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FX240 Swing
(119832358)

Created by: ToddBrown3 ToddBrown3
Started: 09/2018
Forex
Last trade: Today

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 $49.00 per month.

36.6%
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.

(8.6%)
Max Drawdown
323
Num Trades
49.5%
Win Trades
1.3 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                        +10.8%+5.6%(1%)+5.5%+22.1%
2019(3.2%)+12.4%+3.9%(0.3%)(0.9%)                                          +11.8%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/19 9:56 USD/CAD USD/CAD LONG 1 1.33880 5/23 12:53 1.34730 n/a $63
5/22/19 9:42 EUR/CHF EUR/CHF SHORT 1 1.12560 5/23 10:00 1.12220 n/a $34
5/22/19 10:20 GBP/USD GBP/USD SHORT 5 1.26578 5/23 2:36 1.26670 n/a ($46)
5/3/19 8:35 NZD/USD NZD/USD LONG 1 0.66192 5/17 14:20 0.65174 0.73%
Trade id #123518467
Max drawdown($102)
Time5/17/19 14:20
Quant open0
Worst price0.65174
Drawdown as % of equity-0.73%
($102)
5/3/19 8:32 AUD/USD AUD/USD LONG 1 0.69875 5/14 8:32 0.69378 0.35%
Trade id #123518434
Max drawdown($50)
Time5/14/19 8:32
Quant open0
Worst price0.69378
Drawdown as % of equity-0.35%
($50)
5/8/19 8:02 USD/JPY USD/JPY LONG 2 109.819 5/13 8:17 109.310 0.66%
Trade id #123570523
Max drawdown($93)
Time5/13/19 8:17
Quant open1
Worst price109.270
Drawdown as % of equity-0.66%
($93)
4/22/19 19:27 EUR/CHF EUR/CHF SHORT 2 1.14336 5/13 4:07 1.13634 0.6%
Trade id #123394141
Max drawdown($85)
Time4/23/19 5:41
Quant open-2
Worst price1.14765
Drawdown as % of equity-0.60%
$139
5/8/19 8:06 EUR/JPY EUR/JPY LONG 1 123.307 5/9 4:21 122.550 0.49%
Trade id #123570599
Max drawdown($69)
Time5/9/19 4:21
Quant open0
Worst price122.550
Drawdown as % of equity-0.49%
($69)
4/15/19 11:36 USD/JPY USD/JPY SHORT 1 112.004 5/5 20:38 110.490 0.25%
Trade id #123315698
Max drawdown($35)
Time4/24/19 15:08
Quant open-1
Worst price112.400
Drawdown as % of equity-0.25%
$137
4/24/19 17:47 USD/CAD USD/CAD LONG 1 1.34956 4/30 13:32 1.33917 0.55%
Trade id #123418969
Max drawdown($78)
Time4/30/19 13:32
Quant open0
Worst price1.33917
Drawdown as % of equity-0.55%
($78)
4/23/19 10:30 EUR/USD EUR/USD LONG 1 1.12006 4/26 8:30 1.11110 0.63%
Trade id #123400727
Max drawdown($90)
Time4/26/19 8:30
Quant open0
Worst price1.11110
Drawdown as % of equity-0.63%
($90)
4/22/19 19:15 GBP/USD GBP/USD LONG 1 1.29817 4/24 10:29 1.29554 0.47%
Trade id #123394098
Max drawdown($67)
Time4/24/19 3:04
Quant open1
Worst price1.29147
Drawdown as % of equity-0.47%
($26)
3/5/19 15:22 AUD/USD AUD/USD LONG 3 0.70882 4/22 11:22 0.71595 0.76%
Trade id #122794700
Max drawdown($106)
Time4/2/19 11:51
Quant open3
Worst price0.70527
Drawdown as % of equity-0.76%
$214
4/18/19 11:21 GBP/USD GBP/USD SHORT 1 1.30075 4/18 12:55 1.29869 0.01%
Trade id #123360039
Max drawdown($1)
Time4/18/19 11:23
Quant open-1
Worst price1.30092
Drawdown as % of equity-0.01%
$21
3/4/19 14:34 USD/CHF USD/CHF SHORT 3 0.99948 3/5 15:22 1.00433 1.26%
Trade id #122779563
Max drawdown($178)
Time3/5/19 13:02
Quant open-3
Worst price1.00546
Drawdown as % of equity-1.26%
($145)
3/4/19 14:34 GBP/USD GBP/USD LONG 3 1.31676 3/5 15:22 1.31748 1.48%
Trade id #122779561
Max drawdown($210)
Time3/5/19 8:09
Quant open3
Worst price1.30976
Drawdown as % of equity-1.48%
$22
3/1/19 4:09 GBP/USD GBP/USD SHORT 20 1.32447 3/1 12:58 1.32052 6.25%
Trade id #122744426
Max drawdown($835)
Time3/1/19 10:07
Quant open-20
Worst price1.32864
Drawdown as % of equity-6.25%
$789
2/27/19 18:18 USD/CHF USD/CHF SHORT 3 1.00073 3/1 12:58 0.99916 0.06%
Trade id #122724138
Max drawdown($8)
Time2/27/19 19:18
Quant open-3
Worst price1.00100
Drawdown as % of equity-0.06%
$47
3/1/19 4:02 GBP/USD GBP/USD LONG 10 1.32547 3/1 4:09 1.32472 0.56%
Trade id #122744353
Max drawdown($75)
Time3/1/19 4:09
Quant open0
Worst price1.32472
Drawdown as % of equity-0.56%
($75)
3/1/19 3:56 GBP/USD GBP/USD SHORT 10 1.32498 3/1 4:02 1.32548 0.37%
Trade id #122744299
Max drawdown($50)
Time3/1/19 4:02
Quant open0
Worst price1.32548
Drawdown as % of equity-0.37%
($50)
3/1/19 3:47 GBP/USD GBP/USD LONG 10 1.32539 3/1 3:56 1.32497 0.53%
Trade id #122744181
Max drawdown($72)
Time3/1/19 3:55
Quant open10
Worst price1.32467
Drawdown as % of equity-0.53%
($42)
3/1/19 3:13 GBP/USD GBP/USD SHORT 10 1.32453 3/1 3:47 1.32539 0.63%
Trade id #122744036
Max drawdown($86)
Time3/1/19 3:47
Quant open0
Worst price1.32539
Drawdown as % of equity-0.63%
($86)
2/28/19 13:48 GBP/USD GBP/USD SHORT 30 1.32684 2/28 23:23 1.32651 0.9%
Trade id #122736839
Max drawdown($122)
Time2/28/19 14:13
Quant open-20
Worst price1.32735
Drawdown as % of equity-0.90%
$99
2/28/19 12:58 GBP/USD GBP/USD LONG 10 1.32667 2/28 13:48 1.32670 0.35%
Trade id #122736108
Max drawdown($48)
Time2/28/19 13:22
Quant open10
Worst price1.32619
Drawdown as % of equity-0.35%
$3
2/28/19 11:29 GBP/USD GBP/USD SHORT 10 1.32931 2/28 12:58 1.32668 0.2%
Trade id #122734321
Max drawdown($26)
Time2/28/19 11:32
Quant open-10
Worst price1.32957
Drawdown as % of equity-0.20%
$263
2/28/19 10:58 GBP/USD GBP/USD LONG 10 1.32975 2/28 11:29 1.32941 0.94%
Trade id #122733486
Max drawdown($125)
Time2/28/19 11:11
Quant open10
Worst price1.32850
Drawdown as % of equity-0.94%
($34)
2/28/19 10:44 GBP/USD GBP/USD LONG 20 1.32881 2/28 10:57 1.32863 0.51%
Trade id #122733128
Max drawdown($68)
Time2/28/19 10:46
Quant open20
Worst price1.32847
Drawdown as % of equity-0.51%
($36)
2/28/19 10:37 GBP/USD GBP/USD SHORT 10 1.32751 2/28 10:44 1.32851 0.74%
Trade id #122732995
Max drawdown($100)
Time2/28/19 10:44
Quant open0
Worst price1.32851
Drawdown as % of equity-0.74%
($100)
2/28/19 10:36 GBP/USD GBP/USD LONG 10 1.32859 2/28 10:37 1.32759 0.74%
Trade id #122732955
Max drawdown($100)
Time2/28/19 10:37
Quant open0
Worst price1.32759
Drawdown as % of equity-0.74%
($100)
2/28/19 10:21 GBP/USD GBP/USD SHORT 10 1.32814 2/28 10:36 1.32811 n/a $3

Statistics

  • Strategy began
    9/12/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    252.99
  • Age
    8 months ago
  • What it trades
    Forex
  • # Trades
    323
  • # Profitable
    160
  • % Profitable
    49.50%
  • Avg trade duration
    15.9 hours
  • Max peak-to-valley drawdown
    8.59%
  • drawdown period
    Feb 25, 2019 - Feb 25, 2019
  • Cumul. Return
    36.6%
  • Avg win
    $109.85
  • Avg loss
    $82.69
  • Model Account Values (Raw)
  • Cash
    $14,098
  • Margin Used
    $0
  • Buying Power
    $14,098
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    1.74
  • Sortino Ratio
    3.17
  • Calmar Ratio
    11.347
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.01330
  • Return Statistics
  • Ann Return (w trading costs)
    56.1%
  • Ann Return (Compnd, No Fees)
    63.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    366
  • Popularity (Last 6 weeks)
    888
  • C2 Score
    69.0
  • 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
    $83
  • Avg Win
    $110
  • # Winners
    160
  • # Losers
    163
  • % Winners
    49.5%
  • Frequency
  • Avg Position Time (mins)
    956.93
  • Avg Position Time (hrs)
    15.95
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.77
  • Daily leverage (max)
    23.46
  • Unknown
  • Alpha
    0.12
  • Beta
    0.02
  • Treynor Index
    6.95
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69615
  • SD
    0.16164
  • Sharpe ratio (Glass type estimate)
    4.30693
  • Sharpe ratio (Hedges UMVUE)
    3.62105
  • df
    5.00000
  • t
    3.04546
  • p
    0.01429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40853
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.99859
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05456
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.18753
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.69615
  • Downside part of mean
    0.00000
  • Upside SD
    0.24931
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.00960
  • Mean of criterion
    0.69615
  • SD of predictor
    0.16456
  • SD of criterion
    0.16164
  • Covariance
    -0.01393
  • r
    -0.52367
  • b (slope, estimate of beta)
    -0.51435
  • a (intercept, estimate of alpha)
    0.70109
  • Mean Square Error
    0.02370
  • DF error
    4.00000
  • t(b)
    -1.22939
  • p(b)
    0.85685
  • t(a)
    3.21955
  • p(a)
    0.01615
  • Lowerbound of 95% confidence interval for beta
    -1.67619
  • Upperbound of 95% confidence interval for beta
    0.64748
  • Lowerbound of 95% confidence interval for alpha
    0.09637
  • Upperbound of 95% confidence interval for alpha
    1.30581
  • Treynor index (mean / b)
    -1.35345
  • Jensen alpha (a)
    0.70109
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66558
  • SD
    0.15146
  • Sharpe ratio (Glass type estimate)
    4.39454
  • Sharpe ratio (Hedges UMVUE)
    3.69470
  • df
    5.00000
  • t
    3.10741
  • p
    0.01331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46035
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.12242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09932
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.29009
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.66558
  • Downside part of mean
    0.00000
  • Upside SD
    0.23671
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.00155
  • Mean of criterion
    0.66558
  • SD of predictor
    0.16302
  • SD of criterion
    0.15146
  • Covariance
    -0.01294
  • r
    -0.52391
  • b (slope, estimate of beta)
    -0.48674
  • a (intercept, estimate of alpha)
    0.66483
  • Mean Square Error
    0.02080
  • DF error
    4.00000
  • t(b)
    -1.23016
  • p(b)
    0.85698
  • t(a)
    3.25931
  • p(a)
    0.01555
  • Lowerbound of 95% confidence interval for beta
    -1.58550
  • Upperbound of 95% confidence interval for beta
    0.61203
  • Lowerbound of 95% confidence interval for alpha
    0.09838
  • Upperbound of 95% confidence interval for alpha
    1.23127
  • Treynor index (mean / b)
    -1.36744
  • Jensen alpha (a)
    0.66483
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01632
  • Expected Shortfall on VaR
    0.03400
  • 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
    6.00000
  • Minimum
    1.01121
  • Quartile 1
    1.02168
  • Median
    1.05862
  • Quartile 3
    1.08336
  • Maximum
    1.13263
  • Mean of quarter 1
    1.01249
  • Mean of quarter 2
    1.04539
  • Mean of quarter 3
    1.07185
  • Mean of quarter 4
    1.10992
  • Inter Quartile Range
    0.06169
  • 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)
    0.82891
  • Compounded annual return (geometric extrapolation)
    1.00068
  • 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
    29.43370
  • 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
    0.56652
  • SD
    0.20745
  • Sharpe ratio (Glass type estimate)
    2.73088
  • Sharpe ratio (Hedges UMVUE)
    2.71730
  • df
    151.00000
  • t
    2.08005
  • p
    0.39425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13490
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.31807
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12589
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.30870
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.38747
  • Upside Potential Ratio
    12.47540
  • Upside part of mean
    1.31185
  • Downside part of mean
    -0.74533
  • Upside SD
    0.18144
  • Downside SD
    0.10515
  • N nonnegative terms
    80.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    152.00000
  • Mean of predictor
    -0.05255
  • Mean of criterion
    0.56652
  • SD of predictor
    0.17665
  • SD of criterion
    0.20745
  • Covariance
    0.00059
  • r
    0.01598
  • b (slope, estimate of beta)
    0.01876
  • a (intercept, estimate of alpha)
    0.56800
  • Mean Square Error
    0.04331
  • DF error
    150.00000
  • t(b)
    0.19573
  • p(b)
    0.49201
  • t(a)
    2.07667
  • p(a)
    0.41641
  • Lowerbound of 95% confidence interval for beta
    -0.17067
  • Upperbound of 95% confidence interval for beta
    0.20820
  • Lowerbound of 95% confidence interval for alpha
    0.02754
  • Upperbound of 95% confidence interval for alpha
    1.10747
  • Treynor index (mean / b)
    30.19050
  • Jensen alpha (a)
    0.56750
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54485
  • SD
    0.20494
  • Sharpe ratio (Glass type estimate)
    2.65858
  • Sharpe ratio (Hedges UMVUE)
    2.64535
  • df
    151.00000
  • t
    2.02498
  • p
    0.39694
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.24492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.23581
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.12285
  • Upside Potential Ratio
    12.18270
  • Upside part of mean
    1.29571
  • Downside part of mean
    -0.75086
  • Upside SD
    0.17761
  • Downside SD
    0.10636
  • N nonnegative terms
    80.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    152.00000
  • Mean of predictor
    -0.06816
  • Mean of criterion
    0.54485
  • SD of predictor
    0.17758
  • SD of criterion
    0.20494
  • Covariance
    0.00061
  • r
    0.01669
  • b (slope, estimate of beta)
    0.01926
  • a (intercept, estimate of alpha)
    0.54616
  • Mean Square Error
    0.04227
  • DF error
    150.00000
  • t(b)
    0.20445
  • p(b)
    0.49165
  • t(a)
    2.02284
  • p(a)
    0.41852
  • Lowerbound of 95% confidence interval for beta
    -0.16689
  • Upperbound of 95% confidence interval for beta
    0.20542
  • Lowerbound of 95% confidence interval for alpha
    0.01267
  • Upperbound of 95% confidence interval for alpha
    1.07965
  • Treynor index (mean / b)
    28.28570
  • Jensen alpha (a)
    0.54616
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01857
  • Expected Shortfall on VaR
    0.02374
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00626
  • Expected Shortfall on VaR
    0.01297
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    152.00000
  • Minimum
    0.96276
  • Quartile 1
    0.99706
  • Median
    1.00073
  • Quartile 3
    1.00516
  • Maximum
    1.07516
  • Mean of quarter 1
    0.98976
  • Mean of quarter 2
    0.99912
  • Mean of quarter 3
    1.00308
  • Mean of quarter 4
    1.01712
  • Inter Quartile Range
    0.00811
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03947
  • Mean of outliers low
    0.97531
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.07237
  • Mean of outliers high
    1.03363
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19419
  • VaR(95%) (moments method)
    0.00870
  • Expected Shortfall (moments method)
    0.01392
  • Extreme Value Index (regression method)
    0.17630
  • VaR(95%) (regression method)
    0.01080
  • Expected Shortfall (regression method)
    0.01762
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00064
  • Quartile 1
    0.01229
  • Median
    0.02001
  • Quartile 3
    0.03221
  • Maximum
    0.06813
  • Mean of quarter 1
    0.00384
  • Mean of quarter 2
    0.01631
  • Mean of quarter 3
    0.02554
  • Mean of quarter 4
    0.05017
  • Inter Quartile Range
    0.01992
  • 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
    0.08333
  • Mean of outliers high
    0.06813
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.64081
  • VaR(95%) (moments method)
    0.05485
  • Expected Shortfall (moments method)
    0.05487
  • Extreme Value Index (regression method)
    -0.88874
  • VaR(95%) (regression method)
    0.07355
  • Expected Shortfall (regression method)
    0.08020
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67939
  • Compounded annual return (geometric extrapolation)
    0.77315
  • Calmar ratio (compounded annual return / max draw down)
    11.34740
  • Compounded annual return / average of 25% largest draw downs
    15.41040
  • Compounded annual return / Expected Shortfall lognormal
    32.56790
  • 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
    0.42268
  • SD
    0.18793
  • Sharpe ratio (Glass type estimate)
    2.24910
  • Sharpe ratio (Hedges UMVUE)
    2.23610
  • df
    130.00000
  • t
    1.59036
  • p
    0.43093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54040
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03012
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54900
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.02120
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.84368
  • Upside Potential Ratio
    10.93350
  • Upside part of mean
    1.20231
  • Downside part of mean
    -0.77964
  • Upside SD
    0.15374
  • Downside SD
    0.10997
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05603
  • Mean of criterion
    0.42268
  • SD of predictor
    0.18054
  • SD of criterion
    0.18793
  • Covariance
    -0.00076
  • r
    -0.02245
  • b (slope, estimate of beta)
    -0.02336
  • a (intercept, estimate of alpha)
    0.42398
  • Mean Square Error
    0.03557
  • DF error
    129.00000
  • t(b)
    -0.25500
  • p(b)
    0.51429
  • t(a)
    1.58924
  • p(a)
    0.41206
  • Lowerbound of 95% confidence interval for beta
    -0.20465
  • Upperbound of 95% confidence interval for beta
    0.15792
  • Lowerbound of 95% confidence interval for alpha
    -0.10386
  • Upperbound of 95% confidence interval for alpha
    0.95182
  • Treynor index (mean / b)
    -18.09020
  • Jensen alpha (a)
    0.42398
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40491
  • SD
    0.18691
  • Sharpe ratio (Glass type estimate)
    2.16640
  • Sharpe ratio (Hedges UMVUE)
    2.15388
  • df
    130.00000
  • t
    1.53188
  • p
    0.43342
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63026
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93802
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.63928
  • Upside Potential Ratio
    10.70100
  • Upside part of mean
    1.19061
  • Downside part of mean
    -0.78570
  • Upside SD
    0.15137
  • Downside SD
    0.11126
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03975
  • Mean of criterion
    0.40491
  • SD of predictor
    0.18138
  • SD of criterion
    0.18691
  • Covariance
    -0.00071
  • r
    -0.02106
  • b (slope, estimate of beta)
    -0.02171
  • a (intercept, estimate of alpha)
    0.40578
  • Mean Square Error
    0.03519
  • DF error
    129.00000
  • t(b)
    -0.23930
  • p(b)
    0.51341
  • t(a)
    1.52942
  • p(a)
    0.41529
  • Lowerbound of 95% confidence interval for beta
    -0.20117
  • Upperbound of 95% confidence interval for beta
    0.15776
  • Lowerbound of 95% confidence interval for alpha
    -0.11915
  • Upperbound of 95% confidence interval for alpha
    0.93071
  • Treynor index (mean / b)
    -18.65450
  • Jensen alpha (a)
    0.40578
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01730
  • Expected Shortfall on VaR
    0.02202
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00648
  • Expected Shortfall on VaR
    0.01345
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96276
  • Quartile 1
    0.99683
  • Median
    1.00083
  • Quartile 3
    1.00519
  • Maximum
    1.04928
  • Mean of quarter 1
    0.98928
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00324
  • Mean of quarter 4
    1.01520
  • Inter Quartile Range
    0.00836
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97531
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03200
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27497
  • VaR(95%) (moments method)
    0.00984
  • Expected Shortfall (moments method)
    0.01679
  • Extreme Value Index (regression method)
    0.27127
  • VaR(95%) (regression method)
    0.01117
  • Expected Shortfall (regression method)
    0.01938
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00064
  • Quartile 1
    0.00705
  • Median
    0.01636
  • Quartile 3
    0.03236
  • Maximum
    0.06813
  • Mean of quarter 1
    0.00384
  • Mean of quarter 2
    0.01276
  • Mean of quarter 3
    0.02689
  • Mean of quarter 4
    0.05017
  • Inter Quartile Range
    0.02531
  • 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)
    -5.64081
  • VaR(95%) (moments method)
    0.05486
  • Expected Shortfall (moments method)
    0.05487
  • Extreme Value Index (regression method)
    -0.88874
  • VaR(95%) (regression method)
    0.07452
  • Expected Shortfall (regression method)
    0.08072
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48322
  • Compounded annual return (geometric extrapolation)
    0.54160
  • Calmar ratio (compounded annual return / max draw down)
    7.94905
  • Compounded annual return / average of 25% largest draw downs
    10.79520
  • Compounded annual return / Expected Shortfall lognormal
    24.59840

Strategy Description

Summary Statistics

Strategy began
2018-09-12
Suggested Minimum Capital
$15,000
# Trades
323
# Profitable
160
% Profitable
49.5%
Correlation S&P500
0.013
Sharpe Ratio
1.74
Sortino Ratio
3.17
Beta
0.02
Alpha
0.12
Leverage
6.77 Average
23.46 Maximum

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 nominal 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.