Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +41.0% Cumul. Return since Sep 23, 2025 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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GFCM fx2
(27000404)

Created by: IndunilDon2 IndunilDon2
Started: 07/2007
Forex
Last trade: 6,855 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 $70.00 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.

-3.1%
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.

(59.6%)
Max Drawdown
50
Num Trades
50.0%
Win Trades
0.7 : 1
Profit Factor
0.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                          +31.8%(54.2%)(1.8%)(1.7%)(1.4%)(3.6%)(44.6%)
2008  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2009  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2010  -    -    -    -    -    -    -  +0.1%  -    -    -    -  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
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -                                            

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 83 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6876 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/29/07 7:10 GBP/JPY GBP/JPY SHORT 120 230.950 8/29 22:47 233.015 n/a ($15.46)
8/21/07 0:05 GBP/JPY GBP/JPY LONG 60 228.860 8/29 7:10 231.150 24.73%
Trade id #27792079
Max drawdown($1,833)
Time8/21/07 3:44
Quant open6
Worst price225.365
Drawdown as % of equity-24.73%
 $8.57
8/20/07 8:32 GBP/JPY GBP/JPY LONG 60 229.120 8/20 9:48 227.620 10.25%
Trade id #27782055
Max drawdown($783)
Time8/20/07 9:47
Quant open6
Worst price227.795
Drawdown as % of equity-10.25%
 ($5.62)
8/20/07 2:00 GBP/JPY GBP/JPY LONG 60 227.370 8/20 3:43 228.810 0.39%
Trade id #27779647
Max drawdown($28)
Time8/20/07 2:02
Quant open6
Worst price227.315
Drawdown as % of equity-0.39%
 $5.39
8/1/07 2:00 GBP/JPY GBP/JPY SHORT 150 238.560 8/8 7:45 242.630 62.81%
Trade id #27353448
Max drawdown($5,113)
Time8/2/07 12:13
Quant open-12
Worst price243.155
Drawdown as % of equity-62.81%
 ($38.09)
7/31/07 8:18 GBP/USD GBP/USD LONG 20 2.03410 8/1 2:02 2.02210 1.84%
Trade id #27330350
Max drawdown($247)
Time8/1/07 1:52
Quant open2
Worst price2.02175
Drawdown as % of equity-1.84%
 ($240.00)
8/1/07 1:01 GBP/JPY GBP/JPY LONG 120 238.964 8/1 2:00 238.210 5.71%
Trade id #27352630
Max drawdown($768)
Time8/1/07 1:54
Quant open7
Worst price238.325
Drawdown as % of equity-5.71%
 ($5.65)
7/30/07 19:29 GBP/JPY GBP/JPY LONG 70 241.619 7/31 14:07 241.934 3.76%
Trade id #27319049
Max drawdown($493)
Time7/31/07 1:42
Quant open7
Worst price240.780
Drawdown as % of equity-3.76%
 $1.38
7/30/07 6:36 GBP/JPY GBP/JPY SHORT 20 239.470 7/30 11:00 239.750 1.5%
Trade id #27307257
Max drawdown($199)
Time7/30/07 9:06
Quant open-2
Worst price240.655
Drawdown as % of equity-1.50%
 ($0.35)
7/29/07 18:00 GBP/JPY GBP/JPY SHORT 120 240.235 7/30 5:55 239.745 9.29%
Trade id #27301170
Max drawdown($1,105)
Time7/30/07 4:01
Quant open-6
Worst price241.460
Drawdown as % of equity-9.29%
 $3.67
7/27/07 12:02 GBP/JPY GBP/JPY SHORT 30 240.570 7/29 17:31 239.670 0.54%
Trade id #27286260
Max drawdown($69)
Time7/27/07 13:59
Quant open-2
Worst price240.980
Drawdown as % of equity-0.54%
 $1.68
7/27/07 8:32 GBP/USD GBP/USD SHORT 40 2.03090 7/27 12:12 2.02660 1.13%
Trade id #27277920
Max drawdown($144)
Time7/27/07 8:52
Quant open-4
Worst price2.03450
Drawdown as % of equity-1.13%
 $172.00
7/27/07 7:22 GBP/JPY GBP/JPY SHORT 20 240.730 7/27 8:06 241.730 1.33%
Trade id #27276776
Max drawdown($169)
Time7/27/07 8:06
Quant open-2
Worst price241.395
Drawdown as % of equity-1.33%
 ($1.25)
7/27/07 2:05 GBP/JPY GBP/JPY SHORT 30 241.830 7/27 3:02 241.860 0.97%
Trade id #27274377
Max drawdown($122)
Time7/27/07 2:27
Quant open-3
Worst price242.315
Drawdown as % of equity-0.97%
 ($0.06)
7/23/07 19:57 GBP/JPY GBP/JPY SHORT 80 248.341 7/26 7:07 246.934 1.35%
Trade id #27211268
Max drawdown($159)
Time7/24/07 8:03
Quant open-4
Worst price249.495
Drawdown as % of equity-1.35%
 $7.03
7/22/07 17:38 GBP/JPY GBP/JPY SHORT 100 249.704 7/23 7:02 249.400 0.13%
Trade id #27197388
Max drawdown($14)
Time7/23/07 6:05
Quant open-1
Worst price249.925
Drawdown as % of equity-0.13%
 $1.90
7/20/07 14:31 GBP/JPY GBP/JPY SHORT 20 249.050 7/22 17:16 250.050 1.39%
Trade id #27190502
Max drawdown($165)
Time7/20/07 15:05
Quant open-2
Worst price249.140
Drawdown as % of equity-1.39%
 ($1.25)
7/20/07 14:04 GBP/JPY GBP/JPY SHORT 20 248.840 7/20 14:04 248.880 n/a ($0.05)
7/19/07 21:40 GBP/JPY GBP/JPY LONG 20 250.400 7/20 10:31 249.400 1.39%
Trade id #27176982
Max drawdown($165)
Time7/20/07 10:23
Quant open2
Worst price249.430
Drawdown as % of equity-1.39%
 ($1.25)
7/19/07 8:02 GBP/USD GBP/USD SHORT 100 2.04886 7/19 15:14 2.04832 1.57%
Trade id #27167516
Max drawdown($184)
Time7/19/07 12:59
Quant open-6
Worst price2.05140
Drawdown as % of equity-1.57%
 $54.00
7/18/07 23:04 GBP/USD GBP/USD SHORT 60 2.05213 7/19 7:29 2.04790 0.92%
Trade id #27165190
Max drawdown($106)
Time7/19/07 3:09
Quant open-6
Worst price2.05390
Drawdown as % of equity-0.92%
 $254.00
7/19/07 4:31 GBP/JPY GBP/JPY SHORT 20 249.850 7/19 5:04 250.030 0.32%
Trade id #27166348
Max drawdown($36)
Time7/19/07 4:41
Quant open-2
Worst price250.075
Drawdown as % of equity-0.32%
 ($0.22)
7/18/07 4:44 GBP/JPY GBP/JPY LONG 20 250.230 7/19 0:04 250.320 0.42%
Trade id #27152429
Max drawdown($48)
Time7/18/07 13:13
Quant open2
Worst price249.935
Drawdown as % of equity-0.42%
 $0.11
7/18/07 11:06 GBP/USD GBP/USD LONG 20 2.05300 7/18 21:05 2.05210 n/a ($18.00)
7/18/07 8:41 USD/JPY USD/JPY LONG 20 122.280 7/18 9:22 121.980 0.42%
Trade id #27154215
Max drawdown($49)
Time7/18/07 9:14
Quant open2
Worst price122.060
Drawdown as % of equity-0.42%
 ($0.37)
7/18/07 9:01 GBP/USD GBP/USD SHORT 20 2.04660 7/18 9:02 2.04680 n/a ($4.00)
7/18/07 5:08 USD/JPY USD/JPY LONG 20 122.020 7/18 8:27 122.120 0.04%
Trade id #27152607
Max drawdown($4)
Time7/18/07 5:11
Quant open2
Worst price121.995
Drawdown as % of equity-0.04%
 $0.12
7/17/07 9:00 USD/JPY USD/JPY LONG 20 122.170 7/17 20:27 121.870 0.42%
Trade id #27128765
Max drawdown($49)
Time7/17/07 18:46
Quant open2
Worst price121.990
Drawdown as % of equity-0.42%
 ($0.37)
7/16/07 12:15 GBP/JPY GBP/JPY LONG 80 248.650 7/17 12:53 249.757 1.19%
Trade id #27120355
Max drawdown($129)
Time7/16/07 13:57
Quant open4
Worst price247.935
Drawdown as % of equity-1.19%
 $5.53
7/16/07 20:03 USD/JPY USD/JPY LONG 20 121.910 7/17 8:44 122.070 0.32%
Trade id #27124536
Max drawdown($34)
Time7/17/07 3:23
Quant open2
Worst price121.700
Drawdown as % of equity-0.32%
 $0.20

Statistics

  • Strategy began
    7/3/2007
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    6906.07
  • Age
    230 months ago
  • What it trades
    Forex
  • # Trades
    50
  • # Profitable
    25
  • % Profitable
    50.00%
  • Avg trade duration
    16.1 hours
  • Max peak-to-valley drawdown
    59.59%
  • drawdown period
    July 31, 2007 - Aug 21, 2007
  • Annual Return (Compounded)
    -3.1%
  • Avg win
    $300.48
  • Avg loss
    $440.56
  • Model Account Values (Raw)
  • Cash
    $6,497
  • Margin Used
    $0
  • Buying Power
    $6,497
  • Ratios
  • W:L ratio
    0.68:1
  • Sharpe Ratio
    -0.22
  • Sortino Ratio
    -0.28
  • Calmar Ratio
    0
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -441.71%
  • Correlation to SP500
    0.00650
  • Return Percent SP500 (cumu) during strategy life
    397.37%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.1%
  • Slump
  • Current Slump as Pcnt Equity
    142.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.031%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -2.2%
  • 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)
    6.67%
  • 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)
    100.00%
  • 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
    $441
  • Avg Win
    $300
  • Sum Trade PL (losers)
    $11,014.000
  • Age
  • Num Months filled monthly returns table
    227
  • Win / Loss
  • Sum Trade PL (winners)
    $7,512.000
  • # Winners
    25
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    25
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    963.25
  • Avg Position Time (hrs)
    16.05
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    6849
  • Regression
  • Alpha
    -0.01
  • Beta
    0.01
  • Treynor Index
    -2.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    33.68
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    39.51
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.27
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -9.183
  • 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
    0.65
  • Avg(MAE) / Avg(PL) - Winning trades
    0.660
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.057
  • Hold-and-Hope Ratio
    -0.109
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04291
  • SD
    0.31198
  • Sharpe ratio (Glass type estimate)
    0.13755
  • Sharpe ratio (Hedges UMVUE)
    0.13607
  • df
    70.00000
  • t
    0.33457
  • p
    0.36947
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67002
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94215
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26598
  • Upside Potential Ratio
    0.67888
  • Upside part of mean
    0.10953
  • Downside part of mean
    -0.06662
  • Upside SD
    0.26474
  • Downside SD
    0.16134
  • N nonnegative terms
    65.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.22085
  • Mean of criterion
    0.04291
  • SD of predictor
    0.32353
  • SD of criterion
    0.31198
  • Covariance
    -0.00737
  • r
    -0.07304
  • b (slope, estimate of beta)
    -0.07043
  • a (intercept, estimate of alpha)
    0.05847
  • Mean Square Error
    0.09822
  • DF error
    69.00000
  • t(b)
    -0.60833
  • p(b)
    0.72752
  • t(a)
    0.44511
  • p(a)
    0.32882
  • Lowerbound of 95% confidence interval for beta
    -0.30141
  • Upperbound of 95% confidence interval for beta
    0.16054
  • Lowerbound of 95% confidence interval for alpha
    -0.20358
  • Upperbound of 95% confidence interval for alpha
    0.32051
  • Treynor index (mean / b)
    -0.60926
  • Jensen alpha (a)
    0.05847
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00020
  • SD
    0.29143
  • Sharpe ratio (Glass type estimate)
    0.00068
  • Sharpe ratio (Hedges UMVUE)
    0.00068
  • df
    70.00000
  • t
    0.00167
  • p
    0.49934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80644
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00097
  • Upside Potential Ratio
    0.41350
  • Upside part of mean
    0.08471
  • Downside part of mean
    -0.08451
  • Upside SD
    0.20437
  • Downside SD
    0.20486
  • N nonnegative terms
    65.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    71.00000
  • Mean of predictor
    0.16761
  • Mean of criterion
    0.00020
  • SD of predictor
    0.32608
  • SD of criterion
    0.29143
  • Covariance
    -0.00540
  • r
    -0.05681
  • b (slope, estimate of beta)
    -0.05078
  • a (intercept, estimate of alpha)
    0.00871
  • Mean Square Error
    0.08588
  • DF error
    69.00000
  • t(b)
    -0.47269
  • p(b)
    0.68104
  • t(a)
    0.07150
  • p(a)
    0.47160
  • Lowerbound of 95% confidence interval for beta
    -0.26507
  • Upperbound of 95% confidence interval for beta
    0.16352
  • Lowerbound of 95% confidence interval for alpha
    -0.23431
  • Upperbound of 95% confidence interval for alpha
    0.25173
  • Treynor index (mean / b)
    -0.00393
  • Jensen alpha (a)
    0.00871
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12922
  • Expected Shortfall on VaR
    0.15889
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00169
  • Expected Shortfall on VaR
    0.00888
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    71.00000
  • Minimum
    0.60756
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.64395
  • Mean of quarter 1
    0.97810
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03600
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.08451
  • Mean of outliers low
    0.93431
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05634
  • Mean of outliers high
    1.16201
  • 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
    1.00000
  • Minimum
    0.39315
  • Quartile 1
    0.39315
  • Median
    0.39315
  • Quartile 3
    0.39315
  • Maximum
    0.39315
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00020
  • Compounded annual return (geometric extrapolation)
    0.00020
  • Calmar ratio (compounded annual return / max draw down)
    0.00051
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00126
  • 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
    0.05601
  • SD
    0.35182
  • Sharpe ratio (Glass type estimate)
    0.15921
  • Sharpe ratio (Hedges UMVUE)
    0.15913
  • df
    1559.00000
  • t
    0.38849
  • p
    0.49374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96245
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96237
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28174
  • Upside Potential Ratio
    1.53341
  • Upside part of mean
    0.30486
  • Downside part of mean
    -0.24885
  • Upside SD
    0.29015
  • Downside SD
    0.19881
  • N nonnegative terms
    1495.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1560.00000
  • Mean of predictor
    0.44487
  • Mean of criterion
    0.05601
  • SD of predictor
    0.67418
  • SD of criterion
    0.35182
  • Covariance
    -0.00062
  • r
    -0.00262
  • b (slope, estimate of beta)
    -0.00137
  • a (intercept, estimate of alpha)
    0.05700
  • Mean Square Error
    0.12386
  • DF error
    1558.00000
  • t(b)
    -0.10343
  • p(b)
    0.50131
  • t(a)
    0.39225
  • p(a)
    0.49503
  • Lowerbound of 95% confidence interval for beta
    -0.02730
  • Upperbound of 95% confidence interval for beta
    0.02457
  • Lowerbound of 95% confidence interval for alpha
    -0.22652
  • Upperbound of 95% confidence interval for alpha
    0.33976
  • Treynor index (mean / b)
    -40.96000
  • Jensen alpha (a)
    0.05662
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00020
  • SD
    0.32791
  • Sharpe ratio (Glass type estimate)
    0.00060
  • Sharpe ratio (Hedges UMVUE)
    0.00060
  • df
    1559.00000
  • t
    0.00148
  • p
    0.49998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80262
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80383
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00090
  • Upside Potential Ratio
    1.23885
  • Upside part of mean
    0.27155
  • Downside part of mean
    -0.27136
  • Upside SD
    0.24374
  • Downside SD
    0.21920
  • N nonnegative terms
    1495.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1560.00000
  • Mean of predictor
    0.22290
  • Mean of criterion
    0.00020
  • SD of predictor
    0.66605
  • SD of criterion
    0.32791
  • Covariance
    -0.00049
  • r
    -0.00226
  • b (slope, estimate of beta)
    -0.00111
  • a (intercept, estimate of alpha)
    0.00045
  • Mean Square Error
    0.10759
  • DF error
    1558.00000
  • t(b)
    -0.08925
  • p(b)
    0.50113
  • t(a)
    0.00332
  • p(a)
    0.49996
  • Lowerbound of 95% confidence interval for beta
    -0.02558
  • Upperbound of 95% confidence interval for beta
    0.02335
  • Lowerbound of 95% confidence interval for alpha
    -0.26328
  • Upperbound of 95% confidence interval for alpha
    0.26418
  • Treynor index (mean / b)
    -0.17814
  • Jensen alpha (a)
    0.00045
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03277
  • Expected Shortfall on VaR
    0.04090
  • 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
    1560.00000
  • Minimum
    0.77791
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.54099
  • Mean of quarter 1
    0.99620
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00465
  • Inter Quartile Range
    0.00000
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.97720
  • Number of outliers high
    76.00000
  • Percentage of outliers high
    0.04872
  • Mean of outliers high
    1.02388
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.38271
  • VaR(95%) (moments method)
    -0.00038
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.32750
  • VaR(95%) (regression method)
    -0.02101
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00659
  • Quartile 1
    0.03862
  • Median
    0.07065
  • Quartile 3
    0.30561
  • Maximum
    0.54057
  • Mean of quarter 1
    0.00659
  • Mean of quarter 2
    0.07065
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.54057
  • Inter Quartile Range
    0.26699
  • 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)
    0.00020
  • Compounded annual return (geometric extrapolation)
    0.00020
  • Calmar ratio (compounded annual return / max draw down)
    0.00037
  • Compounded annual return / average of 25% largest draw downs
    0.00037
  • Compounded annual return / Expected Shortfall lognormal
    0.00485
  • 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
    1.84701
  • Mean of criterion
    0.00000
  • SD of predictor
    0.77645
  • 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
    1.53288
  • Mean of criterion
    0.00000
  • SD of predictor
    0.79880
  • 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)
    0.03300
  • 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?
    -374636000
  • Max Equity Drawdown (num days)
    21
  • 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





We use a monthly, weekly and intra-day trend following system to generate high probability trades on GBP/JPY, USD/JPY and GBP/USD pairs. Every single trade is analyzed and verified before we enter the market to maintain its accuracy and profitability.

Our signals are a mix of short-term swing(GBP/JPY) and intra day(USD/JPY,GBP/USD).

Our target is 200% capital growth per year.


Our prime objective is to avoid unnecessary risks.

We believe a proper money management strategy is the only way to succeed in forex and achieve consistent gains in the long run. We follow very strict money management guidelines at all times . We follow very strict set of rules on Stop Losses and trade exits in order to minimize the drawdowns and losses. All our signals/trades come with pre-calculated Stop loss and Take profit targets.

Recommended Money management:


Maximum risk per pair : (Revised on 18/July/2007)



GBP/JPY 2.5% (swing)
USD/JPY 1% (intra-day)
GBP/USD 1.6 % (intra-day)


Maximum total portfolio risk exposure at any given time: 4 %



If you need any assistance or information please contact us: [email protected]

Website: www.forex-autotrade.com , www.gfcm.biz


















Summary Statistics

Strategy began
2007-07-03
Suggested Minimum Capital
$10,000
# Trades
50
# Profitable
25
% Profitable
50.0%
Correlation S&P500
0.006
Sharpe Ratio
-0.22
Sortino Ratio
-0.28
Beta
0.01
Alpha
-0.01

Latest Activity

subscribed on started simulation

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.