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FX Reversals
(122042540)

Created by: FXEdge FXEdge
Started: 01/2019
Forex
Last trade: Today
Trading style: Equity Short-term Reversal

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 $199.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
42.3%
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.

(18.5%)
Max Drawdown
47
Num Trades
95.7%
Win Trades
3.5 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+3.0%+20.0%+11.3%(2%)+8.6%+2.2%(4.9%)                              +42.3%

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 38 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/16/19 3:46 EUR/GBP EUR/GBP SHORT 100 0.90162 7/18 4:32 0.90056 1.24%
Trade id #124471639
Max drawdown($4,382)
Time7/16/19 3:46
Quant open100
Worst price0.90514
Drawdown as % of equity-1.24%
$1,317
7/8/19 14:59 GBP/USD GBP/USD LONG 100 1.25155 7/10 22:58 1.25245 2.06%
Trade id #124376740
Max drawdown($7,620)
Time7/8/19 14:59
Quant open100
Worst price1.24393
Drawdown as % of equity-2.06%
$905
6/30/19 18:24 USD/CAD USD/CAD LONG 100 1.30866 7/1 11:25 1.31194 0.34%
Trade id #124281070
Max drawdown($1,256)
Time6/30/19 18:24
Quant open100
Worst price1.30701
Drawdown as % of equity-0.34%
$2,499
6/20/19 1:58 AUD/CHF AUD/CHF LONG 100 0.68265 6/26 6:04 0.68277 2.11%
Trade id #124155490
Max drawdown($7,965)
Time6/20/19 1:58
Quant open100
Worst price0.67488
Drawdown as % of equity-2.11%
$123
6/24/19 15:03 USD/CHF USD/CHF LONG 100 0.97240 6/25 23:54 0.97563 0.87%
Trade id #124207873
Max drawdown($3,095)
Time6/24/19 15:03
Quant open100
Worst price0.96938
Drawdown as % of equity-0.87%
$3,308
6/18/19 8:37 EUR/GBP EUR/GBP SHORT 100 0.89449 6/18 10:53 0.89292 0.08%
Trade id #124123057
Max drawdown($300)
Time6/18/19 8:48
Quant open-100
Worst price0.89473
Drawdown as % of equity-0.08%
$1,966
6/17/19 13:08 EUR/GBP EUR/GBP SHORT 100 0.89387 6/18 5:04 0.89260 1.21%
Trade id #124112326
Max drawdown($4,483)
Time6/17/19 21:57
Quant open-100
Worst price0.89745
Drawdown as % of equity-1.21%
$1,591
6/13/19 21:48 EUR/NZD EUR/NZD SHORT 100 1.72492 6/17 4:03 1.72318 0.46%
Trade id #124077229
Max drawdown($1,757)
Time6/14/19 13:59
Quant open-100
Worst price1.72762
Drawdown as % of equity-0.46%
$1,133
6/11/19 0:37 EUR/GBP EUR/GBP SHORT 100 0.89229 6/12 6:16 0.88861 0.33%
Trade id #124020000
Max drawdown($1,210)
Time6/11/19 3:19
Quant open-100
Worst price0.89324
Drawdown as % of equity-0.33%
$4,690
6/9/19 22:00 GBP/CAD GBP/CAD LONG 100 1.68763 6/11 12:19 1.69216 1.69%
Trade id #123996704
Max drawdown($6,114)
Time6/10/19 7:56
Quant open100
Worst price1.67950
Drawdown as % of equity-1.69%
$3,407
6/6/19 17:44 EUR/GBP EUR/GBP SHORT 100 0.88822 6/7 3:39 0.88565 0.08%
Trade id #123969620
Max drawdown($279)
Time6/6/19 21:03
Quant open-100
Worst price0.88844
Drawdown as % of equity-0.08%
$3,266
6/3/19 8:28 EUR/GBP EUR/GBP SHORT 100 0.88692 6/5 17:06 0.88403 1.16%
Trade id #123909715
Max drawdown($4,174)
Time6/4/19 3:57
Quant open-100
Worst price0.89021
Drawdown as % of equity-1.16%
$3,667
6/3/19 8:01 GBP/AUD GBP/AUD LONG 200 1.81341 6/3 9:06 1.81438 0.28%
Trade id #123909459
Max drawdown($1,002)
Time6/3/19 8:39
Quant open200
Worst price1.81269
Drawdown as % of equity-0.28%
$1,350
5/30/19 16:37 NZD/USD NZD/USD LONG 100 0.65081 5/31 14:15 0.65416 0.29%
Trade id #123880519
Max drawdown($1,040)
Time5/31/19 7:07
Quant open100
Worst price0.64977
Drawdown as % of equity-0.29%
$3,350
5/30/19 6:40 EUR/USD EUR/USD LONG 100 1.11363 5/31 7:03 1.11436 0.55%
Trade id #123871012
Max drawdown($2,030)
Time5/30/19 9:42
Quant open100
Worst price1.11160
Drawdown as % of equity-0.55%
$730
5/28/19 16:48 EUR/JPY EUR/JPY LONG 100 122.035 5/30 6:41 122.167 1.14%
Trade id #123850882
Max drawdown($4,147)
Time5/29/19 11:55
Quant open100
Worst price121.580
Drawdown as % of equity-1.14%
$1,203
5/28/19 3:55 EUR/GBP EUR/GBP SHORT 100 0.88334 5/28 21:30 0.88269 0.28%
Trade id #123839557
Max drawdown($1,037)
Time5/28/19 6:02
Quant open-100
Worst price0.88416
Drawdown as % of equity-0.28%
$823
5/16/19 15:28 NZD/USD NZD/USD LONG 100 0.65351 5/24 11:16 0.65494 1.53%
Trade id #123699939
Max drawdown($5,350)
Time5/23/19 6:47
Quant open100
Worst price0.64816
Drawdown as % of equity-1.53%
$1,430
5/22/19 2:56 GBP/USD GBP/USD LONG 100 1.26793 5/24 5:07 1.27031 2.12%
Trade id #123763049
Max drawdown($7,420)
Time5/23/19 3:05
Quant open100
Worst price1.26051
Drawdown as % of equity-2.12%
$2,380
5/22/19 1:43 EUR/AUD EUR/AUD SHORT 100 1.62261 5/23 9:11 1.61800 0.24%
Trade id #123762440
Max drawdown($831)
Time5/22/19 21:38
Quant open-100
Worst price1.62382
Drawdown as % of equity-0.24%
$3,170
5/21/19 0:26 EUR/AUD EUR/AUD SHORT 100 1.62183 5/21 7:08 1.62123 0.23%
Trade id #123747113
Max drawdown($831)
Time5/21/19 2:12
Quant open-100
Worst price1.62304
Drawdown as % of equity-0.23%
$413
5/17/19 1:49 GBP/JPY GBP/JPY LONG 100 140.191 5/19 20:18 140.300 1.65%
Trade id #123705228
Max drawdown($5,843)
Time5/17/19 7:52
Quant open100
Worst price139.547
Drawdown as % of equity-1.65%
$989
5/15/19 21:38 EUR/NZD EUR/NZD SHORT 100 1.71084 5/16 15:52 1.70976 0.27%
Trade id #123688113
Max drawdown($961)
Time5/16/19 2:07
Quant open-100
Worst price1.71231
Drawdown as % of equity-0.27%
$706
5/14/19 5:02 EUR/AUD EUR/AUD SHORT 100 1.61855 5/14 11:27 1.61313 0.2%
Trade id #123657984
Max drawdown($694)
Time5/14/19 5:32
Quant open-100
Worst price1.61955
Drawdown as % of equity-0.20%
$3,765
5/13/19 17:26 USD/JPY USD/JPY LONG 100 109.264 5/13 21:53 109.580 0.31%
Trade id #123653325
Max drawdown($1,085)
Time5/13/19 19:59
Quant open100
Worst price109.145
Drawdown as % of equity-0.31%
$2,884
4/16/19 5:43 USD/CHF USD/CHF SHORT 100 1.00552 5/13 13:23 1.00521 5.41%
Trade id #123324410
Max drawdown($18,063)
Time4/26/19 8:31
Quant open-100
Worst price1.02369
Drawdown as % of equity-5.41%
$308
4/3/19 17:49 AUD/NZD AUD/NZD SHORT 800 1.06070 4/25 9:11 1.05993 16%
Trade id #123193486
Max drawdown($52,383)
Time4/16/19 18:47
Quant open-400
Worst price1.07294
Drawdown as % of equity-16.00%
$4,114
3/28/19 16:14 EUR/CHF EUR/CHF LONG 200 1.11800 4/1 11:39 1.11924 1.07%
Trade id #123118742
Max drawdown($3,632)
Time3/29/19 16:59
Quant open200
Worst price1.11619
Drawdown as % of equity-1.07%
$2,479
3/26/19 11:39 AUD/CAD AUD/CAD SHORT 200 0.95563 3/26 21:00 0.95328 0.3%
Trade id #123078624
Max drawdown($1,019)
Time3/26/19 12:03
Quant open-200
Worst price0.95631
Drawdown as % of equity-0.30%
$3,502
3/24/19 18:38 CAD/CHF CAD/CHF LONG 200 0.74036 3/26 6:13 0.74206 1.21%
Trade id #123048615
Max drawdown($4,047)
Time3/25/19 10:13
Quant open200
Worst price0.73835
Drawdown as % of equity-1.21%
$3,413

Statistics

  • Strategy began
    1/17/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    181.88
  • Age
    6 months ago
  • What it trades
    Forex
  • # Trades
    47
  • # Profitable
    45
  • % Profitable
    95.70%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    18.45%
  • drawdown period
    April 03, 2019 - April 18, 2019
  • Cumul. Return
    42.3%
  • Avg win
    $3,354
  • Avg loss
    $21,851
  • Model Account Values (Raw)
  • Cash
    $400,960
  • Margin Used
    $75,309
  • Buying Power
    $281,886
  • Ratios
  • W:L ratio
    3.45:1
  • Sharpe Ratio
    2.17
  • Sortino Ratio
    3.58
  • Calmar Ratio
    6.456
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.10190
  • Return Statistics
  • Ann Return (w trading costs)
    100.9%
  • Ann Return (Compnd, No Fees)
    103.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.50%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    837
  • Popularity (Last 6 weeks)
    973
  • C2 Score
    71.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $21,892
  • Avg Win
    $3,355
  • # Winners
    45
  • # Losers
    2
  • % Winners
    95.7%
  • Frequency
  • Avg Position Time (mins)
    5868.28
  • Avg Position Time (hrs)
    97.81
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    8.38
  • Daily leverage (max)
    22.11
  • Unknown
  • Alpha
    0.21
  • Beta
    -0.25
  • Treynor Index
    -0.77
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.04010
  • SD
    0.46305
  • Sharpe ratio (Glass type estimate)
    2.24618
  • Sharpe ratio (Hedges UMVUE)
    1.79219
  • df
    4.00000
  • t
    1.44990
  • p
    0.11034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.52823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07271
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.00180
  • Upside Potential Ratio
    7.55100
  • Upside part of mean
    1.30857
  • Downside part of mean
    -0.26847
  • Upside SD
    0.48130
  • Downside SD
    0.17330
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.25267
  • Mean of criterion
    1.04010
  • SD of predictor
    0.09957
  • SD of criterion
    0.46305
  • Covariance
    -0.02552
  • r
    -0.55349
  • b (slope, estimate of beta)
    -2.57393
  • a (intercept, estimate of alpha)
    1.69045
  • Mean Square Error
    0.19831
  • DF error
    3.00000
  • t(b)
    -1.15107
  • p(b)
    0.83344
  • t(a)
    1.89573
  • p(a)
    0.07714
  • Lowerbound of 95% confidence interval for beta
    -9.69027
  • Upperbound of 95% confidence interval for beta
    4.54240
  • Lowerbound of 95% confidence interval for alpha
    -1.14739
  • Upperbound of 95% confidence interval for alpha
    4.52829
  • Treynor index (mean / b)
    -0.40409
  • Jensen alpha (a)
    1.69045
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91932
  • SD
    0.44115
  • Sharpe ratio (Glass type estimate)
    2.08393
  • Sharpe ratio (Hedges UMVUE)
    1.66273
  • df
    4.00000
  • t
    1.34517
  • p
    0.12489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35812
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.32379
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58489
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.91036
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.01464
  • Upside Potential Ratio
    6.56383
  • Upside part of mean
    1.20333
  • Downside part of mean
    -0.28401
  • Upside SD
    0.43876
  • Downside SD
    0.18333
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.24563
  • Mean of criterion
    0.91932
  • SD of predictor
    0.09829
  • SD of criterion
    0.44115
  • Covariance
    -0.02254
  • r
    -0.51976
  • b (slope, estimate of beta)
    -2.33286
  • a (intercept, estimate of alpha)
    1.49234
  • Mean Square Error
    0.18938
  • DF error
    3.00000
  • t(b)
    -1.05377
  • p(b)
    0.81532
  • t(a)
    1.72296
  • p(a)
    0.09168
  • Lowerbound of 95% confidence interval for beta
    -9.37820
  • Upperbound of 95% confidence interval for beta
    4.71249
  • Lowerbound of 95% confidence interval for alpha
    -1.26413
  • Upperbound of 95% confidence interval for alpha
    4.24881
  • Treynor index (mean / b)
    -0.39408
  • Jensen alpha (a)
    1.49234
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12441
  • Expected Shortfall on VaR
    0.16888
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02542
  • Expected Shortfall on VaR
    0.06305
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.89046
  • Quartile 1
    1.03521
  • Median
    1.10786
  • Quartile 3
    1.17790
  • Maximum
    1.23358
  • Mean of quarter 1
    0.96284
  • Mean of quarter 2
    1.10786
  • Mean of quarter 3
    1.17790
  • Mean of quarter 4
    1.23358
  • Inter Quartile Range
    0.14269
  • 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
    0.10953
  • Quartile 1
    0.10953
  • Median
    0.10953
  • Quartile 3
    0.10953
  • Maximum
    0.10953
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.16138
  • Compounded annual return (geometric extrapolation)
    1.57855
  • Calmar ratio (compounded annual return / max draw down)
    14.41140
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.34728
  • 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
    0.72332
  • SD
    0.27449
  • Sharpe ratio (Glass type estimate)
    2.63515
  • Sharpe ratio (Hedges UMVUE)
    2.61968
  • df
    128.00000
  • t
    1.84906
  • p
    0.41935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18158
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.44190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.43127
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.52385
  • Upside Potential Ratio
    11.77980
  • Upside part of mean
    1.88349
  • Downside part of mean
    -1.16017
  • Upside SD
    0.22626
  • Downside SD
    0.15989
  • N nonnegative terms
    72.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.23762
  • Mean of criterion
    0.72332
  • SD of predictor
    0.10970
  • SD of criterion
    0.27449
  • Covariance
    -0.00361
  • r
    -0.11999
  • b (slope, estimate of beta)
    -0.30025
  • a (intercept, estimate of alpha)
    0.79500
  • Mean Square Error
    0.07484
  • DF error
    127.00000
  • t(b)
    -1.36207
  • p(b)
    0.57620
  • t(a)
    2.02007
  • p(a)
    0.38826
  • Lowerbound of 95% confidence interval for beta
    -0.73646
  • Upperbound of 95% confidence interval for beta
    0.13595
  • Lowerbound of 95% confidence interval for alpha
    0.01623
  • Upperbound of 95% confidence interval for alpha
    1.57311
  • Treynor index (mean / b)
    -2.40904
  • Jensen alpha (a)
    0.79467
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68526
  • SD
    0.27275
  • Sharpe ratio (Glass type estimate)
    2.51246
  • Sharpe ratio (Hedges UMVUE)
    2.49771
  • df
    128.00000
  • t
    1.76296
  • p
    0.42302
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.31777
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31221
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.30763
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21211
  • Upside Potential Ratio
    11.42300
  • Upside part of mean
    1.85839
  • Downside part of mean
    -1.17313
  • Upside SD
    0.22167
  • Downside SD
    0.16269
  • N nonnegative terms
    72.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    0.23152
  • Mean of criterion
    0.68526
  • SD of predictor
    0.10976
  • SD of criterion
    0.27275
  • Covariance
    -0.00356
  • r
    -0.11906
  • b (slope, estimate of beta)
    -0.29585
  • a (intercept, estimate of alpha)
    0.75376
  • Mean Square Error
    0.07391
  • DF error
    127.00000
  • t(b)
    -1.35131
  • p(b)
    0.57561
  • t(a)
    1.92899
  • p(a)
    0.39310
  • Lowerbound of 95% confidence interval for beta
    -0.72908
  • Upperbound of 95% confidence interval for beta
    0.13738
  • Lowerbound of 95% confidence interval for alpha
    -0.01947
  • Upperbound of 95% confidence interval for alpha
    1.52699
  • Treynor index (mean / b)
    -2.31626
  • Jensen alpha (a)
    0.75376
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02479
  • Expected Shortfall on VaR
    0.03161
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00933
  • Expected Shortfall on VaR
    0.01934
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    129.00000
  • Minimum
    0.94381
  • Quartile 1
    0.99405
  • Median
    1.00159
  • Quartile 3
    1.00985
  • Maximum
    1.07862
  • Mean of quarter 1
    0.98438
  • Mean of quarter 2
    0.99868
  • Mean of quarter 3
    1.00527
  • Mean of quarter 4
    1.02371
  • Inter Quartile Range
    0.01580
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.95336
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03876
  • Mean of outliers high
    1.05042
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23000
  • VaR(95%) (moments method)
    0.01527
  • Expected Shortfall (moments method)
    0.02430
  • Extreme Value Index (regression method)
    0.23145
  • VaR(95%) (regression method)
    0.01709
  • Expected Shortfall (regression method)
    0.02780
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00034
  • Quartile 1
    0.00333
  • Median
    0.01288
  • Quartile 3
    0.02470
  • Maximum
    0.16117
  • Mean of quarter 1
    0.00164
  • Mean of quarter 2
    0.00909
  • Mean of quarter 3
    0.01603
  • Mean of quarter 4
    0.08395
  • Inter Quartile Range
    0.02136
  • 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
    0.12500
  • Mean of outliers high
    0.13570
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.33150
  • VaR(95%) (moments method)
    0.08197
  • Expected Shortfall (moments method)
    0.15404
  • Extreme Value Index (regression method)
    1.09186
  • VaR(95%) (regression method)
    0.10530
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85442
  • Compounded annual return (geometric extrapolation)
    1.04045
  • Calmar ratio (compounded annual return / max draw down)
    6.45567
  • Compounded annual return / average of 25% largest draw downs
    12.39400
  • Compounded annual return / Expected Shortfall lognormal
    32.91330

Strategy Description

Looking for high-action and plenty of trades? This system is not for you.
If you desire profits and reliability, then keep reading.

FXEdge is the exclusive designer and owner of the Wave 5 Reversal Zone System.
This System is highly effective at identifying and trading short-term reversals.

Nervous about connecting to any system? We understand.
Consider this:
1. The system ranks extremely high in Winning Trades % and Profit Factor.
2. Its trades have been executed on real-life brokerage accounts.
3. The creator -- FXEdge -- is run by a CA LLC with a reliable reputation.
4. The algos are picky and effective = only 8-10 trades a month (approx).
5. The Wave 5 Reversal Zone Strategy has never been reset.

Questions? Message us and we'll reply as soon as possible.
Trade smart with confidence.

Summary Statistics

Strategy began
2019-01-17
Suggested Minimum Capital
$100,000
# Trades
47
# Profitable
45
% Profitable
95.7%
Correlation S&P500
-0.102
Sharpe Ratio
2.17
Sortino Ratio
3.58
Beta
-0.25
Alpha
0.21
Leverage
8.38 Average
22.11 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

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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.