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These are hypothetical performance results that have certain inherent limitations. Learn more
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eurodollarman
(28446938)

Created by: SeanMathews SeanMathews
Started: 10/2007
Forex
Last trade: 6,508 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 $100.00 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.

7.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(59.3%)
Max Drawdown
28
Num Trades
53.6%
Win Trades
1.9 : 1
Profit Factor
2.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                                               +12.5%+9.2%(12.3%)+7.7%
2008(5.5%)+78.8%+12.6%(10.2%)+0.6%(1.2%)(10%)+131.2%  -    -    -    -  +253.2%
2009  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/1/08 5:05 EUR/USD EUR/USD SHORT 2500 1.55593 8/19 4:10 1.46685 10.26%
Trade id #34184065
Max drawdown($17,425)
Time8/4/08 10:22
Quant open-250
Worst price1.56290
Drawdown as % of equity-10.26%
 $222,700.00
7/21/08 8:06 EUR/USD EUR/USD LONG 2500 1.58614 8/1 5:05 1.55603 48.86%
Trade id #33920769
Max drawdown($85,100)
Time7/30/08 9:51
Quant open250
Worst price1.55210
Drawdown as % of equity-48.86%
 ($75,275.00)
6/25/08 17:58 EUR/USD EUR/USD LONG 2500 1.56650 7/15 7:01 1.60089 8.67%
Trade id #33301907
Max drawdown($13,500)
Time7/7/08 3:08
Quant open250
Worst price1.56110
Drawdown as % of equity-8.67%
 $85,975.00
6/19/08 17:27 EUR/USD EUR/USD SHORT 2500 1.55010 6/25 14:51 1.56785 23.73%
Trade id #33040161
Max drawdown($45,000)
Time6/25/08 14:46
Quant open-250
Worst price1.56810
Drawdown as % of equity-23.73%
 ($44,375.00)
6/17/08 9:36 EUR/USD EUR/USD LONG 2500 1.54991 6/19 17:27 1.55013 4.42%
Trade id #32932507
Max drawdown($9,025)
Time6/18/08 6:12
Quant open250
Worst price1.54630
Drawdown as % of equity-4.42%
 $550.00
5/27/08 19:37 EUR/USD EUR/USD SHORT 2110 1.56901 6/17 9:35 1.54978 21.33%
Trade id #32452102
Max drawdown($31,839)
Time6/9/08 3:40
Quant open-211
Worst price1.58410
Drawdown as % of equity-21.33%
 $40,575.30
5/12/08 14:04 EUR/USD EUR/USD LONG 2110 1.55590 5/27 19:37 1.56901 32.15%
Trade id #32189141
Max drawdown($34,604)
Time5/14/08 4:44
Quant open211
Worst price1.53950
Drawdown as % of equity-32.15%
 $27,662.10
5/7/08 12:02 EUR/USD EUR/USD SHORT 2110 1.53720 5/12 14:03 1.55586 29.35%
Trade id #32104520
Max drawdown($41,567)
Time5/12/08 13:13
Quant open-211
Worst price1.55690
Drawdown as % of equity-29.35%
 ($39,372.60)
5/6/08 17:04 EUR/USD EUR/USD LONG 2110 1.55288 5/7 12:02 1.53720 19.23%
Trade id #32086830
Max drawdown($34,350)
Time5/7/08 11:50
Quant open211
Worst price1.53660
Drawdown as % of equity-19.23%
 ($33,084.80)
4/24/08 6:02 EUR/USD EUR/USD SHORT 1720 1.57527 5/6 17:03 1.55292 1.92%
Trade id #31783347
Max drawdown($3,319)
Time4/24/08 8:11
Quant open-172
Worst price1.57720
Drawdown as % of equity-1.92%
 $38,442.00
4/22/08 4:05 EUR/USD EUR/USD LONG 2000 1.58959 4/24 6:01 1.57532 20.74%
Trade id #31666268
Max drawdown($35,780)
Time4/24/08 5:06
Quant open200
Worst price1.57170
Drawdown as % of equity-20.74%
 ($28,540.00)
4/20/08 19:41 EUR/USD EUR/USD SHORT 2180 1.58151 4/22 4:04 1.58973 14.08%
Trade id #31641880
Max drawdown($28,100)
Time4/21/08 8:43
Quant open-218
Worst price1.59440
Drawdown as % of equity-14.08%
 ($17,919.60)
4/7/08 4:32 EUR/USD EUR/USD LONG 1920 1.56763 4/20 19:41 1.58126 0.13%
Trade id #31400452
Max drawdown($249)
Time4/8/08 8:31
Quant open192
Worst price1.56750
Drawdown as % of equity-0.13%
 $26,169.60
4/1/08 8:03 EUR/USD EUR/USD SHORT 1860 1.56720 4/7 4:30 1.56742 9.76%
Trade id #31323987
Max drawdown($18,042)
Time4/4/08 8:35
Quant open-186
Worst price1.57690
Drawdown as % of equity-9.76%
 ($409.20)
3/25/08 16:21 EUR/USD EUR/USD LONG 1830 1.56192 4/1 8:03 1.56721 3.68%
Trade id #31236975
Max drawdown($6,807)
Time3/26/08 2:27
Quant open183
Worst price1.55820
Drawdown as % of equity-3.68%
 $9,680.70
3/20/08 6:31 EUR/USD EUR/USD SHORT 2160 1.54638 3/25 16:21 1.56179 17.55%
Trade id #31172499
Max drawdown($33,307)
Time3/25/08 13:21
Quant open-216
Worst price1.56180
Drawdown as % of equity-17.55%
 ($33,285.60)
2/13/08 3:10 EUR/USD EUR/USD LONG 1000 1.45465 3/20 6:31 1.54673 1.18%
Trade id #30610073
Max drawdown($1,470)
Time2/13/08 9:59
Quant open100
Worst price1.45318
Drawdown as % of equity-1.18%
 $92,080.00
2/5/08 3:06 EUR/USD EUR/USD SHORT 1000 1.47982 2/13 3:08 1.45465 0.18%
Trade id #30485561
Max drawdown($180)
Time2/5/08 3:08
Quant open-100
Worst price1.48000
Drawdown as % of equity-0.18%
 $25,170.00
1/23/08 18:17 EUR/USD EUR/USD LONG 900 1.46271 2/5 3:06 1.47982 3.87%
Trade id #30249552
Max drawdown($3,231)
Time1/24/08 3:00
Quant open90
Worst price1.45912
Drawdown as % of equity-3.87%
 $15,399.00
1/16/08 14:24 EUR/USD EUR/USD SHORT 900 1.46720 1/23 18:17 1.46271 4.13%
Trade id #30133031
Max drawdown($3,330)
Time1/17/08 7:50
Quant open-90
Worst price1.47090
Drawdown as % of equity-4.13%
 $4,041.00
1/11/08 5:07 EUR/USD EUR/USD LONG 900 1.47888 1/16 14:24 1.46720 18.16%
Trade id #30051177
Max drawdown($17,437)
Time1/16/08 11:15
Quant open90
Worst price1.45950
Drawdown as % of equity-18.16%
 ($10,512.00)
12/13/07 18:02 EUR/USD EUR/USD SHORT 1080 1.46220 1/11/08 5:06 1.47868 20.74%
Trade id #29617724
Max drawdown($20,730)
Time1/10/08 12:58
Quant open-108
Worst price1.48140
Drawdown as % of equity-20.74%
 ($17,798.40)
12/10/07 15:04 EUR/USD EUR/USD LONG 1230 1.47118 12/13 18:02 1.46220 13.71%
Trade id #29555849
Max drawdown($16,580)
Time12/13/07 10:49
Quant open123
Worst price1.45770
Drawdown as % of equity-13.71%
 ($11,045.40)
11/28/07 10:25 EUR/USD EUR/USD SHORT 1000 1.47473 12/10 15:03 1.47119 9.54%
Trade id #29396531
Max drawdown($11,165)
Time11/28/07 14:42
Quant open-100
Worst price1.48590
Drawdown as % of equity-9.54%
 $3,540.00
11/14/07 14:31 EUR/USD EUR/USD LONG 1000 1.46685 11/28 10:24 1.47473 8.47%
Trade id #29175524
Max drawdown($8,750)
Time11/16/07 3:23
Quant open100
Worst price1.45810
Drawdown as % of equity-8.47%
 $7,880.00
11/12/07 17:19 EUR/USD EUR/USD SHORT 1000 1.45300 11/14 14:31 1.46685 18.34%
Trade id #29139007
Max drawdown($19,560)
Time11/14/07 9:14
Quant open-100
Worst price1.47256
Drawdown as % of equity-18.34%
 ($13,850.00)
10/11/07 11:14 EUR/USD EUR/USD LONG 1000 1.42269 11/12 17:18 1.45300 10.08%
Trade id #28576194
Max drawdown($10,055)
Time10/22/07 11:49
Quant open100
Worst price1.41263
Drawdown as % of equity-10.08%
 $30,310.00
10/3/07 11:21 EUR/USD EUR/USD SHORT 1000 1.41422 10/11 11:14 1.42269 10.38%
Trade id #28446967
Max drawdown($9,830)
Time10/11/07 10:58
Quant open-100
Worst price1.42405
Drawdown as % of equity-10.38%
 ($8,470.00)

Statistics

  • Strategy began
    10/3/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6828.25
  • Age
    228 months ago
  • What it trades
    Forex
  • # Trades
    28
  • # Profitable
    15
  • % Profitable
    53.60%
  • Avg trade duration
    11.2 days
  • Max peak-to-valley drawdown
    59.3%
  • drawdown period
    March 16, 2008 - May 14, 2008
  • Annual Return (Compounded)
    7.5%
  • Avg win
    $42,011
  • Avg loss
    $25,687
  • Model Account Values (Raw)
  • Cash
    $396,237
  • Margin Used
    $0
  • Buying Power
    $396,237
  • Ratios
  • W:L ratio
    1.89:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.43
  • Calmar Ratio
    0.382
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -92.98%
  • Correlation to SP500
    -0.00360
  • Return Percent SP500 (cumu) during strategy life
    382.69%
  • Return Statistics
  • Ann Return (w trading costs)
    7.5%
  • Slump
  • Current Slump as Pcnt Equity
    2.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.075%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    6.67%
  • Chance of 70% account loss (Monte Carlo)
    6.67%
  • 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
    $25,688
  • Avg Win
    $42,012
  • Sum Trade PL (losers)
    $333,938.000
  • Age
  • Num Months filled monthly returns table
    225
  • Win / Loss
  • Sum Trade PL (winners)
    $630,175.000
  • # Winners
    15
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    13
  • % Winners
    53.6%
  • Frequency
  • Avg Position Time (mins)
    16175.30
  • Avg Position Time (hrs)
    269.59
  • Avg Trade Length
    11.2 days
  • Last Trade Ago
    6508
  • Regression
  • Alpha
    0.02
  • Beta
    -0.00
  • Treynor Index
    -4.98
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.14
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    33.96
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    68.66
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.21
  • MAE:Equity, average, winning trades
    0.08
  • MAE:Equity, average, losing trades
    0.21
  • Avg(MAE) / Avg(PL) - All trades
    1.891
  • 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
    0.24
  • Avg(MAE) / Avg(PL) - Winning trades
    0.246
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.214
  • Hold-and-Hope Ratio
    0.529
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33631
  • SD
    0.56141
  • Sharpe ratio (Glass type estimate)
    0.59905
  • Sharpe ratio (Hedges UMVUE)
    0.59251
  • df
    69.00000
  • t
    1.44684
  • p
    0.07624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22068
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41001
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91350
  • Upside Potential Ratio
    3.49545
  • Upside part of mean
    0.40349
  • Downside part of mean
    -0.06718
  • Upside SD
    0.55388
  • Downside SD
    0.11543
  • N nonnegative terms
    66.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.21738
  • Mean of criterion
    0.33631
  • SD of predictor
    0.24751
  • SD of criterion
    0.56141
  • Covariance
    -0.01185
  • r
    -0.08528
  • b (slope, estimate of beta)
    -0.19343
  • a (intercept, estimate of alpha)
    0.37836
  • Mean Square Error
    0.31750
  • DF error
    68.00000
  • t(b)
    -0.70579
  • p(b)
    0.75863
  • t(a)
    1.57137
  • p(a)
    0.06037
  • Lowerbound of 95% confidence interval for beta
    -0.74032
  • Upperbound of 95% confidence interval for beta
    0.35346
  • Lowerbound of 95% confidence interval for alpha
    -0.10212
  • Upperbound of 95% confidence interval for alpha
    0.85884
  • Treynor index (mean / b)
    -1.73866
  • Jensen alpha (a)
    0.37836
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23033
  • SD
    0.41538
  • Sharpe ratio (Glass type estimate)
    0.55451
  • Sharpe ratio (Hedges UMVUE)
    0.54846
  • df
    69.00000
  • t
    1.33927
  • p
    0.09244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26819
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36510
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74161
  • Upside Potential Ratio
    2.30991
  • Upside part of mean
    0.30549
  • Downside part of mean
    -0.07516
  • Upside SD
    0.39624
  • Downside SD
    0.13225
  • N nonnegative terms
    66.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.18473
  • Mean of criterion
    0.23033
  • SD of predictor
    0.25321
  • SD of criterion
    0.41538
  • Covariance
    -0.00805
  • r
    -0.07652
  • b (slope, estimate of beta)
    -0.12553
  • a (intercept, estimate of alpha)
    0.25352
  • Mean Square Error
    0.17405
  • DF error
    68.00000
  • t(b)
    -0.63286
  • p(b)
    0.73553
  • t(a)
    1.43574
  • p(a)
    0.07783
  • Lowerbound of 95% confidence interval for beta
    -0.52134
  • Upperbound of 95% confidence interval for beta
    0.27028
  • Lowerbound of 95% confidence interval for alpha
    -0.09884
  • Upperbound of 95% confidence interval for alpha
    0.60588
  • Treynor index (mean / b)
    -1.83488
  • Jensen alpha (a)
    0.25352
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16309
  • Expected Shortfall on VaR
    0.20322
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00040
  • Expected Shortfall on VaR
    0.00637
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    70.00000
  • Minimum
    0.73842
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.00326
  • Mean of quarter 1
    0.97823
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.13076
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.05714
  • Mean of outliers low
    0.90203
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.12857
  • Mean of outliers high
    1.26152
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -94.73460
  • VaR(95%) (moments method)
    -59.37620
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.33878
  • VaR(95%) (regression method)
    0.01159
  • Expected Shortfall (regression method)
    0.16138
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00000
  • Quartile 1
    0.03371
  • Median
    0.06514
  • Quartile 3
    0.12939
  • Maximum
    0.26159
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.04495
  • Mean of quarter 3
    0.08533
  • Mean of quarter 4
    0.26159
  • Inter Quartile Range
    0.09568
  • 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)
    0.48563
  • Compounded annual return (geometric extrapolation)
    0.25902
  • Calmar ratio (compounded annual return / max draw down)
    0.99019
  • Compounded annual return / average of 25% largest draw downs
    0.99019
  • Compounded annual return / Expected Shortfall lognormal
    1.27458
  • 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
    1.28674
  • SD
    1.69402
  • Sharpe ratio (Glass type estimate)
    0.75958
  • Sharpe ratio (Hedges UMVUE)
    0.75921
  • df
    1531.00000
  • t
    1.83676
  • p
    0.47016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57043
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57019
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79048
  • Upside Potential Ratio
    4.71364
  • Upside part of mean
    3.38749
  • Downside part of mean
    -2.10075
  • Upside SD
    1.53547
  • Downside SD
    0.71866
  • N nonnegative terms
    1409.00000
  • N negative terms
    123.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1532.00000
  • Mean of predictor
    0.39926
  • Mean of criterion
    1.28674
  • SD of predictor
    0.58567
  • SD of criterion
    1.69402
  • Covariance
    -0.25539
  • r
    -0.25742
  • b (slope, estimate of beta)
    -0.74456
  • a (intercept, estimate of alpha)
    1.58400
  • Mean Square Error
    2.68129
  • DF error
    1530.00000
  • t(b)
    -10.42000
  • p(b)
    0.62871
  • t(a)
    2.33712
  • p(a)
    0.47018
  • Lowerbound of 95% confidence interval for beta
    -0.88472
  • Upperbound of 95% confidence interval for beta
    -0.60440
  • Lowerbound of 95% confidence interval for alpha
    0.25457
  • Upperbound of 95% confidence interval for alpha
    2.91346
  • Treynor index (mean / b)
    -1.72820
  • Jensen alpha (a)
    1.58402
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22978
  • SD
    1.39848
  • Sharpe ratio (Glass type estimate)
    0.16431
  • Sharpe ratio (Hedges UMVUE)
    0.16423
  • df
    1531.00000
  • t
    0.39732
  • p
    0.49354
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97478
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24735
  • Upside Potential Ratio
    2.89724
  • Upside part of mean
    2.69151
  • Downside part of mean
    -2.46173
  • Upside SD
    1.04482
  • Downside SD
    0.92899
  • N nonnegative terms
    1409.00000
  • N negative terms
    123.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1532.00000
  • Mean of predictor
    0.22833
  • Mean of criterion
    0.22978
  • SD of predictor
    0.58572
  • SD of criterion
    1.39848
  • Covariance
    -0.23523
  • r
    -0.28717
  • b (slope, estimate of beta)
    -0.68566
  • a (intercept, estimate of alpha)
    0.38634
  • Mean Square Error
    1.79564
  • DF error
    1530.00000
  • t(b)
    -11.72660
  • p(b)
    0.64358
  • t(a)
    0.69697
  • p(a)
    0.49109
  • Lowerbound of 95% confidence interval for beta
    -0.80035
  • Upperbound of 95% confidence interval for beta
    -0.57097
  • Lowerbound of 95% confidence interval for alpha
    -0.70096
  • Upperbound of 95% confidence interval for alpha
    1.47364
  • Treynor index (mean / b)
    -0.33513
  • Jensen alpha (a)
    0.38634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13171
  • Expected Shortfall on VaR
    0.16208
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00221
  • Expected Shortfall on VaR
    0.01228
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1532.00000
  • Minimum
    0.40449
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3.16068
  • Mean of quarter 1
    0.96793
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05172
  • Inter Quartile Range
    0.00000
  • Number outliers low
    123.00000
  • Percentage of outliers low
    0.08029
  • Mean of outliers low
    0.90013
  • Number of outliers high
    124.00000
  • Percentage of outliers high
    0.08094
  • Mean of outliers high
    1.15974
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -19.56520
  • VaR(95%) (moments method)
    0.00003
  • Expected Shortfall (moments method)
    0.00003
  • Extreme Value Index (regression method)
    0.09236
  • VaR(95%) (regression method)
    0.02288
  • Expected Shortfall (regression method)
    0.08620
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00243
  • Quartile 1
    0.02902
  • Median
    0.24523
  • Quartile 3
    0.57609
  • Maximum
    0.67569
  • Mean of quarter 1
    0.01329
  • Mean of quarter 2
    0.19088
  • Mean of quarter 3
    0.48040
  • Mean of quarter 4
    0.62339
  • Inter Quartile Range
    0.54708
  • 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)
    -0.12387
  • VaR(95%) (moments method)
    0.64616
  • Expected Shortfall (moments method)
    0.68268
  • Extreme Value Index (regression method)
    0.40167
  • VaR(95%) (regression method)
    0.63359
  • Expected Shortfall (regression method)
    0.71113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48447
  • Compounded annual return (geometric extrapolation)
    0.25833
  • Calmar ratio (compounded annual return / max draw down)
    0.38231
  • Compounded annual return / average of 25% largest draw downs
    0.41439
  • Compounded annual return / Expected Shortfall lognormal
    1.59383
  • 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
    1.74105
  • Mean of criterion
    0.00000
  • SD of predictor
    0.67250
  • 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
    1.51898
  • Mean of criterion
    0.00000
  • SD of predictor
    0.65760
  • 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)
    0.13200
  • 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?
    -359907000
  • Max Equity Drawdown (num days)
    59
  • 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

simple swing technical analysis system for the EUR/USD.

Summary Statistics

Strategy began
2007-10-03
Suggested Minimum Capital
$100,000
# Trades
28
# Profitable
15
% Profitable
53.6%
Correlation S&P500
-0.004
Sharpe Ratio
0.27
Sortino Ratio
0.43
Beta
-0.00
Alpha
0.02

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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Suggested Minimum Capital

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