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Featured Strategy S2Prox0 Followed by live capital $152,000 Hypothetical

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RT Forex North
(21430871)

Created by: BradGoldman BradGoldman
Started: 06/2006
Forex
Last trade: 5,616 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 $5.00 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.

1.0%
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.

(95.1%)
Max Drawdown
309
Num Trades
59.5%
Win Trades
1.1 : 1
Profit Factor
9.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006                                   +27.4%+7.8%(5.1%)+5.7%(1.2%)+1.4%+10.1%+51.9%
2007+4.3%+0.2%+6.7%(3.3%)(9.4%)(1.8%)+6.3%+1.3%+4.1%+1.6%+4.8%(2.8%)+11.3%
2008+4.9%+2.1%+3.8%+1.1%+1.9%+2.9%(16.7%)(7.7%)(23.8%)(56.9%)+135.3%+0.8%(29.3%)
2009  -    -    -    -    -    -    -    -  (1.4%)  -    -    -  (1.5%)
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 20 hours.

Trading Record

This strategy has placed 13 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5748 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/8/08 19:04 EUR/USD EUR/USD SHORT 80 1.29100 12/9 8:26 1.28650 1.06%
Trade id #37030076
Max drawdown($1,440)
Time12/8/08 19:33
Quant open-80
Worst price1.29280
Drawdown as % of equity-1.06%
 $3,597
12/3/08 20:17 EUR/USD EUR/USD SHORT 50 1.26790 12/4 11:05 1.27281 2.15%
Trade id #36943171
Max drawdown($3,050)
Time12/4/08 10:59
Quant open-50
Worst price1.27400
Drawdown as % of equity-2.15%
 ($2,455)
11/25/08 14:15 EUR/USD EUR/USD SHORT 70 1.29900 11/26 11:19 1.28616 4.63%
Trade id #36754029
Max drawdown($5,740)
Time11/25/08 15:51
Quant open-70
Worst price1.30720
Drawdown as % of equity-4.63%
 $8,988
11/17/08 11:48 EUR/USD EUR/USD LONG 140 1.26418 11/19 9:37 1.27786 9.17%
Trade id #36515774
Max drawdown($9,677)
Time11/18/08 14:48
Quant open70
Worst price1.25668
Drawdown as % of equity-9.17%
 $19,152
11/6/08 23:34 USD/CAD USD/CAD SHORT 50 1.19650 11/7 10:25 1.17078 1.93%
Trade id #36285367
Max drawdown($1,923)
Time11/7/08 0:25
Quant open-50
Worst price1.20100
Drawdown as % of equity-1.93%
 $10,727
11/3/08 19:13 USD/CAD USD/CAD SHORT 50 1.17900 11/4 10:19 1.16380 4.93%
Trade id #36192550
Max drawdown($4,457)
Time11/4/08 3:02
Quant open-50
Worst price1.18938
Drawdown as % of equity-4.93%
 $6,425
10/27/08 11:41 GBP/USD GBP/USD SHORT 70 1.54491 11/3 17:56 1.57341 201.83%
Trade id #36041691
Max drawdown($85,634)
Time10/30/08 3:22
Quant open-70
Worst price1.66725
Drawdown as % of equity-201.83%
 ($19,950)
10/22/08 18:14 USD/CAD USD/CAD SHORT 70 1.25412 10/30 16:22 1.21253 42.48%
Trade id #35957915
Max drawdown($27,319)
Time10/28/08 7:09
Quant open-70
Worst price1.30117
Drawdown as % of equity-42.48%
 $22,775
10/13/08 11:49 GBP/JPY GBP/JPY SHORT 50 175.482 10/20 11:10 173.977 36.53%
Trade id #35726492
Max drawdown($29,097)
Time10/14/08 7:40
Quant open-50
Worst price181.408
Drawdown as % of equity-36.53%
 $7,408
10/8/08 14:31 AUD/USD AUD/USD LONG 100 0.67990 10/19 17:30 0.68167 72.56%
Trade id #35642199
Max drawdown($42,861)
Time10/10/08 14:46
Quant open91
Worst price0.63280
Drawdown as % of equity-72.56%
 $1,773
9/30/08 17:12 EUR/USD EUR/USD LONG 100 1.40990 10/13 11:47 1.35474 141.87%
Trade id #35447929
Max drawdown($83,800)
Time10/10/08 14:46
Quant open100
Worst price1.32610
Drawdown as % of equity-141.87%
 ($55,160)
9/23/08 2:39 EUR/USD EUR/USD SHORT 100 1.47700 9/23 19:38 1.46991 2.22%
Trade id #35267233
Max drawdown($3,000)
Time9/23/08 6:46
Quant open-100
Worst price1.48000
Drawdown as % of equity-2.22%
 $7,090
9/16/08 0:40 EUR/USD EUR/USD LONG 100 1.42400 9/17 5:16 1.42215 12.76%
Trade id #35072454
Max drawdown($16,600)
Time9/16/08 14:17
Quant open100
Worst price1.40740
Drawdown as % of equity-12.76%
 ($1,850)
9/14/08 21:23 EUR/USD EUR/USD SHORT 100 1.43292 9/15 8:38 1.41499 11.27%
Trade id #35022203
Max drawdown($11,945)
Time9/15/08 2:02
Quant open-100
Worst price1.44486
Drawdown as % of equity-11.27%
 $17,930
9/9/08 6:11 EUR/USD EUR/USD LONG 50 1.41859 9/10 11:23 1.40210 7.11%
Trade id #34901883
Max drawdown($8,245)
Time9/10/08 11:22
Quant open50
Worst price1.40280
Drawdown as % of equity-7.11%
 ($8,245)
9/8/08 22:47 GBP/JPY GBP/JPY SHORT 100 188.200 9/9 5:11 190.100 14.08%
Trade id #34897255
Max drawdown($17,623)
Time9/9/08 5:03
Quant open-100
Worst price189.800
Drawdown as % of equity-14.08%
 ($17,623)
9/8/08 15:59 GBP/JPY GBP/JPY LONG 100 190.200 9/8 22:41 188.400 11.97%
Trade id #34893665
Max drawdown($17,215)
Time9/8/08 22:37
Quant open100
Worst price188.350
Drawdown as % of equity-11.97%
 ($16,750)
9/7/08 17:44 GBP/USD GBP/USD LONG 100 1.77411 9/8 13:05 1.75240 12.82%
Trade id #34865124
Max drawdown($21,705)
Time9/8/08 12:33
Quant open100
Worst price1.75313
Drawdown as % of equity-12.82%
 ($21,705)
9/8/08 4:23 EUR/USD EUR/USD SHORT 50 1.42700 9/8 8:28 1.41927 0.56%
Trade id #34870863
Max drawdown($940)
Time9/8/08 4:36
Quant open-50
Worst price1.42888
Drawdown as % of equity-0.56%
 $3,865
8/24/08 20:05 GBP/USD GBP/USD SHORT 60 1.84750 8/25 0:01 1.84150 n/a $3,600
8/19/08 1:52 GBP/USD GBP/USD SHORT 60 1.86050 8/19 1:56 1.85800 n/a $1,500
8/12/08 16:17 GBP/USD GBP/USD SHORT 50 1.89580 8/12 16:18 1.89580 n/a $0
8/12/08 5:37 EUR/JPY EUR/JPY LONG 120 164.183 8/12 15:06 163.100 6.7%
Trade id #34394031
Max drawdown($11,994)
Time8/12/08 15:06
Quant open120
Worst price163.090
Drawdown as % of equity-6.70%
 ($11,885)
8/11/08 0:47 GBP/JPY GBP/JPY LONG 45 211.136 8/12 2:01 209.100 4.53%
Trade id #34358883
Max drawdown($8,321)
Time8/12/08 2:00
Quant open45
Worst price209.120
Drawdown as % of equity-4.53%
 ($8,321)
8/10/08 19:45 EUR/JPY EUR/JPY SHORT 30 164.163 8/11 17:13 164.109 2.12%
Trade id #34356531
Max drawdown($3,918)
Time8/11/08 4:27
Quant open-30
Worst price165.600
Drawdown as % of equity-2.12%
 $147
8/7/08 7:35 EUR/JPY EUR/JPY SHORT 40 169.276 8/7 8:44 168.754 0.07%
Trade id #34297862
Max drawdown($124)
Time8/7/08 7:37
Quant open-40
Worst price169.310
Drawdown as % of equity-0.07%
 $1,909
8/5/08 20:10 GBP/JPY GBP/JPY LONG 30 212.150 8/5 21:35 211.890 0.39%
Trade id #34261890
Max drawdown($719)
Time8/5/08 21:28
Quant open30
Worst price211.900
Drawdown as % of equity-0.39%
 ($719)
8/1/08 3:20 GBP/USD GBP/USD SHORT 50 1.97780 8/1 3:50 1.97480 0.12%
Trade id #34182910
Max drawdown($230)
Time8/1/08 3:22
Quant open-50
Worst price1.97826
Drawdown as % of equity-0.12%
 $1,500
7/31/08 8:31 GBP/USD GBP/USD LONG 50 1.98500 7/31 9:07 1.99000 0.27%
Trade id #34157038
Max drawdown($485)
Time7/31/08 8:36
Quant open50
Worst price1.98403
Drawdown as % of equity-0.27%
 $2,500
7/30/08 20:54 GBP/USD GBP/USD SHORT 50 1.97820 7/31 2:42 1.98250 1.18%
Trade id #34147872
Max drawdown($2,150)
Time7/31/08 2:40
Quant open-50
Worst price1.98221
Drawdown as % of equity-1.18%
 ($2,150)
Next

Statistics

  • Strategy began
    6/5/2006
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6529.08
  • Age
    218 months ago
  • What it trades
    Forex
  • # Trades
    309
  • # Profitable
    184
  • % Profitable
    59.50%
  • Avg trade duration
    16.0 hours
  • Max peak-to-valley drawdown
    95.08%
  • drawdown period
    July 14, 2008 - Oct 10, 2008
  • Annual Return (Compounded)
    1.0%
  • Avg win
    $2,615
  • Avg loss
    $3,543
  • Model Account Values (Raw)
  • Cash
    $138,268
  • Margin Used
    $0
  • Buying Power
    $138,268
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.33
  • Calmar Ratio
    -0.023
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -273.78%
  • Correlation to SP500
    0.00700
  • Return Percent SP500 (cumu) during strategy life
    298.99%
  • Return Statistics
  • Ann Return (w trading costs)
    1.0%
  • Slump
  • Current Slump as Pcnt Equity
    69.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.010%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.8%
  • 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
    $3,543
  • Avg Win
    $2,615
  • Sum Trade PL (losers)
    $442,904.000
  • Age
  • Num Months filled monthly returns table
    215
  • Win / Loss
  • Sum Trade PL (winners)
    $481,174.000
  • # Winners
    184
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    125
  • % Winners
    59.5%
  • Frequency
  • Avg Position Time (mins)
    962.67
  • Avg Position Time (hrs)
    16.04
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    5612
  • Regression
  • Alpha
    0.03
  • Beta
    0.02
  • Treynor Index
    1.53
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    63.42
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    36.67
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.64
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    47.833
  • 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
    0.14
  • Avg(MAE) / Avg(PL) - Winning trades
    0.834
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.331
  • Hold-and-Hope Ratio
    0.021
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04392
  • SD
    0.39169
  • Sharpe ratio (Glass type estimate)
    0.11213
  • Sharpe ratio (Hedges UMVUE)
    0.11112
  • df
    84.00000
  • t
    0.29842
  • p
    0.38306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84843
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84774
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21207
  • Upside Potential Ratio
    1.14951
  • Upside part of mean
    0.23806
  • Downside part of mean
    -0.19415
  • Upside SD
    0.32998
  • Downside SD
    0.20710
  • N nonnegative terms
    72.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.17952
  • Mean of criterion
    0.04392
  • SD of predictor
    0.26627
  • SD of criterion
    0.39169
  • Covariance
    0.01424
  • r
    0.13654
  • b (slope, estimate of beta)
    0.20085
  • a (intercept, estimate of alpha)
    0.00786
  • Mean Square Error
    0.15238
  • DF error
    83.00000
  • t(b)
    1.25569
  • p(b)
    0.10638
  • t(a)
    0.05261
  • p(a)
    0.47909
  • Lowerbound of 95% confidence interval for beta
    -0.11729
  • Upperbound of 95% confidence interval for beta
    0.51900
  • Lowerbound of 95% confidence interval for alpha
    -0.28940
  • Upperbound of 95% confidence interval for alpha
    0.30512
  • Treynor index (mean / b)
    0.21866
  • Jensen alpha (a)
    0.00786
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01932
  • SD
    0.34788
  • Sharpe ratio (Glass type estimate)
    -0.05552
  • Sharpe ratio (Hedges UMVUE)
    -0.05503
  • df
    84.00000
  • t
    -0.14777
  • p
    0.55856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79184
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79150
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68145
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07955
  • Upside Potential Ratio
    0.82908
  • Upside part of mean
    0.20131
  • Downside part of mean
    -0.22062
  • Upside SD
    0.24632
  • Downside SD
    0.24281
  • N nonnegative terms
    72.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.14231
  • Mean of criterion
    -0.01932
  • SD of predictor
    0.27361
  • SD of criterion
    0.34788
  • Covariance
    0.02229
  • r
    0.23418
  • b (slope, estimate of beta)
    0.29775
  • a (intercept, estimate of alpha)
    -0.06169
  • Mean Square Error
    0.11577
  • DF error
    83.00000
  • t(b)
    2.19448
  • p(b)
    0.01550
  • t(a)
    -0.47713
  • p(a)
    0.68274
  • Lowerbound of 95% confidence interval for beta
    0.02788
  • Upperbound of 95% confidence interval for beta
    0.56761
  • Lowerbound of 95% confidence interval for alpha
    -0.31884
  • Upperbound of 95% confidence interval for alpha
    0.19547
  • Treynor index (mean / b)
    -0.06487
  • Jensen alpha (a)
    -0.06169
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15363
  • Expected Shortfall on VaR
    0.18785
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01276
  • Expected Shortfall on VaR
    0.03984
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    85.00000
  • Minimum
    0.64955
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.84267
  • Mean of quarter 1
    0.93749
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.08030
  • Inter Quartile Range
    0.00000
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.15294
  • Mean of outliers low
    0.89422
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.23529
  • Mean of outliers high
    1.08431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.93331
  • VaR(95%) (moments method)
    0.00089
  • Expected Shortfall (moments method)
    0.00089
  • Extreme Value Index (regression method)
    0.47304
  • VaR(95%) (regression method)
    0.04846
  • Expected Shortfall (regression method)
    0.16132
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.05543
  • Quartile 1
    0.12104
  • Median
    0.17687
  • Quartile 3
    0.32042
  • Maximum
    0.64919
  • Mean of quarter 1
    0.05543
  • Mean of quarter 2
    0.14291
  • Mean of quarter 3
    0.21083
  • Mean of quarter 4
    0.64919
  • Inter Quartile Range
    0.19938
  • 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
    0.25000
  • Mean of outliers high
    0.64919
  • 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)
    -0.01805
  • Compounded annual return (geometric extrapolation)
    -0.01913
  • Calmar ratio (compounded annual return / max draw down)
    -0.02947
  • Compounded annual return / average of 25% largest draw downs
    -0.02947
  • Compounded annual return / Expected Shortfall lognormal
    -0.10184
  • 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
    0.73689
  • SD
    1.32418
  • Sharpe ratio (Glass type estimate)
    0.55649
  • Sharpe ratio (Hedges UMVUE)
    0.55627
  • df
    1875.00000
  • t
    1.48910
  • p
    0.47812
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28894
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08382
  • Upside Potential Ratio
    3.62553
  • Upside part of mean
    2.46502
  • Downside part of mean
    -1.72812
  • Upside SD
    1.13680
  • Downside SD
    0.67990
  • N nonnegative terms
    1596.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1876.00000
  • Mean of predictor
    0.29954
  • Mean of criterion
    0.73689
  • SD of predictor
    0.56525
  • SD of criterion
    1.32418
  • Covariance
    0.32261
  • r
    0.43102
  • b (slope, estimate of beta)
    1.00974
  • a (intercept, estimate of alpha)
    0.43400
  • Mean Square Error
    1.42846
  • DF error
    1874.00000
  • t(b)
    20.67820
  • p(b)
    0.28449
  • t(a)
    0.97213
  • p(a)
    0.48878
  • Lowerbound of 95% confidence interval for beta
    0.91397
  • Upperbound of 95% confidence interval for beta
    1.10551
  • Lowerbound of 95% confidence interval for alpha
    -0.44202
  • Upperbound of 95% confidence interval for alpha
    1.31089
  • Treynor index (mean / b)
    0.72979
  • Jensen alpha (a)
    0.43444
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01911
  • SD
    1.23110
  • Sharpe ratio (Glass type estimate)
    -0.01552
  • Sharpe ratio (Hedges UMVUE)
    -0.01551
  • df
    1875.00000
  • t
    -0.04153
  • p
    0.50061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74797
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71694
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02091
  • Upside Potential Ratio
    2.24135
  • Upside part of mean
    2.04813
  • Downside part of mean
    -2.06723
  • Upside SD
    0.82448
  • Downside SD
    0.91379
  • N nonnegative terms
    1596.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1876.00000
  • Mean of predictor
    0.13902
  • Mean of criterion
    -0.01911
  • SD of predictor
    0.56888
  • SD of criterion
    1.23110
  • Covariance
    0.29717
  • r
    0.42432
  • b (slope, estimate of beta)
    0.91826
  • a (intercept, estimate of alpha)
    -0.14677
  • Mean Square Error
    1.24338
  • DF error
    1874.00000
  • t(b)
    20.28530
  • p(b)
    0.28784
  • t(a)
    -0.35216
  • p(a)
    0.50407
  • Lowerbound of 95% confidence interval for beta
    0.82948
  • Upperbound of 95% confidence interval for beta
    1.00704
  • Lowerbound of 95% confidence interval for alpha
    -0.96413
  • Upperbound of 95% confidence interval for alpha
    0.67060
  • Treynor index (mean / b)
    -0.02081
  • Jensen alpha (a)
    -0.14677
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11766
  • Expected Shortfall on VaR
    0.14492
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00488
  • Expected Shortfall on VaR
    0.01612
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1876.00000
  • Minimum
    0.35883
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.59114
  • Mean of quarter 1
    0.97362
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03763
  • Inter Quartile Range
    0.00000
  • Number outliers low
    280.00000
  • Percentage of outliers low
    0.14925
  • Mean of outliers low
    0.95581
  • Number of outliers high
    325.00000
  • Percentage of outliers high
    0.17324
  • Mean of outliers high
    1.05431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.53485
  • VaR(95%) (moments method)
    0.00370
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00002
  • Quartile 1
    0.05046
  • Median
    0.13485
  • Quartile 3
    0.28565
  • Maximum
    0.81680
  • Mean of quarter 1
    0.01889
  • Mean of quarter 2
    0.09595
  • Mean of quarter 3
    0.18456
  • Mean of quarter 4
    0.48055
  • Inter Quartile Range
    0.23518
  • 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
    0.05882
  • Mean of outliers high
    0.81680
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08895
  • VaR(95%) (moments method)
    0.50078
  • Expected Shortfall (moments method)
    0.66398
  • Extreme Value Index (regression method)
    0.72521
  • VaR(95%) (regression method)
    0.41895
  • Expected Shortfall (regression method)
    0.91330
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01786
  • Compounded annual return (geometric extrapolation)
    -0.01893
  • Calmar ratio (compounded annual return / max draw down)
    -0.02317
  • Compounded annual return / average of 25% largest draw downs
    -0.03939
  • Compounded annual return / Expected Shortfall lognormal
    -0.13060
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.85141
  • Mean of criterion
    0.00000
  • SD of predictor
    0.65123
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61635
  • Mean of criterion
    0.00000
  • SD of predictor
    0.70703
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.11800
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340808000
  • Max Equity Drawdown (num days)
    88
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description















This is for forex traders. You can autotrade it if you like but manually trading it may be better to prevent slippage. Trade signals will be e-mailed from C2 to you and also appear in C2. The system is setup for mostly limit orders but may have market orders in a fast market.

I have real profit and real stops, but will use mental stops and average into trades when needed. I will not keep losing trades hidden in the system since I will be trading my own money.

I have decided to pay the C2 fee since the system is working and so it will keep track of my trades. If you are interested in trading this system, feel free to signup. I made the price for a months trial very reasonable considering that a single good trade makes at least $ 999.00

We will cap the number of subscribers at 40 to help maintain profitability.

http://www.river-traders.com/ e-mail: using C2 private messaging.

Note: We have decided to not offer free auto-trading since we are swing system not a scalping system. Our goal is to make money for our subscribers and us not the brokers. If you have been unsubscribed when we turned off "free" auto-trading, you can just click on the subscribe button to continue to get both manual and/or auto-trade signals.

Please note to certain hedge funds that I have been in contact with that this system is currently open to normal individuals ONLY, but that I will be happy to work something out with you where I trade a managed account and will work to convert my current subscribers to managed accounts. We are the only forex system on C2 that has been in the top 10 best forex system for over a year with real money results from both myself and our subscribers.

Quoted from Matthew Klein:

"First, let me address the main topic at hand. When using the "Show real-life brokerage fills," C2 ONLY includes fills from live accounts, and NEVER includes fills from demo/simulation accounts."

"I want to congratulate you on the excellent performance of your C2 trading system called RT Forex North!"



Summary Statistics

Strategy began
2006-06-05
Suggested Minimum Capital
$100,000
# Trades
309
# Profitable
184
% Profitable
59.5%
Correlation S&P500
0.007
Sharpe Ratio
0.17
Sortino Ratio
0.33
Beta
0.02
Alpha
0.03

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.