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

Forex Aggressive Risk
(117863277)

Created by: JayMcGivney6 JayMcGivney6
Started: 05/2018
Forex
Last trade: 2 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

162.0%
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.

(24.5%)
Max Drawdown
232
Num Trades
96.6%
Win Trades
8.2 : 1
Profit Factor
70.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +15.0%+11.0%+13.1%(10%)(2.9%)+24.2%+5.9%+0.3%+66.7%
2019+17.6%(8.4%)+35.0%(7.1%)+29.2%+7.8%+20.4%+1.2%(2%)                  +124.9%

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.

Trading Record

This strategy has placed 255 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/12/19 13:09 USD/JPY USD/JPY SHORT 35 108.047 9/15 20:27 107.539 1%
Trade id #125331412
Max drawdown($685)
Time9/12/19 21:26
Quant open35
Worst price108.259
Drawdown as % of equity-1.00%
$1,652
7/26/19 9:55 EUR/AUD EUR/AUD SHORT 60 1.62362 9/3 7:28 1.62376 32.16%
Trade id #124631151
Max drawdown($18,484)
Time8/7/19 0:00
Quant open40
Worst price1.67870
Drawdown as % of equity-32.16%
($56)
8/27/19 9:45 CAD/CHF CAD/CHF SHORT 25 0.74219 8/27 10:59 0.74025 0.16%
Trade id #125100929
Max drawdown($119)
Time8/27/19 10:11
Quant open25
Worst price0.74266
Drawdown as % of equity-0.16%
$493
8/21/19 9:40 CAD/CHF CAD/CHF SHORT 25 0.73953 8/23 9:42 0.73888 0.74%
Trade id #125017712
Max drawdown($551)
Time8/23/19 7:00
Quant open25
Worst price0.74168
Drawdown as % of equity-0.74%
$166
8/19/19 10:57 USD/CHF USD/CHF SHORT 50 0.98079 8/20 5:53 0.97878 0.68%
Trade id #124988464
Max drawdown($496)
Time8/19/19 16:02
Quant open50
Worst price0.98176
Drawdown as % of equity-0.68%
$1,025
8/16/19 12:07 USD/CHF USD/CHF SHORT 50 0.98004 8/16 14:00 0.97801 1.22%
Trade id #124967355
Max drawdown($901)
Time8/16/19 14:00
Quant open-50
Worst price0.97828
Drawdown as % of equity-1.22%
$1,037
8/15/19 13:51 USD/CAD USD/CAD SHORT 50 1.33337 8/15 16:48 1.33144 1%
Trade id #124954036
Max drawdown($719)
Time8/15/19 16:48
Quant open-50
Worst price1.33146
Drawdown as % of equity-1.00%
$725
8/14/19 9:32 USD/CAD USD/CAD SHORT 20 1.33123 8/15 2:38 1.32919 0.35%
Trade id #124927751
Max drawdown($247)
Time8/15/19 2:38
Quant open-20
Worst price1.32958
Drawdown as % of equity-0.35%
$307
8/13/19 12:00 AUD/NZD AUD/NZD SHORT 50 1.05255 8/13 23:27 1.05067 0.94%
Trade id #124910302
Max drawdown($640)
Time8/13/19 23:27
Quant open-50
Worst price1.05057
Drawdown as % of equity-0.94%
$608
8/8/19 9:23 AUD/NZD AUD/NZD SHORT 40 1.05105 8/8 17:03 1.05055 0.57%
Trade id #124833623
Max drawdown($389)
Time8/8/19 17:03
Quant open-40
Worst price1.04955
Drawdown as % of equity-0.57%
$132
8/6/19 15:00 USD/CAD USD/CAD SHORT 50 1.32878 8/7 21:36 1.32769 3.23%
Trade id #124797662
Max drawdown($2,058)
Time8/6/19 15:00
Quant open50
Worst price1.33426
Drawdown as % of equity-3.23%
$414
7/22/19 10:46 USD/CAD USD/CAD SHORT 90 1.31249 7/31 9:06 1.31236 7.01%
Trade id #124564197
Max drawdown($5,082)
Time7/22/19 10:46
Quant open90
Worst price1.31992
Drawdown as % of equity-7.01%
$87
7/25/19 14:08 USD/JPY USD/JPY SHORT 50 108.660 7/28 20:47 108.467 1.06%
Trade id #124618460
Max drawdown($774)
Time7/25/19 14:08
Quant open50
Worst price108.828
Drawdown as % of equity-1.06%
$886
7/18/19 9:11 NZD/USD NZD/USD SHORT 70 0.67400 7/22 23:41 0.67339 4.73%
Trade id #124513683
Max drawdown($3,544)
Time7/18/19 9:11
Quant open70
Worst price0.67906
Drawdown as % of equity-4.73%
$428
7/17/19 9:37 NZD/JPY NZD/JPY SHORT 70 72.773 7/17 20:56 72.584 1.23%
Trade id #124492667
Max drawdown($906)
Time7/17/19 9:37
Quant open70
Worst price72.913
Drawdown as % of equity-1.23%
$1,226
7/16/19 10:08 CAD/JPY CAD/JPY SHORT 50 82.994 7/16 13:52 82.801 0.91%
Trade id #124475726
Max drawdown($649)
Time7/16/19 10:08
Quant open50
Worst price83.135
Drawdown as % of equity-0.91%
$892
7/12/19 12:46 NZD/USD NZD/USD SHORT 105 0.67030 7/16 11:57 0.67028 4.77%
Trade id #124439628
Max drawdown($3,472)
Time7/12/19 12:46
Quant open105
Worst price0.67361
Drawdown as % of equity-4.77%
$28
7/3/19 12:02 CAD/CHF CAD/CHF SHORT 50 0.75484 7/12 11:15 0.75430 4.81%
Trade id #124327860
Max drawdown($3,193)
Time7/3/19 12:02
Quant open50
Worst price0.76119
Drawdown as % of equity-4.81%
$275
7/11/19 11:05 NZD/CHF NZD/CHF SHORT 50 0.65911 7/12 9:01 0.65727 1.77%
Trade id #124419419
Max drawdown($1,257)
Time7/11/19 11:05
Quant open50
Worst price0.66158
Drawdown as % of equity-1.77%
$933
7/9/19 9:45 EUR/AUD EUR/AUD SHORT 25 1.61733 7/11 5:02 1.61532 1.45%
Trade id #124387023
Max drawdown($1,004)
Time7/9/19 9:45
Quant open25
Worst price1.62310
Drawdown as % of equity-1.45%
$350
7/8/19 13:31 USD/JPY USD/JPY SHORT 50 108.680 7/10 11:19 108.479 2%
Trade id #124375821
Max drawdown($1,362)
Time7/8/19 13:31
Quant open50
Worst price108.976
Drawdown as % of equity-2.00%
$928
7/2/19 14:37 NZD/USD NZD/USD SHORT 70 0.66719 7/5 8:30 0.66504 4.89%
Trade id #124313790
Max drawdown($3,373)
Time7/2/19 14:37
Quant open70
Worst price0.67201
Drawdown as % of equity-4.89%
$1,506
6/21/19 10:08 CHF/JPY CHF/JPY SHORT 60 109.576 7/2 9:26 109.436 10.26%
Trade id #124181185
Max drawdown($6,833)
Time6/21/19 10:08
Quant open60
Worst price110.811
Drawdown as % of equity-10.26%
$776
6/26/19 10:12 NZD/USD NZD/USD SHORT 40 0.66817 7/2 3:48 0.66623 2.82%
Trade id #124238576
Max drawdown($1,802)
Time6/26/19 10:12
Quant open40
Worst price0.67268
Drawdown as % of equity-2.82%
$779
6/24/19 10:30 EUR/USD EUR/USD SHORT 40 1.13908 6/25 12:37 1.13708 1.37%
Trade id #124203628
Max drawdown($855)
Time6/24/19 10:30
Quant open40
Worst price1.14122
Drawdown as % of equity-1.37%
$802
6/20/19 21:06 NZD/USD NZD/USD SHORT 60 0.65905 6/21 9:21 0.65590 1.27%
Trade id #124174473
Max drawdown($818)
Time6/20/19 21:06
Quant open60
Worst price0.66041
Drawdown as % of equity-1.27%
$1,886
6/19/19 15:41 CAD/JPY CAD/JPY SHORT 60 81.332 6/20 12:15 81.301 n/a $172
6/14/19 10:00 USD/CHF USD/CHF SHORT 50 0.99639 6/19 14:00 0.99500 n/a $696
6/10/19 15:38 EUR/AUD EUR/AUD SHORT 50 1.63051 6/18 10:29 1.62868 8.22%
Trade id #124016298
Max drawdown($4,923)
Time6/18/19 3:31
Quant open-50
Worst price1.64484
Drawdown as % of equity-8.22%
$629
6/12/19 14:17 USD/CHF USD/CHF SHORT 50 0.99489 6/13 4:08 0.99282 0.94%
Trade id #124054428
Max drawdown($583)
Time6/13/19 3:02
Quant open-50
Worst price0.99605
Drawdown as % of equity-0.94%
$1,043

Statistics

  • Strategy began
    5/9/2018
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    497.28
  • Age
    17 months ago
  • What it trades
    Forex
  • # Trades
    232
  • # Profitable
    224
  • % Profitable
    96.60%
  • Avg trade duration
    5.6 days
  • Max peak-to-valley drawdown
    24.5%
  • drawdown period
    Aug 01, 2019 - Aug 06, 2019
  • Annual Return (Compounded)
    162.0%
  • Avg win
    $290.24
  • Avg loss
    $992.62
  • Model Account Values (Raw)
  • Cash
    $84,726
  • Margin Used
    $45,163
  • Buying Power
    $31,477
  • Ratios
  • W:L ratio
    8.19:1
  • Sharpe Ratio
    2.13
  • Sortino Ratio
    3.62
  • Calmar Ratio
    7.676
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.03770
  • Return Statistics
  • Ann Return (w trading costs)
    162.0%
  • Ann Return (Compnd, No Fees)
    168.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.50%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    4.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    971
  • Popularity (Last 6 weeks)
    996
  • C2 Score
    172
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $991
  • Avg Win
    $290
  • # Winners
    224
  • # Losers
    8
  • % Winners
    96.5%
  • Frequency
  • Avg Position Time (mins)
    8105.95
  • Avg Position Time (hrs)
    135.10
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    12.02
  • Daily leverage (max)
    24.02
  • Regression
  • Alpha
    0.27
  • Beta
    -0.10
  • Treynor Index
    -2.77
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    4.268
  • Avg(MAE) / Avg(PL) - Winning trades
    2.542
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.056
  • Hold-and-Hope Ratio
    0.267
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02618
  • SD
    0.31350
  • Sharpe ratio (Glass type estimate)
    3.27331
  • Sharpe ratio (Hedges UMVUE)
    3.10640
  • df
    15.00000
  • t
    3.77970
  • p
    0.09477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.17993
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.29278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13537
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.38810
  • Upside Potential Ratio
    17.82530
  • Upside part of mean
    1.11617
  • Downside part of mean
    -0.09000
  • Upside SD
    0.41949
  • Downside SD
    0.06262
  • N nonnegative terms
    13.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.06182
  • Mean of criterion
    1.02618
  • SD of predictor
    0.12586
  • SD of criterion
    0.31350
  • Covariance
    0.00569
  • r
    0.14423
  • b (slope, estimate of beta)
    0.35926
  • a (intercept, estimate of alpha)
    1.00397
  • Mean Square Error
    0.10311
  • DF error
    14.00000
  • t(b)
    0.54537
  • p(b)
    0.42788
  • t(a)
    3.57215
  • p(a)
    0.15473
  • Lowerbound of 95% confidence interval for beta
    -1.05359
  • Upperbound of 95% confidence interval for beta
    1.77211
  • Lowerbound of 95% confidence interval for alpha
    0.40117
  • Upperbound of 95% confidence interval for alpha
    1.60677
  • Treynor index (mean / b)
    2.85638
  • Jensen alpha (a)
    1.00397
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.94333
  • SD
    0.28932
  • Sharpe ratio (Glass type estimate)
    3.26045
  • Sharpe ratio (Hedges UMVUE)
    3.09419
  • df
    15.00000
  • t
    3.76484
  • p
    0.09542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.16972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.27736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.12077
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.75110
  • Upside Potential Ratio
    16.18660
  • Upside part of mean
    1.03513
  • Downside part of mean
    -0.09180
  • Upside SD
    0.38541
  • Downside SD
    0.06395
  • N nonnegative terms
    13.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.05412
  • Mean of criterion
    0.94333
  • SD of predictor
    0.12608
  • SD of criterion
    0.28932
  • Covariance
    0.00559
  • r
    0.15313
  • b (slope, estimate of beta)
    0.35137
  • a (intercept, estimate of alpha)
    0.92431
  • Mean Square Error
    0.08758
  • DF error
    14.00000
  • t(b)
    0.57978
  • p(b)
    0.42344
  • t(a)
    3.57723
  • p(a)
    0.15448
  • Lowerbound of 95% confidence interval for beta
    -0.94847
  • Upperbound of 95% confidence interval for beta
    1.65122
  • Lowerbound of 95% confidence interval for alpha
    0.37012
  • Upperbound of 95% confidence interval for alpha
    1.47850
  • Treynor index (mean / b)
    2.68468
  • Jensen alpha (a)
    0.92431
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05708
  • Expected Shortfall on VaR
    0.08898
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00787
  • Expected Shortfall on VaR
    0.02053
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.95215
  • Quartile 1
    1.03227
  • Median
    1.06397
  • Quartile 3
    1.17401
  • Maximum
    1.21481
  • Mean of quarter 1
    0.97863
  • Mean of quarter 2
    1.04371
  • Mean of quarter 3
    1.12713
  • Mean of quarter 4
    1.20190
  • Inter Quartile Range
    0.14174
  • 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)
    -3.40702
  • VaR(95%) (regression method)
    0.09687
  • Expected Shortfall (regression method)
    0.09737
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02090
  • Quartile 1
    0.03258
  • Median
    0.04427
  • Quartile 3
    0.04606
  • Maximum
    0.04785
  • Mean of quarter 1
    0.02090
  • Mean of quarter 2
    0.04427
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04785
  • Inter Quartile Range
    0.01347
  • 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)
    1.98819
  • Compounded annual return (geometric extrapolation)
    1.64120
  • Calmar ratio (compounded annual return / max draw down)
    34.30180
  • Compounded annual return / average of 25% largest draw downs
    34.30180
  • Compounded annual return / Expected Shortfall lognormal
    18.44390
  • 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
    1.00039
  • SD
    0.35728
  • Sharpe ratio (Glass type estimate)
    2.79999
  • Sharpe ratio (Hedges UMVUE)
    2.79402
  • df
    352.00000
  • t
    3.25007
  • p
    0.00063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.09689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49921
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.49512
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.73382
  • Upside Potential Ratio
    12.66490
  • Upside part of mean
    2.67646
  • Downside part of mean
    -1.67607
  • Upside SD
    0.29402
  • Downside SD
    0.21133
  • N nonnegative terms
    202.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    353.00000
  • Mean of predictor
    0.06372
  • Mean of criterion
    1.00039
  • SD of predictor
    0.14939
  • SD of criterion
    0.35728
  • Covariance
    -0.00264
  • r
    -0.04941
  • b (slope, estimate of beta)
    -0.11817
  • a (intercept, estimate of alpha)
    1.00800
  • Mean Square Error
    0.12770
  • DF error
    351.00000
  • t(b)
    -0.92684
  • p(b)
    0.82268
  • t(a)
    3.27274
  • p(a)
    0.00059
  • Lowerbound of 95% confidence interval for beta
    -0.36892
  • Upperbound of 95% confidence interval for beta
    0.13258
  • Lowerbound of 95% confidence interval for alpha
    0.40221
  • Upperbound of 95% confidence interval for alpha
    1.61363
  • Treynor index (mean / b)
    -8.46573
  • Jensen alpha (a)
    1.00792
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93543
  • SD
    0.35509
  • Sharpe ratio (Glass type estimate)
    2.63433
  • Sharpe ratio (Hedges UMVUE)
    2.62871
  • df
    352.00000
  • t
    3.05778
  • p
    0.00120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.93281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32838
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.34547
  • Upside Potential Ratio
    12.23700
  • Upside part of mean
    2.63421
  • Downside part of mean
    -1.69878
  • Upside SD
    0.28763
  • Downside SD
    0.21527
  • N nonnegative terms
    202.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    353.00000
  • Mean of predictor
    0.05256
  • Mean of criterion
    0.93543
  • SD of predictor
    0.14956
  • SD of criterion
    0.35509
  • Covariance
    -0.00267
  • r
    -0.05026
  • b (slope, estimate of beta)
    -0.11933
  • a (intercept, estimate of alpha)
    0.94170
  • Mean Square Error
    0.12613
  • DF error
    351.00000
  • t(b)
    -0.94284
  • p(b)
    0.82679
  • t(a)
    3.07707
  • p(a)
    0.00113
  • Lowerbound of 95% confidence interval for beta
    -0.36826
  • Upperbound of 95% confidence interval for beta
    0.12959
  • Lowerbound of 95% confidence interval for alpha
    0.33980
  • Upperbound of 95% confidence interval for alpha
    1.54360
  • Treynor index (mean / b)
    -7.83874
  • Jensen alpha (a)
    0.94170
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03199
  • Expected Shortfall on VaR
    0.04079
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01334
  • Expected Shortfall on VaR
    0.02667
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    353.00000
  • Minimum
    0.92919
  • Quartile 1
    0.99075
  • Median
    1.00276
  • Quartile 3
    1.01535
  • Maximum
    1.10248
  • Mean of quarter 1
    0.97755
  • Mean of quarter 2
    0.99766
  • Mean of quarter 3
    1.00875
  • Mean of quarter 4
    1.03204
  • Inter Quartile Range
    0.02460
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01416
  • Mean of outliers low
    0.94411
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.02266
  • Mean of outliers high
    1.06436
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00732
  • VaR(95%) (moments method)
    0.02075
  • Expected Shortfall (moments method)
    0.02800
  • Extreme Value Index (regression method)
    0.04169
  • VaR(95%) (regression method)
    0.02147
  • Expected Shortfall (regression method)
    0.02963
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00422
  • Median
    0.01781
  • Quartile 3
    0.05411
  • Maximum
    0.21111
  • Mean of quarter 1
    0.00171
  • Mean of quarter 2
    0.01158
  • Mean of quarter 3
    0.03421
  • Mean of quarter 4
    0.10563
  • Inter Quartile Range
    0.04989
  • 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
    0.07500
  • Mean of outliers high
    0.17219
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.03279
  • VaR(95%) (moments method)
    0.10863
  • Expected Shortfall (moments method)
    0.14431
  • Extreme Value Index (regression method)
    0.14942
  • VaR(95%) (regression method)
    0.13222
  • Expected Shortfall (regression method)
    0.19407
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.97554
  • Compounded annual return (geometric extrapolation)
    1.62042
  • Calmar ratio (compounded annual return / max draw down)
    7.67585
  • Compounded annual return / average of 25% largest draw downs
    15.34020
  • Compounded annual return / Expected Shortfall lognormal
    39.72370
  • 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
    1.14178
  • SD
    0.39206
  • Sharpe ratio (Glass type estimate)
    2.91227
  • Sharpe ratio (Hedges UMVUE)
    2.89544
  • df
    130.00000
  • t
    2.05929
  • p
    0.41113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.70112
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.68950
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.83768
  • Upside Potential Ratio
    12.56590
  • Upside part of mean
    2.96578
  • Downside part of mean
    -1.82400
  • Upside SD
    0.31907
  • Downside SD
    0.23602
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10069
  • Mean of criterion
    1.14178
  • SD of predictor
    0.13609
  • SD of criterion
    0.39206
  • Covariance
    0.00525
  • r
    0.09831
  • b (slope, estimate of beta)
    0.28321
  • a (intercept, estimate of alpha)
    1.11326
  • Mean Square Error
    0.15340
  • DF error
    129.00000
  • t(b)
    1.12202
  • p(b)
    0.43751
  • t(a)
    2.00774
  • p(a)
    0.38974
  • Lowerbound of 95% confidence interval for beta
    -0.21619
  • Upperbound of 95% confidence interval for beta
    0.78262
  • Lowerbound of 95% confidence interval for alpha
    0.01620
  • Upperbound of 95% confidence interval for alpha
    2.21032
  • Treynor index (mean / b)
    4.03148
  • Jensen alpha (a)
    1.11326
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.06352
  • SD
    0.39061
  • Sharpe ratio (Glass type estimate)
    2.72271
  • Sharpe ratio (Hedges UMVUE)
    2.70697
  • df
    130.00000
  • t
    1.92525
  • p
    0.41675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07389
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.50910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.49824
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.41071
  • Upside Potential Ratio
    12.09340
  • Upside part of mean
    2.91598
  • Downside part of mean
    -1.85246
  • Upside SD
    0.31239
  • Downside SD
    0.24112
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09143
  • Mean of criterion
    1.06352
  • SD of predictor
    0.13658
  • SD of criterion
    0.39061
  • Covariance
    0.00539
  • r
    0.10101
  • b (slope, estimate of beta)
    0.28886
  • a (intercept, estimate of alpha)
    1.03711
  • Mean Square Error
    0.15219
  • DF error
    129.00000
  • t(b)
    1.15311
  • p(b)
    0.43581
  • t(a)
    1.87820
  • p(a)
    0.39660
  • Lowerbound of 95% confidence interval for beta
    -0.20678
  • Upperbound of 95% confidence interval for beta
    0.78451
  • Lowerbound of 95% confidence interval for alpha
    -0.05540
  • Upperbound of 95% confidence interval for alpha
    2.12961
  • Treynor index (mean / b)
    3.68172
  • Jensen alpha (a)
    1.03711
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03501
  • Expected Shortfall on VaR
    0.04465
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01446
  • Expected Shortfall on VaR
    0.02929
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92919
  • Quartile 1
    0.99103
  • Median
    1.00258
  • Quartile 3
    1.01671
  • Maximum
    1.07318
  • Mean of quarter 1
    0.97518
  • Mean of quarter 2
    0.99770
  • Mean of quarter 3
    1.00926
  • Mean of quarter 4
    1.03587
  • Inter Quartile Range
    0.02567
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94147
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.06266
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02022
  • VaR(95%) (moments method)
    0.02268
  • Expected Shortfall (moments method)
    0.03106
  • Extreme Value Index (regression method)
    0.14561
  • VaR(95%) (regression method)
    0.02274
  • Expected Shortfall (regression method)
    0.03324
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00031
  • Quartile 1
    0.01047
  • Median
    0.01588
  • Quartile 3
    0.04454
  • Maximum
    0.16459
  • Mean of quarter 1
    0.00381
  • Mean of quarter 2
    0.01297
  • Mean of quarter 3
    0.02333
  • Mean of quarter 4
    0.10323
  • Inter Quartile Range
    0.03407
  • 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
    0.16667
  • Mean of outliers high
    0.13589
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.56036
  • VaR(95%) (moments method)
    0.11126
  • Expected Shortfall (moments method)
    0.12795
  • Extreme Value Index (regression method)
    -0.49950
  • VaR(95%) (regression method)
    0.13858
  • Expected Shortfall (regression method)
    0.16129
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.45168
  • Compounded annual return (geometric extrapolation)
    1.97852
  • Calmar ratio (compounded annual return / max draw down)
    12.02080
  • Compounded annual return / average of 25% largest draw downs
    19.16560
  • Compounded annual return / Expected Shortfall lognormal
    44.31120

Strategy Description

Summary Statistics

Strategy began
2018-05-09
Suggested Minimum Capital
$70,000
# Trades
232
# Profitable
224
% Profitable
96.6%
Correlation S&P500
-0.038
Sharpe Ratio
2.13
Sortino Ratio
3.62
Beta
-0.10
Alpha
0.27
Leverage
12.02 Average
24.02 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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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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