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Featured Strategy Quant AI pro +15.7% Cumul. Return since Dec 2, 2024 Hypothetical

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Medallion X
(132634862)

Created by: Medallion Medallion
Started: 12/2020
Forex
Last trade: 1,146 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 $500.00 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.
-
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.

(100.0%)
Max Drawdown
154
Num Trades
82.5%
Win Trades
0.5 : 1
Profit Factor
8.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             (3.6%)(3.6%)
2021+5.7%(4.5%)+15.5%+5.5%(11%)(2%)+10.6%(25.7%)(13.9%)(77.6%)(376.9%)  -  (147.2%)
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.

Trading Record

This strategy has placed 1,100 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1165 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/4/21 1:24 GBP/USD GBP/USD LONG 290 1.38378 11/10 20:06 1.37922 126.15%
Trade id #136814926
Max drawdown($15,115)
Time9/29/21 0:00
Quant open35
Worst price1.34116
Drawdown as % of equity-126.15%
 ($13,221)
10/15/21 7:10 @BPZ1 BRITISH POUND SHORT 1 1.3750 10/21 23:05 1.3792 4.81%
Trade id #137821425
Max drawdown($518)
Time10/19/21 0:00
Quant open1
Worst price1.3833
Drawdown as % of equity-4.81%
 ($271)
Includes Typical Broker Commissions trade costs of $8.00
10/8/21 12:34 @BPH2 BRITISH POUND SHORT 1 1.3611 10/21 23:05 1.3785 12.29%
Trade id #137731485
Max drawdown($1,325)
Time10/19/21 0:00
Quant open1
Worst price1.3823
Drawdown as % of equity-12.29%
 ($1,096)
Includes Typical Broker Commissions trade costs of $8.00
7/5/21 12:28 AUD/USD AUD/USD LONG 218 0.74372 10/12 3:39 0.74375 23.15%
Trade id #136330448
Max drawdown($2,886)
Time7/21/21 0:00
Quant open15
Worst price0.72894
Drawdown as % of equity-23.15%
 $49
8/10/21 5:24 EUR/USD EUR/USD LONG 7 1.17226 8/11 8:34 1.17312 0.81%
Trade id #136895004
Max drawdown($116)
Time8/11/21 3:19
Quant open7
Worst price1.17059
Drawdown as % of equity-0.81%
 $60
8/2/21 20:18 GBP/USD GBP/USD SHORT 12 1.39057 8/4 1:23 1.39174 1.33%
Trade id #136794435
Max drawdown($204)
Time8/4/21 0:03
Quant open9
Worst price1.39284
Drawdown as % of equity-1.33%
 ($140)
8/2/21 17:00 GBP/USD GBP/USD LONG 2 1.38859 8/2 20:18 1.38957 0.14%
Trade id #136793409
Max drawdown($21)
Time8/2/21 17:23
Quant open2
Worst price1.38751
Drawdown as % of equity-0.14%
 $20
8/2/21 9:32 GBP/USD GBP/USD SHORT 4 1.39034 8/2 12:11 1.38890 0.27%
Trade id #136782387
Max drawdown($41)
Time8/2/21 10:00
Quant open3
Worst price1.39184
Drawdown as % of equity-0.27%
 $57
8/2/21 3:05 GBP/USD GBP/USD SHORT 3 1.39175 8/2 8:59 1.38912 0.08%
Trade id #136777612
Max drawdown($12)
Time8/2/21 4:25
Quant open2
Worst price1.39325
Drawdown as % of equity-0.08%
 $79
8/1/21 23:35 GBP/USD GBP/USD LONG 5 1.38983 8/2 2:56 1.39126 0.39%
Trade id #136776812
Max drawdown($59)
Time8/2/21 0:00
Quant open5
Worst price1.38864
Drawdown as % of equity-0.39%
 $72
7/29/21 6:58 GBP/USD GBP/USD SHORT 4 1.39644 8/1 23:34 1.38992 0.17%
Trade id #136727126
Max drawdown($24)
Time7/30/21 0:00
Quant open1
Worst price1.39833
Drawdown as % of equity-0.17%
 $261
7/28/21 14:35 GBP/USD GBP/USD LONG 3 1.38728 7/28 14:41 1.38983 n/a $77
7/28/21 13:50 GBP/USD GBP/USD LONG 6 1.38693 7/28 14:26 1.38813 0.7%
Trade id #136718978
Max drawdown($95)
Time7/28/21 14:01
Quant open5
Worst price1.38487
Drawdown as % of equity-0.70%
 $72
7/28/21 5:58 GBP/USD GBP/USD LONG 7 1.38618 7/28 12:25 1.38753 0.52%
Trade id #136708578
Max drawdown($71)
Time7/28/21 9:57
Quant open5
Worst price1.38447
Drawdown as % of equity-0.52%
 $94
7/28/21 3:47 GBP/USD GBP/USD LONG 2 1.38712 7/28 4:57 1.38926 0.13%
Trade id #136707674
Max drawdown($19)
Time7/28/21 4:15
Quant open2
Worst price1.38617
Drawdown as % of equity-0.13%
 $43
7/28/21 1:18 GBP/USD GBP/USD LONG 1 1.38673 7/28 3:08 1.38833 0.03%
Trade id #136706919
Max drawdown($3)
Time7/28/21 2:56
Quant open1
Worst price1.38635
Drawdown as % of equity-0.03%
 $16
7/23/21 0:40 GBP/USD GBP/USD LONG 14 1.37530 7/26 6:17 1.37869 2.19%
Trade id #136642944
Max drawdown($292)
Time7/23/21 7:32
Quant open9
Worst price1.37199
Drawdown as % of equity-2.19%
 $474
7/15/21 6:49 GBP/USD GBP/USD LONG 11 1.38500 7/19 3:05 1.37753 6.35%
Trade id #136500356
Max drawdown($868)
Time7/19/21 3:05
Quant open7
Worst price1.37259
Drawdown as % of equity-6.35%
 ($822)
7/14/21 20:17 GBP/USD GBP/USD LONG 7 1.38346 7/15 6:14 1.38665 0.75%
Trade id #136496468
Max drawdown($108)
Time7/15/21 3:57
Quant open5
Worst price1.38130
Drawdown as % of equity-0.75%
 $224
7/12/21 3:45 GBP/USD GBP/USD LONG 18 1.38632 7/14 6:58 1.38743 4.13%
Trade id #136419242
Max drawdown($573)
Time7/14/21 0:34
Quant open12
Worst price1.38153
Drawdown as % of equity-4.13%
 $199
7/9/21 10:56 GBP/USD GBP/USD LONG 9 1.38442 7/9 13:46 1.38581 1.22%
Trade id #136401813
Max drawdown($165)
Time7/9/21 11:02
Quant open9
Worst price1.38259
Drawdown as % of equity-1.22%
 $125
6/27/21 22:32 EUR/USD EUR/USD LONG 48 1.18638 7/5 12:24 1.18720 3.08%
Trade id #136225106
Max drawdown($416)
Time7/2/21 0:00
Quant open5
Worst price1.18070
Drawdown as % of equity-3.08%
 $393
7/2/21 7:21 AUD/USD AUD/USD LONG 5 0.74668 7/2 8:54 0.74817 0.84%
Trade id #136300647
Max drawdown($113)
Time7/2/21 8:30
Quant open5
Worst price0.74441
Drawdown as % of equity-0.84%
 $74
6/28/21 3:08 USD/CHF USD/CHF SHORT 11 0.92086 7/2 8:54 0.92298 4.76%
Trade id #136225980
Max drawdown($644)
Time7/2/21 3:57
Quant open9
Worst price0.92748
Drawdown as % of equity-4.76%
 ($253)
6/22/21 21:51 EUR/USD EUR/USD LONG 27 1.19326 6/25 9:21 1.19450 0.63%
Trade id #136168097
Max drawdown($87)
Time6/24/21 0:00
Quant open7
Worst price1.19177
Drawdown as % of equity-0.63%
 $334
6/22/21 4:12 GBP/USD GBP/USD LONG 19 1.38791 6/22 11:11 1.38991 0.36%
Trade id #136154426
Max drawdown($48)
Time6/22/21 5:53
Quant open7
Worst price1.38614
Drawdown as % of equity-0.36%
 $382
6/20/21 22:58 EUR/USD EUR/USD LONG 5 1.18591 6/21 4:10 1.18891 0.43%
Trade id #136133519
Max drawdown($57)
Time6/21/21 0:00
Quant open5
Worst price1.18476
Drawdown as % of equity-0.43%
 $150
6/17/21 2:51 USD/CAD USD/CAD SHORT 9 1.23249 6/18 11:31 1.24765 8.37%
Trade id #136088432
Max drawdown($1,125)
Time6/18/21 11:30
Quant open9
Worst price1.24807
Drawdown as % of equity-8.37%
 ($1,097)
6/16/21 14:54 GBP/USD GBP/USD SHORT 1 1.40200 6/17 3:04 1.39908 0.02%
Trade id #136083205
Max drawdown($2)
Time6/16/21 15:10
Quant open1
Worst price1.40228
Drawdown as % of equity-0.02%
 $29
6/16/21 14:19 GBP/USD GBP/USD SHORT 5 1.40268 6/16 14:50 1.40130 0.19%
Trade id #136082466
Max drawdown($25)
Time6/16/21 14:24
Quant open3
Worst price1.40385
Drawdown as % of equity-0.19%
 $69
Next

Statistics

  • Strategy began
    12/4/2020
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1486.22
  • Age
    50 months ago
  • What it trades
    Forex
  • # Trades
    154
  • # Profitable
    127
  • % Profitable
    82.50%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 02, 2021 - Nov 11, 2021
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $82.09
  • Avg loss
    $707.30
  • Model Account Values (Raw)
  • Cash
    $1,329
  • Margin Used
    $0
  • Buying Power
    $1,329
  • Ratios
  • W:L ratio
    0.55:1
  • Sharpe Ratio
    -0.99
  • Sortino Ratio
    -1.1
  • Calmar Ratio
    -0.767
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -206.91%
  • Correlation to SP500
    0.03400
  • Return Percent SP500 (cumu) during strategy life
    61.41%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -39.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    93.50%
  • Chance of 30% account loss
    81.00%
  • Chance of 40% account loss
    57.00%
  • Chance of 60% account loss (Monte Carlo)
    9.00%
  • Chance of 70% account loss (Monte Carlo)
    1.50%
  • 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
    30.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $707
  • Avg Win
    $82
  • Sum Trade PL (losers)
    $19,097.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $10,426.000
  • # Winners
    127
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    27
  • % Winners
    82.5%
  • Frequency
  • Avg Position Time (mins)
    4158.28
  • Avg Position Time (hrs)
    69.31
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    1164
  • Leverage
  • Daily leverage (average)
    9.97
  • Daily leverage (max)
    62.89
  • Regression
  • Alpha
    0.00
  • Beta
    0.44
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.76
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.12
  • Avg(MAE) / Avg(PL) - All trades
    -4.067
  • 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
    0.23
  • Avg(MAE) / Avg(PL) - Winning trades
    1.296
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.251
  • Hold-and-Hope Ratio
    -0.246
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.42790
  • SD
    0.76824
  • Sharpe ratio (Glass type estimate)
    -0.55699
  • Sharpe ratio (Hedges UMVUE)
    -0.53340
  • df
    18.00000
  • t
    -0.70086
  • p
    0.58149
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.10073
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03394
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58241
  • Upside Potential Ratio
    0.45214
  • Upside part of mean
    0.33219
  • Downside part of mean
    -0.76009
  • Upside SD
    0.18601
  • Downside SD
    0.73470
  • N nonnegative terms
    6.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.22837
  • Mean of criterion
    -0.42790
  • SD of predictor
    0.29248
  • SD of criterion
    0.76824
  • Covariance
    -0.02224
  • r
    -0.09899
  • b (slope, estimate of beta)
    -0.26002
  • a (intercept, estimate of alpha)
    -0.36852
  • Mean Square Error
    0.61878
  • DF error
    17.00000
  • t(b)
    -0.41018
  • p(b)
    0.56292
  • t(a)
    -0.57430
  • p(a)
    0.58755
  • Lowerbound of 95% confidence interval for beta
    -1.59747
  • Upperbound of 95% confidence interval for beta
    1.07743
  • Lowerbound of 95% confidence interval for alpha
    -1.72237
  • Upperbound of 95% confidence interval for alpha
    0.98533
  • Treynor index (mean / b)
    1.64565
  • Jensen alpha (a)
    -0.36852
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.30168
  • SD
    1.79156
  • Sharpe ratio (Glass type estimate)
    -0.72657
  • Sharpe ratio (Hedges UMVUE)
    -0.69579
  • df
    18.00000
  • t
    -0.91424
  • p
    0.60533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85854
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26991
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87832
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73329
  • Upside Potential Ratio
    0.17769
  • Upside part of mean
    0.31542
  • Downside part of mean
    -1.61710
  • Upside SD
    0.17565
  • Downside SD
    1.77513
  • N nonnegative terms
    6.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.18762
  • Mean of criterion
    -1.30168
  • SD of predictor
    0.28257
  • SD of criterion
    1.79156
  • Covariance
    -0.06786
  • r
    -0.13404
  • b (slope, estimate of beta)
    -0.84987
  • a (intercept, estimate of alpha)
    -1.14223
  • Mean Square Error
    3.33742
  • DF error
    17.00000
  • t(b)
    -0.55771
  • p(b)
    0.58508
  • t(a)
    -0.77192
  • p(a)
    0.61649
  • Lowerbound of 95% confidence interval for beta
    -4.06493
  • Upperbound of 95% confidence interval for beta
    2.36519
  • Lowerbound of 95% confidence interval for alpha
    -4.26418
  • Upperbound of 95% confidence interval for alpha
    1.97972
  • Treynor index (mean / b)
    1.53163
  • Jensen alpha (a)
    -1.14223
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.61678
  • Expected Shortfall on VaR
    0.68601
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17380
  • Expected Shortfall on VaR
    0.37994
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.10917
  • Quartile 1
    0.99574
  • Median
    1.00000
  • Quartile 3
    1.04829
  • Maximum
    1.14158
  • Mean of quarter 1
    0.76536
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01024
  • Mean of quarter 4
    1.09979
  • Inter Quartile Range
    0.05254
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.10526
  • Mean of outliers low
    0.43790
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    1.13623
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.93120
  • VaR(95%) (moments method)
    0.16496
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.05459
  • VaR(95%) (regression method)
    0.39537
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00851
  • Quartile 1
    0.00997
  • Median
    0.02025
  • Quartile 3
    0.25161
  • Maximum
    0.91631
  • Mean of quarter 1
    0.00851
  • Mean of quarter 2
    0.01045
  • Mean of quarter 3
    0.03004
  • Mean of quarter 4
    0.91631
  • Inter Quartile Range
    0.24164
  • 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
    0.25000
  • Mean of outliers high
    0.91631
  • 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)
    -0.54753
  • Compounded annual return (geometric extrapolation)
    -0.72023
  • Calmar ratio (compounded annual return / max draw down)
    -0.78601
  • Compounded annual return / average of 25% largest draw downs
    -0.78601
  • Compounded annual return / Expected Shortfall lognormal
    -1.04988
  • 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
    -0.81197
  • SD
    0.78278
  • Sharpe ratio (Glass type estimate)
    -1.03729
  • Sharpe ratio (Hedges UMVUE)
    -1.03549
  • df
    433.00000
  • t
    -1.33504
  • p
    0.90872
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56111
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.48770
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55989
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48891
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.13665
  • Upside Potential Ratio
    2.22935
  • Upside part of mean
    1.59254
  • Downside part of mean
    -2.40451
  • Upside SD
    0.32179
  • Downside SD
    0.71435
  • N nonnegative terms
    136.00000
  • N negative terms
    298.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    434.00000
  • Mean of predictor
    0.27953
  • Mean of criterion
    -0.81197
  • SD of predictor
    0.23805
  • SD of criterion
    0.78278
  • Covariance
    0.01039
  • r
    0.05575
  • b (slope, estimate of beta)
    0.18334
  • a (intercept, estimate of alpha)
    -0.86300
  • Mean Square Error
    0.61225
  • DF error
    432.00000
  • t(b)
    1.16062
  • p(b)
    0.12322
  • t(a)
    -1.41614
  • p(a)
    0.92127
  • Lowerbound of 95% confidence interval for beta
    -0.12714
  • Upperbound of 95% confidence interval for beta
    0.49382
  • Lowerbound of 95% confidence interval for alpha
    -2.06128
  • Upperbound of 95% confidence interval for alpha
    0.33485
  • Treynor index (mean / b)
    -4.42878
  • Jensen alpha (a)
    -0.86322
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.24543
  • SD
    1.02837
  • Sharpe ratio (Glass type estimate)
    -1.21107
  • Sharpe ratio (Hedges UMVUE)
    -1.20898
  • df
    433.00000
  • t
    -1.55871
  • p
    0.94010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.73539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.31455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.73394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31599
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.26448
  • Upside Potential Ratio
    1.56856
  • Upside part of mean
    1.54493
  • Downside part of mean
    -2.79036
  • Upside SD
    0.30154
  • Downside SD
    0.98494
  • N nonnegative terms
    136.00000
  • N negative terms
    298.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    434.00000
  • Mean of predictor
    0.25107
  • Mean of criterion
    -1.24543
  • SD of predictor
    0.23831
  • SD of criterion
    1.02837
  • Covariance
    0.01287
  • r
    0.05253
  • b (slope, estimate of beta)
    0.22669
  • a (intercept, estimate of alpha)
    -1.30234
  • Mean Square Error
    1.05706
  • DF error
    432.00000
  • t(b)
    1.09335
  • p(b)
    0.13742
  • t(a)
    -1.62686
  • p(a)
    0.94775
  • Lowerbound of 95% confidence interval for beta
    -0.18082
  • Upperbound of 95% confidence interval for beta
    0.63419
  • Lowerbound of 95% confidence interval for alpha
    -2.87576
  • Upperbound of 95% confidence interval for alpha
    0.27107
  • Treynor index (mean / b)
    -5.49406
  • Jensen alpha (a)
    -1.30234
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10350
  • Expected Shortfall on VaR
    0.12674
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02504
  • Expected Shortfall on VaR
    0.05710
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    434.00000
  • Minimum
    0.35941
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00417
  • Maximum
    1.24606
  • Mean of quarter 1
    0.96375
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00048
  • Mean of quarter 4
    1.02386
  • Inter Quartile Range
    0.00417
  • Number outliers low
    71.00000
  • Percentage of outliers low
    0.16359
  • Mean of outliers low
    0.94543
  • Number of outliers high
    69.00000
  • Percentage of outliers high
    0.15899
  • Mean of outliers high
    1.03348
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.93225
  • VaR(95%) (moments method)
    0.00936
  • Expected Shortfall (moments method)
    0.16582
  • Extreme Value Index (regression method)
    0.80985
  • VaR(95%) (regression method)
    0.02375
  • Expected Shortfall (regression method)
    0.16451
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00259
  • Median
    0.01168
  • Quartile 3
    0.07338
  • Maximum
    0.91808
  • Mean of quarter 1
    0.00102
  • Mean of quarter 2
    0.00671
  • Mean of quarter 3
    0.03827
  • Mean of quarter 4
    0.26459
  • Inter Quartile Range
    0.07078
  • 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
    0.05263
  • Mean of outliers high
    0.91808
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.93566
  • VaR(95%) (moments method)
    0.28026
  • Expected Shortfall (moments method)
    4.11608
  • Extreme Value Index (regression method)
    2.76046
  • VaR(95%) (regression method)
    0.29280
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.52335
  • Compounded annual return (geometric extrapolation)
    -0.70404
  • Calmar ratio (compounded annual return / max draw down)
    -0.76686
  • Compounded annual return / average of 25% largest draw downs
    -2.66087
  • Compounded annual return / Expected Shortfall lognormal
    -5.55475
  • 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
    0.66502
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.37825
  • 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
    0.59310
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.37889
  • 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)
    -6834480000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.10300
  • 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)
    120102000000000008270447275671552.00000
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -438682000
  • Max Equity Drawdown (num days)
    9
  • 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

Hello,

1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both on a trend and on a reversal, on GBPUSD, EURUSD, AUDUSD, USDJPY, USDCAD, USDCHF currency pairs.
5) Each trade is protected by stop loss. Prior to the opening of each trade, a risk calculation is made and only after that a trade is opened. Risk control takes first place in the system.
6) Maximum drawdown per month 10%. The risk for you may be more than 10% if you connected not from the 1st of the month.
7) Not a martingale.

It is important to know when connecting my system “Medallion X” (Forex) to autotrade:

1) If you are a resident of the USA, Australia, then you will not be able to trade forex through Interactive brokers, local restrictions apply. You can connect to auto trading only with brokers Oanda, Trade Pro, FXCM, AGM Markets.
2) If you are a non-resident of the USA, Australia. There are no restrictions on the connection of autotrader. Any broker from the list - Interactive Brokers, Oanda, Trade Pro, FXCM, AGM Markets.
3) If you do not want to open a separate forex account, for this purpose I have a system for trading currency futures "Medallion CME" (Futures) is identical to the system "Medallion X" (Forex) | https://collective2.com/details/134947287

July 27, 2021
Michael

Summary Statistics

Strategy began
2020-12-04
Suggested Minimum Capital
$10,000
# Trades
154
# Profitable
127
% Profitable
82.5%
Correlation S&P500
0.034
Sharpe Ratio
-0.99
Sortino Ratio
-1.10
Beta
0.44
Alpha
0.00
Leverage
9.97 Average
62.89 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.