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These are hypothetical performance results that have certain inherent limitations. Learn more
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May He bless and keep us
(131656601)

Created by: AvrahamTheAnalyzer AvrahamTheAnalyzer
Started: 10/2020
Forex
Last trade: 1,084 days ago
Trading style: Futures Trend-following Currencies

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 $101.00 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: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
8.0%
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.

(40.2%)
Max Drawdown
151
Num Trades
74.8%
Win Trades
1.4 : 1
Profit Factor
9.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                               (3.5%)+26.3%+25.5%+53.0%
2021+11.7%(14.3%)(16.3%)+6.6%  -    -    -    -    -    -    -    -  (14.6%)
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.

Trading Record

This strategy has placed 323 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1105 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/14/21 4:19 EUR/USD EUR/USD SHORT 24 1.19761 4/30 11:42 1.20048 15.31%
Trade id #135137537
Max drawdown($1,659)
Time4/20/21 0:00
Quant open16
Worst price1.20798
Drawdown as % of equity-15.31%
 ($689)
4/27/21 6:45 GBP/JPY GBP/JPY SHORT 20 151.349 4/30 11:32 151.248 13.57%
Trade id #135331193
Max drawdown($1,578)
Time4/29/21 0:00
Quant open12
Worst price152.409
Drawdown as % of equity-13.57%
 $184
4/22/21 9:51 GBP/JPY GBP/JPY LONG 18 149.470 4/25 19:34 149.644 5.02%
Trade id #135267078
Max drawdown($641)
Time4/23/21 0:00
Quant open14
Worst price149.059
Drawdown as % of equity-5.02%
 $290
4/22/21 4:15 GBP/USD GBP/USD SHORT 10 1.39127 4/22 8:14 1.38687 0.52%
Trade id #135262189
Max drawdown($62)
Time4/22/21 6:27
Quant open10
Worst price1.39189
Drawdown as % of equity-0.52%
 $440
4/19/21 10:41 GBP/USD GBP/USD SHORT 10 1.39784 4/20 13:01 1.39436 2.61%
Trade id #135212689
Max drawdown($306)
Time4/20/21 2:59
Quant open10
Worst price1.40090
Drawdown as % of equity-2.61%
 $349
4/14/21 2:19 GBP/USD GBP/USD SHORT 21 1.37962 4/16 3:38 1.37676 2.2%
Trade id #135136885
Max drawdown($261)
Time4/14/21 4:39
Quant open21
Worst price1.38086
Drawdown as % of equity-2.20%
 $600
4/13/21 2:13 GBP/USD GBP/USD LONG 10 1.37497 4/13 5:50 1.37632 0.91%
Trade id #135116630
Max drawdown($103)
Time4/13/21 3:06
Quant open10
Worst price1.37394
Drawdown as % of equity-0.91%
 $135
4/12/21 5:38 GBP/USD GBP/USD SHORT 10 1.37740 4/12 21:24 1.37299 2.41%
Trade id #135098237
Max drawdown($271)
Time4/12/21 8:57
Quant open10
Worst price1.37691
Drawdown as % of equity-2.41%
 $441
4/6/21 2:47 GBP/USD GBP/USD LONG 8 1.38672 4/9 1:40 1.37160 10.51%
Trade id #135018002
Max drawdown($1,217)
Time4/9/21 1:40
Quant open8
Worst price1.37150
Drawdown as % of equity-10.51%
 ($1,210)
4/5/21 4:16 GBP/USD GBP/USD LONG 6 1.38594 4/5 12:15 1.38992 0.3%
Trade id #134998732
Max drawdown($36)
Time4/5/21 6:13
Quant open6
Worst price1.38532
Drawdown as % of equity-0.30%
 $239
3/25/21 16:16 EUR/USD EUR/USD LONG 4 1.17510 4/1 20:41 1.17671 1.49%
Trade id #134869938
Max drawdown($180)
Time3/31/21 0:00
Quant open3
Worst price1.17041
Drawdown as % of equity-1.49%
 $64
3/19/21 7:34 GBP/USD GBP/USD LONG 8 1.38926 3/23 19:32 1.37350 9.46%
Trade id #134725950
Max drawdown($1,293)
Time3/23/21 19:32
Quant open8
Worst price1.37309
Drawdown as % of equity-9.46%
 ($1,261)
3/19/21 6:55 GBP/JPY GBP/JPY LONG 5 151.666 3/23 5:53 149.701 6.65%
Trade id #134725495
Max drawdown($909)
Time3/23/21 5:53
Quant open5
Worst price149.693
Drawdown as % of equity-6.65%
 ($904)
3/19/21 5:20 GBP/JPY GBP/JPY LONG 6 151.649 3/19 6:49 151.568 0.7%
Trade id #134724699
Max drawdown($101)
Time3/19/21 5:43
Quant open6
Worst price151.464
Drawdown as % of equity-0.70%
 ($45)
3/16/21 5:31 GBP/JPY GBP/JPY LONG 3 150.882 3/17 13:15 151.386 0.11%
Trade id #134636826
Max drawdown($16)
Time3/16/21 5:38
Quant open3
Worst price150.823
Drawdown as % of equity-0.11%
 $139
3/16/21 5:14 GBP/USD GBP/USD LONG 4 1.38151 3/17 10:54 1.38821 0.18%
Trade id #134636658
Max drawdown($25)
Time3/16/21 5:25
Quant open4
Worst price1.38087
Drawdown as % of equity-0.18%
 $268
3/15/21 8:04 GBP/USD GBP/USD LONG 3 1.39256 3/15 8:28 1.39152 0.22%
Trade id #134612673
Max drawdown($31)
Time3/15/21 8:28
Quant open3
Worst price1.39151
Drawdown as % of equity-0.22%
 ($31)
3/15/21 3:20 GBP/USD GBP/USD SHORT 3 1.39147 3/15 8:01 1.39123 0.69%
Trade id #134609367
Max drawdown($98)
Time3/15/21 4:54
Quant open3
Worst price1.39474
Drawdown as % of equity-0.69%
 $7
3/11/21 8:23 EUR/USD EUR/USD SHORT 3 1.19577 3/12 12:15 1.19513 0.69%
Trade id #134557397
Max drawdown($96)
Time3/11/21 14:05
Quant open3
Worst price1.19899
Drawdown as % of equity-0.69%
 $19
3/11/21 2:25 GBP/USD GBP/USD SHORT 5 1.39520 3/12 1:44 1.39488 0.91%
Trade id #134552755
Max drawdown($128)
Time3/11/21 8:18
Quant open5
Worst price1.39777
Drawdown as % of equity-0.91%
 $16
3/10/21 2:29 GBP/JPY GBP/JPY LONG 1 150.990 3/10 6:27 151.009 0.09%
Trade id #134528568
Max drawdown($12)
Time3/10/21 2:48
Quant open1
Worst price150.858
Drawdown as % of equity-0.09%
 $2
3/10/21 4:07 GBP/USD GBP/USD SHORT 4 1.38932 3/10 4:58 1.39097 0.47%
Trade id #134529684
Max drawdown($65)
Time3/10/21 4:58
Quant open4
Worst price1.39095
Drawdown as % of equity-0.47%
 ($66)
3/10/21 1:44 GBP/USD GBP/USD LONG 6 1.38663 3/10 4:01 1.38935 0.2%
Trade id #134528104
Max drawdown($28)
Time3/10/21 1:49
Quant open6
Worst price1.38616
Drawdown as % of equity-0.20%
 $163
3/9/21 20:45 USD/JPY USD/JPY LONG 5 108.715 3/10 3:52 108.729 0.86%
Trade id #134525673
Max drawdown($119)
Time3/10/21 0:00
Quant open5
Worst price108.456
Drawdown as % of equity-0.86%
 $6
3/9/21 11:52 GBP/USD GBP/USD LONG 2 1.38894 3/9 14:24 1.38910 0.12%
Trade id #134515777
Max drawdown($17)
Time3/9/21 12:00
Quant open2
Worst price1.38808
Drawdown as % of equity-0.12%
 $3
3/9/21 4:09 GBP/USD GBP/USD SHORT 5 1.38867 3/9 5:52 1.38742 0.44%
Trade id #134504350
Max drawdown($60)
Time3/9/21 4:51
Quant open5
Worst price1.38988
Drawdown as % of equity-0.44%
 $63
3/8/21 10:48 GBP/USD GBP/USD LONG 6 1.38150 3/8 13:55 1.38369 0.07%
Trade id #134485302
Max drawdown($10)
Time3/8/21 11:52
Quant open1
Worst price1.38028
Drawdown as % of equity-0.07%
 $131
3/8/21 3:53 GBP/USD GBP/USD LONG 3 1.38217 3/8 8:33 1.38470 0.32%
Trade id #134475377
Max drawdown($44)
Time3/8/21 4:27
Quant open3
Worst price1.38068
Drawdown as % of equity-0.32%
 $76
3/8/21 1:54 GBP/USD GBP/USD LONG 4 1.38233 3/8 3:28 1.38400 0.68%
Trade id #134474105
Max drawdown($92)
Time3/8/21 2:24
Quant open4
Worst price1.38001
Drawdown as % of equity-0.68%
 $67
3/5/21 4:51 GBP/USD GBP/USD LONG 4 1.38130 3/7 21:43 1.38380 1.01%
Trade id #134437849
Max drawdown($138)
Time3/5/21 8:33
Quant open4
Worst price1.37784
Drawdown as % of equity-1.01%
 $100
Next

Statistics

  • Strategy began
    10/28/2020
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1265.77
  • Age
    42 months ago
  • What it trades
    Forex
  • # Trades
    151
  • # Profitable
    113
  • % Profitable
    74.80%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    40.21%
  • drawdown period
    Feb 12, 2021 - April 19, 2021
  • Annual Return (Compounded)
    8.0%
  • Avg win
    $130.24
  • Avg loss
    $284.74
  • Model Account Values (Raw)
  • Cash
    $13,900
  • Margin Used
    $0
  • Buying Power
    $13,900
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.38
  • Sortino Ratio
    0.6
  • Calmar Ratio
    0.97
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -24.05%
  • Correlation to SP500
    0.02480
  • Return Percent SP500 (cumu) during strategy life
    53.54%
  • Return Statistics
  • Ann Return (w trading costs)
    8.0%
  • Slump
  • Current Slump as Pcnt Equity
    40.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • 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)
    0.080%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.50%
  • Chance of 20% account loss
    17.00%
  • Chance of 30% account loss
    5.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $285
  • Avg Win
    $130
  • Sum Trade PL (losers)
    $10,820.000
  • Age
  • Num Months filled monthly returns table
    43
  • Win / Loss
  • Sum Trade PL (winners)
    $14,717.000
  • # Winners
    113
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    38
  • % Winners
    74.8%
  • Frequency
  • Avg Position Time (mins)
    1626.82
  • Avg Position Time (hrs)
    27.11
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    1082
  • Leverage
  • Daily leverage (average)
    8.76
  • Daily leverage (max)
    36.45
  • Regression
  • Alpha
    0.02
  • Beta
    0.02
  • Treynor Index
    0.83
  • 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)
    2.23
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    8.730
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    1.110
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.333
  • Hold-and-Hope Ratio
    0.115
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35884
  • SD
    0.42809
  • Sharpe ratio (Glass type estimate)
    0.83822
  • Sharpe ratio (Hedges UMVUE)
    0.78453
  • df
    12.00000
  • t
    0.87245
  • p
    0.37789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69358
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82494
  • Upside Potential Ratio
    3.24310
  • Upside part of mean
    0.63769
  • Downside part of mean
    -0.27885
  • Upside SD
    0.37581
  • Downside SD
    0.19663
  • N nonnegative terms
    4.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.35940
  • Mean of criterion
    0.35884
  • SD of predictor
    0.25635
  • SD of criterion
    0.42809
  • Covariance
    0.01597
  • r
    0.14555
  • b (slope, estimate of beta)
    0.24306
  • a (intercept, estimate of alpha)
    0.27148
  • Mean Square Error
    0.19569
  • DF error
    11.00000
  • t(b)
    0.48791
  • p(b)
    0.31760
  • t(a)
    0.58867
  • p(a)
    0.28399
  • Lowerbound of 95% confidence interval for beta
    -0.85337
  • Upperbound of 95% confidence interval for beta
    1.33949
  • Lowerbound of 95% confidence interval for alpha
    -0.74357
  • Upperbound of 95% confidence interval for alpha
    1.28654
  • Treynor index (mean / b)
    1.47635
  • Jensen alpha (a)
    0.27148
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27607
  • SD
    0.40472
  • Sharpe ratio (Glass type estimate)
    0.68211
  • Sharpe ratio (Hedges UMVUE)
    0.63841
  • df
    12.00000
  • t
    0.70996
  • p
    0.39961
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57072
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53873
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29901
  • Upside Potential Ratio
    2.70881
  • Upside part of mean
    0.57568
  • Downside part of mean
    -0.29961
  • Upside SD
    0.33524
  • Downside SD
    0.21252
  • N nonnegative terms
    4.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.32290
  • Mean of criterion
    0.27607
  • SD of predictor
    0.26131
  • SD of criterion
    0.40472
  • Covariance
    0.01412
  • r
    0.13350
  • b (slope, estimate of beta)
    0.20676
  • a (intercept, estimate of alpha)
    0.20930
  • Mean Square Error
    0.17551
  • DF error
    11.00000
  • t(b)
    0.44676
  • p(b)
    0.33186
  • t(a)
    0.48749
  • p(a)
    0.31774
  • Lowerbound of 95% confidence interval for beta
    -0.81187
  • Upperbound of 95% confidence interval for beta
    1.22540
  • Lowerbound of 95% confidence interval for alpha
    -0.73568
  • Upperbound of 95% confidence interval for alpha
    1.15429
  • Treynor index (mean / b)
    1.33518
  • Jensen alpha (a)
    0.20930
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15563
  • Expected Shortfall on VaR
    0.19512
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06488
  • Expected Shortfall on VaR
    0.13124
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.83698
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.06315
  • Maximum
    1.28808
  • Mean of quarter 1
    0.92972
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.02105
  • Mean of quarter 4
    1.21233
  • Inter Quartile Range
    0.06315
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.85943
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.26366
  • 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)
    -2.39495
  • VaR(95%) (regression method)
    0.25249
  • Expected Shortfall (regression method)
    0.25812
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.26188
  • Quartile 1
    0.26188
  • Median
    0.26188
  • Quartile 3
    0.26188
  • Maximum
    0.26188
  • 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)
    0.36000
  • Compounded annual return (geometric extrapolation)
    0.35523
  • Calmar ratio (compounded annual return / max draw down)
    1.35647
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.82055
  • 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
    0.29908
  • SD
    0.26086
  • Sharpe ratio (Glass type estimate)
    1.14652
  • Sharpe ratio (Hedges UMVUE)
    1.14358
  • df
    293.00000
  • t
    1.21452
  • p
    0.11276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99810
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99612
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88281
  • Upside Potential Ratio
    6.91089
  • Upside part of mean
    1.09778
  • Downside part of mean
    -0.79870
  • Upside SD
    0.20719
  • Downside SD
    0.15885
  • N nonnegative terms
    78.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    294.00000
  • Mean of predictor
    0.43727
  • Mean of criterion
    0.29908
  • SD of predictor
    0.29083
  • SD of criterion
    0.26086
  • Covariance
    0.00092
  • r
    0.01211
  • b (slope, estimate of beta)
    0.01086
  • a (intercept, estimate of alpha)
    0.29400
  • Mean Square Error
    0.06827
  • DF error
    292.00000
  • t(b)
    0.20687
  • p(b)
    0.41813
  • t(a)
    1.18815
  • p(a)
    0.11787
  • Lowerbound of 95% confidence interval for beta
    -0.09244
  • Upperbound of 95% confidence interval for beta
    0.11416
  • Lowerbound of 95% confidence interval for alpha
    -0.19322
  • Upperbound of 95% confidence interval for alpha
    0.78189
  • Treynor index (mean / b)
    27.54460
  • Jensen alpha (a)
    0.29433
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26555
  • SD
    0.25772
  • Sharpe ratio (Glass type estimate)
    1.03038
  • Sharpe ratio (Hedges UMVUE)
    1.02774
  • df
    293.00000
  • t
    1.09149
  • p
    0.13798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82259
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87984
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63636
  • Upside Potential Ratio
    6.63747
  • Upside part of mean
    1.07715
  • Downside part of mean
    -0.81160
  • Upside SD
    0.20032
  • Downside SD
    0.16228
  • N nonnegative terms
    78.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    294.00000
  • Mean of predictor
    0.39446
  • Mean of criterion
    0.26555
  • SD of predictor
    0.29244
  • SD of criterion
    0.25772
  • Covariance
    0.00105
  • r
    0.01387
  • b (slope, estimate of beta)
    0.01223
  • a (intercept, estimate of alpha)
    0.26073
  • Mean Square Error
    0.06664
  • DF error
    292.00000
  • t(b)
    0.23707
  • p(b)
    0.40639
  • t(a)
    1.06624
  • p(a)
    0.14360
  • Lowerbound of 95% confidence interval for beta
    -0.08927
  • Upperbound of 95% confidence interval for beta
    0.11372
  • Lowerbound of 95% confidence interval for alpha
    -0.22054
  • Upperbound of 95% confidence interval for alpha
    0.74201
  • Treynor index (mean / b)
    21.72210
  • Jensen alpha (a)
    0.26073
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02486
  • Expected Shortfall on VaR
    0.03131
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00877
  • Expected Shortfall on VaR
    0.01889
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    294.00000
  • Minimum
    0.93471
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00143
  • Maximum
    1.11330
  • Mean of quarter 1
    0.98820
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01670
  • Inter Quartile Range
    0.00143
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.97938
  • Number of outliers high
    62.00000
  • Percentage of outliers high
    0.21088
  • Mean of outliers high
    1.01943
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.46884
  • VaR(95%) (moments method)
    0.00383
  • Expected Shortfall (moments method)
    0.00520
  • Extreme Value Index (regression method)
    -0.23635
  • VaR(95%) (regression method)
    0.01568
  • Expected Shortfall (regression method)
    0.02487
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00416
  • Median
    0.00819
  • Quartile 3
    0.02104
  • Maximum
    0.35160
  • Mean of quarter 1
    0.00159
  • Mean of quarter 2
    0.00731
  • Mean of quarter 3
    0.01546
  • Mean of quarter 4
    0.13785
  • Inter Quartile Range
    0.01687
  • 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
    0.07692
  • Mean of outliers high
    0.35160
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.19433
  • VaR(95%) (moments method)
    0.12758
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    8.25500
  • VaR(95%) (regression method)
    1.94142
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34755
  • Compounded annual return (geometric extrapolation)
    0.34106
  • Calmar ratio (compounded annual return / max draw down)
    0.97001
  • Compounded annual return / average of 25% largest draw downs
    2.47421
  • Compounded annual return / Expected Shortfall lognormal
    10.89260
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46069
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40863
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37679
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41126
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6855550000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    287912000000000009127491625025536.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -507818000
  • Max Equity Drawdown (num days)
    66
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

I'm a married, 50 year old man, father of 3, having first studied technical analysis in my early teens, under my father's tuterage. He taught me, "We can beat the market" by identifying consistent repeatable "graph patterns" and the following price action. I've never given up on "that dream" and have always believed that if the Almighty had me learn that, from my father, in my formable years, then it was intended for me to use that knowledge successfully, to help other people.
We're in a Currency Exchange Business. Money has to be respected! It has to be protected! It is our only Merchandise! We Must Have Stops And "I Do Place Stop Losses" To Protect Our Investments!!! and I Will Never achieve 100% profitable trades!!! Most of my trades are closed the same day, save small positions of the original trade where I try to see If we can turn it into a profitable swing trade. I don't feel comfortable with riding big positions for days - and I don't want us to pay interest!!
I'd like to guide our group to "actualize profits" by rewarding ourselves, with periodic withdrawals, and reducing monetary extension, and re-allowing the new "Small Guys" to join the procession.
The initial subscription fee is lower than my assessed value. The intention being to periodically increase it, in accordance with its proven fair value. If you "feel' you need an initial discount to help get you started, send me a message, maybe we can arrange for you a starting discount.
May "His"- "guiding force" be with us, with Health, Happiness, and Wealth,
Avraham

Summary Statistics

Strategy began
2020-10-28
Suggested Minimum Capital
$10,000
# Trades
151
# Profitable
113
% Profitable
74.8%
Correlation S&P500
0.025
Sharpe Ratio
0.38
Sortino Ratio
0.60
Beta
0.02
Alpha
0.02
Leverage
8.76 Average
36.45 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.