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

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trade the Odds Forex
(39681242)

Created by: GrahamD GrahamD
Started: 04/2009
Forex
Last trade: 6,157 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. You can subscribe to this system for free.

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
135
Num Trades
45.9%
Win Trades
0.5 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                     (31.2%)(98%)(2.9%)(544.9%)(60.5%)(4.8%)(0.5%)  -    -  (110.1%)
2010  -    -    -    -    -    -    -  (0.4%)(0.1%)  -    -  (0.1%)(0.4%)
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
7/8/09 13:54 GBP/USD GBP/USD SHORT 10 1.60065 7/31 12:58 1.67058 162.08%
Trade id #41572857
Max drawdown($724)
Time7/31/09 12:21
Quant open-1
Worst price1.67310
Drawdown as % of equity-162.08%
 ($699.30)
6/22/09 8:51 EUR/USD EUR/USD SHORT 10 1.38418 7/31 12:58 1.42568 114.27%
Trade id #41203316
Max drawdown($462)
Time7/28/09 3:13
Quant open-1
Worst price1.43046
Drawdown as % of equity-114.27%
 ($415.00)
6/25/09 11:19 GBP/CHF GBP/CHF LONG 10 1.79155 7/1 4:35 1.77830 13.31%
Trade id #41317842
Max drawdown($139)
Time7/1/09 4:33
Quant open1
Worst price1.77640
Drawdown as % of equity-13.31%
 ($166.38)
6/24/09 14:57 GBP/CHF GBP/CHF LONG 10 1.80390 6/25 2:01 1.79880 3.84%
Trade id #41281863
Max drawdown($49)
Time6/25/09 2:01
Quant open1
Worst price1.79850
Drawdown as % of equity-3.84%
 ($64.04)
6/23/09 11:42 GBP/USD GBP/USD SHORT 10 1.63409 6/23 12:07 1.63750 2.59%
Trade id #41238560
Max drawdown($34)
Time6/23/09 12:04
Quant open-1
Worst price1.63630
Drawdown as % of equity-2.59%
 ($34.10)
6/22/09 13:13 EUR/GBP EUR/GBP SHORT 10 0.84829 6/23 3:20 0.85220 4.4%
Trade id #41215897
Max drawdown($64)
Time6/23/09 2:16
Quant open-1
Worst price0.85150
Drawdown as % of equity-4.40%
 ($52.25)
6/22/09 16:01 GBP/USD GBP/USD SHORT 10 1.63490 6/23 2:27 1.62737 2.36%
Trade id #41218819
Max drawdown($34)
Time6/22/09 17:45
Quant open-1
Worst price1.63830
Drawdown as % of equity-2.36%
 $75.30
6/18/09 9:05 GBP/CHF GBP/CHF SHORT 10 1.76401 6/22 5:15 1.79100 16.99%
Trade id #41156281
Max drawdown($259)
Time6/22/09 5:15
Quant open-1
Worst price1.79208
Drawdown as % of equity-16.99%
 ($338.91)
6/18/09 5:40 GBP/USD GBP/USD SHORT 10 1.62411 6/19 11:56 1.65400 18.71%
Trade id #41152471
Max drawdown($299)
Time6/19/09 11:56
Quant open-1
Worst price1.65340
Drawdown as % of equity-18.71%
 ($298.90)
6/18/09 14:11 EUR/GBP EUR/GBP LONG 10 0.85159 6/19 8:35 0.84600 4.74%
Trade id #41165843
Max drawdown($91)
Time6/19/09 6:35
Quant open1
Worst price0.84610
Drawdown as % of equity-4.74%
 ($74.71)
6/17/09 11:34 EUR/GBP EUR/GBP LONG 10 0.85081 6/18 5:54 0.85823 1.63%
Trade id #41132353
Max drawdown($31)
Time6/18/09 3:44
Quant open1
Worst price0.84890
Drawdown as % of equity-1.63%
 $99.16
6/18/09 5:05 GBP/USD GBP/USD LONG 10 1.62380 6/18 5:25 1.61950 2.46%
Trade id #41152286
Max drawdown($47)
Time6/18/09 5:25
Quant open1
Worst price1.61910
Drawdown as % of equity-2.46%
 ($43.00)
6/17/09 14:23 GBP/CHF GBP/CHF SHORT 10 1.77021 6/18 4:35 1.75739 2.96%
Trade id #41140100
Max drawdown($56)
Time6/18/09 3:34
Quant open-1
Worst price1.77630
Drawdown as % of equity-2.96%
 $160.98
6/17/09 14:11 USD/CHF USD/CHF LONG 10 1.08169 6/17 14:16 1.08050 0.55%
Trade id #41139825
Max drawdown($11)
Time6/17/09 14:13
Quant open1
Worst price1.08120
Drawdown as % of equity-0.55%
 ($14.94)
6/17/09 9:56 GBP/USD GBP/USD SHORT 20 1.62819 6/17 12:24 1.63225 4.07%
Trade id #41125054
Max drawdown($81)
Time6/17/09 12:24
Quant open-1
Worst price1.63365
Drawdown as % of equity-4.07%
 ($81.20)
6/17/09 2:43 GBP/USD GBP/USD LONG 20 1.64070 6/17 5:01 1.63250 7.39%
Trade id #41107859
Max drawdown($164)
Time6/17/09 5:01
Quant open2
Worst price1.63250
Drawdown as % of equity-7.39%
 ($164.00)
6/16/09 8:41 USD/JPY USD/JPY SHORT 10 97.091 6/17 3:38 96.395 0.39%
Trade id #41064149
Max drawdown($8)
Time6/16/09 9:18
Quant open-1
Worst price97.169
Drawdown as % of equity-0.39%
 $0.43
6/16/09 14:59 GBP/CHF GBP/CHF SHORT 10 1.78825 6/17 2:43 1.78558 0.24%
Trade id #41085313
Max drawdown($5)
Time6/16/09 15:17
Quant open-1
Worst price1.78880
Drawdown as % of equity-0.24%
 $33.53
6/16/09 7:58 GBP/USD GBP/USD SHORT 10 1.64862 6/17 2:43 1.64710 1.06%
Trade id #41062626
Max drawdown($22)
Time6/16/09 8:32
Quant open-1
Worst price1.65083
Drawdown as % of equity-1.06%
 $15.20
6/16/09 7:59 GBP/JPY GBP/JPY SHORT 10 159.853 6/16 8:31 160.250 2.3%
Trade id #41062652
Max drawdown($47)
Time6/16/09 8:31
Quant open-1
Worst price160.314
Drawdown as % of equity-2.30%
 ($0.25)
6/16/09 3:36 GBP/USD GBP/USD SHORT 10 1.63365 6/16 4:30 1.63740 1.84%
Trade id #41053918
Max drawdown($39)
Time6/16/09 4:30
Quant open-1
Worst price1.63755
Drawdown as % of equity-1.84%
 ($37.50)
6/12/09 10:34 GBP/USD GBP/USD SHORT 10 1.63912 6/15 16:17 1.63200 7.37%
Trade id #40956295
Max drawdown($130)
Time6/12/09 11:59
Quant open-1
Worst price1.65220
Drawdown as % of equity-7.37%
 $71.20
6/15/09 8:45 GBP/JPY GBP/JPY SHORT 10 160.853 6/15 12:19 159.356 2.11%
Trade id #41014045
Max drawdown($40)
Time6/15/09 8:58
Quant open-1
Worst price161.251
Drawdown as % of equity-2.11%
 $0.93
6/12/09 12:51 USD/CHF USD/CHF LONG 10 1.07610 6/15 8:42 1.09033 0.88%
Trade id #40962140
Max drawdown($15)
Time6/12/09 13:29
Quant open1
Worst price1.07440
Drawdown as % of equity-0.88%
 $178.68
6/12/09 4:28 GBP/JPY GBP/JPY SHORT 10 161.727 6/12 11:13 162.000 1.58%
Trade id #40942729
Max drawdown($28)
Time6/12/09 4:43
Quant open-1
Worst price161.840
Drawdown as % of equity-1.58%
 ($0.17)
6/12/09 4:51 GBP/CHF GBP/CHF SHORT 10 1.77077 6/12 10:37 1.77455 1.97%
Trade id #40943236
Max drawdown($35)
Time6/12/09 10:37
Quant open-1
Worst price1.77420
Drawdown as % of equity-1.97%
 ($47.46)
6/12/09 4:44 GBP/USD GBP/USD SHORT 10 1.64983 6/12 6:04 1.64438 0.04%
Trade id #40943091
Max drawdown($0)
Time6/12/09 4:46
Quant open-1
Worst price1.64990
Drawdown as % of equity-0.04%
 $54.50
6/10/09 5:46 USD/JPY USD/JPY SHORT 10 97.941 6/11 7:51 98.229 1.61%
Trade id #40882855
Max drawdown($29)
Time6/11/09 7:51
Quant open-1
Worst price98.210
Drawdown as % of equity-1.61%
 ($0.18)
6/10/09 11:25 GBP/USD GBP/USD SHORT 10 1.63268 6/11 4:55 1.64700 7.64%
Trade id #40890809
Max drawdown($143)
Time6/11/09 4:55
Quant open-1
Worst price1.64680
Drawdown as % of equity-7.64%
 ($143.20)
6/9/09 6:45 GBP/USD GBP/USD LONG 10 1.61108 6/9 8:48 1.61934 1%
Trade id #40860900
Max drawdown($16)
Time6/9/09 7:01
Quant open1
Worst price1.60940
Drawdown as % of equity-1.00%
 $82.60

Statistics

  • Strategy began
    4/2/2009
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    6274.99
  • Age
    209 months ago
  • What it trades
    Forex
  • # Trades
    135
  • # Profitable
    62
  • % Profitable
    45.90%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 02, 2009 - July 28, 2009
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $177.48
  • Avg loss
    $288.45
  • Model Account Values (Raw)
  • Cash
    $133
  • Margin Used
    $0
  • Buying Power
    $133
  • Ratios
  • W:L ratio
    0.52:1
  • Sharpe Ratio
    -1.3
  • Sortino Ratio
    -1.82
  • Calmar Ratio
    -0.579
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -895.11%
  • Correlation to SP500
    0.10580
  • Return Percent SP500 (cumu) during strategy life
    787.57%
  • 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
    1.00%
  • 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)
    -22.2%
  • 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)
    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
    $288
  • Avg Win
    $177
  • Sum Trade PL (losers)
    $21,057.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $11,004.000
  • # Winners
    62
  • Num Months Winners
    0
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    73
  • % Winners
    45.9%
  • Frequency
  • Avg Position Time (mins)
    1419.55
  • Avg Position Time (hrs)
    23.66
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    6155
  • Regression
  • Alpha
    0.00
  • Beta
    1.78
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.12
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.89
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.36
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.37
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.18
  • Avg(MAE) / Avg(PL) - All trades
    -2.877
  • 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
    0.14
  • Avg(MAE) / Avg(PL) - Winning trades
    0.642
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.186
  • Hold-and-Hope Ratio
    -0.338
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.44448
  • SD
    0.53875
  • Sharpe ratio (Glass type estimate)
    -0.82503
  • Sharpe ratio (Hedges UMVUE)
    -0.81468
  • df
    60.00000
  • t
    -1.86014
  • p
    0.96611
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.05998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06677
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.80890
  • Upside Potential Ratio
    0.00403
  • Upside part of mean
    0.00222
  • Downside part of mean
    -0.44670
  • Upside SD
    0.00373
  • Downside SD
    0.54949
  • N nonnegative terms
    54.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.47450
  • Mean of criterion
    -0.44448
  • SD of predictor
    0.26724
  • SD of criterion
    0.53875
  • Covariance
    -0.01309
  • r
    -0.09093
  • b (slope, estimate of beta)
    -0.18332
  • a (intercept, estimate of alpha)
    -0.35750
  • Mean Square Error
    0.29273
  • DF error
    59.00000
  • t(b)
    -0.70138
  • p(b)
    0.75709
  • t(a)
    -1.32347
  • p(a)
    0.90461
  • Lowerbound of 95% confidence interval for beta
    -0.70632
  • Upperbound of 95% confidence interval for beta
    0.33968
  • Lowerbound of 95% confidence interval for alpha
    -0.89802
  • Upperbound of 95% confidence interval for alpha
    0.18302
  • Treynor index (mean / b)
    2.42466
  • Jensen alpha (a)
    -0.35750
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.84937
  • SD
    1.14666
  • Sharpe ratio (Glass type estimate)
    -0.74074
  • Sharpe ratio (Hedges UMVUE)
    -0.73144
  • df
    60.00000
  • t
    -1.67009
  • p
    0.94994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61706
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.14156
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14766
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73011
  • Upside Potential Ratio
    0.00190
  • Upside part of mean
    0.00221
  • Downside part of mean
    -0.85158
  • Upside SD
    0.00371
  • Downside SD
    1.16335
  • N nonnegative terms
    54.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.43393
  • Mean of criterion
    -0.84937
  • SD of predictor
    0.25105
  • SD of criterion
    1.14666
  • Covariance
    -0.03058
  • r
    -0.10624
  • b (slope, estimate of beta)
    -0.48525
  • a (intercept, estimate of alpha)
    -0.63881
  • Mean Square Error
    1.32202
  • DF error
    59.00000
  • t(b)
    -0.82071
  • p(b)
    0.79244
  • t(a)
    -1.11901
  • p(a)
    0.86616
  • Lowerbound of 95% confidence interval for beta
    -1.66837
  • Upperbound of 95% confidence interval for beta
    0.69786
  • Lowerbound of 95% confidence interval for alpha
    -1.78112
  • Upperbound of 95% confidence interval for alpha
    0.50350
  • Treynor index (mean / b)
    1.75037
  • Jensen alpha (a)
    -0.63881
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.45949
  • Expected Shortfall on VaR
    0.52594
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02003
  • Expected Shortfall on VaR
    0.07507
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    61.00000
  • Minimum
    0.14760
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00752
  • Mean of quarter 1
    0.85808
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00075
  • Inter Quartile Range
    0.00000
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.11475
  • Mean of outliers low
    0.67561
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.03279
  • Mean of outliers high
    1.00563
  • 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)
    -0.05427
  • VaR(95%) (regression method)
    0.13967
  • Expected Shortfall (regression method)
    0.27585
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.98677
  • Quartile 1
    0.98677
  • Median
    0.98677
  • Quartile 3
    0.98677
  • Maximum
    0.98677
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19410
  • Compounded annual return (geometric extrapolation)
    -0.57232
  • Calmar ratio (compounded annual return / max draw down)
    -0.57999
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.08817
  • 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
    1.99595
  • SD
    3.39382
  • Sharpe ratio (Glass type estimate)
    0.58812
  • Sharpe ratio (Hedges UMVUE)
    0.58778
  • df
    1333.00000
  • t
    1.32706
  • p
    0.47688
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28087
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45667
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99355
  • Upside Potential Ratio
    4.30946
  • Upside part of mean
    4.31465
  • Downside part of mean
    -2.31870
  • Upside SD
    3.24379
  • Downside SD
    1.00120
  • N nonnegative terms
    1251.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1334.00000
  • Mean of predictor
    0.49246
  • Mean of criterion
    1.99595
  • SD of predictor
    0.32687
  • SD of criterion
    3.39382
  • Covariance
    -0.14597
  • r
    -0.13158
  • b (slope, estimate of beta)
    -1.36616
  • a (intercept, estimate of alpha)
    2.66900
  • Mean Square Error
    11.32710
  • DF error
    1332.00000
  • t(b)
    -4.84432
  • p(b)
    0.56579
  • t(a)
    1.78155
  • p(a)
    0.47562
  • Lowerbound of 95% confidence interval for beta
    -1.91939
  • Upperbound of 95% confidence interval for beta
    -0.81292
  • Lowerbound of 95% confidence interval for alpha
    -0.26993
  • Upperbound of 95% confidence interval for alpha
    5.60739
  • Treynor index (mean / b)
    -1.46100
  • Jensen alpha (a)
    2.66873
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.84800
  • SD
    2.25077
  • Sharpe ratio (Glass type estimate)
    -0.37676
  • Sharpe ratio (Hedges UMVUE)
    -0.37655
  • df
    1333.00000
  • t
    -0.85014
  • p
    0.51482
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.49201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49217
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50934
  • Upside Potential Ratio
    1.46710
  • Upside part of mean
    2.44255
  • Downside part of mean
    -3.29054
  • Upside SD
    1.51430
  • Downside SD
    1.66488
  • N nonnegative terms
    1251.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1334.00000
  • Mean of predictor
    0.43838
  • Mean of criterion
    -0.84800
  • SD of predictor
    0.32836
  • SD of criterion
    2.25077
  • Covariance
    -0.12151
  • r
    -0.16440
  • b (slope, estimate of beta)
    -1.12690
  • a (intercept, estimate of alpha)
    -0.35399
  • Mean Square Error
    4.93275
  • DF error
    1332.00000
  • t(b)
    -6.08290
  • p(b)
    0.58220
  • t(a)
    -0.35843
  • p(a)
    0.50491
  • Lowerbound of 95% confidence interval for beta
    -1.49032
  • Upperbound of 95% confidence interval for beta
    -0.76347
  • Lowerbound of 95% confidence interval for alpha
    -2.29145
  • Upperbound of 95% confidence interval for alpha
    1.58347
  • Treynor index (mean / b)
    0.75250
  • Jensen alpha (a)
    -0.35399
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20702
  • Expected Shortfall on VaR
    0.25081
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00104
  • Expected Shortfall on VaR
    0.01089
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1334.00000
  • Minimum
    0.19923
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    5.49868
  • Mean of quarter 1
    0.96465
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06577
  • Inter Quartile Range
    0.00000
  • Number outliers low
    83.00000
  • Percentage of outliers low
    0.06222
  • Mean of outliers low
    0.85776
  • Number of outliers high
    58.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.37877
  • 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
    1.00000
  • Minimum
    0.98677
  • Quartile 1
    0.98677
  • Median
    0.98677
  • Quartile 3
    0.98677
  • Maximum
    0.98677
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19378
  • Compounded annual return (geometric extrapolation)
    -0.57173
  • Calmar ratio (compounded annual return / max draw down)
    -0.57939
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.27953
  • 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
    1.38413
  • Mean of criterion
    0.00000
  • SD of predictor
    0.35780
  • 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
    1.31701
  • Mean of criterion
    0.00000
  • SD of predictor
    0.35860
  • 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)
    0.20700
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344794000
  • Max Equity Drawdown (num days)
    26
  • 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



This system trades on statistical odds and has failed at the outset due to a number of factors most of which were within our control:-

(1)Timing

Summary Statistics

Strategy began
2009-04-02
Suggested Minimum Capital
$10,000
# Trades
135
# Profitable
62
% Profitable
45.9%
Correlation S&P500
0.106
Sharpe Ratio
-1.30
Sortino Ratio
-1.82
Beta
1.78
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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Suggested Minimum Capital

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