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These are hypothetical performance results that have certain inherent limitations. Learn more
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123abc
(87908820)

Created by: lupita lupita
Started: 06/2014
Forex
Last trade: 3,425 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 $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-5.1%
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.

(49.0%)
Max Drawdown
47
Num Trades
63.8%
Win Trades
0.3 : 1
Profit Factor
41.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                     -  (0.5%)(1.4%)(7.9%)(6%)(4.3%)(3.2%)(21.3%)
2015(4.6%)(0.8%)(5.4%)+5.1%+1.7%+6.7%(1.9%)+0.6%(1.6%)(1.8%)(2.3%)(4%)(8.6%)
2016(0.5%)(0.6%)+4.7%+4.7%(1.9%)(9.8%)(0.5%)(1.4%)(1.2%)(7.3%)(2.5%)(2.9%)(18.5%)
2017+3.8%(1%)+4.3%+2.4%(0.1%)+0.9%+2.7%+4.5%+0.7%+0.2%+3.3%(0.8%)+22.7%
2018+6.0%(3.3%)+2.0%(2%)(4.3%)(1.8%)+0.9%  -  +0.5%(3.5%)(3.1%)+0.2%(8.6%)
2019+4.0%(0.2%)(1.4%)(0.7%)+2.6%(1.8%)  -  (0.4%)(0.5%)+4.5%(0.8%)(1.7%)+3.3%
2020+2.6%(1.8%)(3.4%)+1.1%(0.4%)(0.5%)+7.1%+2.9%(3.8%)+1.2%+1.4%+3.2%+9.6%
2021(0.6%)+0.6%(1.2%)+1.9%+2.3%(2.7%)+0.6%(2.8%)(2%)(0.9%)(1.9%)+0.2%(6.5%)
2022+1.6%+0.9%(7.2%)(5.6%)+1.7%(4.5%)(1.2%)(4.3%)(10.8%)+5.7%+7.1%+0.3%(16.4%)
2023+4.6%(1.9%)+3.0%+1.8%(2.3%)+2.6%+2.5%(3.5%)(3%)(2.4%)+3.8%+1.4%+6.3%
2024  -  (1.5%)+0.3%(2.6%)                                                (3.7%)

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
7/18/14 15:48 NZD/USD NZD/USD LONG 6 0.84126 11/30 17:00 0.78156 3.81%
Trade id #88655994
Max drawdown($4,519)
Time11/6/14 23:35
Quant open6
Worst price0.76593
Drawdown as % of equity-3.81%
 ($3,582)
10/24/14 15:48 GLD1519R119 GLD Jun19'15 119 put LONG 10 6.40 11/26 10:01 7.80 n/a $1,386
Includes Typical Broker Commissions trade costs of $14.00
11/21/14 15:59 GLD1519R116 GLD Jun19'15 116 put LONG 10 6.35 11/26 10:00 6.10 0.21%
Trade id #90941596
Max drawdown($250)
Time11/26/14 10:00
Quant open0
Worst price6.10
Drawdown as % of equity-0.21%
 ($264)
Includes Typical Broker Commissions trade costs of $14.00
10/10/14 15:47 SLV1517D16.5 SLV Apr17'15 16.5 call LONG 102 1.31 11/21 15:57 0.75 7.19%
Trade id #90193900
Max drawdown($8,517)
Time11/10/14 15:35
Quant open102
Worst price0.48
Drawdown as % of equity-7.19%
 ($5,906)
Includes Typical Broker Commissions trade costs of $142.80
11/14/14 15:50 SLV1517D15.5 SLV Apr17'15 15.5 call LONG 51 1.27 11/21 15:56 1.22 0.78%
Trade id #90814675
Max drawdown($918)
Time11/20/14 10:56
Quant open51
Worst price1.09
Drawdown as % of equity-0.78%
 ($326)
Includes Typical Broker Commissions trade costs of $71.40
10/3/14 15:57 GLD1519F114 GLD Jun19'15 114 call LONG 10 6.80 10/24 15:37 8.25 n/a $1,436
Includes Typical Broker Commissions trade costs of $14.00
9/19/14 15:58 GBP/JPY GBP/JPY SHORT 2 177.607 9/26 15:57 177.557 0.16%
Trade id #89787987
Max drawdown($204)
Time9/23/14 15:00
Quant open-2
Worst price178.723
Drawdown as % of equity-0.16%
 $9
9/19/14 15:57 EUR/JPY EUR/JPY SHORT 2 139.866 9/26 15:57 138.631 0.05%
Trade id #89787962
Max drawdown($62)
Time9/23/14 9:52
Quant open-2
Worst price140.207
Drawdown as % of equity-0.05%
 $226
8/1/14 15:50 AUD/USD AUD/USD LONG 1 0.93107 8/29 15:08 0.93322 0.06%
Trade id #88888470
Max drawdown($76)
Time8/20/14 21:46
Quant open1
Worst price0.92346
Drawdown as % of equity-0.06%
 $22
7/13/14 17:49 GBP/JPY GBP/JPY LONG 5 172.274 8/29 15:07 172.399 0.58%
Trade id #88546923
Max drawdown($807)
Time8/15/14 11:58
Quant open3
Worst price170.413
Drawdown as % of equity-0.58%
 $60
7/18/14 15:50 USD/CHF USD/CHF SHORT 2 0.90133 8/15 15:50 0.90294 0.16%
Trade id #88656068
Max drawdown($222)
Time8/6/14 6:31
Quant open-2
Worst price0.91138
Drawdown as % of equity-0.16%
 ($36)
8/3/14 21:33 EUR/AUD EUR/AUD SHORT 1 1.43961 8/13 16:43 1.43641 0.05%
Trade id #88893945
Max drawdown($75)
Time8/8/14 2:47
Quant open-1
Worst price1.44771
Drawdown as % of equity-0.05%
 $30
8/1/14 15:53 EUR/GBP EUR/GBP SHORT 1 0.79778 8/11 15:23 0.79734 0.02%
Trade id #88888516
Max drawdown($31)
Time8/8/14 12:59
Quant open-1
Worst price0.79963
Drawdown as % of equity-0.02%
 $7
8/3/14 21:31 EUR/JPY EUR/JPY SHORT 1 137.712 8/8 15:58 136.916 0.01%
Trade id #88893926
Max drawdown($18)
Time8/4/14 2:34
Quant open-1
Worst price137.900
Drawdown as % of equity-0.01%
 $78
7/27/14 17:50 EUR/CHF EUR/CHF SHORT 2 1.21555 8/8 15:45 1.21437 0.02%
Trade id #88774431
Max drawdown($30)
Time7/30/14 14:02
Quant open-1
Worst price1.21767
Drawdown as % of equity-0.02%
 $26
7/18/14 15:41 EUR/AUD EUR/AUD LONG 1 1.43983 8/3 21:32 1.43912 0.13%
Trade id #88655861
Max drawdown($186)
Time7/23/14 21:46
Quant open1
Worst price1.41982
Drawdown as % of equity-0.13%
 ($7)
7/13/14 17:48 EUR/JPY EUR/JPY LONG 2 137.506 8/3 21:31 137.714 0.16%
Trade id #88546911
Max drawdown($224)
Time7/24/14 3:16
Quant open2
Worst price136.356
Drawdown as % of equity-0.16%
 $41
7/18/14 15:46 GBP/CHF GBP/CHF SHORT 1 1.53473 8/1 15:55 1.52426 0.07%
Trade id #88655973
Max drawdown($93)
Time7/23/14 4:08
Quant open-1
Worst price1.54321
Drawdown as % of equity-0.07%
 $116
7/18/14 15:42 EUR/GBP EUR/GBP LONG 2 0.79146 8/1 15:52 0.79780 0.05%
Trade id #88655867
Max drawdown($72)
Time7/23/14 4:06
Quant open1
Worst price0.78729
Drawdown as % of equity-0.05%
 $213
7/13/14 17:48 EUR/CHF EUR/CHF LONG 1 1.21410 7/27 17:50 1.21488 0%
Trade id #88546902
Max drawdown($6)
Time7/17/14 17:00
Quant open1
Worst price1.21347
Drawdown as % of equity-0.00%
 $9
7/13/14 17:51 USD/JPY USD/JPY LONG 1 101.362 7/25 15:53 101.816 0.02%
Trade id #88546936
Max drawdown($28)
Time7/17/14 18:30
Quant open1
Worst price101.076
Drawdown as % of equity-0.02%
 $45
7/13/14 17:48 AUD/JPY AUD/JPY LONG 1 95.130 7/25 15:47 95.656 0.05%
Trade id #88546897
Max drawdown($73)
Time7/17/14 18:30
Quant open1
Worst price94.377
Drawdown as % of equity-0.05%
 $52
7/13/14 17:51 NZD/USD NZD/USD SHORT 1 0.88120 7/18 15:48 0.86898 0.01%
Trade id #88546947
Max drawdown($9)
Time7/13/14 21:43
Quant open-1
Worst price0.88218
Drawdown as % of equity-0.01%
 $122
7/13/14 17:49 EUR/USD EUR/USD SHORT 1 1.36057 7/18 15:45 1.35262 0.02%
Trade id #88546919
Max drawdown($33)
Time7/14/14 3:47
Quant open-1
Worst price1.36392
Drawdown as % of equity-0.02%
 $80
7/13/14 17:47: Rescaled downward to 13.9978% of previous Model Account size
7/4/14 15:53 USD/JPY USD/JPY SHORT 0.140000001 102.055 7/13 17:45 101.362 0%
Trade id #88440769
Max drawdown($1)
Time7/6/14 20:49
Quant open0
Worst price102.191
Drawdown as % of equity-0.00%
 $10
6/20/14 15:53 USD/CHF USD/CHF LONG 0.280000001 0.89329 7/13 17:45 0.89202 0.02%
Trade id #88215907
Max drawdown($24)
Time7/1/14 10:03
Quant open0
Worst price0.88550
Drawdown as % of equity-0.02%
 ($4)
6/20/14 15:52 USD/CAD USD/CAD LONG 0.419999987 1.06935 7/13 17:45 1.07310 0.02%
Trade id #88215882
Max drawdown($23)
Time7/3/14 12:39
Quant open0
Worst price1.06195
Drawdown as % of equity-0.02%
 $15
6/20/14 15:52 NZD/USD NZD/USD SHORT 0.280000001 0.87365 7/13 17:45 0.88181 0.02%
Trade id #88215859
Max drawdown($27)
Time7/9/14 21:31
Quant open0
Worst price0.88351
Drawdown as % of equity-0.02%
 ($23)
6/20/14 15:51 GBP/USD GBP/USD SHORT 0.280000001 1.70845 7/13 17:44 1.71261 0.02%
Trade id #88215836
Max drawdown($23)
Time7/4/14 1:40
Quant open0
Worst price1.71786
Drawdown as % of equity-0.02%
 ($12)
6/20/14 15:50 GBP/JPY GBP/JPY SHORT 0.280000001 174.387 7/13 17:44 173.569 0.02%
Trade id #88215825
Max drawdown($22)
Time7/3/14 9:34
Quant open0
Worst price175.352
Drawdown as % of equity-0.02%
 $23
Next

Statistics

  • Strategy began
    6/3/2014
  • Suggested Minimum Cap
    $139,978
  • Strategy Age (days)
    3601.77
  • Age
    120 months ago
  • What it trades
    Forex
  • # Trades
    47
  • # Profitable
    30
  • % Profitable
    63.80%
  • Avg trade duration
    465.5 days
  • Max peak-to-valley drawdown
    48.98%
  • drawdown period
    July 16, 2014 - Sept 28, 2022
  • Annual Return (Compounded)
    -5.1%
  • Avg win
    $763.53
  • Avg loss
    $4,612
  • Model Account Values (Raw)
  • Cash
    $134,091
  • Margin Used
    $8,757
  • Buying Power
    $77,360
  • Ratios
  • W:L ratio
    0.29:1
  • Sharpe Ratio
    -0.45
  • Sortino Ratio
    -0.59
  • Calmar Ratio
    -0.364
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -206.78%
  • Correlation to SP500
    0.28250
  • Return Percent SP500 (cumu) during strategy life
    161.00%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.1%
  • Slump
  • Current Slump as Pcnt Equity
    68.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.051%
  • Instruments
  • Percent Trades Options
    0.09%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.91%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -5.0%
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,613
  • Avg Win
    $764
  • Sum Trade PL (losers)
    $78,415.000
  • Age
  • Num Months filled monthly returns table
    119
  • Win / Loss
  • Sum Trade PL (winners)
    $22,906.000
  • # Winners
    30
  • Num Months Winners
    50
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    17
  • % Winners
    63.8%
  • Frequency
  • Avg Position Time (mins)
    670327.00
  • Avg Position Time (hrs)
    11172.10
  • Avg Trade Length
    465.5 days
  • Last Trade Ago
    3420
  • Regression
  • Alpha
    -0.02
  • Beta
    0.20
  • Treynor Index
    -0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    70.20
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    74.29
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.28
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -1.849
  • 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
    0.16
  • Avg(MAE) / Avg(PL) - Winning trades
    0.149
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.357
  • Hold-and-Hope Ratio
    -0.740
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21433
  • SD
    0.23800
  • Sharpe ratio (Glass type estimate)
    -0.90057
  • Sharpe ratio (Hedges UMVUE)
    -0.87619
  • df
    28.00000
  • t
    -1.39999
  • p
    0.91375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17533
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.38962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15769
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40530
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.05640
  • Upside Potential Ratio
    1.16528
  • Upside part of mean
    0.23643
  • Downside part of mean
    -0.45076
  • Upside SD
    0.13173
  • Downside SD
    0.20289
  • N nonnegative terms
    11.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.34848
  • Mean of criterion
    -0.21433
  • SD of predictor
    0.25556
  • SD of criterion
    0.23800
  • Covariance
    0.02724
  • r
    0.44791
  • b (slope, estimate of beta)
    0.41712
  • a (intercept, estimate of alpha)
    -0.35969
  • Mean Square Error
    0.04696
  • DF error
    27.00000
  • t(b)
    2.60311
  • p(b)
    0.00741
  • t(a)
    -2.39536
  • p(a)
    0.98810
  • Lowerbound of 95% confidence interval for beta
    0.08834
  • Upperbound of 95% confidence interval for beta
    0.74591
  • Lowerbound of 95% confidence interval for alpha
    -0.66780
  • Upperbound of 95% confidence interval for alpha
    -0.05159
  • Treynor index (mean / b)
    -0.51384
  • Jensen alpha (a)
    -0.35969
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24416
  • SD
    0.24299
  • Sharpe ratio (Glass type estimate)
    -1.00482
  • Sharpe ratio (Hedges UMVUE)
    -0.97762
  • df
    28.00000
  • t
    -1.56205
  • p
    0.93524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.29142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30890
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.13810
  • Upside Potential Ratio
    1.06132
  • Upside part of mean
    0.22769
  • Downside part of mean
    -0.47185
  • Upside SD
    0.12630
  • Downside SD
    0.21453
  • N nonnegative terms
    11.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.31184
  • Mean of criterion
    -0.24416
  • SD of predictor
    0.25580
  • SD of criterion
    0.24299
  • Covariance
    0.02842
  • r
    0.45726
  • b (slope, estimate of beta)
    0.43436
  • a (intercept, estimate of alpha)
    -0.37961
  • Mean Square Error
    0.04843
  • DF error
    27.00000
  • t(b)
    2.67162
  • p(b)
    0.00632
  • t(a)
    -2.52459
  • p(a)
    0.99112
  • Lowerbound of 95% confidence interval for beta
    0.10077
  • Upperbound of 95% confidence interval for beta
    0.76796
  • Lowerbound of 95% confidence interval for alpha
    -0.68814
  • Upperbound of 95% confidence interval for alpha
    -0.07109
  • Treynor index (mean / b)
    -0.56211
  • Jensen alpha (a)
    -0.37961
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12692
  • Expected Shortfall on VaR
    0.15185
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09773
  • Expected Shortfall on VaR
    0.15263
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.86042
  • Quartile 1
    0.94061
  • Median
    0.97741
  • Quartile 3
    1.02170
  • Maximum
    1.10490
  • Mean of quarter 1
    0.90097
  • Mean of quarter 2
    0.96619
  • Mean of quarter 3
    1.00602
  • Mean of quarter 4
    1.07663
  • Inter Quartile Range
    0.08110
  • 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)
    -1.02933
  • VaR(95%) (moments method)
    0.10944
  • Expected Shortfall (moments method)
    0.11569
  • Extreme Value Index (regression method)
    -0.97574
  • VaR(95%) (regression method)
    0.09911
  • Expected Shortfall (regression method)
    0.10387
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.40874
  • Quartile 1
    0.40874
  • Median
    0.40874
  • Quartile 3
    0.40874
  • Maximum
    0.40874
  • 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)
    -0.16843
  • Compounded annual return (geometric extrapolation)
    -0.19447
  • Calmar ratio (compounded annual return / max draw down)
    -0.47578
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.28064
  • 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
    -0.19644
  • SD
    0.21947
  • Sharpe ratio (Glass type estimate)
    -0.89506
  • Sharpe ratio (Hedges UMVUE)
    -0.89403
  • df
    648.00000
  • t
    -1.40872
  • p
    0.92030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.14098
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.35154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.14028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35223
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.19913
  • Upside Potential Ratio
    6.87068
  • Upside part of mean
    1.12556
  • Downside part of mean
    -1.32200
  • Upside SD
    0.14630
  • Downside SD
    0.16382
  • N nonnegative terms
    277.00000
  • N negative terms
    372.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    649.00000
  • Mean of predictor
    0.42125
  • Mean of criterion
    -0.19644
  • SD of predictor
    0.31756
  • SD of criterion
    0.21947
  • Covariance
    0.01477
  • r
    0.21190
  • b (slope, estimate of beta)
    0.14644
  • a (intercept, estimate of alpha)
    -0.25800
  • Mean Square Error
    0.04608
  • DF error
    647.00000
  • t(b)
    5.51506
  • p(b)
    0.00000
  • t(a)
    -1.88633
  • p(a)
    0.97015
  • Lowerbound of 95% confidence interval for beta
    0.09430
  • Upperbound of 95% confidence interval for beta
    0.19859
  • Lowerbound of 95% confidence interval for alpha
    -0.52685
  • Upperbound of 95% confidence interval for alpha
    0.01058
  • Treynor index (mean / b)
    -1.34140
  • Jensen alpha (a)
    -0.25813
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22068
  • SD
    0.22036
  • Sharpe ratio (Glass type estimate)
    -1.00146
  • Sharpe ratio (Hedges UMVUE)
    -1.00030
  • df
    648.00000
  • t
    -1.57619
  • p
    0.94226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.24538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24619
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32303
  • Upside Potential Ratio
    6.68432
  • Upside part of mean
    1.11493
  • Downside part of mean
    -1.33560
  • Upside SD
    0.14438
  • Downside SD
    0.16680
  • N nonnegative terms
    277.00000
  • N negative terms
    372.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    649.00000
  • Mean of predictor
    0.36930
  • Mean of criterion
    -0.22068
  • SD of predictor
    0.32378
  • SD of criterion
    0.22036
  • Covariance
    0.01569
  • r
    0.21995
  • b (slope, estimate of beta)
    0.14969
  • a (intercept, estimate of alpha)
    -0.27596
  • Mean Square Error
    0.04628
  • DF error
    647.00000
  • t(b)
    5.73522
  • p(b)
    0.00000
  • t(a)
    -2.01395
  • p(a)
    0.97779
  • Lowerbound of 95% confidence interval for beta
    0.09844
  • Upperbound of 95% confidence interval for beta
    0.20094
  • Lowerbound of 95% confidence interval for alpha
    -0.54502
  • Upperbound of 95% confidence interval for alpha
    -0.00689
  • Treynor index (mean / b)
    -1.47422
  • Jensen alpha (a)
    -0.27596
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02297
  • Expected Shortfall on VaR
    0.02850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01266
  • Expected Shortfall on VaR
    0.02407
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    649.00000
  • Minimum
    0.91416
  • Quartile 1
    0.99305
  • Median
    0.99965
  • Quartile 3
    1.00584
  • Maximum
    1.05344
  • Mean of quarter 1
    0.98331
  • Mean of quarter 2
    0.99683
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.01550
  • Inter Quartile Range
    0.01278
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.02773
  • Mean of outliers low
    0.96111
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.03082
  • Mean of outliers high
    1.03427
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04568
  • VaR(95%) (moments method)
    0.01544
  • Expected Shortfall (moments method)
    0.02031
  • Extreme Value Index (regression method)
    0.09824
  • VaR(95%) (regression method)
    0.01421
  • Expected Shortfall (regression method)
    0.01961
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00012
  • Median
    0.00037
  • Quartile 3
    0.12072
  • Maximum
    0.48109
  • Mean of quarter 1
    0.00006
  • Mean of quarter 2
    0.00015
  • Mean of quarter 3
    0.00059
  • Mean of quarter 4
    0.48109
  • Inter Quartile Range
    0.12059
  • 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
    0.48109
  • 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)
    -0.15327
  • Compounded annual return (geometric extrapolation)
    -0.17533
  • Calmar ratio (compounded annual return / max draw down)
    -0.36444
  • Compounded annual return / average of 25% largest draw downs
    -0.36444
  • Compounded annual return / Expected Shortfall lognormal
    -6.15265
  • 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
    -0.27840
  • SD
    0.28780
  • Sharpe ratio (Glass type estimate)
    -0.96733
  • Sharpe ratio (Hedges UMVUE)
    -0.96174
  • df
    130.00000
  • t
    -0.68400
  • p
    0.52994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.73982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80878
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81253
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.29873
  • Upside Potential Ratio
    7.20262
  • Upside part of mean
    1.54397
  • Downside part of mean
    -1.82237
  • Upside SD
    0.19116
  • Downside SD
    0.21436
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88778
  • Mean of criterion
    -0.27840
  • SD of predictor
    0.43691
  • SD of criterion
    0.28780
  • Covariance
    0.04571
  • r
    0.36351
  • b (slope, estimate of beta)
    0.23945
  • a (intercept, estimate of alpha)
    -0.49098
  • Mean Square Error
    0.07244
  • DF error
    129.00000
  • t(b)
    4.43186
  • p(b)
    0.27379
  • t(a)
    -1.27977
  • p(a)
    0.57113
  • Lowerbound of 95% confidence interval for beta
    0.13255
  • Upperbound of 95% confidence interval for beta
    0.34635
  • Lowerbound of 95% confidence interval for alpha
    -1.25003
  • Upperbound of 95% confidence interval for alpha
    0.26807
  • Treynor index (mean / b)
    -1.16265
  • Jensen alpha (a)
    -0.49098
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31986
  • SD
    0.28896
  • Sharpe ratio (Glass type estimate)
    -1.10694
  • Sharpe ratio (Hedges UMVUE)
    -1.10054
  • df
    130.00000
  • t
    -0.78272
  • p
    0.53424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.87996
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67019
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.87557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67449
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.46178
  • Upside Potential Ratio
    6.97371
  • Upside part of mean
    1.52593
  • Downside part of mean
    -1.84578
  • Upside SD
    0.18807
  • Downside SD
    0.21881
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79005
  • Mean of criterion
    -0.31986
  • SD of predictor
    0.44271
  • SD of criterion
    0.28896
  • Covariance
    0.04759
  • r
    0.37200
  • b (slope, estimate of beta)
    0.24281
  • a (intercept, estimate of alpha)
    -0.51168
  • Mean Square Error
    0.07250
  • DF error
    129.00000
  • t(b)
    4.55183
  • p(b)
    0.26876
  • t(a)
    -1.33561
  • p(a)
    0.57418
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.13727
  • Upperbound of 95% confidence interval for beta
    0.34835
  • Lowerbound of 95% confidence interval for alpha
    -1.26967
  • Upperbound of 95% confidence interval for alpha
    0.24630
  • Treynor index (mean / b)
    -1.31732
  • Jensen alpha (a)
    -0.51168
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03012
  • Expected Shortfall on VaR
    0.03731
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01679
  • Expected Shortfall on VaR
    0.03127
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92514
  • Quartile 1
    0.98948
  • Median
    1.00000
  • Quartile 3
    1.00718
  • Maximum
    1.05344
  • Mean of quarter 1
    0.97801
  • Mean of quarter 2
    0.99459
  • Mean of quarter 3
    1.00349
  • Mean of quarter 4
    1.02021
  • Inter Quartile Range
    0.01770
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94315
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04541
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04637
  • VaR(95%) (moments method)
    0.02176
  • Expected Shortfall (moments method)
    0.02931
  • Extreme Value Index (regression method)
    0.42725
  • VaR(95%) (regression method)
    0.01889
  • Expected Shortfall (regression method)
    0.03109
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01933
  • Quartile 1
    0.01985
  • Median
    0.02069
  • Quartile 3
    0.02355
  • Maximum
    0.31396
  • Mean of quarter 1
    0.01954
  • Mean of quarter 2
    0.02017
  • Mean of quarter 3
    0.02121
  • Mean of quarter 4
    0.16915
  • Inter Quartile Range
    0.00370
  • 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
    0.31396
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -347771000
  • Max Equity Drawdown (num days)
    2996
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.27164
  • Compounded annual return (geometric extrapolation)
    -0.25319
  • Calmar ratio (compounded annual return / max draw down)
    -0.80644
  • Compounded annual return / average of 25% largest draw downs
    -1.49688
  • Compounded annual return / Expected Shortfall lognormal
    -6.78654

Strategy Description

This strategy is based on over thirteen years of trading. The understanding of news, competitive spreads, latest technology along with many other contributing factors, we developed a system called FXequanimity, where we are constantly analyzing trades, creating the highest performance possible. Constantly rebalancing, monitoring, and reporting to customize the FXequanimity strategy development. This strategy allows forex traders to enhance their trading efficiency though our design.
The major key to our success is education on the global markets and our experience. FXequanimity is consistently bringing in impressive returns with an exceedingly high average. Full understanding of the impact of foreign exchange and other economic factors that drive the economy, with focus on technical and seasonal analysis of various markets with specific methods that help make the best choices possible given the current assets.
Ultimately, I want investors to gain confidence in the level and reliability of the overall returns by achieving long-term, sustainable results. FXequanimity has proven to be the most reliable method in keeping a positive position to lead traders to profit by the expanding global currency market

Like any other market when trading currency it is very important to remember past performance is not indicative of future results. However, expertise and success is and our record of accomplishments is outstanding. We are always seeking new challenges to overcome, highly driven by success. Join us your capabilities are unlimited with the Fxequanimity strategy. We reduce broker and investors risk through efficient management. With an amazing team and development so that all matters are evaluated and risk is determined by draw down before trades are executed.
We prove how we can mutually benefit from our strategy. Let us get you highest amount of returns with the least amount of volatility.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-06-03
Suggested Minimum Capital
$50,000
# Trades
47
# Profitable
30
% Profitable
63.8%
Correlation S&P500
0.282
Sharpe Ratio
-0.45
Sortino Ratio
-0.59
Beta
0.20
Alpha
-0.02

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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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.