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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.
6.1%
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.

(14.8%)
Max Drawdown
592
Num Trades
38.3%
Win Trades
1.1 : 1
Profit Factor
40.0%
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%(1.2%)+4.9%(3.4%)+1.2%(5.5%)(3.5%)(1.5%)(1%)(0.2%)      +2.4%

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 412 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
11/29/23 2:05 EUR/USD EUR/USD LONG 9 1.09952 11/29 2:36 1.09851 n/a ($91)
11/28/23 20:00 EUR/USD EUR/USD LONG 1 1.10153 11/28 20:56 1.10050 0.02%
Trade id #146560525
Max drawdown($10)
Time11/28/23 20:56
Quant open1
Worst price1.10048
Drawdown as % of equity-0.02%
 ($10)
11/28/23 13:02 EUR/USD EUR/USD LONG 11 1.09829 11/28 20:00 1.10146 0.2%
Trade id #146557235
Max drawdown($106)
Time11/28/23 13:17
Quant open11
Worst price1.09732
Drawdown as % of equity-0.20%
 $349
11/28/23 11:56 EUR/USD EUR/USD LONG 16 1.10048 11/28 12:43 1.09932 0.39%
Trade id #146556530
Max drawdown($208)
Time11/28/23 12:43
Quant open16
Worst price1.09918
Drawdown as % of equity-0.39%
 ($186)
11/28/23 9:26 EUR/USD EUR/USD LONG 16 1.09822 11/28 10:11 1.09711 0.35%
Trade id #146553012
Max drawdown($187)
Time11/28/23 10:11
Quant open16
Worst price1.09705
Drawdown as % of equity-0.35%
 ($178)
11/27/23 19:00 EUR/USD EUR/USD LONG 11 1.09604 11/28 1:06 1.09492 0.23%
Trade id #146549659
Max drawdown($125)
Time11/28/23 1:06
Quant open11
Worst price1.09490
Drawdown as % of equity-0.23%
 ($123)
11/24/23 10:01 EUR/USD EUR/USD LONG 9 1.09395 11/24 12:06 1.09292 0.17%
Trade id #146526742
Max drawdown($92)
Time11/24/23 12:06
Quant open9
Worst price1.09292
Drawdown as % of equity-0.17%
 ($93)
11/23/23 3:30 EUR/USD EUR/USD LONG 1 1.09298 11/23 4:10 1.09090 0.04%
Trade id #146518914
Max drawdown($20)
Time11/23/23 4:10
Quant open1
Worst price1.09089
Drawdown as % of equity-0.04%
 ($21)
11/22/23 21:00 EUR/USD EUR/USD LONG 16 1.08954 11/23 3:15 1.09009 0.01%
Trade id #146517981
Max drawdown($6)
Time11/22/23 21:03
Quant open16
Worst price1.08950
Drawdown as % of equity-0.01%
 $88
11/22/23 3:00 EUR/USD EUR/USD LONG 11 1.09181 11/22 3:23 1.09067 0.24%
Trade id #146506777
Max drawdown($127)
Time11/22/23 3:23
Quant open11
Worst price1.09065
Drawdown as % of equity-0.24%
 ($125)
11/20/23 12:06 EUR/USD EUR/USD LONG 10 1.09501 11/20 12:41 1.09400 0.2%
Trade id #146491195
Max drawdown($106)
Time11/20/23 12:41
Quant open10
Worst price1.09395
Drawdown as % of equity-0.20%
 ($101)
11/19/23 23:16 EUR/USD EUR/USD LONG 1 1.09302 11/20 0:56 1.09197 0.06%
Trade id #146484905
Max drawdown($32)
Time11/20/23 0:00
Quant open1
Worst price1.08974
Drawdown as % of equity-0.06%
 ($11)
11/17/23 13:55 EUR/USD EUR/USD LONG 9 1.09023 11/19 23:16 1.09301 0.11%
Trade id #146474729
Max drawdown($62)
Time11/17/23 14:49
Quant open9
Worst price1.08954
Drawdown as % of equity-0.11%
 $250
11/17/23 9:03 EUR/USD EUR/USD LONG 9 1.08803 11/17 9:15 1.08706 0.18%
Trade id #146469314
Max drawdown($99)
Time11/17/23 9:15
Quant open9
Worst price1.08692
Drawdown as % of equity-0.18%
 ($87)
11/17/23 5:07 EUR/USD EUR/USD LONG 11 1.08588 11/17 6:37 1.08635 0.01%
Trade id #146468310
Max drawdown($4)
Time11/17/23 5:10
Quant open11
Worst price1.08584
Drawdown as % of equity-0.01%
 $52
11/16/23 9:00 EUR/USD EUR/USD LONG 9 1.08809 11/16 9:17 1.08709 0.18%
Trade id #146457588
Max drawdown($95)
Time11/16/23 9:17
Quant open9
Worst price1.08703
Drawdown as % of equity-0.18%
 ($90)
11/16/23 5:00 EUR/USD EUR/USD LONG 10 1.08511 11/16 7:21 1.08405 0.22%
Trade id #146456814
Max drawdown($118)
Time11/16/23 7:21
Quant open10
Worst price1.08393
Drawdown as % of equity-0.22%
 ($106)
11/14/23 13:00 EUR/USD EUR/USD LONG 1 1.08734 11/14 16:16 1.08767 0.01%
Trade id #146435794
Max drawdown($5)
Time11/14/23 14:25
Quant open1
Worst price1.08677
Drawdown as % of equity-0.01%
 $3
11/14/23 11:00 EUR/USD EUR/USD LONG 1 1.08379 11/14 12:39 1.08657 n/a $28
11/14/23 9:00 EUR/USD EUR/USD LONG 1 1.07930 11/14 9:11 1.08215 n/a $29
11/14/23 5:07 EUR/USD EUR/USD LONG 12 1.07285 11/14 8:53 1.07937 0.45%
Trade id #146426985
Max drawdown($242)
Time11/14/23 8:30
Quant open11
Worst price1.07012
Drawdown as % of equity-0.45%
 $783
11/13/23 8:05 EUR/USD EUR/USD SHORT 9 1.06694 11/13 9:58 1.06797 0.18%
Trade id #146417096
Max drawdown($96)
Time11/13/23 9:58
Quant open9
Worst price1.06801
Drawdown as % of equity-0.18%
 ($93)
11/13/23 4:36 EUR/USD EUR/USD LONG 9 1.07016 11/13 4:49 1.06909 0.18%
Trade id #146416410
Max drawdown($95)
Time11/13/23 4:49
Quant open9
Worst price1.06910
Drawdown as % of equity-0.18%
 ($96)
11/10/23 5:00 EUR/USD EUR/USD LONG 11 1.06774 11/10 9:09 1.06822 0.17%
Trade id #146394158
Max drawdown($89)
Time11/10/23 5:20
Quant open11
Worst price1.06693
Drawdown as % of equity-0.17%
 $53
11/10/23 2:09 EUR/USD EUR/USD SHORT 16 1.06590 11/10 3:09 1.06707 0.37%
Trade id #146393558
Max drawdown($200)
Time11/10/23 3:09
Quant open16
Worst price1.06715
Drawdown as % of equity-0.37%
 ($187)
11/9/23 9:52 EUR/USD EUR/USD LONG 16 1.07170 11/9 11:57 1.07053 0.35%
Trade id #146384971
Max drawdown($190)
Time11/9/23 11:57
Quant open16
Worst price1.07051
Drawdown as % of equity-0.35%
 ($187)
11/7/23 15:00 EUR/USD EUR/USD LONG 11 1.06955 11/8 1:01 1.06842 0.24%
Trade id #146359993
Max drawdown($129)
Time11/8/23 1:01
Quant open11
Worst price1.06837
Drawdown as % of equity-0.24%
 ($124)
11/3/23 11:53 EUR/USD EUR/USD LONG 5 1.07338 11/3 15:52 1.07234 0.1%
Trade id #146328375
Max drawdown($52)
Time11/3/23 15:52
Quant open5
Worst price1.07234
Drawdown as % of equity-0.10%
 ($52)
11/3/23 9:18 AUD/USD AUD/USD LONG 1 0.64977 11/3 10:01 0.65012 0%
Trade id #146324460
Max drawdown($2)
Time11/3/23 9:27
Quant open1
Worst price0.64950
Drawdown as % of equity-0.00%
 $4
11/3/23 9:00 EUR/USD EUR/USD LONG 1 1.07100 11/3 9:10 1.06992 0.02%
Trade id #146324375
Max drawdown($12)
Time11/3/23 9:10
Quant open1
Worst price1.06973
Drawdown as % of equity-0.02%
 ($11)
Next

Statistics

  • Strategy began
    9/12/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    442.95
  • Age
    15 months ago
  • What it trades
    Forex
  • # Trades
    592
  • # Profitable
    227
  • % Profitable
    38.30%
  • Avg trade duration
    7.0 hours
  • Max peak-to-valley drawdown
    14.83%
  • drawdown period
    April 05, 2023 - Nov 14, 2023
  • Annual Return (Compounded)
    6.1%
  • Avg win
    $351.27
  • Avg loss
    $200.68
  • Model Account Values (Raw)
  • Cash
    $56,491
  • Margin Used
    $0
  • Buying Power
    $56,491
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.56
  • Calmar Ratio
    1.093
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.29%
  • Correlation to SP500
    -0.09580
  • Return Percent SP500 (cumu) during strategy life
    10.81%
  • Return Statistics
  • Ann Return (w trading costs)
    6.1%
  • Slump
  • Current Slump as Pcnt Equity
    16.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.061%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    500
  • Popularity (Last 6 weeks)
    815
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    755
  • Popularity (7 days, Percentile 1000 scale)
    396
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $201
  • Avg Win
    $351
  • Sum Trade PL (losers)
    $73,249.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $79,738.000
  • # Winners
    227
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    365
  • % Winners
    38.3%
  • Frequency
  • Avg Position Time (mins)
    422.90
  • Avg Position Time (hrs)
    7.05
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.32
  • Daily leverage (max)
    15.77
  • Regression
  • Alpha
    0.02
  • Beta
    -0.09
  • Treynor Index
    -0.19
  • 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)
    0.42
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -19.521
  • 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
    0.335
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.054
  • Hold-and-Hope Ratio
    -0.051
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10784
  • SD
    0.15533
  • Sharpe ratio (Glass type estimate)
    0.69426
  • Sharpe ratio (Hedges UMVUE)
    0.64979
  • df
    12.00000
  • t
    0.72261
  • p
    0.39790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22273
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55072
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60983
  • Upside Potential Ratio
    3.55337
  • Upside part of mean
    0.23804
  • Downside part of mean
    -0.13020
  • Upside SD
    0.13695
  • Downside SD
    0.06699
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.09101
  • Mean of criterion
    0.10784
  • SD of predictor
    0.22097
  • SD of criterion
    0.15533
  • Covariance
    -0.01222
  • r
    -0.35593
  • b (slope, estimate of beta)
    -0.25021
  • a (intercept, estimate of alpha)
    0.13061
  • Mean Square Error
    0.02299
  • DF error
    11.00000
  • t(b)
    -1.26320
  • p(b)
    0.88368
  • t(a)
    0.88987
  • p(a)
    0.19629
  • Lowerbound of 95% confidence interval for beta
    -0.68617
  • Upperbound of 95% confidence interval for beta
    0.18575
  • Lowerbound of 95% confidence interval for alpha
    -0.19245
  • Upperbound of 95% confidence interval for alpha
    0.45367
  • Treynor index (mean / b)
    -0.43101
  • Jensen alpha (a)
    0.13061
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09648
  • SD
    0.15089
  • Sharpe ratio (Glass type estimate)
    0.63943
  • Sharpe ratio (Hedges UMVUE)
    0.59847
  • df
    12.00000
  • t
    0.66554
  • p
    0.40566
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27348
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49670
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41443
  • Upside Potential Ratio
    3.35237
  • Upside part of mean
    0.22867
  • Downside part of mean
    -0.13219
  • Upside SD
    0.13091
  • Downside SD
    0.06821
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.06777
  • Mean of criterion
    0.09648
  • SD of predictor
    0.22325
  • SD of criterion
    0.15089
  • Covariance
    -0.01215
  • r
    -0.36076
  • b (slope, estimate of beta)
    -0.24382
  • a (intercept, estimate of alpha)
    0.11300
  • Mean Square Error
    0.02160
  • DF error
    11.00000
  • t(b)
    -1.28290
  • p(b)
    0.88705
  • t(a)
    0.79692
  • p(a)
    0.22118
  • Lowerbound of 95% confidence interval for beta
    -0.66212
  • Upperbound of 95% confidence interval for beta
    0.17449
  • Lowerbound of 95% confidence interval for alpha
    -0.19910
  • Upperbound of 95% confidence interval for alpha
    0.42511
  • Treynor index (mean / b)
    -0.39570
  • Jensen alpha (a)
    0.11300
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06162
  • Expected Shortfall on VaR
    0.07843
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02412
  • Expected Shortfall on VaR
    0.04390
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.95209
  • Quartile 1
    0.98544
  • Median
    1.00242
  • Quartile 3
    1.01777
  • Maximum
    1.11065
  • Mean of quarter 1
    0.97051
  • Mean of quarter 2
    0.99776
  • Mean of quarter 3
    1.00914
  • Mean of quarter 4
    1.08144
  • Inter Quartile Range
    0.03233
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.08954
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.81359
  • VaR(95%) (moments method)
    0.03173
  • Expected Shortfall (moments method)
    0.03246
  • Extreme Value Index (regression method)
    -0.42084
  • VaR(95%) (regression method)
    0.04797
  • Expected Shortfall (regression method)
    0.05711
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01456
  • Quartile 1
    0.03760
  • Median
    0.06064
  • Quartile 3
    0.08367
  • Maximum
    0.10671
  • Mean of quarter 1
    0.01456
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10671
  • Inter Quartile Range
    0.04608
  • 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)
    0.13316
  • Compounded annual return (geometric extrapolation)
    0.13245
  • Calmar ratio (compounded annual return / max draw down)
    1.24123
  • Compounded annual return / average of 25% largest draw downs
    1.24123
  • Compounded annual return / Expected Shortfall lognormal
    1.68884
  • 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
    0.10602
  • SD
    0.16995
  • Sharpe ratio (Glass type estimate)
    0.62387
  • Sharpe ratio (Hedges UMVUE)
    0.62223
  • df
    286.00000
  • t
    0.65296
  • p
    0.25715
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24998
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49558
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07474
  • Upside Potential Ratio
    8.72172
  • Upside part of mean
    0.86041
  • Downside part of mean
    -0.75439
  • Upside SD
    0.13817
  • Downside SD
    0.09865
  • N nonnegative terms
    119.00000
  • N negative terms
    168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    287.00000
  • Mean of predictor
    0.08199
  • Mean of criterion
    0.10602
  • SD of predictor
    0.18028
  • SD of criterion
    0.16995
  • Covariance
    -0.00312
  • r
    -0.10187
  • b (slope, estimate of beta)
    -0.09604
  • a (intercept, estimate of alpha)
    0.11400
  • Mean Square Error
    0.02868
  • DF error
    285.00000
  • t(b)
    -1.72882
  • p(b)
    0.95754
  • t(a)
    0.70361
  • p(a)
    0.24113
  • Lowerbound of 95% confidence interval for beta
    -0.20537
  • Upperbound of 95% confidence interval for beta
    0.01330
  • Lowerbound of 95% confidence interval for alpha
    -0.20473
  • Upperbound of 95% confidence interval for alpha
    0.43253
  • Treynor index (mean / b)
    -1.10402
  • Jensen alpha (a)
    0.11390
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09173
  • SD
    0.16881
  • Sharpe ratio (Glass type estimate)
    0.54341
  • Sharpe ratio (Hedges UMVUE)
    0.54198
  • df
    286.00000
  • t
    0.56874
  • p
    0.28499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41615
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41516
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92019
  • Upside Potential Ratio
    8.53613
  • Upside part of mean
    0.85098
  • Downside part of mean
    -0.75924
  • Upside SD
    0.13599
  • Downside SD
    0.09969
  • N nonnegative terms
    119.00000
  • N negative terms
    168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    287.00000
  • Mean of predictor
    0.06583
  • Mean of criterion
    0.09173
  • SD of predictor
    0.17991
  • SD of criterion
    0.16881
  • Covariance
    -0.00305
  • r
    -0.10039
  • b (slope, estimate of beta)
    -0.09420
  • a (intercept, estimate of alpha)
    0.09794
  • Mean Square Error
    0.02831
  • DF error
    285.00000
  • t(b)
    -1.70337
  • p(b)
    0.95521
  • t(a)
    0.60905
  • p(a)
    0.27149
  • Lowerbound of 95% confidence interval for beta
    -0.20305
  • Upperbound of 95% confidence interval for beta
    0.01465
  • Lowerbound of 95% confidence interval for alpha
    -0.21857
  • Upperbound of 95% confidence interval for alpha
    0.41445
  • Treynor index (mean / b)
    -0.97384
  • Jensen alpha (a)
    0.09794
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01666
  • Expected Shortfall on VaR
    0.02093
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00730
  • Expected Shortfall on VaR
    0.01422
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    287.00000
  • Minimum
    0.96363
  • Quartile 1
    0.99635
  • Median
    0.99990
  • Quartile 3
    1.00258
  • Maximum
    1.05194
  • Mean of quarter 1
    0.99050
  • Mean of quarter 2
    0.99827
  • Mean of quarter 3
    1.00075
  • Mean of quarter 4
    1.01253
  • Inter Quartile Range
    0.00623
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.05226
  • Mean of outliers low
    0.97867
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.08711
  • Mean of outliers high
    1.02569
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45556
  • VaR(95%) (moments method)
    0.01018
  • Expected Shortfall (moments method)
    0.02074
  • Extreme Value Index (regression method)
    0.32920
  • VaR(95%) (regression method)
    0.00830
  • Expected Shortfall (regression method)
    0.01385
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00010
  • Quartile 1
    0.01499
  • Median
    0.03432
  • Quartile 3
    0.06001
  • Maximum
    0.11632
  • Mean of quarter 1
    0.00524
  • Mean of quarter 2
    0.02597
  • Mean of quarter 3
    0.04522
  • Mean of quarter 4
    0.09140
  • Inter Quartile Range
    0.04501
  • 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)
    -14.20530
  • VaR(95%) (moments method)
    0.09734
  • Expected Shortfall (moments method)
    0.09734
  • Extreme Value Index (regression method)
    -1.73163
  • VaR(95%) (regression method)
    0.13683
  • Expected Shortfall (regression method)
    0.13949
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12784
  • Compounded annual return (geometric extrapolation)
    0.12709
  • Calmar ratio (compounded annual return / max draw down)
    1.09265
  • Compounded annual return / average of 25% largest draw downs
    1.39055
  • Compounded annual return / Expected Shortfall lognormal
    6.07142
  • 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
    -0.24219
  • SD
    0.07759
  • Sharpe ratio (Glass type estimate)
    -3.12124
  • Sharpe ratio (Hedges UMVUE)
    -3.10320
  • df
    130.00000
  • t
    -2.20705
  • p
    0.59502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.91305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.31775
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.90056
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30585
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.56337
  • Upside Potential Ratio
    3.79632
  • Upside part of mean
    0.25802
  • Downside part of mean
    -0.50021
  • Upside SD
    0.03974
  • Downside SD
    0.06797
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17516
  • Mean of criterion
    -0.24219
  • SD of predictor
    0.13364
  • SD of criterion
    0.07759
  • Covariance
    0.00124
  • r
    0.11914
  • b (slope, estimate of beta)
    0.06917
  • a (intercept, estimate of alpha)
    -0.25431
  • Mean Square Error
    0.00598
  • DF error
    129.00000
  • t(b)
    1.36283
  • p(b)
    0.42434
  • t(a)
    -2.31745
  • p(a)
    0.62642
  • Lowerbound of 95% confidence interval for beta
    -0.03125
  • Upperbound of 95% confidence interval for beta
    0.16960
  • Lowerbound of 95% confidence interval for alpha
    -0.47142
  • Upperbound of 95% confidence interval for alpha
    -0.03719
  • Treynor index (mean / b)
    -3.50115
  • Jensen alpha (a)
    -0.25431
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24529
  • SD
    0.07803
  • Sharpe ratio (Glass type estimate)
    -3.14354
  • Sharpe ratio (Hedges UMVUE)
    -3.12537
  • df
    130.00000
  • t
    -2.22282
  • p
    0.59568
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.93559
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.33967
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.92309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32765
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.57410
  • Upside Potential Ratio
    3.74784
  • Upside part of mean
    0.25721
  • Downside part of mean
    -0.50250
  • Upside SD
    0.03952
  • Downside SD
    0.06863
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16624
  • Mean of criterion
    -0.24529
  • SD of predictor
    0.13349
  • SD of criterion
    0.07803
  • Covariance
    0.00124
  • r
    0.11880
  • b (slope, estimate of beta)
    0.06945
  • a (intercept, estimate of alpha)
    -0.25683
  • Mean Square Error
    0.00605
  • DF error
    129.00000
  • t(b)
    1.35898
  • p(b)
    0.42455
  • t(a)
    -2.32807
  • p(a)
    0.62697
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.03166
  • Upperbound of 95% confidence interval for beta
    0.17055
  • Lowerbound of 95% confidence interval for alpha
    -0.47510
  • Upperbound of 95% confidence interval for alpha
    -0.03856
  • Treynor index (mean / b)
    -3.53209
  • Jensen alpha (a)
    -0.25683
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00883
  • Expected Shortfall on VaR
    0.01082
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00507
  • Expected Shortfall on VaR
    0.00995
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96774
  • Quartile 1
    0.99760
  • Median
    0.99993
  • Quartile 3
    1.00106
  • Maximum
    1.01878
  • Mean of quarter 1
    0.99393
  • Mean of quarter 2
    0.99876
  • Mean of quarter 3
    1.00026
  • Mean of quarter 4
    1.00381
  • Inter Quartile Range
    0.00346
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98579
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01131
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34489
  • VaR(95%) (moments method)
    0.00619
  • Expected Shortfall (moments method)
    0.01093
  • Extreme Value Index (regression method)
    0.42463
  • VaR(95%) (regression method)
    0.00603
  • Expected Shortfall (regression method)
    0.01144
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11338
  • Quartile 1
    0.11338
  • Median
    0.11338
  • Quartile 3
    0.11338
  • Maximum
    0.11338
  • 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
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -342948000
  • Max Equity Drawdown (num days)
    223
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.20599
  • Compounded annual return (geometric extrapolation)
    -0.19538
  • Calmar ratio (compounded annual return / max draw down)
    -1.72325
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -18.05820

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
$50,000
Rank at C2 
#185
# Trades
592
# Profitable
227
% Profitable
38.3%
Correlation S&P500
-0.096
Sharpe Ratio
0.33
Sortino Ratio
0.56
Beta
-0.09
Alpha
0.02
Leverage
3.32 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.