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

EURUSD Forex Profits
(117530196)

Created by: ForexProfits ForexProfits
Started: 04/2018
Forex
Last trade: 46 days ago
Trading style: Futures Currencies

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 $25.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
21.2%
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.

(9.0%)
Max Drawdown
538
Num Trades
85.9%
Win Trades
9.3 : 1
Profit Factor
87.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +2.5%+3.8%+2.4%+0.8%+1.0%+2.0%+3.5%+2.9%+0.6%+21.0%
2019(0.8%)+1.6%+4.0%+0.3%+1.7%(2.6%)+1.3%                              +5.4%

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

This strategy has placed 1,627 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/29/19 3:07 EUR/USD EUR/USD LONG 17 1.11362 6/2 17:15 1.11569 0.18%
Trade id #123855377
Max drawdown($114)
Time5/30/19 9:42
Quant open3
Worst price1.11160
Drawdown as % of equity-0.18%
$353
5/16/19 8:55 EUR/USD EUR/USD LONG 9 1.11784 5/23 16:21 1.11817 1%
Trade id #123692640
Max drawdown($642)
Time5/23/19 9:34
Quant open9
Worst price1.11070
Drawdown as % of equity-1.00%
$29
5/16/19 4:20 EUR/USD EUR/USD SHORT 7 1.12170 5/16 5:23 1.12117 0.08%
Trade id #123690732
Max drawdown($48)
Time5/16/19 5:03
Quant open-7
Worst price1.12240
Drawdown as % of equity-0.08%
$37
5/15/19 14:25 EUR/USD EUR/USD LONG 3 1.12025 5/15 19:46 1.12052 0.01%
Trade id #123684769
Max drawdown($8)
Time5/15/19 15:25
Quant open1
Worst price1.11973
Drawdown as % of equity-0.01%
$8
5/7/19 16:11 EUR/USD EUR/USD SHORT 26 1.11940 5/15 8:26 1.11880 0.87%
Trade id #123564912
Max drawdown($556)
Time5/13/19 9:05
Quant open-8
Worst price1.12635
Drawdown as % of equity-0.87%
$155
5/5/19 17:15 EUR/USD EUR/USD SHORT 5 1.11712 5/7 13:04 1.11712 0.36%
Trade id #123533230
Max drawdown($234)
Time5/7/19 2:27
Quant open-5
Worst price1.12180
Drawdown as % of equity-0.36%
$0
5/2/19 18:19 EUR/USD EUR/USD LONG 7 1.11679 5/3 11:13 1.11940 0.36%
Trade id #123514545
Max drawdown($230)
Time5/3/19 8:32
Quant open7
Worst price1.11350
Drawdown as % of equity-0.36%
$182
5/2/19 4:30 EUR/USD EUR/USD SHORT 1 1.12143 5/2 5:03 1.12066 0%
Trade id #123501547
Max drawdown($1)
Time5/2/19 4:48
Quant open-1
Worst price1.12160
Drawdown as % of equity-0.00%
$8
5/1/19 10:25 EUR/USD EUR/USD SHORT 6 1.12445 5/1 14:25 1.12539 0.1%
Trade id #123490851
Max drawdown($61)
Time5/1/19 14:23
Quant open-3
Worst price1.12649
Drawdown as % of equity-0.10%
($57)
5/1/19 9:09 EUR/USD EUR/USD LONG 2 1.12265 5/1 10:25 1.12436 0.01%
Trade id #123488801
Max drawdown($5)
Time5/1/19 9:24
Quant open2
Worst price1.12237
Drawdown as % of equity-0.01%
$34
4/23/19 7:10 EUR/USD EUR/USD LONG 20 1.12218 5/1 5:23 1.12328 3.61%
Trade id #123397565
Max drawdown($2,242)
Time4/26/19 8:31
Quant open20
Worst price1.11097
Drawdown as % of equity-3.61%
$218
4/23/19 4:22 EUR/USD EUR/USD SHORT 3 1.12546 4/23 6:40 1.12511 0.03%
Trade id #123396769
Max drawdown($17)
Time4/23/19 5:44
Quant open-2
Worst price1.12613
Drawdown as % of equity-0.03%
$11
4/8/19 0:28 EUR/USD EUR/USD SHORT 11 1.12359 4/18 12:07 1.12357 0.83%
Trade id #123232967
Max drawdown($528)
Time4/12/19 9:06
Quant open-6
Worst price1.13239
Drawdown as % of equity-0.83%
$2
4/5/19 14:01 EUR/USD EUR/USD LONG 1 1.12159 4/7 17:15 1.12132 0.01%
Trade id #123223007
Max drawdown($3)
Time4/7/19 17:12
Quant open1
Worst price1.12123
Drawdown as % of equity-0.01%
($3)
4/2/19 5:31 EUR/USD EUR/USD SHORT 31 1.12194 4/4 17:34 1.12144 1.44%
Trade id #123163828
Max drawdown($910)
Time4/3/19 5:50
Quant open-25
Worst price1.12547
Drawdown as % of equity-1.44%
$153
4/2/19 1:12 EUR/USD EUR/USD SHORT 3 1.12067 4/2 2:50 1.12014 0.02%
Trade id #123162288
Max drawdown($14)
Time4/2/19 1:33
Quant open-3
Worst price1.12114
Drawdown as % of equity-0.02%
$16
4/1/19 22:07 EUR/USD EUR/USD LONG 4 1.11988 4/2 1:12 1.12023 0.01%
Trade id #123161079
Max drawdown($8)
Time4/2/19 0:25
Quant open1
Worst price1.11959
Drawdown as % of equity-0.01%
$14
4/1/19 17:55 EUR/USD EUR/USD LONG 1 1.12027 4/1 19:22 1.12064 0%
Trade id #123159750
Max drawdown($1)
Time4/1/19 17:57
Quant open1
Worst price1.12016
Drawdown as % of equity-0.00%
$4
4/1/19 12:44 EUR/USD EUR/USD LONG 1 1.12057 4/1 14:08 1.12096 0%
Trade id #123155048
Max drawdown($1)
Time4/1/19 13:20
Quant open1
Worst price1.12041
Drawdown as % of equity-0.00%
$4
3/31/19 17:23 EUR/USD EUR/USD SHORT 9 1.12275 4/1 11:35 1.12216 0.18%
Trade id #123141644
Max drawdown($112)
Time4/1/19 4:31
Quant open-5
Worst price1.12500
Drawdown as % of equity-0.18%
$53
3/29/19 6:58 EUR/USD EUR/USD SHORT 16 1.12329 3/29 12:47 1.12298 0.12%
Trade id #123123304
Max drawdown($76)
Time3/29/19 8:33
Quant open-4
Worst price1.12467
Drawdown as % of equity-0.12%
$49
3/29/19 3:22 EUR/USD EUR/USD SHORT 1 1.12361 3/29 4:15 1.12353 0%
Trade id #123122163
Max drawdown($2)
Time3/29/19 3:24
Quant open-1
Worst price1.12383
Drawdown as % of equity-0.00%
$1
3/28/19 22:20 EUR/USD EUR/USD LONG 2 1.12279 3/28 23:01 1.12289 0%
Trade id #123120763
Max drawdown($1)
Time3/28/19 22:22
Quant open2
Worst price1.12270
Drawdown as % of equity-0.00%
$2
3/28/19 20:51 EUR/USD EUR/USD SHORT 1 1.12291 3/28 21:37 1.12291 0.01%
Trade id #123120272
Max drawdown($4)
Time3/28/19 20:56
Quant open-1
Worst price1.12340
Drawdown as % of equity-0.01%
$0
3/28/19 15:27 EUR/USD EUR/USD LONG 2 1.12223 3/28 20:09 1.12261 0.01%
Trade id #123118306
Max drawdown($7)
Time3/28/19 17:01
Quant open2
Worst price1.12186
Drawdown as % of equity-0.01%
$8
3/28/19 12:31 EUR/USD EUR/USD LONG 1 1.12240 3/28 14:13 1.12292 0.01%
Trade id #123116122
Max drawdown($8)
Time3/28/19 12:45
Quant open1
Worst price1.12152
Drawdown as % of equity-0.01%
$5
3/28/19 10:26 EUR/USD EUR/USD SHORT 2 1.12347 3/28 12:31 1.12240 0.01%
Trade id #123113553
Max drawdown($7)
Time3/28/19 11:15
Quant open-2
Worst price1.12386
Drawdown as % of equity-0.01%
$21
3/28/19 7:15 EUR/USD EUR/USD LONG 16 1.12261 3/28 10:26 1.12330 0.32%
Trade id #123109906
Max drawdown($200)
Time3/28/19 9:46
Quant open16
Worst price1.12136
Drawdown as % of equity-0.32%
$110
3/28/19 5:08 EUR/USD EUR/USD SHORT 7 1.12538 3/28 6:41 1.12490 0.05%
Trade id #123108975
Max drawdown($30)
Time3/28/19 5:25
Quant open-5
Worst price1.12590
Drawdown as % of equity-0.05%
$34
3/28/19 4:24 EUR/USD EUR/USD LONG 4 1.12363 3/28 5:08 1.12521 0.01%
Trade id #123108579
Max drawdown($6)
Time3/28/19 4:26
Quant open4
Worst price1.12346
Drawdown as % of equity-0.01%
$63

Statistics

  • Strategy began
    4/16/2018
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    458.57
  • Age
    15 months ago
  • What it trades
    Forex
  • # Trades
    538
  • # Profitable
    462
  • % Profitable
    85.90%
  • Avg trade duration
    11.1 hours
  • Max peak-to-valley drawdown
    9.02%
  • drawdown period
    May 28, 2018 - May 29, 2018
  • Annual Return (Compounded)
    21.2%
  • Avg win
    $34.76
  • Avg loss
    $22.76
  • Model Account Values (Raw)
  • Cash
    $64,969
  • Margin Used
    $3,040
  • Buying Power
    $61,276
  • Ratios
  • W:L ratio
    9.28:1
  • Sharpe Ratio
    1.71
  • Sortino Ratio
    2.87
  • Calmar Ratio
    5.558
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06890
  • Return Statistics
  • Ann Return (w trading costs)
    21.2%
  • Ann Return (Compnd, No Fees)
    21.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    904
  • Popularity (Last 6 weeks)
    977
  • C2 Score
    66.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $25
  • Avg Win
    $35
  • # Winners
    462
  • # Losers
    76
  • % Winners
    85.9%
  • Frequency
  • Avg Position Time (mins)
    668.12
  • Avg Position Time (hrs)
    11.13
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    46
  • Leverage
  • Daily leverage (average)
    2.73
  • Daily leverage (max)
    30.76
  • Unknown
  • Alpha
    0.05
  • Beta
    0.04
  • Treynor Index
    1.18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17322
  • SD
    0.06521
  • Sharpe ratio (Glass type estimate)
    2.65660
  • Sharpe ratio (Hedges UMVUE)
    2.49981
  • df
    13.00000
  • t
    2.86945
  • p
    0.13094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54088
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.69509
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55309
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.95496
  • Upside Potential Ratio
    8.27229
  • Upside part of mean
    0.20604
  • Downside part of mean
    -0.03281
  • Upside SD
    0.07634
  • Downside SD
    0.02491
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.06249
  • Mean of criterion
    0.17322
  • SD of predictor
    0.13512
  • SD of criterion
    0.06521
  • Covariance
    -0.00009
  • r
    -0.01053
  • b (slope, estimate of beta)
    -0.00508
  • a (intercept, estimate of alpha)
    0.17354
  • Mean Square Error
    0.00461
  • DF error
    12.00000
  • t(b)
    -0.03648
  • p(b)
    0.50526
  • t(a)
    2.73595
  • p(a)
    0.19010
  • Lowerbound of 95% confidence interval for beta
    -0.30858
  • Upperbound of 95% confidence interval for beta
    0.29842
  • Lowerbound of 95% confidence interval for alpha
    0.03534
  • Upperbound of 95% confidence interval for alpha
    0.31175
  • Treynor index (mean / b)
    -34.08940
  • Jensen alpha (a)
    0.17354
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16967
  • SD
    0.06443
  • Sharpe ratio (Glass type estimate)
    2.63336
  • Sharpe ratio (Hedges UMVUE)
    2.47794
  • df
    13.00000
  • t
    2.84435
  • p
    0.13261
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52215
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42858
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52730
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.75576
  • Upside Potential Ratio
    8.07161
  • Upside part of mean
    0.20272
  • Downside part of mean
    -0.03305
  • Upside SD
    0.07499
  • Downside SD
    0.02511
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.05371
  • Mean of criterion
    0.16967
  • SD of predictor
    0.13567
  • SD of criterion
    0.06443
  • Covariance
    -0.00002
  • r
    -0.00283
  • b (slope, estimate of beta)
    -0.00134
  • a (intercept, estimate of alpha)
    0.16974
  • Mean Square Error
    0.00450
  • DF error
    12.00000
  • t(b)
    -0.00979
  • p(b)
    0.50141
  • t(a)
    2.71491
  • p(a)
    0.19157
  • Lowerbound of 95% confidence interval for beta
    -0.30004
  • Upperbound of 95% confidence interval for beta
    0.29736
  • Lowerbound of 95% confidence interval for alpha
    0.03352
  • Upperbound of 95% confidence interval for alpha
    0.30596
  • Treynor index (mean / b)
    -126.42700
  • Jensen alpha (a)
    0.16974
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01632
  • Expected Shortfall on VaR
    0.02391
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00320
  • Expected Shortfall on VaR
    0.00820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.97865
  • Quartile 1
    1.00760
  • Median
    1.01661
  • Quartile 3
    1.03624
  • Maximum
    1.03821
  • Mean of quarter 1
    0.99393
  • Mean of quarter 2
    1.01304
  • Mean of quarter 3
    1.02379
  • Mean of quarter 4
    1.03712
  • Inter Quartile Range
    0.02865
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.94571
  • VaR(95%) (regression method)
    0.02378
  • Expected Shortfall (regression method)
    0.02810
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01030
  • Quartile 1
    0.01306
  • Median
    0.01582
  • Quartile 3
    0.01858
  • Maximum
    0.02135
  • Mean of quarter 1
    0.01030
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02135
  • Inter Quartile Range
    0.00553
  • 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)
    0.22220
  • Compounded annual return (geometric extrapolation)
    0.21845
  • Calmar ratio (compounded annual return / max draw down)
    10.23370
  • Compounded annual return / average of 25% largest draw downs
    10.23370
  • Compounded annual return / Expected Shortfall lognormal
    9.13536
  • 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
    0.17696
  • SD
    0.08736
  • Sharpe ratio (Glass type estimate)
    2.02561
  • Sharpe ratio (Hedges UMVUE)
    2.02092
  • df
    324.00000
  • t
    2.25604
  • p
    0.01237
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79077
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.78756
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.29819
  • Upside Potential Ratio
    8.39066
  • Upside part of mean
    0.45020
  • Downside part of mean
    -0.27323
  • Upside SD
    0.06964
  • Downside SD
    0.05365
  • N nonnegative terms
    207.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    325.00000
  • Mean of predictor
    0.07281
  • Mean of criterion
    0.17696
  • SD of predictor
    0.14465
  • SD of criterion
    0.08736
  • Covariance
    0.00088
  • r
    0.06958
  • b (slope, estimate of beta)
    0.04202
  • a (intercept, estimate of alpha)
    0.17400
  • Mean Square Error
    0.00762
  • DF error
    323.00000
  • t(b)
    1.25351
  • p(b)
    0.10546
  • t(a)
    2.21791
  • p(a)
    0.01363
  • Lowerbound of 95% confidence interval for beta
    -0.02393
  • Upperbound of 95% confidence interval for beta
    0.10798
  • Lowerbound of 95% confidence interval for alpha
    0.01965
  • Upperbound of 95% confidence interval for alpha
    0.32816
  • Treynor index (mean / b)
    4.21113
  • Jensen alpha (a)
    0.17390
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17310
  • SD
    0.08709
  • Sharpe ratio (Glass type estimate)
    1.98764
  • Sharpe ratio (Hedges UMVUE)
    1.98304
  • df
    324.00000
  • t
    2.21375
  • p
    0.01377
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21976
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21665
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74942
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.19232
  • Upside Potential Ratio
    8.25775
  • Upside part of mean
    0.44776
  • Downside part of mean
    -0.27466
  • Upside SD
    0.06881
  • Downside SD
    0.05422
  • N nonnegative terms
    207.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    325.00000
  • Mean of predictor
    0.06236
  • Mean of criterion
    0.17310
  • SD of predictor
    0.14468
  • SD of criterion
    0.08709
  • Covariance
    0.00089
  • r
    0.07082
  • b (slope, estimate of beta)
    0.04263
  • a (intercept, estimate of alpha)
    0.17044
  • Mean Square Error
    0.00757
  • DF error
    323.00000
  • t(b)
    1.27605
  • p(b)
    0.10143
  • t(a)
    2.18109
  • p(a)
    0.01495
  • Lowerbound of 95% confidence interval for beta
    -0.02309
  • Upperbound of 95% confidence interval for beta
    0.10835
  • Lowerbound of 95% confidence interval for alpha
    0.01670
  • Upperbound of 95% confidence interval for alpha
    0.32418
  • Treynor index (mean / b)
    4.06052
  • Jensen alpha (a)
    0.17044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00816
  • Expected Shortfall on VaR
    0.01038
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00184
  • Expected Shortfall on VaR
    0.00436
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    325.00000
  • Minimum
    0.96237
  • Quartile 1
    0.99988
  • Median
    1.00050
  • Quartile 3
    1.00196
  • Maximum
    1.04292
  • Mean of quarter 1
    0.99601
  • Mean of quarter 2
    1.00018
  • Mean of quarter 3
    1.00105
  • Mean of quarter 4
    1.00594
  • Inter Quartile Range
    0.00208
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.09538
  • Mean of outliers low
    0.99168
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.08308
  • Mean of outliers high
    1.01148
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24247
  • VaR(95%) (moments method)
    0.00299
  • Expected Shortfall (moments method)
    0.00545
  • Extreme Value Index (regression method)
    0.16709
  • VaR(95%) (regression method)
    0.00375
  • Expected Shortfall (regression method)
    0.00667
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00054
  • Median
    0.00205
  • Quartile 3
    0.00866
  • Maximum
    0.04006
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00117
  • Mean of quarter 3
    0.00490
  • Mean of quarter 4
    0.02309
  • Inter Quartile Range
    0.00811
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12821
  • Mean of outliers high
    0.03240
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.16386
  • VaR(95%) (moments method)
    0.02297
  • Expected Shortfall (moments method)
    0.02913
  • Extreme Value Index (regression method)
    -0.43307
  • VaR(95%) (regression method)
    0.02835
  • Expected Shortfall (regression method)
    0.03369
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22828
  • Compounded annual return (geometric extrapolation)
    0.22263
  • Calmar ratio (compounded annual return / max draw down)
    5.55762
  • Compounded annual return / average of 25% largest draw downs
    9.64341
  • Compounded annual return / Expected Shortfall lognormal
    21.44600
  • 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
    0.05422
  • SD
    0.07056
  • Sharpe ratio (Glass type estimate)
    0.76843
  • Sharpe ratio (Hedges UMVUE)
    0.76399
  • df
    130.00000
  • t
    0.54336
  • p
    0.47620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00640
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53735
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09864
  • Upside Potential Ratio
    8.58509
  • Upside part of mean
    0.42366
  • Downside part of mean
    -0.36945
  • Upside SD
    0.05016
  • Downside SD
    0.04935
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23357
  • Mean of criterion
    0.05422
  • SD of predictor
    0.10887
  • SD of criterion
    0.07056
  • Covariance
    -0.00113
  • r
    -0.14721
  • b (slope, estimate of beta)
    -0.09540
  • a (intercept, estimate of alpha)
    0.07650
  • Mean Square Error
    0.00491
  • DF error
    129.00000
  • t(b)
    -1.69038
  • p(b)
    0.59338
  • t(a)
    0.76540
  • p(a)
    0.45723
  • Lowerbound of 95% confidence interval for beta
    -0.20707
  • Upperbound of 95% confidence interval for beta
    0.01626
  • Lowerbound of 95% confidence interval for alpha
    -0.12125
  • Upperbound of 95% confidence interval for alpha
    0.27425
  • Treynor index (mean / b)
    -0.56829
  • Jensen alpha (a)
    0.07650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05173
  • SD
    0.07057
  • Sharpe ratio (Glass type estimate)
    0.73311
  • Sharpe ratio (Hedges UMVUE)
    0.72887
  • df
    130.00000
  • t
    0.51839
  • p
    0.47729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50209
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04377
  • Upside Potential Ratio
    8.52137
  • Upside part of mean
    0.42237
  • Downside part of mean
    -0.37063
  • Upside SD
    0.04995
  • Downside SD
    0.04957
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22756
  • Mean of criterion
    0.05173
  • SD of predictor
    0.10893
  • SD of criterion
    0.07057
  • Covariance
    -0.00113
  • r
    -0.14643
  • b (slope, estimate of beta)
    -0.09486
  • a (intercept, estimate of alpha)
    0.07332
  • Mean Square Error
    0.00491
  • DF error
    129.00000
  • t(b)
    -1.68127
  • p(b)
    0.59289
  • t(a)
    0.73371
  • p(a)
    0.45899
  • Lowerbound of 95% confidence interval for beta
    -0.20650
  • Upperbound of 95% confidence interval for beta
    0.01677
  • Lowerbound of 95% confidence interval for alpha
    -0.12440
  • Upperbound of 95% confidence interval for alpha
    0.27104
  • Treynor index (mean / b)
    -0.54536
  • Jensen alpha (a)
    0.07332
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00695
  • Expected Shortfall on VaR
    0.00876
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00325
  • Expected Shortfall on VaR
    0.00652
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98667
  • Quartile 1
    0.99867
  • Median
    1.00011
  • Quartile 3
    1.00227
  • Maximum
    1.01259
  • Mean of quarter 1
    0.99499
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00117
  • Mean of quarter 4
    1.00550
  • Inter Quartile Range
    0.00361
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98927
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01018
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11942
  • VaR(95%) (moments method)
    0.00394
  • Expected Shortfall (moments method)
    0.00524
  • Extreme Value Index (regression method)
    -0.15712
  • VaR(95%) (regression method)
    0.00470
  • Expected Shortfall (regression method)
    0.00626
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00096
  • Median
    0.00330
  • Quartile 3
    0.01319
  • Maximum
    0.03594
  • Mean of quarter 1
    0.00061
  • Mean of quarter 2
    0.00244
  • Mean of quarter 3
    0.00564
  • Mean of quarter 4
    0.02769
  • Inter Quartile Range
    0.01223
  • 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
    0.06667
  • Mean of outliers high
    0.03594
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.67216
  • VaR(95%) (moments method)
    0.03023
  • Expected Shortfall (moments method)
    0.03028
  • Extreme Value Index (regression method)
    -0.86975
  • VaR(95%) (regression method)
    0.03632
  • Expected Shortfall (regression method)
    0.03886
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08125
  • Compounded annual return (geometric extrapolation)
    0.08290
  • Calmar ratio (compounded annual return / max draw down)
    2.30681
  • Compounded annual return / average of 25% largest draw downs
    2.99332
  • Compounded annual return / Expected Shortfall lognormal
    9.46811

Strategy Description

Trading Record - Around 1300 trades in real-life brokerage accounts - See AutoTrade data.

Recommended Brokers: FXCM and Interactive Brokers


Coupon code - UGGA83363

This coupon allows a new subscriber access to 'EURUSD Forex Profits' at reduced price.

Instead of the standard price of $29.00 per month, user of this coupon will be charged $0.00 per month.

This reduced price will remain in effect for 1 billing transactions.

Please note that this coupon expires on 2019-04-25 06:19:00 Eastern U.S. time.

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Summary Statistics

Strategy began
2018-04-16
Suggested Minimum Capital
$60,000
# Trades
538
# Profitable
462
% Profitable
85.9%
Correlation S&P500
0.069
Sharpe Ratio
1.71
Sortino Ratio
2.87
Beta
0.04
Alpha
0.05
Leverage
2.73 Average
30.76 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.