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.

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

Fxsignal4U
(52275718)

Created by: ErwinToth-Muller ErwinToth-Muller
Started: 08/2010
Forex
Last trade: 2,880 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $150.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

2.3%
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.

(39.3%)
Max Drawdown
121
Num Trades
72.7%
Win Trades
1.2 : 1
Profit Factor
8.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                 (0.1%)+3.0%+14.4%(6.7%)+28.9%+41.4%
2011(7%)+13.6%+13.1%+7.5%+2.3%+0.5%+2.1%(6.4%)(3.4%)(21.2%)+5.5%(11.6%)(10.4%)
2012(2.5%)  -    -    -    -    -    -    -    -    -    -    -  (2.5%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  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 81 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/12/12 18:40 AUD/NZD AUD/NZD LONG 30 1.30240 1/18 6:43 1.29000 2.32%
Trade id #69681440
Max drawdown($3,028)
Time1/18/12 6:41
Quant open30
Worst price1.28988
Drawdown as % of equity-2.32%
($3,000)
12/23/11 10:59 GBP/USD GBP/USD SHORT 30 1.56370 12/28 9:56 1.55000 1.48%
Trade id #69258334
Max drawdown($1,902)
Time12/27/11 2:18
Quant open-30
Worst price1.57004
Drawdown as % of equity-1.48%
$4,110
12/9/11 6:12 EUR/AUD EUR/AUD LONG 30 1.32181 12/20 23:35 1.29450 6.29%
Trade id #68828731
Max drawdown($8,334)
Time12/20/11 23:34
Quant open30
Worst price1.29441
Drawdown as % of equity-6.29%
($8,307)
12/9/11 6:13 EUR/NZD EUR/NZD LONG 30 1.74229 12/16 10:25 1.70580 6.24%
Trade id #68828746
Max drawdown($8,358)
Time12/16/11 10:25
Quant open0
Worst price1.70580
Drawdown as % of equity-6.24%
($8,358)
12/9/11 9:26 AUD/USD AUD/USD SHORT 30 1.01304 12/14 10:23 0.99771 1.94%
Trade id #68833166
Max drawdown($2,796)
Time12/9/11 14:32
Quant open-30
Worst price1.02236
Drawdown as % of equity-1.94%
$4,599
12/9/11 9:25 NZD/USD NZD/USD SHORT 30 0.76854 12/14 9:25 0.75483 1.51%
Trade id #68833154
Max drawdown($2,184)
Time12/9/11 15:42
Quant open-30
Worst price0.77582
Drawdown as % of equity-1.51%
$4,113
12/9/11 9:25 USD/CAD USD/CAD LONG 30 1.02494 12/14 9:04 1.03604 1.83%
Trade id #68833141
Max drawdown($2,634)
Time12/9/11 17:00
Quant open30
Worst price1.01588
Drawdown as % of equity-1.83%
$3,226
12/9/11 6:12 EUR/CAD EUR/CAD LONG 30 1.37055 12/13 11:02 1.34640 5.69%
Trade id #68828715
Max drawdown($7,042)
Time12/13/11 11:01
Quant open30
Worst price1.34639
Drawdown as % of equity-5.69%
($7,040)
12/1/11 4:48 EUR/USD EUR/USD LONG 30 1.34850 12/12 11:49 1.32000 6.62%
Trade id #68482785
Max drawdown($8,886)
Time12/12/11 11:49
Quant open30
Worst price1.31888
Drawdown as % of equity-6.62%
($8,550)
10/18/11 4:06 EUR/GBP EUR/GBP SHORT 30 0.86946 11/1 12:23 0.85825 4.4%
Trade id #66897221
Max drawdown($6,473)
Time10/27/11 14:07
Quant open-30
Worst price0.88299
Drawdown as % of equity-4.40%
$5,364
10/18/11 4:05 EUR/JPY EUR/JPY SHORT 30 105.331 10/27 13:55 108.000 7.17%
Trade id #66897195
Max drawdown($10,550)
Time10/27/11 13:55
Quant open0
Worst price108.000
Drawdown as % of equity-7.17%
($10,548)
10/18/11 4:04 AUD/JPY AUD/JPY SHORT 30 77.942 10/27 4:17 80.402 6.51%
Trade id #66897171
Max drawdown($9,723)
Time10/27/11 4:17
Quant open0
Worst price80.402
Drawdown as % of equity-6.51%
($9,723)
10/18/11 4:03 NZD/USD NZD/USD SHORT 30 0.78851 10/24 13:49 0.81103 4.37%
Trade id #66897115
Max drawdown($6,755)
Time10/24/11 13:49
Quant open0
Worst price0.81103
Drawdown as % of equity-4.37%
($6,755)
10/18/11 4:04 AUD/USD AUD/USD SHORT 30 1.01455 10/23 23:34 1.03815 4.11%
Trade id #66897128
Max drawdown($7,081)
Time10/23/11 23:34
Quant open0
Worst price1.03815
Drawdown as % of equity-4.11%
($7,080)
9/15/11 5:08 EUR/CAD EUR/CAD LONG 30 1.36532 9/18 17:05 1.34383 3.66%
Trade id #65717477
Max drawdown($6,570)
Time9/18/11 17:05
Quant open0
Worst price1.34383
Drawdown as % of equity-3.66%
($6,569)
9/12/11 7:13 NZD/USD NZD/USD LONG 30 0.82079 9/14 9:31 0.82333 0.83%
Trade id #65576732
Max drawdown($1,506)
Time9/12/11 15:20
Quant open30
Worst price0.81577
Drawdown as % of equity-0.83%
$762
8/9/11 17:17 AUD/USD AUD/USD LONG 30 1.03704 8/10 21:31 1.01186 4.07%
Trade id #64431431
Max drawdown($7,554)
Time8/10/11 21:31
Quant open0
Worst price1.01186
Drawdown as % of equity-4.07%
($7,554)
8/9/11 17:14 NZD/USD NZD/USD LONG 30 0.83853 8/10 11:04 0.81356 3.93%
Trade id #64431351
Max drawdown($7,492)
Time8/10/11 11:04
Quant open0
Worst price0.81356
Drawdown as % of equity-3.93%
($7,492)
8/3/11 13:01 EUR/CAD EUR/CAD LONG 30 1.37897 8/7 18:05 1.41370 1.17%
Trade id #64177123
Max drawdown($2,185)
Time8/4/11 10:22
Quant open30
Worst price1.37179
Drawdown as % of equity-1.17%
$10,573
8/1/11 9:02 EUR/GBP EUR/GBP LONG 30 0.88015 8/5 11:48 0.86491 3.88%
Trade id #64061804
Max drawdown($7,485)
Time8/5/11 11:48
Quant open0
Worst price0.86491
Drawdown as % of equity-3.88%
($7,485)
7/19/11 9:03 AUD/NZD AUD/NZD SHORT 30 1.25117 7/24 22:03 1.25207 0.88%
Trade id #63631186
Max drawdown($1,705)
Time7/21/11 11:12
Quant open-30
Worst price1.25774
Drawdown as % of equity-0.88%
($234)
7/19/11 4:23 AUD/USD AUD/USD LONG 30 1.06651 7/21 8:59 1.07653 n/a $3,006
7/5/11 5:21 EUR/CHF EUR/CHF SHORT 45 1.21599 7/7 2:25 1.20420 0.22%
Trade id #63180237
Max drawdown($411)
Time7/5/11 10:30
Quant open-30
Worst price1.22392
Drawdown as % of equity-0.22%
$6,324
7/4/11 17:27 EUR/CAD EUR/CAD LONG 30 1.39749 7/6 8:22 1.38200 2.51%
Trade id #63169350
Max drawdown($4,817)
Time7/6/11 8:22
Quant open0
Worst price1.38200
Drawdown as % of equity-2.51%
($4,814)
6/17/11 5:06 EUR/CAD EUR/CAD LONG 30 1.39861 6/28 9:15 1.40911 2.09%
Trade id #62594345
Max drawdown($3,869)
Time6/23/11 11:00
Quant open30
Worst price1.38589
Drawdown as % of equity-2.09%
$3,194
6/23/11 9:17 EUR/AUD EUR/AUD SHORT 30 1.35264 6/24 16:46 1.35292 0.58%
Trade id #62799214
Max drawdown($1,069)
Time6/23/11 14:57
Quant open-30
Worst price1.35604
Drawdown as % of equity-0.58%
($88)
6/17/11 13:04 EUR/GBP EUR/GBP LONG 30 0.88482 6/23 7:29 0.88899 0.66%
Trade id #62612950
Max drawdown($1,252)
Time6/20/11 10:54
Quant open30
Worst price0.88221
Drawdown as % of equity-0.66%
$2,001
6/17/11 13:03 AUD/CAD AUD/CAD LONG 30 1.04060 6/23 4:18 1.02410 2.74%
Trade id #62612914
Max drawdown($5,092)
Time6/23/11 4:18
Quant open0
Worst price1.02410
Drawdown as % of equity-2.74%
($5,092)
6/16/11 5:14 GBP/CHF GBP/CHF SHORT 30 1.37278 6/16 10:54 1.37240 n/a $134
6/1/11 3:39 EUR/GBP EUR/GBP LONG 30 0.87552 6/9 9:00 0.88597 n/a $5,142

Statistics

  • Strategy began
    8/24/2010
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3388.63
  • Age
    113 months ago
  • What it trades
    Forex
  • # Trades
    121
  • # Profitable
    88
  • % Profitable
    72.70%
  • Avg trade duration
    5.0 days
  • Max peak-to-valley drawdown
    39.27%
  • drawdown period
    Aug 09, 2011 - Dec 13, 2011
  • Annual Return (Compounded)
    2.3%
  • Avg win
    $2,301
  • Avg loss
    $5,238
  • Model Account Values (Raw)
  • Cash
    $129,686
  • Margin Used
    $0
  • Buying Power
    $129,686
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    0.08
  • Sortino Ratio
    0.12
  • Calmar Ratio
    -0.192
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -170.75%
  • Correlation to SP500
    -0.01140
  • Return Percent SP500 (cumu) during strategy life
    199.26%
  • Return Statistics
  • Ann Return (w trading costs)
    2.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.57%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.023%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 100% 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 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,239
  • Avg Win
    $2,302
  • Sum Trade PL (losers)
    $172,884.000
  • Age
  • Num Months (Age strategy)
    113
  • Win / Loss
  • Sum Trade PL (winners)
    $202,570.000
  • # Winners
    88
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    33
  • % Winners
    72.7%
  • Frequency
  • Avg Position Time (mins)
    7144.97
  • Avg Position Time (hrs)
    119.08
  • Avg Trade Length
    5.0 days
  • Last Trade Ago
    2882
  • Regression
  • Alpha
    0.00
  • Beta
    -0.01
  • Treynor Index
    -0.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    95.71
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    26.87
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    6.20
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -74.009
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    1.059
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.016
  • Hold-and-Hope Ratio
    -0.014
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05778
  • SD
    0.31202
  • Sharpe ratio (Glass type estimate)
    -0.18516
  • Sharpe ratio (Hedges UMVUE)
    -0.18148
  • df
    38.00000
  • t
    -0.33381
  • p
    0.62982
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90400
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90648
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22279
  • Upside Potential Ratio
    0.87778
  • Upside part of mean
    0.22764
  • Downside part of mean
    -0.28541
  • Upside SD
    0.16699
  • Downside SD
    0.25933
  • N nonnegative terms
    8.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.24933
  • Mean of criterion
    -0.05778
  • SD of predictor
    0.24270
  • SD of criterion
    0.31202
  • Covariance
    0.01487
  • r
    0.19632
  • b (slope, estimate of beta)
    0.25239
  • a (intercept, estimate of alpha)
    -0.12070
  • Mean Square Error
    0.09614
  • DF error
    37.00000
  • t(b)
    1.21787
  • p(b)
    0.11549
  • t(a)
    -0.67214
  • p(a)
    0.74716
  • Lowerbound of 95% confidence interval for beta
    -0.16752
  • Upperbound of 95% confidence interval for beta
    0.67230
  • Lowerbound of 95% confidence interval for alpha
    -0.48457
  • Upperbound of 95% confidence interval for alpha
    0.24317
  • Treynor index (mean / b)
    -0.22891
  • Jensen alpha (a)
    -0.12070
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11525
  • SD
    0.36185
  • Sharpe ratio (Glass type estimate)
    -0.31849
  • Sharpe ratio (Hedges UMVUE)
    -0.31216
  • df
    38.00000
  • t
    -0.57417
  • p
    0.71538
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40595
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77730
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.35690
  • Upside Potential Ratio
    0.66387
  • Upside part of mean
    0.21437
  • Downside part of mean
    -0.32961
  • Upside SD
    0.15626
  • Downside SD
    0.32290
  • N nonnegative terms
    8.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.21814
  • Mean of criterion
    -0.11525
  • SD of predictor
    0.24166
  • SD of criterion
    0.36185
  • Covariance
    0.02210
  • r
    0.25272
  • b (slope, estimate of beta)
    0.37841
  • a (intercept, estimate of alpha)
    -0.19779
  • Mean Square Error
    0.12588
  • DF error
    37.00000
  • t(b)
    1.58881
  • p(b)
    0.06031
  • t(a)
    -0.97171
  • p(a)
    0.83125
  • Lowerbound of 95% confidence interval for beta
    -0.10417
  • Upperbound of 95% confidence interval for beta
    0.86099
  • Lowerbound of 95% confidence interval for alpha
    -0.61023
  • Upperbound of 95% confidence interval for alpha
    0.21464
  • Treynor index (mean / b)
    -0.30455
  • Jensen alpha (a)
    -0.19779
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16591
  • Expected Shortfall on VaR
    0.20095
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07193
  • Expected Shortfall on VaR
    0.15312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.58705
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.15540
  • Mean of quarter 1
    0.91446
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.07584
  • Inter Quartile Range
    0.00000
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.23077
  • Mean of outliers low
    0.90495
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.20513
  • Mean of outliers high
    1.09481
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -12.65110
  • VaR(95%) (moments method)
    0.00008
  • Expected Shortfall (moments method)
    0.00008
  • Extreme Value Index (regression method)
    0.84655
  • VaR(95%) (regression method)
    0.11008
  • Expected Shortfall (regression method)
    0.92632
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00348
  • Quartile 1
    0.17506
  • Median
    0.34663
  • Quartile 3
    0.37979
  • Maximum
    0.41295
  • Mean of quarter 1
    0.00348
  • Mean of quarter 2
    0.34663
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.41295
  • Inter Quartile Range
    0.20473
  • 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)
    -0.07604
  • Compounded annual return (geometric extrapolation)
    -0.08363
  • Calmar ratio (compounded annual return / max draw down)
    -0.20253
  • Compounded annual return / average of 25% largest draw downs
    -0.20253
  • Compounded annual return / Expected Shortfall lognormal
    -0.41619
  • 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
    0.02737
  • SD
    0.52464
  • Sharpe ratio (Glass type estimate)
    0.05217
  • Sharpe ratio (Hedges UMVUE)
    0.05213
  • df
    861.00000
  • t
    0.09463
  • p
    0.46231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02843
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13268
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07663
  • Upside Potential Ratio
    3.01623
  • Upside part of mean
    1.07735
  • Downside part of mean
    -1.04998
  • Upside SD
    0.38386
  • Downside SD
    0.35718
  • N nonnegative terms
    118.00000
  • N negative terms
    744.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    862.00000
  • Mean of predictor
    0.27062
  • Mean of criterion
    0.02737
  • SD of predictor
    0.28356
  • SD of criterion
    0.52464
  • Covariance
    0.06492
  • r
    0.43641
  • b (slope, estimate of beta)
    0.80745
  • a (intercept, estimate of alpha)
    -0.19100
  • Mean Square Error
    0.22308
  • DF error
    860.00000
  • t(b)
    14.22400
  • p(b)
    0.00000
  • t(a)
    -0.73278
  • p(a)
    0.76805
  • Lowerbound of 95% confidence interval for beta
    0.69603
  • Upperbound of 95% confidence interval for beta
    0.91886
  • Lowerbound of 95% confidence interval for alpha
    -0.70311
  • Upperbound of 95% confidence interval for alpha
    0.32083
  • Treynor index (mean / b)
    0.03390
  • Jensen alpha (a)
    -0.19114
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11418
  • SD
    0.54204
  • Sharpe ratio (Glass type estimate)
    -0.21065
  • Sharpe ratio (Hedges UMVUE)
    -0.21047
  • df
    861.00000
  • t
    -0.38209
  • p
    0.64875
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29121
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.86998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29106
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87013
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26805
  • Upside Potential Ratio
    2.38526
  • Upside part of mean
    1.01604
  • Downside part of mean
    -1.13022
  • Upside SD
    0.33477
  • Downside SD
    0.42597
  • N nonnegative terms
    118.00000
  • N negative terms
    744.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    862.00000
  • Mean of predictor
    0.22909
  • Mean of criterion
    -0.11418
  • SD of predictor
    0.29031
  • SD of criterion
    0.54204
  • Covariance
    0.07571
  • r
    0.48113
  • b (slope, estimate of beta)
    0.89833
  • a (intercept, estimate of alpha)
    -0.31998
  • Mean Square Error
    0.22606
  • DF error
    860.00000
  • t(b)
    16.09490
  • p(b)
    0.00000
  • t(a)
    -1.21928
  • p(a)
    0.88846
  • Lowerbound of 95% confidence interval for beta
    0.78878
  • Upperbound of 95% confidence interval for beta
    1.00788
  • Lowerbound of 95% confidence interval for alpha
    -0.83508
  • Upperbound of 95% confidence interval for alpha
    0.19511
  • Treynor index (mean / b)
    -0.12710
  • Jensen alpha (a)
    -0.31998
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05400
  • Expected Shortfall on VaR
    0.06708
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01269
  • Expected Shortfall on VaR
    0.02855
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    862.00000
  • Minimum
    0.58053
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.51918
  • Mean of quarter 1
    0.98437
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01647
  • Inter Quartile Range
    0.00000
  • Number outliers low
    120.00000
  • Percentage of outliers low
    0.13921
  • Mean of outliers low
    0.97187
  • Number of outliers high
    121.00000
  • Percentage of outliers high
    0.14037
  • Mean of outliers high
    1.02940
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94175
  • VaR(95%) (moments method)
    0.00493
  • Expected Shortfall (moments method)
    0.11378
  • Extreme Value Index (regression method)
    0.55257
  • VaR(95%) (regression method)
    0.01189
  • Expected Shortfall (regression method)
    0.04499
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00473
  • Median
    0.01952
  • Quartile 3
    0.03720
  • Maximum
    0.42951
  • Mean of quarter 1
    0.00205
  • Mean of quarter 2
    0.01110
  • Mean of quarter 3
    0.03085
  • Mean of quarter 4
    0.27613
  • Inter Quartile Range
    0.03247
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.39275
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -274.54100
  • VaR(95%) (moments method)
    0.13803
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.09066
  • VaR(95%) (regression method)
    0.74604
  • Expected Shortfall (regression method)
    0.75079
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07511
  • Compounded annual return (geometric extrapolation)
    -0.08266
  • Calmar ratio (compounded annual return / max draw down)
    -0.19245
  • Compounded annual return / average of 25% largest draw downs
    -0.29934
  • Compounded annual return / Expected Shortfall lognormal
    -1.23226
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • 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
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63463
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.24832
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • 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
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.60310
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.24928
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6790600000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.05400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -44417499999999999428703381618688.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -337809000
  • Max Equity Drawdown (num days)
    126
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Technical analysis, trendtrading. trades four hours charts only. Our strategy is based on technical analysis solely following the trends. We keep an eye on over-sold and over-bought levels. We extend the size of our position continuously - by opening new positions - in direction of the trend. We notify our clients about next update in signal email. We send e-mail also:
•If there are trades to enter
•If TP 1 is reached and we are moving SL to BE
•If we have to close positions unexpectedly.
We send 4-8 Signals every week, Stop-Loss: 80-250 Pips, TakeProfit Focus: 80-350 Pips.
Running trades are managed.
Do not risk more than 2 per cent of your capital in one position.
Maximum 10 per cent of your capital should be at risk at a time.
If you are uncertain about the calculation of position size, do not hesitate to ask us!

Summary Statistics

Strategy began
2010-08-24
Suggested Minimum Capital
$100,000
# Trades
121
# Profitable
88
% Profitable
72.7%
Correlation S&P500
-0.011
Sharpe Ratio
0.08
Sortino Ratio
0.12
Beta
-0.01
Alpha
0.00

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?

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.