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

THRIVING FX
(68323532)

Created by: apol_bugi apol_bugi
Started: 11/2011
Forex
Last trade: 4,330 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.

0.7%
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.

(58.8%)
Max Drawdown
169
Num Trades
28.4%
Win Trades
1.2 : 1
Profit Factor
54.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                        -  (6.4%)(6.4%)
2012(29.8%)+3.3%+0.5%(30.8%)(2.9%)+5.1%(4.8%)+1.1%(2.7%)+7.2%+8.2%+11.4%(37.7%)
2013+9.5%+2.4%+3.5%+6.3%+4.6%(4.5%)+2.8%(1.4%)  -  (1.5%)+6.9%+3.6%+36.1%
2014(3.9%)(0.3%)+1.9%(1.5%)(0.5%)+0.1%+0.9%+3.3%+3.9%+3.8%+5.5%+1.1%+15.0%
2015(1.6%)+1.4%+0.1%  -  +3.4%(0.7%)+0.6%(1.6%)(1.1%)+0.3%+1.9%(2.2%)+0.3%
2016+0.7%(7.2%)+0.1%(6.1%)+3.7%(7.4%)(1.1%)+1.2%(2.7%)+4.9%+8.9%+4.3%(2.2%)
2017(2.5%)(2.2%)(0.8%)+0.3%(0.1%)+0.8%(1.3%)(0.6%)+2.4%+1.1%(1.3%)(0.4%)(4.6%)
2018(2.7%)(2.5%)(0.8%)+3.1%(0.2%)+2.0%+0.3%+0.1%+2.8%(1.9%)+1.5%(1.5%)(0.3%)
2019(3%)+2.2%  -  +0.7%(0.3%)  -  (1.8%)+1.6%+1.2%+0.9%(0.3%)(2.7%)
2020(0.1%)(1%)+0.4%(1%)+0.3%(1%)(1.8%)+0.6%(0.2%)(1%)(0.4%)(1.5%)(6.7%)
2021+1.9%+2.2%+4.6%(2.9%)+1.1%+2.0%(0.9%)  -  +1.4%+2.2%(0.5%)+1.7%+13.4%
2022+0.3%+0.1%+4.9%+6.2%(1.8%)+5.4%(2.1%)+2.5%+3.7%+1.5%(4.2%)(3.1%)+13.7%
2023(1.6%)+2.8%(1.2%)+2.0%+1.9%+2.3%(1.9%)+3.0%+1.2%+0.5%(0.4%)(3.1%)+5.4%
2024+2.4%+0.9%+0.6%                                                      +4.0%

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/18/12 3:48 AUD/USD AUD/USD LONG 10 1.03962 4/20 4:57 1.03245 1.71%
Trade id #72790034
Max drawdown($883)
Time4/19/12 22:12
Quant open10
Worst price1.03079
Drawdown as % of equity-1.71%
($717)
4/18/12 2:52 CAD/CHF CAD/CHF LONG 20 0.92693 4/20 4:57 0.92396 2.11%
Trade id #72788272
Max drawdown($1,083)
Time4/20/12 4:02
Quant open10
Worst price0.91703
Drawdown as % of equity-2.11%
($650)
4/18/12 3:06 AUD/CHF AUD/CHF LONG 20 0.95281 4/20 4:40 0.94280 4.38%
Trade id #72788827
Max drawdown($2,253)
Time4/20/12 4:28
Quant open20
Worst price0.94257
Drawdown as % of equity-4.38%
($2,201)
4/18/12 3:06 EUR/AUD EUR/AUD SHORT 10 1.26153 4/19 10:08 1.27144 1.89%
Trade id #72788808
Max drawdown($1,024)
Time4/19/12 10:08
Quant open0
Worst price1.27144
Drawdown as % of equity-1.89%
($1,024)
4/18/12 3:24 USD/JPY USD/JPY LONG 20 81.340 4/19 6:10 81.525 0.41%
Trade id #72789567
Max drawdown($221)
Time4/18/12 19:51
Quant open10
Worst price81.159
Drawdown as % of equity-0.41%
$455
4/18/12 2:16 GBP/USD GBP/USD SHORT 10 1.59192 4/18 10:39 1.60201 1.84%
Trade id #72786986
Max drawdown($1,009)
Time4/18/12 10:39
Quant open0
Worst price1.60201
Drawdown as % of equity-1.84%
($1,009)
4/18/12 0:26 AUD/NZD AUD/NZD LONG 10 1.26596 4/18 9:14 1.26897 0.19%
Trade id #72784712
Max drawdown($106)
Time4/18/12 4:09
Quant open10
Worst price1.26466
Drawdown as % of equity-0.19%
$246
4/18/12 2:50 USD/CHF USD/CHF LONG 10 0.91675 4/18 6:38 0.91976 0.18%
Trade id #72788202
Max drawdown($101)
Time4/18/12 3:00
Quant open10
Worst price0.91582
Drawdown as % of equity-0.18%
$327
4/18/12 3:03 EUR/CAD EUR/CAD SHORT 10 1.29723 4/18 6:34 1.29407 0.02%
Trade id #72788674
Max drawdown($13)
Time4/18/12 3:05
Quant open-10
Worst price1.29736
Drawdown as % of equity-0.02%
$319
4/18/12 2:51 EUR/USD EUR/USD SHORT 10 1.31090 4/18 5:32 1.30783 0.17%
Trade id #72788219
Max drawdown($94)
Time4/18/12 2:57
Quant open-10
Worst price1.31184
Drawdown as % of equity-0.17%
$307
4/18/12 3:14 EUR/GBP EUR/GBP SHORT 10 0.82327 4/18 4:39 0.82025 0.18%
Trade id #72789251
Max drawdown($99)
Time4/18/12 3:51
Quant open-10
Worst price0.82389
Drawdown as % of equity-0.18%
$483
4/18/12 3:48 GBP/JPY GBP/JPY LONG 10 129.460 4/18 4:30 129.759 0.18%
Trade id #72790023
Max drawdown($98)
Time4/18/12 3:57
Quant open10
Worst price129.380
Drawdown as % of equity-0.18%
$367
4/18/12 2:50 GBP/JPY GBP/JPY SHORT 20 129.289 4/18 3:48 129.454 0.74%
Trade id #72788177
Max drawdown($407)
Time4/18/12 3:48
Quant open10
Worst price129.455
Drawdown as % of equity-0.74%
($407)
4/18/12 1:51 AUD/USD AUD/USD SHORT 10 1.03993 4/18 3:48 1.03956 0.06%
Trade id #72786295
Max drawdown($36)
Time4/18/12 1:56
Quant open-10
Worst price1.04029
Drawdown as % of equity-0.06%
$37
4/18/12 2:17 EUR/GBP EUR/GBP LONG 10 0.82403 4/18 3:14 0.82326 0.23%
Trade id #72787040
Max drawdown($127)
Time4/18/12 3:14
Quant open10
Worst price0.82323
Drawdown as % of equity-0.23%
($123)
4/18/12 2:17 EUR/NZD EUR/NZD LONG 10 1.59722 4/18 3:12 1.59646 0.18%
Trade id #72787025
Max drawdown($99)
Time4/18/12 3:11
Quant open10
Worst price1.59601
Drawdown as % of equity-0.18%
($62)
4/18/12 2:10 AUD/CHF AUD/CHF SHORT 10 0.95231 4/18 3:06 0.95271 0.08%
Trade id #72786808
Max drawdown($44)
Time4/18/12 3:06
Quant open0
Worst price0.95271
Drawdown as % of equity-0.08%
($44)
4/18/12 2:10 EUR/AUD EUR/AUD LONG 10 1.26198 4/18 3:06 1.26151 0.12%
Trade id #72786796
Max drawdown($66)
Time4/18/12 2:14
Quant open10
Worst price1.26134
Drawdown as % of equity-0.12%
($49)
4/18/12 1:31 EUR/CAD EUR/CAD LONG 20 1.29787 4/18 3:03 1.29714 0.39%
Trade id #72785941
Max drawdown($234)
Time4/18/12 1:52
Quant open20
Worst price1.29671
Drawdown as % of equity-0.39%
($149)
4/18/12 1:32 CAD/CHF CAD/CHF SHORT 10 0.92577 4/18 2:52 0.92672 0.19%
Trade id #72786013
Max drawdown($104)
Time4/18/12 2:52
Quant open0
Worst price0.92672
Drawdown as % of equity-0.19%
($104)
4/18/12 2:28 USD/CHF USD/CHF SHORT 20 0.91551 4/18 2:50 0.91673 0.48%
Trade id #72787416
Max drawdown($265)
Time4/18/12 2:50
Quant open10
Worst price0.91673
Drawdown as % of equity-0.48%
($265)
4/18/12 2:16 GBP/JPY GBP/JPY SHORT 20 129.489 4/18 2:49 129.382 0.32%
Trade id #72786997
Max drawdown($179)
Time4/18/12 2:33
Quant open-20
Worst price129.562
Drawdown as % of equity-0.32%
$261
4/18/12 1:32 EUR/JPY EUR/JPY LONG 10 106.805 4/18 2:40 106.594 0.47%
Trade id #72786002
Max drawdown($260)
Time4/18/12 2:40
Quant open10
Worst price106.593
Drawdown as % of equity-0.47%
($260)
4/18/12 0:55 USD/CHF USD/CHF LONG 10 0.91630 4/18 2:28 0.91549 0.16%
Trade id #72785301
Max drawdown($88)
Time4/18/12 2:28
Quant open10
Worst price0.91549
Drawdown as % of equity-0.16%
($88)
4/18/12 0:51 GBP/CHF GBP/CHF LONG 10 1.45912 4/18 2:17 1.45843 0.16%
Trade id #72785103
Max drawdown($86)
Time4/18/12 2:17
Quant open10
Worst price1.45833
Drawdown as % of equity-0.16%
($75)
4/18/12 0:55 EUR/GBP EUR/GBP SHORT 20 0.82342 4/18 2:17 0.82403 0.35%
Trade id #72785280
Max drawdown($194)
Time4/18/12 2:17
Quant open10
Worst price0.82403
Drawdown as % of equity-0.35%
($194)
4/18/12 1:31 GBP/USD GBP/USD LONG 30 1.59316 4/18 2:16 1.59200 0.63%
Trade id #72785908
Max drawdown($349)
Time4/18/12 2:16
Quant open30
Worst price1.59200
Drawdown as % of equity-0.63%
($348)
4/17/12 23:18 EUR/NZD EUR/NZD SHORT 10 1.59540 4/18 2:10 1.59715 0.26%
Trade id #72782127
Max drawdown($144)
Time4/18/12 2:10
Quant open0
Worst price1.59715
Drawdown as % of equity-0.26%
($144)
4/18/12 1:31 AUD/USD AUD/USD LONG 10 1.04065 4/18 1:51 1.03993 0.16%
Trade id #72785952
Max drawdown($93)
Time4/18/12 1:51
Quant open10
Worst price1.03972
Drawdown as % of equity-0.16%
($72)
4/18/12 0:55 EUR/USD EUR/USD SHORT 10 1.31140 4/18 1:34 1.31231 0.15%
Trade id #72785257
Max drawdown($91)
Time4/18/12 1:34
Quant open0
Worst price1.31231
Drawdown as % of equity-0.15%
($91)

Statistics

  • Strategy began
    11/28/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4503.58
  • Age
    150 months ago
  • What it trades
    Forex
  • # Trades
    169
  • # Profitable
    48
  • % Profitable
    28.40%
  • Avg trade duration
    26.1 days
  • Max peak-to-valley drawdown
    58.77%
  • drawdown period
    Dec 06, 2011 - Sept 11, 2012
  • Annual Return (Compounded)
    0.7%
  • Avg win
    $1,929
  • Avg loss
    $659.13
  • Model Account Values (Raw)
  • Cash
    $50,822
  • Margin Used
    $3,900
  • Buying Power
    $108,977
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    -0.01
  • Sortino Ratio
    -0.01
  • Calmar Ratio
    0.077
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -330.93%
  • Correlation to SP500
    0.11320
  • Return Percent SP500 (cumu) during strategy life
    340.11%
  • Return Statistics
  • Ann Return (w trading costs)
    0.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.0%
  • 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)
    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
    45.82%
  • 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
    $659
  • Avg Win
    $1,930
  • Sum Trade PL (losers)
    $79,755.000
  • Age
  • Num Months filled monthly returns table
    149
  • Win / Loss
  • Sum Trade PL (winners)
    $92,636.000
  • # Winners
    48
  • Num Months Winners
    81
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    121
  • % Winners
    28.4%
  • Frequency
  • Avg Position Time (mins)
    37542.70
  • Avg Position Time (hrs)
    625.71
  • Avg Trade Length
    26.1 days
  • Last Trade Ago
    4329
  • Regression
  • Alpha
    -0.00
  • Beta
    0.11
  • 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
    31.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    18.23
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.74
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    14.037
  • 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
    0.313
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.240
  • Hold-and-Hope Ratio
    0.075
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07730
  • SD
    0.39901
  • Sharpe ratio (Glass type estimate)
    0.19372
  • Sharpe ratio (Hedges UMVUE)
    0.18928
  • df
    33.00000
  • t
    0.32609
  • p
    0.37321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35457
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33252
  • Upside Potential Ratio
    1.90849
  • Upside part of mean
    0.44365
  • Downside part of mean
    -0.36635
  • Upside SD
    0.31778
  • Downside SD
    0.23246
  • N nonnegative terms
    16.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.46670
  • Mean of criterion
    0.07730
  • SD of predictor
    0.20641
  • SD of criterion
    0.39901
  • Covariance
    0.03048
  • r
    0.37009
  • b (slope, estimate of beta)
    0.71542
  • a (intercept, estimate of alpha)
    -0.25659
  • Mean Square Error
    0.14170
  • DF error
    32.00000
  • t(b)
    2.25353
  • p(b)
    0.01560
  • t(a)
    -0.95650
  • p(a)
    0.82700
  • Lowerbound of 95% confidence interval for beta
    0.06876
  • Upperbound of 95% confidence interval for beta
    1.36209
  • Lowerbound of 95% confidence interval for alpha
    -0.80302
  • Upperbound of 95% confidence interval for alpha
    0.28984
  • Treynor index (mean / b)
    0.10805
  • Jensen alpha (a)
    -0.25659
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00507
  • SD
    0.38166
  • Sharpe ratio (Glass type estimate)
    0.01329
  • Sharpe ratio (Hedges UMVUE)
    0.01299
  • df
    33.00000
  • t
    0.02238
  • p
    0.49114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17738
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01936
  • Upside Potential Ratio
    1.53485
  • Upside part of mean
    0.40220
  • Downside part of mean
    -0.39713
  • Upside SD
    0.26966
  • Downside SD
    0.26204
  • N nonnegative terms
    16.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.43796
  • Mean of criterion
    0.00507
  • SD of predictor
    0.19654
  • SD of criterion
    0.38166
  • Covariance
    0.02635
  • r
    0.35124
  • b (slope, estimate of beta)
    0.68208
  • a (intercept, estimate of alpha)
    -0.29365
  • Mean Square Error
    0.13168
  • DF error
    32.00000
  • t(b)
    2.12210
  • p(b)
    0.02083
  • t(a)
    -1.14051
  • p(a)
    0.86873
  • Lowerbound of 95% confidence interval for beta
    0.02737
  • Upperbound of 95% confidence interval for beta
    1.33678
  • Lowerbound of 95% confidence interval for alpha
    -0.81810
  • Upperbound of 95% confidence interval for alpha
    0.23080
  • Treynor index (mean / b)
    0.00744
  • Jensen alpha (a)
    -0.29365
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16540
  • Expected Shortfall on VaR
    0.20229
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07249
  • Expected Shortfall on VaR
    0.14550
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.73429
  • Quartile 1
    0.96872
  • Median
    1.00100
  • Quartile 3
    1.05283
  • Maximum
    1.47609
  • Mean of quarter 1
    0.90239
  • Mean of quarter 2
    0.98504
  • Mean of quarter 3
    1.01786
  • Mean of quarter 4
    1.12816
  • Inter Quartile Range
    0.08411
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.75482
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02941
  • Mean of outliers high
    1.47609
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48129
  • VaR(95%) (moments method)
    0.10081
  • Expected Shortfall (moments method)
    0.22281
  • Extreme Value Index (regression method)
    0.70222
  • VaR(95%) (regression method)
    0.07866
  • Expected Shortfall (regression method)
    0.24065
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.50865
  • Quartile 1
    0.50865
  • Median
    0.50865
  • Quartile 3
    0.50865
  • Maximum
    0.50865
  • 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)
    0.03457
  • Compounded annual return (geometric extrapolation)
    0.03353
  • Calmar ratio (compounded annual return / max draw down)
    0.06592
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.16575
  • 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
    0.05170
  • SD
    0.27457
  • Sharpe ratio (Glass type estimate)
    0.18829
  • Sharpe ratio (Hedges UMVUE)
    0.18810
  • df
    761.00000
  • t
    0.32111
  • p
    0.37411
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33756
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33741
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25578
  • Upside Potential Ratio
    6.47208
  • Upside part of mean
    1.30813
  • Downside part of mean
    -1.25643
  • Upside SD
    0.18560
  • Downside SD
    0.20212
  • N nonnegative terms
    370.00000
  • N negative terms
    392.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    762.00000
  • Mean of predictor
    0.52990
  • Mean of criterion
    0.05170
  • SD of predictor
    0.30770
  • SD of criterion
    0.27457
  • Covariance
    0.00804
  • r
    0.09521
  • b (slope, estimate of beta)
    0.08495
  • a (intercept, estimate of alpha)
    0.00700
  • Mean Square Error
    0.07480
  • DF error
    760.00000
  • t(b)
    2.63666
  • p(b)
    0.00427
  • t(a)
    0.04143
  • p(a)
    0.48348
  • Lowerbound of 95% confidence interval for beta
    0.02170
  • Upperbound of 95% confidence interval for beta
    0.14821
  • Lowerbound of 95% confidence interval for alpha
    -0.30992
  • Upperbound of 95% confidence interval for alpha
    0.32328
  • Treynor index (mean / b)
    0.60854
  • Jensen alpha (a)
    0.00668
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01374
  • SD
    0.27637
  • Sharpe ratio (Glass type estimate)
    0.04973
  • Sharpe ratio (Hedges UMVUE)
    0.04968
  • df
    761.00000
  • t
    0.08480
  • p
    0.46622
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09954
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19895
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06575
  • Upside Potential Ratio
    6.17873
  • Upside part of mean
    1.29140
  • Downside part of mean
    -1.27765
  • Upside SD
    0.18054
  • Downside SD
    0.20901
  • N nonnegative terms
    370.00000
  • N negative terms
    392.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    762.00000
  • Mean of predictor
    0.48160
  • Mean of criterion
    0.01374
  • SD of predictor
    0.31020
  • SD of criterion
    0.27637
  • Covariance
    0.00806
  • r
    0.09403
  • b (slope, estimate of beta)
    0.08378
  • a (intercept, estimate of alpha)
    -0.02660
  • Mean Square Error
    0.07580
  • DF error
    760.00000
  • t(b)
    2.60388
  • p(b)
    0.00470
  • t(a)
    -0.16404
  • p(a)
    0.56513
  • Lowerbound of 95% confidence interval for beta
    0.02062
  • Upperbound of 95% confidence interval for beta
    0.14694
  • Lowerbound of 95% confidence interval for alpha
    -0.34499
  • Upperbound of 95% confidence interval for alpha
    0.29178
  • Treynor index (mean / b)
    0.16404
  • Jensen alpha (a)
    -0.02660
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02764
  • Expected Shortfall on VaR
    0.03454
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01103
  • Expected Shortfall on VaR
    0.02361
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    762.00000
  • Minimum
    0.86751
  • Quartile 1
    0.99501
  • Median
    1.00000
  • Quartile 3
    1.00624
  • Maximum
    1.13514
  • Mean of quarter 1
    0.98263
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00296
  • Mean of quarter 4
    1.01718
  • Inter Quartile Range
    0.01123
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.05512
  • Mean of outliers low
    0.95859
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.04199
  • Mean of outliers high
    1.04127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56022
  • VaR(95%) (moments method)
    0.01740
  • Expected Shortfall (moments method)
    0.04398
  • Extreme Value Index (regression method)
    0.37377
  • VaR(95%) (regression method)
    0.01514
  • Expected Shortfall (regression method)
    0.02850
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00029
  • Quartile 1
    0.05638
  • Median
    0.11248
  • Quartile 3
    0.33375
  • Maximum
    0.55502
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.11248
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.55502
  • Inter Quartile Range
    0.27736
  • 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)
    0.04428
  • Compounded annual return (geometric extrapolation)
    0.04253
  • Calmar ratio (compounded annual return / max draw down)
    0.07663
  • Compounded annual return / average of 25% largest draw downs
    0.07663
  • Compounded annual return / Expected Shortfall lognormal
    1.23146
  • 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
    0.59963
  • SD
    0.18314
  • Sharpe ratio (Glass type estimate)
    3.27414
  • Sharpe ratio (Hedges UMVUE)
    3.25521
  • df
    130.00000
  • t
    2.31516
  • p
    0.40050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.06815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.05512
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.92367
  • Upside Potential Ratio
    11.99060
  • Upside part of mean
    1.46027
  • Downside part of mean
    -0.86064
  • Upside SD
    0.14080
  • Downside SD
    0.12179
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.91110
  • Mean of criterion
    0.59963
  • SD of predictor
    0.41254
  • SD of criterion
    0.18314
  • Covariance
    -0.01402
  • r
    -0.18551
  • b (slope, estimate of beta)
    -0.08235
  • a (intercept, estimate of alpha)
    0.67466
  • Mean Square Error
    0.03264
  • DF error
    129.00000
  • t(b)
    -2.14416
  • p(b)
    0.61742
  • t(a)
    2.61623
  • p(a)
    0.35831
  • Lowerbound of 95% confidence interval for beta
    -0.15834
  • Upperbound of 95% confidence interval for beta
    -0.00636
  • Lowerbound of 95% confidence interval for alpha
    0.16445
  • Upperbound of 95% confidence interval for alpha
    1.18487
  • Treynor index (mean / b)
    -7.28125
  • Jensen alpha (a)
    0.67466
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58223
  • SD
    0.18340
  • Sharpe ratio (Glass type estimate)
    3.17459
  • Sharpe ratio (Hedges UMVUE)
    3.15624
  • df
    130.00000
  • t
    2.24477
  • p
    0.40341
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37020
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.96716
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35801
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.95447
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.72584
  • Upside Potential Ratio
    11.77180
  • Upside part of mean
    1.45031
  • Downside part of mean
    -0.86808
  • Upside SD
    0.13963
  • Downside SD
    0.12320
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.82465
  • Mean of criterion
    0.58223
  • SD of predictor
    0.41458
  • SD of criterion
    0.18340
  • Covariance
    -0.01416
  • r
    -0.18617
  • b (slope, estimate of beta)
    -0.08236
  • a (intercept, estimate of alpha)
    0.65015
  • Mean Square Error
    0.03272
  • DF error
    129.00000
  • t(b)
    -2.15214
  • p(b)
    0.61783
  • t(a)
    2.52228
  • p(a)
    0.36307
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    -0.15807
  • Upperbound of 95% confidence interval for beta
    -0.00664
  • Lowerbound of 95% confidence interval for alpha
    0.14016
  • Upperbound of 95% confidence interval for alpha
    1.16014
  • Treynor index (mean / b)
    -7.06939
  • Jensen alpha (a)
    0.65015
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01628
  • Expected Shortfall on VaR
    0.02092
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00624
  • Expected Shortfall on VaR
    0.01338
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96866
  • Quartile 1
    0.99729
  • Median
    1.00282
  • Quartile 3
    1.01097
  • Maximum
    1.02853
  • Mean of quarter 1
    0.98794
  • Mean of quarter 2
    1.00007
  • Mean of quarter 3
    1.00602
  • Mean of quarter 4
    1.01566
  • Inter Quartile Range
    0.01368
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97140
  • 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)
    -0.06760
  • VaR(95%) (moments method)
    0.00834
  • Expected Shortfall (moments method)
    0.01149
  • Extreme Value Index (regression method)
    -0.09544
  • VaR(95%) (regression method)
    0.01082
  • Expected Shortfall (regression method)
    0.01507
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00795
  • Median
    0.01737
  • Quartile 3
    0.02528
  • Maximum
    0.11248
  • Mean of quarter 1
    0.00359
  • Mean of quarter 2
    0.01414
  • Mean of quarter 3
    0.02089
  • Mean of quarter 4
    0.05675
  • Inter Quartile Range
    0.01733
  • 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
    0.09091
  • Mean of outliers high
    0.11248
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50749
  • VaR(95%) (moments method)
    0.06545
  • Expected Shortfall (moments method)
    0.14907
  • Extreme Value Index (regression method)
    3.05039
  • VaR(95%) (regression method)
    0.15186
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -431481000
  • Max Equity Drawdown (num days)
    280
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71344
  • Compounded annual return (geometric extrapolation)
    0.84069
  • Calmar ratio (compounded annual return / max draw down)
    7.47444
  • Compounded annual return / average of 25% largest draw downs
    14.81260
  • Compounded annual return / Expected Shortfall lognormal
    40.18760

Strategy Description

Summary Statistics

Strategy began
2011-11-28
Suggested Minimum Capital
$100,000
# Trades
169
# Profitable
48
% Profitable
28.4%
Correlation S&P500
0.113
Sharpe Ratio
-0.01
Sortino Ratio
-0.01
Beta
0.11
Alpha
-0.00

Latest Activity

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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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