Collective2 Collective2
Featured Strategy MT3 Algotrading +79.9% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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LoDo LEVERAGE
(85162260)

Created by: Test1234 Test1234
Started: 01/2014
Forex
Last trade: 2,039 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.

14.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(78.0%)
Max Drawdown
62
Num Trades
58.1%
Win Trades
1.3 : 1
Profit Factor
56.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014+17.9%+4.8%+4.1%(9.1%)+34.9%(5.7%)+19.3%+3.2%(13.8%)+3.2%+1.2%+18.7%+95.7%
2015+35.4%+22.9%(0.4%)(42.9%)+18.0%(7%)(5.3%)(44.2%)+18.3%+0.1%(12%)+11.2%(36.4%)
2016(1.7%)+7.3%+8.6%(4.9%)+15.1%+36.1%+9.3%+3.6%(2.5%)(4%)+27.9%+15.2%+166.4%
2017(4.3%)+5.1%+6.7%(8.8%)(15%)(17.7%)(31.5%)(25.7%)+10.9%+11.0%(33.1%)(16.6%)(76.1%)
2018(37.4%)+34.3%(5.5%)+52.4%+100.9%(5%)+6.6%+2.4%(1.3%)+28.2%(4.5%)(4.7%)+190.2%
2019(1.5%)+7.8%+9.1%+5.5%+0.5%(6.1%)+4.4%+10.9%(1.1%)(5.5%)+5.9%(5.8%)+24.6%
2020+3.9%+3.6%(4.1%)+9.0%(8.3%)(4.4%)(21.7%)(6.3%)+14.4%(0.5%)(15.7%)(15.1%)(40.9%)
2021+7.6%+2.2%+17.1%(16.8%)(5.8%)+20.8%+2.5%+8.7%+4.9%(1%)+13.9%+0.8%+62.1%
2022+1.6%+2.2%+9.4%+11.7%(2.5%)+5.0%+12.5%+6.4%+4.1%(7.3%)(6.8%)(7.7%)+29.0%
2023(8.2%)+10.9%(6.2%)(6.8%)+9.5%(7.9%)(1.6%)+3.9%+8.5%+2.9%(11.4%)(3.4%)(12.4%)
2024+6.2%+0.5%+1.5%+1.9%(4.3%)+5.9%(4%)(11.6%)+0.6%+10.8%+8.6%      +14.9%

Model Account Details

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

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

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

Trading Record

This strategy has placed 468 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3390 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/3/17 16:15 USD/CHF USD/CHF SHORT 509 0.99422 7/21 13:35 0.98727 6.25%
Trade id #108315743
Max drawdown($4,222)
Time3/7/17 9:19
Quant open-50
Worst price1.01704
Drawdown as % of equity-6.25%
 $37,414
11/17/16 14:06 EUR/USD EUR/USD SHORT 119 1.05633 12/26 15:15 1.04866 21.01%
Trade id #107295135
Max drawdown($12,000)
Time12/8/16 7:47
Quant open-47
Worst price1.08734
Drawdown as % of equity-21.01%
 $9,127
11/9/16 13:50 USD/CHF USD/CHF SHORT 90 1.01057 12/26 15:15 1.01453 6.18%
Trade id #107048302
Max drawdown($3,909)
Time11/24/16 3:10
Quant open-22
Worst price1.01915
Drawdown as % of equity-6.18%
 ($3,469)
11/16/16 12:51 EUR/USD EUR/USD SHORT 1 1.06962 11/17 11:21 1.06600 0.08%
Trade id #107259682
Max drawdown($49)
Time11/17/16 7:27
Quant open-1
Worst price1.07456
Drawdown as % of equity-0.08%
 $36
11/14/16 14:28 EUR/USD EUR/USD SHORT 3 1.07325 11/16 12:49 1.06939 0.14%
Trade id #107185733
Max drawdown($87)
Time11/15/16 3:39
Quant open-1
Worst price1.08167
Drawdown as % of equity-0.14%
 $116
10/21/16 13:11 EUR/USD EUR/USD SHORT 40 1.09595 11/14 3:34 1.08623 11.28%
Trade id #106594383
Max drawdown($6,274)
Time11/9/16 0:08
Quant open-20
Worst price1.12994
Drawdown as % of equity-11.28%
 $3,888
6/8/16 12:25 USD/CHF USD/CHF SHORT 249 0.97562 11/8 23:08 0.97187 25.05%
Trade id #102743390
Max drawdown($11,481)
Time10/25/16 9:21
Quant open-44
Worst price0.99988
Drawdown as % of equity-25.05%
 $9,766
10/12/16 12:32 EUR/USD EUR/USD SHORT 19 1.10041 10/21 11:35 1.08877 0.38%
Trade id #106397988
Max drawdown($183)
Time10/13/16 17:24
Quant open-7
Worst price1.10581
Drawdown as % of equity-0.38%
 $2,212
6/24/16 13:56 EUR/USD EUR/USD SHORT 150 1.11491 10/12 6:16 1.11376 20.88%
Trade id #104287887
Max drawdown($9,958)
Time9/8/16 8:53
Quant open-51
Worst price1.13270
Drawdown as % of equity-20.88%
 $1,735
11/6/15 12:48 EUR/USD EUR/USD SHORT 215 1.10769 6/23/16 22:43 1.10617 67.09%
Trade id #98227663
Max drawdown($18,785)
Time5/3/16 4:10
Quant open-31
Worst price1.16163
Drawdown as % of equity-67.09%
 $3,262
5/3/16 13:39 USD/CHF USD/CHF SHORT 53 0.97531 6/8 12:23 0.97050 17.81%
Trade id #102157854
Max drawdown($5,879)
Time5/19/16 8:54
Quant open-25
Worst price0.99224
Drawdown as % of equity-17.81%
 $2,660
4/19/16 13:07 USD/CHF USD/CHF SHORT 31 0.96645 5/3 4:09 0.95665 10.2%
Trade id #101905739
Max drawdown($3,335)
Time4/22/16 14:03
Quant open-21
Worst price0.97969
Drawdown as % of equity-10.20%
 $3,215
3/17/16 12:48 USD/CHF USD/CHF SHORT 56 0.96265 4/19 13:06 0.95926 3.58%
Trade id #101317990
Max drawdown($1,232)
Time3/25/16 11:22
Quant open-14
Worst price0.97870
Drawdown as % of equity-3.58%
 $1,978
2/9/16 12:25 USD/CHF USD/CHF SHORT 43 0.98672 3/17 8:02 0.97874 24.87%
Trade id #100432048
Max drawdown($6,475)
Time3/10/16 8:38
Quant open-28
Worst price1.00926
Drawdown as % of equity-24.87%
 $3,545
9/1/15 12:58 USD/CHF USD/CHF SHORT 156 0.98447 2/9/16 10:34 0.98485 43.38%
Trade id #96981738
Max drawdown($11,676)
Time11/18/15 14:04
Quant open-24
Worst price1.02204
Drawdown as % of equity-43.38%
 ($611)
11/4/15 11:44 EUR/USD EUR/USD SHORT 3 1.08619 11/6 12:45 1.07761 0.25%
Trade id #98184465
Max drawdown($74)
Time11/5/15 8:31
Quant open-2
Worst price1.08977
Drawdown as % of equity-0.25%
 $258
8/27/15 10:38 EUR/USD EUR/USD SHORT 83 1.12256 11/4 11:43 1.11334 33.31%
Trade id #96886478
Max drawdown($6,760)
Time9/18/15 5:25
Quant open-31
Worst price1.14603
Drawdown as % of equity-33.31%
 $7,654
8/24/15 9:50 EUR/USD EUR/USD SHORT 30 1.14699 8/27 10:37 1.12422 2.03%
Trade id #96805245
Max drawdown($375)
Time8/24/15 10:01
Quant open-10
Worst price1.16694
Drawdown as % of equity-2.03%
 $6,831
8/23/15 21:56 EUR/USD EUR/USD SHORT 20 1.14290 8/24 9:08 1.16062 18.09%
Trade id #96792431
Max drawdown($3,544)
Time8/24/15 9:08
Quant open0
Worst price1.16062
Drawdown as % of equity-18.09%
 ($3,544)
8/20/15 11:01 USD/CHF USD/CHF SHORT 2 0.96329 8/21 11:28 0.95093 0.04%
Trade id #96748705
Max drawdown($9)
Time8/20/15 11:03
Quant open-2
Worst price0.96376
Drawdown as % of equity-0.04%
 $261
7/30/15 13:53 EUR/USD EUR/USD SHORT 102 1.10139 8/21 11:28 1.12370 98.59%
Trade id #96167826
Max drawdown($22,751)
Time8/21/15 11:28
Quant open92
Worst price1.13446
Drawdown as % of equity-98.59%
 ($22,751)
7/30/15 13:54 USD/CHF USD/CHF SHORT 20 0.97751 8/13 12:30 0.97789 4.8%
Trade id #96167862
Max drawdown($1,950)
Time8/10/15 9:54
Quant open-16
Worst price0.98900
Drawdown as % of equity-4.80%
 ($79)
7/27/15 13:11 EUR/USD EUR/USD SHORT 62 1.10817 7/30 13:52 1.09251 0.18%
Trade id #96086125
Max drawdown($62)
Time7/27/15 13:25
Quant open-33
Worst price1.11091
Drawdown as % of equity-0.18%
 $9,708
7/22/15 10:50 USD/CHF USD/CHF SHORT 4 0.96223 7/29 13:41 0.96202 0.15%
Trade id #96008231
Max drawdown($54)
Time7/28/15 7:41
Quant open-1
Worst price0.96731
Drawdown as % of equity-0.15%
 $9
7/21/15 10:34 EUR/USD EUR/USD SHORT 64 1.09169 7/27 11:42 1.11140 34%
Trade id #95982628
Max drawdown($12,617)
Time7/27/15 11:42
Quant open3
Worst price1.11222
Drawdown as % of equity-34.00%
 ($12,617)
7/16/15 10:59 USD/CHF USD/CHF SHORT 3 0.95809 7/21 10:34 0.96137 0.39%
Trade id #95921415
Max drawdown($199)
Time7/20/15 10:00
Quant open-3
Worst price0.96445
Drawdown as % of equity-0.39%
 ($103)
7/10/15 11:35 EUR/USD EUR/USD SHORT 64 1.10508 7/21 10:33 1.09170 3.07%
Trade id #95825996
Max drawdown($1,184)
Time7/13/15 2:58
Quant open-20
Worst price1.11956
Drawdown as % of equity-3.07%
 $8,561
7/1/15 11:14 USD/CHF USD/CHF SHORT 6 0.94721 7/14 10:34 0.94505 0.15%
Trade id #95639870
Max drawdown($77)
Time7/7/15 8:56
Quant open-1
Worst price0.95145
Drawdown as % of equity-0.15%
 $137
7/6/15 12:07 EUR/USD EUR/USD SHORT 63 1.10800 7/10 7:00 1.11828 16.93%
Trade id #95721735
Max drawdown($6,826)
Time7/10/15 6:56
Quant open-58
Worst price1.11977
Drawdown as % of equity-16.93%
 ($6,475)
6/23/15 11:43 EUR/USD EUR/USD SHORT 62 1.11794 7/6 12:06 1.10883 11.13%
Trade id #95365453
Max drawdown($4,488)
Time6/29/15 13:36
Quant open-50
Worst price1.12770
Drawdown as % of equity-11.13%
 $5,646
Next

Statistics

  • Strategy began
    1/14/2014
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    3954.63
  • Age
    132 months ago
  • What it trades
    Forex
  • # Trades
    62
  • # Profitable
    36
  • % Profitable
    58.10%
  • Avg trade duration
    124.4 days
  • Max peak-to-valley drawdown
    77.97%
  • drawdown period
    March 12, 2015 - Aug 25, 2015
  • Annual Return (Compounded)
    14.6%
  • Avg win
    $6,111
  • Avg loss
    $6,294
  • Model Account Values (Raw)
  • Cash
    $108,159
  • Margin Used
    $7,631
  • Buying Power
    $98,501
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    0.41
  • Sortino Ratio
    0.76
  • Calmar Ratio
    0.388
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    27.65%
  • Correlation to SP500
    -0.08180
  • Return Percent SP500 (cumu) during strategy life
    224.62%
  • Return Statistics
  • Ann Return (w trading costs)
    14.6%
  • Slump
  • Current Slump as Pcnt Equity
    26.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.146%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    88.50%
  • Chance of 20% account loss
    78.00%
  • Chance of 30% account loss
    67.50%
  • Chance of 40% account loss
    54.50%
  • Chance of 60% account loss (Monte Carlo)
    23.50%
  • Chance of 70% account loss (Monte Carlo)
    9.00%
  • Chance of 80% account loss (Monte Carlo)
    2.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    42.00%
  • Popularity
  • Popularity (Today)
    253
  • Popularity (Last 6 weeks)
    686
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    516
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,294
  • Avg Win
    $6,112
  • Sum Trade PL (losers)
    $163,647.000
  • Age
  • Num Months filled monthly returns table
    131
  • Win / Loss
  • Sum Trade PL (winners)
    $220,018.000
  • # Winners
    36
  • Num Months Winners
    74
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    26
  • % Winners
    58.1%
  • Frequency
  • Avg Position Time (mins)
    179127.00
  • Avg Position Time (hrs)
    2985.46
  • Avg Trade Length
    124.4 days
  • Last Trade Ago
    2666
  • Regression
  • Alpha
    0.13
  • Beta
    -0.42
  • Treynor Index
    -0.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.22
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    23.17
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    48.37
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.01
  • MAE:Equity, average, winning trades
    0.25
  • MAE:Equity, average, losing trades
    0.18
  • Avg(MAE) / Avg(PL) - All trades
    3.792
  • 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
    0.49
  • Avg(MAE) / Avg(PL) - Winning trades
    0.899
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.171
  • Hold-and-Hope Ratio
    0.324
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44751
  • SD
    0.61568
  • Sharpe ratio (Glass type estimate)
    0.72686
  • Sharpe ratio (Hedges UMVUE)
    0.71313
  • df
    40.00000
  • t
    1.34354
  • p
    0.09333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78493
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22871
  • Upside Potential Ratio
    2.82904
  • Upside part of mean
    1.03037
  • Downside part of mean
    -0.58286
  • Upside SD
    0.50384
  • Downside SD
    0.36421
  • N nonnegative terms
    24.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.06164
  • Mean of criterion
    0.44751
  • SD of predictor
    0.11495
  • SD of criterion
    0.61568
  • Covariance
    0.00844
  • r
    0.11921
  • b (slope, estimate of beta)
    0.63848
  • a (intercept, estimate of alpha)
    0.40815
  • Mean Square Error
    0.38325
  • DF error
    39.00000
  • t(b)
    0.74981
  • p(b)
    0.22893
  • t(a)
    1.20397
  • p(a)
    0.11793
  • Lowerbound of 95% confidence interval for beta
    -1.08389
  • Upperbound of 95% confidence interval for beta
    2.36085
  • Lowerbound of 95% confidence interval for alpha
    -0.27755
  • Upperbound of 95% confidence interval for alpha
    1.09386
  • Treynor index (mean / b)
    0.70090
  • Jensen alpha (a)
    0.40815
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25587
  • SD
    0.62570
  • Sharpe ratio (Glass type estimate)
    0.40893
  • Sharpe ratio (Hedges UMVUE)
    0.40121
  • df
    40.00000
  • t
    0.75588
  • p
    0.22707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65768
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46519
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.57911
  • Upside Potential Ratio
    2.08861
  • Upside part of mean
    0.92281
  • Downside part of mean
    -0.66695
  • Upside SD
    0.43839
  • Downside SD
    0.44183
  • N nonnegative terms
    24.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.05496
  • Mean of criterion
    0.25587
  • SD of predictor
    0.11451
  • SD of criterion
    0.62570
  • Covariance
    0.01029
  • r
    0.14368
  • b (slope, estimate of beta)
    0.78506
  • a (intercept, estimate of alpha)
    0.21272
  • Mean Square Error
    0.39325
  • DF error
    39.00000
  • t(b)
    0.90666
  • p(b)
    0.18508
  • t(a)
    0.62094
  • p(a)
    0.26913
  • Lowerbound of 95% confidence interval for beta
    -0.96634
  • Upperbound of 95% confidence interval for beta
    2.53647
  • Lowerbound of 95% confidence interval for alpha
    -0.48021
  • Upperbound of 95% confidence interval for alpha
    0.90566
  • Treynor index (mean / b)
    0.32592
  • Jensen alpha (a)
    0.21272
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24102
  • Expected Shortfall on VaR
    0.29466
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09841
  • Expected Shortfall on VaR
    0.20339
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    41.00000
  • Minimum
    0.59471
  • Quartile 1
    0.92286
  • Median
    1.04090
  • Quartile 3
    1.16220
  • Maximum
    1.47601
  • Mean of quarter 1
    0.83693
  • Mean of quarter 2
    0.99313
  • Mean of quarter 3
    1.08668
  • Mean of quarter 4
    1.26202
  • Inter Quartile Range
    0.23934
  • 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)
    0.51641
  • VaR(95%) (moments method)
    0.19447
  • Expected Shortfall (moments method)
    0.41867
  • Extreme Value Index (regression method)
    0.28145
  • VaR(95%) (regression method)
    0.16305
  • Expected Shortfall (regression method)
    0.25338
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00515
  • Quartile 1
    0.01720
  • Median
    0.17123
  • Quartile 3
    0.25081
  • Maximum
    0.67095
  • Mean of quarter 1
    0.01118
  • Mean of quarter 2
    0.17123
  • Mean of quarter 3
    0.25081
  • Mean of quarter 4
    0.67095
  • Inter Quartile Range
    0.23361
  • 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
    0.20000
  • Mean of outliers high
    0.67095
  • 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)
    0.47907
  • Compounded annual return (geometric extrapolation)
    0.32814
  • Calmar ratio (compounded annual return / max draw down)
    0.48906
  • Compounded annual return / average of 25% largest draw downs
    0.48906
  • Compounded annual return / Expected Shortfall lognormal
    1.11362
  • 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
    0.31746
  • SD
    0.59378
  • Sharpe ratio (Glass type estimate)
    0.53464
  • Sharpe ratio (Hedges UMVUE)
    0.53421
  • df
    915.00000
  • t
    0.99968
  • p
    0.15887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58301
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58271
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79662
  • Upside Potential Ratio
    7.48856
  • Upside part of mean
    2.98427
  • Downside part of mean
    -2.66681
  • Upside SD
    0.44019
  • Downside SD
    0.39851
  • N nonnegative terms
    452.00000
  • N negative terms
    464.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    916.00000
  • Mean of predictor
    0.06514
  • Mean of criterion
    0.31746
  • SD of predictor
    0.12656
  • SD of criterion
    0.59378
  • Covariance
    0.00970
  • r
    0.12906
  • b (slope, estimate of beta)
    0.60549
  • a (intercept, estimate of alpha)
    0.78400
  • Mean Square Error
    0.34708
  • DF error
    914.00000
  • t(b)
    3.93455
  • p(b)
    0.00004
  • t(a)
    0.88193
  • p(a)
    0.18902
  • Lowerbound of 95% confidence interval for beta
    0.30347
  • Upperbound of 95% confidence interval for beta
    0.90750
  • Lowerbound of 95% confidence interval for alpha
    -0.34066
  • Upperbound of 95% confidence interval for alpha
    0.89670
  • Treynor index (mean / b)
    0.52431
  • Jensen alpha (a)
    0.27802
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14181
  • SD
    0.59322
  • Sharpe ratio (Glass type estimate)
    0.23905
  • Sharpe ratio (Hedges UMVUE)
    0.23885
  • df
    915.00000
  • t
    0.44697
  • p
    0.32750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28729
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28713
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33610
  • Upside Potential Ratio
    6.85903
  • Upside part of mean
    2.89397
  • Downside part of mean
    -2.75216
  • Upside SD
    0.41663
  • Downside SD
    0.42192
  • N nonnegative terms
    452.00000
  • N negative terms
    464.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    916.00000
  • Mean of predictor
    0.05712
  • Mean of criterion
    0.14181
  • SD of predictor
    0.12670
  • SD of criterion
    0.59322
  • Covariance
    0.01011
  • r
    0.13456
  • b (slope, estimate of beta)
    0.63004
  • a (intercept, estimate of alpha)
    0.10582
  • Mean Square Error
    0.34591
  • DF error
    914.00000
  • t(b)
    4.10557
  • p(b)
    0.00002
  • t(a)
    0.33630
  • p(a)
    0.36836
  • Lowerbound of 95% confidence interval for beta
    0.32887
  • Upperbound of 95% confidence interval for beta
    0.93121
  • Lowerbound of 95% confidence interval for alpha
    -0.51174
  • Upperbound of 95% confidence interval for alpha
    0.72338
  • Treynor index (mean / b)
    0.22508
  • Jensen alpha (a)
    0.10582
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05799
  • Expected Shortfall on VaR
    0.07222
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02331
  • Expected Shortfall on VaR
    0.04883
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    916.00000
  • Minimum
    0.81470
  • Quartile 1
    0.98951
  • Median
    1.00000
  • Quartile 3
    1.01232
  • Maximum
    1.24975
  • Mean of quarter 1
    0.96389
  • Mean of quarter 2
    0.99561
  • Mean of quarter 3
    1.00520
  • Mean of quarter 4
    1.04057
  • Inter Quartile Range
    0.02280
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.05677
  • Mean of outliers low
    0.91654
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.06878
  • Mean of outliers high
    1.08453
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46378
  • VaR(95%) (moments method)
    0.03493
  • Expected Shortfall (moments method)
    0.07491
  • Extreme Value Index (regression method)
    0.22518
  • VaR(95%) (regression method)
    0.03240
  • Expected Shortfall (regression method)
    0.05319
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00251
  • Median
    0.01317
  • Quartile 3
    0.05506
  • Maximum
    0.73584
  • Mean of quarter 1
    0.00139
  • Mean of quarter 2
    0.00799
  • Mean of quarter 3
    0.02709
  • Mean of quarter 4
    0.22921
  • Inter Quartile Range
    0.05255
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.49288
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.73150
  • VaR(95%) (moments method)
    0.23952
  • Expected Shortfall (moments method)
    0.95154
  • Extreme Value Index (regression method)
    0.88537
  • VaR(95%) (regression method)
    0.24632
  • Expected Shortfall (regression method)
    2.09512
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23170
  • Compounded annual return (geometric extrapolation)
    0.18497
  • Calmar ratio (compounded annual return / max draw down)
    0.25137
  • Compounded annual return / average of 25% largest draw downs
    0.80699
  • Compounded annual return / Expected Shortfall lognormal
    2.56107
  • 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
    -1.15896
  • SD
    0.41976
  • Sharpe ratio (Glass type estimate)
    -2.76101
  • Sharpe ratio (Hedges UMVUE)
    -2.74506
  • df
    130.00000
  • t
    -1.95233
  • p
    0.58439
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.54784
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.03614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.53687
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04676
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.18970
  • Upside Potential Ratio
    5.23117
  • Upside part of mean
    1.90071
  • Downside part of mean
    -3.05967
  • Upside SD
    0.21900
  • Downside SD
    0.36334
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12295
  • Mean of criterion
    -1.15896
  • SD of predictor
    0.06943
  • SD of criterion
    0.41976
  • Covariance
    0.00059
  • r
    0.02020
  • b (slope, estimate of beta)
    0.12210
  • a (intercept, estimate of alpha)
    -1.17397
  • Mean Square Error
    0.17749
  • DF error
    129.00000
  • t(b)
    0.22942
  • p(b)
    0.48714
  • t(a)
    -1.95863
  • p(a)
    0.60766
  • Lowerbound of 95% confidence interval for beta
    -0.93092
  • Upperbound of 95% confidence interval for beta
    1.17513
  • Lowerbound of 95% confidence interval for alpha
    -2.35986
  • Upperbound of 95% confidence interval for alpha
    0.01193
  • Treynor index (mean / b)
    -9.49156
  • Jensen alpha (a)
    -1.17397
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.25087
  • SD
    0.42623
  • Sharpe ratio (Glass type estimate)
    -2.93477
  • Sharpe ratio (Hedges UMVUE)
    -2.91780
  • df
    130.00000
  • t
    -2.07519
  • p
    0.58953
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.72384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.13462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.71221
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12340
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.34439
  • Upside Potential Ratio
    5.01860
  • Upside part of mean
    1.87706
  • Downside part of mean
    -3.12794
  • Upside SD
    0.21532
  • Downside SD
    0.37402
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12051
  • Mean of criterion
    -1.25087
  • SD of predictor
    0.06945
  • SD of criterion
    0.42623
  • Covariance
    0.00062
  • r
    0.02093
  • b (slope, estimate of beta)
    0.12843
  • a (intercept, estimate of alpha)
    -1.26635
  • Mean Square Error
    0.18300
  • DF error
    129.00000
  • t(b)
    0.23776
  • p(b)
    0.48668
  • t(a)
    -2.08122
  • p(a)
    0.61412
  • VAR (95 Confidence Intrvl)
    0.08700
  • Lowerbound of 95% confidence interval for beta
    -0.94036
  • Upperbound of 95% confidence interval for beta
    1.19723
  • Lowerbound of 95% confidence interval for alpha
    -2.47022
  • Upperbound of 95% confidence interval for alpha
    -0.06249
  • Treynor index (mean / b)
    -9.73935
  • Jensen alpha (a)
    -1.26635
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04695
  • Expected Shortfall on VaR
    0.05733
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02768
  • Expected Shortfall on VaR
    0.05206
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91481
  • Quartile 1
    0.98588
  • Median
    0.99951
  • Quartile 3
    1.01041
  • Maximum
    1.06273
  • Mean of quarter 1
    0.96072
  • Mean of quarter 2
    0.99317
  • Mean of quarter 3
    1.00533
  • Mean of quarter 4
    1.02381
  • Inter Quartile Range
    0.02453
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.93126
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05612
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.46832
  • VaR(95%) (moments method)
    0.03578
  • Expected Shortfall (moments method)
    0.04203
  • Extreme Value Index (regression method)
    -0.31365
  • VaR(95%) (regression method)
    0.04372
  • Expected Shortfall (regression method)
    0.05446
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00692
  • Quartile 1
    0.00781
  • Median
    0.02656
  • Quartile 3
    0.08700
  • Maximum
    0.53388
  • Mean of quarter 1
    0.00717
  • Mean of quarter 2
    0.00897
  • Mean of quarter 3
    0.04416
  • Mean of quarter 4
    0.31758
  • Inter Quartile Range
    0.07919
  • 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
    0.53388
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    166
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.91491
  • Compounded annual return (geometric extrapolation)
    -0.70564
  • Calmar ratio (compounded annual return / max draw down)
    -1.32174
  • Compounded annual return / average of 25% largest draw downs
    -2.22195
  • Compounded annual return / Expected Shortfall lognormal
    -12.30770

Strategy Description

Summary Statistics

Strategy began
2014-01-14
Suggested Minimum Capital
$20,000
# Trades
62
# Profitable
36
% Profitable
58.1%
Correlation S&P500
-0.082
Sharpe Ratio
0.41
Sortino Ratio
0.76
Beta
-0.42
Alpha
0.13

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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