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Featured Strategy Easiest Followed by live capital $438,000 Hypothetical

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Ventrex
(141513718)

Created by: Seikh Seikh
Started: 08/2022
Stocks, Forex
Last trade: 91 days ago
Trading style: Equity Short-term Reversal

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 $50.00 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: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
11.6%
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.

(20.0%)
Max Drawdown
519
Num Trades
51.8%
Win Trades
1.4 : 1
Profit Factor
47.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                 (0.8%)(4%)+4.8%+3.1%(0.2%)+2.8%
2023(0.4%)+2.5%+2.8%+0.4%(0.6%)(0.5%)+0.3%+0.4%+0.2%+1.4%+23.8%(10.3%)+18.5%
2024(1.3%)  -    -    -                                                  (1.3%)

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
1/25/24 20:38 AUD/CAD AUD/CAD SHORT 2 0.88782 1/28 18:00 0.88434 0.01%
Trade id #147130387
Max drawdown($5)
Time1/26/24 0:00
Quant open2
Worst price0.88816
Drawdown as % of equity-0.01%
 $52
1/25/24 10:17 EUR/USD EUR/USD SHORT 28 1.08288 1/26 5:21 1.08466 0.8%
Trade id #147124601
Max drawdown($481)
Time1/25/24 12:19
Quant open22
Worst price1.08519
Drawdown as % of equity-0.80%
 ($498)
1/25/24 14:24 GBP/CAD GBP/CAD LONG 2 1.71221 1/26 4:31 1.71173 0.1%
Trade id #147127978
Max drawdown($62)
Time1/26/24 2:57
Quant open2
Worst price1.70802
Drawdown as % of equity-0.10%
 ($7)
1/25/24 9:28 EUR/USD EUR/USD LONG 2 1.08720 1/25 10:06 1.08478 0.08%
Trade id #147123440
Max drawdown($51)
Time1/25/24 10:06
Quant open2
Worst price1.08465
Drawdown as % of equity-0.08%
 ($48)
1/25/24 9:05 EUR/USD EUR/USD LONG 2 1.08588 1/25 9:05 1.08583 0%
Trade id #147123197
Max drawdown($1)
Time1/25/24 9:05
Quant open2
Worst price1.08583
Drawdown as % of equity-0.00%
 ($1)
1/25/24 9:04 EUR/USD EUR/USD SHORT 18 1.08621 1/25 9:05 1.08592 n/a $52
1/24/24 14:10 EUR/USD EUR/USD SHORT 10 1.08888 1/25 8:54 1.08752 0.13%
Trade id #147116394
Max drawdown($77)
Time1/25/24 8:15
Quant open6
Worst price1.09017
Drawdown as % of equity-0.13%
 $136
1/24/24 14:03 GBP/CAD GBP/CAD SHORT 2 1.71990 1/24 19:58 1.71882 0.03%
Trade id #147116349
Max drawdown($15)
Time1/24/24 18:02
Quant open2
Worst price1.72093
Drawdown as % of equity-0.03%
 $16
1/24/24 8:29 EUR/USD EUR/USD LONG 20 1.09143 1/24 14:10 1.09005 0.4%
Trade id #147110187
Max drawdown($241)
Time1/24/24 10:02
Quant open14
Worst price1.08971
Drawdown as % of equity-0.40%
 ($277)
1/24/24 8:29 EUR/USD EUR/USD SHORT 2 1.09130 1/24 8:29 1.09135 0%
Trade id #147110184
Max drawdown($1)
Time1/24/24 8:29
Quant open2
Worst price1.09135
Drawdown as % of equity-0.00%
 ($1)
1/24/24 4:08 EUR/USD EUR/USD SHORT 4 1.08825 1/24 4:32 1.08888 0.05%
Trade id #147109108
Max drawdown($32)
Time1/24/24 4:32
Quant open2
Worst price1.08985
Drawdown as % of equity-0.05%
 ($25)
1/23/24 16:10 EUR/USD EUR/USD LONG 26 1.08624 1/24 4:08 1.08773 0.23%
Trade id #147106777
Max drawdown($140)
Time1/23/24 17:06
Quant open16
Worst price1.08441
Drawdown as % of equity-0.23%
 $388
1/23/24 16:45 GBP/AUD GBP/AUD LONG 2 1.92837 1/23 21:08 1.93048 0.07%
Trade id #147106844
Max drawdown($43)
Time1/23/24 17:04
Quant open2
Worst price1.92506
Drawdown as % of equity-0.07%
 $28
1/23/24 16:10 EUR/USD EUR/USD SHORT 2 1.08525 1/23 16:10 1.08529 0%
Trade id #147106774
Max drawdown($1)
Time1/23/24 16:10
Quant open2
Worst price1.08529
Drawdown as % of equity-0.00%
 ($1)
1/23/24 10:41 EUR/USD EUR/USD SHORT 10 1.08250 1/23 14:34 1.08363 0.17%
Trade id #147098612
Max drawdown($105)
Time1/23/24 14:34
Quant open6
Worst price1.08426
Drawdown as % of equity-0.17%
 ($113)
1/23/24 9:53 EUR/USD EUR/USD LONG 4 1.08486 1/23 10:24 1.08434 0.04%
Trade id #147097857
Max drawdown($23)
Time1/23/24 10:24
Quant open2
Worst price1.08369
Drawdown as % of equity-0.04%
 ($21)
1/22/24 18:48 EUR/USD EUR/USD SHORT 28 1.08988 1/23 9:53 1.08594 0.59%
Trade id #147092699
Max drawdown($349)
Time1/23/24 2:15
Quant open24
Worst price1.09162
Drawdown as % of equity-0.59%
 $1,104
1/22/24 16:00 GBP/CAD GBP/CAD SHORT 4 1.71455 1/23 5:50 1.71353 0.09%
Trade id #147091443
Max drawdown($50)
Time1/23/24 2:59
Quant open4
Worst price1.71625
Drawdown as % of equity-0.09%
 $30
1/17/24 8:30 NZD/CAD NZD/CAD LONG 138 0.82171 1/23 1:43 0.81970 2.44%
Trade id #147024677
Max drawdown($1,481)
Time1/22/24 0:00
Quant open42
Worst price0.81948
Drawdown as % of equity-2.44%
 ($2,065)
1/18/24 16:14 EUR/USD EUR/USD LONG 30 1.08860 1/22 18:48 1.08897 0.47%
Trade id #147059298
Max drawdown($288)
Time1/19/24 0:00
Quant open20
Worst price1.08657
Drawdown as % of equity-0.47%
 $111
1/18/24 7:40 AUD/NZD AUD/NZD SHORT 38 1.07944 1/22 17:15 1.08032 0.65%
Trade id #147047692
Max drawdown($390)
Time1/22/24 16:27
Quant open26
Worst price1.08191
Drawdown as % of equity-0.65%
 ($203)
1/14/24 23:17 AUD/CAD AUD/CAD LONG 86 0.88528 1/22 17:15 0.88672 1.98%
Trade id #146997303
Max drawdown($1,218)
Time1/18/24 0:00
Quant open42
Worst price0.88131
Drawdown as % of equity-1.98%
 $923
1/18/24 18:28 GBP/AUD GBP/AUD LONG 8 1.92579 1/21 22:42 1.92756 0.34%
Trade id #147060257
Max drawdown($208)
Time1/21/24 20:11
Quant open8
Worst price1.92184
Drawdown as % of equity-0.34%
 $93
1/18/24 8:58 EUR/USD EUR/USD SHORT 6 1.08523 1/18 16:14 1.08620 0.07%
Trade id #147048232
Max drawdown($40)
Time1/18/24 9:10
Quant open4
Worst price1.08625
Drawdown as % of equity-0.07%
 ($58)
1/17/24 2:09 EUR/USD EUR/USD LONG 22 1.08948 1/18 8:58 1.08569 1.45%
Trade id #147022217
Max drawdown($897)
Time1/18/24 8:30
Quant open20
Worst price1.08499
Drawdown as % of equity-1.45%
 ($833)
1/17/24 16:01 GBP/AUD GBP/AUD LONG 2 1.93648 1/17 19:30 1.93827 0.09%
Trade id #147036814
Max drawdown($53)
Time1/17/24 17:14
Quant open2
Worst price1.93243
Drawdown as % of equity-0.09%
 $23
1/17/24 3:30 AUD/NZD AUD/NZD LONG 2 1.07022 1/17 5:13 1.07137 0.01%
Trade id #147022709
Max drawdown($4)
Time1/17/24 4:08
Quant open2
Worst price1.06985
Drawdown as % of equity-0.01%
 $14
1/16/24 15:15 GBP/CAD GBP/CAD SHORT 2 1.70530 1/17 2:09 1.70724 0.07%
Trade id #147017782
Max drawdown($44)
Time1/17/24 2:00
Quant open2
Worst price1.70832
Drawdown as % of equity-0.07%
 ($29)
1/16/24 9:51 EUR/USD EUR/USD SHORT 6 1.08676 1/16 11:22 1.08941 0.26%
Trade id #147011958
Max drawdown($159)
Time1/16/24 11:22
Quant open6
Worst price1.08942
Drawdown as % of equity-0.26%
 ($159)
1/16/24 9:00 NZD/CAD NZD/CAD LONG 2 0.82871 1/16 10:01 0.82983 0.01%
Trade id #147009840
Max drawdown($5)
Time1/16/24 9:08
Quant open2
Worst price0.82834
Drawdown as % of equity-0.01%
 $17
Next

Statistics

  • Strategy began
    8/23/2022
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    609.23
  • Age
    20 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    519
  • # Profitable
    269
  • % Profitable
    51.80%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    19.95%
  • drawdown period
    Nov 27, 2023 - Dec 01, 2023
  • Annual Return (Compounded)
    11.6%
  • Avg win
    $192.04
  • Avg loss
    $151.96
  • Model Account Values (Raw)
  • Cash
    $63,678
  • Margin Used
    $0
  • Buying Power
    $63,678
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.49
  • Sortino Ratio
    0.75
  • Calmar Ratio
    1.554
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.56%
  • Correlation to SP500
    -0.03720
  • Return Percent SP500 (cumu) during strategy life
    23.52%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    11.6%
  • Slump
  • Current Slump as Pcnt Equity
    15.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.24%
  • 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)
    0.116%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.52%
  • Percent Trades Forex
    0.48%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • Chance of 20% account loss
    2.50%
  • 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
    93.09%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    579
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $152
  • Avg Win
    $192
  • Sum Trade PL (losers)
    $37,991.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $51,660.000
  • # Winners
    269
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    250
  • % Winners
    51.8%
  • Frequency
  • Avg Position Time (mins)
    1511.15
  • Avg Position Time (hrs)
    25.19
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    86
  • Leverage
  • Daily leverage (average)
    1.86
  • Daily leverage (max)
    53.49
  • Regression
  • Alpha
    0.03
  • Beta
    -0.04
  • Treynor Index
    -0.70
  • 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)
    0.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    13.639
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.928
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.306
  • Hold-and-Hope Ratio
    0.073
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19338
  • SD
    0.24980
  • Sharpe ratio (Glass type estimate)
    0.77415
  • Sharpe ratio (Hedges UMVUE)
    0.73179
  • df
    14.00000
  • t
    0.86552
  • p
    0.38732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53672
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04208
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50567
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19265
  • Upside Potential Ratio
    3.63431
  • Upside part of mean
    0.32053
  • Downside part of mean
    -0.12715
  • Upside SD
    0.23147
  • Downside SD
    0.08820
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.12626
  • Mean of criterion
    0.19338
  • SD of predictor
    0.18102
  • SD of criterion
    0.24980
  • Covariance
    0.01768
  • r
    0.39100
  • b (slope, estimate of beta)
    0.53958
  • a (intercept, estimate of alpha)
    0.12526
  • Mean Square Error
    0.05693
  • DF error
    13.00000
  • t(b)
    1.53172
  • p(b)
    0.25758
  • t(a)
    0.57460
  • p(a)
    0.40022
  • Lowerbound of 95% confidence interval for beta
    -0.22145
  • Upperbound of 95% confidence interval for beta
    1.30061
  • Lowerbound of 95% confidence interval for alpha
    -0.34568
  • Upperbound of 95% confidence interval for alpha
    0.59620
  • Treynor index (mean / b)
    0.35840
  • Jensen alpha (a)
    0.12526
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16562
  • SD
    0.23028
  • Sharpe ratio (Glass type estimate)
    0.71921
  • Sharpe ratio (Hedges UMVUE)
    0.67986
  • df
    14.00000
  • t
    0.80410
  • p
    0.39495
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.45090
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80115
  • Upside Potential Ratio
    3.22535
  • Upside part of mean
    0.29658
  • Downside part of mean
    -0.13096
  • Upside SD
    0.20815
  • Downside SD
    0.09195
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.11012
  • Mean of criterion
    0.16562
  • SD of predictor
    0.18131
  • SD of criterion
    0.23028
  • Covariance
    0.01533
  • r
    0.36727
  • b (slope, estimate of beta)
    0.46647
  • a (intercept, estimate of alpha)
    0.11425
  • Mean Square Error
    0.04941
  • DF error
    13.00000
  • t(b)
    1.42369
  • p(b)
    0.27156
  • t(a)
    0.56546
  • p(a)
    0.40176
  • Lowerbound of 95% confidence interval for beta
    -0.24137
  • Upperbound of 95% confidence interval for beta
    1.17431
  • Lowerbound of 95% confidence interval for alpha
    -0.32226
  • Upperbound of 95% confidence interval for alpha
    0.55077
  • Treynor index (mean / b)
    0.35505
  • Jensen alpha (a)
    0.11425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09112
  • Expected Shortfall on VaR
    0.11575
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02298
  • Expected Shortfall on VaR
    0.04860
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.90948
  • Quartile 1
    0.99098
  • Median
    1.00472
  • Quartile 3
    1.02579
  • Maximum
    1.24984
  • Mean of quarter 1
    0.96619
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.01208
  • Mean of quarter 4
    1.09459
  • Inter Quartile Range
    0.03481
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.90948
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.24984
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86136
  • VaR(95%) (moments method)
    0.03846
  • Expected Shortfall (moments method)
    0.28637
  • Extreme Value Index (regression method)
    4.55288
  • VaR(95%) (regression method)
    0.08384
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00740
  • Quartile 1
    0.00983
  • Median
    0.01699
  • Quartile 3
    0.04258
  • Maximum
    0.10029
  • Mean of quarter 1
    0.00740
  • Mean of quarter 2
    0.01064
  • Mean of quarter 3
    0.02334
  • Mean of quarter 4
    0.10029
  • Inter Quartile Range
    0.03274
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.10029
  • 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)
    0.21894
  • Compounded annual return (geometric extrapolation)
    0.21352
  • Calmar ratio (compounded annual return / max draw down)
    2.12914
  • Compounded annual return / average of 25% largest draw downs
    2.12914
  • Compounded annual return / Expected Shortfall lognormal
    1.84464
  • 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
    0.17169
  • SD
    0.16107
  • Sharpe ratio (Glass type estimate)
    1.06592
  • Sharpe ratio (Hedges UMVUE)
    1.06355
  • df
    338.00000
  • t
    1.21248
  • p
    0.11309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65975
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78847
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91979
  • Upside Potential Ratio
    5.91216
  • Upside part of mean
    0.52874
  • Downside part of mean
    -0.35705
  • Upside SD
    0.13410
  • Downside SD
    0.08943
  • N nonnegative terms
    150.00000
  • N negative terms
    189.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    339.00000
  • Mean of predictor
    0.14726
  • Mean of criterion
    0.17169
  • SD of predictor
    0.18101
  • SD of criterion
    0.16107
  • Covariance
    -0.00102
  • r
    -0.03490
  • b (slope, estimate of beta)
    -0.03106
  • a (intercept, estimate of alpha)
    0.17600
  • Mean Square Error
    0.02599
  • DF error
    337.00000
  • t(b)
    -0.64109
  • p(b)
    0.73905
  • t(a)
    1.24212
  • p(a)
    0.10753
  • Lowerbound of 95% confidence interval for beta
    -0.12635
  • Upperbound of 95% confidence interval for beta
    0.06423
  • Lowerbound of 95% confidence interval for alpha
    -0.10287
  • Upperbound of 95% confidence interval for alpha
    0.45540
  • Treynor index (mean / b)
    -5.52833
  • Jensen alpha (a)
    0.17627
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15895
  • SD
    0.15871
  • Sharpe ratio (Glass type estimate)
    1.00152
  • Sharpe ratio (Hedges UMVUE)
    0.99929
  • df
    338.00000
  • t
    1.13922
  • p
    0.12771
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72552
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72399
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72532
  • Upside Potential Ratio
    5.64565
  • Upside part of mean
    0.52012
  • Downside part of mean
    -0.36117
  • Upside SD
    0.12932
  • Downside SD
    0.09213
  • N nonnegative terms
    150.00000
  • N negative terms
    189.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    339.00000
  • Mean of predictor
    0.13090
  • Mean of criterion
    0.15895
  • SD of predictor
    0.18083
  • SD of criterion
    0.15871
  • Covariance
    -0.00103
  • r
    -0.03578
  • b (slope, estimate of beta)
    -0.03140
  • a (intercept, estimate of alpha)
    0.16306
  • Mean Square Error
    0.02523
  • DF error
    337.00000
  • t(b)
    -0.65721
  • p(b)
    0.74425
  • t(a)
    1.16653
  • p(a)
    0.12211
  • Lowerbound of 95% confidence interval for beta
    -0.12538
  • Upperbound of 95% confidence interval for beta
    0.06258
  • Lowerbound of 95% confidence interval for alpha
    -0.11190
  • Upperbound of 95% confidence interval for alpha
    0.43801
  • Treynor index (mean / b)
    -5.06193
  • Jensen alpha (a)
    0.16306
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01540
  • Expected Shortfall on VaR
    0.01942
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00324
  • Expected Shortfall on VaR
    0.00745
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    339.00000
  • Minimum
    0.91960
  • Quartile 1
    0.99966
  • Median
    1.00000
  • Quartile 3
    1.00116
  • Maximum
    1.11018
  • Mean of quarter 1
    0.99484
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00048
  • Mean of quarter 4
    1.00776
  • Inter Quartile Range
    0.00150
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.12094
  • Mean of outliers low
    0.99039
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.12094
  • Mean of outliers high
    1.01398
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55970
  • VaR(95%) (moments method)
    0.00359
  • Expected Shortfall (moments method)
    0.01035
  • Extreme Value Index (regression method)
    0.22307
  • VaR(95%) (regression method)
    0.00480
  • Expected Shortfall (regression method)
    0.00938
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00093
  • Median
    0.00526
  • Quartile 3
    0.01249
  • Maximum
    0.13225
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00235
  • Mean of quarter 3
    0.00833
  • Mean of quarter 4
    0.04864
  • Inter Quartile Range
    0.01155
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.07969
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36585
  • VaR(95%) (moments method)
    0.04460
  • Expected Shortfall (moments method)
    0.08721
  • Extreme Value Index (regression method)
    0.64289
  • VaR(95%) (regression method)
    0.07232
  • Expected Shortfall (regression method)
    0.23501
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21138
  • Compounded annual return (geometric extrapolation)
    0.20545
  • Calmar ratio (compounded annual return / max draw down)
    1.55356
  • Compounded annual return / average of 25% largest draw downs
    4.22382
  • Compounded annual return / Expected Shortfall lognormal
    10.57910
  • 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
    0.23596
  • SD
    0.22793
  • Sharpe ratio (Glass type estimate)
    1.03525
  • Sharpe ratio (Hedges UMVUE)
    1.02926
  • df
    130.00000
  • t
    0.73203
  • p
    0.46796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74135
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74537
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80389
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89995
  • Upside Potential Ratio
    5.47052
  • Upside part of mean
    0.67940
  • Downside part of mean
    -0.44344
  • Upside SD
    0.19064
  • Downside SD
    0.12419
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24098
  • Mean of criterion
    0.23596
  • SD of predictor
    0.14309
  • SD of criterion
    0.22793
  • Covariance
    0.00002
  • r
    0.00048
  • b (slope, estimate of beta)
    0.00076
  • a (intercept, estimate of alpha)
    0.23578
  • Mean Square Error
    0.05235
  • DF error
    129.00000
  • t(b)
    0.00541
  • p(b)
    0.49970
  • t(a)
    0.72470
  • p(a)
    0.45949
  • Lowerbound of 95% confidence interval for beta
    -0.27672
  • Upperbound of 95% confidence interval for beta
    0.27824
  • Lowerbound of 95% confidence interval for alpha
    -0.40793
  • Upperbound of 95% confidence interval for alpha
    0.87948
  • Treynor index (mean / b)
    310.97100
  • Jensen alpha (a)
    0.23578
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21068
  • SD
    0.22395
  • Sharpe ratio (Glass type estimate)
    0.94076
  • Sharpe ratio (Hedges UMVUE)
    0.93532
  • df
    130.00000
  • t
    0.66522
  • p
    0.47088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71323
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70946
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63637
  • Upside Potential Ratio
    5.14301
  • Upside part of mean
    0.66217
  • Downside part of mean
    -0.45148
  • Upside SD
    0.18266
  • Downside SD
    0.12875
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23067
  • Mean of criterion
    0.21068
  • SD of predictor
    0.14329
  • SD of criterion
    0.22395
  • Covariance
    -0.00001
  • r
    -0.00043
  • b (slope, estimate of beta)
    -0.00067
  • a (intercept, estimate of alpha)
    0.21084
  • Mean Square Error
    0.05054
  • DF error
    129.00000
  • t(b)
    -0.00487
  • p(b)
    0.50027
  • t(a)
    0.65986
  • p(a)
    0.46310
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.27294
  • Upperbound of 95% confidence interval for beta
    0.27160
  • Lowerbound of 95% confidence interval for alpha
    -0.42134
  • Upperbound of 95% confidence interval for alpha
    0.84302
  • Treynor index (mean / b)
    -314.41200
  • Jensen alpha (a)
    0.21084
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02171
  • Expected Shortfall on VaR
    0.02734
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00361
  • Expected Shortfall on VaR
    0.00857
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91960
  • Quartile 1
    0.99961
  • Median
    1.00015
  • Quartile 3
    1.00111
  • Maximum
    1.11018
  • Mean of quarter 1
    0.99356
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.00988
  • Inter Quartile Range
    0.00150
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.98701
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.02583
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78759
  • VaR(95%) (moments method)
    0.00386
  • Expected Shortfall (moments method)
    0.02226
  • Extreme Value Index (regression method)
    0.38194
  • VaR(95%) (regression method)
    0.00493
  • Expected Shortfall (regression method)
    0.01171
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00051
  • Median
    0.00138
  • Quartile 3
    0.00728
  • Maximum
    0.13225
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.00076
  • Mean of quarter 3
    0.00518
  • Mean of quarter 4
    0.05240
  • Inter Quartile Range
    0.00677
  • 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
    0.08333
  • Mean of outliers high
    0.13225
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75784
  • VaR(95%) (moments method)
    0.03576
  • Expected Shortfall (moments method)
    0.18148
  • Extreme Value Index (regression method)
    2.65006
  • VaR(95%) (regression method)
    0.14164
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -394232000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25341
  • Compounded annual return (geometric extrapolation)
    0.26946
  • Calmar ratio (compounded annual return / max draw down)
    2.03755
  • Compounded annual return / average of 25% largest draw downs
    5.14197
  • Compounded annual return / Expected Shortfall lognormal
    9.85545

Strategy Description

Strategy tailored for the FX market. This strategy capitalizes on currency pair trends, leveraging a combination of technical indicators and market analysis to identify high-probability entry and exit points. Utilizing Moving Averages, Fibonacci retracement levels, and support/resistance zones.

Key Features:
Strategy specializes in entering positions during overextended price moves riding established trends ensuring trades align with the prevailing market momentum for increased profitability.
Precision Entries: the strategy incorporates Fibonacci retracement levels and support/resistance zones to pinpoint precise entry points, maximizing the potential for profitable trades while minimizing risk.
Risk Control: strategy implements strict risk management protocols, using position sizing techniques to protect capital and optimize risk-reward ratios.
Time Frame Flexibility: strategy is adaptable across various time frames, from intraday to daily charts.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-08-23
Suggested Minimum Capital
$60,000
# Trades
519
# Profitable
269
% Profitable
51.8%
Correlation S&P500
-0.037
Sharpe Ratio
0.49
Sortino Ratio
0.75
Beta
-0.04
Alpha
0.03
Leverage
1.86 Average
53.49 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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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.