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MyNexTrade.com
(32081816)

Created by: MichaelWong3 MichaelWong3
Started: 05/2008
Futures, Forex
Last trade: 5,745 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 $99.00 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.

-
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.

(100.0%)
Max Drawdown
63
Num Trades
84.1%
Win Trades
0.8 : 1
Profit Factor
1.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008                            +414.7%+82.9%(35.4%)(123.1%)(0.9%)(0.9%)(0.6%)(1.4%)(241.8%)
2009  -    -    -    -    -    -    -    -    -  (0.1%)  -    -  (0.1%)
2010  -    -    -    -    -  (0.1%)(0.1%)(0.1%)  -    -    -    -  -
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  -
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  -    -    -    -                                                  

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 50 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5757 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
7/16/08 13:08 @YMU8 MINI DOW SHORT 20 11220 8/11 14:46 11631 294.97%
Trade id #33831931
Max drawdown($50,632)
Time8/11/08 13:39
Quant open-16
Worst price11853
Drawdown as % of equity294.97%
 ($41,290)
Includes Typical Broker Commissions trade costs of $160.00
7/17/08 7:06 USD/JPY USD/JPY SHORT 100 105.752 8/11 14:46 110.082 245.94%
Trade id #33850261
Max drawdown($42,215)
Time8/11/08 13:39
Quant open-100
Worst price110.398
Drawdown as % of equity245.94%
 ($39,340)
7/17/08 10:01 QGCQ8 Gold 100 oz LONG 15 967.9 8/11 12:30 915.3 845.63%
Trade id #33856855
Max drawdown($78,940)
Time8/11/08 12:28
Quant open1
Worst price829.7
Drawdown as % of equity845.63%
 ($79,060)
Includes Typical Broker Commissions trade costs of $120.00
7/28/08 10:06 QGCZ8 Gold 100 oz LONG 8 933.5 7/30 8:45 918.3 615.27%
Trade id #34078554
Max drawdown($745,650)
Time7/28/08 15:38
Quant open8
Worst price1.4
Drawdown as % of equity-615.27%
 ($12,254)
Includes Typical Broker Commissions trade costs of $64.00
7/22/08 11:22 QGCZ8 Gold 100 oz LONG 4 960.0 7/23 15:16 931.4 15.06%
Trade id #33956596
Max drawdown($11,440)
Time7/23/08 14:34
Quant open3
Worst price927.7
Drawdown as % of equity-15.06%
 ($11,472)
Includes Typical Broker Commissions trade costs of $32.00
7/17/08 8:45 EUR/USD EUR/USD LONG 140 1.58237 7/22 5:26 1.58841 1.79%
Trade id #33852904
Max drawdown($2,779)
Time7/17/08 14:30
Quant open70
Worst price1.57840
Drawdown as % of equity-1.79%
 $8,452
7/16/08 13:10 USD/JPY USD/JPY SHORT 60 105.006 7/16 23:40 104.833 n/a $988
7/16/08 13:08 QGCZ8 Gold 100 oz LONG 8 972.2 7/16 22:08 976.0 1.64%
Trade id #33831888
Max drawdown($2,600)
Time7/16/08 15:53
Quant open8
Worst price969.0
Drawdown as % of equity-1.64%
 $2,904
Includes Typical Broker Commissions trade costs of $64.00
7/15/08 12:34 USD/JPY USD/JPY LONG 130 104.555 7/16 11:05 104.817 6.37%
Trade id #33801260
Max drawdown($9,702)
Time7/16/08 6:25
Quant open130
Worst price103.774
Drawdown as % of equity-6.37%
 $3,252
7/15/08 13:05 @YMU8 MINI DOW SHORT 1 11065 7/16 6:46 10888 0.15%
Trade id #33802085
Max drawdown($235)
Time7/15/08 15:12
Quant open-1
Worst price11112
Drawdown as % of equity-0.15%
 $877
Includes Typical Broker Commissions trade costs of $8.00
7/16/08 2:03 QGCZ8 Gold 100 oz LONG 1 983.1 7/16 4:01 984.9 0.06%
Trade id #33811394
Max drawdown($100)
Time7/16/08 2:14
Quant open1
Worst price982.1
Drawdown as % of equity-0.06%
 $172
Includes Typical Broker Commissions trade costs of $8.00
7/15/08 13:08 EUR/USD EUR/USD LONG 5 1.59185 7/16 4:00 1.59226 0.17%
Trade id #33802185
Max drawdown($267)
Time7/15/08 14:57
Quant open5
Worst price1.58650
Drawdown as % of equity-0.17%
 $21
7/15/08 12:28 QGCU8 Gold 100 oz LONG 6 975.4 7/15 13:51 979.5 0.95%
Trade id #33800959
Max drawdown($1,470)
Time7/15/08 12:47
Quant open6
Worst price972.9
Drawdown as % of equity-0.95%
 $2,442
Includes Typical Broker Commissions trade costs of $48.00
7/15/08 12:33 @YMU8 MINI DOW SHORT 1 11030 7/15 12:58 11032 0.12%
Trade id #33801175
Max drawdown($180)
Time7/15/08 12:44
Quant open-1
Worst price11066
Drawdown as % of equity-0.12%
 ($18)
Includes Typical Broker Commissions trade costs of $8.00
7/14/08 23:13 EUR/USD EUR/USD SHORT 30 1.59416 7/15 11:52 1.59331 1.88%
Trade id #33775729
Max drawdown($2,832)
Time7/15/08 5:20
Quant open-30
Worst price1.60360
Drawdown as % of equity-1.88%
 $255
7/14/08 23:13 QGCU8 Gold 100 oz SHORT 3 975.0 7/15 11:07 972.0 3.43%
Trade id #33775796
Max drawdown($5,100)
Time7/15/08 10:03
Quant open-3
Worst price992.0
Drawdown as % of equity-3.43%
 $876
Includes Typical Broker Commissions trade costs of $24.00
7/14/08 23:13 USD/JPY USD/JPY SHORT 30 105.808 7/15 4:11 105.338 0.24%
Trade id #33775764
Max drawdown($356)
Time7/15/08 2:26
Quant open-30
Worst price105.933
Drawdown as % of equity-0.24%
 $1,347
7/11/08 13:23 USD/JPY USD/JPY SHORT 80 106.324 7/14 15:08 106.134 n/a $1,432
7/14/08 4:09 @YMU8 MINI DOW SHORT 1 11187 7/14 12:11 11019 0.2%
Trade id #33745353
Max drawdown($280)
Time7/14/08 7:17
Quant open-1
Worst price11243
Drawdown as % of equity-0.20%
 $832
Includes Typical Broker Commissions trade costs of $8.00
7/14/08 4:07 QGCZ8 Gold 100 oz LONG 5 968.0 7/14 11:27 979.9 1.16%
Trade id #33745232
Max drawdown($1,630)
Time7/14/08 8:11
Quant open5
Worst price964.7
Drawdown as % of equity-1.16%
 $5,930
Includes Typical Broker Commissions trade costs of $40.00
7/11/08 12:30 QGCU8 Gold 100 oz LONG 6 961.8 7/13 20:04 969.0 0.34%
Trade id #33722155
Max drawdown($480)
Time7/11/08 12:47
Quant open6
Worst price961.0
Drawdown as % of equity-0.34%
 $4,272
Includes Typical Broker Commissions trade costs of $48.00
7/11/08 8:36 QGCU8 Gold 100 oz SHORT 6 963.4 7/11 12:29 962.4 3%
Trade id #33704887
Max drawdown($4,080)
Time7/11/08 10:29
Quant open-6
Worst price970.2
Drawdown as % of equity-3.00%
 $552
Includes Typical Broker Commissions trade costs of $48.00
7/10/08 10:23 @YMU8 MINI DOW SHORT 2 11100 7/11 9:37 11064 1.36%
Trade id #33672151
Max drawdown($1,800)
Time7/11/08 0:15
Quant open-2
Worst price11280
Drawdown as % of equity-1.36%
 $344
Includes Typical Broker Commissions trade costs of $16.00
7/8/08 10:43 DJZ8 DOW JONES INDUSTRIAL AVG SHORT 2 11220 7/11 9:36 11180 2.19%
Trade id #33604458
Max drawdown($2,300)
Time7/9/08 9:59
Quant open-2
Worst price11335
Drawdown as % of equity-2.19%
 $784
Includes Typical Broker Commissions trade costs of $16.00
7/3/08 2:09 USD/JPY USD/JPY SHORT 180 106.868 7/11 7:59 106.562 13.05%
Trade id #33524774
Max drawdown($11,267)
Time7/7/08 10:02
Quant open-119
Worst price107.730
Drawdown as % of equity-13.05%
 $5,172
7/10/08 11:36 QGCQ8 Gold 100 oz LONG 3 941.0 7/11 5:06 947.9 0.37%
Trade id #33677649
Max drawdown($480)
Time7/10/08 12:50
Quant open3
Worst price939.4
Drawdown as % of equity-0.37%
 $2,046
Includes Typical Broker Commissions trade costs of $24.00
7/10/08 10:20 QGCQ8 Gold 100 oz SHORT 1 944.5 7/10 10:41 942.8 0.12%
Trade id #33671909
Max drawdown($150)
Time7/10/08 10:26
Quant open-1
Worst price946.0
Drawdown as % of equity-0.12%
 $162
Includes Typical Broker Commissions trade costs of $8.00
7/10/08 10:20 QGCZ8 Gold 100 oz SHORT 1 954.5 7/10 10:37 953.1 0.1%
Trade id #33671832
Max drawdown($130)
Time7/10/08 10:27
Quant open-1
Worst price955.8
Drawdown as % of equity-0.10%
 $132
Includes Typical Broker Commissions trade costs of $8.00
7/8/08 6:27 QGCZ8 Gold 100 oz LONG 13 936.6 7/10 9:55 948.3 9.25%
Trade id #33596687
Max drawdown($10,290)
Time7/8/08 11:02
Quant open10
Worst price923.4
Drawdown as % of equity-9.25%
 $15,076
Includes Typical Broker Commissions trade costs of $104.00
7/8/08 10:04 DJZ8 DOW JONES INDUSTRIAL AVG SHORT 2 11215 7/8 10:25 11225 n/a ($216)
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    5/6/2008
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5836.41
  • Age
    195 months ago
  • What it trades
    Futures, Forex
  • # Trades
    63
  • # Profitable
    53
  • % Profitable
    84.10%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Aug 08, 2008 - Aug 11, 2008
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,848
  • Avg loss
    $18,862
  • Model Account Values (Raw)
  • Cash
    ($9,186)
  • Margin Used
    $0
  • Buying Power
    ($9,186)
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    -0.37
  • Sortino Ratio
    -0.42
  • Calmar Ratio
    -0.877
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -501.37%
  • Correlation to SP500
    -0.24940
  • Return Percent SP500 (cumu) during strategy life
    261.56%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.50%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.50%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    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
    $18,862
  • Avg Win
    $2,849
  • Sum Trade PL (losers)
    $188,621.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $150,995.000
  • # Winners
    53
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    10
  • % Winners
    84.1%
  • Frequency
  • Avg Position Time (mins)
    3981.03
  • Avg Position Time (hrs)
    66.35
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    5739
  • Regression
  • Alpha
    0.00
  • Beta
    -3.98
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.15
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    73.90
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    96.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.75
  • Avg(MAE) / Avg(PL) - All trades
    -16.734
  • 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
    6.37
  • Avg(MAE) / Avg(PL) - Winning trades
    0.838
  • Avg(MAE) / Avg(PL) - Losing trades
    -5.079
  • Hold-and-Hope Ratio
    -0.046
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19324
  • SD
    1.05509
  • Sharpe ratio (Glass type estimate)
    0.18315
  • Sharpe ratio (Hedges UMVUE)
    0.18089
  • df
    61.00000
  • t
    0.41631
  • p
    0.33932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04376
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43387
  • Upside Potential Ratio
    0.93707
  • Upside part of mean
    0.41736
  • Downside part of mean
    -0.22412
  • Upside SD
    0.94868
  • Downside SD
    0.44539
  • N nonnegative terms
    60.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.23615
  • Mean of criterion
    0.19324
  • SD of predictor
    0.24834
  • SD of criterion
    1.05509
  • Covariance
    -0.05944
  • r
    -0.22684
  • b (slope, estimate of beta)
    -0.96375
  • a (intercept, estimate of alpha)
    0.42083
  • Mean Square Error
    1.07353
  • DF error
    60.00000
  • t(b)
    -1.80412
  • p(b)
    0.96188
  • t(a)
    0.88978
  • p(a)
    0.18857
  • Lowerbound of 95% confidence interval for beta
    -2.03230
  • Upperbound of 95% confidence interval for beta
    0.10480
  • Lowerbound of 95% confidence interval for alpha
    -0.52523
  • Upperbound of 95% confidence interval for alpha
    1.36690
  • Treynor index (mean / b)
    -0.20051
  • Jensen alpha (a)
    0.42083
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.12163
  • SD
    5.28452
  • Sharpe ratio (Glass type estimate)
    -0.40148
  • Sharpe ratio (Hedges UMVUE)
    -0.39652
  • df
    61.00000
  • t
    -0.91258
  • p
    0.81747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46861
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40388
  • Upside Potential Ratio
    0.04235
  • Upside part of mean
    0.22247
  • Downside part of mean
    -2.34409
  • Upside SD
    0.50568
  • Downside SD
    5.25311
  • N nonnegative terms
    60.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.20365
  • Mean of criterion
    -2.12163
  • SD of predictor
    0.25029
  • SD of criterion
    5.28452
  • Covariance
    0.01498
  • r
    0.01133
  • b (slope, estimate of beta)
    0.23913
  • a (intercept, estimate of alpha)
    -2.17033
  • Mean Square Error
    28.38790
  • DF error
    60.00000
  • t(b)
    0.08773
  • p(b)
    0.46519
  • t(a)
    -0.90098
  • p(a)
    0.81440
  • Lowerbound of 95% confidence interval for beta
    -5.21289
  • Upperbound of 95% confidence interval for beta
    5.69115
  • Lowerbound of 95% confidence interval for alpha
    -6.98874
  • Upperbound of 95% confidence interval for alpha
    2.64809
  • Treynor index (mean / b)
    -8.87228
  • Jensen alpha (a)
    -2.17033
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.93185
  • Expected Shortfall on VaR
    0.95916
  • 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
    62.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3.15638
  • Mean of quarter 1
    0.92763
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.13477
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03226
  • Mean of outliers low
    0.42102
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01613
  • Mean of outliers high
    3.15638
  • 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)
    1.41435
  • VaR(95%) (regression method)
    -0.00839
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.15796
  • Quartile 1
    0.36847
  • Median
    0.57898
  • Quartile 3
    0.78948
  • Maximum
    0.99999
  • Mean of quarter 1
    0.15796
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.42102
  • 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)
    -0.19354
  • Compounded annual return (geometric extrapolation)
    -0.88016
  • Calmar ratio (compounded annual return / max draw down)
    -0.88017
  • Compounded annual return / average of 25% largest draw downs
    -0.88017
  • Compounded annual return / Expected Shortfall lognormal
    -0.91764
  • 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
    70510.40000
  • SD
    85941.00000
  • Sharpe ratio (Glass type estimate)
    0.82045
  • Sharpe ratio (Hedges UMVUE)
    0.82000
  • df
    1368.00000
  • t
    1.87544
  • p
    0.47468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67798
  • Statistics related to Sortino ratio
  • Sortino ratio
    54901.10000
  • Upside Potential Ratio
    54902.80000
  • Upside part of mean
    70512.60000
  • Downside part of mean
    -2.23685
  • Upside SD
    86020.00000
  • Downside SD
    1.28432
  • N nonnegative terms
    1343.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1369.00000
  • Mean of predictor
    0.40914
  • Mean of criterion
    70510.40000
  • SD of predictor
    0.56283
  • SD of criterion
    85941.00000
  • Covariance
    13679.10000
  • r
    0.28280
  • b (slope, estimate of beta)
    43181.40000
  • a (intercept, estimate of alpha)
    52843.00000
  • Mean Square Error
    6800150000.00000
  • DF error
    1367.00000
  • t(b)
    10.90090
  • p(b)
    0.32239
  • t(a)
    1.46333
  • p(a)
    0.47483
  • Lowerbound of 95% confidence interval for beta
    35410.60000
  • Upperbound of 95% confidence interval for beta
    50952.30000
  • Lowerbound of 95% confidence interval for alpha
    -17997.00000
  • Upperbound of 95% confidence interval for alpha
    123683.00000
  • Treynor index (mean / b)
    1.63289
  • Jensen alpha (a)
    52843.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.09786
  • SD
    14.84490
  • Sharpe ratio (Glass type estimate)
    -0.14132
  • Sharpe ratio (Hedges UMVUE)
    -0.14124
  • df
    1368.00000
  • t
    -0.32304
  • p
    0.50437
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99876
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71612
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71620
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19165
  • Upside Potential Ratio
    0.96083
  • Upside part of mean
    10.51730
  • Downside part of mean
    -12.61510
  • Upside SD
    10.02050
  • Downside SD
    10.94600
  • N nonnegative terms
    1343.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1369.00000
  • Mean of predictor
    0.25181
  • Mean of criterion
    -2.09786
  • SD of predictor
    0.56129
  • SD of criterion
    14.84490
  • Covariance
    2.56942
  • r
    0.30837
  • b (slope, estimate of beta)
    8.15583
  • a (intercept, estimate of alpha)
    -4.15156
  • Mean Square Error
    199.56000
  • DF error
    1367.00000
  • t(b)
    11.98550
  • p(b)
    0.30684
  • t(a)
    -0.67152
  • p(a)
    0.51156
  • Lowerbound of 95% confidence interval for beta
    6.82094
  • Upperbound of 95% confidence interval for beta
    9.49071
  • Lowerbound of 95% confidence interval for alpha
    -16.27950
  • Upperbound of 95% confidence interval for alpha
    7.97634
  • Treynor index (mean / b)
    -0.25722
  • Jensen alpha (a)
    -4.15156
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.78053
  • Expected Shortfall on VaR
    0.84277
  • 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
    1369.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    145338.00000
  • Mean of quarter 1
    0.96592
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1078.32000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.01899
  • Mean of outliers low
    0.55046
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.02922
  • Mean of outliers high
    9212.05000
  • 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)
    -3.51503
  • VaR(95%) (regression method)
    -11.78970
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.12356
  • Quartile 1
    0.37579
  • Median
    0.72993
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • Mean of quarter 1
    0.12356
  • Mean of quarter 2
    0.45987
  • Mean of quarter 3
    0.99999
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.62421
  • 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)
    -0.19138
  • Compounded annual return (geometric extrapolation)
    -0.87728
  • Calmar ratio (compounded annual return / max draw down)
    -0.87729
  • Compounded annual return / average of 25% largest draw downs
    -0.87729
  • Compounded annual return / Expected Shortfall lognormal
    -1.04095
  • 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
    1.40594
  • Mean of criterion
    0.00000
  • SD of predictor
    0.58761
  • 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
    1.23219
  • Mean of criterion
    0.00000
  • SD of predictor
    0.58588
  • 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)
    0.78100
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -348736000
  • Max Equity Drawdown (num days)
    3
  • 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

I look for markets when there are extremes which investor are over-optimistic or over-pessimistic on a certain investment product, then I will enter the market the opposite way when the timing is right.

I am a professional trader who make a living with my trades. I am also a position trader who usually trade 2-3 times a month, each time holding for a week to a month or so depending on the situation. My trades are usually on forex.

I will be trading here with lots of 10s for forex. A position with 20 lot is a normal position; a 60+ lot position is a sign of confidence; maximum cumulated lots for each position shall be 100 lots. Subscribers shall be alerted accordingly for my confidence level of the positions I took.

For futures, the logic will be the same, just that everything is 10 times smaller; so the maximum lots I will take in any futures position is 10 lots.

p.s. some traders questioned the duration of such high growth period of how long can it be sustained; however, big return is not always accompanied by big risk, and by trading with the above mentioned way, we are often entering the market with little risk while having big potentials. And this is how MyNexTrade.com differentiates itself from other trading systems.

p.p.s to all auto-traders: please do set your % scale of trading according to current equity of MyNexTrade system. For example, if you have a 10,000 usd fund, you need to scale the trades into a 10% scale if the MyNexTrade system have a 100,000 usd equity for that moment. i.e. when the MyNexTrade system is giving a 60 lots forex signal, you should be only trading at 6 lots.

p.p.p.s please do message me if you would like to auto-trade both forex and futures while you do not have an IB account.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2008-05-06
Suggested Minimum Capital
$10,000
# Trades
63
# Profitable
53
% Profitable
84.1%
Correlation S&P500
-0.249
Sharpe Ratio
-0.37
Sortino Ratio
-0.42
Beta
-3.98
Alpha
0.00

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.