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MWTech
(119050838)

Created by: MWTech MWTech
Started: 07/2018
Forex
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

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 $80.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
97.3%
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.

(23.8%)
Max Drawdown
114
Num Trades
63.2%
Win Trades
1.6 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                          +17.6%+8.6%+22.8%+1.4%+30.7%+9.7%+128.0%
2019+9.2%(3.2%)(17.8%)                                                      (13.1%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 5 hours.

Trading Record

This strategy has placed 131 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/12/19 9:55 EUR/JPY EUR/JPY SHORT 10 125.368 3/18 3:49 126.578 4.58%
Trade id #122877360
Max drawdown($1,088)
Time3/18/19 3:48
Quant open-10
Worst price126.582
Drawdown as % of equity-4.58%
($1,085)
3/11/19 16:00 USD/JPY USD/JPY SHORT 10 111.229 3/14 4:25 111.686 1.7%
Trade id #122869079
Max drawdown($409)
Time3/14/19 4:25
Quant open0
Worst price111.686
Drawdown as % of equity-1.70%
($409)
3/3/19 17:15 EUR/JPY EUR/JPY SHORT 5 127.250 3/6 8:02 126.393 0.23%
Trade id #122764220
Max drawdown($59)
Time3/3/19 18:36
Quant open-5
Worst price127.382
Drawdown as % of equity-0.23%
$383
2/27/19 13:51 USD/CAD USD/CAD LONG 10 1.31467 3/1 10:09 1.32211 0.52%
Trade id #122719551
Max drawdown($127)
Time3/1/19 6:49
Quant open10
Worst price1.31299
Drawdown as % of equity-0.52%
$563
2/26/19 15:43 EUR/JPY EUR/JPY SHORT 10 125.944 2/28 9:29 126.397 1.62%
Trade id #122692142
Max drawdown($407)
Time2/28/19 9:29
Quant open5
Worst price126.572
Drawdown as % of equity-1.62%
($407)
2/18/19 14:57 USD/JPY USD/JPY SHORT 10 110.587 2/28 8:51 110.922 2.34%
Trade id #122574805
Max drawdown($582)
Time2/25/19 12:50
Quant open-10
Worst price111.234
Drawdown as % of equity-2.34%
($302)
2/14/19 1:51 EUR/USD EUR/USD LONG 10 1.12790 2/14 3:40 1.12504 1.11%
Trade id #122516544
Max drawdown($285)
Time2/14/19 3:40
Quant open0
Worst price1.12504
Drawdown as % of equity-1.11%
($285)
2/12/19 11:22 USD/JPY USD/JPY SHORT 10 110.487 2/14 2:16 111.110 2.24%
Trade id #122479018
Max drawdown($577)
Time2/13/19 22:52
Quant open-10
Worst price111.128
Drawdown as % of equity-2.24%
($561)
2/1/19 5:27 EUR/USD EUR/USD SHORT 10 1.14685 2/7 1:02 1.13981 0.79%
Trade id #122308871
Max drawdown($200)
Time2/1/19 11:25
Quant open-10
Worst price1.14885
Drawdown as % of equity-0.79%
$704
2/1/19 9:42 NZD/USD NZD/USD SHORT 10 0.69204 2/5 7:30 0.68885 0%
Trade id #122313563
Max drawdown($0)
Time2/1/19 9:44
Quant open-10
Worst price0.69204
Drawdown as % of equity-0.00%
$318
2/1/19 8:57 EUR/CHF EUR/CHF SHORT 10 1.13956 2/5 5:17 1.14318 1.4%
Trade id #122312059
Max drawdown($366)
Time2/5/19 5:17
Quant open-10
Worst price1.14323
Drawdown as % of equity-1.40%
($361)
2/1/19 4:54 AUD/USD AUD/USD SHORT 10 0.72573 2/4 5:11 0.72313 1.07%
Trade id #122308338
Max drawdown($269)
Time2/1/19 8:48
Quant open-10
Worst price0.72843
Drawdown as % of equity-1.07%
$260
1/31/19 23:54 NZD/USD NZD/USD SHORT 10 0.69125 2/1 8:27 0.69312 0.74%
Trade id #122306056
Max drawdown($187)
Time2/1/19 8:27
Quant open0
Worst price0.69312
Drawdown as % of equity-0.74%
($187)
1/31/19 9:31 GBP/USD GBP/USD LONG 10 1.31104 1/31 9:50 1.31011 0.44%
Trade id #122289247
Max drawdown($113)
Time1/31/19 9:50
Quant open10
Worst price1.30990
Drawdown as % of equity-0.44%
($93)
1/18/19 11:30 EUR/USD EUR/USD LONG 10 1.13574 1/28 0:55 1.14065 2.83%
Trade id #122057660
Max drawdown($680)
Time1/24/19 14:14
Quant open10
Worst price1.12893
Drawdown as % of equity-2.83%
$491
1/18/19 4:19 NZD/USD NZD/USD LONG 10 0.67550 1/27 22:45 0.68270 2.03%
Trade id #122046440
Max drawdown($480)
Time1/22/19 5:05
Quant open10
Worst price0.67069
Drawdown as % of equity-2.03%
$720
1/18/19 5:01 GBP/USD GBP/USD LONG 10 1.29429 1/23 10:14 1.29822 4.83%
Trade id #122046836
Max drawdown($1,124)
Time1/21/19 4:58
Quant open10
Worst price1.28305
Drawdown as % of equity-4.83%
$392
1/17/19 7:24 USD/CAD USD/CAD SHORT 10 1.32869 1/22 9:26 1.33541 2.16%
Trade id #122025642
Max drawdown($504)
Time1/22/19 9:26
Quant open0
Worst price1.33541
Drawdown as % of equity-2.16%
($504)
1/15/19 12:02 EUR/GBP EUR/GBP SHORT 10 0.89273 1/15 13:40 0.89612 1.76%
Trade id #121986732
Max drawdown($432)
Time1/15/19 13:40
Quant open-10
Worst price0.89614
Drawdown as % of equity-1.76%
($430)
1/14/19 5:48 USD/CAD USD/CAD SHORT 10 1.32757 1/15 3:54 1.32599 0.3%
Trade id #121945262
Max drawdown($74)
Time1/14/19 6:12
Quant open-10
Worst price1.32856
Drawdown as % of equity-0.30%
$119
1/11/19 14:28 USD/CHF USD/CHF SHORT 10 0.98391 1/14 5:11 0.98295 0.27%
Trade id #121928213
Max drawdown($67)
Time1/13/19 17:06
Quant open-10
Worst price0.98457
Drawdown as % of equity-0.27%
$97
1/7/19 7:09 EUR/CHF EUR/CHF LONG 10 1.12353 1/14 4:05 1.12994 1.13%
Trade id #121812130
Max drawdown($263)
Time1/9/19 9:00
Quant open10
Worst price1.12094
Drawdown as % of equity-1.13%
$652
1/10/19 2:46 EUR/USD EUR/USD LONG 5 1.15457 1/11 9:07 1.15122 1.23%
Trade id #121889697
Max drawdown($306)
Time1/10/19 13:29
Quant open5
Worst price1.14845
Drawdown as % of equity-1.23%
($168)
1/10/19 6:31 USD/CHF USD/CHF LONG 5 0.97640 1/11 1:10 0.98313 0.05%
Trade id #121891211
Max drawdown($11)
Time1/10/19 6:40
Quant open5
Worst price0.97618
Drawdown as % of equity-0.05%
$342
1/7/19 12:22 USD/CHF USD/CHF LONG 10 0.98018 1/10 6:18 0.97604 3.68%
Trade id #121822537
Max drawdown($877)
Time1/9/19 23:00
Quant open10
Worst price0.97162
Drawdown as % of equity-3.68%
($424)
1/9/19 7:27 EUR/USD EUR/USD LONG 10 1.14500 1/10 2:40 1.15443 0.16%
Trade id #121864064
Max drawdown($37)
Time1/9/19 7:57
Quant open10
Worst price1.14462
Drawdown as % of equity-0.16%
$943
1/4/19 6:47 GBP/USD GBP/USD SHORT 10 1.26725 1/4 8:12 1.26695 0.14%
Trade id #121779027
Max drawdown($31)
Time1/4/19 7:39
Quant open-10
Worst price1.26757
Drawdown as % of equity-0.14%
$30
12/27/18 14:04 USD/JPY USD/JPY LONG 10 110.543 12/27 22:25 110.592 0.14%
Trade id #121685058
Max drawdown($33)
Time12/27/18 14:38
Quant open10
Worst price110.506
Drawdown as % of equity-0.14%
$44
12/27/18 2:56 USD/JPY USD/JPY LONG 10 110.933 12/27 13:54 110.470 1.79%
Trade id #121673586
Max drawdown($419)
Time12/27/18 13:54
Quant open0
Worst price110.470
Drawdown as % of equity-1.79%
($419)
12/18/18 4:56 EUR/USD EUR/USD SHORT 20 1.14265 12/21 10:57 1.14055 5.05%
Trade id #121544978
Max drawdown($1,091)
Time12/20/18 5:22
Quant open-10
Worst price1.14858
Drawdown as % of equity-5.05%
$419

Statistics

  • Strategy began
    7/22/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    241.28
  • Age
    8 months ago
  • What it trades
    Forex
  • # Trades
    114
  • # Profitable
    72
  • % Profitable
    63.20%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    23.76%
  • drawdown period
    Feb 04, 2019 - March 20, 2019
  • Cumul. Return
    97.2%
  • Avg win
    $373.79
  • Avg loss
    $393.93
  • Model Account Values (Raw)
  • Cash
    $24,174
  • Margin Used
    $14,089
  • Buying Power
    $6,267
  • Ratios
  • W:L ratio
    1.63:1
  • Sharpe Ratio
    3.137
  • Sortino Ratio
    6.676
  • Calmar Ratio
    17.72
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.11500
  • Return Statistics
  • Ann Return (w trading costs)
    175.5%
  • Ann Return (Compnd, No Fees)
    195.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    969
  • Popularity (Last 6 weeks)
    998
  • C2 Score
    64.9
  • 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
    $390
  • Avg Win
    $374
  • # Winners
    72
  • # Losers
    42
  • % Winners
    63.2%
  • Frequency
  • Avg Position Time (mins)
    4231.33
  • Avg Position Time (hrs)
    70.52
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.66390
  • SD
    0.40423
  • Sharpe ratio (Glass type estimate)
    4.11623
  • Sharpe ratio (Hedges UMVUE)
    3.57546
  • df
    6.00000
  • t
    3.14382
  • p
    0.00999
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.45547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30778
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.84315
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.66390
  • Downside part of mean
    0.00000
  • Upside SD
    0.60891
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.00269
  • Mean of criterion
    1.66390
  • SD of predictor
    0.27941
  • SD of criterion
    0.40423
  • Covariance
    -0.02358
  • r
    -0.20874
  • b (slope, estimate of beta)
    -0.30199
  • a (intercept, estimate of alpha)
    1.66308
  • Mean Square Error
    0.18754
  • DF error
    5.00000
  • t(b)
    -0.47727
  • p(b)
    0.67335
  • t(a)
    2.93310
  • p(a)
    0.01626
  • Lowerbound of 95% confidence interval for beta
    -1.92859
  • Upperbound of 95% confidence interval for beta
    1.32461
  • Lowerbound of 95% confidence interval for alpha
    0.20549
  • Upperbound of 95% confidence interval for alpha
    3.12068
  • Treynor index (mean / b)
    -5.50970
  • Jensen alpha (a)
    1.66308
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.50224
  • SD
    0.34828
  • Sharpe ratio (Glass type estimate)
    4.31335
  • Sharpe ratio (Hedges UMVUE)
    3.74669
  • df
    6.00000
  • t
    3.29438
  • p
    0.00826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.72550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.07522
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.50224
  • Downside part of mean
    0.00000
  • Upside SD
    0.54040
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    -0.03591
  • Mean of criterion
    1.50224
  • SD of predictor
    0.27835
  • SD of criterion
    0.34828
  • Covariance
    -0.01894
  • r
    -0.19534
  • b (slope, estimate of beta)
    -0.24442
  • a (intercept, estimate of alpha)
    1.49346
  • Mean Square Error
    0.14000
  • DF error
    5.00000
  • t(b)
    -0.44538
  • p(b)
    0.66267
  • t(a)
    3.04603
  • p(a)
    0.01428
  • Lowerbound of 95% confidence interval for beta
    -1.65517
  • Upperbound of 95% confidence interval for beta
    1.16633
  • Lowerbound of 95% confidence interval for alpha
    0.23306
  • Upperbound of 95% confidence interval for alpha
    2.75386
  • Treynor index (mean / b)
    -6.14617
  • Jensen alpha (a)
    1.49346
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03939
  • Expected Shortfall on VaR
    0.07828
  • 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
    7.00000
  • Minimum
    1.01528
  • Quartile 1
    1.04850
  • Median
    1.11223
  • Quartile 3
    1.21562
  • Maximum
    1.33115
  • Mean of quarter 1
    1.03081
  • Mean of quarter 2
    1.08145
  • Mean of quarter 3
    1.19753
  • Mean of quarter 4
    1.28243
  • Inter Quartile Range
    0.16712
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.47102
  • Compounded annual return (geometric extrapolation)
    3.61884
  • 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
    46.23120
  • 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
    1.27105
  • SD
    0.40332
  • Sharpe ratio (Glass type estimate)
    3.15148
  • Sharpe ratio (Hedges UMVUE)
    3.13739
  • df
    168.00000
  • t
    2.53109
  • p
    0.40417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.61038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.60071
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.67608
  • Upside Potential Ratio
    13.37800
  • Upside part of mean
    2.54703
  • Downside part of mean
    -1.27597
  • Upside SD
    0.36280
  • Downside SD
    0.19039
  • N nonnegative terms
    72.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    169.00000
  • Mean of predictor
    -0.00338
  • Mean of criterion
    1.27105
  • SD of predictor
    0.17387
  • SD of criterion
    0.40332
  • Covariance
    -0.00900
  • r
    -0.12835
  • b (slope, estimate of beta)
    -0.29773
  • a (intercept, estimate of alpha)
    1.27000
  • Mean Square Error
    0.16095
  • DF error
    167.00000
  • t(b)
    -1.67245
  • p(b)
    0.58148
  • t(a)
    2.54257
  • p(a)
    0.37787
  • Lowerbound of 95% confidence interval for beta
    -0.64919
  • Upperbound of 95% confidence interval for beta
    0.05373
  • Lowerbound of 95% confidence interval for alpha
    0.28387
  • Upperbound of 95% confidence interval for alpha
    2.25622
  • Treynor index (mean / b)
    -4.26918
  • Jensen alpha (a)
    1.27005
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.18929
  • SD
    0.39577
  • Sharpe ratio (Glass type estimate)
    3.00503
  • Sharpe ratio (Hedges UMVUE)
    2.99160
  • df
    168.00000
  • t
    2.41347
  • p
    0.40847
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.46212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.45284
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.08053
  • Upside Potential Ratio
    12.69960
  • Upside part of mean
    2.48391
  • Downside part of mean
    -1.29462
  • Upside SD
    0.35050
  • Downside SD
    0.19559
  • N nonnegative terms
    72.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    169.00000
  • Mean of predictor
    -0.01841
  • Mean of criterion
    1.18929
  • SD of predictor
    0.17389
  • SD of criterion
    0.39577
  • Covariance
    -0.00884
  • r
    -0.12846
  • b (slope, estimate of beta)
    -0.29237
  • a (intercept, estimate of alpha)
    1.18391
  • Mean Square Error
    0.15497
  • DF error
    167.00000
  • t(b)
    -1.67400
  • p(b)
    0.58156
  • t(a)
    2.41535
  • p(a)
    0.38370
  • Lowerbound of 95% confidence interval for beta
    -0.63719
  • Upperbound of 95% confidence interval for beta
    0.05244
  • Lowerbound of 95% confidence interval for alpha
    0.21620
  • Upperbound of 95% confidence interval for alpha
    2.15162
  • Treynor index (mean / b)
    -4.06771
  • Jensen alpha (a)
    1.18391
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03505
  • Expected Shortfall on VaR
    0.04482
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01210
  • Expected Shortfall on VaR
    0.02491
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    169.00000
  • Minimum
    0.90782
  • Quartile 1
    0.99447
  • Median
    1.00000
  • Quartile 3
    1.00824
  • Maximum
    1.12727
  • Mean of quarter 1
    0.98263
  • Mean of quarter 2
    0.99843
  • Mean of quarter 3
    1.00221
  • Mean of quarter 4
    1.03709
  • Inter Quartile Range
    0.01377
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04734
  • Mean of outliers low
    0.95864
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.11834
  • Mean of outliers high
    1.05723
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36927
  • VaR(95%) (moments method)
    0.01673
  • Expected Shortfall (moments method)
    0.03140
  • Extreme Value Index (regression method)
    0.22096
  • VaR(95%) (regression method)
    0.01393
  • Expected Shortfall (regression method)
    0.02184
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00240
  • Quartile 1
    0.01039
  • Median
    0.01886
  • Quartile 3
    0.05158
  • Maximum
    0.13419
  • Mean of quarter 1
    0.00668
  • Mean of quarter 2
    0.01366
  • Mean of quarter 3
    0.03647
  • Mean of quarter 4
    0.09256
  • Inter Quartile Range
    0.04119
  • 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
    0.10526
  • Mean of outliers high
    0.12599
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.24652
  • VaR(95%) (moments method)
    0.09945
  • Expected Shortfall (moments method)
    0.10077
  • Extreme Value Index (regression method)
    -0.82304
  • VaR(95%) (regression method)
    0.11850
  • Expected Shortfall (regression method)
    0.12917
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.84906
  • Compounded annual return (geometric extrapolation)
    2.37772
  • Calmar ratio (compounded annual return / max draw down)
    17.71960
  • Compounded annual return / average of 25% largest draw downs
    25.68880
  • Compounded annual return / Expected Shortfall lognormal
    53.05180
  • 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
    0.79875
  • SD
    0.39842
  • Sharpe ratio (Glass type estimate)
    2.00476
  • Sharpe ratio (Hedges UMVUE)
    1.99317
  • df
    130.00000
  • t
    1.41758
  • p
    0.43831
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78350
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78920
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.77555
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95688
  • Upside Potential Ratio
    10.69410
  • Upside part of mean
    2.15874
  • Downside part of mean
    -1.35999
  • Upside SD
    0.34528
  • Downside SD
    0.20186
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06511
  • Mean of criterion
    0.79875
  • SD of predictor
    0.19373
  • SD of criterion
    0.39842
  • Covariance
    -0.01225
  • r
    -0.15869
  • b (slope, estimate of beta)
    -0.32635
  • a (intercept, estimate of alpha)
    0.77750
  • Mean Square Error
    0.15594
  • DF error
    129.00000
  • t(b)
    -1.82545
  • p(b)
    0.60060
  • t(a)
    1.39189
  • p(a)
    0.42275
  • Lowerbound of 95% confidence interval for beta
    -0.68006
  • Upperbound of 95% confidence interval for beta
    0.02737
  • Lowerbound of 95% confidence interval for alpha
    -0.32769
  • Upperbound of 95% confidence interval for alpha
    1.88268
  • Treynor index (mean / b)
    -2.44754
  • Jensen alpha (a)
    0.77750
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72084
  • SD
    0.39096
  • Sharpe ratio (Glass type estimate)
    1.84377
  • Sharpe ratio (Hedges UMVUE)
    1.83311
  • df
    130.00000
  • t
    1.30374
  • p
    0.44320
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94047
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61386
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46897
  • Upside Potential Ratio
    10.11500
  • Upside part of mean
    2.10186
  • Downside part of mean
    -1.38102
  • Upside SD
    0.33239
  • Downside SD
    0.20780
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08374
  • Mean of criterion
    0.72084
  • SD of predictor
    0.19375
  • SD of criterion
    0.39096
  • Covariance
    -0.01206
  • r
    -0.15918
  • b (slope, estimate of beta)
    -0.32120
  • a (intercept, estimate of alpha)
    0.69394
  • Mean Square Error
    0.15013
  • DF error
    129.00000
  • t(b)
    -1.83129
  • p(b)
    0.60091
  • t(a)
    1.26595
  • p(a)
    0.42962
  • Lowerbound of 95% confidence interval for beta
    -0.66823
  • Upperbound of 95% confidence interval for beta
    0.02582
  • Lowerbound of 95% confidence interval for alpha
    -0.39060
  • Upperbound of 95% confidence interval for alpha
    1.77848
  • Treynor index (mean / b)
    -2.24417
  • Jensen alpha (a)
    0.69394
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03630
  • Expected Shortfall on VaR
    0.04594
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01352
  • Expected Shortfall on VaR
    0.02754
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90782
  • Quartile 1
    0.99386
  • Median
    1.00000
  • Quartile 3
    1.00490
  • Maximum
    1.12727
  • Mean of quarter 1
    0.98170
  • Mean of quarter 2
    0.99795
  • Mean of quarter 3
    1.00093
  • Mean of quarter 4
    1.03197
  • Inter Quartile Range
    0.01104
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.95785
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.04724
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48452
  • VaR(95%) (moments method)
    0.01936
  • Expected Shortfall (moments method)
    0.04153
  • Extreme Value Index (regression method)
    0.67167
  • VaR(95%) (regression method)
    0.01572
  • Expected Shortfall (regression method)
    0.04363
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00240
  • Quartile 1
    0.01021
  • Median
    0.02930
  • Quartile 3
    0.05244
  • Maximum
    0.13419
  • Mean of quarter 1
    0.00634
  • Mean of quarter 2
    0.01646
  • Mean of quarter 3
    0.04100
  • Mean of quarter 4
    0.09524
  • Inter Quartile Range
    0.04222
  • 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
    0.14286
  • Mean of outliers high
    0.12599
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.75980
  • VaR(95%) (moments method)
    0.10242
  • Expected Shortfall (moments method)
    0.10308
  • Extreme Value Index (regression method)
    -1.40002
  • VaR(95%) (regression method)
    0.14149
  • Expected Shortfall (regression method)
    0.14695
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90816
  • Compounded annual return (geometric extrapolation)
    1.11434
  • Calmar ratio (compounded annual return / max draw down)
    8.30446
  • Compounded annual return / average of 25% largest draw downs
    11.70070
  • Compounded annual return / Expected Shortfall lognormal
    24.25560

Strategy Description

If the trader makes 30-40% per year, he's a good trader, in my opinion... He's good, if he makes that money with a reasonable risk.If not, it will eventually lose all the money. I've seen it 100 times.... If you look in my trading history you'll see a lot of losing trade.I have closed the positions to keep the risk in acceptable limits. (DD max 10%) I trade only clear patterns,but is profitable only 60%.You must accept this if you want to subscribe.What you need to know some time we have 50-60 lots in opened position. It's pretty much ...Pls adjust your risk very well. I'm sure we can have one profitable
years.Think positive and be patience...:)

Summary Statistics

Strategy began
2018-07-22
Suggested Minimum Capital
$25,000
# Trades
114
# Profitable
72
% Profitable
63.2%
Correlation S&P500
-0.115
Sharpe Ratio
3.137

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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