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These are hypothetical performance results that have certain inherent limitations. Learn more

Currencies news signals
(114309618)

Created by: FIRSTTOINVEST FIRSTTOINVEST
Started: 10/2017
Forex
Last trade: 2,302 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 $110.00 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.

-
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.

(100.0%)
Max Drawdown
94
Num Trades
74.5%
Win Trades
0.3 : 1
Profit Factor
17.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               +23.8%(25.7%)+26.9%+16.8%
2018+59.1%(24.2%)+16.7%(27.4%)(56.9%)(12.8%)+26.9%(20.9%)(25.2%)(99.6%)(4588%)(100.9%)(99.9%)
2019+16322.6%(108.9%)(2991.6%)  -    -  (1208.3%)(57.5%)(20.8%)(20.7%)(50.3%)(52487.1%)
2020(103%)(43.9%)(32.1%)(11.3%)(12%)(54.8%)(313.5%)+59.9%(51.2%)+65.7%+15.0%+64.1%(557.3%)
2021(19.5%)(3%)(38.5%)+86.9%+10.6%(36.6%)(9.4%)(14.9%)(49.6%)+29.1%(125.2%)(33.9%)(110.6%)
2022(27.6%)(54.7%)(128.4%)(79.8%)(7.3%)(19.1%)(48.4%)(19.3%)(11.5%)(13%)(25.6%)(24.8%)(761.3%)
2023(34.4%)(56.6%)(23%)(40.4%)(87.7%)(36.4%)(14.1%)(20.4%)(64.9%)(11.7%)(45.2%)(27.6%)-
2024(72.8%)(3.1%)(3.6%)                                                      (73.5%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/1/17 4:41 GBP/USD GBP/USD SHORT 30 1.34941 12/1 11:13 1.35033 1.21%
Trade id #115134974
Max drawdown($627)
Time12/1/17 11:11
Quant open-30
Worst price1.35150
Drawdown as % of equity-1.21%
($276)
11/13/17 3:43 EUR/USD EUR/USD SHORT 140 1.17628 12/1 11:13 1.19021 37.62%
Trade id #114821822
Max drawdown($19,503)
Time12/1/17 11:13
Quant open40
Worst price1.18986
Drawdown as % of equity-37.62%
($19,503)
11/30/17 10:36 GBP/USD GBP/USD LONG 30 1.35304 11/30 11:00 1.35301 0.72%
Trade id #115120214
Max drawdown($327)
Time11/30/17 10:38
Quant open30
Worst price1.35195
Drawdown as % of equity-0.72%
($9)
11/20/17 14:39 USD/JPY USD/JPY LONG 50 112.699 11/29 8:40 111.955 17.13%
Trade id #114946160
Max drawdown($8,293)
Time11/27/17 11:40
Quant open50
Worst price110.842
Drawdown as % of equity-17.13%
($3,323)
11/29/17 3:47 EUR/GBP EUR/GBP SHORT 50 0.88418 11/29 7:56 0.88360 2.84%
Trade id #115091181
Max drawdown($1,513)
Time11/29/17 4:09
Quant open-50
Worst price0.88644
Drawdown as % of equity-2.84%
$388
11/28/17 13:41 EUR/GBP EUR/GBP SHORT 50 0.88891 11/28 15:15 0.88636 0.47%
Trade id #115082672
Max drawdown($240)
Time11/28/17 13:43
Quant open-50
Worst price0.88927
Drawdown as % of equity-0.47%
$1,702
11/28/17 9:46 GBP/USD GBP/USD SHORT 50 1.32688 11/28 13:39 1.33377 9.32%
Trade id #115076610
Max drawdown($5,105)
Time11/28/17 13:17
Quant open-50
Worst price1.33709
Drawdown as % of equity-9.32%
($3,445)
11/27/17 14:49 GBP/USD GBP/USD SHORT 40 1.33178 11/28 8:31 1.32834 3.2%
Trade id #115065493
Max drawdown($1,588)
Time11/28/17 1:11
Quant open-40
Worst price1.33575
Drawdown as % of equity-3.20%
$1,376
11/27/17 9:20 EUR/GBP EUR/GBP SHORT 30 0.89340 11/27 14:48 0.89335 1.04%
Trade id #115054191
Max drawdown($507)
Time11/27/17 10:49
Quant open-30
Worst price0.89467
Drawdown as % of equity-1.04%
$20
11/27/17 8:00 GBP/USD GBP/USD LONG 30 1.33682 11/27 8:19 1.33707 0.48%
Trade id #115053173
Max drawdown($228)
Time11/27/17 8:12
Quant open30
Worst price1.33606
Drawdown as % of equity-0.48%
$75
11/20/17 23:28 AUD/USD AUD/USD SHORT 50 0.75355 11/27 3:10 0.76162 9.68%
Trade id #114951522
Max drawdown($5,150)
Time11/23/17 6:42
Quant open-50
Worst price0.76385
Drawdown as % of equity-9.68%
($4,035)
11/22/17 14:27 USD/CHF USD/CHF SHORT 30 0.98187 11/22 14:48 0.98163 0.01%
Trade id #114988900
Max drawdown($6)
Time11/22/17 14:30
Quant open-30
Worst price0.98189
Drawdown as % of equity-0.01%
$73
11/21/17 10:15 USD/CAD USD/CAD SHORT 50 1.27523 11/21 10:24 1.27575 0.36%
Trade id #114960141
Max drawdown($231)
Time11/21/17 10:18
Quant open-50
Worst price1.27582
Drawdown as % of equity-0.36%
($204)
11/21/17 9:04 USD/CAD USD/CAD SHORT 50 1.28071 11/21 9:51 1.27616 0.07%
Trade id #114956941
Max drawdown($43)
Time11/21/17 9:09
Quant open-50
Worst price1.28082
Drawdown as % of equity-0.07%
$1,782
11/17/17 9:48 USD/CAD USD/CAD LONG 30 1.28110 11/20 14:51 1.28118 2.61%
Trade id #114914251
Max drawdown($1,620)
Time11/17/17 15:08
Quant open30
Worst price1.27418
Drawdown as % of equity-2.61%
$19
11/20/17 7:55 GBP/USD GBP/USD SHORT 50 1.32333 11/20 14:02 1.32266 2.52%
Trade id #114937277
Max drawdown($1,655)
Time11/20/17 11:02
Quant open-50
Worst price1.32664
Drawdown as % of equity-2.52%
$335
11/17/17 9:18 AUD/USD AUD/USD SHORT 30 0.75493 11/20 9:00 0.75472 1.18%
Trade id #114912980
Max drawdown($732)
Time11/20/17 4:40
Quant open-30
Worst price0.75737
Drawdown as % of equity-1.18%
$63
11/20/17 6:02 GBP/USD GBP/USD SHORT 70 1.32539 11/20 7:34 1.32418 0.84%
Trade id #114936588
Max drawdown($532)
Time11/20/17 6:45
Quant open-70
Worst price1.32615
Drawdown as % of equity-0.84%
$847
11/20/17 4:08 GBP/USD GBP/USD LONG 50 1.32655 11/20 6:01 1.32537 1.62%
Trade id #114935594
Max drawdown($1,020)
Time11/20/17 6:01
Quant open50
Worst price1.32451
Drawdown as % of equity-1.62%
($590)
11/17/17 11:34 USD/JPY USD/JPY SHORT 60 112.050 11/17 15:48 112.036 1.07%
Trade id #114916948
Max drawdown($668)
Time11/17/17 14:51
Quant open-60
Worst price112.175
Drawdown as % of equity-1.07%
$75
11/16/17 10:33 GBP/USD GBP/USD SHORT 50 1.31812 11/17 9:03 1.31780 6.46%
Trade id #114892987
Max drawdown($3,965)
Time11/17/17 4:45
Quant open-50
Worst price1.32605
Drawdown as % of equity-6.46%
$160
11/17/17 1:54 AUD/USD AUD/USD SHORT 50 0.75620 11/17 8:04 0.75491 0.44%
Trade id #114909141
Max drawdown($260)
Time11/17/17 2:18
Quant open-50
Worst price0.75672
Drawdown as % of equity-0.44%
$645
11/15/17 15:14 AUD/USD AUD/USD SHORT 30 0.75854 11/16 23:53 0.75723 1.13%
Trade id #114875544
Max drawdown($723)
Time11/15/17 19:34
Quant open-30
Worst price0.76095
Drawdown as % of equity-1.13%
$393
11/16/17 13:59 NZD/USD NZD/USD SHORT 30 0.68596 11/16 19:07 0.68552 0%
Trade id #114900182
Max drawdown($3)
Time11/16/17 14:01
Quant open-30
Worst price0.68597
Drawdown as % of equity-0.00%
$132
11/7/17 10:19 USD/CAD USD/CAD LONG 110 1.27724 11/15 9:50 1.27823 15.63%
Trade id #114723140
Max drawdown($9,157)
Time11/10/17 6:52
Quant open110
Worst price1.26660
Drawdown as % of equity-15.63%
$853
11/13/17 4:38 GBP/USD GBP/USD SHORT 30 1.30652 11/14 8:46 1.31083 3.22%
Trade id #114822109
Max drawdown($2,109)
Time11/13/17 10:35
Quant open-30
Worst price1.31355
Drawdown as % of equity-3.22%
($1,293)
11/8/17 8:32 GBP/USD GBP/USD SHORT 70 1.31048 11/13 3:40 1.30951 11.35%
Trade id #114743778
Max drawdown($6,555)
Time11/10/17 10:54
Quant open-50
Worst price1.32296
Drawdown as % of equity-11.35%
$682
11/9/17 6:49 EUR/USD EUR/USD LONG 30 1.16437 11/9 12:42 1.16478 2.02%
Trade id #114764920
Max drawdown($1,305)
Time11/9/17 9:01
Quant open30
Worst price1.16002
Drawdown as % of equity-2.02%
$123
11/9/17 6:20 EUR/USD EUR/USD LONG 30 1.16132 11/9 6:29 1.16317 0%
Trade id #114764378
Max drawdown($3)
Time11/9/17 6:22
Quant open30
Worst price1.16131
Drawdown as % of equity-0.00%
$555
11/8/17 15:14 NZD/USD NZD/USD LONG 50 0.69492 11/8 16:21 0.69599 0.49%
Trade id #114754875
Max drawdown($315)
Time11/8/17 15:22
Quant open50
Worst price0.69429
Drawdown as % of equity-0.49%
$535

Statistics

  • Strategy began
    10/16/2017
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2348.35
  • Age
    78 months ago
  • What it trades
    Forex
  • # Trades
    94
  • # Profitable
    70
  • % Profitable
    74.50%
  • Avg trade duration
    25.5 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 21, 2018 - Oct 09, 2022
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $578.40
  • Avg loss
    $5,849
  • Model Account Values (Raw)
  • Cash
    $47,346
  • Margin Used
    $28,555
  • Buying Power
    ($66,774)
  • Ratios
  • W:L ratio
    0.29:1
  • Sharpe Ratio
    -0.25
  • Sortino Ratio
    -0.34
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -305.28%
  • Correlation to SP500
    0.10370
  • Return Percent SP500 (cumu) during strategy life
    105.21%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $5,849
  • Avg Win
    $578
  • Sum Trade PL (losers)
    $140,378.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $40,488.000
  • # Winners
    70
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    24
  • % Winners
    74.5%
  • Frequency
  • Avg Position Time (mins)
    36709.40
  • Avg Position Time (hrs)
    611.82
  • Avg Trade Length
    25.5 days
  • Last Trade Ago
    2296
  • Regression
  • Alpha
    0.00
  • Beta
    783055.00
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    80.34
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    59.40
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.48
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -3.241
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.258
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.971
  • Hold-and-Hope Ratio
    -0.047
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    29707.90000
  • SD
    34305.50000
  • Sharpe ratio (Glass type estimate)
    0.86598
  • Sharpe ratio (Hedges UMVUE)
    0.82182
  • df
    15.00000
  • t
    0.99994
  • p
    0.34253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90085
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54448
  • Statistics related to Sortino ratio
  • Sortino ratio
    20396.30000
  • Upside Potential Ratio
    20398.20000
  • Upside part of mean
    29710.60000
  • Downside part of mean
    -2.75975
  • Upside SD
    34305.40000
  • Downside SD
    1.45653
  • N nonnegative terms
    5.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.52624
  • Mean of criterion
    29707.90000
  • SD of predictor
    0.25197
  • SD of criterion
    34305.50000
  • Covariance
    3288.93000
  • r
    0.38048
  • b (slope, estimate of beta)
    51801.40000
  • a (intercept, estimate of alpha)
    2448.13000
  • Mean Square Error
    1078390000.00000
  • DF error
    14.00000
  • t(b)
    1.53941
  • p(b)
    0.30976
  • t(a)
    0.07307
  • p(a)
    0.49024
  • Lowerbound of 95% confidence interval for beta
    -20370.90000
  • Upperbound of 95% confidence interval for beta
    123974.00000
  • Lowerbound of 95% confidence interval for alpha
    -69405.80000
  • Upperbound of 95% confidence interval for alpha
    74302.10000
  • Treynor index (mean / b)
    0.57349
  • Jensen alpha (a)
    2448.13000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.14274
  • SD
    15.85300
  • Sharpe ratio (Glass type estimate)
    -0.51364
  • Sharpe ratio (Hedges UMVUE)
    -0.48745
  • df
    15.00000
  • t
    -0.59310
  • p
    0.59600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21887
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.65066
  • Upside Potential Ratio
    0.70790
  • Upside part of mean
    8.85910
  • Downside part of mean
    -17.00180
  • Upside SD
    9.19347
  • Downside SD
    12.51460
  • N nonnegative terms
    5.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.48656
  • Mean of criterion
    -8.14274
  • SD of predictor
    0.24153
  • SD of criterion
    15.85300
  • Covariance
    1.57237
  • r
    0.41066
  • b (slope, estimate of beta)
    26.95400
  • a (intercept, estimate of alpha)
    -21.25760
  • Mean Square Error
    223.85900
  • DF error
    14.00000
  • t(b)
    1.68518
  • p(b)
    0.29467
  • t(a)
    -1.40640
  • p(a)
    0.67592
  • Lowerbound of 95% confidence interval for beta
    -7.35119
  • Upperbound of 95% confidence interval for beta
    61.25920
  • Lowerbound of 95% confidence interval for alpha
    -53.67580
  • Upperbound of 95% confidence interval for alpha
    11.16070
  • Treynor index (mean / b)
    -0.30210
  • Jensen alpha (a)
    -21.25760
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99973
  • Expected Shortfall on VaR
    0.99991
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.64088
  • Expected Shortfall on VaR
    1.12827
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.00003
  • Quartile 1
    0.55032
  • Median
    1.00000
  • Quartile 3
    1.13610
  • Maximum
    39613.50000
  • Mean of quarter 1
    0.22524
  • Mean of quarter 2
    0.86125
  • Mean of quarter 3
    1.03162
  • Mean of quarter 4
    9904.51000
  • Inter Quartile Range
    0.58578
  • 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
    0.12500
  • Mean of outliers high
    19807.80000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.35965
  • VaR(95%) (moments method)
    0.87824
  • Expected Shortfall (moments method)
    0.92168
  • Extreme Value Index (regression method)
    -9.17419
  • VaR(95%) (regression method)
    3.34508
  • Expected Shortfall (regression method)
    3.34508
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.43329
  • Quartile 1
    0.57497
  • Median
    0.71664
  • Quartile 3
    0.85831
  • Maximum
    0.99999
  • Mean of quarter 1
    0.43329
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.28335
  • 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)
    -0.74999
  • Compounded annual return (geometric extrapolation)
    -0.99970
  • Calmar ratio (compounded annual return / max draw down)
    -0.99971
  • Compounded annual return / average of 25% largest draw downs
    -0.99971
  • Compounded annual return / Expected Shortfall lognormal
    -0.99979
  • 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
    21041.40000
  • SD
    11759.40000
  • Sharpe ratio (Glass type estimate)
    1.78932
  • Sharpe ratio (Hedges UMVUE)
    1.78547
  • df
    349.00000
  • t
    2.06810
  • p
    0.01968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48640
  • Statistics related to Sortino ratio
  • Sortino ratio
    6784.80000
  • Upside Potential Ratio
    6789.83000
  • Upside part of mean
    21057.00000
  • Downside part of mean
    -15.60620
  • Upside SD
    11814.40000
  • Downside SD
    3.10126
  • N nonnegative terms
    110.00000
  • N negative terms
    240.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    350.00000
  • Mean of predictor
    0.57766
  • Mean of criterion
    21041.40000
  • SD of predictor
    0.39029
  • SD of criterion
    11759.40000
  • Covariance
    -108.29500
  • r
    -0.02360
  • b (slope, estimate of beta)
    -710.95000
  • a (intercept, estimate of alpha)
    21452.10000
  • Mean Square Error
    138605000.00000
  • DF error
    348.00000
  • t(b)
    -0.44030
  • p(b)
    0.67000
  • t(a)
    2.09726
  • p(a)
    0.01835
  • Lowerbound of 95% confidence interval for beta
    -3886.74000
  • Upperbound of 95% confidence interval for beta
    2464.84000
  • Lowerbound of 95% confidence interval for alpha
    1334.34000
  • Upperbound of 95% confidence interval for alpha
    41569.90000
  • Treynor index (mean / b)
    -29.59620
  • Jensen alpha (a)
    21452.10000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.12728
  • SD
    24.98450
  • Sharpe ratio (Glass type estimate)
    -0.32529
  • Sharpe ratio (Hedges UMVUE)
    -0.32459
  • df
    349.00000
  • t
    -0.37597
  • p
    0.64642
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02052
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37134
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46209
  • Upside Potential Ratio
    2.68896
  • Upside part of mean
    47.29350
  • Downside part of mean
    -55.42080
  • Upside SD
    17.70190
  • Downside SD
    17.58800
  • N nonnegative terms
    110.00000
  • N negative terms
    240.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    350.00000
  • Mean of predictor
    0.49825
  • Mean of criterion
    -8.12728
  • SD of predictor
    0.40164
  • SD of criterion
    24.98450
  • Covariance
    0.31685
  • r
    0.03158
  • b (slope, estimate of beta)
    1.96420
  • a (intercept, estimate of alpha)
    -9.10594
  • Mean Square Error
    625.39600
  • DF error
    348.00000
  • t(b)
    0.58933
  • p(b)
    0.27801
  • t(a)
    -0.41962
  • p(a)
    0.66249
  • Lowerbound of 95% confidence interval for beta
    -4.59107
  • Upperbound of 95% confidence interval for beta
    8.51946
  • Lowerbound of 95% confidence interval for alpha
    -51.78660
  • Upperbound of 95% confidence interval for alpha
    33.57470
  • Treynor index (mean / b)
    -4.13772
  • Jensen alpha (a)
    -9.10594
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.92346
  • Expected Shortfall on VaR
    0.95435
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.16387
  • Expected Shortfall on VaR
    0.35562
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    350.00000
  • Minimum
    0.00018
  • Quartile 1
    0.96885
  • Median
    1.00000
  • Quartile 3
    1.02284
  • Maximum
    10173.00000
  • Mean of quarter 1
    0.76775
  • Mean of quarter 2
    0.99558
  • Mean of quarter 3
    1.00300
  • Mean of quarter 4
    320.65200
  • Inter Quartile Range
    0.05399
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.51188
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.11143
  • Mean of outliers high
    722.20100
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.01607
  • VaR(95%) (moments method)
    0.20615
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.46325
  • VaR(95%) (regression method)
    0.14350
  • Expected Shortfall (regression method)
    0.17547
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00144
  • Quartile 1
    0.00996
  • Median
    0.04761
  • Quartile 3
    0.28841
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00282
  • Mean of quarter 2
    0.03166
  • Mean of quarter 3
    0.06945
  • Mean of quarter 4
    0.75368
  • Inter Quartile Range
    0.27846
  • 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
    0.14286
  • Mean of outliers high
    0.99999
  • 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)
    -0.74856
  • Compounded annual return (geometric extrapolation)
    -0.99970
  • Calmar ratio (compounded annual return / max draw down)
    -0.99971
  • Compounded annual return / average of 25% largest draw downs
    -1.32642
  • Compounded annual return / Expected Shortfall lognormal
    -1.04751
  • 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
    11104.40000
  • SD
    5708.85000
  • Sharpe ratio (Glass type estimate)
    1.94513
  • Sharpe ratio (Hedges UMVUE)
    1.93388
  • df
    130.00000
  • t
    1.37541
  • p
    0.44012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72337
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84787
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71564
  • Statistics related to Sortino ratio
  • Sortino ratio
    3914.76000
  • Upside Potential Ratio
    3919.24000
  • Upside part of mean
    11117.10000
  • Downside part of mean
    -12.70160
  • Upside SD
    5728.25000
  • Downside SD
    2.83655
  • N nonnegative terms
    21.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.91440
  • Mean of criterion
    11104.40000
  • SD of predictor
    0.41561
  • SD of criterion
    5708.85000
  • Covariance
    15.95610
  • r
    0.00672
  • b (slope, estimate of beta)
    92.37390
  • a (intercept, estimate of alpha)
    11020.00000
  • Mean Square Error
    32842200.00000
  • DF error
    129.00000
  • t(b)
    0.07638
  • p(b)
    0.49572
  • t(a)
    1.34724
  • p(a)
    0.42518
  • Lowerbound of 95% confidence interval for beta
    -2300.38000
  • Upperbound of 95% confidence interval for beta
    2485.12000
  • Lowerbound of 95% confidence interval for alpha
    -5163.73000
  • Upperbound of 95% confidence interval for alpha
    27203.70000
  • Treynor index (mean / b)
    120.21200
  • Jensen alpha (a)
    11020.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -20.53260
  • SD
    25.62490
  • Sharpe ratio (Glass type estimate)
    -0.80128
  • Sharpe ratio (Hedges UMVUE)
    -0.79665
  • df
    130.00000
  • t
    -0.56659
  • p
    0.52482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.57335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.57014
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97685
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02334
  • Upside Potential Ratio
    1.82230
  • Upside part of mean
    36.56330
  • Downside part of mean
    -57.09590
  • Upside SD
    15.83200
  • Downside SD
    20.06440
  • N nonnegative terms
    21.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.82670
  • Mean of criterion
    -20.53260
  • SD of predictor
    0.41752
  • SD of criterion
    25.62490
  • Covariance
    1.68617
  • r
    0.15760
  • b (slope, estimate of beta)
    9.67276
  • a (intercept, estimate of alpha)
    -28.52910
  • Mean Square Error
    645.28900
  • DF error
    129.00000
  • t(b)
    1.81267
  • p(b)
    0.40008
  • t(a)
    -0.78822
  • p(a)
    0.54404
  • VAR (95 Confidence Intrvl)
    0.92300
  • Lowerbound of 95% confidence interval for beta
    -0.88500
  • Upperbound of 95% confidence interval for beta
    20.23050
  • Lowerbound of 95% confidence interval for alpha
    -100.14100
  • Upperbound of 95% confidence interval for alpha
    43.08250
  • Treynor index (mean / b)
    -2.12273
  • Jensen alpha (a)
    -28.52910
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.93160
  • Expected Shortfall on VaR
    0.95964
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15146
  • Expected Shortfall on VaR
    0.32821
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00018
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3476.33000
  • Mean of quarter 1
    0.80791
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    169.44200
  • Inter Quartile Range
    0.00000
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.23664
  • Mean of outliers low
    0.79551
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    265.69400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.27103
  • VaR(95%) (moments method)
    0.00307
  • Expected Shortfall (moments method)
    0.00335
  • Extreme Value Index (regression method)
    -0.81725
  • VaR(95%) (regression method)
    0.17162
  • Expected Shortfall (regression method)
    0.20311
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02360
  • Quartile 1
    0.23930
  • Median
    0.45501
  • Quartile 3
    0.72750
  • Maximum
    0.99999
  • Mean of quarter 1
    0.02360
  • Mean of quarter 2
    0.45501
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.48819
  • 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
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369010000
  • Max Equity Drawdown (num days)
    1418
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99993
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.00001
  • Compounded annual return / Expected Shortfall lognormal
    -1.04206

Strategy Description

We use in-house crawl software to aggregate more than 5,000 stocks and currencies news from 100’s data sources each day and use big data to arrange the news to sectors and paired currencies. Next, we use text analysis to analyze the sorted data, and finally, we use technical and fundamental analysis to produce the signals

Summary Statistics

Strategy began
2017-10-16
Suggested Minimum Capital
$25,000
# Trades
94
# Profitable
70
% Profitable
74.5%
Correlation S&P500
0.104
Sharpe Ratio
-0.25
Sortino Ratio
-0.34
Beta
783055.00
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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