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

Forex Street Wealth
(126172384)

Created by: LejeuneBauvil2 LejeuneBauvil2
Started: 11/2019
Forex
Last trade: 893 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 $250.00 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.

1.8%
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.

(11.3%)
Max Drawdown
136
Num Trades
72.8%
Win Trades
1.2 : 1
Profit Factor
8.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      +3.4%+7.4%+11.1%
2020(9.5%)(1.2%)+5.7%  -    -    -    -    -    -    -    -    -  (5.5%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -                          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 24 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/2/20 8:40 EUR/USD EUR/USD SHORT 20 1.11700 3/3 8:19 1.10999 3.52%
Trade id #127801527
Max drawdown($872)
Time3/3/20 0:00
Quant open20
Worst price1.12136
Drawdown as % of equity-3.52%
$1,402
1/24/20 8:02 GBP/USD GBP/USD LONG 10 1.30840 1/24 10:37 1.30645 0.65%
Trade id #127198446
Max drawdown($167)
Time1/24/20 10:36
Quant open10
Worst price1.30673
Drawdown as % of equity-0.65%
($195)
1/20/20 8:06 AUD/CHF AUD/CHF LONG 10 0.66478 1/22 19:14 0.66170 1.25%
Trade id #127098891
Max drawdown($317)
Time1/22/20 19:14
Quant open10
Worst price0.66171
Drawdown as % of equity-1.25%
($318)
1/21/20 23:14 EUR/CHF EUR/CHF SHORT 10 1.07477 1/22 2:59 1.07778 1.14%
Trade id #127136079
Max drawdown($296)
Time1/22/20 2:59
Quant open10
Worst price1.07764
Drawdown as % of equity-1.14%
($310)
1/21/20 17:19 EUR/JPY EUR/JPY LONG 10 121.791 1/21 22:37 121.941 0.2%
Trade id #127134141
Max drawdown($50)
Time1/21/20 17:25
Quant open10
Worst price121.735
Drawdown as % of equity-0.20%
$136
1/21/20 7:25 AUD/NZD AUD/NZD SHORT 10 1.04006 1/21 17:19 1.03785 0.06%
Trade id #127112251
Max drawdown($15)
Time1/21/20 7:43
Quant open10
Worst price1.04029
Drawdown as % of equity-0.06%
$146
1/20/20 7:07 USD/CAD USD/CAD LONG 10 1.30672 1/21 14:24 1.30751 0.7%
Trade id #127098463
Max drawdown($181)
Time1/20/20 16:36
Quant open10
Worst price1.30435
Drawdown as % of equity-0.70%
$60
1/20/20 7:25 EUR/GBP EUR/GBP LONG 10 0.85346 1/21 4:44 0.85040 1.5%
Trade id #127098590
Max drawdown($386)
Time1/21/20 4:44
Quant open10
Worst price0.85049
Drawdown as % of equity-1.50%
($399)
1/17/20 13:58 GBP/CHF GBP/CHF LONG 10 1.26000 1/20 2:20 1.25696 1.07%
Trade id #127078504
Max drawdown($280)
Time1/20/20 2:19
Quant open10
Worst price1.25729
Drawdown as % of equity-1.07%
($314)
1/17/20 10:57 NZD/CHF NZD/CHF LONG 10 0.64000 1/19 23:15 0.64095 0.26%
Trade id #127065423
Max drawdown($69)
Time1/17/20 17:00
Quant open10
Worst price0.63933
Drawdown as % of equity-0.26%
$98
1/16/20 16:05 USD/JPY USD/JPY SHORT 10 110.144 1/17 9:59 110.128 0.51%
Trade id #127053835
Max drawdown($132)
Time1/16/20 19:55
Quant open10
Worst price110.290
Drawdown as % of equity-0.51%
$15
1/17/20 0:10 AUD/JPY AUD/JPY SHORT 10 76.000 1/17 6:55 75.992 0.58%
Trade id #127057050
Max drawdown($150)
Time1/17/20 3:23
Quant open10
Worst price76.166
Drawdown as % of equity-0.58%
$7
1/16/20 10:40 AUD/CAD AUD/CAD LONG 10 0.90000 1/17 0:18 0.90000 0.55%
Trade id #127039080
Max drawdown($143)
Time1/16/20 12:49
Quant open10
Worst price0.89813
Drawdown as % of equity-0.55%
$0
1/16/20 14:34 GBP/NZD GBP/NZD SHORT 10 1.97014 1/16 23:38 1.96813 0.54%
Trade id #127049553
Max drawdown($140)
Time1/16/20 19:21
Quant open10
Worst price1.97225
Drawdown as % of equity-0.54%
$133
1/15/20 9:21 CAD/JPY CAD/JPY SHORT 10 84.095 1/16 17:14 84.493 1.34%
Trade id #127007663
Max drawdown($355)
Time1/16/20 0:00
Quant open10
Worst price84.487
Drawdown as % of equity-1.34%
($361)
1/15/20 12:23 EUR/AUD EUR/AUD LONG 10 1.61394 1/16 11:01 1.61488 0.97%
Trade id #127022741
Max drawdown($257)
Time1/16/20 0:00
Quant open10
Worst price1.61020
Drawdown as % of equity-0.97%
$65
1/16/20 9:52 GBP/AUD GBP/AUD SHORT 10 1.88800 1/16 10:24 1.89101 0.74%
Trade id #127036107
Max drawdown($194)
Time1/16/20 10:19
Quant open10
Worst price1.89082
Drawdown as % of equity-0.74%
($208)
1/15/20 11:33 AUD/USD AUD/USD SHORT 10 0.69087 1/16 10:07 0.69068 0.94%
Trade id #127018491
Max drawdown($250)
Time1/16/20 0:00
Quant open10
Worst price0.69337
Drawdown as % of equity-0.94%
$19
1/16/20 6:28 USD/JPY USD/JPY LONG 10 109.964 1/16 9:11 110.026 0.13%
Trade id #127033485
Max drawdown($32)
Time1/16/20 8:26
Quant open10
Worst price109.928
Drawdown as % of equity-0.13%
$56
1/15/20 10:06 AUD/JPY AUD/JPY SHORT 10 75.800 1/15 19:15 76.050 0.81%
Trade id #127010669
Max drawdown($213)
Time1/15/20 12:30
Quant open10
Worst price76.035
Drawdown as % of equity-0.81%
($227)
1/13/20 10:23 AUD/USD AUD/USD LONG 10 0.69054 1/15 11:32 0.69090 1.06%
Trade id #126969401
Max drawdown($282)
Time1/15/20 8:22
Quant open10
Worst price0.68772
Drawdown as % of equity-1.06%
$36
1/14/20 7:27 EUR/AUD EUR/AUD LONG 10 1.61261 1/14 9:14 1.60899 0.89%
Trade id #126981817
Max drawdown($238)
Time1/14/20 9:10
Quant open10
Worst price1.60915
Drawdown as % of equity-0.89%
($250)
1/9/20 21:25 USD/JPY USD/JPY SHORT 10 109.518 1/13 5:28 109.910 1.32%
Trade id #126939769
Max drawdown($356)
Time1/13/20 5:27
Quant open10
Worst price109.908
Drawdown as % of equity-1.32%
($357)
1/12/20 19:33 NZD/CHF NZD/CHF LONG 10 0.64554 1/12 22:14 0.64664 0.05%
Trade id #126961531
Max drawdown($13)
Time1/12/20 19:38
Quant open10
Worst price0.64541
Drawdown as % of equity-0.05%
$113
1/10/20 9:40 AUD/USD AUD/USD LONG 10 0.68845 1/10 15:35 0.69060 0.06%
Trade id #126944665
Max drawdown($17)
Time1/10/20 9:43
Quant open10
Worst price0.68828
Drawdown as % of equity-0.06%
$215
1/9/20 19:04 GBP/NZD GBP/NZD SHORT 10 1.97858 1/9 22:01 1.97571 0.14%
Trade id #126939013
Max drawdown($37)
Time1/9/20 19:09
Quant open10
Worst price1.97914
Drawdown as % of equity-0.14%
$190
1/9/20 9:35 GBP/NZD GBP/NZD SHORT 10 1.97502 1/9 18:32 1.97800 0.72%
Trade id #126929158
Max drawdown($194)
Time1/9/20 11:47
Quant open10
Worst price1.97796
Drawdown as % of equity-0.72%
($197)
1/9/20 11:34 GBP/CAD GBP/CAD SHORT 10 1.71000 1/9 14:59 1.70769 0.35%
Trade id #126931588
Max drawdown($95)
Time1/9/20 11:54
Quant open10
Worst price1.71125
Drawdown as % of equity-0.35%
$177
1/8/20 8:47 USD/CHF USD/CHF LONG 10 0.97047 1/8 12:55 0.97355 0.49%
Trade id #126911172
Max drawdown($130)
Time1/8/20 10:22
Quant open10
Worst price0.96920
Drawdown as % of equity-0.49%
$316
1/7/20 18:41 GBP/CHF GBP/CHF LONG 10 1.27043 1/7 19:21 1.26798 0.91%
Trade id #126905218
Max drawdown($246)
Time1/7/20 19:20
Quant open10
Worst price1.26804
Drawdown as % of equity-0.91%
($253)

Statistics

  • Strategy began
    11/12/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    998.84
  • Age
    34 months ago
  • What it trades
    Forex
  • # Trades
    136
  • # Profitable
    99
  • % Profitable
    72.80%
  • Avg trade duration
    12.1 hours
  • Max peak-to-valley drawdown
    11.3%
  • drawdown period
    Jan 01, 2020 - March 02, 2020
  • Annual Return (Compounded)
    1.8%
  • Avg win
    $123.77
  • Avg loss
    $267.14
  • Model Account Values (Raw)
  • Cash
    $27,371
  • Margin Used
    $0
  • Buying Power
    $27,371
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.07
  • Sortino Ratio
    0.12
  • Calmar Ratio
    1.62
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -29.11%
  • Correlation to SP500
    -0.06160
  • Return Percent SP500 (cumu) during strategy life
    38.43%
  • Return Statistics
  • Ann Return (w trading costs)
    1.8%
  • Slump
  • Current Slump as Pcnt Equity
    5.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.018%
  • 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
    n/a
  • Chance of 20% account loss
    n/a
  • 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
    $267
  • Avg Win
    $124
  • Sum Trade PL (losers)
    $9,884.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $12,253.000
  • # Winners
    99
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    37
  • % Winners
    72.8%
  • Frequency
  • Avg Position Time (mins)
    728.90
  • Avg Position Time (hrs)
    12.15
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    888
  • Leverage
  • Daily leverage (average)
    9.43
  • Daily leverage (max)
    23.26
  • Regression
  • Alpha
    0.00
  • Beta
    -0.02
  • Treynor Index
    -0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.23
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.637
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.915
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.935
  • Hold-and-Hope Ratio
    0.114
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12206
  • SD
    0.16158
  • Sharpe ratio (Glass type estimate)
    0.75543
  • Sharpe ratio (Hedges UMVUE)
    0.67097
  • df
    7.00000
  • t
    0.61680
  • p
    0.27844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09702
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86900
  • Upside Potential Ratio
    3.54507
  • Upside part of mean
    0.23152
  • Downside part of mean
    -0.10946
  • Upside SD
    0.14078
  • Downside SD
    0.06531
  • N nonnegative terms
    2.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.33682
  • Mean of criterion
    0.12206
  • SD of predictor
    0.33391
  • SD of criterion
    0.16158
  • Covariance
    0.01034
  • r
    0.19159
  • b (slope, estimate of beta)
    0.09271
  • a (intercept, estimate of alpha)
    0.09083
  • Mean Square Error
    0.02934
  • DF error
    6.00000
  • t(b)
    0.47814
  • p(b)
    0.32474
  • t(a)
    0.41341
  • p(a)
    0.34684
  • Lowerbound of 95% confidence interval for beta
    -0.38173
  • Upperbound of 95% confidence interval for beta
    0.56714
  • Lowerbound of 95% confidence interval for alpha
    -0.44680
  • Upperbound of 95% confidence interval for alpha
    0.62847
  • Treynor index (mean / b)
    1.31661
  • Jensen alpha (a)
    0.09083
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11028
  • SD
    0.15679
  • Sharpe ratio (Glass type estimate)
    0.70339
  • Sharpe ratio (Hedges UMVUE)
    0.62475
  • df
    7.00000
  • t
    0.57432
  • p
    0.29186
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04741
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65044
  • Upside Potential Ratio
    3.31763
  • Upside part of mean
    0.22168
  • Downside part of mean
    -0.11140
  • Upside SD
    0.13438
  • Downside SD
    0.06682
  • N nonnegative terms
    2.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.28215
  • Mean of criterion
    0.11028
  • SD of predictor
    0.34162
  • SD of criterion
    0.15679
  • Covariance
    0.01099
  • r
    0.20520
  • b (slope, estimate of beta)
    0.09417
  • a (intercept, estimate of alpha)
    0.08371
  • Mean Square Error
    0.02747
  • DF error
    6.00000
  • t(b)
    0.51356
  • p(b)
    0.31296
  • t(a)
    0.39960
  • p(a)
    0.35164
  • Lowerbound of 95% confidence interval for beta
    -0.35454
  • Upperbound of 95% confidence interval for beta
    0.54288
  • Lowerbound of 95% confidence interval for alpha
    -0.42889
  • Upperbound of 95% confidence interval for alpha
    0.59631
  • Treynor index (mean / b)
    1.17104
  • Jensen alpha (a)
    0.08371
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06317
  • Expected Shortfall on VaR
    0.08059
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02676
  • Expected Shortfall on VaR
    0.05012
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.95056
  • Quartile 1
    0.99761
  • Median
    1.00000
  • Quartile 3
    1.01350
  • Maximum
    1.10502
  • Mean of quarter 1
    0.97050
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.07950
  • Inter Quartile Range
    0.01589
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.95056
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    1.07950
  • 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
    1.00000
  • Minimum
    0.05853
  • Quartile 1
    0.05853
  • Median
    0.05853
  • Quartile 3
    0.05853
  • Maximum
    0.05853
  • 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)
    0.14475
  • Compounded annual return (geometric extrapolation)
    0.14819
  • Calmar ratio (compounded annual return / max draw down)
    2.53187
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.83873
  • 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
    0.11613
  • SD
    0.11834
  • Sharpe ratio (Glass type estimate)
    0.98127
  • Sharpe ratio (Hedges UMVUE)
    0.97706
  • df
    175.00000
  • t
    0.80426
  • p
    0.46139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37348
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37059
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79951
  • Upside Potential Ratio
    6.54443
  • Upside part of mean
    0.42233
  • Downside part of mean
    -0.30621
  • Upside SD
    0.09906
  • Downside SD
    0.06453
  • N nonnegative terms
    29.00000
  • N negative terms
    147.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    176.00000
  • Mean of predictor
    0.41908
  • Mean of criterion
    0.11613
  • SD of predictor
    0.39483
  • SD of criterion
    0.11834
  • Covariance
    -0.00261
  • r
    -0.05596
  • b (slope, estimate of beta)
    -0.01677
  • a (intercept, estimate of alpha)
    0.12300
  • Mean Square Error
    0.01404
  • DF error
    174.00000
  • t(b)
    -0.73928
  • p(b)
    0.52798
  • t(a)
    0.84999
  • p(a)
    0.46785
  • Lowerbound of 95% confidence interval for beta
    -0.06155
  • Upperbound of 95% confidence interval for beta
    0.02801
  • Lowerbound of 95% confidence interval for alpha
    -0.16281
  • Upperbound of 95% confidence interval for alpha
    0.40913
  • Treynor index (mean / b)
    -6.92388
  • Jensen alpha (a)
    0.12316
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10923
  • SD
    0.11701
  • Sharpe ratio (Glass type estimate)
    0.93355
  • Sharpe ratio (Hedges UMVUE)
    0.92954
  • df
    175.00000
  • t
    0.76514
  • p
    0.46326
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32287
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67516
  • Upside Potential Ratio
    6.40281
  • Upside part of mean
    0.41752
  • Downside part of mean
    -0.30828
  • Upside SD
    0.09699
  • Downside SD
    0.06521
  • N nonnegative terms
    29.00000
  • N negative terms
    147.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    176.00000
  • Mean of predictor
    0.34111
  • Mean of criterion
    0.10923
  • SD of predictor
    0.39566
  • SD of criterion
    0.11701
  • Covariance
    -0.00252
  • r
    -0.05453
  • b (slope, estimate of beta)
    -0.01613
  • a (intercept, estimate of alpha)
    0.11474
  • Mean Square Error
    0.01373
  • DF error
    174.00000
  • t(b)
    -0.72035
  • p(b)
    0.52726
  • t(a)
    0.80142
  • p(a)
    0.46968
  • Lowerbound of 95% confidence interval for beta
    -0.06031
  • Upperbound of 95% confidence interval for beta
    0.02806
  • Lowerbound of 95% confidence interval for alpha
    -0.16783
  • Upperbound of 95% confidence interval for alpha
    0.39730
  • Treynor index (mean / b)
    -6.77383
  • Jensen alpha (a)
    0.11474
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01141
  • Expected Shortfall on VaR
    0.01439
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00364
  • Expected Shortfall on VaR
    0.00783
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    176.00000
  • Minimum
    0.96870
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06241
  • Mean of quarter 1
    0.99568
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00652
  • Inter Quartile Range
    0.00000
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.13636
  • Mean of outliers low
    0.99208
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.16477
  • Mean of outliers high
    1.00989
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.75888
  • VaR(95%) (moments method)
    0.00275
  • Expected Shortfall (moments method)
    0.00311
  • Extreme Value Index (regression method)
    -0.05652
  • VaR(95%) (regression method)
    0.00533
  • Expected Shortfall (regression method)
    0.00998
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00727
  • Quartile 1
    0.00815
  • Median
    0.01179
  • Quartile 3
    0.02707
  • Maximum
    0.09074
  • Mean of quarter 1
    0.00753
  • Mean of quarter 2
    0.00922
  • Mean of quarter 3
    0.01436
  • Mean of quarter 4
    0.06102
  • Inter Quartile Range
    0.01892
  • 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
    0.09074
  • 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)
    0.14366
  • Compounded annual return (geometric extrapolation)
    0.14699
  • Calmar ratio (compounded annual return / max draw down)
    1.61999
  • Compounded annual return / average of 25% largest draw downs
    2.40897
  • Compounded annual return / Expected Shortfall lognormal
    10.21750
  • 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
    0.00972
  • SD
    0.09306
  • Sharpe ratio (Glass type estimate)
    0.10440
  • Sharpe ratio (Hedges UMVUE)
    0.10380
  • df
    130.00000
  • t
    0.07383
  • p
    0.49676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.66755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87612
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.66803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87564
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34018
  • Upside Potential Ratio
    4.60398
  • Upside part of mean
    0.13150
  • Downside part of mean
    -0.12178
  • Upside SD
    0.08820
  • Downside SD
    0.02856
  • N nonnegative terms
    3.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43114
  • Mean of criterion
    0.00972
  • SD of predictor
    0.45609
  • SD of criterion
    0.09306
  • Covariance
    -0.00316
  • r
    -0.07436
  • b (slope, estimate of beta)
    -0.01517
  • a (intercept, estimate of alpha)
    0.01626
  • Mean Square Error
    0.00868
  • DF error
    129.00000
  • t(b)
    -0.84692
  • p(b)
    0.54730
  • t(a)
    0.12318
  • p(a)
    0.49310
  • Lowerbound of 95% confidence interval for beta
    -0.05062
  • Upperbound of 95% confidence interval for beta
    0.02027
  • Lowerbound of 95% confidence interval for alpha
    -0.24487
  • Upperbound of 95% confidence interval for alpha
    0.27739
  • Treynor index (mean / b)
    -0.64036
  • Jensen alpha (a)
    0.01626
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00557
  • SD
    0.09059
  • Sharpe ratio (Glass type estimate)
    0.06149
  • Sharpe ratio (Hedges UMVUE)
    0.06114
  • df
    130.00000
  • t
    0.04348
  • p
    0.49809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.71033
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71068
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83295
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.19417
  • Upside Potential Ratio
    4.45323
  • Upside part of mean
    0.12775
  • Downside part of mean
    -0.12218
  • Upside SD
    0.08556
  • Downside SD
    0.02869
  • N nonnegative terms
    3.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32740
  • Mean of criterion
    0.00557
  • SD of predictor
    0.45706
  • SD of criterion
    0.09059
  • Covariance
    -0.00307
  • r
    -0.07425
  • b (slope, estimate of beta)
    -0.01472
  • a (intercept, estimate of alpha)
    0.01039
  • Mean Square Error
    0.00822
  • DF error
    129.00000
  • t(b)
    -0.84566
  • p(b)
    0.54723
  • t(a)
    0.08092
  • p(a)
    0.49546
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.04915
  • Upperbound of 95% confidence interval for beta
    0.01971
  • Lowerbound of 95% confidence interval for alpha
    -0.24360
  • Upperbound of 95% confidence interval for alpha
    0.26438
  • Treynor index (mean / b)
    -0.37852
  • Jensen alpha (a)
    0.01039
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00914
  • Expected Shortfall on VaR
    0.01145
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00160
  • Expected Shortfall on VaR
    0.00344
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98862
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06241
  • Mean of quarter 1
    0.99857
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00200
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99212
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02202
  • 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)
    -1.27644
  • VaR(95%) (regression method)
    0.00030
  • Expected Shortfall (regression method)
    0.00249
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.04548
  • Quartile 1
    0.04548
  • Median
    0.04548
  • Quartile 3
    0.04548
  • Maximum
    0.04548
  • 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?
    -415482000
  • Max Equity Drawdown (num days)
    61
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03376
  • Compounded annual return (geometric extrapolation)
    0.03404
  • Calmar ratio (compounded annual return / max draw down)
    0.74848
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.97217

Strategy Description

I am a technical trader while I keep an eye on major news sometimes.
I will trade all pairs, but mostly the major pairs,
I will take no more than 5 open trades running at once. The max will be 5.
I will use top stop loss which will be 50 pips max, many times less.
I will not have no more than 2 trades open for the same pair.
Using 5 trades max at 50 pips max as stop loss, my drown down should not be no more than 250 pips for all open positions.
Using a 1 standard lot that makes it $ 10 per pips move, my DD can not be higher than $ 2500 ( 50 pips x 5 positions x $ 10 lot) which will represent less 11% of my starting account balance.
My goal is to trade safe and generate money for my followers. I have experience trading and the safety of your money is my priority.
No martingale. No robots, No swing trade. No high risks No crazy lots size. No many positions open at once should not be part of this strategy.
Time will tell. Wish me the best as I hope the best for you and to each strategy out there on C2.

Summary Statistics

Strategy began
2019-11-12
Suggested Minimum Capital
$25,000
# Trades
136
# Profitable
99
% Profitable
72.8%
Correlation S&P500
-0.062
Sharpe Ratio
0.07
Sortino Ratio
0.12
Beta
-0.02
Alpha
0.00
Leverage
9.43 Average
23.26 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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