Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +39.4% Cumul. Return since Sep 23, 2025 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

GY London
(38200337)

Created by: MikeFerrando MikeFerrando
Started: 02/2009
Forex
Last trade: 5,774 days ago
Subscriptions not currently available.

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 $250.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-1.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(75.5%)
Max Drawdown
320
Num Trades
43.4%
Win Trades
1.0 : 1
Profit Factor
4.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009       +86.6%(0.2%)+2.2%+46.0%+16.9%(26.1%)(13.4%)(6.6%)+0.5%(22.7%)+0.4%+51.3%
2010+11.1%+19.2%+26.2%(28.8%)+66.7%(36.2%)(48.2%)(15.6%)  -    -    -    -  (44.6%)
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  -    -    -    -    -    -                                      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 291 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6031 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/17/10 3:05 GBP/JPY GBP/JPY SHORT 400 133.300 8/17 5:07 133.700 5.35%
Trade id #52060623
Max drawdown($1,876)
Time8/17/10 5:06
Quant open-40
Worst price133.646
Drawdown as % of equity-5.35%
 ($9.99)
8/16/10 2:29 GBP/JPY GBP/JPY LONG 420 134.170 8/16 4:01 133.765 5.39%
Trade id #52020675
Max drawdown($1,994)
Time8/16/10 3:58
Quant open42
Worst price133.847
Drawdown as % of equity-5.39%
 ($10.62)
8/12/10 5:04 GBP/JPY GBP/JPY SHORT 440 133.260 8/12 9:58 133.660 5.28%
Trade id #51939206
Max drawdown($2,063)
Time8/12/10 9:47
Quant open-44
Worst price133.611
Drawdown as % of equity-5.28%
 ($10.99)
8/11/10 3:20 GBP/JPY GBP/JPY SHORT 400 134.417 8/11 6:00 133.420 3%
Trade id #51890994
Max drawdown($1,031)
Time8/11/10 3:41
Quant open-40
Worst price134.636
Drawdown as % of equity-3.00%
 $24.89
8/6/10 2:04 GBP/JPY GBP/JPY LONG 410 136.990 8/6 4:32 136.587 5.34%
Trade id #51757218
Max drawdown($1,937)
Time8/6/10 4:32
Quant open41
Worst price136.617
Drawdown as % of equity-5.34%
 ($10.31)
8/4/10 2:52 GBP/JPY GBP/JPY LONG 440 136.460 8/4 3:06 136.060 5.38%
Trade id #51677242
Max drawdown($2,063)
Time8/4/10 3:06
Quant open44
Worst price136.159
Drawdown as % of equity-5.38%
 ($10.99)
8/3/10 2:32 GBP/JPY GBP/JPY LONG 460 137.581 8/3 3:06 137.178 5.36%
Trade id #51633411
Max drawdown($2,173)
Time8/3/10 3:06
Quant open46
Worst price137.223
Drawdown as % of equity-5.36%
 ($11.57)
8/2/10 1:53 GBP/JPY GBP/JPY LONG 400 136.330 8/2 8:40 137.330 1.9%
Trade id #51593428
Max drawdown($681)
Time8/2/10 2:42
Quant open40
Worst price136.182
Drawdown as % of equity-1.90%
 $24.97
7/30/10 2:50 GBP/JPY GBP/JPY LONG 400 135.415 7/30 3:25 135.007 5%
Trade id #51556199
Max drawdown($1,890)
Time7/30/10 3:25
Quant open40
Worst price135.091
Drawdown as % of equity-5.00%
 ($10.19)
7/29/10 3:02 GBP/JPY GBP/JPY LONG 450 136.540 7/29 4:38 136.140 5.18%
Trade id #51515159
Max drawdown($2,064)
Time7/29/10 4:36
Quant open45
Worst price136.143
Drawdown as % of equity-5.18%
 ($11.23)
7/28/10 1:34 GBP/JPY GBP/JPY LONG 480 137.100 7/28 6:17 136.700 5.31%
Trade id #51474499
Max drawdown($2,234)
Time7/28/10 6:17
Quant open48
Worst price136.691
Drawdown as % of equity-5.31%
 ($11.98)
7/27/10 4:10 GBP/JPY GBP/JPY LONG 490 135.140 7/27 8:28 136.140 3.68%
Trade id #51439039
Max drawdown($1,341)
Time7/27/10 5:13
Quant open49
Worst price134.900
Drawdown as % of equity-3.68%
 $30.58
7/20/10 4:16 GBP/JPY GBP/JPY SHORT 490 132.430 7/20 11:04 132.830 5.81%
Trade id #51236064
Max drawdown($2,246)
Time7/20/10 11:04
Quant open-49
Worst price132.779
Drawdown as % of equity-5.81%
 ($12.23)
7/19/10 3:40 GBP/JPY GBP/JPY LONG 490 133.100 7/19 9:16 132.700 5.5%
Trade id #51192336
Max drawdown($2,252)
Time7/19/10 8:37
Quant open49
Worst price132.758
Drawdown as % of equity-5.50%
 ($12.23)
7/16/10 3:04 GBP/JPY GBP/JPY LONG 490 134.600 7/16 4:29 134.200 n/a ($12.23)
7/15/10 4:41 GBP/JPY GBP/JPY LONG 520 134.900 7/15 10:05 134.500 5.22%
Trade id #51105373
Max drawdown($2,380)
Time7/15/10 10:03
Quant open52
Worst price134.527
Drawdown as % of equity-5.22%
 ($12.98)
7/13/10 5:20 GBP/JPY GBP/JPY LONG 540 133.470 7/13 7:08 133.070 5.1%
Trade id #51030668
Max drawdown($2,447)
Time7/13/10 7:03
Quant open54
Worst price133.208
Drawdown as % of equity-5.10%
 ($13.48)
7/8/10 4:21 GBP/JPY GBP/JPY SHORT 600 133.670 7/8 9:15 134.070 5.35%
Trade id #50912636
Max drawdown($2,714)
Time7/8/10 9:15
Quant open-60
Worst price134.024
Drawdown as % of equity-5.35%
 ($14.98)
7/7/10 2:30 GBP/JPY GBP/JPY SHORT 610 131.990 7/7 9:36 132.390 5.23%
Trade id #50870267
Max drawdown($2,801)
Time7/7/10 9:02
Quant open-61
Worst price132.343
Drawdown as % of equity-5.23%
 ($15.23)
6/25/10 4:56 GBP/JPY GBP/JPY SHORT 640 133.410 6/25 7:42 133.810 5.53%
Trade id #50572519
Max drawdown($3,101)
Time6/25/10 7:42
Quant open-64
Worst price133.844
Drawdown as % of equity-5.53%
 ($15.98)
6/24/10 3:13 GBP/JPY GBP/JPY SHORT 610 134.180 6/25 0:59 133.730 4.11%
Trade id #50529593
Max drawdown($2,191)
Time6/24/10 5:31
Quant open-61
Worst price134.501
Drawdown as % of equity-4.11%
 $17.13
6/23/10 10:00 GBP/JPY GBP/JPY SHORT 640 133.820 6/23 10:56 134.220 5.22%
Trade id #50504656
Max drawdown($2,929)
Time6/23/10 10:56
Quant open-64
Worst price134.232
Drawdown as % of equity-5.22%
 ($15.98)
6/22/10 11:34 GBP/JPY GBP/JPY LONG 670 134.660 6/22 14:10 134.260 5.01%
Trade id #50472172
Max drawdown($2,961)
Time6/22/10 14:06
Quant open67
Worst price134.335
Drawdown as % of equity-5.01%
 ($16.73)
6/21/10 2:39 GBP/JPY GBP/JPY LONG 710 135.550 6/21 3:32 135.150 5.03%
Trade id #50420076
Max drawdown($3,129)
Time6/21/10 3:32
Quant open71
Worst price135.195
Drawdown as % of equity-5.03%
 ($17.73)
6/17/10 4:30 GBP/JPY GBP/JPY LONG 740 134.520 6/17 10:27 134.120 5.08%
Trade id #50344691
Max drawdown($3,329)
Time6/17/10 10:27
Quant open74
Worst price134.111
Drawdown as % of equity-5.08%
 ($18.48)
6/16/10 2:44 GBP/JPY GBP/JPY LONG 780 135.860 6/16 3:19 135.460 4.94%
Trade id #50309081
Max drawdown($3,401)
Time6/16/10 3:18
Quant open78
Worst price135.557
Drawdown as % of equity-4.94%
 ($19.47)
6/14/10 2:00 GBP/JPY GBP/JPY LONG 700 134.590 6/14 5:32 135.590 3.28%
Trade id #50240228
Max drawdown($1,981)
Time6/14/10 3:00
Quant open70
Worst price134.330
Drawdown as % of equity-3.28%
 $43.69
6/10/10 2:06 GBP/JPY GBP/JPY SHORT 730 132.680 6/10 3:11 133.080 6.39%
Trade id #50159636
Max drawdown($4,120)
Time6/10/10 3:11
Quant open-73
Worst price133.193
Drawdown as % of equity-6.39%
 ($18.23)
6/9/10 1:33 GBP/JPY GBP/JPY SHORT 770 131.540 6/9 2:06 131.940 4.96%
Trade id #50118036
Max drawdown($3,365)
Time6/9/10 2:05
Quant open-77
Worst price131.896
Drawdown as % of equity-4.96%
 ($19.22)
6/8/10 4:30 GBP/JPY GBP/JPY SHORT 690 132.380 6/8 5:06 131.380 4.2%
Trade id #50082302
Max drawdown($2,533)
Time6/8/10 4:46
Quant open-69
Worst price132.715
Drawdown as % of equity-4.20%
 $43.07

Statistics

  • Strategy began
    2/3/2009
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    6332.49
  • Age
    211 months ago
  • What it trades
    Forex
  • # Trades
    320
  • # Profitable
    139
  • % Profitable
    43.40%
  • Avg trade duration
    3.9 hours
  • Max peak-to-valley drawdown
    75.53%
  • drawdown period
    May 25, 2010 - Aug 26, 2010
  • Annual Return (Compounded)
    -1.0%
  • Avg win
    $2,605
  • Avg loss
    $1,928
  • Model Account Values (Raw)
  • Cash
    $33,138
  • Margin Used
    $0
  • Buying Power
    $33,138
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    0.01
  • Sortino Ratio
    0.01
  • Calmar Ratio
    0.07
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -796.76%
  • Correlation to SP500
    -0.06900
  • Return Percent SP500 (cumu) during strategy life
    783.20%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.0%
  • Slump
  • Current Slump as Pcnt Equity
    308.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.010%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.9%
  • 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)
    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
    $1,928
  • Avg Win
    $2,605
  • Sum Trade PL (losers)
    $349,023.000
  • Age
  • Num Months filled monthly returns table
    209
  • Win / Loss
  • Sum Trade PL (winners)
    $362,161.000
  • # Winners
    139
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    181
  • % Winners
    43.4%
  • Frequency
  • Avg Position Time (mins)
    235.72
  • Avg Position Time (hrs)
    3.93
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    5773
  • Regression
  • Alpha
    0.00
  • Beta
    -0.10
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.89
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    47.70
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.89
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -15.014
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    0.360
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.057
  • Hold-and-Hope Ratio
    -0.067
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12751
  • SD
    0.46178
  • Sharpe ratio (Glass type estimate)
    0.27614
  • Sharpe ratio (Hedges UMVUE)
    0.27289
  • df
    64.00000
  • t
    0.64267
  • p
    0.26137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56840
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11635
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64241
  • Upside Potential Ratio
    1.87608
  • Upside part of mean
    0.37239
  • Downside part of mean
    -0.24488
  • Upside SD
    0.41462
  • Downside SD
    0.19849
  • N nonnegative terms
    54.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.42168
  • Mean of criterion
    0.12751
  • SD of predictor
    0.26816
  • SD of criterion
    0.46178
  • Covariance
    -0.00729
  • r
    -0.05887
  • b (slope, estimate of beta)
    -0.10137
  • a (intercept, estimate of alpha)
    0.17026
  • Mean Square Error
    0.21587
  • DF error
    63.00000
  • t(b)
    -0.46808
  • p(b)
    0.67933
  • t(a)
    0.77557
  • p(a)
    0.22045
  • Lowerbound of 95% confidence interval for beta
    -0.53417
  • Upperbound of 95% confidence interval for beta
    0.33142
  • Lowerbound of 95% confidence interval for alpha
    -0.26843
  • Upperbound of 95% confidence interval for alpha
    0.60896
  • Treynor index (mean / b)
    -1.25785
  • Jensen alpha (a)
    0.17026
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04080
  • SD
    0.40211
  • Sharpe ratio (Glass type estimate)
    0.10146
  • Sharpe ratio (Hedges UMVUE)
    0.10027
  • df
    64.00000
  • t
    0.23613
  • p
    0.40704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74125
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94258
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18539
  • Upside Potential Ratio
    1.40080
  • Upside part of mean
    0.30827
  • Downside part of mean
    -0.26747
  • Upside SD
    0.33303
  • Downside SD
    0.22007
  • N nonnegative terms
    54.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.38148
  • Mean of criterion
    0.04080
  • SD of predictor
    0.25883
  • SD of criterion
    0.40211
  • Covariance
    -0.00664
  • r
    -0.06376
  • b (slope, estimate of beta)
    -0.09906
  • a (intercept, estimate of alpha)
    0.07858
  • Mean Square Error
    0.16359
  • DF error
    63.00000
  • t(b)
    -0.50711
  • p(b)
    0.69308
  • t(a)
    0.41560
  • p(a)
    0.33956
  • Lowerbound of 95% confidence interval for beta
    -0.48940
  • Upperbound of 95% confidence interval for beta
    0.29129
  • Lowerbound of 95% confidence interval for alpha
    -0.29927
  • Upperbound of 95% confidence interval for alpha
    0.45644
  • Treynor index (mean / b)
    -0.41187
  • Jensen alpha (a)
    0.07858
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17100
  • Expected Shortfall on VaR
    0.20953
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01870
  • Expected Shortfall on VaR
    0.05306
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    65.00000
  • Minimum
    0.77104
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.63881
  • Mean of quarter 1
    0.92198
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.12607
  • Inter Quartile Range
    0.00000
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.16923
  • Mean of outliers low
    0.87942
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.12308
  • Mean of outliers high
    1.25214
  • 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)
    -1.31303
  • VaR(95%) (regression method)
    0.10691
  • Expected Shortfall (regression method)
    0.12055
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.09835
  • Quartile 1
    0.20377
  • Median
    0.30919
  • Quartile 3
    0.41461
  • Maximum
    0.52003
  • Mean of quarter 1
    0.09835
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.52003
  • Inter Quartile Range
    0.21084
  • 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)
    0.04566
  • Compounded annual return (geometric extrapolation)
    0.04164
  • Calmar ratio (compounded annual return / max draw down)
    0.08007
  • Compounded annual return / average of 25% largest draw downs
    0.08007
  • Compounded annual return / Expected Shortfall lognormal
    0.19874
  • 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
    0.55115
  • SD
    1.02886
  • Sharpe ratio (Glass type estimate)
    0.53569
  • Sharpe ratio (Hedges UMVUE)
    0.53541
  • df
    1426.00000
  • t
    1.25019
  • p
    0.48346
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30445
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37565
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30464
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37546
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91070
  • Upside Potential Ratio
    4.36802
  • Upside part of mean
    2.64349
  • Downside part of mean
    -2.09234
  • Upside SD
    0.83229
  • Downside SD
    0.60519
  • N nonnegative terms
    1259.00000
  • N negative terms
    168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1427.00000
  • Mean of predictor
    0.47604
  • Mean of criterion
    0.55115
  • SD of predictor
    0.37187
  • SD of criterion
    1.02886
  • Covariance
    -0.04166
  • r
    -0.10889
  • b (slope, estimate of beta)
    -0.30126
  • a (intercept, estimate of alpha)
    0.69500
  • Mean Square Error
    1.04673
  • DF error
    1425.00000
  • t(b)
    -4.13504
  • p(b)
    0.56918
  • t(a)
    1.57943
  • p(a)
    0.47340
  • Lowerbound of 95% confidence interval for beta
    -0.44418
  • Upperbound of 95% confidence interval for beta
    -0.15835
  • Lowerbound of 95% confidence interval for alpha
    -0.16807
  • Upperbound of 95% confidence interval for alpha
    1.55720
  • Treynor index (mean / b)
    -1.82946
  • Jensen alpha (a)
    0.69456
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04057
  • SD
    1.01909
  • Sharpe ratio (Glass type estimate)
    0.03981
  • Sharpe ratio (Hedges UMVUE)
    0.03979
  • df
    1426.00000
  • t
    0.09292
  • p
    0.49877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80001
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87964
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87961
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05423
  • Upside Potential Ratio
    3.17334
  • Upside part of mean
    2.37413
  • Downside part of mean
    -2.33356
  • Upside SD
    0.69145
  • Downside SD
    0.74815
  • N nonnegative terms
    1259.00000
  • N negative terms
    168.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1427.00000
  • Mean of predictor
    0.40728
  • Mean of criterion
    0.04057
  • SD of predictor
    0.36934
  • SD of criterion
    1.01909
  • Covariance
    -0.04798
  • r
    -0.12746
  • b (slope, estimate of beta)
    -0.35170
  • a (intercept, estimate of alpha)
    0.18381
  • Mean Square Error
    1.02240
  • DF error
    1425.00000
  • t(b)
    -4.85116
  • p(b)
    0.58093
  • t(a)
    0.42328
  • p(a)
    0.49286
  • Lowerbound of 95% confidence interval for beta
    -0.49391
  • Upperbound of 95% confidence interval for beta
    -0.20948
  • Lowerbound of 95% confidence interval for alpha
    -0.66805
  • Upperbound of 95% confidence interval for alpha
    1.03568
  • Treynor index (mean / b)
    -0.11536
  • Jensen alpha (a)
    0.18381
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09824
  • Expected Shortfall on VaR
    0.12141
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00442
  • Expected Shortfall on VaR
    0.01643
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1427.00000
  • Minimum
    0.42595
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.88419
  • Mean of quarter 1
    0.96808
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04033
  • Inter Quartile Range
    0.00000
  • Number outliers low
    168.00000
  • Percentage of outliers low
    0.11773
  • Mean of outliers low
    0.93217
  • Number of outliers high
    175.00000
  • Percentage of outliers high
    0.12263
  • Mean of outliers high
    1.08227
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.85678
  • VaR(95%) (moments method)
    0.00551
  • Expected Shortfall (moments method)
    0.00590
  • Extreme Value Index (regression method)
    0.26321
  • VaR(95%) (regression method)
    0.02358
  • Expected Shortfall (regression method)
    0.06638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.02008
  • Quartile 1
    0.08599
  • Median
    0.14088
  • Quartile 3
    0.33586
  • Maximum
    0.59535
  • Mean of quarter 1
    0.05636
  • Mean of quarter 2
    0.11894
  • Mean of quarter 3
    0.18631
  • Mean of quarter 4
    0.51346
  • Inter Quartile Range
    0.24987
  • 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)
    -24.42230
  • VaR(95%) (moments method)
    0.52935
  • Expected Shortfall (moments method)
    0.52935
  • Extreme Value Index (regression method)
    -2.73821
  • VaR(95%) (regression method)
    0.68986
  • Expected Shortfall (regression method)
    0.69230
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04541
  • Compounded annual return (geometric extrapolation)
    0.04141
  • Calmar ratio (compounded annual return / max draw down)
    0.06955
  • Compounded annual return / average of 25% largest draw downs
    0.08065
  • Compounded annual return / Expected Shortfall lognormal
    0.34104
  • 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
    1.48849
  • Mean of criterion
    0.00000
  • SD of predictor
    0.33593
  • 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
    1.42885
  • Mean of criterion
    0.00000
  • SD of predictor
    0.33436
  • 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)
    0.09800
  • 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?
    -359283000
  • Max Equity Drawdown (num days)
    93
  • 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





















GENERAL DESCRIPTION/BACKGROUND:

GY London Trades the Pound/Yen pair during the London session.

12/6/09 system enhancement...

Signals are now being given at 1 am New York time. This is moved up 2.5 hours to respond to the earlier break outs we have been seeing for a considerable amount of time. Secondly trades will only be taken in the direction of the 50/200 moving average on the HOURLY chart. For example if the 50 period MA is above the 200 period MA on the HOURLY then only long trades will be taken. While this results in fewer trades the win ratio will be greatly increased.


SYSTEM TRADING BASICS:

Long or short trades are always entered between 3:15 - 3:45 am eastern time and almost always exited by 4pm (close of NY session) Most times trades are closed long before that. There could be a second trade if the market reverses. Both trades are given together so that they can be manually entered so you can go to bed if you are not auto trading. You will be given a stop to enter, a stop loss, and a limit to take profit. Use 1st triggers OCO order. There is never more than one open trade. Max risk per trade is 3% of account equity. To be more conservative and limit drawdown you may consider risking only 1-2% of account equity.

I trade my own money in several accounts both by manually entering signals as well as auto trade. The last 12 months back test (not verified by anyone but me) as follows... May08: 5%, June 08: 10%, July 08: -2%: August08: -16%, Sept08: -9%, Oct08: 16%, Nov08 : 24%, Dec 08: 36%, Jan 09: 36%, Feb09: 89% I have been live trading since Jan09. During the previous 12 months the system was 55% winning trades with the winners roughly 1.5 times the size of losses. Biggest draw down during the last year has been 29% when risking 3% equity.













Summary Statistics

Strategy began
2009-02-03
Suggested Minimum Capital
$10,000
# Trades
320
# Profitable
139
% Profitable
43.4%
Correlation S&P500
-0.069
Sharpe Ratio
0.01
Sortino Ratio
0.01
Beta
-0.10
Alpha
0.00

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.