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

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M8888 LR
(148973825)

Created by: M8888 M8888
Started: 08/2024
Futures
Last trade: 5 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 $300.00 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.

-19.6%
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.

(38.2%)
Max Drawdown
92
Num Trades
82.6%
Win Trades
0.9 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                                 +4.4%+18.3%(23.2%)+14.8%(26.2%)(19.6%)

Model Account Details

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

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

Trading Record

This strategy has placed 364 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 61 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/6/24 7:20 @BPZ4 BRITISH POUND SHORT 8 1.2790 12/6 9:31 1.2775 0.87%
Trade id #150262162
Max drawdown($1,050)
Time12/6/24 8:39
Quant open8
Worst price1.2811
Drawdown as % of equity-0.87%
 $686
Includes Typical Broker Commissions trade costs of $64.00
12/5/24 9:32 @BPZ4 BRITISH POUND SHORT 4 1.2763 12/5 10:40 1.2739 0.16%
Trade id #150250709
Max drawdown($187)
Time12/5/24 9:41
Quant open4
Worst price1.2771
Drawdown as % of equity-0.16%
 $581
Includes Typical Broker Commissions trade costs of $32.00
12/5/24 4:12 @BPZ4 BRITISH POUND LONG 2 1.2720 12/5 9:27 1.2755 0.06%
Trade id #150249106
Max drawdown($75)
Time12/5/24 4:25
Quant open2
Worst price1.2714
Drawdown as % of equity-0.06%
 $422
Includes Typical Broker Commissions trade costs of $16.00
12/2/24 0:47 @BPZ4 BRITISH POUND LONG 57 1.2665 12/5 2:57 1.2695 4.5%
Trade id #150218850
Max drawdown($4,787)
Time12/2/24 10:45
Quant open25
Worst price1.2617
Drawdown as % of equity-4.50%
 $10,375
Includes Typical Broker Commissions trade costs of $456.00
12/3/24 2:49 @SFZ4 SWISS FRANC LONG 5 1.1296 12/3 4:52 1.1311 0.45%
Trade id #150229161
Max drawdown($500)
Time12/3/24 3:11
Quant open5
Worst price1.1288
Drawdown as % of equity-0.45%
 $929
Includes Typical Broker Commissions trade costs of $40.00
11/29/24 1:27 @BPZ4 BRITISH POUND SHORT 15 1.2722 11/29 3:15 1.2698 1.56%
Trade id #150205784
Max drawdown($1,662)
Time11/29/24 2:26
Quant open7
Worst price1.2750
Drawdown as % of equity-1.56%
 $2,093
Includes Typical Broker Commissions trade costs of $120.00
11/27/24 1:44 @JYZ4 JAPANESE YEN SHORT 9 0.006608 11/27 22:52 0.006610 5.76%
Trade id #150191603
Max drawdown($5,943)
Time11/27/24 11:50
Quant open7
Worst price0.006663
Drawdown as % of equity-5.76%
 ($197)
Includes Typical Broker Commissions trade costs of $72.00
11/13/24 4:20 @BPZ4 BRITISH POUND LONG 48 1.2625 11/27 11:52 1.2645 14.05%
Trade id #150072414
Max drawdown($12,456)
Time11/22/24 0:00
Quant open10
Worst price1.2487
Drawdown as % of equity-14.05%
 $5,722
Includes Typical Broker Commissions trade costs of $384.00
11/19/24 4:03 @JYZ4 JAPANESE YEN LONG 23 0.006510 11/26 19:42 0.006545 7.17%
Trade id #150119280
Max drawdown($6,509)
Time11/20/24 0:00
Quant open7
Worst price0.006436
Drawdown as % of equity-7.17%
 $10,002
Includes Typical Broker Commissions trade costs of $184.00
11/13/24 4:20 @SFZ4 SWISS FRANC LONG 3 1.1366 11/19 8:47 1.1386 5.2%
Trade id #150072418
Max drawdown($4,387)
Time11/14/24 0:00
Quant open3
Worst price1.1250
Drawdown as % of equity-5.20%
 $707
Includes Typical Broker Commissions trade costs of $24.00
11/19/24 0:10 @JYZ4 JAPANESE YEN LONG 3 0.006501 11/19 3:43 0.006534 0.55%
Trade id #150118623
Max drawdown($468)
Time11/19/24 2:42
Quant open3
Worst price0.006488
Drawdown as % of equity-0.55%
 $1,232
Includes Typical Broker Commissions trade costs of $24.00
10/24/24 20:31 @JYZ4 JAPANESE YEN LONG 20 0.006603 11/5 21:33 0.006583 12.15%
Trade id #149823953
Max drawdown($10,720)
Time10/31/24 0:00
Quant open15
Worst price0.006546
Drawdown as % of equity-12.15%
 ($5,273)
Includes Typical Broker Commissions trade costs of $160.00
10/24/24 2:20 @SFZ4 SWISS FRANC LONG 8 1.1610 10/28 11:07 1.1620 4.1%
Trade id #149814592
Max drawdown($3,453)
Time10/28/24 1:15
Quant open5
Worst price1.1555
Drawdown as % of equity-4.10%
 $1,005
Includes Typical Broker Commissions trade costs of $64.00
10/24/24 2:50 @JYZ4 JAPANESE YEN LONG 9 0.006623 10/24 19:04 0.006633 1%
Trade id #149814783
Max drawdown($934)
Time10/24/24 8:30
Quant open5
Worst price0.006608
Drawdown as % of equity-1.00%
 $1,035
Includes Typical Broker Commissions trade costs of $72.00
10/20/24 22:14 @JYZ4 JAPANESE YEN LONG 15 0.006719 10/23 7:36 0.006585 26.67%
Trade id #149719873
Max drawdown($25,387)
Time10/23/24 7:35
Quant open15
Worst price0.006584
Drawdown as % of equity-26.67%
 ($25,414)
Includes Typical Broker Commissions trade costs of $120.00
10/17/24 9:40 @SFZ4 SWISS FRANC LONG 3 1.1636 10/21 3:10 1.1627 0.93%
Trade id #149684137
Max drawdown($1,093)
Time10/18/24 0:00
Quant open3
Worst price1.1607
Drawdown as % of equity-0.93%
 ($368)
Includes Typical Broker Commissions trade costs of $24.00
10/17/24 5:23 @JYZ4 JAPANESE YEN LONG 12 0.006727 10/18 7:14 0.006722 2.39%
Trade id #149682528
Max drawdown($2,822)
Time10/18/24 0:00
Quant open10
Worst price0.006704
Drawdown as % of equity-2.39%
 ($809)
Includes Typical Broker Commissions trade costs of $96.00
10/17/24 2:46 @SFZ4 SWISS FRANC LONG 2 1.1615 10/17 6:38 1.1638 0.1%
Trade id #149681488
Max drawdown($125)
Time10/17/24 3:00
Quant open2
Worst price1.1609
Drawdown as % of equity-0.10%
 $572
Includes Typical Broker Commissions trade costs of $16.00
10/16/24 2:21 @BPZ4 BRITISH POUND SHORT 18 1.3008 10/17 0:58 1.2994 1.37%
Trade id #149670215
Max drawdown($1,608)
Time10/16/24 8:27
Quant open9
Worst price1.3038
Drawdown as % of equity-1.37%
 $1,456
Includes Typical Broker Commissions trade costs of $144.00
10/10/24 9:54 @SFZ4 SWISS FRANC LONG 8 1.1741 10/16 2:27 1.1715 3.54%
Trade id #149627580
Max drawdown($4,181)
Time10/15/24 0:00
Quant open4
Worst price1.1658
Drawdown as % of equity-3.54%
 ($2,720)
Includes Typical Broker Commissions trade costs of $64.00
10/15/24 11:39 @BPZ4 BRITISH POUND LONG 7 1.3072 10/16 2:20 1.3007 2.58%
Trade id #149663876
Max drawdown($3,106)
Time10/16/24 2:15
Quant open7
Worst price1.3001
Drawdown as % of equity-2.58%
 ($2,900)
Includes Typical Broker Commissions trade costs of $56.00
10/15/24 10:29 @BPZ4 BRITISH POUND LONG 2 1.3083 10/15 11:04 1.3092 0.07%
Trade id #149663003
Max drawdown($81)
Time10/15/24 10:37
Quant open2
Worst price1.3076
Drawdown as % of equity-0.07%
 $103
Includes Typical Broker Commissions trade costs of $16.00
10/15/24 7:52 @BPZ4 BRITISH POUND LONG 3 1.3080 10/15 9:16 1.3089 0.09%
Trade id #149661134
Max drawdown($106)
Time10/15/24 8:01
Quant open3
Worst price1.3074
Drawdown as % of equity-0.09%
 $151
Includes Typical Broker Commissions trade costs of $24.00
10/15/24 6:42 @BPZ4 BRITISH POUND LONG 5 1.3080 10/15 7:45 1.3088 0.09%
Trade id #149660720
Max drawdown($106)
Time10/15/24 7:19
Quant open3
Worst price1.3075
Drawdown as % of equity-0.09%
 $210
Includes Typical Broker Commissions trade costs of $40.00
10/15/24 5:27 @BPZ4 BRITISH POUND LONG 5 1.3077 10/15 6:32 1.3091 0.21%
Trade id #149660428
Max drawdown($250)
Time10/15/24 5:44
Quant open5
Worst price1.3069
Drawdown as % of equity-0.21%
 $398
Includes Typical Broker Commissions trade costs of $40.00
10/11/24 7:44 @JYZ4 JAPANESE YEN LONG 5 0.006745 10/15 5:58 0.006766 0.62%
Trade id #149636518
Max drawdown($737)
Time10/15/24 0:00
Quant open5
Worst price0.006733
Drawdown as % of equity-0.62%
 $1,260
Includes Typical Broker Commissions trade costs of $40.00
10/10/24 8:44 @JYZ4 JAPANESE YEN LONG 14 0.006778 10/10 21:01 0.006788 0.98%
Trade id #149626319
Max drawdown($1,175)
Time10/10/24 13:13
Quant open7
Worst price0.006765
Drawdown as % of equity-0.98%
 $1,600
Includes Typical Broker Commissions trade costs of $112.00
10/10/24 8:30 @SFZ4 SWISS FRANC LONG 1 1.1690 10/10 8:33 1.1754 n/a $792
Includes Typical Broker Commissions trade costs of $8.00
10/10/24 6:59 @JYZ4 JAPANESE YEN LONG 3 0.006770 10/10 8:30 0.006782 1.01%
Trade id #149625457
Max drawdown($1,200)
Time10/10/24 8:30
Quant open3
Worst price0.006738
Drawdown as % of equity-1.01%
 $426
Includes Typical Broker Commissions trade costs of $24.00
10/9/24 8:37 @JYZ4 JAPANESE YEN LONG 8 0.006763 10/10 6:38 0.006772 1.19%
Trade id #149615077
Max drawdown($1,387)
Time10/10/24 0:31
Quant open5
Worst price0.006744
Drawdown as % of equity-1.19%
 $873
Includes Typical Broker Commissions trade costs of $64.00
Next

Statistics

  • Strategy began
    8/20/2024
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    122.56
  • Age
    123 days ago
  • What it trades
    Futures
  • # Trades
    92
  • # Profitable
    76
  • % Profitable
    82.60%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    38.24%
  • drawdown period
    Oct 02, 2024 - Dec 20, 2024
  • Cumul. Return
    -19.6%
  • Avg win
    $1,215
  • Avg loss
    $6,622
  • Model Account Values (Raw)
  • Cash
    $127,759
  • Margin Used
    $59,964
  • Buying Power
    $35,039
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -0.63
  • Sortino Ratio
    -0.8
  • Calmar Ratio
    -1.143
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -25.57%
  • Correlation to SP500
    -0.08490
  • Return Percent SP500 (cumu) during strategy life
    5.96%
  • Return Statistics
  • Ann Return (w trading costs)
    -47.0%
  • Slump
  • Current Slump as Pcnt Equity
    56.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.65%
  • 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)
    -0.196%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -35.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    60.00%
  • Chance of 40% account loss
    19.00%
  • 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
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    830
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    628
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,622
  • Avg Win
    $1,215
  • Sum Trade PL (losers)
    $105,960.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $92,352.000
  • # Winners
    76
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    82.6%
  • Frequency
  • Avg Position Time (mins)
    1771.78
  • Avg Position Time (hrs)
    29.53
  • Avg Trade Length
    1.2 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    8.83
  • Daily leverage (max)
    33.54
  • Regression
  • Alpha
    -0.12
  • Beta
    -0.43
  • Treynor Index
    0.31
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.09
  • Avg(MAE) / Avg(PL) - All trades
    -7.223
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.849
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.150
  • Hold-and-Hope Ratio
    -0.086
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16467
  • SD
    0.63359
  • Sharpe ratio (Glass type estimate)
    -0.25989
  • Sharpe ratio (Hedges UMVUE)
    -0.14663
  • df
    2.00000
  • t
    -0.12995
  • p
    0.54575
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.15758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.06919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77593
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40609
  • Upside Potential Ratio
    1.60172
  • Upside part of mean
    0.64948
  • Downside part of mean
    -0.81415
  • Upside SD
    0.32474
  • Downside SD
    0.40549
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.19672
  • Mean of criterion
    -0.16467
  • SD of predictor
    0.02468
  • SD of criterion
    0.63359
  • Covariance
    0.01167
  • r
    0.74633
  • b (slope, estimate of beta)
    19.16040
  • a (intercept, estimate of alpha)
    -3.93386
  • Mean Square Error
    0.35566
  • DF error
    1.00000
  • t(b)
    1.12134
  • p(b)
    0.23181
  • t(a)
    -1.10295
  • p(a)
    0.76557
  • Lowerbound of 95% confidence interval for beta
    -197.95100
  • Upperbound of 95% confidence interval for beta
    236.27200
  • Lowerbound of 95% confidence interval for alpha
    -49.25270
  • Upperbound of 95% confidence interval for alpha
    41.38500
  • Treynor index (mean / b)
    -0.00859
  • Jensen alpha (a)
    -3.93386
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30657
  • SD
    0.65569
  • Sharpe ratio (Glass type estimate)
    -0.46756
  • Sharpe ratio (Hedges UMVUE)
    -0.26379
  • df
    2.00000
  • t
    -0.23378
  • p
    0.58155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.35798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.19223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66465
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67829
  • Upside Potential Ratio
    1.32871
  • Upside part of mean
    0.60055
  • Downside part of mean
    -0.90712
  • Upside SD
    0.30028
  • Downside SD
    0.45198
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.19448
  • Mean of criterion
    -0.30657
  • SD of predictor
    0.02426
  • SD of criterion
    0.65569
  • Covariance
    0.01242
  • r
    0.78098
  • b (slope, estimate of beta)
    21.10770
  • a (intercept, estimate of alpha)
    -4.41154
  • Mean Square Error
    0.33540
  • DF error
    1.00000
  • t(b)
    1.25046
  • p(b)
    0.21472
  • t(a)
    -1.26728
  • p(a)
    0.78735
  • Lowerbound of 95% confidence interval for beta
    -193.37300
  • Upperbound of 95% confidence interval for beta
    235.58800
  • Lowerbound of 95% confidence interval for alpha
    -48.64330
  • Upperbound of 95% confidence interval for alpha
    39.82020
  • Treynor index (mean / b)
    -0.01452
  • Jensen alpha (a)
    -4.41154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28601
  • Expected Shortfall on VaR
    0.33873
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18534
  • Expected Shortfall on VaR
    0.31400
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.79958
  • Quartile 1
    0.90056
  • Median
    1.00153
  • Quartile 3
    1.08312
  • Maximum
    1.16470
  • Mean of quarter 1
    0.79958
  • Mean of quarter 2
    1.00153
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.16470
  • Inter Quartile Range
    0.18256
  • 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
    0.20042
  • Quartile 1
    0.20042
  • Median
    0.20042
  • Quartile 3
    0.20042
  • Maximum
    0.20042
  • 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)
    -0.26918
  • Compounded annual return (geometric extrapolation)
    -0.24321
  • Calmar ratio (compounded annual return / max draw down)
    -1.21352
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.71801
  • 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
    -0.27183
  • SD
    0.66731
  • Sharpe ratio (Glass type estimate)
    -0.40735
  • Sharpe ratio (Hedges UMVUE)
    -0.40378
  • df
    86.00000
  • t
    -0.23473
  • p
    0.59251
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.80805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.80557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99801
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50219
  • Upside Potential Ratio
    5.79377
  • Upside part of mean
    3.13604
  • Downside part of mean
    -3.40786
  • Upside SD
    0.38404
  • Downside SD
    0.54128
  • N nonnegative terms
    51.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.15460
  • Mean of criterion
    -0.27183
  • SD of predictor
    0.12735
  • SD of criterion
    0.66731
  • Covariance
    -0.00799
  • r
    -0.09399
  • b (slope, estimate of beta)
    -0.49247
  • a (intercept, estimate of alpha)
    -0.19600
  • Mean Square Error
    0.44656
  • DF error
    85.00000
  • t(b)
    -0.87035
  • p(b)
    0.80672
  • t(a)
    -0.16827
  • p(a)
    0.56661
  • Lowerbound of 95% confidence interval for beta
    -1.61749
  • Upperbound of 95% confidence interval for beta
    0.63255
  • Lowerbound of 95% confidence interval for alpha
    -2.50797
  • Upperbound of 95% confidence interval for alpha
    2.11659
  • Treynor index (mean / b)
    0.55196
  • Jensen alpha (a)
    -0.19569
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.50482
  • SD
    0.69666
  • Sharpe ratio (Glass type estimate)
    -0.72462
  • Sharpe ratio (Hedges UMVUE)
    -0.71828
  • df
    86.00000
  • t
    -0.41756
  • p
    0.66134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.12560
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.12123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68467
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.86220
  • Upside Potential Ratio
    5.23518
  • Upside part of mean
    3.06519
  • Downside part of mean
    -3.57001
  • Upside SD
    0.37138
  • Downside SD
    0.58550
  • N nonnegative terms
    51.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.14650
  • Mean of criterion
    -0.50482
  • SD of predictor
    0.12764
  • SD of criterion
    0.69666
  • Covariance
    -0.00839
  • r
    -0.09431
  • b (slope, estimate of beta)
    -0.51475
  • a (intercept, estimate of alpha)
    -0.42940
  • Mean Square Error
    0.48668
  • DF error
    85.00000
  • t(b)
    -0.87339
  • p(b)
    0.80754
  • t(a)
    -0.35379
  • p(a)
    0.63782
  • Lowerbound of 95% confidence interval for beta
    -1.68657
  • Upperbound of 95% confidence interval for beta
    0.65707
  • Lowerbound of 95% confidence interval for alpha
    -2.84259
  • Upperbound of 95% confidence interval for alpha
    1.98379
  • Treynor index (mean / b)
    0.98070
  • Jensen alpha (a)
    -0.42940
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07014
  • Expected Shortfall on VaR
    0.08660
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02579
  • Expected Shortfall on VaR
    0.05679
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    87.00000
  • Minimum
    0.78175
  • Quartile 1
    0.98904
  • Median
    1.00372
  • Quartile 3
    1.01283
  • Maximum
    1.11673
  • Mean of quarter 1
    0.94991
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00798
  • Mean of quarter 4
    1.03922
  • Inter Quartile Range
    0.02379
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.10345
  • Mean of outliers low
    0.91579
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.08046
  • Mean of outliers high
    1.06855
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.13658
  • VaR(95%) (moments method)
    0.03436
  • Expected Shortfall (moments method)
    0.04602
  • Extreme Value Index (regression method)
    0.21677
  • VaR(95%) (regression method)
    0.04977
  • Expected Shortfall (regression method)
    0.08612
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00120
  • Median
    0.00461
  • Quartile 3
    0.17085
  • Maximum
    0.33191
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00320
  • Mean of quarter 3
    0.01860
  • Mean of quarter 4
    0.32751
  • Inter Quartile Range
    0.16966
  • 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)
    -0.44106
  • Compounded annual return (geometric extrapolation)
    -0.37930
  • Calmar ratio (compounded annual return / max draw down)
    -1.14277
  • Compounded annual return / average of 25% largest draw downs
    -1.15813
  • Compounded annual return / Expected Shortfall lognormal
    -4.38002
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.07000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345151000
  • Max Equity Drawdown (num days)
    79

Strategy Description

Hello,

1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both on a trend and on a reversal, on GBPUSD, EURUSD, AUDUSD, USDJPY, USDCAD, USDCHF currency pairs.
5) Each trade is protected by stop loss.
6) Not a martingale.

It is important to know when connecting my system “M8888 LR” (FX futures CME) to autotrade:

1) The "M8888 LR" system is identical to the "M8888" system. The difference in risks (conservative approach to risk), entry points, exit points in transactions are the same. The "M8888 LR" trading system with a lower risk duplicates the "M8888" trading system for the possibility of accepting a larger number of subscribers, since there are regulator restrictions on the volume opened for CME Group currency futures. Suggested Minimum Capital 100,000 USD.
2) Attention! I recommend that subscribers in the settings set the maximum risk parameters per month no more than 10-15-20%. Be sure to do this.

Useful recommendations when copying my system “M8888 LR” (FX futures CME):

1) Do not idealize the results of my trading. Stable every month for a long period of time, at least over a period of several years, you are unlikely to receive a plus every month, this is not a bank deposit. There will be periods of subsidence, since everything in this world is cyclical and the results in trading are no exception, after growth always follows a decline or for some time there is a stagnation in growth and this should be perceived normally.
2) Diversify your savings - do not put all your eggs in one basket.
3) Constantly and continuously monitor the results, it is desirable to do this several times a week, so you will be calmer.
4) Understand that profitability is not linear, it is not a bank deposit, that income received in the past cannot serve as a guarantee of receiving such income in the future.
5) Do not worry and don’t share your feelings with me about where the market will go or what you think is wrong at the moment (I don’t have a psychological session service), because there is a stop loss for every deal , there is a risk limit. Excessive anxiety only ruins the result.
6) There are periods, several trading sessions, several trading weeks when there is no trading activity, this is normal. Permanent presence in the market and constant trading in no way affects the better profit, does not make it anymore, sometimes just a few trading sessions make the result for a whole month. You need to be able to wait, work out only clear signals and then the result will be much better.
7) There is a possibility that you may lose some or all of your investments and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading and seek advice from an independent financial advisor if you have any doubts.

September 11, 2024
Michael

Summary Statistics

Strategy began
2024-08-20
Suggested Minimum Capital
$80,000
# Trades
92
# Profitable
76
% Profitable
82.6%
Correlation S&P500
-0.085
Sharpe Ratio
-0.63
Sortino Ratio
-0.80
Beta
-0.43
Alpha
-0.12
Leverage
8.83 Average
33.54 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

#PERSONNAME#
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.