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

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Monte Carlo FX Statistical Arbitrage - SP
(66218287)

Created by: EddyC EddyC
Started: 09/2011
Forex
Last trade: 4,408 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. You can subscribe to this system for free.

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.

-
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
413
Num Trades
38.5%
Win Trades
0.5 : 1
Profit Factor
14.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                        (0.7%)(14.3%)(17.7%)(13.5%)(39.4%)
2012(9.5%)(14.9%)(39.5%)+14.6%(52.3%)+39.5%(0.8%)+17.9%+23.9%(2.1%)(7.7%)+16.7%(45.7%)
2013(26.2%)(53.1%)+1.4%+31.0%(20.9%)(7.5%)+2.5%+57.8%+81.2%(18.7%)+33.5%+6.8%+14.4%
2014+7.2%+5.9%(4.3%)+8.6%(5%)+16.1%(9.3%)(10.2%)(20.3%)(15.3%)(22.1%)(10.3%)(50%)
2015(52.3%)+85.2%(80.7%)+232.4%+25.9%+50.2%+0.6%(21.7%)(32.7%)+53.7%(47.8%)(32%)(69%)
2016(74.4%)(626.8%)(3.6%)(6.9%)(109.5%)(3615.6%)(1.8%)(10.2%)(7.2%)(48.3%)(9.6%)(8.1%)(909.1%)
2017(12.8%)(12.4%)(5.3%)(24.4%)(8.5%)(12.3%)(5.8%)(12.9%)(32.3%)(15.7%)(11.4%)(0.2%)-
2018(65.4%)(62.4%)(11.8%)(79.2%)(30.8%)(3.9%)(6.9%)(5.2%)(0.1%)(0.7%)(18.7%)(3%)(64.7%)
2019(20.2%)(12%)(16.8%)(1.2%)(3%)(20.8%)(6.1%)(19.5%)(5.2%)(27.9%)(2.8%)(11.3%)-
2020(1%)(11.9%)(30.4%)(5%)(6%)(1.1%)(31.7%)(17.8%)(48.6%)(11%)(23%)(14.1%)-
2021(16.7%)(25.8%)(29.6%)(10.5%)(43.4%)(50.3%)(7.4%)(18.3%)(9.5%)(10.4%)(52%)(12.9%)(0.5%)
2022(10.3%)(2.9%)(17.5%)(41.2%)(5.2%)(25.9%)(2.1%)(24.4%)(25.9%)(21.2%)(22.6%)(9.8%)(130.9%)
2023(10%)(11.2%)(10.7%)(10.4%)(7.7%)(13.8%)(6.6%)(14.1%)(21.9%)(0.4%)(21.9%)(2%)-
2024(0.7%)(6%)(4%)(4.8%)                                                (14.8%)

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/29/12 11:15 GBP/USD GBP/USD SHORT 2 1.59199 3/29 12:14 1.59075 0.06%
Trade id #72172999
Max drawdown($1)
Time3/29/12 11:17
Quant open-2
Worst price1.59208
Drawdown as % of equity-0.06%
 $25
3/29/12 10:50 GBP/USD GBP/USD SHORT 2 1.58886 3/29 11:15 1.59238 2.3%
Trade id #72171918
Max drawdown($70)
Time3/29/12 11:15
Quant open0
Worst price1.59238
Drawdown as % of equity-2.30%
 ($70)
3/29/12 3:33 USD/JPY USD/JPY SHORT 4 82.383 3/29 4:05 82.386 1.46%
Trade id #72151374
Max drawdown($44)
Time3/29/12 3:48
Quant open-4
Worst price82.475
Drawdown as % of equity-1.46%
 ($1)
3/29/12 3:33 GBP/USD GBP/USD LONG 1 1.58951 3/29 3:43 1.59070 0%
Trade id #72151354
Max drawdown($0)
Time3/29/12 3:35
Quant open1
Worst price1.58950
Drawdown as % of equity-0.00%
 $12
3/28/12 13:38 GBP/USD GBP/USD SHORT 4 1.58802 3/28 14:50 1.58914 1.44%
Trade id #72130673
Max drawdown($45)
Time3/28/12 14:50
Quant open0
Worst price1.58914
Drawdown as % of equity-1.44%
 ($45)
3/28/12 13:37 GBP/USD GBP/USD SHORT 4 1.58787 3/28 13:38 1.58820 0.42%
Trade id #72130562
Max drawdown($13)
Time3/28/12 13:38
Quant open0
Worst price1.58820
Drawdown as % of equity-0.42%
 ($13)
3/28/12 13:31 GBP/USD GBP/USD SHORT 4 1.58762 3/28 13:37 1.58809 0.61%
Trade id #72129751
Max drawdown($19)
Time3/28/12 13:37
Quant open0
Worst price1.58809
Drawdown as % of equity-0.61%
 ($19)
3/28/12 12:43 GBP/USD GBP/USD SHORT 4 1.58640 3/28 13:31 1.58784 1.86%
Trade id #72122731
Max drawdown($58)
Time3/28/12 13:31
Quant open0
Worst price1.58784
Drawdown as % of equity-1.86%
 ($58)
3/28/12 12:20 GBP/USD GBP/USD SHORT 4 1.58643 3/28 12:30 1.58699 0.71%
Trade id #72118862
Max drawdown($22)
Time3/28/12 12:30
Quant open0
Worst price1.58699
Drawdown as % of equity-0.71%
 ($22)
3/28/12 10:57 GBP/USD GBP/USD SHORT 4 1.58527 3/28 12:20 1.58684 2.02%
Trade id #72105797
Max drawdown($63)
Time3/28/12 12:20
Quant open0
Worst price1.58684
Drawdown as % of equity-2.02%
 ($63)
3/28/12 10:34 GBP/USD GBP/USD SHORT 2 1.58453 3/28 10:40 1.58491 0.36%
Trade id #72102302
Max drawdown($11)
Time3/28/12 10:40
Quant open-2
Worst price1.58509
Drawdown as % of equity-0.36%
 ($8)
3/28/12 10:00 GBP/USD GBP/USD SHORT 3 1.58859 3/28 10:33 1.58498 0.26%
Trade id #72099665
Max drawdown($8)
Time3/28/12 10:02
Quant open-3
Worst price1.58886
Drawdown as % of equity-0.26%
 $108
3/28/12 9:32 USD/CAD USD/CAD LONG 1 0.99569 3/28 10:18 0.99584 0.37%
Trade id #72096094
Max drawdown($11)
Time3/28/12 10:04
Quant open1
Worst price0.99454
Drawdown as % of equity-0.37%
 $2
3/28/12 9:50 GBP/USD GBP/USD LONG 1 1.58773 3/28 9:56 1.58793 0.14%
Trade id #72098710
Max drawdown($4)
Time3/28/12 9:52
Quant open1
Worst price1.58729
Drawdown as % of equity-0.14%
 $2
3/28/12 8:39 GBP/USD GBP/USD SHORT 2 1.58996 3/28 9:50 1.58751 0.13%
Trade id #72091560
Max drawdown($4)
Time3/28/12 8:48
Quant open-2
Worst price1.59017
Drawdown as % of equity-0.13%
 $49
3/28/12 5:41 GBP/USD GBP/USD LONG 1 1.59483 3/28 6:18 1.59265 0.95%
Trade id #72088920
Max drawdown($29)
Time3/28/12 6:14
Quant open1
Worst price1.59184
Drawdown as % of equity-0.95%
 ($22)
3/28/12 5:34 GBP/USD GBP/USD LONG 1 1.59435 3/28 5:35 1.59394 0.13%
Trade id #72088814
Max drawdown($4)
Time3/28/12 5:35
Quant open0
Worst price1.59394
Drawdown as % of equity-0.13%
 ($4)
3/28/12 3:30 GBP/USD GBP/USD LONG 1 1.59285 3/28 5:33 1.59395 0.82%
Trade id #72086285
Max drawdown($25)
Time3/28/12 4:37
Quant open1
Worst price1.59028
Drawdown as % of equity-0.82%
 $11
3/28/12 0:02 GBP/USD GBP/USD LONG 1 1.59618 3/28 3:30 1.59225 1.34%
Trade id #72082955
Max drawdown($42)
Time3/28/12 3:30
Quant open1
Worst price1.59196
Drawdown as % of equity-1.34%
 ($39)
3/27/12 9:44 GBP/USD GBP/USD SHORT 2 1.59925 3/27 10:07 1.59818 0.25%
Trade id #72055589
Max drawdown($8)
Time3/27/12 9:48
Quant open-2
Worst price1.59966
Drawdown as % of equity-0.25%
 $21
3/27/12 9:05 GBP/USD GBP/USD SHORT 2 1.59892 3/27 9:44 1.60006 0.71%
Trade id #72049182
Max drawdown($23)
Time3/27/12 9:44
Quant open0
Worst price1.60006
Drawdown as % of equity-0.71%
 ($23)
3/27/12 7:06 GBP/USD GBP/USD SHORT 2 1.59607 3/27 9:04 1.59936 2.03%
Trade id #72046106
Max drawdown($66)
Time3/27/12 9:04
Quant open0
Worst price1.59936
Drawdown as % of equity-2.03%
 ($66)
3/27/12 6:07 GBP/USD GBP/USD LONG 1 1.59766 3/27 6:10 1.59737 0.11%
Trade id #72045345
Max drawdown($3)
Time3/27/12 6:10
Quant open1
Worst price1.59730
Drawdown as % of equity-0.11%
 ($3)
3/27/12 4:15 GBP/USD GBP/USD LONG 1 1.59823 3/27 6:07 1.59758 0.31%
Trade id #72043285
Max drawdown($10)
Time3/27/12 6:04
Quant open1
Worst price1.59723
Drawdown as % of equity-0.31%
 ($7)
3/26/12 14:55 GBP/USD GBP/USD LONG 2 1.59492 3/26 14:57 1.59515 0.17%
Trade id #72026922
Max drawdown($5)
Time3/26/12 14:57
Quant open2
Worst price1.59464
Drawdown as % of equity-0.17%
 $5
3/26/12 14:54 GBP/USD GBP/USD LONG 2 1.59481 3/26 14:55 1.59464 0.09%
Trade id #72026870
Max drawdown($3)
Time3/26/12 14:55
Quant open0
Worst price1.59464
Drawdown as % of equity-0.09%
 ($3)
3/26/12 14:47 GBP/USD GBP/USD LONG 2 1.59455 3/26 14:54 1.59454 0.13%
Trade id #72026708
Max drawdown($4)
Time3/26/12 14:49
Quant open2
Worst price1.59434
Drawdown as % of equity-0.13%
 $0
3/26/12 14:27 GBP/USD GBP/USD LONG 2 1.59482 3/26 14:47 1.59429 0.49%
Trade id #72026323
Max drawdown($15)
Time3/26/12 14:40
Quant open2
Worst price1.59404
Drawdown as % of equity-0.49%
 ($11)
3/26/12 14:24 GBP/USD GBP/USD LONG 2 1.59496 3/26 14:27 1.59459 0.22%
Trade id #72026272
Max drawdown($7)
Time3/26/12 14:27
Quant open0
Worst price1.59459
Drawdown as % of equity-0.22%
 ($7)
3/26/12 14:18 GBP/USD GBP/USD LONG 2 1.59482 3/26 14:24 1.59474 0.23%
Trade id #72026106
Max drawdown($7)
Time3/26/12 14:23
Quant open2
Worst price1.59445
Drawdown as % of equity-0.23%
 ($2)
Next

Statistics

  • Strategy began
    9/28/2011
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    4586.73
  • Age
    153 months ago
  • What it trades
    Forex
  • # Trades
    413
  • # Profitable
    159
  • % Profitable
    38.50%
  • Avg trade duration
    10.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    May 25, 2016 - Sept 25, 2022
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $30.88
  • Avg loss
    $40.88
  • Model Account Values (Raw)
  • Cash
    $3,017
  • Margin Used
    $373
  • Buying Power
    ($847)
  • Ratios
  • W:L ratio
    0.47:1
  • Sharpe Ratio
    -0.27
  • Sortino Ratio
    -0.31
  • Calmar Ratio
    -0.928
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -478.29%
  • Correlation to SP500
    0.05820
  • Return Percent SP500 (cumu) during strategy life
    335.30%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    50.06%
  • 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
    $41
  • Avg Win
    $31
  • Sum Trade PL (losers)
    $10,384.000
  • Age
  • Num Months filled monthly returns table
    54
  • Win / Loss
  • Sum Trade PL (winners)
    $4,910.000
  • # Winners
    159
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    254
  • % Winners
    38.5%
  • Frequency
  • Avg Position Time (mins)
    15493.50
  • Avg Position Time (hrs)
    258.22
  • Avg Trade Length
    10.8 days
  • Last Trade Ago
    4404
  • Regression
  • Alpha
    0.00
  • Beta
    1.42
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    20.87
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.24
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.21
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -2.159
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.464
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.315
  • Hold-and-Hope Ratio
    -0.536
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    58.43920
  • SD
    74.36650
  • Sharpe ratio (Glass type estimate)
    0.78583
  • Sharpe ratio (Hedges UMVUE)
    0.76977
  • df
    37.00000
  • t
    1.39839
  • p
    0.08516
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33509
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89646
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88505
  • Statistics related to Sortino ratio
  • Sortino ratio
    46.99420
  • Upside Potential Ratio
    48.83640
  • Upside part of mean
    60.73000
  • Downside part of mean
    -2.29080
  • Upside SD
    75.28540
  • Downside SD
    1.24354
  • N nonnegative terms
    12.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.43721
  • Mean of criterion
    58.43920
  • SD of predictor
    0.23286
  • SD of criterion
    74.36650
  • Covariance
    5.24000
  • r
    0.30260
  • b (slope, estimate of beta)
    96.64000
  • a (intercept, estimate of alpha)
    16.18710
  • Mean Square Error
    5163.53000
  • DF error
    36.00000
  • t(b)
    1.90490
  • p(b)
    0.03240
  • t(a)
    0.35135
  • p(a)
    0.36369
  • Lowerbound of 95% confidence interval for beta
    -6.25014
  • Upperbound of 95% confidence interval for beta
    199.53000
  • Lowerbound of 95% confidence interval for alpha
    -77.25010
  • Upperbound of 95% confidence interval for alpha
    109.62400
  • Treynor index (mean / b)
    0.60471
  • Jensen alpha (a)
    16.18710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.71755
  • SD
    7.15871
  • Sharpe ratio (Glass type estimate)
    -0.37961
  • Sharpe ratio (Hedges UMVUE)
    -0.37186
  • df
    37.00000
  • t
    -0.67553
  • p
    0.74823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72768
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47652
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73280
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46085
  • Upside Potential Ratio
    0.80437
  • Upside part of mean
    4.74322
  • Downside part of mean
    -7.46077
  • Upside SD
    3.96751
  • Downside SD
    5.89684
  • N nonnegative terms
    12.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.40318
  • Mean of criterion
    -2.71755
  • SD of predictor
    0.22997
  • SD of criterion
    7.15871
  • Covariance
    0.82779
  • r
    0.50282
  • b (slope, estimate of beta)
    15.65190
  • a (intercept, estimate of alpha)
    -9.02802
  • Mean Square Error
    39.35420
  • DF error
    36.00000
  • t(b)
    3.49018
  • p(b)
    0.00065
  • t(a)
    -2.27870
  • p(a)
    0.98564
  • Lowerbound of 95% confidence interval for beta
    6.55683
  • Upperbound of 95% confidence interval for beta
    24.74700
  • Lowerbound of 95% confidence interval for alpha
    -17.06320
  • Upperbound of 95% confidence interval for alpha
    -0.99289
  • Treynor index (mean / b)
    -0.17362
  • Jensen alpha (a)
    -9.02802
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.97337
  • Expected Shortfall on VaR
    0.98610
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.53108
  • Expected Shortfall on VaR
    0.95269
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.00119
  • Quartile 1
    0.79760
  • Median
    0.97620
  • Quartile 3
    1.06499
  • Maximum
    128.00000
  • Mean of quarter 1
    0.38918
  • Mean of quarter 2
    0.88365
  • Mean of quarter 3
    1.00669
  • Mean of quarter 4
    20.22410
  • Inter Quartile Range
    0.26738
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.15790
  • Mean of outliers low
    0.15467
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    32.94040
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25615
  • VaR(95%) (moments method)
    0.54537
  • Expected Shortfall (moments method)
    0.68731
  • Extreme Value Index (regression method)
    -2.43535
  • VaR(95%) (regression method)
    0.58425
  • Expected Shortfall (regression method)
    0.58936
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99980
  • Quartile 1
    0.99980
  • Median
    0.99980
  • Quartile 3
    0.99980
  • Maximum
    0.99980
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.31573
  • Compounded annual return (geometric extrapolation)
    -0.93210
  • Calmar ratio (compounded annual return / max draw down)
    -0.93228
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.94524
  • 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
    544.31200
  • SD
    345.19300
  • Sharpe ratio (Glass type estimate)
    1.57683
  • Sharpe ratio (Hedges UMVUE)
    1.57544
  • df
    849.00000
  • t
    2.84017
  • p
    0.00231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66617
  • Statistics related to Sortino ratio
  • Sortino ratio
    195.86600
  • Upside Potential Ratio
    200.72300
  • Upside part of mean
    557.80900
  • Downside part of mean
    -13.49750
  • Upside SD
    346.61400
  • Downside SD
    2.77900
  • N nonnegative terms
    327.00000
  • N negative terms
    523.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    850.00000
  • Mean of predictor
    0.48266
  • Mean of criterion
    544.31200
  • SD of predictor
    0.30896
  • SD of criterion
    345.19300
  • Covariance
    9.47589
  • r
    0.08885
  • b (slope, estimate of beta)
    99.26800
  • a (intercept, estimate of alpha)
    496.40000
  • Mean Square Error
    118357.00000
  • DF error
    848.00000
  • t(b)
    2.59760
  • p(b)
    0.00478
  • t(a)
    2.58689
  • p(a)
    0.00493
  • Lowerbound of 95% confidence interval for beta
    24.26020
  • Upperbound of 95% confidence interval for beta
    174.27600
  • Lowerbound of 95% confidence interval for alpha
    119.76300
  • Upperbound of 95% confidence interval for alpha
    873.03600
  • Treynor index (mean / b)
    5.48326
  • Jensen alpha (a)
    496.40000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.65321
  • SD
    13.85420
  • Sharpe ratio (Glass type estimate)
    -0.19151
  • Sharpe ratio (Hedges UMVUE)
    -0.19134
  • df
    849.00000
  • t
    -0.34495
  • p
    0.63489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27966
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89672
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27953
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89685
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26991
  • Upside Potential Ratio
    2.96535
  • Upside part of mean
    29.14970
  • Downside part of mean
    -31.80290
  • Upside SD
    9.75230
  • Downside SD
    9.83013
  • N nonnegative terms
    327.00000
  • N negative terms
    523.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    850.00000
  • Mean of predictor
    0.43456
  • Mean of criterion
    -2.65321
  • SD of predictor
    0.30905
  • SD of criterion
    13.85420
  • Covariance
    0.52921
  • r
    0.12360
  • b (slope, estimate of beta)
    5.54091
  • a (intercept, estimate of alpha)
    -5.06108
  • Mean Square Error
    189.22800
  • DF error
    848.00000
  • t(b)
    3.62713
  • p(b)
    0.00015
  • t(a)
    -0.66020
  • p(a)
    0.74535
  • Lowerbound of 95% confidence interval for beta
    2.54253
  • Upperbound of 95% confidence interval for beta
    8.53928
  • Lowerbound of 95% confidence interval for alpha
    -20.10760
  • Upperbound of 95% confidence interval for alpha
    9.98548
  • Treynor index (mean / b)
    -0.47884
  • Jensen alpha (a)
    -5.06108
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.75780
  • Expected Shortfall on VaR
    0.82305
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13184
  • Expected Shortfall on VaR
    0.29146
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    850.00000
  • Minimum
    0.00313
  • Quartile 1
    0.98124
  • Median
    1.00000
  • Quartile 3
    1.01372
  • Maximum
    443.00000
  • Mean of quarter 1
    0.79983
  • Mean of quarter 2
    0.99482
  • Mean of quarter 3
    1.00327
  • Mean of quarter 4
    9.49309
  • Inter Quartile Range
    0.03248
  • Number outliers low
    111.00000
  • Percentage of outliers low
    0.13059
  • Mean of outliers low
    0.64969
  • Number of outliers high
    103.00000
  • Percentage of outliers high
    0.12118
  • Mean of outliers high
    18.53150
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.18607
  • VaR(95%) (moments method)
    0.16438
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.02606
  • VaR(95%) (regression method)
    0.13245
  • Expected Shortfall (regression method)
    0.20642
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99980
  • Quartile 1
    0.99980
  • Median
    0.99980
  • Quartile 3
    0.99980
  • Maximum
    0.99980
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.30817
  • Compounded annual return (geometric extrapolation)
    -0.92758
  • Calmar ratio (compounded annual return / max draw down)
    -0.92776
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.12700
  • 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
    360.60600
  • SD
    256.01300
  • Sharpe ratio (Glass type estimate)
    1.40855
  • Sharpe ratio (Hedges UMVUE)
    1.40041
  • df
    130.00000
  • t
    0.99599
  • p
    0.45649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18298
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17743
  • Statistics related to Sortino ratio
  • Sortino ratio
    139.43000
  • Upside Potential Ratio
    144.50300
  • Upside part of mean
    373.72800
  • Downside part of mean
    -13.12110
  • Upside SD
    255.99200
  • Downside SD
    2.58629
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78796
  • Mean of criterion
    360.60600
  • SD of predictor
    0.40475
  • SD of criterion
    256.01300
  • Covariance
    8.13850
  • r
    0.07854
  • b (slope, estimate of beta)
    49.67810
  • a (intercept, estimate of alpha)
    321.46200
  • Mean Square Error
    65643.30000
  • DF error
    129.00000
  • t(b)
    0.89481
  • p(b)
    0.45005
  • t(a)
    0.88080
  • p(a)
    0.45083
  • Lowerbound of 95% confidence interval for beta
    -60.16560
  • Upperbound of 95% confidence interval for beta
    159.52200
  • Lowerbound of 95% confidence interval for alpha
    -400.63300
  • Upperbound of 95% confidence interval for alpha
    1043.56000
  • Treynor index (mean / b)
    7.25887
  • Jensen alpha (a)
    321.46200
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -11.97040
  • SD
    12.93230
  • Sharpe ratio (Glass type estimate)
    -0.92562
  • Sharpe ratio (Hedges UMVUE)
    -0.92027
  • df
    130.00000
  • t
    -0.65451
  • p
    0.52865
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.69802
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.69433
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85379
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.14880
  • Upside Potential Ratio
    1.87767
  • Upside part of mean
    19.56520
  • Downside part of mean
    -31.53570
  • Upside SD
    7.61180
  • Downside SD
    10.42000
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.70483
  • Mean of criterion
    -11.97040
  • SD of predictor
    0.40759
  • SD of criterion
    12.93230
  • Covariance
    0.74037
  • r
    0.14046
  • b (slope, estimate of beta)
    4.45652
  • a (intercept, estimate of alpha)
    -15.11150
  • Mean Square Error
    165.21600
  • DF error
    129.00000
  • t(b)
    1.61126
  • p(b)
    0.41088
  • t(a)
    -0.82658
  • p(a)
    0.54617
  • VAR (95 Confidence Intrvl)
    0.75800
  • Lowerbound of 95% confidence interval for beta
    -1.01580
  • Upperbound of 95% confidence interval for beta
    9.92884
  • Lowerbound of 95% confidence interval for alpha
    -51.28300
  • Upperbound of 95% confidence interval for alpha
    21.05990
  • Treynor index (mean / b)
    -2.68605
  • Jensen alpha (a)
    -15.11150
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.74330
  • Expected Shortfall on VaR
    0.80896
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14572
  • Expected Shortfall on VaR
    0.31289
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00549
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00058
  • Maximum
    182.00000
  • Mean of quarter 1
    0.80151
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    6.66265
  • Inter Quartile Range
    0.00058
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.22901
  • Mean of outliers low
    0.78166
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.24427
  • Mean of outliers high
    6.83957
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.18202
  • VaR(95%) (regression method)
    0.15734
  • Expected Shortfall (regression method)
    0.23184
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00500
  • Quartile 1
    0.03943
  • Median
    0.05809
  • Quartile 3
    0.34635
  • Maximum
    0.99920
  • Mean of quarter 1
    0.02222
  • Mean of quarter 2
    0.05809
  • Mean of quarter 3
    0.34635
  • Mean of quarter 4
    0.99920
  • Inter Quartile Range
    0.30692
  • 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
    0.20000
  • Mean of outliers high
    0.99920
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -398723000
  • Max Equity Drawdown (num days)
    2314
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99490
  • Compounded annual return (geometric extrapolation)
    -0.99999
  • Calmar ratio (compounded annual return / max draw down)
    -1.00079
  • Compounded annual return / average of 25% largest draw downs
    -1.00079
  • Compounded annual return / Expected Shortfall lognormal
    -1.23615

Strategy Description


Methodology


This EA produces Monte Carlo simulations of the Forex market every minute for a number of periods into the future. A mean and standard deviation are obtained from this projection, and are fed into a trade decision subroutine. This information is then used to enter the market when conditions are favorable and exit when conditions turn for the worse.

Take-Profit (TP) and Stop-Loss (SL) levels are set dynamically based on the projected means and standard deviation upon execution and the desired risk level. See discussion on Risk.

This adaptation of the MCFX system uses only a single position per traded pair. This is done to make its use feasible in small accounts. It should be noted, however, that risk management for this arbitrage strategy tends to work better with multiple positions and a larger account. See mcfx.collective2.com for the multi-position version.


Risk Management


The TP and SL are set using Monte Carlo standard deviation data when an entry is executed. The lot size is calculated such that 3% of the account will be lost if the SL is hit. This risk is divided by however many instruments are being traded. For example, if we're trading the USDCAD and GBPUSD, each will have a position size that risks 1.5% of the principal in the account, such that if positions are entered in both pairs simultaneously, 3% of the account will be at risk.

Please note that this percentage is approximate since C2 does not allow fractional lots. In addition, even though the maximum risk per transaction is 3%, it is possible to have a number of losing transactions in a row, and the user may lose more than 3% within any given period.

if you have a $5,000 account and would like to trade with a 3% risk, your scaling factor will be 1. Otherwise, please calculate your scaling factor as follow:

sf = AB / rAB * R / rR

where:
sf = scaling factor
AB = account balance (yours)
rAB = reference account balance (mine)
R = desired risk (yours)
rR = reference risk (3%)

Summary Statistics

Strategy began
2011-09-28
Suggested Minimum Capital
$5,000
# Trades
413
# Profitable
159
% Profitable
38.5%
Correlation S&P500
0.058
Sharpe Ratio
-0.27
Sortino Ratio
-0.31
Beta
1.42
Alpha
0.00

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

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.