Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

Just Forex Trades
(94987184)

Created by: Jay_ Jay_
Started: 06/2015
Forex
Last trade: 2 days ago
Trading style: Equity Momentum Short-term Reversal

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 $225.00 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: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
18.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(100.0%)
Max Drawdown
1031
Num Trades
92.0%
Win Trades
1.1 : 1
Profit Factor
72.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +10.7%(1.5%)+13.9%+5.1%+12.8%(10%)+10.6%+46.5%
2016(6.1%)+13.7%(17.4%)+39.9%+16.7%+10.2%+4.7%+1.9%+0.8%(3.5%)+7.5%+2.9%+82.0%
2017+9.4%+3.6%+4.2%(13.5%)(5.1%)+3.8%+1.9%(3%)+1.6%+10.3%(5.8%)+17.4%+23.4%
2018(3.8%)+13.9%(6.3%)+15.8%+20.2%+0.2%+9.7%(2.7%)+1.3%+14.4%(3.1%)(17.6%)+41.2%
2019+37.0%+9.2%+9.9%(7.5%)+13.7%+6.5%+12.7%+17.7%+1.8%+11.0%+10.2%+5.5%+220.7%
2020+2.6%+5.0%(94.8%)+162.9%+7.7%+0.6%(18.2%)(11.9%)+31.6%+9.7%            (83.3%)

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.

Trading Record

This strategy has placed 1,863 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/28/20 12:18 GBP/CAD GBP/CAD SHORT 12 1.72839 10/29 10:05 1.72663 1.25%
Trade id #131949036
Max drawdown($603)
Time10/29/20 5:35
Quant open12
Worst price1.73509
Drawdown as % of equity-1.25%
$158
10/2/20 11:52 CHF/JPY CHF/JPY SHORT 14 114.493 10/28 5:56 114.309 6.15%
Trade id #131488409
Max drawdown($2,813)
Time10/20/20 0:00
Quant open14
Worst price116.589
Drawdown as % of equity-6.15%
$247
10/26/20 14:05 USD/CAD USD/CAD SHORT 14 1.32101 10/26 22:10 1.31917 0.1%
Trade id #131902484
Max drawdown($44)
Time10/26/20 16:56
Quant open14
Worst price1.32143
Drawdown as % of equity-0.10%
$195
10/22/20 12:28 CAD/CHF CAD/CHF SHORT 14 0.69044 10/23 9:21 0.68906 0.36%
Trade id #131846527
Max drawdown($166)
Time10/22/20 20:09
Quant open14
Worst price0.69151
Drawdown as % of equity-0.36%
$213
10/21/20 13:55 EUR/CAD EUR/CAD SHORT 14 1.55776 10/22 9:38 1.55574 0.63%
Trade id #131824692
Max drawdown($287)
Time10/22/20 3:28
Quant open14
Worst price1.56046
Drawdown as % of equity-0.63%
$215
10/20/20 11:56 CAD/CHF CAD/CHF SHORT 7 0.69139 10/21 5:01 0.68946 0.19%
Trade id #131796717
Max drawdown($86)
Time10/20/20 23:50
Quant open7
Worst price0.69250
Drawdown as % of equity-0.19%
$149
10/19/20 13:38 GBP/AUD GBP/AUD SHORT 14 1.83131 10/19 17:08 1.83254 0.58%
Trade id #131773686
Max drawdown($266)
Time10/19/20 15:07
Quant open14
Worst price1.83401
Drawdown as % of equity-0.58%
($121)
10/16/20 12:03 CAD/CHF CAD/CHF SHORT 14 0.69362 10/19 6:57 0.69172 0.52%
Trade id #131741184
Max drawdown($245)
Time10/19/20 2:57
Quant open14
Worst price0.69521
Drawdown as % of equity-0.52%
$291
10/15/20 16:00 USD/JPY USD/JPY SHORT 14 105.434 10/15 23:24 105.231 0.03%
Trade id #131724130
Max drawdown($12)
Time10/15/20 16:59
Quant open14
Worst price105.444
Drawdown as % of equity-0.03%
$271
10/15/20 12:03 USD/CAD USD/CAD SHORT 14 1.32392 10/15 13:29 1.32198 0.02%
Trade id #131718802
Max drawdown($10)
Time10/15/20 12:34
Quant open14
Worst price1.32402
Drawdown as % of equity-0.02%
$205
10/14/20 11:33 NZD/CHF NZD/CHF SHORT 14 0.60893 10/14 22:47 0.60704 0.08%
Trade id #131693554
Max drawdown($38)
Time10/14/20 11:37
Quant open14
Worst price0.60918
Drawdown as % of equity-0.08%
$290
10/13/20 13:51 CAD/CHF CAD/CHF SHORT 14 0.69665 10/14 10:26 0.69464 0.33%
Trade id #131674700
Max drawdown($150)
Time10/14/20 5:23
Quant open14
Worst price0.69763
Drawdown as % of equity-0.33%
$308
10/7/20 9:23 AUD/NZD AUD/NZD SHORT 12 1.08269 10/12 22:21 1.08072 1.24%
Trade id #131561328
Max drawdown($545)
Time10/8/20 0:00
Quant open12
Worst price1.08953
Drawdown as % of equity-1.24%
$157
10/12/20 12:41 EUR/AUD EUR/AUD SHORT 12 1.63722 10/12 13:45 1.63693 0.11%
Trade id #131650197
Max drawdown($49)
Time10/12/20 13:13
Quant open12
Worst price1.63779
Drawdown as % of equity-0.11%
$25
10/9/20 13:48 NZD/CHF NZD/CHF SHORT 12 0.60649 10/12 9:03 0.60491 0.3%
Trade id #131620519
Max drawdown($130)
Time10/12/20 4:40
Quant open12
Worst price0.60748
Drawdown as % of equity-0.30%
$209
10/8/20 13:46 CAD/CHF CAD/CHF SHORT 12 0.69483 10/9 6:56 0.69291 0.19%
Trade id #131597020
Max drawdown($82)
Time10/9/20 3:25
Quant open12
Worst price0.69546
Drawdown as % of equity-0.19%
$252
9/29/20 10:01 NZD/CAD NZD/CAD SHORT 12 0.88086 10/5 17:00 0.88175 0.79%
Trade id #131413806
Max drawdown($354)
Time9/29/20 22:57
Quant open12
Worst price0.88478
Drawdown as % of equity-0.79%
($80)
9/23/20 9:58 GBP/AUD GBP/AUD SHORT 12 1.79295 10/1 11:06 1.79158 6.73%
Trade id #131313863
Max drawdown($3,058)
Time9/28/20 0:00
Quant open12
Worst price1.82843
Drawdown as % of equity-6.73%
$118
10/1/20 9:21 AUD/JPY AUD/JPY LONG 6 75.906 10/1 10:02 75.869 0.14%
Trade id #131457473
Max drawdown($62)
Time10/1/20 10:01
Quant open6
Worst price75.796
Drawdown as % of equity-0.14%
($21)
9/30/20 14:01 AUD/JPY AUD/JPY SHORT 12 75.628 9/30 15:20 75.438 0.12%
Trade id #131442683
Max drawdown($53)
Time9/30/20 14:21
Quant open12
Worst price75.675
Drawdown as % of equity-0.12%
$216
9/24/20 12:59 CAD/CHF CAD/CHF SHORT 12 0.69352 9/28 11:40 0.69161 0.4%
Trade id #131346211
Max drawdown($178)
Time9/28/20 10:32
Quant open12
Worst price0.69489
Drawdown as % of equity-0.40%
$247
9/25/20 11:38 USD/JPY USD/JPY SHORT 12 105.629 9/27 21:04 105.427 0.16%
Trade id #131365764
Max drawdown($73)
Time9/27/20 17:59
Quant open12
Worst price105.693
Drawdown as % of equity-0.16%
$230
7/21/20 9:05 AUD/USD AUD/USD SHORT 6 0.70932 9/23 10:20 0.70927 5.58%
Trade id #130185480
Max drawdown($1,921)
Time9/1/20 0:00
Quant open6
Worst price0.74135
Drawdown as % of equity-5.58%
$3
9/22/20 14:00 EUR/AUD EUR/AUD SHORT 12 1.63383 9/22 19:50 1.63174 0.17%
Trade id #131299398
Max drawdown($75)
Time9/22/20 14:24
Quant open12
Worst price1.63472
Drawdown as % of equity-0.17%
$180
9/15/20 10:38 NZD/CAD NZD/CAD SHORT 12 0.88529 9/22 11:54 0.88339 1.97%
Trade id #131181583
Max drawdown($787)
Time9/18/20 0:00
Quant open12
Worst price0.89402
Drawdown as % of equity-1.97%
$172
7/17/20 10:52 CHF/JPY CHF/JPY SHORT 12 114.013 9/21 9:01 113.939 12.21%
Trade id #130136046
Max drawdown($4,435)
Time8/28/20 0:00
Quant open12
Worst price117.883
Drawdown as % of equity-12.21%
$85
9/18/20 14:58 EUR/GBP EUR/GBP SHORT 12 0.91684 9/21 2:53 0.91487 0.23%
Trade id #131249079
Max drawdown($93)
Time9/18/20 15:50
Quant open12
Worst price0.91745
Drawdown as % of equity-0.23%
$307
9/14/20 11:57 NZD/CAD NZD/CAD SHORT 12 0.88381 9/14 21:09 0.88194 0.25%
Trade id #131162561
Max drawdown($97)
Time9/14/20 12:44
Quant open12
Worst price0.88488
Drawdown as % of equity-0.25%
$171
9/11/20 9:41 NZD/CAD NZD/CAD SHORT 12 0.88042 9/11 13:08 0.87751 0.17%
Trade id #131130459
Max drawdown($67)
Time9/11/20 10:21
Quant open12
Worst price0.88116
Drawdown as % of equity-0.17%
$265
8/10/20 14:30 CAD/CHF CAD/CHF SHORT 18 0.68726 9/11 9:35 0.68962 7.07%
Trade id #130544293
Max drawdown($2,695)
Time9/8/20 0:00
Quant open18
Worst price0.70087
Drawdown as % of equity-7.07%
($467)

Statistics

  • Strategy began
    6/12/2015
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1967.79
  • Age
    66 months ago
  • What it trades
    Forex
  • # Trades
    1031
  • # Profitable
    949
  • % Profitable
    92.00%
  • Avg trade duration
    8.7 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Aug 11, 2015 - March 18, 2020
  • Annual Return (Compounded)
    18.3%
  • Avg win
    $445.47
  • Avg loss
    $4,562
  • Model Account Values (Raw)
  • Cash
    $76,189
  • Margin Used
    $8,158
  • Buying Power
    $60,488
  • Ratios
  • W:L ratio
    1.13:1
  • Sharpe Ratio
    0.56
  • Sortino Ratio
    1.34
  • Calmar Ratio
    0.275
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    92.11%
  • Correlation to SP500
    0.07650
  • Return Percent SP500 (cumu) during strategy life
    56.15%
  • Return Statistics
  • Ann Return (w trading costs)
    18.3%
  • Slump
  • Current Slump as Pcnt Equity
    656.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.183%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    13.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    790
  • Popularity (Last 6 weeks)
    986
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    1
  • Popularity (7 days, Percentile 1000 scale)
    968
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,562
  • Avg Win
    $445
  • Sum Trade PL (losers)
    $374,097.000
  • AUM
  • AUM (AutoTrader num accounts)
    6
  • Age
  • Num Months filled monthly returns table
    65
  • Win / Loss
  • Sum Trade PL (winners)
    $422,748.000
  • # Winners
    949
  • Num Months Winners
    47
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    517074
  • Win / Loss
  • # Losers
    82
  • % Winners
    92.0%
  • Frequency
  • Avg Position Time (mins)
    12500.40
  • Avg Position Time (hrs)
    208.34
  • Avg Trade Length
    8.7 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    10.14
  • Daily leverage (max)
    89.86
  • Regression
  • Alpha
    0.00
  • Beta
    0.17
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    97.67
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    99.62
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    14.06
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.10
  • Avg(MAE) / Avg(PL) - All trades
    44.719
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    2.196
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.113
  • Hold-and-Hope Ratio
    0.023
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53150
  • SD
    0.58175
  • Sharpe ratio (Glass type estimate)
    0.91363
  • Sharpe ratio (Hedges UMVUE)
    0.90253
  • df
    62.00000
  • t
    2.09339
  • p
    0.02021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78041
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77256
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25440
  • Upside Potential Ratio
    2.25716
  • Upside part of mean
    0.95638
  • Downside part of mean
    -0.42488
  • Upside SD
    0.42079
  • Downside SD
    0.42371
  • N nonnegative terms
    45.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.07639
  • Mean of criterion
    0.53150
  • SD of predictor
    0.15932
  • SD of criterion
    0.58175
  • Covariance
    0.04127
  • r
    0.44529
  • b (slope, estimate of beta)
    1.62591
  • a (intercept, estimate of alpha)
    0.40729
  • Mean Square Error
    0.27577
  • DF error
    61.00000
  • t(b)
    3.88415
  • p(b)
    0.00013
  • t(a)
    1.76005
  • p(a)
    0.04171
  • Lowerbound of 95% confidence interval for beta
    0.78886
  • Upperbound of 95% confidence interval for beta
    2.46296
  • Lowerbound of 95% confidence interval for alpha
    -0.05544
  • Upperbound of 95% confidence interval for alpha
    0.87003
  • Treynor index (mean / b)
    0.32689
  • Jensen alpha (a)
    0.40729
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19552
  • SD
    1.03798
  • Sharpe ratio (Glass type estimate)
    0.18837
  • Sharpe ratio (Hedges UMVUE)
    0.18608
  • df
    62.00000
  • t
    0.43160
  • p
    0.33376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66995
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04210
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20341
  • Upside Potential Ratio
    0.91433
  • Upside part of mean
    0.87889
  • Downside part of mean
    -0.68337
  • Upside SD
    0.37352
  • Downside SD
    0.96123
  • N nonnegative terms
    45.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.06333
  • Mean of criterion
    0.19552
  • SD of predictor
    0.16159
  • SD of criterion
    1.03798
  • Covariance
    0.08583
  • r
    0.51174
  • b (slope, estimate of beta)
    3.28710
  • a (intercept, estimate of alpha)
    -0.01265
  • Mean Square Error
    0.80829
  • DF error
    61.00000
  • t(b)
    4.65212
  • p(b)
    0.00001
  • t(a)
    -0.03202
  • p(a)
    0.51272
  • Lowerbound of 95% confidence interval for beta
    1.87420
  • Upperbound of 95% confidence interval for beta
    4.70000
  • Lowerbound of 95% confidence interval for alpha
    -0.80234
  • Upperbound of 95% confidence interval for alpha
    0.77704
  • Treynor index (mean / b)
    0.05948
  • Jensen alpha (a)
    -0.01265
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37909
  • Expected Shortfall on VaR
    0.44893
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05135
  • Expected Shortfall on VaR
    0.12951
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    63.00000
  • Minimum
    0.11550
  • Quartile 1
    0.97879
  • Median
    1.05413
  • Quartile 3
    1.13611
  • Maximum
    1.52917
  • Mean of quarter 1
    0.86511
  • Mean of quarter 2
    1.02850
  • Mean of quarter 3
    1.09261
  • Mean of quarter 4
    1.20314
  • Inter Quartile Range
    0.15731
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01587
  • Mean of outliers low
    0.11550
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01587
  • Mean of outliers high
    1.52917
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44911
  • VaR(95%) (moments method)
    0.09041
  • Expected Shortfall (moments method)
    0.20222
  • Extreme Value Index (regression method)
    0.69625
  • VaR(95%) (regression method)
    0.08828
  • Expected Shortfall (regression method)
    0.31609
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00930
  • Quartile 1
    0.04514
  • Median
    0.06004
  • Quartile 3
    0.13087
  • Maximum
    0.88450
  • Mean of quarter 1
    0.02437
  • Mean of quarter 2
    0.05187
  • Mean of quarter 3
    0.09582
  • Mean of quarter 4
    0.35224
  • Inter Quartile Range
    0.08573
  • 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
    0.07143
  • Mean of outliers high
    0.88450
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.63991
  • VaR(95%) (moments method)
    0.41755
  • Expected Shortfall (moments method)
    1.24203
  • Extreme Value Index (regression method)
    1.73070
  • VaR(95%) (regression method)
    0.47746
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42507
  • Compounded annual return (geometric extrapolation)
    0.25035
  • Calmar ratio (compounded annual return / max draw down)
    0.28305
  • Compounded annual return / average of 25% largest draw downs
    0.71076
  • Compounded annual return / Expected Shortfall lognormal
    0.55767
  • 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
    0.45282
  • SD
    0.60447
  • Sharpe ratio (Glass type estimate)
    0.74911
  • Sharpe ratio (Hedges UMVUE)
    0.74871
  • df
    1395.00000
  • t
    1.72917
  • p
    0.47057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59826
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98503
  • Upside Potential Ratio
    5.04766
  • Upside part of mean
    2.32039
  • Downside part of mean
    -1.86757
  • Upside SD
    0.39317
  • Downside SD
    0.45970
  • N nonnegative terms
    774.00000
  • N negative terms
    622.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1396.00000
  • Mean of predictor
    0.07452
  • Mean of criterion
    0.45282
  • SD of predictor
    0.19322
  • SD of criterion
    0.60447
  • Covariance
    0.00972
  • r
    0.08326
  • b (slope, estimate of beta)
    0.26047
  • a (intercept, estimate of alpha)
    0.43300
  • Mean Square Error
    0.36311
  • DF error
    1394.00000
  • t(b)
    3.11937
  • p(b)
    0.45837
  • t(a)
    1.65975
  • p(a)
    0.47780
  • Lowerbound of 95% confidence interval for beta
    0.09667
  • Upperbound of 95% confidence interval for beta
    0.42427
  • Lowerbound of 95% confidence interval for alpha
    -0.07884
  • Upperbound of 95% confidence interval for alpha
    0.94565
  • Treynor index (mean / b)
    1.73848
  • Jensen alpha (a)
    0.43341
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20255
  • SD
    0.79570
  • Sharpe ratio (Glass type estimate)
    0.25455
  • Sharpe ratio (Hedges UMVUE)
    0.25442
  • df
    1395.00000
  • t
    0.58758
  • p
    0.48999
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10356
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28294
  • Upside Potential Ratio
    3.15013
  • Upside part of mean
    2.25505
  • Downside part of mean
    -2.05250
  • Upside SD
    0.34696
  • Downside SD
    0.71586
  • N nonnegative terms
    774.00000
  • N negative terms
    622.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1396.00000
  • Mean of predictor
    0.05573
  • Mean of criterion
    0.20255
  • SD of predictor
    0.19423
  • SD of criterion
    0.79570
  • Covariance
    0.01189
  • r
    0.07693
  • b (slope, estimate of beta)
    0.31518
  • a (intercept, estimate of alpha)
    0.18498
  • Mean Square Error
    0.62984
  • DF error
    1394.00000
  • t(b)
    2.88095
  • p(b)
    0.46153
  • t(a)
    0.53794
  • p(a)
    0.49280
  • Lowerbound of 95% confidence interval for beta
    0.10057
  • Upperbound of 95% confidence interval for beta
    0.52979
  • Lowerbound of 95% confidence interval for alpha
    -0.48957
  • Upperbound of 95% confidence interval for alpha
    0.85953
  • Treynor index (mean / b)
    0.64264
  • Jensen alpha (a)
    0.18498
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07696
  • Expected Shortfall on VaR
    0.09558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01446
  • Expected Shortfall on VaR
    0.03423
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1396.00000
  • Minimum
    0.23944
  • Quartile 1
    0.99249
  • Median
    1.00195
  • Quartile 3
    1.01152
  • Maximum
    1.61601
  • Mean of quarter 1
    0.97447
  • Mean of quarter 2
    0.99740
  • Mean of quarter 3
    1.00614
  • Mean of quarter 4
    1.02932
  • Inter Quartile Range
    0.01903
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.02937
  • Mean of outliers low
    0.90532
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.03868
  • Mean of outliers high
    1.07355
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53867
  • VaR(95%) (moments method)
    0.02400
  • Expected Shortfall (moments method)
    0.05720
  • Extreme Value Index (regression method)
    0.44911
  • VaR(95%) (regression method)
    0.01933
  • Expected Shortfall (regression method)
    0.03805
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    102.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00658
  • Median
    0.01639
  • Quartile 3
    0.03842
  • Maximum
    0.94295
  • Mean of quarter 1
    0.00325
  • Mean of quarter 2
    0.01097
  • Mean of quarter 3
    0.02547
  • Mean of quarter 4
    0.14247
  • Inter Quartile Range
    0.03184
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.18604
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.10200
  • VaR(95%) (moments method)
    0.10985
  • Expected Shortfall (moments method)
    0.16377
  • Extreme Value Index (regression method)
    0.07989
  • VaR(95%) (regression method)
    0.12832
  • Expected Shortfall (regression method)
    0.19237
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45307
  • Compounded annual return (geometric extrapolation)
    0.25917
  • Calmar ratio (compounded annual return / max draw down)
    0.27485
  • Compounded annual return / average of 25% largest draw downs
    1.81916
  • Compounded annual return / Expected Shortfall lognormal
    2.71157
  • 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
    0.25480
  • SD
    0.25846
  • Sharpe ratio (Glass type estimate)
    0.98587
  • Sharpe ratio (Hedges UMVUE)
    0.98017
  • df
    130.00000
  • t
    0.69711
  • p
    0.46949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79420
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75453
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49749
  • Upside Potential Ratio
    9.90220
  • Upside part of mean
    1.68489
  • Downside part of mean
    -1.43009
  • Upside SD
    0.19387
  • Downside SD
    0.17015
  • 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
    0.22606
  • Mean of criterion
    0.25480
  • SD of predictor
    0.21093
  • SD of criterion
    0.25846
  • Covariance
    -0.02415
  • r
    -0.44292
  • b (slope, estimate of beta)
    -0.54273
  • a (intercept, estimate of alpha)
    0.37750
  • Mean Square Error
    0.05411
  • DF error
    129.00000
  • t(b)
    -5.61105
  • p(b)
    0.77246
  • t(a)
    1.14498
  • p(a)
    0.43625
  • Lowerbound of 95% confidence interval for beta
    -0.73411
  • Upperbound of 95% confidence interval for beta
    -0.35136
  • Lowerbound of 95% confidence interval for alpha
    -0.27482
  • Upperbound of 95% confidence interval for alpha
    1.02981
  • Treynor index (mean / b)
    -0.46948
  • Jensen alpha (a)
    0.37750
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22168
  • SD
    0.25763
  • Sharpe ratio (Glass type estimate)
    0.86044
  • Sharpe ratio (Hedges UMVUE)
    0.85547
  • df
    130.00000
  • t
    0.60842
  • p
    0.47336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91829
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62922
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28623
  • Upside Potential Ratio
    9.66862
  • Upside part of mean
    1.66634
  • Downside part of mean
    -1.44466
  • Upside SD
    0.19066
  • Downside SD
    0.17234
  • 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
    0.20367
  • Mean of criterion
    0.22168
  • SD of predictor
    0.21243
  • SD of criterion
    0.25763
  • Covariance
    -0.02418
  • r
    -0.44186
  • b (slope, estimate of beta)
    -0.53586
  • a (intercept, estimate of alpha)
    0.33082
  • Mean Square Error
    0.05383
  • DF error
    129.00000
  • t(b)
    -5.59425
  • p(b)
    0.77185
  • t(a)
    1.00646
  • p(a)
    0.44388
  • VAR (95 Confidence Intrvl)
    0.07700
  • Lowerbound of 95% confidence interval for beta
    -0.72538
  • Upperbound of 95% confidence interval for beta
    -0.34634
  • Lowerbound of 95% confidence interval for alpha
    -0.31951
  • Upperbound of 95% confidence interval for alpha
    0.98114
  • Treynor index (mean / b)
    -0.41368
  • Jensen alpha (a)
    0.33082
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02502
  • Expected Shortfall on VaR
    0.03146
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01146
  • Expected Shortfall on VaR
    0.02220
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96146
  • Quartile 1
    0.99154
  • Median
    1.00235
  • Quartile 3
    1.00921
  • Maximum
    1.06322
  • Mean of quarter 1
    0.98130
  • Mean of quarter 2
    0.99760
  • Mean of quarter 3
    1.00531
  • Mean of quarter 4
    1.02023
  • Inter Quartile Range
    0.01767
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.96146
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.04879
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07091
  • VaR(95%) (moments method)
    0.01859
  • Expected Shortfall (moments method)
    0.02384
  • Extreme Value Index (regression method)
    -0.36873
  • VaR(95%) (regression method)
    0.01922
  • Expected Shortfall (regression method)
    0.02257
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00240
  • Quartile 1
    0.00585
  • Median
    0.03714
  • Quartile 3
    0.10981
  • Maximum
    0.18759
  • Mean of quarter 1
    0.00412
  • Mean of quarter 2
    0.03714
  • Mean of quarter 3
    0.10981
  • Mean of quarter 4
    0.18759
  • Inter Quartile Range
    0.10397
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345447000
  • Max Equity Drawdown (num days)
    1681
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26582
  • Compounded annual return (geometric extrapolation)
    0.28349
  • Calmar ratio (compounded annual return / max draw down)
    1.51119
  • Compounded annual return / average of 25% largest draw downs
    1.51119
  • Compounded annual return / Expected Shortfall lognormal
    9.01054

Strategy Description

Our approach is based upon 3 principles
1)Exhaustive momentum is not sustainable.
2)Currencies are range bound.
3)Prices fall faster than they rise.

As such, we are a momentum based, Short only and we do not use initial stops, we therefore are non-correlated to most other programs.

Summary Statistics

Strategy began
2015-06-12
Suggested Minimum Capital
$50,000
# Trades
1031
# Profitable
949
% Profitable
92.0%
Correlation S&P500
0.076
Sharpe Ratio
0.56
Sortino Ratio
1.34
Beta
0.17
Alpha
0.00
Leverage
10.14 Average
89.86 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

#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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.