Collective2 Collective2
Featured Strategy Algotrading StocksV21/11 Followed by live capital $6,600 Hypothetical

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Sky Tower Capital
(138795838)

Created by: SkyTower SkyTower
Started: 01/2022
Forex
Last trade: 29 days ago
Trading style: Futures Momentum Currencies
Subscriptions not currently available.

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 $200.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Currencies
Category: Equity

Currencies

Focuses on currency futures.
40.4%
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.

(33.0%)
Max Drawdown
326
Num Trades
96.9%
Win Trades
8.7 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022+1.6%+3.3%+1.8%+1.0%+0.8%+1.4%+3.1%+2.3%+1.8%+3.7%+5.1%+3.5%+33.5%
2023+10.1%  -  +0.8%(20.2%)+36.2%+32.1%+6.4%(4.1%)(19.3%)(1.8%)+36.1%+6.2%+86.0%
2024+0.7%+0.5%(1.2%)(5.5%)+9.4%(3.2%)+2.6%+13.0%(1.1%)+1.7%(7.9%)      +7.5%

Model Account Details

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

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

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 392 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/11/24 9:37 EUR/USD EUR/USD SHORT 30 1.10876 10/2 15:27 1.10406 2.7%
Trade id #149355407
Max drawdown($3,795)
Time9/25/24 0:00
Quant open30
Worst price1.12141
Drawdown as % of equity-2.70%
 $1,410
8/19/24 10:40 EUR/USD EUR/USD SHORT 40 1.11019 9/3 19:29 1.10495 2.88%
Trade id #148952807
Max drawdown($3,988)
Time8/26/24 0:00
Quant open40
Worst price1.12016
Drawdown as % of equity-2.88%
 $2,096
8/13/24 21:24 EUR/USD EUR/USD SHORT 20 1.10165 8/15 12:38 1.09833 0.37%
Trade id #148910416
Max drawdown($527)
Time8/14/24 0:00
Quant open10
Worst price1.10474
Drawdown as % of equity-0.37%
 $664
1/12/24 10:26 EUR/USD EUR/USD LONG 80 1.08187 8/13 14:48 1.09962 12.12%
Trade id #146986228
Max drawdown($13,911)
Time4/16/24 0:00
Quant open60
Worst price1.06011
Drawdown as % of equity-12.12%
 $14,200
1/8/24 11:49 EUR/USD EUR/USD LONG 10 1.09740 1/11 8:30 1.09965 0.5%
Trade id #146933878
Max drawdown($639)
Time1/9/24 0:00
Quant open10
Worst price1.09101
Drawdown as % of equity-0.50%
 $225
1/4/24 18:42 EUR/USD EUR/USD LONG 10 1.09461 1/5 10:00 1.09755 0.54%
Trade id #146911870
Max drawdown($694)
Time1/5/24 0:00
Quant open10
Worst price1.08767
Drawdown as % of equity-0.54%
 $294
1/3/24 14:03 EUR/USD EUR/USD LONG 10 1.09013 1/3 14:30 1.09250 0.07%
Trade id #146891621
Max drawdown($87)
Time1/3/24 14:14
Quant open10
Worst price1.08926
Drawdown as % of equity-0.07%
 $237
12/20/23 22:57 EUR/USD EUR/USD SHORT 40 1.10056 1/3/24 5:21 1.09300 3.88%
Trade id #146768322
Max drawdown($4,704)
Time12/28/23 0:00
Quant open31
Worst price1.11393
Drawdown as % of equity-3.88%
 $3,023
8/10/23 14:47 EUR/USD EUR/USD LONG 90 1.08691 12/14 12:13 1.09991 48.35%
Trade id #145498381
Max drawdown($37,882)
Time10/3/23 0:00
Quant open90
Worst price1.04482
Drawdown as % of equity-48.35%
 $11,699
8/10/23 10:43 EUR/USD EUR/USD SHORT 10 1.10248 8/10 13:21 1.10048 n/a $200
8/10/23 10:42 EUR/USD EUR/USD SHORT 10 1.10254 8/10 10:42 1.10265 0.01%
Trade id #145494309
Max drawdown($11)
Time8/10/23 10:42
Quant open10
Worst price1.10265
Drawdown as % of equity-0.01%
 ($11)
8/7/23 22:13 EUR/USD EUR/USD LONG 20 1.09638 8/10 7:25 1.10265 0.48%
Trade id #145466324
Max drawdown($542)
Time8/8/23 0:00
Quant open10
Worst price1.09289
Drawdown as % of equity-0.48%
 $1,253
7/9/23 20:55 EUR/USD EUR/USD SHORT 40 1.11019 7/28 4:22 1.09550 6.3%
Trade id #145157423
Max drawdown($6,426)
Time7/18/23 0:00
Quant open30
Worst price1.12757
Drawdown as % of equity-6.30%
 $5,876
7/5/23 6:38 EUR/USD EUR/USD LONG 20 1.08758 7/7 8:34 1.09204 0.8%
Trade id #145116817
Max drawdown($850)
Time7/6/23 0:00
Quant open20
Worst price1.08333
Drawdown as % of equity-0.80%
 $892
7/2/23 21:21 EUR/USD EUR/USD SHORT 11 1.09057 7/4 18:01 1.08804 0.13%
Trade id #145096479
Max drawdown($138)
Time7/3/23 0:00
Quant open11
Worst price1.09183
Drawdown as % of equity-0.13%
 $279
6/29/23 10:06 EUR/USD EUR/USD LONG 6 1.08574 6/30 8:51 1.08921 0.04%
Trade id #145064341
Max drawdown($42)
Time6/30/23 4:37
Quant open1
Worst price1.08352
Drawdown as % of equity-0.04%
 $208
6/28/23 21:49 EUR/USD EUR/USD LONG 1 1.09115 6/29 6:19 1.09250 0.03%
Trade id #145060285
Max drawdown($30)
Time6/29/23 0:56
Quant open1
Worst price1.08806
Drawdown as % of equity-0.03%
 $14
6/22/23 11:27 EUR/USD EUR/USD LONG 20 1.09105 6/27 7:30 1.09460 1.07%
Trade id #144998762
Max drawdown($1,134)
Time6/23/23 0:00
Quant open10
Worst price1.08441
Drawdown as % of equity-1.07%
 $711
6/21/23 17:28 EUR/USD EUR/USD SHORT 20 1.09896 6/22 9:00 1.09817 0.29%
Trade id #144993332
Max drawdown($310)
Time6/22/23 7:00
Quant open10
Worst price1.10122
Drawdown as % of equity-0.29%
 $159
6/21/23 16:13 EUR/USD EUR/USD SHORT 5 1.09864 6/21 17:27 1.09881 0.02%
Trade id #144992466
Max drawdown($22)
Time6/21/23 16:17
Quant open5
Worst price1.09908
Drawdown as % of equity-0.02%
 ($9)
6/21/23 16:11 EUR/USD EUR/USD SHORT 5 1.09854 6/21 16:12 1.09866 0.01%
Trade id #144992443
Max drawdown($6)
Time6/21/23 16:12
Quant open5
Worst price1.09866
Drawdown as % of equity-0.01%
 ($6)
6/20/23 7:56 EUR/USD EUR/USD LONG 21 1.09285 6/21 10:50 1.09578 0.71%
Trade id #144966754
Max drawdown($747)
Time6/20/23 10:45
Quant open20
Worst price1.08919
Drawdown as % of equity-0.71%
 $616
6/19/23 21:43 EUR/USD EUR/USD LONG 18 1.09132 6/19 22:44 1.09195 0.05%
Trade id #144964546
Max drawdown($48)
Time6/19/23 22:11
Quant open18
Worst price1.09105
Drawdown as % of equity-0.05%
 $113
5/11/23 6:07 EUR/USD EUR/USD LONG 90 1.08464 6/15 15:29 1.09482 22.27%
Trade id #144585904
Max drawdown($19,029)
Time5/31/23 0:00
Quant open90
Worst price1.06350
Drawdown as % of equity-22.27%
 $9,158
5/10/23 14:26 EUR/USD EUR/USD LONG 18 1.09731 5/10 18:57 1.09854 0%
Trade id #144581158
Max drawdown($3)
Time5/10/23 14:32
Quant open18
Worst price1.09729
Drawdown as % of equity-0.00%
 $221
5/10/23 8:31 EUR/USD EUR/USD SHORT 54 1.09863 5/10 10:49 1.09734 1.17%
Trade id #144573853
Max drawdown($1,110)
Time5/10/23 10:17
Quant open54
Worst price1.10069
Drawdown as % of equity-1.17%
 $698
5/10/23 7:35 EUR/USD EUR/USD LONG 18 1.09494 5/10 8:30 1.09626 0.15%
Trade id #144573625
Max drawdown($140)
Time5/10/23 8:21
Quant open18
Worst price1.09416
Drawdown as % of equity-0.15%
 $238
5/9/23 17:07 EUR/USD EUR/USD LONG 18 1.09674 5/10 3:05 1.09798 0.46%
Trade id #144571846
Max drawdown($435)
Time5/9/23 17:59
Quant open18
Worst price1.09432
Drawdown as % of equity-0.46%
 $223
5/8/23 6:20 GBP/JPY GBP/JPY SHORT 16 170.725 5/8 9:48 170.692 0.43%
Trade id #144554480
Max drawdown($408)
Time5/8/23 6:50
Quant open16
Worst price171.070
Drawdown as % of equity-0.43%
 $39
5/7/23 20:44 EUR/USD EUR/USD LONG 18 1.10225 5/7 23:55 1.10394 0.08%
Trade id #144552772
Max drawdown($72)
Time5/7/23 21:10
Quant open18
Worst price1.10185
Drawdown as % of equity-0.08%
 $304
Next

Statistics

  • Strategy began
    1/3/2022
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1052.59
  • Age
    35 months ago
  • What it trades
    Forex
  • # Trades
    326
  • # Profitable
    316
  • % Profitable
    96.90%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    32.95%
  • drawdown period
    Aug 30, 2023 - Oct 04, 2023
  • Annual Return (Compounded)
    40.4%
  • Avg win
    $328.07
  • Avg loss
    $1,186
  • Model Account Values (Raw)
  • Cash
    $153,100
  • Margin Used
    $12,619
  • Buying Power
    $129,197
  • Ratios
  • W:L ratio
    8.74:1
  • Sharpe Ratio
    1
  • Sortino Ratio
    1.83
  • Calmar Ratio
    1.596
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    143.65%
  • Correlation to SP500
    0.13010
  • Return Percent SP500 (cumu) during strategy life
    23.36%
  • Return Statistics
  • Ann Return (w trading costs)
    40.4%
  • Slump
  • Current Slump as Pcnt Equity
    9.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.404%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    43.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    22.00%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    4.00%
  • 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
    93.34%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    703
  • Popularity (Last 6 weeks)
    846
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    410
  • Popularity (7 days, Percentile 1000 scale)
    760
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,177
  • Avg Win
    $328
  • Sum Trade PL (losers)
    $11,774.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $103,671.000
  • # Winners
    316
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    10
  • % Winners
    96.9%
  • Frequency
  • Avg Position Time (mins)
    2328.52
  • Avg Position Time (hrs)
    38.81
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    6.29
  • Daily leverage (max)
    41.37
  • Regression
  • Alpha
    0.10
  • Beta
    0.22
  • Treynor Index
    0.46
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.65
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    3.004
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    2.337
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.107
  • Hold-and-Hope Ratio
    0.338
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42882
  • SD
    0.29853
  • Sharpe ratio (Glass type estimate)
    1.43645
  • Sharpe ratio (Hedges UMVUE)
    1.40136
  • df
    31.00000
  • t
    2.34571
  • p
    0.01278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67777
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15147
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65125
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.05653
  • Upside Potential Ratio
    5.26986
  • Upside part of mean
    0.55709
  • Downside part of mean
    -0.12826
  • Upside SD
    0.30081
  • Downside SD
    0.10571
  • N nonnegative terms
    26.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.07065
  • Mean of criterion
    0.42882
  • SD of predictor
    0.17312
  • SD of criterion
    0.29853
  • Covariance
    0.00675
  • r
    0.13067
  • b (slope, estimate of beta)
    0.22533
  • a (intercept, estimate of alpha)
    0.41290
  • Mean Square Error
    0.09052
  • DF error
    30.00000
  • t(b)
    0.72187
  • p(b)
    0.23798
  • t(a)
    2.22522
  • p(a)
    0.01687
  • Lowerbound of 95% confidence interval for beta
    -0.41215
  • Upperbound of 95% confidence interval for beta
    0.86280
  • Lowerbound of 95% confidence interval for alpha
    0.03395
  • Upperbound of 95% confidence interval for alpha
    0.79186
  • Treynor index (mean / b)
    1.90313
  • Jensen alpha (a)
    0.41290
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38285
  • SD
    0.27420
  • Sharpe ratio (Glass type estimate)
    1.39621
  • Sharpe ratio (Hedges UMVUE)
    1.36211
  • df
    31.00000
  • t
    2.28000
  • p
    0.01482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63501
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60931
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.45120
  • Upside Potential Ratio
    4.65838
  • Upside part of mean
    0.51676
  • Downside part of mean
    -0.13391
  • Upside SD
    0.26972
  • Downside SD
    0.11093
  • N nonnegative terms
    26.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.05576
  • Mean of criterion
    0.38285
  • SD of predictor
    0.17389
  • SD of criterion
    0.27420
  • Covariance
    0.00597
  • r
    0.12523
  • b (slope, estimate of beta)
    0.19748
  • a (intercept, estimate of alpha)
    0.37184
  • Mean Square Error
    0.07648
  • DF error
    30.00000
  • t(b)
    0.69138
  • p(b)
    0.24732
  • t(a)
    2.18605
  • p(a)
    0.01837
  • Lowerbound of 95% confidence interval for beta
    -0.38586
  • Upperbound of 95% confidence interval for beta
    0.78082
  • Lowerbound of 95% confidence interval for alpha
    0.02446
  • Upperbound of 95% confidence interval for alpha
    0.71921
  • Treynor index (mean / b)
    1.93865
  • Jensen alpha (a)
    0.37184
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09362
  • Expected Shortfall on VaR
    0.12273
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01084
  • Expected Shortfall on VaR
    0.02971
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.89098
  • Quartile 1
    1.00460
  • Median
    1.02484
  • Quartile 3
    1.04854
  • Maximum
    1.31880
  • Mean of quarter 1
    0.95990
  • Mean of quarter 2
    1.01259
  • Mean of quarter 3
    1.03607
  • Mean of quarter 4
    1.14369
  • Inter Quartile Range
    0.04395
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.09375
  • Mean of outliers low
    0.90560
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09375
  • Mean of outliers high
    1.25927
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -20.69300
  • VaR(95%) (moments method)
    0.00167
  • Expected Shortfall (moments method)
    0.00167
  • Extreme Value Index (regression method)
    -1.08542
  • VaR(95%) (regression method)
    0.08069
  • Expected Shortfall (regression method)
    0.09437
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01780
  • Quartile 1
    0.02475
  • Median
    0.05273
  • Quartile 3
    0.10739
  • Maximum
    0.19434
  • Mean of quarter 1
    0.01780
  • Mean of quarter 2
    0.02706
  • Mean of quarter 3
    0.07841
  • Mean of quarter 4
    0.19434
  • Inter Quartile Range
    0.08264
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74633
  • Compounded annual return (geometric extrapolation)
    0.50795
  • Calmar ratio (compounded annual return / max draw down)
    2.61367
  • Compounded annual return / average of 25% largest draw downs
    2.61367
  • Compounded annual return / Expected Shortfall lognormal
    4.13864
  • 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
    0.40756
  • SD
    0.30786
  • Sharpe ratio (Glass type estimate)
    1.32387
  • Sharpe ratio (Hedges UMVUE)
    1.32247
  • df
    707.00000
  • t
    2.17626
  • p
    0.01493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12818
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51675
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30707
  • Upside Potential Ratio
    7.41667
  • Upside part of mean
    1.31022
  • Downside part of mean
    -0.90265
  • Upside SD
    0.25312
  • Downside SD
    0.17666
  • N nonnegative terms
    385.00000
  • N negative terms
    323.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    708.00000
  • Mean of predictor
    0.06715
  • Mean of criterion
    0.40756
  • SD of predictor
    0.18654
  • SD of criterion
    0.30786
  • Covariance
    0.00749
  • r
    0.13037
  • b (slope, estimate of beta)
    0.21515
  • a (intercept, estimate of alpha)
    0.39300
  • Mean Square Error
    0.09330
  • DF error
    706.00000
  • t(b)
    3.49370
  • p(b)
    0.00025
  • t(a)
    2.11516
  • p(a)
    0.01738
  • Lowerbound of 95% confidence interval for beta
    0.09424
  • Upperbound of 95% confidence interval for beta
    0.33605
  • Lowerbound of 95% confidence interval for alpha
    0.02822
  • Upperbound of 95% confidence interval for alpha
    0.75801
  • Treynor index (mean / b)
    1.89437
  • Jensen alpha (a)
    0.39311
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36141
  • SD
    0.30086
  • Sharpe ratio (Glass type estimate)
    1.20126
  • Sharpe ratio (Hedges UMVUE)
    1.19999
  • df
    707.00000
  • t
    1.97471
  • p
    0.02434
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00693
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39392
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98175
  • Upside Potential Ratio
    7.02008
  • Upside part of mean
    1.28024
  • Downside part of mean
    -0.91883
  • Upside SD
    0.24006
  • Downside SD
    0.18237
  • N nonnegative terms
    385.00000
  • N negative terms
    323.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    708.00000
  • Mean of predictor
    0.04979
  • Mean of criterion
    0.36141
  • SD of predictor
    0.18641
  • SD of criterion
    0.30086
  • Covariance
    0.00721
  • r
    0.12853
  • b (slope, estimate of beta)
    0.20744
  • a (intercept, estimate of alpha)
    0.35108
  • Mean Square Error
    0.08915
  • DF error
    706.00000
  • t(b)
    3.44364
  • p(b)
    0.00030
  • t(a)
    1.93270
  • p(a)
    0.02684
  • Lowerbound of 95% confidence interval for beta
    0.08917
  • Upperbound of 95% confidence interval for beta
    0.32570
  • Lowerbound of 95% confidence interval for alpha
    -0.00556
  • Upperbound of 95% confidence interval for alpha
    0.70773
  • Treynor index (mean / b)
    1.74226
  • Jensen alpha (a)
    0.35108
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02877
  • Expected Shortfall on VaR
    0.03626
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00720
  • Expected Shortfall on VaR
    0.01641
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    708.00000
  • Minimum
    0.87447
  • Quartile 1
    0.99923
  • Median
    1.00052
  • Quartile 3
    1.00425
  • Maximum
    1.20696
  • Mean of quarter 1
    0.98646
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00177
  • Mean of quarter 4
    1.01841
  • Inter Quartile Range
    0.00502
  • Number outliers low
    81.00000
  • Percentage of outliers low
    0.11441
  • Mean of outliers low
    0.97455
  • Number of outliers high
    77.00000
  • Percentage of outliers high
    0.10876
  • Mean of outliers high
    1.03317
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.83274
  • VaR(95%) (moments method)
    0.00720
  • Expected Shortfall (moments method)
    0.05008
  • Extreme Value Index (regression method)
    0.26118
  • VaR(95%) (regression method)
    0.01211
  • Expected Shortfall (regression method)
    0.02383
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00130
  • Median
    0.00879
  • Quartile 3
    0.03858
  • Maximum
    0.29831
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00360
  • Mean of quarter 3
    0.02287
  • Mean of quarter 4
    0.12351
  • Inter Quartile Range
    0.03728
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12821
  • Mean of outliers high
    0.18272
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02355
  • VaR(95%) (moments method)
    0.11119
  • Expected Shortfall (moments method)
    0.15151
  • Extreme Value Index (regression method)
    0.66464
  • VaR(95%) (regression method)
    0.10643
  • Expected Shortfall (regression method)
    0.28596
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68960
  • Compounded annual return (geometric extrapolation)
    0.47597
  • Calmar ratio (compounded annual return / max draw down)
    1.59553
  • Compounded annual return / average of 25% largest draw downs
    3.85365
  • Compounded annual return / Expected Shortfall lognormal
    13.12560
  • 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
    0.08745
  • SD
    0.19366
  • Sharpe ratio (Glass type estimate)
    0.45157
  • Sharpe ratio (Hedges UMVUE)
    0.44896
  • df
    130.00000
  • t
    0.31931
  • p
    0.48600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32339
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22130
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69880
  • Upside Potential Ratio
    8.60813
  • Upside part of mean
    1.07723
  • Downside part of mean
    -0.98978
  • Upside SD
    0.14692
  • Downside SD
    0.12514
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19354
  • Mean of criterion
    0.08745
  • SD of predictor
    0.13560
  • SD of criterion
    0.19366
  • Covariance
    -0.00350
  • r
    -0.13324
  • b (slope, estimate of beta)
    -0.19029
  • a (intercept, estimate of alpha)
    0.12428
  • Mean Square Error
    0.03712
  • DF error
    129.00000
  • t(b)
    -1.52693
  • p(b)
    0.58457
  • t(a)
    0.45432
  • p(a)
    0.47456
  • Lowerbound of 95% confidence interval for beta
    -0.43685
  • Upperbound of 95% confidence interval for beta
    0.05628
  • Lowerbound of 95% confidence interval for alpha
    -0.41694
  • Upperbound of 95% confidence interval for alpha
    0.66550
  • Treynor index (mean / b)
    -0.45956
  • Jensen alpha (a)
    0.12428
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06894
  • SD
    0.19272
  • Sharpe ratio (Glass type estimate)
    0.35774
  • Sharpe ratio (Hedges UMVUE)
    0.35567
  • df
    130.00000
  • t
    0.25296
  • p
    0.48891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.41501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12929
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.41647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12782
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54479
  • Upside Potential Ratio
    8.42789
  • Upside part of mean
    1.06657
  • Downside part of mean
    -0.99762
  • Upside SD
    0.14443
  • Downside SD
    0.12655
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18431
  • Mean of criterion
    0.06894
  • SD of predictor
    0.13578
  • SD of criterion
    0.19272
  • Covariance
    -0.00346
  • r
    -0.13214
  • b (slope, estimate of beta)
    -0.18755
  • a (intercept, estimate of alpha)
    0.10351
  • Mean Square Error
    0.03678
  • DF error
    129.00000
  • t(b)
    -1.51404
  • p(b)
    0.58387
  • t(a)
    0.38033
  • p(a)
    0.47870
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    -0.43264
  • Upperbound of 95% confidence interval for beta
    0.05754
  • Lowerbound of 95% confidence interval for alpha
    -0.43497
  • Upperbound of 95% confidence interval for alpha
    0.64199
  • Treynor index (mean / b)
    -0.36760
  • Jensen alpha (a)
    0.10351
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01914
  • Expected Shortfall on VaR
    0.02399
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00923
  • Expected Shortfall on VaR
    0.01783
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96607
  • Quartile 1
    0.99525
  • Median
    0.99990
  • Quartile 3
    1.00589
  • Maximum
    1.06323
  • Mean of quarter 1
    0.98702
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.00204
  • Mean of quarter 4
    1.01454
  • Inter Quartile Range
    0.01063
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96993
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03590
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04614
  • VaR(95%) (moments method)
    0.01159
  • Expected Shortfall (moments method)
    0.01627
  • Extreme Value Index (regression method)
    -0.07802
  • VaR(95%) (regression method)
    0.01251
  • Expected Shortfall (regression method)
    0.01671
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00215
  • Quartile 1
    0.01057
  • Median
    0.01631
  • Quartile 3
    0.04391
  • Maximum
    0.08839
  • Mean of quarter 1
    0.00393
  • Mean of quarter 2
    0.01618
  • Mean of quarter 3
    0.01807
  • Mean of quarter 4
    0.07570
  • Inter Quartile Range
    0.03334
  • 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)
    0.11914
  • VaR(95%) (moments method)
    0.08110
  • Expected Shortfall (moments method)
    0.09226
  • Extreme Value Index (regression method)
    8.91686
  • VaR(95%) (regression method)
    0.27229
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369506000
  • Max Equity Drawdown (num days)
    35
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09923
  • Compounded annual return (geometric extrapolation)
    0.10170
  • Calmar ratio (compounded annual return / max draw down)
    1.15048
  • Compounded annual return / average of 25% largest draw downs
    1.34337
  • Compounded annual return / Expected Shortfall lognormal
    4.23844

Strategy Description

The system behind the trading strategy uses a proprietary grid algorithm based on common inherent properties of Forex Currency pairs. The main focus while developing the system was maximal generalization to avoid a typical grid systems problem of overfitting to market data.


The system exploits volatility using market momentum to its advantage. It uses pure Price Action data, not relying on lagging technical indicators. It is designed to thrive during most challenging market conditions associated with high levels of uncertainty. It's more relevant now than ever, with important recent changes on the global markets.

It's pure Price Action mean reversal system that exploits peakedness of market distribution

Trading baskets are limited to a max of 4 simultaneous currency pairs (e.g , EUR/USD, GBP/JPY, USDCAD GBP/NZD) the system trade all currency pairs when all conditions are met. The system proprietary algorithm are based on common inherent properties of currency pairs. , Investors should use low spread ECN brokers, , Draw downs limits are between 13% to 27% ,

Summary Statistics

Strategy began
2022-01-03
Suggested Minimum Capital
$100,000
# Trades
326
# Profitable
316
% Profitable
96.9%
Correlation S&P500
0.130
Sharpe Ratio
1.00
Sortino Ratio
1.83
Beta
0.22
Alpha
0.10
Leverage
6.29 Average
41.37 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

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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.