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

Vinculum
(135282566)

Created by: Taurus Taurus
Started: 04/2021
Forex
Last trade: 3 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $299.00 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.

-56.4%
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.

(100.0%)
Max Drawdown
738
Num Trades
52.6%
Win Trades
1.0 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     +6.4%(12.7%)+75.3%+33.2%+92.0%+21.8%+71.7%+156.1%(22.4%)+1631.3%
2022+59.5%(9.8%)(55.4%)(88%)(134.4%)(185.8%)(7.8%)                              (97.9%)

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

This strategy has placed 3,201 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 67 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/20/22 1:19 AUD/USD AUD/USD SHORT 4 0.69569 6/21 1:56 0.69569 5.87%
Trade id #140808226
Max drawdown($156)
Time6/20/22 6:43
Quant open4
Worst price0.69959
Drawdown as % of equity-5.87%
$0
6/13/22 2:50 USD/TRY USD/TRY SHORT 3 17.25890 6/17 3:05 17.31656 3.39%
Trade id #140746316
Max drawdown($103)
Time6/16/22 0:00
Quant open3
Worst price17.31840
Drawdown as % of equity-3.39%
($100)
6/16/22 15:59 EUR/USD EUR/USD SHORT 2 1.05593 6/17 3:04 1.04946 0.1%
Trade id #140790261
Max drawdown($3)
Time6/16/22 18:14
Quant open2
Worst price1.05608
Drawdown as % of equity-0.10%
$129
6/2/22 23:42 AUD/USD AUD/USD SHORT 6 0.71737 6/17 3:04 0.70485 1.59%
Trade id #140669112
Max drawdown($48)
Time6/3/22 0:00
Quant open2
Worst price0.72829
Drawdown as % of equity1.59%
$751
6/10/22 2:58 USD/SEK USD/SEK LONG 3 9.95900 6/13 2:50 10.07452 0%
Trade id #140729156
Max drawdown$0
Time6/10/22 3:01
Quant open
Worst price10.07710
Drawdown as % of equity0.00%
$344
6/8/22 2:44 GBP/USD GBP/USD SHORT 2 1.24905 6/13 2:48 1.22432 0%
Trade id #140704976
Max drawdown$0
Time6/12/22 21:59
Quant open
Worst price1.22964
Drawdown as % of equity0.00%
$495
6/6/22 2:36 EUR/USD EUR/USD SHORT 1 1.07283 6/8 2:49 1.06896 0%
Trade id #140683195
Max drawdown$0
Time6/7/22 9:13
Quant open
Worst price1.07107
Drawdown as % of equity-0.00%
$39
5/27/22 2:11 USD/TRY USD/TRY SHORT 6 16.42873 6/8 2:49 16.62026 0%
Trade id #140612917
Max drawdown$1
Time5/27/22 15:01
Quant open
Worst price16.94480
Drawdown as % of equity-0.00%
($678)
6/6/22 2:37 USD/SEK USD/SEK SHORT 2 9.78689 6/8 2:43 9.81194 0%
Trade id #140683201
Max drawdown$0
Time6/6/22 4:15
Quant open
Worst price9.85200
Drawdown as % of equity0.00%
($51)
6/2/22 23:45 USD/SGD USD/SGD SHORT 1 1.37087 6/7 1:34 1.37954 0%
Trade id #140669134
Max drawdown$0
Time6/3/22 1:30
Quant open
Worst price1.37920
Drawdown as % of equity-0.00%
($63)
6/2/22 23:43 GBP/USD GBP/USD SHORT 2 1.25746 6/7 1:33 1.25226 0%
Trade id #140669114
Max drawdown$0
Time6/5/22 21:33
Quant open
Worst price1.25714
Drawdown as % of equity-0.00%
$104
6/2/22 23:45 EUR/USD EUR/USD LONG 1 1.07546 6/6 2:36 1.07292 0%
Trade id #140669127
Max drawdown$0
Time6/3/22 4:35
Quant open
Worst price1.07037
Drawdown as % of equity-0.00%
($25)
6/1/22 7:04 USD/SEK USD/SEK SHORT 3 9.77970 6/2 23:42 9.69208 0.02%
Trade id #140645359
Max drawdown$0
Time6/1/22 9:23
Quant open
Worst price9.86993
Drawdown as % of equity-0.02%
$271
5/17/22 11:30 USD/JPY USD/JPY LONG 9 128.311 6/2 23:42 128.080 0.02%
Trade id #140503246
Max drawdown$9
Time5/17/22 19:32
Quant open
Worst price126.361
Drawdown as % of equity-0.02%
($160)
6/1/22 7:03 AUD/USD AUD/USD LONG 3 0.71922 6/2 2:17 0.71590 0%
Trade id #140645351
Max drawdown$0
Time6/1/22 9:32
Quant open
Worst price0.71408
Drawdown as % of equity-0.00%
($100)
5/25/22 3:16 GBP/USD GBP/USD SHORT 4 1.25523 6/1 7:02 1.25854 0%
Trade id #140589886
Max drawdown$0
Time5/25/22 7:42
Quant open
Worst price1.26627
Drawdown as % of equity-0.00%
($133)
5/30/22 3:02 USD/CAD USD/CAD LONG 3 1.27023 6/1 7:02 1.26409 0%
Trade id #140627121
Max drawdown$0
Time5/30/22 3:11
Quant open
Worst price1.26301
Drawdown as % of equity0.00%
($146)
5/26/22 3:18 EUR/USD EUR/USD SHORT 2 1.06773 5/30 3:02 1.07567 0%
Trade id #140601826
Max drawdown$0
Time5/26/22 3:18
Quant open
Worst price1.07644
Drawdown as % of equity-0.00%
($159)
5/26/22 3:18 USD/NOK USD/NOK LONG 3 9.58473 5/27 2:10 9.51955 0%
Trade id #140601829
Max drawdown$0
Time5/26/22 8:18
Quant open
Worst price9.49330
Drawdown as % of equity-0.00%
($205)
5/26/22 3:19 USD/CAD USD/CAD LONG 3 1.28205 5/27 2:10 1.27561 0%
Trade id #140601834
Max drawdown$0
Time5/26/22 9:28
Quant open
Worst price1.27449
Drawdown as % of equity-0.00%
($151)
5/13/22 2:07 USD/TRY USD/TRY SHORT 5 15.57918 5/26 3:16 16.34026 0%
Trade id #140462062
Max drawdown$4
Time5/13/22 5:26
Quant open
Worst price16.44420
Drawdown as % of equity-0.00%
($2,324)
5/24/22 3:38 USD/SEK USD/SEK SHORT 3 9.78397 5/25 3:15 9.81642 0%
Trade id #140574681
Max drawdown$0
Time5/24/22 17:00
Quant open
Worst price9.82391
Drawdown as % of equity0.00%
($99)
5/24/22 3:37 USD/NOK USD/NOK SHORT 3 9.59351 5/25 3:15 9.58667 0%
Trade id #140574675
Max drawdown$0
Time5/24/22 4:02
Quant open
Worst price9.63656
Drawdown as % of equity0.00%
$21
5/24/22 3:37 NZD/USD NZD/USD LONG 5 0.64492 5/25 3:15 0.65062 0%
Trade id #140574673
Max drawdown$0
Time5/24/22 22:00
Quant open
Worst price0.64252
Drawdown as % of equity0.00%
$285
5/13/22 2:07 USD/ZAR USD/ZAR SHORT 4 16.00370 5/24 3:36 15.78780 0%
Trade id #140462060
Max drawdown$2
Time5/16/22 2:55
Quant open
Worst price15.64010
Drawdown as % of equity-0.00%
$548
5/12/22 3:50 GBP/USD GBP/USD SHORT 6 1.22125 5/24 3:36 1.24049 0%
Trade id #140448506
Max drawdown$0
Time5/12/22 5:03
Quant open
Worst price1.25975
Drawdown as % of equity-0.00%
($1,154)
5/17/22 2:01 AUD/USD AUD/USD LONG 6 0.70053 5/17 11:29 0.70143 0.01%
Trade id #140496874
Max drawdown$0
Time5/17/22 7:45
Quant open
Worst price0.69961
Drawdown as % of equity-0.01%
$54
5/17/22 2:02 NZD/USD NZD/USD LONG 7 0.63338 5/17 11:29 0.63486 0.01%
Trade id #140496877
Max drawdown$0
Time5/17/22 7:45
Quant open
Worst price0.63341
Drawdown as % of equity-0.01%
$104
5/13/22 2:06 USD/JPY USD/JPY LONG 4 128.705 5/17 2:01 129.350 0%
Trade id #140462056
Max drawdown$3
Time5/15/22 20:55
Quant open
Worst price128.703
Drawdown as % of equity-0.00%
$199
5/13/22 2:05 EUR/USD EUR/USD LONG 5 1.03984 5/17 2:01 1.04400 0%
Trade id #140462045
Max drawdown$0
Time5/13/22 3:58
Quant open
Worst price1.03488
Drawdown as % of equity-0.00%
$208

Statistics

  • Strategy began
    4/23/2021
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    437.04
  • Age
    15 months ago
  • What it trades
    Forex
  • # Trades
    738
  • # Profitable
    388
  • % Profitable
    52.60%
  • Avg trade duration
    5.5 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    May 11, 2022 - May 26, 2022
  • Annual Return (Compounded)
    -56.4%
  • Avg win
    $2,178
  • Avg loss
    $2,421
  • Model Account Values (Raw)
  • Cash
    $6,355
  • Margin Used
    $7,723
  • Buying Power
    $27
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    -0.43
  • Sortino Ratio
    -0.52
  • Calmar Ratio
    -0.126
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -54.78%
  • Correlation to SP500
    -0.00980
  • Return Percent SP500 (cumu) during strategy life
    -8.49%
  • Return Statistics
  • Ann Return (w trading costs)
    -56.4%
  • Slump
  • Current Slump as Pcnt Equity
    9341.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.30%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.564%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -11.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    728
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    460
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,426
  • Avg Win
    $2,185
  • Sum Trade PL (losers)
    $849,042.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $847,697.000
  • # Winners
    388
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    350
  • % Winners
    52.6%
  • Frequency
  • Avg Position Time (mins)
    7918.12
  • Avg Position Time (hrs)
    131.97
  • Avg Trade Length
    5.5 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    43.63
  • Daily leverage (max)
    1381.92
  • Regression
  • Alpha
    0.00
  • Beta
    -0.16
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.12
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    1.174
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.781
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.608
  • Hold-and-Hope Ratio
    0.566
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    5834.94000
  • SD
    6300.15000
  • Sharpe ratio (Glass type estimate)
    0.92616
  • Sharpe ratio (Hedges UMVUE)
    0.87150
  • df
    13.00000
  • t
    1.00037
  • p
    0.33185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71673
  • Statistics related to Sortino ratio
  • Sortino ratio
    4342.03000
  • Upside Potential Ratio
    4343.79000
  • Upside part of mean
    5837.31000
  • Downside part of mean
    -2.36850
  • Upside SD
    6300.31000
  • Downside SD
    1.34383
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.07644
  • Mean of criterion
    5834.94000
  • SD of predictor
    0.15146
  • SD of criterion
    6300.15000
  • Covariance
    -218.66100
  • r
    -0.22915
  • b (slope, estimate of beta)
    -9531.84000
  • a (intercept, estimate of alpha)
    5106.36000
  • Mean Square Error
    40741600.00000
  • DF error
    12.00000
  • t(b)
    -0.81551
  • p(b)
    0.61458
  • t(a)
    0.85440
  • p(a)
    0.38027
  • Lowerbound of 95% confidence interval for beta
    -34998.40000
  • Upperbound of 95% confidence interval for beta
    15934.70000
  • Lowerbound of 95% confidence interval for alpha
    -7915.49000
  • Upperbound of 95% confidence interval for alpha
    18128.20000
  • Treynor index (mean / b)
    -0.61215
  • Jensen alpha (a)
    5106.36000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.37021
  • SD
    13.12780
  • Sharpe ratio (Glass type estimate)
    -0.02820
  • Sharpe ratio (Hedges UMVUE)
    -0.02654
  • df
    13.00000
  • t
    -0.03046
  • p
    0.50538
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78807
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03869
  • Upside Potential Ratio
    1.13296
  • Upside part of mean
    10.84220
  • Downside part of mean
    -11.21240
  • Upside SD
    8.27397
  • Downside SD
    9.56986
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.08735
  • Mean of criterion
    -0.37021
  • SD of predictor
    0.15324
  • SD of criterion
    13.12780
  • Covariance
    0.03991
  • r
    0.01984
  • b (slope, estimate of beta)
    1.69964
  • a (intercept, estimate of alpha)
    -0.22175
  • Mean Square Error
    186.62700
  • DF error
    12.00000
  • t(b)
    0.06874
  • p(b)
    0.49008
  • t(a)
    -0.01728
  • p(a)
    0.50250
  • Lowerbound of 95% confidence interval for beta
    -52.17200
  • Upperbound of 95% confidence interval for beta
    55.57130
  • Lowerbound of 95% confidence interval for alpha
    -28.17780
  • Upperbound of 95% confidence interval for alpha
    27.73430
  • Treynor index (mean / b)
    -0.21782
  • Jensen alpha (a)
    -0.22175
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99810
  • Expected Shortfall on VaR
    0.99930
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.36666
  • Expected Shortfall on VaR
    0.74086
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.00004
  • Quartile 1
    0.80436
  • Median
    1.45891
  • Quartile 3
    1.63305
  • Maximum
    6806.12000
  • Mean of quarter 1
    0.33294
  • Mean of quarter 2
    1.21700
  • Mean of quarter 3
    1.57484
  • Mean of quarter 4
    1702.94000
  • Inter Quartile Range
    0.82870
  • 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
    0.07143
  • Mean of outliers high
    6806.12000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -26.93920
  • VaR(95%) (moments method)
    0.53141
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.30928
  • VaR(95%) (regression method)
    0.93497
  • Expected Shortfall (regression method)
    0.98503
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.08337
  • Quartile 1
    0.15822
  • Median
    0.23307
  • Quartile 3
    0.61653
  • Maximum
    1.00000
  • Mean of quarter 1
    0.08337
  • Mean of quarter 2
    0.23307
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.45831
  • 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)
    -0.28221
  • Compounded annual return (geometric extrapolation)
    -0.28987
  • Calmar ratio (compounded annual return / max draw down)
    -0.28987
  • Compounded annual return / average of 25% largest draw downs
    -0.28987
  • Compounded annual return / Expected Shortfall lognormal
    -0.29007
  • 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
    1516.79000
  • SD
    1174.70000
  • Sharpe ratio (Glass type estimate)
    1.29122
  • Sharpe ratio (Hedges UMVUE)
    1.28809
  • df
    310.00000
  • t
    1.40679
  • p
    0.08025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08989
  • Statistics related to Sortino ratio
  • Sortino ratio
    702.03500
  • Upside Potential Ratio
    707.98400
  • Upside part of mean
    1529.65000
  • Downside part of mean
    -12.85280
  • Upside SD
    1176.55000
  • Downside SD
    2.16057
  • N nonnegative terms
    163.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    311.00000
  • Mean of predictor
    -0.08507
  • Mean of criterion
    1516.79000
  • SD of predictor
    0.18730
  • SD of criterion
    1174.70000
  • Covariance
    12.46360
  • r
    0.05665
  • b (slope, estimate of beta)
    355.25600
  • a (intercept, estimate of alpha)
    1547.02000
  • Mean Square Error
    1379950.00000
  • DF error
    309.00000
  • t(b)
    0.99734
  • p(b)
    0.15969
  • t(a)
    1.43424
  • p(a)
    0.07626
  • Lowerbound of 95% confidence interval for beta
    -345.63800
  • Upperbound of 95% confidence interval for beta
    1056.15000
  • Lowerbound of 95% confidence interval for alpha
    -575.37600
  • Upperbound of 95% confidence interval for alpha
    3669.41000
  • Treynor index (mean / b)
    4.26958
  • Jensen alpha (a)
    1547.02000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16209
  • SD
    13.14080
  • Sharpe ratio (Glass type estimate)
    -0.01233
  • Sharpe ratio (Hedges UMVUE)
    -0.01230
  • df
    310.00000
  • t
    -0.01344
  • p
    0.50536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78661
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78664
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01793
  • Upside Potential Ratio
    2.82496
  • Upside part of mean
    25.53300
  • Downside part of mean
    -25.69510
  • Upside SD
    9.50960
  • Downside SD
    9.03836
  • N nonnegative terms
    163.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    311.00000
  • Mean of predictor
    -0.10264
  • Mean of criterion
    -0.16209
  • SD of predictor
    0.18791
  • SD of criterion
    13.14080
  • Covariance
    -0.12275
  • r
    -0.04971
  • b (slope, estimate of beta)
    -3.47646
  • a (intercept, estimate of alpha)
    -0.51890
  • Mean Square Error
    172.81000
  • DF error
    309.00000
  • t(b)
    -0.87493
  • p(b)
    0.80885
  • t(a)
    -0.04298
  • p(a)
    0.51713
  • Lowerbound of 95% confidence interval for beta
    -11.29480
  • Upperbound of 95% confidence interval for beta
    4.34191
  • Lowerbound of 95% confidence interval for alpha
    -24.27390
  • Upperbound of 95% confidence interval for alpha
    23.23610
  • Treynor index (mean / b)
    0.04662
  • Jensen alpha (a)
    -0.51890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.73710
  • Expected Shortfall on VaR
    0.80517
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10669
  • Expected Shortfall on VaR
    0.23362
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    311.00000
  • Minimum
    0.00144
  • Quartile 1
    0.94801
  • Median
    1.00589
  • Quartile 3
    1.05547
  • Maximum
    1079.00000
  • Mean of quarter 1
    0.82697
  • Mean of quarter 2
    0.97809
  • Mean of quarter 3
    1.03027
  • Mean of quarter 4
    24.24840
  • Inter Quartile Range
    0.10747
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04180
  • Mean of outliers low
    0.48406
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.03859
  • Mean of outliers high
    151.54900
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59242
  • VaR(95%) (moments method)
    0.17494
  • Expected Shortfall (moments method)
    0.46542
  • Extreme Value Index (regression method)
    0.34147
  • VaR(95%) (regression method)
    0.13596
  • Expected Shortfall (regression method)
    0.23825
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.01009
  • Quartile 1
    0.03150
  • Median
    0.07795
  • Quartile 3
    0.14903
  • Maximum
    1.00000
  • Mean of quarter 1
    0.01898
  • Mean of quarter 2
    0.05425
  • Mean of quarter 3
    0.11256
  • Mean of quarter 4
    0.35297
  • Inter Quartile Range
    0.11753
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    0.72328
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54313
  • VaR(95%) (moments method)
    0.39699
  • Expected Shortfall (moments method)
    0.91556
  • Extreme Value Index (regression method)
    1.56860
  • VaR(95%) (regression method)
    0.36087
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12404
  • Compounded annual return (geometric extrapolation)
    -0.12557
  • Calmar ratio (compounded annual return / max draw down)
    -0.12557
  • Compounded annual return / average of 25% largest draw downs
    -0.35574
  • Compounded annual return / Expected Shortfall lognormal
    -0.15595
  • 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
    3594.28000
  • SD
    1806.07000
  • Sharpe ratio (Glass type estimate)
    1.99011
  • Sharpe ratio (Hedges UMVUE)
    1.97861
  • df
    130.00000
  • t
    1.40722
  • p
    0.43875
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76870
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76083
  • Statistics related to Sortino ratio
  • Sortino ratio
    1107.97000
  • Upside Potential Ratio
    1115.29000
  • Upside part of mean
    3618.01000
  • Downside part of mean
    -23.72320
  • Upside SD
    1812.82000
  • Downside SD
    3.24401
  • 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
    -0.43632
  • Mean of criterion
    3594.28000
  • SD of predictor
    0.24949
  • SD of criterion
    1806.07000
  • Covariance
    34.58630
  • r
    0.07676
  • b (slope, estimate of beta)
    555.62500
  • a (intercept, estimate of alpha)
    3836.72000
  • Mean Square Error
    3267820.00000
  • DF error
    129.00000
  • t(b)
    0.87435
  • p(b)
    0.45118
  • t(a)
    1.49202
  • p(a)
    0.41732
  • Lowerbound of 95% confidence interval for beta
    -701.67100
  • Upperbound of 95% confidence interval for beta
    1812.92000
  • Lowerbound of 95% confidence interval for alpha
    -1251.03000
  • Upperbound of 95% confidence interval for alpha
    8924.46000
  • Treynor index (mean / b)
    6.46890
  • Jensen alpha (a)
    3836.72000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -6.08305
  • SD
    20.24200
  • Sharpe ratio (Glass type estimate)
    -0.30052
  • Sharpe ratio (Hedges UMVUE)
    -0.29878
  • df
    130.00000
  • t
    -0.21250
  • p
    0.50932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.07208
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.07082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47326
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43752
  • Upside Potential Ratio
    3.43982
  • Upside part of mean
    47.82550
  • Downside part of mean
    -53.90850
  • Upside SD
    14.60970
  • Downside SD
    13.90350
  • 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
    -0.46771
  • Mean of criterion
    -6.08305
  • SD of predictor
    0.25040
  • SD of criterion
    20.24200
  • Covariance
    -0.29029
  • r
    -0.05727
  • b (slope, estimate of beta)
    -4.63001
  • a (intercept, estimate of alpha)
    -8.24854
  • Mean Square Error
    411.56000
  • DF error
    129.00000
  • t(b)
    -0.65158
  • p(b)
    0.53644
  • t(a)
    -0.28560
  • p(a)
    0.51600
  • VAR (95 Confidence Intrvl)
    0.73700
  • Lowerbound of 95% confidence interval for beta
    -18.68910
  • Upperbound of 95% confidence interval for beta
    9.42912
  • Lowerbound of 95% confidence interval for alpha
    -65.39210
  • Upperbound of 95% confidence interval for alpha
    48.89500
  • Treynor index (mean / b)
    1.31383
  • Jensen alpha (a)
    -8.24854
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.87509
  • Expected Shortfall on VaR
    0.91913
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.22574
  • Expected Shortfall on VaR
    0.44988
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00144
  • Quartile 1
    0.89619
  • Median
    0.96890
  • Quartile 3
    1.04665
  • Maximum
    1079.00000
  • Mean of quarter 1
    0.70736
  • Mean of quarter 2
    0.93576
  • Mean of quarter 3
    1.01402
  • Mean of quarter 4
    55.80260
  • Inter Quartile Range
    0.15045
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.25999
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    201.65000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59131
  • VaR(95%) (moments method)
    0.32052
  • Expected Shortfall (moments method)
    0.83020
  • Extreme Value Index (regression method)
    0.02302
  • VaR(95%) (regression method)
    0.24180
  • Expected Shortfall (regression method)
    0.32968
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.07195
  • Quartile 1
    0.09427
  • Median
    0.15611
  • Quartile 3
    0.20455
  • Maximum
    1.00000
  • Mean of quarter 1
    0.08146
  • Mean of quarter 2
    0.12684
  • Mean of quarter 3
    0.18568
  • Mean of quarter 4
    0.61171
  • Inter Quartile Range
    0.11027
  • 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
    0.14286
  • Mean of outliers high
    1.00000
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -325374000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.90313
  • Compounded annual return (geometric extrapolation)
    -0.99765
  • Calmar ratio (compounded annual return / max draw down)
    -0.99766
  • Compounded annual return / average of 25% largest draw downs
    -1.63094
  • Compounded annual return / Expected Shortfall lognormal
    -1.08543

Strategy Description

Vinculum is based on a statistical model which measures dispersions and correlations of various f/x pairs real-time. Timing of entry, closing wins, and stop-loss triggers are all managed by this model. The model uses high leverage, thus it can be scaled down. Vinculum provides short and long signals for the following 12 pairs:
1- AUD/USD
2- EUR/USD
3- GBP/USD
4- NZD/USD
5- USD/CAD
6- USD/MXN
7- USD/NOK
8- USD/SEK
9- USD/TRY
10- USD/ZAR
11- USD/SGD
12- USD/JPY

Summary Statistics

Strategy began
2021-04-23
Suggested Minimum Capital
$10,000
# Trades
738
# Profitable
388
% Profitable
52.6%
Correlation S&P500
-0.010
Sharpe Ratio
-0.43
Sortino Ratio
-0.52
Beta
-0.16
Alpha
0.00
Leverage
43.63 Average
1381.92 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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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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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.