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EuroSwarm

Forex · Started Aug 2010

hypothetical · Annual Return (Compounded)
-4.7%
Max Drawdown
14.9%
Trades
93
Win Trades
55.9%
Profit Factor
0.90
Win Months
1.0%

About this strategy

This is a slow and steady strategy that aims to deliver consistent returns on EURUSD with low downside deviation. It will enter trades upto 3 times daily if a strong enough signal exists.

Position sizing is paramount to this strategy working correctly as it uses a fixed fractional sizing policy. As your pot grows the position size increases, if the pot shrinks then the size is reduced - this is a natural brake to wiping out your capital in the event of the strategy ceasing to work. It uses a fixed stop loss of 250 pips, the position must be sized so that this represents no more than 5% of your capital. The virtual capital on C2 is set to $5k because the minimum allowable lot size, on C2, is 1.0 so 5k is needed to make 250pips = 5%. Please note that C2 uses an unusual lot size of 1 lot = $10k, on a normal broker account where 1 lot = $100k you will need to divide these sizes by 10 !

To use the correct scaling factor, divide your balance by the C2 virtual balance and then divide by 10 if you are using standard lot sizes.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2010-6.07.05.4-3.8-3.9-2.0
2011-6.1-5.60.00.00.00.00.00.00.00.00.00.0-11.4
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began8/1/2010
Suggested Minimum Capital$5,000
Age197 months
What it tradesForex
# Trades93
# Profitable52
% Profitable55.9%
Avg trade duration14.1 hours
Max peak-to-valley drawdown14.9%
drawdown periodNov 03, 2010 - June 21, 2014
Annual return (compounded)-0.2%
Avg win$50
Avg loss$68

Ratios

W:L ratio0.94
Sharpe Ratio-0.75
Sortino Ratio-0.94
Calmar Ratio-0.08

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life601.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-58.6%

Return Statistics

Ann Return (w trading costs)-4.7%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-0.2%

Slump

Current Slump as Pcnt Equity24.8%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex1.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss43.8%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated50.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$68
Avg Win$50
# Winners52
Sum Trade PL (losers)$2,773
Sum Trade PL (winners)$2,604
Num Months Winners2
# Losers41
% Winners55.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table195

Frequency

Avg Position Time (mins)843.78
Avg Position Time (hrs)14.06
Avg Trade Length0.60
Last Trade Ago5727

Regression

Alpha-0.01
Beta0
Treynor Index-6.40

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-14.40
MAE:PL (avg, all trades)-0.50
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats45.50
MAE:PL - Winning Trades - this strat Percentile of All Strats28.44
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.63
Avg(MAE) / Avg(PL) - Losing trades-1.25
Hold-and-Hope Ratio-0.07

RATIO STATISTICS

a (intercept, estimate of alpha)-0.03
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)1326
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
EUR/USD long10Jan 31, 2011Feb 14, 2011($250)
EUR/USD long10Jan 28, 2011Jan 28, 2011($8)
EUR/USD long10Jan 24, 2011Jan 25, 2011$9
EUR/USD short10Jan 24, 2011Jan 24, 2011($49)
EUR/USD long10Jan 21, 2011Jan 23, 2011$72
EUR/USD long10Jan 13, 2011Jan 14, 2011$104
EUR/USD short10Jan 13, 2011Jan 13, 2011($53)
EUR/USD long10Jan 10, 2011Jan 11, 2011$6
EUR/USD long10Jan 4, 2011Jan 5, 2011($250)
EUR/USD long10Dec 31, 2010Jan 3, 2011($102)
EUR/USD long10Dec 30, 2010Dec 31, 2010($9)
EUR/USD short10Dec 29, 2010Dec 30, 2010($18)
EUR/USD long10Dec 29, 2010Dec 29, 2010$62
EUR/USD short10Dec 28, 2010Dec 28, 2010$10
EUR/USD short10Dec 23, 2010Dec 24, 2010($61)
EUR/USD short10Dec 22, 2010Dec 23, 2010($39)
EUR/USD short10Dec 17, 2010Dec 17, 2010$77
EUR/USD long10Dec 15, 2010Dec 16, 2010($126)
EUR/USD long10Dec 15, 2010Dec 15, 2010($49)
EUR/USD short10Dec 14, 2010Dec 14, 2010($25)
EUR/USD long10Dec 13, 2010Dec 13, 2010$93
EUR/USD long10Dec 7, 2010Dec 7, 2010($73)
EUR/USD long10Dec 3, 2010Dec 3, 2010$20
EUR/USD short10Dec 3, 2010Dec 3, 2010$8
EUR/USD long10Dec 1, 2010Dec 1, 2010$45
EUR/USD short10Nov 29, 2010Nov 29, 2010($25)
EUR/USD short10Nov 22, 2010Nov 22, 2010$48
EUR/USD long10Nov 18, 2010Nov 18, 2010($4)
EUR/USD long10Nov 17, 2010Nov 18, 2010$104
EUR/USD long10Nov 17, 2010Nov 17, 2010($7)

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.