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Forex Aggressive Risk
(117863277)

Created by: JayMcGivney6 JayMcGivney6
Started: 05/2018
Forex
Last trade: Yesterday

Subscriptions not available

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

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

127.1%
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.

(24.2%)
Max Drawdown
156
Num Trades
96.2%
Win Trades
26.5 : 1
Profit Factor
72.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +15.0%+11.0%+13.1%(10%)(2.9%)+24.2%+5.9%+0.3%+66.7%
2019+17.6%(8.4%)+26.4%                                                      +36.3%

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 89 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/22/19 9:40 GBP/CHF GBP/CHF SHORT 10 1.31163 3/25 3:36 1.30971 0.57%
Trade id #123029434
Max drawdown($267)
Time3/22/19 13:52
Quant open-10
Worst price1.31429
Drawdown as % of equity-0.57%
$193
3/21/19 15:22 EUR/GBP EUR/GBP SHORT 20 0.86896 3/21 15:54 0.86788 0.02%
Trade id #123019578
Max drawdown($10)
Time3/21/19 15:27
Quant open-20
Worst price0.86900
Drawdown as % of equity-0.02%
$283
3/21/19 11:27 CHF/JPY CHF/JPY SHORT 20 111.726 3/21 14:43 111.535 0.15%
Trade id #123014771
Max drawdown($68)
Time3/21/19 11:33
Quant open-20
Worst price111.764
Drawdown as % of equity-0.15%
$345
2/18/19 12:02 GBP/CHF GBP/CHF SHORT 14 1.30646 3/21 4:05 1.30639 12.92%
Trade id #122570708
Max drawdown($5,058)
Time3/11/19 18:05
Quant open-14
Worst price1.34231
Drawdown as % of equity-12.92%
$10
1/15/19 11:04 USD/CHF USD/CHF SHORT 20 0.99345 3/20 14:04 0.99340 9.74%
Trade id #121983458
Max drawdown($3,822)
Time3/7/19 14:51
Quant open-20
Worst price1.01242
Drawdown as % of equity-9.74%
$10
3/15/19 11:24 AUD/USD AUD/USD SHORT 10 0.70921 3/19 20:40 0.70710 0.67%
Trade id #122928001
Max drawdown($276)
Time3/18/19 4:00
Quant open-10
Worst price0.71197
Drawdown as % of equity-0.67%
$211
3/19/19 9:21 CAD/JPY CAD/JPY SHORT 10 84.030 3/19 11:09 83.872 0.12%
Trade id #122968710
Max drawdown($51)
Time3/19/19 9:33
Quant open-10
Worst price84.087
Drawdown as % of equity-0.12%
$142
3/14/19 11:56 USD/JPY USD/JPY SHORT 10 111.682 3/15 9:38 111.479 0.48%
Trade id #122913287
Max drawdown($197)
Time3/14/19 21:29
Quant open-10
Worst price111.902
Drawdown as % of equity-0.48%
$182
3/13/19 16:48 NZD/USD NZD/USD SHORT 10 0.68568 3/14 0:47 0.68360 0.21%
Trade id #122900524
Max drawdown($83)
Time3/13/19 19:13
Quant open-10
Worst price0.68651
Drawdown as % of equity-0.21%
$208
3/11/19 11:29 NZD/CAD NZD/CAD SHORT 10 0.91611 3/12 21:30 0.91418 0.67%
Trade id #122864727
Max drawdown($274)
Time3/12/19 9:10
Quant open-10
Worst price0.91978
Drawdown as % of equity-0.67%
$144
3/8/19 10:21 NZD/CAD NZD/CAD SHORT 15 0.91313 3/10 17:03 0.91507 0.52%
Trade id #122835616
Max drawdown($218)
Time3/10/19 17:03
Quant open0
Worst price0.91507
Drawdown as % of equity-0.52%
($217)
1/7/19 10:06 CAD/JPY CAD/JPY SHORT 25 82.664 3/8 10:19 82.650 16.09%
Trade id #121817088
Max drawdown($5,795)
Time3/1/19 4:33
Quant open-25
Worst price85.237
Drawdown as % of equity-16.09%
$31
2/28/19 10:50 USD/JPY USD/JPY SHORT 10 111.346 3/7 23:27 111.340 1.78%
Trade id #122733297
Max drawdown($711)
Time3/5/19 10:33
Quant open-10
Worst price112.137
Drawdown as % of equity-1.78%
$5
2/22/19 10:16 NZD/USD NZD/USD SHORT 10 0.68298 2/28 10:09 0.68098 1.92%
Trade id #122641812
Max drawdown($733)
Time2/26/19 14:44
Quant open-10
Worst price0.69031
Drawdown as % of equity-1.92%
$200
2/26/19 9:07 USD/CAD USD/CAD SHORT 10 1.32330 2/26 10:27 1.32093 0.04%
Trade id #122683631
Max drawdown($15)
Time2/26/19 9:15
Quant open-10
Worst price1.32350
Drawdown as % of equity-0.04%
$179
2/21/19 13:54 EUR/AUD EUR/AUD SHORT 10 1.60000 2/21 19:06 1.59635 0.27%
Trade id #122627651
Max drawdown($111)
Time2/21/19 14:54
Quant open-10
Worst price1.60156
Drawdown as % of equity-0.27%
$259
2/19/19 11:10 AUD/USD AUD/USD SHORT 10 0.71430 2/21 0:28 0.71229 1.63%
Trade id #122586243
Max drawdown($639)
Time2/20/19 19:39
Quant open-10
Worst price0.72069
Drawdown as % of equity-1.63%
$201
2/6/19 11:34 USD/CAD USD/CAD SHORT 10 1.31884 2/19 21:25 1.31870 2.87%
Trade id #122393778
Max drawdown($1,150)
Time2/14/19 10:40
Quant open-10
Worst price1.33401
Drawdown as % of equity-2.87%
$10
2/15/19 12:16 NZD/CHF NZD/CHF SHORT 10 0.69010 2/18 11:17 0.68763 0.35%
Trade id #122547745
Max drawdown($139)
Time2/17/19 21:09
Quant open-10
Worst price0.69150
Drawdown as % of equity-0.35%
$246
2/13/19 13:30 CAD/CHF CAD/CHF SHORT 10 0.76196 2/14 5:32 0.75994 0.05%
Trade id #122507403
Max drawdown($19)
Time2/14/19 2:04
Quant open-10
Worst price0.76216
Drawdown as % of equity-0.05%
$200
2/12/19 21:05 NZD/CAD NZD/CAD SHORT 10 0.90204 2/13 14:30 0.90073 0.56%
Trade id #122491415
Max drawdown($218)
Time2/13/19 0:10
Quant open-10
Worst price0.90493
Drawdown as % of equity-0.56%
$99
11/7/18 9:15 NZD/CAD NZD/CAD SHORT 15 0.89269 2/12/19 7:23 0.89272 6.43%
Trade id #120791421
Max drawdown($2,275)
Time12/26/18 0:43
Quant open-10
Worst price0.91669
Drawdown as % of equity-6.43%
($4)
2/7/19 15:39 EUR/CAD EUR/CAD SHORT 10 1.50963 2/8 3:40 1.50792 0.3%
Trade id #122421297
Max drawdown($121)
Time2/7/19 21:05
Quant open-10
Worst price1.51125
Drawdown as % of equity-0.30%
$129
1/29/19 3:07 EUR/CHF EUR/CHF SHORT 10 1.13469 2/7 9:05 1.13459 2.55%
Trade id #122235076
Max drawdown($969)
Time2/5/19 7:25
Quant open-10
Worst price1.14440
Drawdown as % of equity-2.55%
$10
1/31/19 16:09 AUD/JPY AUD/JPY SHORT 10 79.229 1/31 20:26 79.020 0.18%
Trade id #122301779
Max drawdown($74)
Time1/31/19 19:19
Quant open-10
Worst price79.310
Drawdown as % of equity-0.18%
$192
1/25/19 12:18 AUD/USD AUD/USD SHORT 10 0.71780 1/28 18:11 0.71611 0.64%
Trade id #122185343
Max drawdown($258)
Time1/27/19 23:56
Quant open-10
Worst price0.72039
Drawdown as % of equity-0.64%
$169
1/25/19 10:09 NZD/CHF NZD/CHF SHORT 10 0.67860 1/28 11:02 0.67740 0.84%
Trade id #122178165
Max drawdown($338)
Time1/28/19 0:36
Quant open-10
Worst price0.68195
Drawdown as % of equity-0.84%
$121
1/24/19 13:42 USD/CAD USD/CAD SHORT 10 1.33539 1/24 21:38 1.33330 0.17%
Trade id #122163692
Max drawdown($70)
Time1/24/19 14:28
Quant open-10
Worst price1.33633
Drawdown as % of equity-0.17%
$157
1/23/19 12:27 EUR/AUD EUR/AUD SHORT 10 1.59559 1/23 15:55 1.59363 0.09%
Trade id #122135613
Max drawdown($36)
Time1/23/19 12:40
Quant open-10
Worst price1.59609
Drawdown as % of equity-0.09%
$140
1/18/19 13:38 CAD/CHF CAD/CHF SHORT 10 0.75056 1/22 2:02 0.74861 0.12%
Trade id #122062923
Max drawdown($49)
Time1/21/19 11:00
Quant open-10
Worst price0.75105
Drawdown as % of equity-0.12%
$195

Statistics

  • Strategy began
    5/9/2018
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    320.62
  • Age
    11 months ago
  • What it trades
    Forex
  • # Trades
    156
  • # Profitable
    150
  • % Profitable
    96.20%
  • Avg trade duration
    6.2 days
  • Max peak-to-valley drawdown
    24.22%
  • drawdown period
    Aug 21, 2018 - Sept 21, 2018
  • Cumul. Return
    127.1%
  • Avg win
    $185.59
  • Avg loss
    $175.00
  • Model Account Values (Raw)
  • Cash
    $47,609
  • Margin Used
    $6,347
  • Buying Power
    $40,442
  • Ratios
  • W:L ratio
    26.51:1
  • Sharpe Ratio
    2.973
  • Sortino Ratio
    5.241
  • Calmar Ratio
    7.905
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.11700
  • Return Statistics
  • Ann Return (w trading costs)
    152.2%
  • Ann Return (Compnd, No Fees)
    162.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.50%
  • Chance of 20% account loss
    7.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    950
  • Popularity (Last 6 weeks)
    988
  • C2 Score
    88.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $175
  • Avg Win
    $186
  • # Winners
    150
  • # Losers
    6
  • % Winners
    96.2%
  • Frequency
  • Avg Position Time (mins)
    8994.08
  • Avg Position Time (hrs)
    149.90
  • Avg Trade Length
    6.2 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
    0.89657
  • SD
    0.31120
  • Sharpe ratio (Glass type estimate)
    2.88099
  • Sharpe ratio (Hedges UMVUE)
    2.63287
  • df
    9.00000
  • t
    2.62998
  • p
    0.01368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30844
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.33972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.10049
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.80310
  • Upside Potential Ratio
    16.25740
  • Upside part of mean
    0.98465
  • Downside part of mean
    -0.08808
  • Upside SD
    0.38792
  • Downside SD
    0.06057
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.02726
  • Mean of criterion
    0.89657
  • SD of predictor
    0.11320
  • SD of criterion
    0.31120
  • Covariance
    -0.00945
  • r
    -0.26815
  • b (slope, estimate of beta)
    -0.73718
  • a (intercept, estimate of alpha)
    0.91666
  • Mean Square Error
    0.10112
  • DF error
    8.00000
  • t(b)
    -0.78726
  • p(b)
    0.77309
  • t(a)
    2.62447
  • p(a)
    0.01522
  • Lowerbound of 95% confidence interval for beta
    -2.89649
  • Upperbound of 95% confidence interval for beta
    1.42213
  • Lowerbound of 95% confidence interval for alpha
    0.11123
  • Upperbound of 95% confidence interval for alpha
    1.72210
  • Treynor index (mean / b)
    -1.21622
  • Jensen alpha (a)
    0.91666
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82540
  • SD
    0.28753
  • Sharpe ratio (Glass type estimate)
    2.87064
  • Sharpe ratio (Hedges UMVUE)
    2.62341
  • df
    9.00000
  • t
    2.62052
  • p
    0.01389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.32701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08887
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.34720
  • Upside Potential Ratio
    14.79860
  • Upside part of mean
    0.91516
  • Downside part of mean
    -0.08976
  • Upside SD
    0.35687
  • Downside SD
    0.06184
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.02139
  • Mean of criterion
    0.82540
  • SD of predictor
    0.11359
  • SD of criterion
    0.28753
  • Covariance
    -0.00882
  • r
    -0.26993
  • b (slope, estimate of beta)
    -0.68325
  • a (intercept, estimate of alpha)
    0.84001
  • Mean Square Error
    0.08623
  • DF error
    8.00000
  • t(b)
    -0.79290
  • p(b)
    0.77465
  • t(a)
    2.60705
  • p(a)
    0.01564
  • Lowerbound of 95% confidence interval for beta
    -2.67035
  • Upperbound of 95% confidence interval for beta
    1.30385
  • Lowerbound of 95% confidence interval for alpha
    0.09700
  • Upperbound of 95% confidence interval for alpha
    1.58303
  • Treynor index (mean / b)
    -1.20805
  • Jensen alpha (a)
    0.84001
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06550
  • Expected Shortfall on VaR
    0.09693
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00821
  • Expected Shortfall on VaR
    0.02087
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.95215
  • Quartile 1
    1.02911
  • Median
    1.04225
  • Quartile 3
    1.15727
  • Maximum
    1.20299
  • Mean of quarter 1
    0.98626
  • Mean of quarter 2
    1.03688
  • Mean of quarter 3
    1.08561
  • Mean of quarter 4
    1.18888
  • Inter Quartile Range
    0.12816
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.84581
  • VaR(95%) (regression method)
    0.07854
  • Expected Shortfall (regression method)
    0.08168
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02090
  • Quartile 1
    0.02763
  • Median
    0.03437
  • Quartile 3
    0.04111
  • Maximum
    0.04785
  • Mean of quarter 1
    0.02090
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04785
  • Inter Quartile Range
    0.01347
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.24345
  • Compounded annual return (geometric extrapolation)
    1.34739
  • Calmar ratio (compounded annual return / max draw down)
    28.16110
  • Compounded annual return / average of 25% largest draw downs
    28.16110
  • Compounded annual return / Expected Shortfall lognormal
    13.90010
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01228
  • SD
    0.33932
  • Sharpe ratio (Glass type estimate)
    2.98324
  • Sharpe ratio (Hedges UMVUE)
    2.97333
  • df
    226.00000
  • t
    2.77684
  • p
    0.00297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85655
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.10355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.09675
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.24093
  • Upside Potential Ratio
    13.30140
  • Upside part of mean
    2.56914
  • Downside part of mean
    -1.55686
  • Upside SD
    0.28502
  • Downside SD
    0.19315
  • N nonnegative terms
    130.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    0.02662
  • Mean of criterion
    1.01228
  • SD of predictor
    0.15708
  • SD of criterion
    0.33932
  • Covariance
    -0.00698
  • r
    -0.13096
  • b (slope, estimate of beta)
    -0.28289
  • a (intercept, estimate of alpha)
    1.02000
  • Mean Square Error
    0.11367
  • DF error
    225.00000
  • t(b)
    -1.98141
  • p(b)
    0.97562
  • t(a)
    2.81540
  • p(a)
    0.00265
  • Lowerbound of 95% confidence interval for beta
    -0.56423
  • Upperbound of 95% confidence interval for beta
    -0.00155
  • Lowerbound of 95% confidence interval for alpha
    0.30602
  • Upperbound of 95% confidence interval for alpha
    1.73360
  • Treynor index (mean / b)
    -3.57837
  • Jensen alpha (a)
    1.01981
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.95372
  • SD
    0.33639
  • Sharpe ratio (Glass type estimate)
    2.83515
  • Sharpe ratio (Hedges UMVUE)
    2.82573
  • df
    226.00000
  • t
    2.63899
  • p
    0.00445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71032
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.95387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70403
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.94743
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.85982
  • Upside Potential Ratio
    12.88930
  • Upside part of mean
    2.52947
  • Downside part of mean
    -1.57575
  • Upside SD
    0.27860
  • Downside SD
    0.19625
  • N nonnegative terms
    130.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    0.01434
  • Mean of criterion
    0.95372
  • SD of predictor
    0.15710
  • SD of criterion
    0.33639
  • Covariance
    -0.00712
  • r
    -0.13466
  • b (slope, estimate of beta)
    -0.28834
  • a (intercept, estimate of alpha)
    0.95786
  • Mean Square Error
    0.11160
  • DF error
    225.00000
  • t(b)
    -2.03843
  • p(b)
    0.97866
  • t(a)
    2.66882
  • p(a)
    0.00408
  • Lowerbound of 95% confidence interval for beta
    -0.56709
  • Upperbound of 95% confidence interval for beta
    -0.00960
  • Lowerbound of 95% confidence interval for alpha
    0.25061
  • Upperbound of 95% confidence interval for alpha
    1.66510
  • Treynor index (mean / b)
    -3.30758
  • Jensen alpha (a)
    0.95786
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03008
  • Expected Shortfall on VaR
    0.03844
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01241
  • Expected Shortfall on VaR
    0.02460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    227.00000
  • Minimum
    0.94237
  • Quartile 1
    0.99113
  • Median
    1.00313
  • Quartile 3
    1.01481
  • Maximum
    1.10248
  • Mean of quarter 1
    0.97916
  • Mean of quarter 2
    0.99789
  • Mean of quarter 3
    1.00857
  • Mean of quarter 4
    1.03035
  • Inter Quartile Range
    0.02368
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.00881
  • Mean of outliers low
    0.94867
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03084
  • Mean of outliers high
    1.06167
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02775
  • VaR(95%) (moments method)
    0.01964
  • Expected Shortfall (moments method)
    0.02599
  • Extreme Value Index (regression method)
    -0.11298
  • VaR(95%) (regression method)
    0.02078
  • Expected Shortfall (regression method)
    0.02680
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00317
  • Median
    0.01959
  • Quartile 3
    0.05880
  • Maximum
    0.21111
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.01009
  • Mean of quarter 3
    0.03895
  • Mean of quarter 4
    0.09844
  • Inter Quartile Range
    0.05564
  • 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
    0.04348
  • Mean of outliers high
    0.21111
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43869
  • VaR(95%) (moments method)
    0.11655
  • Expected Shortfall (moments method)
    0.20168
  • Extreme Value Index (regression method)
    1.12067
  • VaR(95%) (regression method)
    0.11407
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.54754
  • Compounded annual return (geometric extrapolation)
    1.66880
  • Calmar ratio (compounded annual return / max draw down)
    7.90501
  • Compounded annual return / average of 25% largest draw downs
    16.95180
  • Compounded annual return / Expected Shortfall lognormal
    43.41320
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.24824
  • SD
    0.31992
  • Sharpe ratio (Glass type estimate)
    3.90169
  • Sharpe ratio (Hedges UMVUE)
    3.87914
  • df
    130.00000
  • t
    2.75891
  • p
    0.38241
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.08250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.70643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.69076
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.16992
  • Upside Potential Ratio
    15.35310
  • Upside part of mean
    2.67290
  • Downside part of mean
    -1.42466
  • Upside SD
    0.27786
  • Downside SD
    0.17409
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10160
  • Mean of criterion
    1.24824
  • SD of predictor
    0.19439
  • SD of criterion
    0.31992
  • Covariance
    -0.00948
  • r
    -0.15246
  • b (slope, estimate of beta)
    -0.25092
  • a (intercept, estimate of alpha)
    1.22275
  • Mean Square Error
    0.10075
  • DF error
    129.00000
  • t(b)
    -1.75210
  • p(b)
    0.59668
  • t(a)
    2.72257
  • p(a)
    0.35296
  • Lowerbound of 95% confidence interval for beta
    -0.53427
  • Upperbound of 95% confidence interval for beta
    0.03243
  • Lowerbound of 95% confidence interval for alpha
    0.33416
  • Upperbound of 95% confidence interval for alpha
    2.11134
  • Treynor index (mean / b)
    -4.97466
  • Jensen alpha (a)
    1.22275
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.19503
  • SD
    0.31754
  • Sharpe ratio (Glass type estimate)
    3.76338
  • Sharpe ratio (Hedges UMVUE)
    3.74162
  • df
    130.00000
  • t
    2.66111
  • p
    0.38636
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.56558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93275
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.55049
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.77413
  • Upside Potential Ratio
    14.93650
  • Upside part of mean
    2.63496
  • Downside part of mean
    -1.43993
  • Upside SD
    0.27275
  • Downside SD
    0.17641
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12036
  • Mean of criterion
    1.19503
  • SD of predictor
    0.19438
  • SD of criterion
    0.31754
  • Covariance
    -0.00967
  • r
    -0.15664
  • b (slope, estimate of beta)
    -0.25589
  • a (intercept, estimate of alpha)
    1.16423
  • Mean Square Error
    0.09912
  • DF error
    129.00000
  • t(b)
    -1.80133
  • p(b)
    0.59931
  • t(a)
    2.61289
  • p(a)
    0.35848
  • Lowerbound of 95% confidence interval for beta
    -0.53696
  • Upperbound of 95% confidence interval for beta
    0.02517
  • Lowerbound of 95% confidence interval for alpha
    0.28266
  • Upperbound of 95% confidence interval for alpha
    2.04581
  • Treynor index (mean / b)
    -4.67005
  • Jensen alpha (a)
    1.16423
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02733
  • Expected Shortfall on VaR
    0.03524
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01084
  • Expected Shortfall on VaR
    0.02157
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95663
  • Quartile 1
    0.99126
  • Median
    1.00371
  • Quartile 3
    1.01679
  • Maximum
    1.06164
  • Mean of quarter 1
    0.98083
  • Mean of quarter 2
    0.99869
  • Mean of quarter 3
    1.00949
  • Mean of quarter 4
    1.03061
  • Inter Quartile Range
    0.02553
  • 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
    0.01527
  • Mean of outliers high
    1.05953
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17292
  • VaR(95%) (moments method)
    0.01886
  • Expected Shortfall (moments method)
    0.02357
  • Extreme Value Index (regression method)
    -0.39631
  • VaR(95%) (regression method)
    0.01792
  • Expected Shortfall (regression method)
    0.02083
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00079
  • Quartile 1
    0.01725
  • Median
    0.03548
  • Quartile 3
    0.04962
  • Maximum
    0.09233
  • Mean of quarter 1
    0.00449
  • Mean of quarter 2
    0.02839
  • Mean of quarter 3
    0.04109
  • Mean of quarter 4
    0.07981
  • Inter Quartile Range
    0.03237
  • 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)
    -3.11505
  • VaR(95%) (moments method)
    0.08784
  • Expected Shortfall (moments method)
    0.08819
  • Extreme Value Index (regression method)
    -0.60655
  • VaR(95%) (regression method)
    0.09477
  • Expected Shortfall (regression method)
    0.10128
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.68628
  • Compounded annual return (geometric extrapolation)
    2.39716
  • Calmar ratio (compounded annual return / max draw down)
    25.96380
  • Compounded annual return / average of 25% largest draw downs
    30.03600
  • Compounded annual return / Expected Shortfall lognormal
    68.01930

Strategy Description

Summary Statistics

Strategy began
2018-05-09
Suggested Minimum Capital
$45,000
# Trades
156
# Profitable
150
% Profitable
96.2%
Correlation S&P500
-0.117
Sharpe Ratio
2.973

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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