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C2Star Strategy Momentum Mastery RTS C2Star: in evaluation Hypothetical

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Neural Network Forex
(103398125)

Created by: WenxuanHuang_ZiqinR WenxuanHuang_ZiqinR
Started: 06/2016
Forex
Last trade: 3,146 days ago
Subscriptions not currently available.

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 $199.00 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.

4.8%
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.

(23.6%)
Max Drawdown
1218
Num Trades
46.0%
Win Trades
1.1 : 1
Profit Factor
8.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +78.5%(8.8%)+5.4%(3.4%)(0.9%)(0.3%)(0.4%)+63.1%
2017+3.5%(3%)(7%)(1%)+0.3%+13.4%(8.3%)+7.6%(7.5%)+0.1%+2.6%  -  (1.5%)
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -  +0.1%  -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  (0.1%)
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      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

This strategy has placed 810 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3467 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/7/17 18:00 EUR/TRY EUR/TRY LONG 80 4.50328 11/14 10:07 4.58580 0.5%
Trade id #114735943
Max drawdown($877)
Time11/9/17 5:56
Quant open8
Worst price4.46044
Drawdown as % of equity-0.50%
 $141.60
10/29/17 18:00 EUR/SEK EUR/SEK LONG 80 9.70575 11/14 5:17 9.88226 0.1%
Trade id #114585767
Max drawdown($173)
Time10/30/17 3:57
Quant open8
Worst price9.68746
Drawdown as % of equity-0.10%
 $1,455.57
10/29/17 18:00 EUR/TRY EUR/TRY LONG 80 4.38651 11/3 3:15 4.46460 0.18%
Trade id #114585774
Max drawdown($316)
Time10/30/17 3:20
Quant open8
Worst price4.37136
Drawdown as % of equity-0.18%
 $134.00
9/7/17 9:00 EUR/AUD EUR/AUD SHORT 80 1.49939 10/9 5:12 1.51427 0.53%
Trade id #113575287
Max drawdown($924)
Time10/9/17 5:12
Quant open0
Worst price1.51427
Drawdown as % of equity-0.53%
 ($822.51)
9/19/17 8:00 EUR/TRY EUR/TRY SHORT 80 4.18027 10/6 4:35 4.22659 0.58%
Trade id #113740407
Max drawdown($1,025)
Time10/6/17 4:35
Quant open0
Worst price4.22659
Drawdown as % of equity-0.58%
 ($79.48)
9/14/17 3:00 AUD/CHF AUD/CHF SHORT 140 0.77152 9/29 10:47 0.75835 0.66%
Trade id #113675233
Max drawdown($1,177)
Time9/20/17 18:29
Quant open-14
Worst price0.77966
Drawdown as % of equity-0.66%
 $2,281.39
9/11/17 3:00 EUR/SEK EUR/SEK SHORT 80 9.54560 9/29 5:55 9.65030 0.58%
Trade id #113617555
Max drawdown($1,024)
Time9/29/17 5:55
Quant open0
Worst price9.65030
Drawdown as % of equity-0.58%
 ($863.40)
9/14/17 3:00 CAD/CHF CAD/CHF SHORT 130 0.79172 9/28 2:36 0.77822 0.3%
Trade id #113675219
Max drawdown($557)
Time9/14/17 4:33
Quant open-13
Worst price0.79589
Drawdown as % of equity-0.30%
 $2,171.52
9/14/17 3:00 USD/NOK USD/NOK SHORT 100 7.88316 9/27 8:52 7.97238 0.64%
Trade id #113675248
Max drawdown($1,119)
Time9/27/17 8:52
Quant open0
Worst price7.97238
Drawdown as % of equity-0.64%
 ($900.49)
9/14/17 9:01 USD/CHF USD/CHF SHORT 100 0.96611 9/27 8:51 0.97656 0.61%
Trade id #113678370
Max drawdown($1,070)
Time9/27/17 8:51
Quant open0
Worst price0.97656
Drawdown as % of equity-0.61%
 ($1,293.01)
9/14/17 3:00 USD/SEK USD/SEK SHORT 100 8.03449 9/26 10:17 8.12396 0.61%
Trade id #113675255
Max drawdown($1,101)
Time9/26/17 10:17
Quant open0
Worst price8.12396
Drawdown as % of equity-0.61%
 ($922.26)
9/7/17 9:00 AUD/USD AUD/USD SHORT 140 0.80403 9/26 6:19 0.79034 0.6%
Trade id #113575294
Max drawdown($1,185)
Time9/8/17 2:03
Quant open-14
Worst price0.81250
Drawdown as % of equity-0.60%
 $1,916.60
9/6/17 11:00 USD/CAD USD/CAD SHORT 100 1.22349 9/20 14:31 1.23666 0.59%
Trade id #113560753
Max drawdown($1,068)
Time9/20/17 14:31
Quant open0
Worst price1.23666
Drawdown as % of equity-0.59%
 ($928.36)
9/6/17 11:00 AUD/CAD AUD/CAD SHORT 140 0.97754 9/20 9:48 0.98821 0.67%
Trade id #113560768
Max drawdown($1,211)
Time9/20/17 9:48
Quant open0
Worst price0.98821
Drawdown as % of equity-0.67%
 ($1,052.99)
9/14/17 3:00 NZD/CHF NZD/CHF SHORT 140 0.69788 9/19 21:38 0.70568 0.63%
Trade id #113675262
Max drawdown($1,136)
Time9/19/17 21:38
Quant open0
Worst price0.70568
Drawdown as % of equity-0.63%
 ($1,351.17)
9/15/17 6:03 EUR/GBP EUR/GBP SHORT 80 0.87971 9/19 4:25 0.88864 0.52%
Trade id #113697246
Max drawdown($964)
Time9/19/17 4:25
Quant open0
Worst price0.88864
Drawdown as % of equity-0.52%
 ($944.37)
9/6/17 11:00 EUR/CAD EUR/CAD SHORT 80 1.46035 9/19 2:40 1.47634 0.56%
Trade id #113560760
Max drawdown($1,040)
Time9/19/17 2:40
Quant open0
Worst price1.47634
Drawdown as % of equity-0.56%
 ($901.72)
9/14/17 3:00 USD/ZAR USD/ZAR SHORT 100 13.14069 9/18 10:59 13.29090 0.6%
Trade id #113675226
Max drawdown($1,131)
Time9/18/17 10:59
Quant open0
Worst price13.29090
Drawdown as % of equity-0.60%
 ($913.81)
9/11/17 3:00 EUR/TRY EUR/TRY SHORT 80 4.09250 9/18 5:08 4.13780 0.56%
Trade id #113617541
Max drawdown($1,047)
Time9/18/17 5:08
Quant open0
Worst price4.13780
Drawdown as % of equity-0.56%
 ($77.73)
9/6/17 11:00 NZD/CAD NZD/CAD SHORT 140 0.88300 9/17 22:18 0.89279 0.6%
Trade id #113560775
Max drawdown($1,125)
Time9/17/17 22:18
Quant open0
Worst price0.89279
Drawdown as % of equity-0.60%
 ($966.14)
9/14/17 3:00 EUR/GBP EUR/GBP SHORT 80 0.89949 9/15 4:50 0.88423 0.31%
Trade id #113675241
Max drawdown($561)
Time9/14/17 7:01
Quant open-8
Worst price0.90469
Drawdown as % of equity-0.31%
 $1,613.79
9/7/17 9:00 GBP/NZD GBP/NZD SHORT 80 1.81330 9/14 7:01 1.83326 0.63%
Trade id #113575301
Max drawdown($1,152)
Time9/14/17 7:01
Quant open0
Worst price1.83326
Drawdown as % of equity-0.63%
 ($902.51)
9/12/17 4:00 USD/CHF USD/CHF SHORT 100 0.95557 9/14 4:29 0.96609 0.59%
Trade id #113637454
Max drawdown($1,088)
Time9/14/17 4:29
Quant open0
Worst price0.96609
Drawdown as % of equity-0.59%
 ($1,301.67)
9/11/17 3:00 CAD/CHF CAD/CHF SHORT 130 0.78317 9/13 17:08 0.79215 0.65%
Trade id #113617548
Max drawdown($1,211)
Time9/13/17 17:08
Quant open0
Worst price0.79215
Drawdown as % of equity-0.65%
 ($1,444.46)
9/10/17 18:00 USD/ZAR USD/ZAR LONG 100 12.91725 9/13 10:34 13.15370 0.21%
Trade id #113614281
Max drawdown($399)
Time9/11/17 4:35
Quant open10
Worst price12.86470
Drawdown as % of equity-0.21%
 $1,438.46
9/7/17 9:00 GBP/CAD GBP/CAD SHORT 80 1.59316 9/12 6:43 1.61022 0.6%
Trade id #113575322
Max drawdown($1,126)
Time9/12/17 6:43
Quant open0
Worst price1.61022
Drawdown as % of equity-0.60%
 ($962.05)
9/7/17 9:00 CAD/JPY CAD/JPY SHORT 130 89.369 9/12 2:36 90.412 0.65%
Trade id #113575315
Max drawdown($1,239)
Time9/12/17 2:36
Quant open0
Worst price90.412
Drawdown as % of equity-0.65%
 ($838.99)
9/7/17 23:01 USD/CHF USD/CHF SHORT 100 0.94508 9/11 15:27 0.95585 0.59%
Trade id #113592535
Max drawdown($1,126)
Time9/11/17 15:27
Quant open0
Worst price0.95585
Drawdown as % of equity-0.59%
 ($1,332.61)
9/7/17 4:00 USD/ZAR USD/ZAR SHORT 100 12.80195 9/8 10:46 12.94560 0.57%
Trade id #113571526
Max drawdown($1,110)
Time9/8/17 10:46
Quant open0
Worst price12.94560
Drawdown as % of equity-0.57%
 ($873.90)
9/7/17 9:00 NZD/USD NZD/USD SHORT 140 0.72248 9/7 22:48 0.73040 0.56%
Trade id #113575308
Max drawdown($1,109)
Time9/7/17 22:48
Quant open0
Worst price0.73040
Drawdown as % of equity-0.56%
 ($1,108.80)

Statistics

  • Strategy began
    6/14/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3655.93
  • Age
    122 months ago
  • What it trades
    Forex
  • # Trades
    1218
  • # Profitable
    560
  • % Profitable
    46.00%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    23.57%
  • drawdown period
    July 11, 2016 - May 18, 2017
  • Annual Return (Compounded)
    4.8%
  • Avg win
    $1,167
  • Avg loss
    $873.00
  • Model Account Values (Raw)
  • Cash
    $179,210
  • Margin Used
    $0
  • Buying Power
    $179,210
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.22
  • Sortino Ratio
    0.59
  • Calmar Ratio
    1.41
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -197.06%
  • Correlation to SP500
    -0.00420
  • Return Percent SP500 (cumu) during strategy life
    254.52%
  • Return Statistics
  • Ann Return (w trading costs)
    4.8%
  • Slump
  • Current Slump as Pcnt Equity
    13.70%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.048%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    77.73%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $873
  • Avg Win
    $1,167
  • Sum Trade PL (losers)
    $574,436.000
  • Age
  • Num Months filled monthly returns table
    121
  • Win / Loss
  • Sum Trade PL (winners)
    $653,644.000
  • # Winners
    560
  • Num Months Winners
    53
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    658
  • % Winners
    46.0%
  • Frequency
  • Avg Position Time (mins)
    6096.10
  • Avg Position Time (hrs)
    101.60
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    3144
  • Regression
  • Alpha
    0.01
  • Beta
    -0.00
  • Treynor Index
    -2.80
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    33.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    33.96
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.52
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    14.399
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.386
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.102
  • Hold-and-Hope Ratio
    0.069
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27590
  • SD
    0.46026
  • Sharpe ratio (Glass type estimate)
    0.59944
  • Sharpe ratio (Hedges UMVUE)
    0.58480
  • df
    31.00000
  • t
    0.97889
  • p
    0.16761
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62422
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79383
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.50717
  • Upside Potential Ratio
    5.09439
  • Upside part of mean
    0.40076
  • Downside part of mean
    -0.12486
  • Upside SD
    0.45318
  • Downside SD
    0.07867
  • N nonnegative terms
    10.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.45704
  • Mean of criterion
    0.27590
  • SD of predictor
    0.34426
  • SD of criterion
    0.46026
  • Covariance
    -0.00058
  • r
    -0.00365
  • b (slope, estimate of beta)
    -0.00488
  • a (intercept, estimate of alpha)
    0.27813
  • Mean Square Error
    0.21890
  • DF error
    30.00000
  • t(b)
    -0.01998
  • p(b)
    0.50791
  • t(a)
    0.90460
  • p(a)
    0.18644
  • Lowerbound of 95% confidence interval for beta
    -0.50338
  • Upperbound of 95% confidence interval for beta
    0.49362
  • Lowerbound of 95% confidence interval for alpha
    -0.34979
  • Upperbound of 95% confidence interval for alpha
    0.90605
  • Treynor index (mean / b)
    -56.56670
  • Jensen alpha (a)
    0.27813
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20086
  • SD
    0.35519
  • Sharpe ratio (Glass type estimate)
    0.56550
  • Sharpe ratio (Hedges UMVUE)
    0.55169
  • df
    31.00000
  • t
    0.92346
  • p
    0.18145
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64731
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75975
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48178
  • Upside Potential Ratio
    4.06060
  • Upside part of mean
    0.32864
  • Downside part of mean
    -0.12778
  • Upside SD
    0.34501
  • Downside SD
    0.08093
  • N nonnegative terms
    10.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.39793
  • Mean of criterion
    0.20086
  • SD of predictor
    0.31544
  • SD of criterion
    0.35519
  • Covariance
    0.00041
  • r
    0.00368
  • b (slope, estimate of beta)
    0.00414
  • a (intercept, estimate of alpha)
    0.19922
  • Mean Square Error
    0.13037
  • DF error
    30.00000
  • t(b)
    0.02013
  • p(b)
    0.49204
  • t(a)
    0.84502
  • p(a)
    0.20239
  • Lowerbound of 95% confidence interval for beta
    -0.41572
  • Upperbound of 95% confidence interval for beta
    0.42400
  • Lowerbound of 95% confidence interval for alpha
    -0.28225
  • Upperbound of 95% confidence interval for alpha
    0.68069
  • Treynor index (mean / b)
    48.53750
  • Jensen alpha (a)
    0.19922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14094
  • Expected Shortfall on VaR
    0.17638
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02901
  • Expected Shortfall on VaR
    0.05625
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.93021
  • Quartile 1
    0.99952
  • Median
    1.00000
  • Quartile 3
    1.01561
  • Maximum
    1.72555
  • Mean of quarter 1
    0.96483
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00315
  • Mean of quarter 4
    1.13355
  • Inter Quartile Range
    0.01609
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.15625
  • Mean of outliers low
    0.94728
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.24307
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -26.00820
  • VaR(95%) (moments method)
    0.00453
  • Expected Shortfall (moments method)
    0.00453
  • Extreme Value Index (regression method)
    -1.47224
  • VaR(95%) (regression method)
    0.06512
  • Expected Shortfall (regression method)
    0.07029
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04019
  • Quartile 1
    0.06420
  • Median
    0.08820
  • Quartile 3
    0.10962
  • Maximum
    0.13104
  • Mean of quarter 1
    0.04019
  • Mean of quarter 2
    0.08820
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13104
  • Inter Quartile Range
    0.04543
  • 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)
    0.31520
  • Compounded annual return (geometric extrapolation)
    0.25705
  • Calmar ratio (compounded annual return / max draw down)
    1.96167
  • Compounded annual return / average of 25% largest draw downs
    1.96167
  • Compounded annual return / Expected Shortfall lognormal
    1.45735
  • 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
    0.23606
  • SD
    0.31003
  • Sharpe ratio (Glass type estimate)
    0.76140
  • Sharpe ratio (Hedges UMVUE)
    0.76060
  • df
    714.00000
  • t
    1.25781
  • p
    0.10444
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42650
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94769
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.22822
  • Upside Potential Ratio
    7.49943
  • Upside part of mean
    0.79449
  • Downside part of mean
    -0.55844
  • Upside SD
    0.29151
  • Downside SD
    0.10594
  • N nonnegative terms
    216.00000
  • N negative terms
    499.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    715.00000
  • Mean of predictor
    0.49407
  • Mean of criterion
    0.23606
  • SD of predictor
    0.32488
  • SD of criterion
    0.31003
  • Covariance
    -0.00091
  • r
    -0.00902
  • b (slope, estimate of beta)
    -0.00861
  • a (intercept, estimate of alpha)
    0.24000
  • Mean Square Error
    0.09625
  • DF error
    713.00000
  • t(b)
    -0.24093
  • p(b)
    0.59516
  • t(a)
    1.27401
  • p(a)
    0.10154
  • Lowerbound of 95% confidence interval for beta
    -0.07877
  • Upperbound of 95% confidence interval for beta
    0.06155
  • Lowerbound of 95% confidence interval for alpha
    -0.13002
  • Upperbound of 95% confidence interval for alpha
    0.61064
  • Treynor index (mean / b)
    -27.41610
  • Jensen alpha (a)
    0.24031
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19562
  • SD
    0.27276
  • Sharpe ratio (Glass type estimate)
    0.71719
  • Sharpe ratio (Hedges UMVUE)
    0.71644
  • df
    714.00000
  • t
    1.18478
  • p
    0.11825
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90399
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90346
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80876
  • Upside Potential Ratio
    7.02489
  • Upside part of mean
    0.75977
  • Downside part of mean
    -0.56414
  • Upside SD
    0.25049
  • Downside SD
    0.10815
  • N nonnegative terms
    216.00000
  • N negative terms
    499.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    715.00000
  • Mean of predictor
    0.44158
  • Mean of criterion
    0.19562
  • SD of predictor
    0.32201
  • SD of criterion
    0.27276
  • Covariance
    -0.00086
  • r
    -0.00978
  • b (slope, estimate of beta)
    -0.00829
  • a (intercept, estimate of alpha)
    0.19928
  • Mean Square Error
    0.07450
  • DF error
    713.00000
  • t(b)
    -0.26121
  • p(b)
    0.60300
  • t(a)
    1.20184
  • p(a)
    0.11491
  • Lowerbound of 95% confidence interval for beta
    -0.07057
  • Upperbound of 95% confidence interval for beta
    0.05399
  • Lowerbound of 95% confidence interval for alpha
    -0.12626
  • Upperbound of 95% confidence interval for alpha
    0.52483
  • Treynor index (mean / b)
    -23.60850
  • Jensen alpha (a)
    0.19928
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02661
  • Expected Shortfall on VaR
    0.03342
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00594
  • Expected Shortfall on VaR
    0.01275
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    715.00000
  • Minimum
    0.92068
  • Quartile 1
    0.99982
  • Median
    1.00000
  • Quartile 3
    1.00037
  • Maximum
    1.43420
  • Mean of quarter 1
    0.99180
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.01220
  • Inter Quartile Range
    0.00055
  • Number outliers low
    150.00000
  • Percentage of outliers low
    0.20979
  • Mean of outliers low
    0.99029
  • Number of outliers high
    163.00000
  • Percentage of outliers high
    0.22797
  • Mean of outliers high
    1.01332
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19273
  • VaR(95%) (moments method)
    0.00359
  • Expected Shortfall (moments method)
    0.00496
  • Extreme Value Index (regression method)
    0.22017
  • VaR(95%) (regression method)
    0.00670
  • Expected Shortfall (regression method)
    0.01273
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01402
  • Quartile 1
    0.06733
  • Median
    0.10686
  • Quartile 3
    0.17390
  • Maximum
    0.17764
  • Mean of quarter 1
    0.04068
  • Mean of quarter 2
    0.10686
  • Mean of quarter 3
    0.17390
  • Mean of quarter 4
    0.17764
  • Inter Quartile Range
    0.10657
  • 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)
    0.30797
  • Compounded annual return (geometric extrapolation)
    0.25049
  • Calmar ratio (compounded annual return / max draw down)
    1.41005
  • Compounded annual return / average of 25% largest draw downs
    1.41005
  • Compounded annual return / Expected Shortfall lognormal
    7.49454
  • 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
    -0.02970
  • SD
    0.00170
  • Sharpe ratio (Glass type estimate)
    -17.45650
  • Sharpe ratio (Hedges UMVUE)
    -17.35560
  • df
    130.00000
  • t
    -12.34360
  • p
    0.86729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -13.94540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -20.83890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -13.87230
  • Statistics related to Sortino ratio
  • Sortino ratio
    -12.07060
  • Upside Potential Ratio
    0.74539
  • Upside part of mean
    0.00183
  • Downside part of mean
    -0.03154
  • Upside SD
    0.00043
  • Downside SD
    0.00246
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.09359
  • Mean of criterion
    -0.02970
  • SD of predictor
    0.49626
  • SD of criterion
    0.00170
  • Covariance
    -0.00009
  • r
    -0.10261
  • b (slope, estimate of beta)
    -0.00035
  • a (intercept, estimate of alpha)
    -0.02932
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -1.17158
  • p(b)
    0.56521
  • t(a)
    -12.08880
  • p(a)
    0.91877
  • Lowerbound of 95% confidence interval for beta
    -0.00095
  • Upperbound of 95% confidence interval for beta
    0.00024
  • Lowerbound of 95% confidence interval for alpha
    -0.03412
  • Upperbound of 95% confidence interval for alpha
    -0.02452
  • Treynor index (mean / b)
    84.42910
  • Jensen alpha (a)
    -0.02932
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02970
  • SD
    0.00170
  • Sharpe ratio (Glass type estimate)
    -17.45610
  • Sharpe ratio (Hedges UMVUE)
    -17.35520
  • df
    130.00000
  • t
    -12.34330
  • p
    0.86728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -13.94510
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -20.83850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -13.87200
  • Statistics related to Sortino ratio
  • Sortino ratio
    -12.07040
  • Upside Potential Ratio
    0.74527
  • Upside part of mean
    0.00183
  • Downside part of mean
    -0.03154
  • Upside SD
    0.00043
  • Downside SD
    0.00246
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.97064
  • Mean of criterion
    -0.02970
  • SD of predictor
    0.49246
  • SD of criterion
    0.00170
  • Covariance
    -0.00009
  • r
    -0.10297
  • b (slope, estimate of beta)
    -0.00036
  • a (intercept, estimate of alpha)
    -0.02936
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -1.17578
  • p(b)
    0.56544
  • t(a)
    -12.12750
  • p(a)
    0.91924
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.00095
  • Upperbound of 95% confidence interval for beta
    0.00024
  • Lowerbound of 95% confidence interval for alpha
    -0.03415
  • Upperbound of 95% confidence interval for alpha
    -0.02457
  • Treynor index (mean / b)
    83.48470
  • Jensen alpha (a)
    -0.02936
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00029
  • Expected Shortfall on VaR
    0.00033
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00030
  • Expected Shortfall on VaR
    0.00034
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99964
  • Quartile 1
    0.99993
  • Median
    1.00000
  • Quartile 3
    1.00005
  • Maximum
    1.00028
  • Mean of quarter 1
    0.99986
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.00012
  • Inter Quartile Range
    0.00012
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.99967
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00026
  • 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
    5.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00011
  • Median
    0.00017
  • Quartile 3
    0.00028
  • Maximum
    0.00209
  • Mean of quarter 1
    0.00007
  • Mean of quarter 2
    0.00017
  • Mean of quarter 3
    0.00028
  • Mean of quarter 4
    0.00209
  • Inter Quartile Range
    0.00017
  • 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
    0.20000
  • Mean of outliers high
    0.00209
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -441129000
  • Max Equity Drawdown (num days)
    311
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00180
  • Compounded annual return (geometric extrapolation)
    -0.00179
  • Calmar ratio (compounded annual return / max draw down)
    -0.85923
  • Compounded annual return / average of 25% largest draw downs
    -0.85923
  • Compounded annual return / Expected Shortfall lognormal
    -5.43490

Strategy Description

As a phD from MIT, I have constructed and refined a neural network automatic Forex trading system.

It trades hourly with different position sizing corresponding to USD $100,000 (to trade with IB ideal pro route, min scale down of 30% is suggested). Weight decay has been applied to avoid overfitting and feature scaling has made our network predictive of real market.Validation and optimization is also performed. Spreads and commissions are included in backtest and it still shows a very decent profit given its high frequency nature. Subscribers can scale down to suite your risk/reward magnitude (scale down while keeping commission spread as low as possible).

On the current level of leverage, Expected return is backtested as 80% and Max draw down is backtested as 18%.(These results represent hypothetical backtesting.)

Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.

Summary Statistics

Strategy began
2016-06-14
Suggested Minimum Capital
$100,000
# Trades
1218
# Profitable
560
% Profitable
46.0%
Correlation S&P500
-0.004
Sharpe Ratio
0.22
Sortino Ratio
0.59
Beta
-0.00
Alpha
0.01

Latest Activity

subscribed on started simulation

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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