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These are hypothetical performance results that have certain inherent limitations. Learn more
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FX.WAVE
(26381474)

Created by: Hans-JrgStrhnz2 Hans-JrgStrhnz2
Started: 05/2007
Forex
Last trade: 4,943 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 $199.00 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.

6.8%
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.

(52.2%)
Max Drawdown
714
Num Trades
49.9%
Win Trades
1.2 : 1
Profit Factor
11.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                            (5.3%)+8.7%+3.0%+2.2%+4.0%(2.5%)(1.5%)(3.3%)+4.7%
2008+5.5%+10.9%+7.3%(4.3%)+28.9%+8.8%(0.9%)(1%)+38.9%(24%)(1.6%)+9.8%+88.6%
2009+17.3%+17.5%+11.4%(0.1%)  -  +22.9%+4.0%+6.2%(13.5%)(0.5%)(23.2%)(2.8%)+33.7%
2010+17.7%(10.6%)(15.8%)(8%)+3.0%+11.8%+10.8%(8.9%)+37.2%(11.7%)+0.1%  -  +15.0%
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -  +0.1%  -    -    -    -    -    -  +0.1%
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.

Trading Record

This strategy has placed 455 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5113 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
11/5/10 3:09 EUR/USD EUR/USD SHORT 11 1.42150 11/5 7:00 1.41009 0.42%
Trade id #54523438
Max drawdown($170)
Time11/5/10 4:18
Quant open-11
Worst price1.42305
Drawdown as % of equity-0.42%
 $1,255
11/4/10 3:54 EUR/USD EUR/USD SHORT 12 1.41460 11/4 5:06 1.42180 2.12%
Trade id #54480310
Max drawdown($870)
Time11/4/10 5:05
Quant open-12
Worst price1.42185
Drawdown as % of equity-2.12%
 ($864)
11/3/10 6:03 EUR/USD EUR/USD SHORT 12 1.40470 11/3 14:17 1.41190 4.08%
Trade id #54440985
Max drawdown($1,710)
Time11/3/10 14:17
Quant open-12
Worst price1.41895
Drawdown as % of equity-4.08%
 ($864)
11/3/10 1:10 EUR/USD EUR/USD LONG 12 1.40131 11/3 1:10 1.40131 n/a $0
11/2/10 2:21 EUR/USD EUR/USD SHORT 12 1.39410 11/2 8:21 1.40100 2.32%
Trade id #54397578
Max drawdown($979)
Time11/2/10 8:21
Quant open-12
Worst price1.40226
Drawdown as % of equity-2.32%
 ($828)
11/1/10 2:13 EUR/USD EUR/USD SHORT 12 1.40070 11/1 16:45 1.38932 0.12%
Trade id #54352820
Max drawdown($51)
Time11/1/10 2:15
Quant open-12
Worst price1.40113
Drawdown as % of equity-0.12%
 $1,366
10/29/10 3:05 EUR/USD EUR/USD LONG 12 1.38670 11/1 1:06 1.39819 1.83%
Trade id #54306472
Max drawdown($717)
Time10/29/10 5:56
Quant open12
Worst price1.38072
Drawdown as % of equity-1.83%
 $1,379
10/28/10 2:00 EUR/USD EUR/USD SHORT 12 1.38270 10/28 9:22 1.38950 2.04%
Trade id #54262412
Max drawdown($816)
Time10/28/10 9:20
Quant open-12
Worst price1.38943
Drawdown as % of equity-2.04%
 ($816)
10/27/10 2:35 EUR/USD EUR/USD LONG 12 1.37950 10/27 16:45 1.37649 1.8%
Trade id #54220455
Max drawdown($731)
Time10/27/10 13:42
Quant open12
Worst price1.37340
Drawdown as % of equity-1.80%
 ($361)
10/26/10 3:49 EUR/USD EUR/USD LONG 12 1.39460 10/26 9:07 1.38770 1.99%
Trade id #54181793
Max drawdown($828)
Time10/26/10 8:28
Quant open12
Worst price1.38795
Drawdown as % of equity-1.99%
 ($828)
10/25/10 0:55 EUR/USD EUR/USD SHORT 12 1.40387 10/25 12:00 1.39908 1.22%
Trade id #54136392
Max drawdown($498)
Time10/25/10 2:59
Quant open-12
Worst price1.40803
Drawdown as % of equity-1.22%
 $575
10/22/10 1:01 EUR/USD EUR/USD SHORT 12 1.39650 10/25 0:06 1.40360 2.05%
Trade id #54092968
Max drawdown($852)
Time10/24/10 23:50
Quant open-12
Worst price1.40358
Drawdown as % of equity-2.05%
 ($852)
10/21/10 2:30 EUR/USD EUR/USD SHORT 12 1.39760 10/21 4:22 1.40470 1.97%
Trade id #54053676
Max drawdown($852)
Time10/21/10 4:10
Quant open-12
Worst price1.40457
Drawdown as % of equity-1.97%
 ($852)
10/20/10 5:47 EUR/USD EUR/USD SHORT 13 1.38360 10/20 9:57 1.39020 1.96%
Trade id #54015853
Max drawdown($858)
Time10/20/10 9:53
Quant open-13
Worst price1.39014
Drawdown as % of equity-1.96%
 ($858)
10/19/10 3:05 EUR/USD EUR/USD LONG 15 1.38900 10/19 9:03 1.38300 2.13%
Trade id #53966351
Max drawdown($946)
Time10/19/10 9:03
Quant open15
Worst price1.38269
Drawdown as % of equity-2.13%
 ($900)
10/18/10 0:55 EUR/USD EUR/USD SHORT 16 1.38915 10/18 6:58 1.39104 1.04%
Trade id #53919693
Max drawdown($464)
Time10/18/10 6:46
Quant open-16
Worst price1.39206
Drawdown as % of equity-1.04%
 ($302)
10/15/10 2:13 EUR/USD EUR/USD SHORT 16 1.40690 10/15 8:15 1.41260 1.98%
Trade id #53867646
Max drawdown($912)
Time10/15/10 4:17
Quant open-16
Worst price1.41133
Drawdown as % of equity-1.98%
 ($912)
10/13/10 0:57 EUR/USD EUR/USD SHORT 15 1.39750 10/13 11:54 1.39635 0.87%
Trade id #53782510
Max drawdown($399)
Time10/13/10 5:52
Quant open-15
Worst price1.40016
Drawdown as % of equity-0.87%
 $173
10/12/10 0:55 EUR/USD EUR/USD LONG 16 1.38623 10/12 2:21 1.38150 1.62%
Trade id #53736445
Max drawdown($757)
Time10/12/10 2:18
Quant open16
Worst price1.38154
Drawdown as % of equity-1.62%
 ($757)
10/7/10 1:27 EUR/USD EUR/USD SHORT 15 1.39380 10/7 16:45 1.39219 3.01%
Trade id #53603779
Max drawdown($1,371)
Time10/7/10 9:00
Quant open-15
Worst price1.40295
Drawdown as % of equity-3.01%
 $242
10/6/10 1:20 EUR/USD EUR/USD SHORT 16 1.38480 10/6 9:33 1.38777 1.13%
Trade id #53563116
Max drawdown($530)
Time10/6/10 6:02
Quant open-16
Worst price1.38812
Drawdown as % of equity-1.13%
 ($475)
10/5/10 0:55 EUR/USD EUR/USD SHORT 17 1.36845 10/5 3:40 1.37280 1.55%
Trade id #53521282
Max drawdown($740)
Time10/5/10 2:27
Quant open-17
Worst price1.37214
Drawdown as % of equity-1.55%
 ($740)
10/4/10 2:28 EUR/USD EUR/USD SHORT 16 1.37830 10/4 7:10 1.36924 0.07%
Trade id #53482959
Max drawdown($30)
Time10/4/10 2:30
Quant open-16
Worst price1.37849
Drawdown as % of equity-0.07%
 $1,450
10/1/10 1:40 EUR/USD EUR/USD LONG 15 1.36600 10/1 15:45 1.37764 1.04%
Trade id #53432173
Max drawdown($458)
Time10/1/10 1:54
Quant open15
Worst price1.36294
Drawdown as % of equity-1.04%
 $1,746
10/1/10 0:55 EUR/USD EUR/USD LONG 15 1.36638 10/1 0:55 1.36648 n/a $15
9/30/10 1:01 EUR/USD EUR/USD SHORT 16 1.35960 9/30 5:29 1.36540 2.07%
Trade id #53388353
Max drawdown($928)
Time9/30/10 5:04
Quant open-16
Worst price1.36457
Drawdown as % of equity-2.07%
 ($928)
9/29/10 1:39 EUR/USD EUR/USD SHORT 16 1.35900 9/29 12:00 1.36376 1.85%
Trade id #53350956
Max drawdown($854)
Time9/29/10 8:32
Quant open-16
Worst price1.36434
Drawdown as % of equity-1.85%
 ($762)
9/28/10 2:20 EUR/USD EUR/USD LONG 17 1.34440 9/28 3:09 1.33880 2.02%
Trade id #53307791
Max drawdown($952)
Time9/28/10 3:08
Quant open17
Worst price1.33937
Drawdown as % of equity-2.02%
 ($952)
9/24/10 3:51 EUR/USD EUR/USD LONG 16 1.33110 9/24 14:37 1.34663 0.2%
Trade id #53223380
Max drawdown($89)
Time9/24/10 3:53
Quant open16
Worst price1.33054
Drawdown as % of equity-0.20%
 $2,485
9/23/10 4:33 EUR/USD EUR/USD LONG 17 1.33490 9/23 16:45 1.33104 1.68%
Trade id #53183608
Max drawdown($757)
Time9/23/10 10:13
Quant open17
Worst price1.33045
Drawdown as % of equity-1.68%
 ($656)
Next

Statistics

  • Strategy began
    5/15/2007
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    6206.26
  • Age
    207 months ago
  • What it trades
    Forex
  • # Trades
    714
  • # Profitable
    356
  • % Profitable
    49.90%
  • Avg trade duration
    8.1 hours
  • Max peak-to-valley drawdown
    52.18%
  • drawdown period
    Aug 31, 2009 - April 21, 2010
  • Annual Return (Compounded)
    6.8%
  • Avg win
    $535.03
  • Avg loss
    $444.26
  • Model Account Values (Raw)
  • Cash
    $41,431
  • Margin Used
    $0
  • Buying Power
    $41,431
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.32
  • Sortino Ratio
    0.54
  • Calmar Ratio
    0.337
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -43.79%
  • Correlation to SP500
    0.02250
  • Return Percent SP500 (cumu) during strategy life
    253.27%
  • Return Statistics
  • Ann Return (w trading costs)
    6.8%
  • Slump
  • Current Slump as Pcnt Equity
    35.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.86%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.068%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
    $444
  • Avg Win
    $535
  • Sum Trade PL (losers)
    $159,046.000
  • Age
  • Num Months filled monthly returns table
    205
  • Win / Loss
  • Sum Trade PL (winners)
    $190,472.000
  • # Winners
    356
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    358
  • % Winners
    49.9%
  • Frequency
  • Avg Position Time (mins)
    485.05
  • Avg Position Time (hrs)
    8.08
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    4936
  • Regression
  • Alpha
    0.02
  • Beta
    0.02
  • Treynor Index
    0.94
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    18.93
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    6.21
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.10
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.285
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.179
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.041
  • Hold-and-Hope Ratio
    0.159
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28155
  • SD
    0.32628
  • Sharpe ratio (Glass type estimate)
    0.86291
  • Sharpe ratio (Hedges UMVUE)
    0.85389
  • df
    72.00000
  • t
    2.12831
  • p
    0.01837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04709
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66068
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18778
  • Upside Potential Ratio
    3.51881
  • Upside part of mean
    0.45284
  • Downside part of mean
    -0.17129
  • Upside SD
    0.30829
  • Downside SD
    0.12869
  • N nonnegative terms
    58.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.22846
  • Mean of criterion
    0.28155
  • SD of predictor
    0.30980
  • SD of criterion
    0.32628
  • Covariance
    -0.00973
  • r
    -0.09626
  • b (slope, estimate of beta)
    -0.10138
  • a (intercept, estimate of alpha)
    0.30471
  • Mean Square Error
    0.10696
  • DF error
    71.00000
  • t(b)
    -0.81490
  • p(b)
    0.79107
  • t(a)
    2.24697
  • p(a)
    0.01388
  • Lowerbound of 95% confidence interval for beta
    -0.34945
  • Upperbound of 95% confidence interval for beta
    0.14669
  • Lowerbound of 95% confidence interval for alpha
    0.03431
  • Upperbound of 95% confidence interval for alpha
    0.57510
  • Treynor index (mean / b)
    -2.77712
  • Jensen alpha (a)
    0.30471
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23238
  • SD
    0.29915
  • Sharpe ratio (Glass type estimate)
    0.77680
  • Sharpe ratio (Hedges UMVUE)
    0.76868
  • df
    72.00000
  • t
    1.91593
  • p
    0.02967
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57319
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69538
  • Upside Potential Ratio
    3.01077
  • Upside part of mean
    0.41268
  • Downside part of mean
    -0.18030
  • Upside SD
    0.27199
  • Downside SD
    0.13707
  • N nonnegative terms
    58.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.18323
  • Mean of criterion
    0.23238
  • SD of predictor
    0.29288
  • SD of criterion
    0.29915
  • Covariance
    -0.00642
  • r
    -0.07330
  • b (slope, estimate of beta)
    -0.07487
  • a (intercept, estimate of alpha)
    0.24610
  • Mean Square Error
    0.09026
  • DF error
    71.00000
  • t(b)
    -0.61932
  • p(b)
    0.73116
  • t(a)
    1.98774
  • p(a)
    0.02535
  • Lowerbound of 95% confidence interval for beta
    -0.31593
  • Upperbound of 95% confidence interval for beta
    0.16618
  • Lowerbound of 95% confidence interval for alpha
    -0.00077
  • Upperbound of 95% confidence interval for alpha
    0.49297
  • Treynor index (mean / b)
    -3.10367
  • Jensen alpha (a)
    0.24610
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11545
  • Expected Shortfall on VaR
    0.14637
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01608
  • Expected Shortfall on VaR
    0.04168
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.84010
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02284
  • Maximum
    1.44613
  • Mean of quarter 1
    0.94516
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00664
  • Mean of quarter 4
    1.14640
  • Inter Quartile Range
    0.02284
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.15069
  • Mean of outliers low
    0.91312
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.20548
  • Mean of outliers high
    1.16867
  • 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)
    -0.46761
  • VaR(95%) (regression method)
    0.06202
  • Expected Shortfall (regression method)
    0.08212
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01616
  • Quartile 1
    0.02088
  • Median
    0.07743
  • Quartile 3
    0.10065
  • Maximum
    0.34965
  • Mean of quarter 1
    0.01848
  • Mean of quarter 2
    0.04727
  • Mean of quarter 3
    0.09031
  • Mean of quarter 4
    0.22704
  • Inter Quartile Range
    0.07977
  • 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
    0.12500
  • Mean of outliers high
    0.34965
  • 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)
    0.51139
  • Compounded annual return (geometric extrapolation)
    0.26160
  • Calmar ratio (compounded annual return / max draw down)
    0.74818
  • Compounded annual return / average of 25% largest draw downs
    1.15220
  • Compounded annual return / Expected Shortfall lognormal
    1.78724
  • 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
    0.98506
  • SD
    1.41937
  • Sharpe ratio (Glass type estimate)
    0.69401
  • Sharpe ratio (Hedges UMVUE)
    0.69368
  • df
    1597.00000
  • t
    1.71397
  • p
    0.47273
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10007
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48789
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10030
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48766
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53120
  • Upside Potential Ratio
    5.19950
  • Upside part of mean
    3.34496
  • Downside part of mean
    -2.35990
  • Upside SD
    1.26617
  • Downside SD
    0.64332
  • N nonnegative terms
    1200.00000
  • N negative terms
    398.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1598.00000
  • Mean of predictor
    0.37011
  • Mean of criterion
    0.98506
  • SD of predictor
    0.62529
  • SD of criterion
    1.41937
  • Covariance
    -0.17715
  • r
    -0.19960
  • b (slope, estimate of beta)
    -0.45307
  • a (intercept, estimate of alpha)
    1.15300
  • Mean Square Error
    1.93556
  • DF error
    1596.00000
  • t(b)
    -8.13766
  • p(b)
    0.59980
  • t(a)
    2.04492
  • p(a)
    0.47444
  • Lowerbound of 95% confidence interval for beta
    -0.56228
  • Upperbound of 95% confidence interval for beta
    -0.34387
  • Lowerbound of 95% confidence interval for alpha
    0.04705
  • Upperbound of 95% confidence interval for alpha
    2.25843
  • Treynor index (mean / b)
    -2.17417
  • Jensen alpha (a)
    1.15274
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23178
  • SD
    1.20021
  • Sharpe ratio (Glass type estimate)
    0.19311
  • Sharpe ratio (Hedges UMVUE)
    0.19302
  • df
    1597.00000
  • t
    0.47692
  • p
    0.49240
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98674
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98667
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27352
  • Upside Potential Ratio
    3.40523
  • Upside part of mean
    2.88557
  • Downside part of mean
    -2.65379
  • Upside SD
    0.84954
  • Downside SD
    0.84739
  • N nonnegative terms
    1200.00000
  • N negative terms
    398.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1598.00000
  • Mean of predictor
    0.18094
  • Mean of criterion
    0.23178
  • SD of predictor
    0.61210
  • SD of criterion
    1.20021
  • Covariance
    -0.17289
  • r
    -0.23533
  • b (slope, estimate of beta)
    -0.46143
  • a (intercept, estimate of alpha)
    0.31526
  • Mean Square Error
    1.36157
  • DF error
    1596.00000
  • t(b)
    -9.67307
  • p(b)
    0.61767
  • t(a)
    0.66714
  • p(a)
    0.49165
  • Lowerbound of 95% confidence interval for beta
    -0.55500
  • Upperbound of 95% confidence interval for beta
    -0.36786
  • Lowerbound of 95% confidence interval for alpha
    -0.61164
  • Upperbound of 95% confidence interval for alpha
    1.24216
  • Treynor index (mean / b)
    -0.50230
  • Jensen alpha (a)
    0.31526
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11404
  • Expected Shortfall on VaR
    0.14074
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01141
  • Expected Shortfall on VaR
    0.03066
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1598.00000
  • Minimum
    0.29000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00153
  • Maximum
    3.31431
  • Mean of quarter 1
    0.96402
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.05096
  • Inter Quartile Range
    0.00153
  • Number outliers low
    367.00000
  • Percentage of outliers low
    0.22966
  • Mean of outliers low
    0.96087
  • Number of outliers high
    375.00000
  • Percentage of outliers high
    0.23467
  • Mean of outliers high
    1.05418
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39400
  • VaR(95%) (moments method)
    0.00708
  • Expected Shortfall (moments method)
    0.01565
  • Extreme Value Index (regression method)
    0.47190
  • VaR(95%) (regression method)
    0.02320
  • Expected Shortfall (regression method)
    0.06107
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.04765
  • Quartile 1
    0.05653
  • Median
    0.08339
  • Quartile 3
    0.32752
  • Maximum
    0.77436
  • Mean of quarter 1
    0.04990
  • Mean of quarter 2
    0.06963
  • Mean of quarter 3
    0.12254
  • Mean of quarter 4
    0.56044
  • Inter Quartile Range
    0.27098
  • 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
    0.10000
  • Mean of outliers high
    0.77436
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.19979
  • VaR(95%) (moments method)
    0.65248
  • Expected Shortfall (moments method)
    0.66162
  • Extreme Value Index (regression method)
    -0.10614
  • VaR(95%) (regression method)
    0.82653
  • Expected Shortfall (regression method)
    1.04106
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51005
  • Compounded annual return (geometric extrapolation)
    0.26084
  • Calmar ratio (compounded annual return / max draw down)
    0.33684
  • Compounded annual return / average of 25% largest draw downs
    0.46542
  • Compounded annual return / Expected Shortfall lognormal
    1.85326
  • 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
    1.15929
  • Mean of criterion
    0.00000
  • SD of predictor
    0.61823
  • 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
    0.96276
  • Mean of criterion
    0.00000
  • SD of predictor
    0.63116
  • 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)
    0.11400
  • 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?
    -331010000
  • Max Equity Drawdown (num days)
    233
  • 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

In the early trading around London Open the EUR.USD pair tends to reverse more often than not. FX.Wave is a fully mechanical trading system designed to take advantage of this pattern. It predicts possible turning points to enter with limit orders in the anticipated
new market direction. Every trade comes with a bracket order for SL and timed exit. The SL figure is volatility-adjusted. For money management we recommend fixed fractional method.
Here at C2 we trade it with 2% risk per trade.

Summary Statistics

Strategy began
2007-05-15
Suggested Minimum Capital
$10,000
# Trades
714
# Profitable
356
% Profitable
49.9%
Correlation S&P500
0.022
Sharpe Ratio
0.32
Sortino Ratio
0.54
Beta
0.02
Alpha
0.02

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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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.