AzureFX
(57397407)
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.
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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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.
Started | $100,000 | |
Buy Power | $846 | |
Cash | $77,647 | |
Equity | ($66,379) | |
Cumulative $ | ($88,731) | |
Total System Equity | $11,268 | |
Margined | $10,421 | |
Open P/L | ($66,379) |
Trading Record
Statistics
-
Strategy began2/1/2011
-
Suggested Minimum Cap$100,000
-
Strategy Age (days)4826.69
-
Age161 months ago
-
What it tradesForex
-
# Trades139
-
# Profitable52
-
% Profitable37.40%
-
Avg trade duration138.6 days
-
Max peak-to-valley drawdown100%
-
drawdown periodApril 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 ratio0.35:1
-
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 SP5000.20090
-
Return Percent SP500 (cumu) during strategy life290.03%
- Return Statistics
-
Ann Return (w trading costs)-16.9%
- Slump
-
Current Slump as Pcnt Equity1129.80%
- Instruments
-
Percent Trades Futuresn/a
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.96%
- Return Statistics
-
Return Pcnt Since TOS Statusn/a
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.169%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocksn/a
-
Percent Trades Forex1.00%
- Return Statistics
-
Ann Return (Compnd, No Fees)-15.2%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss100.00%
-
Chance of 20% account loss100.00%
-
Chance of 30% account loss100.00%
-
Chance of 40% account loss100.00%
-
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 Automated51.06%
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account loss100.00%
- Popularity
-
Popularity (Today)0
-
Popularity (Last 6 weeks)0
- Trading Style
-
Any stock shorts? 0/10
- Popularity
-
Popularity (7 days, Percentile 1000 scale)0
- Trades-Own-System Certification
-
Trades Own System?-
-
TOS percentn/a
- Win / Loss
-
Avg Loss$1,576
-
Avg Win$930
-
Sum Trade PL (losers)$137,071.000
- Age
-
Num Months filled monthly returns table110
- Win / Loss
-
Sum Trade PL (winners)$48,337.000
-
# Winners52
-
Num Months Winners47
- Dividends
-
Dividends Received in Model Acct0
- Win / Loss
-
# Losers87
-
% Winners37.4%
- Frequency
-
Avg Position Time (mins)199654.00
-
Avg Position Time (hrs)3327.57
-
Avg Trade Length138.6 days
-
Last Trade Ago4784
- Regression
-
Alpha0.00
-
Beta1.39
-
Treynor Index0.00
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.12
-
MAE:PL - Winning Trades - this strat Percentile of All Strats37.03
-
MAE:PL - worst single value for strategy-
-
MAE:PL - Losing Trades - this strat Percentile of All Strats41.78
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)-1.08
-
MAE:Equity, average, winning trades0.00
-
MAE:Equity, average, losing trades0.15
-
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 strat0.00
-
Avg(MAE) / Avg(PL) - Winning trades0.219
-
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
-
Mean0.49080
-
SD1.66777
-
Sharpe ratio (Glass type estimate)0.29428
-
Sharpe ratio (Hedges UMVUE)0.28827
-
df37.00000
-
t0.52368
-
p0.30181
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.81108
-
Upperbound of 95% confidence interval for Sharpe Ratio1.39576
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.81509
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.39163
- Statistics related to Sortino ratio
-
Sortino ratio0.67032
-
Upside Potential Ratio2.75851
-
Upside part of mean2.01973
-
Downside part of mean-1.52893
-
Upside SD1.48063
-
Downside SD0.73218
-
N nonnegative terms16.00000
-
N negative terms22.00000
- Statistics related to linear regression on benchmark
-
N of observations38.00000
-
Mean of predictor0.40131
-
Mean of criterion0.49080
-
SD of predictor0.28470
-
SD of criterion1.66777
-
Covariance0.05990
-
r0.12615
-
b (slope, estimate of beta)0.73901
-
a (intercept, estimate of alpha)0.19423
-
Mean Square Error2.81324
-
DF error36.00000
-
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 beta2.70328
-
Lowerbound of 95% confidence interval for alpha-1.87350
-
Upperbound of 95% confidence interval for alpha2.26195
-
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
-
SD1.43576
-
Sharpe ratio (Glass type estimate)-0.37366
-
Sharpe ratio (Hedges UMVUE)-0.36602
-
df37.00000
-
t-0.66493
-
p0.74489
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.47585
-
Upperbound of 95% confidence interval for Sharpe Ratio0.73349
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.47058
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.73853
- Statistics related to Sortino ratio
-
Sortino ratio-0.50038
-
Upside Potential Ratio1.32780
-
Upside part of mean1.42362
-
Downside part of mean-1.96011
-
Upside SD0.93895
-
Downside SD1.07216
-
N nonnegative terms16.00000
-
N negative terms22.00000
- Statistics related to linear regression on benchmark
-
N of observations38.00000
-
Mean of predictor0.35675
-
Mean of criterion-0.53649
-
SD of predictor0.27684
-
SD of criterion1.43576
-
Covariance0.12402
-
r0.31203
-
b (slope, estimate of beta)1.61826
-
a (intercept, estimate of alpha)-1.11381
-
Mean Square Error1.91240
-
DF error36.00000
-
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 beta3.28378
-
Lowerbound of 95% confidence interval for alpha-2.79817
-
Upperbound of 95% confidence interval for alpha0.57055
-
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 VaR0.58877
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.32243
-
Expected Shortfall on VaR0.53795
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations38.00000
-
Minimum0.24246
-
Quartile 10.77387
-
Median0.97865
-
Quartile 31.11477
-
Maximum2.90135
-
Mean of quarter 10.64502
-
Mean of quarter 20.86382
-
Mean of quarter 31.02575
-
Mean of quarter 41.61863
-
Inter Quartile Range0.34089
-
Number outliers low1.00000
-
Percentage of outliers low0.02632
-
Mean of outliers low0.24246
-
Number of outliers high4.00000
-
Percentage of outliers high0.10526
-
Mean of outliers high2.19108
- 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 observations2.00000
-
Minimum0.21406
-
Quartile 10.39417
-
Median0.57429
-
Quartile 30.75440
-
Maximum0.93451
-
Mean of quarter 10.21406
-
Mean of quarter 20.00000
-
Mean of quarter 30.00000
-
Mean of quarter 40.93451
-
Inter Quartile Range0.36023
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- 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
-
Mean1075.31000
-
SD1934.46000
-
Sharpe ratio (Glass type estimate)0.55587
-
Sharpe ratio (Hedges UMVUE)0.55538
-
df849.00000
-
t1.00123
-
p0.15850
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.53275
-
Upperbound of 95% confidence interval for Sharpe Ratio1.64420
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.53309
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.64385
- Statistics related to Sortino ratio
-
Sortino ratio850.17400
-
Upside Potential Ratio856.42100
-
Upside part of mean1083.22000
-
Downside part of mean-7.90125
-
Upside SD1934.47000
-
Downside SD1.26482
-
N nonnegative terms394.00000
-
N negative terms456.00000
- Statistics related to linear regression on benchmark
-
N of observations850.00000
-
Mean of predictor0.43260
-
Mean of criterion1075.31000
-
SD of predictor0.32416
-
SD of criterion1934.46000
-
Covariance-35.86670
-
r-0.05720
-
b (slope, estimate of beta)-341.32900
-
a (intercept, estimate of alpha)1222.97000
-
Mean Square Error3734310.00000
-
DF error848.00000
-
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 beta60.24050
-
Lowerbound of 95% confidence interval for alpha-889.96700
-
Upperbound of 95% confidence interval for alpha3335.92000
-
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
-
SD6.62814
-
Sharpe ratio (Glass type estimate)-0.10503
-
Sharpe ratio (Hedges UMVUE)-0.10494
-
df849.00000
-
t-0.18918
-
p0.57500
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.19319
-
Upperbound of 95% confidence interval for Sharpe Ratio0.98313
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.19310
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.98323
- Statistics related to Sortino ratio
-
Sortino ratio-0.15093
-
Upside Potential Ratio2.25464
-
Upside part of mean10.39960
-
Downside part of mean-11.09570
-
Upside SD4.75469
-
Downside SD4.61252
-
N nonnegative terms394.00000
-
N negative terms456.00000
- Statistics related to linear regression on benchmark
-
N of observations850.00000
-
Mean of predictor0.37951
-
Mean of criterion-0.69615
-
SD of predictor0.32549
-
SD of criterion6.62814
-
Covariance0.26110
-
r0.12102
-
b (slope, estimate of beta)2.46444
-
a (intercept, estimate of alpha)-1.63143
-
Mean Square Error43.33980
-
DF error848.00000
-
t(b)3.55036
-
p(b)0.00020
-
t(a)-0.44520
-
p(a)0.67186
-
Lowerbound of 95% confidence interval for beta1.10201
-
Upperbound of 95% confidence interval for beta3.82687
-
Lowerbound of 95% confidence interval for alpha-8.82390
-
Upperbound of 95% confidence interval for alpha5.56105
-
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 VaR0.56679
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.07136
-
Expected Shortfall on VaR0.15162
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations850.00000
-
Minimum0.00049
-
Quartile 10.96435
-
Median0.99888
-
Quartile 31.02800
-
Maximum3485.33000
-
Mean of quarter 10.89700
-
Mean of quarter 20.98284
-
Mean of quarter 31.01017
-
Mean of quarter 417.48890
-
Inter Quartile Range0.06364
-
Number outliers low45.00000
-
Percentage of outliers low0.05294
-
Mean of outliers low0.75901
-
Number of outliers high51.00000
-
Percentage of outliers high0.06000
-
Mean of outliers high69.65670
- 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 observations6.00000
-
Minimum0.00003
-
Quartile 10.01095
-
Median0.07100
-
Quartile 30.20290
-
Maximum0.99999
-
Mean of quarter 10.00201
-
Mean of quarter 20.03183
-
Mean of quarter 30.11017
-
Mean of quarter 40.61690
-
Inter Quartile Range0.19196
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.16667
-
Mean of outliers high0.99999
- 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
-
Mean6971.68000
-
SD4927.58000
-
Sharpe ratio (Glass type estimate)1.41483
-
Sharpe ratio (Hedges UMVUE)1.40665
-
df130.00000
-
t1.00044
-
p0.45630
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.36497
-
Upperbound of 95% confidence interval for Sharpe Ratio4.18931
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.37042
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.18373
- Statistics related to Sortino ratio
-
Sortino ratio2958.88000
-
Upside Potential Ratio2965.67000
-
Upside part of mean6987.67000
-
Downside part of mean-15.99030
-
Upside SD4927.59000
-
Downside SD2.35619
-
N nonnegative terms59.00000
-
N negative terms72.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.56413
-
Mean of criterion6971.68000
-
SD of predictor0.43058
-
SD of criterion4927.58000
-
Covariance-238.64700
-
r-0.11248
-
b (slope, estimate of beta)-1287.20000
-
a (intercept, estimate of alpha)7697.83000
-
Mean Square Error24159700.00000
-
DF error129.00000
-
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 beta693.69000
-
Lowerbound of 95% confidence interval for alpha-6100.63000
-
Upperbound of 95% confidence interval for alpha21496.30000
-
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
-
SD16.45330
-
Sharpe ratio (Glass type estimate)-0.14386
-
Sharpe ratio (Hedges UMVUE)-0.14303
-
df130.00000
-
t-0.10172
-
p0.50446
-
Lowerbound of 95% confidence interval for Sharpe Ratio-2.91548
-
Upperbound of 95% confidence interval for Sharpe Ratio2.62825
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.91489
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.62883
- Statistics related to Sortino ratio
-
Sortino ratio-0.20844
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Upside Potential Ratio2.70985
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Upside part of mean30.77090
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Downside part of mean-33.13780
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Upside SD11.82060
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Downside SD11.35520
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N nonnegative terms59.00000
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N negative terms72.00000
- Statistics related to linear regression on benchmark
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N of observations131.00000
-
Mean of predictor0.47041
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Mean of criterion-2.36694
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SD of predictor0.43494
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SD of criterion16.45330
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Covariance0.94948
-
r0.13268
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b (slope, estimate of beta)5.01917
-
a (intercept, estimate of alpha)-4.72800
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Mean Square Error268.00800
-
DF error129.00000
-
t(b)1.52040
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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 beta11.55070
-
Lowerbound of 95% confidence interval for alpha-50.63770
-
Upperbound of 95% confidence interval for alpha41.18170
-
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
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Expected Shortfall on VaR0.87070
- assuming Pareto losses only (using partial moments from Sortino statistics)
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VaR(95%)0.14755
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Expected Shortfall on VaR0.30425
- ORDER STATISTICS
- Quartiles of return rates
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Number of observations131.00000
-
Minimum0.00049
-
Quartile 10.92711
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Median0.98641
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Quartile 31.05959
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Maximum3485.33000
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Mean of quarter 10.79675
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Mean of quarter 20.96188
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Mean of quarter 31.02134
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Mean of quarter 4106.85300
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Inter Quartile Range0.13248
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Number outliers low6.00000
-
Percentage of outliers low0.04580
-
Mean of outliers low0.47454
-
Number of outliers high7.00000
-
Percentage of outliers high0.05344
-
Mean of outliers high499.58800
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.46115
-
VaR(95%) (moments method)0.21008
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Expected Shortfall (moments method)0.43349
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Extreme Value Index (regression method)0.37228
-
VaR(95%) (regression method)0.17978
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Expected Shortfall (regression method)0.31811
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations2.00000
-
Minimum0.02766
-
Quartile 10.27074
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Median0.51382
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Quartile 30.75690
-
Maximum0.99998
-
Mean of quarter 10.02766
-
Mean of quarter 20.00000
-
Mean of quarter 30.00000
-
Mean of quarter 40.99998
-
Inter Quartile Range0.48616
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- 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 Negative0.75%
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Expected Shortfall (regression method)0.00000
-
Strat Max DD how much worse than SP500 max DD during strat life?-434924000
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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)
Latest Activity
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
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.