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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: Today
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).
84.5%
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.

(30.8%)
Max Drawdown
927
Num Trades
92.9%
Win Trades
18.2 : 1
Profit Factor
73.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +10.9%(1.4%)+14.0%+5.2%+12.9%(9.9%)+10.6%+47.6%
2016(5.9%)+13.6%(17.1%)+39.5%+16.6%+10.2%+4.8%+1.9%+0.8%(3.4%)+7.4%+2.9%+82.7%
2017+9.4%+3.6%+4.2%(13.3%)(5%)+3.9%+2.0%(2.9%)+1.7%+10.1%(5.6%)+17.2%+23.8%
2018(3.7%)+13.7%(6.2%)+15.6%+19.9%+0.2%+9.6%(2.7%)+1.3%+14.2%(3.1%)(17.3%)+41.2%
2019+36.5%+9.1%+9.9%(7.4%)+13.5%+6.4%+12.6%+17.6%+1.8%+10.9%+10.2%+5.4%+217.7%
2020+14.1%                                                                  +14.1%

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 1,630 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/26/20 18:12 CHF/JPY CHF/JPY SHORT 125 112.219 1/26 18:12 112.269 0.17%
Trade id #127223769
Max drawdown($581)
Time1/26/20 18:12
Quant open125
Worst price112.269
Drawdown as % of equity-0.17%
($581)
1/26/20 18:12 CHF/JPY CHF/JPY LONG 125 112.264 1/26 18:12 112.233 0.1%
Trade id #127223750
Max drawdown($360)
Time1/26/20 18:12
Quant open125
Worst price112.233
Drawdown as % of equity-0.10%
($360)
1/8/20 9:49 CHF/JPY CHF/JPY SHORT 125 112.157 1/26 18:11 112.266 7.8%
Trade id #126912263
Max drawdown($25,278)
Time1/16/20 0:00
Quant open125
Worst price114.385
Drawdown as % of equity-7.80%
($1,245)
1/23/20 14:56 CAD/CHF CAD/CHF SHORT 75 0.73846 1/26 18:11 0.73744 0.24%
Trade id #127191480
Max drawdown($818)
Time1/24/20 0:00
Quant open75
Worst price0.73952
Drawdown as % of equity-0.24%
$790
1/22/20 9:41 GBP/USD GBP/USD SHORT 50 1.31376 1/23 9:39 1.31099 0.2%
Trade id #127141223
Max drawdown($668)
Time1/23/20 0:00
Quant open50
Worst price1.31510
Drawdown as % of equity-0.20%
$1,385
1/16/20 10:47 USD/JPY USD/JPY SHORT 100 110.101 1/21 13:37 109.799 0.53%
Trade id #127039878
Max drawdown($1,712)
Time1/16/20 19:55
Quant open100
Worst price110.290
Drawdown as % of equity-0.53%
$2,749
1/16/20 13:54 GBP/AUD GBP/AUD SHORT 50 1.89581 1/17 2:22 1.89415 0.23%
Trade id #127046025
Max drawdown($754)
Time1/16/20 20:41
Quant open50
Worst price1.89800
Drawdown as % of equity-0.23%
$574
1/16/20 11:48 EUR/USD EUR/USD LONG 300 1.11318 1/16 11:49 1.11324 0.1%
Trade id #127044616
Max drawdown($314)
Time1/16/20 11:49
Quant open300
Worst price1.11308
Drawdown as % of equity-0.10%
$163
1/15/20 10:08 EUR/USD EUR/USD SHORT 100 1.11470 1/16 11:48 1.11314 0.8%
Trade id #127010981
Max drawdown($2,577)
Time1/16/20 0:00
Quant open100
Worst price1.11728
Drawdown as % of equity-0.80%
$1,560
1/13/20 19:12 USD/JPY USD/JPY SHORT 100 110.100 1/15 9:01 109.821 0.32%
Trade id #126977099
Max drawdown($1,036)
Time1/13/20 19:56
Quant open100
Worst price110.214
Drawdown as % of equity-0.32%
$2,542
1/7/20 20:48 EUR/AUD EUR/AUD SHORT 100 1.62475 1/7 21:38 1.62293 0.11%
Trade id #126906304
Max drawdown($360)
Time1/7/20 20:59
Quant open100
Worst price1.62528
Drawdown as % of equity-0.11%
$1,254
1/6/20 11:51 CHF/JPY CHF/JPY SHORT 100 111.854 1/7 9:56 111.589 0.43%
Trade id #126883664
Max drawdown($1,451)
Time1/6/20 16:50
Quant open100
Worst price112.011
Drawdown as % of equity-0.43%
$2,438
1/6/20 13:45 EUR/USD EUR/USD SHORT 100 1.11975 1/7 2:01 1.11799 0.05%
Trade id #126884952
Max drawdown($163)
Time1/6/20 16:46
Quant open100
Worst price1.11991
Drawdown as % of equity-0.05%
$1,756
1/3/20 12:54 EUR/USD EUR/USD SHORT 100 1.11721 1/3 16:52 1.11542 0.03%
Trade id #126858062
Max drawdown($110)
Time1/3/20 13:10
Quant open100
Worst price1.11732
Drawdown as % of equity-0.03%
$1,795
12/11/19 16:16 AUD/JPY AUD/JPY SHORT 200 75.000 1/3/20 4:03 75.011 9.28%
Trade id #126586923
Max drawdown($28,214)
Time12/27/19 0:00
Quant open200
Worst price76.543
Drawdown as % of equity-9.28%
($215)
12/27/19 10:16 AUD/USD AUD/USD SHORT 100 0.69731 1/3/20 2:48 0.69532 1.97%
Trade id #126767456
Max drawdown($5,882)
Time12/31/19 0:00
Quant open100
Worst price0.70319
Drawdown as % of equity-1.97%
$1,990
12/19/19 13:34 NZD/CAD NZD/CAD SHORT 100 0.86701 1/2/20 22:43 0.86731 3.32%
Trade id #126691076
Max drawdown($9,921)
Time12/30/19 0:00
Quant open100
Worst price0.87998
Drawdown as % of equity-3.32%
($226)
12/31/19 10:45 NZD/USD NZD/USD SHORT 50 0.67454 1/2/20 9:10 0.66974 0.1%
Trade id #126802117
Max drawdown($310)
Time12/31/19 10:57
Quant open50
Worst price0.67516
Drawdown as % of equity-0.10%
$2,402
12/27/19 14:54 CHF/JPY CHF/JPY SHORT 100 112.441 12/27 16:30 112.397 0.09%
Trade id #126773496
Max drawdown($256)
Time12/27/19 15:00
Quant open100
Worst price112.469
Drawdown as % of equity-0.09%
$403
12/26/19 12:57 USD/JPY USD/JPY SHORT 100 109.642 12/26 19:51 109.445 0.06%
Trade id #126758248
Max drawdown($195)
Time12/26/19 15:00
Quant open100
Worst price109.663
Drawdown as % of equity-0.06%
$1,798
12/19/19 12:33 CAD/JPY CAD/JPY SHORT 100 83.240 12/19 12:33 83.247 0.02%
Trade id #126689737
Max drawdown($63)
Time12/19/19 12:33
Quant open100
Worst price83.247
Drawdown as % of equity-0.02%
($63)
12/19/19 12:32 CAD/JPY CAD/JPY LONG 100 83.241 12/19 12:33 83.239 0.03%
Trade id #126689714
Max drawdown($91)
Time12/19/19 12:33
Quant open100
Worst price83.231
Drawdown as % of equity-0.03%
($21)
12/18/19 10:35 CAD/JPY CAD/JPY SHORT 100 83.446 12/19 12:32 83.240 0.56%
Trade id #126670108
Max drawdown($1,763)
Time12/18/19 11:25
Quant open100
Worst price83.639
Drawdown as % of equity-0.56%
$1,885
12/3/19 14:17 GBP/USD GBP/USD SHORT 350 1.30246 12/19 8:26 1.30117 43.87%
Trade id #126465787
Max drawdown($98,058)
Time12/13/19 0:00
Quant open200
Worst price1.35149
Drawdown as % of equity-43.87%
$4,513
12/17/19 15:04 CHF/JPY CHF/JPY SHORT 100 111.668 12/18 3:15 111.486 0.35%
Trade id #126660641
Max drawdown($1,064)
Time12/17/19 18:31
Quant open100
Worst price111.785
Drawdown as % of equity-0.35%
$1,672
12/17/19 10:39 CHF/JPY CHF/JPY SHORT 100 111.708 12/17 11:42 111.630 0.31%
Trade id #126654416
Max drawdown($911)
Time12/17/19 10:59
Quant open100
Worst price111.808
Drawdown as % of equity-0.31%
$713
12/12/19 14:19 USD/CHF USD/CHF SHORT 80 0.98634 12/12 16:59 0.98540 0.24%
Trade id #126603553
Max drawdown($748)
Time12/12/19 14:31
Quant open80
Worst price0.98726
Drawdown as % of equity-0.24%
$765
12/10/19 15:13 CHF/JPY CHF/JPY SHORT 100 110.520 12/11 5:22 110.337 0.15%
Trade id #126567257
Max drawdown($442)
Time12/10/19 18:23
Quant open100
Worst price110.568
Drawdown as % of equity-0.15%
$1,679
12/9/19 21:04 NZD/USD NZD/USD SHORT 150 0.65583 12/10 9:52 0.65399 0.49%
Trade id #126551733
Max drawdown($1,452)
Time12/9/19 21:23
Quant open150
Worst price0.65680
Drawdown as % of equity-0.49%
$2,757
12/6/19 13:53 USD/CAD USD/CAD SHORT 150 1.32585 12/9 9:50 1.32384 0.26%
Trade id #126521816
Max drawdown($755)
Time12/6/19 15:11
Quant open150
Worst price1.32652
Drawdown as % of equity-0.26%
$2,276

Statistics

  • Strategy began
    6/12/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1689.96
  • Age
    56 months ago
  • What it trades
    Forex
  • # Trades
    927
  • # Profitable
    861
  • % Profitable
    92.90%
  • Avg trade duration
    8.9 days
  • Max peak-to-valley drawdown
    30.76%
  • drawdown period
    April 16, 2017 - Sept 20, 2017
  • Annual Return (Compounded)
    84.5%
  • Avg win
    $413.59
  • Avg loss
    $295.94
  • Model Account Values (Raw)
  • Cash
    $364,813
  • Margin Used
    $96,117
  • Buying Power
    $260,448
  • Ratios
  • W:L ratio
    18.23:1
  • Sharpe Ratio
    1.63
  • Sortino Ratio
    2.66
  • Calmar Ratio
    3.726
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1555.48%
  • Correlation to SP500
    0.02620
  • Return Percent SP500 (cumu) during strategy life
    54.89%
  • Return Statistics
  • Ann Return (w trading costs)
    84.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.02%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.845%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    86.3%
  • 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)
    997
  • Popularity (Last 6 weeks)
    998
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    2
  • Popularity (7 days, Percentile 1000 scale)
    997
  • 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
    $291
  • Avg Win
    $414
  • Sum Trade PL (losers)
    $19,222.000
  • AUM
  • AUM (AutoTrader num accounts)
    56
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $356,090.000
  • # Winners
    861
  • Num Months Winners
    41
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    11628100
  • Win / Loss
  • # Losers
    66
  • % Winners
    92.9%
  • Frequency
  • Avg Position Time (mins)
    12777.50
  • Avg Position Time (hrs)
    212.96
  • Avg Trade Length
    8.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    9.36
  • Daily leverage (max)
    20.83
  • Regression
  • Alpha
    0.18
  • Beta
    0.06
  • Treynor Index
    2.78
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • 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)
    14.02
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    3.414
  • 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
    2.226
  • Avg(MAE) / Avg(PL) - Losing trades
    -18.585
  • Hold-and-Hope Ratio
    0.290
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66200
  • SD
    0.36429
  • Sharpe ratio (Glass type estimate)
    1.81723
  • Sharpe ratio (Hedges UMVUE)
    1.79140
  • df
    53.00000
  • t
    3.85494
  • p
    0.00016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.82340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77626
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.75268
  • Upside Potential Ratio
    5.22504
  • Upside part of mean
    0.92173
  • Downside part of mean
    -0.25973
  • Upside SD
    0.36831
  • Downside SD
    0.17641
  • N nonnegative terms
    39.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.07622
  • Mean of criterion
    0.66200
  • SD of predictor
    0.12222
  • SD of criterion
    0.36429
  • Covariance
    0.00685
  • r
    0.15385
  • b (slope, estimate of beta)
    0.45857
  • a (intercept, estimate of alpha)
    0.62705
  • Mean Square Error
    0.13206
  • DF error
    52.00000
  • t(b)
    1.12282
  • p(b)
    0.13334
  • t(a)
    3.60138
  • p(a)
    0.00035
  • Lowerbound of 95% confidence interval for beta
    -0.36096
  • Upperbound of 95% confidence interval for beta
    1.27810
  • Lowerbound of 95% confidence interval for alpha
    0.27766
  • Upperbound of 95% confidence interval for alpha
    0.97643
  • Treynor index (mean / b)
    1.44362
  • Jensen alpha (a)
    0.62705
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58249
  • SD
    0.35456
  • Sharpe ratio (Glass type estimate)
    1.64287
  • Sharpe ratio (Hedges UMVUE)
    1.61951
  • df
    53.00000
  • t
    3.48505
  • p
    0.00050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61109
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59353
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04995
  • Upside Potential Ratio
    4.49717
  • Upside part of mean
    0.85889
  • Downside part of mean
    -0.27640
  • Upside SD
    0.33938
  • Downside SD
    0.19098
  • N nonnegative terms
    39.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.06845
  • Mean of criterion
    0.58249
  • SD of predictor
    0.12313
  • SD of criterion
    0.35456
  • Covariance
    0.00709
  • r
    0.16248
  • b (slope, estimate of beta)
    0.46786
  • a (intercept, estimate of alpha)
    0.55047
  • Mean Square Error
    0.12474
  • DF error
    52.00000
  • t(b)
    1.18740
  • p(b)
    0.12023
  • t(a)
    3.26363
  • p(a)
    0.00097
  • Lowerbound of 95% confidence interval for beta
    -0.32280
  • Upperbound of 95% confidence interval for beta
    1.25851
  • Lowerbound of 95% confidence interval for alpha
    0.21201
  • Upperbound of 95% confidence interval for alpha
    0.88892
  • Treynor index (mean / b)
    1.24502
  • Jensen alpha (a)
    0.55047
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11291
  • Expected Shortfall on VaR
    0.14945
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03223
  • Expected Shortfall on VaR
    0.07446
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.80693
  • Quartile 1
    0.98185
  • Median
    1.05622
  • Quartile 3
    1.13765
  • Maximum
    1.24947
  • Mean of quarter 1
    0.91967
  • Mean of quarter 2
    1.03292
  • Mean of quarter 3
    1.09745
  • Mean of quarter 4
    1.18104
  • Inter Quartile Range
    0.15580
  • 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)
    0.21165
  • VaR(95%) (moments method)
    0.06709
  • Expected Shortfall (moments method)
    0.11071
  • Extreme Value Index (regression method)
    0.15043
  • VaR(95%) (regression method)
    0.05553
  • Expected Shortfall (regression method)
    0.08361
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00930
  • Quartile 1
    0.04406
  • Median
    0.05873
  • Quartile 3
    0.11422
  • Maximum
    0.19980
  • Mean of quarter 1
    0.02437
  • Mean of quarter 2
    0.05187
  • Mean of quarter 3
    0.09582
  • Mean of quarter 4
    0.17481
  • Inter Quartile Range
    0.07016
  • 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)
    -2.11167
  • VaR(95%) (moments method)
    0.18084
  • Expected Shortfall (moments method)
    0.18270
  • Extreme Value Index (regression method)
    -1.76160
  • VaR(95%) (regression method)
    0.20782
  • Expected Shortfall (regression method)
    0.21073
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.24275
  • Compounded annual return (geometric extrapolation)
    0.84116
  • Calmar ratio (compounded annual return / max draw down)
    4.21003
  • Compounded annual return / average of 25% largest draw downs
    4.81171
  • Compounded annual return / Expected Shortfall lognormal
    5.62841
  • 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
    0.65007
  • SD
    0.29997
  • Sharpe ratio (Glass type estimate)
    2.16711
  • Sharpe ratio (Hedges UMVUE)
    2.16575
  • df
    1196.00000
  • t
    4.63210
  • p
    0.43362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.24562
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08681
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56400
  • Upside Potential Ratio
    11.29680
  • Upside part of mean
    2.06050
  • Downside part of mean
    -1.41044
  • Upside SD
    0.24135
  • Downside SD
    0.18240
  • N nonnegative terms
    665.00000
  • N negative terms
    532.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1197.00000
  • Mean of predictor
    0.07709
  • Mean of criterion
    0.65007
  • SD of predictor
    0.13560
  • SD of criterion
    0.29997
  • Covariance
    0.00076
  • r
    0.01870
  • b (slope, estimate of beta)
    0.04138
  • a (intercept, estimate of alpha)
    0.64700
  • Mean Square Error
    0.09002
  • DF error
    1195.00000
  • t(b)
    0.64670
  • p(b)
    0.48809
  • t(a)
    4.60541
  • p(a)
    0.41617
  • Lowerbound of 95% confidence interval for beta
    -0.08415
  • Upperbound of 95% confidence interval for beta
    0.16690
  • Lowerbound of 95% confidence interval for alpha
    0.37130
  • Upperbound of 95% confidence interval for alpha
    0.92245
  • Treynor index (mean / b)
    15.71100
  • Jensen alpha (a)
    0.64687
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60468
  • SD
    0.29819
  • Sharpe ratio (Glass type estimate)
    2.02785
  • Sharpe ratio (Hedges UMVUE)
    2.02658
  • df
    1196.00000
  • t
    4.33444
  • p
    0.43782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.10687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94801
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94713
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.25531
  • Upside Potential Ratio
    10.93940
  • Upside part of mean
    2.03201
  • Downside part of mean
    -1.42733
  • Upside SD
    0.23608
  • Downside SD
    0.18575
  • N nonnegative terms
    665.00000
  • N negative terms
    532.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1197.00000
  • Mean of predictor
    0.06787
  • Mean of criterion
    0.60468
  • SD of predictor
    0.13586
  • SD of criterion
    0.29819
  • Covariance
    0.00073
  • r
    0.01807
  • b (slope, estimate of beta)
    0.03967
  • a (intercept, estimate of alpha)
    0.60199
  • Mean Square Error
    0.08896
  • DF error
    1195.00000
  • t(b)
    0.62490
  • p(b)
    0.48849
  • t(a)
    4.31199
  • p(a)
    0.42140
  • Lowerbound of 95% confidence interval for beta
    -0.08488
  • Upperbound of 95% confidence interval for beta
    0.16422
  • Lowerbound of 95% confidence interval for alpha
    0.32808
  • Upperbound of 95% confidence interval for alpha
    0.87589
  • Treynor index (mean / b)
    15.24300
  • Jensen alpha (a)
    0.60199
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02761
  • Expected Shortfall on VaR
    0.03504
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01147
  • Expected Shortfall on VaR
    0.02309
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1197.00000
  • Minimum
    0.91273
  • Quartile 1
    0.99282
  • Median
    1.00195
  • Quartile 3
    1.01130
  • Maximum
    1.14294
  • Mean of quarter 1
    0.98139
  • Mean of quarter 2
    0.99752
  • Mean of quarter 3
    1.00623
  • Mean of quarter 4
    1.02529
  • Inter Quartile Range
    0.01849
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.02506
  • Mean of outliers low
    0.95357
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.03676
  • Mean of outliers high
    1.05204
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19970
  • VaR(95%) (moments method)
    0.01803
  • Expected Shortfall (moments method)
    0.02789
  • Extreme Value Index (regression method)
    0.05150
  • VaR(95%) (regression method)
    0.01715
  • Expected Shortfall (regression method)
    0.02394
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    99.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00642
  • Median
    0.01560
  • Quartile 3
    0.03623
  • Maximum
    0.23682
  • Mean of quarter 1
    0.00312
  • Mean of quarter 2
    0.01059
  • Mean of quarter 3
    0.02498
  • Mean of quarter 4
    0.10805
  • Inter Quartile Range
    0.02981
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.16162
  • Mean of outliers high
    0.13805
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.48275
  • VaR(95%) (moments method)
    0.09673
  • Expected Shortfall (moments method)
    0.11368
  • Extreme Value Index (regression method)
    -0.46812
  • VaR(95%) (regression method)
    0.11462
  • Expected Shortfall (regression method)
    0.13656
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.71990
  • Compounded annual return (geometric extrapolation)
    0.88247
  • Calmar ratio (compounded annual return / max draw down)
    3.72631
  • Compounded annual return / average of 25% largest draw downs
    8.16697
  • Compounded annual return / Expected Shortfall lognormal
    25.18510
  • 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
    1.20574
  • SD
    0.41916
  • Sharpe ratio (Glass type estimate)
    2.87659
  • Sharpe ratio (Hedges UMVUE)
    2.85996
  • df
    130.00000
  • t
    2.03405
  • p
    0.41219
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.66489
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06644
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.65348
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.28792
  • Upside Potential Ratio
    12.70870
  • Upside part of mean
    2.89782
  • Downside part of mean
    -1.69207
  • Upside SD
    0.35764
  • Downside SD
    0.22802
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12345
  • Mean of criterion
    1.20574
  • SD of predictor
    0.12785
  • SD of criterion
    0.41916
  • Covariance
    -0.00831
  • r
    -0.15503
  • b (slope, estimate of beta)
    -0.50829
  • a (intercept, estimate of alpha)
    1.26849
  • Mean Square Error
    0.17280
  • DF error
    129.00000
  • t(b)
    -1.78237
  • p(b)
    0.59830
  • t(a)
    2.15389
  • p(a)
    0.38208
  • Lowerbound of 95% confidence interval for beta
    -1.07252
  • Upperbound of 95% confidence interval for beta
    0.05594
  • Lowerbound of 95% confidence interval for alpha
    0.10328
  • Upperbound of 95% confidence interval for alpha
    2.43370
  • Treynor index (mean / b)
    -2.37216
  • Jensen alpha (a)
    1.26849
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11778
  • SD
    0.41266
  • Sharpe ratio (Glass type estimate)
    2.70871
  • Sharpe ratio (Hedges UMVUE)
    2.69305
  • df
    130.00000
  • t
    1.91535
  • p
    0.41717
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08769
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.49490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.48412
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.77630
  • Upside Potential Ratio
    12.12080
  • Upside part of mean
    2.83658
  • Downside part of mean
    -1.71880
  • Upside SD
    0.34495
  • Downside SD
    0.23403
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11526
  • Mean of criterion
    1.11778
  • SD of predictor
    0.12833
  • SD of criterion
    0.41266
  • Covariance
    -0.00828
  • r
    -0.15637
  • b (slope, estimate of beta)
    -0.50285
  • a (intercept, estimate of alpha)
    1.17574
  • Mean Square Error
    0.16741
  • DF error
    129.00000
  • t(b)
    -1.79818
  • p(b)
    0.59914
  • t(a)
    2.02875
  • p(a)
    0.38864
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    -1.05614
  • Upperbound of 95% confidence interval for beta
    0.05043
  • Lowerbound of 95% confidence interval for alpha
    0.02911
  • Upperbound of 95% confidence interval for alpha
    2.32237
  • Treynor index (mean / b)
    -2.22287
  • Jensen alpha (a)
    1.17574
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03697
  • Expected Shortfall on VaR
    0.04713
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01366
  • Expected Shortfall on VaR
    0.02804
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91273
  • Quartile 1
    0.99128
  • Median
    1.00290
  • Quartile 3
    1.01502
  • Maximum
    1.14294
  • Mean of quarter 1
    0.97742
  • Mean of quarter 2
    0.99746
  • Mean of quarter 3
    1.00833
  • Mean of quarter 4
    1.03574
  • Inter Quartile Range
    0.02374
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.92407
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.07836
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27885
  • VaR(95%) (moments method)
    0.02329
  • Expected Shortfall (moments method)
    0.03804
  • Extreme Value Index (regression method)
    0.07236
  • VaR(95%) (regression method)
    0.02229
  • Expected Shortfall (regression method)
    0.03126
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00142
  • Quartile 1
    0.01352
  • Median
    0.01870
  • Quartile 3
    0.05831
  • Maximum
    0.18765
  • Mean of quarter 1
    0.00552
  • Mean of quarter 2
    0.01606
  • Mean of quarter 3
    0.03590
  • Mean of quarter 4
    0.11311
  • Inter Quartile Range
    0.04479
  • 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
    0.06250
  • Mean of outliers high
    0.18765
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.43132
  • VaR(95%) (moments method)
    0.12490
  • Expected Shortfall (moments method)
    0.14684
  • Extreme Value Index (regression method)
    0.41463
  • VaR(95%) (regression method)
    0.15892
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.29340
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -306762000
  • Max Equity Drawdown (num days)
    157
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.54660
  • Compounded annual return (geometric extrapolation)
    2.14460
  • Calmar ratio (compounded annual return / max draw down)
    11.42850
  • Compounded annual return / average of 25% largest draw downs
    18.95950
  • Compounded annual return / Expected Shortfall lognormal
    45.50420

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
$100,000
# Trades
927
# Profitable
861
% Profitable
92.9%
Correlation S&P500
0.026
Sharpe Ratio
1.63
Sortino Ratio
2.66
Beta
0.06
Alpha
0.18
Leverage
9.36 Average
20.83 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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