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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/09/2018
Most recent certification approved 10/15/18 12:11 ET
Trades at broker Oanda
Scaling percentage used 25%
# trading signals issued by system since certification 564
# trading signals executed in manager's Oanda account 525
Percent signals followed since 10/09/2018 93.1%
This information was last updated 1/4/19 16:40 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/09/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

FX Hedge Fund
(117104490)

Created by: GoldmanStrategy GoldmanStrategy
Started: 03/2018
Forex
Last trade: Today
Trading style: Futures Short Term 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 $29.00 per month.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
-29.6%
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.

(63.5%)
Max Drawdown
1201
Num Trades
71.1%
Win Trades
1.0 : 1
Profit Factor
46.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                -  +3.7%+22.1%+4.0%+3.3%(5.6%)+18.6%+1.1%(15%)(17.2%)+8.4%
2019(13.6%)(14.9%)(0.5%)+4.3%(20.4%)                                          (39.3%)

Model Account Details

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

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

System developer has asked us to delay this information by one hour.

Trading Record

This strategy has placed 743 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/23/19 2:54 EUR/USD EUR/USD SHORT 3 1.11420 5/23 9:05 1.11220 n/a $60
5/22/19 0:00 EUR/USD EUR/USD SHORT 3 1.11620 5/23 2:53 1.11420 n/a $60
5/21/19 10:58 EUR/USD EUR/USD LONG 3 1.11810 5/22 0:00 1.11620 2.12%
Trade id #123753859
Max drawdown($81)
Time5/21/19 14:13
Quant open3
Worst price1.11540
Drawdown as % of equity-2.12%
($57)
5/21/19 3:25 GBP/USD GBP/USD SHORT 3 1.26880 5/22 0:00 1.27170 9.76%
Trade id #123748445
Max drawdown($375)
Time5/21/19 10:59
Quant open-3
Worst price1.28132
Drawdown as % of equity-9.76%
($87)
5/21/19 0:11 EUR/USD EUR/USD LONG 3 1.11620 5/21 10:57 1.11820 1.53%
Trade id #123747004
Max drawdown($60)
Time5/21/19 4:29
Quant open3
Worst price1.11420
Drawdown as % of equity-1.53%
$60
5/21/19 2:35 GBP/USD GBP/USD SHORT 3 1.27080 5/21 3:24 1.26880 0.3%
Trade id #123748055
Max drawdown($11)
Time5/21/19 2:47
Quant open-3
Worst price1.27119
Drawdown as % of equity-0.30%
$60
5/21/19 0:00 GBP/USD GBP/USD SHORT 3 1.27280 5/21 2:33 1.27080 0.04%
Trade id #123746931
Max drawdown($1)
Time5/21/19 0:03
Quant open-3
Worst price1.27285
Drawdown as % of equity-0.04%
$60
5/19/19 17:01 EUR/USD EUR/USD SHORT 3 1.11600 5/21 0:11 1.11620 1.17%
Trade id #123730184
Max drawdown($44)
Time5/20/19 11:40
Quant open-3
Worst price1.11749
Drawdown as % of equity-1.17%
($6)
5/19/19 17:01 GBP/USD GBP/USD LONG 3 1.27440 5/21 0:00 1.27280 2.32%
Trade id #123730189
Max drawdown($88)
Time5/20/19 11:59
Quant open3
Worst price1.27146
Drawdown as % of equity-2.32%
($48)
5/17/19 10:16 GBP/USD GBP/USD SHORT 3 1.27350 5/17 16:40 1.27210 0.71%
Trade id #123710665
Max drawdown($27)
Time5/17/19 10:47
Quant open-3
Worst price1.27442
Drawdown as % of equity-0.71%
$42
5/17/19 0:00 EUR/USD EUR/USD LONG 3 1.11780 5/17 16:40 1.11570 1.77%
Trade id #123704747
Max drawdown($68)
Time5/17/19 10:51
Quant open3
Worst price1.11552
Drawdown as % of equity-1.77%
($63)
5/17/19 7:05 GBP/USD GBP/USD SHORT 3 1.27530 5/17 10:15 1.27330 0.57%
Trade id #123707166
Max drawdown($21)
Time5/17/19 9:43
Quant open-3
Worst price1.27603
Drawdown as % of equity-0.57%
$60
5/17/19 5:17 GBP/USD GBP/USD SHORT 3 1.27710 5/17 7:04 1.27510 0.11%
Trade id #123706795
Max drawdown($4)
Time5/17/19 5:26
Quant open-3
Worst price1.27724
Drawdown as % of equity-0.11%
$60
5/17/19 0:00 GBP/USD GBP/USD SHORT 3 1.27900 5/17 5:16 1.27700 0.43%
Trade id #123704750
Max drawdown($16)
Time5/17/19 0:25
Quant open-3
Worst price1.27954
Drawdown as % of equity-0.43%
$60
5/16/19 15:24 EUR/USD EUR/USD SHORT 3 1.11670 5/17 0:00 1.11780 1.01%
Trade id #123699895
Max drawdown($37)
Time5/16/19 23:41
Quant open-3
Worst price1.11796
Drawdown as % of equity-1.01%
($33)
5/15/19 0:00 GBP/USD GBP/USD LONG 3 1.29120 5/17 0:00 1.27900 10.31%
Trade id #123673361
Max drawdown($388)
Time5/16/19 20:55
Quant open3
Worst price1.27824
Drawdown as % of equity-10.31%
($366)
5/15/19 7:31 EUR/USD EUR/USD SHORT 3 1.11860 5/16 15:23 1.11660 2.96%
Trade id #123676423
Max drawdown($116)
Time5/15/19 10:15
Quant open-3
Worst price1.12247
Drawdown as % of equity-2.96%
$60
5/15/19 0:00 EUR/USD EUR/USD SHORT 3 1.12090 5/15 7:30 1.11880 0.59%
Trade id #123673358
Max drawdown($23)
Time5/15/19 4:08
Quant open-3
Worst price1.12169
Drawdown as % of equity-0.59%
$63
5/14/19 9:06 GBP/USD GBP/USD SHORT 3 1.29200 5/15 0:00 1.29120 0.65%
Trade id #123659884
Max drawdown($25)
Time5/14/19 12:52
Quant open-3
Worst price1.29286
Drawdown as % of equity-0.65%
$24
5/14/19 0:00 EUR/USD EUR/USD LONG 3 1.12400 5/15 0:00 1.12090 2.91%
Trade id #123655769
Max drawdown($116)
Time5/14/19 20:25
Quant open3
Worst price1.12011
Drawdown as % of equity-2.91%
($93)
5/14/19 3:02 GBP/USD GBP/USD SHORT 3 1.29390 5/14 9:05 1.29190 1.9%
Trade id #123657224
Max drawdown($75)
Time5/14/19 7:48
Quant open-3
Worst price1.29640
Drawdown as % of equity-1.90%
$60
5/14/19 0:00 GBP/USD GBP/USD SHORT 3 1.29600 5/14 3:01 1.29400 0.42%
Trade id #123655766
Max drawdown($16)
Time5/14/19 0:19
Quant open-3
Worst price1.29656
Drawdown as % of equity-0.42%
$60
5/12/19 17:01 EUR/USD EUR/USD SHORT 3 1.12350 5/14 0:00 1.12400 2.06%
Trade id #123634796
Max drawdown($85)
Time5/13/19 9:05
Quant open-3
Worst price1.12635
Drawdown as % of equity-2.06%
($15)
5/13/19 9:13 GBP/USD GBP/USD LONG 3 1.30410 5/14 0:00 1.29600 7.59%
Trade id #123641337
Max drawdown($300)
Time5/13/19 12:58
Quant open3
Worst price1.29409
Drawdown as % of equity-7.59%
($243)
5/13/19 6:00 GBP/USD GBP/USD LONG 3 1.30210 5/13 9:12 1.30410 0.81%
Trade id #123639666
Max drawdown($33)
Time5/13/19 8:08
Quant open3
Worst price1.30098
Drawdown as % of equity-0.81%
$60
5/12/19 17:03 GBP/USD GBP/USD LONG 3 1.30030 5/13 5:45 1.30230 0.45%
Trade id #123634811
Max drawdown($18)
Time5/12/19 17:35
Quant open3
Worst price1.29968
Drawdown as % of equity-0.45%
$60
5/10/19 10:35 EUR/USD EUR/USD LONG 3 1.12500 5/10 16:40 1.12390 1.65%
Trade id #123617965
Max drawdown($66)
Time5/10/19 13:27
Quant open3
Worst price1.12279
Drawdown as % of equity-1.65%
($33)
5/10/19 4:01 GBP/USD GBP/USD SHORT 3 1.29960 5/10 16:40 1.30070 3.83%
Trade id #123603273
Max drawdown($154)
Time5/10/19 10:42
Quant open-3
Worst price1.30474
Drawdown as % of equity-3.83%
($33)
5/10/19 0:00 EUR/USD EUR/USD LONG 3 1.12300 5/10 10:34 1.12500 0.91%
Trade id #123601490
Max drawdown($36)
Time5/10/19 2:50
Quant open3
Worst price1.12177
Drawdown as % of equity-0.91%
$60
5/10/19 0:00 GBP/USD GBP/USD SHORT 3 1.30160 5/10 4:00 1.29960 0.72%
Trade id #123601493
Max drawdown($29)
Time5/10/19 3:13
Quant open-3
Worst price1.30258
Drawdown as % of equity-0.72%
$60

Statistics

  • Strategy began
    3/17/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    431.94
  • Age
    14 months ago
  • What it trades
    Forex
  • # Trades
    1201
  • # Profitable
    854
  • % Profitable
    71.10%
  • Avg trade duration
    10.4 hours
  • Max peak-to-valley drawdown
    63.53%
  • drawdown period
    Nov 12, 2018 - May 22, 2019
  • Annual Return (Compounded)
    -29.6%
  • Avg win
    $68.65
  • Avg loss
    $172.46
  • Model Account Values (Raw)
  • Cash
    $4,035
  • Margin Used
    $2,145
  • Buying Power
    $1,637
  • Ratios
  • W:L ratio
    0.98:1
  • Sharpe Ratio
    -0.5
  • Sortino Ratio
    -0.68
  • Calmar Ratio
    -0.405
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.12670
  • Return Statistics
  • Ann Return (w trading costs)
    -29.6%
  • Ann Return (Compnd, No Fees)
    -22.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    88.00%
  • Chance of 40% account loss
    53.50%
  • Chance of 50% account loss
    20.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    749
  • C2 Score
    16.0
  • Trades-Own-System Certification
  • Trades Own System?
    184608
  • TOS percent
    25%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $173
  • Avg Win
    $69
  • # Winners
    854
  • # Losers
    347
  • % Winners
    71.1%
  • Frequency
  • Avg Position Time (mins)
    622.05
  • Avg Position Time (hrs)
    10.37
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    15.00
  • Daily leverage (max)
    27.26
  • Unknown
  • Alpha
    -0.08
  • Beta
    0.37
  • Treynor Index
    -0.20
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04916
  • SD
    0.51727
  • Sharpe ratio (Glass type estimate)
    0.09503
  • Sharpe ratio (Hedges UMVUE)
    0.08894
  • df
    12.00000
  • t
    0.09891
  • p
    0.48573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79032
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97235
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12602
  • Upside Potential Ratio
    1.82539
  • Upside part of mean
    0.71200
  • Downside part of mean
    -0.66285
  • Upside SD
    0.30830
  • Downside SD
    0.39006
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.05011
  • Mean of criterion
    0.04916
  • SD of predictor
    0.12833
  • SD of criterion
    0.51727
  • Covariance
    -0.02145
  • r
    -0.32307
  • b (slope, estimate of beta)
    -1.30221
  • a (intercept, estimate of alpha)
    0.11441
  • Mean Square Error
    0.26143
  • DF error
    11.00000
  • t(b)
    -1.13222
  • p(b)
    0.85919
  • t(a)
    0.23131
  • p(a)
    0.41066
  • Lowerbound of 95% confidence interval for beta
    -3.83366
  • Upperbound of 95% confidence interval for beta
    1.22923
  • Lowerbound of 95% confidence interval for alpha
    -0.97423
  • Upperbound of 95% confidence interval for alpha
    1.20304
  • Treynor index (mean / b)
    -0.03775
  • Jensen alpha (a)
    0.11441
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08965
  • SD
    0.56711
  • Sharpe ratio (Glass type estimate)
    -0.15808
  • Sharpe ratio (Hedges UMVUE)
    -0.14795
  • df
    12.00000
  • t
    -0.16453
  • p
    0.52372
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03896
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73605
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19331
  • Upside Potential Ratio
    1.43867
  • Upside part of mean
    0.66719
  • Downside part of mean
    -0.75683
  • Upside SD
    0.28719
  • Downside SD
    0.46375
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.04228
  • Mean of criterion
    -0.08965
  • SD of predictor
    0.12882
  • SD of criterion
    0.56711
  • Covariance
    -0.02502
  • r
    -0.34243
  • b (slope, estimate of beta)
    -1.50746
  • a (intercept, estimate of alpha)
    -0.02591
  • Mean Square Error
    0.30971
  • DF error
    11.00000
  • t(b)
    -1.20879
  • p(b)
    0.87396
  • t(a)
    -0.04822
  • p(a)
    0.51880
  • Lowerbound of 95% confidence interval for beta
    -4.25227
  • Upperbound of 95% confidence interval for beta
    1.23734
  • Lowerbound of 95% confidence interval for alpha
    -1.20845
  • Upperbound of 95% confidence interval for alpha
    1.15663
  • Treynor index (mean / b)
    0.05947
  • Jensen alpha (a)
    -0.02591
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24176
  • Expected Shortfall on VaR
    0.29062
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12101
  • Expected Shortfall on VaR
    0.23902
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.65358
  • Quartile 1
    0.92240
  • Median
    1.02566
  • Quartile 3
    1.09609
  • Maximum
    1.18248
  • Mean of quarter 1
    0.83201
  • Mean of quarter 2
    0.99784
  • Mean of quarter 3
    1.08950
  • Mean of quarter 4
    1.16450
  • Inter Quartile Range
    0.17369
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.65358
  • 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)
    0.47839
  • VaR(95%) (moments method)
    0.21088
  • Expected Shortfall (moments method)
    0.44644
  • Extreme Value Index (regression method)
    3.95105
  • VaR(95%) (regression method)
    0.46394
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.41868
  • Quartile 1
    0.41868
  • Median
    0.41868
  • Quartile 3
    0.41868
  • Maximum
    0.41868
  • 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)
    -0.05972
  • Compounded annual return (geometric extrapolation)
    -0.05987
  • Calmar ratio (compounded annual return / max draw down)
    -0.14301
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.20602
  • 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
    -0.19577
  • SD
    0.44327
  • Sharpe ratio (Glass type estimate)
    -0.44166
  • Sharpe ratio (Hedges UMVUE)
    -0.44057
  • df
    304.00000
  • t
    -0.47652
  • p
    0.68298
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37555
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37633
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60554
  • Upside Potential Ratio
    7.51739
  • Upside part of mean
    2.43043
  • Downside part of mean
    -2.62621
  • Upside SD
    0.30243
  • Downside SD
    0.32331
  • N nonnegative terms
    144.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    305.00000
  • Mean of predictor
    0.02845
  • Mean of criterion
    -0.19577
  • SD of predictor
    0.15591
  • SD of criterion
    0.44327
  • Covariance
    0.01012
  • r
    0.14649
  • b (slope, estimate of beta)
    0.41650
  • a (intercept, estimate of alpha)
    -0.20800
  • Mean Square Error
    0.19291
  • DF error
    303.00000
  • t(b)
    2.57776
  • p(b)
    0.00521
  • t(a)
    -0.51001
  • p(a)
    0.69479
  • Lowerbound of 95% confidence interval for beta
    0.09855
  • Upperbound of 95% confidence interval for beta
    0.73445
  • Lowerbound of 95% confidence interval for alpha
    -1.00873
  • Upperbound of 95% confidence interval for alpha
    0.59348
  • Treynor index (mean / b)
    -0.47005
  • Jensen alpha (a)
    -0.20763
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29458
  • SD
    0.44608
  • Sharpe ratio (Glass type estimate)
    -0.66037
  • Sharpe ratio (Hedges UMVUE)
    -0.65874
  • df
    304.00000
  • t
    -0.71250
  • p
    0.76165
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47716
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15746
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15857
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.88050
  • Upside Potential Ratio
    7.13188
  • Upside part of mean
    2.38604
  • Downside part of mean
    -2.68062
  • Upside SD
    0.29451
  • Downside SD
    0.33456
  • N nonnegative terms
    144.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    305.00000
  • Mean of predictor
    0.01632
  • Mean of criterion
    -0.29458
  • SD of predictor
    0.15602
  • SD of criterion
    0.44608
  • Covariance
    0.01020
  • r
    0.14650
  • b (slope, estimate of beta)
    0.41886
  • a (intercept, estimate of alpha)
    -0.30141
  • Mean Square Error
    0.19536
  • DF error
    303.00000
  • t(b)
    2.57788
  • p(b)
    0.00521
  • t(a)
    -0.73576
  • p(a)
    0.76878
  • Lowerbound of 95% confidence interval for beta
    0.09912
  • Upperbound of 95% confidence interval for beta
    0.73860
  • Lowerbound of 95% confidence interval for alpha
    -1.10756
  • Upperbound of 95% confidence interval for alpha
    0.50473
  • Treynor index (mean / b)
    -0.70328
  • Jensen alpha (a)
    -0.30141
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04539
  • Expected Shortfall on VaR
    0.05627
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02394
  • Expected Shortfall on VaR
    0.04584
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    305.00000
  • Minimum
    0.87591
  • Quartile 1
    0.98438
  • Median
    1.00000
  • Quartile 3
    1.01328
  • Maximum
    1.11208
  • Mean of quarter 1
    0.96750
  • Mean of quarter 2
    0.99292
  • Mean of quarter 3
    1.00555
  • Mean of quarter 4
    1.03188
  • Inter Quartile Range
    0.02890
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.01967
  • Mean of outliers low
    0.90704
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02295
  • Mean of outliers high
    1.07422
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27664
  • VaR(95%) (moments method)
    0.03479
  • Expected Shortfall (moments method)
    0.05523
  • Extreme Value Index (regression method)
    0.30992
  • VaR(95%) (regression method)
    0.03225
  • Expected Shortfall (regression method)
    0.05122
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00435
  • Quartile 1
    0.01833
  • Median
    0.03385
  • Quartile 3
    0.06985
  • Maximum
    0.57769
  • Mean of quarter 1
    0.00648
  • Mean of quarter 2
    0.03125
  • Mean of quarter 3
    0.04866
  • Mean of quarter 4
    0.29439
  • Inter Quartile Range
    0.05152
  • 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
    0.18182
  • Mean of outliers high
    0.40016
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.75804
  • VaR(95%) (moments method)
    0.24356
  • Expected Shortfall (moments method)
    0.24701
  • Extreme Value Index (regression method)
    0.34473
  • VaR(95%) (regression method)
    0.60586
  • Expected Shortfall (regression method)
    1.25203
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.22925
  • Compounded annual return (geometric extrapolation)
    -0.23408
  • Calmar ratio (compounded annual return / max draw down)
    -0.40520
  • Compounded annual return / average of 25% largest draw downs
    -0.79511
  • Compounded annual return / Expected Shortfall lognormal
    -4.15962
  • 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
    -1.25776
  • SD
    0.53163
  • Sharpe ratio (Glass type estimate)
    -2.36584
  • Sharpe ratio (Hedges UMVUE)
    -2.35216
  • df
    130.00000
  • t
    -1.67290
  • p
    0.57258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.14804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.42521
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.13868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43435
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.01136
  • Upside Potential Ratio
    6.07773
  • Upside part of mean
    2.53850
  • Downside part of mean
    -3.79626
  • Upside SD
    0.33476
  • Downside SD
    0.41767
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07264
  • Mean of criterion
    -1.25776
  • SD of predictor
    0.17223
  • SD of criterion
    0.53163
  • Covariance
    0.01935
  • r
    0.21136
  • b (slope, estimate of beta)
    0.65245
  • a (intercept, estimate of alpha)
    -1.30516
  • Mean Square Error
    0.27210
  • DF error
    129.00000
  • t(b)
    2.45613
  • p(b)
    0.36645
  • t(a)
    -1.76862
  • p(a)
    0.59757
  • Lowerbound of 95% confidence interval for beta
    0.12687
  • Upperbound of 95% confidence interval for beta
    1.17802
  • Lowerbound of 95% confidence interval for alpha
    -2.76521
  • Upperbound of 95% confidence interval for alpha
    0.15490
  • Treynor index (mean / b)
    -1.92776
  • Jensen alpha (a)
    -1.30516
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.40271
  • SD
    0.53572
  • Sharpe ratio (Glass type estimate)
    -2.61836
  • Sharpe ratio (Hedges UMVUE)
    -2.60322
  • df
    130.00000
  • t
    -1.85146
  • p
    0.58014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.40340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.17652
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.39303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18659
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.24226
  • Upside Potential Ratio
    5.74281
  • Upside part of mean
    2.48453
  • Downside part of mean
    -3.88725
  • Upside SD
    0.32426
  • Downside SD
    0.43263
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05793
  • Mean of criterion
    -1.40271
  • SD of predictor
    0.17202
  • SD of criterion
    0.53572
  • Covariance
    0.01963
  • r
    0.21302
  • b (slope, estimate of beta)
    0.66342
  • a (intercept, estimate of alpha)
    -1.44115
  • Mean Square Error
    0.27610
  • DF error
    129.00000
  • t(b)
    2.47628
  • p(b)
    0.36542
  • t(a)
    -1.93895
  • p(a)
    0.60662
  • Lowerbound of 95% confidence interval for beta
    0.13335
  • Upperbound of 95% confidence interval for beta
    1.19348
  • Lowerbound of 95% confidence interval for alpha
    -2.91171
  • Upperbound of 95% confidence interval for alpha
    0.02942
  • Treynor index (mean / b)
    -2.11438
  • Jensen alpha (a)
    -1.44115
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05804
  • Expected Shortfall on VaR
    0.07091
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03538
  • Expected Shortfall on VaR
    0.06294
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87591
  • Quartile 1
    0.97662
  • Median
    0.99801
  • Quartile 3
    1.01221
  • Maximum
    1.11208
  • Mean of quarter 1
    0.95642
  • Mean of quarter 2
    0.98641
  • Mean of quarter 3
    1.00508
  • Mean of quarter 4
    1.03361
  • Inter Quartile Range
    0.03559
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.88529
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.10054
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21521
  • VaR(95%) (moments method)
    0.04730
  • Expected Shortfall (moments method)
    0.06962
  • Extreme Value Index (regression method)
    0.21265
  • VaR(95%) (regression method)
    0.04892
  • Expected Shortfall (regression method)
    0.07236
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01011
  • Quartile 1
    0.02239
  • Median
    0.03467
  • Quartile 3
    0.27186
  • Maximum
    0.50905
  • Mean of quarter 1
    0.01011
  • Mean of quarter 2
    0.03467
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.50905
  • Inter Quartile Range
    0.24947
  • 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)
    -0.99424
  • Compounded annual return (geometric extrapolation)
    -0.74711
  • Calmar ratio (compounded annual return / max draw down)
    -1.46765
  • Compounded annual return / average of 25% largest draw downs
    -1.46765
  • Compounded annual return / Expected Shortfall lognormal
    -10.53620

Strategy Description

Summary Statistics

Strategy began
2018-03-17
Suggested Minimum Capital
$10,000
# Trades
1201
# Profitable
854
% Profitable
71.1%
Correlation S&P500
0.127
Sharpe Ratio
-0.50
Sortino Ratio
-0.68
Beta
0.37
Alpha
-0.08
Leverage
15.00 Average
27.26 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.