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THRIVING FX (68323532)

Created by: apol_bugi apol_bugi
Started: 11/2011
Forex
Last trade: 1,860 days ago

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-3.0%
Annual Return (Compounded)
58.6%
Max Drawdown
169
Num Trades
28.4%
Win Trades
0.9 : 1
Profit Factor
54.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                        -  (6.3%)(6.3%)
2012(29.7%)+3.3%+0.5%(30.7%)(2.8%)+5.1%(4.8%)+1.1%(2.7%)+7.2%+8.1%+11.3%(37.5%)
2013+9.4%+2.4%+3.5%+6.2%+4.5%(4.5%)+2.8%(1.4%)  -  (1.5%)+6.9%+3.6%+35.9%
2014(3.9%)(0.3%)+1.9%(1.4%)(0.5%)+0.1%+0.9%+3.3%+3.9%+3.8%+5.5%+1.1%+14.9%
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%(2.6%)+4.9%+8.9%+4.3%(2.2%)
2017(2.5%)(2.2%)(0.8%)+0.3%(0.1%)(0.5%)                                    (5.7%)

Model Account Details

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

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Trading Record

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Long
Short
Both
Win
Loss
Both
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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 0.94281 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 1.29713 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
  • Starting Unit Size
    $100,000
  • Strategy Age (days)
    2029.73
  • Age
    68 months ago
  • What it trades
    Forex
  • # Trades
    169
  • # Profitable
    48
  • % Profitable
    28.40%
  • Avg trade duration
    11.4 days
  • Max peak-to-valley drawdown
    58.58%
  • drawdown period
    Dec 06, 2011 - Sept 11, 2012
  • Annual Return (Compounded)
    -3.0%
  • Avg win
    $1,412
  • Avg loss
    $659.13
  • Model Account Values (Raw)
  • Cash
    $50,822
  • Margin Used
    $3,900
  • Buying Power
    $84,155
  • Ratios
  • W:L ratio
    0.85:1
  • Sharpe Ratio
    -0.146
  • Sortino Ratio
    -0.197
  • Calmar Ratio
    -0.117
  • Return Statistics
  • Ann Return (w trading costs)
    -3.0%
  • Ann Return (Compnd, No Fees)
    -2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $659
  • Avg Win
    $1,413
  • # Winners
    48
  • # Losers
    121
  • % Winners
    28.4%
  • Frequency
  • Avg Position Time (mins)
    16463.70
  • Avg Position Time (hrs)
    274.39
  • Avg Trade Length
    11.4 days
  • Last Trade Ago
    1855
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01260
  • SD
    0.47988
  • Sharpe ratio (Glass type estimate)
    0.02626
  • Sharpe ratio (Hedges UMVUE)
    0.02531
  • df
    21.00000
  • t
    0.03556
  • p
    0.49506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47286
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04439
  • Upside Potential Ratio
    1.75818
  • Upside part of mean
    0.49918
  • Downside part of mean
    -0.48658
  • Upside SD
    0.37312
  • Downside SD
    0.28392
  • N nonnegative terms
    10.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.36120
  • Mean of criterion
    0.01260
  • SD of predictor
    0.17954
  • SD of criterion
    0.47988
  • Covariance
    0.04179
  • r
    0.48504
  • b (slope, estimate of beta)
    1.29644
  • a (intercept, estimate of alpha)
    -0.45567
  • Mean Square Error
    0.18491
  • DF error
    20.00000
  • t(b)
    2.48046
  • p(b)
    0.25748
  • t(a)
    -1.23334
  • p(a)
    0.63293
  • Lowerbound of 95% confidence interval for beta
    0.20619
  • Upperbound of 95% confidence interval for beta
    2.38669
  • Lowerbound of 95% confidence interval for alpha
    -1.22635
  • Upperbound of 95% confidence interval for alpha
    0.31501
  • Treynor index (mean / b)
    0.00972
  • Jensen alpha (a)
    -0.45567
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08944
  • SD
    0.45733
  • Sharpe ratio (Glass type estimate)
    -0.19557
  • Sharpe ratio (Hedges UMVUE)
    -0.18848
  • df
    21.00000
  • t
    -0.26480
  • p
    0.53670
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25544
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26017
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27855
  • Upside Potential Ratio
    1.38087
  • Upside part of mean
    0.44339
  • Downside part of mean
    -0.53283
  • Upside SD
    0.31179
  • Downside SD
    0.32110
  • N nonnegative terms
    10.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.34070
  • Mean of criterion
    -0.08944
  • SD of predictor
    0.17328
  • SD of criterion
    0.45733
  • Covariance
    0.03514
  • r
    0.44339
  • b (slope, estimate of beta)
    1.17022
  • a (intercept, estimate of alpha)
    -0.48813
  • Mean Square Error
    0.17644
  • DF error
    20.00000
  • t(b)
    2.21223
  • p(b)
    0.27831
  • t(a)
    -1.36055
  • p(a)
    0.64553
  • Lowerbound of 95% confidence interval for beta
    0.06679
  • Upperbound of 95% confidence interval for beta
    2.27366
  • Lowerbound of 95% confidence interval for alpha
    -1.23652
  • Upperbound of 95% confidence interval for alpha
    0.26026
  • Treynor index (mean / b)
    -0.07643
  • Jensen alpha (a)
    -0.48813
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20117
  • Expected Shortfall on VaR
    0.24316
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09869
  • Expected Shortfall on VaR
    0.18962
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.73429
  • Quartile 1
    0.94961
  • Median
    0.99914
  • Quartile 3
    1.05132
  • Maximum
    1.47609
  • Mean of quarter 1
    0.87389
  • Mean of quarter 2
    0.97852
  • Mean of quarter 3
    1.01540
  • Mean of quarter 4
    1.14356
  • Inter Quartile Range
    0.10172
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.75482
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.47609
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63466
  • VaR(95%) (moments method)
    0.15559
  • Expected Shortfall (moments method)
    0.44035
  • Extreme Value Index (regression method)
    2.39831
  • VaR(95%) (regression method)
    0.11770
  • Expected Shortfall (regression method)
    0.00000
  • 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)
    -0.05819
  • Compounded annual return (geometric extrapolation)
    -0.05968
  • Calmar ratio (compounded annual return / max draw down)
    -0.11733
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.24543
  • 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
    -0.04575
  • SD
    0.31350
  • Sharpe ratio (Glass type estimate)
    -0.14594
  • Sharpe ratio (Hedges UMVUE)
    -0.14572
  • df
    494.00000
  • t
    -0.20060
  • p
    0.57945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28008
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57167
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28023
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19728
  • Upside Potential Ratio
    5.91687
  • Upside part of mean
    1.37219
  • Downside part of mean
    -1.41794
  • Upside SD
    0.21049
  • Downside SD
    0.23191
  • N nonnegative terms
    224.00000
  • N negative terms
    271.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    495.00000
  • Mean of predictor
    0.37312
  • Mean of criterion
    -0.04575
  • SD of predictor
    0.21112
  • SD of criterion
    0.31350
  • Covariance
    0.01265
  • r
    0.19115
  • b (slope, estimate of beta)
    0.28385
  • a (intercept, estimate of alpha)
    -0.15200
  • Mean Square Error
    0.09488
  • DF error
    493.00000
  • t(b)
    4.32403
  • p(b)
    0.00001
  • t(a)
    -0.67275
  • p(a)
    0.74929
  • Lowerbound of 95% confidence interval for beta
    0.15487
  • Upperbound of 95% confidence interval for beta
    0.41282
  • Lowerbound of 95% confidence interval for alpha
    -0.59459
  • Upperbound of 95% confidence interval for alpha
    0.29127
  • Treynor index (mean / b)
    -0.16118
  • Jensen alpha (a)
    -0.15166
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09523
  • SD
    0.31574
  • Sharpe ratio (Glass type estimate)
    -0.30161
  • Sharpe ratio (Hedges UMVUE)
    -0.30115
  • df
    494.00000
  • t
    -0.41457
  • p
    0.66068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72753
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12489
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.39573
  • Upside Potential Ratio
    5.61319
  • Upside part of mean
    1.35080
  • Downside part of mean
    -1.44603
  • Upside SD
    0.20400
  • Downside SD
    0.24065
  • N nonnegative terms
    224.00000
  • N negative terms
    271.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    495.00000
  • Mean of predictor
    0.35057
  • Mean of criterion
    -0.09523
  • SD of predictor
    0.21133
  • SD of criterion
    0.31574
  • Covariance
    0.01250
  • r
    0.18730
  • b (slope, estimate of beta)
    0.27984
  • a (intercept, estimate of alpha)
    -0.19333
  • Mean Square Error
    0.09639
  • DF error
    493.00000
  • t(b)
    4.23370
  • p(b)
    0.00001
  • t(a)
    -0.85147
  • p(a)
    0.80254
  • Lowerbound of 95% confidence interval for beta
    0.14997
  • Upperbound of 95% confidence interval for beta
    0.40971
  • Lowerbound of 95% confidence interval for alpha
    -0.63946
  • Upperbound of 95% confidence interval for alpha
    0.25279
  • Treynor index (mean / b)
    -0.34031
  • Jensen alpha (a)
    -0.19333
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03193
  • Expected Shortfall on VaR
    0.03976
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01296
  • Expected Shortfall on VaR
    0.02764
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    495.00000
  • Minimum
    0.86751
  • Quartile 1
    0.99487
  • Median
    1.00000
  • Quartile 3
    1.00578
  • Maximum
    1.13514
  • Mean of quarter 1
    0.98028
  • Mean of quarter 2
    0.99835
  • Mean of quarter 3
    1.00234
  • Mean of quarter 4
    1.01878
  • Inter Quartile Range
    0.01091
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.06263
  • Mean of outliers low
    0.95433
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.05253
  • Mean of outliers high
    1.04461
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53569
  • VaR(95%) (moments method)
    0.01864
  • Expected Shortfall (moments method)
    0.04562
  • Extreme Value Index (regression method)
    0.42631
  • VaR(95%) (regression method)
    0.01516
  • Expected Shortfall (regression method)
    0.03014
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.55502
  • Quartile 1
    0.55502
  • Median
    0.55502
  • Quartile 3
    0.55502
  • Maximum
    0.55502
  • 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)
    -0.06322
  • Compounded annual return (geometric extrapolation)
    -0.06511
  • Calmar ratio (compounded annual return / max draw down)
    -0.11731
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.63746
  • 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
    -0.19911
  • SD
    0.22531
  • Sharpe ratio (Glass type estimate)
    -0.88372
  • Sharpe ratio (Hedges UMVUE)
    -0.87861
  • df
    130.00000
  • t
    -0.62488
  • p
    0.52736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.65592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.65247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89525
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.27953
  • Upside Potential Ratio
    7.67541
  • Upside part of mean
    1.19436
  • Downside part of mean
    -1.39347
  • Upside SD
    0.16221
  • Downside SD
    0.15561
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28336
  • Mean of criterion
    -0.19911
  • SD of predictor
    0.25657
  • SD of criterion
    0.22531
  • Covariance
    0.01837
  • r
    0.31786
  • b (slope, estimate of beta)
    0.27912
  • a (intercept, estimate of alpha)
    -0.27820
  • Mean Square Error
    0.04599
  • DF error
    129.00000
  • t(b)
    3.80764
  • p(b)
    0.30111
  • t(a)
    -0.91517
  • p(a)
    0.55108
  • Lowerbound of 95% confidence interval for beta
    0.13408
  • Upperbound of 95% confidence interval for beta
    0.42416
  • Lowerbound of 95% confidence interval for alpha
    -0.87964
  • Upperbound of 95% confidence interval for alpha
    0.32324
  • Treynor index (mean / b)
    -0.71334
  • Jensen alpha (a)
    -0.27820
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22425
  • SD
    0.22456
  • Sharpe ratio (Glass type estimate)
    -0.99860
  • Sharpe ratio (Hedges UMVUE)
    -0.99283
  • df
    130.00000
  • t
    -0.70612
  • p
    0.53091
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.77125
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77768
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.76726
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78160
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.42336
  • Upside Potential Ratio
    7.49858
  • Upside part of mean
    1.18138
  • Downside part of mean
    -1.40563
  • Upside SD
    0.15942
  • Downside SD
    0.15755
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25039
  • Mean of criterion
    -0.22425
  • SD of predictor
    0.25745
  • SD of criterion
    0.22456
  • Covariance
    0.01830
  • r
    0.31661
  • b (slope, estimate of beta)
    0.27615
  • a (intercept, estimate of alpha)
    -0.29339
  • Mean Square Error
    0.04572
  • DF error
    129.00000
  • t(b)
    3.79098
  • p(b)
    0.30186
  • t(a)
    -0.96844
  • p(a)
    0.55402
  • Lowerbound of 95% confidence interval for beta
    0.13203
  • Upperbound of 95% confidence interval for beta
    0.42028
  • Lowerbound of 95% confidence interval for alpha
    -0.89280
  • Upperbound of 95% confidence interval for alpha
    0.30601
  • Treynor index (mean / b)
    -0.81203
  • Jensen alpha (a)
    -0.29339
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02340
  • Expected Shortfall on VaR
    0.02903
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01339
  • Expected Shortfall on VaR
    0.02390
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95709
  • Quartile 1
    0.99272
  • Median
    0.99856
  • Quartile 3
    1.00588
  • Maximum
    1.05730
  • Mean of quarter 1
    0.98339
  • Mean of quarter 2
    0.99596
  • Mean of quarter 3
    1.00200
  • Mean of quarter 4
    1.01612
  • Inter Quartile Range
    0.01316
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95831
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.04838
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15626
  • VaR(95%) (moments method)
    0.01626
  • Expected Shortfall (moments method)
    0.02043
  • Extreme Value Index (regression method)
    -0.16444
  • VaR(95%) (regression method)
    0.01568
  • Expected Shortfall (regression method)
    0.01945
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00218
  • Quartile 1
    0.00501
  • Median
    0.00892
  • Quartile 3
    0.05991
  • Maximum
    0.20396
  • Mean of quarter 1
    0.00218
  • Mean of quarter 2
    0.00596
  • Mean of quarter 3
    0.01189
  • Mean of quarter 4
    0.20396
  • Inter Quartile Range
    0.05490
  • 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
    0.25000
  • Mean of outliers high
    0.20396
  • 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)
    -0.18701
  • Compounded annual return (geometric extrapolation)
    -0.17827
  • Calmar ratio (compounded annual return / max draw down)
    -0.87404
  • Compounded annual return / average of 25% largest draw downs
    -0.87404
  • Compounded annual return / Expected Shortfall lognormal
    -6.14082

Strategy Description

Summary Statistics

Strategy began
2011-11-28
Minimum Capital Required
$100,000
# Trades
169
# Profitable
48
% Profitable
28.4%
Correlation S&P500
0.117
Sharpe Ratio
-0.146

Latest Subscribers

#PERSONNAME#
subscribed on #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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