Collective2 Collective2
Featured Strategy Quant AI pro +14.6% Cumul. Return since Dec 2, 2024 Hypothetical

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FXFMKH
(141616447)

Created by: FXAMK FXAMK
Started: 09/2022
Forex
Last trade: 86 days ago
Trading style: Futures Short Term Currencies

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
7.6%
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.

(42.3%)
Max Drawdown
1433
Num Trades
55.7%
Win Trades
1.2 : 1
Profit Factor
39.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                        +12.6%+6.1%(0.7%)(1.1%)+17.3%
2023+6.2%(1.7%)(2.4%)(2.1%)+8.7%(0.4%)(4.7%)+4.9%+3.8%  -  +7.4%(7.7%)+11.1%
2024(1%)(3.7%)(1.1%)(12.6%)(7.4%)(10.5%)+41.5%+4.7%+3.3%(11.3%)(1.8%)+17.1%+6.6%

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 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/23/24 9:21 GBP/USD GBP/USD SHORT 2 1.33268 10/1 13:23 1.32410 0.62%
Trade id #149481775
Max drawdown($215)
Time9/26/24 0:00
Quant open2
Worst price1.34343
Drawdown as % of equity-0.62%
 $172
9/23/24 9:21 EUR/USD EUR/USD SHORT 2 1.11304 10/1 13:23 1.10485 0.49%
Trade id #149481779
Max drawdown($167)
Time9/25/24 0:00
Quant open2
Worst price1.12141
Drawdown as % of equity-0.49%
 $164
9/23/24 9:20 AUD/USD AUD/USD SHORT 4 0.68392 10/1 13:23 0.68574 1.1%
Trade id #149481772
Max drawdown($394)
Time9/30/24 0:00
Quant open4
Worst price0.69378
Drawdown as % of equity-1.10%
 ($73)
9/23/24 9:20 USD/CAD USD/CAD LONG 2 1.35351 10/1 13:23 1.35197 0.5%
Trade id #149481770
Max drawdown($171)
Time9/25/24 0:00
Quant open2
Worst price1.34195
Drawdown as % of equity-0.50%
 ($23)
9/18/24 14:51 AUD/USD AUD/USD SHORT 2 0.67862 9/18 15:37 0.67666 0.1%
Trade id #149443867
Max drawdown($38)
Time9/18/24 14:55
Quant open2
Worst price0.68053
Drawdown as % of equity-0.10%
 $39
9/18/24 14:51 NZD/USD NZD/USD SHORT 2 0.62336 9/18 15:37 0.62090 0.08%
Trade id #149443869
Max drawdown($31)
Time9/18/24 14:55
Quant open2
Worst price0.62495
Drawdown as % of equity-0.08%
 $49
9/18/24 14:51 GBP/USD GBP/USD SHORT 2 1.32563 9/18 15:37 1.32127 0.1%
Trade id #149443871
Max drawdown($38)
Time9/18/24 14:55
Quant open2
Worst price1.32754
Drawdown as % of equity-0.10%
 $87
9/18/24 14:51 EUR/USD EUR/USD SHORT 2 1.11530 9/18 15:37 1.11212 0.08%
Trade id #149443873
Max drawdown($29)
Time9/18/24 14:55
Quant open2
Worst price1.11677
Drawdown as % of equity-0.08%
 $64
9/18/24 14:51 USD/CAD USD/CAD LONG 2 1.35721 9/18 15:36 1.36010 0.04%
Trade id #149443875
Max drawdown($16)
Time9/18/24 14:57
Quant open2
Worst price1.35611
Drawdown as % of equity-0.04%
 $42
9/18/24 14:51 USD/CHF USD/CHF LONG 2 0.84341 9/18 15:36 0.84540 0.06%
Trade id #149443879
Max drawdown($23)
Time9/18/24 14:56
Quant open2
Worst price0.84240
Drawdown as % of equity-0.06%
 $47
9/15/24 20:12 AUD/CAD AUD/CAD LONG 1 0.91143 9/16 14:42 0.91664 0.02%
Trade id #149398021
Max drawdown($9)
Time9/16/24 0:00
Quant open1
Worst price0.91014
Drawdown as % of equity-0.02%
 $38
9/15/24 20:11 USD/CAD USD/CAD LONG 1 1.35794 9/16 14:42 1.35917 0.02%
Trade id #149398016
Max drawdown($9)
Time9/16/24 0:00
Quant open1
Worst price1.35667
Drawdown as % of equity-0.02%
 $9
9/15/24 20:12 EUR/CAD EUR/CAD LONG 1 1.50590 9/16 14:42 1.51172 0.03%
Trade id #149398023
Max drawdown($10)
Time9/16/24 0:00
Quant open1
Worst price1.50443
Drawdown as % of equity-0.03%
 $43
9/15/24 20:11 NZD/CAD NZD/CAD LONG 1 0.83686 9/16 14:42 0.84114 0.02%
Trade id #149398019
Max drawdown($9)
Time9/15/24 21:44
Quant open1
Worst price0.83560
Drawdown as % of equity-0.02%
 $31
9/15/24 20:11 GBP/CAD GBP/CAD LONG 1 1.78408 9/16 14:42 1.79512 0.03%
Trade id #149398014
Max drawdown($12)
Time9/16/24 0:00
Quant open1
Worst price1.78244
Drawdown as % of equity-0.03%
 $81
9/15/24 20:13 CAD/CHF CAD/CHF SHORT 1 0.62412 9/16 14:42 0.62189 0.02%
Trade id #149398042
Max drawdown($8)
Time9/16/24 0:00
Quant open1
Worst price0.62486
Drawdown as % of equity-0.02%
 $26
9/10/24 2:08 EUR/NZD EUR/NZD SHORT 2 1.79371 9/12 1:50 1.79001 0.17%
Trade id #149331430
Max drawdown($65)
Time9/11/24 0:00
Quant open2
Worst price1.79901
Drawdown as % of equity-0.17%
 $46
9/10/24 2:08 EUR/AUD EUR/AUD SHORT 2 1.65565 9/12 1:50 1.64589 0.18%
Trade id #149331428
Max drawdown($70)
Time9/11/24 0:00
Quant open2
Worst price1.66093
Drawdown as % of equity-0.18%
 $131
9/10/24 2:08 EUR/CAD EUR/CAD SHORT 2 1.49711 9/12 1:50 1.49486 0.21%
Trade id #149331432
Max drawdown($79)
Time9/11/24 0:00
Quant open2
Worst price1.50254
Drawdown as % of equity-0.21%
 $33
9/11/24 3:47 GBP/CHF GBP/CHF SHORT 2 1.10511 9/11 10:18 1.10476 0.44%
Trade id #149353367
Max drawdown($169)
Time9/11/24 9:07
Quant open2
Worst price1.11235
Drawdown as % of equity-0.44%
 $8
9/11/24 2:03 GBP/AUD GBP/AUD SHORT 2 1.96732 9/11 10:08 1.96316 0.02%
Trade id #149353088
Max drawdown($7)
Time9/11/24 2:06
Quant open2
Worst price1.96788
Drawdown as % of equity-0.02%
 $55
9/11/24 2:03 GBP/NZD GBP/NZD SHORT 2 2.13123 9/11 10:08 2.12997 0.09%
Trade id #149353086
Max drawdown($35)
Time9/11/24 8:49
Quant open2
Worst price2.13412
Drawdown as % of equity-0.09%
 $15
9/11/24 2:03 GBP/CAD GBP/CAD SHORT 2 1.78087 9/11 10:08 1.77367 0.01%
Trade id #149353084
Max drawdown($5)
Time9/11/24 2:13
Quant open2
Worst price1.78125
Drawdown as % of equity-0.01%
 $106
9/11/24 2:03 GBP/USD GBP/USD SHORT 2 1.30973 9/11 10:08 1.30325 0.03%
Trade id #149353082
Max drawdown($11)
Time9/11/24 2:13
Quant open2
Worst price1.31032
Drawdown as % of equity-0.03%
 $130
9/10/24 2:08 EUR/GBP EUR/GBP SHORT 2 0.84401 9/10 15:45 0.84270 0.03%
Trade id #149331426
Max drawdown($12)
Time9/10/24 9:40
Quant open2
Worst price0.84447
Drawdown as % of equity-0.03%
 $34
9/10/24 2:08 EUR/CHF EUR/CHF SHORT 2 0.93605 9/10 15:45 0.93345 0.11%
Trade id #149331424
Max drawdown($39)
Time9/10/24 3:02
Quant open2
Worst price0.93774
Drawdown as % of equity-0.11%
 $61
9/10/24 2:08 EUR/USD EUR/USD SHORT 2 1.10353 9/10 15:45 1.10252 0.08%
Trade id #149331434
Max drawdown($28)
Time9/10/24 2:59
Quant open2
Worst price1.10496
Drawdown as % of equity-0.08%
 $20
8/14/24 1:31 EUR/GBP EUR/GBP LONG 2 0.85479 8/14 2:05 0.85677 0.05%
Trade id #148911263
Max drawdown($16)
Time8/14/24 2:00
Quant open2
Worst price0.85413
Drawdown as % of equity-0.05%
 $51
8/14/24 1:31 GBP/AUD GBP/AUD SHORT 2 1.94099 8/14 2:05 1.93419 0.01%
Trade id #148911261
Max drawdown($1)
Time8/14/24 1:34
Quant open2
Worst price1.94114
Drawdown as % of equity-0.01%
 $90
8/14/24 1:30 GBP/CAD GBP/CAD SHORT 2 1.76396 8/14 2:05 1.75981 0.01%
Trade id #148911259
Max drawdown($3)
Time8/14/24 2:00
Quant open2
Worst price1.76419
Drawdown as % of equity-0.01%
 $61
Next

Statistics

  • Strategy began
    9/1/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    845.92
  • Age
    28 months ago
  • What it trades
    Forex
  • # Trades
    1433
  • # Profitable
    798
  • % Profitable
    55.70%
  • Avg trade duration
    2.5 days
  • Max peak-to-valley drawdown
    42.28%
  • drawdown period
    Dec 07, 2023 - July 11, 2024
  • Annual Return (Compounded)
    7.6%
  • Avg win
    $70.51
  • Avg loss
    $74.99
  • Model Account Values (Raw)
  • Cash
    $37,792
  • Margin Used
    $5,122
  • Buying Power
    $28,526
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    0.49
  • Sortino Ratio
    0.94
  • Calmar Ratio
    0.661
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -33.60%
  • Correlation to SP500
    -0.07180
  • Return Percent SP500 (cumu) during strategy life
    52.26%
  • Return Statistics
  • Ann Return (w trading costs)
    7.6%
  • Slump
  • Current Slump as Pcnt Equity
    15.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • 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)
    0.076%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.00%
  • Chance of 20% account loss
    22.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    1.00%
  • 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
    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
    0
  • Popularity
  • C2 Score
    398
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $74
  • Avg Win
    $71
  • Sum Trade PL (losers)
    $47,193.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $56,280.000
  • # Winners
    798
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    635
  • % Winners
    55.7%
  • Frequency
  • Avg Position Time (mins)
    3533.92
  • Avg Position Time (hrs)
    58.90
  • Avg Trade Length
    2.5 days
  • Last Trade Ago
    84
  • Leverage
  • Daily leverage (average)
    4.51
  • Daily leverage (max)
    18.50
  • Regression
  • Alpha
    0.05
  • Beta
    -0.13
  • Treynor Index
    -0.35
  • 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)
    -0.01
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    22.876
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.593
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.555
  • Hold-and-Hope Ratio
    0.042
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19920
  • SD
    0.33185
  • Sharpe ratio (Glass type estimate)
    0.60028
  • Sharpe ratio (Hedges UMVUE)
    0.58129
  • df
    24.00000
  • t
    0.86643
  • p
    0.19742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96256
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94912
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17075
  • Upside Potential Ratio
    2.96308
  • Upside part of mean
    0.50417
  • Downside part of mean
    -0.30496
  • Upside SD
    0.28298
  • Downside SD
    0.17015
  • N nonnegative terms
    14.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.16771
  • Mean of criterion
    0.19920
  • SD of predictor
    0.13246
  • SD of criterion
    0.33185
  • Covariance
    -0.01306
  • r
    -0.29722
  • b (slope, estimate of beta)
    -0.74460
  • a (intercept, estimate of alpha)
    0.32408
  • Mean Square Error
    0.10476
  • DF error
    23.00000
  • t(b)
    -1.49287
  • p(b)
    0.92547
  • t(a)
    1.35408
  • p(a)
    0.09443
  • Lowerbound of 95% confidence interval for beta
    -1.77640
  • Upperbound of 95% confidence interval for beta
    0.28719
  • Lowerbound of 95% confidence interval for alpha
    -0.17103
  • Upperbound of 95% confidence interval for alpha
    0.81919
  • Treynor index (mean / b)
    -0.26753
  • Jensen alpha (a)
    0.32408
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14852
  • SD
    0.31504
  • Sharpe ratio (Glass type estimate)
    0.47144
  • Sharpe ratio (Hedges UMVUE)
    0.45653
  • df
    24.00000
  • t
    0.68047
  • p
    0.25136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82056
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82163
  • Upside Potential Ratio
    2.59145
  • Upside part of mean
    0.46844
  • Downside part of mean
    -0.31992
  • Upside SD
    0.25385
  • Downside SD
    0.18076
  • N nonnegative terms
    14.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.15786
  • Mean of criterion
    0.14852
  • SD of predictor
    0.13220
  • SD of criterion
    0.31504
  • Covariance
    -0.01256
  • r
    -0.30169
  • b (slope, estimate of beta)
    -0.71896
  • a (intercept, estimate of alpha)
    0.26201
  • Mean Square Error
    0.09414
  • DF error
    23.00000
  • t(b)
    -1.51758
  • p(b)
    0.92863
  • t(a)
    1.16275
  • p(a)
    0.12843
  • Lowerbound of 95% confidence interval for beta
    -1.69900
  • Upperbound of 95% confidence interval for beta
    0.26108
  • Lowerbound of 95% confidence interval for alpha
    -0.20414
  • Upperbound of 95% confidence interval for alpha
    0.72817
  • Treynor index (mean / b)
    -0.20658
  • Jensen alpha (a)
    0.26201
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12821
  • Expected Shortfall on VaR
    0.16025
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05434
  • Expected Shortfall on VaR
    0.10500
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.84490
  • Quartile 1
    0.97164
  • Median
    1.01602
  • Quartile 3
    1.05509
  • Maximum
    1.32209
  • Mean of quarter 1
    0.92015
  • Mean of quarter 2
    0.99587
  • Mean of quarter 3
    1.03996
  • Mean of quarter 4
    1.13620
  • Inter Quartile Range
    0.08345
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.84490
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04000
  • Mean of outliers high
    1.32209
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.49117
  • VaR(95%) (moments method)
    0.07314
  • Expected Shortfall (moments method)
    0.07600
  • Extreme Value Index (regression method)
    0.11576
  • VaR(95%) (regression method)
    0.09220
  • Expected Shortfall (regression method)
    0.13939
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02836
  • Quartile 1
    0.03575
  • Median
    0.05202
  • Quartile 3
    0.15510
  • Maximum
    0.27841
  • Mean of quarter 1
    0.03206
  • Mean of quarter 2
    0.05202
  • Mean of quarter 3
    0.15510
  • Mean of quarter 4
    0.27841
  • Inter Quartile Range
    0.11935
  • 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)
    0.21322
  • Compounded annual return (geometric extrapolation)
    0.19295
  • Calmar ratio (compounded annual return / max draw down)
    0.69303
  • Compounded annual return / average of 25% largest draw downs
    0.69303
  • Compounded annual return / Expected Shortfall lognormal
    1.20405
  • 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
    0.21693
  • SD
    0.26481
  • Sharpe ratio (Glass type estimate)
    0.81918
  • Sharpe ratio (Hedges UMVUE)
    0.81808
  • df
    557.00000
  • t
    1.19549
  • p
    0.11620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16272
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16195
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58675
  • Upside Potential Ratio
    9.95501
  • Upside part of mean
    1.36096
  • Downside part of mean
    -1.14403
  • Upside SD
    0.22691
  • Downside SD
    0.13671
  • N nonnegative terms
    231.00000
  • N negative terms
    327.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    558.00000
  • Mean of predictor
    0.18285
  • Mean of criterion
    0.21693
  • SD of predictor
    0.15857
  • SD of criterion
    0.26481
  • Covariance
    -0.00312
  • r
    -0.07436
  • b (slope, estimate of beta)
    -0.12419
  • a (intercept, estimate of alpha)
    0.24000
  • Mean Square Error
    0.06986
  • DF error
    556.00000
  • t(b)
    -1.75827
  • p(b)
    0.96037
  • t(a)
    1.31976
  • p(a)
    0.09373
  • Lowerbound of 95% confidence interval for beta
    -0.26292
  • Upperbound of 95% confidence interval for beta
    0.01455
  • Lowerbound of 95% confidence interval for alpha
    -0.11702
  • Upperbound of 95% confidence interval for alpha
    0.59629
  • Treynor index (mean / b)
    -1.74680
  • Jensen alpha (a)
    0.23963
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18293
  • SD
    0.25864
  • Sharpe ratio (Glass type estimate)
    0.70727
  • Sharpe ratio (Hedges UMVUE)
    0.70632
  • df
    557.00000
  • t
    1.03217
  • p
    0.15122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04997
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32223
  • Upside Potential Ratio
    9.65907
  • Upside part of mean
    1.33634
  • Downside part of mean
    -1.15341
  • Upside SD
    0.21855
  • Downside SD
    0.13835
  • N nonnegative terms
    231.00000
  • N negative terms
    327.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    558.00000
  • Mean of predictor
    0.17027
  • Mean of criterion
    0.18293
  • SD of predictor
    0.15821
  • SD of criterion
    0.25864
  • Covariance
    -0.00318
  • r
    -0.07760
  • b (slope, estimate of beta)
    -0.12686
  • a (intercept, estimate of alpha)
    0.20453
  • Mean Square Error
    0.06661
  • DF error
    556.00000
  • t(b)
    -1.83528
  • p(b)
    0.96650
  • t(a)
    1.15394
  • p(a)
    0.12451
  • Lowerbound of 95% confidence interval for beta
    -0.26264
  • Upperbound of 95% confidence interval for beta
    0.00891
  • Lowerbound of 95% confidence interval for alpha
    -0.14362
  • Upperbound of 95% confidence interval for alpha
    0.55268
  • Treynor index (mean / b)
    -1.44198
  • Jensen alpha (a)
    0.20453
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02526
  • Expected Shortfall on VaR
    0.03173
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01112
  • Expected Shortfall on VaR
    0.02066
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    558.00000
  • Minimum
    0.95428
  • Quartile 1
    0.99340
  • Median
    1.00000
  • Quartile 3
    1.00570
  • Maximum
    1.15388
  • Mean of quarter 1
    0.98568
  • Mean of quarter 2
    0.99715
  • Mean of quarter 3
    1.00153
  • Mean of quarter 4
    1.01936
  • Inter Quartile Range
    0.01229
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.02509
  • Mean of outliers low
    0.96671
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.04521
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16130
  • VaR(95%) (moments method)
    0.01459
  • Expected Shortfall (moments method)
    0.02129
  • Extreme Value Index (regression method)
    0.03060
  • VaR(95%) (regression method)
    0.01381
  • Expected Shortfall (regression method)
    0.01853
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00111
  • Quartile 1
    0.00554
  • Median
    0.01510
  • Quartile 3
    0.04337
  • Maximum
    0.35512
  • Mean of quarter 1
    0.00284
  • Mean of quarter 2
    0.01087
  • Mean of quarter 3
    0.02814
  • Mean of quarter 4
    0.15901
  • Inter Quartile Range
    0.03783
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13043
  • Mean of outliers high
    0.24501
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.01172
  • VaR(95%) (moments method)
    0.13731
  • Expected Shortfall (moments method)
    0.19466
  • Extreme Value Index (regression method)
    0.29738
  • VaR(95%) (regression method)
    0.24122
  • Expected Shortfall (regression method)
    0.44876
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26613
  • Compounded annual return (geometric extrapolation)
    0.23471
  • Calmar ratio (compounded annual return / max draw down)
    0.66093
  • Compounded annual return / average of 25% largest draw downs
    1.47612
  • Compounded annual return / Expected Shortfall lognormal
    7.39712
  • 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
    0.57294
  • SD
    0.42129
  • Sharpe ratio (Glass type estimate)
    1.35999
  • Sharpe ratio (Hedges UMVUE)
    1.35213
  • df
    130.00000
  • t
    0.96166
  • p
    0.45798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41928
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12880
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12996
  • Upside Potential Ratio
    13.08370
  • Upside part of mean
    2.39498
  • Downside part of mean
    -1.82204
  • Upside SD
    0.37931
  • Downside SD
    0.18305
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35045
  • Mean of criterion
    0.57294
  • SD of predictor
    0.15016
  • SD of criterion
    0.42129
  • Covariance
    -0.00991
  • r
    -0.15667
  • b (slope, estimate of beta)
    -0.43958
  • a (intercept, estimate of alpha)
    0.72699
  • Mean Square Error
    0.17447
  • DF error
    129.00000
  • t(b)
    -1.80172
  • p(b)
    0.59933
  • t(a)
    1.21803
  • p(a)
    0.43225
  • Lowerbound of 95% confidence interval for beta
    -0.92229
  • Upperbound of 95% confidence interval for beta
    0.04313
  • Lowerbound of 95% confidence interval for alpha
    -0.45391
  • Upperbound of 95% confidence interval for alpha
    1.90790
  • Treynor index (mean / b)
    -1.30340
  • Jensen alpha (a)
    0.72699
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48828
  • SD
    0.40712
  • Sharpe ratio (Glass type estimate)
    1.19934
  • Sharpe ratio (Hedges UMVUE)
    1.19241
  • df
    130.00000
  • t
    0.84806
  • p
    0.46291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96800
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63435
  • Upside Potential Ratio
    12.55550
  • Upside part of mean
    2.32716
  • Downside part of mean
    -1.83888
  • Upside SD
    0.36199
  • Downside SD
    0.18535
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33907
  • Mean of criterion
    0.48828
  • SD of predictor
    0.14953
  • SD of criterion
    0.40712
  • Covariance
    -0.01004
  • r
    -0.16489
  • b (slope, estimate of beta)
    -0.44892
  • a (intercept, estimate of alpha)
    0.64049
  • Mean Square Error
    0.16249
  • DF error
    129.00000
  • t(b)
    -1.89872
  • p(b)
    0.60449
  • t(a)
    1.11258
  • p(a)
    0.43803
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.91671
  • Upperbound of 95% confidence interval for beta
    0.01887
  • Lowerbound of 95% confidence interval for alpha
    -0.49851
  • Upperbound of 95% confidence interval for alpha
    1.77950
  • Treynor index (mean / b)
    -1.08766
  • Jensen alpha (a)
    0.64049
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03874
  • Expected Shortfall on VaR
    0.04875
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01829
  • Expected Shortfall on VaR
    0.02970
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95634
  • Quartile 1
    0.98880
  • Median
    0.99675
  • Quartile 3
    1.00736
  • Maximum
    1.15388
  • Mean of quarter 1
    0.98050
  • Mean of quarter 2
    0.99312
  • Mean of quarter 3
    1.00073
  • Mean of quarter 4
    1.03478
  • Inter Quartile Range
    0.01856
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95838
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.06853
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11978
  • VaR(95%) (moments method)
    0.02088
  • Expected Shortfall (moments method)
    0.02846
  • Extreme Value Index (regression method)
    0.08783
  • VaR(95%) (regression method)
    0.02078
  • Expected Shortfall (regression method)
    0.02774
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00322
  • Quartile 1
    0.06808
  • Median
    0.16491
  • Quartile 3
    0.24063
  • Maximum
    0.24215
  • Mean of quarter 1
    0.00322
  • Mean of quarter 2
    0.08969
  • Mean of quarter 3
    0.24013
  • Mean of quarter 4
    0.24215
  • Inter Quartile Range
    0.17256
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -383317000
  • Max Equity Drawdown (num days)
    217
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58892
  • Compounded annual return (geometric extrapolation)
    0.67562
  • Calmar ratio (compounded annual return / max draw down)
    2.79015
  • Compounded annual return / average of 25% largest draw downs
    2.79015
  • Compounded annual return / Expected Shortfall lognormal
    13.86000

Strategy Description

1. First, thank you to all Investors who have subscribed to my strategies.
2. FXAMKH trading strategy is designed for people who want to make high profits.
3. Recommended leverage currency account is 50:1

4. FXAMKH trading strategy is only traded in the forex market.

5. The strategy is based on fundamental research and technical analysis.

6. The trading strategy is only Manual Trading (No EA).

7. My trading strategy is intraday trading.

Risk Management:

FXAMKH trading strategy is designed for high profit, which requires the use of higher leverage, which leads to further drawdowns. In other words, more gain requires accepting more risk. Therefore, when subscribing to FXAMKH trading strategy, set the risk acceptable for you in your profile.

2. I do not use martingale or average down.

3. Most of the time, all positions are closed at the end of the day.

Summary Statistics

Strategy began
2022-09-01
Suggested Minimum Capital
$35,000
# Trades
1433
# Profitable
798
% Profitable
55.7%
Correlation S&P500
-0.072
Sharpe Ratio
0.49
Sortino Ratio
0.94
Beta
-0.13
Alpha
0.05
Leverage
4.51 Average
18.50 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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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.