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Medallion xPRO

Futures · Forex · Started May 2021

hypothetical · Annual Return (Compounded)
26.9%
Max Drawdown
50.1%
Trades
47
Win Trades
72.3%
Profit Factor
0.40
Win Months
11.9%

About this strategy

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 5%. The risk for you may be more than 5% if you connected not from the 1st of the month.
7) Not a martingale.

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

1) This system is ideal for connecting large trading accounts from 125,000 USD (100% scaling) to 1,250,000 USD (1000% scaling).
2) 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.
3) 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.
4) 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 xPRO" (Forex) | https://collective2.com/details/134947287

July 27, 2021
Michael

Currencies

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20210.10.120.9-19.612.616.0-94.4519.6-55.5
2022-6.4-21.3-171.5-487.9-38.2-38.5-23.6-24.5-41.8-10.2-39.4-0.1-802.9
2023-24.5-35.7-9.5-25.1-0.5-32.1-14.1-45.3-55.6-5.5-49.9-18.9
2024-25.2-5.4-6.4-17.6-30.6-19.4-34.6-66.3-186.8-346.4-96.0-21.2
2025-24.6-33.9-44.9-140.215.3142.7-54.5-7.10.00.00.00.0-121.6
20260.00.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began5/11/2021
Suggested Minimum Capital$125,000
Age67 months
What it tradesForex
# Trades47
# Profitable34
% Profitable72.3%
Avg trade duration65.0 days
Max peak-to-valley drawdown50.1%
drawdown periodAug 16, 2021 - Aug 20, 2021
Cumul. Return9.5%
Avg win$1,200
Avg loss$8,860

Ratios

W:L ratio0.35
Sharpe Ratio0.42
Sortino Ratio1.02
Calmar Ratio-0.61

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life83.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)2.3%

Return Statistics

Ann Return (w trading costs)26.9%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-15.1%

Slump

Current Slump as Pcnt Equity222.5%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex1.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss73.0%
Chance of 20% account loss45.0%
Chance of 30% account loss22.0%
Chance of 40% account loss6.5%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.3%

Popularity

Popularity (Today)630
Popularity (Last 6 weeks)863
Popularity (7 days, Percentile 1000 scale)569

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$8,860
Avg Win$1,200
# Winners34
Sum Trade PL (losers)$115,178
Sum Trade PL (winners)$40,799
Num Months Winners6
# Losers13
% Winners72.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table11

Frequency

Avg Position Time (mins)93636.25
Avg Position Time (hrs)1560.60
Avg Trade Length65
Last Trade Ago447

Leverage

Daily leverage (average)11.31
Daily leverage (max)54.65

Regression

Alpha0
Beta0.71
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04
MAE:Equity, 95th Percentile Value for this strat1.04
MAE:Equity, average, losing trades0.12
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-2.17
MAE:PL (avg, all trades)0.31
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.37
Avg(MAE) / Avg(PL) - Losing trades-0.93
Hold-and-Hope Ratio-0.46

RATIO STATISTICS

Mean0.67
SD0.18
Sharpe ratio (Glass type estimate)3.74
Sharpe ratio (Hedges UMVUE)2.71
df3
t2.16
p0.06
Lowerbound of 95% confidence interval for Sharpe Ratio-0.84
Upperbound of 95% confidence interval for Sharpe Ratio8.02
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.32
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.73
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0.67
Downside part of mean0
Upside SD0.25
Downside SD0
N nonnegative terms4
N negative terms0
N of observations4
Mean of predictor0.21
Mean of criterion0.67
SD of predictor0.04
SD of criterion0.18
Covariance-0.00
r-0.31
b (slope, estimate of beta)-1.50
a (intercept, estimate of alpha)0.98
Mean Square Error0.04
DF error2
t(b)-0.46
p(b)0.65
t(a)1.25
p(a)0.17
Lowerbound of 95% confidence interval for beta-15.65
Upperbound of 95% confidence interval for beta12.66
Lowerbound of 95% confidence interval for alpha-2.39
Upperbound of 95% confidence interval for alpha4.36
Treynor index (mean / b)-0.44
Jensen alpha (a)0.98
Mean0.64
SD0.17
Sharpe ratio (Glass type estimate)3.85
Sharpe ratio (Hedges UMVUE)2.79
df3
t2.23
p0.06
Lowerbound of 95% confidence interval for Sharpe Ratio-0.78
Upperbound of 95% confidence interval for Sharpe Ratio8.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.27
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.85
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0.64
Downside part of mean0
Upside SD0.23
Downside SD0
N nonnegative terms4
N negative terms0
N of observations4
Mean of predictor0.21
Mean of criterion0.64
SD of predictor0.04
SD of criterion0.17
Covariance-0.00
r-0.30
b (slope, estimate of beta)-1.41
a (intercept, estimate of alpha)0.93
Mean Square Error0.04
DF error2
t(b)-0.45
p(b)0.65
t(a)1.27
p(a)0.17
Lowerbound of 95% confidence interval for beta-14.83
Upperbound of 95% confidence interval for beta12.02
Lowerbound of 95% confidence interval for alpha-2.22
Upperbound of 95% confidence interval for alpha4.08
Treynor index (mean / b)-0.45
Jensen alpha (a)0.93
VaR(95%)0.03
Expected Shortfall on VaR0.04
VaR(95%)0
Expected Shortfall on VaR0
Mean0.63
SD0.81
Sharpe ratio (Glass type estimate)0.77
Sharpe ratio (Hedges UMVUE)0.77
df97
t0.47
p0.32
Lowerbound of 95% confidence interval for Sharpe Ratio-2.44
Upperbound of 95% confidence interval for Sharpe Ratio3.98
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.44
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.97
Sortino ratio1.12
Upside Potential Ratio7.00
Upside part of mean3.90
Downside part of mean-3.27
Upside SD0.58
Downside SD0.56
N nonnegative terms58
N negative terms40
N of observations98
Mean of predictor0.16
Mean of criterion0.63
SD of predictor0.11
SD of criterion0.81
Covariance0.02
r0.24
b (slope, estimate of beta)1.81
a (intercept, estimate of alpha)97783.15
Mean Square Error0.63
DF error96
t(b)2.42
p(b)0.01
t(a)0.25
p(a)0.40
Lowerbound of 95% confidence interval for beta0.32
Upperbound of 95% confidence interval for beta3.30
Lowerbound of 95% confidence interval for alpha-2.25
Upperbound of 95% confidence interval for alpha2.91
Treynor index (mean / b)0.34
Jensen alpha (a)0.33
Mean0.30
SD0.82
Sharpe ratio (Glass type estimate)0.36
Sharpe ratio (Hedges UMVUE)0.36
df97
t0.22
p0.41
Lowerbound of 95% confidence interval for Sharpe Ratio-2.84
Upperbound of 95% confidence interval for Sharpe Ratio3.57
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.84
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.57
Sortino ratio0.49
Upside Potential Ratio6.20
Upside part of mean3.74
Downside part of mean-3.45
Upside SD0.54
Downside SD0.60
N nonnegative terms58
N negative terms40
N of observations98
Mean of predictor0.16
Mean of criterion0.30
SD of predictor0.11
SD of criterion0.82
Covariance0.02
r0.23
b (slope, estimate of beta)1.78
a (intercept, estimate of alpha)0.02
Mean Square Error0.64
DF error96
t(b)2.36
p(b)0.01
t(a)0.01
p(a)0.49
Lowerbound of 95% confidence interval for beta0.28
Upperbound of 95% confidence interval for beta3.28
Lowerbound of 95% confidence interval for alpha-2.58
Upperbound of 95% confidence interval for alpha2.62
Treynor index (mean / b)0.17
Jensen alpha (a)0.02
VaR(95%)0.08
Expected Shortfall on VaR0.10
VaR(95%)0.02
Expected Shortfall on VaR0.05
VAR (95 Confidence Intrvl)0.93

ORDER STATISTICS

Number of observations4
Minimum1.02
Quartile 11.03
Median1.04
Quartile 31.07
Maximum1.13
Mean of quarter 11.02
Mean of quarter 21.04
Mean of quarter 31.04
Mean of quarter 41.13
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.25
Mean of outliers high1.13
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations98
Minimum0.80
Quartile 10.99
Median1.00
Quartile 31.01
Maximum1.24
Mean of quarter 10.95
Mean of quarter 21.00
Mean of quarter 31.01
Mean of quarter 41.05
Inter Quartile Range0.03
Number outliers low8
Percentage of outliers low0.08
Mean of outliers low0.90
Number of outliers high5
Percentage of outliers high0.05
Mean of outliers high1.13
Extreme Value Index (moments method)0.74
VaR(95%) (moments method)0.05
Expected Shortfall (moments method)0.19
Extreme Value Index (regression method)0.76
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.11

DRAW DOWN STATISTICS

Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations11
Minimum0.01
Quartile 10.02
Median0.05
Quartile 30.10
Maximum0.46
Mean of quarter 10.01
Mean of quarter 20.04
Mean of quarter 30.07
Mean of quarter 40.23
Inter Quartile Range0.08
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.09
Mean of outliers high0.46
Extreme Value Index (moments method)0.43
VaR(95%) (moments method)0.26
Expected Shortfall (moments method)0.53
Extreme Value Index (regression method)2.62
VaR(95%) (regression method)0.58
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-324553696
Max Equity Drawdown (num days)4
Last 4 Months - Pcnt Negative0.8%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.74
Compounded annual return (geometric extrapolation)0.94
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal21.38
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.35
Compounded annual return (geometric extrapolation)0.39
Calmar ratio (compounded annual return / max draw down)0.83
Compounded annual return / average of 25% largest draw downs1.65
Compounded annual return / Expected Shortfall lognormal3.94

Trading record

SymbolSideQtyOpenedClosedP/L
GBP/USD long19510Aug 4, 2021Aug 21, 2025($101,631)
AUD/USD long19290Jul 5, 2021Aug 21, 2025$7,934
EUR/USD long500Aug 10, 2021Aug 11, 2021$580
GBP/USD short700Aug 2, 2021Aug 4, 2021($796)
GBP/USD long50Aug 2, 2021Aug 2, 2021$119
GBP/USD short240Aug 2, 2021Aug 2, 2021$338
GBP/USD short250Aug 2, 2021Aug 2, 2021$744
GBP/USD long300Aug 1, 2021Aug 2, 2021$462
GBP/USD short150Jul 29, 2021Aug 1, 2021$1,050
GBP/USD long150Jul 28, 2021Jul 28, 2021$371
GBP/USD long340Jul 28, 2021Jul 28, 2021$508
GBP/USD long590Jul 28, 2021Jul 28, 2021$839
GBP/USD long150Jul 28, 2021Jul 28, 2021$358
GBP/USD long50Jul 28, 2021Jul 28, 2021$77
GBP/USD long1000Jul 23, 2021Jul 26, 2021$3,742
GBP/USD long850Jul 15, 2021Jul 19, 2021($6,160)
GBP/USD long760Jul 14, 2021Jul 15, 2021$2,413
GBP/USD long1860Jul 12, 2021Jul 14, 2021$3,003
GBP/USD long1250Jul 9, 2021Jul 9, 2021$3,243
EUR/USD long5150Jun 28, 2021Jul 5, 2021$4,763
USD/CHF short500Jun 28, 2021Jul 2, 2021($778)
AUD/USD long400Jul 2, 2021Jul 2, 2021$720
EUR/USD long10Jun 27, 2021Jun 28, 2021$4
AUD/USD long10Jun 25, 2021Jun 25, 2021($1)
USD/CAD long20Jun 25, 2021Jun 25, 2021($1)
USD/JPY long10Jun 25, 2021Jun 25, 2021($0)
USD/CHF long10Jun 25, 2021Jun 25, 2021($1)
USD/CHF long10Jun 25, 2021Jun 25, 2021($0)
USD/CHF long10Jun 25, 2021Jun 25, 2021($1)
USD/JPY long10Jun 25, 2021Jun 25, 2021($0)

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.