Collective2 Collective2
Featured Strategy MT3 Algotrading +76.1% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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LordOfMoney
(138518745)

Created by: LordBeri LordBeri
Started: 12/2021
Forex
Last trade: 620 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 $115.00 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.
3.0%
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.

(30.7%)
Max Drawdown
284
Num Trades
51.1%
Win Trades
1.2 : 1
Profit Factor
18.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             (8.6%)(8.6%)
2022+19.1%(0.8%)+4.0%(2.1%)(1.6%)+5.8%(3.3%)(1.6%)(1.4%)+0.1%(1.7%)+2.0%+18.0%
2023+2.4%+0.5%  -  (1.4%)  -    -    -    -    -    -    -    -  +1.6%
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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/20/23 3:23 GBP/JPY GBP/JPY SHORT 5 167.159 4/20 4:21 167.467 0.44%
Trade id #144369466
Max drawdown($120)
Time4/20/23 4:21
Quant open5
Worst price167.483
Drawdown as % of equity-0.44%
 ($114)
4/17/23 8:46 GBP/JPY GBP/JPY LONG 5 166.510 4/17 10:03 166.210 0.42%
Trade id #144321704
Max drawdown($115)
Time4/17/23 10:03
Quant open5
Worst price166.200
Drawdown as % of equity-0.42%
 ($112)
3/20/23 2:21 GBP/JPY GBP/JPY SHORT 5 160.417 3/20 2:30 160.062 n/a $135
3/19/23 18:36 GBP/JPY GBP/JPY LONG 5 161.026 3/19 18:40 161.089 n/a $24
3/15/23 14:36 GBP/JPY GBP/JPY LONG 5 161.099 3/15 14:37 161.147 n/a $18
3/15/23 10:00 GBP/JPY GBP/JPY SHORT 6 159.887 3/15 12:10 159.613 1.34%
Trade id #143910774
Max drawdown($367)
Time3/15/23 10:18
Quant open6
Worst price160.701
Drawdown as % of equity-1.34%
 $124
3/15/23 9:21 GBP/JPY GBP/JPY SHORT 5 160.085 3/15 9:32 160.352 0.39%
Trade id #143909180
Max drawdown($107)
Time3/15/23 9:32
Quant open5
Worst price160.371
Drawdown as % of equity-0.39%
 ($101)
3/12/23 19:25 GBP/JPY GBP/JPY LONG 5 162.706 3/12 20:40 162.405 0.46%
Trade id #143862803
Max drawdown($127)
Time3/12/23 20:40
Quant open5
Worst price162.363
Drawdown as % of equity-0.46%
 ($112)
3/8/23 1:12 GBP/JPY GBP/JPY LONG 5 162.828 3/10 0:05 162.957 1.66%
Trade id #143810319
Max drawdown($450)
Time3/9/23 0:00
Quant open5
Worst price161.609
Drawdown as % of equity-1.66%
 $47
2/15/23 9:22 GBP/JPY GBP/JPY SHORT 4 160.878 2/15 9:24 160.841 n/a $11
2/10/23 2:46 GBP/JPY GBP/JPY SHORT 10 158.176 2/10 3:02 157.826 0.46%
Trade id #143534368
Max drawdown($126)
Time2/10/23 2:52
Quant open10
Worst price158.342
Drawdown as % of equity-0.46%
 $269
2/8/23 19:53 GBP/JPY GBP/JPY LONG 5 158.745 2/8 21:10 158.782 0.17%
Trade id #143518030
Max drawdown($45)
Time2/8/23 20:01
Quant open5
Worst price158.626
Drawdown as % of equity-0.17%
 $14
1/26/23 19:28 AUD/JPY AUD/JPY LONG 3 92.521 1/27 4:57 92.294 0.31%
Trade id #143358095
Max drawdown($84)
Time1/27/23 3:20
Quant open3
Worst price92.156
Drawdown as % of equity-0.31%
 ($52)
1/25/23 21:14 AUD/JPY AUD/JPY LONG 3 91.874 1/26 8:45 92.517 0.03%
Trade id #143344581
Max drawdown($7)
Time1/25/23 23:22
Quant open3
Worst price91.842
Drawdown as % of equity-0.03%
 $148
1/25/23 4:18 AUD/JPY AUD/JPY SHORT 3 92.271 1/25 7:43 91.683 0.03%
Trade id #143328938
Max drawdown($7)
Time1/25/23 4:23
Quant open3
Worst price92.302
Drawdown as % of equity-0.03%
 $136
1/22/23 18:18 AUD/JPY AUD/JPY LONG 3 90.353 1/23 14:45 91.723 0.16%
Trade id #143294673
Max drawdown($42)
Time1/22/23 21:45
Quant open3
Worst price90.168
Drawdown as % of equity-0.16%
 $315
1/19/23 9:43 AUD/JPY AUD/JPY LONG 3 88.686 1/20 9:53 90.267 0.21%
Trade id #143267157
Max drawdown($56)
Time1/19/23 10:56
Quant open3
Worst price88.444
Drawdown as % of equity-0.21%
 $364
1/19/23 1:11 AUD/JPY AUD/JPY SHORT 3 88.293 1/19 9:43 88.681 0.42%
Trade id #143261985
Max drawdown($112)
Time1/19/23 9:30
Quant open3
Worst price88.776
Drawdown as % of equity-0.42%
 ($91)
1/18/23 18:29 AUD/JPY AUD/JPY LONG 3 89.267 1/19 1:11 88.298 1.01%
Trade id #143260104
Max drawdown($268)
Time1/19/23 0:40
Quant open3
Worst price88.117
Drawdown as % of equity-1.01%
 ($227)
1/16/23 15:56 AUD/JPY AUD/JPY LONG 3 89.373 1/17 10:40 89.719 0.13%
Trade id #143229368
Max drawdown($35)
Time1/16/23 18:14
Quant open3
Worst price89.220
Drawdown as % of equity-0.13%
 $81
1/13/23 5:55 AUD/JPY AUD/JPY SHORT 3 89.590 1/13 9:13 88.821 0.04%
Trade id #143206604
Max drawdown($10)
Time1/13/23 5:58
Quant open3
Worst price89.634
Drawdown as % of equity-0.04%
 $181
1/12/23 18:17 AUD/JPY AUD/JPY LONG 3 90.074 1/13 5:54 89.580 0.59%
Trade id #143202078
Max drawdown($156)
Time1/13/23 2:54
Quant open3
Worst price89.401
Drawdown as % of equity-0.59%
 ($115)
1/12/23 5:23 AUD/JPY AUD/JPY SHORT 3 90.497 1/12 8:15 90.333 0.05%
Trade id #143188072
Max drawdown($12)
Time1/12/23 5:51
Quant open3
Worst price90.552
Drawdown as % of equity-0.05%
 $38
1/9/23 19:32 AUD/JPY AUD/JPY LONG 3 91.290 1/11 11:08 91.425 0.44%
Trade id #143154805
Max drawdown($115)
Time1/10/23 0:00
Quant open3
Worst price90.781
Drawdown as % of equity-0.44%
 $31
11/11/22 5:15 AUD/JPY AUD/JPY SHORT 6 92.872 12/2 3:43 91.555 3.1%
Trade id #142530939
Max drawdown($796)
Time11/16/22 0:00
Quant open6
Worst price94.653
Drawdown as % of equity-3.10%
 $591
11/11/22 2:27 AUD/JPY AUD/JPY LONG 3 93.870 11/11 5:15 92.869 0.85%
Trade id #142529979
Max drawdown($225)
Time11/11/22 5:15
Quant open3
Worst price92.821
Drawdown as % of equity-0.85%
 ($215)
11/9/22 2:14 AUD/JPY AUD/JPY LONG 3 94.707 11/9 3:46 94.737 0.12%
Trade id #142495906
Max drawdown($32)
Time11/9/22 2:58
Quant open3
Worst price94.547
Drawdown as % of equity-0.12%
 $6
10/27/22 9:18 AUD/JPY AUD/JPY LONG 3 94.585 10/27 9:29 94.631 0.04%
Trade id #142339905
Max drawdown($11)
Time10/27/22 9:23
Quant open3
Worst price94.530
Drawdown as % of equity-0.04%
 $9
10/26/22 10:00 AUD/JPY AUD/JPY SHORT 3 94.905 10/26 10:02 94.896 n/a $2
10/26/22 9:58 AUD/JPY AUD/JPY SHORT 3 95.049 10/26 9:58 95.039 n/a $2
Next

Statistics

  • Strategy began
    12/8/2021
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1114.68
  • Age
    37 months ago
  • What it trades
    Forex
  • # Trades
    284
  • # Profitable
    145
  • % Profitable
    51.10%
  • Avg trade duration
    15.4 hours
  • Max peak-to-valley drawdown
    30.72%
  • drawdown period
    Dec 14, 2021 - Dec 23, 2021
  • Annual Return (Compounded)
    3.0%
  • Avg win
    $207.82
  • Avg loss
    $180.71
  • Model Account Values (Raw)
  • Cash
    $30,005
  • Margin Used
    $0
  • Buying Power
    $30,005
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.13
  • Sortino Ratio
    0.18
  • Calmar Ratio
    0.637
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -17.66%
  • Correlation to SP500
    -0.04190
  • Return Percent SP500 (cumu) during strategy life
    25.65%
  • Return Statistics
  • Ann Return (w trading costs)
    3.0%
  • Slump
  • Current Slump as Pcnt Equity
    4.80%
  • Instruments
  • Percent Trades Futures
    0.15%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • 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)
    0.030%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.07%
  • Percent Trades Forex
    0.78%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    61.50%
  • Chance of 20% account loss
    27.50%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $181
  • Avg Win
    $208
  • Sum Trade PL (losers)
    $25,119.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $30,134.000
  • # Winners
    145
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    139
  • % Winners
    51.1%
  • Frequency
  • Avg Position Time (mins)
    922.60
  • Avg Position Time (hrs)
    15.38
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    618
  • Leverage
  • Daily leverage (average)
    2.33
  • Daily leverage (max)
    37.81
  • Regression
  • Alpha
    0.01
  • Beta
    -0.03
  • Treynor Index
    -0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.08
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.903
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.316
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.860
  • Hold-and-Hope Ratio
    0.127
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13111
  • SD
    0.26220
  • Sharpe ratio (Glass type estimate)
    0.50002
  • Sharpe ratio (Hedges UMVUE)
    0.47614
  • df
    16.00000
  • t
    0.59514
  • p
    0.42642
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17880
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13108
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13160
  • Upside Potential Ratio
    2.52634
  • Upside part of mean
    0.29270
  • Downside part of mean
    -0.16159
  • Upside SD
    0.22960
  • Downside SD
    0.11586
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.19579
  • Mean of criterion
    0.13111
  • SD of predictor
    0.32893
  • SD of criterion
    0.26220
  • Covariance
    -0.00573
  • r
    -0.06646
  • b (slope, estimate of beta)
    -0.05298
  • a (intercept, estimate of alpha)
    0.14148
  • Mean Square Error
    0.07301
  • DF error
    15.00000
  • t(b)
    -0.25797
  • p(b)
    0.54228
  • t(a)
    0.61366
  • p(a)
    0.40078
  • Lowerbound of 95% confidence interval for beta
    -0.49070
  • Upperbound of 95% confidence interval for beta
    0.38474
  • Lowerbound of 95% confidence interval for alpha
    -0.34992
  • Upperbound of 95% confidence interval for alpha
    0.63288
  • Treynor index (mean / b)
    -2.47470
  • Jensen alpha (a)
    0.14148
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10091
  • SD
    0.24467
  • Sharpe ratio (Glass type estimate)
    0.41242
  • Sharpe ratio (Hedges UMVUE)
    0.39273
  • df
    16.00000
  • t
    0.49088
  • p
    0.43910
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24671
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04504
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82246
  • Upside Potential Ratio
    2.19543
  • Upside part of mean
    0.26936
  • Downside part of mean
    -0.16845
  • Upside SD
    0.20528
  • Downside SD
    0.12269
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.14683
  • Mean of criterion
    0.10091
  • SD of predictor
    0.31271
  • SD of criterion
    0.24467
  • Covariance
    -0.00351
  • r
    -0.04589
  • b (slope, estimate of beta)
    -0.03591
  • a (intercept, estimate of alpha)
    0.10618
  • Mean Square Error
    0.06372
  • DF error
    15.00000
  • t(b)
    -0.17793
  • p(b)
    0.52921
  • t(a)
    0.49584
  • p(a)
    0.41937
  • Lowerbound of 95% confidence interval for beta
    -0.46605
  • Upperbound of 95% confidence interval for beta
    0.39424
  • Lowerbound of 95% confidence interval for alpha
    -0.35026
  • Upperbound of 95% confidence interval for alpha
    0.56262
  • Treynor index (mean / b)
    -2.81023
  • Jensen alpha (a)
    0.10618
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10217
  • Expected Shortfall on VaR
    0.12798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02929
  • Expected Shortfall on VaR
    0.06254
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.87588
  • Quartile 1
    0.99249
  • Median
    1.00452
  • Quartile 3
    1.01735
  • Maximum
    1.26360
  • Mean of quarter 1
    0.95924
  • Mean of quarter 2
    0.99951
  • Mean of quarter 3
    1.01061
  • Mean of quarter 4
    1.09717
  • Inter Quartile Range
    0.02486
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.11765
  • Mean of outliers low
    0.91508
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.16755
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94351
  • VaR(95%) (moments method)
    0.04437
  • Expected Shortfall (moments method)
    0.84605
  • Extreme Value Index (regression method)
    1.99239
  • VaR(95%) (regression method)
    0.08105
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00751
  • Quartile 1
    0.02634
  • Median
    0.03917
  • Quartile 3
    0.06532
  • Maximum
    0.12412
  • Mean of quarter 1
    0.00751
  • Mean of quarter 2
    0.03262
  • Mean of quarter 3
    0.04573
  • Mean of quarter 4
    0.12412
  • Inter Quartile Range
    0.03898
  • 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
    0.12412
  • 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)
    0.14132
  • Compounded annual return (geometric extrapolation)
    0.13748
  • Calmar ratio (compounded annual return / max draw down)
    1.10764
  • Compounded annual return / average of 25% largest draw downs
    1.10764
  • Compounded annual return / Expected Shortfall lognormal
    1.07423
  • 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
    0.12444
  • SD
    0.22201
  • Sharpe ratio (Glass type estimate)
    0.56051
  • Sharpe ratio (Hedges UMVUE)
    0.55939
  • df
    373.00000
  • t
    0.66969
  • p
    0.25174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20112
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20033
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85443
  • Upside Potential Ratio
    4.66346
  • Upside part of mean
    0.67919
  • Downside part of mean
    -0.55475
  • Upside SD
    0.16735
  • Downside SD
    0.14564
  • N nonnegative terms
    98.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    374.00000
  • Mean of predictor
    0.17476
  • Mean of criterion
    0.12444
  • SD of predictor
    0.26335
  • SD of criterion
    0.22201
  • Covariance
    -0.00241
  • r
    -0.04123
  • b (slope, estimate of beta)
    -0.03476
  • a (intercept, estimate of alpha)
    0.13100
  • Mean Square Error
    0.04934
  • DF error
    372.00000
  • t(b)
    -0.79591
  • p(b)
    0.78670
  • t(a)
    0.70144
  • p(a)
    0.24173
  • Lowerbound of 95% confidence interval for beta
    -0.12063
  • Upperbound of 95% confidence interval for beta
    0.05112
  • Lowerbound of 95% confidence interval for alpha
    -0.23536
  • Upperbound of 95% confidence interval for alpha
    0.49639
  • Treynor index (mean / b)
    -3.58009
  • Jensen alpha (a)
    0.13051
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09993
  • SD
    0.22145
  • Sharpe ratio (Glass type estimate)
    0.45127
  • Sharpe ratio (Hedges UMVUE)
    0.45036
  • df
    373.00000
  • t
    0.53916
  • p
    0.29505
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18976
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09113
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65894
  • Upside Potential Ratio
    4.39032
  • Upside part of mean
    0.66582
  • Downside part of mean
    -0.56588
  • Upside SD
    0.16108
  • Downside SD
    0.15166
  • N nonnegative terms
    98.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    374.00000
  • Mean of predictor
    0.14018
  • Mean of criterion
    0.09993
  • SD of predictor
    0.26300
  • SD of criterion
    0.22145
  • Covariance
    -0.00237
  • r
    -0.04068
  • b (slope, estimate of beta)
    -0.03425
  • a (intercept, estimate of alpha)
    0.10473
  • Mean Square Error
    0.04909
  • DF error
    372.00000
  • t(b)
    -0.78528
  • p(b)
    0.78360
  • t(a)
    0.56447
  • p(a)
    0.28639
  • Lowerbound of 95% confidence interval for beta
    -0.12003
  • Upperbound of 95% confidence interval for beta
    0.05152
  • Lowerbound of 95% confidence interval for alpha
    -0.26011
  • Upperbound of 95% confidence interval for alpha
    0.46958
  • Treynor index (mean / b)
    -2.91739
  • Jensen alpha (a)
    0.10473
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02188
  • Expected Shortfall on VaR
    0.02744
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00607
  • Expected Shortfall on VaR
    0.01359
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    374.00000
  • Minimum
    0.88728
  • Quartile 1
    0.99897
  • Median
    1.00000
  • Quartile 3
    1.00020
  • Maximum
    1.13093
  • Mean of quarter 1
    0.99199
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.01042
  • Inter Quartile Range
    0.00122
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.12299
  • Mean of outliers low
    0.98542
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.17380
  • Mean of outliers high
    1.01468
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.04729
  • VaR(95%) (moments method)
    0.00659
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.93528
  • VaR(95%) (regression method)
    0.00505
  • Expected Shortfall (regression method)
    0.07952
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00372
  • Median
    0.00668
  • Quartile 3
    0.02886
  • Maximum
    0.21409
  • Mean of quarter 1
    0.00149
  • Mean of quarter 2
    0.00562
  • Mean of quarter 3
    0.01630
  • Mean of quarter 4
    0.12014
  • Inter Quartile Range
    0.02515
  • 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
    0.15385
  • Mean of outliers high
    0.14865
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.22114
  • VaR(95%) (moments method)
    0.08576
  • Expected Shortfall (moments method)
    0.09147
  • Extreme Value Index (regression method)
    0.38001
  • VaR(95%) (regression method)
    0.17805
  • Expected Shortfall (regression method)
    0.36685
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14025
  • Compounded annual return (geometric extrapolation)
    0.13637
  • Calmar ratio (compounded annual return / max draw down)
    0.63697
  • Compounded annual return / average of 25% largest draw downs
    1.13512
  • Compounded annual return / Expected Shortfall lognormal
    4.96935
  • 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
    0.04107
  • SD
    0.03153
  • Sharpe ratio (Glass type estimate)
    1.30254
  • Sharpe ratio (Hedges UMVUE)
    1.29501
  • df
    130.00000
  • t
    0.92104
  • p
    0.45974
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07128
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73207
  • Upside Potential Ratio
    8.06807
  • Upside part of mean
    0.12129
  • Downside part of mean
    -0.08022
  • Upside SD
    0.02770
  • Downside SD
    0.01503
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.90867
  • Mean of criterion
    0.04107
  • SD of predictor
    0.28816
  • SD of criterion
    0.03153
  • Covariance
    0.00050
  • r
    0.05461
  • b (slope, estimate of beta)
    0.00598
  • a (intercept, estimate of alpha)
    0.03564
  • Mean Square Error
    0.00100
  • DF error
    129.00000
  • t(b)
    0.62112
  • p(b)
    0.46525
  • t(a)
    0.78257
  • p(a)
    0.45627
  • Lowerbound of 95% confidence interval for beta
    -0.01306
  • Upperbound of 95% confidence interval for beta
    0.02501
  • Lowerbound of 95% confidence interval for alpha
    -0.05447
  • Upperbound of 95% confidence interval for alpha
    0.12576
  • Treynor index (mean / b)
    6.87383
  • Jensen alpha (a)
    0.03564
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04057
  • SD
    0.03146
  • Sharpe ratio (Glass type estimate)
    1.28971
  • Sharpe ratio (Hedges UMVUE)
    1.28226
  • df
    130.00000
  • t
    0.91196
  • p
    0.46014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48894
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.05844
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.69268
  • Upside Potential Ratio
    8.02341
  • Upside part of mean
    0.12090
  • Downside part of mean
    -0.08033
  • Upside SD
    0.02759
  • Downside SD
    0.01507
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.86627
  • Mean of criterion
    0.04057
  • SD of predictor
    0.28625
  • SD of criterion
    0.03146
  • Covariance
    0.00050
  • r
    0.05571
  • b (slope, estimate of beta)
    0.00612
  • a (intercept, estimate of alpha)
    0.03527
  • Mean Square Error
    0.00099
  • DF error
    129.00000
  • t(b)
    0.63377
  • p(b)
    0.46455
  • t(a)
    0.77734
  • p(a)
    0.45656
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    -0.01299
  • Upperbound of 95% confidence interval for beta
    0.02524
  • Lowerbound of 95% confidence interval for alpha
    -0.05450
  • Upperbound of 95% confidence interval for alpha
    0.12504
  • Treynor index (mean / b)
    6.62637
  • Jensen alpha (a)
    0.03527
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00304
  • Expected Shortfall on VaR
    0.00385
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00097
  • Expected Shortfall on VaR
    0.00204
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99387
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00935
  • Mean of quarter 1
    0.99915
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00190
  • Inter Quartile Range
    0.00000
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.99812
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.00330
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.40141
  • VaR(95%) (moments method)
    0.00106
  • Expected Shortfall (moments method)
    0.00147
  • Extreme Value Index (regression method)
    -0.31423
  • VaR(95%) (regression method)
    0.00137
  • Expected Shortfall (regression method)
    0.00258
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00041
  • Median
    0.00272
  • Quartile 3
    0.00689
  • Maximum
    0.00780
  • Mean of quarter 1
    0.00011
  • Mean of quarter 2
    0.00111
  • Mean of quarter 3
    0.00520
  • Mean of quarter 4
    0.00765
  • Inter Quartile Range
    0.00647
  • 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?
    -473455000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06967
  • Compounded annual return (geometric extrapolation)
    0.07088
  • Calmar ratio (compounded annual return / max draw down)
    9.09024
  • Compounded annual return / average of 25% largest draw downs
    9.26178
  • Compounded annual return / Expected Shortfall lognormal
    18.42700

Strategy Description

The strategy begins every day at 00:30 GMT+2 and all positions are closing before the end of the trading day.Mainly traded instruments are AUDJPY and S&P500 mini.This strategy designed to works in different account sizes in a long term. Although that is a fresh publish strategy on this site , its a strategy that worked very good in the previous years and continuing working .The result of this is to give an extra and GENEROUS monthly income to small -medium and large account holders. in a mid to short term period with decipline way of risk management their financial FREEDOM .

Important Notes :
1,For account holders from 30K to 50K and above recommended pip value is one pip =1$ for AUDJPY and for S&P500 mini 1 pip =0.20 $
2.For account holders from 15K till 30K recommended pip value is one pip =0.80$ for AUDJPY and for S&P500 mini 1pip= 0.10$
3.For account holders from 5K till 15K recommended pip value is one pip =0.3$ for AUDJPY and for S%P500 mini 1pip=0.04

Additionally:
Every time that we achieve a target of 15% profit we are increasing our trading size by 5%
Have a happy and profitable trade!!
Fellow traders- subscribers:
Do not hesitate to contact me for anything that you need during your trading journey..
mail:[email protected]
Due to High volume of emails that daily i receive , please be patience for any possible delay response
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-12-08
Suggested Minimum Capital
$25,000
# Trades
284
# Profitable
145
% Profitable
51.1%
Correlation S&P500
-0.042
Sharpe Ratio
0.13
Sortino Ratio
0.18
Beta
-0.03
Alpha
0.01
Leverage
2.33 Average
37.81 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

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