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

Wait4Trade Forex C2Star
(125545530)

Created by: Daniil Daniil
Started: 09/2019
Forex
Last trade: Today

Subscriptions not available

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

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

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.

-1.6%
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.

(7.6%)
Max Drawdown
307
Num Trades
31.9%
Win Trades
1.0 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        (0.3%)+3.8%+2.3%(2.2%)+3.6%
2020(5%)                                                                  (5%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/17/20 1:46 NZD/CHF NZD/CHF LONG 14 0.64105 1/17 14:18 0.64031 0.26%
Trade id #127057748
Max drawdown($127)
Time1/17/20 6:18
Quant open14
Worst price0.64017
Drawdown as % of equity-0.26%
($107)
1/17/20 1:44 EUR/JPY EUR/JPY LONG 12 122.800 1/17 5:25 122.550 0.52%
Trade id #127057740
Max drawdown($260)
Time1/17/20 4:31
Quant open12
Worst price122.561
Drawdown as % of equity-0.52%
($272)
1/17/20 1:43 AUD/CHF AUD/CHF SHORT 19 0.66561 1/17 2:44 0.66700 0.54%
Trade id #127057734
Max drawdown($267)
Time1/17/20 2:43
Quant open19
Worst price0.66697
Drawdown as % of equity-0.54%
($274)
1/16/20 1:52 EUR/CAD EUR/CAD LONG 6 1.45471 1/16 13:59 1.45324 0.32%
Trade id #127031539
Max drawdown($157)
Time1/16/20 11:52
Quant open6
Worst price1.45128
Drawdown as % of equity-0.32%
($68)
1/16/20 1:50 EUR/AUD EUR/AUD SHORT 11 1.61462 1/16 13:59 1.61562 0.27%
Trade id #127031528
Max drawdown($136)
Time1/16/20 12:50
Quant open11
Worst price1.61642
Drawdown as % of equity-0.27%
($76)
1/16/20 1:53 GBP/CHF GBP/CHF SHORT 6 1.25787 1/16 11:55 1.26200 0.51%
Trade id #127031543
Max drawdown($255)
Time1/16/20 11:54
Quant open6
Worst price1.26197
Drawdown as % of equity-0.51%
($257)
1/16/20 1:54 GBP/NZD GBP/NZD LONG 5 1.96720 1/16 8:16 1.96100 0.39%
Trade id #127031550
Max drawdown($198)
Time1/16/20 8:16
Quant open5
Worst price1.96122
Drawdown as % of equity-0.39%
($207)
1/15/20 1:57 GBP/CHF GBP/CHF SHORT 8 1.26113 1/15 14:08 1.25592 0.05%
Trade id #127004036
Max drawdown($24)
Time1/15/20 2:38
Quant open8
Worst price1.26142
Drawdown as % of equity-0.05%
$432
1/15/20 1:52 AUD/JPY AUD/JPY LONG 8 75.845 1/15 14:08 75.861 0.38%
Trade id #127004018
Max drawdown($193)
Time1/15/20 8:22
Quant open8
Worst price75.579
Drawdown as % of equity-0.38%
$12
1/15/20 1:54 EUR/AUD EUR/AUD SHORT 6 1.61377 1/15 6:10 1.61800 0.33%
Trade id #127004025
Max drawdown($167)
Time1/15/20 6:10
Quant open6
Worst price1.61781
Drawdown as % of equity-0.33%
($175)
1/15/20 1:51 AUD/CAD AUD/CAD LONG 19 0.90100 1/15 3:20 0.89950 0.36%
Trade id #127004003
Max drawdown($180)
Time1/15/20 3:17
Quant open19
Worst price0.89976
Drawdown as % of equity-0.36%
($218)
1/14/20 1:53 EUR/CHF EUR/CHF SHORT 14 1.08189 1/14 14:22 1.07614 0.06%
Trade id #126979455
Max drawdown($27)
Time1/14/20 1:58
Quant open14
Worst price1.08208
Drawdown as % of equity-0.06%
$833
1/14/20 1:57 NZD/USD NZD/USD SHORT 10 0.66304 1/14 14:21 0.66169 0.07%
Trade id #126979485
Max drawdown($34)
Time1/14/20 3:02
Quant open10
Worst price0.66338
Drawdown as % of equity-0.07%
$135
1/14/20 1:52 AUD/USD AUD/USD LONG 11 0.69048 1/14 14:21 0.69015 0.31%
Trade id #126979443
Max drawdown($155)
Time1/14/20 3:57
Quant open11
Worst price0.68907
Drawdown as % of equity-0.31%
($36)
1/14/20 14:21 USD/CAD USD/CAD LONG 7 1.30531 1/14 14:21 1.30530 0%
Trade id #126993960
Max drawdown($1)
Time1/14/20 14:21
Quant open7
Worst price1.30530
Drawdown as % of equity-0.00%
($1)
1/14/20 1:58 USD/CAD USD/CAD SHORT 7 1.30531 1/14 14:21 1.30532 0.28%
Trade id #126979491
Max drawdown($139)
Time1/14/20 8:28
Quant open7
Worst price1.30791
Drawdown as % of equity-0.28%
($1)
1/14/20 1:55 GBP/CAD GBP/CAD SHORT 7 1.69583 1/14 6:43 1.70000 0.43%
Trade id #126979478
Max drawdown($214)
Time1/14/20 6:39
Quant open7
Worst price1.69983
Drawdown as % of equity-0.43%
($223)
1/13/20 1:53 USD/CHF USD/CHF SHORT 14 0.97319 1/13 14:08 0.97044 0.13%
Trade id #126963491
Max drawdown($63)
Time1/13/20 2:56
Quant open14
Worst price0.97363
Drawdown as % of equity-0.13%
$397
1/13/20 3:46 EUR/NZD EUR/NZD SHORT 9 1.67700 1/13 14:08 1.67920 0.46%
Trade id #126964363
Max drawdown($227)
Time1/13/20 10:52
Quant open9
Worst price1.68082
Drawdown as % of equity-0.46%
($131)
1/10/20 1:45 GBP/CHF GBP/CHF SHORT 7 1.27291 1/10 14:17 1.27059 0.53%
Trade id #126941031
Max drawdown($265)
Time1/10/20 8:03
Quant open7
Worst price1.27660
Drawdown as % of equity-0.53%
$167
1/10/20 1:47 NZD/CHF NZD/CHF SHORT 14 0.64456 1/10 14:17 0.64604 0.53%
Trade id #126941037
Max drawdown($259)
Time1/10/20 11:00
Quant open14
Worst price0.64636
Drawdown as % of equity-0.53%
($213)
1/10/20 1:48 NZD/USD NZD/USD SHORT 18 0.66235 1/10 10:58 0.66400 0.55%
Trade id #126941045
Max drawdown($275)
Time1/10/20 10:58
Quant open18
Worst price0.66388
Drawdown as % of equity-0.55%
($297)
1/10/20 1:44 EUR/NZD EUR/NZD LONG 11 1.67670 1/10 10:57 1.67399 0.36%
Trade id #126941024
Max drawdown($178)
Time1/10/20 10:57
Quant open11
Worst price1.67426
Drawdown as % of equity-0.36%
($198)
1/10/20 1:43 EUR/CAD EUR/CAD LONG 11 1.45069 1/10 8:30 1.44740 0.34%
Trade id #126941011
Max drawdown($171)
Time1/10/20 8:30
Quant open11
Worst price1.44866
Drawdown as % of equity-0.34%
($278)
1/9/20 1:35 EUR/USD EUR/USD SHORT 10 1.11155 1/9 14:31 1.11091 0.1%
Trade id #126925238
Max drawdown($49)
Time1/9/20 2:48
Quant open10
Worst price1.11204
Drawdown as % of equity-0.10%
$64
1/9/20 1:36 GBP/USD GBP/USD SHORT 6 1.31183 1/9 14:31 1.30578 0%
Trade id #126925256
Max drawdown($1)
Time1/9/20 1:37
Quant open6
Worst price1.31185
Drawdown as % of equity-0.00%
$363
1/9/20 1:37 NZD/JPY NZD/JPY LONG 5 72.685 1/9 14:31 72.342 0.35%
Trade id #126925260
Max drawdown($177)
Time1/9/20 12:41
Quant open5
Worst price72.297
Drawdown as % of equity-0.35%
($157)
1/9/20 1:34 EUR/NZD EUR/NZD SHORT 4 1.67117 1/9 7:59 1.68000 0.46%
Trade id #126925217
Max drawdown($232)
Time1/9/20 7:59
Quant open4
Worst price1.67994
Drawdown as % of equity-0.46%
($234)
1/9/20 1:32 AUD/NZD AUD/NZD SHORT 14 1.03354 1/9 5:23 1.03603 0.45%
Trade id #126925200
Max drawdown($227)
Time1/9/20 5:22
Quant open14
Worst price1.03599
Drawdown as % of equity-0.45%
($231)
1/8/20 1:41 GBP/AUD GBP/AUD LONG 5 1.91089 1/8 14:24 1.90686 0.37%
Trade id #126908065
Max drawdown($189)
Time1/8/20 12:45
Quant open5
Worst price1.90538
Drawdown as % of equity-0.37%
($138)

Statistics

  • Strategy began
    9/29/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    110.76
  • Age
    111 days ago
  • What it trades
    Forex
  • # Trades
    307
  • # Profitable
    98
  • % Profitable
    31.90%
  • Avg trade duration
    7.1 hours
  • Max peak-to-valley drawdown
    7.59%
  • drawdown period
    Nov 27, 2019 - Jan 17, 2020
  • Cumul. Return
    -1.6%
  • Avg win
    $233.10
  • Avg loss
    $110.67
  • Model Account Values (Raw)
  • Cash
    $49,714
  • Margin Used
    $0
  • Buying Power
    $49,714
  • Ratios
  • W:L ratio
    0.99:1
  • Sharpe Ratio
    -0.28
  • Sortino Ratio
    -0.47
  • Calmar Ratio
    -0.149
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -13.99%
  • Correlation to SP500
    0.08380
  • Return Percent SP500 (cumu) during strategy life
    12.42%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -5.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.08%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.47%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.016%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.9%
  • 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 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
    212.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    320
  • Popularity (Last 6 weeks)
    860
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    332
  • Popularity (7 days, Percentile 1000 scale)
    604
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $111
  • Avg Win
    $233
  • Sum Trade PL (losers)
    $23,130.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $22,844.000
  • # Winners
    98
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    209
  • % Winners
    31.9%
  • Frequency
  • Avg Position Time (mins)
    426.07
  • Avg Position Time (hrs)
    7.10
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.02
  • Daily leverage (max)
    14.96
  • Regression
  • Alpha
    -0.02
  • Beta
    0.12
  • Treynor Index
    -0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.92
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -72.912
  • 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
    0.301
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.996
  • 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
    0.15739
  • SD
    0.09368
  • Sharpe ratio (Glass type estimate)
    1.68003
  • Sharpe ratio (Hedges UMVUE)
    0.94786
  • df
    2.00000
  • t
    0.84002
  • p
    0.24466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68688
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.72651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.08062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97634
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.82589
  • Upside Potential Ratio
    6.82589
  • Upside part of mean
    0.22261
  • Downside part of mean
    -0.06523
  • Upside SD
    0.08277
  • Downside SD
    0.03261
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.33868
  • Mean of criterion
    0.15739
  • SD of predictor
    0.02372
  • SD of criterion
    0.09368
  • Covariance
    -0.00216
  • r
    -0.97396
  • b (slope, estimate of beta)
    -3.84587
  • a (intercept, estimate of alpha)
    1.45991
  • Mean Square Error
    0.00090
  • DF error
    1.00000
  • t(b)
    -4.29615
  • p(b)
    0.92720
  • t(a)
    4.72345
  • p(a)
    0.06641
  • Lowerbound of 95% confidence interval for beta
    -15.22040
  • Upperbound of 95% confidence interval for beta
    7.52860
  • Lowerbound of 95% confidence interval for alpha
    -2.46729
  • Upperbound of 95% confidence interval for alpha
    5.38712
  • Treynor index (mean / b)
    -0.04092
  • Jensen alpha (a)
    1.45991
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15315
  • SD
    0.09265
  • Sharpe ratio (Glass type estimate)
    1.65302
  • Sharpe ratio (Hedges UMVUE)
    0.93262
  • df
    2.00000
  • t
    0.82651
  • p
    0.24771
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.69225
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.09244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95768
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.66851
  • Upside Potential Ratio
    6.66851
  • Upside part of mean
    0.21876
  • Downside part of mean
    -0.06561
  • Upside SD
    0.08125
  • Downside SD
    0.03280
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.33305
  • Mean of criterion
    0.15315
  • SD of predictor
    0.02303
  • SD of criterion
    0.09265
  • Covariance
    -0.00207
  • r
    -0.97201
  • b (slope, estimate of beta)
    -3.91073
  • a (intercept, estimate of alpha)
    1.45561
  • Mean Square Error
    0.00095
  • DF error
    1.00000
  • t(b)
    -4.13760
  • p(b)
    0.92452
  • t(a)
    4.53815
  • p(a)
    0.06904
  • Lowerbound of 95% confidence interval for beta
    -15.92030
  • Upperbound of 95% confidence interval for beta
    8.09879
  • Lowerbound of 95% confidence interval for alpha
    -2.61990
  • Upperbound of 95% confidence interval for alpha
    5.53113
  • Treynor index (mean / b)
    -0.03916
  • Jensen alpha (a)
    1.45561
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03075
  • Expected Shortfall on VaR
    0.04147
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00990
  • Expected Shortfall on VaR
    0.01863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.98602
  • Quartile 1
    1.00356
  • Median
    1.02109
  • Quartile 3
    1.03015
  • Maximum
    1.03922
  • Mean of quarter 1
    0.98602
  • Mean of quarter 2
    1.02109
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.03922
  • Inter Quartile Range
    0.02660
  • 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
    1.00000
  • Minimum
    0.01398
  • Quartile 1
    0.01398
  • Median
    0.01398
  • Quartile 3
    0.01398
  • Maximum
    0.01398
  • 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)
    0.18522
  • Compounded annual return (geometric extrapolation)
    0.19848
  • Calmar ratio (compounded annual return / max draw down)
    14.19950
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.78600
  • 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
    -0.02847
  • SD
    0.13259
  • Sharpe ratio (Glass type estimate)
    -0.21471
  • Sharpe ratio (Hedges UMVUE)
    -0.21258
  • df
    76.00000
  • t
    -0.11640
  • p
    0.54618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.82963
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.82811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40295
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33664
  • Upside Potential Ratio
    8.13861
  • Upside part of mean
    0.68825
  • Downside part of mean
    -0.71672
  • Upside SD
    0.10101
  • Downside SD
    0.08457
  • N nonnegative terms
    32.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.35783
  • Mean of criterion
    -0.02847
  • SD of predictor
    0.09299
  • SD of criterion
    0.13259
  • Covariance
    0.00052
  • r
    0.04191
  • b (slope, estimate of beta)
    0.05976
  • a (intercept, estimate of alpha)
    -0.05000
  • Mean Square Error
    0.01778
  • DF error
    75.00000
  • t(b)
    0.36329
  • p(b)
    0.35871
  • t(a)
    -0.19710
  • p(a)
    0.57786
  • Lowerbound of 95% confidence interval for beta
    -0.26794
  • Upperbound of 95% confidence interval for beta
    0.38746
  • Lowerbound of 95% confidence interval for alpha
    -0.55373
  • Upperbound of 95% confidence interval for alpha
    0.45402
  • Treynor index (mean / b)
    -0.47638
  • Jensen alpha (a)
    -0.04985
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03711
  • SD
    0.13220
  • Sharpe ratio (Glass type estimate)
    -0.28070
  • Sharpe ratio (Hedges UMVUE)
    -0.27792
  • df
    76.00000
  • t
    -0.15218
  • p
    0.56027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.89553
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.89357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33772
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43573
  • Upside Potential Ratio
    8.02151
  • Upside part of mean
    0.68314
  • Downside part of mean
    -0.72025
  • Upside SD
    0.10001
  • Downside SD
    0.08516
  • N nonnegative terms
    32.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.35328
  • Mean of criterion
    -0.03711
  • SD of predictor
    0.09306
  • SD of criterion
    0.13220
  • Covariance
    0.00051
  • r
    0.04149
  • b (slope, estimate of beta)
    0.05894
  • a (intercept, estimate of alpha)
    -0.05793
  • Mean Square Error
    0.01768
  • DF error
    75.00000
  • t(b)
    0.35965
  • p(b)
    0.36006
  • t(a)
    -0.22989
  • p(a)
    0.59060
  • Lowerbound of 95% confidence interval for beta
    -0.26755
  • Upperbound of 95% confidence interval for beta
    0.38544
  • Lowerbound of 95% confidence interval for alpha
    -0.55996
  • Upperbound of 95% confidence interval for alpha
    0.44409
  • Treynor index (mean / b)
    -0.62956
  • Jensen alpha (a)
    -0.05793
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01348
  • Expected Shortfall on VaR
    0.01684
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00696
  • Expected Shortfall on VaR
    0.01284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.97821
  • Quartile 1
    0.99592
  • Median
    0.99969
  • Quartile 3
    1.00263
  • Maximum
    1.02698
  • Mean of quarter 1
    0.99146
  • Mean of quarter 2
    0.99820
  • Mean of quarter 3
    1.00076
  • Mean of quarter 4
    1.01002
  • Inter Quartile Range
    0.00671
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02597
  • Mean of outliers low
    0.97950
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.06494
  • Mean of outliers high
    1.02127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32378
  • VaR(95%) (moments method)
    0.00946
  • Expected Shortfall (moments method)
    0.01584
  • Extreme Value Index (regression method)
    0.27670
  • VaR(95%) (regression method)
    0.00860
  • Expected Shortfall (regression method)
    0.01335
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00134
  • Median
    0.00834
  • Quartile 3
    0.01615
  • Maximum
    0.06152
  • Mean of quarter 1
    0.00033
  • Mean of quarter 2
    0.00528
  • Mean of quarter 3
    0.01255
  • Mean of quarter 4
    0.04064
  • Inter Quartile Range
    0.01482
  • 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
    0.14286
  • Mean of outliers high
    0.06152
  • 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)
    -0.00919
  • Compounded annual return (geometric extrapolation)
    -0.00916
  • Calmar ratio (compounded annual return / max draw down)
    -0.14888
  • Compounded annual return / average of 25% largest draw downs
    -0.22539
  • Compounded annual return / Expected Shortfall lognormal
    -0.54391
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -265841000
  • Max Equity Drawdown (num days)
    51

Strategy Description

Our team developed this strategy within C2Star requirements: drawdown up to 10%, stable equity, annual return > 24%

It is developed on the Wait4Trade team’s own technology:
1. Only Intraday.
2. A portfolio of 24 currency pairs.
3. Position volume management for each trade.
4. Risk management for each trade.
5. Two strategies for entering trades to stabilize their overall performance (from November 11, 2019). The trade entry is discretionary; the trader is enhanced with pre-processed market data based on machine learning technology.

Although the trade entry is discretionary, the concepts of entry/exit and position volume management was backtested on a 10 years history. More details here: https://forums.collective2.com/t/trading-strategies-from-wait4trade-team/13740.

The minimum investment horizon is 2 months.
My thread about evaluating trading strategies: https://forums.collective2.com/t/how-to-evaluate-a-trading-strategy-in-the-right-way-a-lot-of-experience-in-one-topic/13388/119
When this strategy completes 300 trades, I will analyze it there.
Any questions in a thread or PM.
Wait4Trade team is open to cooperation.

Summary Statistics

Strategy began
2019-09-29
Suggested Minimum Capital
$50,000
# Trades
307
# Profitable
98
% Profitable
31.9%
Correlation S&P500
0.084
Sharpe Ratio
-0.28
Sortino Ratio
-0.47
Beta
0.12
Alpha
-0.02
Leverage
6.02 Average
14.96 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.

C2Star strategies cannot be made private.

To make this strategy private, you need to first withdraw from C2Star program.

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.