EuroSwarm
- 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
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)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | -6.0 | 7.0 | 5.4 | -3.8 | -3.9 | -2.0 | |||||||
| 2011 | -6.1 | -5.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -11.4 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 8/1/2010 |
|---|---|
| Suggested Minimum Capital | $5,000 |
| Age | 197 months |
| What it trades | Forex |
| # Trades | 93 |
| # Profitable | 52 |
| % Profitable | 55.9% |
| Avg trade duration | 14.1 hours |
| Max peak-to-valley drawdown | 14.9% |
| drawdown period | Nov 03, 2010 - June 21, 2014 |
| Annual return (compounded) | -0.2% |
| Avg win | $50 |
| Avg loss | $68 |
Ratios
| W:L ratio | 0.94 |
|---|---|
| Sharpe Ratio | -0.75 |
| Sortino Ratio | -0.94 |
| Calmar Ratio | -0.08 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 601.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -58.6% |
Return Statistics
| Ann Return (w trading costs) | -4.7% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -0.2% |
Slump
| Current Slump as Pcnt Equity | 24.8% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 1.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 43.8% |
|---|---|
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| 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 Automated | 50.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $68 |
|---|---|
| Avg Win | $50 |
| # Winners | 52 |
| Sum Trade PL (losers) | $2,773 |
| Sum Trade PL (winners) | $2,604 |
| Num Months Winners | 2 |
| # Losers | 41 |
| % Winners | 55.9% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 195 |
|---|
Frequency
| Avg Position Time (mins) | 843.78 |
|---|---|
| Avg Position Time (hrs) | 14.06 |
| Avg Trade Length | 0.60 |
| Last Trade Ago | 5727 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | -6.40 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| 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 Strats | 45.50 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 28.44 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.63 |
| 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 Negative | 0.0% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| EUR/USD | long | 10 | Jan 31, 2011 | Feb 14, 2011 | ($250) |
| EUR/USD | long | 10 | Jan 28, 2011 | Jan 28, 2011 | ($8) |
| EUR/USD | long | 10 | Jan 24, 2011 | Jan 25, 2011 | $9 |
| EUR/USD | short | 10 | Jan 24, 2011 | Jan 24, 2011 | ($49) |
| EUR/USD | long | 10 | Jan 21, 2011 | Jan 23, 2011 | $72 |
| EUR/USD | long | 10 | Jan 13, 2011 | Jan 14, 2011 | $104 |
| EUR/USD | short | 10 | Jan 13, 2011 | Jan 13, 2011 | ($53) |
| EUR/USD | long | 10 | Jan 10, 2011 | Jan 11, 2011 | $6 |
| EUR/USD | long | 10 | Jan 4, 2011 | Jan 5, 2011 | ($250) |
| EUR/USD | long | 10 | Dec 31, 2010 | Jan 3, 2011 | ($102) |
| EUR/USD | long | 10 | Dec 30, 2010 | Dec 31, 2010 | ($9) |
| EUR/USD | short | 10 | Dec 29, 2010 | Dec 30, 2010 | ($18) |
| EUR/USD | long | 10 | Dec 29, 2010 | Dec 29, 2010 | $62 |
| EUR/USD | short | 10 | Dec 28, 2010 | Dec 28, 2010 | $10 |
| EUR/USD | short | 10 | Dec 23, 2010 | Dec 24, 2010 | ($61) |
| EUR/USD | short | 10 | Dec 22, 2010 | Dec 23, 2010 | ($39) |
| EUR/USD | short | 10 | Dec 17, 2010 | Dec 17, 2010 | $77 |
| EUR/USD | long | 10 | Dec 15, 2010 | Dec 16, 2010 | ($126) |
| EUR/USD | long | 10 | Dec 15, 2010 | Dec 15, 2010 | ($49) |
| EUR/USD | short | 10 | Dec 14, 2010 | Dec 14, 2010 | ($25) |
| EUR/USD | long | 10 | Dec 13, 2010 | Dec 13, 2010 | $93 |
| EUR/USD | long | 10 | Dec 7, 2010 | Dec 7, 2010 | ($73) |
| EUR/USD | long | 10 | Dec 3, 2010 | Dec 3, 2010 | $20 |
| EUR/USD | short | 10 | Dec 3, 2010 | Dec 3, 2010 | $8 |
| EUR/USD | long | 10 | Dec 1, 2010 | Dec 1, 2010 | $45 |
| EUR/USD | short | 10 | Nov 29, 2010 | Nov 29, 2010 | ($25) |
| EUR/USD | short | 10 | Nov 22, 2010 | Nov 22, 2010 | $48 |
| EUR/USD | long | 10 | Nov 18, 2010 | Nov 18, 2010 | ($4) |
| EUR/USD | long | 10 | Nov 17, 2010 | Nov 18, 2010 | $104 |
| EUR/USD | long | 10 | Nov 17, 2010 | Nov 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.