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

Delayed Gratification
(127690643)

Created by: JacquiWhite8 JacquiWhite8
Started: 02/2020
Forex
Last trade: 1,238 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 $129.00 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.

-2.0%
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.

(54.3%)
Max Drawdown
195
Num Trades
44.1%
Win Trades
1.0 : 1
Profit Factor
8.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +3.6%+7.3%+35.9%(4.7%)+35.1%(9%)(12.5%)(17.7%)(8.9%)(20.8%)  -  (8%)
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.

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 54 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1343 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/27/20 21:35 GBP/USD GBP/USD SHORT 60 1.30401 11/6 6:24 1.31467 15.28%
Trade id #131932004
Max drawdown($6,978)
Time11/6/20 6:10
Quant open60
Worst price1.31564
Drawdown as % of equity-15.28%
($6,396)
10/11/20 19:08 GBP/USD GBP/USD LONG 69 1.30340 10/13 14:02 1.29261 14.06%
Trade id #131631934
Max drawdown($7,686)
Time10/13/20 14:01
Quant open69
Worst price1.29226
Drawdown as % of equity-14.06%
($7,445)
10/8/20 12:27 GBP/USD GBP/USD LONG 60 1.29408 10/9 15:06 1.30405 3.21%
Trade id #131595249
Max drawdown($1,722)
Time10/8/20 17:04
Quant open60
Worst price1.29121
Drawdown as % of equity-3.21%
$5,982
10/8/20 8:50 GBP/USD GBP/USD SHORT 60 1.29139 10/8 12:27 1.29406 3.92%
Trade id #131587293
Max drawdown($2,100)
Time10/8/20 12:08
Quant open60
Worst price1.29489
Drawdown as % of equity-3.92%
($1,602)
10/7/20 13:33 GBP/USD GBP/USD LONG 60 1.29165 10/8 8:50 1.29135 2.6%
Trade id #131570715
Max drawdown($1,512)
Time10/8/20 6:59
Quant open60
Worst price1.28913
Drawdown as % of equity-2.60%
($180)
10/6/20 18:53 GBP/USD GBP/USD SHORT 60 1.28758 10/7 13:33 1.29171 5.8%
Trade id #131552452
Max drawdown($3,222)
Time10/7/20 3:58
Quant open60
Worst price1.29295
Drawdown as % of equity-5.80%
($2,478)
10/1/20 9:46 GBP/USD GBP/USD SHORT 60 1.28856 10/2 3:31 1.29257 4.81%
Trade id #131458534
Max drawdown($2,940)
Time10/2/20 3:27
Quant open60
Worst price1.29346
Drawdown as % of equity-4.81%
($2,406)
9/30/20 10:09 GBP/USD GBP/USD LONG 60 1.28796 10/1 9:46 1.28858 5.64%
Trade id #131436191
Max drawdown($3,612)
Time10/1/20 4:59
Quant open60
Worst price1.28194
Drawdown as % of equity-5.64%
$372
9/30/20 7:40 GBP/USD GBP/USD SHORT 60 1.28345 9/30 10:09 1.28783 4.7%
Trade id #131432616
Max drawdown($2,838)
Time9/30/20 10:08
Quant open60
Worst price1.28818
Drawdown as % of equity-4.70%
($2,628)
9/28/20 12:29 GBP/USD GBP/USD LONG 60 1.28389 9/30 7:40 1.28339 3.19%
Trade id #131397737
Max drawdown($2,016)
Time9/30/20 3:27
Quant open60
Worst price1.28053
Drawdown as % of equity-3.19%
($300)
9/18/20 8:46 USD/CAD USD/CAD LONG 60 1.31879 9/18 15:15 1.31982 1.38%
Trade id #131239712
Max drawdown($859)
Time9/18/20 11:30
Quant open60
Worst price1.31690
Drawdown as % of equity-1.38%
$468
9/17/20 15:47 USD/CAD USD/CAD SHORT 60 1.31613 9/18 8:46 1.31891 2.68%
Trade id #131229609
Max drawdown($1,718)
Time9/18/20 8:30
Quant open60
Worst price1.31991
Drawdown as % of equity-2.68%
($1,265)
9/16/20 15:33 USD/CAD USD/CAD LONG 70 1.31842 9/17 15:47 1.31617 2.05%
Trade id #131208136
Max drawdown($1,320)
Time9/17/20 15:43
Quant open70
Worst price1.31594
Drawdown as % of equity-2.05%
($1,197)
9/16/20 11:41 USD/CAD USD/CAD SHORT 70 1.31654 9/16 15:33 1.31846 1.63%
Trade id #131202252
Max drawdown($1,067)
Time9/16/20 15:33
Quant open70
Worst price1.31855
Drawdown as % of equity-1.63%
($1,020)
9/15/20 10:16 USD/CAD USD/CAD LONG 70 1.31703 9/16 11:41 1.31651 1.15%
Trade id #131180861
Max drawdown($765)
Time9/16/20 5:40
Quant open70
Worst price1.31559
Drawdown as % of equity-1.15%
($277)
9/14/20 22:00 USD/CAD USD/CAD SHORT 70 1.31607 9/15 10:16 1.31702 2.05%
Trade id #131171728
Max drawdown($1,385)
Time9/15/20 0:00
Quant open70
Worst price1.31868
Drawdown as % of equity-2.05%
($505)
9/14/20 11:39 USD/CAD USD/CAD LONG 70 1.31724 9/14 22:00 1.31607 1.12%
Trade id #131161768
Max drawdown($755)
Time9/14/20 22:00
Quant open70
Worst price1.31582
Drawdown as % of equity-1.12%
($622)
9/14/20 7:27 USD/CAD USD/CAD SHORT 70 1.31708 9/14 11:39 1.31724 1.11%
Trade id #131156106
Max drawdown($754)
Time9/14/20 10:47
Quant open70
Worst price1.31850
Drawdown as % of equity-1.11%
($85)
9/14/20 5:32 USD/CAD USD/CAD LONG 70 1.31809 9/14 7:27 1.31708 1.09%
Trade id #131154893
Max drawdown($744)
Time9/14/20 7:23
Quant open70
Worst price1.31669
Drawdown as % of equity-1.09%
($537)
9/13/20 22:09 USD/CAD USD/CAD SHORT 70 1.31656 9/14 5:32 1.31817 2.2%
Trade id #131150880
Max drawdown($1,525)
Time9/14/20 0:00
Quant open70
Worst price1.31943
Drawdown as % of equity-2.20%
($855)
9/11/20 7:56 USD/CAD USD/CAD LONG 70 1.31738 9/13 22:09 1.31656 0.69%
Trade id #131127476
Max drawdown($483)
Time9/13/20 22:09
Quant open70
Worst price1.31647
Drawdown as % of equity-0.69%
($436)
9/11/20 1:46 USD/CAD USD/CAD SHORT 70 1.31699 9/11 7:56 1.31737 0.59%
Trade id #131122080
Max drawdown($409)
Time9/11/20 5:02
Quant open70
Worst price1.31776
Drawdown as % of equity-0.59%
($202)
9/10/20 12:39 USD/CAD USD/CAD LONG 80 1.31795 9/11 1:43 1.31698 1.3%
Trade id #131112731
Max drawdown($914)
Time9/10/20 13:23
Quant open80
Worst price1.31645
Drawdown as % of equity-1.30%
($592)
9/8/20 9:46 USD/CAD USD/CAD SHORT 80 1.31762 9/10 12:39 1.31796 4.44%
Trade id #131060412
Max drawdown($3,048)
Time9/9/20 0:00
Quant open55
Worst price1.32594
Drawdown as % of equity-4.44%
($208)
9/7/20 14:06 USD/CAD USD/CAD LONG 60 1.30957 9/8 8:42 1.31662 0.61%
Trade id #131039206
Max drawdown($416)
Time9/8/20 2:08
Quant open60
Worst price1.30865
Drawdown as % of equity-0.61%
$3,213
9/7/20 10:47 USD/CAD USD/CAD SHORT 60 1.30818 9/7 14:06 1.30959 0.98%
Trade id #131036351
Max drawdown($664)
Time9/7/20 13:44
Quant open60
Worst price1.30963
Drawdown as % of equity-0.98%
($646)
9/7/20 2:15 USD/CAD USD/CAD LONG 60 1.31050 9/7 10:47 1.30816 1.67%
Trade id #131029894
Max drawdown($1,141)
Time9/7/20 10:47
Quant open60
Worst price1.30801
Drawdown as % of equity-1.67%
($1,073)
9/4/20 14:47 USD/CAD USD/CAD SHORT 60 1.30570 9/7 2:15 1.31055 3.33%
Trade id #131011190
Max drawdown($2,337)
Time9/7/20 2:08
Quant open60
Worst price1.31080
Drawdown as % of equity-3.33%
($2,221)
9/4/20 4:36 GBP/JPY GBP/JPY LONG 70 141.239 9/4 8:05 140.881 4.59%
Trade id #130994801
Max drawdown($3,308)
Time9/4/20 7:58
Quant open70
Worst price140.737
Drawdown as % of equity-4.59%
($2,359)
9/4/20 4:30 GBP/JPY GBP/JPY SHORT 70 141.150 9/4 4:36 141.238 1%
Trade id #130994646
Max drawdown($744)
Time9/4/20 4:35
Quant open70
Worst price141.263
Drawdown as % of equity-1.00%
($580)

Statistics

  • Strategy began
    2/25/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1489.92
  • Age
    50 months ago
  • What it trades
    Forex
  • # Trades
    195
  • # Profitable
    86
  • % Profitable
    44.10%
  • Avg trade duration
    14.2 hours
  • Max peak-to-valley drawdown
    54.26%
  • drawdown period
    July 02, 2020 - Nov 05, 2020
  • Annual Return (Compounded)
    -2.0%
  • Avg win
    $1,569
  • Avg loss
    $1,262
  • Model Account Values (Raw)
  • Cash
    $47,444
  • Margin Used
    $0
  • Buying Power
    $47,444
  • Ratios
  • W:L ratio
    0.98:1
  • Sharpe Ratio
    -0.07
  • Sortino Ratio
    -0.11
  • Calmar Ratio
    -0.092
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -75.35%
  • Correlation to SP500
    -0.00100
  • Return Percent SP500 (cumu) during strategy life
    67.78%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.0%
  • Slump
  • Current Slump as Pcnt Equity
    116.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • 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)
    -0.020%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.3%
  • 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
    $1,262
  • Avg Win
    $1,570
  • Sum Trade PL (losers)
    $137,571.000
  • Age
  • Num Months filled monthly returns table
    50
  • Win / Loss
  • Sum Trade PL (winners)
    $135,018.000
  • # Winners
    86
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    109
  • % Winners
    44.1%
  • Frequency
  • Avg Position Time (mins)
    849.52
  • Avg Position Time (hrs)
    14.16
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    1235
  • Leverage
  • Daily leverage (average)
    8.35
  • Daily leverage (max)
    16.63
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    5.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.94
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -26.022
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.279
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.263
  • Hold-and-Hope Ratio
    -0.038
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02125
  • SD
    0.46266
  • Sharpe ratio (Glass type estimate)
    0.04593
  • Sharpe ratio (Hedges UMVUE)
    0.04322
  • df
    13.00000
  • t
    0.04961
  • p
    0.49124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85974
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85787
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07170
  • Upside Potential Ratio
    1.94057
  • Upside part of mean
    0.57513
  • Downside part of mean
    -0.55388
  • Upside SD
    0.33311
  • Downside SD
    0.29637
  • N nonnegative terms
    4.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.44022
  • Mean of criterion
    0.02125
  • SD of predictor
    0.37229
  • SD of criterion
    0.46266
  • Covariance
    -0.03684
  • r
    -0.21386
  • b (slope, estimate of beta)
    -0.26577
  • a (intercept, estimate of alpha)
    0.13825
  • Mean Square Error
    0.22128
  • DF error
    12.00000
  • t(b)
    -0.75838
  • p(b)
    0.60693
  • t(a)
    0.29922
  • p(a)
    0.45697
  • Lowerbound of 95% confidence interval for beta
    -1.02933
  • Upperbound of 95% confidence interval for beta
    0.49779
  • Lowerbound of 95% confidence interval for alpha
    -0.86843
  • Upperbound of 95% confidence interval for alpha
    1.14493
  • Treynor index (mean / b)
    -0.07996
  • Jensen alpha (a)
    0.13825
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07745
  • SD
    0.46165
  • Sharpe ratio (Glass type estimate)
    -0.16777
  • Sharpe ratio (Hedges UMVUE)
    -0.15787
  • df
    13.00000
  • t
    -0.18121
  • p
    0.53194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97345
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65772
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.23648
  • Upside Potential Ratio
    1.60365
  • Upside part of mean
    0.52522
  • Downside part of mean
    -0.60267
  • Upside SD
    0.30188
  • Downside SD
    0.32751
  • N nonnegative terms
    4.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.36986
  • Mean of criterion
    -0.07745
  • SD of predictor
    0.36691
  • SD of criterion
    0.46165
  • Covariance
    -0.03767
  • r
    -0.22239
  • b (slope, estimate of beta)
    -0.27981
  • a (intercept, estimate of alpha)
    0.02604
  • Mean Square Error
    0.21946
  • DF error
    12.00000
  • t(b)
    -0.79017
  • p(b)
    0.61120
  • t(a)
    0.05748
  • p(a)
    0.49171
  • Lowerbound of 95% confidence interval for beta
    -1.05136
  • Upperbound of 95% confidence interval for beta
    0.49174
  • Lowerbound of 95% confidence interval for alpha
    -0.96110
  • Upperbound of 95% confidence interval for alpha
    1.01318
  • Treynor index (mean / b)
    0.27679
  • Jensen alpha (a)
    0.02604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20201
  • Expected Shortfall on VaR
    0.24433
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13140
  • Expected Shortfall on VaR
    0.23247
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.77143
  • Quartile 1
    0.93971
  • Median
    1.00000
  • Quartile 3
    1.06152
  • Maximum
    1.25258
  • Mean of quarter 1
    0.85522
  • Mean of quarter 2
    0.98540
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.17007
  • Inter Quartile Range
    0.12181
  • 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
    0.07143
  • Mean of outliers high
    1.25258
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.81341
  • VaR(95%) (moments method)
    0.13716
  • Expected Shortfall (moments method)
    0.13717
  • Extreme Value Index (regression method)
    -0.75431
  • VaR(95%) (regression method)
    0.22627
  • Expected Shortfall (regression method)
    0.25349
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.49331
  • Quartile 1
    0.49331
  • Median
    0.49331
  • Quartile 3
    0.49331
  • Maximum
    0.49331
  • 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)
    -0.04814
  • Compounded annual return (geometric extrapolation)
    -0.04834
  • Calmar ratio (compounded annual return / max draw down)
    -0.09798
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.19783
  • 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
    -0.00171
  • SD
    0.38928
  • Sharpe ratio (Glass type estimate)
    -0.00440
  • Sharpe ratio (Hedges UMVUE)
    -0.00439
  • df
    307.00000
  • t
    -0.00477
  • p
    0.50190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80329
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81208
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80329
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00649
  • Upside Potential Ratio
    5.98631
  • Upside part of mean
    1.58070
  • Downside part of mean
    -1.58242
  • Upside SD
    0.28517
  • Downside SD
    0.26405
  • N nonnegative terms
    73.00000
  • N negative terms
    235.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    308.00000
  • Mean of predictor
    0.47368
  • Mean of criterion
    -0.00171
  • SD of predictor
    0.40361
  • SD of criterion
    0.38928
  • Covariance
    0.00088
  • r
    0.00559
  • b (slope, estimate of beta)
    0.00540
  • a (intercept, estimate of alpha)
    -0.00400
  • Mean Square Error
    0.15203
  • DF error
    306.00000
  • t(b)
    0.09786
  • p(b)
    0.46105
  • t(a)
    -0.01184
  • p(a)
    0.50472
  • Lowerbound of 95% confidence interval for beta
    -0.10310
  • Upperbound of 95% confidence interval for beta
    0.11389
  • Lowerbound of 95% confidence interval for alpha
    -0.71377
  • Upperbound of 95% confidence interval for alpha
    0.70523
  • Treynor index (mean / b)
    -0.31763
  • Jensen alpha (a)
    -0.00427
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07707
  • SD
    0.38882
  • Sharpe ratio (Glass type estimate)
    -0.19823
  • Sharpe ratio (Hedges UMVUE)
    -0.19774
  • df
    307.00000
  • t
    -0.21493
  • p
    0.58502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00583
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61001
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28218
  • Upside Potential Ratio
    5.64419
  • Upside part of mean
    1.54164
  • Downside part of mean
    -1.61871
  • Upside SD
    0.27587
  • Downside SD
    0.27314
  • N nonnegative terms
    73.00000
  • N negative terms
    235.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    308.00000
  • Mean of predictor
    0.39182
  • Mean of criterion
    -0.07707
  • SD of predictor
    0.40485
  • SD of criterion
    0.38882
  • Covariance
    0.00031
  • r
    0.00199
  • b (slope, estimate of beta)
    0.00191
  • a (intercept, estimate of alpha)
    -0.07782
  • Mean Square Error
    0.15167
  • DF error
    306.00000
  • t(b)
    0.03474
  • p(b)
    0.48615
  • t(a)
    -0.21627
  • p(a)
    0.58554
  • Lowerbound of 95% confidence interval for beta
    -0.10613
  • Upperbound of 95% confidence interval for beta
    0.10994
  • Lowerbound of 95% confidence interval for alpha
    -0.78589
  • Upperbound of 95% confidence interval for alpha
    0.63025
  • Treynor index (mean / b)
    -40.40850
  • Jensen alpha (a)
    -0.07782
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03902
  • Expected Shortfall on VaR
    0.04858
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01786
  • Expected Shortfall on VaR
    0.03686
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    308.00000
  • Minimum
    0.89076
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.11226
  • Mean of quarter 1
    0.97616
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02424
  • Inter Quartile Range
    0.00000
  • Number outliers low
    75.00000
  • Percentage of outliers low
    0.24351
  • Mean of outliers low
    0.97553
  • Number of outliers high
    74.00000
  • Percentage of outliers high
    0.24026
  • Mean of outliers high
    1.02522
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.74515
  • VaR(95%) (moments method)
    0.00277
  • Expected Shortfall (moments method)
    0.00279
  • Extreme Value Index (regression method)
    -0.17238
  • VaR(95%) (regression method)
    0.02132
  • Expected Shortfall (regression method)
    0.03111
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00188
  • Quartile 1
    0.02104
  • Median
    0.03269
  • Quartile 3
    0.05531
  • Maximum
    0.52347
  • Mean of quarter 1
    0.00828
  • Mean of quarter 2
    0.02916
  • Mean of quarter 3
    0.03961
  • Mean of quarter 4
    0.25322
  • Inter Quartile Range
    0.03427
  • 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
    0.34048
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.52870
  • VaR(95%) (moments method)
    0.21736
  • Expected Shortfall (moments method)
    0.27126
  • Extreme Value Index (regression method)
    1.21527
  • VaR(95%) (regression method)
    0.50777
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04777
  • Compounded annual return (geometric extrapolation)
    -0.04798
  • Calmar ratio (compounded annual return / max draw down)
    -0.09165
  • Compounded annual return / average of 25% largest draw downs
    -0.18948
  • Compounded annual return / Expected Shortfall lognormal
    -0.98754
  • 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
    -0.45637
  • SD
    0.21439
  • Sharpe ratio (Glass type estimate)
    -2.12864
  • Sharpe ratio (Hedges UMVUE)
    -2.11634
  • df
    130.00000
  • t
    -1.50518
  • p
    0.56544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.90850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.65921
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.90006
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66738
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.18252
  • Upside Potential Ratio
    0.42287
  • Upside part of mean
    0.08842
  • Downside part of mean
    -0.54479
  • Upside SD
    0.05182
  • Downside SD
    0.20910
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.95006
  • Mean of criterion
    -0.45637
  • SD of predictor
    0.39779
  • SD of criterion
    0.21439
  • Covariance
    -0.00467
  • r
    -0.05480
  • b (slope, estimate of beta)
    -0.02954
  • a (intercept, estimate of alpha)
    -0.42831
  • Mean Square Error
    0.04618
  • DF error
    129.00000
  • t(b)
    -0.62338
  • p(b)
    0.53487
  • t(a)
    -1.39409
  • p(a)
    0.57737
  • Lowerbound of 95% confidence interval for beta
    -0.12328
  • Upperbound of 95% confidence interval for beta
    0.06421
  • Lowerbound of 95% confidence interval for alpha
    -1.03617
  • Upperbound of 95% confidence interval for alpha
    0.17956
  • Treynor index (mean / b)
    15.45070
  • Jensen alpha (a)
    -0.42831
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.48095
  • SD
    0.22423
  • Sharpe ratio (Glass type estimate)
    -2.14490
  • Sharpe ratio (Hedges UMVUE)
    -2.13251
  • df
    130.00000
  • t
    -1.51668
  • p
    0.56593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.92495
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64314
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.91641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65139
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.19108
  • Upside Potential Ratio
    0.39681
  • Upside part of mean
    0.08710
  • Downside part of mean
    -0.56805
  • Upside SD
    0.05095
  • Downside SD
    0.21951
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.87029
  • Mean of criterion
    -0.48095
  • SD of predictor
    0.39644
  • SD of criterion
    0.22423
  • Covariance
    -0.00506
  • r
    -0.05692
  • b (slope, estimate of beta)
    -0.03219
  • a (intercept, estimate of alpha)
    -0.45293
  • Mean Square Error
    0.05050
  • DF error
    129.00000
  • t(b)
    -0.64750
  • p(b)
    0.53621
  • t(a)
    -1.41210
  • p(a)
    0.57835
  • VAR (95 Confidence Intrvl)
    0.03900
  • Lowerbound of 95% confidence interval for beta
    -0.13056
  • Upperbound of 95% confidence interval for beta
    0.06618
  • Lowerbound of 95% confidence interval for alpha
    -1.08755
  • Upperbound of 95% confidence interval for alpha
    0.18168
  • Treynor index (mean / b)
    14.93970
  • Jensen alpha (a)
    -0.45293
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02432
  • Expected Shortfall on VaR
    0.02994
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00716
  • Expected Shortfall on VaR
    0.01603
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89076
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03573
  • Mean of quarter 1
    0.99216
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00135
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.93534
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02221
  • 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)
    -0.74394
  • VaR(95%) (regression method)
    -0.03192
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.23020
  • Quartile 1
    0.23020
  • Median
    0.23020
  • Quartile 3
    0.23020
  • Maximum
    0.23020
  • 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?
    -361023000
  • Max Equity Drawdown (num days)
    126
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.40540
  • Compounded annual return (geometric extrapolation)
    -0.36431
  • Calmar ratio (compounded annual return / max draw down)
    -1.58257
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -12.16810

Strategy Description

Thank you so much for taking the time out to look at my strategy. Just to let you know I have been trading for 15 years. In my experience of more than a decade and a half I have learned many things in this foreign exchange field. I have learned that consistency, leverage, discipline are the keys to any strategy. I know more than anything that being profitable but putting to much at risk to make the profit that I needed to make is detrimental to a trader and his strategy. What separates me apart from every other trader in the world and on this platform is that I expect to be profitable by following a strict strategy that I feel I have perfected over the years.


I am trading only one currency pair and one trade at a time so that I can concentrate on this specific trading style. The most I will do on any position is probably 40. I try to stay at 30 lots. If you want to scale it down when you start you’re account just divide you’re Account by 2500 and trade it. The main thing about my system is that I done well with my algorithm that has taken me almost 9 years to perfect and come up with. So for me I’m not surprised when I’m profitable at all. As you can see, the main part of trading is keeping you’re losses at a minimum.

The only month I was negative was only a 4% Loss that month which affords me the opportunity to make it back while also sticking to the script. If you have any other questions please let me know. I think what truly separates me from many systems is the fact that I expect to make money regularly unless I do not stick to the script. Give me a chance and you will see that I am the best.

Summary Statistics

Strategy began
2020-02-25
Suggested Minimum Capital
$45,000
# Trades
195
# Profitable
86
% Profitable
44.1%
Correlation S&P500
-0.001
Sharpe Ratio
-0.07
Sortino Ratio
-0.11
Beta
-0.00
Alpha
-0.01
Leverage
8.35 Average
16.63 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.

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Suggested Minimum Capital

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