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The Forex Portal
(86013807)

Created by: AdrianEliffe2 AdrianEliffe2
Started: 02/2014
Forex
Last trade: 299 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 $29.00 per month.

29.0%
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.

(34.9%)
Max Drawdown
1117
Num Trades
48.3%
Win Trades
1.5 : 1
Profit Factor
58.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014       (10.3%)+10.8%(1%)+24.8%(2.9%)+4.6%+6.8%+22.6%+7.1%+2.9%+4.4%+87.9%
2015+47.2%+4.3%+7.5%+4.6%+1.0%(3.1%)(0.2%)+0.9%(1.2%)(1.2%)(1.2%)(4.4%)+56.5%
2016+1.7%(1.1%)+0.8%+5.3%+14.5%(16%)+0.7%(4.9%)(3.1%)(4.9%)+11.7%+2.1%+3.5%
2017(5%)+3.5%+11.4%(2.4%)(2.8%)+6.3%(13.3%)(3.5%)+10.4%+3.5%(10.3%)(1.9%)(7.1%)
2018(5.6%)+2.6%(3.9%)+6.1%+11.3%+1.7%(1.7%)+2.4%+1.0%+3.7%+0.6%      +18.5%

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

This strategy has placed 1,847 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/15/17 3:43 EUR/NZD EUR/NZD SHORT 1 1.67642 1/24/18 8:52 1.67012 1.16%
Trade id #115367741
Max drawdown($194)
Time1/2/18 21:56
Quant open-1
Worst price1.70271
Drawdown as % of equity-1.16%
$47
12/14/17 8:44 NZD/USD NZD/USD SHORT 2 0.69888 12/15 3:43 0.70341 0.51%
Trade id #115348166
Max drawdown($91)
Time12/15/17 3:43
Quant open0
Worst price0.70341
Drawdown as % of equity-0.51%
($91)
12/12/17 9:01 EUR/NZD EUR/NZD SHORT 1 1.69260 12/13 14:17 1.68161 0.07%
Trade id #115307223
Max drawdown($11)
Time12/13/17 5:02
Quant open-1
Worst price1.69431
Drawdown as % of equity-0.07%
$77
6/15/17 10:09 EUR/GBP EUR/GBP SHORT 3 0.87846 12/8 5:53 0.87203 5.52%
Trade id #112074870
Max drawdown($928)
Time11/15/17 4:55
Quant open-3
Worst price0.90144
Drawdown as % of equity-5.52%
$260
11/21/17 6:25 AUD/NZD AUD/NZD LONG 1 1.11088 11/22 12:10 1.10624 0.18%
Trade id #114955290
Max drawdown($32)
Time11/22/17 12:10
Quant open0
Worst price1.10624
Drawdown as % of equity-0.18%
($32)
11/21/17 6:25 AUD/JPY AUD/JPY LONG 1 85.288 11/21 9:23 85.049 0.12%
Trade id #114955285
Max drawdown($21)
Time11/21/17 9:15
Quant open1
Worst price85.051
Drawdown as % of equity-0.12%
($21)
10/16/17 13:09 EUR/CAD EUR/CAD SHORT 1 1.47877 10/17 10:43 1.47808 0.01%
Trade id #114301446
Max drawdown($2)
Time10/16/17 13:21
Quant open-1
Worst price1.47905
Drawdown as % of equity-0.01%
$5
10/4/17 5:03 USD/CHF USD/CHF LONG 1 0.97354 10/16 11:12 0.97339 0.18%
Trade id #114007495
Max drawdown($31)
Time10/13/17 9:31
Quant open1
Worst price0.97049
Drawdown as % of equity-0.18%
($2)
10/13/17 7:52 EUR/JPY EUR/JPY SHORT 1 132.530 10/16 7:29 132.002 0.09%
Trade id #114236534
Max drawdown($16)
Time10/13/17 10:06
Quant open-1
Worst price132.718
Drawdown as % of equity-0.09%
$47
9/26/17 8:13 NZD/USD NZD/USD SHORT 1 0.72017 10/10 9:57 0.70700 0.24%
Trade id #113859898
Max drawdown($42)
Time9/29/17 9:01
Quant open-1
Worst price0.72439
Drawdown as % of equity-0.24%
$132
9/26/17 8:12 USD/JPY USD/JPY LONG 1 111.930 10/10 6:00 112.269 0.01%
Trade id #113859890
Max drawdown($1)
Time9/26/17 8:29
Quant open1
Worst price111.917
Drawdown as % of equity-0.01%
$30
9/19/17 18:09 USD/CHF USD/CHF LONG 1 0.96263 9/21 11:36 0.97008 0.24%
Trade id #113753923
Max drawdown($41)
Time9/20/17 14:01
Quant open1
Worst price0.95862
Drawdown as % of equity-0.24%
$77
9/1/17 13:44 EUR/NZD EUR/NZD SHORT 1 1.65742 9/21 5:50 1.62820 0.53%
Trade id #113497650
Max drawdown($84)
Time9/7/17 8:51
Quant open-1
Worst price1.66899
Drawdown as % of equity-0.53%
$214
9/1/17 13:43 EUR/NZD EUR/NZD LONG 1 1.65770 9/1 13:43 1.65756 0.01%
Trade id #113497633
Max drawdown($1)
Time9/1/17 13:43
Quant open0
Worst price1.65756
Drawdown as % of equity-0.01%
($1)
6/26/17 8:03 NZD/USD NZD/USD SHORT 1 0.72739 9/1 13:37 0.71583 1.09%
Trade id #112209535
Max drawdown($185)
Time8/2/17 13:11
Quant open-1
Worst price0.74589
Drawdown as % of equity-1.09%
$116
7/31/17 7:49 EUR/JPY EUR/JPY SHORT 1 129.658 8/18 12:29 128.600 0.92%
Trade id #112891838
Max drawdown($159)
Time8/2/17 4:35
Quant open-1
Worst price131.400
Drawdown as % of equity-0.92%
$97
7/26/17 8:57 GBP/AUD GBP/AUD LONG 1 1.64928 8/3 10:49 1.65091 0.86%
Trade id #112786856
Max drawdown($150)
Time7/27/17 0:22
Quant open1
Worst price1.63031
Drawdown as % of equity-0.86%
$13
7/24/17 7:16 GBP/JPY GBP/JPY LONG 1 144.389 7/30 20:54 145.008 0.04%
Trade id #112744030
Max drawdown($7)
Time7/24/17 9:10
Quant open1
Worst price144.303
Drawdown as % of equity-0.04%
$56
5/23/17 9:53 AUD/NZD AUD/NZD LONG 1 1.06485 7/17 9:54 1.06699 1.01%
Trade id #111728449
Max drawdown($204)
Time6/22/17 16:31
Quant open1
Worst price1.03706
Drawdown as % of equity-1.01%
$16
6/22/17 8:37 GBP/AUD GBP/AUD LONG 1 1.67922 6/22 8:49 1.67704 0.08%
Trade id #112168417
Max drawdown($16)
Time6/22/17 8:49
Quant open0
Worst price1.67704
Drawdown as % of equity-0.08%
($16)
4/17/17 4:50 EUR/NZD EUR/NZD SHORT 2 1.54609 6/16 10:29 1.54338 6.3%
Trade id #111043828
Max drawdown($1,124)
Time5/19/17 8:31
Quant open-2
Worst price1.62361
Drawdown as % of equity-6.30%
$39
6/8/17 9:53 USD/CHF USD/CHF LONG 1 0.96779 6/16 3:39 0.97366 0.19%
Trade id #111968537
Max drawdown($38)
Time6/14/17 10:16
Quant open1
Worst price0.96407
Drawdown as % of equity-0.19%
$60
6/15/17 4:04 EUR/GBP EUR/GBP SHORT 1 0.87883 6/15 8:08 0.87564 0.12%
Trade id #112069956
Max drawdown($23)
Time6/15/17 5:18
Quant open-1
Worst price0.88066
Drawdown as % of equity-0.12%
$41
6/13/17 11:00 EUR/GBP EUR/GBP SHORT 1 0.88024 6/14 4:23 0.87903 0.03%
Trade id #112032175
Max drawdown($6)
Time6/13/17 11:25
Quant open-1
Worst price0.88073
Drawdown as % of equity-0.03%
$15
4/18/17 10:20 GBP/CAD GBP/CAD SHORT 1 1.70562 6/13 4:16 1.68527 3.18%
Trade id #111086599
Max drawdown($575)
Time5/18/17 6:02
Quant open-1
Worst price1.78195
Drawdown as % of equity-3.18%
$153
6/12/17 4:10 GBP/USD GBP/USD SHORT 1 1.27310 6/13 2:30 1.26787 0.06%
Trade id #112009352
Max drawdown($11)
Time6/12/17 4:42
Quant open-1
Worst price1.27424
Drawdown as % of equity-0.06%
$52
6/8/17 19:06 GBP/USD GBP/USD SHORT 2 1.27782 6/9 2:34 1.26917 0.25%
Trade id #111979649
Max drawdown($48)
Time6/8/17 21:43
Quant open-2
Worst price1.28026
Drawdown as % of equity-0.25%
$173
6/7/17 10:15 EUR/JPY EUR/JPY SHORT 1 123.282 6/7 14:07 123.604 0.15%
Trade id #111949456
Max drawdown($29)
Time6/7/17 14:07
Quant open0
Worst price123.604
Drawdown as % of equity-0.15%
($29)
6/7/17 2:58 EUR/JPY EUR/JPY SHORT 1 123.289 6/7 9:50 123.256 0%
Trade id #111944985
Max drawdown($0)
Time6/7/17 3:00
Quant open-1
Worst price123.296
Drawdown as % of equity-0.00%
$3
5/24/17 12:38 GBP/AUD GBP/AUD SHORT 1 1.73130 6/6 15:11 1.71845 0.74%
Trade id #111751663
Max drawdown($134)
Time6/1/17 10:50
Quant open-1
Worst price1.74922
Drawdown as % of equity-0.74%
$97

Statistics

  • Strategy began
    2/17/2014
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1730.89
  • Age
    58 months ago
  • What it trades
    Forex
  • # Trades
    1117
  • # Profitable
    540
  • % Profitable
    48.30%
  • Avg trade duration
    6.3 days
  • Max peak-to-valley drawdown
    34.94%
  • drawdown period
    May 31, 2016 - Nov 08, 2016
  • Annual Return (Compounded)
    29.0%
  • Avg win
    $78.01
  • Avg loss
    $47.94
  • Model Account Values (Raw)
  • Cash
    $22,212
  • Margin Used
    $2,381
  • Buying Power
    $17,083
  • Ratios
  • W:L ratio
    1.52:1
  • Sharpe Ratio
    1.368
  • Sortino Ratio
    2.278
  • Calmar Ratio
    1.389
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.02200
  • Return Statistics
  • Ann Return (w trading costs)
    29.0%
  • Ann Return (Compnd, No Fees)
    33.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.50%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    567
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    14
  • Win / Loss
  • Avg Loss
    $48
  • Avg Win
    $78
  • # Winners
    540
  • # Losers
    577
  • % Winners
    48.3%
  • Frequency
  • Avg Position Time (mins)
    9078.77
  • Avg Position Time (hrs)
    151.31
  • Avg Trade Length
    6.3 days
  • Last Trade Ago
    294
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36291
  • SD
    0.35499
  • Sharpe ratio (Glass type estimate)
    1.02230
  • Sharpe ratio (Hedges UMVUE)
    1.00623
  • df
    48.00000
  • t
    2.06578
  • p
    0.02213
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99682
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45499
  • Upside Potential Ratio
    4.28554
  • Upside part of mean
    0.63351
  • Downside part of mean
    -0.27060
  • Upside SD
    0.33552
  • Downside SD
    0.14783
  • N nonnegative terms
    28.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.07618
  • Mean of criterion
    0.36291
  • SD of predictor
    0.09763
  • SD of criterion
    0.35499
  • Covariance
    0.00918
  • r
    0.26495
  • b (slope, estimate of beta)
    0.96340
  • a (intercept, estimate of alpha)
    0.28952
  • Mean Square Error
    0.11967
  • DF error
    47.00000
  • t(b)
    1.88373
  • p(b)
    0.03290
  • t(a)
    1.64905
  • p(a)
    0.05290
  • Lowerbound of 95% confidence interval for beta
    -0.06547
  • Upperbound of 95% confidence interval for beta
    1.99227
  • Lowerbound of 95% confidence interval for alpha
    -0.06368
  • Upperbound of 95% confidence interval for alpha
    0.64271
  • Treynor index (mean / b)
    0.37669
  • Jensen alpha (a)
    0.28952
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30187
  • SD
    0.33050
  • Sharpe ratio (Glass type estimate)
    0.91337
  • Sharpe ratio (Hedges UMVUE)
    0.89901
  • df
    48.00000
  • t
    1.84567
  • p
    0.03556
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07812
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89569
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08745
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88547
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94499
  • Upside Potential Ratio
    3.75944
  • Upside part of mean
    0.58348
  • Downside part of mean
    -0.28161
  • Upside SD
    0.30084
  • Downside SD
    0.15520
  • N nonnegative terms
    28.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.07117
  • Mean of criterion
    0.30187
  • SD of predictor
    0.09685
  • SD of criterion
    0.33050
  • Covariance
    0.00865
  • r
    0.27019
  • b (slope, estimate of beta)
    0.92208
  • a (intercept, estimate of alpha)
    0.23625
  • Mean Square Error
    0.10341
  • DF error
    47.00000
  • t(b)
    1.92391
  • p(b)
    0.03022
  • t(a)
    1.45156
  • p(a)
    0.07663
  • Lowerbound of 95% confidence interval for beta
    -0.04209
  • Upperbound of 95% confidence interval for beta
    1.88626
  • Lowerbound of 95% confidence interval for alpha
    -0.09117
  • Upperbound of 95% confidence interval for alpha
    0.56366
  • Treynor index (mean / b)
    0.32738
  • Jensen alpha (a)
    0.23625
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12346
  • Expected Shortfall on VaR
    0.15720
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04755
  • Expected Shortfall on VaR
    0.09109
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.85746
  • Quartile 1
    0.97353
  • Median
    1.01674
  • Quartile 3
    1.06779
  • Maximum
    1.37378
  • Mean of quarter 1
    0.92576
  • Mean of quarter 2
    0.99610
  • Mean of quarter 3
    1.04332
  • Mean of quarter 4
    1.17400
  • Inter Quartile Range
    0.09426
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06122
  • Mean of outliers high
    1.28735
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.27868
  • VaR(95%) (moments method)
    0.06178
  • Expected Shortfall (moments method)
    0.06192
  • Extreme Value Index (regression method)
    -0.32448
  • VaR(95%) (regression method)
    0.08285
  • Expected Shortfall (regression method)
    0.10238
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01202
  • Quartile 1
    0.02508
  • Median
    0.07578
  • Quartile 3
    0.10294
  • Maximum
    0.23407
  • Mean of quarter 1
    0.01785
  • Mean of quarter 2
    0.05113
  • Mean of quarter 3
    0.09524
  • Mean of quarter 4
    0.17236
  • Inter Quartile Range
    0.07786
  • 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
    0.23407
  • 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)
    0.69656
  • Compounded annual return (geometric extrapolation)
    0.39066
  • Calmar ratio (compounded annual return / max draw down)
    1.66899
  • Compounded annual return / average of 25% largest draw downs
    2.26657
  • Compounded annual return / Expected Shortfall lognormal
    2.48511
  • 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
    0.33366
  • SD
    0.24367
  • Sharpe ratio (Glass type estimate)
    1.36932
  • Sharpe ratio (Hedges UMVUE)
    1.36836
  • df
    1071.00000
  • t
    2.76982
  • p
    0.44637
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33971
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33904
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27829
  • Upside Potential Ratio
    10.71000
  • Upside part of mean
    1.56850
  • Downside part of mean
    -1.23484
  • Upside SD
    0.19569
  • Downside SD
    0.14645
  • N nonnegative terms
    551.00000
  • N negative terms
    521.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1072.00000
  • Mean of predictor
    0.08455
  • Mean of criterion
    0.33366
  • SD of predictor
    0.13429
  • SD of criterion
    0.24367
  • Covariance
    -0.00041
  • r
    -0.01265
  • b (slope, estimate of beta)
    -0.02295
  • a (intercept, estimate of alpha)
    0.33600
  • Mean Square Error
    0.05942
  • DF error
    1070.00000
  • t(b)
    -0.41374
  • p(b)
    0.50632
  • t(a)
    2.78274
  • p(a)
    0.45762
  • Lowerbound of 95% confidence interval for beta
    -0.13178
  • Upperbound of 95% confidence interval for beta
    0.08588
  • Lowerbound of 95% confidence interval for alpha
    0.09896
  • Upperbound of 95% confidence interval for alpha
    0.57224
  • Treynor index (mean / b)
    -14.54010
  • Jensen alpha (a)
    0.33560
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30405
  • SD
    0.24199
  • Sharpe ratio (Glass type estimate)
    1.25649
  • Sharpe ratio (Hedges UMVUE)
    1.25561
  • df
    1071.00000
  • t
    2.54160
  • p
    0.45076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28582
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22664
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28521
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22602
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05072
  • Upside Potential Ratio
    10.45180
  • Upside part of mean
    1.54966
  • Downside part of mean
    -1.24561
  • Upside SD
    0.19202
  • Downside SD
    0.14827
  • N nonnegative terms
    551.00000
  • N negative terms
    521.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1072.00000
  • Mean of predictor
    0.07548
  • Mean of criterion
    0.30405
  • SD of predictor
    0.13470
  • SD of criterion
    0.24199
  • Covariance
    -0.00042
  • r
    -0.01274
  • b (slope, estimate of beta)
    -0.02289
  • a (intercept, estimate of alpha)
    0.30578
  • Mean Square Error
    0.05860
  • DF error
    1070.00000
  • t(b)
    -0.41686
  • p(b)
    0.50637
  • t(a)
    2.55353
  • p(a)
    0.46109
  • Lowerbound of 95% confidence interval for beta
    -0.13064
  • Upperbound of 95% confidence interval for beta
    0.08486
  • Lowerbound of 95% confidence interval for alpha
    0.07081
  • Upperbound of 95% confidence interval for alpha
    0.54075
  • Treynor index (mean / b)
    -13.28250
  • Jensen alpha (a)
    0.30578
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02316
  • Expected Shortfall on VaR
    0.02923
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01073
  • Expected Shortfall on VaR
    0.02035
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1072.00000
  • Minimum
    0.94518
  • Quartile 1
    0.99266
  • Median
    1.00045
  • Quartile 3
    1.00842
  • Maximum
    1.08584
  • Mean of quarter 1
    0.98435
  • Mean of quarter 2
    0.99701
  • Mean of quarter 3
    1.00408
  • Mean of quarter 4
    1.02007
  • Inter Quartile Range
    0.01575
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.01493
  • Mean of outliers low
    0.96150
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.03358
  • Mean of outliers high
    1.04648
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00833
  • VaR(95%) (moments method)
    0.01510
  • Expected Shortfall (moments method)
    0.01986
  • Extreme Value Index (regression method)
    -0.06232
  • VaR(95%) (regression method)
    0.01505
  • Expected Shortfall (regression method)
    0.01934
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00632
  • Median
    0.01580
  • Quartile 3
    0.03810
  • Maximum
    0.28354
  • Mean of quarter 1
    0.00279
  • Mean of quarter 2
    0.01067
  • Mean of quarter 3
    0.02725
  • Mean of quarter 4
    0.12411
  • Inter Quartile Range
    0.03178
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.20588
  • Mean of outliers high
    0.14636
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.76423
  • VaR(95%) (moments method)
    0.10339
  • Expected Shortfall (moments method)
    0.10628
  • Extreme Value Index (regression method)
    -0.13622
  • VaR(95%) (regression method)
    0.15306
  • Expected Shortfall (regression method)
    0.20808
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70618
  • Compounded annual return (geometric extrapolation)
    0.39370
  • Calmar ratio (compounded annual return / max draw down)
    1.38851
  • Compounded annual return / average of 25% largest draw downs
    3.17221
  • Compounded annual return / Expected Shortfall lognormal
    13.47090
  • 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
    0.10103
  • SD
    0.27040
  • Sharpe ratio (Glass type estimate)
    0.37363
  • Sharpe ratio (Hedges UMVUE)
    0.37147
  • df
    130.00000
  • t
    0.26420
  • p
    0.48842
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14521
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14365
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57131
  • Upside Potential Ratio
    9.78896
  • Upside part of mean
    1.73108
  • Downside part of mean
    -1.63005
  • Upside SD
    0.20329
  • Downside SD
    0.17684
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16456
  • Mean of criterion
    0.10103
  • SD of predictor
    0.19097
  • SD of criterion
    0.27040
  • Covariance
    -0.01222
  • r
    -0.23659
  • b (slope, estimate of beta)
    -0.33500
  • a (intercept, estimate of alpha)
    0.15616
  • Mean Square Error
    0.06956
  • DF error
    129.00000
  • t(b)
    -2.76562
  • p(b)
    0.64920
  • t(a)
    0.41807
  • p(a)
    0.47659
  • Lowerbound of 95% confidence interval for beta
    -0.57465
  • Upperbound of 95% confidence interval for beta
    -0.09534
  • Lowerbound of 95% confidence interval for alpha
    -0.58286
  • Upperbound of 95% confidence interval for alpha
    0.89517
  • Treynor index (mean / b)
    -0.30159
  • Jensen alpha (a)
    0.15616
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06488
  • SD
    0.26958
  • Sharpe ratio (Glass type estimate)
    0.24068
  • Sharpe ratio (Hedges UMVUE)
    0.23929
  • df
    130.00000
  • t
    0.17019
  • p
    0.49254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53165
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01125
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36237
  • Upside Potential Ratio
    9.55411
  • Upside part of mean
    1.71066
  • Downside part of mean
    -1.64577
  • Upside SD
    0.20019
  • Downside SD
    0.17905
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14619
  • Mean of criterion
    0.06488
  • SD of predictor
    0.19265
  • SD of criterion
    0.26958
  • Covariance
    -0.01227
  • r
    -0.23628
  • b (slope, estimate of beta)
    -0.33063
  • a (intercept, estimate of alpha)
    0.11322
  • Mean Square Error
    0.06915
  • DF error
    129.00000
  • t(b)
    -2.76186
  • p(b)
    0.64901
  • t(a)
    0.30411
  • p(a)
    0.48296
  • Lowerbound of 95% confidence interval for beta
    -0.56749
  • Upperbound of 95% confidence interval for beta
    -0.09378
  • Lowerbound of 95% confidence interval for alpha
    -0.62337
  • Upperbound of 95% confidence interval for alpha
    0.84981
  • Treynor index (mean / b)
    -0.19624
  • Jensen alpha (a)
    0.11322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02678
  • Expected Shortfall on VaR
    0.03351
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01555
  • Expected Shortfall on VaR
    0.02724
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96039
  • Quartile 1
    0.98991
  • Median
    0.99881
  • Quartile 3
    1.01153
  • Maximum
    1.05344
  • Mean of quarter 1
    0.98047
  • Mean of quarter 2
    0.99517
  • Mean of quarter 3
    1.00407
  • Mean of quarter 4
    1.02237
  • Inter Quartile Range
    0.02161
  • 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
    0.01527
  • Mean of outliers high
    1.04976
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38222
  • VaR(95%) (moments method)
    0.02038
  • Expected Shortfall (moments method)
    0.02368
  • Extreme Value Index (regression method)
    -0.10381
  • VaR(95%) (regression method)
    0.01788
  • Expected Shortfall (regression method)
    0.02173
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01049
  • Quartile 1
    0.02007
  • Median
    0.02181
  • Quartile 3
    0.04907
  • Maximum
    0.18147
  • Mean of quarter 1
    0.01528
  • Mean of quarter 2
    0.02181
  • Mean of quarter 3
    0.04907
  • Mean of quarter 4
    0.18147
  • Inter Quartile Range
    0.02901
  • 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
    0.18147
  • 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)
    0.09498
  • Compounded annual return (geometric extrapolation)
    0.09723
  • Calmar ratio (compounded annual return / max draw down)
    0.53578
  • Compounded annual return / average of 25% largest draw downs
    0.53578
  • Compounded annual return / Expected Shortfall lognormal
    2.90130

Strategy Description

The starting point for my method is the RSI on large time frames. Where I see conditions that are oversold or overbought I examine the moving averages and try and identity a trend change.

Once this trend has been confirmed on shorter time frames I will enter a trade.

You MUST leave sufficient margin in your account for a potentially large drawdown in order to allow the trade to "breathe".

Once trades are in profit STOPS will be placed at break even and the trade will be allowed to develop.

Summary Statistics

Strategy began
2014-02-17
Suggested Minimum Capital
$15,000
# Trades
1117
# Profitable
540
% Profitable
48.3%
Correlation S&P500
0.022
Sharpe Ratio
1.368

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.