Collective2 Collective2
Featured Strategy Easiest +106.5% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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Hawk-fx
(14538640)

Created by: BillJones BillJones
Started: 06/2005
Forex
Last trade: 5,775 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 $150.00 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.

8.3%
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.

(92.8%)
Max Drawdown
282
Num Trades
94.3%
Win Trades
1.3 : 1
Profit Factor
46.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2005                                   +5.5%+15.4%+4.7%+24.4%+44.7%+11.6%(14.3%)+119.4%
2006+71.6%(19.8%)+6.6%+49.4%+59.7%+1.1%+16.3%(1.4%)+10.3%+27.3%(11.3%)(28.3%)+262.6%
2007(20.6%)+31.1%+14.0%(46.1%)+21.3%(35.7%)+10.9%+30.0%(37.5%)(26%)+44.8%(0.9%)(52.3%)
2008+43.4%+0.8%+4.1%(33.9%)(13%)(39.8%)(5.1%)+169.4%+63.1%+112.8%+12.4%(9.8%)+368.9%
2009+25.8%(18%)(15.1%)(1.7%)(6.1%)(4.5%)+3.0%+5.4%+6.5%(2.7%)+9.6%(12.1%)(16.4%)
2010+24.6%+11.9%(14.6%)+2.5%+31.3%+10.1%(7%)+12.2%(9.8%)+3.7%+4.8%+2.2%+84.3%
2011(9.4%)(0.9%)(3.9%)(4.6%)+7.7%(0.5%)+12.3%+1.4%+14.8%(5.6%)+3.9%+4.4%+18.1%
2012(1%)(13.6%)(5.7%)+10.4%+17.5%(7%)+8.2%(3.2%)(1.8%)(7.3%)(7.4%)(16.8%)(28.6%)
2013(21.4%)+1.8%+7.5%(16.4%)(7.8%)+9.2%(6%)(3.7%)(4.5%)(3%)(12.2%)(17.8%)(56.2%)
2014+25.7%(8.1%)(6.1%)+0.8%+11.3%(1%)+3.9%(1.9%)+1.6%(10.5%)(21.5%)+9.8%(3.6%)
2015+39.9%(2.3%)+8.5%(8.6%)(4.1%)(3.8%)+2.9%(0.3%)+5.4%+3.1%+3.9%+1.1%+46.3%
2016(2.4%)+25.4%(9.9%)+15.8%(4.5%)+24.1%+1.2%(2.2%)+1.3%(3.9%)(10%)(9.7%)+18.4%
2017+1.1%+5.4%+2.8%(3.7%)(7.1%)(6.8%)(5.5%)(0.3%)(4.3%)(0.1%)(3%)(1.5%)(21.5%)
2018(1.5%)+11.5%+2.3%(4.2%)+15.1%(7.6%)(0.6%)(2.3%)(4.2%)+6.4%+1.8%+6.1%+22.6%
2019+3.1%(2%)+2.8%(0.5%)+4.7%  -  +13.2%(1.9%)(7%)+0.4%(3.5%)+8.7%
2020+5.0%+2.4%(0.4%)+3.2%(4%)+1.0%(9.4%)(1.2%)+5.5%+2.1%(5.1%)(4.4%)(6.2%)
2021+0.4%(6%)(2.4%)(4.6%)(6.1%)+5.1%+4.1%+1.4%(1%)(5.7%)+8.6%(6.5%)(13.1%)
2022+5.7%(3.8%)(13.4%)(5.6%)+1.8%(12.5%)+13.2%(2.7%)(12.3%)(13.4%)+8.3%+13.2%(24%)
2023(1.8%)(8.4%)+0.2%(17.5%)(2.2%)(21.8%)+7.7%(7.4%)(0.4%)(0.8%)(7.6%)+17.5%(39.3%)
2024(18.5%)(8.6%)(2.4%)(26.2%)+27.3%                                          (31.6%)

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 364 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/7/07 2:30 EUR/USD EUR/USD SHORT 400 1.31210 7/11 11:15 1.37590 78.53%
Trade id #25528587
Max drawdown($266,600)
Time7/10/07 17:53
Quant open-400
Worst price1.37875
Drawdown as % of equity-78.53%
 ($255,200)
5/22/07 11:49 GBP/JPY GBP/JPY SHORT 400 240.080 6/18 0:30 244.310 25.06%
Trade id #26470407
Max drawdown($139,444)
Time6/18/07 0:10
Quant open-400
Worst price244.385
Drawdown as % of equity-25.06%
 ($137,015)
3/13/07 7:42 USD/CHF USD/CHF LONG 400 1.22120 5/22 5:53 1.23150 11.43%
Trade id #25608151
Max drawdown($70,320)
Time4/25/07 2:38
Quant open400
Worst price1.19955
Drawdown as % of equity-11.43%
 $33,455
3/5/07 8:23 GBP/USD GBP/USD SHORT 400 1.92080 4/16 7:15 1.99240 44.95%
Trade id #25493693
Max drawdown($293,400)
Time4/16/07 5:52
Quant open-400
Worst price1.99415
Drawdown as % of equity-44.95%
 ($286,400)
3/6/07 10:58 USD/CHF USD/CHF LONG 400 1.22250 3/6 12:57 1.22510 0%
Trade id #25517038
Max drawdown$0
Time3/6/07 11:10
Quant open400
Worst price1.22250
Drawdown as % of equity0.00%
 $8,491
3/6/07 2:56 USD/CHF USD/CHF LONG 400 1.22110 3/6 9:01 1.22450 0.4%
Trade id #25509896
Max drawdown($5,557)
Time3/6/07 3:07
Quant open400
Worst price1.21940
Drawdown as % of equity-0.40%
 $11,115
3/5/07 7:23 USD/CHF USD/CHF LONG 400 1.22080 3/5 8:13 1.22340 0.22%
Trade id #25493015
Max drawdown($3,269)
Time3/5/07 7:36
Quant open400
Worst price1.21980
Drawdown as % of equity-0.22%
 $8,500
3/2/07 5:23 EUR/USD EUR/USD SHORT 400 1.31550 3/5 8:13 1.30800 0.56%
Trade id #25464827
Max drawdown($7,600)
Time3/5/07 0:35
Quant open-400
Worst price1.31740
Drawdown as % of equity-0.56%
 $30,000
12/8/06 6:22 GBP/JPY GBP/JPY SHORT 400 226.450 3/5/07 2:16 221.720 99.2%
Trade id #23715661
Max drawdown($519,058)
Time1/23/07 10:22
Quant open-400
Worst price241.430
Drawdown as % of equity-99.20%
 $163,895
2/28/07 6:06 GBP/USD GBP/USD SHORT 400 1.95800 3/2 4:49 1.95160 3.48%
Trade id #25420519
Max drawdown($29,200)
Time2/28/07 21:29
Quant open-400
Worst price1.96530
Drawdown as % of equity-3.48%
 $25,600
2/28/07 2:06 EUR/USD EUR/USD SHORT 400 1.32050 2/28 6:06 1.31950 0.79%
Trade id #25417485
Max drawdown($7,200)
Time2/28/07 2:34
Quant open-400
Worst price1.32230
Drawdown as % of equity-0.79%
 $4,000
2/27/07 3:45 GBP/USD GBP/USD SHORT 300 1.96660 2/27 15:44 1.96170 0.26%
Trade id #25391820
Max drawdown($2,100)
Time2/27/07 12:14
Quant open-300
Worst price1.96730
Drawdown as % of equity-0.26%
 $14,700
12/19/06 3:12 EUR/USD EUR/USD SHORT 400 1.31370 1/4/07 4:31 1.31120 8.97%
Trade id #23940783
Max drawdown($64,000)
Time1/2/07 8:45
Quant open-400
Worst price1.32970
Drawdown as % of equity-8.97%
 $10,000
11/24/06 4:02 GBP/USD GBP/USD SHORT 400 1.93160 1/2/07 11:15 1.97380 19.44%
Trade id #23546611
Max drawdown($212,000)
Time12/1/06 10:45
Quant open-400
Worst price1.98460
Drawdown as % of equity-19.44%
 ($168,800)
11/24/06 8:50 EUR/USD EUR/USD SHORT 400 1.30880 12/18 10:31 1.30560 10.81%
Trade id #23548814
Max drawdown($110,400)
Time12/5/06 8:30
Quant open-400
Worst price1.33640
Drawdown as % of equity-10.81%
 $12,800
12/8/06 2:28 USD/CHF USD/CHF LONG 400 1.19630 12/8 6:21 1.19770 0.44%
Trade id #23712381
Max drawdown($4,681)
Time12/8/06 4:15
Quant open400
Worst price1.19490
Drawdown as % of equity-0.44%
 $4,681
12/7/06 4:20 USD/CHF USD/CHF LONG 400 1.19370 12/7 14:41 1.19580 0.65%
Trade id #23698182
Max drawdown($7,027)
Time12/7/06 8:30
Quant open400
Worst price1.19160
Drawdown as % of equity-0.65%
 $7,028
11/24/06 5:22 GBP/JPY GBP/JPY SHORT 400 223.770 11/24 8:36 223.530 0.26%
Trade id #23547178
Max drawdown($3,600)
Time11/24/06 6:30
Quant open-400
Worst price223.860
Drawdown as % of equity-0.26%
 $8,301
11/24/06 2:19 GBP/USD GBP/USD LONG 400 1.91690 11/24 3:09 1.91800 0.26%
Trade id #23545378
Max drawdown($3,600)
Time11/24/06 2:45
Quant open400
Worst price1.91600
Drawdown as % of equity-0.26%
 $4,400
11/1/06 10:16 USD/JPY USD/JPY SHORT 400 116.840 11/22 10:44 116.565 5.4%
Trade id #23220660
Max drawdown($70,200)
Time11/9/06 8:45
Quant open-400
Worst price118.595
Drawdown as % of equity-5.40%
 $9,435
11/10/06 8:30 GBP/USD GBP/USD LONG 800 1.90545 11/22 7:13 1.90820 15.04%
Trade id #23352741
Max drawdown($175,600)
Time11/17/06 3:15
Quant open800
Worst price1.88350
Drawdown as % of equity-15.04%
 $22,000
11/21/06 9:47 EUR/USD EUR/USD LONG 400 1.28030 11/21 10:54 1.28250 0.13%
Trade id #23508109
Max drawdown($1,600)
Time11/21/06 10:00
Quant open400
Worst price1.28070
Drawdown as % of equity-0.13%
 $8,800
11/8/06 6:02 GBP/USD GBP/USD LONG 400 1.90760 11/10 2:46 1.90870 3.11%
Trade id #23314162
Max drawdown($40,400)
Time11/9/06 8:45
Quant open400
Worst price1.89750
Drawdown as % of equity-3.11%
 $4,400
11/8/06 1:40 GBP/USD GBP/USD LONG 400 1.90660 11/8 4:09 1.90860 0.91%
Trade id #23311675
Max drawdown($12,000)
Time11/8/06 2:15
Quant open400
Worst price1.90360
Drawdown as % of equity-0.91%
 $8,000
11/3/06 8:31 GBP/USD GBP/USD LONG 400 1.90380 11/7 9:05 1.90750 2.79%
Trade id #23251660
Max drawdown($35,600)
Time11/6/06 4:45
Quant open400
Worst price1.89490
Drawdown as % of equity-2.79%
 $14,800
11/3/06 10:27 EUR/USD EUR/USD LONG 400 1.26990 11/3 13:43 1.27110 0.18%
Trade id #23254754
Max drawdown($2,400)
Time11/3/06 10:45
Quant open400
Worst price1.26930
Drawdown as % of equity-0.18%
 $4,800
11/2/06 7:49 GBP/USD GBP/USD LONG 400 1.90750 11/2 13:30 1.90890 0.21%
Trade id #23235100
Max drawdown($2,800)
Time11/2/06 10:45
Quant open400
Worst price1.90680
Drawdown as % of equity-0.21%
 $5,600
11/1/06 5:01 EUR/USD EUR/USD LONG 400 1.27470 11/1 10:06 1.27910 0%
Trade id #23216727
Max drawdown$0
Time11/1/06 8:15
Quant open400
Worst price1.27470
Drawdown as % of equity0.00%
 $17,600
10/30/06 6:29 GBP/JPY GBP/JPY SHORT 400 223.110 10/31 11:44 222.900 3.2%
Trade id #23184707
Max drawdown($38,400)
Time10/31/06 5:45
Quant open-400
Worst price224.070
Drawdown as % of equity-3.20%
 $7,188
9/26/06 12:19 USD/JPY USD/JPY SHORT 400 117.160 10/31 10:39 116.910 12.28%
Trade id #22771612
Max drawdown($107,600)
Time10/13/06 10:45
Quant open-400
Worst price119.850
Drawdown as % of equity-12.28%
 $8,546
Next

Statistics

  • Strategy began
    6/2/2005
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6910.62
  • Age
    230 months ago
  • What it trades
    Forex
  • # Trades
    282
  • # Profitable
    266
  • % Profitable
    94.30%
  • Avg trade duration
    27.9 days
  • Max peak-to-valley drawdown
    92.77%
  • drawdown period
    May 17, 2007 - July 13, 2008
  • Annual Return (Compounded)
    8.3%
  • Avg win
    $6,313
  • Avg loss
    $78,999
  • Model Account Values (Raw)
  • Cash
    $891,854
  • Margin Used
    $122,357
  • Buying Power
    $412,821
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    0.35
  • Sortino Ratio
    0.55
  • Calmar Ratio
    -0.069
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    28.75%
  • Correlation to SP500
    -0.17700
  • Return Percent SP500 (cumu) during strategy life
    325.79%
  • Return Statistics
  • Ann Return (w trading costs)
    8.3%
  • Slump
  • Current Slump as Pcnt Equity
    665.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.62%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.083%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% 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
    $79,000
  • Avg Win
    $6,314
  • Sum Trade PL (losers)
    $1,264,000.000
  • Age
  • Num Months filled monthly returns table
    228
  • Win / Loss
  • Sum Trade PL (winners)
    $1,679,410.000
  • # Winners
    266
  • Num Months Winners
    105
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    94.3%
  • Frequency
  • Avg Position Time (mins)
    40210.30
  • Avg Position Time (hrs)
    670.17
  • Avg Trade Length
    27.9 days
  • Last Trade Ago
    5774
  • Regression
  • Alpha
    0.09
  • Beta
    -0.63
  • Treynor Index
    -0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    76.54
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    5.07
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.50
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.43
  • Avg(MAE) / Avg(PL) - All trades
    24.976
  • 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
    1.46
  • Avg(MAE) / Avg(PL) - Winning trades
    2.876
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.187
  • Hold-and-Hope Ratio
    0.018
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73109
  • SD
    1.24064
  • Sharpe ratio (Glass type estimate)
    0.58929
  • Sharpe ratio (Hedges UMVUE)
    0.58472
  • df
    97.00000
  • t
    1.68403
  • p
    0.04770
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27863
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10604
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27548
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22593
  • Upside Potential Ratio
    2.97077
  • Upside part of mean
    1.77163
  • Downside part of mean
    -1.04054
  • Upside SD
    1.10108
  • Downside SD
    0.59635
  • N nonnegative terms
    52.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.15814
  • Mean of criterion
    0.73109
  • SD of predictor
    0.25614
  • SD of criterion
    1.24064
  • Covariance
    -0.05024
  • r
    -0.15811
  • b (slope, estimate of beta)
    -0.76584
  • a (intercept, estimate of alpha)
    0.85220
  • Mean Square Error
    1.51633
  • DF error
    96.00000
  • t(b)
    -1.56891
  • p(b)
    0.94002
  • t(a)
    1.94674
  • p(a)
    0.02724
  • Lowerbound of 95% confidence interval for beta
    -1.73479
  • Upperbound of 95% confidence interval for beta
    0.20310
  • Lowerbound of 95% confidence interval for alpha
    -0.01674
  • Upperbound of 95% confidence interval for alpha
    1.72114
  • Treynor index (mean / b)
    -0.95462
  • Jensen alpha (a)
    0.85220
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00962
  • SD
    1.29090
  • Sharpe ratio (Glass type estimate)
    0.00745
  • Sharpe ratio (Hedges UMVUE)
    0.00739
  • df
    97.00000
  • t
    0.02129
  • p
    0.49153
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.69330
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69324
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00943
  • Upside Potential Ratio
    1.36389
  • Upside part of mean
    1.39141
  • Downside part of mean
    -1.38179
  • Upside SD
    0.78018
  • Downside SD
    1.02017
  • N nonnegative terms
    52.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.12662
  • Mean of criterion
    0.00962
  • SD of predictor
    0.24645
  • SD of criterion
    1.29090
  • Covariance
    -0.00514
  • r
    -0.01616
  • b (slope, estimate of beta)
    -0.08465
  • a (intercept, estimate of alpha)
    0.02034
  • Mean Square Error
    1.68335
  • DF error
    96.00000
  • t(b)
    -0.15837
  • p(b)
    0.56275
  • t(a)
    0.04431
  • p(a)
    0.48238
  • Lowerbound of 95% confidence interval for beta
    -1.14570
  • Upperbound of 95% confidence interval for beta
    0.97639
  • Lowerbound of 95% confidence interval for alpha
    -0.89082
  • Upperbound of 95% confidence interval for alpha
    0.93150
  • Treynor index (mean / b)
    -0.11363
  • Jensen alpha (a)
    0.02034
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.45782
  • Expected Shortfall on VaR
    0.53182
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19257
  • Expected Shortfall on VaR
    0.37414
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    98.00000
  • Minimum
    0.09990
  • Quartile 1
    0.87692
  • Median
    1.02422
  • Quartile 3
    1.16838
  • Maximum
    2.51035
  • Mean of quarter 1
    0.70675
  • Mean of quarter 2
    0.95296
  • Mean of quarter 3
    1.08628
  • Mean of quarter 4
    1.49440
  • Inter Quartile Range
    0.29146
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01020
  • Mean of outliers low
    0.09990
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    2.03846
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15179
  • VaR(95%) (moments method)
    0.27883
  • Expected Shortfall (moments method)
    0.35405
  • Extreme Value Index (regression method)
    -0.21660
  • VaR(95%) (regression method)
    0.30386
  • Expected Shortfall (regression method)
    0.38042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.05252
  • Quartile 1
    0.07120
  • Median
    0.39535
  • Quartile 3
    0.71539
  • Maximum
    0.90010
  • Mean of quarter 1
    0.06121
  • Mean of quarter 2
    0.25784
  • Mean of quarter 3
    0.59234
  • Mean of quarter 4
    0.86605
  • Inter Quartile Range
    0.64419
  • 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)
    -11.01620
  • VaR(95%) (moments method)
    0.86392
  • Expected Shortfall (moments method)
    0.86392
  • Extreme Value Index (regression method)
    -1.77594
  • VaR(95%) (regression method)
    0.97401
  • Expected Shortfall (regression method)
    0.98117
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01001
  • Compounded annual return (geometric extrapolation)
    0.00967
  • Calmar ratio (compounded annual return / max draw down)
    0.01074
  • Compounded annual return / average of 25% largest draw downs
    0.01116
  • Compounded annual return / Expected Shortfall lognormal
    0.01817
  • 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
    8.95937
  • SD
    8.17097
  • Sharpe ratio (Glass type estimate)
    1.09649
  • Sharpe ratio (Hedges UMVUE)
    1.09610
  • df
    2146.00000
  • t
    3.13884
  • p
    0.00086
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41065
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78156
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.16513
  • Upside Potential Ratio
    11.32890
  • Upside part of mean
    16.46360
  • Downside part of mean
    -7.50422
  • Upside SD
    8.05780
  • Downside SD
    1.45323
  • N nonnegative terms
    1097.00000
  • N negative terms
    1050.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2147.00000
  • Mean of predictor
    0.31835
  • Mean of criterion
    8.95937
  • SD of predictor
    0.57035
  • SD of criterion
    8.17097
  • Covariance
    0.35700
  • r
    0.07660
  • b (slope, estimate of beta)
    1.09746
  • a (intercept, estimate of alpha)
    8.61000
  • Mean Square Error
    66.40390
  • DF error
    2145.00000
  • t(b)
    3.55833
  • p(b)
    0.00019
  • t(a)
    3.02283
  • p(a)
    0.00127
  • Lowerbound of 95% confidence interval for beta
    0.49263
  • Upperbound of 95% confidence interval for beta
    1.70230
  • Lowerbound of 95% confidence interval for alpha
    3.02423
  • Upperbound of 95% confidence interval for alpha
    14.19580
  • Treynor index (mean / b)
    8.16372
  • Jensen alpha (a)
    8.61000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06750
  • SD
    3.76940
  • Sharpe ratio (Glass type estimate)
    -0.01791
  • Sharpe ratio (Hedges UMVUE)
    -0.01790
  • df
    2146.00000
  • t
    -0.05126
  • p
    0.52044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70258
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.66676
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70257
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66677
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02449
  • Upside Potential Ratio
    3.55135
  • Upside part of mean
    9.78931
  • Downside part of mean
    -9.85681
  • Upside SD
    2.56971
  • Downside SD
    2.75651
  • N nonnegative terms
    1097.00000
  • N negative terms
    1050.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2147.00000
  • Mean of predictor
    0.15666
  • Mean of criterion
    -0.06750
  • SD of predictor
    0.56915
  • SD of criterion
    3.76940
  • Covariance
    -0.00687
  • r
    -0.00320
  • b (slope, estimate of beta)
    -0.02121
  • a (intercept, estimate of alpha)
    -0.06418
  • Mean Square Error
    14.21480
  • DF error
    2145.00000
  • t(b)
    -0.14831
  • p(b)
    0.55894
  • t(a)
    -0.04872
  • p(a)
    0.51943
  • Lowerbound of 95% confidence interval for beta
    -0.30164
  • Upperbound of 95% confidence interval for beta
    0.25922
  • Lowerbound of 95% confidence interval for alpha
    -2.64740
  • Upperbound of 95% confidence interval for alpha
    2.51904
  • Treynor index (mean / b)
    3.18300
  • Jensen alpha (a)
    -0.06418
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31839
  • Expected Shortfall on VaR
    0.37937
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06288
  • Expected Shortfall on VaR
    0.14160
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2147.00000
  • Minimum
    0.07650
  • Quartile 1
    0.97424
  • Median
    1.00073
  • Quartile 3
    1.02759
  • Maximum
    12.06890
  • Mean of quarter 1
    0.89691
  • Mean of quarter 2
    0.98859
  • Mean of quarter 3
    1.01253
  • Mean of quarter 4
    1.23872
  • Inter Quartile Range
    0.05336
  • Number outliers low
    115.00000
  • Percentage of outliers low
    0.05356
  • Mean of outliers low
    0.70655
  • Number of outliers high
    146.00000
  • Percentage of outliers high
    0.06800
  • Mean of outliers high
    1.73368
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74023
  • VaR(95%) (moments method)
    0.10146
  • Expected Shortfall (moments method)
    0.41132
  • Extreme Value Index (regression method)
    0.50641
  • VaR(95%) (regression method)
    0.07717
  • Expected Shortfall (regression method)
    0.17175
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00417
  • Quartile 1
    0.05110
  • Median
    0.09558
  • Quartile 3
    0.42588
  • Maximum
    0.94849
  • Mean of quarter 1
    0.02254
  • Mean of quarter 2
    0.06648
  • Mean of quarter 3
    0.24584
  • Mean of quarter 4
    0.82548
  • Inter Quartile Range
    0.37478
  • 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)
    -169.32100
  • VaR(95%) (moments method)
    0.75748
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.38247
  • VaR(95%) (regression method)
    0.72274
  • Expected Shortfall (regression method)
    0.72671
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05185
  • Compounded annual return (geometric extrapolation)
    -0.06528
  • Calmar ratio (compounded annual return / max draw down)
    -0.06882
  • Compounded annual return / average of 25% largest draw downs
    -0.07908
  • Compounded annual return / Expected Shortfall lognormal
    -0.17206
  • 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
    -1.84616
  • SD
    0.84692
  • Sharpe ratio (Glass type estimate)
    -2.17986
  • Sharpe ratio (Hedges UMVUE)
    -2.16725
  • df
    130.00000
  • t
    -1.54139
  • p
    0.56698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.96018
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60871
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.95155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61704
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.64730
  • Upside Potential Ratio
    4.45627
  • Upside part of mean
    3.10768
  • Downside part of mean
    -4.95384
  • Upside SD
    0.48834
  • Downside SD
    0.69737
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.35011
  • Mean of criterion
    -1.84616
  • SD of predictor
    0.58835
  • SD of criterion
    0.84692
  • Covariance
    -0.07547
  • r
    -0.15146
  • b (slope, estimate of beta)
    -0.21803
  • a (intercept, estimate of alpha)
    -1.55179
  • Mean Square Error
    0.70625
  • DF error
    129.00000
  • t(b)
    -1.74039
  • p(b)
    0.59606
  • t(a)
    -1.29267
  • p(a)
    0.57184
  • Lowerbound of 95% confidence interval for beta
    -0.46590
  • Upperbound of 95% confidence interval for beta
    0.02983
  • Lowerbound of 95% confidence interval for alpha
    -3.92693
  • Upperbound of 95% confidence interval for alpha
    0.82334
  • Treynor index (mean / b)
    8.46739
  • Jensen alpha (a)
    -1.55179
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.22937
  • SD
    0.88309
  • Sharpe ratio (Glass type estimate)
    -2.52451
  • Sharpe ratio (Hedges UMVUE)
    -2.50992
  • df
    130.00000
  • t
    -1.78510
  • p
    0.57734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.30852
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.26897
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.29846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27863
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.90655
  • Upside Potential Ratio
    3.91146
  • Upside part of mean
    3.00014
  • Downside part of mean
    -5.22950
  • Upside SD
    0.45227
  • Downside SD
    0.76701
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.16944
  • Mean of criterion
    -2.22937
  • SD of predictor
    0.60439
  • SD of criterion
    0.88309
  • Covariance
    -0.07763
  • r
    -0.14544
  • b (slope, estimate of beta)
    -0.21251
  • a (intercept, estimate of alpha)
    -1.98085
  • Mean Square Error
    0.76927
  • DF error
    129.00000
  • t(b)
    -1.66964
  • p(b)
    0.59226
  • t(a)
    -1.58560
  • p(a)
    0.58774
  • VAR (95 Confidence Intrvl)
    0.31800
  • Lowerbound of 95% confidence interval for beta
    -0.46433
  • Upperbound of 95% confidence interval for beta
    0.03931
  • Lowerbound of 95% confidence interval for alpha
    -4.45257
  • Upperbound of 95% confidence interval for alpha
    0.49087
  • Treynor index (mean / b)
    10.49080
  • Jensen alpha (a)
    -1.98085
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09358
  • Expected Shortfall on VaR
    0.11383
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04206
  • Expected Shortfall on VaR
    0.08682
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.71069
  • Quartile 1
    0.97941
  • Median
    1.00055
  • Quartile 3
    1.01291
  • Maximum
    1.26088
  • Mean of quarter 1
    0.93447
  • Mean of quarter 2
    0.99050
  • Mean of quarter 3
    1.00568
  • Mean of quarter 4
    1.04155
  • Inter Quartile Range
    0.03350
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.87560
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.14520
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46796
  • VaR(95%) (moments method)
    0.06609
  • Expected Shortfall (moments method)
    0.14201
  • Extreme Value Index (regression method)
    0.29273
  • VaR(95%) (regression method)
    0.06174
  • Expected Shortfall (regression method)
    0.10677
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01046
  • Quartile 1
    0.04145
  • Median
    0.08581
  • Quartile 3
    0.13241
  • Maximum
    0.73881
  • Mean of quarter 1
    0.01528
  • Mean of quarter 2
    0.07430
  • Mean of quarter 3
    0.11813
  • Mean of quarter 4
    0.44275
  • Inter Quartile Range
    0.09096
  • 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
    0.73881
  • 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?
    -346577000
  • Max Equity Drawdown (num days)
    423
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.34396
  • Compounded annual return (geometric extrapolation)
    -0.89240
  • Calmar ratio (compounded annual return / max draw down)
    -1.20789
  • Compounded annual return / average of 25% largest draw downs
    -2.01559
  • Compounded annual return / Expected Shortfall lognormal
    -7.84008

Strategy Description



Summary Statistics

Strategy began
2005-06-02
Suggested Minimum Capital
$100,000
# Trades
282
# Profitable
266
% Profitable
94.3%
Correlation S&P500
-0.177
Sharpe Ratio
0.35
Sortino Ratio
0.55
Beta
-0.63
Alpha
0.09

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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