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FX_4U
(56846842)

Created by: AlexanderNikolov AlexanderNikolov
Started: 01/2011
Forex
Last trade: 3,769 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. Subscriptions to this system cost $99.00 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.

12.4%
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
567
Num Trades
94.4%
Win Trades
1.2 : 1
Profit Factor
24.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011+3.4%+29.5%+13.5%(33.8%)+165.3%+19.8%+38.0%+36.5%(51.9%)+21.6%(52.3%)+127.5%+282.7%
2012+68.0%+9.4%(36.2%)+73.1%(36.9%)+89.6%(55.7%)+70.4%+50.3%+46.2%+18.9%+5.4%+405.2%
2013+9.2%(28.1%)+16.8%+11.3%(10.5%)(10.1%)(11.3%)+37.3%+37.0%+13.5%(79.9%)(203.3%)(132.3%)
2014(18.4%)(0.7%)(0.6%)(0.6%)(4%)(1.4%)(2.8%)(8.5%)(24.9%)(13%)(39.3%)(11.3%)-
2015(15.6%)(10.7%)(10.5%)(10.4%)(49.5%)(20.2%)(11.2%)(47%)(16.7%)(7.8%)(19.3%)(27.7%)-
2016(7.2%)(116.3%)(9.5%)(42.5%)(11.6%)(53.8%)(4.4%)(4.1%)(2%)(17.5%)(27.9%)(35.5%)(37.2%)
2017(16.7%)(25.1%)(9.3%)(4.5%)(2.1%)(8.1%)(10.5%)(8.1%)(16.8%)(5.7%)(14.3%)(8.7%)(39.7%)
2018(27%)(11.1%)(2.6%)(12.9%)(2%)(7.5%)(1.9%)(1.8%)(14.4%)(2.5%)(2.6%)(23.6%)(16.2%)
2019(5.3%)(6.4%)(0.5%)(7.3%)(8%)(19.6%)(5.2%)(13.1%)(10.6%)(3.9%)(1.5%)(6.1%)(4.1%)
2020(7.6%)(9.8%)(12.4%)(4.6%)(0.7%)(3.8%)(7.5%)(4.9%)(3.2%)(4.3%)(2.9%)(1.7%)(35.3%)
2021(3.1%)(8%)(21%)(14.7%)(11.1%)(6%)(7.1%)(0.5%)(6.9%)(17.1%)(3.1%)(13.6%)-
2022(0.1%)(1.3%)(51.7%)(110%)(234.2%)(752.8%)+3.3%+13.2%+80.8%+22.3%(43.3%)(51.3%)(130.5%)
2023(66.9%)+365.3%(69.6%)+133.3%+110.4%+29.3%(15.5%)+35.0%+12.9%+8.7%(13.8%)(28.9%)+154.8%
2024+44.6%+11.0%+1.9%+11.4%                                                +82.0%

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

This strategy has placed 807 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4115 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/13/13 9:17 GBP/JPY GBP/JPY SHORT 150 159.836 12/30 1:04 171.532 1501.1%
Trade id #84049261
Max drawdown($167,343)
Time12/30/13 1:04
Quant open148
Worst price173.553
Drawdown as % of equity1501.10%
 ($113,453)
11/14/13 7:55 GBP/USD GBP/USD SHORT 100 1.60471 12/27 12:34 1.63234 275.22%
Trade id #84074527
Max drawdown($27,632)
Time12/27/13 12:34
Quant open93
Worst price1.64988
Drawdown as % of equity275.22%
 ($27,632)
11/13/13 17:01 EUR/JPY EUR/JPY SHORT 100 133.935 11/27 10:04 135.970 29.24%
Trade id #84062578
Max drawdown($19,876)
Time11/27/13 10:04
Quant open98
Worst price138.752
Drawdown as % of equity-29.24%
 ($13,159)
11/14/13 4:55 GBP/USD GBP/USD SHORT 50 1.60104 11/14 6:16 1.59981 0.18%
Trade id #84072249
Max drawdown($335)
Time11/14/13 5:26
Quant open-50
Worst price1.60171
Drawdown as % of equity-0.18%
 $615
11/13/13 7:13 GBP/USD GBP/USD SHORT 100 1.60139 11/14 4:45 1.59954 2.4%
Trade id #84047374
Max drawdown($4,650)
Time11/13/13 16:51
Quant open-50
Worst price1.60666
Drawdown as % of equity-2.40%
 $1,850
11/13/13 11:54 EUR/USD EUR/USD SHORT 100 1.34694 11/14 3:59 1.34573 1.39%
Trade id #84055188
Max drawdown($2,700)
Time11/13/13 17:25
Quant open-100
Worst price1.34964
Drawdown as % of equity-1.39%
 $1,210
11/13/13 11:55 USD/CHF USD/CHF LONG 50 0.91549 11/14 3:59 0.91633 0.97%
Trade id #84055207
Max drawdown($1,880)
Time11/13/13 17:01
Quant open50
Worst price0.91205
Drawdown as % of equity-0.97%
 $462
11/13/13 10:02 EUR/USD EUR/USD SHORT 50 1.34014 11/13 10:24 1.33941 0.17%
Trade id #84050988
Max drawdown($330)
Time11/13/13 10:05
Quant open-50
Worst price1.34080
Drawdown as % of equity-0.17%
 $365
11/13/13 10:01 EUR/JPY EUR/JPY SHORT 50 133.396 11/13 10:24 133.306 0.21%
Trade id #84050983
Max drawdown($399)
Time11/13/13 10:09
Quant open-50
Worst price133.476
Drawdown as % of equity-0.21%
 $291
11/13/13 7:14 EUR/USD EUR/USD SHORT 100 1.34346 11/13 9:37 1.34207 0.82%
Trade id #84047379
Max drawdown($1,570)
Time11/13/13 9:21
Quant open-50
Worst price1.34531
Drawdown as % of equity-0.82%
 $1,400
11/13/13 9:18 EUR/JPY EUR/JPY SHORT 50 133.700 11/13 9:36 133.537 0.14%
Trade id #84049273
Max drawdown($269)
Time11/13/13 9:21
Quant open-50
Worst price133.754
Drawdown as % of equity-0.14%
 $527
11/13/13 7:15 GBP/JPY GBP/JPY SHORT 50 158.922 11/13 8:02 158.788 0.06%
Trade id #84047393
Max drawdown($109)
Time11/13/13 7:22
Quant open-50
Worst price158.944
Drawdown as % of equity-0.06%
 $433
11/11/13 5:57 EUR/GBP EUR/GBP SHORT 100 0.84062 11/13 7:31 0.84008 4.92%
Trade id #83997575
Max drawdown($9,080)
Time11/12/13 22:37
Quant open-100
Worst price0.84625
Drawdown as % of equity-4.92%
 $662
11/13/13 2:22 EUR/JPY EUR/JPY SHORT 50 133.762 11/13 5:02 133.511 0.13%
Trade id #84043421
Max drawdown($239)
Time11/13/13 2:34
Quant open-50
Worst price133.810
Drawdown as % of equity-0.13%
 $812
11/12/13 10:11 GBP/JPY GBP/JPY SHORT 50 158.658 11/12 11:56 158.584 0.28%
Trade id #84026329
Max drawdown($524)
Time11/12/13 10:31
Quant open-50
Worst price158.763
Drawdown as % of equity-0.28%
 $239
11/12/13 10:57 GBP/USD GBP/USD SHORT 50 1.59282 11/12 11:56 1.59172 0.03%
Trade id #84027909
Max drawdown($60)
Time11/12/13 11:00
Quant open-50
Worst price1.59294
Drawdown as % of equity-0.03%
 $550
11/12/13 10:11 EUR/JPY EUR/JPY SHORT 50 133.889 11/12 11:55 133.778 0.17%
Trade id #84026318
Max drawdown($309)
Time11/12/13 10:20
Quant open-50
Worst price133.951
Drawdown as % of equity-0.17%
 $359
11/12/13 10:13 USD/CHF USD/CHF LONG 50 0.91625 11/12 11:54 0.91744 0.15%
Trade id #84026391
Max drawdown($279)
Time11/12/13 10:38
Quant open50
Worst price0.91574
Drawdown as % of equity-0.15%
 $654
11/12/13 10:10 EUR/USD EUR/USD SHORT 50 1.34539 11/12 11:54 1.34301 n/a $1,190
11/11/13 3:24 EUR/USD EUR/USD SHORT 100 1.33888 11/12 4:24 1.33740 1.41%
Trade id #83995345
Max drawdown($2,625)
Time11/11/13 12:24
Quant open-100
Worst price1.34151
Drawdown as % of equity-1.41%
 $1,480
11/11/13 3:01 GBP/USD GBP/USD SHORT 50 1.60082 11/11 5:57 1.59953 0.33%
Trade id #83994973
Max drawdown($623)
Time11/11/13 4:44
Quant open-50
Worst price1.60207
Drawdown as % of equity-0.33%
 $647
11/11/13 5:55 EUR/GBP EUR/GBP LONG 50 0.83807 11/11 5:57 0.83814 0.14%
Trade id #83997537
Max drawdown($265)
Time11/11/13 5:57
Quant open50
Worst price0.83774
Drawdown as % of equity-0.14%
 $43
11/11/13 2:57 GBP/JPY GBP/JPY LONG 20 158.450 11/11 3:20 158.434 0.08%
Trade id #83994921
Max drawdown($157)
Time11/11/13 3:13
Quant open20
Worst price158.371
Drawdown as % of equity-0.08%
 ($21)
11/8/13 4:30 EUR/USD EUR/USD SHORT 50 1.34156 11/8 8:39 1.33748 0.59%
Trade id #83965867
Max drawdown($1,060)
Time11/8/13 8:20
Quant open-50
Worst price1.34368
Drawdown as % of equity-0.59%
 $2,040
11/8/13 8:18 USD/CHF USD/CHF LONG 50 0.91619 11/8 8:39 0.91965 0.32%
Trade id #83968300
Max drawdown($572)
Time11/8/13 8:31
Quant open50
Worst price0.91514
Drawdown as % of equity-0.32%
 $1,901
11/8/13 7:34 GBP/USD GBP/USD SHORT 50 1.60665 11/8 8:39 1.60236 0.55%
Trade id #83967778
Max drawdown($975)
Time11/8/13 8:21
Quant open-50
Worst price1.60860
Drawdown as % of equity-0.55%
 $2,145
11/8/13 8:17 USD/JPY USD/JPY LONG 50 98.052 11/8 8:39 98.701 0.18%
Trade id #83968238
Max drawdown($316)
Time11/8/13 8:31
Quant open50
Worst price97.989
Drawdown as % of equity-0.18%
 $2,099
11/7/13 12:45 EUR/USD EUR/USD SHORT 100 1.34205 11/7 16:45 1.34173 1.59%
Trade id #83951046
Max drawdown($2,805)
Time11/7/13 14:33
Quant open-100
Worst price1.34486
Drawdown as % of equity-1.59%
 $325
11/7/13 12:46 USD/CHF USD/CHF LONG 100 0.91567 11/7 15:13 0.91587 1.43%
Trade id #83951074
Max drawdown($2,533)
Time11/7/13 14:33
Quant open100
Worst price0.91333
Drawdown as % of equity-1.43%
 $225
11/7/13 14:08 USD/JPY USD/JPY LONG 100 97.808 11/7 14:53 97.840 0.84%
Trade id #83952827
Max drawdown($1,478)
Time11/7/13 14:33
Quant open100
Worst price97.662
Drawdown as % of equity-0.84%
 $204
Next

Statistics

  • Strategy began
    1/17/2011
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    4841.34
  • Age
    162 months ago
  • What it trades
    Forex
  • # Trades
    567
  • # Profitable
    535
  • % Profitable
    94.40%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 28, 2011 - Aug 20, 2016
  • Annual Return (Compounded)
    12.4%
  • Avg win
    $532.72
  • Avg loss
    $7,687
  • Model Account Values (Raw)
  • Cash
    $43,988
  • Margin Used
    $0
  • Buying Power
    $43,988
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    -0.34
  • Sortino Ratio
    -0.34
  • Calmar Ratio
    0.375
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    85.26%
  • Correlation to SP500
    0.08760
  • Return Percent SP500 (cumu) during strategy life
    292.16%
  • Return Statistics
  • Ann Return (w trading costs)
    12.4%
  • Slump
  • Current Slump as Pcnt Equity
    648.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.79%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.124%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.8%
  • 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
    $7,687
  • Avg Win
    $533
  • Sum Trade PL (losers)
    $245,987.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $285,004.000
  • # Winners
    535
  • Num Months Winners
    24
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    32
  • % Winners
    94.4%
  • Frequency
  • Avg Position Time (mins)
    4369.33
  • Avg Position Time (hrs)
    72.82
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    3764
  • Regression
  • Alpha
    0.00
  • Beta
    1.43
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    74.77
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    57.04
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.35
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.39
  • Avg(MAE) / Avg(PL) - All trades
    49.333
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.995
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.611
  • Hold-and-Hope Ratio
    0.020
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3045.20000
  • SD
    4330.01000
  • Sharpe ratio (Glass type estimate)
    0.70328
  • Sharpe ratio (Hedges UMVUE)
    0.69398
  • df
    57.00000
  • t
    1.54614
  • p
    0.06380
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20658
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59455
  • Statistics related to Sortino ratio
  • Sortino ratio
    2616.58000
  • Upside Potential Ratio
    2618.16000
  • Upside part of mean
    3047.04000
  • Downside part of mean
    -1.84430
  • Upside SD
    4381.61000
  • Downside SD
    1.16381
  • N nonnegative terms
    31.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.25505
  • Mean of criterion
    3045.20000
  • SD of predictor
    0.19521
  • SD of criterion
    4330.01000
  • Covariance
    147.06800
  • r
    0.17399
  • b (slope, estimate of beta)
    3859.37000
  • a (intercept, estimate of alpha)
    2060.88000
  • Mean Square Error
    18506100.00000
  • DF error
    56.00000
  • t(b)
    1.32220
  • p(b)
    0.09574
  • t(a)
    0.98438
  • p(a)
    0.16458
  • Lowerbound of 95% confidence interval for beta
    -1987.89000
  • Upperbound of 95% confidence interval for beta
    9706.63000
  • Lowerbound of 95% confidence interval for alpha
    -2133.06000
  • Upperbound of 95% confidence interval for alpha
    6254.81000
  • Treynor index (mean / b)
    0.78904
  • Jensen alpha (a)
    2060.88000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24067
  • SD
    10.49950
  • Sharpe ratio (Glass type estimate)
    0.02292
  • Sharpe ratio (Hedges UMVUE)
    0.02262
  • df
    57.00000
  • t
    0.05039
  • p
    0.47999
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91414
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03146
  • Upside Potential Ratio
    1.11705
  • Upside part of mean
    8.54612
  • Downside part of mean
    -8.30544
  • Upside SD
    7.05783
  • Downside SD
    7.65060
  • N nonnegative terms
    31.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.23400
  • Mean of criterion
    0.24067
  • SD of predictor
    0.19027
  • SD of criterion
    10.49950
  • Covariance
    0.33789
  • r
    0.16913
  • b (slope, estimate of beta)
    9.33316
  • a (intercept, estimate of alpha)
    -1.94327
  • Mean Square Error
    108.99900
  • DF error
    56.00000
  • t(b)
    1.28419
  • p(b)
    0.10218
  • t(a)
    -0.38525
  • p(a)
    0.64924
  • Lowerbound of 95% confidence interval for beta
    -5.22593
  • Upperbound of 95% confidence interval for beta
    23.89220
  • Lowerbound of 95% confidence interval for alpha
    -12.04800
  • Upperbound of 95% confidence interval for alpha
    8.16144
  • Treynor index (mean / b)
    0.02579
  • Jensen alpha (a)
    -1.94327
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99303
  • Expected Shortfall on VaR
    0.99705
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.33601
  • Expected Shortfall on VaR
    0.68508
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    58.00000
  • Minimum
    0.00002
  • Quartile 1
    0.82752
  • Median
    1.09379
  • Quartile 3
    1.31220
  • Maximum
    8478.00000
  • Mean of quarter 1
    0.42640
  • Mean of quarter 2
    0.98980
  • Mean of quarter 3
    1.21082
  • Mean of quarter 4
    982.62500
  • Inter Quartile Range
    0.48468
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.06897
  • Mean of outliers low
    0.00057
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.13793
  • Mean of outliers high
    1841.10000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08826
  • VaR(95%) (moments method)
    0.48109
  • Expected Shortfall (moments method)
    0.64536
  • Extreme Value Index (regression method)
    -2.55029
  • VaR(95%) (regression method)
    0.43088
  • Expected Shortfall (regression method)
    0.43378
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.24130
  • Quartile 1
    0.31165
  • Median
    0.49420
  • Quartile 3
    0.67766
  • Maximum
    0.99999
  • Mean of quarter 1
    0.27186
  • Mean of quarter 2
    0.33936
  • Mean of quarter 3
    0.64903
  • Mean of quarter 4
    0.84360
  • Inter Quartile Range
    0.36601
  • 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)
    0.55086
  • Compounded annual return (geometric extrapolation)
    0.30811
  • Calmar ratio (compounded annual return / max draw down)
    0.30811
  • Compounded annual return / average of 25% largest draw downs
    0.36523
  • Compounded annual return / Expected Shortfall lognormal
    0.30902
  • 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
    3436.04000
  • SD
    2447.86000
  • Sharpe ratio (Glass type estimate)
    1.40369
  • Sharpe ratio (Hedges UMVUE)
    1.40287
  • df
    1286.00000
  • t
    3.11107
  • p
    0.45678
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28885
  • Statistics related to Sortino ratio
  • Sortino ratio
    1480.58000
  • Upside Potential Ratio
    1485.34000
  • Upside part of mean
    3447.08000
  • Downside part of mean
    -11.04230
  • Upside SD
    2456.10000
  • Downside SD
    2.32074
  • N nonnegative terms
    513.00000
  • N negative terms
    774.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1287.00000
  • Mean of predictor
    0.28279
  • Mean of criterion
    3436.04000
  • SD of predictor
    0.25824
  • SD of criterion
    2447.86000
  • Covariance
    28.59420
  • r
    0.04523
  • b (slope, estimate of beta)
    428.77800
  • a (intercept, estimate of alpha)
    3314.79000
  • Mean Square Error
    5984410.00000
  • DF error
    1285.00000
  • t(b)
    1.62318
  • p(b)
    0.47121
  • t(a)
    2.99634
  • p(a)
    0.44703
  • Lowerbound of 95% confidence interval for beta
    -89.45420
  • Upperbound of 95% confidence interval for beta
    947.01000
  • Lowerbound of 95% confidence interval for alpha
    1144.48000
  • Upperbound of 95% confidence interval for alpha
    5485.10000
  • Treynor index (mean / b)
    8.01356
  • Jensen alpha (a)
    3314.79000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29046
  • SD
    17.63230
  • Sharpe ratio (Glass type estimate)
    0.01647
  • Sharpe ratio (Hedges UMVUE)
    0.01646
  • df
    1286.00000
  • t
    0.03651
  • p
    0.49949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90079
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90078
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02293
  • Upside Potential Ratio
    2.53922
  • Upside part of mean
    32.15820
  • Downside part of mean
    -31.86780
  • Upside SD
    12.25830
  • Downside SD
    12.66460
  • N nonnegative terms
    513.00000
  • N negative terms
    774.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1287.00000
  • Mean of predictor
    0.24919
  • Mean of criterion
    0.29046
  • SD of predictor
    0.25900
  • SD of criterion
    17.63230
  • Covariance
    0.38517
  • r
    0.08434
  • b (slope, estimate of beta)
    5.74184
  • a (intercept, estimate of alpha)
    -1.14034
  • Mean Square Error
    308.92800
  • DF error
    1285.00000
  • t(b)
    3.03419
  • p(b)
    0.44637
  • t(a)
    -0.14354
  • p(a)
    0.50255
  • Lowerbound of 95% confidence interval for beta
    2.02935
  • Upperbound of 95% confidence interval for beta
    9.45432
  • Lowerbound of 95% confidence interval for alpha
    -16.72560
  • Upperbound of 95% confidence interval for alpha
    14.44490
  • Treynor index (mean / b)
    0.05059
  • Jensen alpha (a)
    -1.14034
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.83315
  • Expected Shortfall on VaR
    0.88669
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10615
  • Expected Shortfall on VaR
    0.23609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1287.00000
  • Minimum
    0.00011
  • Quartile 1
    0.97894
  • Median
    1.00000
  • Quartile 3
    1.03466
  • Maximum
    3454.00000
  • Mean of quarter 1
    0.83561
  • Mean of quarter 2
    0.99620
  • Mean of quarter 3
    1.01022
  • Mean of quarter 4
    53.57630
  • Inter Quartile Range
    0.05573
  • Number outliers low
    124.00000
  • Percentage of outliers low
    0.09635
  • Mean of outliers low
    0.65689
  • Number of outliers high
    134.00000
  • Percentage of outliers high
    0.10412
  • Mean of outliers high
    127.24500
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.87943
  • VaR(95%) (moments method)
    0.13036
  • Expected Shortfall (moments method)
    1.18292
  • Extreme Value Index (regression method)
    -0.12369
  • VaR(95%) (regression method)
    0.10880
  • Expected Shortfall (regression method)
    0.15259
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00048
  • Quartile 1
    0.02321
  • Median
    0.10947
  • Quartile 3
    0.35730
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00842
  • Mean of quarter 2
    0.05925
  • Mean of quarter 3
    0.17089
  • Mean of quarter 4
    0.64066
  • Inter Quartile Range
    0.33410
  • 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
    0.02500
  • Mean of outliers high
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.17609
  • VaR(95%) (moments method)
    0.69865
  • Expected Shortfall (moments method)
    0.81678
  • Extreme Value Index (regression method)
    -0.05744
  • VaR(95%) (regression method)
    0.66626
  • Expected Shortfall (regression method)
    0.78416
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76897
  • Compounded annual return (geometric extrapolation)
    0.37488
  • Calmar ratio (compounded annual return / max draw down)
    0.37488
  • Compounded annual return / average of 25% largest draw downs
    0.58515
  • Compounded annual return / Expected Shortfall lognormal
    0.42279
  • 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
    2364.44000
  • SD
    1664.47000
  • Sharpe ratio (Glass type estimate)
    1.42053
  • Sharpe ratio (Hedges UMVUE)
    1.41232
  • df
    130.00000
  • t
    1.00447
  • p
    0.45612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18944
  • Statistics related to Sortino ratio
  • Sortino ratio
    2289.69000
  • Upside Potential Ratio
    2295.13000
  • Upside part of mean
    2370.06000
  • Downside part of mean
    -5.61680
  • Upside SD
    1664.53000
  • Downside SD
    1.03265
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54172
  • Mean of criterion
    2364.44000
  • SD of predictor
    0.41289
  • SD of criterion
    1664.47000
  • Covariance
    22.53190
  • r
    0.03279
  • b (slope, estimate of beta)
    132.16800
  • a (intercept, estimate of alpha)
    2292.84000
  • Mean Square Error
    2788950.00000
  • DF error
    129.00000
  • t(b)
    0.37257
  • p(b)
    0.47913
  • t(a)
    0.96762
  • p(a)
    0.44602
  • Lowerbound of 95% confidence interval for beta
    -569.69900
  • Upperbound of 95% confidence interval for beta
    834.03500
  • Lowerbound of 95% confidence interval for alpha
    -2395.40000
  • Upperbound of 95% confidence interval for alpha
    6981.09000
  • Treynor index (mean / b)
    17.88970
  • Jensen alpha (a)
    2292.84000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    21.35540
  • SD
    10.23940
  • Sharpe ratio (Glass type estimate)
    2.08562
  • Sharpe ratio (Hedges UMVUE)
    2.07357
  • df
    130.00000
  • t
    1.47476
  • p
    0.43586
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85681
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.40960
  • Upside Potential Ratio
    22.53370
  • Upside part of mean
    27.64090
  • Downside part of mean
    -6.28543
  • Upside SD
    10.21180
  • Downside SD
    1.22665
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45655
  • Mean of criterion
    21.35540
  • SD of predictor
    0.41329
  • SD of criterion
    10.23940
  • Covariance
    0.10369
  • r
    0.02450
  • b (slope, estimate of beta)
    0.60710
  • a (intercept, estimate of alpha)
    21.07830
  • Mean Square Error
    105.59400
  • DF error
    129.00000
  • t(b)
    0.27840
  • p(b)
    0.48440
  • t(a)
    1.44705
  • p(a)
    0.41976
  • VAR (95 Confidence Intrvl)
    0.83300
  • Lowerbound of 95% confidence interval for beta
    -3.70748
  • Upperbound of 95% confidence interval for beta
    4.92167
  • Lowerbound of 95% confidence interval for alpha
    -7.74163
  • Upperbound of 95% confidence interval for alpha
    49.89820
  • Treynor index (mean / b)
    35.17640
  • Jensen alpha (a)
    21.07830
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.61673
  • Expected Shortfall on VaR
    0.69838
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04919
  • Expected Shortfall on VaR
    0.10870
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.63320
  • Quartile 1
    0.99986
  • Median
    1.00000
  • Quartile 3
    1.05707
  • Maximum
    1178.00000
  • Mean of quarter 1
    0.91512
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.02271
  • Mean of quarter 4
    36.88820
  • Inter Quartile Range
    0.05721
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.81024
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    85.47930
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.23540
  • VaR(95%) (moments method)
    0.00203
  • Expected Shortfall (moments method)
    0.00204
  • Extreme Value Index (regression method)
    -0.16909
  • VaR(95%) (regression method)
    0.06399
  • Expected Shortfall (regression method)
    0.09345
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01829
  • Quartile 1
    0.14044
  • Median
    0.25995
  • Quartile 3
    0.37546
  • Maximum
    0.43091
  • Mean of quarter 1
    0.06459
  • Mean of quarter 2
    0.16335
  • Mean of quarter 3
    0.35515
  • Mean of quarter 4
    0.41618
  • Inter Quartile Range
    0.23502
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -335702000
  • Max Equity Drawdown (num days)
    2031
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    87974.00000
  • Compounded annual return (geometric extrapolation)
    1934940000.00000
  • Calmar ratio (compounded annual return / max draw down)
    4490330000.00000
  • Compounded annual return / average of 25% largest draw downs
    4649330000.00000
  • Compounded annual return / Expected Shortfall lognormal
    2770620000.00000

Strategy Description

My main target is to prove that 5 000$ account can lead to...

500 000$. If you have any questions and comments - I`d be happy to get in touch with you.

No risk - no profit.

Therefore, if you are more conservative - control your own risk and account. If you need assistance - I can show You how to use protective automated stops in your platform.

Best regards,

Alexander Nikolov

Summary Statistics

Strategy began
2011-01-17
Suggested Minimum Capital
$5,000
# Trades
567
# Profitable
535
% Profitable
94.4%
Correlation S&P500
0.088
Sharpe Ratio
-0.34
Sortino Ratio
-0.34
Beta
1.43
Alpha
0.00

Latest Activity

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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.

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