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

discontinued 6
(93048157)

Created by: Lefty Lefty
Started: 03/2015
Forex
Last trade: 3,108 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. You can subscribe to this system for free.

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.

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.

(49.7%)
Max Drawdown
147
Num Trades
51.0%
Win Trades
1.2 : 1
Profit Factor
4.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015              +8.5%(0.5%)(31.9%)+11.2%+4.8%+1.3%+33.9%  -    -    -  +16.3%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/11/15 15:48 USD/ZAR USD/ZAR LONG 56 13.57520 9/25 15:50 13.91220 24.61%
Trade id #97188579
Max drawdown($16,676)
Time9/17/15 14:48
Quant open56
Worst price13.16080
Drawdown as % of equity-24.61%
$13,562
9/11/15 15:48 USD/HUF USD/HUF LONG 56 276.46399 9/25 15:50 281.00500 18.55%
Trade id #97188585
Max drawdown($12,569)
Time9/18/15 5:24
Quant open56
Worst price270.16000
Drawdown as % of equity-18.55%
$9,054
9/11/15 15:46 EUR/JPY EUR/JPY SHORT 56 136.681 9/25 15:50 135.109 5.22%
Trade id #97188542
Max drawdown($3,539)
Time9/17/15 14:15
Quant open-56
Worst price137.443
Drawdown as % of equity-5.22%
$7,301
9/11/15 15:47 AUD/USD AUD/USD SHORT 56 0.70831 9/25 15:50 0.70277 16.26%
Trade id #97188567
Max drawdown($11,020)
Time9/18/15 7:55
Quant open-56
Worst price0.72799
Drawdown as % of equity-16.26%
$3,102
9/11/15 15:46 AUD/CAD AUD/CAD SHORT 56 0.93883 9/25 15:50 0.93611 8.16%
Trade id #97188552
Max drawdown($5,526)
Time9/17/15 14:48
Quant open-56
Worst price0.95197
Drawdown as % of equity-8.16%
$1,144
8/28/15 15:49 CAD/CHF CAD/CHF SHORT 110 0.72976 9/4 15:41 0.73390 18.25%
Trade id #96927786
Max drawdown($13,978)
Time9/3/15 11:02
Quant open-110
Worst price0.74212
Drawdown as % of equity-18.25%
($4,682)
8/21/15 15:44 GBP/CHF GBP/CHF LONG 10 1.49016 8/26 15:48 1.47449 3.54%
Trade id #96784348
Max drawdown($3,144)
Time8/24/15 9:38
Quant open10
Worst price1.46018
Drawdown as % of equity-3.54%
($1,644)
8/21/15 15:43 AUD/NZD AUD/NZD LONG 10 1.09570 8/26 15:48 1.10525 0.3%
Trade id #96784332
Max drawdown($262)
Time8/23/15 17:03
Quant open10
Worst price1.09161
Drawdown as % of equity-0.30%
$614
8/17/15 4:05 EUR/SEK EUR/SEK LONG 10 9.44667 8/21 15:24 9.51309 0.61%
Trade id #96666814
Max drawdown($544)
Time8/18/15 10:15
Quant open10
Worst price9.40112
Drawdown as % of equity-0.61%
$793
8/7/15 15:56 GBP/NZD GBP/NZD LONG 10 2.34147 8/17 4:04 2.39201 0.39%
Trade id #96517427
Max drawdown($320)
Time8/7/15 16:58
Quant open10
Worst price2.33657
Drawdown as % of equity-0.39%
$3,307
8/7/15 15:56 GBP/AUD GBP/AUD LONG 10 2.09179 8/17 4:04 2.12772 0.41%
Trade id #96517381
Max drawdown($334)
Time8/7/15 16:58
Quant open10
Worst price2.08724
Drawdown as % of equity-0.41%
$2,643
8/7/15 15:56 AUD/USD AUD/USD SHORT 10 0.74058 8/17 4:04 0.73596 0.39%
Trade id #96517334
Max drawdown($326)
Time8/10/15 20:49
Quant open-10
Worst price0.74384
Drawdown as % of equity-0.39%
$462
8/6/15 17:35 USD/CAD USD/CAD LONG 10 1.31126 8/7 15:44 1.31361 0.61%
Trade id #96490680
Max drawdown($497)
Time8/7/15 10:49
Quant open10
Worst price1.30473
Drawdown as % of equity-0.61%
$179
8/6/15 17:30 NZD/USD NZD/USD SHORT 10 0.65503 8/7 15:44 0.66246 1.04%
Trade id #96490614
Max drawdown($858)
Time8/7/15 14:55
Quant open-10
Worst price0.66361
Drawdown as % of equity-1.04%
($743)
8/6/15 17:31 NZD/JPY NZD/JPY SHORT 10 81.703 8/7 15:44 82.260 0.67%
Trade id #96490623
Max drawdown($550)
Time8/7/15 14:55
Quant open-10
Worst price82.387
Drawdown as % of equity-0.67%
($448)
8/6/15 17:33 GBP/NZD GBP/NZD LONG 10 2.36813 8/7 15:44 2.33846 2.69%
Trade id #96490641
Max drawdown($2,214)
Time8/7/15 14:54
Quant open10
Worst price2.33464
Drawdown as % of equity-2.69%
($1,962)
8/6/15 17:34 GBP/JPY GBP/JPY LONG 10 193.495 8/7 15:44 192.337 1.48%
Trade id #96490661
Max drawdown($1,228)
Time8/7/15 11:40
Quant open10
Worst price191.969
Drawdown as % of equity-1.48%
($932)
8/6/15 17:33 GBP/CAD GBP/CAD LONG 10 2.03424 8/7 15:44 2.03504 1.27%
Trade id #96490645
Max drawdown($1,034)
Time8/7/15 10:52
Quant open10
Worst price2.02066
Drawdown as % of equity-1.27%
$61
8/6/15 17:29 EUR/GBP EUR/GBP SHORT 10 0.70393 8/7 15:43 0.70811 1.03%
Trade id #96490595
Max drawdown($858)
Time8/7/15 12:12
Quant open-10
Worst price0.70947
Drawdown as % of equity-1.03%
($647)
8/6/15 17:29 CAD/CHF CAD/CHF SHORT 10 0.74770 8/7 15:43 0.74875 0.61%
Trade id #96490599
Max drawdown($498)
Time8/7/15 10:47
Quant open-10
Worst price0.75261
Drawdown as % of equity-0.61%
($107)
8/6/15 17:34 AUD/NZD AUD/NZD LONG 10 1.12141 8/7 15:43 1.11853 0.33%
Trade id #96490657
Max drawdown($275)
Time8/7/15 15:00
Quant open10
Worst price1.11724
Drawdown as % of equity-0.33%
($190)
7/31/15 15:53 USD/TRY USD/TRY SHORT 10 2.76855 8/6 17:28 2.78208 1.04%
Trade id #96203759
Max drawdown($870)
Time8/5/15 2:12
Quant open-10
Worst price2.79271
Drawdown as % of equity-1.04%
($487)
7/31/15 15:55 USD/MXN USD/MXN LONG 10 16.11370 8/6 17:28 16.30800 0.34%
Trade id #96203879
Max drawdown($287)
Time8/2/15 18:01
Quant open10
Worst price16.06680
Drawdown as % of equity-0.34%
$1,192
7/31/15 15:54 TRY/JPY TRY/JPY LONG 10 44.735 8/6 17:28 44.791 0.27%
Trade id #96203795
Max drawdown($230)
Time8/3/15 13:12
Quant open10
Worst price44.448
Drawdown as % of equity-0.27%
$45
7/31/15 15:54 NZD/CHF NZD/CHF SHORT 10 0.63727 8/6 17:28 0.64335 0.7%
Trade id #96203787
Max drawdown($620)
Time8/6/15 17:28
Quant open0
Worst price0.64335
Drawdown as % of equity-0.70%
($620)
7/31/15 15:54 GBP/USD GBP/USD SHORT 10 1.56191 8/6 17:28 1.55151 0.39%
Trade id #96203791
Max drawdown($314)
Time8/5/15 8:16
Quant open-10
Worst price1.56505
Drawdown as % of equity-0.39%
$1,040
7/31/15 15:53 GBP/JPY GBP/JPY SHORT 10 193.495 8/6 17:28 193.497 1.69%
Trade id #96203771
Max drawdown($1,400)
Time8/6/15 3:30
Quant open-10
Worst price195.241
Drawdown as % of equity-1.69%
($2)
7/31/15 15:53 GBP/CHF GBP/CHF SHORT 10 1.50857 8/6 17:27 1.52189 3.52%
Trade id #96203763
Max drawdown($2,873)
Time8/6/15 5:41
Quant open-10
Worst price1.53675
Drawdown as % of equity-3.52%
($1,358)
7/31/15 15:54 GBP/CAD GBP/CAD SHORT 10 2.04150 8/6 17:27 2.03411 2%
Trade id #96203783
Max drawdown($1,633)
Time8/5/15 7:36
Quant open-10
Worst price2.06291
Drawdown as % of equity-2.00%
$564
7/31/15 15:53 EUR/TRY EUR/TRY SHORT 10 3.04373 8/6 17:27 3.03975 0.42%
Trade id #96203767
Max drawdown($361)
Time8/3/15 10:34
Quant open-10
Worst price3.05376
Drawdown as % of equity-0.42%
$143

Statistics

  • Strategy began
    3/6/2015
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    3310.47
  • Age
    110 months ago
  • What it trades
    Forex
  • # Trades
    147
  • # Profitable
    75
  • % Profitable
    51.00%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    49.74%
  • drawdown period
    May 13, 2015 - Sept 18, 2015
  • Annual Return (Compounded)
    1.7%
  • Avg win
    $1,296
  • Avg loss
    $1,096
  • Model Account Values (Raw)
  • Cash
    $118,314
  • Margin Used
    $0
  • Buying Power
    $118,314
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.05
  • Sortino Ratio
    0.1
  • Calmar Ratio
    0.119
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -137.38%
  • Correlation to SP500
    -0.01990
  • Return Percent SP500 (cumu) during strategy life
    153.68%
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Slump
  • Current Slump as Pcnt Equity
    6.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.017%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.08%
  • Percent Trades Forex
    0.92%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.9%
  • 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)
    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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    6.67%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $1,096
  • Avg Win
    $1,297
  • Sum Trade PL (losers)
    $78,942.000
  • Age
  • Num Months filled monthly returns table
    109
  • Win / Loss
  • Sum Trade PL (winners)
    $97,251.000
  • # Winners
    75
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    72
  • % Winners
    51.0%
  • Frequency
  • Avg Position Time (mins)
    8321.85
  • Avg Position Time (hrs)
    138.70
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    3108
  • Regression
  • Alpha
    0.00
  • Beta
    -0.02
  • Treynor Index
    -0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    95.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    91.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.88
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    11.797
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.911
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.614
  • Hold-and-Hope Ratio
    0.085
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06799
  • SD
    0.30766
  • Sharpe ratio (Glass type estimate)
    0.22099
  • Sharpe ratio (Hedges UMVUE)
    0.21635
  • df
    36.00000
  • t
    0.38804
  • p
    0.35014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33365
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42418
  • Upside Potential Ratio
    1.34729
  • Upside part of mean
    0.21594
  • Downside part of mean
    -0.14796
  • Upside SD
    0.25844
  • Downside SD
    0.16028
  • N nonnegative terms
    4.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.27273
  • Mean of criterion
    0.06799
  • SD of predictor
    0.24687
  • SD of criterion
    0.30766
  • Covariance
    0.00256
  • r
    0.03365
  • b (slope, estimate of beta)
    0.04194
  • a (intercept, estimate of alpha)
    0.05655
  • Mean Square Error
    0.09725
  • DF error
    35.00000
  • t(b)
    0.19919
  • p(b)
    0.42163
  • t(a)
    0.30299
  • p(a)
    0.38185
  • Lowerbound of 95% confidence interval for beta
    -0.38547
  • Upperbound of 95% confidence interval for beta
    0.46934
  • Lowerbound of 95% confidence interval for alpha
    -0.32236
  • Upperbound of 95% confidence interval for alpha
    0.43546
  • Treynor index (mean / b)
    1.62125
  • Jensen alpha (a)
    0.05655
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02573
  • SD
    0.28980
  • Sharpe ratio (Glass type estimate)
    0.08879
  • Sharpe ratio (Hedges UMVUE)
    0.08693
  • df
    36.00000
  • t
    0.15591
  • p
    0.43849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20457
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20330
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13961
  • Upside Potential Ratio
    1.02428
  • Upside part of mean
    0.18879
  • Downside part of mean
    -0.16306
  • Upside SD
    0.21863
  • Downside SD
    0.18431
  • N nonnegative terms
    4.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.24220
  • Mean of criterion
    0.02573
  • SD of predictor
    0.23229
  • SD of criterion
    0.28980
  • Covariance
    0.00340
  • r
    0.05049
  • b (slope, estimate of beta)
    0.06299
  • a (intercept, estimate of alpha)
    0.01048
  • Mean Square Error
    0.08616
  • DF error
    35.00000
  • t(b)
    0.29906
  • p(b)
    0.38333
  • t(a)
    0.05994
  • p(a)
    0.47627
  • Lowerbound of 95% confidence interval for beta
    -0.36458
  • Upperbound of 95% confidence interval for beta
    0.49055
  • Lowerbound of 95% confidence interval for alpha
    -0.34434
  • Upperbound of 95% confidence interval for alpha
    0.36529
  • Treynor index (mean / b)
    0.40853
  • Jensen alpha (a)
    0.01048
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12668
  • Expected Shortfall on VaR
    0.15629
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03999
  • Expected Shortfall on VaR
    0.08664
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.73381
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.42744
  • Mean of quarter 1
    0.96206
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.07502
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.08108
  • Mean of outliers low
    0.87354
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13514
  • Mean of outliers high
    1.13503
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.74494
  • VaR(95%) (regression method)
    0.03215
  • Expected Shortfall (regression method)
    0.25273
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.30876
  • Quartile 1
    0.30876
  • Median
    0.30876
  • Quartile 3
    0.30876
  • Maximum
    0.30876
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05833
  • Compounded annual return (geometric extrapolation)
    0.05510
  • Calmar ratio (compounded annual return / max draw down)
    0.17846
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.35258
  • 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
    0.06801
  • SD
    0.30744
  • Sharpe ratio (Glass type estimate)
    0.22121
  • Sharpe ratio (Hedges UMVUE)
    0.22101
  • df
    818.00000
  • t
    0.39111
  • p
    0.34791
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88743
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32978
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32962
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44895
  • Upside Potential Ratio
    3.31278
  • Upside part of mean
    0.50185
  • Downside part of mean
    -0.43384
  • Upside SD
    0.26735
  • Downside SD
    0.15149
  • N nonnegative terms
    66.00000
  • N negative terms
    753.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    819.00000
  • Mean of predictor
    0.30771
  • Mean of criterion
    0.06801
  • SD of predictor
    0.28066
  • SD of criterion
    0.30744
  • Covariance
    -0.00146
  • r
    -0.01692
  • b (slope, estimate of beta)
    -0.01853
  • a (intercept, estimate of alpha)
    0.07400
  • Mean Square Error
    0.09461
  • DF error
    817.00000
  • t(b)
    -0.48366
  • p(b)
    0.68562
  • t(a)
    0.42274
  • p(a)
    0.33630
  • Lowerbound of 95% confidence interval for beta
    -0.09375
  • Upperbound of 95% confidence interval for beta
    0.05668
  • Lowerbound of 95% confidence interval for alpha
    -0.26855
  • Upperbound of 95% confidence interval for alpha
    0.41598
  • Treynor index (mean / b)
    -3.66962
  • Jensen alpha (a)
    0.07371
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02500
  • SD
    0.28733
  • Sharpe ratio (Glass type estimate)
    0.08701
  • Sharpe ratio (Hedges UMVUE)
    0.08693
  • df
    818.00000
  • t
    0.15383
  • p
    0.43889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19557
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02163
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19549
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.15694
  • Upside Potential Ratio
    2.95719
  • Upside part of mean
    0.47106
  • Downside part of mean
    -0.44606
  • Upside SD
    0.23892
  • Downside SD
    0.15929
  • N nonnegative terms
    66.00000
  • N negative terms
    753.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    819.00000
  • Mean of predictor
    0.26808
  • Mean of criterion
    0.02500
  • SD of predictor
    0.28139
  • SD of criterion
    0.28733
  • Covariance
    -0.00132
  • r
    -0.01627
  • b (slope, estimate of beta)
    -0.01661
  • a (intercept, estimate of alpha)
    0.02945
  • Mean Square Error
    0.08264
  • DF error
    817.00000
  • t(b)
    -0.46511
  • p(b)
    0.67901
  • t(a)
    0.18084
  • p(a)
    0.42827
  • Lowerbound of 95% confidence interval for beta
    -0.08673
  • Upperbound of 95% confidence interval for beta
    0.05350
  • Lowerbound of 95% confidence interval for alpha
    -0.29024
  • Upperbound of 95% confidence interval for alpha
    0.34915
  • Treynor index (mean / b)
    -1.50480
  • Jensen alpha (a)
    0.02945
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02868
  • Expected Shortfall on VaR
    0.03584
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00546
  • Expected Shortfall on VaR
    0.01223
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    819.00000
  • Minimum
    0.84209
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.29804
  • Mean of quarter 1
    0.99378
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00769
  • Inter Quartile Range
    0.00000
  • Number outliers low
    61.00000
  • Percentage of outliers low
    0.07448
  • Mean of outliers low
    0.97908
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.08181
  • Mean of outliers high
    1.02352
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14536
  • VaR(95%) (moments method)
    0.00146
  • Expected Shortfall (moments method)
    0.00423
  • Extreme Value Index (regression method)
    0.46153
  • VaR(95%) (regression method)
    0.00335
  • Expected Shortfall (regression method)
    0.02050
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00629
  • Median
    0.01393
  • Quartile 3
    0.03392
  • Maximum
    0.45541
  • Mean of quarter 1
    0.00295
  • Mean of quarter 2
    0.00830
  • Mean of quarter 3
    0.01957
  • Mean of quarter 4
    0.24706
  • Inter Quartile Range
    0.02763
  • 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
    0.16667
  • Mean of outliers high
    0.45541
  • 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)
    0.05753
  • Compounded annual return (geometric extrapolation)
    0.05433
  • Calmar ratio (compounded annual return / max draw down)
    0.11930
  • Compounded annual return / average of 25% largest draw downs
    0.21991
  • Compounded annual return / Expected Shortfall lognormal
    1.51593
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78551
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42156
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69580
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42329
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6831210000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -1147080000000000068104208712204288.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • 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?
    -440768000
  • Max Equity Drawdown (num days)
    128
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

With the Top Tier FX strategy, each trade is positioned with (unit) size correlated to it's volatility. Catastrophic stop losses to manage risk are sized to represent evenly distributed weight to each pair, so on average the positions are returning close to the same amount of gain, even when pairs have different volatility. Stop losses are always entered with opening trade and never changed or adjusted.
"Top Tier" differs from "Medial Risk" in that all open trades are thought of as one position, having the risk managed with a low stop loss on the entire account.
"Top Tier" is thought of as having less aggressive risk management then "Medial Risk". Both use the same parameters for trade entrance and size, but manage the risk slightly differently.

Summary Statistics

Strategy began
2015-03-06
Suggested Minimum Capital
$15,000
# Trades
147
# Profitable
75
% Profitable
51.0%
Correlation S&P500
-0.020
Sharpe Ratio
0.05
Sortino Ratio
0.10
Beta
-0.02
Alpha
0.00

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.