Collective2 Collective2
Featured Strategy S2Prox0 +51.8% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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PCINDIA
(26342409)

Created by: PRASHANTCHANDOLA PRASHANTCHANDOLA
Started: 05/2007
Forex
Last trade: 5,144 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 $350.00 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
166
Num Trades
97.0%
Win Trades
0.5 : 1
Profit Factor
27.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                            (0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(3.1%)
2008(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(4.7%)
2009(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(2.4%)+14.8%+17.5%+5.3%+34.0%
2010(19.4%)+7.0%+25.6%(8.3%)(61.4%)(22.6%)+149.5%(34.7%)+112.3%+14.8%(42.5%)+23.7%(16.1%)
2011+24.6%+5.9%+14.2%+32.7%(13.8%)+2.3%(9.8%)+2.6%(40.1%)+46.6%(31.2%)(38.1%)(38.8%)
2012+18.8%+45.5%(3.9%)(10.9%)(71.9%)+93.9%(55.6%)+85.6%+45.1%+19.1%+1.5%+38.4%+61.7%
2013+23.6%(14.7%)(14.5%)+19.6%(3.8%)+10.8%+6.8%(3.2%)+17.7%+8.9%(4.3%)+12.6%+64.0%
2014(8.2%)+8.2%+1.6%+2.3%(11.5%)+3.4%(10.6%)(12.9%)(22.4%)(6.4%)+2.8%(21.2%)(56.7%)
2015(88.7%)(49.4%)(609%)(144.8%)(201.9%)(128.6%)(355.8%)(249.7%)(47.5%)(217.9%)(418.3%)(61.1%)(118.2%)
2016(10.4%)(35.6%)(156%)(26.1%)(167.8%)(313.4%)(5.7%)(33.9%)(11.7%)(90.2%)(53%)(2.4%)(219.4%)
2017(19.4%)(33.2%)(13.5%)(41.1%)(61.6%)(213.7%)+240.2%+30.5%(21.1%)(21%)+65.0%+17.6%(228.3%)
2018+58.4%(26.9%)+10.4%(17.8%)(52.1%)(24.7%)+57.0%(24.6%)(7.7%)(50.2%)(26.8%)(0.5%)(85%)
2019+36.3%(19.3%)(113%)(106%)(5145.7%)  -  (492%)(63.7%)(41.6%)(20.3%)(68.4%)(168.6%)
2020(232.7%)(3.1%)(38.7%)(10.7%)(9.9%)(82.4%)(818.2%)+57.0%(52.8%)+1.3%+104.8%+35.4%(1108.4%)
2021(13.7%)+10.4%(33.9%)+45.1%+24.8%(26.2%)(12.5%)(11.7%)(35%)+3.6%(74.5%)(74.1%)(97.1%)
2022(283.8%)(297.1%)(153.7%)(393.8%)(34.7%)(72.3%)(42.8%)(29.3%)(9.8%)(10.9%)(44.3%)(44.4%)(1347.8%)
2023(52.3%)(180%)(66.7%)(162%)(312.2%)(130%)+144.7%(153.9%)(256.4%)(4.8%)(147.7%)+23.5%(151%)
2024(80.8%)+7.0%(124.5%)(583.2%)                                                

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/12/10 5:52 USD/CHF USD/CHF LONG 10 1.05952 4/2 11:23 1.06369 1.01%
Trade id #47502542
Max drawdown($1,510)
Time4/1/10 11:46
Quant open10
Worst price1.04348
Drawdown as % of equity-1.01%
 $361
3/19/10 8:54 GBP/USD GBP/USD LONG 10 1.51410 4/1 6:25 1.52279 2.35%
Trade id #47685180
Max drawdown($3,100)
Time3/26/10 9:42
Quant open10
Worst price1.48310
Drawdown as % of equity-2.35%
 $869
2/23/10 11:32 GBP/JPY GBP/JPY LONG 10 139.351 3/31 11:22 141.759 6.56%
Trade id #47190359
Max drawdown($7,300)
Time3/2/10 10:36
Quant open10
Worst price132.521
Drawdown as % of equity-6.56%
 $2,574
3/24/10 16:19 USD/JPY USD/JPY SHORT 5 92.400 3/24 21:22 91.800 n/a $325
3/17/10 5:36 CHF/JPY CHF/JPY SHORT 5 85.970 3/18 2:00 85.194 0%
Trade id #47592045
Max drawdown$0
Time3/17/10 10:29
Quant open-5
Worst price85.970
Drawdown as % of equity0.00%
 $430
2/26/10 10:50 EUR/GBP EUR/GBP SHORT 30 0.90557 3/17 5:36 0.89957 2.89%
Trade id #47277784
Max drawdown($3,528)
Time3/10/10 11:04
Quant open-30
Worst price0.91338
Drawdown as % of equity-2.89%
 $2,759
2/26/10 10:51 CHF/JPY CHF/JPY SHORT 10 82.799 3/1 6:47 82.579 0.26%
Trade id #47277809
Max drawdown($307)
Time2/26/10 11:42
Quant open-10
Worst price83.073
Drawdown as % of equity-0.26%
 $247
2/26/10 10:52 USD/CHF USD/CHF LONG 10 1.07330 3/1 5:57 1.07566 0.3%
Trade id #47277826
Max drawdown($354)
Time2/26/10 11:42
Quant open10
Worst price1.06948
Drawdown as % of equity-0.30%
 $204
2/23/10 6:53 USD/CHF USD/CHF SHORT 10 1.08145 2/26 4:45 1.07602 0.49%
Trade id #47177532
Max drawdown($599)
Time2/24/10 23:28
Quant open-10
Worst price1.08791
Drawdown as % of equity-0.49%
 $469
2/24/10 10:38 AUD/USD AUD/USD SHORT 5 0.93900 2/24 10:39 0.89449 n/a $2,226
2/16/10 12:10 USD/JPY USD/JPY SHORT 10 90.371 2/23 11:31 90.162 1.65%
Trade id #47069548
Max drawdown($1,990)
Time2/19/10 11:23
Quant open-10
Worst price92.150
Drawdown as % of equity-1.65%
 $226
2/17/10 11:41 USD/CHF USD/CHF SHORT 10 1.07749 2/22 23:55 1.07387 0.97%
Trade id #47092632
Max drawdown($1,145)
Time2/19/10 2:23
Quant open-10
Worst price1.08986
Drawdown as % of equity-0.97%
 $313
1/21/10 3:47 CAD/JPY CAD/JPY LONG 5 87.447 2/22 0:58 88.219 2.59%
Trade id #46521021
Max drawdown($2,764)
Time2/4/10 11:44
Quant open5
Worst price82.384
Drawdown as % of equity-2.59%
 $422
2/16/10 12:10 CHF/JPY CHF/JPY SHORT 10 84.748 2/18 6:40 84.236 0.26%
Trade id #47069535
Max drawdown($334)
Time2/17/10 9:21
Quant open-10
Worst price85.052
Drawdown as % of equity-0.26%
 $563
2/16/10 12:11 USD/CHF USD/CHF LONG 10 1.06660 2/17 11:41 1.07758 0.09%
Trade id #47069575
Max drawdown($119)
Time2/16/10 15:38
Quant open10
Worst price1.06533
Drawdown as % of equity-0.09%
 $949
2/11/10 12:27 GBP/CHF GBP/CHF SHORT 10 1.68315 2/16 12:09 1.68193 0.93%
Trade id #46997684
Max drawdown($1,111)
Time2/12/10 3:39
Quant open-10
Worst price1.69510
Drawdown as % of equity-0.93%
 $114
2/12/10 2:06 USD/CHF USD/CHF SHORT 10 1.07178 2/16 12:09 1.06671 0.86%
Trade id #47007231
Max drawdown($1,026)
Time2/12/10 6:28
Quant open-10
Worst price1.08282
Drawdown as % of equity-0.86%
 $438
2/9/10 4:24 EUR/CHF EUR/CHF SHORT 10 1.46789 2/11 12:27 1.46590 0.1%
Trade id #46936839
Max drawdown($128)
Time2/9/10 12:39
Quant open-10
Worst price1.46926
Drawdown as % of equity-0.10%
 $185
2/9/10 4:24 EUR/GBP EUR/GBP SHORT 10 0.88054 2/11 12:27 0.87091 0.45%
Trade id #46936833
Max drawdown($568)
Time2/11/10 4:18
Quant open-10
Worst price0.88416
Drawdown as % of equity-0.45%
 $1,510
1/12/10 7:13 GBP/CHF GBP/CHF SHORT 40 1.67253 2/9 4:36 1.66518 12.1%
Trade id #46344485
Max drawdown($14,519)
Time1/28/10 8:37
Quant open-40
Worst price1.71132
Drawdown as % of equity-12.10%
 $2,751
1/14/10 11:04 EUR/GBP EUR/GBP LONG 30 0.87879 2/9 4:21 0.88038 7.21%
Trade id #46407516
Max drawdown($8,656)
Time1/28/10 9:42
Quant open30
Worst price0.86027
Drawdown as % of equity-7.21%
 $744
1/26/10 4:57 CHF/JPY CHF/JPY LONG 10 85.788 1/28 2:53 86.029 0.63%
Trade id #46617667
Max drawdown($784)
Time1/27/10 2:18
Quant open10
Worst price85.079
Drawdown as % of equity-0.63%
 $266
1/26/10 4:58 USD/JPY USD/JPY LONG 5 89.519 1/28 2:52 90.374 0.17%
Trade id #46617673
Max drawdown($212)
Time1/27/10 12:44
Quant open5
Worst price89.137
Drawdown as % of equity-0.17%
 $463
1/25/10 1:16 USD/JPY USD/JPY SHORT 10 90.131 1/26 1:48 89.670 0.36%
Trade id #46581890
Max drawdown($472)
Time1/25/10 20:43
Quant open-10
Worst price90.555
Drawdown as % of equity-0.36%
 $499
1/14/10 4:38 EUR/AUD EUR/AUD LONG 5 1.56064 1/26 1:47 1.57097 0.22%
Trade id #46398028
Max drawdown($311)
Time1/14/10 10:30
Quant open5
Worst price1.55370
Drawdown as % of equity-0.22%
 $464
1/25/10 4:09 GBP/JPY GBP/JPY SHORT 5 145.795 1/26 1:47 145.241 0.64%
Trade id #46583544
Max drawdown($836)
Time1/25/10 20:40
Quant open-5
Worst price147.303
Drawdown as % of equity-0.64%
 $308
1/22/10 7:54 GBP/USD GBP/USD LONG 10 1.61087 1/26 1:47 1.61953 0.01%
Trade id #46555183
Max drawdown($15)
Time1/22/10 10:31
Quant open10
Worst price1.61072
Drawdown as % of equity-0.01%
 $866
1/20/10 7:02 USD/CHF USD/CHF SHORT 5 1.04368 1/22 7:11 1.04049 0.22%
Trade id #46495199
Max drawdown($279)
Time1/21/10 5:54
Quant open-5
Worst price1.04950
Drawdown as % of equity-0.22%
 $138
1/20/10 4:42 USD/JPY USD/JPY SHORT 5 90.874 1/21 23:12 89.856 0.44%
Trade id #46493589
Max drawdown($555)
Time1/21/10 8:26
Quant open-5
Worst price91.874
Drawdown as % of equity-0.44%
 $551
12/29/09 4:19 AUD/JPY AUD/JPY SHORT 20 83.855 1/21/10 23:12 82.648 3.35%
Trade id #46091668
Max drawdown($4,682)
Time1/11/10 4:50
Quant open-10
Worst price86.127
Drawdown as % of equity-3.35%
 $2,682
Next

Statistics

  • Strategy began
    5/11/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6196.69
  • Age
    207 months ago
  • What it trades
    Forex
  • # Trades
    166
  • # Profitable
    161
  • % Profitable
    97.00%
  • Avg trade duration
    66.5 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    May 01, 2019 - Sept 25, 2022
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $608.37
  • Avg loss
    $37,334
  • Model Account Values (Raw)
  • Cash
    $174,395
  • Margin Used
    $22,451
  • Buying Power
    $63,483
  • Ratios
  • W:L ratio
    0.52:1
  • Sharpe Ratio
    -0.33
  • Sortino Ratio
    -0.35
  • Calmar Ratio
    -0.246
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -342.25%
  • Correlation to SP500
    0.11970
  • Return Percent SP500 (cumu) during strategy life
    233.26%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • 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
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -12.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    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
    $37,335
  • Avg Win
    $608
  • Sum Trade PL (losers)
    $186,674.000
  • Age
  • Num Months filled monthly returns table
    95
  • Win / Loss
  • Sum Trade PL (winners)
    $97,947.000
  • # Winners
    161
  • Num Months Winners
    36
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    5
  • % Winners
    97.0%
  • Frequency
  • Avg Position Time (mins)
    95734.30
  • Avg Position Time (hrs)
    1595.57
  • Avg Trade Length
    66.5 days
  • Last Trade Ago
    5139
  • Regression
  • Alpha
    0.00
  • Beta
    0.90
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.25
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    75.12
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.31
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -5.274
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    2.100
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.397
  • Hold-and-Hope Ratio
    -0.335
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    17599.40000
  • SD
    24075.00000
  • Sharpe ratio (Glass type estimate)
    0.73102
  • Sharpe ratio (Hedges UMVUE)
    0.72359
  • df
    74.00000
  • t
    1.82756
  • p
    0.03582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52137
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06902
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51619
  • Statistics related to Sortino ratio
  • Sortino ratio
    15613.60000
  • Upside Potential Ratio
    15615.10000
  • Upside part of mean
    17601.10000
  • Downside part of mean
    -1.78340
  • Upside SD
    24447.60000
  • Downside SD
    1.12718
  • N nonnegative terms
    44.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.18454
  • Mean of criterion
    17599.40000
  • SD of predictor
    0.26586
  • SD of criterion
    24075.00000
  • Covariance
    408.14000
  • r
    0.06377
  • b (slope, estimate of beta)
    5774.55000
  • a (intercept, estimate of alpha)
    16533.70000
  • Mean Square Error
    585155000.00000
  • DF error
    73.00000
  • t(b)
    0.54594
  • p(b)
    0.29339
  • t(a)
    1.67499
  • p(a)
    0.04911
  • Lowerbound of 95% confidence interval for beta
    -15305.90000
  • Upperbound of 95% confidence interval for beta
    26855.00000
  • Lowerbound of 95% confidence interval for alpha
    -3139.00000
  • Upperbound of 95% confidence interval for alpha
    36206.40000
  • Treynor index (mean / b)
    3.04775
  • Jensen alpha (a)
    16533.70000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.84207
  • SD
    12.01200
  • Sharpe ratio (Glass type estimate)
    -0.15335
  • Sharpe ratio (Hedges UMVUE)
    -0.15179
  • df
    74.00000
  • t
    -0.38338
  • p
    0.64873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93723
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63152
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63257
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20998
  • Upside Potential Ratio
    0.84616
  • Upside part of mean
    7.42301
  • Downside part of mean
    -9.26508
  • Upside SD
    8.10480
  • Downside SD
    8.77263
  • N nonnegative terms
    44.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.14907
  • Mean of criterion
    -1.84207
  • SD of predictor
    0.26376
  • SD of criterion
    12.01200
  • Covariance
    -0.05430
  • r
    -0.01714
  • b (slope, estimate of beta)
    -0.78055
  • a (intercept, estimate of alpha)
    -1.72571
  • Mean Square Error
    146.22100
  • DF error
    73.00000
  • t(b)
    -0.14646
  • p(b)
    0.55802
  • t(a)
    -0.35206
  • p(a)
    0.63710
  • Lowerbound of 95% confidence interval for beta
    -11.40210
  • Upperbound of 95% confidence interval for beta
    9.84102
  • Lowerbound of 95% confidence interval for alpha
    -11.49480
  • Upperbound of 95% confidence interval for alpha
    8.04336
  • Treynor index (mean / b)
    2.35995
  • Jensen alpha (a)
    -1.72571
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99714
  • Expected Shortfall on VaR
    0.99889
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.30003
  • Expected Shortfall on VaR
    0.62349
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    75.00000
  • Minimum
    0.00002
  • Quartile 1
    0.86923
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    45118.00000
  • Mean of quarter 1
    0.44914
  • Mean of quarter 2
    0.96421
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    5790.85000
  • Inter Quartile Range
    0.13077
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.16000
  • Mean of outliers low
    0.24744
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.18667
  • Mean of outliers high
    7858.64000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11245
  • VaR(95%) (moments method)
    0.43950
  • Expected Shortfall (moments method)
    0.66914
  • Extreme Value Index (regression method)
    -4.00582
  • VaR(95%) (regression method)
    0.65482
  • Expected Shortfall (regression method)
    0.65546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.11259
  • Quartile 1
    0.34817
  • Median
    0.48667
  • Quartile 3
    0.65998
  • Maximum
    1.00000
  • Mean of quarter 1
    0.11259
  • Mean of quarter 2
    0.42670
  • Mean of quarter 3
    0.54664
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.31180
  • 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)
    -0.16000
  • Compounded annual return (geometric extrapolation)
    -0.84151
  • Calmar ratio (compounded annual return / max draw down)
    -0.84151
  • Compounded annual return / average of 25% largest draw downs
    -0.84151
  • Compounded annual return / Expected Shortfall lognormal
    -0.84245
  • 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
    11627.40000
  • SD
    9148.93000
  • Sharpe ratio (Glass type estimate)
    1.27090
  • Sharpe ratio (Hedges UMVUE)
    1.27032
  • df
    1644.00000
  • t
    3.18451
  • p
    0.46085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05372
  • Statistics related to Sortino ratio
  • Sortino ratio
    5398.54000
  • Upside Potential Ratio
    5403.04000
  • Upside part of mean
    11637.10000
  • Downside part of mean
    -9.70294
  • Upside SD
    9174.32000
  • Downside SD
    2.15380
  • N nonnegative terms
    1160.00000
  • N negative terms
    485.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1645.00000
  • Mean of predictor
    0.36399
  • Mean of criterion
    11627.40000
  • SD of predictor
    0.58820
  • SD of criterion
    9148.93000
  • Covariance
    64.11100
  • r
    0.01191
  • b (slope, estimate of beta)
    185.30200
  • a (intercept, estimate of alpha)
    11559.90000
  • Mean Square Error
    83742000.00000
  • DF error
    1643.00000
  • t(b)
    0.48293
  • p(b)
    0.49242
  • t(a)
    3.16299
  • p(a)
    0.45052
  • Lowerbound of 95% confidence interval for beta
    -567.29500
  • Upperbound of 95% confidence interval for beta
    937.89800
  • Lowerbound of 95% confidence interval for alpha
    4391.47000
  • Upperbound of 95% confidence interval for alpha
    18728.40000
  • Treynor index (mean / b)
    62.74830
  • Jensen alpha (a)
    11559.90000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28244
  • SD
    18.80800
  • Sharpe ratio (Glass type estimate)
    -0.01502
  • Sharpe ratio (Hedges UMVUE)
    -0.01501
  • df
    1644.00000
  • t
    -0.03763
  • p
    0.50046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79721
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.76718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76719
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02106
  • Upside Potential Ratio
    2.21298
  • Upside part of mean
    29.67800
  • Downside part of mean
    -29.96040
  • Upside SD
    13.17860
  • Downside SD
    13.41090
  • N nonnegative terms
    1160.00000
  • N negative terms
    485.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1645.00000
  • Mean of predictor
    0.19215
  • Mean of criterion
    -0.28244
  • SD of predictor
    0.58713
  • SD of criterion
    18.80800
  • Covariance
    0.47809
  • r
    0.04329
  • b (slope, estimate of beta)
    1.38689
  • a (intercept, estimate of alpha)
    -0.54893
  • Mean Square Error
    353.29300
  • DF error
    1643.00000
  • t(b)
    1.75655
  • p(b)
    0.47245
  • t(a)
    -0.07316
  • p(a)
    0.50115
  • Lowerbound of 95% confidence interval for beta
    -0.16175
  • Upperbound of 95% confidence interval for beta
    2.93552
  • Lowerbound of 95% confidence interval for alpha
    -15.26500
  • Upperbound of 95% confidence interval for alpha
    14.16720
  • Treynor index (mean / b)
    -0.20365
  • Jensen alpha (a)
    -0.54893
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.85227
  • Expected Shortfall on VaR
    0.90183
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05495
  • Expected Shortfall on VaR
    0.13843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1645.00000
  • Minimum
    0.00008
  • Quartile 1
    0.99091
  • Median
    1.00000
  • Quartile 3
    1.00896
  • Maximum
    13085.00000
  • Mean of quarter 1
    0.85290
  • Mean of quarter 2
    0.99923
  • Mean of quarter 3
    1.00079
  • Mean of quarter 4
    178.77200
  • Inter Quartile Range
    0.01806
  • Number outliers low
    285.00000
  • Percentage of outliers low
    0.17325
  • Mean of outliers low
    0.79624
  • Number of outliers high
    279.00000
  • Percentage of outliers high
    0.16961
  • Mean of outliers high
    262.87000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.04449
  • VaR(95%) (moments method)
    0.08653
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.29125
  • VaR(95%) (regression method)
    0.09950
  • Expected Shortfall (regression method)
    0.13357
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00043
  • Quartile 1
    0.02058
  • Median
    0.10552
  • Quartile 3
    0.25354
  • Maximum
    1.00000
  • Mean of quarter 1
    0.00621
  • Mean of quarter 2
    0.07312
  • Mean of quarter 3
    0.15629
  • Mean of quarter 4
    0.69537
  • Inter Quartile Range
    0.23296
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.88706
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.91986
  • VaR(95%) (moments method)
    0.55995
  • Expected Shortfall (moments method)
    0.56051
  • Extreme Value Index (regression method)
    -0.43128
  • VaR(95%) (regression method)
    0.78891
  • Expected Shortfall (regression method)
    0.93623
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13223
  • Compounded annual return (geometric extrapolation)
    -0.24605
  • Calmar ratio (compounded annual return / max draw down)
    -0.24606
  • Compounded annual return / average of 25% largest draw downs
    -0.35385
  • Compounded annual return / Expected Shortfall lognormal
    -0.27284
  • 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
    30258.20000
  • SD
    13866.50000
  • Sharpe ratio (Glass type estimate)
    2.18210
  • Sharpe ratio (Hedges UMVUE)
    2.16949
  • df
    130.00000
  • t
    1.54298
  • p
    0.43295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96245
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61484
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95381
  • Statistics related to Sortino ratio
  • Sortino ratio
    8128.83000
  • Upside Potential Ratio
    8135.62000
  • Upside part of mean
    30283.50000
  • Downside part of mean
    -25.29510
  • Upside SD
    13939.40000
  • Downside SD
    3.72233
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.48268
  • Mean of criterion
    30258.20000
  • SD of predictor
    0.69691
  • SD of criterion
    13866.50000
  • Covariance
    700.36600
  • r
    0.07247
  • b (slope, estimate of beta)
    1442.01000
  • a (intercept, estimate of alpha)
    28120.10000
  • Mean Square Error
    192754000.00000
  • DF error
    129.00000
  • t(b)
    0.82531
  • p(b)
    0.45390
  • t(a)
    1.41989
  • p(a)
    0.42123
  • Lowerbound of 95% confidence interval for beta
    -2014.94000
  • Upperbound of 95% confidence interval for beta
    4898.96000
  • Lowerbound of 95% confidence interval for alpha
    -11063.60000
  • Upperbound of 95% confidence interval for alpha
    67303.90000
  • Treynor index (mean / b)
    20.98330
  • Jensen alpha (a)
    28120.10000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.70024
  • SD
    32.33370
  • Sharpe ratio (Glass type estimate)
    -0.05258
  • Sharpe ratio (Hedges UMVUE)
    -0.05228
  • df
    130.00000
  • t
    -0.03718
  • p
    0.50163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71923
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71953
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07367
  • Upside Potential Ratio
    3.64172
  • Upside part of mean
    84.05310
  • Downside part of mean
    -85.75340
  • Upside SD
    22.46740
  • Downside SD
    23.08060
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.21653
  • Mean of criterion
    -1.70024
  • SD of predictor
    0.74568
  • SD of criterion
    32.33370
  • Covariance
    5.16684
  • r
    0.21430
  • b (slope, estimate of beta)
    9.29229
  • a (intercept, estimate of alpha)
    -13.00460
  • Mean Square Error
    1005.19000
  • DF error
    129.00000
  • t(b)
    2.49185
  • p(b)
    0.36462
  • t(a)
    -0.28857
  • p(a)
    0.51617
  • VAR (95 Confidence Intrvl)
    0.85200
  • Lowerbound of 95% confidence interval for beta
    1.91423
  • Upperbound of 95% confidence interval for beta
    16.67040
  • Lowerbound of 95% confidence interval for alpha
    -102.16900
  • Upperbound of 95% confidence interval for alpha
    76.15990
  • Treynor index (mean / b)
    -0.18297
  • Jensen alpha (a)
    -13.00460
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.96283
  • Expected Shortfall on VaR
    0.98027
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19003
  • Expected Shortfall on VaR
    0.40962
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00009
  • Quartile 1
    0.90653
  • Median
    1.00000
  • Quartile 3
    1.09937
  • Maximum
    8821.00000
  • Mean of quarter 1
    0.64072
  • Mean of quarter 2
    0.97602
  • Mean of quarter 3
    1.02847
  • Mean of quarter 4
    459.81300
  • Inter Quartile Range
    0.19284
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.30375
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1082.18000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38611
  • VaR(95%) (moments method)
    0.32422
  • Expected Shortfall (moments method)
    0.63737
  • Extreme Value Index (regression method)
    -1.16117
  • VaR(95%) (regression method)
    0.30105
  • Expected Shortfall (regression method)
    0.32113
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.07744
  • Quartile 1
    0.10766
  • Median
    0.30647
  • Quartile 3
    0.50423
  • Maximum
    0.99999
  • Mean of quarter 1
    0.09310
  • Mean of quarter 2
    0.20709
  • Mean of quarter 3
    0.44544
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.39656
  • 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)
    -23856100000.00000
  • VaR(95%) (moments method)
    0.84948
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -17.27100
  • VaR(95%) (regression method)
    63.63570
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    63.63570
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365950000
  • Max Equity Drawdown (num days)
    1243
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.14527
  • Compounded annual return (geometric extrapolation)
    -0.81736
  • Calmar ratio (compounded annual return / max draw down)
    -0.81737
  • Compounded annual return / average of 25% largest draw downs
    -0.81737
  • Compounded annual return / Expected Shortfall lognormal
    -0.83381

Strategy Description

Check the closed trades for performance!

" TRADED AGAINST THE TREND "
With a clear definition of a starting and a started trend, this order-setting based trading system is traded on the most likely reversal points to a developing trend. Each trade has the potential of about 75- 200 pips with an average duration of 6-24 hours..
The mode of analysis for the pair under review is technical in nature and returns the two most likely reversal points on each side of the price. we take a position on the first expected reversal. In case of failure of the first point, the second reversal becomes 'almost a cinch' and a movement back to the first point becomes inevitable.

Further explained here:

Price X- If price goes up, Point A is the first reversal. If that fails, then point B is the sure reversal.

Price X- If price goes down, point C is the first reversal. If it fails, then point D is the sure reversal.

Advanced orders are set at all four points. All four points develop in the course of time as the perfect reversals, either up or down. The extra time consumed by the trade ( in the event of first point failure ), is adequately covered by 3- pairs-portfolio-designing. ( Read below )

How to set up your risk management style:
- Use 1 %margin. That means, for every 2500 pips that you may have in your account, you should trade 1 lot. Even with that conservative approach, you are looking at making about 10% on a 250 Pip trade.

- To cover up the draw downs because of the first point failure, consider making a portfolio with at least 3 different positions. All these positions close one by one and the cycle continues with newer order settings.

- Remember that for every lot that you trade, you must have 2500 pips in your account. 3 positions would mean 3*2500= 7500 pips. Maintain that mathematics to keep your draw downs below 10%.

- currencies traded are:
gbp/eur/usd/chf/cad/aud/nzd/jpy

Summary Statistics

Strategy began
2007-05-11
Suggested Minimum Capital
$100,000
# Trades
166
# Profitable
161
% Profitable
97.0%
Correlation S&P500
0.120
Sharpe Ratio
-0.33
Sortino Ratio
-0.35
Beta
0.90
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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