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PIPALERT
(44397706)

Created by: RogerOAShaw RogerOAShaw
Started: 11/2009
Forex
Last trade: 653 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 $65.00 per month.

20.9%
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.

71.6%
Max Drawdown
498
Num Trades
97.0%
Win Trades
2.1 : 1
Profit Factor
65.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                                                      +17.8%+8.4%+27.8%
2010+18.9%+9.9%(7.6%)+31.0%+10.1%+5.4%(31.4%)+8.2%+2.4%+1.9%  -  +2.4%+45.7%
2011+10.5%+0.7%+10.5%+3.9%+6.5%+17.3%+6.9%+5.3%+10.3%+4.5%+3.0%+1.6%+116.6%
2012+3.2%+5.6%+2.9%+2.9%(22.9%)(1.7%)(34.2%)+54.2%+0.5%+9.3%+0.6%+2.4%+0.3%
2013(38.4%)+72.2%+6.0%+2.3%+3.9%+2.2%+6.8%(9%)+14.4%(0.3%)+2.5%(4.4%)+32.7%
2014+6.3%+1.9%  -  +1.4%+0.2%+2.9%(4.2%)(4.5%)(9.4%)(1.7%)(1.4%)(5.9%)(14.5%)
2015(19.3%)(2.4%)(11.7%)+13.7%(8.4%)+5.7%(3.2%)+5.8%+2.2%(7.1%)(12.1%)+9.1%(28.5%)
2016+0.4%+0.2%+13.1%+3.5%(6.7%)+4.4%+7.3%(0.5%)+2.0%(6.5%)(9.4%)(5.9%)(0.6%)
2017+11.9%(6.4%)+5.7%+4.0%+8.5%+2.0%+13.1%+1.2%(2%)(3.1%)+5.9%+2.9%+51.1%
2018+7.3%(2%)  -  (3%)                                                +2.0%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 865 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/30/16 8:26 GBP/JPY GBP/JPY LONG 100 138.144 7/12 12:23 139.003 23.96%
Trade id #104396216
Max drawdown($91,040)
Time7/5/16 22:06
Quant open100
Worst price128.602
Drawdown as % of equity-23.96%
$8,196
6/29/16 7:59 GBP/JPY GBP/JPY LONG 100 138.448 6/29 9:10 138.659 0.06%
Trade id #104371923
Max drawdown($268)
Time6/29/16 8:12
Quant open10
Worst price137.730
Drawdown as % of equity-0.06%
$2,055
6/26/16 17:02 GBP/JPY GBP/JPY LONG 100 136.770 6/29 7:56 137.853 8.25%
Trade id #104309667
Max drawdown($33,467)
Time6/27/16 10:58
Quant open100
Worst price133.332
Drawdown as % of equity-8.25%
$10,543
6/23/16 21:04 GBP/JPY GBP/JPY SHORT 100 150.891 6/23 21:04 150.076 n/a $7,773
6/23/16 10:30 GBP/JPY GBP/JPY SHORT 100 155.866 6/23 10:31 155.737 n/a $1,221
6/23/16 10:02 GBP/JPY GBP/JPY SHORT 100 156.857 6/23 10:28 156.538 0.17%
Trade id #104239249
Max drawdown($766)
Time6/23/16 10:04
Quant open-100
Worst price156.938
Drawdown as % of equity-0.17%
$3,017
6/23/16 9:48 GBP/JPY GBP/JPY SHORT 100 156.674 6/23 9:52 156.395 0.36%
Trade id #104238823
Max drawdown($1,654)
Time6/23/16 9:50
Quant open-100
Worst price156.849
Drawdown as % of equity-0.36%
$2,638
6/21/16 21:06 GBP/JPY GBP/JPY SHORT 100 153.358 6/22 3:54 153.001 0.79%
Trade id #104203927
Max drawdown($3,485)
Time6/22/16 3:25
Quant open-100
Worst price153.722
Drawdown as % of equity-0.79%
$3,419
6/19/16 22:09 GBP/JPY GBP/JPY SHORT 40 152.536 6/20 20:04 152.177 0.96%
Trade id #104161185
Max drawdown($4,261)
Time6/20/16 11:10
Quant open-40
Worst price153.640
Drawdown as % of equity-0.96%
$1,384
6/13/16 7:49 EUR/JPY EUR/JPY LONG 100 119.590 6/13 10:33 120.312 0.92%
Trade id #103421156
Max drawdown($3,970)
Time6/13/16 9:02
Quant open100
Worst price119.167
Drawdown as % of equity-0.92%
$6,777
6/12/16 21:02 EUR/JPY EUR/JPY LONG 100 119.621 6/12 21:19 119.475 0.33%
Trade id #103414639
Max drawdown($1,430)
Time6/12/16 21:18
Quant open100
Worst price119.468
Drawdown as % of equity-0.33%
($1,365)
6/6/14 9:33 EUR/USD EUR/USD LONG 400 1.36052 6/24 6:57 1.36188 2.15%
Trade id #87971512
Max drawdown($14,040)
Time6/12/14 5:49
Quant open100
Worst price1.35113
Drawdown as % of equity-2.15%
$5,440
5/22/14 5:24 EUR/USD EUR/USD LONG 400 1.36344 6/5 10:25 1.36520 8.39%
Trade id #87703045
Max drawdown($53,030)
Time6/5/14 8:40
Quant open400
Worst price1.35018
Drawdown as % of equity-8.39%
$7,050
5/19/14 8:25 EUR/USD EUR/USD LONG 100 1.37181 5/19 10:22 1.37302 0.25%
Trade id #87630505
Max drawdown($1,640)
Time5/19/14 10:01
Quant open100
Worst price1.37017
Drawdown as % of equity-0.25%
$1,210
5/13/14 9:40 EUR/USD EUR/USD SHORT 100 1.37242 5/13 16:32 1.37030 0.04%
Trade id #87538451
Max drawdown($250)
Time5/13/14 9:57
Quant open-100
Worst price1.37267
Drawdown as % of equity-0.04%
$2,120
5/2/14 8:36 EUR/USD EUR/USD LONG 100 1.38362 5/4 18:20 1.38738 0.39%
Trade id #87361057
Max drawdown($2,520)
Time5/2/14 9:37
Quant open100
Worst price1.38110
Drawdown as % of equity-0.39%
$3,760
4/30/14 8:38 EUR/USD EUR/USD LONG 100 1.38620 4/30 11:06 1.38705 0.17%
Trade id #87314998
Max drawdown($1,130)
Time4/30/14 8:48
Quant open100
Worst price1.38507
Drawdown as % of equity-0.17%
$850
4/23/14 10:20 EUR/USD EUR/USD LONG 100 1.38392 4/28 3:27 1.38713 0.76%
Trade id #87194178
Max drawdown($4,890)
Time4/24/14 9:01
Quant open100
Worst price1.37903
Drawdown as % of equity-0.76%
$3,210
4/16/14 9:06 EUR/USD EUR/USD LONG 100 1.38370 4/17 5:31 1.38604 0.54%
Trade id #87086705
Max drawdown($3,440)
Time4/16/14 11:10
Quant open100
Worst price1.38026
Drawdown as % of equity-0.54%
$2,340
4/15/14 10:04 EUR/USD EUR/USD LONG 100 1.38111 4/15 10:10 1.38197 0.04%
Trade id #87062516
Max drawdown($260)
Time4/15/14 10:06
Quant open100
Worst price1.38085
Drawdown as % of equity-0.04%
$860
4/14/14 8:05 EUR/USD EUR/USD SHORT 100 1.38256 4/14 8:30 1.38152 0.07%
Trade id #87033883
Max drawdown($430)
Time4/14/14 8:26
Quant open-100
Worst price1.38299
Drawdown as % of equity-0.07%
$1,040
4/13/14 17:20 EUR/USD EUR/USD LONG 100 1.38508 4/14 0:36 1.38539 0.16%
Trade id #87022341
Max drawdown($1,000)
Time4/13/14 18:56
Quant open100
Worst price1.38408
Drawdown as % of equity-0.16%
$310
4/9/14 17:54 EUR/USD EUR/USD SHORT 100 1.38520 4/13 17:18 1.38506 0.83%
Trade id #86965046
Max drawdown($5,280)
Time4/11/14 3:14
Quant open-100
Worst price1.39048
Drawdown as % of equity-0.83%
$140
2/18/14 7:06 EUR/USD EUR/USD LONG 100 1.37307 2/18 8:34 1.37443 0.12%
Trade id #86031563
Max drawdown($780)
Time2/18/14 7:33
Quant open100
Worst price1.37229
Drawdown as % of equity-0.12%
$1,360
2/17/14 8:38 EUR/USD EUR/USD LONG 100 1.37015 2/17 11:52 1.37075 0.17%
Trade id #86015821
Max drawdown($1,060)
Time2/17/14 9:23
Quant open100
Worst price1.36909
Drawdown as % of equity-0.17%
$600
2/10/14 19:52 EUR/USD EUR/USD LONG 100 1.36757 2/16 23:48 1.37125 1.81%
Trade id #85710758
Max drawdown($11,460)
Time2/12/14 9:22
Quant open100
Worst price1.35611
Drawdown as % of equity-1.81%
$3,680
2/6/14 8:57 EUR/USD EUR/USD LONG 100 1.35997 2/10 17:36 1.36425 0.77%
Trade id #85623838
Max drawdown($4,860)
Time2/7/14 3:36
Quant open100
Worst price1.35511
Drawdown as % of equity-0.77%
$4,280
2/3/14 22:15 EUR/USD EUR/USD SHORT 100 1.35104 2/4 3:20 1.34971 0.43%
Trade id #85562202
Max drawdown($2,740)
Time2/4/14 1:15
Quant open-100
Worst price1.35378
Drawdown as % of equity-0.43%
$1,330
12/2/13 8:06 EUR/USD EUR/USD SHORT 400 1.36247 1/30/14 4:01 1.36016 4.8%
Trade id #84364043
Max drawdown($28,520)
Time12/30/13 11:23
Quant open-100
Worst price1.38180
Drawdown as % of equity-4.80%
$9,250
11/26/13 7:55 EUR/USD EUR/USD LONG 100 1.35498 11/26 11:41 1.35581 0.48%
Trade id #84281699
Max drawdown($2,980)
Time11/26/13 9:18
Quant open100
Worst price1.35200
Drawdown as % of equity-0.48%
$830

Statistics

  • Strategy began
    11/1/2009
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3096.88
  • Age
    103 months ago
  • What it trades
    Forex
  • # Trades
    498
  • # Profitable
    483
  • % Profitable
    97.00%
  • Avg trade duration
    4.0 days
  • Max peak-to-valley drawdown
    71.55%
  • drawdown period
    May 07, 2012 - July 24, 2012
  • Annual Return (Compounded)
    20.9%
  • Avg win
    $1,842
  • Avg loss
    $28,113
  • Model Account Values (Raw)
  • Cash
    $715,627
  • Margin Used
    $36,493
  • Buying Power
    $531,613
  • Ratios
  • W:L ratio
    2.11:1
  • Sharpe Ratio
    0.58
  • Sortino Ratio
    0.944
  • Calmar Ratio
    0.362
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.05300
  • Return Statistics
  • Ann Return (w trading costs)
    20.9%
  • Ann Return (Compnd, No Fees)
    22.7%
  • 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 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $28,116
  • Avg Win
    $1,827
  • # Winners
    482
  • # Losers
    15
  • % Winners
    97.0%
  • Frequency
  • Avg Position Time (mins)
    5712.63
  • Avg Position Time (hrs)
    95.21
  • Avg Trade Length
    4.0 days
  • Last Trade Ago
    664
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30750
  • SD
    0.52018
  • Sharpe ratio (Glass type estimate)
    0.59115
  • Sharpe ratio (Hedges UMVUE)
    0.58537
  • df
    77.00000
  • t
    1.50713
  • p
    0.06793
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35967
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01816
  • Upside Potential Ratio
    2.22016
  • Upside part of mean
    0.67053
  • Downside part of mean
    -0.36303
  • Upside SD
    0.42870
  • Downside SD
    0.30202
  • N nonnegative terms
    51.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.12431
  • Mean of criterion
    0.30750
  • SD of predictor
    0.13740
  • SD of criterion
    0.52018
  • Covariance
    -0.00595
  • r
    -0.08324
  • b (slope, estimate of beta)
    -0.31513
  • a (intercept, estimate of alpha)
    0.34668
  • Mean Square Error
    0.27225
  • DF error
    76.00000
  • t(b)
    -0.72819
  • p(b)
    0.76563
  • t(a)
    1.63828
  • p(a)
    0.05275
  • Lowerbound of 95% confidence interval for beta
    -1.17703
  • Upperbound of 95% confidence interval for beta
    0.54678
  • Lowerbound of 95% confidence interval for alpha
    -0.07478
  • Upperbound of 95% confidence interval for alpha
    0.76814
  • Treynor index (mean / b)
    -0.97581
  • Jensen alpha (a)
    0.34668
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17570
  • SD
    0.51733
  • Sharpe ratio (Glass type estimate)
    0.33963
  • Sharpe ratio (Hedges UMVUE)
    0.33631
  • df
    77.00000
  • t
    0.86589
  • p
    0.19462
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10691
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45982
  • Upside Potential Ratio
    1.57011
  • Upside part of mean
    0.59995
  • Downside part of mean
    -0.42425
  • Upside SD
    0.34751
  • Downside SD
    0.38211
  • N nonnegative terms
    51.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.11413
  • Mean of criterion
    0.17570
  • SD of predictor
    0.13763
  • SD of criterion
    0.51733
  • Covariance
    -0.00880
  • r
    -0.12362
  • b (slope, estimate of beta)
    -0.46469
  • a (intercept, estimate of alpha)
    0.22874
  • Mean Square Error
    0.26701
  • DF error
    76.00000
  • t(b)
    -1.08605
  • p(b)
    0.85955
  • t(a)
    1.09718
  • p(a)
    0.13801
  • Lowerbound of 95% confidence interval for beta
    -1.31688
  • Upperbound of 95% confidence interval for beta
    0.38749
  • Lowerbound of 95% confidence interval for alpha
    -0.18648
  • Upperbound of 95% confidence interval for alpha
    0.64396
  • Treynor index (mean / b)
    -0.37810
  • Jensen alpha (a)
    0.22874
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20626
  • Expected Shortfall on VaR
    0.25316
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05199
  • Expected Shortfall on VaR
    0.12172
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.52568
  • Quartile 1
    0.99543
  • Median
    1.02511
  • Quartile 3
    1.05681
  • Maximum
    1.79494
  • Mean of quarter 1
    0.88547
  • Mean of quarter 2
    1.01078
  • Mean of quarter 3
    1.04500
  • Mean of quarter 4
    1.17056
  • Inter Quartile Range
    0.06138
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.08974
  • Mean of outliers low
    0.75789
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.06410
  • Mean of outliers high
    1.39690
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25949
  • VaR(95%) (moments method)
    0.02685
  • Expected Shortfall (moments method)
    0.03573
  • Extreme Value Index (regression method)
    0.52925
  • VaR(95%) (regression method)
    0.08616
  • Expected Shortfall (regression method)
    0.24464
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00345
  • Quartile 1
    0.03594
  • Median
    0.12818
  • Quartile 3
    0.42733
  • Maximum
    0.59171
  • Mean of quarter 1
    0.01712
  • Mean of quarter 2
    0.04375
  • Mean of quarter 3
    0.30909
  • Mean of quarter 4
    0.53302
  • Inter Quartile Range
    0.39139
  • 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)
    0.42406
  • Compounded annual return (geometric extrapolation)
    0.22582
  • Calmar ratio (compounded annual return / max draw down)
    0.38163
  • Compounded annual return / average of 25% largest draw downs
    0.42366
  • Compounded annual return / Expected Shortfall lognormal
    0.89199
  • 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
    0.35478
  • SD
    0.61093
  • Sharpe ratio (Glass type estimate)
    0.58073
  • Sharpe ratio (Hedges UMVUE)
    0.58047
  • df
    1702.00000
  • t
    1.48057
  • p
    0.48207
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18854
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34948
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94419
  • Upside Potential Ratio
    5.53535
  • Upside part of mean
    2.07992
  • Downside part of mean
    -1.72514
  • Upside SD
    0.48198
  • Downside SD
    0.37575
  • N nonnegative terms
    791.00000
  • N negative terms
    912.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1703.00000
  • Mean of predictor
    0.13302
  • Mean of criterion
    0.35478
  • SD of predictor
    0.19385
  • SD of criterion
    0.61093
  • Covariance
    -0.01505
  • r
    -0.12705
  • b (slope, estimate of beta)
    -0.40039
  • a (intercept, estimate of alpha)
    0.40800
  • Mean Square Error
    0.36742
  • DF error
    1701.00000
  • t(b)
    -5.28269
  • p(b)
    0.58066
  • t(a)
    1.71470
  • p(a)
    0.47356
  • Lowerbound of 95% confidence interval for beta
    -0.54905
  • Upperbound of 95% confidence interval for beta
    -0.25174
  • Lowerbound of 95% confidence interval for alpha
    -0.05870
  • Upperbound of 95% confidence interval for alpha
    0.87478
  • Treynor index (mean / b)
    -0.88608
  • Jensen alpha (a)
    0.40804
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17570
  • SD
    0.59793
  • Sharpe ratio (Glass type estimate)
    0.29385
  • Sharpe ratio (Hedges UMVUE)
    0.29372
  • df
    1702.00000
  • t
    0.74917
  • p
    0.49092
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.06264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06254
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41098
  • Upside Potential Ratio
    4.64116
  • Upside part of mean
    1.98416
  • Downside part of mean
    -1.80846
  • Upside SD
    0.41792
  • Downside SD
    0.42751
  • N nonnegative terms
    791.00000
  • N negative terms
    912.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1703.00000
  • Mean of predictor
    0.11413
  • Mean of criterion
    0.17570
  • SD of predictor
    0.19442
  • SD of criterion
    0.59793
  • Covariance
    -0.01399
  • r
    -0.12033
  • b (slope, estimate of beta)
    -0.37005
  • a (intercept, estimate of alpha)
    0.21793
  • Mean Square Error
    0.35255
  • DF error
    1701.00000
  • t(b)
    -4.99904
  • p(b)
    0.57642
  • t(a)
    0.93517
  • p(a)
    0.48557
  • Lowerbound of 95% confidence interval for beta
    -0.51524
  • Upperbound of 95% confidence interval for beta
    -0.22486
  • Lowerbound of 95% confidence interval for alpha
    -0.23915
  • Upperbound of 95% confidence interval for alpha
    0.67502
  • Treynor index (mean / b)
    -0.47480
  • Jensen alpha (a)
    0.21793
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05832
  • Expected Shortfall on VaR
    0.07266
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01530
  • Expected Shortfall on VaR
    0.03473
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1703.00000
  • Minimum
    0.57286
  • Quartile 1
    0.99650
  • Median
    1.00000
  • Quartile 3
    1.00562
  • Maximum
    1.74695
  • Mean of quarter 1
    0.97457
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.00207
  • Mean of quarter 4
    1.02987
  • Inter Quartile Range
    0.00911
  • Number outliers low
    171.00000
  • Percentage of outliers low
    0.10041
  • Mean of outliers low
    0.94891
  • Number of outliers high
    168.00000
  • Percentage of outliers high
    0.09865
  • Mean of outliers high
    1.05962
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86091
  • VaR(95%) (moments method)
    0.02093
  • Expected Shortfall (moments method)
    0.16478
  • Extreme Value Index (regression method)
    0.54620
  • VaR(95%) (regression method)
    0.01995
  • Expected Shortfall (regression method)
    0.05377
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    76.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00255
  • Median
    0.00676
  • Quartile 3
    0.03145
  • Maximum
    0.62393
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.00409
  • Mean of quarter 3
    0.01465
  • Mean of quarter 4
    0.20920
  • Inter Quartile Range
    0.02890
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.30178
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.67824
  • VaR(95%) (moments method)
    0.17051
  • Expected Shortfall (moments method)
    0.61425
  • Extreme Value Index (regression method)
    0.17919
  • VaR(95%) (regression method)
    0.21277
  • Expected Shortfall (regression method)
    0.37027
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42406
  • Compounded annual return (geometric extrapolation)
    0.22582
  • Calmar ratio (compounded annual return / max draw down)
    0.36193
  • Compounded annual return / average of 25% largest draw downs
    1.07945
  • Compounded annual return / Expected Shortfall lognormal
    3.10796
  • 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
    0.80334
  • SD
    0.26449
  • Sharpe ratio (Glass type estimate)
    3.03733
  • Sharpe ratio (Hedges UMVUE)
    3.01977
  • df
    130.00000
  • t
    2.14771
  • p
    0.40744
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.82789
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.81577
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.27324
  • Upside Potential Ratio
    14.45740
  • Upside part of mean
    1.85140
  • Downside part of mean
    -1.04805
  • Upside SD
    0.23555
  • Downside SD
    0.12806
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35541
  • Mean of criterion
    0.80334
  • SD of predictor
    0.16448
  • SD of criterion
    0.26449
  • Covariance
    0.00391
  • r
    0.08995
  • b (slope, estimate of beta)
    0.14464
  • a (intercept, estimate of alpha)
    0.75194
  • Mean Square Error
    0.06993
  • DF error
    129.00000
  • t(b)
    1.02577
  • p(b)
    0.44282
  • t(a)
    1.99287
  • p(a)
    0.39053
  • Lowerbound of 95% confidence interval for beta
    -0.13434
  • Upperbound of 95% confidence interval for beta
    0.42363
  • Lowerbound of 95% confidence interval for alpha
    0.00541
  • Upperbound of 95% confidence interval for alpha
    1.49846
  • Treynor index (mean / b)
    5.55406
  • Jensen alpha (a)
    0.75194
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76802
  • SD
    0.26091
  • Sharpe ratio (Glass type estimate)
    2.94364
  • Sharpe ratio (Hedges UMVUE)
    2.92663
  • df
    130.00000
  • t
    2.08147
  • p
    0.41021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.73285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13209
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72117
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.93253
  • Upside Potential Ratio
    14.09160
  • Upside part of mean
    1.82428
  • Downside part of mean
    -1.05626
  • Upside SD
    0.23031
  • Downside SD
    0.12946
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34153
  • Mean of criterion
    0.76802
  • SD of predictor
    0.16620
  • SD of criterion
    0.26091
  • Covariance
    0.00378
  • r
    0.08727
  • b (slope, estimate of beta)
    0.13700
  • a (intercept, estimate of alpha)
    0.72123
  • Mean Square Error
    0.06808
  • DF error
    129.00000
  • t(b)
    0.99496
  • p(b)
    0.44451
  • t(a)
    1.93890
  • p(a)
    0.39338
  • Lowerbound of 95% confidence interval for beta
    -0.13543
  • Upperbound of 95% confidence interval for beta
    0.40943
  • Lowerbound of 95% confidence interval for alpha
    -0.01474
  • Upperbound of 95% confidence interval for alpha
    1.45720
  • Treynor index (mean / b)
    5.60603
  • Jensen alpha (a)
    0.72123
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02331
  • Expected Shortfall on VaR
    0.02985
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00902
  • Expected Shortfall on VaR
    0.01743
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96396
  • Quartile 1
    0.99468
  • Median
    1.00086
  • Quartile 3
    1.00943
  • Maximum
    1.07840
  • Mean of quarter 1
    0.98667
  • Mean of quarter 2
    0.99771
  • Mean of quarter 3
    1.00455
  • Mean of quarter 4
    1.02380
  • Inter Quartile Range
    0.01475
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96806
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.05677
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13372
  • VaR(95%) (moments method)
    0.01284
  • Expected Shortfall (moments method)
    0.01888
  • Extreme Value Index (regression method)
    0.01761
  • VaR(95%) (regression method)
    0.01359
  • Expected Shortfall (regression method)
    0.01888
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00034
  • Quartile 1
    0.00357
  • Median
    0.01760
  • Quartile 3
    0.02840
  • Maximum
    0.07740
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.01370
  • Mean of quarter 3
    0.02340
  • Mean of quarter 4
    0.05184
  • Inter Quartile Range
    0.02483
  • 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
    0.05882
  • Mean of outliers high
    0.07740
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.02202
  • VaR(95%) (moments method)
    0.05223
  • Expected Shortfall (moments method)
    0.06823
  • Extreme Value Index (regression method)
    0.25677
  • VaR(95%) (regression method)
    0.06165
  • Expected Shortfall (regression method)
    0.09391
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.97758
  • Compounded annual return (geometric extrapolation)
    1.21650
  • Calmar ratio (compounded annual return / max draw down)
    15.71700
  • Compounded annual return / average of 25% largest draw downs
    23.46540
  • Compounded annual return / Expected Shortfall lognormal
    40.76030

Strategy Description

Welcome to Pipalert.

Trades EURUSD and adds USDCHF occasionally to increase profit.

A DYNAMIC TRADING SYSTEM for ANY ACCOUNT SIZE

A Great trading system with track record of profitability and consistent improvements. Tried, test and proven to be a very profitable system.

MAY GET UP TO 5 TRADES IN A DAY

Summary Statistics

Strategy began
2009-11-01
Suggested Minimum Capital
$420,000
# Trades
498
# Profitable
483
% Profitable
97.0%
Correlation S&P500
-0.053
Sharpe Ratio
0.580

Latest Activity

#PERSONNAME#
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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Suggested Minimum Capital

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