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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/09/2018
Most recent certification approved 10/15/18 12:11 ET
Trades at broker Oanda
Scaling percentage used 50%
# trading signals issued by system since certification 278
# trading signals executed in manager's Oanda account 258
Percent signals followed since 10/09/2018 92.8%
This information was last updated 11/18/18 17:07 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/09/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

FX Hedge Fund
(117104490)

Created by: GoldmanStrategy GoldmanStrategy
Started: 03/2018
Forex
Last trade: 2 days ago
Trading style: Futures Short Term 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 $29.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
43.3%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(25.9%)
Max Drawdown
647
Num Trades
72.5%
Win Trades
1.1 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                -  +3.7%+22.1%+4.0%+3.3%(5.6%)+18.6%+1.1%(6.8%)      +43.3%

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 one hour.

Trading Record

This strategy has placed 282 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/16/18 0:00 GBP/USD GBP/USD SHORT 5 1.27891 11/16 16:40 1.28269 6.1%
Trade id #120995975
Max drawdown($442)
Time11/16/18 9:19
Quant open-5
Worst price1.28775
Drawdown as % of equity-6.10%
($189)
11/16/18 9:07 EUR/USD EUR/USD LONG 5 1.13951 11/16 12:22 1.14157 0.27%
Trade id #121000676
Max drawdown($20)
Time11/16/18 10:58
Quant open5
Worst price1.13911
Drawdown as % of equity-0.27%
$103
11/16/18 8:48 EUR/USD EUR/USD LONG 5 1.13763 11/16 9:06 1.13941 0.3%
Trade id #121000269
Max drawdown($21)
Time11/16/18 8:50
Quant open5
Worst price1.13720
Drawdown as % of equity-0.30%
$89
11/16/18 2:37 EUR/USD EUR/USD LONG 5 1.13570 11/16 8:47 1.13753 2.46%
Trade id #120997105
Max drawdown($176)
Time11/16/18 6:25
Quant open5
Worst price1.13217
Drawdown as % of equity-2.46%
$92
11/16/18 0:00 EUR/USD EUR/USD LONG 5 1.13342 11/16 2:36 1.13527 0.03%
Trade id #120995972
Max drawdown($2)
Time11/16/18 0:11
Quant open5
Worst price1.13338
Drawdown as % of equity-0.03%
$93
11/15/18 4:21 GBP/USD GBP/USD LONG 5 1.28463 11/16 0:00 1.27891 8.4%
Trade id #120956019
Max drawdown($615)
Time11/15/18 13:07
Quant open5
Worst price1.27232
Drawdown as % of equity-8.40%
($286)
11/14/18 4:55 EUR/USD EUR/USD SHORT 5 1.12674 11/16 0:00 1.13342 6.59%
Trade id #120923806
Max drawdown($475)
Time11/15/18 14:34
Quant open-5
Worst price1.13624
Drawdown as % of equity-6.59%
($334)
11/14/18 15:15 GBP/USD GBP/USD LONG 5 1.30683 11/15 4:20 1.28441 13.69%
Trade id #120947623
Max drawdown($1,123)
Time11/15/18 4:20
Quant open5
Worst price1.28437
Drawdown as % of equity-13.69%
($1,121)
11/14/18 15:06 GBP/USD GBP/USD LONG 5 1.30504 11/14 15:14 1.30609 0.63%
Trade id #120947358
Max drawdown($54)
Time11/14/18 15:13
Quant open5
Worst price1.30395
Drawdown as % of equity-0.63%
$53
11/14/18 12:14 GBP/USD GBP/USD LONG 5 1.30316 11/14 15:05 1.30545 8.75%
Trade id #120939462
Max drawdown($760)
Time11/14/18 13:12
Quant open5
Worst price1.28796
Drawdown as % of equity-8.75%
$115
11/14/18 12:00 GBP/USD GBP/USD LONG 5 1.30109 11/14 12:13 1.30297 0.14%
Trade id #120938724
Max drawdown($12)
Time11/14/18 12:02
Quant open5
Worst price1.30085
Drawdown as % of equity-0.14%
$94
11/14/18 1:42 GBP/USD GBP/USD LONG 5 1.30077 11/14 11:17 1.30248 7.33%
Trade id #120922237
Max drawdown($610)
Time11/14/18 6:27
Quant open5
Worst price1.28856
Drawdown as % of equity-7.33%
$86
11/14/18 0:00 EUR/USD EUR/USD SHORT 5 1.12867 11/14 4:54 1.12678 0.85%
Trade id #120921909
Max drawdown($73)
Time11/14/18 1:50
Quant open-5
Worst price1.13014
Drawdown as % of equity-0.85%
$95
11/14/18 0:00 GBP/USD GBP/USD LONG 5 1.29870 11/14 1:41 1.30064 0.18%
Trade id #120921912
Max drawdown($15)
Time11/14/18 1:04
Quant open5
Worst price1.29840
Drawdown as % of equity-0.18%
$97
11/13/18 0:00 GBP/USD GBP/USD SHORT 5 1.28787 11/14 0:00 1.29870 10.16%
Trade id #120897862
Max drawdown($842)
Time11/13/18 11:47
Quant open-5
Worst price1.30471
Drawdown as % of equity-10.16%
($542)
11/13/18 11:15 EUR/USD EUR/USD LONG 5 1.12880 11/13 18:02 1.13153 2.09%
Trade id #120907785
Max drawdown($176)
Time11/13/18 14:04
Quant open5
Worst price1.12527
Drawdown as % of equity-2.09%
$137
11/13/18 7:48 EUR/USD EUR/USD LONG 5 1.12676 11/13 11:14 1.12862 0.58%
Trade id #120901886
Max drawdown($49)
Time11/13/18 8:05
Quant open5
Worst price1.12578
Drawdown as % of equity-0.58%
$93
11/13/18 0:00 EUR/USD EUR/USD LONG 5 1.12468 11/13 7:47 1.12669 1.44%
Trade id #120897859
Max drawdown($124)
Time11/13/18 5:22
Quant open5
Worst price1.12219
Drawdown as % of equity-1.44%
$101
11/12/18 16:15 EUR/USD EUR/USD SHORT 5 1.12205 11/13 0:00 1.12468 1.78%
Trade id #120892194
Max drawdown($156)
Time11/12/18 23:04
Quant open-5
Worst price1.12518
Drawdown as % of equity-1.78%
($132)
11/12/18 9:29 GBP/USD GBP/USD LONG 5 1.29352 11/13 0:00 1.28787 5.54%
Trade id #120880146
Max drawdown($486)
Time11/12/18 17:06
Quant open5
Worst price1.28380
Drawdown as % of equity-5.54%
($283)
11/12/18 13:26 EUR/USD EUR/USD SHORT 5 1.12398 11/12 16:14 1.12218 0.34%
Trade id #120887695
Max drawdown($29)
Time11/12/18 13:34
Quant open-5
Worst price1.12457
Drawdown as % of equity-0.34%
$90
11/12/18 6:00 EUR/USD EUR/USD SHORT 5 1.12603 11/12 13:25 1.12415 1.01%
Trade id #120877740
Max drawdown($90)
Time11/12/18 8:58
Quant open-5
Worst price1.12783
Drawdown as % of equity-1.01%
$94
11/12/18 8:54 GBP/USD GBP/USD LONG 5 1.29125 11/12 9:28 1.29337 0.32%
Trade id #120879553
Max drawdown($28)
Time11/12/18 9:13
Quant open5
Worst price1.29068
Drawdown as % of equity-0.32%
$106
11/12/18 8:49 GBP/USD GBP/USD LONG 5 1.28971 11/12 8:53 1.29119 0.05%
Trade id #120879476
Max drawdown($4)
Time11/12/18 8:51
Quant open5
Worst price1.28963
Drawdown as % of equity-0.05%
$74
11/12/18 6:29 GBP/USD GBP/USD LONG 5 1.28749 11/12 8:48 1.28934 0.9%
Trade id #120877954
Max drawdown($77)
Time11/12/18 8:18
Quant open5
Worst price1.28594
Drawdown as % of equity-0.90%
$93
11/12/18 6:00 GBP/USD GBP/USD LONG 5 1.28517 11/12 6:28 1.28676 0.38%
Trade id #120877738
Max drawdown($32)
Time11/12/18 6:11
Quant open5
Worst price1.28452
Drawdown as % of equity-0.38%
$80
11/11/18 17:01 EUR/USD EUR/USD SHORT 5 1.13255 11/12 1:33 1.13033 0.3%
Trade id #120871503
Max drawdown($25)
Time11/11/18 22:32
Quant open-5
Worst price1.13306
Drawdown as % of equity-0.30%
$111
11/11/18 17:01 GBP/USD GBP/USD LONG 5 1.29300 11/11 19:14 1.29415 0.62%
Trade id #120871497
Max drawdown($53)
Time11/11/18 17:52
Quant open5
Worst price1.29194
Drawdown as % of equity-0.62%
$58
11/9/18 0:00 EUR/USD EUR/USD LONG 5 1.13476 11/9 16:40 1.13367 1.87%
Trade id #120844087
Max drawdown($157)
Time11/9/18 12:05
Quant open5
Worst price1.13162
Drawdown as % of equity-1.87%
($55)
11/9/18 4:30 GBP/USD GBP/USD SHORT 5 1.30105 11/9 12:04 1.29735 2.71%
Trade id #120846170
Max drawdown($224)
Time11/9/18 10:15
Quant open-5
Worst price1.30553
Drawdown as % of equity-2.71%
$185

Statistics

  • Strategy began
    3/17/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    246.3
  • Age
    8 months ago
  • What it trades
    Forex
  • # Trades
    647
  • # Profitable
    469
  • % Profitable
    72.50%
  • Avg trade duration
    10.0 hours
  • Max peak-to-valley drawdown
    25.88%
  • drawdown period
    July 18, 2018 - Aug 24, 2018
  • Cumul. Return
    43.4%
  • Avg win
    $70.39
  • Avg loss
    $171.72
  • Model Account Values (Raw)
  • Cash
    $7,566
  • Margin Used
    $3,638
  • Buying Power
    $3,810
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    1.686
  • Sortino Ratio
    2.651
  • Calmar Ratio
    3.432
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06300
  • Return Statistics
  • Ann Return (w trading costs)
    69.3%
  • Ann Return (Compnd, No Fees)
    79.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    45.50%
  • Chance of 20% account loss
    9.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    935
  • Popularity (Last 6 weeks)
    976
  • C2 Score
    67.1
  • Trades-Own-System Certification
  • Trades Own System?
    184608
  • TOS percent
    50%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $172
  • Avg Win
    $70
  • # Winners
    469
  • # Losers
    178
  • % Winners
    72.5%
  • Frequency
  • Avg Position Time (mins)
    602.32
  • Avg Position Time (hrs)
    10.04
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75903
  • SD
    0.40042
  • Sharpe ratio (Glass type estimate)
    1.89556
  • Sharpe ratio (Hedges UMVUE)
    1.64653
  • df
    6.00000
  • t
    1.44776
  • p
    0.09892
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.60222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08353
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37659
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36632
  • Upside Potential Ratio
    4.67562
  • Upside part of mean
    1.05424
  • Downside part of mean
    -0.29522
  • Upside SD
    0.36688
  • Downside SD
    0.22548
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.00996
  • Mean of criterion
    0.75903
  • SD of predictor
    0.08158
  • SD of criterion
    0.40042
  • Covariance
    -0.00411
  • r
    -0.12579
  • b (slope, estimate of beta)
    -0.61743
  • a (intercept, estimate of alpha)
    0.76518
  • Mean Square Error
    0.18936
  • DF error
    5.00000
  • t(b)
    -0.28352
  • p(b)
    0.60593
  • t(a)
    1.34202
  • p(a)
    0.11865
  • Lowerbound of 95% confidence interval for beta
    -6.21563
  • Upperbound of 95% confidence interval for beta
    4.98078
  • Lowerbound of 95% confidence interval for alpha
    -0.70055
  • Upperbound of 95% confidence interval for alpha
    2.23090
  • Treynor index (mean / b)
    -1.22933
  • Jensen alpha (a)
    0.76518
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66738
  • SD
    0.40551
  • Sharpe ratio (Glass type estimate)
    1.64578
  • Sharpe ratio (Hedges UMVUE)
    1.42957
  • df
    6.00000
  • t
    1.25698
  • p
    0.12774
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26108
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12021
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70391
  • Upside Potential Ratio
    4.01322
  • Upside part of mean
    0.99055
  • Downside part of mean
    -0.32317
  • Upside SD
    0.34226
  • Downside SD
    0.24682
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.00703
  • Mean of criterion
    0.66738
  • SD of predictor
    0.08274
  • SD of criterion
    0.40551
  • Covariance
    -0.00462
  • r
    -0.13784
  • b (slope, estimate of beta)
    -0.67561
  • a (intercept, estimate of alpha)
    0.67214
  • Mean Square Error
    0.19358
  • DF error
    5.00000
  • t(b)
    -0.31119
  • p(b)
    0.61590
  • t(a)
    1.16636
  • p(a)
    0.14803
  • Lowerbound of 95% confidence interval for beta
    -6.25663
  • Upperbound of 95% confidence interval for beta
    4.90541
  • Lowerbound of 95% confidence interval for alpha
    -0.80927
  • Upperbound of 95% confidence interval for alpha
    2.15354
  • Treynor index (mean / b)
    -0.98782
  • Jensen alpha (a)
    0.67214
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12797
  • Expected Shortfall on VaR
    0.16883
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01890
  • Expected Shortfall on VaR
    0.05700
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.83012
  • Quartile 1
    1.05141
  • Median
    1.09524
  • Quartile 3
    1.12420
  • Maximum
    1.18248
  • Mean of quarter 1
    0.92789
  • Mean of quarter 2
    1.08620
  • Mean of quarter 3
    1.09609
  • Mean of quarter 4
    1.16740
  • Inter Quartile Range
    0.07279
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.83012
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.16988
  • Quartile 1
    0.16988
  • Median
    0.16988
  • Quartile 3
    0.16988
  • Maximum
    0.16988
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85745
  • Compounded annual return (geometric extrapolation)
    1.00429
  • Calmar ratio (compounded annual return / max draw down)
    5.91170
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.94849
  • 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
    0.60377
  • SD
    0.35662
  • Sharpe ratio (Glass type estimate)
    1.69302
  • Sharpe ratio (Hedges UMVUE)
    1.68567
  • df
    173.00000
  • t
    1.37971
  • p
    0.43371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09727
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65060
  • Upside Potential Ratio
    10.31270
  • Upside part of mean
    2.34907
  • Downside part of mean
    -1.74531
  • Upside SD
    0.27559
  • Downside SD
    0.22778
  • N nonnegative terms
    84.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    174.00000
  • Mean of predictor
    -0.00482
  • Mean of criterion
    0.60377
  • SD of predictor
    0.14288
  • SD of criterion
    0.35662
  • Covariance
    0.00349
  • r
    0.06840
  • b (slope, estimate of beta)
    0.17072
  • a (intercept, estimate of alpha)
    0.60500
  • Mean Square Error
    0.12732
  • DF error
    172.00000
  • t(b)
    0.89914
  • p(b)
    0.46580
  • t(a)
    1.38082
  • p(a)
    0.44765
  • Lowerbound of 95% confidence interval for beta
    -0.20406
  • Upperbound of 95% confidence interval for beta
    0.54550
  • Lowerbound of 95% confidence interval for alpha
    -0.25966
  • Upperbound of 95% confidence interval for alpha
    1.46884
  • Treynor index (mean / b)
    3.53653
  • Jensen alpha (a)
    0.60459
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53971
  • SD
    0.35747
  • Sharpe ratio (Glass type estimate)
    1.50981
  • Sharpe ratio (Hedges UMVUE)
    1.50326
  • df
    173.00000
  • t
    1.23040
  • p
    0.44079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90259
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91352
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29545
  • Upside Potential Ratio
    9.83273
  • Upside part of mean
    2.31188
  • Downside part of mean
    -1.77217
  • Upside SD
    0.26996
  • Downside SD
    0.23512
  • N nonnegative terms
    84.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    174.00000
  • Mean of predictor
    -0.01500
  • Mean of criterion
    0.53971
  • SD of predictor
    0.14328
  • SD of criterion
    0.35747
  • Covariance
    0.00340
  • r
    0.06635
  • b (slope, estimate of beta)
    0.16554
  • a (intercept, estimate of alpha)
    0.54219
  • Mean Square Error
    0.12796
  • DF error
    172.00000
  • t(b)
    0.87211
  • p(b)
    0.46682
  • t(a)
    1.23518
  • p(a)
    0.45312
  • Lowerbound of 95% confidence interval for beta
    -0.20913
  • Upperbound of 95% confidence interval for beta
    0.54020
  • Lowerbound of 95% confidence interval for alpha
    -0.32424
  • Upperbound of 95% confidence interval for alpha
    1.40863
  • Treynor index (mean / b)
    3.26033
  • Jensen alpha (a)
    0.54219
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03369
  • Expected Shortfall on VaR
    0.04253
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01564
  • Expected Shortfall on VaR
    0.03093
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    174.00000
  • Minimum
    0.88446
  • Quartile 1
    0.99072
  • Median
    1.00000
  • Quartile 3
    1.01412
  • Maximum
    1.07412
  • Mean of quarter 1
    0.97782
  • Mean of quarter 2
    0.99596
  • Mean of quarter 3
    1.00565
  • Mean of quarter 4
    1.03014
  • Inter Quartile Range
    0.02340
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00575
  • Mean of outliers low
    0.88446
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03448
  • Mean of outliers high
    1.05789
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15101
  • VaR(95%) (moments method)
    0.02077
  • Expected Shortfall (moments method)
    0.02629
  • Extreme Value Index (regression method)
    -0.10844
  • VaR(95%) (regression method)
    0.02167
  • Expected Shortfall (regression method)
    0.02799
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00435
  • Quartile 1
    0.01833
  • Median
    0.03385
  • Quartile 3
    0.06985
  • Maximum
    0.22264
  • Mean of quarter 1
    0.00648
  • Mean of quarter 2
    0.03125
  • Mean of quarter 3
    0.04866
  • Mean of quarter 4
    0.16304
  • Inter Quartile Range
    0.05152
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.20313
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -41.50570
  • VaR(95%) (moments method)
    0.15855
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.36917
  • VaR(95%) (regression method)
    0.30027
  • Expected Shortfall (regression method)
    0.30372
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68941
  • Compounded annual return (geometric extrapolation)
    0.76406
  • Calmar ratio (compounded annual return / max draw down)
    3.43179
  • Compounded annual return / average of 25% largest draw downs
    4.68632
  • Compounded annual return / Expected Shortfall lognormal
    17.96540
  • 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
    0.36790
  • SD
    0.37971
  • Sharpe ratio (Glass type estimate)
    0.96891
  • Sharpe ratio (Hedges UMVUE)
    0.96331
  • df
    130.00000
  • t
    0.68512
  • p
    0.47001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80721
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74141
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81097
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73759
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48193
  • Upside Potential Ratio
    9.30524
  • Upside part of mean
    2.31012
  • Downside part of mean
    -1.94222
  • Upside SD
    0.28629
  • Downside SD
    0.24826
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00772
  • Mean of criterion
    0.36790
  • SD of predictor
    0.12946
  • SD of criterion
    0.37971
  • Covariance
    -0.00123
  • r
    -0.02502
  • b (slope, estimate of beta)
    -0.07338
  • a (intercept, estimate of alpha)
    0.36734
  • Mean Square Error
    0.14521
  • DF error
    129.00000
  • t(b)
    -0.28425
  • p(b)
    0.51593
  • t(a)
    0.68164
  • p(a)
    0.46188
  • Lowerbound of 95% confidence interval for beta
    -0.58416
  • Upperbound of 95% confidence interval for beta
    0.43739
  • Lowerbound of 95% confidence interval for alpha
    -0.69890
  • Upperbound of 95% confidence interval for alpha
    1.43357
  • Treynor index (mean / b)
    -5.01361
  • Jensen alpha (a)
    0.36734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29585
  • SD
    0.38096
  • Sharpe ratio (Glass type estimate)
    0.77659
  • Sharpe ratio (Hedges UMVUE)
    0.77210
  • df
    130.00000
  • t
    0.54913
  • p
    0.47595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.99827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54549
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15197
  • Upside Potential Ratio
    8.83913
  • Upside part of mean
    2.27010
  • Downside part of mean
    -1.97424
  • Upside SD
    0.28000
  • Downside SD
    0.25682
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01607
  • Mean of criterion
    0.29585
  • SD of predictor
    0.12989
  • SD of criterion
    0.38096
  • Covariance
    -0.00138
  • r
    -0.02785
  • b (slope, estimate of beta)
    -0.08170
  • a (intercept, estimate of alpha)
    0.29454
  • Mean Square Error
    0.14615
  • DF error
    129.00000
  • t(b)
    -0.31649
  • p(b)
    0.51773
  • t(a)
    0.54478
  • p(a)
    0.46951
  • Lowerbound of 95% confidence interval for beta
    -0.59241
  • Upperbound of 95% confidence interval for beta
    0.42902
  • Lowerbound of 95% confidence interval for alpha
    -0.77516
  • Upperbound of 95% confidence interval for alpha
    1.36424
  • Treynor index (mean / b)
    -3.62141
  • Jensen alpha (a)
    0.29454
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03689
  • Expected Shortfall on VaR
    0.04628
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01856
  • Expected Shortfall on VaR
    0.03586
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88446
  • Quartile 1
    0.98927
  • Median
    1.00000
  • Quartile 3
    1.01384
  • Maximum
    1.07412
  • Mean of quarter 1
    0.97594
  • Mean of quarter 2
    0.99487
  • Mean of quarter 3
    1.00399
  • Mean of quarter 4
    1.03132
  • Inter Quartile Range
    0.02457
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.88446
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.05949
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06035
  • VaR(95%) (moments method)
    0.02282
  • Expected Shortfall (moments method)
    0.02961
  • Extreme Value Index (regression method)
    -0.05764
  • VaR(95%) (regression method)
    0.02314
  • Expected Shortfall (regression method)
    0.03004
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00923
  • Quartile 1
    0.03447
  • Median
    0.06166
  • Quartile 3
    0.15843
  • Maximum
    0.22264
  • Mean of quarter 1
    0.02085
  • Mean of quarter 2
    0.04047
  • Mean of quarter 3
    0.08285
  • Mean of quarter 4
    0.20313
  • Inter Quartile Range
    0.12397
  • 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)
    0.35144
  • Compounded annual return (geometric extrapolation)
    0.38232
  • Calmar ratio (compounded annual return / max draw down)
    1.71719
  • Compounded annual return / average of 25% largest draw downs
    1.88208
  • Compounded annual return / Expected Shortfall lognormal
    8.26165

Strategy Description

Summary Statistics

Strategy began
2018-03-17
Suggested Minimum Capital
$10,000
# Trades
647
# Profitable
469
% Profitable
72.5%
Correlation S&P500
0.063
Sharpe Ratio
1.686

Latest Activity

#PERSONNAME#
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.