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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).
81.6%
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.

(23.4%)
Max Drawdown
69
Num Trades
98.6%
Win Trades
2517.7 : 1
Profit Factor
80.0%
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%(5.9%)+0.2%+11.1%+15.9%            +81.6%

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 77 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/16/19 8:33 GBP/CHF GBP/CHF SHORT 100 1.27658 10/16 8:36 1.27325 n/a $3,342
10/16/19 7:06 GBP/CHF GBP/CHF SHORT 100 1.27333 10/16 8:05 1.27133 n/a $2,007
5/31/19 3:22 GBP/CHF GBP/CHF LONG 100 1.26859 10/15 10:27 1.27242 34.62%
Trade id #123884386
Max drawdown($103,494)
Time8/13/19 0:00
Quant open100
Worst price1.16752
Drawdown as % of equity-34.62%
$3,837
10/14/19 6:27 USD/SGD USD/SGD LONG 100 1.36942 10/15 5:38 1.37125 0.27%
Trade id #125762053
Max drawdown($1,172)
Time10/15/19 0:00
Quant open100
Worst price1.36780
Drawdown as % of equity-0.27%
$1,335
10/11/19 6:40 EUR/JPY EUR/JPY SHORT 100 119.468 10/14 6:26 119.387 1.15%
Trade id #125737203
Max drawdown($4,933)
Time10/11/19 10:02
Quant open100
Worst price120.003
Drawdown as % of equity-1.15%
$749
10/10/19 4:20 EUR/GBP EUR/GBP SHORT 100 0.89977 10/10 10:34 0.89673 0.7%
Trade id #125713767
Max drawdown($2,697)
Time10/10/19 9:44
Quant open100
Worst price0.90194
Drawdown as % of equity-0.70%
$3,736
10/8/19 11:46 GBP/JPY GBP/JPY LONG 100 130.614 10/8 13:00 130.869 0.01%
Trade id #125679599
Max drawdown($28)
Time10/8/19 11:47
Quant open100
Worst price130.611
Drawdown as % of equity-0.01%
$2,378
10/3/19 22:12 CHF/JPY CHF/JPY LONG 100 106.934 10/4 5:45 107.213 0.46%
Trade id #125624103
Max drawdown($1,842)
Time10/4/19 2:00
Quant open100
Worst price106.737
Drawdown as % of equity-0.46%
$2,613
9/19/19 14:37 GBP/NZD GBP/NZD SHORT 100 1.98792 9/23 10:06 1.97800 1.95%
Trade id #125424697
Max drawdown($7,740)
Time9/20/19 0:00
Quant open100
Worst price2.00029
Drawdown as % of equity-1.95%
$6,229
9/10/19 18:30 AUD/JPY AUD/JPY SHORT 100 73.793 9/18 23:20 73.259 1.77%
Trade id #125297185
Max drawdown($6,505)
Time9/13/19 0:00
Quant open100
Worst price74.496
Drawdown as % of equity-1.77%
$4,950
9/9/19 7:48 EUR/AUD EUR/AUD LONG 100 1.60589 9/9 8:20 1.60692 0.06%
Trade id #125271361
Max drawdown($219)
Time9/9/19 7:54
Quant open100
Worst price1.60557
Drawdown as % of equity-0.06%
$707
9/9/19 7:23 EUR/AUD EUR/AUD LONG 100 1.60611 9/9 7:30 1.60661 0.03%
Trade id #125270988
Max drawdown($116)
Time9/9/19 7:24
Quant open100
Worst price1.60594
Drawdown as % of equity-0.03%
$343
9/2/19 17:46 EUR/JPY EUR/JPY LONG 100 116.557 9/4 4:20 116.733 1.94%
Trade id #125186180
Max drawdown($6,551)
Time9/3/19 0:00
Quant open100
Worst price115.863
Drawdown as % of equity-1.94%
$1,657
8/30/19 0:33 NZD/JPY NZD/JPY LONG 100 67.046 9/3 16:48 67.101 1.11%
Trade id #125153451
Max drawdown($3,615)
Time9/3/19 6:41
Quant open100
Worst price66.663
Drawdown as % of equity-1.11%
$519
8/27/19 17:52 NZD/JPY NZD/JPY LONG 100 67.307 8/29 5:06 67.452 1.49%
Trade id #125113219
Max drawdown($5,041)
Time8/29/19 2:01
Quant open100
Worst price66.772
Drawdown as % of equity-1.49%
$1,365
8/2/19 3:02 EUR/GBP EUR/GBP SHORT 100 0.91535 8/16 3:37 0.91488 6.06%
Trade id #124732424
Max drawdown($20,623)
Time8/2/19 3:02
Quant open100
Worst price0.93243
Drawdown as % of equity-6.06%
$570
8/8/19 11:21 AUD/CHF AUD/CHF SHORT 200 0.66447 8/8 11:27 0.66451 0.17%
Trade id #124837627
Max drawdown($554)
Time8/8/19 11:21
Quant open200
Worst price0.66474
Drawdown as % of equity-0.17%
($82)
8/2/19 5:15 AUD/CHF AUD/CHF LONG 200 0.66226 8/8 11:21 0.66446 5.7%
Trade id #124733458
Max drawdown($19,377)
Time8/2/19 5:15
Quant open100
Worst price0.65083
Drawdown as % of equity-5.70%
$4,521
7/30/19 18:59 EUR/GBP EUR/GBP SHORT 100 0.91744 7/31 11:25 0.91077 0.24%
Trade id #124687341
Max drawdown($814)
Time7/30/19 18:59
Quant open100
Worst price0.91811
Drawdown as % of equity-0.24%
$8,148
7/30/19 11:24 GBP/USD GBP/USD LONG 100 1.21515 7/30 14:54 1.21590 0.14%
Trade id #124678469
Max drawdown($470)
Time7/30/19 11:24
Quant open100
Worst price1.21468
Drawdown as % of equity-0.14%
$750
7/30/19 2:07 GBP/USD GBP/USD LONG 100 1.21490 7/30 3:17 1.21602 0.32%
Trade id #124670391
Max drawdown($1,070)
Time7/30/19 2:07
Quant open100
Worst price1.21383
Drawdown as % of equity-0.32%
$1,120
7/24/19 8:14 EUR/USD EUR/USD LONG 100 1.11403 7/25 7:45 1.11615 1.07%
Trade id #124590462
Max drawdown($3,900)
Time7/24/19 8:14
Quant open100
Worst price1.11013
Drawdown as % of equity-1.07%
$2,120
7/3/19 18:32 GBP/CAD GBP/CAD LONG 100 1.64214 7/24 6:51 1.64295 5.71%
Trade id #124331237
Max drawdown($21,060)
Time7/3/19 18:32
Quant open100
Worst price1.61458
Drawdown as % of equity-5.71%
$614
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

Statistics

  • Strategy began
    1/17/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    271.85
  • Age
    9 months ago
  • What it trades
    Forex
  • # Trades
    69
  • # Profitable
    68
  • % Profitable
    98.60%
  • Avg trade duration
    4.8 days
  • Max peak-to-valley drawdown
    23.4%
  • drawdown period
    June 12, 2019 - Aug 09, 2019
  • Cumul. Return
    81.6%
  • Avg win
    $3,036
  • Avg loss
    $82.00
  • Model Account Values (Raw)
  • Cash
    $454,488
  • Margin Used
    $38,478
  • Buying Power
    $417,356
  • Ratios
  • W:L ratio
    2517.68:1
  • Sharpe Ratio
    2.09
  • Sortino Ratio
    3.35
  • Calmar Ratio
    6.171
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    68.17%
  • Correlation to SP500
    0.19990
  • Return Percent SP500 (cumu) during strategy life
    13.38%
  • Return Statistics
  • Ann Return (w trading costs)
    121.0%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.816%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    123.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.50%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    0.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    830
  • Popularity (Last 6 weeks)
    884
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    16
  • Popularity (7 days, Percentile 1000 scale)
    723
  • 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
    $82
  • Avg Win
    $3,030
  • Sum Trade PL (losers)
    $82.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months (Age strategy)
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $206,048.000
  • # Winners
    68
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    159687
  • Win / Loss
  • # Losers
    1
  • % Winners
    98.5%
  • Frequency
  • Avg Position Time (mins)
    6935.25
  • Avg Position Time (hrs)
    115.59
  • Avg Trade Length
    4.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.66
  • Daily leverage (max)
    22.11
  • Regression
  • Alpha
    0.21
  • Beta
    0.51
  • Treynor Index
    0.45
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    68.92
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    14.44
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.95
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.309
  • 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
    2.305
  • Avg(MAE) / Avg(PL) - Losing trades
    -6.756
  • Hold-and-Hope Ratio
    0.430
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75947
  • SD
    0.43315
  • Sharpe ratio (Glass type estimate)
    1.75335
  • Sharpe ratio (Hedges UMVUE)
    1.55733
  • df
    7.00000
  • t
    1.43161
  • p
    0.09768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09261
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.74493
  • Upside Potential Ratio
    6.67475
  • Upside part of mean
    1.06836
  • Downside part of mean
    -0.30889
  • Upside SD
    0.43199
  • Downside SD
    0.16006
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.16734
  • Mean of criterion
    0.75947
  • SD of predictor
    0.09236
  • SD of criterion
    0.43315
  • Covariance
    -0.00436
  • r
    -0.10907
  • b (slope, estimate of beta)
    -0.51152
  • a (intercept, estimate of alpha)
    0.84507
  • Mean Square Error
    0.21629
  • DF error
    6.00000
  • t(b)
    -0.26878
  • p(b)
    0.60145
  • t(a)
    1.29497
  • p(a)
    0.12146
  • Lowerbound of 95% confidence interval for beta
    -5.16831
  • Upperbound of 95% confidence interval for beta
    4.14528
  • Lowerbound of 95% confidence interval for alpha
    -0.75175
  • Upperbound of 95% confidence interval for alpha
    2.44189
  • Treynor index (mean / b)
    -1.48474
  • Jensen alpha (a)
    0.84507
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66144
  • SD
    0.41080
  • Sharpe ratio (Glass type estimate)
    1.61014
  • Sharpe ratio (Hedges UMVUE)
    1.43013
  • df
    7.00000
  • t
    1.31467
  • p
    0.11503
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08450
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94476
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.94028
  • Upside Potential Ratio
    5.85725
  • Upside part of mean
    0.98323
  • Downside part of mean
    -0.32179
  • Upside SD
    0.39489
  • Downside SD
    0.16787
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.16217
  • Mean of criterion
    0.66144
  • SD of predictor
    0.09130
  • SD of criterion
    0.41080
  • Covariance
    -0.00348
  • r
    -0.09268
  • b (slope, estimate of beta)
    -0.41700
  • a (intercept, estimate of alpha)
    0.72906
  • Mean Square Error
    0.19519
  • DF error
    6.00000
  • t(b)
    -0.22799
  • p(b)
    0.58639
  • t(a)
    1.18152
  • p(a)
    0.14105
  • Lowerbound of 95% confidence interval for beta
    -4.89242
  • Upperbound of 95% confidence interval for beta
    4.05843
  • Lowerbound of 95% confidence interval for alpha
    -0.78084
  • Upperbound of 95% confidence interval for alpha
    2.23897
  • Treynor index (mean / b)
    -1.58620
  • Jensen alpha (a)
    0.72906
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13059
  • Expected Shortfall on VaR
    0.17183
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05024
  • Expected Shortfall on VaR
    0.09504
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.89046
  • Quartile 1
    0.95952
  • Median
    1.07153
  • Quartile 3
    1.17147
  • Maximum
    1.23358
  • Mean of quarter 1
    0.91866
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.13859
  • Mean of quarter 4
    1.20574
  • Inter Quartile Range
    0.21196
  • 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
    2.00000
  • Minimum
    0.08748
  • Quartile 1
    0.09299
  • Median
    0.09851
  • Quartile 3
    0.10402
  • Maximum
    0.10953
  • Mean of quarter 1
    0.08748
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10953
  • Inter Quartile Range
    0.01103
  • 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)
    0.87508
  • Compounded annual return (geometric extrapolation)
    0.99241
  • Calmar ratio (compounded annual return / max draw down)
    9.06022
  • Compounded annual return / average of 25% largest draw downs
    9.06022
  • Compounded annual return / Expected Shortfall lognormal
    5.77545
  • 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
    0.84013
  • SD
    0.33189
  • Sharpe ratio (Glass type estimate)
    2.53135
  • Sharpe ratio (Hedges UMVUE)
    2.52145
  • df
    192.00000
  • t
    2.17260
  • p
    0.42255
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.82573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22397
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81893
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.08840
  • Upside Potential Ratio
    11.11580
  • Upside part of mean
    2.28419
  • Downside part of mean
    -1.44406
  • Upside SD
    0.26466
  • Downside SD
    0.20549
  • N nonnegative terms
    107.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    193.00000
  • Mean of predictor
    0.15162
  • Mean of criterion
    0.84013
  • SD of predictor
    0.13073
  • SD of criterion
    0.33189
  • Covariance
    0.00866
  • r
    0.19961
  • b (slope, estimate of beta)
    0.50677
  • a (intercept, estimate of alpha)
    0.76300
  • Mean Square Error
    0.10632
  • DF error
    191.00000
  • t(b)
    2.81536
  • p(b)
    0.37377
  • t(a)
    2.00402
  • p(a)
    0.40896
  • Lowerbound of 95% confidence interval for beta
    0.15172
  • Upperbound of 95% confidence interval for beta
    0.86182
  • Lowerbound of 95% confidence interval for alpha
    0.01202
  • Upperbound of 95% confidence interval for alpha
    1.51456
  • Treynor index (mean / b)
    1.65780
  • Jensen alpha (a)
    0.76329
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78414
  • SD
    0.33141
  • Sharpe ratio (Glass type estimate)
    2.36608
  • Sharpe ratio (Hedges UMVUE)
    2.35683
  • df
    192.00000
  • t
    2.03075
  • p
    0.42750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65886
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06109
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65256
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71974
  • Upside Potential Ratio
    10.67280
  • Upside part of mean
    2.24989
  • Downside part of mean
    -1.46575
  • Upside SD
    0.25917
  • Downside SD
    0.21080
  • N nonnegative terms
    107.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    193.00000
  • Mean of predictor
    0.14303
  • Mean of criterion
    0.78414
  • SD of predictor
    0.13107
  • SD of criterion
    0.33141
  • Covariance
    0.00882
  • r
    0.20314
  • b (slope, estimate of beta)
    0.51362
  • a (intercept, estimate of alpha)
    0.71068
  • Mean Square Error
    0.10585
  • DF error
    191.00000
  • t(b)
    2.86717
  • p(b)
    0.37157
  • t(a)
    1.87052
  • p(a)
    0.41487
  • Lowerbound of 95% confidence interval for beta
    0.16028
  • Upperbound of 95% confidence interval for beta
    0.86697
  • Lowerbound of 95% confidence interval for alpha
    -0.03873
  • Upperbound of 95% confidence interval for alpha
    1.46009
  • Treynor index (mean / b)
    1.52669
  • Jensen alpha (a)
    0.71068
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03022
  • Expected Shortfall on VaR
    0.03845
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01164
  • Expected Shortfall on VaR
    0.02440
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    193.00000
  • Minimum
    0.90715
  • Quartile 1
    0.99284
  • Median
    1.00159
  • Quartile 3
    1.01309
  • Maximum
    1.07862
  • Mean of quarter 1
    0.98044
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.00628
  • Mean of quarter 4
    1.02880
  • Inter Quartile Range
    0.02025
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02591
  • Mean of outliers low
    0.94468
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03109
  • Mean of outliers high
    1.05619
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37144
  • VaR(95%) (moments method)
    0.01996
  • Expected Shortfall (moments method)
    0.03681
  • Extreme Value Index (regression method)
    0.26621
  • VaR(95%) (regression method)
    0.02128
  • Expected Shortfall (regression method)
    0.03590
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00034
  • Quartile 1
    0.00310
  • Median
    0.01288
  • Quartile 3
    0.02850
  • Maximum
    0.20297
  • Mean of quarter 1
    0.00139
  • Mean of quarter 2
    0.00909
  • Mean of quarter 3
    0.01603
  • Mean of quarter 4
    0.09388
  • Inter Quartile Range
    0.02540
  • 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
    0.11111
  • Mean of outliers high
    0.18207
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.71575
  • VaR(95%) (moments method)
    0.11095
  • Expected Shortfall (moments method)
    0.42001
  • Extreme Value Index (regression method)
    0.94473
  • VaR(95%) (regression method)
    0.10783
  • Expected Shortfall (regression method)
    1.77933
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.11156
  • Compounded annual return (geometric extrapolation)
    1.25252
  • Calmar ratio (compounded annual return / max draw down)
    6.17106
  • Compounded annual return / average of 25% largest draw downs
    13.34160
  • Compounded annual return / Expected Shortfall lognormal
    32.57310
  • 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
    0.70505
  • SD
    0.37345
  • Sharpe ratio (Glass type estimate)
    1.88794
  • Sharpe ratio (Hedges UMVUE)
    1.87702
  • df
    130.00000
  • t
    1.33497
  • p
    0.44185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66572
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90416
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65820
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93635
  • Upside Potential Ratio
    10.28180
  • Upside part of mean
    2.46879
  • Downside part of mean
    -1.76374
  • Upside SD
    0.28748
  • Downside SD
    0.24011
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03909
  • Mean of criterion
    0.70505
  • SD of predictor
    0.14108
  • SD of criterion
    0.37345
  • Covariance
    0.01601
  • r
    0.30380
  • b (slope, estimate of beta)
    0.80420
  • a (intercept, estimate of alpha)
    0.67361
  • Mean Square Error
    0.12757
  • DF error
    129.00000
  • t(b)
    3.62172
  • p(b)
    0.30961
  • t(a)
    1.33337
  • p(a)
    0.42594
  • Lowerbound of 95% confidence interval for beta
    0.36487
  • Upperbound of 95% confidence interval for beta
    1.24353
  • Lowerbound of 95% confidence interval for alpha
    -0.32593
  • Upperbound of 95% confidence interval for alpha
    1.67316
  • Treynor index (mean / b)
    0.87671
  • Jensen alpha (a)
    0.67361
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63501
  • SD
    0.37331
  • Sharpe ratio (Glass type estimate)
    1.70102
  • Sharpe ratio (Hedges UMVUE)
    1.69118
  • df
    130.00000
  • t
    1.20280
  • p
    0.44755
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08164
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47060
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57432
  • Upside Potential Ratio
    9.84481
  • Upside part of mean
    2.42844
  • Downside part of mean
    -1.79342
  • Upside SD
    0.28105
  • Downside SD
    0.24667
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02917
  • Mean of criterion
    0.63501
  • SD of predictor
    0.14155
  • SD of criterion
    0.37331
  • Covariance
    0.01620
  • r
    0.30660
  • b (slope, estimate of beta)
    0.80858
  • a (intercept, estimate of alpha)
    0.61143
  • Mean Square Error
    0.12724
  • DF error
    129.00000
  • t(b)
    3.65849
  • p(b)
    0.30792
  • t(a)
    1.21194
  • p(a)
    0.43258
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.37130
  • Upperbound of 95% confidence interval for beta
    1.24586
  • Lowerbound of 95% confidence interval for alpha
    -0.38674
  • Upperbound of 95% confidence interval for alpha
    1.60960
  • Treynor index (mean / b)
    0.78534
  • Jensen alpha (a)
    0.61143
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03489
  • Expected Shortfall on VaR
    0.04411
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01455
  • Expected Shortfall on VaR
    0.02984
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90715
  • Quartile 1
    0.99230
  • Median
    1.00149
  • Quartile 3
    1.01394
  • Maximum
    1.07862
  • Mean of quarter 1
    0.97648
  • Mean of quarter 2
    0.99717
  • Mean of quarter 3
    1.00672
  • Mean of quarter 4
    1.03094
  • Inter Quartile Range
    0.02164
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.94034
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06199
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20740
  • VaR(95%) (moments method)
    0.02143
  • Expected Shortfall (moments method)
    0.03416
  • Extreme Value Index (regression method)
    0.04061
  • VaR(95%) (regression method)
    0.02822
  • Expected Shortfall (regression method)
    0.04189
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00533
  • Median
    0.01214
  • Quartile 3
    0.02092
  • Maximum
    0.20297
  • Mean of quarter 1
    0.00138
  • Mean of quarter 2
    0.00834
  • Mean of quarter 3
    0.01334
  • Mean of quarter 4
    0.11796
  • Inter Quartile Range
    0.01559
  • 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
    0.15650
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -7.17190
  • VaR(95%) (moments method)
    0.10124
  • Expected Shortfall (moments method)
    0.10125
  • Extreme Value Index (regression method)
    -0.57386
  • VaR(95%) (regression method)
    0.21860
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.26471
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -23
  • Max Equity Drawdown (num days)
    58
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78600
  • Compounded annual return (geometric extrapolation)
    0.94045
  • Calmar ratio (compounded annual return / max draw down)
    4.63350
  • Compounded annual return / average of 25% largest draw downs
    7.97265
  • Compounded annual return / Expected Shortfall lognormal
    21.32030

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
69
# Profitable
68
% Profitable
98.6%
Correlation S&P500
0.200
Sharpe Ratio
2.09
Sortino Ratio
3.35
Beta
0.51
Alpha
0.21
Leverage
6.66 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.