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

FX5-2 Trading System
(138321654)

Created by: GlobalTradingSystem GlobalTradingSystem
Started: 11/2021
Forex
Last trade: 237 days ago
Trading style: Futures Trend-following

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 $68.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-7.4%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(40.1%)
Max Drawdown
47
Num Trades
66.0%
Win Trades
0.8 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                      (3.9%)(7.9%)(11.5%)
2022+23.6%(11.5%)(30.5%)+3.7%+17.6%+6.8%+8.9%                              

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/26/21 6:43 EUR/JPY EUR/JPY SHORT 13 128.586 12/17 0:14 128.327 0.19%
Trade id #138349056
Max drawdown($463)
Time12/16/21 0:00
Quant open5
Worst price129.637
Drawdown as % of equity-0.19%
$297
12/7/21 6:00 NZD/CAD NZD/CAD SHORT 11 0.85933 12/16 2:00 0.86954 0.42%
Trade id #138486463
Max drawdown($1,041)
Time12/15/21 0:00
Quant open11
Worst price0.87143
Drawdown as % of equity-0.42%
($875)
12/7/21 5:32 AUD/CAD AUD/CAD SHORT 10 0.90032 12/10 13:33 0.91226 0.39%
Trade id #138486273
Max drawdown($955)
Time12/10/21 13:02
Quant open10
Worst price0.91248
Drawdown as % of equity-0.39%
($939)
12/1/21 22:40 GBP/CHF GBP/CHF SHORT 7 1.22260 12/10 1:47 1.22297 0.2%
Trade id #138423750
Max drawdown($490)
Time12/7/21 0:00
Quant open7
Worst price1.22907
Drawdown as % of equity-0.20%
($28)
11/24/21 17:00 GBP/CAD GBP/CAD SHORT 10 1.68621 12/10 1:47 1.68148 0.81%
Trade id #138336229
Max drawdown($1,980)
Time11/30/21 0:00
Quant open10
Worst price1.71134
Drawdown as % of equity-0.81%
$372
12/1/21 22:40 GBP/NZD GBP/NZD LONG 4 1.95078 12/7 0:49 1.96362 0.05%
Trade id #138423746
Max drawdown($119)
Time12/2/21 0:00
Quant open4
Worst price1.94637
Drawdown as % of equity-0.05%
$348
11/29/21 0:13 AUD/JPY AUD/JPY SHORT 6 81.088 12/7 0:49 80.487 0.09%
Trade id #138370374
Max drawdown($205)
Time12/1/21 0:00
Quant open6
Worst price81.478
Drawdown as % of equity-0.09%
$317
11/29/21 0:13 NZD/JPY NZD/JPY SHORT 7 77.569 12/7 0:49 76.912 0.09%
Trade id #138370372
Max drawdown($216)
Time12/1/21 0:00
Quant open7
Worst price77.920
Drawdown as % of equity-0.09%
$405
11/26/21 6:43 NZD/CAD NZD/CAD SHORT 12 0.87078 12/7 0:49 0.86164 0.19%
Trade id #138349052
Max drawdown($460)
Time12/2/21 0:00
Quant open12
Worst price0.87564
Drawdown as % of equity-0.19%
$861
11/25/21 21:23 GBP/USD GBP/USD SHORT 12 1.32997 12/7 0:49 1.32868 0.35%
Trade id #138345239
Max drawdown($849)
Time11/30/21 0:00
Quant open12
Worst price1.33705
Drawdown as % of equity-0.35%
$155
12/1/21 22:40 NZD/CHF NZD/CHF SHORT 11 0.62674 12/7 0:49 0.62566 0.09%
Trade id #138423754
Max drawdown($227)
Time12/2/21 0:00
Quant open11
Worst price0.62866
Drawdown as % of equity-0.09%
$128
11/29/21 0:13 GBP/AUD GBP/AUD LONG 5 1.86768 12/7 0:49 1.87636 0.15%
Trade id #138370370
Max drawdown($360)
Time12/1/21 0:00
Quant open5
Worst price1.85752
Drawdown as % of equity-0.15%
$307
11/25/21 21:40 AUD/CAD AUD/CAD SHORT 18 0.90721 12/7 0:49 0.90169 0.47%
Trade id #138345410
Max drawdown($1,142)
Time11/30/21 0:00
Quant open18
Worst price0.91526
Drawdown as % of equity-0.47%
$780
11/25/21 21:30 NZD/USD NZD/USD SHORT 13 0.68315 12/7 0:49 0.67664 0.2%
Trade id #138345279
Max drawdown($469)
Time12/1/21 0:00
Quant open13
Worst price0.68676
Drawdown as % of equity-0.20%
$846
11/25/21 21:24 AUD/USD AUD/USD SHORT 17 0.71481 12/7 0:49 0.70809 0.29%
Trade id #138345248
Max drawdown($712)
Time11/26/21 0:00
Quant open17
Worst price0.71900
Drawdown as % of equity-0.29%
$1,142
11/24/21 3:56 EUR/GBP EUR/GBP SHORT 25 0.83934 12/1 22:40 0.85215 1.99%
Trade id #138323337
Max drawdown($4,828)
Time11/30/21 0:00
Quant open25
Worst price0.85384
Drawdown as % of equity-1.99%
($4,258)
11/26/21 6:43 GBP/JPY GBP/JPY SHORT 6 151.906 12/1 22:40 150.299 0.11%
Trade id #138349050
Max drawdown($255)
Time11/26/21 8:08
Quant open6
Worst price152.386
Drawdown as % of equity-0.11%
$853
11/24/21 8:20 USD/CAD USD/CAD LONG 14 1.27065 12/1 1:21 1.27297 0.29%
Trade id #138324980
Max drawdown($725)
Time11/25/21 0:00
Quant open14
Worst price1.26405
Drawdown as % of equity-0.29%
$255
11/24/21 13:00 EUR/CHF EUR/CHF SHORT 19 1.04694 12/1 1:19 1.04317 0.2%
Trade id #138331683
Max drawdown($502)
Time11/25/21 0:00
Quant open19
Worst price1.04937
Drawdown as % of equity-0.20%
$778
11/26/21 6:43 GBP/CHF GBP/CHF SHORT 10 1.23403 12/1 1:18 1.22636 0.13%
Trade id #138349054
Max drawdown($305)
Time11/29/21 0:00
Quant open10
Worst price1.23684
Drawdown as % of equity-0.13%
$833
11/26/21 6:43 CAD/CHF CAD/CHF SHORT 11 0.72528 12/1 1:18 0.72307 0.14%
Trade id #138349045
Max drawdown($349)
Time11/29/21 0:00
Quant open11
Worst price0.72820
Drawdown as % of equity-0.14%
$264
11/25/21 21:11 AUD/CHF AUD/CHF SHORT 21 0.66807 12/1 1:15 0.66017 0.43%
Trade id #138345172
Max drawdown($1,073)
Time11/26/21 0:00
Quant open21
Worst price0.67277
Drawdown as % of equity-0.43%
$1,802
11/25/21 21:30 NZD/CHF NZD/CHF SHORT 13 0.63810 12/1 1:14 0.63147 0.19%
Trade id #138345281
Max drawdown($482)
Time11/26/21 0:00
Quant open13
Worst price0.64151
Drawdown as % of equity-0.19%
$936
11/24/21 5:57 USD/CHF USD/CHF LONG 15 0.93609 11/28 17:15 0.92424 0.96%
Trade id #138324079
Max drawdown($2,381)
Time11/26/21 0:00
Quant open15
Worst price0.92141
Drawdown as % of equity-0.96%
($1,927)
11/24/21 5:00 EUR/AUD EUR/AUD SHORT 10 1.55289 11/28 17:15 1.58715 1.1%
Trade id #138323698
Max drawdown($2,724)
Time11/26/21 0:00
Quant open10
Worst price1.59105
Drawdown as % of equity-1.10%
($2,439)
11/25/21 21:11 GBP/JPY GBP/JPY LONG 10 152.877 11/26 6:43 151.905 0.64%
Trade id #138345166
Max drawdown($1,576)
Time11/26/21 3:24
Quant open10
Worst price151.082
Drawdown as % of equity-0.64%
($853)
11/24/21 17:15 CAD/JPY CAD/JPY LONG 13 91.234 11/26 6:43 89.281 1.01%
Trade id #138336313
Max drawdown($2,501)
Time11/26/21 3:35
Quant open13
Worst price89.043
Drawdown as % of equity-1.01%
($2,228)
11/24/21 17:05 CAD/CHF CAD/CHF LONG 19 0.73908 11/26 6:43 0.72528 1.21%
Trade id #138336271
Max drawdown($3,002)
Time11/26/21 6:33
Quant open19
Worst price0.72446
Drawdown as % of equity-1.21%
($2,832)
11/24/21 3:59 USD/JPY USD/JPY LONG 13 115.083 11/26 6:43 113.936 0.66%
Trade id #138323354
Max drawdown($1,637)
Time11/26/21 3:24
Quant open13
Worst price113.649
Drawdown as % of equity-0.66%
($1,309)
11/24/21 13:37 AUD/CAD AUD/CAD SHORT 18 0.91059 11/25 21:24 0.90752 0.08%
Trade id #138332329
Max drawdown($207)
Time11/24/21 19:24
Quant open18
Worst price0.91206
Drawdown as % of equity-0.08%
$435

Statistics

  • Strategy began
    11/23/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    256.09
  • Age
    9 months ago
  • What it trades
    Forex
  • # Trades
    47
  • # Profitable
    31
  • % Profitable
    66.00%
  • Avg trade duration
    55.4 days
  • Max peak-to-valley drawdown
    40.06%
  • drawdown period
    Feb 01, 2022 - March 23, 2022
  • Cumul. Return
    -7.4%
  • Avg win
    $2,972
  • Avg loss
    $6,904
  • Model Account Values (Raw)
  • Cash
    $247,725
  • Margin Used
    $73,412
  • Buying Power
    $158,259
  • Ratios
  • W:L ratio
    0.83:1
  • Sharpe Ratio
    0.09
  • Sortino Ratio
    0.14
  • Calmar Ratio
    -0.509
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4.26%
  • Correlation to SP500
    -0.59220
  • Return Percent SP500 (cumu) during strategy life
    -8.75%
  • Return Statistics
  • Ann Return (w trading costs)
    -10.2%
  • Slump
  • Current Slump as Pcnt Equity
    14.50%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.074%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Short Options - Percent Covered
    100.00%
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -6.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $2,972
  • Avg Loss
    $6,905
  • Sum Trade PL (losers)
    $110,475.000
  • # Winners
    31
  • Num Months Winners
    5
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $92,144.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    66.0%
  • Frequency
  • Avg Position Time (mins)
    79810.00
  • Avg Position Time (hrs)
    1330.17
  • Avg Trade Length
    55.4 days
  • Last Trade Ago
    230
  • Leverage
  • Daily leverage (average)
    5.57
  • Daily leverage (max)
    11.10
  • Regression
  • Alpha
    -0.06
  • Beta
    -1.53
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.17
  • Avg(MAE) / Avg(PL) - All trades
    -6.214
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.309
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.335
  • Hold-and-Hope Ratio
    -0.284
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.66600
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.09900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -328101000
  • Max Equity Drawdown (num days)
    50
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Summary Statistics

Strategy began
2021-11-23
Suggested Minimum Capital
$100,000
# Trades
47
# Profitable
31
% Profitable
66.0%
Correlation S&P500
-0.592
Sharpe Ratio
0.09
Sortino Ratio
0.14
Beta
-1.53
Alpha
-0.06
Leverage
5.57 Average
11.10 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.