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

Daily FX
(116243053)

Created by: Hiam Hiam
Started: 02/2018
Forex
Last trade: 1,624 days ago
Trading style: Futures Momentum Short Term

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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: Futures
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
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
2.7%
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.

(23.9%)
Max Drawdown
81
Num Trades
63.0%
Win Trades
1.7 : 1
Profit Factor
5.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +12.7%+6.6%(1.7%)+3.4%(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.6%)+19.4%
2019(0.3%)  -  (0.6%)(0.3%)  -    -  (10.8%)(9%)+23.5%  -    -  (1.3%)
2020  -    -  (0.1%)  -    -    -    -    -    -    -    -    -  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.

Trading Record

This strategy has placed 70 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2157 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/27/19 8:29 EUR/USD EUR/USD LONG 10 1.11032 10/17 5:35 1.11140 21.97%
Trade id #125099154
Max drawdown($2,241)
Time10/1/19 0:00
Quant open10
Worst price1.08791
Drawdown as % of equity-21.97%
$108
5/2/18 4:02 USD/JPY USD/JPY SHORT 10 109.781 5/3 10:36 109.130 2.01%
Trade id #117749539
Max drawdown($233)
Time5/2/18 11:03
Quant open-10
Worst price110.036
Drawdown as % of equity-2.01%
$597
5/1/18 10:07 USD/JPY USD/JPY SHORT 10 109.599 5/1 10:27 109.772 1.32%
Trade id #117735887
Max drawdown($157)
Time5/1/18 10:27
Quant open0
Worst price109.772
Drawdown as % of equity-1.32%
($157)
4/27/18 10:38 USD/JPY USD/JPY SHORT 10 108.983 4/27 14:58 109.021 1.29%
Trade id #117695718
Max drawdown($152)
Time4/27/18 12:09
Quant open-10
Worst price109.149
Drawdown as % of equity-1.29%
($35)
4/24/18 13:03 USD/JPY USD/JPY SHORT 10 108.748 4/24 21:19 109.021 2.07%
Trade id #117642719
Max drawdown($250)
Time4/24/18 21:19
Quant open0
Worst price109.021
Drawdown as % of equity-2.07%
($250)
4/24/18 7:29 USD/CHF USD/CHF SHORT 10 0.97784 4/24 10:01 0.97943 1.33%
Trade id #117634000
Max drawdown($163)
Time4/24/18 10:01
Quant open0
Worst price0.97943
Drawdown as % of equity-1.33%
($163)
4/23/18 14:14 CAD/JPY CAD/JPY SHORT 10 84.542 4/23 15:45 84.693 1.11%
Trade id #117625272
Max drawdown($139)
Time4/23/18 15:45
Quant open0
Worst price84.693
Drawdown as % of equity-1.11%
($139)
4/20/18 8:31 CAD/JPY CAD/JPY SHORT 10 84.772 4/20 11:06 84.612 0.21%
Trade id #117593247
Max drawdown($26)
Time4/20/18 8:37
Quant open-10
Worst price84.800
Drawdown as % of equity-0.21%
$148
4/19/18 13:10 USD/JPY USD/JPY SHORT 10 107.264 4/19 15:35 107.477 1.6%
Trade id #117583809
Max drawdown($199)
Time4/19/18 15:35
Quant open0
Worst price107.477
Drawdown as % of equity-1.60%
($199)
4/19/18 9:36 CAD/JPY CAD/JPY SHORT 10 85.104 4/19 11:49 85.032 0.66%
Trade id #117577467
Max drawdown($82)
Time4/19/18 9:43
Quant open-10
Worst price85.192
Drawdown as % of equity-0.66%
$67
4/19/18 1:46 AUD/JPY AUD/JPY SHORT 10 83.801 4/19 4:34 83.647 0.77%
Trade id #117572616
Max drawdown($94)
Time4/19/18 2:12
Quant open-10
Worst price83.902
Drawdown as % of equity-0.77%
$143
4/18/18 3:07 NZD/USD NZD/USD SHORT 10 0.73144 4/18 10:34 0.73410 2.15%
Trade id #117555470
Max drawdown($266)
Time4/18/18 10:34
Quant open0
Worst price0.73410
Drawdown as % of equity-2.15%
($266)
4/18/18 3:06 AUD/JPY AUD/JPY SHORT 10 83.192 4/18 3:07 83.227 0.26%
Trade id #117555424
Max drawdown($33)
Time4/18/18 3:07
Quant open0
Worst price83.227
Drawdown as % of equity-0.26%
($33)
4/17/18 8:41 USD/CAD USD/CAD LONG 10 1.25643 4/17 8:57 1.25756 0.09%
Trade id #117538763
Max drawdown($11)
Time4/17/18 8:43
Quant open10
Worst price1.25629
Drawdown as % of equity-0.09%
$90
4/17/18 4:33 GBP/JPY GBP/JPY SHORT 10 153.497 4/17 4:41 153.333 0.16%
Trade id #117537656
Max drawdown($19)
Time4/17/18 4:36
Quant open-10
Worst price153.518
Drawdown as % of equity-0.16%
$153
4/16/18 12:21 USD/JPY USD/JPY SHORT 10 107.222 4/16 12:54 107.108 0.02%
Trade id #117528539
Max drawdown($2)
Time4/16/18 12:23
Quant open-10
Worst price107.225
Drawdown as % of equity-0.02%
$106
4/13/18 10:11 AUD/JPY AUD/JPY SHORT 10 83.668 4/13 10:34 83.675 0.4%
Trade id #117501099
Max drawdown($48)
Time4/13/18 10:22
Quant open-10
Worst price83.721
Drawdown as % of equity-0.40%
($6)
4/12/18 13:27 AUD/JPY AUD/JPY SHORT 10 83.120 4/12 17:54 83.291 1.29%
Trade id #117488254
Max drawdown($159)
Time4/12/18 17:54
Quant open0
Worst price83.291
Drawdown as % of equity-1.29%
($159)
4/12/18 6:40 CAD/JPY CAD/JPY LONG 10 85.054 4/12 8:04 85.150 0.13%
Trade id #117478551
Max drawdown($15)
Time4/12/18 6:43
Quant open10
Worst price85.037
Drawdown as % of equity-0.13%
$90
4/11/18 10:59 CHF/JPY CHF/JPY SHORT 10 111.501 4/11 15:20 111.510 0.82%
Trade id #117466651
Max drawdown($101)
Time4/11/18 12:32
Quant open-10
Worst price111.610
Drawdown as % of equity-0.82%
($9)
4/10/18 11:23 USD/CAD USD/CAD LONG 10 1.26169 4/10 13:21 1.25977 1.23%
Trade id #117448544
Max drawdown($153)
Time4/10/18 13:21
Quant open0
Worst price1.25977
Drawdown as % of equity-1.23%
($153)
4/9/18 15:50 USD/JPY USD/JPY SHORT 10 106.722 4/9 15:59 106.618 0.13%
Trade id #117436601
Max drawdown($16)
Time4/9/18 15:52
Quant open-10
Worst price106.739
Drawdown as % of equity-0.13%
$97
4/4/18 11:35 EUR/USD EUR/USD SHORT 10 1.22956 4/4 12:17 1.22942 0.08%
Trade id #117367837
Max drawdown($10)
Time4/4/18 11:45
Quant open-10
Worst price1.22966
Drawdown as % of equity-0.08%
$14
4/4/18 3:49 AUD/JPY AUD/JPY SHORT 10 81.696 4/4 3:55 81.584 n/a $106
4/4/18 3:45 AUD/JPY AUD/JPY SHORT 10 81.774 4/4 3:46 81.736 n/a $36
4/3/18 6:46 EUR/USD EUR/USD SHORT 10 1.22954 4/3 9:12 1.22767 1.63%
Trade id #117341443
Max drawdown($195)
Time4/3/18 8:27
Quant open-10
Worst price1.23149
Drawdown as % of equity-1.63%
$187
3/28/18 11:15 CAD/JPY CAD/JPY SHORT 10 82.427 3/28 12:19 82.576 1.15%
Trade id #117278708
Max drawdown($140)
Time3/28/18 12:19
Quant open0
Worst price82.576
Drawdown as % of equity-1.15%
($140)
3/28/18 10:41 CAD/JPY CAD/JPY SHORT 10 82.203 3/28 10:57 82.384 1.37%
Trade id #117277411
Max drawdown($171)
Time3/28/18 10:57
Quant open0
Worst price82.385
Drawdown as % of equity-1.37%
($171)
3/27/18 12:25 AUD/JPY AUD/JPY SHORT 10 81.450 3/27 12:44 81.463 0.12%
Trade id #117257229
Max drawdown($14)
Time3/27/18 12:44
Quant open-10
Worst price81.465
Drawdown as % of equity-0.12%
($13)
3/26/18 10:30 AUD/JPY AUD/JPY SHORT 10 81.161 3/26 11:00 81.046 0.62%
Trade id #117230514
Max drawdown($76)
Time3/26/18 10:40
Quant open-10
Worst price81.241
Drawdown as % of equity-0.62%
$109

Statistics

  • Strategy began
    2/2/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2243.33
  • Age
    75 months ago
  • What it trades
    Forex
  • # Trades
    81
  • # Profitable
    51
  • % Profitable
    63.00%
  • Avg trade duration
    17.1 hours
  • Max peak-to-valley drawdown
    23.89%
  • drawdown period
    April 17, 2018 - Sept 30, 2019
  • Annual Return (Compounded)
    2.7%
  • Avg win
    $110.39
  • Avg loss
    $110.07
  • Model Account Values (Raw)
  • Cash
    $12,440
  • Margin Used
    $0
  • Buying Power
    $12,440
  • Ratios
  • W:L ratio
    1.71:1
  • Sharpe Ratio
    0.11
  • Sortino Ratio
    0.17
  • Calmar Ratio
    0.768
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -71.33%
  • Correlation to SP500
    0.02780
  • Return Percent SP500 (cumu) during strategy life
    90.02%
  • Return Statistics
  • Ann Return (w trading costs)
    2.7%
  • Slump
  • Current Slump as Pcnt Equity
    6.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.027%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    89.70%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $110
  • Avg Win
    $110
  • Sum Trade PL (losers)
    $3,302.000
  • Age
  • Num Months filled monthly returns table
    74
  • Win / Loss
  • Sum Trade PL (winners)
    $5,630.000
  • # Winners
    51
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    30
  • % Winners
    63.0%
  • Frequency
  • Avg Position Time (mins)
    1028.85
  • Avg Position Time (hrs)
    17.15
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    1672
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    32.83
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    94.66
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -5.30
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.301
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.044
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.310
  • Hold-and-Hope Ratio
    0.189
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10877
  • SD
    0.13742
  • Sharpe ratio (Glass type estimate)
    0.79146
  • Sharpe ratio (Hedges UMVUE)
    0.75973
  • df
    19.00000
  • t
    1.02177
  • p
    0.35598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75721
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77755
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29701
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66775
  • Upside Potential Ratio
    4.05364
  • Upside part of mean
    0.16527
  • Downside part of mean
    -0.05650
  • Upside SD
    0.13139
  • Downside SD
    0.04077
  • N nonnegative terms
    4.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.39710
  • Mean of criterion
    0.10877
  • SD of predictor
    0.36656
  • SD of criterion
    0.13742
  • Covariance
    -0.00819
  • r
    -0.16251
  • b (slope, estimate of beta)
    -0.06092
  • a (intercept, estimate of alpha)
    0.13296
  • Mean Square Error
    0.01941
  • DF error
    18.00000
  • t(b)
    -0.69875
  • p(b)
    0.58125
  • t(a)
    1.17320
  • p(a)
    0.36674
  • Lowerbound of 95% confidence interval for beta
    -0.24410
  • Upperbound of 95% confidence interval for beta
    0.12226
  • Lowerbound of 95% confidence interval for alpha
    -0.10514
  • Upperbound of 95% confidence interval for alpha
    0.37105
  • Treynor index (mean / b)
    -1.78525
  • Jensen alpha (a)
    0.13296
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09972
  • SD
    0.13052
  • Sharpe ratio (Glass type estimate)
    0.76400
  • Sharpe ratio (Hedges UMVUE)
    0.73337
  • df
    19.00000
  • t
    0.98632
  • p
    0.36065
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78296
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80261
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26935
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39230
  • Upside Potential Ratio
    3.76524
  • Upside part of mean
    0.15694
  • Downside part of mean
    -0.05723
  • Upside SD
    0.12359
  • Downside SD
    0.04168
  • N nonnegative terms
    4.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.32597
  • Mean of criterion
    0.09972
  • SD of predictor
    0.37336
  • SD of criterion
    0.13052
  • Covariance
    -0.00698
  • r
    -0.14316
  • b (slope, estimate of beta)
    -0.05004
  • a (intercept, estimate of alpha)
    0.11603
  • Mean Square Error
    0.01761
  • DF error
    18.00000
  • t(b)
    -0.61368
  • p(b)
    0.57158
  • t(a)
    1.09274
  • p(a)
    0.37529
  • Lowerbound of 95% confidence interval for beta
    -0.22137
  • Upperbound of 95% confidence interval for beta
    0.12128
  • Lowerbound of 95% confidence interval for alpha
    -0.10705
  • Upperbound of 95% confidence interval for alpha
    0.33910
  • Treynor index (mean / b)
    -1.99259
  • Jensen alpha (a)
    0.11603
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05225
  • Expected Shortfall on VaR
    0.06696
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01435
  • Expected Shortfall on VaR
    0.02881
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.95149
  • Quartile 1
    0.99965
  • Median
    1.00008
  • Quartile 3
    1.00056
  • Maximum
    1.14837
  • Mean of quarter 1
    0.98833
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00023
  • Mean of quarter 4
    1.05706
  • Inter Quartile Range
    0.00092
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.97176
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.07119
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.88330
  • VaR(95%) (moments method)
    0.00350
  • Expected Shortfall (moments method)
    0.00383
  • Extreme Value Index (regression method)
    1.48439
  • VaR(95%) (regression method)
    0.02078
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00072
  • Quartile 1
    0.00092
  • Median
    0.00112
  • Quartile 3
    0.02870
  • Maximum
    0.05628
  • Mean of quarter 1
    0.00072
  • Mean of quarter 2
    0.00112
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05628
  • Inter Quartile Range
    0.02778
  • 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)
    0.14221
  • Compounded annual return (geometric extrapolation)
    0.13612
  • Calmar ratio (compounded annual return / max draw down)
    2.41865
  • Compounded annual return / average of 25% largest draw downs
    2.41865
  • Compounded annual return / Expected Shortfall lognormal
    2.03282
  • 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
    0.10824
  • SD
    0.13783
  • Sharpe ratio (Glass type estimate)
    0.78535
  • Sharpe ratio (Hedges UMVUE)
    0.78401
  • df
    439.00000
  • t
    1.01775
  • p
    0.15468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29732
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18344
  • Upside Potential Ratio
    4.95999
  • Upside part of mean
    0.45367
  • Downside part of mean
    -0.34542
  • Upside SD
    0.10311
  • Downside SD
    0.09147
  • N nonnegative terms
    73.00000
  • N negative terms
    367.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    440.00000
  • Mean of predictor
    0.42709
  • Mean of criterion
    0.10824
  • SD of predictor
    0.38735
  • SD of criterion
    0.13783
  • Covariance
    0.00153
  • r
    0.02864
  • b (slope, estimate of beta)
    0.01019
  • a (intercept, estimate of alpha)
    0.10400
  • Mean Square Error
    0.01902
  • DF error
    438.00000
  • t(b)
    0.59958
  • p(b)
    0.27455
  • t(a)
    0.97385
  • p(a)
    0.16533
  • Lowerbound of 95% confidence interval for beta
    -0.02321
  • Upperbound of 95% confidence interval for beta
    0.04359
  • Lowerbound of 95% confidence interval for alpha
    -0.10578
  • Upperbound of 95% confidence interval for alpha
    0.31356
  • Treynor index (mean / b)
    10.62260
  • Jensen alpha (a)
    0.10389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09875
  • SD
    0.13772
  • Sharpe ratio (Glass type estimate)
    0.71704
  • Sharpe ratio (Hedges UMVUE)
    0.71581
  • df
    439.00000
  • t
    0.92922
  • p
    0.17664
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22897
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06126
  • Upside Potential Ratio
    4.81919
  • Upside part of mean
    0.44842
  • Downside part of mean
    -0.34967
  • Upside SD
    0.10150
  • Downside SD
    0.09305
  • N nonnegative terms
    73.00000
  • N negative terms
    367.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    440.00000
  • Mean of predictor
    0.35158
  • Mean of criterion
    0.09875
  • SD of predictor
    0.38900
  • SD of criterion
    0.13772
  • Covariance
    0.00153
  • r
    0.02859
  • b (slope, estimate of beta)
    0.01012
  • a (intercept, estimate of alpha)
    0.09519
  • Mean Square Error
    0.01899
  • DF error
    438.00000
  • t(b)
    0.59853
  • p(b)
    0.27490
  • t(a)
    0.89368
  • p(a)
    0.18599
  • Lowerbound of 95% confidence interval for beta
    -0.02311
  • Upperbound of 95% confidence interval for beta
    0.04335
  • Lowerbound of 95% confidence interval for alpha
    -0.11415
  • Upperbound of 95% confidence interval for alpha
    0.30453
  • Treynor index (mean / b)
    9.75691
  • Jensen alpha (a)
    0.09519
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01353
  • Expected Shortfall on VaR
    0.01702
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00409
  • Expected Shortfall on VaR
    0.00906
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    440.00000
  • Minimum
    0.95232
  • Quartile 1
    0.99996
  • Median
    1.00000
  • Quartile 3
    1.00008
  • Maximum
    1.05170
  • Mean of quarter 1
    0.99504
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.00702
  • Inter Quartile Range
    0.00012
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.08636
  • Mean of outliers low
    0.98580
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    1.01279
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.82577
  • VaR(95%) (moments method)
    0.00160
  • Expected Shortfall (moments method)
    0.00163
  • Extreme Value Index (regression method)
    -0.13018
  • VaR(95%) (regression method)
    0.00394
  • Expected Shortfall (regression method)
    0.01113
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00004
  • Quartile 1
    0.01215
  • Median
    0.01889
  • Quartile 3
    0.02567
  • Maximum
    0.17578
  • Mean of quarter 1
    0.00592
  • Mean of quarter 2
    0.01319
  • Mean of quarter 3
    0.02459
  • Mean of quarter 4
    0.10090
  • Inter Quartile Range
    0.01352
  • 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
    0.16667
  • Mean of outliers high
    0.17578
  • 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)
    0.14113
  • Compounded annual return (geometric extrapolation)
    0.13503
  • Calmar ratio (compounded annual return / max draw down)
    0.76817
  • Compounded annual return / average of 25% largest draw downs
    1.33815
  • Compounded annual return / Expected Shortfall lognormal
    7.93263
  • 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
    -0.02807
  • SD
    0.00145
  • Sharpe ratio (Glass type estimate)
    -19.30410
  • Sharpe ratio (Hedges UMVUE)
    -19.19250
  • df
    130.00000
  • t
    -13.65010
  • p
    0.88374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -22.81540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -15.56960
  • Statistics related to Sortino ratio
  • Sortino ratio
    -12.48760
  • Upside Potential Ratio
    0.43398
  • Upside part of mean
    0.00098
  • Downside part of mean
    -0.02904
  • Upside SD
    0.00023
  • Downside SD
    0.00225
  • N nonnegative terms
    9.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.00319
  • Mean of criterion
    -0.02807
  • SD of predictor
    0.46610
  • SD of criterion
    0.00145
  • Covariance
    0.00033
  • r
    0.48515
  • b (slope, estimate of beta)
    0.00151
  • a (intercept, estimate of alpha)
    -0.02959
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    6.30150
  • p(b)
    0.20373
  • t(a)
    -16.24710
  • p(a)
    0.95527
  • Lowerbound of 95% confidence interval for beta
    0.00104
  • Upperbound of 95% confidence interval for beta
    0.00199
  • Lowerbound of 95% confidence interval for alpha
    -0.03319
  • Upperbound of 95% confidence interval for alpha
    -0.02598
  • Treynor index (mean / b)
    -18.54630
  • Jensen alpha (a)
    -0.02959
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02807
  • SD
    0.00145
  • Sharpe ratio (Glass type estimate)
    -19.30340
  • Sharpe ratio (Hedges UMVUE)
    -19.19180
  • df
    130.00000
  • t
    -13.64950
  • p
    0.88374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -22.81460
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -15.56900
  • Statistics related to Sortino ratio
  • Sortino ratio
    -12.48740
  • Upside Potential Ratio
    0.43393
  • Upside part of mean
    0.00098
  • Downside part of mean
    -0.02904
  • Upside SD
    0.00023
  • Downside SD
    0.00225
  • N nonnegative terms
    9.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.89413
  • Mean of criterion
    -0.02807
  • SD of predictor
    0.46461
  • SD of criterion
    0.00145
  • Covariance
    0.00033
  • r
    0.48643
  • b (slope, estimate of beta)
    0.00152
  • a (intercept, estimate of alpha)
    -0.02943
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    6.32323
  • p(b)
    0.20302
  • t(a)
    -16.20180
  • p(a)
    0.95500
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.00105
  • Upperbound of 95% confidence interval for beta
    0.00200
  • Lowerbound of 95% confidence interval for alpha
    -0.03302
  • Upperbound of 95% confidence interval for alpha
    -0.02584
  • Treynor index (mean / b)
    -18.43770
  • Jensen alpha (a)
    -0.02943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00025
  • Expected Shortfall on VaR
    0.00029
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00027
  • Expected Shortfall on VaR
    0.00031
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99968
  • Quartile 1
    0.99992
  • Median
    1.00000
  • Quartile 3
    1.00008
  • Maximum
    1.00016
  • Mean of quarter 1
    0.99989
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.00010
  • Inter Quartile Range
    0.00016
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.99968
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00008
  • Median
    0.00008
  • Quartile 3
    0.00014
  • Maximum
    0.00128
  • Mean of quarter 1
    0.00006
  • Mean of quarter 2
    0.00008
  • Mean of quarter 3
    0.00008
  • Mean of quarter 4
    0.00072
  • Inter Quartile Range
    0.00006
  • 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
    0.16667
  • Mean of outliers high
    0.00128
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -396383000
  • Max Equity Drawdown (num days)
    531
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00016
  • Compounded annual return (geometric extrapolation)
    -0.00016
  • Calmar ratio (compounded annual return / max draw down)
    -0.12513
  • Compounded annual return / average of 25% largest draw downs
    -0.22243
  • Compounded annual return / Expected Shortfall lognormal
    -0.54976

Strategy Description

Strategy makes a bad track record with brokers using slippage in each trade and/or wide spread commission. I suggest to choose brokers with low commissions/fees, such as Interactive Brokers.
It's a pattern breakout strategy, always there's SL. Sometimes the trade is closed before SL or TP if the breakout didn't act as the plan: so lot of breakeven trades ( /-)(2/3 pips). Be ready for a Maximum Draw-Down around 10%.
Rarely I hold the trade overnight: just in case the SL (I never move it) or Tp not hit and the pattern still good. Never hold over the weekend.

Summary Statistics

Strategy began
2018-02-02
Suggested Minimum Capital
$10,000
# Trades
81
# Profitable
51
% Profitable
63.0%
Correlation S&P500
0.028
Sharpe Ratio
0.11
Sortino Ratio
0.17
Beta
0.01
Alpha
0.00

Latest Activity

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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.

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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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