39421
  • p(a)
    0.48231
  • Lowerbound of 95% confidence interval for beta
    -0.18090
  • Upperbound of 95% confidence interval for beta
    0.05457
  • Lowerbound of 95% confidence interval for alpha
    -0.48518
  • Upperbound of 95% confidence interval for alpha
    0.72764
  • Treynor index (mean / b)
    -1.65479
  • Jensen alpha (a)
    0.12123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06819
  • SD
    0.27005
  • Sharpe ratio (Glass type estimate)
    0.25250
  • Sharpe ratio (Hedges UMVUE)
    0.25156
  • df
    202.00000
  • t
    0.22226
  • p
    0.41217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47897
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47834
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36274
  • Upside Potential Ratio
    6.08192
  • Upside part of mean
    1.14328
  • Downside part of mean
    -1.07509
  • Upside SD
    0.19300
  • Downside SD
    0.18798
  • N nonnegative terms
    55.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    203.00000
  • Mean of predictor
    0.21118
  • Mean of criterion
    0.06819
  • SD of predictor
    0.33213
  • SD of criterion
    0.27005
  • Covariance
    -0.00649
  • r
    -0.07239
  • b (slope, estimate of beta)
    -0.05886
  • a (intercept, estimate of alpha)
    0.08062
  • Mean Square Error
    0.07291
  • DF error
    201.00000
  • t(b)
    -1.02899
  • p(b)
    0.54604
  • t(a)
    0.26261
  • p(a)
    0.48821
  • Lowerbound of 95% confidence interval for beta
    -0.17165
  • Upperbound of 95% confidence interval for beta
    0.05393
  • Lowerbound of 95% confidence interval for alpha
    -0.52471
  • Upperbound of 95% confidence interval for alpha
    0.68595
  • Treynor index (mean / b)
    -1.15848
  • Jensen alpha (a)
    0.08062
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02682
  • Expected Shortfall on VaR
    0.03356
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01159
  • Expected Shortfall on VaR
    0.02430
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    203.00000
  • Minimum
    0.93694
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00064
  • Maximum
    1.07420
  • Mean of quarter 1
    0.98424
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.01775
  • Inter Quartile Range
    0.00064
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.19704
  • Mean of outliers low
    0.97992
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.23645
  • Mean of outliers high
    1.01878
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.24926
  • VaR(95%) (moments method)
    0.00288
  • Expected Shortfall (moments method)
    0.00317
  • Extreme Value Index (regression method)
    -0.03863
  • VaR(95%) (regression method)
    0.01730
  • Expected Shortfall (regression method)
    0.02862
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00198
  • Quartile 1
    0.00367
  • Median
    0.01342
  • Quartile 3
    0.03981
  • Maximum
    0.30635
  • Mean of quarter 1
    0.00210
  • Mean of quarter 2
    0.00801
  • Mean of quarter 3
    0.01882
  • Mean of quarter 4
    0.17658
  • Inter Quartile Range
    0.03614
  • 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
    0.16667
  • Mean of outliers high
    0.30635
  • 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)
    0.09976
  • Compounded annual return (geometric extrapolation)
    0.10086
  • Calmar ratio (compounded annual return / max draw down)
    0.32924
  • Compounded annual return / average of 25% largest draw downs
    0.57120
  • Compounded annual return / Expected Shortfall lognormal
    3.00561
  • 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
    -0.04170
  • SD
    0.32525
  • Sharpe ratio (Glass type estimate)
    -0.12822
  • Sharpe ratio (Hedges UMVUE)
    -0.12748
  • df
    130.00000
  • t
    -0.09066
  • p
    0.50398
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89983
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.89933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64437
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.18196
  • Upside Potential Ratio
    6.89630
  • Upside part of mean
    1.58050
  • Downside part of mean
    -1.62221
  • Upside SD
    0.22904
  • Downside SD
    0.22918
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20556
  • Mean of criterion
    -0.04170
  • SD of predictor
    0.38375
  • SD of criterion
    0.32525
  • Covariance
    -0.01039
  • r
    -0.08327
  • b (slope, estimate of beta)
    -0.07058
  • a (intercept, estimate of alpha)
    -0.02719
  • Mean Square Error
    0.10587
  • DF error
    129.00000
  • t(b)
    -0.94912
  • p(b)
    0.55295
  • t(a)
    -0.05907
  • p(a)
    0.50331
  • Lowerbound of 95% confidence interval for beta
    -0.21771
  • Upperbound of 95% confidence interval for beta
    0.07655
  • Lowerbound of 95% confidence interval for alpha
    -0.93810
  • Upperbound of 95% confidence interval for alpha
    0.88371
  • Treynor index (mean / b)
    0.59086
  • Jensen alpha (a)
    -0.02719
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09417
  • SD
    0.32518
  • Sharpe ratio (Glass type estimate)
    -0.28959
  • Sharpe ratio (Hedges UMVUE)
    -0.28792
  • df
    130.00000
  • t
    -0.20477
  • p
    0.50898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06114
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05994
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48411
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40246
  • Upside Potential Ratio
    6.64516
  • Upside part of mean
    1.55486
  • Downside part of mean
    -1.64903
  • Upside SD
    0.22410
  • Downside SD
    0.23398
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12805
  • Mean of criterion
    -0.09417
  • SD of predictor
    0.40110
  • SD of criterion
    0.32518
  • Covariance
    -0.01058
  • r
    -0.08109
  • b (slope, estimate of beta)
    -0.06574
  • a (intercept, estimate of alpha)
    -0.08575
  • Mean Square Error
    0.10586
  • DF error
    129.00000
  • t(b)
    -0.92405
  • p(b)
    0.55157
  • t(a)
    -0.18632
  • p(a)
    0.51044
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.20650
  • Upperbound of 95% confidence interval for beta
    0.07502
  • Lowerbound of 95% confidence interval for alpha
    -0.99632
  • Upperbound of 95% confidence interval for alpha
    0.82482
  • Treynor index (mean / b)
    1.43241
  • Jensen alpha (a)
    -0.08575
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03285
  • Expected Shortfall on VaR
    0.04091
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01689
  • Expected Shortfall on VaR
    0.03351
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93694
  • Quartile 1
    0.99617
  • Median
    1.00000
  • Quartile 3
    1.00513
  • Maximum
    1.07420
  • Mean of quarter 1
    0.97614
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00082
  • Mean of quarter 4
    1.02329
  • Inter Quartile Range
    0.00896
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.96858
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12977
  • Mean of outliers high
    1.03481
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.61568
  • VaR(95%) (moments method)
    0.01565
  • Expected Shortfall (moments method)
    0.01821
  • Extreme Value Index (regression method)
    -0.20298
  • VaR(95%) (regression method)
    0.02660
  • Expected Shortfall (regression method)
    0.03622
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00222
  • Quartile 1
    0.00801
  • Median
    0.01882
  • Quartile 3
    0.04681
  • Maximum
    0.30635
  • Mean of quarter 1
    0.00512
  • Mean of quarter 2
    0.01882
  • Mean of quarter 3
    0.04681
  • Mean of quarter 4
    0.30635
  • Inter Quartile Range
    0.03880
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.30635
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -301517000
  • Max Equity Drawdown (num days)
    70
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06518
  • Compounded annual return (geometric extrapolation)
    -0.06412
  • Calmar ratio (compounded annual return / max draw down)
    -0.20929
  • Compounded annual return / average of 25% largest draw downs
    -0.20929
  • Compounded annual return / Expected Shortfall lognormal
    -1.56719

Strategy Description

This is a view model analyzer that makes orders modeled after triggering in prices and momentum built up over time in the Forex markets for different trading pairs.

Summary Statistics

Strategy began
2019-01-31
Suggested Minimum Capital
$10,000
# Trades
254
# Profitable
214
% Profitable
84.3%
Correlation S&P500
-0.071
Sharpe Ratio
-0.09
Sortino Ratio
-0.14
Beta
-0.07
Alpha
-0.00
Leverage
18.29 Average
45.95 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.