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Just Forex Trades
(94987184)

Created by: Jay_ Jay_
Started: 06/2015
Forex
Last trade: Today
Trading style: Equity Momentum Short-term Reversal

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 $225.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
71.9%
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.

(30.8%)
Max Drawdown
836
Num Trades
93.2%
Win Trades
14.8 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +10.9%(1.4%)+14.0%+5.2%+12.9%(9.9%)+10.6%+47.6%
2016(5.9%)+13.6%(17.1%)+39.5%+16.6%+10.2%+4.8%+1.9%+0.8%(3.4%)+7.4%+2.9%+82.7%
2017+9.4%+3.6%+4.2%(13.3%)(5%)+3.9%+2.0%(2.9%)+1.7%+10.1%(5.6%)+17.2%+23.8%
2018(3.7%)+13.7%(6.2%)+15.6%+19.9%+0.2%+9.6%(2.7%)+1.3%+14.2%(3.1%)(17.3%)+41.2%
2019+36.5%+9.1%+9.9%(7.4%)+13.5%+6.4%+7.8%                              +97.2%

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 1,434 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/17/19 9:38 NZD/JPY NZD/JPY SHORT 200 72.769 7/17 16:37 72.716 1.41%
Trade id #124492704
Max drawdown($2,674)
Time7/17/19 9:38
Quant open200
Worst price72.913
Drawdown as % of equity-1.41%
$980
7/11/19 10:02 NZD/USD NZD/USD SHORT 240 0.66948 7/16 16:59 0.67081 5.21%
Trade id #124417139
Max drawdown($9,906)
Time7/11/19 10:02
Quant open240
Worst price0.67361
Drawdown as % of equity-5.21%
($3,193)
7/16/19 10:10 CAD/JPY CAD/JPY SHORT 100 83.007 7/16 12:20 82.911 0.63%
Trade id #124475796
Max drawdown($1,182)
Time7/16/19 10:10
Quant open100
Worst price83.135
Drawdown as % of equity-0.63%
$890
7/15/19 14:03 USD/CHF USD/CHF SHORT 70 0.98520 7/15 15:51 0.98457 0.02%
Trade id #124465366
Max drawdown($31)
Time7/15/19 14:03
Quant open70
Worst price0.98525
Drawdown as % of equity-0.02%
$449
7/3/19 12:02 CAD/CHF CAD/CHF SHORT 100 0.75483 7/12 11:14 0.75432 3.5%
Trade id #124327861
Max drawdown($6,403)
Time7/3/19 12:02
Quant open100
Worst price0.76119
Drawdown as % of equity-3.50%
$516
7/9/19 9:46 EUR/AUD EUR/AUD SHORT 50 1.61741 7/10 13:40 1.61552 1.07%
Trade id #124387080
Max drawdown($1,980)
Time7/9/19 9:46
Quant open50
Worst price1.62310
Drawdown as % of equity-1.07%
$658
7/8/19 11:21 USD/JPY USD/JPY SHORT 100 108.645 7/10 11:25 108.452 1.65%
Trade id #124373522
Max drawdown($3,056)
Time7/8/19 11:21
Quant open100
Worst price108.976
Drawdown as % of equity-1.65%
$1,771
7/2/19 14:35 NZD/USD NZD/USD SHORT 100 0.66732 7/5 8:30 0.66519 2.51%
Trade id #124313757
Max drawdown($4,690)
Time7/2/19 14:35
Quant open100
Worst price0.67201
Drawdown as % of equity-2.51%
$2,126
6/21/19 9:59 CHF/JPY CHF/JPY SHORT 130 109.647 7/2 9:27 109.458 7.92%
Trade id #124180967
Max drawdown($13,954)
Time6/21/19 9:59
Quant open130
Worst price110.811
Drawdown as % of equity-7.92%
$2,267
6/26/19 10:11 NZD/USD NZD/USD SHORT 100 0.66817 7/2 3:48 0.66625 2.56%
Trade id #124238542
Max drawdown($4,512)
Time6/26/19 10:11
Quant open100
Worst price0.67268
Drawdown as % of equity-2.56%
$1,916
3/26/19 8:49 AUD/NZD AUD/NZD SHORT 130 1.04554 6/26 7:25 1.04513 11.17%
Trade id #123073103
Max drawdown($16,726)
Time3/26/19 8:49
Quant open70
Worst price1.07294
Drawdown as % of equity-11.17%
$351
6/20/19 21:07 NZD/USD NZD/USD SHORT 100 0.65907 6/21 9:21 0.65593 0.77%
Trade id #124174483
Max drawdown($1,341)
Time6/20/19 21:07
Quant open100
Worst price0.66041
Drawdown as % of equity-0.77%
$3,136
6/20/19 11:43 CHF/JPY CHF/JPY SHORT 100 109.478 6/20 16:59 109.315 n/a $1,516
6/14/19 11:00 USD/CAD USD/CAD SHORT 100 1.33679 6/19 8:31 1.33471 n/a $1,556
6/12/19 16:34 USD/CHF USD/CHF SHORT 80 0.99562 6/12 22:40 0.99367 0.02%
Trade id #124056026
Max drawdown($41)
Time6/12/19 16:36
Quant open-80
Worst price0.99567
Drawdown as % of equity-0.02%
$1,567
6/10/19 10:34 CAD/CHF CAD/CHF SHORT 70 0.74671 6/12 16:32 0.74643 1.07%
Trade id #124003498
Max drawdown($1,899)
Time6/11/19 8:35
Quant open-70
Worst price0.74941
Drawdown as % of equity-1.07%
$197
6/7/19 12:06 EUR/USD EUR/USD SHORT 70 1.13272 6/10 0:27 1.13073 0.67%
Trade id #123982312
Max drawdown($1,191)
Time6/7/19 14:02
Quant open-70
Worst price1.13442
Drawdown as % of equity-0.67%
$1,391
6/3/19 10:26 NZD/CAD NZD/CAD SHORT 70 0.88565 6/6 16:29 0.88457 1.89%
Trade id #123912691
Max drawdown($3,344)
Time6/5/19 8:35
Quant open-70
Worst price0.89204
Drawdown as % of equity-1.89%
$565
5/31/19 9:29 EUR/AUD EUR/AUD SHORT 70 1.61295 5/31 10:20 1.61143 0.08%
Trade id #123887051
Max drawdown($134)
Time5/31/19 9:35
Quant open-70
Worst price1.61323
Drawdown as % of equity-0.08%
$739
5/29/19 9:39 USD/CAD USD/CAD SHORT 40 1.35094 5/30 9:51 1.34890 0.64%
Trade id #123858574
Max drawdown($1,099)
Time5/29/19 10:04
Quant open-40
Worst price1.35465
Drawdown as % of equity-0.64%
$605
5/28/19 12:45 USD/CHF USD/CHF SHORT 30 1.00947 5/28 15:51 1.00750 0.06%
Trade id #123847146
Max drawdown($100)
Time5/28/19 12:48
Quant open-30
Worst price1.00981
Drawdown as % of equity-0.06%
$588
5/17/19 15:22 USD/JPY USD/JPY SHORT 60 110.310 5/23 4:40 110.114 1.07%
Trade id #123720095
Max drawdown($1,816)
Time5/21/19 13:06
Quant open-30
Worst price110.673
Drawdown as % of equity-1.07%
$1,066
5/22/19 9:56 EUR/GBP EUR/GBP SHORT 20 0.88387 5/22 11:06 0.88134 0.02%
Trade id #123767710
Max drawdown($26)
Time5/22/19 9:58
Quant open-20
Worst price0.88397
Drawdown as % of equity-0.02%
$641
5/21/19 23:48 CAD/CHF CAD/CHF SHORT 40 0.75455 5/22 9:13 0.75249 0.1%
Trade id #123761920
Max drawdown($167)
Time5/22/19 5:34
Quant open-40
Worst price0.75497
Drawdown as % of equity-0.10%
$817
5/21/19 16:17 EUR/GBP EUR/GBP SHORT 30 0.87866 5/21 22:01 0.87793 0.06%
Trade id #123759185
Max drawdown($102)
Time5/21/19 16:51
Quant open-30
Worst price0.87893
Drawdown as % of equity-0.06%
$278
5/20/19 14:35 EUR/GBP EUR/GBP SHORT 30 0.87751 5/21 8:30 0.87557 0.31%
Trade id #123741809
Max drawdown($526)
Time5/21/19 3:57
Quant open-30
Worst price0.87889
Drawdown as % of equity-0.31%
$740
4/30/19 12:52 GBP/AUD GBP/AUD SHORT 30 1.84972 5/19 18:04 1.84671 5.11%
Trade id #123480241
Max drawdown($7,975)
Time5/5/19 21:01
Quant open-30
Worst price1.88827
Drawdown as % of equity-5.11%
$623
5/17/19 11:06 EUR/AUD EUR/AUD SHORT 30 1.62300 5/19 18:04 1.61938 0.39%
Trade id #123712400
Max drawdown($665)
Time5/17/19 15:07
Quant open-30
Worst price1.62622
Drawdown as % of equity-0.39%
$750
5/17/19 10:11 USD/CAD USD/CAD SHORT 30 1.34789 5/17 10:55 1.34678 0.13%
Trade id #123710511
Max drawdown($224)
Time5/17/19 10:16
Quant open-30
Worst price1.34890
Drawdown as % of equity-0.13%
$247
5/16/19 14:58 USD/JPY USD/JPY SHORT 30 109.859 5/17 1:25 109.658 0.28%
Trade id #123699521
Max drawdown($480)
Time5/16/19 21:03
Quant open-30
Worst price110.034
Drawdown as % of equity-0.28%
$549

Statistics

  • Strategy began
    6/12/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1500.83
  • Age
    50 months ago
  • What it trades
    Forex
  • # Trades
    836
  • # Profitable
    779
  • % Profitable
    93.20%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    30.76%
  • drawdown period
    April 14, 2017 - Sept 20, 2017
  • Annual Return (Compounded)
    71.9%
  • Avg win
    $246.85
  • Avg loss
    $227.67
  • Model Account Values (Raw)
  • Cash
    $204,249
  • Margin Used
    $70,557
  • Buying Power
    $128,754
  • Ratios
  • W:L ratio
    14.82:1
  • Sharpe Ratio
    1.5
  • Sortino Ratio
    2.38
  • Calmar Ratio
    3.193
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05200
  • Return Statistics
  • Ann Return (w trading costs)
    71.9%
  • Ann Return (Compnd, No Fees)
    74.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    954
  • Popularity (Last 6 weeks)
    995
  • C2 Score
    1.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $228
  • Avg Win
    $247
  • # Winners
    779
  • # Losers
    57
  • % Winners
    93.2%
  • Frequency
  • Avg Position Time (mins)
    13602.90
  • Avg Position Time (hrs)
    226.72
  • Avg Trade Length
    9.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    9.41
  • Daily leverage (max)
    18.78
  • Unknown
  • Alpha
    0.15
  • Beta
    0.12
  • Treynor Index
    1.30
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60156
  • SD
    0.35939
  • Sharpe ratio (Glass type estimate)
    1.67382
  • Sharpe ratio (Hedges UMVUE)
    1.64695
  • df
    47.00000
  • t
    3.34765
  • p
    0.00081
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62943
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68194
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24002
  • Upside Potential Ratio
    4.75136
  • Upside part of mean
    0.88216
  • Downside part of mean
    -0.28060
  • Upside SD
    0.34951
  • Downside SD
    0.18566
  • N nonnegative terms
    34.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.06529
  • Mean of criterion
    0.60156
  • SD of predictor
    0.12672
  • SD of criterion
    0.35939
  • Covariance
    0.00830
  • r
    0.18214
  • b (slope, estimate of beta)
    0.51658
  • a (intercept, estimate of alpha)
    0.56783
  • Mean Square Error
    0.12759
  • DF error
    46.00000
  • t(b)
    1.25636
  • p(b)
    0.10766
  • t(a)
    3.14403
  • p(a)
    0.00146
  • Lowerbound of 95% confidence interval for beta
    -0.31106
  • Upperbound of 95% confidence interval for beta
    1.34422
  • Lowerbound of 95% confidence interval for alpha
    0.20429
  • Upperbound of 95% confidence interval for alpha
    0.93137
  • Treynor index (mean / b)
    1.16451
  • Jensen alpha (a)
    0.56783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52591
  • SD
    0.35353
  • Sharpe ratio (Glass type estimate)
    1.48761
  • Sharpe ratio (Hedges UMVUE)
    1.46372
  • df
    47.00000
  • t
    2.97521
  • p
    0.00231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48740
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61415
  • Upside Potential Ratio
    4.10088
  • Upside part of mean
    0.82501
  • Downside part of mean
    -0.29910
  • Upside SD
    0.32397
  • Downside SD
    0.20118
  • N nonnegative terms
    34.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    48.00000
  • Mean of predictor
    0.05706
  • Mean of criterion
    0.52591
  • SD of predictor
    0.12768
  • SD of criterion
    0.35353
  • Covariance
    0.00849
  • r
    0.18815
  • b (slope, estimate of beta)
    0.52097
  • a (intercept, estimate of alpha)
    0.49618
  • Mean Square Error
    0.12318
  • DF error
    46.00000
  • t(b)
    1.29932
  • p(b)
    0.10015
  • t(a)
    2.80378
  • p(a)
    0.00369
  • Lowerbound of 95% confidence interval for beta
    -0.28612
  • Upperbound of 95% confidence interval for beta
    1.32806
  • Lowerbound of 95% confidence interval for alpha
    0.13996
  • Upperbound of 95% confidence interval for alpha
    0.85240
  • Treynor index (mean / b)
    1.00947
  • Jensen alpha (a)
    0.49618
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11665
  • Expected Shortfall on VaR
    0.15293
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03636
  • Expected Shortfall on VaR
    0.08226
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    48.00000
  • Minimum
    0.80693
  • Quartile 1
    0.97885
  • Median
    1.05622
  • Quartile 3
    1.13457
  • Maximum
    1.22689
  • Mean of quarter 1
    0.91172
  • Mean of quarter 2
    1.02740
  • Mean of quarter 3
    1.09975
  • Mean of quarter 4
    1.17096
  • Inter Quartile Range
    0.15572
  • 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)
    -0.35343
  • VaR(95%) (moments method)
    0.06557
  • Expected Shortfall (moments method)
    0.08179
  • Extreme Value Index (regression method)
    -0.04319
  • VaR(95%) (regression method)
    0.05998
  • Expected Shortfall (regression method)
    0.08252
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00930
  • Quartile 1
    0.04199
  • Median
    0.06004
  • Quartile 3
    0.11977
  • Maximum
    0.19980
  • Mean of quarter 1
    0.01781
  • Mean of quarter 2
    0.05187
  • Mean of quarter 3
    0.09582
  • Mean of quarter 4
    0.17481
  • Inter Quartile Range
    0.07778
  • 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)
    -68.57080
  • VaR(95%) (moments method)
    0.18510
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.16151
  • VaR(95%) (regression method)
    0.25356
  • Expected Shortfall (regression method)
    0.25427
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.04096
  • Compounded annual return (geometric extrapolation)
    0.73988
  • Calmar ratio (compounded annual return / max draw down)
    3.70311
  • Compounded annual return / average of 25% largest draw downs
    4.23235
  • Compounded annual return / Expected Shortfall lognormal
    4.83788
  • 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
    0.57546
  • SD
    0.28197
  • Sharpe ratio (Glass type estimate)
    2.04087
  • Sharpe ratio (Hedges UMVUE)
    2.03943
  • df
    1063.00000
  • t
    4.11278
  • p
    0.42053
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.06395
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01684
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01587
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26670
  • Upside Potential Ratio
    11.09830
  • Upside part of mean
    1.95507
  • Downside part of mean
    -1.37961
  • Upside SD
    0.22285
  • Downside SD
    0.17616
  • N nonnegative terms
    589.00000
  • N negative terms
    475.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1064.00000
  • Mean of predictor
    0.06874
  • Mean of criterion
    0.57546
  • SD of predictor
    0.13665
  • SD of criterion
    0.28197
  • Covariance
    0.00182
  • r
    0.04733
  • b (slope, estimate of beta)
    0.09765
  • a (intercept, estimate of alpha)
    0.56900
  • Mean Square Error
    0.07940
  • DF error
    1062.00000
  • t(b)
    1.54404
  • p(b)
    0.47634
  • t(a)
    4.06548
  • p(a)
    0.43810
  • Lowerbound of 95% confidence interval for beta
    -0.02645
  • Upperbound of 95% confidence interval for beta
    0.22176
  • Lowerbound of 95% confidence interval for alpha
    0.29424
  • Upperbound of 95% confidence interval for alpha
    0.84325
  • Treynor index (mean / b)
    5.89279
  • Jensen alpha (a)
    0.56875
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53529
  • SD
    0.28106
  • Sharpe ratio (Glass type estimate)
    1.90456
  • Sharpe ratio (Hedges UMVUE)
    1.90322
  • df
    1063.00000
  • t
    3.83809
  • p
    0.42574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92819
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92727
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87916
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98864
  • Upside Potential Ratio
    10.77910
  • Upside part of mean
    1.93061
  • Downside part of mean
    -1.39533
  • Upside SD
    0.21893
  • Downside SD
    0.17911
  • N nonnegative terms
    589.00000
  • N negative terms
    475.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1064.00000
  • Mean of predictor
    0.05938
  • Mean of criterion
    0.53529
  • SD of predictor
    0.13688
  • SD of criterion
    0.28106
  • Covariance
    0.00179
  • r
    0.04649
  • b (slope, estimate of beta)
    0.09546
  • a (intercept, estimate of alpha)
    0.52962
  • Mean Square Error
    0.07890
  • DF error
    1062.00000
  • t(b)
    1.51678
  • p(b)
    0.47675
  • t(a)
    3.79840
  • p(a)
    0.44211
  • Lowerbound of 95% confidence interval for beta
    -0.02803
  • Upperbound of 95% confidence interval for beta
    0.21896
  • Lowerbound of 95% confidence interval for alpha
    0.25603
  • Upperbound of 95% confidence interval for alpha
    0.80321
  • Treynor index (mean / b)
    5.60734
  • Jensen alpha (a)
    0.52962
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02617
  • Expected Shortfall on VaR
    0.03319
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01127
  • Expected Shortfall on VaR
    0.02253
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1064.00000
  • Minimum
    0.92898
  • Quartile 1
    0.99285
  • Median
    1.00184
  • Quartile 3
    1.01099
  • Maximum
    1.07650
  • Mean of quarter 1
    0.98184
  • Mean of quarter 2
    0.99747
  • Mean of quarter 3
    1.00601
  • Mean of quarter 4
    1.02389
  • Inter Quartile Range
    0.01814
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.02444
  • Mean of outliers low
    0.95523
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.03195
  • Mean of outliers high
    1.04905
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22053
  • VaR(95%) (moments method)
    0.01792
  • Expected Shortfall (moments method)
    0.02811
  • Extreme Value Index (regression method)
    0.03748
  • VaR(95%) (regression method)
    0.01675
  • Expected Shortfall (regression method)
    0.02312
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    84.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00627
  • Median
    0.01408
  • Quartile 3
    0.03446
  • Maximum
    0.23682
  • Mean of quarter 1
    0.00292
  • Mean of quarter 2
    0.00950
  • Mean of quarter 3
    0.02384
  • Mean of quarter 4
    0.10616
  • Inter Quartile Range
    0.02819
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.15476
  • Mean of outliers high
    0.14041
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.21086
  • VaR(95%) (moments method)
    0.09187
  • Expected Shortfall (moments method)
    0.11719
  • Extreme Value Index (regression method)
    -0.36801
  • VaR(95%) (regression method)
    0.11134
  • Expected Shortfall (regression method)
    0.13693
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.17850
  • Compounded annual return (geometric extrapolation)
    0.75627
  • Calmar ratio (compounded annual return / max draw down)
    3.19342
  • Compounded annual return / average of 25% largest draw downs
    7.12397
  • Compounded annual return / Expected Shortfall lognormal
    22.78670
  • 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
    0.67167
  • SD
    0.18649
  • Sharpe ratio (Glass type estimate)
    3.60165
  • Sharpe ratio (Hedges UMVUE)
    3.58083
  • df
    130.00000
  • t
    2.54675
  • p
    0.39100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.40110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.38660
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.42308
  • Upside Potential Ratio
    14.54660
  • Upside part of mean
    1.52115
  • Downside part of mean
    -0.84948
  • Upside SD
    0.15906
  • Downside SD
    0.10457
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20051
  • Mean of criterion
    0.67167
  • SD of predictor
    0.10797
  • SD of criterion
    0.18649
  • Covariance
    0.00093
  • r
    0.04604
  • b (slope, estimate of beta)
    0.07952
  • a (intercept, estimate of alpha)
    0.65572
  • Mean Square Error
    0.03497
  • DF error
    129.00000
  • t(b)
    0.52344
  • p(b)
    0.47070
  • t(a)
    2.46306
  • p(a)
    0.36610
  • Lowerbound of 95% confidence interval for beta
    -0.22105
  • Upperbound of 95% confidence interval for beta
    0.38009
  • Lowerbound of 95% confidence interval for alpha
    0.12899
  • Upperbound of 95% confidence interval for alpha
    1.18245
  • Treynor index (mean / b)
    8.44673
  • Jensen alpha (a)
    0.65572
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65361
  • SD
    0.18568
  • Sharpe ratio (Glass type estimate)
    3.52000
  • Sharpe ratio (Hedges UMVUE)
    3.49965
  • df
    130.00000
  • t
    2.48901
  • p
    0.39336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.31804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.30391
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.19233
  • Upside Potential Ratio
    14.29190
  • Upside part of mean
    1.50854
  • Downside part of mean
    -0.85493
  • Upside SD
    0.15718
  • Downside SD
    0.10555
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19462
  • Mean of criterion
    0.65361
  • SD of predictor
    0.10805
  • SD of criterion
    0.18568
  • Covariance
    0.00092
  • r
    0.04570
  • b (slope, estimate of beta)
    0.07854
  • a (intercept, estimate of alpha)
    0.63833
  • Mean Square Error
    0.03467
  • DF error
    129.00000
  • t(b)
    0.51958
  • p(b)
    0.47092
  • t(a)
    2.40899
  • p(a)
    0.36887
  • Lowerbound of 95% confidence interval for beta
    -0.22052
  • Upperbound of 95% confidence interval for beta
    0.37760
  • Lowerbound of 95% confidence interval for alpha
    0.11406
  • Upperbound of 95% confidence interval for alpha
    1.16259
  • Treynor index (mean / b)
    8.32243
  • Jensen alpha (a)
    0.63833
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01624
  • Expected Shortfall on VaR
    0.02094
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00693
  • Expected Shortfall on VaR
    0.01362
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96708
  • Quartile 1
    0.99500
  • Median
    1.00252
  • Quartile 3
    1.00920
  • Maximum
    1.04473
  • Mean of quarter 1
    0.98927
  • Mean of quarter 2
    0.99840
  • Mean of quarter 3
    1.00634
  • Mean of quarter 4
    1.01678
  • Inter Quartile Range
    0.01420
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.96708
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03887
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29010
  • VaR(95%) (moments method)
    0.01150
  • Expected Shortfall (moments method)
    0.01868
  • Extreme Value Index (regression method)
    0.32641
  • VaR(95%) (regression method)
    0.01078
  • Expected Shortfall (regression method)
    0.01760
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00125
  • Quartile 1
    0.00744
  • Median
    0.01227
  • Quartile 3
    0.02433
  • Maximum
    0.09877
  • Mean of quarter 1
    0.00318
  • Mean of quarter 2
    0.00986
  • Mean of quarter 3
    0.02039
  • Mean of quarter 4
    0.04722
  • Inter Quartile Range
    0.01689
  • 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
    0.06250
  • Mean of outliers high
    0.09877
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40847
  • VaR(95%) (moments method)
    0.05270
  • Expected Shortfall (moments method)
    0.09872
  • Extreme Value Index (regression method)
    1.43463
  • VaR(95%) (regression method)
    0.06493
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.81203
  • Compounded annual return (geometric extrapolation)
    0.97688
  • Calmar ratio (compounded annual return / max draw down)
    9.89053
  • Compounded annual return / average of 25% largest draw downs
    20.68710
  • Compounded annual return / Expected Shortfall lognormal
    46.65850

Strategy Description

Our approach is based upon 3 principles
1)Exhaustive momentum is not sustainable.
2)Currencies are range bound.
3)Prices fall faster than they rise.

As such, we are a momentum based, Short only and we do not use initial stops, we therefore are non-correlated to most other programs.

Summary Statistics

Strategy began
2015-06-12
Suggested Minimum Capital
$100,000
# Trades
836
# Profitable
779
% Profitable
93.2%
Correlation S&P500
0.052
Sharpe Ratio
1.50
Sortino Ratio
2.38
Beta
0.12
Alpha
0.15
Leverage
9.41 Average
18.78 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.