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EasyGBP
(141744276)

Created by: BlackOpzFXX BlackOpzFXX
Started: 09/2022
Forex
Last trade: Today
Trading style: Futures Trend-following 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 $149.00 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.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
21.1%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(12.4%)
Max Drawdown
298
Num Trades
38.6%
Win Trades
1.2 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                        +5.3%(3.8%)+0.4%+3.2%+5.0%
2023(5.3%)+20.1%+1.4%                                                      +15.4%

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

This strategy has placed 110 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 161 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/22/23 15:05 GBP/USD GBP/USD LONG 15 1.22810 3/22 17:03 1.22650 n/a ($239)
3/21/23 22:01 AUD/USD AUD/USD LONG 42 0.66884 3/22 8:00 0.66862 0.26%
Trade id #143988571
Max drawdown($159)
Time3/21/23 22:24
Quant open21
Worst price0.66798
Drawdown as % of equity-0.26%
 ($92)
3/21/23 15:02 GBP/USD GBP/USD LONG 30 1.22186 3/22 2:00 1.22195 0.31%
Trade id #143985376
Max drawdown($190)
Time3/21/23 17:00
Quant open15
Worst price1.22059
Drawdown as % of equity-0.31%
 $28
3/21/23 6:12 GBP/USD GBP/USD LONG 15 1.22556 3/21 9:39 1.22420 0.25%
Trade id #143974773
Max drawdown($151)
Time3/21/23 9:39
Quant open6
Worst price1.22303
Drawdown as % of equity-0.25%
 ($204)
3/20/23 8:24 AUD/USD AUD/USD LONG 9 0.67051 3/20 14:00 0.67179 0.03%
Trade id #143962870
Max drawdown($21)
Time3/20/23 8:27
Quant open6
Worst price0.66946
Drawdown as % of equity-0.03%
 $115
3/20/23 4:00 GBP/USD GBP/USD LONG 18 1.22015 3/20 11:00 1.22148 0.4%
Trade id #143961329
Max drawdown($245)
Time3/20/23 4:20
Quant open9
Worst price1.21683
Drawdown as % of equity-0.40%
 $241
3/16/23 22:01 GBP/USD GBP/USD LONG 24 1.21401 3/17 12:00 1.21473 0.38%
Trade id #143938853
Max drawdown($233)
Time3/17/23 7:43
Quant open8
Worst price1.21126
Drawdown as % of equity-0.38%
 $172
3/16/23 22:01 NZD/USD NZD/USD LONG 18 0.62314 3/17 6:47 0.62404 0.04%
Trade id #143938851
Max drawdown($22)
Time3/16/23 22:10
Quant open9
Worst price0.62185
Drawdown as % of equity-0.04%
 $162
3/16/23 16:01 NZD/USD NZD/USD LONG 18 0.61923 3/16 18:00 0.61847 0.15%
Trade id #143937071
Max drawdown($88)
Time3/16/23 17:14
Quant open9
Worst price0.61825
Drawdown as % of equity-0.15%
 ($137)
3/16/23 10:01 GBP/USD GBP/USD LONG 9 1.20901 3/16 10:25 1.20642 0.38%
Trade id #143926618
Max drawdown($232)
Time3/16/23 10:25
Quant open9
Worst price1.20643
Drawdown as % of equity-0.38%
 ($233)
3/15/23 14:03 GBP/USD GBP/USD LONG 18 1.20574 3/16 2:00 1.20643 0.28%
Trade id #143916352
Max drawdown($168)
Time3/15/23 14:18
Quant open9
Worst price1.20367
Drawdown as % of equity-0.28%
 $124
3/15/23 21:00 NZD/USD NZD/USD LONG 21 0.61786 3/15 22:00 0.61694 0.56%
Trade id #143920170
Max drawdown($340)
Time3/15/23 21:32
Quant open21
Worst price0.61624
Drawdown as % of equity-0.56%
 ($193)
3/14/23 4:00 AUD/USD AUD/USD LONG 30 0.66766 3/15 3:52 0.66796 0.98%
Trade id #143888035
Max drawdown($604)
Time3/14/23 8:30
Quant open18
Worst price0.66376
Drawdown as % of equity-0.98%
 $89
3/14/23 14:09 GBP/USD GBP/USD LONG 18 1.21724 3/14 20:12 1.21523 0.31%
Trade id #143899837
Max drawdown($187)
Time3/14/23 18:00
Quant open9
Worst price1.21516
Drawdown as % of equity-0.31%
 ($362)
3/14/23 15:01 NZD/USD NZD/USD LONG 15 0.62434 3/14 17:10 0.62296 0.18%
Trade id #143900631
Max drawdown($107)
Time3/14/23 17:02
Quant open6
Worst price0.62255
Drawdown as % of equity-0.18%
 ($207)
3/14/23 8:18 GBP/USD GBP/USD LONG 15 1.21816 3/14 8:30 1.21382 1.02%
Trade id #143891394
Max drawdown($627)
Time3/14/23 8:30
Quant open15
Worst price1.21398
Drawdown as % of equity-1.02%
 ($651)
3/14/23 2:00 GBP/USD GBP/USD LONG 25 1.21625 3/14 4:19 1.21490 0.35%
Trade id #143887471
Max drawdown($220)
Time3/14/23 4:19
Quant open10
Worst price1.21405
Drawdown as % of equity-0.35%
 ($339)
3/13/23 9:12 GBP/USD GBP/USD LONG 18 1.21101 3/13 16:00 1.21307 0.23%
Trade id #143873801
Max drawdown($139)
Time3/13/23 9:38
Quant open9
Worst price1.20849
Drawdown as % of equity-0.23%
 $371
3/10/23 14:22 AUD/USD AUD/USD SHORT 15 0.65808 3/12 17:03 0.65976 0.31%
Trade id #143850084
Max drawdown($193)
Time3/12/23 17:01
Quant open6
Worst price0.66131
Drawdown as % of equity-0.31%
 ($253)
3/9/23 11:03 AUD/USD AUD/USD SHORT 18 0.66138 3/10 3:00 0.65869 0.09%
Trade id #143828012
Max drawdown($54)
Time3/9/23 11:24
Quant open9
Worst price0.66198
Drawdown as % of equity-0.09%
 $485
3/9/23 14:01 NZD/USD NZD/USD SHORT 54 0.61234 3/10 0:00 0.61066 0.11%
Trade id #143831418
Max drawdown($70)
Time3/9/23 14:25
Quant open27
Worst price0.61260
Drawdown as % of equity-0.11%
 $906
3/9/23 15:16 GBP/USD GBP/USD SHORT 60 1.19140 3/9 23:00 1.19217 0.82%
Trade id #143832454
Max drawdown($510)
Time3/9/23 15:55
Quant open30
Worst price1.19253
Drawdown as % of equity-0.82%
 ($459)
3/8/23 13:02 AUD/USD AUD/USD SHORT 18 0.65896 3/8 22:00 0.65888 0.05%
Trade id #143817704
Max drawdown($31)
Time3/8/23 13:07
Quant open9
Worst price0.65947
Drawdown as % of equity-0.05%
 $14
3/7/23 11:00 NZD/USD NZD/USD SHORT 36 0.61383 3/8 0:00 0.61108 0.26%
Trade id #143801919
Max drawdown($153)
Time3/7/23 11:10
Quant open18
Worst price0.61468
Drawdown as % of equity-0.26%
 $989
3/6/23 23:00 AUD/USD AUD/USD SHORT 42 0.67133 3/7 10:03 0.66801 0.24%
Trade id #143794180
Max drawdown($140)
Time3/6/23 23:48
Quant open21
Worst price0.67200
Drawdown as % of equity-0.24%
 $1,394
3/6/23 23:01 NZD/USD NZD/USD LONG 6 0.62137 3/7 0:00 0.62026 0.12%
Trade id #143794186
Max drawdown($73)
Time3/6/23 23:58
Quant open6
Worst price0.62014
Drawdown as % of equity-0.12%
 ($67)
3/6/23 7:05 AUD/USD AUD/USD SHORT 36 0.67251 3/6 16:00 0.67316 0.41%
Trade id #143783565
Max drawdown($241)
Time3/6/23 10:18
Quant open12
Worst price0.67429
Drawdown as % of equity-0.41%
 ($234)
3/6/23 5:00 NZD/USD NZD/USD SHORT 36 0.61877 3/6 16:00 0.61876 0.35%
Trade id #143782543
Max drawdown($205)
Time3/6/23 10:19
Quant open12
Worst price0.62040
Drawdown as % of equity-0.35%
 $2
3/3/23 15:01 GBP/USD GBP/USD LONG 9 1.20471 3/5 17:08 1.20429 0.14%
Trade id #143771766
Max drawdown($83)
Time3/3/23 15:36
Quant open9
Worst price1.20378
Drawdown as % of equity-0.14%
 ($38)
3/3/23 10:00 GBP/USD GBP/USD SHORT 15 1.19853 3/3 12:55 1.20010 0.26%
Trade id #143766408
Max drawdown($157)
Time3/3/23 11:58
Quant open9
Worst price1.19966
Drawdown as % of equity-0.26%
 ($234)
Next

Statistics

  • Strategy began
    9/12/2022
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    191.48
  • Age
    6 months ago
  • What it trades
    Forex
  • # Trades
    298
  • # Profitable
    115
  • % Profitable
    38.60%
  • Avg trade duration
    8.2 hours
  • Max peak-to-valley drawdown
    12.37%
  • drawdown period
    Sept 25, 2022 - Feb 03, 2023
  • Cumul. Return
    21.1%
  • Avg win
    $523.83
  • Avg loss
    $264.41
  • Model Account Values (Raw)
  • Cash
    $61,828
  • Margin Used
    $2,412
  • Buying Power
    $59,440
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    1.48
  • Sortino Ratio
    2.77
  • Calmar Ratio
    5.711
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    25.33%
  • Correlation to SP500
    -0.14310
  • Return Percent SP500 (cumu) during strategy life
    -4.22%
  • Return Statistics
  • Ann Return (w trading costs)
    43.2%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.211%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    49.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    875
  • Popularity (Last 6 weeks)
    938
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    898
  • Popularity (7 days, Percentile 1000 scale)
    909
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $264
  • Avg Win
    $528
  • Sum Trade PL (losers)
    $48,387.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $60,215.000
  • # Winners
    114
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    183
  • % Winners
    38.4%
  • Frequency
  • Avg Position Time (mins)
    493.65
  • Avg Position Time (hrs)
    8.23
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    4.21
  • Daily leverage (max)
    15.77
  • Regression
  • Alpha
    0.11
  • Beta
    -0.15
  • Treynor Index
    -0.76
  • 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)
    1.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    64.195
  • 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
    0.343
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.078
  • Hold-and-Hope Ratio
    0.016
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43965
  • SD
    0.17177
  • Sharpe ratio (Glass type estimate)
    2.55955
  • Sharpe ratio (Hedges UMVUE)
    2.15194
  • df
    5.00000
  • t
    1.80987
  • p
    0.06505
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.63913
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.22794
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.38980
  • Upside Potential Ratio
    19.86250
  • Upside part of mean
    0.47486
  • Downside part of mean
    -0.03521
  • Upside SD
    0.20031
  • Downside SD
    0.02391
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.08894
  • Mean of criterion
    0.43965
  • SD of predictor
    0.28851
  • SD of criterion
    0.17177
  • Covariance
    -0.02551
  • r
    -0.51471
  • b (slope, estimate of beta)
    -0.30644
  • a (intercept, estimate of alpha)
    0.41240
  • Mean Square Error
    0.02711
  • DF error
    4.00000
  • t(b)
    -1.20068
  • p(b)
    0.85194
  • t(a)
    1.76271
  • p(a)
    0.07637
  • Lowerbound of 95% confidence interval for beta
    -1.01518
  • Upperbound of 95% confidence interval for beta
    0.40230
  • Lowerbound of 95% confidence interval for alpha
    -0.23730
  • Upperbound of 95% confidence interval for alpha
    1.06209
  • Treynor index (mean / b)
    -1.43472
  • Jensen alpha (a)
    0.41240
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41949
  • SD
    0.16448
  • Sharpe ratio (Glass type estimate)
    2.55034
  • Sharpe ratio (Hedges UMVUE)
    2.14420
  • df
    5.00000
  • t
    1.80336
  • p
    0.06559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.62744
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21813
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.43910
  • Upside Potential Ratio
    18.91130
  • Upside part of mean
    0.45491
  • Downside part of mean
    -0.03541
  • Upside SD
    0.19139
  • Downside SD
    0.02405
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.12448
  • Mean of criterion
    0.41949
  • SD of predictor
    0.29247
  • SD of criterion
    0.16448
  • Covariance
    -0.02479
  • r
    -0.51533
  • b (slope, estimate of beta)
    -0.28982
  • a (intercept, estimate of alpha)
    0.38341
  • Mean Square Error
    0.02484
  • DF error
    4.00000
  • t(b)
    -1.20263
  • p(b)
    0.85228
  • t(a)
    1.70489
  • p(a)
    0.08171
  • Lowerbound of 95% confidence interval for beta
    -0.95903
  • Upperbound of 95% confidence interval for beta
    0.37939
  • Lowerbound of 95% confidence interval for alpha
    -0.24111
  • Upperbound of 95% confidence interval for alpha
    1.00793
  • Treynor index (mean / b)
    -1.44744
  • Jensen alpha (a)
    0.38341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04223
  • Expected Shortfall on VaR
    0.06090
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00503
  • Expected Shortfall on VaR
    0.01117
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.98544
  • Quartile 1
    1.00182
  • Median
    1.03383
  • Quartile 3
    1.06764
  • Maximum
    1.11065
  • Mean of quarter 1
    0.99353
  • Mean of quarter 2
    1.00242
  • Mean of quarter 3
    1.06523
  • Mean of quarter 4
    1.08954
  • Inter Quartile Range
    0.06582
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01456
  • Quartile 1
    0.01456
  • Median
    0.01456
  • Quartile 3
    0.01456
  • Maximum
    0.01456
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.50139
  • Compounded annual return (geometric extrapolation)
    0.56424
  • Calmar ratio (compounded annual return / max draw down)
    38.74820
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.26531
  • 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
    0.43406
  • SD
    0.22508
  • Sharpe ratio (Glass type estimate)
    1.92847
  • Sharpe ratio (Hedges UMVUE)
    1.91758
  • df
    133.00000
  • t
    1.37916
  • p
    0.42458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.67531
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83270
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.66785
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.61380
  • Upside Potential Ratio
    11.97760
  • Upside part of mean
    1.43866
  • Downside part of mean
    -1.00460
  • Upside SD
    0.19125
  • Downside SD
    0.12011
  • N nonnegative terms
    61.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    -0.08708
  • Mean of criterion
    0.43406
  • SD of predictor
    0.22535
  • SD of criterion
    0.22508
  • Covariance
    -0.00703
  • r
    -0.13851
  • b (slope, estimate of beta)
    -0.13835
  • a (intercept, estimate of alpha)
    0.42200
  • Mean Square Error
    0.05007
  • DF error
    132.00000
  • t(b)
    -1.60689
  • p(b)
    0.56926
  • t(a)
    1.34845
  • p(a)
    0.44172
  • Lowerbound of 95% confidence interval for beta
    -0.30866
  • Upperbound of 95% confidence interval for beta
    0.03196
  • Lowerbound of 95% confidence interval for alpha
    -0.19706
  • Upperbound of 95% confidence interval for alpha
    1.04108
  • Treynor index (mean / b)
    -3.13746
  • Jensen alpha (a)
    0.42201
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40881
  • SD
    0.22326
  • Sharpe ratio (Glass type estimate)
    1.83112
  • Sharpe ratio (Hedges UMVUE)
    1.82077
  • df
    133.00000
  • t
    1.30954
  • p
    0.42833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57711
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57010
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36767
  • Upside Potential Ratio
    11.70260
  • Upside part of mean
    1.42062
  • Downside part of mean
    -1.01181
  • Upside SD
    0.18808
  • Downside SD
    0.12139
  • N nonnegative terms
    61.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    -0.11220
  • Mean of criterion
    0.40881
  • SD of predictor
    0.22477
  • SD of criterion
    0.22326
  • Covariance
    -0.00687
  • r
    -0.13681
  • b (slope, estimate of beta)
    -0.13589
  • a (intercept, estimate of alpha)
    0.39357
  • Mean Square Error
    0.04928
  • DF error
    132.00000
  • t(b)
    -1.58679
  • p(b)
    0.56841
  • t(a)
    1.26727
  • p(a)
    0.44518
  • Lowerbound of 95% confidence interval for beta
    -0.30530
  • Upperbound of 95% confidence interval for beta
    0.03351
  • Lowerbound of 95% confidence interval for alpha
    -0.22076
  • Upperbound of 95% confidence interval for alpha
    1.00790
  • Treynor index (mean / b)
    -3.00835
  • Jensen alpha (a)
    0.39357
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02091
  • Expected Shortfall on VaR
    0.02652
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00935
  • Expected Shortfall on VaR
    0.01754
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    134.00000
  • Minimum
    0.96363
  • Quartile 1
    0.99503
  • Median
    0.99982
  • Quartile 3
    1.00627
  • Maximum
    1.05194
  • Mean of quarter 1
    0.98782
  • Mean of quarter 2
    0.99722
  • Mean of quarter 3
    1.00200
  • Mean of quarter 4
    1.01989
  • Inter Quartile Range
    0.01124
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02239
  • Mean of outliers low
    0.96890
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08209
  • Mean of outliers high
    1.03506
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26344
  • VaR(95%) (moments method)
    0.01247
  • Expected Shortfall (moments method)
    0.02028
  • Extreme Value Index (regression method)
    0.17984
  • VaR(95%) (regression method)
    0.01164
  • Expected Shortfall (regression method)
    0.01743
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00010
  • Quartile 1
    0.01343
  • Median
    0.02576
  • Quartile 3
    0.03637
  • Maximum
    0.09589
  • Mean of quarter 1
    0.00524
  • Mean of quarter 2
    0.02272
  • Mean of quarter 3
    0.03432
  • Mean of quarter 4
    0.07894
  • Inter Quartile Range
    0.02293
  • 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
    0.11111
  • Mean of outliers high
    0.09589
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.67873
  • VaR(95%) (moments method)
    0.06950
  • Expected Shortfall (moments method)
    0.06953
  • Extreme Value Index (regression method)
    -0.59537
  • VaR(95%) (regression method)
    0.10822
  • Expected Shortfall (regression method)
    0.12229
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48934
  • Compounded annual return (geometric extrapolation)
    0.54763
  • Calmar ratio (compounded annual return / max draw down)
    5.71072
  • Compounded annual return / average of 25% largest draw downs
    6.93735
  • Compounded annual return / Expected Shortfall lognormal
    20.64990
  • 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
    0.50712
  • SD
    0.22281
  • Sharpe ratio (Glass type estimate)
    2.27599
  • Sharpe ratio (Hedges UMVUE)
    2.26283
  • df
    130.00000
  • t
    1.60936
  • p
    0.43012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05720
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52259
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04825
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.47577
  • Upside Potential Ratio
    12.97120
  • Upside part of mean
    1.46968
  • Downside part of mean
    -0.96256
  • Upside SD
    0.19342
  • Downside SD
    0.11330
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01390
  • Mean of criterion
    0.50712
  • SD of predictor
    0.21889
  • SD of criterion
    0.22281
  • Covariance
    -0.00728
  • r
    -0.14917
  • b (slope, estimate of beta)
    -0.15184
  • a (intercept, estimate of alpha)
    0.50923
  • Mean Square Error
    0.04892
  • DF error
    129.00000
  • t(b)
    -1.71339
  • p(b)
    0.59461
  • t(a)
    1.62804
  • p(a)
    0.40997
  • Lowerbound of 95% confidence interval for beta
    -0.32718
  • Upperbound of 95% confidence interval for beta
    0.02350
  • Lowerbound of 95% confidence interval for alpha
    -0.10963
  • Upperbound of 95% confidence interval for alpha
    1.12809
  • Treynor index (mean / b)
    -3.33980
  • Jensen alpha (a)
    0.50923
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48227
  • SD
    0.22082
  • Sharpe ratio (Glass type estimate)
    2.18402
  • Sharpe ratio (Hedges UMVUE)
    2.17139
  • df
    130.00000
  • t
    1.54433
  • p
    0.43289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95574
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21461
  • Upside Potential Ratio
    12.68240
  • Upside part of mean
    1.45123
  • Downside part of mean
    -0.96896
  • Upside SD
    0.19022
  • Downside SD
    0.11443
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00973
  • Mean of criterion
    0.48227
  • SD of predictor
    0.21793
  • SD of criterion
    0.22082
  • Covariance
    -0.00710
  • r
    -0.14750
  • b (slope, estimate of beta)
    -0.14946
  • a (intercept, estimate of alpha)
    0.48082
  • Mean Square Error
    0.04807
  • DF error
    129.00000
  • t(b)
    -1.69384
  • p(b)
    0.59356
  • t(a)
    1.55070
  • p(a)
    0.41414
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    -0.32404
  • Upperbound of 95% confidence interval for beta
    0.02512
  • Lowerbound of 95% confidence interval for alpha
    -0.13265
  • Upperbound of 95% confidence interval for alpha
    1.09429
  • Treynor index (mean / b)
    -3.22681
  • Jensen alpha (a)
    0.48082
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02039
  • Expected Shortfall on VaR
    0.02594
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00894
  • Expected Shortfall on VaR
    0.01663
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96363
  • Quartile 1
    0.99503
  • Median
    0.99990
  • Quartile 3
    1.00659
  • Maximum
    1.05194
  • Mean of quarter 1
    0.98838
  • Mean of quarter 2
    0.99726
  • Mean of quarter 3
    1.00223
  • Mean of quarter 4
    1.02030
  • Inter Quartile Range
    0.01155
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96877
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.03624
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22005
  • VaR(95%) (moments method)
    0.01184
  • Expected Shortfall (moments method)
    0.01841
  • Extreme Value Index (regression method)
    0.13236
  • VaR(95%) (regression method)
    0.01105
  • Expected Shortfall (regression method)
    0.01587
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00010
  • Quartile 1
    0.01062
  • Median
    0.02272
  • Quartile 3
    0.04277
  • Maximum
    0.09589
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.01656
  • Mean of quarter 3
    0.03106
  • Mean of quarter 4
    0.07894
  • Inter Quartile Range
    0.03215
  • 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
    0.12500
  • Mean of outliers high
    0.09589
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -308459000
  • Max Equity Drawdown (num days)
    131
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58115
  • Compounded annual return (geometric extrapolation)
    0.66559
  • Calmar ratio (compounded annual return / max draw down)
    6.94085
  • Compounded annual return / average of 25% largest draw downs
    8.43171
  • Compounded annual return / Expected Shortfall lognormal
    25.65490

Strategy Description

EasyGBP- Custom EA - 100% Automatic No-Emotion Trading. No "Hold & Hope" Trading here. Most trades close within 1 week. Expect 3-7 open/closed trades per week. It all depends on Market Price-Action.

PRICE, PRICE, Baby... This is a PURE PRICE ACTION EA. Once in a trade a mechanical FX system takes over that will manage the trade to completion. More often *in* a trade than not just so we'll be there when the market makes its move. Secret sauce is I'll exit a trade QUICKLY when its wrong. No sleepless nights with this system. Losing periods will have smaller dips and wins will display bigger gains. If the market moves we'll probably be there. Steady Irregular Upward Profits, Low Drawdown and NO DRAMA. Sign Up Today...

Summary Statistics

Strategy began
2022-09-12
Suggested Minimum Capital
$60,000
Rank at C2 
#85
# Trades
298
# Profitable
115
% Profitable
38.6%
Correlation S&P500
-0.143
Sharpe Ratio
1.48
Sortino Ratio
2.77
Beta
-0.15
Alpha
0.11
Leverage
4.21 Average
15.77 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.