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Freedom EURUSD (89703872)

Created by: Diego Diego
Started: 09/2014
Forex
Last trade: 857 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 $48.00 per month.

-24.1%
Cumul. Return
57.6%
Max Drawdown
119
Num Trades
75.6%
Win Trades
1.0 : 1
Profit Factor
18.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                        +3.0%+5.6%+8.0%+4.6%+22.9%
2015+6.7%+7.3%+3.2%(30.2%)(3.5%)(18.7%)  -    -    -    -    -    -  (35.2%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -              0.0

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/18/15 6:08 GBP/USD GBP/USD SHORT 6 1.56921 6/17 4:44 1.56239 1.67%
Trade id #94471826
Max drawdown($85)
Time5/18/15 9:33
Quant open-6
Worst price1.57064
Drawdown as % of equity-1.67%
$409
5/11/15 8:13 GBP/JPY GBP/JPY LONG 8 187.246 5/22 11:11 187.883 0.33%
Trade id #94343425
Max drawdown($13)
Time5/11/15 8:15
Quant open4
Worst price185.656
Drawdown as % of equity-0.33%
$419
5/20/15 2:45 EUR/CAD EUR/CAD SHORT 4 1.35690 5/22 5:46 1.36399 4.27%
Trade id #94521032
Max drawdown($232)
Time5/22/15 5:46
Quant open2
Worst price1.36500
Drawdown as % of equity-4.27%
($232)
5/12/15 9:49 AUD/USD AUD/USD LONG 6 0.79688 5/19 20:44 0.79634 4.6%
Trade id #94370157
Max drawdown($267)
Time5/19/15 20:37
Quant open4
Worst price0.79020
Drawdown as % of equity-4.60%
($33)
5/6/15 8:49 NZD/JPY NZD/JPY SHORT 6 89.900 5/13 18:45 89.464 1.54%
Trade id #94271245
Max drawdown($64)
Time5/6/15 10:14
Quant open-6
Worst price90.029
Drawdown as % of equity-1.54%
$220
5/12/15 9:49 GBP/USD GBP/USD LONG 2 1.56494 5/12 17:27 1.56741 0.22%
Trade id #94370182
Max drawdown($11)
Time5/12/15 9:51
Quant open2
Worst price1.56439
Drawdown as % of equity-0.22%
$49
5/12/15 8:41 AUD/USD AUD/USD LONG 6 0.79760 5/12 9:49 0.79669 3.13%
Trade id #94368188
Max drawdown($160)
Time5/12/15 9:32
Quant open6
Worst price0.79492
Drawdown as % of equity-3.13%
($55)
5/11/15 9:33 GBP/USD GBP/USD LONG 2 1.55310 5/12 9:49 1.56469 0.04%
Trade id #94345210
Max drawdown($1)
Time5/11/15 9:39
Quant open2
Worst price1.55302
Drawdown as % of equity-0.04%
$232
5/7/15 4:20 GBP/JPY GBP/JPY SHORT 4 181.360 5/7 13:54 182.516 9.16%
Trade id #94291540
Max drawdown($386)
Time5/7/15 13:54
Quant open2
Worst price182.510
Drawdown as % of equity-9.16%
($386)
5/6/15 9:57 EUR/GBP EUR/GBP LONG 2 0.74250 5/7 13:15 0.74010 1.85%
Trade id #94273611
Max drawdown($77)
Time5/7/15 13:14
Quant open2
Worst price0.73994
Drawdown as % of equity-1.85%
($73)
5/5/15 4:25 AUD/USD AUD/USD SHORT 4 0.78731 5/6 10:12 0.80285 14.68%
Trade id #94241469
Max drawdown($621)
Time5/6/15 10:12
Quant open2
Worst price0.80289
Drawdown as % of equity-14.68%
($621)
5/5/15 6:26 USD/JPY USD/JPY LONG 6 120.350 5/5 11:03 119.861 5.18%
Trade id #94243002
Max drawdown($245)
Time5/5/15 11:03
Quant open4
Worst price119.885
Drawdown as % of equity-5.18%
($245)
5/4/15 8:30 USD/CAD USD/CAD LONG 2 1.21089 5/5 10:53 1.20099 3.49%
Trade id #94213598
Max drawdown($165)
Time5/5/15 10:52
Quant open2
Worst price1.20098
Drawdown as % of equity-3.49%
($165)
5/5/15 5:43 EUR/USD EUR/USD SHORT 2 1.11050 5/5 10:43 1.11902 3.59%
Trade id #94242425
Max drawdown($170)
Time5/5/15 10:43
Quant open0
Worst price1.11902
Drawdown as % of equity-3.59%
($170)
5/4/15 2:47 GBP/JPY GBP/JPY SHORT 4 181.658 5/5 9:59 182.592 5.99%
Trade id #94209172
Max drawdown($310)
Time5/5/15 9:59
Quant open2
Worst price182.582
Drawdown as % of equity-5.99%
($310)
4/30/15 10:04 EUR/USD EUR/USD SHORT 6 1.11960 5/1 11:22 1.12405 6.84%
Trade id #94164826
Max drawdown($406)
Time4/30/15 15:00
Quant open-6
Worst price1.12637
Drawdown as % of equity-6.84%
($267)
4/30/15 5:04 EUR/USD EUR/USD SHORT 2 1.12067 4/30 9:31 1.11184 0.41%
Trade id #94158838
Max drawdown($23)
Time4/30/15 8:17
Quant open-2
Worst price1.12185
Drawdown as % of equity-0.41%
$177
4/29/15 14:34 EUR/USD EUR/USD SHORT 2 1.11061 4/30 3:55 1.12109 3.5%
Trade id #94146192
Max drawdown($210)
Time4/30/15 3:55
Quant open0
Worst price1.12109
Drawdown as % of equity-3.50%
($210)
4/28/15 9:18 AUD/USD AUD/USD SHORT 2 0.79649 4/29 10:23 0.80724 3.42%
Trade id #94110116
Max drawdown($215)
Time4/29/15 10:23
Quant open0
Worst price0.80724
Drawdown as % of equity-3.42%
($215)
4/29/15 9:17 EUR/USD EUR/USD SHORT 8 1.10627 4/29 10:22 1.11197 7.25%
Trade id #94135398
Max drawdown($456)
Time4/29/15 10:22
Quant open6
Worst price1.11607
Drawdown as % of equity-7.25%
($456)
4/29/15 7:27 EUR/USD EUR/USD SHORT 2 1.10060 4/29 7:43 1.09968 0.02%
Trade id #94133532
Max drawdown($1)
Time4/29/15 7:29
Quant open-2
Worst price1.10067
Drawdown as % of equity-0.02%
$19
4/29/15 6:01 EUR/USD EUR/USD SHORT 2 1.10037 4/29 6:26 1.09961 0.1%
Trade id #94132443
Max drawdown($6)
Time4/29/15 6:15
Quant open-2
Worst price1.10070
Drawdown as % of equity-0.10%
$15
4/28/15 11:23 GBP/USD GBP/USD SHORT 2 1.53266 4/28 12:23 1.53149 0.19%
Trade id #94115523
Max drawdown($12)
Time4/28/15 11:25
Quant open-2
Worst price1.53327
Drawdown as % of equity-0.19%
$23
4/27/15 11:24 EUR/USD EUR/USD SHORT 4 1.09000 4/27 11:45 1.08908 0.33%
Trade id #94086405
Max drawdown($22)
Time4/27/15 11:35
Quant open-4
Worst price1.09055
Drawdown as % of equity-0.33%
$37
4/23/15 5:51 EUR/AUD EUR/AUD SHORT 2 1.39026 4/27 11:10 1.38584 1.76%
Trade id #94023763
Max drawdown($115)
Time4/24/15 5:01
Quant open-2
Worst price1.39760
Drawdown as % of equity-1.76%
$69
4/26/15 17:53 NZD/USD NZD/USD SHORT 2 0.75977 4/26 17:53 0.76063 0.26%
Trade id #94069706
Max drawdown($17)
Time4/26/15 17:53
Quant open0
Worst price0.76063
Drawdown as % of equity-0.26%
($17)
4/22/15 9:36 NZD/USD NZD/USD SHORT 2 0.76972 4/26 17:52 0.76060 0.09%
Trade id #94001885
Max drawdown($5)
Time4/22/15 9:50
Quant open-2
Worst price0.77001
Drawdown as % of equity-0.09%
$182
4/23/15 11:27 EUR/USD EUR/USD SHORT 2 1.08132 4/23 11:33 1.08062 0.2%
Trade id #94031610
Max drawdown($13)
Time4/23/15 11:30
Quant open-2
Worst price1.08199
Drawdown as % of equity-0.20%
$14
4/23/15 8:15 EUR/USD EUR/USD SHORT 2 1.07738 4/23 8:34 1.07647 0.23%
Trade id #94025627
Max drawdown($15)
Time4/23/15 8:31
Quant open-2
Worst price1.07814
Drawdown as % of equity-0.23%
$18
4/21/15 3:17 EUR/USD EUR/USD LONG 2 1.06681 4/21 4:18 1.06799 0.3%
Trade id #93966845
Max drawdown($18)
Time4/21/15 3:34
Quant open2
Worst price1.06587
Drawdown as % of equity-0.30%
$24

Statistics

  • Strategy began
    9/16/2014
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1130.15
  • Age
    38 months ago
  • What it trades
    Forex
  • # Trades
    119
  • # Profitable
    90
  • % Profitable
    75.60%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    57.59%
  • drawdown period
    March 13, 2015 - May 08, 2015
  • Cumul. Return
    -21.4%
  • Avg win
    $62.73
  • Avg loss
    $202.72
  • Model Account Values (Raw)
  • Cash
    $4,767
  • Margin Used
    $0
  • Buying Power
    $4,767
  • Ratios
  • W:L ratio
    0.96:1
  • Sharpe Ratio
    -0.035
  • Sortino Ratio
    -0.049
  • Calmar Ratio
    -0.072
  • Return Statistics
  • Ann Return (w trading costs)
    -24.1%
  • Ann Return (Compnd, No Fees)
    -1.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    93.00%
  • Chance of 20% account loss
    62.00%
  • Chance of 30% account loss
    31.00%
  • Chance of 40% account loss
    8.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    609
  • Popularity (Last 6 weeks)
    937
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $203
  • Avg Win
    $63
  • # Winners
    90
  • # Losers
    29
  • % Winners
    75.6%
  • Frequency
  • Avg Position Time (mins)
    2047.10
  • Avg Position Time (hrs)
    34.12
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    882
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30860
  • SD
    0.60485
  • Sharpe ratio (Glass type estimate)
    0.51021
  • Sharpe ratio (Hedges UMVUE)
    0.46057
  • df
    8.00000
  • t
    0.44186
  • p
    0.33515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78166
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81382
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73497
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71308
  • Upside Potential Ratio
    2.20414
  • Upside part of mean
    0.95389
  • Downside part of mean
    -0.64529
  • Upside SD
    0.38189
  • Downside SD
    0.43277
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.05109
  • Mean of criterion
    0.30860
  • SD of predictor
    0.13493
  • SD of criterion
    0.60485
  • Covariance
    -0.00303
  • r
    -0.03710
  • b (slope, estimate of beta)
    -0.16630
  • a (intercept, estimate of alpha)
    0.31710
  • Mean Square Error
    0.41753
  • DF error
    7.00000
  • t(b)
    -0.09822
  • p(b)
    0.53775
  • t(a)
    0.42217
  • p(a)
    0.34278
  • Lowerbound of 95% confidence interval for beta
    -4.16989
  • Upperbound of 95% confidence interval for beta
    3.83729
  • Lowerbound of 95% confidence interval for alpha
    -1.45904
  • Upperbound of 95% confidence interval for alpha
    2.09324
  • Treynor index (mean / b)
    -1.85570
  • Jensen alpha (a)
    0.31710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12245
  • SD
    0.66815
  • Sharpe ratio (Glass type estimate)
    0.18327
  • Sharpe ratio (Hedges UMVUE)
    0.16544
  • df
    8.00000
  • t
    0.15872
  • p
    0.43891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09918
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43006
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23371
  • Upside Potential Ratio
    1.69456
  • Upside part of mean
    0.88786
  • Downside part of mean
    -0.76541
  • Upside SD
    0.35149
  • Downside SD
    0.52395
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.04301
  • Mean of criterion
    0.12245
  • SD of predictor
    0.13324
  • SD of criterion
    0.66815
  • Covariance
    -0.00383
  • r
    -0.04303
  • b (slope, estimate of beta)
    -0.21579
  • a (intercept, estimate of alpha)
    0.13173
  • Mean Square Error
    0.50925
  • DF error
    7.00000
  • t(b)
    -0.11396
  • p(b)
    0.54377
  • t(a)
    0.15909
  • p(a)
    0.43904
  • Lowerbound of 95% confidence interval for beta
    -4.69343
  • Upperbound of 95% confidence interval for beta
    4.26184
  • Lowerbound of 95% confidence interval for alpha
    -1.82626
  • Upperbound of 95% confidence interval for alpha
    2.08972
  • Treynor index (mean / b)
    -0.56746
  • Jensen alpha (a)
    0.13173
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26439
  • Expected Shortfall on VaR
    0.31966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06658
  • Expected Shortfall on VaR
    0.16226
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.65078
  • Quartile 1
    1.01940
  • Median
    1.06063
  • Quartile 3
    1.14008
  • Maximum
    1.22195
  • Mean of quarter 1
    0.84570
  • Mean of quarter 2
    1.04109
  • Mean of quarter 3
    1.11212
  • Mean of quarter 4
    1.19770
  • Inter Quartile Range
    0.12068
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.65078
  • 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)
    -0.49670
  • VaR(95%) (regression method)
    0.42317
  • Expected Shortfall (regression method)
    0.52552
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.43583
  • Quartile 1
    0.43583
  • Median
    0.43583
  • Quartile 3
    0.43583
  • Maximum
    0.43583
  • 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)
    0.13920
  • Compounded annual return (geometric extrapolation)
    0.14157
  • Calmar ratio (compounded annual return / max draw down)
    0.32482
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.44287
  • 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
    0.01450
  • SD
    0.40629
  • Sharpe ratio (Glass type estimate)
    0.03569
  • Sharpe ratio (Hedges UMVUE)
    0.03559
  • df
    280.00000
  • t
    0.03225
  • p
    0.48715
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20416
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04918
  • Upside Potential Ratio
    6.25446
  • Upside part of mean
    1.84377
  • Downside part of mean
    -1.82927
  • Upside SD
    0.27853
  • Downside SD
    0.29479
  • N nonnegative terms
    130.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    281.00000
  • Mean of predictor
    0.04699
  • Mean of criterion
    0.01450
  • SD of predictor
    0.12915
  • SD of criterion
    0.40629
  • Covariance
    -0.00029
  • r
    -0.00545
  • b (slope, estimate of beta)
    -0.01714
  • a (intercept, estimate of alpha)
    -0.00900
  • Mean Square Error
    0.16566
  • DF error
    279.00000
  • t(b)
    -0.09102
  • p(b)
    0.53623
  • t(a)
    0.03398
  • p(a)
    0.48646
  • Lowerbound of 95% confidence interval for beta
    -0.38787
  • Upperbound of 95% confidence interval for beta
    0.35359
  • Lowerbound of 95% confidence interval for alpha
    -0.87134
  • Upperbound of 95% confidence interval for alpha
    0.90195
  • Treynor index (mean / b)
    -0.84583
  • Jensen alpha (a)
    0.01530
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06837
  • SD
    0.40888
  • Sharpe ratio (Glass type estimate)
    -0.16721
  • Sharpe ratio (Hedges UMVUE)
    -0.16676
  • df
    280.00000
  • t
    -0.15113
  • p
    0.56001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.33570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.33538
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00185
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22213
  • Upside Potential Ratio
    5.87048
  • Upside part of mean
    1.80686
  • Downside part of mean
    -1.87523
  • Upside SD
    0.26808
  • Downside SD
    0.30779
  • N nonnegative terms
    130.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    281.00000
  • Mean of predictor
    0.03868
  • Mean of criterion
    -0.06837
  • SD of predictor
    0.12915
  • SD of criterion
    0.40888
  • Covariance
    -0.00008
  • r
    -0.00154
  • b (slope, estimate of beta)
    -0.00489
  • a (intercept, estimate of alpha)
    -0.06818
  • Mean Square Error
    0.16778
  • DF error
    279.00000
  • t(b)
    -0.02579
  • p(b)
    0.51028
  • t(a)
    -0.15042
  • p(a)
    0.55973
  • Lowerbound of 95% confidence interval for beta
    -0.37799
  • Upperbound of 95% confidence interval for beta
    0.36821
  • Lowerbound of 95% confidence interval for alpha
    -0.96044
  • Upperbound of 95% confidence interval for alpha
    0.82408
  • Treynor index (mean / b)
    13.98530
  • Jensen alpha (a)
    -0.06818
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03580
  • Expected Shortfall on VaR
    0.04461
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01249
  • Expected Shortfall on VaR
    0.02750
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    281.00000
  • Minimum
    0.86504
  • Quartile 1
    0.99730
  • Median
    1.00000
  • Quartile 3
    1.00480
  • Maximum
    1.12281
  • Mean of quarter 1
    0.97930
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00212
  • Mean of quarter 4
    1.01945
  • Inter Quartile Range
    0.00749
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.11388
  • Mean of outliers low
    0.96294
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.07473
  • Mean of outliers high
    1.04277
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49170
  • VaR(95%) (moments method)
    0.01334
  • Expected Shortfall (moments method)
    0.03220
  • Extreme Value Index (regression method)
    0.45208
  • VaR(95%) (regression method)
    0.02005
  • Expected Shortfall (regression method)
    0.04767
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00136
  • Median
    0.00342
  • Quartile 3
    0.00937
  • Maximum
    0.51486
  • Mean of quarter 1
    0.00057
  • Mean of quarter 2
    0.00269
  • Mean of quarter 3
    0.00570
  • Mean of quarter 4
    0.13041
  • Inter Quartile Range
    0.00800
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.21053
  • Mean of outliers high
    0.16014
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.03398
  • VaR(95%) (moments method)
    0.08305
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.65430
  • VaR(95%) (regression method)
    0.17577
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05705
  • Compounded annual return (geometric extrapolation)
    -0.05675
  • Calmar ratio (compounded annual return / max draw down)
    -0.11022
  • Compounded annual return / average of 25% largest draw downs
    -0.43512
  • Compounded annual return / Expected Shortfall lognormal
    -1.27197
  • 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
    -0.47641
  • SD
    0.50087
  • Sharpe ratio (Glass type estimate)
    -0.95117
  • Sharpe ratio (Hedges UMVUE)
    -0.94699
  • df
    171.00000
  • t
    -0.67258
  • p
    0.53269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.72344
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.72062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82663
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.28811
  • Upside Potential Ratio
    5.83698
  • Upside part of mean
    2.15884
  • Downside part of mean
    -2.63526
  • Upside SD
    0.33657
  • Downside SD
    0.36986
  • N nonnegative terms
    71.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.03105
  • Mean of criterion
    -0.47641
  • SD of predictor
    0.11912
  • SD of criterion
    0.50087
  • Covariance
    -0.00244
  • r
    -0.04096
  • b (slope, estimate of beta)
    -0.17221
  • a (intercept, estimate of alpha)
    -0.47107
  • Mean Square Error
    0.25193
  • DF error
    170.00000
  • t(b)
    -0.53446
  • p(b)
    0.52048
  • t(a)
    -0.66357
  • p(a)
    0.52541
  • Lowerbound of 95% confidence interval for beta
    -0.80828
  • Upperbound of 95% confidence interval for beta
    0.46386
  • Lowerbound of 95% confidence interval for alpha
    -1.87241
  • Upperbound of 95% confidence interval for alpha
    0.93028
  • Treynor index (mean / b)
    2.76643
  • Jensen alpha (a)
    -0.47107
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.60255
  • SD
    0.50419
  • Sharpe ratio (Glass type estimate)
    -1.19508
  • Sharpe ratio (Hedges UMVUE)
    -1.18983
  • df
    171.00000
  • t
    -0.84505
  • p
    0.54103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.96809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.96450
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58484
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.55845
  • Upside Potential Ratio
    5.44494
  • Upside part of mean
    2.10518
  • Downside part of mean
    -2.70773
  • Upside SD
    0.32296
  • Downside SD
    0.38663
  • N nonnegative terms
    71.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02399
  • Mean of criterion
    -0.60255
  • SD of predictor
    0.11917
  • SD of criterion
    0.50419
  • Covariance
    -0.00211
  • r
    -0.03511
  • b (slope, estimate of beta)
    -0.14853
  • a (intercept, estimate of alpha)
    -0.59898
  • Mean Square Error
    0.25539
  • DF error
    170.00000
  • t(b)
    -0.45803
  • p(b)
    0.51755
  • t(a)
    -0.83806
  • p(a)
    0.53207
  • Lowerbound of 95% confidence interval for beta
    -0.78867
  • Upperbound of 95% confidence interval for beta
    0.49161
  • Lowerbound of 95% confidence interval for alpha
    -2.00987
  • Upperbound of 95% confidence interval for alpha
    0.81190
  • Treynor index (mean / b)
    4.05671
  • Jensen alpha (a)
    -0.59898
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04540
  • Expected Shortfall on VaR
    0.05614
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01923
  • Expected Shortfall on VaR
    0.04044
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.86504
  • Quartile 1
    0.99439
  • Median
    1.00000
  • Quartile 3
    1.00436
  • Maximum
    1.12281
  • Mean of quarter 1
    0.97101
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00149
  • Mean of quarter 4
    1.02366
  • Inter Quartile Range
    0.00998
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.11046
  • Mean of outliers low
    0.95059
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.08721
  • Mean of outliers high
    1.04902
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25030
  • VaR(95%) (moments method)
    0.02053
  • Expected Shortfall (moments method)
    0.03564
  • Extreme Value Index (regression method)
    0.29075
  • VaR(95%) (regression method)
    0.03138
  • Expected Shortfall (regression method)
    0.05964
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00266
  • Median
    0.00374
  • Quartile 3
    0.01151
  • Maximum
    0.51486
  • Mean of quarter 1
    0.00112
  • Mean of quarter 2
    0.00345
  • Mean of quarter 3
    0.00833
  • Mean of quarter 4
    0.27566
  • Inter Quartile Range
    0.00886
  • 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
    0.22222
  • Mean of outliers high
    0.27566
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.22655
  • VaR(95%) (moments method)
    0.13312
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.26103
  • VaR(95%) (regression method)
    1.41380
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.51287
  • Compounded annual return (geometric extrapolation)
    -0.44711
  • Calmar ratio (compounded annual return / max draw down)
    -0.86842
  • Compounded annual return / average of 25% largest draw downs
    -1.62196
  • Compounded annual return / Expected Shortfall lognormal
    -7.96469

Strategy Description

System based on fundamental and technical analysis. My indicators provide 10-15 trades per month depending on the market.

Any questions please let me know.

Q: What is the trading size?
A: 0.2 lot per trade. But you can scale it up or down, when you setup auto trading.
Q: I can see that some days 8-12 mini lots have been traded. Do you use martingale ?
A: NO , it shows total of trades in one day, INCLUDING intraday scalping.
Q: What minimal amount of cash in my Broker Account do you suggest?
A: Minimum 1000$ with trade multiplier at 50% (please read below)
Q: When setting up auto-trading, how much trade multiplier should I choose?
A: There is 2 different risk/reward, I suggest:
BALANCED: 0.1 lot every 2000$ on your account.
AGGRESSIVE: 0.1 lot every 1000$ on your account.

Examples:
Freedom EURUSD trading size is 0.2 lots per trade:

2000$ account:
Balanced: 50% trade multiplier (half system size, 0.1 lot per trade)
Aggressive: 100% trade multiplier (1:1 system size, 0.2 lots per trade)

4000$ account:
Balanced: 100% trade multiplier
Aggressive: 200% trade multiplier

8000$ account:
Balanced: 200% trade multiplier
Aggressive: 400% trade multiplier

And so on..

Q: Is there any stop loss on your system ?
A: Yes, Stop Loss and TakeProfits are put manually by myself, or with the help of my ExpertAdvisor, witch helps me setting a more precise Stop Loss and Take Profit. The stop loss range is between 80 and 250 pips. Please note that when is the Expert Advisor who sets the SL and TP, you dont see them because they are Virtual. (in the computer memory). All the trades are started manually.

Summary Statistics

Strategy began
2014-09-16
Minimum Capital Required
$5,000
# Trades
119
# Profitable
90
% Profitable
75.6%
Correlation S&P500
-0.006
Sharpe Ratio
-0.035

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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