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Featured Strategy Cryptoverse Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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RC 105 ForEx
(143135149)

Created by: KishoreRamaraju3 KishoreRamaraju3
Started: 01/2023
Forex
Last trade: 4 days ago

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 $299.00 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.

30.1%
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.

(20.8%)
Max Drawdown
671
Num Trades
76.2%
Win Trades
1.5 : 1
Profit Factor
45.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023+30.6%+29.2%(0.2%)(2.7%)(2.3%)+5.6%+3.7%+2.1%+1.1%(6.2%)+9.8%(2.9%)+81.0%
2024(2.7%)+5.8%+3.5%(0.7%)(3.2%)(2.2%)+13.0%(10%)(1.5%)(9.2%)+6.3%(4.3%)(7.3%)

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 1,337 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/27/24 8:39 USD/CHF USD/CHF LONG 20 0.90503 12/18 16:26 0.87615 17.58%
Trade id #148263157
Max drawdown($13,707)
Time8/5/24 0:00
Quant open20
Worst price0.84323
Drawdown as % of equity-17.58%
 ($6,414)
12/17/24 22:43 USD/JPY USD/JPY LONG 11 153.609 12/18 7:34 153.658 0.29%
Trade id #150349582
Max drawdown($197)
Time12/18/24 1:45
Quant open11
Worst price153.332
Drawdown as % of equity-0.29%
 $35
12/17/24 22:43 GBP/JPY GBP/JPY LONG 9 195.126 12/18 7:34 195.384 0.36%
Trade id #150349579
Max drawdown($249)
Time12/18/24 2:40
Quant open9
Worst price194.697
Drawdown as % of equity-0.36%
 $151
12/13/24 9:55 GBP/JPY GBP/JPY LONG 8 194.136 12/15 23:03 194.279 0.41%
Trade id #150318946
Max drawdown($280)
Time12/15/24 17:47
Quant open8
Worst price193.597
Drawdown as % of equity-0.41%
 $74
12/13/24 9:54 NZD/JPY NZD/JPY LONG 17 88.531 12/15 23:03 88.829 0.24%
Trade id #150318932
Max drawdown($165)
Time12/13/24 10:42
Quant open17
Worst price88.381
Drawdown as % of equity-0.24%
 $330
12/9/24 10:27 EUR/JPY EUR/JPY LONG 10 159.863 12/10 14:44 159.918 0.47%
Trade id #150278941
Max drawdown($325)
Time12/10/24 0:58
Quant open10
Worst price159.369
Drawdown as % of equity-0.47%
 $36
12/9/24 10:27 GBP/JPY GBP/JPY LONG 8 193.266 12/10 7:29 193.271 0.62%
Trade id #150278958
Max drawdown($430)
Time12/10/24 0:58
Quant open8
Worst price192.451
Drawdown as % of equity-0.62%
 $3
11/29/24 8:05 EUR/CAD EUR/CAD LONG 10 1.48022 12/4 12:42 1.48215 0.8%
Trade id #150207138
Max drawdown($564)
Time12/2/24 0:00
Quant open10
Worst price1.47228
Drawdown as % of equity-0.80%
 $137
11/27/24 10:17 EUR/USD EUR/USD SHORT 17 1.05338 12/2 16:00 1.04983 1.54%
Trade id #150194432
Max drawdown($1,076)
Time11/29/24 0:00
Quant open17
Worst price1.05971
Drawdown as % of equity-1.54%
 $604
11/28/24 9:29 GBP/CAD GBP/CAD LONG 8 1.77520 11/29 8:04 1.77900 0.07%
Trade id #150201419
Max drawdown($49)
Time11/28/24 9:41
Quant open8
Worst price1.77433
Drawdown as % of equity-0.07%
 $217
11/21/24 9:33 NZD/USD NZD/USD LONG 17 0.58765 11/27 9:26 0.58983 2.05%
Trade id #150141197
Max drawdown($1,353)
Time11/26/24 0:00
Quant open17
Worst price0.57969
Drawdown as % of equity-2.05%
 $371
11/20/24 7:52 EUR/USD EUR/USD SHORT 10 1.05629 11/20 10:10 1.05300 0.01%
Trade id #150130281
Max drawdown($9)
Time11/20/24 7:55
Quant open10
Worst price1.05638
Drawdown as % of equity-0.01%
 $329
11/20/24 7:53 CAD/JPY CAD/JPY SHORT 14 111.383 11/20 10:10 110.781 0.04%
Trade id #150130287
Max drawdown($26)
Time11/20/24 9:15
Quant open14
Worst price111.412
Drawdown as % of equity-0.04%
 $542
11/15/24 8:43 NZD/USD NZD/USD SHORT 17 0.58663 11/15 9:46 0.58547 0.17%
Trade id #150094407
Max drawdown($113)
Time11/15/24 8:50
Quant open17
Worst price0.58730
Drawdown as % of equity-0.17%
 $197
11/13/24 8:25 GBP/CAD GBP/CAD SHORT 8 1.77762 11/14 6:09 1.77077 0.24%
Trade id #150073488
Max drawdown($160)
Time11/13/24 9:30
Quant open8
Worst price1.78043
Drawdown as % of equity-0.24%
 $391
11/11/24 9:03 EUR/USD EUR/USD SHORT 11 1.06497 11/11 23:03 1.06447 0.22%
Trade id #150053326
Max drawdown($146)
Time11/11/24 19:00
Quant open11
Worst price1.06630
Drawdown as % of equity-0.22%
 $55
11/8/24 7:32 EUR/USD EUR/USD SHORT 10 1.07688 11/8 14:19 1.07121 0.11%
Trade id #150037522
Max drawdown($77)
Time11/8/24 7:36
Quant open10
Worst price1.07765
Drawdown as % of equity-0.11%
 $567
10/31/24 9:25 USD/JPY USD/JPY LONG 12 152.776 11/5 20:05 152.970 1.73%
Trade id #149914433
Max drawdown($1,163)
Time11/5/24 19:03
Quant open12
Worst price151.279
Drawdown as % of equity-1.73%
 $152
10/28/24 9:49 EUR/USD EUR/USD SHORT 17 1.08171 10/28 16:40 1.08153 0.27%
Trade id #149863264
Max drawdown($178)
Time10/28/24 10:53
Quant open17
Worst price1.08276
Drawdown as % of equity-0.27%
 $31
10/25/24 8:40 USD/JPY USD/JPY SHORT 17 151.891 10/25 8:43 151.858 n/a $38
10/24/24 6:47 EUR/USD EUR/USD SHORT 10 1.08018 10/24 10:13 1.08066 0.14%
Trade id #149815749
Max drawdown($94)
Time10/24/24 9:31
Quant open10
Worst price1.08112
Drawdown as % of equity-0.14%
 ($48)
10/24/24 6:48 NZD/USD NZD/USD SHORT 17 0.60287 10/24 10:13 0.60162 0.09%
Trade id #149815752
Max drawdown($58)
Time10/24/24 7:10
Quant open17
Worst price0.60322
Drawdown as % of equity-0.09%
 $213
10/17/24 8:19 EUR/USD EUR/USD SHORT 17 1.08627 10/17 8:56 1.08429 0.15%
Trade id #149683198
Max drawdown($102)
Time10/17/24 8:23
Quant open17
Worst price1.08687
Drawdown as % of equity-0.15%
 $337
10/16/24 9:11 EUR/USD EUR/USD SHORT 17 1.08857 10/16 13:40 1.08630 0.29%
Trade id #149672110
Max drawdown($200)
Time10/16/24 9:25
Quant open17
Worst price1.08975
Drawdown as % of equity-0.29%
 $386
10/9/24 10:27 NZD/USD NZD/USD SHORT 17 0.60640 10/9 14:04 0.60593 0.1%
Trade id #149616662
Max drawdown($69)
Time10/9/24 11:44
Quant open17
Worst price0.60681
Drawdown as % of equity-0.10%
 $80
10/9/24 10:30 EUR/USD EUR/USD SHORT 17 1.09534 10/9 14:04 1.09397 0.07%
Trade id #149616706
Max drawdown($45)
Time10/9/24 11:27
Quant open17
Worst price1.09561
Drawdown as % of equity-0.07%
 $233
10/8/24 10:14 EUR/USD EUR/USD SHORT 9 1.09754 10/8 13:18 1.09667 0.06%
Trade id #149605285
Max drawdown($45)
Time10/8/24 10:20
Quant open9
Worst price1.09804
Drawdown as % of equity-0.06%
 $78
10/8/24 10:14 NZD/USD NZD/USD SHORT 17 0.61209 10/8 13:18 0.61142 0.13%
Trade id #149605282
Max drawdown($91)
Time10/8/24 10:20
Quant open17
Worst price0.61263
Drawdown as % of equity-0.13%
 $114
10/7/24 9:04 NZD/USD NZD/USD SHORT 16 0.61437 10/7 10:24 0.61329 0.14%
Trade id #149592728
Max drawdown($100)
Time10/7/24 9:15
Quant open16
Worst price0.61500
Drawdown as % of equity-0.14%
 $173
10/3/24 8:40 EUR/USD EUR/USD SHORT 8 1.10323 10/3 10:36 1.10243 0.13%
Trade id #149567309
Max drawdown($92)
Time10/3/24 9:47
Quant open8
Worst price1.10438
Drawdown as % of equity-0.13%
 $64
Next

Statistics

  • Strategy began
    1/7/2023
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    714.33
  • Age
    24 months ago
  • What it trades
    Forex
  • # Trades
    671
  • # Profitable
    511
  • % Profitable
    76.20%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    20.81%
  • drawdown period
    July 31, 2024 - Nov 25, 2024
  • Annual Return (Compounded)
    30.1%
  • Avg win
    $210.66
  • Avg loss
    $453.34
  • Model Account Values (Raw)
  • Cash
    $100,286
  • Margin Used
    $11,862
  • Buying Power
    $63,244
  • Ratios
  • W:L ratio
    1.48:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.67
  • Calmar Ratio
    2.229
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.52%
  • Correlation to SP500
    0.02040
  • Return Percent SP500 (cumu) during strategy life
    52.27%
  • Return Statistics
  • Ann Return (w trading costs)
    30.1%
  • Slump
  • Current Slump as Pcnt Equity
    22.80%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.301%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.00%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    3.00%
  • 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)
    936
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    407
  • Popularity (7 days, Percentile 1000 scale)
    790
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $453
  • Avg Win
    $211
  • Sum Trade PL (losers)
    $72,534.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $107,646.000
  • # Winners
    511
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    994994
  • Win / Loss
  • # Losers
    160
  • % Winners
    76.2%
  • Frequency
  • Avg Position Time (mins)
    4446.75
  • Avg Position Time (hrs)
    74.11
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    5.85
  • Daily leverage (max)
    31.74
  • Regression
  • Alpha
    0.07
  • Beta
    0.04
  • Treynor Index
    2.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.06
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    10.174
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.647
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.732
  • Hold-and-Hope Ratio
    0.106
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36583
  • SD
    0.37367
  • Sharpe ratio (Glass type estimate)
    0.97901
  • Sharpe ratio (Hedges UMVUE)
    0.94518
  • df
    22.00000
  • t
    1.35538
  • p
    0.09453
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41301
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38818
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.79337
  • Upside Potential Ratio
    5.17538
  • Upside part of mean
    0.49911
  • Downside part of mean
    -0.13328
  • Upside SD
    0.36798
  • Downside SD
    0.09644
  • N nonnegative terms
    15.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.21030
  • Mean of criterion
    0.36583
  • SD of predictor
    0.10997
  • SD of criterion
    0.37367
  • Covariance
    0.00671
  • r
    0.16325
  • b (slope, estimate of beta)
    0.55471
  • a (intercept, estimate of alpha)
    0.24917
  • Mean Square Error
    0.14238
  • DF error
    21.00000
  • t(b)
    0.75829
  • p(b)
    0.39653
  • t(a)
    0.79615
  • p(a)
    0.39156
  • Lowerbound of 95% confidence interval for beta
    -0.96659
  • Upperbound of 95% confidence interval for beta
    2.07600
  • Lowerbound of 95% confidence interval for alpha
    -0.40169
  • Upperbound of 95% confidence interval for alpha
    0.90004
  • Treynor index (mean / b)
    0.65949
  • Jensen alpha (a)
    0.24917
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30756
  • SD
    0.31535
  • Sharpe ratio (Glass type estimate)
    0.97530
  • Sharpe ratio (Hedges UMVUE)
    0.94160
  • df
    22.00000
  • t
    1.35024
  • p
    0.09533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47969
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38439
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02820
  • Upside Potential Ratio
    4.38637
  • Upside part of mean
    0.44550
  • Downside part of mean
    -0.13794
  • Upside SD
    0.30445
  • Downside SD
    0.10157
  • N nonnegative terms
    15.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.20233
  • Mean of criterion
    0.30756
  • SD of predictor
    0.10935
  • SD of criterion
    0.31535
  • Covariance
    0.00447
  • r
    0.12954
  • b (slope, estimate of beta)
    0.37357
  • a (intercept, estimate of alpha)
    0.23198
  • Mean Square Error
    0.10243
  • DF error
    21.00000
  • t(b)
    0.59865
  • p(b)
    0.41777
  • t(a)
    0.88067
  • p(a)
    0.38057
  • Lowerbound of 95% confidence interval for beta
    -0.92415
  • Upperbound of 95% confidence interval for beta
    1.67128
  • Lowerbound of 95% confidence interval for alpha
    -0.31581
  • Upperbound of 95% confidence interval for alpha
    0.77977
  • Treynor index (mean / b)
    0.82331
  • Jensen alpha (a)
    0.23198
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11671
  • Expected Shortfall on VaR
    0.14921
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01947
  • Expected Shortfall on VaR
    0.04385
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.88224
  • Quartile 1
    0.99005
  • Median
    1.02315
  • Quartile 3
    1.03924
  • Maximum
    1.49000
  • Mean of quarter 1
    0.96182
  • Mean of quarter 2
    1.00743
  • Mean of quarter 3
    1.03230
  • Mean of quarter 4
    1.12962
  • Inter Quartile Range
    0.04919
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.88224
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.49000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31365
  • VaR(95%) (moments method)
    0.03444
  • Expected Shortfall (moments method)
    0.06267
  • Extreme Value Index (regression method)
    0.65820
  • VaR(95%) (regression method)
    0.04753
  • Expected Shortfall (regression method)
    0.15335
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01658
  • Quartile 1
    0.02408
  • Median
    0.03514
  • Quartile 3
    0.06930
  • Maximum
    0.14610
  • Mean of quarter 1
    0.01658
  • Mean of quarter 2
    0.02658
  • Mean of quarter 3
    0.04371
  • Mean of quarter 4
    0.14610
  • Inter Quartile Range
    0.04522
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.14610
  • 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)
    0.47068
  • Compounded annual return (geometric extrapolation)
    0.39859
  • Calmar ratio (compounded annual return / max draw down)
    2.72822
  • Compounded annual return / average of 25% largest draw downs
    2.72822
  • Compounded annual return / Expected Shortfall lognormal
    2.67146
  • 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
    0.31734
  • SD
    0.22534
  • Sharpe ratio (Glass type estimate)
    1.40829
  • Sharpe ratio (Hedges UMVUE)
    1.40620
  • df
    506.00000
  • t
    1.95905
  • p
    0.02533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81781
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41951
  • Upside Potential Ratio
    9.67856
  • Upside part of mean
    1.26943
  • Downside part of mean
    -0.95209
  • Upside SD
    0.18401
  • Downside SD
    0.13116
  • N nonnegative terms
    272.00000
  • N negative terms
    235.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    507.00000
  • Mean of predictor
    0.19806
  • Mean of criterion
    0.31734
  • SD of predictor
    0.12822
  • SD of criterion
    0.22534
  • Covariance
    0.00076
  • r
    0.02622
  • b (slope, estimate of beta)
    0.04607
  • a (intercept, estimate of alpha)
    0.30800
  • Mean Square Error
    0.05084
  • DF error
    505.00000
  • t(b)
    0.58934
  • p(b)
    0.27795
  • t(a)
    1.89287
  • p(a)
    0.02947
  • Lowerbound of 95% confidence interval for beta
    -0.10752
  • Upperbound of 95% confidence interval for beta
    0.19967
  • Lowerbound of 95% confidence interval for alpha
    -0.01169
  • Upperbound of 95% confidence interval for alpha
    0.62812
  • Treynor index (mean / b)
    6.88768
  • Jensen alpha (a)
    0.30822
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29212
  • SD
    0.22326
  • Sharpe ratio (Glass type estimate)
    1.30838
  • Sharpe ratio (Hedges UMVUE)
    1.30644
  • df
    506.00000
  • t
    1.82006
  • p
    0.03467
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10350
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71768
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18754
  • Upside Potential Ratio
    9.38260
  • Upside part of mean
    1.25291
  • Downside part of mean
    -0.96080
  • Upside SD
    0.17956
  • Downside SD
    0.13354
  • N nonnegative terms
    272.00000
  • N negative terms
    235.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    507.00000
  • Mean of predictor
    0.18977
  • Mean of criterion
    0.29212
  • SD of predictor
    0.12826
  • SD of criterion
    0.22326
  • Covariance
    0.00082
  • r
    0.02868
  • b (slope, estimate of beta)
    0.04993
  • a (intercept, estimate of alpha)
    0.28264
  • Mean Square Error
    0.04991
  • DF error
    505.00000
  • t(b)
    0.64486
  • p(b)
    0.25966
  • t(a)
    1.75269
  • p(a)
    0.04013
  • Lowerbound of 95% confidence interval for beta
    -0.10219
  • Upperbound of 95% confidence interval for beta
    0.20205
  • Lowerbound of 95% confidence interval for alpha
    -0.03418
  • Upperbound of 95% confidence interval for alpha
    0.59947
  • Treynor index (mean / b)
    5.85059
  • Jensen alpha (a)
    0.28264
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02134
  • Expected Shortfall on VaR
    0.02695
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00791
  • Expected Shortfall on VaR
    0.01627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    507.00000
  • Minimum
    0.92928
  • Quartile 1
    0.99489
  • Median
    1.00085
  • Quartile 3
    1.00542
  • Maximum
    1.09542
  • Mean of quarter 1
    0.98755
  • Mean of quarter 2
    0.99822
  • Mean of quarter 3
    1.00314
  • Mean of quarter 4
    1.01638
  • Inter Quartile Range
    0.01053
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.02367
  • Mean of outliers low
    0.96366
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.05523
  • Mean of outliers high
    1.03938
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30158
  • VaR(95%) (moments method)
    0.01275
  • Expected Shortfall (moments method)
    0.02130
  • Extreme Value Index (regression method)
    0.20671
  • VaR(95%) (regression method)
    0.01117
  • Expected Shortfall (regression method)
    0.01670
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00777
  • Median
    0.01868
  • Quartile 3
    0.06734
  • Maximum
    0.16922
  • Mean of quarter 1
    0.00170
  • Mean of quarter 2
    0.01568
  • Mean of quarter 3
    0.03418
  • Mean of quarter 4
    0.10335
  • Inter Quartile Range
    0.05957
  • 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
    0.03846
  • Mean of outliers high
    0.16922
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.08652
  • VaR(95%) (moments method)
    0.11365
  • Expected Shortfall (moments method)
    0.13798
  • Extreme Value Index (regression method)
    0.02879
  • VaR(95%) (regression method)
    0.11959
  • Expected Shortfall (regression method)
    0.15108
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44317
  • Compounded annual return (geometric extrapolation)
    0.37716
  • Calmar ratio (compounded annual return / max draw down)
    2.22874
  • Compounded annual return / average of 25% largest draw downs
    3.64934
  • Compounded annual return / Expected Shortfall lognormal
    13.99270
  • 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
    -0.04144
  • SD
    0.19839
  • Sharpe ratio (Glass type estimate)
    -0.20886
  • Sharpe ratio (Hedges UMVUE)
    -0.20765
  • df
    130.00000
  • t
    -0.14769
  • p
    0.50648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98042
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97957
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56427
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29640
  • Upside Potential Ratio
    7.58456
  • Upside part of mean
    1.06031
  • Downside part of mean
    -1.10174
  • Upside SD
    0.13972
  • Downside SD
    0.13980
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.04144
  • SD of predictor
    0.14146
  • SD of criterion
    0.19839
  • Covariance
    0.00627
  • r
    0.22346
  • b (slope, estimate of beta)
    0.31340
  • a (intercept, estimate of alpha)
    -0.08616
  • Mean Square Error
    0.03768
  • DF error
    129.00000
  • t(b)
    2.60390
  • p(b)
    0.35893
  • t(a)
    -0.31325
  • p(a)
    0.51755
  • Lowerbound of 95% confidence interval for beta
    0.07527
  • Upperbound of 95% confidence interval for beta
    0.55152
  • Lowerbound of 95% confidence interval for alpha
    -0.63039
  • Upperbound of 95% confidence interval for alpha
    0.45806
  • Treynor index (mean / b)
    -0.13222
  • Jensen alpha (a)
    -0.08616
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06104
  • SD
    0.19896
  • Sharpe ratio (Glass type estimate)
    -0.30678
  • Sharpe ratio (Hedges UMVUE)
    -0.30501
  • df
    130.00000
  • t
    -0.21693
  • p
    0.50951
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.07835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.07706
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46705
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42841
  • Upside Potential Ratio
    7.37416
  • Upside part of mean
    1.05061
  • Downside part of mean
    -1.11165
  • Upside SD
    0.13784
  • Downside SD
    0.14247
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    -0.06104
  • SD of predictor
    0.14181
  • SD of criterion
    0.19896
  • Covariance
    0.00643
  • r
    0.22788
  • b (slope, estimate of beta)
    0.31972
  • a (intercept, estimate of alpha)
    -0.10347
  • Mean Square Error
    0.03782
  • DF error
    129.00000
  • t(b)
    2.65821
  • p(b)
    0.35619
  • t(a)
    -0.37557
  • p(a)
    0.52104
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.08175
  • Upperbound of 95% confidence interval for beta
    0.55770
  • Lowerbound of 95% confidence interval for alpha
    -0.64854
  • Upperbound of 95% confidence interval for alpha
    0.44160
  • Treynor index (mean / b)
    -0.19090
  • Jensen alpha (a)
    -0.10347
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02024
  • Expected Shortfall on VaR
    0.02525
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00982
  • Expected Shortfall on VaR
    0.01920
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93452
  • Quartile 1
    0.99386
  • Median
    0.99976
  • Quartile 3
    1.00548
  • Maximum
    1.03940
  • Mean of quarter 1
    0.98677
  • Mean of quarter 2
    0.99675
  • Mean of quarter 3
    1.00249
  • Mean of quarter 4
    1.01386
  • Inter Quartile Range
    0.01162
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95381
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.03340
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12877
  • VaR(95%) (moments method)
    0.01322
  • Expected Shortfall (moments method)
    0.01877
  • Extreme Value Index (regression method)
    0.28134
  • VaR(95%) (regression method)
    0.01170
  • Expected Shortfall (regression method)
    0.01752
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00024
  • Quartile 1
    0.01220
  • Median
    0.02482
  • Quartile 3
    0.06740
  • Maximum
    0.16922
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.01619
  • Mean of quarter 3
    0.03345
  • Mean of quarter 4
    0.16922
  • Inter Quartile Range
    0.05519
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.16922
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -332407000
  • Max Equity Drawdown (num days)
    117
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03286
  • Compounded annual return (geometric extrapolation)
    -0.03259
  • Calmar ratio (compounded annual return / max draw down)
    -0.19257
  • Compounded annual return / average of 25% largest draw downs
    -0.19257
  • Compounded annual return / Expected Shortfall lognormal
    -1.29043

Strategy Description

This strategy is mainly to trade major pairs such as EURUSD, GBPUSD, AUDUSD, NZDUSD, USDCAD, USDCHF, and USDJPY. This strategy has a Medium Risk with Moderate/Medium Returns.

Summary Statistics

Strategy began
2023-01-07
Suggested Minimum Capital
$70,000
# Trades
671
# Profitable
511
% Profitable
76.2%
Correlation S&P500
0.020
Sharpe Ratio
0.98
Sortino Ratio
1.67
Beta
0.04
Alpha
0.07
Leverage
5.85 Average
31.74 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.