Collective2 Collective2
Featured Strategy Easiest +108.7% Annual Return (Compounded) since Mar 27, 2023 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...

Wave Segregation Index - WSI
(29213458)

Created by: AhmadTawfik AhmadTawfik
Started: 11/2007
Forex
Last trade: 5,660 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 $65.00 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.

2.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(76.3%)
Max Drawdown
55
Num Trades
56.4%
Win Trades
1.9 : 1
Profit Factor
49.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                                                      +0.8%(10.7%)(10%)
2008(27.8%)(42.3%)+1.7%+77.0%(0.1%)(17.6%)+46.9%+47.4%+15.3%+17.6%+2.6%(6.5%)+73.9%
2009+4.3%+0.5%(1.1%)  -  (3.7%)+1.0%(1%)(0.6%)(1.2%)(1.1%)(0.9%)+1.6%(2.4%)
2010+1.4%+1.2%(1.3%)+1.8%+3.7%(3.7%)(2.2%)(1%)(2.9%)+0.6%+0.9%(4.6%)(6.3%)
2011+0.5%(0.9%)(0.9%)(4.8%)(1.3%)(1.3%)(5.4%)+1.2%+10.9%(3.5%)+4.8%+2.4%+0.5%
2012(2.1%)(1.7%)+0.5%+0.3%+5.4%(1.8%)+2.2%(1.3%)(1.3%)(0.6%)(0.7%)(1%)(2.2%)
2013(0.6%)+2.0%+1.0%(0.8%)+2.0%(1.8%)(0.7%)(0.4%)(1.1%)+0.1%(0.5%)(1.4%)(2.1%)
2014+1.3%(2.3%)+0.5%(0.2%)+1.2%(0.5%)+1.5%+1.2%+2.9%+0.5%+0.4%+1.7%+8.3%
2015(4.7%)+1.7%+1.0%(2.2%)+1.0%(1.3%)+3.1%(0.5%)+1.1%+0.6%+2.7%(1.7%)+0.5%
2016+1.5%(1.6%)(2.3%)(0.5%)+2.3%(0.7%)(0.7%)+1.0%(0.8%)+1.9%+1.0%+0.6%+1.6%
2017(1.6%)+0.6%(0.7%)(0.2%)(1.6%)(0.8%)+0.3%(0.1%)+0.3%+2.1%(0.9%)(0.7%)(3.3%)
2018(3.2%)+0.5%+1.3%+2.5%+0.1%+0.1%+0.1%(1.5%)+0.7%+1.1%+0.1%(0.9%)+0.8%
2019+0.7%+0.5%(0.4%)+1.6%(0.2%)  -  (0.2%)+1.1%+0.2%+0.5%(1.7%)(0.6%)
2020(0.1%)+0.3%(1.3%)+0.3%+0.2%(1.5%)(2.8%)(0.8%)+2.1%(1.8%)(0.2%)(2.1%)(7.4%)
2021+0.8%+2.3%+2.2%(2.3%)(1.3%)+1.7%(1%)+0.5%+1.1%(0.7%)+0.7%  -  +3.8%
2022+0.6%(0.8%)+0.8%+3.3%+0.1%(1.2%)(0.5%)+1.7%+0.9%+0.6%(2.9%)(1.6%)+0.8%
2023(1.1%)+1.6%(2.1%)(1.8%)+0.9%(0.9%)(2.3%)+1.3%+2.8%(1.2%)(1.8%)(4%)(8.3%)
2024+1.3%+2.9%+1.5%+1.5%                                                +7.3%

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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/9/08 10:20 USD/JPY USD/JPY LONG 15 103.260 5/12 10:17 103.270 1.11%
Trade id #32155150
Max drawdown($881)
Time5/9/08 17:03
Quant open15
Worst price102.650
Drawdown as % of equity-1.11%
 $14
5/9/08 9:12 EUR/USD EUR/USD SHORT 15 1.54450 5/12 4:47 1.54440 0.77%
Trade id #32152838
Max drawdown($615)
Time5/9/08 17:26
Quant open-15
Worst price1.54860
Drawdown as % of equity-0.77%
 $15
5/9/08 7:21 GBP/USD GBP/USD SHORT 15 1.94920 5/12 4:37 1.95600 1.25%
Trade id #32151129
Max drawdown($1,020)
Time5/12/08 4:36
Quant open-15
Worst price1.95520
Drawdown as % of equity-1.25%
 ($1,020)
5/8/08 4:57 EUR/USD EUR/USD LONG 30 1.53310 5/9 7:09 1.54724 0.64%
Trade id #32114878
Max drawdown($511)
Time5/8/08 8:36
Quant open30
Worst price1.53140
Drawdown as % of equity-0.64%
 $4,241
5/8/08 14:10 GBP/USD GBP/USD LONG 30 1.95465 5/9 6:39 1.94800 2.51%
Trade id #32134461
Max drawdown($1,995)
Time5/9/08 6:37
Quant open30
Worst price1.94950
Drawdown as % of equity-2.51%
 ($1,995)
5/8/08 4:47 EUR/USD EUR/USD LONG 15 1.53429 5/8 4:56 1.53384 0.11%
Trade id #32114826
Max drawdown($88)
Time5/8/08 4:52
Quant open15
Worst price1.53370
Drawdown as % of equity-0.11%
 ($68)
5/6/08 10:12 EUR/USD EUR/USD SHORT 15 1.55759 5/8 3:23 1.53296 0.3%
Trade id #32078281
Max drawdown($241)
Time5/6/08 10:19
Quant open-15
Worst price1.55920
Drawdown as % of equity-0.30%
 $3,695
5/5/08 13:50 USD/JPY USD/JPY LONG 15 104.900 5/6 9:16 104.200 1.4%
Trade id #32057018
Max drawdown($1,117)
Time5/6/08 9:16
Quant open15
Worst price104.120
Drawdown as % of equity-1.40%
 ($1,002)
12/5/07 19:44 EUR/AUD EUR/AUD LONG 80 1.66526 3/31/08 1:54 1.68472 n/a $14,267
1/16/08 10:48 EUR/GBP EUR/GBP LONG 20 0.74750 1/24 3:02 0.74776 3.21%
Trade id #30127769
Max drawdown($2,540)
Time1/22/08 4:18
Quant open20
Worst price0.74100
Drawdown as % of equity-3.21%
 $102
1/22/08 8:57 EUR/USD EUR/USD SHORT 20 1.45400 1/23 8:43 1.45390 2.86%
Trade id #30215060
Max drawdown($2,341)
Time1/22/08 18:18
Quant open-20
Worst price1.46571
Drawdown as % of equity-2.86%
 $20
1/16/08 5:44 USD/CAD USD/CAD LONG 10 1.02750 1/22 10:27 1.02760 1.5%
Trade id #30120875
Max drawdown($1,172)
Time1/16/08 9:43
Quant open10
Worst price1.01535
Drawdown as % of equity-1.50%
 $10
1/17/08 2:25 EUR/CAD EUR/CAD LONG 20 1.49485 1/20 21:01 1.49500 1.8%
Trade id #30141415
Max drawdown($1,411)
Time1/17/08 5:15
Quant open20
Worst price1.48760
Drawdown as % of equity-1.80%
 $29
1/16/08 10:52 EUR/CHF EUR/CHF LONG 10 1.61000 1/17 6:56 1.61000 0.14%
Trade id #30128190
Max drawdown($109)
Time1/16/08 10:54
Quant open10
Worst price1.60880
Drawdown as % of equity-0.14%
 $0
1/16/08 11:13 EUR/USD EUR/USD LONG 20 1.46100 1/17 2:04 1.46579 0.38%
Trade id #30128725
Max drawdown($299)
Time1/16/08 11:15
Quant open20
Worst price1.45950
Drawdown as % of equity-0.38%
 $958
1/15/08 6:27 CHF/JPY CHF/JPY SHORT 10 98.700 1/17 2:03 97.455 0.29%
Trade id #30098029
Max drawdown($200)
Time1/15/08 6:34
Quant open-10
Worst price98.915
Drawdown as % of equity-0.29%
 $1,161
1/14/08 4:23 USD/JPY USD/JPY SHORT 10 107.700 1/16 14:43 107.690 0.84%
Trade id #30075298
Max drawdown($603)
Time1/14/08 18:20
Quant open-10
Worst price108.344
Drawdown as % of equity-0.84%
 $9
1/15/08 16:03 AUD/USD AUD/USD LONG 10 0.88350 1/16 9:35 0.88360 1.15%
Trade id #30112004
Max drawdown($905)
Time1/16/08 5:56
Quant open10
Worst price0.87445
Drawdown as % of equity-1.15%
 $10
1/15/08 4:30 EUR/CAD EUR/CAD LONG 10 1.51013 1/16 8:53 1.51020 0.76%
Trade id #30097034
Max drawdown($531)
Time1/15/08 7:18
Quant open10
Worst price1.50470
Drawdown as % of equity-0.76%
 $7
1/14/08 3:59 NZD/USD NZD/USD LONG 20 0.78275 1/16 5:47 0.77075 3.06%
Trade id #30075071
Max drawdown($2,400)
Time1/16/08 5:47
Quant open10
Worst price0.76499
Drawdown as % of equity-3.06%
 ($2,400)
1/16/08 3:42 GBP/USD GBP/USD SHORT 10 1.96051 1/16 3:43 1.96103 n/a ($52)
1/16/08 3:38 GBP/USD GBP/USD SHORT 10 1.96131 1/16 3:39 1.96178 n/a ($47)
1/14/08 5:09 EUR/CHF EUR/CHF SHORT 10 1.62300 1/15 22:53 1.61300 0.64%
Trade id #30075855
Max drawdown($458)
Time1/14/08 8:38
Quant open-10
Worst price1.62799
Drawdown as % of equity-0.64%
 $920
1/14/08 4:11 AUD/USD AUD/USD LONG 10 0.89800 1/15 15:04 0.88600 1.6%
Trade id #30075185
Max drawdown($1,200)
Time1/15/08 11:53
Quant open10
Worst price0.88633
Drawdown as % of equity-1.60%
 ($1,200)
1/14/08 1:06 EUR/USD EUR/USD LONG 10 1.48250 1/15 11:35 1.48260 n/a $10
1/14/08 11:11 EUR/JPY EUR/JPY SHORT 20 160.250 1/15 6:30 160.240 0.28%
Trade id #30082794
Max drawdown($204)
Time1/14/08 11:18
Quant open-10
Worst price161.120
Drawdown as % of equity-0.28%
 $19
1/11/08 9:54 NZD/USD NZD/USD LONG 10 0.78620 1/14 3:45 0.78710 0.22%
Trade id #30055518
Max drawdown($157)
Time1/14/08 0:45
Quant open10
Worst price0.78463
Drawdown as % of equity-0.22%
 $90
1/11/08 9:52 NZD/USD NZD/USD LONG 10 0.78646 1/11 9:52 0.78590 n/a ($56)
12/28/07 15:59 USD/JPY USD/JPY LONG 60 110.417 1/11/08 7:02 109.392 6.88%
Trade id #29862522
Max drawdown($5,934)
Time1/3/08 6:09
Quant open15
Worst price108.244
Drawdown as % of equity-6.88%
 ($5,647)
1/8/08 16:17 EUR/CHF EUR/CHF LONG 20 1.63600 1/11 6:52 1.62887 1.52%
Trade id #30003496
Max drawdown($1,294)
Time1/10/08 9:16
Quant open20
Worst price1.62888
Drawdown as % of equity-1.52%
 ($1,294)
Next

Statistics

  • Strategy began
    11/17/2007
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5992.52
  • Age
    200 months ago
  • What it trades
    Forex
  • # Trades
    55
  • # Profitable
    31
  • % Profitable
    56.40%
  • Avg trade duration
    109.8 days
  • Max peak-to-valley drawdown
    76.33%
  • drawdown period
    Dec 28, 2007 - March 16, 2008
  • Annual Return (Compounded)
    2.1%
  • Avg win
    $2,836
  • Avg loss
    $1,894
  • Model Account Values (Raw)
  • Cash
    $101,560
  • Margin Used
    $4,500
  • Buying Power
    $101,779
  • Ratios
  • W:L ratio
    1.93:1
  • Sharpe Ratio
    0.14
  • Sortino Ratio
    0.22
  • Calmar Ratio
    0.065
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -210.70%
  • Correlation to SP500
    0.05790
  • Return Percent SP500 (cumu) during strategy life
    243.52%
  • Return Statistics
  • Ann Return (w trading costs)
    2.1%
  • Slump
  • Current Slump as Pcnt Equity
    19.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.021%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    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
    $1,894
  • Avg Win
    $2,836
  • Sum Trade PL (losers)
    $45,462.000
  • Age
  • Num Months filled monthly returns table
    198
  • Win / Loss
  • Sum Trade PL (winners)
    $87,928.000
  • # Winners
    31
  • Num Months Winners
    99
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    24
  • % Winners
    56.4%
  • Frequency
  • Avg Position Time (mins)
    158094.00
  • Avg Position Time (hrs)
    2634.90
  • Avg Trade Length
    109.8 days
  • Last Trade Ago
    5816
  • Regression
  • Alpha
    0.01
  • Beta
    0.10
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    97.59
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    28.54
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    14.62
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.09
  • Avg(MAE) / Avg(PL) - All trades
    -6.017
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.896
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.575
  • Hold-and-Hope Ratio
    0.243
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25687
  • SD
    0.66139
  • Sharpe ratio (Glass type estimate)
    0.38839
  • Sharpe ratio (Hedges UMVUE)
    0.38402
  • df
    67.00000
  • t
    0.92454
  • p
    0.17926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20994
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79572
  • Upside Potential Ratio
    1.95099
  • Upside part of mean
    0.62981
  • Downside part of mean
    -0.37294
  • Upside SD
    0.57644
  • Downside SD
    0.32282
  • N nonnegative terms
    31.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.20255
  • Mean of criterion
    0.25687
  • SD of predictor
    0.28616
  • SD of criterion
    0.66139
  • Covariance
    -0.03712
  • r
    -0.19613
  • b (slope, estimate of beta)
    -0.45330
  • a (intercept, estimate of alpha)
    0.34869
  • Mean Square Error
    0.42698
  • DF error
    66.00000
  • t(b)
    -1.62492
  • p(b)
    0.94553
  • t(a)
    1.24420
  • p(a)
    0.10891
  • Lowerbound of 95% confidence interval for beta
    -1.01027
  • Upperbound of 95% confidence interval for beta
    0.10368
  • Lowerbound of 95% confidence interval for alpha
    -0.21085
  • Upperbound of 95% confidence interval for alpha
    0.90823
  • Treynor index (mean / b)
    -0.56668
  • Jensen alpha (a)
    0.34869
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06768
  • SD
    0.61142
  • Sharpe ratio (Glass type estimate)
    0.11070
  • Sharpe ratio (Hedges UMVUE)
    0.10945
  • df
    67.00000
  • t
    0.26351
  • p
    0.39648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.93386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93301
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16188
  • Upside Potential Ratio
    1.22937
  • Upside part of mean
    0.51401
  • Downside part of mean
    -0.44633
  • Upside SD
    0.44034
  • Downside SD
    0.41811
  • N nonnegative terms
    31.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.16098
  • Mean of criterion
    0.06768
  • SD of predictor
    0.28659
  • SD of criterion
    0.61142
  • Covariance
    -0.03096
  • r
    -0.17666
  • b (slope, estimate of beta)
    -0.37689
  • a (intercept, estimate of alpha)
    0.12835
  • Mean Square Error
    0.36765
  • DF error
    66.00000
  • t(b)
    -1.45813
  • p(b)
    0.92523
  • t(a)
    0.49732
  • p(a)
    0.31031
  • Lowerbound of 95% confidence interval for beta
    -0.89295
  • Upperbound of 95% confidence interval for beta
    0.13917
  • Lowerbound of 95% confidence interval for alpha
    -0.38694
  • Upperbound of 95% confidence interval for alpha
    0.64365
  • Treynor index (mean / b)
    -0.17958
  • Jensen alpha (a)
    0.12835
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24774
  • Expected Shortfall on VaR
    0.29977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07359
  • Expected Shortfall on VaR
    0.16189
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    68.00000
  • Minimum
    0.53263
  • Quartile 1
    0.97745
  • Median
    0.99781
  • Quartile 3
    1.02035
  • Maximum
    1.85895
  • Mean of quarter 1
    0.88735
  • Mean of quarter 2
    0.98855
  • Mean of quarter 3
    1.00774
  • Mean of quarter 4
    1.20198
  • Inter Quartile Range
    0.04290
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.63791
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10294
  • Mean of outliers high
    1.42794
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.00690
  • VaR(95%) (moments method)
    0.11073
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.64085
  • VaR(95%) (regression method)
    0.05804
  • Expected Shortfall (regression method)
    0.15380
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.24549
  • Quartile 1
    0.35643
  • Median
    0.46737
  • Quartile 3
    0.49183
  • Maximum
    0.51629
  • Mean of quarter 1
    0.24549
  • Mean of quarter 2
    0.46737
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.51629
  • Inter Quartile Range
    0.13540
  • 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)
    0.08249
  • Compounded annual return (geometric extrapolation)
    0.07002
  • Calmar ratio (compounded annual return / max draw down)
    0.13563
  • Compounded annual return / average of 25% largest draw downs
    0.13563
  • Compounded annual return / Expected Shortfall lognormal
    0.23359
  • 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
    1.74554
  • SD
    2.15667
  • Sharpe ratio (Glass type estimate)
    0.80937
  • Sharpe ratio (Hedges UMVUE)
    0.80896
  • df
    1498.00000
  • t
    1.93596
  • p
    0.47502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01067
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01095
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62888
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84049
  • Upside Potential Ratio
    5.52512
  • Upside part of mean
    5.24008
  • Downside part of mean
    -3.49454
  • Upside SD
    1.93914
  • Downside SD
    0.94841
  • N nonnegative terms
    760.00000
  • N negative terms
    739.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1499.00000
  • Mean of predictor
    0.37805
  • Mean of criterion
    1.74554
  • SD of predictor
    0.60980
  • SD of criterion
    2.15667
  • Covariance
    -0.11361
  • r
    -0.08639
  • b (slope, estimate of beta)
    -0.30553
  • a (intercept, estimate of alpha)
    1.86100
  • Mean Square Error
    4.61960
  • DF error
    1497.00000
  • t(b)
    -3.35503
  • p(b)
    0.55493
  • t(a)
    2.06960
  • p(a)
    0.46601
  • Lowerbound of 95% confidence interval for beta
    -0.48416
  • Upperbound of 95% confidence interval for beta
    -0.12690
  • Lowerbound of 95% confidence interval for alpha
    0.09716
  • Upperbound of 95% confidence interval for alpha
    3.62493
  • Treynor index (mean / b)
    -5.71318
  • Jensen alpha (a)
    1.86105
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05139
  • SD
    1.77663
  • Sharpe ratio (Glass type estimate)
    0.02892
  • Sharpe ratio (Hedges UMVUE)
    0.02891
  • df
    1498.00000
  • t
    0.06918
  • p
    0.49911
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84831
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04183
  • Upside Potential Ratio
    3.40132
  • Upside part of mean
    4.17783
  • Downside part of mean
    -4.12645
  • Upside SD
    1.28281
  • Downside SD
    1.22830
  • N nonnegative terms
    760.00000
  • N negative terms
    739.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1499.00000
  • Mean of predictor
    0.19838
  • Mean of criterion
    0.05139
  • SD of predictor
    0.59637
  • SD of criterion
    1.77663
  • Covariance
    -0.07166
  • r
    -0.06764
  • b (slope, estimate of beta)
    -0.20150
  • a (intercept, estimate of alpha)
    0.09136
  • Mean Square Error
    3.14406
  • DF error
    1497.00000
  • t(b)
    -2.62293
  • p(b)
    0.54303
  • t(a)
    0.12322
  • p(a)
    0.49797
  • Lowerbound of 95% confidence interval for beta
    -0.35218
  • Upperbound of 95% confidence interval for beta
    -0.05081
  • Lowerbound of 95% confidence interval for alpha
    -1.36305
  • Upperbound of 95% confidence interval for alpha
    1.54577
  • Treynor index (mean / b)
    -0.25502
  • Jensen alpha (a)
    0.09136
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16502
  • Expected Shortfall on VaR
    0.20180
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02901
  • Expected Shortfall on VaR
    0.06835
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1499.00000
  • Minimum
    0.41125
  • Quartile 1
    0.99526
  • Median
    1.00003
  • Quartile 3
    1.00453
  • Maximum
    3.78146
  • Mean of quarter 1
    0.94874
  • Mean of quarter 2
    0.99795
  • Mean of quarter 3
    1.00203
  • Mean of quarter 4
    1.07792
  • Inter Quartile Range
    0.00927
  • Number outliers low
    114.00000
  • Percentage of outliers low
    0.07605
  • Mean of outliers low
    0.85204
  • Number of outliers high
    118.00000
  • Percentage of outliers high
    0.07872
  • Mean of outliers high
    1.22861
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.26179
  • VaR(95%) (moments method)
    0.03652
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.06145
  • VaR(95%) (regression method)
    0.02208
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00689
  • Quartile 1
    0.15208
  • Median
    0.45918
  • Quartile 3
    0.67640
  • Maximum
    0.80520
  • Mean of quarter 1
    0.04990
  • Mean of quarter 2
    0.32961
  • Mean of quarter 3
    0.58874
  • Mean of quarter 4
    0.75541
  • Inter Quartile Range
    0.52432
  • 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)
    0.05974
  • Compounded annual return (geometric extrapolation)
    0.05273
  • Calmar ratio (compounded annual return / max draw down)
    0.06549
  • Compounded annual return / average of 25% largest draw downs
    0.06980
  • Compounded annual return / Expected Shortfall lognormal
    0.26129
  • 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
    -0.17056
  • SD
    0.16872
  • Sharpe ratio (Glass type estimate)
    -1.01085
  • Sharpe ratio (Hedges UMVUE)
    -1.00501
  • df
    130.00000
  • t
    -0.71478
  • p
    0.53128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.77951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76949
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.31501
  • Upside Potential Ratio
    6.05294
  • Upside part of mean
    0.78506
  • Downside part of mean
    -0.95561
  • Upside SD
    0.10742
  • Downside SD
    0.12970
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.19512
  • Mean of criterion
    -0.17056
  • SD of predictor
    0.55771
  • SD of criterion
    0.16872
  • Covariance
    -0.02426
  • r
    -0.25780
  • b (slope, estimate of beta)
    -0.07799
  • a (intercept, estimate of alpha)
    -0.07735
  • Mean Square Error
    0.02678
  • DF error
    129.00000
  • t(b)
    -3.03043
  • p(b)
    0.66228
  • t(a)
    -0.33129
  • p(a)
    0.51856
  • Lowerbound of 95% confidence interval for beta
    -0.12891
  • Upperbound of 95% confidence interval for beta
    -0.02707
  • Lowerbound of 95% confidence interval for alpha
    -0.53928
  • Upperbound of 95% confidence interval for alpha
    0.38458
  • Treynor index (mean / b)
    2.18687
  • Jensen alpha (a)
    -0.07735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18480
  • SD
    0.16927
  • Sharpe ratio (Glass type estimate)
    -1.09175
  • Sharpe ratio (Hedges UMVUE)
    -1.08544
  • df
    130.00000
  • t
    -0.77199
  • p
    0.53378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86468
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68528
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.86039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68950
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.40563
  • Upside Potential Ratio
    5.92802
  • Upside part of mean
    0.77937
  • Downside part of mean
    -0.96418
  • Upside SD
    0.10620
  • Downside SD
    0.13147
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.03358
  • Mean of criterion
    -0.18480
  • SD of predictor
    0.57143
  • SD of criterion
    0.16927
  • Covariance
    -0.02437
  • r
    -0.25197
  • b (slope, estimate of beta)
    -0.07464
  • a (intercept, estimate of alpha)
    -0.10766
  • Mean Square Error
    0.02704
  • DF error
    129.00000
  • t(b)
    -2.95720
  • p(b)
    0.65869
  • t(a)
    -0.46004
  • p(a)
    0.52576
  • VAR (95 Confidence Intrvl)
    0.16500
  • Lowerbound of 95% confidence interval for beta
    -0.12458
  • Upperbound of 95% confidence interval for beta
    -0.02470
  • Lowerbound of 95% confidence interval for alpha
    -0.57066
  • Upperbound of 95% confidence interval for alpha
    0.35535
  • Treynor index (mean / b)
    2.47595
  • Jensen alpha (a)
    -0.10766
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01775
  • Expected Shortfall on VaR
    0.02202
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00806
  • Expected Shortfall on VaR
    0.01642
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95531
  • Quartile 1
    0.99611
  • Median
    1.00009
  • Quartile 3
    1.00299
  • Maximum
    1.03899
  • Mean of quarter 1
    0.98713
  • Mean of quarter 2
    0.99840
  • Mean of quarter 3
    1.00134
  • Mean of quarter 4
    1.01059
  • Inter Quartile Range
    0.00688
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.97801
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02403
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24671
  • VaR(95%) (moments method)
    0.01183
  • Expected Shortfall (moments method)
    0.01959
  • Extreme Value Index (regression method)
    0.31901
  • VaR(95%) (regression method)
    0.01018
  • Expected Shortfall (regression method)
    0.01720
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00152
  • Median
    0.01695
  • Quartile 3
    0.02314
  • Maximum
    0.11876
  • Mean of quarter 1
    0.00105
  • Mean of quarter 2
    0.01695
  • Mean of quarter 3
    0.02314
  • Mean of quarter 4
    0.11876
  • Inter Quartile Range
    0.02163
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.11876
  • 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?
    -322242000
  • Max Equity Drawdown (num days)
    79
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17652
  • Compounded annual return (geometric extrapolation)
    -0.16873
  • Calmar ratio (compounded annual return / max draw down)
    -1.42072
  • Compounded annual return / average of 25% largest draw downs
    -1.42072
  • Compounded annual return / Expected Shortfall lognormal
    -7.66169

Strategy Description



NEW TENET IN WAVE THEORY:-


"By doing away with EW labeling, the market trades in flats (Dow lines), before breaking
out into extended waves targeting a measured pitch of Phi & its multiples."

This is a new tenet to Elliot wave theory that I plan to advance before the coming IFTA conference in November 2008.

I have been working on a wave segregation system for the past year, that proves the above hypothesis valid.

The system running here is a practical track record of the above tenet, but in the form of a custom designed index indicator with its own custom signal line, that segregates such extended motives from the flats.

This track record will prove the WSI indicator an indespensible tool to Elliot wave segregation, based on momentum, instead of the traditional use of form & ratio, as advanced by the late Mr. Elliot - GOD rest his soul.


===========================================================

Account holders at I-TRADE-FX can trade this system FREE. To enroll please go to www.fx-portfolios.com


C2 subscribers are advised to mail [email protected], to recieve a simple excel risk managment matrix that relates the posted orders to their respective account size.

Summary Statistics

Strategy began
2007-11-17
Suggested Minimum Capital
$100,000
# Trades
55
# Profitable
31
% Profitable
56.4%
Correlation S&P500
0.058
Sharpe Ratio
0.14
Sortino Ratio
0.22
Beta
0.10
Alpha
0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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.