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Started: 01/2010
Forex
Last trade: 1200 days ago

Subscription terms. Subscriptions to this system cost $5.00 per quarter. You will be charged at the end of the term, but only if the Model Account on this web page has been profitable for the preceding quarter.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade FUREX Blue.

Free AutoTrade
-6.3%
Annual Return (Compounded)
47.1%
Max Drawdown
585
Num Trades
35.7%
Win Trades
0.9 : 1
Profit Factor
13.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010(12.2%)+19.6%(15.7%)+4.4%+1.2%(6.4%)(8.1%)(5.4%)(11.8%)(14.6%)+12.3%(5.1%)(38.9%)
2011+1.9%(5.6%)+12.1%+11.3%(5.3%)+8.9%(3.2%)  -    -    -    -    -  +19.8%
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -              0.0

Model Account Details

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Closed Trades

CSV
Show More detailsShow fewer details
Opened ETB/S#Symbol PriceClosedPriceDDP/L
6/29/11 8:04 SELL 2 EUR/CAD 1.40304 7/8 9:04 1.38427 n/a $388
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
7/7/11 9:05 BUY 19 GBP/JPY 129.920 7/8 8:30 129.066 2.4%
Trade id #63270112
Max drawdown($2,013)
Time7/8/11 8:30
Quant open0
Worst price129.066
Drawdown as % of equity-2.40%
($2,032)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $19.00
7/7/11 9:05 BUY 14 AUD/JPY 87.425 7/8 8:30 87.118 0.64%
Trade id #63270101
Max drawdown($533)
Time7/8/11 8:30
Quant open0
Worst price87.118
Drawdown as % of equity-0.64%
($547)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.00
7/5/11 15:05 SELL 13 GBP/JPY 129.995 7/7 8:15 129.925 0.41%
Trade id #63201874
Max drawdown($351)
Time7/5/11 15:32
Quant open-13
Worst price130.215
Drawdown as % of equity-0.41%
$99
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.00
7/6/11 14:05 SELL 27 EUR/JPY 115.756 7/6 19:03 116.050 1.17%
Trade id #63237964
Max drawdown($981)
Time7/6/11 19:03
Quant open0
Worst price116.050
Drawdown as % of equity-1.17%
($1,008)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.00
6/23/11 16:05 BUY 6 EUR/JPY 114.919 7/6 2:57 116.574 1.12%
Trade id #62821424
Max drawdown($855)
Time6/24/11 13:08
Quant open6
Worst price113.766
Drawdown as % of equity-1.12%
$1,222
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.00
6/29/11 19:05 BUY 14 CAD/JPY 83.479 7/5 20:37 84.004 0.74%
Trade id #63014944
Max drawdown($600)
Time6/30/11 9:42
Quant open14
Worst price83.132
Drawdown as % of equity-0.74%
$895
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.00
6/28/11 11:04 BUY 12 AUD/JPY 84.971 7/4 1:23 86.475 0.08%
Trade id #62958312
Max drawdown($62)
Time6/28/11 11:09
Quant open12
Worst price84.929
Drawdown as % of equity-0.08%
$2,223
Includes Typical Broker Commission and AutoTrade Fees trade costs of $12.00
6/27/11 10:05 BUY 11 CAD/JPY 81.882 6/29 9:10 82.873 0.14%
Trade id #62907445
Max drawdown($112)
Time6/27/11 10:10
Quant open11
Worst price81.799
Drawdown as % of equity-0.14%
$1,338
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.00
6/24/11 15:05 BUY 7 EUR/CAD 1.40038 6/29 7:01 1.40498 0.13%
Trade id #62865444
Max drawdown($99)
Time6/24/11 15:57
Quant open7
Worst price1.39899
Drawdown as % of equity-0.13%
$324
Includes Typical Broker Commission and AutoTrade Fees trade costs of $7.00
6/26/11 21:04 BUY 21 GBP/JPY 128.620 6/28 1:46 128.755 0.24%
Trade id #62886795
Max drawdown($185)
Time6/26/11 22:04
Quant open21
Worst price0.000
Drawdown as % of equity-0.24%
$330
Includes Typical Broker Commission and AutoTrade Fees trade costs of $21.00
6/23/11 7:05 SELL 3 EUR/CAD 1.38573 6/24 14:17 1.40048 0.59%
Trade id #62794343
Max drawdown($448)
Time6/24/11 14:17
Quant open0
Worst price1.40048
Drawdown as % of equity-0.59%
($451)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00
6/20/11 10:05 BUY 11 CAD/JPY 81.874 6/23 9:01 82.315 0.15%
Trade id #62664535
Max drawdown($119)
Time6/20/11 10:26
Quant open11
Worst price81.786
Drawdown as % of equity-0.15%
$590
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.00
6/16/11 13:05 BUY 6 EUR/JPY 114.283 6/23 8:38 114.350 0.24%
Trade id #62563811
Max drawdown($185)
Time6/16/11 14:41
Quant open6
Worst price114.033
Drawdown as % of equity-0.24%
$44
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.00
6/17/11 7:05 BUY 7 EUR/CAD 1.39870 6/22 15:06 1.39612 0.24%
Trade id #62597131
Max drawdown($186)
Time6/22/11 15:06
Quant open0
Worst price1.39612
Drawdown as % of equity-0.24%
($193)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $7.00
6/20/11 6:05 BUY 13 GBP/JPY 129.891 6/22 3:49 129.894 0.34%
Trade id #62655235
Max drawdown($265)
Time6/20/11 9:31
Quant open13
Worst price129.727
Drawdown as % of equity-0.34%
($8)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.00
6/8/11 15:06 SELL 6 EUR/CAD 1.42789 6/17 5:27 1.39992 0.03%
Trade id #62247432
Max drawdown($21)
Time6/8/11 15:10
Quant open-6
Worst price1.42825
Drawdown as % of equity-0.03%
$1,702
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.00
6/16/11 1:05 SELL 15 EUR/JPY 114.461 6/16 9:10 114.446 n/a $13
Includes Typical Broker Commission and AutoTrade Fees trade costs of $15.00
6/14/11 2:05 BUY 11 AUD/JPY 85.451 6/15 12:17 85.439 0.02%
Trade id #62436912
Max drawdown($16)
Time6/15/11 12:17
Quant open0
Worst price85.439
Drawdown as % of equity-0.02%
($27)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $11.00
6/14/11 3:05 BUY 14 CAD/JPY 82.530 6/15 11:31 82.819 n/a $487
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.00
6/12/11 21:05 BUY 6 EUR/JPY 115.423 6/15 10:35 115.077 0.39%
Trade id #62377500
Max drawdown($300)
Time6/13/11 13:07
Quant open6
Worst price115.019
Drawdown as % of equity-0.39%
($263)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.00
6/13/11 7:05 BUY 12 GBP/JPY 130.913 6/13 13:05 130.530 0.74%
Trade id #62395018
Max drawdown($573)
Time6/13/11 13:05
Quant open0
Worst price130.530
Drawdown as % of equity-0.74%
($585)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $12.00
6/9/11 12:05 SELL 10 GBP/JPY 131.197 6/12 21:23 130.920 0.65%
Trade id #62295543
Max drawdown($498)
Time6/9/11 13:52
Quant open-10
Worst price131.599
Drawdown as % of equity-0.65%
$334
Includes Typical Broker Commission and AutoTrade Fees trade costs of $10.00
6/8/11 22:05 BUY 14 CAD/JPY 81.785 6/10 3:18 81.937 n/a $252
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.00
6/8/11 21:05 BUY 6 EUR/JPY 117.150 6/10 2:12 115.885 1.22%
Trade id #62258523
Max drawdown($948)
Time6/10/11 2:12
Quant open0
Worst price115.885
Drawdown as % of equity-1.22%
($954)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.00
6/8/11 21:05 BUY 13 GBP/JPY 131.502 6/9 8:43 131.155 0.73%
Trade id #62258528
Max drawdown($563)
Time6/9/11 8:43
Quant open0
Worst price131.155
Drawdown as % of equity-0.73%
($576)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.00
6/1/11 21:05 BUY 8 EUR/CAD 1.40312 6/8 11:10 1.42815 0.06%
Trade id #61977366
Max drawdown($43)
Time6/1/11 22:02
Quant open8
Worst price0.00000
Drawdown as % of equity-0.06%
$2,037
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
6/2/11 5:05 BUY 8 EUR/JPY 116.625 6/8 6:44 116.535 0.34%
Trade id #61990563
Max drawdown($261)
Time6/3/11 9:32
Quant open8
Worst price116.364
Drawdown as % of equity-0.34%
($98)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
6/7/11 1:05 BUY 14 CAD/JPY 82.061 6/7 21:08 81.809 0.55%
Trade id #62156654
Max drawdown($442)
Time6/7/11 21:08
Quant open0
Worst price81.809
Drawdown as % of equity-0.55%
($456)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.00
6/7/11 3:05 BUY 14 GBP/JPY 131.430 6/7 21:04 131.311 0.26%
Trade id #62158862
Max drawdown($208)
Time6/7/11 21:04
Quant open0
Worst price131.311
Drawdown as % of equity-0.26%
($222)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $14.00

Statistics

  • Strategy began
    1/6/2010
  • Age
    58 months ago
  • What it trades
    Forex
  • # Trades
    585
  • # Profitable
    209
  • % Profitable
    35.70%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    47.11%
  • drawdown period
    March 01, 2010 - March 14, 2011
  • Annual Return (Compounded)
    -6.3%
  • Avg win
    $966.33
  • Avg loss
    $588.61
  • W:L ratio
    0.91:1
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    ($19,353)
  • Closed PL (start day)
    ($19,354)
  • Closed PL Change $
    $0.04
  • Closed PL Change %
    n/a
  • Equity
    $80,646
  • Equity (start day)
    $80,646
  • Equity Change $
    $0.04
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    1747
  • # Trades
    585
  • Avg Trade Length
    1.9
  • PROFIT
  • Profit Factor
    0.9
  • SORTINO STATISTICS
  • Sortino Ratio
    -0.717
  • CALMAR STATISTICS
  • Calmar Ratio
    -0.174
  • Ann Return (w trading costs)
    -6.3%
  • SHARPE STATISTICS
  • Sharpe Ratio
    -0.428
  • Ann Return (Compnd, No Fees)
    -4.4%
  • 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 50% account loss
    6.67%
  • PROFIT STATISTICS
  • APD
    -0.19
  • DRAW DOWN STATISTICS
  • Max Drawdown
    47.1%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $5
  • Billing Period (days)
    90
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Loss
    $589
  • Avg Win
    $966
  • # Winners
    209
  • # Losers
    376
  • % Winners
    35.7%
  • TIME STATISTICS
  • Avg Position Time (mins)
    2679.48
  • Avg Position Time (hrs)
    44.66
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07096
  • SD
    0.22613
  • Sharpe ratio (Glass type estimate)
    -0.31383
  • Sharpe ratio (Hedges UMVUE)
    -0.30563
  • df
    29.00000
  • t
    -0.49621
  • p
    0.68826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.93105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93645
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43682
  • Upside Potential Ratio
    1.31055
  • Upside part of mean
    0.21291
  • Downside part of mean
    -0.28387
  • Upside SD
    0.15315
  • Downside SD
    0.16246
  • N nonnegative terms
    7.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.23172
  • Mean of criterion
    -0.07096
  • SD of predictor
    0.18294
  • SD of criterion
    0.22613
  • Covariance
    -0.00102
  • r
    -0.02477
  • b (slope, estimate of beta)
    -0.03062
  • a (intercept, estimate of alpha)
    -0.06387
  • Mean Square Error
    0.05293
  • DF error
    28.00000
  • t(b)
    -0.13112
  • p(b)
    0.55169
  • t(a)
    -0.41143
  • p(a)
    0.65806
  • Lowerbound of 95% confidence interval for beta
    -0.50896
  • Upperbound of 95% confidence interval for beta
    0.44772
  • Lowerbound of 95% confidence interval for alpha
    -0.38186
  • Upperbound of 95% confidence interval for alpha
    0.25412
  • Treynor index (mean / b)
    2.31767
  • Jensen alpha (a)
    -0.06387
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09599
  • SD
    0.22687
  • Sharpe ratio (Glass type estimate)
    -0.42310
  • Sharpe ratio (Hedges UMVUE)
    -0.41205
  • df
    29.00000
  • t
    -0.66898
  • p
    0.74560
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83207
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55524
  • Upside Potential Ratio
    1.16828
  • Upside part of mean
    0.20197
  • Downside part of mean
    -0.29796
  • Upside SD
    0.14365
  • Downside SD
    0.17288
  • N nonnegative terms
    7.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.21354
  • Mean of criterion
    -0.09599
  • SD of predictor
    0.18143
  • SD of criterion
    0.22687
  • Covariance
    -0.00125
  • r
    -0.03038
  • b (slope, estimate of beta)
    -0.03799
  • a (intercept, estimate of alpha)
    -0.08788
  • Mean Square Error
    0.05326
  • DF error
    28.00000
  • t(b)
    -0.16082
  • p(b)
    0.56330
  • t(a)
    -0.56905
  • p(a)
    0.71307
  • Lowerbound of 95% confidence interval for beta
    -0.52185
  • Upperbound of 95% confidence interval for beta
    0.44587
  • Lowerbound of 95% confidence interval for alpha
    -0.40422
  • Upperbound of 95% confidence interval for alpha
    0.22846
  • Treynor index (mean / b)
    2.52692
  • Jensen alpha (a)
    -0.08788
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10928
  • Expected Shortfall on VaR
    0.13307
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07021
  • Expected Shortfall on VaR
    0.12834
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.83042
  • Quartile 1
    0.95404
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.17236
  • Mean of quarter 1
    0.91918
  • Mean of quarter 2
    0.99371
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06726
  • Inter Quartile Range
    0.04596
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03333
  • Mean of outliers low
    0.83042
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.12876
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13832
  • VaR(95%) (moments method)
    0.08916
  • Expected Shortfall (moments method)
    0.12336
  • Extreme Value Index (regression method)
    0.57966
  • VaR(95%) (regression method)
    0.07741
  • Expected Shortfall (regression method)
    0.14289
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03906
  • Quartile 1
    0.13257
  • Median
    0.22608
  • Quartile 3
    0.31959
  • Maximum
    0.41311
  • Mean of quarter 1
    0.03906
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.41311
  • Inter Quartile Range
    0.18702
  • 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)
    -0.07742
  • Compounded annual return (geometric extrapolation)
    -0.08244
  • Calmar ratio (compounded annual return / max draw down)
    -0.19957
  • Compounded annual return / average of 25% largest draw downs
    -0.19957
  • Compounded annual return / Expected Shortfall lognormal
    -0.61953
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06956
  • SD
    0.22229
  • Sharpe ratio (Glass type estimate)
    -0.31293
  • Sharpe ratio (Hedges UMVUE)
    -0.31267
  • df
    882.00000
  • t
    -0.50136
  • p
    0.69188
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91058
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53609
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91076
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53810
  • Upside Potential Ratio
    7.27687
  • Upside part of mean
    0.94070
  • Downside part of mean
    -1.01027
  • Upside SD
    0.18072
  • Downside SD
    0.12927
  • N nonnegative terms
    187.00000
  • N negative terms
    696.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    883.00000
  • Mean of predictor
    0.21133
  • Mean of criterion
    -0.06956
  • SD of predictor
    0.21864
  • SD of criterion
    0.22229
  • Covariance
    -0.00275
  • r
    -0.05664
  • b (slope, estimate of beta)
    -0.05759
  • a (intercept, estimate of alpha)
    -0.05739
  • Mean Square Error
    0.04931
  • DF error
    881.00000
  • t(b)
    -1.68397
  • p(b)
    0.95373
  • t(a)
    -0.41351
  • p(a)
    0.66033
  • Lowerbound of 95% confidence interval for beta
    -0.12471
  • Upperbound of 95% confidence interval for beta
    0.00953
  • Lowerbound of 95% confidence interval for alpha
    -0.32979
  • Upperbound of 95% confidence interval for alpha
    0.21501
  • Treynor index (mean / b)
    1.20791
  • Jensen alpha (a)
    -0.05739
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09375
  • SD
    0.21896
  • Sharpe ratio (Glass type estimate)
    -0.42817
  • Sharpe ratio (Hedges UMVUE)
    -0.42780
  • df
    882.00000
  • t
    -0.68599
  • p
    0.75355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65159
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79570
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.71722
  • Upside Potential Ratio
    7.07633
  • Upside part of mean
    0.92497
  • Downside part of mean
    -1.01872
  • Upside SD
    0.17558
  • Downside SD
    0.13071
  • N nonnegative terms
    187.00000
  • N negative terms
    696.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    883.00000
  • Mean of predictor
    0.18741
  • Mean of criterion
    -0.09375
  • SD of predictor
    0.21858
  • SD of criterion
    0.21896
  • Covariance
    -0.00266
  • r
    -0.05555
  • b (slope, estimate of beta)
    -0.05565
  • a (intercept, estimate of alpha)
    -0.08332
  • Mean Square Error
    0.04785
  • DF error
    881.00000
  • t(b)
    -1.65138
  • p(b)
    0.95049
  • t(a)
    -0.60962
  • p(a)
    0.72886
  • Lowerbound of 95% confidence interval for beta
    -0.12178
  • Upperbound of 95% confidence interval for beta
    0.01049
  • Lowerbound of 95% confidence interval for alpha
    -0.35157
  • Upperbound of 95% confidence interval for alpha
    0.18493
  • Treynor index (mean / b)
    1.68474
  • Jensen alpha (a)
    -0.08332
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01950
  • Expected Shortfall on VaR
    0.02431
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00887
  • Expected Shortfall on VaR
    0.01753
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    883.00000
  • Minimum
    0.95265
  • Quartile 1
    0.99814
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.12963
  • Mean of quarter 1
    0.98851
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01095
  • Inter Quartile Range
    0.00186
  • Number outliers low
    179.00000
  • Percentage of outliers low
    0.20272
  • Mean of outliers low
    0.98655
  • Number of outliers high
    133.00000
  • Percentage of outliers high
    0.15062
  • Mean of outliers high
    1.01769
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.41985
  • VaR(95%) (moments method)
    0.00678
  • Expected Shortfall (moments method)
    0.00829
  • Extreme Value Index (regression method)
    -0.19285
  • VaR(95%) (regression method)
    0.01059
  • Expected Shortfall (regression method)
    0.01447
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01602
  • Quartile 1
    0.07500
  • Median
    0.13399
  • Quartile 3
    0.29739
  • Maximum
    0.46078
  • Mean of quarter 1
    0.01602
  • Mean of quarter 2
    0.13399
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.46078
  • Inter Quartile Range
    0.22238
  • 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)
    -0.07540
  • Compounded annual return (geometric extrapolation)
    -0.08038
  • Calmar ratio (compounded annual return / max draw down)
    -0.17445
  • Compounded annual return / average of 25% largest draw downs
    -0.17445
  • Compounded annual return / Expected Shortfall lognormal
    -3.30617
  • 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
    -0.00995
  • 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
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.56459
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.21862
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • 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
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.54049
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.21792
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -22064900000000000.00000
  • p(a)
    1.00000
  • 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
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    76857500000000001075811528474624.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • 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
    172.00000
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • 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

Furex Blue Series was launched on
6 Jan 2010
and was built on the main trading system by the RightSideTrader company.


This trading system is no longer supported through Collective2 due to the recent stricter NFA trading rules. As long as the listing fee here on Collective2 is active, signals will keep going coming through.


RightSideTrader.com

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. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • 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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