Collective2 Collective2
Featured Strategy S2Prox0 +63.8% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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SNIPER ¤ 4X
(25104125)

Created by: juan_carlos juan_carlos
Started: 02/2007
Forex
Last trade: 5,929 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 $100.00 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.

1.2%
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.

(87.3%)
Max Drawdown
614
Num Trades
56.5%
Win Trades
1.1 : 1
Profit Factor
47.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007       +14.5%+20.8%+6.4%(0.7%)+11.9%+17.7%+5.4%(27.6%)(60.6%)(0.8%)(0.1%)(42.7%)
2008(0.7%)+10.4%+2.2%(11.4%)(11.5%)(16.9%)(28.3%)+178.6%+20.4%+98.6%+23.7%+12.8%+386.5%
2009+4.8%(11.9%)(3.5%)(1.3%)(6.7%)(8.9%)+3.0%+14.2%+11.6%(3.4%)+9.8%(10.2%)(6.5%)
2010+13.5%+15.0%(6.9%)(0.9%)+17.3%+2.3%(2.6%)+8.1%(1.1%)+3.5%+1.6%+7.5%+70.2%
2011(10.5%)(0.2%)(0.1%)(3.3%)+3.7%+3.9%+8.6%+0.8%+4.6%+0.5%(0.5%)+4.0%+10.6%
2012+3.6%(10.9%)(7.2%)+5.4%+11.9%(3.6%)+7.3%(4.3%)(2.1%)(5.2%)(4.2%)(11.9%)(21.6%)
2013(11.9%)+8.8%+0.8%(12.7%)(8.7%)(2.3%)(0.8%)(6.4%)(3.5%)+3.0%(18.6%)(14.3%)(51.6%)
2014+12.7%(5%)+3.3%(5%)+9.6%(3.9%)+2.7%+1.9%(8.9%)(0.4%)(13.6%)(1.4%)(10.3%)
2015+22.3%(8.7%)+12.0%(6.3%)(12.3%)(3.1%)(6.5%)+3.4%+7.9%(2.2%)+10.2%+2.0%+14.1%
2016+8.3%+21.6%+0.8%+4.0%(7.9%)+13.6%+20.1%(0.5%)+7.5%+3.1%(15.9%)(3.7%)+54.8%
2017+5.5%+3.9%+0.2%(7.1%)(1.9%)(3.3%)+0.5%+2.8%(10.2%)(0.9%)(0.4%)(1.9%)(13%)
2018+0.1%+6.1%(5%)(0.7%)+8.6%(2.7%)+0.8%+0.1%(5.2%)+5.0%+1.4%+3.2%+11.2%
2019(1.3%)(1.4%)+0.4%(0.8%)+0.3%+7.8%+2.5%+5.7%(2.1%)(7.5%)+0.6%(3.9%)(0.6%)
2020(1.2%)+0.2%+2.7%+8.9%(1.8%)+0.3%(4.6%)(3.4%)+6.5%(2.5%)  -  (1.8%)+2.6%
2021(2.3%)(4.8%)(4.9%)+0.9%(7.3%)+3.4%(0.2%)+2.0%+1.8%(4.1%)+3.9%+1.2%(10.5%)
2022(5.1%)+0.5%(3.3%)(6.6%)+4.9%(6.5%)+7.3%+1.3%(6.6%)(9.3%)+1.7%(0.6%)(21.3%)
2023+10.6%(5.6%)(4%)(13.1%)(1.1%)(13.4%)+1.2%(4.4%)+5.4%(0.5%)(11.3%)+18.4%(20.4%)
2024(13.9%)(3.7%)(0.9%)(8.5%)                                                (24.8%)

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 24 hours.

Trading Record

This strategy has placed 1,086 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
10/16/07 3:31 USD/JPY USD/JPY LONG 80 116.730 10/18 4:04 116.130 3.51%
Trade id #28624127
Max drawdown($4,118)
Time10/17/07 1:11
Quant open80
Worst price116.179
Drawdown as % of equity-3.51%
 ($4,118)
10/16/07 7:17 USD/CAD USD/CAD LONG 60 0.98027 10/17 9:32 0.97350 3.35%
Trade id #28626016
Max drawdown($4,162)
Time10/16/07 9:10
Quant open60
Worst price0.97440
Drawdown as % of equity-3.35%
 ($4,162)
10/16/07 7:12 AUD/USD AUD/USD SHORT 60 0.88775 10/17 8:30 0.89360 2.95%
Trade id #28625978
Max drawdown($3,510)
Time10/17/07 8:23
Quant open-60
Worst price0.89327
Drawdown as % of equity-2.95%
 ($3,510)
10/16/07 7:03 EUR/USD EUR/USD SHORT 60 1.41541 10/17 8:30 1.42100 2.82%
Trade id #28625943
Max drawdown($3,354)
Time10/17/07 8:23
Quant open-60
Worst price1.42007
Drawdown as % of equity-2.82%
 ($3,354)
10/16/07 7:03 GBP/USD GBP/USD SHORT 60 2.03090 10/16 9:03 2.03750 3.18%
Trade id #28625934
Max drawdown($3,960)
Time10/16/07 9:03
Quant open-60
Worst price2.03742
Drawdown as % of equity-3.18%
 ($3,960)
10/11/07 14:30 USD/JPY USD/JPY SHORT 60 117.291 10/12 12:08 117.477 0.77%
Trade id #28580758
Max drawdown($950)
Time10/11/07 14:41
Quant open-60
Worst price117.445
Drawdown as % of equity-0.77%
 ($950)
10/12/07 9:14 USD/CAD USD/CAD LONG 60 0.97270 10/12 12:07 0.97340 0.24%
Trade id #28595656
Max drawdown($308)
Time10/12/07 9:28
Quant open60
Worst price0.97220
Drawdown as % of equity-0.24%
 $431
10/11/07 9:23 AUD/USD AUD/USD SHORT 60 0.90155 10/12 12:06 0.90400 2.03%
Trade id #28572990
Max drawdown($2,700)
Time10/11/07 10:18
Quant open-60
Worst price0.90605
Drawdown as % of equity-2.03%
 ($1,470)
10/12/07 8:14 GBP/USD GBP/USD SHORT 60 2.02920 10/12 8:48 2.03520 2.78%
Trade id #28594431
Max drawdown($3,600)
Time10/12/07 8:47
Quant open-60
Worst price2.03437
Drawdown as % of equity-2.78%
 ($3,600)
10/11/07 12:55 EUR/USD EUR/USD SHORT 60 1.42211 10/12 4:40 1.41848 0.26%
Trade id #28577999
Max drawdown($318)
Time10/11/07 13:29
Quant open-60
Worst price1.42264
Drawdown as % of equity-0.26%
 $2,178
10/11/07 12:56 GBP/USD GBP/USD SHORT 60 2.03320 10/12 4:39 2.02690 1.22%
Trade id #28578015
Max drawdown($1,515)
Time10/11/07 14:47
Quant open-60
Worst price2.03573
Drawdown as % of equity-1.22%
 $3,780
10/11/07 6:46 USD/JPY USD/JPY LONG 80 117.385 10/11 14:29 117.291 0.55%
Trade id #28571051
Max drawdown($681)
Time10/11/07 14:29
Quant open80
Worst price117.285
Drawdown as % of equity-0.55%
 ($640)
10/11/07 9:23 GBP/USD GBP/USD SHORT 60 2.03240 10/11 10:17 2.03852 2.76%
Trade id #28572976
Max drawdown($3,672)
Time10/11/07 10:17
Quant open-60
Worst price2.03802
Drawdown as % of equity-2.76%
 ($3,672)
10/11/07 9:41 EUR/USD EUR/USD SHORT 60 1.41691 10/11 10:16 1.42170 2.16%
Trade id #28573595
Max drawdown($2,874)
Time10/11/07 10:14
Quant open-60
Worst price1.42085
Drawdown as % of equity-2.16%
 ($2,874)
10/11/07 7:22 EUR/USD EUR/USD LONG 60 1.41870 10/11 9:41 1.41691 1.33%
Trade id #28571334
Max drawdown($1,830)
Time10/11/07 9:23
Quant open60
Worst price1.41565
Drawdown as % of equity-1.33%
 ($1,074)
10/11/07 7:21 AUD/USD AUD/USD LONG 60 0.90305 10/11 9:23 0.90155 0.65%
Trade id #28571323
Max drawdown($900)
Time10/11/07 9:23
Quant open60
Worst price0.90165
Drawdown as % of equity-0.65%
 ($900)
10/11/07 7:21 GBP/USD GBP/USD LONG 60 2.03710 10/11 9:22 2.03240 2.04%
Trade id #28571309
Max drawdown($2,820)
Time10/11/07 9:22
Quant open60
Worst price2.03281
Drawdown as % of equity-2.04%
 ($2,820)
10/11/07 5:16 AUD/USD AUD/USD SHORT 60 0.90382 10/11 7:19 0.90378 0.86%
Trade id #28570524
Max drawdown($1,137)
Time10/11/07 6:19
Quant open-60
Worst price0.90572
Drawdown as % of equity-0.86%
 $24
10/11/07 5:16 EUR/USD EUR/USD SHORT 60 1.42051 10/11 7:12 1.41950 0.52%
Trade id #28570540
Max drawdown($684)
Time10/11/07 6:17
Quant open-60
Worst price1.42165
Drawdown as % of equity-0.52%
 $606
10/11/07 5:17 GBP/USD GBP/USD SHORT 60 2.04060 10/11 7:11 2.03830 0.44%
Trade id #28570554
Max drawdown($585)
Time10/11/07 5:33
Quant open-60
Worst price2.04157
Drawdown as % of equity-0.44%
 $1,380
10/10/07 9:26 USD/CAD USD/CAD SHORT 60 0.98220 10/11 5:15 0.97735 0.59%
Trade id #28557325
Max drawdown($798)
Time10/10/07 10:55
Quant open-60
Worst price0.98350
Drawdown as % of equity-0.59%
 $2,979
10/10/07 9:27 EUR/USD EUR/USD LONG 60 1.41548 10/11 5:14 1.42070 1.33%
Trade id #28557357
Max drawdown($1,758)
Time10/10/07 14:07
Quant open60
Worst price1.41255
Drawdown as % of equity-1.33%
 $3,132
10/10/07 9:25 GBP/USD GBP/USD LONG 60 2.04190 10/11 3:04 2.03550 2.91%
Trade id #28557281
Max drawdown($3,840)
Time10/11/07 2:10
Quant open60
Worst price2.03635
Drawdown as % of equity-2.91%
 ($3,840)
10/10/07 9:25 AUD/USD AUD/USD LONG 60 0.89880 10/10 14:08 0.89390 2.22%
Trade id #28557304
Max drawdown($2,940)
Time10/10/07 14:08
Quant open60
Worst price0.89455
Drawdown as % of equity-2.22%
 ($2,940)
10/5/07 5:04 USD/JPY USD/JPY LONG 90 116.608 10/10 9:56 117.260 1.34%
Trade id #28481138
Max drawdown($2,055)
Time10/5/07 7:43
Quant open90
Worst price116.340
Drawdown as % of equity-1.34%
 $5,001
10/9/07 8:58 AUD/USD AUD/USD SHORT 70 0.89362 10/9 15:58 0.89960 3.1%
Trade id #28521017
Max drawdown($4,186)
Time10/9/07 15:58
Quant open-70
Worst price0.89939
Drawdown as % of equity-3.10%
 ($4,186)
10/9/07 8:56 EUR/USD EUR/USD SHORT 70 1.40342 10/9 11:04 1.40950 3.01%
Trade id #28520975
Max drawdown($4,256)
Time10/9/07 11:00
Quant open-70
Worst price1.40925
Drawdown as % of equity-3.01%
 ($4,256)
10/9/07 8:56 GBP/USD GBP/USD SHORT 70 2.02770 10/9 10:59 2.03400 3.12%
Trade id #28520986
Max drawdown($4,410)
Time10/9/07 10:59
Quant open-70
Worst price2.03347
Drawdown as % of equity-3.12%
 ($4,410)
10/8/07 10:01 AUD/USD AUD/USD LONG 70 0.89630 10/9 8:58 0.89362 2.35%
Trade id #28503632
Max drawdown($3,465)
Time10/9/07 0:31
Quant open70
Worst price0.89135
Drawdown as % of equity-2.35%
 ($1,876)
10/8/07 6:31 GBP/USD GBP/USD LONG 70 2.03723 10/9 5:27 2.03120 2.84%
Trade id #28501696
Max drawdown($4,221)
Time10/9/07 5:27
Quant open70
Worst price2.03151
Drawdown as % of equity-2.84%
 ($4,221)
Next

Statistics

  • Strategy began
    2/10/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6286.18
  • Age
    210 months ago
  • What it trades
    Forex
  • # Trades
    614
  • # Profitable
    347
  • % Profitable
    56.50%
  • Avg trade duration
    39.2 days
  • Max peak-to-valley drawdown
    87.32%
  • drawdown period
    Aug 28, 2007 - July 24, 2008
  • Annual Return (Compounded)
    1.2%
  • Avg win
    $2,924
  • Avg loss
    $3,536
  • Model Account Values (Raw)
  • Cash
    $103,457
  • Margin Used
    $44,742
  • Buying Power
    $125,906
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    0.14
  • Sortino Ratio
    0.22
  • Calmar Ratio
    0.029
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -232.30%
  • Correlation to SP500
    -0.19100
  • Return Percent SP500 (cumu) during strategy life
    254.64%
  • Return Statistics
  • Ann Return (w trading costs)
    1.2%
  • Slump
  • Current Slump as Pcnt Equity
    324.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.012%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.1%
  • 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)
    n/a
  • 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
    $3,537
  • Avg Win
    $2,925
  • Sum Trade PL (losers)
    $944,260.000
  • Age
  • Num Months filled monthly returns table
    207
  • Win / Loss
  • Sum Trade PL (winners)
    $1,014,910.000
  • # Winners
    347
  • Num Months Winners
    98
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    267
  • % Winners
    56.5%
  • Frequency
  • Avg Position Time (mins)
    56395.10
  • Avg Position Time (hrs)
    939.92
  • Avg Trade Length
    39.2 days
  • Last Trade Ago
    5930
  • Regression
  • Alpha
    0.03
  • Beta
    -0.39
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    32.54
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    33.13
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.06
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    41.033
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.450
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.167
  • Hold-and-Hope Ratio
    0.189
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20925
  • SD
    0.52330
  • Sharpe ratio (Glass type estimate)
    0.39988
  • Sharpe ratio (Hedges UMVUE)
    0.39638
  • df
    86.00000
  • t
    1.07670
  • p
    0.14231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12670
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74157
  • Upside Potential Ratio
    2.52265
  • Upside part of mean
    0.71184
  • Downside part of mean
    -0.50258
  • Upside SD
    0.44127
  • Downside SD
    0.28218
  • N nonnegative terms
    43.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.15820
  • Mean of criterion
    0.20925
  • SD of predictor
    0.21573
  • SD of criterion
    0.52330
  • Covariance
    -0.03680
  • r
    -0.32595
  • b (slope, estimate of beta)
    -0.79067
  • a (intercept, estimate of alpha)
    0.33434
  • Mean Square Error
    0.24763
  • DF error
    85.00000
  • t(b)
    -3.17874
  • p(b)
    0.99897
  • t(a)
    1.76941
  • p(a)
    0.04021
  • Lowerbound of 95% confidence interval for beta
    -1.28523
  • Upperbound of 95% confidence interval for beta
    -0.29612
  • Lowerbound of 95% confidence interval for alpha
    -0.04135
  • Upperbound of 95% confidence interval for alpha
    0.71003
  • Treynor index (mean / b)
    -0.26465
  • Jensen alpha (a)
    0.33434
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08204
  • SD
    0.50341
  • Sharpe ratio (Glass type estimate)
    0.16296
  • Sharpe ratio (Hedges UMVUE)
    0.16154
  • df
    86.00000
  • t
    0.43878
  • p
    0.33096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56583
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88985
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24420
  • Upside Potential Ratio
    1.88886
  • Upside part of mean
    0.63455
  • Downside part of mean
    -0.55251
  • Upside SD
    0.37178
  • Downside SD
    0.33594
  • N nonnegative terms
    43.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.13382
  • Mean of criterion
    0.08204
  • SD of predictor
    0.21978
  • SD of criterion
    0.50341
  • Covariance
    -0.03160
  • r
    -0.28560
  • b (slope, estimate of beta)
    -0.65418
  • a (intercept, estimate of alpha)
    0.16958
  • Mean Square Error
    0.23549
  • DF error
    85.00000
  • t(b)
    -2.74751
  • p(b)
    0.99633
  • t(a)
    0.92653
  • p(a)
    0.17840
  • Lowerbound of 95% confidence interval for beta
    -1.12758
  • Upperbound of 95% confidence interval for beta
    -0.18077
  • Lowerbound of 95% confidence interval for alpha
    -0.19432
  • Upperbound of 95% confidence interval for alpha
    0.53347
  • Treynor index (mean / b)
    -0.12540
  • Jensen alpha (a)
    0.16958
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20721
  • Expected Shortfall on VaR
    0.25286
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09762
  • Expected Shortfall on VaR
    0.18551
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    87.00000
  • Minimum
    0.52716
  • Quartile 1
    0.93599
  • Median
    0.99805
  • Quartile 3
    1.06638
  • Maximum
    1.62435
  • Mean of quarter 1
    0.86505
  • Mean of quarter 2
    0.96933
  • Mean of quarter 3
    1.03966
  • Mean of quarter 4
    1.19672
  • Inter Quartile Range
    0.13039
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01149
  • Mean of outliers low
    0.52716
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.06897
  • Mean of outliers high
    1.41010
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10622
  • VaR(95%) (moments method)
    0.13383
  • Expected Shortfall (moments method)
    0.16927
  • Extreme Value Index (regression method)
    0.18267
  • VaR(95%) (regression method)
    0.13307
  • Expected Shortfall (regression method)
    0.19136
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.02009
  • Quartile 1
    0.07231
  • Median
    0.21116
  • Quartile 3
    0.43283
  • Maximum
    0.62763
  • Mean of quarter 1
    0.03270
  • Mean of quarter 2
    0.15523
  • Mean of quarter 3
    0.25740
  • Mean of quarter 4
    0.61795
  • Inter Quartile Range
    0.36052
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11208
  • Compounded annual return (geometric extrapolation)
    0.08550
  • Calmar ratio (compounded annual return / max draw down)
    0.13622
  • Compounded annual return / average of 25% largest draw downs
    0.13835
  • Compounded annual return / Expected Shortfall lognormal
    0.33811
  • 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
    1.49467
  • SD
    2.10374
  • Sharpe ratio (Glass type estimate)
    0.71048
  • Sharpe ratio (Hedges UMVUE)
    0.71020
  • df
    1902.00000
  • t
    1.91480
  • p
    0.47807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01718
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43801
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01739
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43780
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81769
  • Upside Potential Ratio
    6.29245
  • Upside part of mean
    5.17424
  • Downside part of mean
    -3.67957
  • Upside SD
    1.93798
  • Downside SD
    0.82229
  • N nonnegative terms
    959.00000
  • N negative terms
    944.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1903.00000
  • Mean of predictor
    0.34843
  • Mean of criterion
    1.49467
  • SD of predictor
    0.60911
  • SD of criterion
    2.10374
  • Covariance
    -0.66573
  • r
    -0.51953
  • b (slope, estimate of beta)
    -1.79435
  • a (intercept, estimate of alpha)
    2.12000
  • Mean Square Error
    3.23288
  • DF error
    1901.00000
  • t(b)
    -26.51010
  • p(b)
    0.81519
  • t(a)
    3.17551
  • p(a)
    0.45380
  • Lowerbound of 95% confidence interval for beta
    -1.92709
  • Upperbound of 95% confidence interval for beta
    -1.66160
  • Lowerbound of 95% confidence interval for alpha
    0.81063
  • Upperbound of 95% confidence interval for alpha
    3.42913
  • Treynor index (mean / b)
    -0.83299
  • Jensen alpha (a)
    2.11988
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02301
  • SD
    1.65743
  • Sharpe ratio (Glass type estimate)
    0.01388
  • Sharpe ratio (Hedges UMVUE)
    0.01388
  • df
    1902.00000
  • t
    0.03742
  • p
    0.49957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.74113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74112
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01953
  • Upside Potential Ratio
    3.59772
  • Upside part of mean
    4.23909
  • Downside part of mean
    -4.21608
  • Upside SD
    1.16504
  • Downside SD
    1.17827
  • N nonnegative terms
    959.00000
  • N negative terms
    944.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1903.00000
  • Mean of predictor
    0.16695
  • Mean of criterion
    0.02301
  • SD of predictor
    0.60208
  • SD of criterion
    1.65743
  • Covariance
    -0.59468
  • r
    -0.59593
  • b (slope, estimate of beta)
    -1.64049
  • a (intercept, estimate of alpha)
    0.29689
  • Mean Square Error
    1.77244
  • DF error
    1901.00000
  • t(b)
    -32.35550
  • p(b)
    0.85554
  • t(a)
    0.60091
  • p(a)
    0.49123
  • Lowerbound of 95% confidence interval for beta
    -1.73993
  • Upperbound of 95% confidence interval for beta
    -1.54106
  • Lowerbound of 95% confidence interval for alpha
    -0.67207
  • Upperbound of 95% confidence interval for alpha
    1.26585
  • Treynor index (mean / b)
    -0.01403
  • Jensen alpha (a)
    0.29689
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15493
  • Expected Shortfall on VaR
    0.18975
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03091
  • Expected Shortfall on VaR
    0.07114
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1903.00000
  • Minimum
    0.28605
  • Quartile 1
    0.98794
  • Median
    1.00001
  • Quartile 3
    1.01245
  • Maximum
    3.57081
  • Mean of quarter 1
    0.94884
  • Mean of quarter 2
    0.99501
  • Mean of quarter 3
    1.00530
  • Mean of quarter 4
    1.07367
  • Inter Quartile Range
    0.02451
  • Number outliers low
    104.00000
  • Percentage of outliers low
    0.05465
  • Mean of outliers low
    0.85186
  • Number of outliers high
    118.00000
  • Percentage of outliers high
    0.06201
  • Mean of outliers high
    1.22328
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75583
  • VaR(95%) (moments method)
    0.04835
  • Expected Shortfall (moments method)
    0.20806
  • Extreme Value Index (regression method)
    0.59913
  • VaR(95%) (regression method)
    0.03877
  • Expected Shortfall (regression method)
    0.10326
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00031
  • Quartile 1
    0.01032
  • Median
    0.05098
  • Quartile 3
    0.09308
  • Maximum
    0.79976
  • Mean of quarter 1
    0.00466
  • Mean of quarter 2
    0.02487
  • Mean of quarter 3
    0.06517
  • Mean of quarter 4
    0.34220
  • Inter Quartile Range
    0.08276
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.54717
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51429
  • VaR(95%) (moments method)
    0.34830
  • Expected Shortfall (moments method)
    0.82155
  • Extreme Value Index (regression method)
    0.22339
  • VaR(95%) (regression method)
    0.36968
  • Expected Shortfall (regression method)
    0.62258
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02504
  • Compounded annual return (geometric extrapolation)
    0.02328
  • Calmar ratio (compounded annual return / max draw down)
    0.02910
  • Compounded annual return / average of 25% largest draw downs
    0.06802
  • Compounded annual return / Expected Shortfall lognormal
    0.12267
  • 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
    -1.00688
  • SD
    0.53415
  • Sharpe ratio (Glass type estimate)
    -1.88500
  • Sharpe ratio (Hedges UMVUE)
    -1.87411
  • df
    130.00000
  • t
    -1.33290
  • p
    0.55806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.66275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89977
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.65526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90705
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.25829
  • Upside Potential Ratio
    4.68478
  • Upside part of mean
    2.08875
  • Downside part of mean
    -3.09563
  • Upside SD
    0.29702
  • Downside SD
    0.44586
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.33482
  • Mean of criterion
    -1.00688
  • SD of predictor
    0.58726
  • SD of criterion
    0.53415
  • Covariance
    -0.10041
  • r
    -0.32010
  • b (slope, estimate of beta)
    -0.29115
  • a (intercept, estimate of alpha)
    -0.61824
  • Mean Square Error
    0.25807
  • DF error
    129.00000
  • t(b)
    -3.83755
  • p(b)
    0.70025
  • t(a)
    -0.85212
  • p(a)
    0.54758
  • Lowerbound of 95% confidence interval for beta
    -0.44126
  • Upperbound of 95% confidence interval for beta
    -0.14104
  • Lowerbound of 95% confidence interval for alpha
    -2.05372
  • Upperbound of 95% confidence interval for alpha
    0.81724
  • Treynor index (mean / b)
    3.45824
  • Jensen alpha (a)
    -0.61824
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.15793
  • SD
    0.55489
  • Sharpe ratio (Glass type estimate)
    -2.08677
  • Sharpe ratio (Hedges UMVUE)
    -2.07471
  • df
    130.00000
  • t
    -1.47557
  • p
    0.56417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.86616
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.70049
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.85796
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70854
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.42498
  • Upside Potential Ratio
    4.28589
  • Upside part of mean
    2.04652
  • Downside part of mean
    -3.20445
  • Upside SD
    0.28751
  • Downside SD
    0.47750
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.15646
  • Mean of criterion
    -1.15793
  • SD of predictor
    0.59927
  • SD of criterion
    0.55489
  • Covariance
    -0.10171
  • r
    -0.30587
  • b (slope, estimate of beta)
    -0.28322
  • a (intercept, estimate of alpha)
    -0.83040
  • Mean Square Error
    0.28126
  • DF error
    129.00000
  • t(b)
    -3.64885
  • p(b)
    0.69164
  • t(a)
    -1.09933
  • p(a)
    0.56124
  • VAR (95 Confidence Intrvl)
    0.15500
  • Lowerbound of 95% confidence interval for beta
    -0.43679
  • Upperbound of 95% confidence interval for beta
    -0.12965
  • Lowerbound of 95% confidence interval for alpha
    -2.32492
  • Upperbound of 95% confidence interval for alpha
    0.66411
  • Treynor index (mean / b)
    4.08849
  • Jensen alpha (a)
    -0.83040
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05900
  • Expected Shortfall on VaR
    0.07230
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02936
  • Expected Shortfall on VaR
    0.05974
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.79317
  • Quartile 1
    0.98700
  • Median
    0.99799
  • Quartile 3
    1.00902
  • Maximum
    1.12170
  • Mean of quarter 1
    0.95985
  • Mean of quarter 2
    0.99341
  • Mean of quarter 3
    1.00261
  • Mean of quarter 4
    1.02895
  • Inter Quartile Range
    0.02202
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.91054
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.06421
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46872
  • VaR(95%) (moments method)
    0.04070
  • Expected Shortfall (moments method)
    0.08683
  • Extreme Value Index (regression method)
    0.38272
  • VaR(95%) (regression method)
    0.03216
  • Expected Shortfall (regression method)
    0.05761
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00789
  • Quartile 1
    0.05796
  • Median
    0.08281
  • Quartile 3
    0.19556
  • Maximum
    0.50932
  • Mean of quarter 1
    0.00789
  • Mean of quarter 2
    0.07465
  • Mean of quarter 3
    0.09098
  • Mean of quarter 4
    0.50932
  • Inter Quartile Range
    0.13760
  • 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
    0.50932
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -348705000
  • Max Equity Drawdown (num days)
    331
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.87904
  • Compounded annual return (geometric extrapolation)
    -0.68586
  • Calmar ratio (compounded annual return / max draw down)
    -1.34664
  • Compounded annual return / average of 25% largest draw downs
    -1.34664
  • Compounded annual return / Expected Shortfall lognormal
    -9.48582

Strategy Description

































The system will hold trades during hours / days .

Trades are issued 24h /24h .

All trades are limit orders with 50pips attached stop order .

Maximum 4 open positions at the same time (some positions are hedge VS USD)

1 entry/trade , no averaging up or down , no scaling in or out .

20 to 60 trades / month .

Expected win % is 65,7 .

Expected profit per trade is 80 pips and + .

Maximum risk per trade is 2.50 % of account equity (maximum 5:1 leverage or 5 mini lots / 10000$/trade ).

Major pair only : EURUSD USDJPY GBPUSD USDCAD AUDUSD


Please examine carefully (time&price ) all the c2 results before subscribing . This system works very well but may be not for you : you must be patient , be prepared for a historical drawdown , do not use a high scaling factor ( too much leverage ) .Please dont think that the system will works as soon as you subscribe and dont think that all trades will be winners . If you are still interested , follow me , we will makes good $ over the long term .













Summary Statistics

Strategy began
2007-02-10
Suggested Minimum Capital
$100,000
# Trades
614
# Profitable
347
% Profitable
56.5%
Correlation S&P500
-0.191
Sharpe Ratio
0.14
Sortino Ratio
0.22
Beta
-0.39
Alpha
0.03

Latest Activity

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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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