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

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These are hypothetical performance results that have certain inherent limitations. Learn more
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iProfit NN System
(132066461)

Created by: Phibase Phibase
Started: 11/2020
Forex
Last trade: 1,083 days ago
Trading style: Futures Currencies

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 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.

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
1.7%
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.

(15.2%)
Max Drawdown
364
Num Trades
54.1%
Win Trades
1.1 : 1
Profit Factor
9.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      (2.1%)+3.5%+1.3%
2021+5.8%(2.7%)(6%)+2.9%+5.0%  -    -    -    -    -    -    -  +4.6%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/6/21 0:06 NZD/USD NZD/USD LONG 27 0.72017 5/7 2:15 0.72316 0.52%
Trade id #135476390
Max drawdown($278)
Time5/6/21 9:20
Quant open27
Worst price0.71914
Drawdown as % of equity-0.52%
 $807
5/6/21 7:20 GBP/USD GBP/USD LONG 27 1.39367 5/6 8:19 1.39000 1.95%
Trade id #135479581
Max drawdown($1,004)
Time5/6/21 8:19
Quant open27
Worst price1.38995
Drawdown as % of equity-1.95%
 ($991)
5/5/21 23:11 GBP/USD GBP/USD LONG 27 1.38961 5/6 5:16 1.38946 0.56%
Trade id #135476095
Max drawdown($286)
Time5/6/21 0:00
Quant open27
Worst price1.38855
Drawdown as % of equity-0.56%
 ($41)
5/5/21 21:12 GBP/USD GBP/USD LONG 27 1.39048 5/5 22:07 1.39056 0.03%
Trade id #135474271
Max drawdown($13)
Time5/5/21 21:15
Quant open27
Worst price1.39043
Drawdown as % of equity-0.03%
 $22
5/5/21 3:55 NZD/USD NZD/USD LONG 26 0.71637 5/5 11:02 0.72092 0.21%
Trade id #135453345
Max drawdown($109)
Time5/5/21 4:12
Quant open26
Worst price0.71595
Drawdown as % of equity-0.21%
 $1,183
5/5/21 1:19 GBP/USD GBP/USD LONG 34 1.38980 5/5 8:31 1.38950 1.1%
Trade id #135452175
Max drawdown($564)
Time5/5/21 5:12
Quant open26
Worst price1.38763
Drawdown as % of equity-1.10%
 ($101)
5/4/21 9:00 EUR/USD EUR/USD SHORT 8 1.20259 5/4 11:12 1.20115 0.16%
Trade id #135437864
Max drawdown($79)
Time5/4/21 11:10
Quant open8
Worst price1.20358
Drawdown as % of equity-0.16%
 $115
5/4/21 6:23 NZD/USD NZD/USD LONG 26 0.71339 5/4 9:51 0.71442 0.95%
Trade id #135433511
Max drawdown($481)
Time5/4/21 8:10
Quant open26
Worst price0.71154
Drawdown as % of equity-0.95%
 $268
5/3/21 22:18 GBP/JPY GBP/JPY LONG 29 151.686 5/4 7:40 151.690 0.59%
Trade id #135430632
Max drawdown($297)
Time5/4/21 0:00
Quant open29
Worst price151.574
Drawdown as % of equity-0.59%
 $11
5/3/21 2:54 NZD/USD NZD/USD LONG 25 0.71691 5/4 5:03 0.71400 1.45%
Trade id #135415035
Max drawdown($732)
Time5/4/21 5:03
Quant open25
Worst price0.71398
Drawdown as % of equity-1.45%
 ($728)
5/3/21 20:11 GBP/USD GBP/USD LONG 9 1.38955 5/4 1:00 1.38747 0.44%
Trade id #135430035
Max drawdown($221)
Time5/4/21 0:00
Quant open9
Worst price1.38709
Drawdown as % of equity-0.44%
 ($187)
5/2/21 21:31 GBP/USD GBP/USD LONG 25 1.38345 5/3 11:04 1.39281 1.67%
Trade id #135413794
Max drawdown($840)
Time5/3/21 0:00
Quant open25
Worst price1.38009
Drawdown as % of equity-1.67%
 $2,340
4/30/21 10:47 NZD/USD NZD/USD LONG 26 0.71999 4/30 11:20 0.71614 1.96%
Trade id #135398664
Max drawdown($1,032)
Time4/30/21 11:20
Quant open26
Worst price0.71602
Drawdown as % of equity-1.96%
 ($1,001)
4/30/21 9:07 EUR/USD EUR/USD SHORT 8 1.20902 4/30 10:07 1.20651 0.01%
Trade id #135393960
Max drawdown($3)
Time4/30/21 9:14
Quant open8
Worst price1.20906
Drawdown as % of equity-0.01%
 $201
4/30/21 6:32 NZD/USD NZD/USD LONG 27 0.72357 4/30 10:06 0.71958 2.1%
Trade id #135392614
Max drawdown($1,082)
Time4/30/21 10:06
Quant open27
Worst price0.71956
Drawdown as % of equity-2.10%
 ($1,077)
4/30/21 4:11 GBP/CHF GBP/CHF LONG 24 1.26519 4/30 9:02 1.26200 1.69%
Trade id #135391334
Max drawdown($872)
Time4/30/21 9:02
Quant open24
Worst price1.26188
Drawdown as % of equity-1.69%
 ($841)
4/30/21 2:05 GBP/USD GBP/USD LONG 27 1.39366 4/30 3:20 1.39159 1.19%
Trade id #135390384
Max drawdown($612)
Time4/30/21 3:20
Quant open27
Worst price1.39139
Drawdown as % of equity-1.19%
 ($559)
4/29/21 10:50 GBP/CHF GBP/CHF SHORT 24 1.27163 4/29 12:25 1.26828 n/a $884
4/29/21 3:10 GBP/USD GBP/USD SHORT 26 1.39616 4/29 4:38 1.39392 0.4%
Trade id #135366854
Max drawdown($208)
Time4/29/21 3:47
Quant open26
Worst price1.39696
Drawdown as % of equity-0.40%
 $582
4/28/21 14:17 GBP/JPY GBP/JPY LONG 28 151.457 4/29 2:58 151.848 1.29%
Trade id #135359215
Max drawdown($665)
Time4/28/21 17:00
Quant open28
Worst price151.198
Drawdown as % of equity-1.29%
 $1,006
4/28/21 22:05 GBP/USD GBP/USD LONG 8 1.39619 4/29 1:09 1.39554 0.56%
Trade id #135365494
Max drawdown($288)
Time4/29/21 0:00
Quant open8
Worst price1.39258
Drawdown as % of equity-0.56%
 ($52)
4/26/21 7:28 GBP/USD GBP/USD LONG 25 1.39010 4/28 10:56 1.39031 2.15%
Trade id #135314181
Max drawdown($1,062)
Time4/27/21 0:00
Quant open25
Worst price1.38585
Drawdown as % of equity-2.15%
 $53
4/27/21 0:08 GBP/JPY GBP/JPY LONG 27 150.318 4/27 10:40 150.928 0.87%
Trade id #135329008
Max drawdown($426)
Time4/27/21 4:58
Quant open27
Worst price150.146
Drawdown as % of equity-0.87%
 $1,518
4/26/21 8:47 USD/CAD USD/CAD LONG 32 1.24411 4/26 10:05 1.24210 1.11%
Trade id #135315699
Max drawdown($552)
Time4/26/21 10:05
Quant open32
Worst price1.24197
Drawdown as % of equity-1.11%
 ($518)
4/26/21 1:20 USD/CAD USD/CAD LONG 32 1.24586 4/26 3:08 1.24607 0.28%
Trade id #135312109
Max drawdown($139)
Time4/26/21 1:32
Quant open32
Worst price1.24532
Drawdown as % of equity-0.28%
 $54
4/25/21 19:44 GBP/USD GBP/USD LONG 25 1.38757 4/25 21:48 1.38963 0.56%
Trade id #135310441
Max drawdown($280)
Time4/25/21 19:59
Quant open25
Worst price1.38645
Drawdown as % of equity-0.56%
 $515
4/23/21 10:30 EUR/USD EUR/USD LONG 8 1.20579 4/25 19:14 1.20933 0.19%
Trade id #135288949
Max drawdown($93)
Time4/23/21 10:56
Quant open8
Worst price1.20462
Drawdown as % of equity-0.19%
 $283
4/23/21 10:02 GBP/JPY GBP/JPY LONG 27 149.494 4/23 11:33 149.506 0.41%
Trade id #135288039
Max drawdown($202)
Time4/23/21 10:14
Quant open27
Worst price149.413
Drawdown as % of equity-0.41%
 $30
4/22/21 10:07 NZD/USD NZD/USD LONG 25 0.71700 4/23 10:52 0.71695 1.21%
Trade id #135267930
Max drawdown($602)
Time4/22/21 14:10
Quant open25
Worst price0.71459
Drawdown as % of equity-1.21%
 ($13)
4/23/21 5:39 GBP/JPY GBP/JPY LONG 27 149.751 4/23 8:20 149.500 1.27%
Trade id #135283487
Max drawdown($632)
Time4/23/21 8:20
Quant open27
Worst price149.499
Drawdown as % of equity-1.27%
 ($629)
Next

Statistics

  • Strategy began
    11/4/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1261.45
  • Age
    42 months ago
  • What it trades
    Forex
  • # Trades
    364
  • # Profitable
    197
  • % Profitable
    54.10%
  • Avg trade duration
    14.6 hours
  • Max peak-to-valley drawdown
    15.21%
  • drawdown period
    Feb 11, 2021 - April 09, 2021
  • Annual Return (Compounded)
    1.7%
  • Avg win
    $248.68
  • Avg loss
    $268.91
  • Model Account Values (Raw)
  • Cash
    $54,084
  • Margin Used
    $0
  • Buying Power
    $54,084
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.01
  • Sortino Ratio
    0.02
  • Calmar Ratio
    0.721
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -39.57%
  • Correlation to SP500
    0.00160
  • Return Percent SP500 (cumu) during strategy life
    47.25%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Slump
  • Current Slump as Pcnt Equity
    1.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.85%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.017%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $269
  • Avg Win
    $249
  • Sum Trade PL (losers)
    $44,908.000
  • Age
  • Num Months filled monthly returns table
    42
  • Win / Loss
  • Sum Trade PL (winners)
    $48,990.000
  • # Winners
    197
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    167
  • % Winners
    54.1%
  • Frequency
  • Avg Position Time (mins)
    873.98
  • Avg Position Time (hrs)
    14.57
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    1078
  • Leverage
  • Daily leverage (average)
    5.23
  • Daily leverage (max)
    18.38
  • Regression
  • Alpha
    0.00
  • Beta
    0.00
  • Treynor Index
    0.39
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.21
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -78.647
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.585
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.259
  • Hold-and-Hope Ratio
    -0.013
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07861
  • SD
    0.16600
  • Sharpe ratio (Glass type estimate)
    0.47354
  • Sharpe ratio (Hedges UMVUE)
    0.43276
  • df
    9.00000
  • t
    0.43228
  • p
    0.33785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61860
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58908
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99962
  • Upside Potential Ratio
    2.78000
  • Upside part of mean
    0.21861
  • Downside part of mean
    -0.14000
  • Upside SD
    0.13831
  • Downside SD
    0.07864
  • N nonnegative terms
    3.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.46280
  • Mean of criterion
    0.07861
  • SD of predictor
    0.30994
  • SD of criterion
    0.16600
  • Covariance
    -0.00425
  • r
    -0.08255
  • b (slope, estimate of beta)
    -0.04421
  • a (intercept, estimate of alpha)
    0.09907
  • Mean Square Error
    0.03079
  • DF error
    8.00000
  • t(b)
    -0.23430
  • p(b)
    0.58968
  • t(a)
    0.46925
  • p(a)
    0.32571
  • Lowerbound of 95% confidence interval for beta
    -0.47938
  • Upperbound of 95% confidence interval for beta
    0.39095
  • Lowerbound of 95% confidence interval for alpha
    -0.38778
  • Upperbound of 95% confidence interval for alpha
    0.58591
  • Treynor index (mean / b)
    -1.77783
  • Jensen alpha (a)
    0.09907
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06633
  • SD
    0.16104
  • Sharpe ratio (Glass type estimate)
    0.41192
  • Sharpe ratio (Hedges UMVUE)
    0.37644
  • df
    9.00000
  • t
    0.37603
  • p
    0.35780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53051
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82333
  • Upside Potential Ratio
    2.59658
  • Upside part of mean
    0.20920
  • Downside part of mean
    -0.14286
  • Upside SD
    0.13120
  • Downside SD
    0.08057
  • N nonnegative terms
    3.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.40968
  • Mean of criterion
    0.06633
  • SD of predictor
    0.31729
  • SD of criterion
    0.16104
  • Covariance
    -0.00345
  • r
    -0.06752
  • b (slope, estimate of beta)
    -0.03427
  • a (intercept, estimate of alpha)
    0.08037
  • Mean Square Error
    0.02904
  • DF error
    8.00000
  • t(b)
    -0.19140
  • p(b)
    0.57351
  • t(a)
    0.40071
  • p(a)
    0.34956
  • Lowerbound of 95% confidence interval for beta
    -0.44711
  • Upperbound of 95% confidence interval for beta
    0.37858
  • Lowerbound of 95% confidence interval for alpha
    -0.38215
  • Upperbound of 95% confidence interval for alpha
    0.54289
  • Treynor index (mean / b)
    -1.93583
  • Jensen alpha (a)
    0.08037
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06848
  • Expected Shortfall on VaR
    0.08626
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03289
  • Expected Shortfall on VaR
    0.06008
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.94350
  • Quartile 1
    0.99533
  • Median
    1.00000
  • Quartile 3
    1.02192
  • Maximum
    1.11974
  • Mean of quarter 1
    0.96654
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06305
  • Inter Quartile Range
    0.02660
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.94350
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.11974
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -46.03590
  • VaR(95%) (moments method)
    0.01898
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.73544
  • VaR(95%) (regression method)
    0.07553
  • Expected Shortfall (regression method)
    0.07797
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00623
  • Quartile 1
    0.02768
  • Median
    0.04912
  • Quartile 3
    0.07057
  • Maximum
    0.09201
  • Mean of quarter 1
    0.00623
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09201
  • Inter Quartile Range
    0.04289
  • 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)
    0.09804
  • Compounded annual return (geometric extrapolation)
    0.09882
  • Calmar ratio (compounded annual return / max draw down)
    1.07405
  • Compounded annual return / average of 25% largest draw downs
    1.07405
  • Compounded annual return / Expected Shortfall lognormal
    1.14560
  • 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
    0.07246
  • SD
    0.13068
  • Sharpe ratio (Glass type estimate)
    0.55445
  • Sharpe ratio (Hedges UMVUE)
    0.55259
  • df
    223.00000
  • t
    0.51267
  • p
    0.30434
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56644
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56773
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67291
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80312
  • Upside Potential Ratio
    6.75854
  • Upside part of mean
    0.60976
  • Downside part of mean
    -0.53730
  • Upside SD
    0.09425
  • Downside SD
    0.09022
  • N nonnegative terms
    70.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    224.00000
  • Mean of predictor
    0.45461
  • Mean of criterion
    0.07246
  • SD of predictor
    0.29455
  • SD of criterion
    0.13068
  • Covariance
    0.00059
  • r
    0.01526
  • b (slope, estimate of beta)
    0.00677
  • a (intercept, estimate of alpha)
    0.06900
  • Mean Square Error
    0.01715
  • DF error
    222.00000
  • t(b)
    0.22745
  • p(b)
    0.41014
  • t(a)
    0.48762
  • p(a)
    0.31315
  • Lowerbound of 95% confidence interval for beta
    -0.05190
  • Upperbound of 95% confidence interval for beta
    0.06545
  • Lowerbound of 95% confidence interval for alpha
    -0.21102
  • Upperbound of 95% confidence interval for alpha
    0.34978
  • Treynor index (mean / b)
    10.69910
  • Jensen alpha (a)
    0.06938
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06395
  • SD
    0.13060
  • Sharpe ratio (Glass type estimate)
    0.48967
  • Sharpe ratio (Hedges UMVUE)
    0.48802
  • df
    223.00000
  • t
    0.45277
  • p
    0.32558
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63101
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60936
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60821
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70148
  • Upside Potential Ratio
    6.63995
  • Upside part of mean
    0.60532
  • Downside part of mean
    -0.54137
  • Upside SD
    0.09319
  • Downside SD
    0.09116
  • N nonnegative terms
    70.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    224.00000
  • Mean of predictor
    0.41093
  • Mean of criterion
    0.06395
  • SD of predictor
    0.29512
  • SD of criterion
    0.13060
  • Covariance
    0.00063
  • r
    0.01628
  • b (slope, estimate of beta)
    0.00720
  • a (intercept, estimate of alpha)
    0.06099
  • Mean Square Error
    0.01713
  • DF error
    222.00000
  • t(b)
    0.24254
  • p(b)
    0.40429
  • t(a)
    0.42931
  • p(a)
    0.33406
  • Lowerbound of 95% confidence interval for beta
    -0.05132
  • Upperbound of 95% confidence interval for beta
    0.06573
  • Lowerbound of 95% confidence interval for alpha
    -0.21898
  • Upperbound of 95% confidence interval for alpha
    0.34096
  • Treynor index (mean / b)
    8.87874
  • Jensen alpha (a)
    0.06099
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01294
  • Expected Shortfall on VaR
    0.01626
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00568
  • Expected Shortfall on VaR
    0.01188
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    224.00000
  • Minimum
    0.96909
  • Quartile 1
    0.99986
  • Median
    1.00000
  • Quartile 3
    1.00208
  • Maximum
    1.04269
  • Mean of quarter 1
    0.99209
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00026
  • Mean of quarter 4
    1.00919
  • Inter Quartile Range
    0.00222
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.16518
  • Mean of outliers low
    0.98871
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.17411
  • Mean of outliers high
    1.01176
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06763
  • VaR(95%) (moments method)
    0.00346
  • Expected Shortfall (moments method)
    0.00547
  • Extreme Value Index (regression method)
    -0.10049
  • VaR(95%) (regression method)
    0.00891
  • Expected Shortfall (regression method)
    0.01353
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00513
  • Median
    0.01954
  • Quartile 3
    0.02761
  • Maximum
    0.13345
  • Mean of quarter 1
    0.00204
  • Mean of quarter 2
    0.00991
  • Mean of quarter 3
    0.02692
  • Mean of quarter 4
    0.06467
  • Inter Quartile Range
    0.02248
  • 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
    0.10000
  • Mean of outliers high
    0.13345
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59442
  • VaR(95%) (moments method)
    0.07968
  • Expected Shortfall (moments method)
    0.21554
  • Extreme Value Index (regression method)
    3.25704
  • VaR(95%) (regression method)
    0.24314
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09556
  • Compounded annual return (geometric extrapolation)
    0.09621
  • Calmar ratio (compounded annual return / max draw down)
    0.72094
  • Compounded annual return / average of 25% largest draw downs
    1.48768
  • Compounded annual return / Expected Shortfall lognormal
    5.91667
  • 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
    0.12387
  • SD
    0.12999
  • Sharpe ratio (Glass type estimate)
    0.95288
  • Sharpe ratio (Hedges UMVUE)
    0.94737
  • df
    130.00000
  • t
    0.67379
  • p
    0.47050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72157
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45129
  • Upside Potential Ratio
    5.73397
  • Upside part of mean
    0.48939
  • Downside part of mean
    -0.36552
  • Upside SD
    0.09769
  • Downside SD
    0.08535
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.50292
  • Mean of criterion
    0.12387
  • SD of predictor
    0.36604
  • SD of criterion
    0.12999
  • Covariance
    0.00023
  • r
    0.00484
  • b (slope, estimate of beta)
    0.00172
  • a (intercept, estimate of alpha)
    0.12300
  • Mean Square Error
    0.01703
  • DF error
    129.00000
  • t(b)
    0.05499
  • p(b)
    0.49692
  • t(a)
    0.66411
  • p(a)
    0.46286
  • Lowerbound of 95% confidence interval for beta
    -0.06014
  • Upperbound of 95% confidence interval for beta
    0.06358
  • Lowerbound of 95% confidence interval for alpha
    -0.24345
  • Upperbound of 95% confidence interval for alpha
    0.48945
  • Treynor index (mean / b)
    72.04570
  • Jensen alpha (a)
    0.12300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11546
  • SD
    0.12975
  • Sharpe ratio (Glass type estimate)
    0.88991
  • Sharpe ratio (Hedges UMVUE)
    0.88477
  • df
    130.00000
  • t
    0.62926
  • p
    0.47245
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66214
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88912
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65866
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33586
  • Upside Potential Ratio
    5.60720
  • Upside part of mean
    0.48466
  • Downside part of mean
    -0.36919
  • Upside SD
    0.09636
  • Downside SD
    0.08643
  • N nonnegative terms
    22.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43580
  • Mean of criterion
    0.11546
  • SD of predictor
    0.36686
  • SD of criterion
    0.12975
  • Covariance
    0.00030
  • r
    0.00626
  • b (slope, estimate of beta)
    0.00221
  • a (intercept, estimate of alpha)
    0.11450
  • Mean Square Error
    0.01696
  • DF error
    129.00000
  • t(b)
    0.07109
  • p(b)
    0.49601
  • t(a)
    0.61993
  • p(a)
    0.46532
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    -0.05940
  • Upperbound of 95% confidence interval for beta
    0.06382
  • Lowerbound of 95% confidence interval for alpha
    -0.25093
  • Upperbound of 95% confidence interval for alpha
    0.47993
  • Treynor index (mean / b)
    52.15730
  • Jensen alpha (a)
    0.11450
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01266
  • Expected Shortfall on VaR
    0.01596
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00433
  • Expected Shortfall on VaR
    0.00945
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96909
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04269
  • Mean of quarter 1
    0.99481
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00749
  • Inter Quartile Range
    0.00000
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98683
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.16794
  • Mean of outliers high
    1.01123
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -9.04193
  • VaR(95%) (moments method)
    0.00089
  • Expected Shortfall (moments method)
    0.00089
  • Extreme Value Index (regression method)
    -0.61621
  • VaR(95%) (regression method)
    0.01002
  • Expected Shortfall (regression method)
    0.01728
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00711
  • Quartile 1
    0.01519
  • Median
    0.02004
  • Quartile 3
    0.04108
  • Maximum
    0.07061
  • Mean of quarter 1
    0.01115
  • Mean of quarter 2
    0.02004
  • Mean of quarter 3
    0.04108
  • Mean of quarter 4
    0.07061
  • Inter Quartile Range
    0.02589
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334838000
  • Max Equity Drawdown (num days)
    57
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14863
  • Compounded annual return (geometric extrapolation)
    0.15416
  • Calmar ratio (compounded annual return / max draw down)
    2.18323
  • Compounded annual return / average of 25% largest draw downs
    2.18323
  • Compounded annual return / Expected Shortfall lognormal
    9.65870

Strategy Description

iProfit : The World's Most Successful Neural Network Strategy

iProfit Neural Network system dynamically adapts to the most recent price action and predicts high/low values every hour. Trade entry/exit is based on the predicted high/low prices.

Proven consistent performance since 2013. Reference account run on IC Markets. 12 year tick data back-tests with 99.9% accuracy shows the robustness of the strategy. Comparative results of live trading vs back-test available for past 6 years.

Strategy has gained over +8500 pips since its inception. The average gain potential is +170 pips/month (monthly equity gain of about 5% at medium risk level).

Safe trading strategy with server side SL, hidden SL and TP. All trades are closed on Friday – No trades held over the weekend. No Grid, No Martingale, No Hedging.

iProfit has been able to remain profitable in various kinds of market conditions ranging from extremely low to extremely high volatility. Excellent diversification by trading pairs with varying degrees of correlations. The trading pairs are : AUDUSD, EURUSD, GBPUSD, NZDUSD, USDCAD, XAUUSD, GBPJPY, EURJPY, EURGBP, USDJPY, USDCHF, USDNOK.

Summary Statistics

Strategy began
2020-11-04
Suggested Minimum Capital
$50,000
# Trades
364
# Profitable
197
% Profitable
54.1%
Correlation S&P500
0.002
Sharpe Ratio
0.01
Sortino Ratio
0.02
Beta
0.00
Alpha
0.00
Leverage
5.23 Average
18.38 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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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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.