Collective2 Collective2
Featured Strategy Easiest +111.2% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
This is an archived track record. This track record was archived on 11/2/20 2:25 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
Watchlist Watchlist More...

huawei
(126408305)

Created by: Tradingforex Tradingforex
Started: 11/2019
Forex
Last trade: 1,467 days ago
Trading style: Futures Trend-following

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 $298.00 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: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-
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.

(100.0%)
Max Drawdown
240
Num Trades
89.6%
Win Trades
0.4 : 1
Profit Factor
5.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      (0.4%)(33.4%)(33.6%)
2020+2.9%+44.5%+35.9%(176%)(0.7%)(0.6%)  -  (1.3%)(0.6%)(0.6%)  -    -  (259.4%)
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 239 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1467 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/15/20 3:32 @QMK0 MINY CRUDE OIL LONG 21 18.548 4/20 13:47 5.810 654.57%
Trade id #128570134
Max drawdown($138,781)
Time4/20/20 13:47
Quant open16
Worst price1.200
Drawdown as % of equity654.57%
 ($133,918)
Includes Typical Broker Commissions trade costs of $168.00
4/8/20 21:27 USD/JPY USD/JPY LONG 60 108.157 4/20 13:47 107.701 9.03%
Trade id #128484443
Max drawdown($6,874)
Time4/15/20 0:00
Quant open60
Worst price106.926
Drawdown as % of equity-9.03%
 ($2,539)
4/20/20 9:46 QGCK0 Gold 100 oz SHORT 2 1695.4 4/20 11:37 1702.2 7.22%
Trade id #128650696
Max drawdown($2,150)
Time4/20/20 11:09
Quant open2
Worst price1706.2
Drawdown as % of equity-7.22%
 ($1,366)
Includes Typical Broker Commissions trade costs of $16.00
4/20/20 9:22 @QMM0 MINY CRUDE OIL LONG 9 22.206 4/20 10:07 22.800 n/a $2,603
Includes Typical Broker Commissions trade costs of $72.00
4/16/20 13:47 QCLK0 CRUDE OIL LONG 2 19.87 4/20 9:18 10.88 64.9%
Trade id #128602749
Max drawdown($18,200)
Time4/20/20 9:14
Quant open2
Worst price10.77
Drawdown as % of equity-64.90%
 ($17,996)
Includes Typical Broker Commissions trade costs of $16.00
4/12/20 20:11 EUR/JPY EUR/JPY LONG 40 118.042 4/20 9:18 117.024 6.17%
Trade id #128524514
Max drawdown($5,525)
Time4/16/20 0:00
Quant open40
Worst price116.551
Drawdown as % of equity-6.17%
 ($3,776)
4/12/20 20:20 EUR/GBP EUR/GBP LONG 30 0.87510 4/20 7:12 0.87252 3.23%
Trade id #128524589
Max drawdown($2,626)
Time4/14/20 0:00
Quant open30
Worst price0.86816
Drawdown as % of equity-3.23%
 ($963)
4/17/20 15:34 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 4 8781.00 4/19 20:10 8760.50 0.44%
Trade id #128630070
Max drawdown($368)
Time4/17/20 15:52
Quant open4
Worst price8827.00
Drawdown as % of equity-0.44%
 $160
Includes Typical Broker Commissions trade costs of $3.76
4/17/20 13:24 GBP/AUD GBP/AUD LONG 20 1.96604 4/19 20:09 1.96791 0.88%
Trade id #128627985
Max drawdown($736)
Time4/17/20 16:27
Quant open20
Worst price1.96025
Drawdown as % of equity-0.88%
 $237
4/17/20 15:11 GBP/USD GBP/USD LONG 5 1.24840 4/17 15:53 1.24956 0.02%
Trade id #128629630
Max drawdown($13)
Time4/17/20 15:15
Quant open5
Worst price1.24813
Drawdown as % of equity-0.02%
 $58
4/17/20 15:00 USD/CAD USD/CAD LONG 10 1.40203 4/17 15:07 1.40344 0.07%
Trade id #128629461
Max drawdown($60)
Time4/17/20 15:03
Quant open10
Worst price1.40119
Drawdown as % of equity-0.07%
 $100
4/17/20 14:18 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 4 8719.31 4/17 15:02 8732.25 0.26%
Trade id #128628736
Max drawdown($222)
Time4/17/20 14:42
Quant open4
Worst price8691.50
Drawdown as % of equity-0.26%
 $100
Includes Typical Broker Commissions trade costs of $3.76
4/17/20 14:08 GBP/USD GBP/USD LONG 10 1.24887 4/17 14:56 1.24930 0.09%
Trade id #128628576
Max drawdown($80)
Time4/17/20 14:29
Quant open10
Worst price1.24807
Drawdown as % of equity-0.09%
 $43
4/17/20 10:56 USD/CAD USD/CAD LONG 30 1.40329 4/17 14:49 1.40346 0.61%
Trade id #128624678
Max drawdown($504)
Time4/17/20 13:58
Quant open30
Worst price1.40094
Drawdown as % of equity-0.61%
 $35
4/17/20 10:56 GBP/USD GBP/USD SHORT 16 1.24972 4/17 14:08 1.24950 0.39%
Trade id #128624673
Max drawdown($321)
Time4/17/20 13:44
Quant open16
Worst price1.25173
Drawdown as % of equity-0.39%
 $35
4/17/20 11:55 GBP/NZD GBP/NZD SHORT 10 2.07261 4/17 13:22 2.07203 0.2%
Trade id #128626304
Max drawdown($174)
Time4/17/20 12:35
Quant open10
Worst price2.07551
Drawdown as % of equity-0.20%
 $35
4/17/20 11:01 EUR/USD EUR/USD SHORT 6 1.08838 4/17 12:26 1.08707 0.01%
Trade id #128624783
Max drawdown($6)
Time4/17/20 11:04
Quant open3
Worst price1.08866
Drawdown as % of equity-0.01%
 $78
4/17/20 9:46 QGCJ0 Gold 100 oz SHORT 2 1707.1 4/17 11:53 1696.7 n/a $2,064
Includes Typical Broker Commissions trade costs of $16.00
4/17/20 9:51 USD/CAD USD/CAD LONG 30 1.40298 4/17 10:50 1.40429 0.19%
Trade id #128621823
Max drawdown($152)
Time4/17/20 10:00
Quant open30
Worst price1.40227
Drawdown as % of equity-0.19%
 $279
4/17/20 10:09 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 4 8823.25 4/17 10:50 8747.75 n/a $600
Includes Typical Broker Commissions trade costs of $3.76
4/16/20 5:04 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 20 8790.74 4/17 9:43 8785.25 7.98%
Trade id #128591646
Max drawdown($7,080)
Time4/17/20 0:00
Quant open20
Worst price8967.75
Drawdown as % of equity-7.98%
 $201
Includes Typical Broker Commissions trade costs of $18.80
4/17/20 8:00 GBP/NZD GBP/NZD LONG 10 2.07313 4/17 8:34 2.07075 0.31%
Trade id #128619652
Max drawdown($240)
Time4/17/20 8:32
Quant open10
Worst price2.06914
Drawdown as % of equity-0.31%
 ($144)
4/17/20 7:59 USD/CAD USD/CAD LONG 10 1.40633 4/17 8:19 1.40701 0.01%
Trade id #128619620
Max drawdown($10)
Time4/17/20 8:16
Quant open10
Worst price1.40618
Drawdown as % of equity-0.01%
 $48
4/17/20 7:48 GBP/NZD GBP/NZD SHORT 10 2.07725 4/17 7:58 2.07526 0.06%
Trade id #128619503
Max drawdown($46)
Time4/17/20 7:54
Quant open10
Worst price2.07802
Drawdown as % of equity-0.06%
 $120
4/17/20 6:40 USD/CAD USD/CAD LONG 10 1.40635 4/17 7:47 1.40778 0.12%
Trade id #128618745
Max drawdown($96)
Time4/17/20 7:15
Quant open10
Worst price1.40500
Drawdown as % of equity-0.12%
 $102
4/17/20 6:34 GBP/NZD GBP/NZD LONG 10 2.07338 4/17 7:14 2.07479 0.19%
Trade id #128618667
Max drawdown($149)
Time4/17/20 6:58
Quant open10
Worst price2.07087
Drawdown as % of equity-0.19%
 $85
4/17/20 4:07 GBP/USD GBP/USD LONG 15 1.24287 4/17 6:36 1.24463 0.41%
Trade id #128617275
Max drawdown($325)
Time4/17/20 6:08
Quant open15
Worst price1.24070
Drawdown as % of equity-0.41%
 $264
4/16/20 23:48 USD/CAD USD/CAD SHORT 10 1.40311 4/17 3:36 1.40913 0.53%
Trade id #128614706
Max drawdown($416)
Time4/17/20 3:36
Quant open10
Worst price1.40897
Drawdown as % of equity-0.53%
 ($427)
4/16/20 23:34 CAD/JPY CAD/JPY LONG 10 76.744 4/17 3:22 76.586 0.26%
Trade id #128614493
Max drawdown($218)
Time4/17/20 3:15
Quant open10
Worst price76.508
Drawdown as % of equity-0.26%
 ($147)
4/16/20 23:35 CHF/JPY CHF/JPY LONG 5 111.212 4/17 3:22 111.006 0.14%
Trade id #128614499
Max drawdown($121)
Time4/17/20 3:15
Quant open5
Worst price110.949
Drawdown as % of equity-0.14%
 ($96)
Next

Statistics

  • Strategy began
    11/28/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1610.62
  • Age
    54 months ago
  • What it trades
    Forex
  • # Trades
    240
  • # Profitable
    215
  • % Profitable
    89.60%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    April 20, 2020 - April 20, 2020
  • Cumul. Return
    -205.8%
  • Avg win
    $366.92
  • Avg loss
    $7,095
  • Model Account Values (Raw)
  • Cash
    ($48,523)
  • Margin Used
    $0
  • Buying Power
    ($48,523)
  • Ratios
  • W:L ratio
    0.44:1
  • Sharpe Ratio
    -1.13
  • Sortino Ratio
    -1.16
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -209.50%
  • Correlation to SP500
    0.05800
  • Return Percent SP500 (cumu) during strategy life
    62.04%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.08%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -2.058%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.92%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Automation
  • Percentage Signals Automated
    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
    $7,096
  • Avg Win
    $367
  • Sum Trade PL (losers)
    $177,399.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $78,887.000
  • # Winners
    215
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    25
  • % Winners
    89.6%
  • Frequency
  • Avg Position Time (mins)
    1643.10
  • Avg Position Time (hrs)
    27.39
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    1467
  • Leverage
  • Daily leverage (average)
    11.76
  • Daily leverage (max)
    38.51
  • Regression
  • Alpha
    0.00
  • Beta
    0.39
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.50
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -2.734
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.159
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.140
  • Hold-and-Hope Ratio
    -0.366
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.73901
  • SD
    1.38681
  • Sharpe ratio (Glass type estimate)
    -1.25397
  • Sharpe ratio (Hedges UMVUE)
    -1.08923
  • df
    6.00000
  • t
    -0.95773
  • p
    0.81241
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.72838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54993
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.29172
  • Upside Potential Ratio
    0.28856
  • Upside part of mean
    0.38848
  • Downside part of mean
    -2.12749
  • Upside SD
    0.29671
  • Downside SD
    1.34628
  • N nonnegative terms
    1.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.11156
  • Mean of criterion
    -1.73901
  • SD of predictor
    0.28357
  • SD of criterion
    1.38681
  • Covariance
    -0.10011
  • r
    -0.25458
  • b (slope, estimate of beta)
    -1.24506
  • a (intercept, estimate of alpha)
    -1.60011
  • Mean Square Error
    2.15830
  • DF error
    5.00000
  • t(b)
    -0.58866
  • p(b)
    0.70916
  • t(a)
    -0.82567
  • p(a)
    0.77671
  • Lowerbound of 95% confidence interval for beta
    -6.68227
  • Upperbound of 95% confidence interval for beta
    4.19214
  • Lowerbound of 95% confidence interval for alpha
    -6.58196
  • Upperbound of 95% confidence interval for alpha
    3.38174
  • Treynor index (mean / b)
    1.39672
  • Jensen alpha (a)
    -1.60011
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -18.57840
  • SD
    14.09730
  • Sharpe ratio (Glass type estimate)
    -1.31787
  • Sharpe ratio (Hedges UMVUE)
    -1.14474
  • df
    6.00000
  • t
    -1.00654
  • p
    0.82350
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.93622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39912
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.79140
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50193
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.31687
  • Upside Potential Ratio
    0.02477
  • Upside part of mean
    0.34942
  • Downside part of mean
    -18.92780
  • Upside SD
    0.26687
  • Downside SD
    14.10800
  • N nonnegative terms
    1.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.07484
  • Mean of criterion
    -18.57840
  • SD of predictor
    0.29452
  • SD of criterion
    14.09730
  • Covariance
    -0.33551
  • r
    -0.08081
  • b (slope, estimate of beta)
    -3.86798
  • a (intercept, estimate of alpha)
    -18.28890
  • Mean Square Error
    236.92300
  • DF error
    5.00000
  • t(b)
    -0.18129
  • p(b)
    0.56837
  • t(a)
    -0.90466
  • p(a)
    0.79644
  • Lowerbound of 95% confidence interval for beta
    -58.71670
  • Upperbound of 95% confidence interval for beta
    50.98070
  • Lowerbound of 95% confidence interval for alpha
    -70.25900
  • Upperbound of 95% confidence interval for alpha
    33.68120
  • Treynor index (mean / b)
    4.80313
  • Jensen alpha (a)
    -18.28890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99974
  • Expected Shortfall on VaR
    0.99991
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.56191
  • Expected Shortfall on VaR
    1.06724
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.00002
  • Quartile 1
    0.88646
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.22894
  • Mean of quarter 1
    0.38647
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.11447
  • Inter Quartile Range
    0.11354
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.00002
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.22894
  • 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
    1.00000
  • Minimum
    0.99998
  • Quartile 1
    0.99998
  • Median
    0.99998
  • Quartile 3
    0.99998
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -1.71425
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00002
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00009
  • 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
    -1.12079
  • SD
    1.68959
  • Sharpe ratio (Glass type estimate)
    -0.66335
  • Sharpe ratio (Hedges UMVUE)
    -0.66037
  • df
    167.00000
  • t
    -0.53119
  • p
    0.52614
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.11106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78625
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10901
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78828
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73395
  • Upside Potential Ratio
    2.49199
  • Upside part of mean
    3.80545
  • Downside part of mean
    -4.92624
  • Upside SD
    0.71454
  • Downside SD
    1.52707
  • N nonnegative terms
    38.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    168.00000
  • Mean of predictor
    0.09583
  • Mean of criterion
    -1.12079
  • SD of predictor
    0.36647
  • SD of criterion
    1.68959
  • Covariance
    0.07902
  • r
    0.12761
  • b (slope, estimate of beta)
    0.58835
  • a (intercept, estimate of alpha)
    -0.79800
  • Mean Square Error
    2.82515
  • DF error
    166.00000
  • t(b)
    1.65772
  • p(b)
    0.43619
  • t(a)
    -0.56075
  • p(a)
    0.52174
  • Lowerbound of 95% confidence interval for beta
    -0.11238
  • Upperbound of 95% confidence interval for beta
    1.28907
  • Lowerbound of 95% confidence interval for alpha
    -5.32194
  • Upperbound of 95% confidence interval for alpha
    2.96759
  • Treynor index (mean / b)
    -1.90498
  • Jensen alpha (a)
    -1.17718
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -16.90370
  • SD
    13.33780
  • Sharpe ratio (Glass type estimate)
    -1.26735
  • Sharpe ratio (Hedges UMVUE)
    -1.26165
  • df
    167.00000
  • t
    -1.01484
  • p
    0.54979
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.71685
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18593
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.71300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18971
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.26877
  • Upside Potential Ratio
    0.26853
  • Upside part of mean
    3.57763
  • Downside part of mean
    -20.48130
  • Upside SD
    0.65552
  • Downside SD
    13.32290
  • N nonnegative terms
    38.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    168.00000
  • Mean of predictor
    0.02858
  • Mean of criterion
    -16.90370
  • SD of predictor
    0.36858
  • SD of criterion
    13.33780
  • Covariance
    0.55635
  • r
    0.11317
  • b (slope, estimate of beta)
    4.09527
  • a (intercept, estimate of alpha)
    -17.02070
  • Mean Square Error
    176.67800
  • DF error
    166.00000
  • t(b)
    1.46751
  • p(b)
    0.44342
  • t(a)
    -1.02538
  • p(a)
    0.53967
  • Lowerbound of 95% confidence interval for beta
    -1.41441
  • Upperbound of 95% confidence interval for beta
    9.60495
  • Lowerbound of 95% confidence interval for alpha
    -49.79390
  • Upperbound of 95% confidence interval for alpha
    15.75240
  • Treynor index (mean / b)
    -4.12761
  • Jensen alpha (a)
    -17.02070
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.75826
  • Expected Shortfall on VaR
    0.82156
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05550
  • Expected Shortfall on VaR
    0.12540
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    168.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.29585
  • Mean of quarter 1
    0.92512
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05819
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.15476
  • Mean of outliers low
    0.87904
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.22619
  • Mean of outliers high
    1.06432
  • 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)
    0.47334
  • VaR(95%) (regression method)
    0.05083
  • Expected Shortfall (regression method)
    0.15884
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.08367
  • Quartile 1
    0.09483
  • Median
    0.27756
  • Quartile 3
    0.59242
  • Maximum
    0.99999
  • Mean of quarter 1
    0.08367
  • Mean of quarter 2
    0.09855
  • Mean of quarter 3
    0.45656
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.49759
  • 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)
    -1.55949
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.00001
  • Compounded annual return / Expected Shortfall lognormal
    -1.21720
  • 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
    -1.93346
  • SD
    1.69464
  • Sharpe ratio (Glass type estimate)
    -1.14092
  • Sharpe ratio (Hedges UMVUE)
    -1.13433
  • df
    130.00000
  • t
    -0.80675
  • p
    0.53529
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.91402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.90956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64090
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.20147
  • Upside Potential Ratio
    1.34412
  • Upside part of mean
    2.16301
  • Downside part of mean
    -4.09647
  • Upside SD
    0.52393
  • Downside SD
    1.60924
  • N nonnegative terms
    15.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16270
  • Mean of criterion
    -1.93346
  • SD of predictor
    0.39366
  • SD of criterion
    1.69464
  • Covariance
    0.07273
  • r
    0.10902
  • b (slope, estimate of beta)
    0.46931
  • a (intercept, estimate of alpha)
    -2.00982
  • Mean Square Error
    2.85968
  • DF error
    129.00000
  • t(b)
    1.24567
  • p(b)
    0.43073
  • t(a)
    -0.84012
  • p(a)
    0.54692
  • Lowerbound of 95% confidence interval for beta
    -0.27611
  • Upperbound of 95% confidence interval for beta
    1.21474
  • Lowerbound of 95% confidence interval for alpha
    -6.74305
  • Upperbound of 95% confidence interval for alpha
    2.72341
  • Treynor index (mean / b)
    -4.11975
  • Jensen alpha (a)
    -2.00982
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -21.75810
  • SD
    15.07460
  • Sharpe ratio (Glass type estimate)
    -1.44337
  • Sharpe ratio (Hedges UMVUE)
    -1.43502
  • df
    130.00000
  • t
    -1.02061
  • p
    0.54458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.21806
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33665
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.21231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34227
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.44389
  • Upside Potential Ratio
    0.13524
  • Upside part of mean
    2.03795
  • Downside part of mean
    -23.79610
  • Upside SD
    0.48805
  • Downside SD
    15.06910
  • N nonnegative terms
    15.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08516
  • Mean of criterion
    -21.75810
  • SD of predictor
    0.39614
  • SD of criterion
    15.07460
  • Covariance
    0.69216
  • r
    0.11591
  • b (slope, estimate of beta)
    4.41078
  • a (intercept, estimate of alpha)
    -22.13370
  • Mean Square Error
    225.92700
  • DF error
    129.00000
  • t(b)
    1.32540
  • p(b)
    0.42638
  • t(a)
    -1.04116
  • p(a)
    0.55803
  • VAR (95 Confidence Intrvl)
    0.65500
  • Lowerbound of 95% confidence interval for beta
    -2.17352
  • Upperbound of 95% confidence interval for beta
    10.99510
  • Lowerbound of 95% confidence interval for alpha
    -64.19470
  • Upperbound of 95% confidence interval for alpha
    19.92730
  • Treynor index (mean / b)
    -4.93294
  • Jensen alpha (a)
    -22.13370
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.80109
  • Expected Shortfall on VaR
    0.85814
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05030
  • Expected Shortfall on VaR
    0.11374
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.21418
  • Mean of quarter 1
    0.93831
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03282
  • Inter Quartile Range
    0.00000
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.83034
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.07221
  • 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)
    0.72083
  • VaR(95%) (regression method)
    0.02362
  • Expected Shortfall (regression method)
    0.18137
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.08367
  • Quartile 1
    0.09483
  • Median
    0.17365
  • Quartile 3
    0.43656
  • Maximum
    0.99999
  • Mean of quarter 1
    0.08367
  • Mean of quarter 2
    0.09855
  • Mean of quarter 3
    0.24875
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.34173
  • 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
    0.25000
  • Mean of outliers high
    0.99999
  • 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?
    -282498000
  • Max Equity Drawdown (num days)
    67
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99996
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.00001
  • Compounded annual return / Expected Shortfall lognormal
    -1.16531

Strategy Description

First of all, let me emphasize that I am a real professional foreign exchange short-term trader. This manual trading department comes from my 20 years of experience in foreign exchange trading.

We have a basic directional view of this strategy by considering the release of economic data. Our entry point will also be determined by support indicators such as Bollinger Bands, RSI, MACD, pivot and support and resistance levels. We will trade major currencies in London, Asia and the US market for about 12 hours a day.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-11-28
Suggested Minimum Capital
$25,000
# Trades
240
# Profitable
215
% Profitable
89.6%
Correlation S&P500
0.058
Sharpe Ratio
-1.13
Sortino Ratio
-1.16
Beta
0.39
Alpha
0.00
Leverage
11.76 Average
38.51 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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