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These are hypothetical performance results that have certain inherent limitations. Learn more

Monte Carlo FX Statistical Arbitrage - MP
(67637859)

Created by: EddyC EddyC
Started: 11/2011
Forex
Last trade: 4,374 days ago
Subscriptions not currently available.

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 $200.00 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.

-0.5%
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.

(12.2%)
Max Drawdown
337
Num Trades
40.4%
Win Trades
0.9 : 1
Profit Factor
2.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                      +0.3%+3.2%+3.5%
2012(1%)(4%)(2.7%)(2.3%)  -    -    -    -    -    -    -    -  (9.6%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -  +0.7%  -    -    -    -    -    -  +0.7%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/6/12 9:13 USD/CAD USD/CAD SHORT 17 0.99681 4/6 11:24 0.99756 0.02%
Trade id #72430547
Max drawdown($152)
Time4/6/12 11:13
Quant open-17
Worst price0.99771
Drawdown as % of equity-0.02%
($128)
4/5/12 10:07 GBP/USD GBP/USD LONG 83 1.58341 4/5 11:49 1.58252 0.19%
Trade id #72401314
Max drawdown($1,891)
Time4/5/12 11:37
Quant open83
Worst price1.58113
Drawdown as % of equity-0.19%
($738)
4/5/12 10:38 USD/CAD USD/CAD LONG 5 0.99258 4/5 11:21 0.99121 0.01%
Trade id #72403260
Max drawdown($99)
Time4/5/12 11:14
Quant open5
Worst price0.99060
Drawdown as % of equity-0.01%
($69)
4/5/12 5:34 USD/CAD USD/CAD LONG 47 0.99917 4/5 8:29 0.99819 0.08%
Trade id #72388993
Max drawdown($760)
Time4/5/12 8:01
Quant open47
Worst price0.99756
Drawdown as % of equity-0.08%
($461)
4/5/12 2:20 GBP/USD GBP/USD LONG 191 1.58835 4/5 7:00 1.58424 0.8%
Trade id #72385438
Max drawdown($7,853)
Time4/5/12 7:00
Quant open181
Worst price1.58217
Drawdown as % of equity-0.80%
($7,853)
4/4/12 22:07 GBP/USD GBP/USD SHORT 25 1.59014 4/5 2:02 1.59033 0.02%
Trade id #72378560
Max drawdown($149)
Time4/4/12 22:48
Quant open-25
Worst price1.59074
Drawdown as % of equity-0.02%
($47)
4/4/12 10:50 GBP/USD GBP/USD LONG 186 1.58782 4/4 16:38 1.58889 0.02%
Trade id #72360602
Max drawdown($201)
Time4/4/12 10:53
Quant open21
Worst price1.58653
Drawdown as % of equity-0.02%
$1,990
4/4/12 9:01 GBP/USD GBP/USD SHORT 72 1.58473 4/4 10:18 1.58770 0.22%
Trade id #72354966
Max drawdown($2,136)
Time4/4/12 10:18
Quant open61
Worst price1.58727
Drawdown as % of equity-0.22%
($2,136)
4/4/12 7:50 GBP/USD GBP/USD SHORT 11 1.58731 4/4 8:57 1.58528 0%
Trade id #72353833
Max drawdown($45)
Time4/4/12 7:52
Quant open-11
Worst price1.58772
Drawdown as % of equity-0.00%
$223
4/4/12 2:16 GBP/USD GBP/USD LONG 194 1.58848 4/4 7:50 1.58705 0.51%
Trade id #72347752
Max drawdown($5,020)
Time4/4/12 5:45
Quant open186
Worst price1.58578
Drawdown as % of equity-0.51%
($2,770)
4/4/12 5:09 USD/JPY USD/JPY LONG 48 82.521 4/4 5:22 82.352 0.1%
Trade id #72350911
Max drawdown($991)
Time4/4/12 5:22
Quant open24
Worst price82.345
Drawdown as % of equity-0.10%
($991)
4/3/12 15:11 USD/JPY USD/JPY LONG 48 82.881 4/3 16:12 82.802 0.05%
Trade id #72335494
Max drawdown($545)
Time4/3/12 16:09
Quant open48
Worst price82.787
Drawdown as % of equity-0.05%
($458)
4/3/12 14:15 USD/CAD USD/CAD SHORT 6 0.99223 4/3 15:16 0.99116 0%
Trade id #72333368
Max drawdown($19)
Time4/3/12 14:17
Quant open-6
Worst price0.99255
Drawdown as % of equity-0.00%
$65
4/3/12 8:53 GBP/USD GBP/USD LONG 259 1.59737 4/3 14:04 1.59485 0.65%
Trade id #72313486
Max drawdown($6,503)
Time4/3/12 14:04
Quant open244
Worst price1.59405
Drawdown as % of equity-0.65%
($6,503)
4/3/12 12:54 USD/CAD USD/CAD LONG 17 0.99128 4/3 13:07 0.99094 0.01%
Trade id #72330176
Max drawdown($57)
Time4/3/12 13:07
Quant open11
Worst price0.99092
Drawdown as % of equity-0.01%
($57)
4/3/12 6:37 GBP/USD GBP/USD LONG 31 1.60035 4/3 8:02 1.59908 0.07%
Trade id #72310684
Max drawdown($700)
Time4/3/12 7:56
Quant open31
Worst price1.59809
Drawdown as % of equity-0.07%
($393)
4/2/12 11:23 USD/JPY USD/JPY LONG 24 82.069 4/2 15:09 82.194 0.01%
Trade id #72286291
Max drawdown($99)
Time4/2/12 11:25
Quant open24
Worst price82.035
Drawdown as % of equity-0.01%
$366
4/2/12 11:37 GBP/USD GBP/USD LONG 8 1.60173 4/2 11:43 1.60175 0%
Trade id #72287072
Max drawdown($38)
Time4/2/12 11:40
Quant open8
Worst price1.60125
Drawdown as % of equity-0.00%
$2
4/2/12 10:48 USD/JPY USD/JPY LONG 24 82.123 4/2 11:00 81.986 0.04%
Trade id #72280939
Max drawdown($400)
Time4/2/12 11:00
Quant open0
Worst price81.986
Drawdown as % of equity-0.04%
($400)
4/2/12 3:13 USD/CAD USD/CAD LONG 5 0.99618 4/2 4:21 0.99620 0%
Trade id #72258216
Max drawdown($16)
Time4/2/12 4:21
Quant open5
Worst price0.99586
Drawdown as % of equity-0.00%
$1
4/2/12 2:20 GBP/USD GBP/USD SHORT 17 1.60153 4/2 2:21 1.60169 0%
Trade id #72257330
Max drawdown($27)
Time4/2/12 2:21
Quant open0
Worst price1.60169
Drawdown as % of equity-0.00%
($27)
3/30/12 11:50 GBP/USD GBP/USD LONG 26 1.59883 4/1 17:01 1.60047 n/a $427
3/30/12 10:57 GBP/USD GBP/USD LONG 13 1.59698 3/30 10:59 1.59710 0%
Trade id #72219717
Max drawdown($23)
Time3/30/12 10:59
Quant open13
Worst price1.59680
Drawdown as % of equity-0.00%
$16
3/30/12 10:05 GBP/USD GBP/USD SHORT 29 1.59941 3/30 10:19 1.60038 0.04%
Trade id #72212372
Max drawdown($394)
Time3/30/12 10:13
Quant open-29
Worst price1.60077
Drawdown as % of equity-0.04%
($280)
3/30/12 7:40 GBP/USD GBP/USD SHORT 50 1.60242 3/30 8:54 1.60176 0.05%
Trade id #72201248
Max drawdown($485)
Time3/30/12 8:38
Quant open-33
Worst price1.60363
Drawdown as % of equity-0.05%
$331
3/29/12 15:26 GBP/USD GBP/USD LONG 16 1.59403 3/29 17:33 1.59512 0.01%
Trade id #72180803
Max drawdown($140)
Time3/29/12 15:30
Quant open16
Worst price1.59316
Drawdown as % of equity-0.01%
$174
3/29/12 10:50 GBP/USD GBP/USD SHORT 84 1.59078 3/29 12:15 1.59102 0.07%
Trade id #72171915
Max drawdown($656)
Time3/29/12 11:15
Quant open-46
Worst price1.59198
Drawdown as % of equity-0.07%
($206)
3/29/12 3:33 USD/JPY USD/JPY SHORT 23 82.404 3/29 4:05 82.386 0.02%
Trade id #72151379
Max drawdown($198)
Time3/29/12 3:48
Quant open-23
Worst price82.475
Drawdown as % of equity-0.02%
$50
3/29/12 3:33 GBP/USD GBP/USD LONG 9 1.58955 3/29 3:43 1.59070 0%
Trade id #72151350
Max drawdown($4)
Time3/29/12 3:35
Quant open9
Worst price1.58950
Drawdown as % of equity-0.00%
$104
3/28/12 12:43 GBP/USD GBP/USD SHORT 124 1.58675 3/28 14:50 1.58819 0.18%
Trade id #72122734
Max drawdown($1,789)
Time3/28/12 14:50
Quant open100
Worst price1.58914
Drawdown as % of equity-0.18%
($1,789)

Statistics

  • Strategy began
    11/4/2011
  • Suggested Minimum Cap
    $999,900
  • Strategy Age (days)
    4526.95
  • Age
    151 months ago
  • What it trades
    Forex
  • # Trades
    337
  • # Profitable
    136
  • % Profitable
    40.40%
  • Avg trade duration
    1.9 hours
  • Max peak-to-valley drawdown
    12.19%
  • drawdown period
    Dec 15, 2011 - April 19, 2012
  • Annual Return (Compounded)
    -0.5%
  • Avg win
    $1,856
  • Avg loss
    $1,329
  • Model Account Values (Raw)
  • Cash
    $985,245
  • Margin Used
    $0
  • Buying Power
    $985,245
  • Ratios
  • W:L ratio
    0.95:1
  • Sharpe Ratio
    -1.16
  • Sortino Ratio
    -1.85
  • Calmar Ratio
    -0.059
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -324.57%
  • Correlation to SP500
    -0.00430
  • Return Percent SP500 (cumu) during strategy life
    319.01%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.5%
  • Slump
  • Current Slump as Pcnt Equity
    13.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.005%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    50.29%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,329
  • Avg Win
    $1,857
  • Sum Trade PL (losers)
    $267,168.000
  • Age
  • Num Months filled monthly returns table
    149
  • Win / Loss
  • Sum Trade PL (winners)
    $252,509.000
  • # Winners
    136
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    201
  • % Winners
    40.4%
  • Frequency
  • Avg Position Time (mins)
    111.87
  • Avg Position Time (hrs)
    1.86
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    4373
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    13.29
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    69.77
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    77.58
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.61
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -7.538
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.322
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.201
  • Hold-and-Hope Ratio
    -0.133
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03243
  • SD
    0.03419
  • Sharpe ratio (Glass type estimate)
    -0.94855
  • Sharpe ratio (Hedges UMVUE)
    -0.92744
  • df
    34.00000
  • t
    -1.61995
  • p
    0.94276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.22753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24117
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.11293
  • Upside Potential Ratio
    0.49695
  • Upside part of mean
    0.01448
  • Downside part of mean
    -0.04691
  • Upside SD
    0.01934
  • Downside SD
    0.02914
  • N nonnegative terms
    3.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.45627
  • Mean of criterion
    -0.03243
  • SD of predictor
    0.25493
  • SD of criterion
    0.03419
  • Covariance
    0.00023
  • r
    0.02603
  • b (slope, estimate of beta)
    0.00349
  • a (intercept, estimate of alpha)
    -0.03402
  • Mean Square Error
    0.00120
  • DF error
    33.00000
  • t(b)
    0.14959
  • p(b)
    0.44100
  • t(a)
    -1.48345
  • p(a)
    0.92628
  • Lowerbound of 95% confidence interval for beta
    -0.04399
  • Upperbound of 95% confidence interval for beta
    0.05097
  • Lowerbound of 95% confidence interval for alpha
    -0.08069
  • Upperbound of 95% confidence interval for alpha
    0.01264
  • Treynor index (mean / b)
    -9.28926
  • Jensen alpha (a)
    -0.03402
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03297
  • SD
    0.03431
  • Sharpe ratio (Glass type estimate)
    -0.96086
  • Sharpe ratio (Hedges UMVUE)
    -0.93948
  • df
    34.00000
  • t
    -1.64097
  • p
    0.94499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.12405
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.21589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.10863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22968
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.11573
  • Upside Potential Ratio
    0.48274
  • Upside part of mean
    0.01426
  • Downside part of mean
    -0.04723
  • Upside SD
    0.01900
  • Downside SD
    0.02955
  • N nonnegative terms
    3.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.41752
  • Mean of criterion
    -0.03297
  • SD of predictor
    0.24582
  • SD of criterion
    0.03431
  • Covariance
    0.00022
  • r
    0.02626
  • b (slope, estimate of beta)
    0.00367
  • a (intercept, estimate of alpha)
    -0.03450
  • Mean Square Error
    0.00121
  • DF error
    33.00000
  • t(b)
    0.15093
  • p(b)
    0.44047
  • t(a)
    -1.51517
  • p(a)
    0.93037
  • Lowerbound of 95% confidence interval for beta
    -0.04575
  • Upperbound of 95% confidence interval for beta
    0.05308
  • Lowerbound of 95% confidence interval for alpha
    -0.08083
  • Upperbound of 95% confidence interval for alpha
    0.01183
  • Treynor index (mean / b)
    -8.99284
  • Jensen alpha (a)
    -0.03450
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01886
  • Expected Shortfall on VaR
    0.02291
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01284
  • Expected Shortfall on VaR
    0.02404
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.96637
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03460
  • Mean of quarter 1
    0.99294
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00560
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.08571
  • Mean of outliers low
    0.97883
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11429
  • Mean of outliers high
    1.01260
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3226.22000
  • VaR(95%) (moments method)
    0.00124
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.89557
  • VaR(95%) (regression method)
    0.06358
  • Expected Shortfall (regression method)
    0.07157
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06250
  • Quartile 1
    0.06250
  • Median
    0.06250
  • Quartile 3
    0.06250
  • Maximum
    0.06250
  • 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)
    -0.00503
  • Compounded annual return (geometric extrapolation)
    -0.00505
  • Calmar ratio (compounded annual return / max draw down)
    -0.08079
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.22045
  • 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
    -0.03230
  • SD
    0.03505
  • Sharpe ratio (Glass type estimate)
    -0.92150
  • Sharpe ratio (Hedges UMVUE)
    -0.92061
  • df
    773.00000
  • t
    -1.58386
  • p
    0.94318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.06246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.22003
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22064
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.61605
  • Upside Potential Ratio
    2.69100
  • Upside part of mean
    0.05378
  • Downside part of mean
    -0.08608
  • Upside SD
    0.02883
  • Downside SD
    0.01999
  • N nonnegative terms
    32.00000
  • N negative terms
    742.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    774.00000
  • Mean of predictor
    0.52322
  • Mean of criterion
    -0.03230
  • SD of predictor
    0.35323
  • SD of criterion
    0.03505
  • Covariance
    0.00003
  • r
    0.00242
  • b (slope, estimate of beta)
    0.00024
  • a (intercept, estimate of alpha)
    -0.03200
  • Mean Square Error
    0.00123
  • DF error
    772.00000
  • t(b)
    0.06712
  • p(b)
    0.47325
  • t(a)
    -1.58236
  • p(a)
    0.94301
  • Lowerbound of 95% confidence interval for beta
    -0.00677
  • Upperbound of 95% confidence interval for beta
    0.00725
  • Lowerbound of 95% confidence interval for alpha
    -0.07265
  • Upperbound of 95% confidence interval for alpha
    0.00780
  • Treynor index (mean / b)
    -134.75200
  • Jensen alpha (a)
    -0.03242
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03290
  • SD
    0.03484
  • Sharpe ratio (Glass type estimate)
    -0.94459
  • Sharpe ratio (Hedges UMVUE)
    -0.94367
  • df
    773.00000
  • t
    -1.62353
  • p
    0.94756
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08560
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.19700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19762
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63862
  • Upside Potential Ratio
    2.65756
  • Upside part of mean
    0.05337
  • Downside part of mean
    -0.08627
  • Upside SD
    0.02851
  • Downside SD
    0.02008
  • N nonnegative terms
    32.00000
  • N negative terms
    742.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    774.00000
  • Mean of predictor
    0.45690
  • Mean of criterion
    -0.03290
  • SD of predictor
    0.36885
  • SD of criterion
    0.03484
  • Covariance
    0.00003
  • r
    0.00231
  • b (slope, estimate of beta)
    0.00022
  • a (intercept, estimate of alpha)
    -0.03300
  • Mean Square Error
    0.00122
  • DF error
    772.00000
  • t(b)
    0.06413
  • p(b)
    0.47444
  • t(a)
    -1.62265
  • p(a)
    0.94746
  • Lowerbound of 95% confidence interval for beta
    -0.00645
  • Upperbound of 95% confidence interval for beta
    0.00689
  • Lowerbound of 95% confidence interval for alpha
    -0.07293
  • Upperbound of 95% confidence interval for alpha
    0.00692
  • Treynor index (mean / b)
    -150.94900
  • Jensen alpha (a)
    -0.03300
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00366
  • Expected Shortfall on VaR
    0.00455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00111
  • Expected Shortfall on VaR
    0.00240
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    774.00000
  • Minimum
    0.98185
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03023
  • Mean of quarter 1
    0.99909
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00084
  • Inter Quartile Range
    0.00000
  • Number outliers low
    58.00000
  • Percentage of outliers low
    0.07494
  • Mean of outliers low
    0.99697
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.05168
  • Mean of outliers high
    1.00406
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.73274
  • VaR(95%) (moments method)
    0.00057
  • Expected Shortfall (moments method)
    0.00188
  • Extreme Value Index (regression method)
    -0.07041
  • VaR(95%) (regression method)
    0.00069
  • Expected Shortfall (regression method)
    0.00227
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00025
  • Median
    0.00039
  • Quartile 3
    0.00463
  • Maximum
    0.08516
  • Mean of quarter 1
    0.00012
  • Mean of quarter 2
    0.00033
  • Mean of quarter 3
    0.00044
  • Mean of quarter 4
    0.04559
  • Inter Quartile Range
    0.00438
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.08516
  • 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)
    -0.00496
  • Compounded annual return (geometric extrapolation)
    -0.00499
  • Calmar ratio (compounded annual return / max draw down)
    -0.05855
  • Compounded annual return / average of 25% largest draw downs
    -0.10935
  • Compounded annual return / Expected Shortfall lognormal
    -1.09472
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.91385
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44111
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81493
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44437
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6822620000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    151435999999999994725750632611840.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -346119000
  • Max Equity Drawdown (num days)
    126
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

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 they are not.

This system centers around a very robust risk management strategy using the Monte Carlo method. Instead of seeking a high win rate by having an SL thousands of pips away (which can result in margin calls and losses to subscribers), we use sound statistical methodology. Take-Profit (TP) and Stop-Loss (SL) levels are set dynamically based on the projected means and standard deviation upon execution. Stop-Loss levels are tight, sometimes set as low as 15 pips away from the entry, so while we may not have an artificially high win rate, what you see in our equity curve is representative of the drawdown percentage you should expect in your account. It is very important to scale your account properly, however. Please see the discussion below on risk management.

This instance of the MCFX system uses multiple positions per traded pair executed within a probability cloud. Because of the multiple position strategy, this system is intended to be used in larger accounts.


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 on all possible positions at any given time. This risk is divided by however many instruments are being traded and the maximum number of open positions in each instrument. For example, if we're trading the USDCAD and GBPUSD and a maximum of 30 positions in each, every position opened risks 0.05% of the principal in the account, such that if the maximum number of positions are entered in both pairs simultaneously, 3% of the account will be at risk. Note that even though this is a conservative and bounding scenario, it is possible to have a string of losing transactions causing the user to lose more than 3% of their account within any given period.

Please note that the risk percentage is approximate since C2 does not allow fractional lots. To allow for the most granularity in position sizing, the maximum account size was selected for broadcast.

If you have a $1,000,000 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%)

For example, a $10,000 account at 6% risk would use a scaling factor of 0.02 (10k/1M * 6/3)

Summary Statistics

Strategy began
2011-11-04
Suggested Minimum Capital
$999,900
# Trades
337
# Profitable
136
% Profitable
40.4%
Correlation S&P500
-0.004
Sharpe Ratio
-1.16
Sortino Ratio
-1.85
Beta
-0.00
Alpha
-0.01

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.