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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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AzureFX
(57397407)

Created by: JarvisMcCrary8 JarvisMcCrary8
Started: 02/2011
Forex
Last trade: 4,789 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 $149.00 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.

-16.9%
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
139
Num Trades
37.4%
Win Trades
0.4 : 1
Profit Factor
44.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011       (6%)(12.1%)+21.2%(5.7%)(2%)+11.8%(4.8%)(27.1%)+18.8%(13.3%)(1.1%)(26.8%)
2012+13.5%+0.3%(3.2%)(0.8%)(26%)+18.9%(1.3%)+2.1%+4.7%+1.6%+1.3%+2.5%+7.0%
2013+1.3%(8%)(0.5%)+1.0%(15.5%)(8.6%)+2.1%+0.3%+15.0%+1.3%(7.4%)(1.2%)(21%)
2014(8.2%)+8.7%+9.1%+1.5%(2.3%)+5.3%(9.4%)(2.3%)(24.1%)+0.9%(12%)(16.8%)(43.6%)
2015(14%)(1.6%)(24.7%)+14.6%(2%)+3.8%(29.7%)(16.7%)(6.8%)+3.1%  -  
2016(18%)+48.7%+71.5%+17.9%(43.3%)+20.5%+29.7%(6.3%)+11.3%(9.2%)(34.9%)(28%)(70.6%)
2017+70.5%+7.6%(3%)(0.7%)+12.7%+31.5%+17.6%+2.1%(8.4%)(19.6%)+10.9%+13.4%+191.2%
2018+25.4%(14.2%)(3.8%)(21.7%)(2.6%)(14.7%)+3.9%(7.2%)(2.5%)(27%)+31.4%(14.9%)(48.4%)
2019+12.4%(18.2%)+1.4%(21.2%)(5.4%)+22.7%  -  (30%)(11.4%)  -  +21.7%(20.3%)
2020(10.1%)(39.5%)(115.3%)(504%)+141.9%+55.1%+55.8%+9.7%(9.1%)(6.8%)+32.2%+18.1%+185.6%
2021(0.4%)+12.8%(28.7%)+20.5%+6.6%(20.3%)(3.9%)(1.1%)(8.9%)+13.4%(26.8%)+14.7%(32.5%)
2022(26%)+29.6%+9.2%(52.4%)+33.6%(35.4%)+14.6%(37.3%)(126.5%)(44.6%)(419.1%)+26.5%(52.2%)
2023+51.2%(39.4%)+22.1%+19.4%(25.4%)+38.0%+13.6%(34.6%)(23.7%)(21%)+140.8%+38.7%+105.7%
2024(29%)(17.6%)(22.3%)(18.4%)                                                (62.9%)

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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/15/11 17:49 EUR/AUD EUR/AUD LONG 6 1.41504 3/15 19:35 1.40912 0.45%
Trade id #58787745
Max drawdown($353)
Time3/15/11 19:35
Quant open0
Worst price1.40912
Drawdown as % of equity-0.45%
 ($353)
3/14/11 22:03 AUD/USD AUD/USD SHORT 6 1.00349 3/15 15:19 0.99136 n/a $728
3/15/11 14:57 EUR/USD EUR/USD LONG 40 1.40013 3/15 14:58 1.40010 0.02%
Trade id #58781560
Max drawdown($12)
Time3/15/11 14:58
Quant open0
Worst price1.40010
Drawdown as % of equity-0.02%
 ($12)
3/15/11 0:02 EUR/USD EUR/USD SHORT 8 1.39131 3/15 14:57 1.40006 0.89%
Trade id #58734242
Max drawdown($700)
Time3/15/11 14:57
Quant open0
Worst price1.40006
Drawdown as % of equity-0.89%
 ($700)
3/15/11 8:22 EUR/AUD EUR/AUD LONG 6 1.41239 3/15 14:28 1.40860 0.41%
Trade id #58755912
Max drawdown($331)
Time3/15/11 10:31
Quant open6
Worst price1.40681
Drawdown as % of equity-0.41%
 ($225)
3/15/11 8:20 EUR/AUD EUR/AUD LONG 6 1.40969 3/15 8:22 1.41225 n/a $151
3/14/11 13:11 EUR/USD EUR/USD LONG 6 1.40010 3/15 0:02 1.39131 0.67%
Trade id #58708428
Max drawdown($527)
Time3/15/11 0:02
Quant open0
Worst price1.39131
Drawdown as % of equity-0.67%
 ($527)
3/14/11 11:11 AUD/USD AUD/USD SHORT 6 1.00623 3/14 13:12 1.00949 0.25%
Trade id #58701692
Max drawdown($196)
Time3/14/11 13:12
Quant open0
Worst price1.00949
Drawdown as % of equity-0.25%
 ($196)
3/13/11 17:58 EUR/USD EUR/USD LONG 6 1.39741 3/14 4:17 1.39149 0.45%
Trade id #58665139
Max drawdown($355)
Time3/14/11 4:17
Quant open0
Worst price1.39149
Drawdown as % of equity-0.45%
 ($355)
3/11/11 9:33 AUD/USD AUD/USD LONG 6 1.00329 3/13 21:04 1.00890 0.03%
Trade id #58622406
Max drawdown($22)
Time3/11/11 9:35
Quant open6
Worst price1.00291
Drawdown as % of equity-0.03%
 $337
3/13/11 18:13 EUR/AUD EUR/AUD LONG 24 1.38334 3/13 18:13 1.38220 0.34%
Trade id #58665677
Max drawdown($276)
Time3/13/11 18:13
Quant open0
Worst price1.38220
Drawdown as % of equity-0.34%
 ($276)
3/11/11 5:40 EUR/AUD EUR/AUD SHORT 16 1.37715 3/13 18:13 1.38334 1.23%
Trade id #58615651
Max drawdown($1,000)
Time3/13/11 18:13
Quant open0
Worst price1.38334
Drawdown as % of equity-1.23%
 ($1,000)
3/13/11 17:17 EUR/USD EUR/USD LONG 6 1.39015 3/13 17:58 1.39689 n/a $404
3/10/11 2:04 EUR/USD EUR/USD SHORT 6 1.38409 3/13 17:02 1.39015 0.45%
Trade id #58568481
Max drawdown($364)
Time3/13/11 1:12
Quant open6
Worst price0.00000
Drawdown as % of equity-0.45%
 ($364)
3/11/11 9:33 AUD/USD AUD/USD LONG 16 1.00322 3/11 9:33 1.00309 n/a ($21)
3/11/11 2:13 AUD/USD AUD/USD SHORT 6 0.99742 3/11 9:33 1.00324 n/a ($349)
3/11/11 2:06 EUR/AUD EUR/AUD LONG 14 1.38303 3/11 5:40 1.37715 n/a ($822)
3/8/11 3:29 EUR/AUD EUR/AUD SHORT 8 1.37741 3/11 2:06 1.38303 0.54%
Trade id #58489995
Max drawdown($449)
Time3/11/11 2:06
Quant open0
Worst price1.38303
Drawdown as % of equity-0.54%
 ($449)
3/10/11 20:03 AUD/USD AUD/USD LONG 6 1.00324 3/11 1:16 1.00010 0.23%
Trade id #58604684
Max drawdown($188)
Time3/10/11 21:57
Quant open6
Worst price0.00000
Drawdown as % of equity-0.23%
 ($188)
3/9/11 23:01 AUD/USD AUD/USD SHORT 6 1.00502 3/10 19:01 1.00187 n/a $189
3/9/11 19:30 AUD/USD AUD/USD SHORT 6 1.00674 3/9 20:21 1.01095 n/a ($253)
3/9/11 3:15 EUR/USD EUR/USD SHORT 6 1.38743 3/9 6:46 1.39325 n/a ($349)
3/8/11 2:45 EUR/USD EUR/USD SHORT 16 1.39457 3/8 18:12 1.39108 n/a $558
3/8/11 1:46 EUR/CHF EUR/CHF LONG 10 1.30187 3/8 8:11 1.29500 0.89%
Trade id #58487487
Max drawdown($736)
Time3/8/11 8:11
Quant open0
Worst price1.29500
Drawdown as % of equity-0.89%
 ($736)
3/7/11 12:17 EUR/AUD EUR/AUD LONG 16 1.38299 3/8 3:28 1.37729 1.12%
Trade id #58468134
Max drawdown($923)
Time3/8/11 3:28
Quant open0
Worst price1.37729
Drawdown as % of equity-1.12%
 ($923)
3/4/11 9:47 EUR/USD EUR/USD LONG 6 1.40057 3/8 2:45 1.39454 0.44%
Trade id #58408924
Max drawdown($362)
Time3/8/11 2:45
Quant open0
Worst price1.39454
Drawdown as % of equity-0.44%
 ($362)
3/4/11 8:36 EUR/CHF EUR/CHF SHORT 3 1.29605 3/8 1:45 1.30191 0.23%
Trade id #58404312
Max drawdown($189)
Time3/8/11 1:45
Quant open0
Worst price1.30191
Drawdown as % of equity-0.23%
 ($189)
3/6/11 18:13 EUR/AUD EUR/AUD SHORT 6 1.37722 3/7 12:17 1.38319 0.43%
Trade id #58438418
Max drawdown($362)
Time3/7/11 12:17
Quant open0
Worst price1.38319
Drawdown as % of equity-0.43%
 ($362)
3/4/11 8:47 EUR/AUD EUR/AUD LONG 6 1.38279 3/4 15:02 1.38013 0.25%
Trade id #58404702
Max drawdown($212)
Time3/4/11 11:12
Quant open6
Worst price1.37929
Drawdown as % of equity-0.25%
 ($162)
3/4/11 6:46 EUR/USD EUR/USD LONG 6 1.39763 3/4 8:56 1.39447 0.22%
Trade id #58402020
Max drawdown($190)
Time3/4/11 8:56
Quant open0
Worst price1.39447
Drawdown as % of equity-0.22%
 ($190)
Next

Statistics

  • Strategy began
    2/1/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4826.69
  • Age
    161 months ago
  • What it trades
    Forex
  • # Trades
    139
  • # Profitable
    52
  • % Profitable
    37.40%
  • Avg trade duration
    138.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    April 27, 2020 - Oct 13, 2022
  • Annual Return (Compounded)
    -16.9%
  • Avg win
    $929.56
  • Avg loss
    $1,575
  • Model Account Values (Raw)
  • Cash
    $77,647
  • Margin Used
    $10,421
  • Buying Power
    $846
  • Ratios
  • W:L ratio
    0.35:1
  • Sharpe Ratio
    -0.21
  • Sortino Ratio
    -0.21
  • Calmar Ratio
    -0.487
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -371.23%
  • Correlation to SP500
    0.20090
  • Return Percent SP500 (cumu) during strategy life
    287.86%
  • Return Statistics
  • Ann Return (w trading costs)
    -16.9%
  • Slump
  • Current Slump as Pcnt Equity
    1129.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.169%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -15.2%
  • 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)
    n/a
  • Automation
  • Percentage Signals Automated
    51.06%
  • 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
    $1,576
  • Avg Win
    $930
  • Sum Trade PL (losers)
    $137,071.000
  • Age
  • Num Months filled monthly returns table
    110
  • Win / Loss
  • Sum Trade PL (winners)
    $48,337.000
  • # Winners
    52
  • Num Months Winners
    47
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    87
  • % Winners
    37.4%
  • Frequency
  • Avg Position Time (mins)
    199654.00
  • Avg Position Time (hrs)
    3327.57
  • Avg Trade Length
    138.6 days
  • Last Trade Ago
    4784
  • Regression
  • Alpha
    0.00
  • Beta
    1.39
  • 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
    37.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    41.78
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.08
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.15
  • Avg(MAE) / Avg(PL) - All trades
    -1.837
  • 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
    0.219
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.265
  • Hold-and-Hope Ratio
    -0.728
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49080
  • SD
    1.66777
  • Sharpe ratio (Glass type estimate)
    0.29428
  • Sharpe ratio (Hedges UMVUE)
    0.28827
  • df
    37.00000
  • t
    0.52368
  • p
    0.30181
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81108
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39163
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67032
  • Upside Potential Ratio
    2.75851
  • Upside part of mean
    2.01973
  • Downside part of mean
    -1.52893
  • Upside SD
    1.48063
  • Downside SD
    0.73218
  • N nonnegative terms
    16.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.40131
  • Mean of criterion
    0.49080
  • SD of predictor
    0.28470
  • SD of criterion
    1.66777
  • Covariance
    0.05990
  • r
    0.12615
  • b (slope, estimate of beta)
    0.73901
  • a (intercept, estimate of alpha)
    0.19423
  • Mean Square Error
    2.81324
  • DF error
    36.00000
  • t(b)
    0.76302
  • p(b)
    0.22521
  • t(a)
    0.19050
  • p(a)
    0.42499
  • Lowerbound of 95% confidence interval for beta
    -1.22527
  • Upperbound of 95% confidence interval for beta
    2.70328
  • Lowerbound of 95% confidence interval for alpha
    -1.87350
  • Upperbound of 95% confidence interval for alpha
    2.26195
  • Treynor index (mean / b)
    0.66413
  • Jensen alpha (a)
    0.19423
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.53649
  • SD
    1.43576
  • Sharpe ratio (Glass type estimate)
    -0.37366
  • Sharpe ratio (Hedges UMVUE)
    -0.36602
  • df
    37.00000
  • t
    -0.66493
  • p
    0.74489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73853
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50038
  • Upside Potential Ratio
    1.32780
  • Upside part of mean
    1.42362
  • Downside part of mean
    -1.96011
  • Upside SD
    0.93895
  • Downside SD
    1.07216
  • N nonnegative terms
    16.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.35675
  • Mean of criterion
    -0.53649
  • SD of predictor
    0.27684
  • SD of criterion
    1.43576
  • Covariance
    0.12402
  • r
    0.31203
  • b (slope, estimate of beta)
    1.61826
  • a (intercept, estimate of alpha)
    -1.11381
  • Mean Square Error
    1.91240
  • DF error
    36.00000
  • t(b)
    1.97055
  • p(b)
    0.02825
  • t(a)
    -1.34111
  • p(a)
    0.90586
  • Lowerbound of 95% confidence interval for beta
    -0.04726
  • Upperbound of 95% confidence interval for beta
    3.28378
  • Lowerbound of 95% confidence interval for alpha
    -2.79817
  • Upperbound of 95% confidence interval for alpha
    0.57055
  • Treynor index (mean / b)
    -0.33152
  • Jensen alpha (a)
    -1.11381
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.51638
  • Expected Shortfall on VaR
    0.58877
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.32243
  • Expected Shortfall on VaR
    0.53795
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.24246
  • Quartile 1
    0.77387
  • Median
    0.97865
  • Quartile 3
    1.11477
  • Maximum
    2.90135
  • Mean of quarter 1
    0.64502
  • Mean of quarter 2
    0.86382
  • Mean of quarter 3
    1.02575
  • Mean of quarter 4
    1.61863
  • Inter Quartile Range
    0.34089
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.24246
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    2.19108
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11518
  • VaR(95%) (moments method)
    0.39108
  • Expected Shortfall (moments method)
    0.51880
  • Extreme Value Index (regression method)
    1.04877
  • VaR(95%) (regression method)
    0.34212
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.21406
  • Quartile 1
    0.39417
  • Median
    0.57429
  • Quartile 3
    0.75440
  • Maximum
    0.93451
  • Mean of quarter 1
    0.21406
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.93451
  • Inter Quartile Range
    0.36023
  • 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)
    -0.25270
  • Compounded annual return (geometric extrapolation)
    -0.39865
  • Calmar ratio (compounded annual return / max draw down)
    -0.42659
  • Compounded annual return / average of 25% largest draw downs
    -0.42659
  • Compounded annual return / Expected Shortfall lognormal
    -0.67709
  • 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
    1075.31000
  • SD
    1934.46000
  • Sharpe ratio (Glass type estimate)
    0.55587
  • Sharpe ratio (Hedges UMVUE)
    0.55538
  • df
    849.00000
  • t
    1.00123
  • p
    0.15850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64420
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64385
  • Statistics related to Sortino ratio
  • Sortino ratio
    850.17400
  • Upside Potential Ratio
    856.42100
  • Upside part of mean
    1083.22000
  • Downside part of mean
    -7.90125
  • Upside SD
    1934.47000
  • Downside SD
    1.26482
  • N nonnegative terms
    394.00000
  • N negative terms
    456.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    850.00000
  • Mean of predictor
    0.43260
  • Mean of criterion
    1075.31000
  • SD of predictor
    0.32416
  • SD of criterion
    1934.46000
  • Covariance
    -35.86670
  • r
    -0.05720
  • b (slope, estimate of beta)
    -341.32900
  • a (intercept, estimate of alpha)
    1222.97000
  • Mean Square Error
    3734310.00000
  • DF error
    848.00000
  • t(b)
    -1.66833
  • p(b)
    0.95219
  • t(a)
    1.13605
  • p(a)
    0.12813
  • Lowerbound of 95% confidence interval for beta
    -742.89800
  • Upperbound of 95% confidence interval for beta
    60.24050
  • Lowerbound of 95% confidence interval for alpha
    -889.96700
  • Upperbound of 95% confidence interval for alpha
    3335.92000
  • Treynor index (mean / b)
    -3.15038
  • Jensen alpha (a)
    1222.97000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.69615
  • SD
    6.62814
  • Sharpe ratio (Glass type estimate)
    -0.10503
  • Sharpe ratio (Hedges UMVUE)
    -0.10494
  • df
    849.00000
  • t
    -0.18918
  • p
    0.57500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98323
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15093
  • Upside Potential Ratio
    2.25464
  • Upside part of mean
    10.39960
  • Downside part of mean
    -11.09570
  • Upside SD
    4.75469
  • Downside SD
    4.61252
  • N nonnegative terms
    394.00000
  • N negative terms
    456.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    850.00000
  • Mean of predictor
    0.37951
  • Mean of criterion
    -0.69615
  • SD of predictor
    0.32549
  • SD of criterion
    6.62814
  • Covariance
    0.26110
  • r
    0.12102
  • b (slope, estimate of beta)
    2.46444
  • a (intercept, estimate of alpha)
    -1.63143
  • Mean Square Error
    43.33980
  • DF error
    848.00000
  • t(b)
    3.55036
  • p(b)
    0.00020
  • t(a)
    -0.44520
  • p(a)
    0.67186
  • Lowerbound of 95% confidence interval for beta
    1.10201
  • Upperbound of 95% confidence interval for beta
    3.82687
  • Lowerbound of 95% confidence interval for alpha
    -8.82390
  • Upperbound of 95% confidence interval for alpha
    5.56105
  • Treynor index (mean / b)
    -0.28248
  • Jensen alpha (a)
    -1.63143
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49146
  • Expected Shortfall on VaR
    0.56679
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07136
  • Expected Shortfall on VaR
    0.15162
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    850.00000
  • Minimum
    0.00049
  • Quartile 1
    0.96435
  • Median
    0.99888
  • Quartile 3
    1.02800
  • Maximum
    3485.33000
  • Mean of quarter 1
    0.89700
  • Mean of quarter 2
    0.98284
  • Mean of quarter 3
    1.01017
  • Mean of quarter 4
    17.48890
  • Inter Quartile Range
    0.06364
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.05294
  • Mean of outliers low
    0.75901
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.06000
  • Mean of outliers high
    69.65670
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45805
  • VaR(95%) (moments method)
    0.10419
  • Expected Shortfall (moments method)
    0.21525
  • Extreme Value Index (regression method)
    0.37298
  • VaR(95%) (regression method)
    0.08850
  • Expected Shortfall (regression method)
    0.15801
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00003
  • Quartile 1
    0.01095
  • Median
    0.07100
  • Quartile 3
    0.20290
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.03183
  • Mean of quarter 3
    0.11017
  • Mean of quarter 4
    0.61690
  • Inter Quartile Range
    0.19196
  • 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
    0.16667
  • Mean of outliers high
    0.99999
  • 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)
    -0.27297
  • Compounded annual return (geometric extrapolation)
    -0.48739
  • Calmar ratio (compounded annual return / max draw down)
    -0.48739
  • Compounded annual return / average of 25% largest draw downs
    -0.79006
  • Compounded annual return / Expected Shortfall lognormal
    -0.85990
  • 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
    6971.68000
  • SD
    4927.58000
  • Sharpe ratio (Glass type estimate)
    1.41483
  • Sharpe ratio (Hedges UMVUE)
    1.40665
  • df
    130.00000
  • t
    1.00044
  • p
    0.45630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18931
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37042
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18373
  • Statistics related to Sortino ratio
  • Sortino ratio
    2958.88000
  • Upside Potential Ratio
    2965.67000
  • Upside part of mean
    6987.67000
  • Downside part of mean
    -15.99030
  • Upside SD
    4927.59000
  • Downside SD
    2.35619
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56413
  • Mean of criterion
    6971.68000
  • SD of predictor
    0.43058
  • SD of criterion
    4927.58000
  • Covariance
    -238.64700
  • r
    -0.11248
  • b (slope, estimate of beta)
    -1287.20000
  • a (intercept, estimate of alpha)
    7697.83000
  • Mean Square Error
    24159700.00000
  • DF error
    129.00000
  • t(b)
    -1.28566
  • p(b)
    0.57145
  • t(a)
    1.10377
  • p(a)
    0.43852
  • Lowerbound of 95% confidence interval for beta
    -3268.09000
  • Upperbound of 95% confidence interval for beta
    693.69000
  • Lowerbound of 95% confidence interval for alpha
    -6100.63000
  • Upperbound of 95% confidence interval for alpha
    21496.30000
  • Treynor index (mean / b)
    -5.41616
  • Jensen alpha (a)
    7697.83000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.36694
  • SD
    16.45330
  • Sharpe ratio (Glass type estimate)
    -0.14386
  • Sharpe ratio (Hedges UMVUE)
    -0.14303
  • df
    130.00000
  • t
    -0.10172
  • p
    0.50446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.91548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91489
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62883
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20844
  • Upside Potential Ratio
    2.70985
  • Upside part of mean
    30.77090
  • Downside part of mean
    -33.13780
  • Upside SD
    11.82060
  • Downside SD
    11.35520
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47041
  • Mean of criterion
    -2.36694
  • SD of predictor
    0.43494
  • SD of criterion
    16.45330
  • Covariance
    0.94948
  • r
    0.13268
  • b (slope, estimate of beta)
    5.01917
  • a (intercept, estimate of alpha)
    -4.72800
  • Mean Square Error
    268.00800
  • DF error
    129.00000
  • t(b)
    1.52040
  • p(b)
    0.41578
  • t(a)
    -0.20376
  • p(a)
    0.51142
  • VAR (95 Confidence Intrvl)
    0.49100
  • Lowerbound of 95% confidence interval for beta
    -1.51237
  • Upperbound of 95% confidence interval for beta
    11.55070
  • Lowerbound of 95% confidence interval for alpha
    -50.63770
  • Upperbound of 95% confidence interval for alpha
    41.18170
  • Treynor index (mean / b)
    -0.47158
  • Jensen alpha (a)
    -4.72800
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.81381
  • Expected Shortfall on VaR
    0.87070
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14755
  • Expected Shortfall on VaR
    0.30425
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00049
  • Quartile 1
    0.92711
  • Median
    0.98641
  • Quartile 3
    1.05959
  • Maximum
    3485.33000
  • Mean of quarter 1
    0.79675
  • Mean of quarter 2
    0.96188
  • Mean of quarter 3
    1.02134
  • Mean of quarter 4
    106.85300
  • Inter Quartile Range
    0.13248
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.47454
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    499.58800
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46115
  • VaR(95%) (moments method)
    0.21008
  • Expected Shortfall (moments method)
    0.43349
  • Extreme Value Index (regression method)
    0.37228
  • VaR(95%) (regression method)
    0.17978
  • Expected Shortfall (regression method)
    0.31811
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02766
  • Quartile 1
    0.27074
  • Median
    0.51382
  • Quartile 3
    0.75690
  • Maximum
    0.99998
  • Mean of quarter 1
    0.02766
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.48616
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -434924000
  • Max Equity Drawdown (num days)
    899
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.37896
  • Compounded annual return (geometric extrapolation)
    -0.90358
  • Calmar ratio (compounded annual return / max draw down)
    -0.90360
  • Compounded annual return / average of 25% largest draw downs
    -0.90360
  • Compounded annual return / Expected Shortfall lognormal
    -1.03776

Strategy Description


AzureFX
- 100% Automated Price-Action Trading.


Position Margin
- Use the highest leverage your broker allows (just to reduce margin requirements) but always size according to your account balance. EXAMPLE: C2 100K and your account 10K = 10% Autotrade Factor - (Also set your AutoTrade [Max Minilots] value to Zero and simply trade a straight percentage of the AzureFX Master Account)


Price Action Theory
- AzureFX is a 100% price action system that only uses indicators to evaluate market conditions for initial trade entry. From that point onward the system simply reacts to price action to eventually close the trade for a profit. The system has superior trade exit management and smartly closes losing trades quickly to minimize losses (most trades close at SL 55, 85 or 100 pips). AzureFX uses minimal margin to allow you to easily trade it in multi-system portfolios.


Position Sizing
- Initial trade size is 0.08 lots for a 10K account. This has been multiplied to work properly with a C2 100K account. (You may have to adjust your system so 8 lots trade is 0.08 microlots on your platform)


100% Automated
- AzureFX is a 100% Automated MT4 EA. It has been in active development for over 2 years. It is based on Price-Action and doesn't use indicators once in operation. This makes it extremely nimble and able to react to price movement without lag or delay. Play what you see.


Entry/Exit
- Entries are based on a proprietary formula that evaluates currency strength. Upon entry the EA will take 25-30 pip TP nibbles at the symbol. The trade will exit with a internally set stop of 55, 85 or 100 as an emergency stoploss. (NOTE: There are no C2 stops - Since brokers differ I prefer signals to coordinate all autotraders - Note how most C2 trades rank 'Low' for Risk)


Floating Losses
- AzureFX does not float large or long duration losses, it simply closes the trade and recovers the loss with subsequent trades. Sometimes AzureFX displays bunches of losses - Those are usually trades that would be floating while keeping the banked profit. By closing what would usually be floating it dramatically cuts down on margin and swap fees. It can be shocking to look at DD actually posted to the account but in the final analysis the advantages far outweigh the truth many hide from themselves - It also keeps the actual true floating DD very small.


Loss Recovery
- AzureFX has an internal Loss Recovery Mode. If a trade were entered that made NO profit the next trade would initially open at the normal size and following trades would slightly increase in size if they also made NO profit. (0.08-->>0.11) This would only happen a few times before it gives up on recovering any loss and resets to startup mode. Most times it recovers the loss before surrender exit. This is NOT Martingale which is 2X multiplier while placing losing bets against the trend. AzureFX only trades with the trend and uses a precisely calculated recovery lotsize that balances the odds of gain and risk of loss.


NOTE:

Do NOT Signup in December
. I don't trade December Forex. It has low volume, no direction and numerous gaps. Normal trading resumes 5-7 days into January. (Any Dec. trades are hanging Nov. trades waiting to close)

Summary Statistics

Strategy began
2011-02-01
Suggested Minimum Capital
$100,000
# Trades
139
# Profitable
52
% Profitable
37.4%
Correlation S&P500
0.201
Sharpe Ratio
-0.21
Sortino Ratio
-0.21
Beta
1.39
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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