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This is an archived track record. This track record was archived on 2/21/24 15:18 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Seal EA
(122467834)

Created by: PipMaster2018 PipMaster2018
Started: 02/2019
Forex
Last trade: 911 days ago
Trading style: Futures Trend-following Macro / Fundamental

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 $555.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
20.3%
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.

(23.4%)
Max Drawdown
2453
Num Trades
61.2%
Win Trades
1.4 : 1
Profit Factor
38.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019       +0.6%+10.2%(4.7%)(0.7%)+4.6%(7.8%)(9.5%)(4.8%)+23.3%+1.7%+15.0%+25.9%
2020+3.6%(2.2%)+8.1%+22.7%+7.1%+3.9%+1.6%+0.4%+5.0%(8.2%)+15.8%+5.1%+78.8%
2021+2.7%+1.9%+0.3%(2.9%)+5.0%+1.5%+0.1%+1.8%+1.9%  -    -    -  +12.6%
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 2 hours.

Trading Record

This strategy has placed 3,507 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
9/20/21 0:07 EUR/JPY EUR/JPY LONG 5 128.750 9/20 18:40 128.348 0.35%
Trade id #137433362
Max drawdown($277)
Time9/20/21 8:26
Quant open5
Worst price128.141
Drawdown as % of equity-0.35%
($184)
9/20/21 3:15 USD/JPY USD/JPY LONG 10 109.766 9/20 18:37 109.424 0.51%
Trade id #137434707
Max drawdown($405)
Time9/20/21 14:37
Quant open10
Worst price109.322
Drawdown as % of equity-0.51%
($312)
9/20/21 0:06 AUD/NZD AUD/NZD LONG 10 1.03019 9/20 18:37 1.03483 0.05%
Trade id #137433355
Max drawdown($43)
Time9/20/21 0:26
Quant open10
Worst price1.02957
Drawdown as % of equity-0.05%
$325
9/17/21 5:27 EUR/CHF EUR/CHF SHORT 10 1.09187 9/20 0:05 1.09210 0.26%
Trade id #137410768
Max drawdown($205)
Time9/17/21 15:25
Quant open10
Worst price1.09378
Drawdown as % of equity-0.26%
($25)
9/19/21 18:50 EUR/CAD EUR/CAD SHORT 5 1.49782 9/19 20:24 1.49695 0.01%
Trade id #137432198
Max drawdown($11)
Time9/19/21 18:53
Quant open5
Worst price1.49810
Drawdown as % of equity-0.01%
$34
9/17/21 13:57 EUR/JPY EUR/JPY LONG 10 128.925 9/19 18:49 128.937 0.1%
Trade id #137420505
Max drawdown($81)
Time9/19/21 17:30
Quant open10
Worst price128.836
Drawdown as % of equity-0.10%
$11
9/16/21 10:16 EUR/JPY EUR/JPY LONG 10 128.883 9/16 16:35 129.162 n/a $254
9/15/21 18:44 AUD/NZD AUD/NZD LONG 10 1.02938 9/16 16:35 1.03100 0.13%
Trade id #137389971
Max drawdown($102)
Time9/16/21 4:08
Quant open10
Worst price1.02794
Drawdown as % of equity-0.13%
$114
9/16/21 11:17 USD/JPY USD/JPY LONG 10 109.640 9/16 11:58 109.662 0.01%
Trade id #137399762
Max drawdown($3)
Time9/16/21 11:22
Quant open10
Worst price109.636
Drawdown as % of equity-0.01%
$20
9/16/21 3:57 EUR/JPY EUR/JPY LONG 10 128.843 9/16 9:27 129.046 0.28%
Trade id #137392765
Max drawdown($215)
Time9/16/21 6:42
Quant open10
Worst price128.607
Drawdown as % of equity-0.28%
$184
9/15/21 8:25 USD/JPY USD/JPY LONG 30 109.313 9/16 9:27 109.753 0.02%
Trade id #137379186
Max drawdown($16)
Time9/15/21 8:29
Quant open20
Worst price109.113
Drawdown as % of equity-0.02%
$1,203
9/15/21 8:28 USD/CHF USD/CHF LONG 20 0.91695 9/15 19:10 0.91965 0.09%
Trade id #137379216
Max drawdown($65)
Time9/15/21 8:31
Quant open20
Worst price0.91665
Drawdown as % of equity-0.09%
$587
9/12/21 20:35 USD/JPY USD/JPY LONG 20 109.947 9/15 4:44 109.353 1.41%
Trade id #137340189
Max drawdown($1,100)
Time9/15/21 4:44
Quant open20
Worst price109.346
Drawdown as % of equity-1.41%
($1,088)
9/10/21 6:23 USD/JPY USD/JPY SHORT 5 109.972 9/10 11:05 109.857 n/a $52
9/9/21 16:09 AUD/USD AUD/USD LONG 5 0.73686 9/10 5:06 0.74072 0.06%
Trade id #137312643
Max drawdown($43)
Time9/9/21 21:18
Quant open5
Worst price0.73600
Drawdown as % of equity-0.06%
$193
9/9/21 15:53 NZD/USD NZD/USD LONG 10 0.71182 9/10 5:06 0.71518 0.15%
Trade id #137312224
Max drawdown($119)
Time9/9/21 21:16
Quant open5
Worst price0.70898
Drawdown as % of equity-0.15%
$336
9/9/21 15:53 NZD/USD NZD/USD SHORT 5 0.71118 9/9 15:53 0.71130 0.01%
Trade id #137312208
Max drawdown($6)
Time9/9/21 15:53
Quant open5
Worst price0.71130
Drawdown as % of equity-0.01%
($6)
9/9/21 5:22 USD/JPY USD/JPY LONG 5 109.906 9/9 15:49 109.713 0.17%
Trade id #137299623
Max drawdown($130)
Time9/9/21 13:11
Quant open5
Worst price109.621
Drawdown as % of equity-0.17%
($88)
9/9/21 11:51 USD/CHF USD/CHF LONG 5 0.91782 9/9 15:49 0.91672 0.12%
Trade id #137307403
Max drawdown($93)
Time9/9/21 13:11
Quant open5
Worst price0.91611
Drawdown as % of equity-0.12%
($60)
9/7/21 8:08 USD/CAD USD/CAD SHORT 5 1.25908 9/9 13:22 1.26438 0.87%
Trade id #137268782
Max drawdown($676)
Time9/8/21 0:00
Quant open5
Worst price1.27620
Drawdown as % of equity-0.87%
($209)
9/7/21 9:29 EUR/USD EUR/USD LONG 5 1.18458 9/9 6:01 1.18319 0.28%
Trade id #137270660
Max drawdown($219)
Time9/8/21 0:00
Quant open5
Worst price1.18020
Drawdown as % of equity-0.28%
($70)
9/7/21 8:18 NZD/USD NZD/USD LONG 5 0.71154 9/9 6:01 0.71127 0.25%
Trade id #137268843
Max drawdown($198)
Time9/8/21 0:00
Quant open5
Worst price0.70758
Drawdown as % of equity-0.25%
($14)
9/8/21 22:02 USD/JPY USD/JPY SHORT 5 110.126 9/9 5:08 109.897 0.09%
Trade id #137296966
Max drawdown($67)
Time9/9/21 0:00
Quant open5
Worst price110.274
Drawdown as % of equity-0.09%
$104
9/6/21 9:49 EUR/CHF EUR/CHF SHORT 5 1.08770 9/6 15:01 1.08622 0.02%
Trade id #137261164
Max drawdown($12)
Time9/6/21 9:52
Quant open5
Worst price1.08793
Drawdown as % of equity-0.02%
$81
9/3/21 14:21 USD/CHF USD/CHF LONG 5 0.91312 9/5 18:24 0.91385 0.03%
Trade id #137245154
Max drawdown($23)
Time9/5/21 17:51
Quant open5
Worst price0.91269
Drawdown as % of equity-0.03%
$40
9/3/21 4:15 USD/CHF USD/CHF LONG 5 0.91374 9/3 8:27 0.91508 0.02%
Trade id #137234836
Max drawdown($14)
Time9/3/21 4:39
Quant open5
Worst price0.91347
Drawdown as % of equity-0.02%
$73
9/2/21 16:30 EUR/USD EUR/USD SHORT 5 1.18742 9/3 8:27 1.18713 0.06%
Trade id #137231490
Max drawdown($50)
Time9/2/21 22:09
Quant open5
Worst price1.18843
Drawdown as % of equity-0.06%
$15
9/2/21 5:29 USD/JPY USD/JPY LONG 10 109.987 9/2 10:14 110.044 0.04%
Trade id #137219618
Max drawdown($32)
Time9/2/21 9:48
Quant open10
Worst price109.952
Drawdown as % of equity-0.04%
$51
9/1/21 8:50 EUR/USD EUR/USD SHORT 5 1.18345 9/1 9:35 1.18448 0.07%
Trade id #137205996
Max drawdown($51)
Time9/1/21 9:35
Quant open5
Worst price1.18448
Drawdown as % of equity-0.07%
($52)
8/31/21 22:43 EUR/CHF EUR/CHF SHORT 5 1.08271 9/1 2:55 1.08408 0.09%
Trade id #137201650
Max drawdown($72)
Time9/1/21 2:55
Quant open5
Worst price1.08403
Drawdown as % of equity-0.09%
($75)

Statistics

  • Strategy began
    2/11/2019
  • Suggested Minimum Cap
    $33,264
  • Strategy Age (days)
    1860.48
  • Age
    62 months ago
  • What it trades
    Forex
  • # Trades
    2453
  • # Profitable
    1502
  • % Profitable
    61.20%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    23.43%
  • drawdown period
    July 15, 2019 - Sept 30, 2019
  • Annual Return (Compounded)
    20.3%
  • Avg win
    $143.12
  • Avg loss
    $157.92
  • Model Account Values (Raw)
  • Cash
    $98,046
  • Margin Used
    $0
  • Buying Power
    $98,046
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.96
  • Sortino Ratio
    1.56
  • Calmar Ratio
    2.198
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    70.13%
  • Correlation to SP500
    -0.06280
  • Return Percent SP500 (cumu) during strategy life
    90.03%
  • Return Statistics
  • Ann Return (w trading costs)
    20.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • 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)
    0.203%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    16.50%
  • Chance of 20% account loss
    6.00%
  • 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $158
  • Avg Win
    $143
  • Sum Trade PL (losers)
    $150,178.000
  • Age
  • Num Months filled monthly returns table
    62
  • Win / Loss
  • Sum Trade PL (winners)
    $214,961.000
  • # Winners
    1502
  • Num Months Winners
    24
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    951
  • % Winners
    61.2%
  • Frequency
  • Avg Position Time (mins)
    1447.80
  • Avg Position Time (hrs)
    24.13
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    909
  • Leverage
  • Daily leverage (average)
    6.33
  • Daily leverage (max)
    32.14
  • Regression
  • Alpha
    0.05
  • Beta
    -0.05
  • Treynor Index
    -1.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    45.93
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    45.69
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.16
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    4.830
  • 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
    0.507
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.133
  • Hold-and-Hope Ratio
    0.207
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32228
  • SD
    0.21954
  • Sharpe ratio (Glass type estimate)
    1.46799
  • Sharpe ratio (Hedges UMVUE)
    1.43954
  • df
    39.00000
  • t
    2.68016
  • p
    0.00536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31950
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55958
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.20259
  • Upside Potential Ratio
    5.28969
  • Upside part of mean
    0.40565
  • Downside part of mean
    -0.08337
  • Upside SD
    0.22309
  • Downside SD
    0.07669
  • N nonnegative terms
    24.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.18858
  • Mean of criterion
    0.32228
  • SD of predictor
    0.23934
  • SD of criterion
    0.21954
  • Covariance
    0.01467
  • r
    0.27921
  • b (slope, estimate of beta)
    0.25612
  • a (intercept, estimate of alpha)
    0.27399
  • Mean Square Error
    0.04561
  • DF error
    38.00000
  • t(b)
    1.79244
  • p(b)
    0.04051
  • t(a)
    2.28249
  • p(a)
    0.01407
  • Lowerbound of 95% confidence interval for beta
    -0.03314
  • Upperbound of 95% confidence interval for beta
    0.54538
  • Lowerbound of 95% confidence interval for alpha
    0.03098
  • Upperbound of 95% confidence interval for alpha
    0.51699
  • Treynor index (mean / b)
    1.25835
  • Jensen alpha (a)
    0.27399
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29638
  • SD
    0.20440
  • Sharpe ratio (Glass type estimate)
    1.45001
  • Sharpe ratio (Hedges UMVUE)
    1.42191
  • df
    39.00000
  • t
    2.64734
  • p
    0.00582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32109
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54084
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67744
  • Upside Potential Ratio
    4.74834
  • Upside part of mean
    0.38269
  • Downside part of mean
    -0.08631
  • Upside SD
    0.20386
  • Downside SD
    0.08060
  • N nonnegative terms
    24.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.15717
  • Mean of criterion
    0.29638
  • SD of predictor
    0.25213
  • SD of criterion
    0.20440
  • Covariance
    0.01388
  • r
    0.26932
  • b (slope, estimate of beta)
    0.21834
  • a (intercept, estimate of alpha)
    0.26207
  • Mean Square Error
    0.03977
  • DF error
    38.00000
  • t(b)
    1.72388
  • p(b)
    0.04643
  • t(a)
    2.36039
  • p(a)
    0.01175
  • Lowerbound of 95% confidence interval for beta
    -0.03806
  • Upperbound of 95% confidence interval for beta
    0.47473
  • Lowerbound of 95% confidence interval for alpha
    0.03731
  • Upperbound of 95% confidence interval for alpha
    0.48683
  • Treynor index (mean / b)
    1.35747
  • Jensen alpha (a)
    0.26207
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06980
  • Expected Shortfall on VaR
    0.09224
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01319
  • Expected Shortfall on VaR
    0.03073
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.88272
  • Quartile 1
    1.00000
  • Median
    1.01540
  • Quartile 3
    1.05123
  • Maximum
    1.29036
  • Mean of quarter 1
    0.97594
  • Mean of quarter 2
    1.00444
  • Mean of quarter 3
    1.02837
  • Mean of quarter 4
    1.10800
  • Inter Quartile Range
    0.05123
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02500
  • Mean of outliers low
    0.88272
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.23130
  • 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)
    1.03848
  • VaR(95%) (regression method)
    0.02127
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00186
  • Quartile 1
    0.00321
  • Median
    0.04085
  • Quartile 3
    0.04831
  • Maximum
    0.14289
  • Mean of quarter 1
    0.00253
  • Mean of quarter 2
    0.04085
  • Mean of quarter 3
    0.04831
  • Mean of quarter 4
    0.14289
  • Inter Quartile Range
    0.04510
  • 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
    0.14289
  • 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)
    0.58426
  • Compounded annual return (geometric extrapolation)
    0.38305
  • Calmar ratio (compounded annual return / max draw down)
    2.68081
  • Compounded annual return / average of 25% largest draw downs
    2.68081
  • Compounded annual return / Expected Shortfall lognormal
    4.15274
  • 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
    0.31002
  • SD
    0.17095
  • Sharpe ratio (Glass type estimate)
    1.81351
  • Sharpe ratio (Hedges UMVUE)
    1.81196
  • df
    875.00000
  • t
    3.31605
  • p
    0.00048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73776
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73672
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88719
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05766
  • Upside Potential Ratio
    8.59247
  • Upside part of mean
    0.87121
  • Downside part of mean
    -0.56119
  • Upside SD
    0.13884
  • Downside SD
    0.10139
  • N nonnegative terms
    385.00000
  • N negative terms
    491.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    876.00000
  • Mean of predictor
    0.18798
  • Mean of criterion
    0.31002
  • SD of predictor
    0.26219
  • SD of criterion
    0.17095
  • Covariance
    -0.00334
  • r
    -0.07461
  • b (slope, estimate of beta)
    -0.04865
  • a (intercept, estimate of alpha)
    0.31900
  • Mean Square Error
    0.02910
  • DF error
    874.00000
  • t(b)
    -2.21188
  • p(b)
    0.98638
  • t(a)
    3.41810
  • p(a)
    0.00033
  • Lowerbound of 95% confidence interval for beta
    -0.09181
  • Upperbound of 95% confidence interval for beta
    -0.00548
  • Lowerbound of 95% confidence interval for alpha
    0.13590
  • Upperbound of 95% confidence interval for alpha
    0.50244
  • Treynor index (mean / b)
    -6.37295
  • Jensen alpha (a)
    0.31917
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29540
  • SD
    0.16947
  • Sharpe ratio (Glass type estimate)
    1.74303
  • Sharpe ratio (Hedges UMVUE)
    1.74153
  • df
    875.00000
  • t
    3.18717
  • p
    0.00074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81651
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86848
  • Upside Potential Ratio
    8.36834
  • Upside part of mean
    0.86177
  • Downside part of mean
    -0.56638
  • Upside SD
    0.13571
  • Downside SD
    0.10298
  • N nonnegative terms
    385.00000
  • N negative terms
    491.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    876.00000
  • Mean of predictor
    0.15348
  • Mean of criterion
    0.29540
  • SD of predictor
    0.26285
  • SD of criterion
    0.16947
  • Covariance
    -0.00348
  • r
    -0.07801
  • b (slope, estimate of beta)
    -0.05030
  • a (intercept, estimate of alpha)
    0.30312
  • Mean Square Error
    0.02858
  • DF error
    874.00000
  • t(b)
    -2.31334
  • p(b)
    0.98953
  • t(a)
    3.27645
  • p(a)
    0.00055
  • Lowerbound of 95% confidence interval for beta
    -0.09297
  • Upperbound of 95% confidence interval for beta
    -0.00762
  • Lowerbound of 95% confidence interval for alpha
    0.12154
  • Upperbound of 95% confidence interval for alpha
    0.48469
  • Treynor index (mean / b)
    -5.87283
  • Jensen alpha (a)
    0.30312
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01597
  • Expected Shortfall on VaR
    0.02025
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00518
  • Expected Shortfall on VaR
    0.01129
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    876.00000
  • Minimum
    0.94568
  • Quartile 1
    0.99902
  • Median
    1.00000
  • Quartile 3
    1.00325
  • Maximum
    1.11459
  • Mean of quarter 1
    0.99177
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00114
  • Mean of quarter 4
    1.01235
  • Inter Quartile Range
    0.00423
  • Number outliers low
    75.00000
  • Percentage of outliers low
    0.08562
  • Mean of outliers low
    0.98245
  • Number of outliers high
    91.00000
  • Percentage of outliers high
    0.10388
  • Mean of outliers high
    1.02109
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60894
  • VaR(95%) (moments method)
    0.00548
  • Expected Shortfall (moments method)
    0.01668
  • Extreme Value Index (regression method)
    0.31480
  • VaR(95%) (regression method)
    0.00743
  • Expected Shortfall (regression method)
    0.01486
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    75.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00149
  • Median
    0.00720
  • Quartile 3
    0.01533
  • Maximum
    0.17342
  • Mean of quarter 1
    0.00052
  • Mean of quarter 2
    0.00420
  • Mean of quarter 3
    0.01027
  • Mean of quarter 4
    0.04901
  • Inter Quartile Range
    0.01384
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.10667
  • Mean of outliers high
    0.08787
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.68486
  • VaR(95%) (moments method)
    0.05434
  • Expected Shortfall (moments method)
    0.18207
  • Extreme Value Index (regression method)
    0.65673
  • VaR(95%) (regression method)
    0.05052
  • Expected Shortfall (regression method)
    0.15280
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58248
  • Compounded annual return (geometric extrapolation)
    0.38169
  • Calmar ratio (compounded annual return / max draw down)
    2.20091
  • Compounded annual return / average of 25% largest draw downs
    7.78784
  • Compounded annual return / Expected Shortfall lognormal
    18.84500
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.50463
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.35729
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44146
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.35468
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6846240000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    197057000000000006857847698620416.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -320837000
  • Max Equity Drawdown (num days)
    77
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Based on Elliottwave theory for USD Majors and some cross pairs.
No grid, No martingale.
The strategy is more suitable for clients with large funds.
From 2020, I already reduced the risk and try my best to control the yearly drawdown below 10%.

For 100% scaling it, the recommended Min Balance is $50k.
In this case, the Max Drawdown will be ideally below 20%.
You could adjust it according to your own risk appetite and balance.

To be honest, I use 100% scaling on every $20K balance, but with 1:100 or 1:500 leverage.
I wonder the same leverage is not available for most clients.

Good Luck!

Summary Statistics

Strategy began
2019-02-11
Suggested Minimum Capital
$60,000
# Trades
2453
# Profitable
1502
% Profitable
61.2%
Correlation S&P500
-0.063
Sharpe Ratio
0.96
Sortino Ratio
1.56
Beta
-0.05
Alpha
0.05
Leverage
6.33 Average
32.14 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.