Multi Timeframe Forex
(123920081)
Subscription terms. Subscriptions to this system cost $59.00 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.
Currencies
Focuses on currency futures.Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.
All results are hypothetical.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | +2.6% | (0.4%) | +15.0% | +0.3% | +0.2% | (2.3%) | +2.4% | +18.2% | |||||
2020 | +0.7% | +3.8% | (0.2%) | +0.1% | +7.8% | (0.4%) | (15.1%) | (1.5%) | (0.1%) | (1.2%) | - | - | (7.5%) |
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.
Started | $250,125 | |
Buy Power | $275,169 | |
Cash | $1 | |
Equity | $1 | |
Cumulative $ | $25,043 | |
Total System Equity | $275,168 | |
Margined | $1 | |
Open P/L | $0 | |
Data has been delayed by 24 hours for non-subscribers |
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics
-
Strategy began6/3/2019
-
Suggested Minimum Cap$250,125
-
Strategy Age (days)1786.73
-
Age60 months ago
-
What it tradesForex
-
# Trades81
-
# Profitable44
-
% Profitable54.30%
-
Avg trade duration1.6 days
-
Max peak-to-valley drawdown22.2%
-
drawdown periodMay 21, 2020 - Aug 26, 2020
-
Annual Return (Compounded)1.8%
-
Avg win$3,532
-
Avg loss$3,524
- Model Account Values (Raw)
-
Cash$275,169
-
Margin Used$0
-
Buying Power$275,169
- Ratios
-
W:L ratio1.19:1
-
Sharpe Ratio0.03
-
Sortino Ratio0.05
-
Calmar Ratio0.307
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-75.44%
-
Correlation to SP500-0.02330
-
Return Percent SP500 (cumu) during strategy life83.95%
- Return Statistics
-
Ann Return (w trading costs)1.8%
- Slump
-
Current Slump as Pcnt Equity22.00%
- Instruments
-
Percent Trades Futuresn/a
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.80%
- Return Statistics
-
Return Pcnt Since TOS Statusn/a
- Instruments
-
Short Options - Percent Covered100.00%
- Return Statistics
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.018%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocksn/a
-
Percent Trades Forex1.00%
- Return Statistics
-
Ann Return (Compnd, No Fees)2.0%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss2.00%
-
Chance of 20% account lossn/a
-
Chance of 30% account lossn/a
-
Chance of 40% account lossn/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
- Automation
-
Percentage Signals Automatedn/a
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account lossn/a
- Popularity
-
Popularity (Today)0
-
Popularity (Last 6 weeks)0
- Trading Style
-
Any stock shorts? 0/10
- Popularity
-
Popularity (7 days, Percentile 1000 scale)0
- Trades-Own-System Certification
-
Trades Own System?-
-
TOS percentn/a
- Win / Loss
-
Avg Loss$3,524
-
Avg Win$3,533
-
Sum Trade PL (losers)$130,397.000
- Age
-
Num Months filled monthly returns table59
- Win / Loss
-
Sum Trade PL (winners)$155,438.000
-
# Winners44
-
Num Months Winners10
- Dividends
-
Dividends Received in Model Acct0
- Win / Loss
-
# Losers37
-
% Winners54.3%
- Frequency
-
Avg Position Time (mins)2295.30
-
Avg Position Time (hrs)38.26
-
Avg Trade Length1.6 days
-
Last Trade Ago1245
- Leverage
-
Daily leverage (average)4.50
-
Daily leverage (max)19.80
- Regression
-
Alpha0.00
-
Beta-0.01
-
Treynor Index-0.08
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.01
-
MAE:PL - worst single value for strategy-
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)5.17
-
MAE:Equity, average, winning trades0.01
-
MAE:Equity, average, losing trades0.01
-
Avg(MAE) / Avg(PL) - All trades17.621
-
MAE:Equity, losing trades only, 95th Percentile Value for this strat-
-
MAE:Equity, win trades only, 95th Percentile Value for this strat-
-
MAE:Equity, 95th Percentile Value for this strat0.01
-
Avg(MAE) / Avg(PL) - Winning trades0.525
-
Avg(MAE) / Avg(PL) - Losing trades-1.290
-
Hold-and-Hope Ratio0.057
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.05713
-
SD0.20820
-
Sharpe ratio (Glass type estimate)0.27438
-
Sharpe ratio (Hedges UMVUE)0.26207
-
df17.00000
-
t0.33605
-
p0.44834
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.33253
-
Upperbound of 95% confidence interval for Sharpe Ratio1.87334
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.34066
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.86479
- Statistics related to Sortino ratio
-
Sortino ratio0.38411
-
Upside Potential Ratio1.38504
-
Upside part of mean0.20599
-
Downside part of mean-0.14886
-
Upside SD0.13818
-
Downside SD0.14873
-
N nonnegative terms9.00000
-
N negative terms9.00000
- Statistics related to linear regression on benchmark
-
N of observations18.00000
-
Mean of predictor0.41341
-
Mean of criterion0.05713
-
SD of predictor0.30887
-
SD of criterion0.20820
-
Covariance-0.01556
-
r-0.24194
-
b (slope, estimate of beta)-0.16309
-
a (intercept, estimate of alpha)0.12455
-
Mean Square Error0.04336
-
DF error16.00000
-
t(b)-0.99740
-
p(b)0.62097
-
t(a)0.68072
-
p(a)0.41612
-
Lowerbound of 95% confidence interval for beta-0.50972
-
Upperbound of 95% confidence interval for beta0.18355
-
Lowerbound of 95% confidence interval for alpha-0.26332
-
Upperbound of 95% confidence interval for alpha0.51242
-
Treynor index (mean / b)-0.35028
-
Jensen alpha (a)0.12455
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.03571
-
SD0.21447
-
Sharpe ratio (Glass type estimate)0.16650
-
Sharpe ratio (Hedges UMVUE)0.15903
-
df17.00000
-
t0.20392
-
p0.46857
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.43718
-
Upperbound of 95% confidence interval for Sharpe Ratio1.76538
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.44217
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.76022
- Statistics related to Sortino ratio
-
Sortino ratio0.21840
-
Upside Potential Ratio1.20340
-
Upside part of mean0.19676
-
Downside part of mean-0.16105
-
Upside SD0.12968
-
Downside SD0.16350
-
N nonnegative terms9.00000
-
N negative terms9.00000
- Statistics related to linear regression on benchmark
-
N of observations18.00000
-
Mean of predictor0.36192
-
Mean of criterion0.03571
-
SD of predictor0.30719
-
SD of criterion0.21447
-
Covariance-0.01546
-
r-0.23466
-
b (slope, estimate of beta)-0.16383
-
a (intercept, estimate of alpha)0.09500
-
Mean Square Error0.04618
-
DF error16.00000
-
t(b)-0.96558
-
p(b)0.61733
-
t(a)0.51104
-
p(a)0.43663
-
Lowerbound of 95% confidence interval for beta-0.52351
-
Upperbound of 95% confidence interval for beta0.19585
-
Lowerbound of 95% confidence interval for alpha-0.29909
-
Upperbound of 95% confidence interval for alpha0.48909
-
Treynor index (mean / b)-0.21797
-
Jensen alpha (a)0.09500
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.09413
-
Expected Shortfall on VaR0.11704
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.02751
-
Expected Shortfall on VaR0.06284
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations18.00000
-
Minimum0.82121
-
Quartile 11.00000
-
Median1.00181
-
Quartile 31.01826
-
Maximum1.15391
-
Mean of quarter 10.95953
-
Mean of quarter 21.00000
-
Mean of quarter 31.00773
-
Mean of quarter 41.05980
-
Inter Quartile Range0.01826
-
Number outliers low1.00000
-
Percentage of outliers low0.05556
-
Mean of outliers low0.82121
-
Number of outliers high2.00000
-
Percentage of outliers high0.11111
-
Mean of outliers high1.10700
- 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)1.67364
-
VaR(95%) (regression method)0.04253
-
Expected Shortfall (regression method)0.00000
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations2.00000
-
Minimum0.00958
-
Quartile 10.05188
-
Median0.09419
-
Quartile 30.13649
-
Maximum0.17879
-
Mean of quarter 10.00958
-
Mean of quarter 20.00000
-
Mean of quarter 30.00000
-
Mean of quarter 40.17879
-
Inter Quartile Range0.08460
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.00000
-
VaR(95%) (moments method)0.00000
-
Expected Shortfall (moments method)0.00000
-
Extreme Value Index (regression method)0.00000
-
VaR(95%) (regression method)0.00000
-
Expected Shortfall (regression method)0.00000
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.06675
-
Compounded annual return (geometric extrapolation)0.06568
-
Calmar ratio (compounded annual return / max draw down)0.36738
-
Compounded annual return / average of 25% largest draw downs0.36738
-
Compounded annual return / Expected Shortfall lognormal0.56123
-
0.00000
-
0.00000
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.04952
-
SD0.17203
-
Sharpe ratio (Glass type estimate)0.28783
-
Sharpe ratio (Hedges UMVUE)0.28729
-
df399.00000
-
t0.35565
-
p0.36115
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.29869
-
Upperbound of 95% confidence interval for Sharpe Ratio1.87404
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.29907
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.87366
- Statistics related to Sortino ratio
-
Sortino ratio0.42224
-
Upside Potential Ratio3.08204
-
Upside part of mean0.36143
-
Downside part of mean-0.31191
-
Upside SD0.12561
-
Downside SD0.11727
-
N nonnegative terms56.00000
-
N negative terms344.00000
- Statistics related to linear regression on benchmark
-
N of observations400.00000
-
Mean of predictor0.42847
-
Mean of criterion0.04952
-
SD of predictor0.33451
-
SD of criterion0.17203
-
Covariance-0.00163
-
r-0.02825
-
b (slope, estimate of beta)-0.01453
-
a (intercept, estimate of alpha)0.05600
-
Mean Square Error0.02964
-
DF error398.00000
-
t(b)-0.56380
-
p(b)0.71340
-
t(a)0.39877
-
p(a)0.34514
-
Lowerbound of 95% confidence interval for beta-0.06519
-
Upperbound of 95% confidence interval for beta0.03613
-
Lowerbound of 95% confidence interval for alpha-0.21906
-
Upperbound of 95% confidence interval for alpha0.33054
-
Treynor index (mean / b)-3.40828
-
Jensen alpha (a)0.05574
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.03460
-
SD0.17347
-
Sharpe ratio (Glass type estimate)0.19943
-
Sharpe ratio (Hedges UMVUE)0.19906
-
df399.00000
-
t0.24642
-
p0.40274
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.38695
-
Upperbound of 95% confidence interval for Sharpe Ratio1.78565
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.38724
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.78535
- Statistics related to Sortino ratio
-
Sortino ratio0.28029
-
Upside Potential Ratio2.86670
-
Upside part of mean0.35384
-
Downside part of mean-0.31924
-
Upside SD0.12161
-
Downside SD0.12343
-
N nonnegative terms56.00000
-
N negative terms344.00000
- Statistics related to linear regression on benchmark
-
N of observations400.00000
-
Mean of predictor0.37170
-
Mean of criterion0.03460
-
SD of predictor0.33746
-
SD of criterion0.17347
-
Covariance-0.00161
-
r-0.02744
-
b (slope, estimate of beta)-0.01411
-
a (intercept, estimate of alpha)0.03984
-
Mean Square Error0.03015
-
DF error398.00000
-
t(b)-0.54767
-
p(b)0.70789
-
t(a)0.28286
-
p(a)0.38871
-
Lowerbound of 95% confidence interval for beta-0.06475
-
Upperbound of 95% confidence interval for beta0.03653
-
Lowerbound of 95% confidence interval for alpha-0.23705
-
Upperbound of 95% confidence interval for alpha0.31673
-
Treynor index (mean / b)-2.45244
-
Jensen alpha (a)0.03984
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.01734
-
Expected Shortfall on VaR0.02173
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00376
-
Expected Shortfall on VaR0.00851
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations400.00000
-
Minimum0.87893
-
Quartile 11.00000
-
Median1.00000
-
Quartile 31.00000
-
Maximum1.09112
-
Mean of quarter 10.99560
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.00558
-
Inter Quartile Range0.00000
-
Number outliers low71.00000
-
Percentage of outliers low0.17750
-
Mean of outliers low0.99381
-
Number of outliers high63.00000
-
Percentage of outliers high0.15750
-
Mean of outliers high1.00886
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.94017
-
VaR(95%) (moments method)0.00291
-
Expected Shortfall (moments method)0.05763
-
Extreme Value Index (regression method)0.95780
-
VaR(95%) (regression method)0.00282
-
Expected Shortfall (regression method)0.07630
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations7.00000
-
Minimum0.00030
-
Quartile 10.00114
-
Median0.00771
-
Quartile 30.04337
-
Maximum0.21022
-
Mean of quarter 10.00058
-
Mean of quarter 20.00456
-
Mean of quarter 30.02432
-
Mean of quarter 40.13632
-
Inter Quartile Range0.04223
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.14286
-
Mean of outliers high0.21022
- 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)0.06558
-
Compounded annual return (geometric extrapolation)0.06450
-
Calmar ratio (compounded annual return / max draw down)0.30682
-
Compounded annual return / average of 25% largest draw downs0.47314
-
Compounded annual return / Expected Shortfall lognormal2.96852
-
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-0.02609
-
SD0.00114
-
Sharpe ratio (Glass type estimate)-22.86610
-
Sharpe ratio (Hedges UMVUE)-22.73390
-
df130.00000
-
t-16.16880
-
p0.90862
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
-
Upperbound of 95% confidence interval for Sharpe Ratio0.00000
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-26.64790
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-18.82000
- Statistics related to Sortino ratio
-
Sortino ratio-15.24850
-
Upside Potential Ratio0.81384
-
Upside part of mean0.00139
-
Downside part of mean-0.02748
-
Upside SD0.00098
-
Downside SD0.00171
-
N nonnegative terms2.00000
-
N negative terms129.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.70588
-
Mean of criterion-0.02609
-
SD of predictor0.38760
-
SD of criterion0.00114
-
Covariance-0.00001
-
r-0.01738
-
b (slope, estimate of beta)-0.00005
-
a (intercept, estimate of alpha)-0.02605
-
Mean Square Error0.00000
-
DF error129.00000
-
t(b)-0.19747
-
p(b)0.51107
-
t(a)-15.98500
-
p(a)0.95365
-
Lowerbound of 95% confidence interval for beta-0.00056
-
Upperbound of 95% confidence interval for beta0.00046
-
Lowerbound of 95% confidence interval for alpha-0.02928
-
Upperbound of 95% confidence interval for alpha-0.02283
-
Treynor index (mean / b)509.84500
-
Jensen alpha (a)-0.02605
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean-0.02609
-
SD0.00114
-
Sharpe ratio (Glass type estimate)-22.87440
-
Sharpe ratio (Hedges UMVUE)-22.74220
-
df130.00000
-
t-16.17460
-
p0.90867
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
-
Upperbound of 95% confidence interval for Sharpe Ratio0.00000
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-26.65680
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-18.82750
- Statistics related to Sortino ratio
-
Sortino ratio-15.24890
-
Upside Potential Ratio0.81351
-
Upside part of mean0.00139
-
Downside part of mean-0.02748
-
Upside SD0.00098
-
Downside SD0.00171
-
N nonnegative terms2.00000
-
N negative terms129.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.62998
-
Mean of criterion-0.02609
-
SD of predictor0.38948
-
SD of criterion0.00114
-
Covariance-0.00001
-
r-0.01611
-
b (slope, estimate of beta)-0.00005
-
a (intercept, estimate of alpha)-0.02606
-
Mean Square Error0.00000
-
DF error129.00000
-
t(b)-0.18300
-
p(b)0.51026
-
t(a)-16.01570
-
p(a)0.95385
-
VAR (95 Confidence Intrvl)0.01700
-
Lowerbound of 95% confidence interval for beta-0.00056
-
Upperbound of 95% confidence interval for beta0.00046
-
Lowerbound of 95% confidence interval for alpha-0.02928
-
Upperbound of 95% confidence interval for alpha-0.02284
-
Treynor index (mean / b)553.02300
-
Jensen alpha (a)-0.02606
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.00022
-
Expected Shortfall on VaR0.00024
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00011
-
Expected Shortfall on VaR0.00011
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations131.00000
-
Minimum1.00000
-
Quartile 11.00000
-
Median1.00000
-
Quartile 31.00000
-
Maximum1.00080
-
Mean of quarter 11.00000
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.00003
-
Inter Quartile Range0.00000
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high2.00000
-
Percentage of outliers high0.01527
-
Mean of outliers high1.00045
- 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 observations0.00000
-
Minimum0.00000
-
Quartile 10.00000
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Median0.00000
-
Quartile 30.00000
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Maximum0.00000
-
Mean of quarter 10.00000
-
Mean of quarter 20.00000
-
Mean of quarter 30.00000
-
Mean of quarter 40.00000
-
Inter Quartile Range0.00000
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.00000
-
VaR(95%) (moments method)0.00000
-
Expected Shortfall (moments method)0.00000
-
Extreme Value Index (regression method)0.00000
-
VaR(95%) (regression method)0.00000
-
Last 4 Months - Pcnt Negativen/a
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Expected Shortfall (regression method)0.00000
-
Strat Max DD how much worse than SP500 max DD during strat life?-389879000
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Max Equity Drawdown (num days)97
- COMBINED STATISTICS
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Annualized return (arithmetic extrapolation)0.00182
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Compounded annual return (geometric extrapolation)0.00182
-
Calmar ratio (compounded annual return / max draw down)0.00000
-
Compounded annual return / average of 25% largest draw downs0.00000
-
Compounded annual return / Expected Shortfall lognormal7.43004
Strategy Description
These pairs offer the best long term returns for this strategy.
Strategy has very limited number of well composed parameters.
Development of this strategy was a process that took almost 4 years and required development of advanced in-house analytical tools.
Strategy is reliable in the long term because it uses indicators that are proven to be very effective across 20 years time span in various trading conditions, and what is most important, these parameters used are by design immune to over-optimization .
Profit curve has very low sensitivity to values of parameters that are used, given the parameters are modified in a reasonable range.
Maximum drawdown 11% during last 7 years.
Expected CAGR 20% annually.
Required Min. Capital $10k - (scaling tips below). Please ignore value of suggested min capital calculated by C2 as it is wrong due to strategy rescaling.
More information about live results and backested results are available here:
https://forums.collective2.com/t/multi-timeframe-forex-strategy-details-and-results/13167
Strategy goal is to provide a steady high profits in 10 years period with low to medium risk appetite.
It might be traded with higher leverage if you accept higher risk level.
I am offering 50% discount coupon to ll new subscribers for the first month,
Please contact me for coupon if you are interested.
Current price of 59$ will be kept until the end of year 2019.
Strategy Scaling recommendation for long term subscribers (expected investment period +3 years)
Investor's Equity for this strategy ($USD)
Risk level Equity Min Equity mid Equity Max Scaling *Annual return % *Nominal return ($) Max DD % Max DD ($)
Safe 450000 500000 550000 143% 15-25% 75000 - 125000 10-15% 50000 - 75000
Moderate 450000 500000 550000 286% 30-45% 150000 - 225000 20-30% 100000 - 150000
Risky 450000 500000 550000 429% 45-75% 225000 - 375000 30-45% 150000 - 225000
Safe 315000 350000 385000 100% 15-25% 52500 - 87500 10-15% 35000 - 52500
Moderate 315000 350000 385000 200% 30-45% 105000 - 157500 20-30% 70000 - 105000
Risky 315000 350000 385000 300% 45-75% 157500 - 262500 30-45% 105000 -157500
Safe 236250 262500 288750 75% 15-25% 39375 - 65625 10-15% 26250 - 39375
Moderate 236250 262500 288750 150% 30-45% 78750 - 118125 20-30% 52500 - 78750
Risky 236250 262500 288750 225% 45-75% 118125 - 196875 30-45% 78750 - 118125
Safe 157500 175000 192500 50% 15-25% 26250 - 43750 10-15% 17500 - 26250
Moderate 157500 175000 192500 100% 30-45% 52500 - 78750 20-30% 35000 - 52500
Risky 157500 175000 192500 150% 45-75% 78750 - 131250 30-45% 52500 - 78750
Safe 78750 87500 96250 25% 15-25% 13125 - 21875 10-15% 8750 - 13125
Moderate 78750 87500 96250 50% 30-45% 26250 - 39375 20-30% 17500 - 26250
Risky 78750 87500 96250 75% 45-75% 39375 - 65625 30-45% 26250 - 39375
Safe 39375 43750 48125 13% 15-25% 6562 - 10937 10-15% 4375 - 6562
Moderate 39375 43750 48125 25% 30-45% 13125 - 19687 20-30% 8750 - 13125
Risky 39375 43750 48125 38% 45-75% 19687 - 32812 30-45% 13125 - 19687
**Safe 19688 21875 24063 6% 15-25% 3281 - 5468 10-15% 2187 - 3281
Moderate 19688 21875 24063 12% 30-45% 6562 - 9843 20-30% 4375 - 6562
Risky 19688 21875 24063 18% 45-75% 9843 - 16406 30-45% 6562 - 9843
**Safe 9844 10938 12031 3% 15-25% 1640 - 2734 10-15% 1093 - 1640
**Moderate 9844 10938 12031 6% 30-45% 3281 - 4921 20-30% 2187 - 3281
Risky 9844 10938 12031 9% 45-75% 4921 - 8203 30-45% 3281 - 4921
* For investors following a strategy for at least 3 years period, for shorter investment periods, expected values may significantly vary. This calculation does not include Collective 2 subscription fee
**Small scaling for this scenario my affect accurate position scaling and has impact on the results for this strategy.
This information will be updated along with changing base equity for base account equity for this strategy
Results are based on past live and simulated strategy performance and might vary in the future.
Backtesting data is hypothetical and it has not been verified by C2.
MS
Latest Activity
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
- Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
- Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
- All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
- "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
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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.