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

The Wizard EUR/USD Forex
(111561049)

Created by: PTY_LTD PTY_LTD
Started: 05/2017
Forex
Last trade: 2,144 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 $150.00 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.

45.7%
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.

(41.3%)
Max Drawdown
194
Num Trades
52.6%
Win Trades
1.2 : 1
Profit Factor
12.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +1.0%+5.2%+55.7%+8.6%+15.7%+0.4%+2.9%+6.8%+129.6%
2018+8.3%(17.3%)+24.4%(16.3%)(25.9%)  -    -    -    -    -    -    -  (30.9%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 55 hours.

Trading Record

This strategy has placed 204 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2172 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/15/18 20:08 EUR/USD EUR/USD LONG 15 1.18239 5/16 8:53 1.17650 8.39%
Trade id #117951876
Max drawdown($884)
Time5/16/18 8:53
Quant open0
Worst price1.17650
Drawdown as % of equity-8.39%
($884)
5/9/18 20:14 EUR/USD EUR/USD LONG 15 1.18521 5/10 8:33 1.19112 1.21%
Trade id #117866423
Max drawdown($124)
Time5/9/18 20:48
Quant open15
Worst price1.18438
Drawdown as % of equity-1.21%
$887
5/8/18 20:24 EUR/USD EUR/USD LONG 15 1.18699 5/9 15:59 1.18492 7.15%
Trade id #117848941
Max drawdown($712)
Time5/9/18 3:20
Quant open15
Worst price1.18224
Drawdown as % of equity-7.15%
($311)
5/3/18 23:09 EUR/USD EUR/USD LONG 15 1.19887 5/4 9:06 1.19284 8.03%
Trade id #117788614
Max drawdown($905)
Time5/4/18 9:06
Quant open0
Worst price1.19284
Drawdown as % of equity-8.03%
($905)
5/3/18 2:15 EUR/USD EUR/USD LONG 15 1.19760 5/3 15:59 1.19855 3.64%
Trade id #117766742
Max drawdown($402)
Time5/3/18 11:01
Quant open15
Worst price1.19492
Drawdown as % of equity-3.64%
$143
5/1/18 20:21 EUR/USD EUR/USD LONG 15 1.19958 5/2 15:59 1.19417 6.97%
Trade id #117746774
Max drawdown($871)
Time5/2/18 15:48
Quant open15
Worst price1.19377
Drawdown as % of equity-6.97%
($812)
4/30/18 20:28 EUR/USD EUR/USD LONG 15 1.20808 5/1 8:05 1.20200 7.44%
Trade id #117727175
Max drawdown($912)
Time5/1/18 8:05
Quant open0
Worst price1.20200
Drawdown as % of equity-7.44%
($912)
4/26/18 20:04 EUR/USD EUR/USD LONG 15 1.21033 4/27 15:59 1.21304 5.85%
Trade id #117685057
Max drawdown($717)
Time4/27/18 8:41
Quant open15
Worst price1.20555
Drawdown as % of equity-5.85%
$407
4/25/18 21:25 EUR/USD EUR/USD LONG 15 1.21709 4/26 10:49 1.21097 6.79%
Trade id #117667670
Max drawdown($918)
Time4/26/18 10:49
Quant open0
Worst price1.21097
Drawdown as % of equity-6.79%
($918)
4/23/18 21:19 EUR/USD EUR/USD LONG 15 1.21924 4/24 15:59 1.22330 1.23%
Trade id #117630026
Max drawdown($160)
Time4/24/18 4:21
Quant open15
Worst price1.21817
Drawdown as % of equity-1.23%
$609
4/22/18 19:57 EUR/USD EUR/USD LONG 15 1.22735 4/23 11:39 1.22120 6.96%
Trade id #117613219
Max drawdown($923)
Time4/23/18 11:39
Quant open0
Worst price1.22120
Drawdown as % of equity-6.96%
($923)
4/19/18 21:40 EUR/USD EUR/USD LONG 15 1.23394 4/20 9:43 1.22780 6.41%
Trade id #117588594
Max drawdown($921)
Time4/20/18 9:43
Quant open0
Worst price1.22780
Drawdown as % of equity-6.41%
($921)
4/18/18 21:23 EUR/USD EUR/USD LONG 15 1.23725 4/19 15:59 1.23497 4.37%
Trade id #117571047
Max drawdown($651)
Time4/19/18 11:50
Quant open15
Worst price1.23291
Drawdown as % of equity-4.37%
($342)
4/17/18 21:22 EUR/USD EUR/USD LONG 15 1.23710 4/18 15:59 1.23731 2.94%
Trade id #117552884
Max drawdown($442)
Time4/18/18 5:01
Quant open15
Worst price1.23415
Drawdown as % of equity-2.94%
$32
4/15/18 20:40 EUR/USD EUR/USD LONG 15 1.23369 4/16 15:59 1.23754 1.32%
Trade id #117517357
Max drawdown($192)
Time4/16/18 2:59
Quant open15
Worst price1.23241
Drawdown as % of equity-1.32%
$578
4/12/18 20:45 EUR/USD EUR/USD LONG 15 1.23283 4/13 15:59 1.23361 2.22%
Trade id #117493631
Max drawdown($317)
Time4/13/18 7:55
Quant open15
Worst price1.23071
Drawdown as % of equity-2.22%
$117
4/11/18 21:19 EUR/USD EUR/USD LONG 10 1.23734 4/12 9:01 1.23118 4.23%
Trade id #117474919
Max drawdown($616)
Time4/12/18 9:01
Quant open0
Worst price1.23118
Drawdown as % of equity-4.23%
($616)
4/10/18 20:25 EUR/USD EUR/USD LONG 10 1.23639 4/11 15:59 1.23617 1.12%
Trade id #117457046
Max drawdown($170)
Time4/11/18 14:16
Quant open10
Worst price1.23469
Drawdown as % of equity-1.12%
($22)
4/5/18 19:47 EUR/USD EUR/USD LONG 10 1.22509 4/6 15:59 1.22851 2.45%
Trade id #117394549
Max drawdown($358)
Time4/6/18 3:30
Quant open10
Worst price1.22151
Drawdown as % of equity-2.45%
$342
4/5/18 10:50 EUR/USD EUR/USD LONG 10 1.22220 4/5 15:59 1.22346 0.25%
Trade id #117384889
Max drawdown($36)
Time4/5/18 11:46
Quant open10
Worst price1.22184
Drawdown as % of equity-0.25%
$126
4/4/18 5:07 EUR/USD EUR/USD LONG 10 1.22919 4/4 15:59 1.22826 1.44%
Trade id #117361369
Max drawdown($212)
Time4/4/18 8:16
Quant open10
Worst price1.22707
Drawdown as % of equity-1.44%
($93)
4/1/18 20:08 EUR/USD EUR/USD LONG 10 1.23125 4/2 15:59 1.23045 2.1%
Trade id #117318380
Max drawdown($309)
Time4/2/18 11:40
Quant open10
Worst price1.22816
Drawdown as % of equity-2.10%
($80)
3/28/18 20:30 EUR/USD EUR/USD LONG 10 1.23074 3/29 15:59 1.23042 1.6%
Trade id #117289122
Max drawdown($235)
Time3/29/18 11:55
Quant open10
Worst price1.22839
Drawdown as % of equity-1.60%
($32)
3/27/18 21:21 EUR/USD EUR/USD LONG 5 1.24103 3/28 9:40 1.23480 2.08%
Trade id #117267035
Max drawdown($312)
Time3/28/18 9:40
Quant open0
Worst price1.23480
Drawdown as % of equity-2.08%
($312)
3/27/18 7:02 EUR/USD EUR/USD LONG 5 1.24010 3/27 15:59 1.23983 0.96%
Trade id #117249208
Max drawdown($144)
Time3/27/18 8:13
Quant open5
Worst price1.23722
Drawdown as % of equity-0.96%
($14)
3/25/18 18:28 EUR/USD EUR/USD LONG 15 1.23655 3/26 15:59 1.24525 1.5%
Trade id #117221683
Max drawdown($207)
Time3/25/18 20:02
Quant open15
Worst price1.23517
Drawdown as % of equity-1.50%
$1,305
3/22/18 21:45 EUR/USD EUR/USD LONG 15 1.23312 3/23 15:59 1.23662 1.65%
Trade id #117195389
Max drawdown($216)
Time3/23/18 3:53
Quant open15
Worst price1.23168
Drawdown as % of equity-1.65%
$525
3/22/18 12:14 EUR/USD EUR/USD LONG 15 1.22950 3/22 15:59 1.23193 1.12%
Trade id #117184673
Max drawdown($145)
Time3/22/18 12:17
Quant open15
Worst price1.22853
Drawdown as % of equity-1.12%
$365
3/20/18 21:55 EUR/USD EUR/USD LONG 15 1.22538 3/21 14:00 1.23161 0.21%
Trade id #117145819
Max drawdown($25)
Time3/20/18 22:42
Quant open15
Worst price1.22521
Drawdown as % of equity-0.21%
$935
3/20/18 7:38 EUR/USD EUR/USD LONG 15 1.22990 3/20 15:59 1.22458 6.53%
Trade id #117132175
Max drawdown($802)
Time3/20/18 12:53
Quant open15
Worst price1.22455
Drawdown as % of equity-6.53%
($798)

Statistics

  • Strategy began
    5/11/2017
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    2506
  • Age
    84 months ago
  • What it trades
    Forex
  • # Trades
    194
  • # Profitable
    102
  • % Profitable
    52.60%
  • Avg trade duration
    14.2 hours
  • Max peak-to-valley drawdown
    41.29%
  • drawdown period
    April 18, 2018 - May 09, 2018
  • Annual Return (Compounded)
    45.7%
  • Avg win
    $328.17
  • Avg loss
    $306.05
  • Model Account Values (Raw)
  • Cash
    $10,308
  • Margin Used
    $0
  • Buying Power
    $10,308
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.32
  • Sortino Ratio
    0.51
  • Calmar Ratio
    1.468
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    45.88%
  • Correlation to SP500
    -0.01550
  • Return Percent SP500 (cumu) during strategy life
    119.44%
  • Return Statistics
  • Ann Return (w trading costs)
    45.7%
  • Slump
  • Current Slump as Pcnt Equity
    67.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.86%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.457%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.00%
  • Chance of 20% account loss
    32.00%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    33.76%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    305
  • Popularity (Last 6 weeks)
    553
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    371
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $306
  • Avg Win
    $328
  • Sum Trade PL (losers)
    $28,157.000
  • Age
  • Num Months filled monthly returns table
    83
  • Win / Loss
  • Sum Trade PL (winners)
    $33,473.000
  • # Winners
    102
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    92
  • % Winners
    52.6%
  • Frequency
  • Avg Position Time (mins)
    852.97
  • Avg Position Time (hrs)
    14.22
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    2137
  • Regression
  • Alpha
    0.02
  • Beta
    -0.01
  • Treynor Index
    -1.32
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    43.79
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.07
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.10
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    11.502
  • 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
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.522
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.312
  • Hold-and-Hope Ratio
    0.087
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.85172
  • SD
    0.67548
  • Sharpe ratio (Glass type estimate)
    1.26090
  • Sharpe ratio (Hedges UMVUE)
    1.18013
  • df
    12.00000
  • t
    1.31239
  • p
    0.32286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71140
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18471
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12149
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.97449
  • Upside Potential Ratio
    4.64672
  • Upside part of mean
    1.33055
  • Downside part of mean
    -0.47883
  • Upside SD
    0.63217
  • Downside SD
    0.28634
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.09054
  • Mean of criterion
    0.85172
  • SD of predictor
    0.07440
  • SD of criterion
    0.67548
  • Covariance
    -0.01467
  • r
    -0.29182
  • b (slope, estimate of beta)
    -2.64958
  • a (intercept, estimate of alpha)
    1.09160
  • Mean Square Error
    0.45537
  • DF error
    11.00000
  • t(b)
    -1.01192
  • p(b)
    0.83334
  • t(a)
    1.58131
  • p(a)
    0.07106
  • Lowerbound of 95% confidence interval for beta
    -8.41257
  • Upperbound of 95% confidence interval for beta
    3.11342
  • Lowerbound of 95% confidence interval for alpha
    -0.42777
  • Upperbound of 95% confidence interval for alpha
    2.61097
  • Treynor index (mean / b)
    -0.32145
  • Jensen alpha (a)
    1.09160
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63978
  • SD
    0.62701
  • Sharpe ratio (Glass type estimate)
    1.02037
  • Sharpe ratio (Hedges UMVUE)
    0.95500
  • df
    12.00000
  • t
    1.06203
  • p
    0.35344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92555
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92621
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96644
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87644
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97517
  • Upside Potential Ratio
    3.59883
  • Upside part of mean
    1.16571
  • Downside part of mean
    -0.52592
  • Upside SD
    0.54046
  • Downside SD
    0.32391
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.08747
  • Mean of criterion
    0.63978
  • SD of predictor
    0.07406
  • SD of criterion
    0.62701
  • Covariance
    -0.01310
  • r
    -0.28200
  • b (slope, estimate of beta)
    -2.38750
  • a (intercept, estimate of alpha)
    0.84861
  • Mean Square Error
    0.39478
  • DF error
    11.00000
  • t(b)
    -0.97486
  • p(b)
    0.82471
  • t(a)
    1.32482
  • p(a)
    0.10605
  • Lowerbound of 95% confidence interval for beta
    -7.77785
  • Upperbound of 95% confidence interval for beta
    3.00285
  • Lowerbound of 95% confidence interval for alpha
    -0.56122
  • Upperbound of 95% confidence interval for alpha
    2.25843
  • Treynor index (mean / b)
    -0.26797
  • Jensen alpha (a)
    0.84861
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21683
  • Expected Shortfall on VaR
    0.27229
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08726
  • Expected Shortfall on VaR
    0.17375
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.74090
  • Quartile 1
    0.93508
  • Median
    1.05546
  • Quartile 3
    1.12827
  • Maximum
    1.45859
  • Mean of quarter 1
    0.87690
  • Mean of quarter 2
    1.01437
  • Mean of quarter 3
    1.11072
  • Mean of quarter 4
    1.35670
  • Inter Quartile Range
    0.19319
  • 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
    0.07692
  • Mean of outliers high
    1.45859
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53907
  • VaR(95%) (moments method)
    0.16010
  • Expected Shortfall (moments method)
    0.35835
  • Extreme Value Index (regression method)
    4.55972
  • VaR(95%) (regression method)
    0.40084
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01365
  • Quartile 1
    0.05210
  • Median
    0.08409
  • Quartile 3
    0.15429
  • Maximum
    0.30736
  • Mean of quarter 1
    0.01365
  • Mean of quarter 2
    0.06492
  • Mean of quarter 3
    0.10326
  • Mean of quarter 4
    0.30736
  • Inter Quartile Range
    0.10219
  • 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)
    0.97965
  • Compounded annual return (geometric extrapolation)
    0.94973
  • Calmar ratio (compounded annual return / max draw down)
    3.08997
  • Compounded annual return / average of 25% largest draw downs
    3.08997
  • Compounded annual return / Expected Shortfall lognormal
    3.48792
  • 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
    0.68052
  • SD
    0.39271
  • Sharpe ratio (Glass type estimate)
    1.73290
  • Sharpe ratio (Hedges UMVUE)
    1.72855
  • df
    299.00000
  • t
    1.85432
  • p
    0.03234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56541
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.89212
  • Upside Potential Ratio
    10.18570
  • Upside part of mean
    2.39672
  • Downside part of mean
    -1.71620
  • Upside SD
    0.31639
  • Downside SD
    0.23530
  • N nonnegative terms
    140.00000
  • N negative terms
    160.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.14855
  • Mean of criterion
    0.68052
  • SD of predictor
    0.12485
  • SD of criterion
    0.39271
  • Covariance
    -0.00293
  • r
    -0.05977
  • b (slope, estimate of beta)
    -0.18800
  • a (intercept, estimate of alpha)
    0.41400
  • Mean Square Error
    0.15418
  • DF error
    298.00000
  • t(b)
    -1.03364
  • p(b)
    0.84893
  • t(a)
    1.92542
  • p(a)
    0.02756
  • Lowerbound of 95% confidence interval for beta
    -0.54593
  • Upperbound of 95% confidence interval for beta
    0.16993
  • Lowerbound of 95% confidence interval for alpha
    -0.01565
  • Upperbound of 95% confidence interval for alpha
    1.43255
  • Treynor index (mean / b)
    -3.61986
  • Jensen alpha (a)
    0.70845
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60380
  • SD
    0.38914
  • Sharpe ratio (Glass type estimate)
    1.55165
  • Sharpe ratio (Hedges UMVUE)
    1.54775
  • df
    299.00000
  • t
    1.66036
  • p
    0.04894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38358
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51037
  • Upside Potential Ratio
    9.76343
  • Upside part of mean
    2.34832
  • Downside part of mean
    -1.74452
  • Upside SD
    0.30735
  • Downside SD
    0.24052
  • N nonnegative terms
    140.00000
  • N negative terms
    160.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.14069
  • Mean of criterion
    0.60380
  • SD of predictor
    0.12530
  • SD of criterion
    0.38914
  • Covariance
    -0.00281
  • r
    -0.05772
  • b (slope, estimate of beta)
    -0.17928
  • a (intercept, estimate of alpha)
    0.62902
  • Mean Square Error
    0.15143
  • DF error
    298.00000
  • t(b)
    -0.99815
  • p(b)
    0.84049
  • t(a)
    1.72555
  • p(a)
    0.04273
  • Lowerbound of 95% confidence interval for beta
    -0.53274
  • Upperbound of 95% confidence interval for beta
    0.17419
  • Lowerbound of 95% confidence interval for alpha
    -0.08837
  • Upperbound of 95% confidence interval for alpha
    1.34641
  • Treynor index (mean / b)
    -3.36797
  • Jensen alpha (a)
    0.62902
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03655
  • Expected Shortfall on VaR
    0.04615
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01561
  • Expected Shortfall on VaR
    0.03144
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    300.00000
  • Minimum
    0.93157
  • Quartile 1
    0.99234
  • Median
    1.00000
  • Quartile 3
    1.01132
  • Maximum
    1.10435
  • Mean of quarter 1
    0.97559
  • Mean of quarter 2
    0.99843
  • Mean of quarter 3
    1.00415
  • Mean of quarter 4
    1.03264
  • Inter Quartile Range
    0.01898
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.05667
  • Mean of outliers low
    0.95081
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.06000
  • Mean of outliers high
    1.06507
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12762
  • VaR(95%) (moments method)
    0.02141
  • Expected Shortfall (moments method)
    0.03208
  • Extreme Value Index (regression method)
    -0.40939
  • VaR(95%) (regression method)
    0.02670
  • Expected Shortfall (regression method)
    0.03255
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00615
  • Median
    0.03288
  • Quartile 3
    0.06847
  • Maximum
    0.32239
  • Mean of quarter 1
    0.00325
  • Mean of quarter 2
    0.01960
  • Mean of quarter 3
    0.04943
  • Mean of quarter 4
    0.17661
  • Inter Quartile Range
    0.06232
  • 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
    0.08696
  • Mean of outliers high
    0.30573
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68892
  • VaR(95%) (moments method)
    0.17203
  • Expected Shortfall (moments method)
    0.19583
  • Extreme Value Index (regression method)
    -0.55558
  • VaR(95%) (regression method)
    0.23376
  • Expected Shortfall (regression method)
    0.27428
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.92685
  • Compounded annual return (geometric extrapolation)
    0.88082
  • Calmar ratio (compounded annual return / max draw down)
    2.73212
  • Compounded annual return / average of 25% largest draw downs
    4.98734
  • Compounded annual return / Expected Shortfall lognormal
    19.08750
  • 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
    -0.44932
  • SD
    0.41839
  • Sharpe ratio (Glass type estimate)
    -1.07391
  • Sharpe ratio (Hedges UMVUE)
    -1.06770
  • df
    130.00000
  • t
    -0.75937
  • p
    0.53323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.84673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84254
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70714
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.47086
  • Upside Potential Ratio
    6.32668
  • Upside part of mean
    1.93266
  • Downside part of mean
    -2.38198
  • Upside SD
    0.28491
  • Downside SD
    0.30548
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10108
  • Mean of criterion
    -0.44932
  • SD of predictor
    0.17219
  • SD of criterion
    0.41839
  • Covariance
    -0.00239
  • r
    -0.03312
  • b (slope, estimate of beta)
    -0.08047
  • a (intercept, estimate of alpha)
    -0.44118
  • Mean Square Error
    0.17622
  • DF error
    129.00000
  • t(b)
    -0.37636
  • p(b)
    0.52108
  • t(a)
    -0.74266
  • p(a)
    0.54151
  • Lowerbound of 95% confidence interval for beta
    -0.50353
  • Upperbound of 95% confidence interval for beta
    0.34258
  • Lowerbound of 95% confidence interval for alpha
    -1.61653
  • Upperbound of 95% confidence interval for alpha
    0.73417
  • Treynor index (mean / b)
    5.58341
  • Jensen alpha (a)
    -0.44118
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.53665
  • SD
    0.41861
  • Sharpe ratio (Glass type estimate)
    -1.28197
  • Sharpe ratio (Hedges UMVUE)
    -1.27456
  • df
    130.00000
  • t
    -0.90649
  • p
    0.53963
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.05574
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.05069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50157
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.71422
  • Upside Potential Ratio
    6.04772
  • Upside part of mean
    1.89328
  • Downside part of mean
    -2.42993
  • Upside SD
    0.27748
  • Downside SD
    0.31306
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08627
  • Mean of criterion
    -0.53665
  • SD of predictor
    0.17288
  • SD of criterion
    0.41861
  • Covariance
    -0.00236
  • r
    -0.03259
  • b (slope, estimate of beta)
    -0.07892
  • a (intercept, estimate of alpha)
    -0.52984
  • Mean Square Error
    0.17641
  • DF error
    129.00000
  • t(b)
    -0.37036
  • p(b)
    0.52074
  • t(a)
    -0.89159
  • p(a)
    0.54977
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    -0.50051
  • Upperbound of 95% confidence interval for beta
    0.34268
  • Lowerbound of 95% confidence interval for alpha
    -1.70561
  • Upperbound of 95% confidence interval for alpha
    0.64593
  • Treynor index (mean / b)
    6.80010
  • Jensen alpha (a)
    -0.52984
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04361
  • Expected Shortfall on VaR
    0.05384
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02553
  • Expected Shortfall on VaR
    0.04830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93157
  • Quartile 1
    0.98884
  • Median
    1.00000
  • Quartile 3
    1.00358
  • Maximum
    1.08067
  • Mean of quarter 1
    0.96673
  • Mean of quarter 2
    0.99747
  • Mean of quarter 3
    1.00047
  • Mean of quarter 4
    1.02896
  • Inter Quartile Range
    0.01474
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.94874
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.04403
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31254
  • VaR(95%) (moments method)
    0.02928
  • Expected Shortfall (moments method)
    0.03598
  • Extreme Value Index (regression method)
    -0.83640
  • VaR(95%) (regression method)
    0.03300
  • Expected Shortfall (regression method)
    0.03649
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02973
  • Quartile 1
    0.04583
  • Median
    0.10649
  • Quartile 3
    0.28906
  • Maximum
    0.32239
  • Mean of quarter 1
    0.03778
  • Mean of quarter 2
    0.10649
  • Mean of quarter 3
    0.28906
  • Mean of quarter 4
    0.32239
  • Inter Quartile Range
    0.24323
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -40
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.44919
  • Compounded annual return (geometric extrapolation)
    -0.39875
  • Calmar ratio (compounded annual return / max draw down)
    -1.23683
  • Compounded annual return / average of 25% largest draw downs
    -1.23683
  • Compounded annual return / Expected Shortfall lognormal
    -7.40557

Strategy Description

EUR/USD Forex (The most liquid market & most liquid pair traded in the world.) The system limits/profits has bigger winners over the compulsory stops in place. The stop percentage used is 0.5% of the entry price. If an intra day stop or profit is not activated, all open positions are closed at the end of USA trading day. New trade signals are reassessed for a new trading day. The entry, stop loss & profits signals is pure mechanical and not discretionary.

Please Note: I do increase the contracts, but only when an intra day stop is activated. I also will not increase past 3 X. So that means if I am generally trading 5 contracts, the max contracts traded would be 15 contracts. The contracts are reduced, only once the compound losses from first initial stop loss hit, has recouped into profit.

Summary Statistics

Strategy began
2017-05-11
Suggested Minimum Capital
$10,000
# Trades
194
# Profitable
102
% Profitable
52.6%
Correlation S&P500
-0.015
Sharpe Ratio
0.32
Sortino Ratio
0.51
Beta
-0.01
Alpha
0.02

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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