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These are hypothetical performance results that have certain inherent limitations. Learn more
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Forex Closed
(90114753)

Created by: ForexClosed ForexClosed
Started: 10/2014
Forex
Last trade: 3,306 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 $329.00 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.

-0.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
262
Num Trades
53.4%
Win Trades
1.0 : 1
Profit Factor
47.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                               +65.1%(17.1%)+25.2%+71.4%
2015+48.0%(51.2%)+49.1%(131.8%)(114.2%)(73%)(1%)(64.2%)(94.8%)(2119.8%)(151.9%)+112.1%(42.2%)
2016+205.7%+92.9%(13.8%)+9.3%(4.6%)+127.7%+1.8%(6.7%)+18.5%+8.1%(27.1%)+2.1%+992.9%
2017(4%)+12.5%(0.8%)(14.8%)(1%)(14.4%)(4.5%)+4.8%(24.6%)+4.6%+1.8%(16.8%)(48.2%)
2018(21%)+28.8%+2.0%(0.2%)+39.4%(3.4%)+2.8%+7.1%(13.3%)+18.8%(1.2%)+13.6%+77.9%
2019(8.9%)(11.6%)+10.2%+5.0%(3.1%)+22.0%+3.1%+21.0%(4.6%)(20.1%)+5.5%(10.7%)(1.3%)
2020+0.2%+4.5%+18.1%+7.0%(3.1%)(5.9%)(15.9%)(7.3%)+22.1%(3.1%)(13.6%)(10.1%)(13.5%)
2021(10%)(18.5%)(1.6%)(8.2%)(26.3%)+26.2%+9.0%+9.3%+13.1%(24.7%)+38.4%(13.3%)(24.9%)
2022+0.8%(4.5%)(8.4%)+3.5%+11.2%(11.1%)+12.9%+23.1%+7.0%(23.3%)(5.3%)+12.8%+9.8%
2023(10.2%)+2.4%(13.5%)(34.2%)+1.8%(54.3%)+2.3%(7%)+73.5%+9.4%(69.6%)+106.0%(72.5%)
2024(35.7%)(10.1%)(33.2%)+30.7%                                                (49.5%)

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 846 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/31/15 12:49 GBP/JPY GBP/JPY SHORT 20 177.921 3/31 18:42 177.976 1.99%
Trade id #93599379
Max drawdown($509)
Time3/31/15 13:20
Quant open-20
Worst price178.227
Drawdown as % of equity-1.99%
 ($92)
3/31/15 12:49 GBP/USD GBP/USD SHORT 20 1.48384 3/31 18:42 1.48263 1.69%
Trade id #93599391
Max drawdown($398)
Time3/31/15 14:37
Quant open-20
Worst price1.48583
Drawdown as % of equity-1.69%
 $242
3/31/15 10:51 GBP/USD GBP/USD LONG 30 1.48421 3/31 11:28 1.48453 1.97%
Trade id #93595133
Max drawdown($507)
Time3/31/15 11:10
Quant open30
Worst price1.48252
Drawdown as % of equity-1.97%
 $96
3/31/15 10:51 GBP/JPY GBP/JPY LONG 20 177.934 3/31 11:28 178.150 0.54%
Trade id #93595121
Max drawdown($138)
Time3/31/15 10:55
Quant open20
Worst price177.851
Drawdown as % of equity-0.54%
 $360
3/31/15 6:11 GBP/USD GBP/USD SHORT 40 1.47830 3/31 10:45 1.48689 13.38%
Trade id #93588270
Max drawdown($3,436)
Time3/31/15 10:45
Quant open0
Worst price1.48689
Drawdown as % of equity-13.38%
 ($3,436)
3/31/15 2:03 EUR/JPY EUR/JPY SHORT 55 129.350 3/31 6:10 128.869 2.83%
Trade id #93584257
Max drawdown($709)
Time3/31/15 2:39
Quant open-45
Worst price129.608
Drawdown as % of equity-2.83%
 $2,205
3/30/15 4:26 GBP/JPY GBP/JPY SHORT 45 177.826 3/30 10:53 177.724 1.74%
Trade id #93557995
Max drawdown($465)
Time3/30/15 4:33
Quant open-45
Worst price177.950
Drawdown as % of equity-1.74%
 $383
3/26/15 10:10 GBP/JPY GBP/JPY SHORT 85 177.029 3/30 4:24 177.928 23.93%
Trade id #93506153
Max drawdown($6,384)
Time3/30/15 4:24
Quant open55
Worst price177.933
Drawdown as % of equity-23.93%
 ($6,384)
3/27/15 6:13 GBP/USD GBP/USD SHORT 5 1.48749 3/30 4:24 1.48552 0.9%
Trade id #93530108
Max drawdown($230)
Time3/27/15 8:42
Quant open-5
Worst price1.49210
Drawdown as % of equity-0.90%
 $99
3/27/15 1:33 EUR/JPY EUR/JPY SHORT 20 129.630 3/27 6:05 129.184 0.72%
Trade id #93525649
Max drawdown($207)
Time3/27/15 1:52
Quant open-20
Worst price129.754
Drawdown as % of equity-0.72%
 $747
3/26/15 10:10 EUR/JPY EUR/JPY SHORT 30 130.109 3/26 20:45 129.779 1.68%
Trade id #93506142
Max drawdown($463)
Time3/26/15 11:30
Quant open-30
Worst price130.293
Drawdown as % of equity-1.68%
 $831
3/26/15 4:26 GBP/USD GBP/USD LONG 38 1.49405 3/26 10:06 1.48099 14.66%
Trade id #93499217
Max drawdown($4,964)
Time3/26/15 10:06
Quant open34
Worst price1.48070
Drawdown as % of equity-14.66%
 ($4,964)
3/26/15 4:26 EUR/JPY EUR/JPY LONG 26 130.787 3/26 10:00 130.491 2.41%
Trade id #93499224
Max drawdown($828)
Time3/26/15 8:48
Quant open26
Worst price130.407
Drawdown as % of equity-2.41%
 ($646)
3/26/15 4:26 GBP/JPY GBP/JPY LONG 26 177.195 3/26 10:00 176.807 2.51%
Trade id #93499233
Max drawdown($848)
Time3/26/15 10:00
Quant open16
Worst price176.802
Drawdown as % of equity-2.51%
 ($848)
3/25/15 10:47 GBP/JPY GBP/JPY SHORT 10 177.791 3/26 4:25 177.108 0.64%
Trade id #93476689
Max drawdown($223)
Time3/25/15 11:52
Quant open-10
Worst price178.055
Drawdown as % of equity-0.64%
 $577
3/25/15 11:08 EUR/JPY EUR/JPY SHORT 6 131.022 3/26 4:25 130.728 0.26%
Trade id #93477298
Max drawdown($91)
Time3/25/15 14:31
Quant open-6
Worst price131.202
Drawdown as % of equity-0.26%
 $149
3/25/15 3:34 GBP/USD GBP/USD LONG 30 1.48787 3/25 8:09 1.49235 2.32%
Trade id #93467873
Max drawdown($754)
Time3/25/15 5:05
Quant open30
Worst price1.48536
Drawdown as % of equity-2.32%
 $1,342
3/25/15 3:35 GBP/JPY GBP/JPY LONG 20 178.052 3/25 8:09 178.270 1.63%
Trade id #93467880
Max drawdown($529)
Time3/25/15 5:04
Quant open20
Worst price177.736
Drawdown as % of equity-1.63%
 $365
3/25/15 3:55 EUR/JPY EUR/JPY LONG 30 130.970 3/25 8:09 131.254 0.51%
Trade id #93468069
Max drawdown($169)
Time3/25/15 6:30
Quant open30
Worst price130.903
Drawdown as % of equity-0.51%
 $713
3/24/15 4:32 EUR/JPY EUR/JPY LONG 103 131.166 3/24 10:22 130.418 17.93%
Trade id #93439346
Max drawdown($6,445)
Time3/24/15 10:22
Quant open73
Worst price130.430
Drawdown as % of equity-17.93%
 ($6,445)
3/24/15 4:39 GBP/USD GBP/USD LONG 8 1.49614 3/24 5:48 1.48971 1.33%
Trade id #93439425
Max drawdown($514)
Time3/24/15 5:48
Quant open0
Worst price1.48971
Drawdown as % of equity-1.33%
 ($514)
3/23/15 4:08 EUR/JPY EUR/JPY SHORT 52 130.344 3/24 4:32 131.158 8.92%
Trade id #93405515
Max drawdown($3,543)
Time3/24/15 4:32
Quant open23
Worst price131.282
Drawdown as % of equity-8.92%
 ($3,543)
3/23/15 4:08 GBP/USD GBP/USD SHORT 5 1.48672 3/23 9:02 1.49042 0.77%
Trade id #93405528
Max drawdown($320)
Time3/23/15 6:49
Quant open-5
Worst price1.49313
Drawdown as % of equity-0.77%
 ($185)
3/23/15 4:08 GBP/JPY GBP/JPY SHORT 5 178.504 3/23 9:01 178.635 0.41%
Trade id #93405521
Max drawdown($169)
Time3/23/15 6:49
Quant open-5
Worst price178.911
Drawdown as % of equity-0.41%
 ($55)
3/20/15 7:51 GBP/JPY GBP/JPY LONG 10 178.799 3/20 13:15 179.925 0.3%
Trade id #93373202
Max drawdown($128)
Time3/20/15 7:56
Quant open10
Worst price178.645
Drawdown as % of equity-0.30%
 $939
3/20/15 7:51 EUR/JPY EUR/JPY LONG 20 129.737 3/20 13:15 130.393 0.57%
Trade id #93373208
Max drawdown($246)
Time3/20/15 8:39
Quant open20
Worst price129.589
Drawdown as % of equity-0.57%
 $1,094
3/18/15 4:25 EUR/JPY EUR/JPY SHORT 43 128.870 3/20 7:50 129.379 11.9%
Trade id #93298758
Max drawdown($4,696)
Time3/18/15 16:05
Quant open-18
Worst price131.739
Drawdown as % of equity-11.90%
 ($1,811)
3/20/15 3:16 GBP/USD GBP/USD SHORT 7 1.47432 3/20 7:47 1.47651 0.39%
Trade id #93368387
Max drawdown($167)
Time3/20/15 3:44
Quant open-7
Worst price1.47671
Drawdown as % of equity-0.39%
 ($153)
3/19/15 4:27 GBP/USD GBP/USD SHORT 16 1.48173 3/19 12:30 1.47321 4.4%
Trade id #93335541
Max drawdown($1,723)
Time3/19/15 6:12
Quant open-16
Worst price1.49250
Drawdown as % of equity-4.40%
 $1,363
3/19/15 4:27 GBP/JPY GBP/JPY SHORT 16 178.825 3/19 12:30 178.710 3.12%
Trade id #93335536
Max drawdown($1,223)
Time3/19/15 6:10
Quant open-16
Worst price179.750
Drawdown as % of equity-3.12%
 $153
Next

Statistics

  • Strategy began
    10/7/2014
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3478.85
  • Age
    116 months ago
  • What it trades
    Forex
  • # Trades
    262
  • # Profitable
    140
  • % Profitable
    53.40%
  • Avg trade duration
    38.5 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 07, 2015 - Sept 10, 2015
  • Annual Return (Compounded)
    -0.3%
  • Avg win
    $1,024
  • Avg loss
    $1,128
  • Model Account Values (Raw)
  • Cash
    $24,425
  • Margin Used
    $17,588
  • Buying Power
    ($1,825)
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    0.18
  • Sortino Ratio
    0.34
  • Calmar Ratio
    0.215
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -164.07%
  • Correlation to SP500
    -0.07300
  • Return Percent SP500 (cumu) during strategy life
    158.96%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.3%
  • Slump
  • Current Slump as Pcnt Equity
    1432.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.003%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.9%
  • 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)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    98.15%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $1,128
  • Avg Win
    $1,025
  • Sum Trade PL (losers)
    $137,675.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $143,434.000
  • # Winners
    140
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    122
  • % Winners
    53.4%
  • Frequency
  • Avg Position Time (mins)
    55371.20
  • Avg Position Time (hrs)
    922.85
  • Avg Trade Length
    38.5 days
  • Last Trade Ago
    3303
  • Regression
  • Alpha
    0.00
  • Beta
    -0.99
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    81.55
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    46.24
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.69
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.09
  • Avg(MAE) / Avg(PL) - All trades
    36.016
  • 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
    0.453
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.145
  • Hold-and-Hope Ratio
    0.029
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    27852.70000
  • SD
    41778.70000
  • Sharpe ratio (Glass type estimate)
    0.66667
  • Sharpe ratio (Hedges UMVUE)
    0.64722
  • df
    26.00000
  • t
    1.00001
  • p
    0.16326
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65861
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96565
  • Statistics related to Sortino ratio
  • Sortino ratio
    30005.50000
  • Upside Potential Ratio
    30007.20000
  • Upside part of mean
    27854.20000
  • Downside part of mean
    -1.53063
  • Upside SD
    41778.70000
  • Downside SD
    0.92825
  • N nonnegative terms
    13.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.38272
  • Mean of criterion
    27852.70000
  • SD of predictor
    0.24944
  • SD of criterion
    41778.70000
  • Covariance
    -1581.05000
  • r
    -0.15171
  • b (slope, estimate of beta)
    -25411.00000
  • a (intercept, estimate of alpha)
    37577.90000
  • Mean Square Error
    1773490000.00000
  • DF error
    25.00000
  • t(b)
    -0.76746
  • p(b)
    0.77500
  • t(a)
    1.21996
  • p(a)
    0.11693
  • Lowerbound of 95% confidence interval for beta
    -93603.30000
  • Upperbound of 95% confidence interval for beta
    42781.40000
  • Lowerbound of 95% confidence interval for alpha
    -25861.20000
  • Upperbound of 95% confidence interval for alpha
    101017.00000
  • Treynor index (mean / b)
    -1.09609
  • Jensen alpha (a)
    37577.90000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32837
  • SD
    10.36220
  • Sharpe ratio (Glass type estimate)
    0.03169
  • Sharpe ratio (Hedges UMVUE)
    0.03077
  • df
    26.00000
  • t
    0.04753
  • p
    0.48123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27526
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33808
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33743
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04706
  • Upside Potential Ratio
    0.91109
  • Upside part of mean
    6.35734
  • Downside part of mean
    -6.02897
  • Upside SD
    7.39716
  • Downside SD
    6.97775
  • N nonnegative terms
    13.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.34863
  • Mean of criterion
    0.32837
  • SD of predictor
    0.23641
  • SD of criterion
    10.36220
  • Covariance
    -0.18418
  • r
    -0.07518
  • b (slope, estimate of beta)
    -3.29546
  • a (intercept, estimate of alpha)
    1.47728
  • Mean Square Error
    111.03900
  • DF error
    25.00000
  • t(b)
    -0.37699
  • p(b)
    0.64532
  • t(a)
    0.19292
  • p(a)
    0.42429
  • Lowerbound of 95% confidence interval for beta
    -21.29890
  • Upperbound of 95% confidence interval for beta
    14.70800
  • Lowerbound of 95% confidence interval for alpha
    -14.29380
  • Upperbound of 95% confidence interval for alpha
    17.24830
  • Treynor index (mean / b)
    -0.09964
  • Jensen alpha (a)
    1.47728
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99250
  • Expected Shortfall on VaR
    0.99680
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.30000
  • Expected Shortfall on VaR
    0.59160
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.00003
  • Quartile 1
    0.83410
  • Median
    1.00000
  • Quartile 3
    1.28443
  • Maximum
    62669.00000
  • Mean of quarter 1
    0.55963
  • Mean of quarter 2
    0.95304
  • Mean of quarter 3
    1.16734
  • Mean of quarter 4
    8954.00000
  • Inter Quartile Range
    0.45033
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03704
  • Mean of outliers low
    0.00003
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03704
  • Mean of outliers high
    62669.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35241
  • VaR(95%) (moments method)
    0.48385
  • Expected Shortfall (moments method)
    0.86025
  • Extreme Value Index (regression method)
    1.26706
  • VaR(95%) (regression method)
    0.50661
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.13073
  • Quartile 1
    0.49188
  • Median
    0.85302
  • Quartile 3
    0.92649
  • Maximum
    0.99997
  • Mean of quarter 1
    0.13073
  • Mean of quarter 2
    0.85302
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.43462
  • 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)
    0.54630
  • Compounded annual return (geometric extrapolation)
    0.42801
  • Calmar ratio (compounded annual return / max draw down)
    0.42802
  • Compounded annual return / average of 25% largest draw downs
    0.42802
  • Compounded annual return / Expected Shortfall lognormal
    0.42938
  • 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
    4387.55000
  • SD
    5412.25000
  • Sharpe ratio (Glass type estimate)
    0.81067
  • Sharpe ratio (Hedges UMVUE)
    0.80967
  • df
    610.00000
  • t
    1.23798
  • p
    0.10810
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47458
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09392
  • Statistics related to Sortino ratio
  • Sortino ratio
    2499.83000
  • Upside Potential Ratio
    2505.50000
  • Upside part of mean
    4397.50000
  • Downside part of mean
    -9.95388
  • Upside SD
    5414.61000
  • Downside SD
    1.75514
  • N nonnegative terms
    262.00000
  • N negative terms
    349.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    611.00000
  • Mean of predictor
    0.45565
  • Mean of criterion
    4387.55000
  • SD of predictor
    0.33043
  • SD of criterion
    5412.25000
  • Covariance
    -31.17340
  • r
    -0.01743
  • b (slope, estimate of beta)
    -285.51200
  • a (intercept, estimate of alpha)
    4517.64000
  • Mean Square Error
    29331600.00000
  • DF error
    609.00000
  • t(b)
    -0.43023
  • p(b)
    0.66641
  • t(a)
    1.26923
  • p(a)
    0.10242
  • Lowerbound of 95% confidence interval for beta
    -1588.78000
  • Upperbound of 95% confidence interval for beta
    1017.76000
  • Lowerbound of 95% confidence interval for alpha
    -2472.45000
  • Upperbound of 95% confidence interval for alpha
    11507.70000
  • Treynor index (mean / b)
    -15.36730
  • Jensen alpha (a)
    4517.64000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16720
  • SD
    10.62090
  • Sharpe ratio (Glass type estimate)
    0.01574
  • Sharpe ratio (Hedges UMVUE)
    0.01572
  • df
    610.00000
  • t
    0.02404
  • p
    0.49041
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26772
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29917
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02393
  • Upside Potential Ratio
    2.48125
  • Upside part of mean
    17.33360
  • Downside part of mean
    -17.16640
  • Upside SD
    7.98855
  • Downside SD
    6.98582
  • N nonnegative terms
    262.00000
  • N negative terms
    349.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    611.00000
  • Mean of predictor
    0.40042
  • Mean of criterion
    0.16720
  • SD of predictor
    0.33208
  • SD of criterion
    10.62090
  • Covariance
    -0.28437
  • r
    -0.08063
  • b (slope, estimate of beta)
    -2.57876
  • a (intercept, estimate of alpha)
    1.19980
  • Mean Square Error
    112.25400
  • DF error
    609.00000
  • t(b)
    -1.99625
  • p(b)
    0.97682
  • t(a)
    0.17245
  • p(a)
    0.43157
  • Lowerbound of 95% confidence interval for beta
    -5.11570
  • Upperbound of 95% confidence interval for beta
    -0.04183
  • Lowerbound of 95% confidence interval for alpha
    -12.46320
  • Upperbound of 95% confidence interval for alpha
    14.86280
  • Treynor index (mean / b)
    -0.06484
  • Jensen alpha (a)
    1.19980
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.65995
  • Expected Shortfall on VaR
    0.73454
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09317
  • Expected Shortfall on VaR
    0.20146
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    611.00000
  • Minimum
    0.00056
  • Quartile 1
    0.96189
  • Median
    1.00000
  • Quartile 3
    1.03450
  • Maximum
    7950.00000
  • Mean of quarter 1
    0.86174
  • Mean of quarter 2
    0.98679
  • Mean of quarter 3
    1.01161
  • Mean of quarter 4
    68.01640
  • Inter Quartile Range
    0.07261
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.04746
  • Mean of outliers low
    0.62020
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.06710
  • Mean of outliers high
    250.87400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48716
  • VaR(95%) (moments method)
    0.12881
  • Expected Shortfall (moments method)
    0.28643
  • Extreme Value Index (regression method)
    0.20584
  • VaR(95%) (regression method)
    0.11199
  • Expected Shortfall (regression method)
    0.17925
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00349
  • Quartile 1
    0.03570
  • Median
    0.13857
  • Quartile 3
    0.25830
  • Maximum
    0.99998
  • Mean of quarter 1
    0.01768
  • Mean of quarter 2
    0.07664
  • Mean of quarter 3
    0.20730
  • Mean of quarter 4
    0.59914
  • Inter Quartile Range
    0.22260
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    0.97686
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.19446
  • VaR(95%) (moments method)
    0.59508
  • Expected Shortfall (moments method)
    0.76330
  • Extreme Value Index (regression method)
    -1.22326
  • VaR(95%) (regression method)
    0.75543
  • Expected Shortfall (regression method)
    0.79951
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24706
  • Compounded annual return (geometric extrapolation)
    0.21544
  • Calmar ratio (compounded annual return / max draw down)
    0.21544
  • Compounded annual return / average of 25% largest draw downs
    0.35958
  • Compounded annual return / Expected Shortfall lognormal
    0.29330
  • 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
    -0.74673
  • SD
    2.38120
  • Sharpe ratio (Glass type estimate)
    -0.31359
  • Sharpe ratio (Hedges UMVUE)
    -0.31178
  • df
    130.00000
  • t
    -0.22174
  • p
    0.50972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.08506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.08384
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46029
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49090
  • Upside Potential Ratio
    7.90166
  • Upside part of mean
    12.01940
  • Downside part of mean
    -12.76610
  • Upside SD
    1.82076
  • Downside SD
    1.52112
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67887
  • Mean of criterion
    -0.74673
  • SD of predictor
    0.41453
  • SD of criterion
    2.38120
  • Covariance
    -0.32145
  • r
    -0.32565
  • b (slope, estimate of beta)
    -1.87065
  • a (intercept, estimate of alpha)
    0.52321
  • Mean Square Error
    5.10810
  • DF error
    129.00000
  • t(b)
    -3.91196
  • p(b)
    0.70359
  • t(a)
    0.16285
  • p(a)
    0.49087
  • Lowerbound of 95% confidence interval for beta
    -2.81675
  • Upperbound of 95% confidence interval for beta
    -0.92454
  • Lowerbound of 95% confidence interval for alpha
    -5.83325
  • Upperbound of 95% confidence interval for alpha
    6.87966
  • Treynor index (mean / b)
    0.39918
  • Jensen alpha (a)
    0.52321
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.44557
  • SD
    2.33387
  • Sharpe ratio (Glass type estimate)
    -1.47634
  • Sharpe ratio (Hedges UMVUE)
    -1.46780
  • df
    130.00000
  • t
    -1.04393
  • p
    0.54559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.25117
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.24535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30974
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.91240
  • Upside Potential Ratio
    5.97389
  • Upside part of mean
    10.76310
  • Downside part of mean
    -14.20870
  • Upside SD
    1.48477
  • Downside SD
    1.80170
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59247
  • Mean of criterion
    -3.44557
  • SD of predictor
    0.41585
  • SD of criterion
    2.33387
  • Covariance
    -0.34335
  • r
    -0.35378
  • b (slope, estimate of beta)
    -1.98552
  • a (intercept, estimate of alpha)
    -2.26922
  • Mean Square Error
    4.80214
  • DF error
    129.00000
  • t(b)
    -4.29598
  • p(b)
    0.72043
  • t(a)
    -0.72938
  • p(a)
    0.54077
  • VAR (95 Confidence Intrvl)
    0.66000
  • Lowerbound of 95% confidence interval for beta
    -2.89996
  • Upperbound of 95% confidence interval for beta
    -1.07109
  • Lowerbound of 95% confidence interval for alpha
    -8.42471
  • Upperbound of 95% confidence interval for alpha
    3.88627
  • Treynor index (mean / b)
    1.73535
  • Jensen alpha (a)
    -2.26922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22145
  • Expected Shortfall on VaR
    0.26594
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11443
  • Expected Shortfall on VaR
    0.21606
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.53931
  • Quartile 1
    0.92205
  • Median
    0.99800
  • Quartile 3
    1.05670
  • Maximum
    1.89654
  • Mean of quarter 1
    0.84324
  • Mean of quarter 2
    0.96355
  • Mean of quarter 3
    1.02325
  • Mean of quarter 4
    1.15977
  • Inter Quartile Range
    0.13465
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.60295
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.40035
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22669
  • VaR(95%) (moments method)
    0.16670
  • Expected Shortfall (moments method)
    0.25243
  • Extreme Value Index (regression method)
    0.36660
  • VaR(95%) (regression method)
    0.15095
  • Expected Shortfall (regression method)
    0.24518
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.45467
  • Quartile 1
    0.57161
  • Median
    0.68855
  • Quartile 3
    0.80549
  • Maximum
    0.92243
  • Mean of quarter 1
    0.45467
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.92243
  • Inter Quartile Range
    0.23388
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365290000
  • Max Equity Drawdown (num days)
    3
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.63785
  • Compounded annual return (geometric extrapolation)
    -0.96721
  • Calmar ratio (compounded annual return / max draw down)
    -1.04854
  • Compounded annual return / average of 25% largest draw downs
    -1.04854
  • Compounded annual return / Expected Shortfall lognormal
    -3.63691

Strategy Description

N / A

Summary Statistics

Strategy began
2014-10-07
Suggested Minimum Capital
$10,000
# Trades
262
# Profitable
140
% Profitable
53.4%
Correlation S&P500
-0.073
Sharpe Ratio
0.18
Sortino Ratio
0.34
Beta
-0.99
Alpha
0.00

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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