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Featured Strategy S2Prox0 Followed by live capital $200,000 Hypothetical

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ExitPoints - Forex
(126469195)

Created by: ThomasRegister2 ThomasRegister2
Started: 12/2019
Forex
Last trade: 1,498 days ago
Trading style: Futures Currencies

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $140.00 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
Currencies
Category: Equity

Currencies

Focuses on currency futures.
-11.6%
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.

(68.2%)
Max Drawdown
40
Num Trades
62.5%
Win Trades
0.7 : 1
Profit Factor
1.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                             (8.3%)(8.3%)
2020+15.0%(4.2%)(42.4%)  -    -    -    -    -    -    -    -    -  (36.6%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/3/20 21:06 GBP/JPY GBP/JPY LONG 2 137.607 3/10 9:52 135.882 47.55%
Trade id #127838294
Max drawdown($981)
Time3/9/20 0:00
Quant open2
Worst price132.584
Drawdown as % of equity-47.55%
 ($330)
2/24/20 20:23 USD/CHF USD/CHF LONG 8 0.96129 3/10 9:52 0.93037 157.85%
Trade id #127688589
Max drawdown($3,257)
Time3/9/20 0:00
Quant open7
Worst price0.91823
Drawdown as % of equity-157.85%
 ($2,654)
3/2/20 21:16 USD/CAD USD/CAD SHORT 2 1.33491 3/8 19:57 1.36254 13.84%
Trade id #127815694
Max drawdown($414)
Time3/8/20 19:38
Quant open2
Worst price1.36274
Drawdown as % of equity-13.84%
 ($406)
3/2/20 21:18 GBP/USD GBP/USD LONG 2 1.27667 3/6 9:58 1.30280 1.08%
Trade id #127815704
Max drawdown($54)
Time3/3/20 0:00
Quant open2
Worst price1.27396
Drawdown as % of equity-1.08%
 $523
2/19/20 20:41 AUD/USD AUD/USD LONG 5 0.65873 3/3 10:00 0.66175 12.82%
Trade id #127609723
Max drawdown($687)
Time2/28/20 0:00
Quant open4
Worst price0.64338
Drawdown as % of equity-12.82%
 $151
2/20/20 21:04 GBP/USD GBP/USD LONG 2 1.28893 2/25 4:55 1.29930 0.6%
Trade id #127629042
Max drawdown($30)
Time2/21/20 0:00
Quant open2
Worst price1.28740
Drawdown as % of equity-0.60%
 $207
2/18/20 20:30 USD/CHF USD/CHF SHORT 2 0.98274 2/24 10:03 0.97677 0.83%
Trade id #127586793
Max drawdown($42)
Time2/20/20 0:00
Quant open2
Worst price0.98485
Drawdown as % of equity-0.83%
 $122
2/9/20 20:34 EUR/USD EUR/USD LONG 5 1.08757 2/21 10:46 1.08620 9.08%
Trade id #127430428
Max drawdown($470)
Time2/20/20 0:00
Quant open4
Worst price1.07779
Drawdown as % of equity-9.08%
 ($69)
2/11/20 20:05 EUR/JPY EUR/JPY LONG 3 119.594 2/19 8:43 119.540 5.95%
Trade id #127466464
Max drawdown($309)
Time2/18/20 0:00
Quant open3
Worst price118.462
Drawdown as % of equity-5.95%
 ($15)
2/10/20 21:32 GBP/USD GBP/USD LONG 2 1.29169 2/14 12:30 1.30392 0.88%
Trade id #127449217
Max drawdown($45)
Time2/11/20 0:00
Quant open2
Worst price1.28943
Drawdown as % of equity-0.88%
 $245
1/9/20 20:57 USD/CAD USD/CAD SHORT 7 1.32126 2/12 3:04 1.32719 11.31%
Trade id #126939613
Max drawdown($597)
Time2/10/20 0:00
Quant open6
Worst price1.33295
Drawdown as % of equity-11.31%
 ($313)
1/28/20 21:06 GBP/JPY GBP/JPY LONG 2 142.087 2/5 20:15 142.727 4.36%
Trade id #127260556
Max drawdown($211)
Time2/4/20 0:00
Quant open2
Worst price140.928
Drawdown as % of equity-4.36%
 $117
2/3/20 20:07 USD/JPY USD/JPY LONG 2 108.581 2/5 3:37 109.630 0.13%
Trade id #127344810
Max drawdown($6)
Time2/3/20 20:11
Quant open2
Worst price108.548
Drawdown as % of equity-0.13%
 $192
1/20/20 20:05 AUD/USD AUD/USD LONG 3 0.68005 2/4 20:54 0.67410 6.64%
Trade id #127107313
Max drawdown($352)
Time1/31/20 0:00
Quant open3
Worst price0.66829
Drawdown as % of equity-6.64%
 ($179)
1/26/20 19:18 EUR/JPY EUR/JPY LONG 2 120.147 2/3 20:04 120.110 1.35%
Trade id #127224449
Max drawdown($68)
Time1/30/20 0:00
Quant open2
Worst price119.774
Drawdown as % of equity-1.35%
 ($7)
1/29/20 21:54 USD/CHF USD/CHF SHORT 2 0.97266 1/31 11:21 0.96390 0.43%
Trade id #127278707
Max drawdown($21)
Time1/30/20 0:00
Quant open2
Worst price0.97372
Drawdown as % of equity-0.43%
 $182
1/21/20 20:25 EUR/USD EUR/USD LONG 2 1.10522 1/31 8:14 1.10520 2.22%
Trade id #127134927
Max drawdown($119)
Time1/29/20 0:00
Quant open2
Worst price1.09923
Drawdown as % of equity-2.22%
 $0
1/13/20 20:09 GBP/JPY GBP/JPY SHORT 2 143.609 1/26 18:43 142.182 3.4%
Trade id #126977403
Max drawdown($181)
Time1/22/20 0:00
Quant open2
Worst price144.608
Drawdown as % of equity-3.40%
 $262
1/12/20 19:12 USD/JPY USD/JPY SHORT 1 109.555 1/24 12:18 109.250 1.29%
Trade id #126961406
Max drawdown($66)
Time1/17/20 0:00
Quant open1
Worst price110.290
Drawdown as % of equity-1.29%
 $28
1/14/20 20:50 EUR/JPY EUR/JPY SHORT 1 122.350 1/21 20:24 121.837 0.91%
Trade id #127002187
Max drawdown($47)
Time1/16/20 0:00
Quant open1
Worst price122.875
Drawdown as % of equity-0.91%
 $47
1/15/20 19:55 USD/CHF USD/CHF LONG 1 0.96389 1/19 19:19 0.96799 0.51%
Trade id #127029872
Max drawdown($26)
Time1/16/20 0:00
Quant open1
Worst price0.96130
Drawdown as % of equity-0.51%
 $42
1/12/20 19:10 EUR/USD EUR/USD LONG 1 1.11179 1/16 20:35 1.11352 0.26%
Trade id #126961386
Max drawdown($13)
Time1/14/20 0:00
Quant open1
Worst price1.11043
Drawdown as % of equity-0.26%
 $17
1/14/20 20:48 GBP/USD GBP/USD LONG 1 1.30226 1/16 20:35 1.30662 0.73%
Trade id #127002181
Max drawdown($38)
Time1/15/20 0:00
Quant open1
Worst price1.29845
Drawdown as % of equity-0.73%
 $44
1/6/20 20:17 AUD/USD AUD/USD LONG 1 0.69332 1/16 20:34 0.68893 1.7%
Trade id #126889576
Max drawdown($84)
Time1/8/20 0:00
Quant open1
Worst price0.68490
Drawdown as % of equity-1.70%
 ($44)
1/12/20 19:12 USD/CHF USD/CHF SHORT 1 0.97313 1/14 14:09 0.96660 0.1%
Trade id #126961397
Max drawdown($5)
Time1/13/20 0:00
Quant open1
Worst price0.97365
Drawdown as % of equity-0.10%
 $68
1/7/20 23:10 GBP/JPY GBP/JPY LONG 1 142.361 1/9 20:55 143.094 2.29%
Trade id #126907307
Max drawdown($113)
Time1/8/20 0:00
Quant open1
Worst price141.122
Drawdown as % of equity-2.29%
 $67
1/5/20 20:37 EUR/JPY EUR/JPY LONG 1 120.575 1/9 20:55 121.634 0.75%
Trade id #126874246
Max drawdown($37)
Time1/8/20 0:00
Quant open1
Worst price120.171
Drawdown as % of equity-0.75%
 $97
1/7/20 23:07 USD/JPY USD/JPY LONG 2 108.368 1/8 14:47 108.800 1.32%
Trade id #126907293
Max drawdown($65)
Time1/8/20 0:00
Quant open1
Worst price107.650
Drawdown as % of equity-1.32%
 $79
1/1/20 19:47 EUR/USD EUR/USD SHORT 1 1.12223 1/5 20:37 1.11617 n/a $61
12/11/19 23:31 USD/CHF USD/CHF LONG 2 0.97750 1/3/20 4:55 0.97320 5.61%
Trade id #126589928
Max drawdown($265)
Time12/31/19 0:00
Quant open2
Worst price0.96464
Drawdown as % of equity-5.61%
 ($88)
Next

Statistics

  • Strategy began
    12/3/2019
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1595.37
  • Age
    53 months ago
  • What it trades
    Forex
  • # Trades
    40
  • # Profitable
    25
  • % Profitable
    62.50%
  • Avg trade duration
    7.6 days
  • Max peak-to-valley drawdown
    68.17%
  • drawdown period
    Feb 21, 2020 - March 09, 2020
  • Annual Return (Compounded)
    -11.6%
  • Avg win
    $113.56
  • Avg loss
    $282.47
  • Model Account Values (Raw)
  • Cash
    $3,599
  • Margin Used
    $0
  • Buying Power
    $3,599
  • Ratios
  • W:L ratio
    0.67:1
  • Sharpe Ratio
    -0.25
  • Sortino Ratio
    -0.34
  • Calmar Ratio
    -0.577
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -105.50%
  • Correlation to SP500
    0.14130
  • Return Percent SP500 (cumu) during strategy life
    63.64%
  • Return Statistics
  • Ann Return (w trading costs)
    -11.6%
  • Slump
  • Current Slump as Pcnt Equity
    96.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • 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)
    -0.116%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -7.2%
  • Automation
  • Percentage Signals Automated
    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
    $282
  • Avg Win
    $114
  • Sum Trade PL (losers)
    $4,237.000
  • Age
  • Num Months filled monthly returns table
    53
  • Win / Loss
  • Sum Trade PL (winners)
    $2,839.000
  • # Winners
    25
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    15
  • % Winners
    62.5%
  • Frequency
  • Avg Position Time (mins)
    10946.40
  • Avg Position Time (hrs)
    182.44
  • Avg Trade Length
    7.6 days
  • Last Trade Ago
    1498
  • Leverage
  • Daily leverage (average)
    14.42
  • Daily leverage (max)
    44.92
  • Regression
  • Alpha
    -0.03
  • Beta
    0.19
  • Treynor Index
    -0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.09
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -4.75
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.22
  • Avg(MAE) / Avg(PL) - All trades
    -6.975
  • 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
    0.14
  • Avg(MAE) / Avg(PL) - Winning trades
    0.678
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.958
  • Hold-and-Hope Ratio
    -0.142
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.35270
  • SD
    0.35423
  • Sharpe ratio (Glass type estimate)
    -0.99567
  • Sharpe ratio (Hedges UMVUE)
    -0.90991
  • df
    9.00000
  • t
    -0.90891
  • p
    0.80646
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.16400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22465
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.09771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27788
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.07323
  • Upside Potential Ratio
    0.50862
  • Upside part of mean
    0.16715
  • Downside part of mean
    -0.51985
  • Upside SD
    0.12369
  • Downside SD
    0.32863
  • N nonnegative terms
    2.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.49090
  • Mean of criterion
    -0.35270
  • SD of predictor
    0.36243
  • SD of criterion
    0.35423
  • Covariance
    0.01983
  • r
    0.15449
  • b (slope, estimate of beta)
    0.15100
  • a (intercept, estimate of alpha)
    -0.42682
  • Mean Square Error
    0.13780
  • DF error
    8.00000
  • t(b)
    0.44228
  • p(b)
    0.33500
  • t(a)
    -0.97044
  • p(a)
    0.81988
  • Lowerbound of 95% confidence interval for beta
    -0.63629
  • Upperbound of 95% confidence interval for beta
    0.93829
  • Lowerbound of 95% confidence interval for alpha
    -1.44106
  • Upperbound of 95% confidence interval for alpha
    0.58742
  • Treynor index (mean / b)
    -2.33575
  • Jensen alpha (a)
    -0.42682
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.42220
  • SD
    0.38878
  • Sharpe ratio (Glass type estimate)
    -1.08598
  • Sharpe ratio (Hedges UMVUE)
    -0.99245
  • df
    9.00000
  • t
    -0.99136
  • p
    0.82629
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.26106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14537
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20298
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.14033
  • Upside Potential Ratio
    0.43114
  • Upside part of mean
    0.15963
  • Downside part of mean
    -0.58183
  • Upside SD
    0.11749
  • Downside SD
    0.37025
  • N nonnegative terms
    2.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.42131
  • Mean of criterion
    -0.42220
  • SD of predictor
    0.36848
  • SD of criterion
    0.38878
  • Covariance
    0.02179
  • r
    0.15209
  • b (slope, estimate of beta)
    0.16047
  • a (intercept, estimate of alpha)
    -0.48981
  • Mean Square Error
    0.16611
  • DF error
    8.00000
  • t(b)
    0.43525
  • p(b)
    0.33744
  • t(a)
    -1.03618
  • p(a)
    0.83479
  • Lowerbound of 95% confidence interval for beta
    -0.68973
  • Upperbound of 95% confidence interval for beta
    1.01067
  • Lowerbound of 95% confidence interval for alpha
    -1.57989
  • Upperbound of 95% confidence interval for alpha
    0.60027
  • Treynor index (mean / b)
    -2.63104
  • Jensen alpha (a)
    -0.48981
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19731
  • Expected Shortfall on VaR
    0.23343
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13199
  • Expected Shortfall on VaR
    0.25225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.76040
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.11102
  • Mean of quarter 1
    0.86181
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04798
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.79271
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.07197
  • 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)
    -2.43702
  • VaR(95%) (regression method)
    0.37956
  • Expected Shortfall (regression method)
    0.38394
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.37265
  • Quartile 1
    0.37265
  • Median
    0.37265
  • Quartile 3
    0.37265
  • Maximum
    0.37265
  • 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)
    -0.33607
  • Compounded annual return (geometric extrapolation)
    -0.32585
  • Calmar ratio (compounded annual return / max draw down)
    -0.87440
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.39591
  • 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
    -0.18931
  • SD
    0.59239
  • Sharpe ratio (Glass type estimate)
    -0.31958
  • Sharpe ratio (Hedges UMVUE)
    -0.31857
  • df
    238.00000
  • t
    -0.30523
  • p
    0.61977
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37087
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73374
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40168
  • Upside Potential Ratio
    2.44902
  • Upside part of mean
    1.15423
  • Downside part of mean
    -1.34354
  • Upside SD
    0.35703
  • Downside SD
    0.47130
  • N nonnegative terms
    34.00000
  • N negative terms
    205.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    239.00000
  • Mean of predictor
    0.68774
  • Mean of criterion
    -0.18931
  • SD of predictor
    0.52961
  • SD of criterion
    0.59239
  • Covariance
    0.05413
  • r
    0.17252
  • b (slope, estimate of beta)
    0.19297
  • a (intercept, estimate of alpha)
    -0.32200
  • Mean Square Error
    0.34192
  • DF error
    237.00000
  • t(b)
    2.69632
  • p(b)
    0.00376
  • t(a)
    -0.52430
  • p(a)
    0.69972
  • Lowerbound of 95% confidence interval for beta
    0.05198
  • Upperbound of 95% confidence interval for beta
    0.33396
  • Lowerbound of 95% confidence interval for alpha
    -1.53202
  • Upperbound of 95% confidence interval for alpha
    0.88797
  • Treynor index (mean / b)
    -0.98106
  • Jensen alpha (a)
    -0.32203
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.38811
  • SD
    0.65688
  • Sharpe ratio (Glass type estimate)
    -0.59084
  • Sharpe ratio (Hedges UMVUE)
    -0.58897
  • df
    238.00000
  • t
    -0.56431
  • p
    0.71346
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.64303
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.64176
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46381
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68090
  • Upside Potential Ratio
    1.92636
  • Upside part of mean
    1.09802
  • Downside part of mean
    -1.48613
  • Upside SD
    0.32460
  • Downside SD
    0.57000
  • N nonnegative terms
    34.00000
  • N negative terms
    205.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    239.00000
  • Mean of predictor
    0.55293
  • Mean of criterion
    -0.38811
  • SD of predictor
    0.51442
  • SD of criterion
    0.65688
  • Covariance
    0.06278
  • r
    0.18577
  • b (slope, estimate of beta)
    0.23722
  • a (intercept, estimate of alpha)
    -0.51928
  • Mean Square Error
    0.41836
  • DF error
    237.00000
  • t(b)
    2.91062
  • p(b)
    0.00198
  • t(a)
    -0.76509
  • p(a)
    0.77751
  • Lowerbound of 95% confidence interval for beta
    0.07666
  • Upperbound of 95% confidence interval for beta
    0.39778
  • Lowerbound of 95% confidence interval for alpha
    -1.85636
  • Upperbound of 95% confidence interval for alpha
    0.81780
  • Treynor index (mean / b)
    -1.63606
  • Jensen alpha (a)
    -0.51928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06596
  • Expected Shortfall on VaR
    0.08156
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01617
  • Expected Shortfall on VaR
    0.03646
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    239.00000
  • Minimum
    0.61660
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.27827
  • Mean of quarter 1
    0.97994
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01761
  • Inter Quartile Range
    0.00000
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.14644
  • Mean of outliers low
    0.96561
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.14226
  • Mean of outliers high
    1.03107
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19827
  • VaR(95%) (moments method)
    0.00300
  • Expected Shortfall (moments method)
    0.00473
  • Extreme Value Index (regression method)
    0.69306
  • VaR(95%) (regression method)
    0.01467
  • Expected Shortfall (regression method)
    0.07619
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00964
  • Quartile 1
    0.02412
  • Median
    0.03703
  • Quartile 3
    0.05964
  • Maximum
    0.52446
  • Mean of quarter 1
    0.01453
  • Mean of quarter 2
    0.02813
  • Mean of quarter 3
    0.04742
  • Mean of quarter 4
    0.24779
  • Inter Quartile Range
    0.03551
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.34020
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.10029
  • VaR(95%) (moments method)
    0.20528
  • Expected Shortfall (moments method)
    0.22601
  • Extreme Value Index (regression method)
    0.98680
  • VaR(95%) (regression method)
    0.61032
  • Expected Shortfall (regression method)
    50.96350
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.30701
  • Compounded annual return (geometric extrapolation)
    -0.30246
  • Calmar ratio (compounded annual return / max draw down)
    -0.57672
  • Compounded annual return / average of 25% largest draw downs
    -1.22067
  • Compounded annual return / Expected Shortfall lognormal
    -3.70852
  • 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
    0.83923
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38716
  • 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
    0.76364
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38701
  • 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)
    -6815770000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.06600
  • 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)
    -29682300000000000918899730153472.00000
  • 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?
    -477036000
  • Max Equity Drawdown (num days)
    17
  • 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

Actively Traded With Our Own Money

ExitPoint's Principal, Thomas Register is actively trading this Forex trading system with his own money through Cannon Trading.  Since he started trading, his worst drawdown to date was an unrealized 20% during the Brexit vote in December -- and those trades were no nowhere near that when they closed and became realized. You can see that move in the performance charts. Thomas’s account has been trading Real Time with Real Money at Forex.com through Cannon Trading since May of 2018.  His actual account statements are posted on our website and available for your review.

Summary Statistics

Strategy began
2019-12-03
Suggested Minimum Capital
$10,000
# Trades
40
# Profitable
25
% Profitable
62.5%
Correlation S&P500
0.141
Sharpe Ratio
-0.25
Sortino Ratio
-0.34
Beta
0.19
Alpha
-0.03
Leverage
14.42 Average
44.92 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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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.