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

EagleProFX
(113147309)

Created by: EagleProFX EagleProFX
Started: 08/2017
Forex
Last trade: 1,974 days ago
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 $109.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
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.
3.2%
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.

(11.0%)
Max Drawdown
733
Num Trades
54.6%
Win Trades
1.3 : 1
Profit Factor
10.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +12.5%+11.1%+1.8%(1.2%)(2.4%)+22.7%
2018+2.1%+1.4%+0.5%(2.2%)+5.5%(5.1%)(0.5%)(0.1%)+0.2%(1.2%)(0.2%)  -  +0.1%
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

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

Trading Record

This strategy has placed 2,005 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/1/18 10:00 EUR/JPY EUR/JPY SHORT 1 128.409 11/2 0:45 128.729 0.09%
Trade id #120665874
Max drawdown($28)
Time11/2/18 0:45
Quant open0
Worst price128.729
Drawdown as % of equity-0.09%
($28)
11/1/18 9:30 EUR/CAD EUR/CAD SHORT 1 1.48871 11/1 11:12 1.49240 0.09%
Trade id #120664368
Max drawdown($28)
Time11/1/18 11:12
Quant open0
Worst price1.49240
Drawdown as % of equity-0.09%
($28)
11/1/18 5:30 USD/JPY USD/JPY LONG 2 112.984 11/1 8:22 112.812 0.09%
Trade id #120660531
Max drawdown($30)
Time11/1/18 8:22
Quant open0
Worst price112.812
Drawdown as % of equity-0.09%
($30)
11/1/18 5:30 GBP/USD GBP/USD SHORT 1 1.28788 11/1 6:08 1.28576 0.1%
Trade id #120660529
Max drawdown($32)
Time11/1/18 6:04
Quant open-1
Worst price1.29111
Drawdown as % of equity-0.10%
$21
11/1/18 5:30 GBP/AUD GBP/AUD SHORT 1 1.79869 11/1 6:08 1.79647 0.09%
Trade id #120660527
Max drawdown($28)
Time11/1/18 6:05
Quant open-1
Worst price1.80271
Drawdown as % of equity-0.09%
$16
10/31/18 4:30 EUR/USD EUR/USD LONG 1 1.13521 10/31 5:37 1.13329 0.06%
Trade id #120636501
Max drawdown($19)
Time10/31/18 5:37
Quant open0
Worst price1.13329
Drawdown as % of equity-0.06%
($19)
10/30/18 5:08 GBP/USD GBP/USD LONG 3 1.27747 10/30 5:25 1.27586 0.15%
Trade id #120613452
Max drawdown($48)
Time10/30/18 5:25
Quant open0
Worst price1.27586
Drawdown as % of equity-0.15%
($48)
10/29/18 12:00 EUR/CAD EUR/CAD LONG 1 1.49538 10/30 3:53 1.48922 0.14%
Trade id #120598912
Max drawdown($47)
Time10/30/18 3:53
Quant open0
Worst price1.48922
Drawdown as % of equity-0.14%
($47)
10/30/18 3:05 EUR/USD EUR/USD LONG 4 1.13859 10/30 3:18 1.13729 0.16%
Trade id #120612696
Max drawdown($52)
Time10/30/18 3:18
Quant open0
Worst price1.13729
Drawdown as % of equity-0.16%
($52)
10/29/18 11:00 EUR/USD EUR/USD LONG 8 1.13900 10/29 12:45 1.13909 0.07%
Trade id #120596584
Max drawdown($22)
Time10/29/18 11:23
Quant open3
Worst price1.13755
Drawdown as % of equity-0.07%
$7
10/29/18 10:30 GBP/USD GBP/USD SHORT 1 1.28072 10/29 11:00 1.28127 0.02%
Trade id #120595746
Max drawdown($7)
Time10/29/18 10:54
Quant open-1
Worst price1.28150
Drawdown as % of equity-0.02%
($6)
10/29/18 5:40 EUR/USD EUR/USD LONG 7 1.13978 10/29 8:12 1.14014 0.05%
Trade id #120590879
Max drawdown($16)
Time10/29/18 5:57
Quant open2
Worst price1.13790
Drawdown as % of equity-0.05%
$25
10/29/18 6:31 GBP/USD GBP/USD LONG 5 1.28433 10/29 7:56 1.28446 0.03%
Trade id #120591704
Max drawdown($8)
Time10/29/18 6:51
Quant open2
Worst price1.28318
Drawdown as % of equity-0.03%
$7
10/29/18 4:00 USD/CAD USD/CAD SHORT 9 1.30958 10/29 6:49 1.30981 0.11%
Trade id #120589792
Max drawdown($35)
Time10/29/18 5:15
Quant open-5
Worst price1.31078
Drawdown as % of equity-0.11%
($16)
10/29/18 6:31 EUR/CAD EUR/CAD LONG 2 1.49378 10/29 6:31 1.49352 0.01%
Trade id #120591702
Max drawdown($4)
Time10/29/18 6:31
Quant open0
Worst price1.49352
Drawdown as % of equity-0.01%
($4)
10/29/18 5:45 EUR/JPY EUR/JPY LONG 1 127.714 10/29 6:11 127.803 0.02%
Trade id #120590946
Max drawdown($7)
Time10/29/18 6:00
Quant open1
Worst price127.634
Drawdown as % of equity-0.02%
$8
10/29/18 4:30 EUR/CAD EUR/CAD SHORT 2 1.49160 10/29 4:31 1.49172 0.01%
Trade id #120590077
Max drawdown($2)
Time10/29/18 4:31
Quant open0
Worst price1.49172
Drawdown as % of equity-0.01%
($2)
10/29/18 4:30 EUR/USD EUR/USD SHORT 2 1.13878 10/29 4:31 1.13866 n/a $2
10/26/18 10:08 GBP/USD GBP/USD LONG 1 1.28045 10/26 11:23 1.28258 0.02%
Trade id #120561815
Max drawdown($5)
Time10/26/18 10:19
Quant open1
Worst price1.27995
Drawdown as % of equity-0.02%
$21
10/26/18 4:21 EUR/USD EUR/USD LONG 2 1.13718 10/26 5:45 1.13587 0.08%
Trade id #120556612
Max drawdown($26)
Time10/26/18 5:45
Quant open0
Worst price1.13587
Drawdown as % of equity-0.08%
($26)
10/26/18 2:16 EUR/USD EUR/USD LONG 9 1.13752 10/26 4:18 1.13765 0.07%
Trade id #120554893
Max drawdown($24)
Time10/26/18 3:04
Quant open4
Worst price1.13645
Drawdown as % of equity-0.07%
$12
10/25/18 9:36 EUR/USD EUR/USD SHORT 1 1.13861 10/25 9:36 1.13859 n/a $0
10/25/18 7:15 USD/CAD USD/CAD LONG 7 1.30473 10/25 9:13 1.30614 0.01%
Trade id #120531955
Max drawdown($3)
Time10/25/18 7:17
Quant open3
Worst price1.30353
Drawdown as % of equity-0.01%
$76
10/25/18 9:00 EUR/USD EUR/USD LONG 2 1.14304 10/25 9:01 1.14283 0.01%
Trade id #120534395
Max drawdown($4)
Time10/25/18 9:01
Quant open0
Worst price1.14283
Drawdown as % of equity-0.01%
($4)
10/25/18 5:15 EUR/USD EUR/USD LONG 5 1.14123 10/25 8:16 1.14116 0.13%
Trade id #120529865
Max drawdown($41)
Time10/25/18 6:51
Quant open3
Worst price1.14007
Drawdown as % of equity-0.13%
($3)
10/25/18 5:30 GBP/AUD GBP/AUD SHORT 1 1.82238 10/25 5:38 1.82231 0.01%
Trade id #120529910
Max drawdown($2)
Time10/25/18 5:37
Quant open-1
Worst price1.82272
Drawdown as % of equity-0.01%
$1
10/24/18 10:18 GBP/AUD GBP/AUD LONG 1 1.82654 10/24 16:32 1.82460 0.12%
Trade id #120510444
Max drawdown($40)
Time10/24/18 13:15
Quant open1
Worst price1.82084
Drawdown as % of equity-0.12%
($14)
10/24/18 8:40 EUR/USD EUR/USD LONG 5 1.14047 10/24 13:19 1.13980 0.13%
Trade id #120507388
Max drawdown($43)
Time10/24/18 13:19
Quant open2
Worst price1.13829
Drawdown as % of equity-0.13%
($33)
10/24/18 2:40 EUR/USD EUR/USD LONG 7 1.14678 10/24 3:11 1.14680 0.12%
Trade id #120504151
Max drawdown($38)
Time10/24/18 3:01
Quant open4
Worst price1.14556
Drawdown as % of equity-0.12%
$1
10/23/18 10:00 GBP/AUD GBP/AUD SHORT 1 1.83886 10/23 10:00 1.83823 n/a $4

Statistics

  • Strategy began
    8/15/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2410.38
  • Age
    81 months ago
  • What it trades
    Forex
  • # Trades
    733
  • # Profitable
    400
  • % Profitable
    54.60%
  • Avg trade duration
    2.9 hours
  • Max peak-to-valley drawdown
    10.99%
  • drawdown period
    May 22, 2018 - Aug 15, 2018
  • Annual Return (Compounded)
    3.2%
  • Avg win
    $92.91
  • Avg loss
    $88.27
  • Model Account Values (Raw)
  • Cash
    $32,764
  • Margin Used
    $0
  • Buying Power
    $32,764
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    0.25
  • Sortino Ratio
    0.45
  • Calmar Ratio
    1.507
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -89.90%
  • Correlation to SP500
    0.00600
  • Return Percent SP500 (cumu) during strategy life
    113.19%
  • Return Statistics
  • Ann Return (w trading costs)
    3.2%
  • Slump
  • Current Slump as Pcnt Equity
    11.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.032%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.96%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $88
  • Avg Win
    $93
  • Sum Trade PL (losers)
    $29,393.000
  • Age
  • Num Months filled monthly returns table
    80
  • Win / Loss
  • Sum Trade PL (winners)
    $37,163.000
  • # Winners
    400
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    333
  • % Winners
    54.6%
  • Frequency
  • Avg Position Time (mins)
    173.40
  • Avg Position Time (hrs)
    2.89
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1967
  • Regression
  • Alpha
    0.00
  • Beta
    0.00
  • Treynor Index
    2.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    57.51
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    47.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    11.916
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.506
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.115
  • Hold-and-Hope Ratio
    0.084
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12364
  • SD
    0.18982
  • Sharpe ratio (Glass type estimate)
    0.65134
  • Sharpe ratio (Hedges UMVUE)
    0.62982
  • df
    23.00000
  • t
    0.92113
  • p
    0.18327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75405
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76798
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02763
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17990
  • Upside Potential Ratio
    3.80095
  • Upside part of mean
    0.21558
  • Downside part of mean
    -0.09194
  • Upside SD
    0.18052
  • Downside SD
    0.05672
  • N nonnegative terms
    7.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.30011
  • Mean of criterion
    0.12364
  • SD of predictor
    0.24469
  • SD of criterion
    0.18982
  • Covariance
    -0.00368
  • r
    -0.07913
  • b (slope, estimate of beta)
    -0.06138
  • a (intercept, estimate of alpha)
    0.14206
  • Mean Square Error
    0.03743
  • DF error
    22.00000
  • t(b)
    -0.37232
  • p(b)
    0.64339
  • t(a)
    0.97647
  • p(a)
    0.16972
  • Lowerbound of 95% confidence interval for beta
    -0.40330
  • Upperbound of 95% confidence interval for beta
    0.28053
  • Lowerbound of 95% confidence interval for alpha
    -0.15965
  • Upperbound of 95% confidence interval for alpha
    0.44377
  • Treynor index (mean / b)
    -2.01417
  • Jensen alpha (a)
    0.14206
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10742
  • SD
    0.17455
  • Sharpe ratio (Glass type estimate)
    0.61541
  • Sharpe ratio (Hedges UMVUE)
    0.59508
  • df
    23.00000
  • t
    0.87032
  • p
    0.19656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99162
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84824
  • Upside Potential Ratio
    3.45498
  • Upside part of mean
    0.20081
  • Downside part of mean
    -0.09339
  • Upside SD
    0.16365
  • Downside SD
    0.05812
  • N nonnegative terms
    7.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.26816
  • Mean of criterion
    0.10742
  • SD of predictor
    0.24104
  • SD of criterion
    0.17455
  • Covariance
    -0.00302
  • r
    -0.07187
  • b (slope, estimate of beta)
    -0.05205
  • a (intercept, estimate of alpha)
    0.12138
  • Mean Square Error
    0.03169
  • DF error
    22.00000
  • t(b)
    -0.33797
  • p(b)
    0.63071
  • t(a)
    0.91623
  • p(a)
    0.18474
  • Lowerbound of 95% confidence interval for beta
    -0.37141
  • Upperbound of 95% confidence interval for beta
    0.26732
  • Lowerbound of 95% confidence interval for alpha
    -0.15336
  • Upperbound of 95% confidence interval for alpha
    0.39612
  • Treynor index (mean / b)
    -2.06396
  • Jensen alpha (a)
    0.12138
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07126
  • Expected Shortfall on VaR
    0.09046
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02175
  • Expected Shortfall on VaR
    0.04164
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.93709
  • Quartile 1
    0.99626
  • Median
    1.00000
  • Quartile 3
    1.00830
  • Maximum
    1.23928
  • Mean of quarter 1
    0.97685
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00105
  • Mean of quarter 4
    1.07353
  • Inter Quartile Range
    0.01204
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.96089
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.10043
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60923
  • VaR(95%) (moments method)
    0.02002
  • Expected Shortfall (moments method)
    0.06081
  • Extreme Value Index (regression method)
    1.53627
  • VaR(95%) (regression method)
    0.02701
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03294
  • Quartile 1
    0.04434
  • Median
    0.05574
  • Quartile 3
    0.06714
  • Maximum
    0.07853
  • Mean of quarter 1
    0.03294
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07853
  • Inter Quartile Range
    0.02280
  • 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)
    0.15541
  • Compounded annual return (geometric extrapolation)
    0.14491
  • Calmar ratio (compounded annual return / max draw down)
    1.84524
  • Compounded annual return / average of 25% largest draw downs
    1.84524
  • Compounded annual return / Expected Shortfall lognormal
    1.60201
  • 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
    0.10538
  • SD
    0.07969
  • Sharpe ratio (Glass type estimate)
    1.32228
  • Sharpe ratio (Hedges UMVUE)
    1.32046
  • df
    544.00000
  • t
    1.90709
  • p
    0.02852
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04074
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68166
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51623
  • Upside Potential Ratio
    8.75896
  • Upside part of mean
    0.36682
  • Downside part of mean
    -0.26144
  • Upside SD
    0.06803
  • Downside SD
    0.04188
  • N nonnegative terms
    144.00000
  • N negative terms
    401.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    545.00000
  • Mean of predictor
    0.39891
  • Mean of criterion
    0.10538
  • SD of predictor
    0.36061
  • SD of criterion
    0.07969
  • Covariance
    0.00005
  • r
    0.00162
  • b (slope, estimate of beta)
    0.00036
  • a (intercept, estimate of alpha)
    0.10500
  • Mean Square Error
    0.00636
  • DF error
    543.00000
  • t(b)
    0.03782
  • p(b)
    0.48492
  • t(a)
    1.89832
  • p(a)
    0.02909
  • Lowerbound of 95% confidence interval for beta
    -0.01827
  • Upperbound of 95% confidence interval for beta
    0.01899
  • Lowerbound of 95% confidence interval for alpha
    -0.00366
  • Upperbound of 95% confidence interval for alpha
    0.21413
  • Treynor index (mean / b)
    293.79100
  • Jensen alpha (a)
    0.10523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10221
  • SD
    0.07913
  • Sharpe ratio (Glass type estimate)
    1.29162
  • Sharpe ratio (Hedges UMVUE)
    1.28984
  • df
    544.00000
  • t
    1.86287
  • p
    0.03151
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07007
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07126
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65094
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42987
  • Upside Potential Ratio
    8.66568
  • Upside part of mean
    0.36450
  • Downside part of mean
    -0.26230
  • Upside SD
    0.06724
  • Downside SD
    0.04206
  • N nonnegative terms
    144.00000
  • N negative terms
    401.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    545.00000
  • Mean of predictor
    0.33495
  • Mean of criterion
    0.10221
  • SD of predictor
    0.35589
  • SD of criterion
    0.07913
  • Covariance
    0.00008
  • r
    0.00276
  • b (slope, estimate of beta)
    0.00061
  • a (intercept, estimate of alpha)
    0.10200
  • Mean Square Error
    0.00627
  • DF error
    543.00000
  • t(b)
    0.06440
  • p(b)
    0.47434
  • t(a)
    1.85428
  • p(a)
    0.03212
  • Lowerbound of 95% confidence interval for beta
    -0.01813
  • Upperbound of 95% confidence interval for beta
    0.01936
  • Lowerbound of 95% confidence interval for alpha
    -0.00605
  • Upperbound of 95% confidence interval for alpha
    0.21006
  • Treynor index (mean / b)
    166.32800
  • Jensen alpha (a)
    0.10200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00762
  • Expected Shortfall on VaR
    0.00965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00289
  • Expected Shortfall on VaR
    0.00591
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    545.00000
  • Minimum
    0.98549
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00043
  • Maximum
    1.04999
  • Mean of quarter 1
    0.99634
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00571
  • Inter Quartile Range
    0.00043
  • Number outliers low
    105.00000
  • Percentage of outliers low
    0.19266
  • Mean of outliers low
    0.99526
  • Number of outliers high
    121.00000
  • Percentage of outliers high
    0.22202
  • Mean of outliers high
    1.00632
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32126
  • VaR(95%) (moments method)
    0.00285
  • Expected Shortfall (moments method)
    0.00377
  • Extreme Value Index (regression method)
    -0.21269
  • VaR(95%) (regression method)
    0.00401
  • Expected Shortfall (regression method)
    0.00572
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00206
  • Quartile 1
    0.00584
  • Median
    0.00967
  • Quartile 3
    0.02546
  • Maximum
    0.09221
  • Mean of quarter 1
    0.00406
  • Mean of quarter 2
    0.00705
  • Mean of quarter 3
    0.01622
  • Mean of quarter 4
    0.05164
  • Inter Quartile Range
    0.01962
  • 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
    0.05882
  • Mean of outliers high
    0.09221
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.03028
  • VaR(95%) (moments method)
    0.04993
  • Expected Shortfall (moments method)
    0.06492
  • Extreme Value Index (regression method)
    0.45517
  • VaR(95%) (regression method)
    0.06561
  • Expected Shortfall (regression method)
    0.12753
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14942
  • Compounded annual return (geometric extrapolation)
    0.13896
  • Calmar ratio (compounded annual return / max draw down)
    1.50692
  • Compounded annual return / average of 25% largest draw downs
    2.69067
  • Compounded annual return / Expected Shortfall lognormal
    14.40660
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.87555
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44696
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.77568
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44510
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6826850000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -98551399999999988941045878489088.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -361158000
  • Max Equity Drawdown (num days)
    85
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Developed over last 10 years by institutional traders with 20 years experience in the FX space. Targeting high probability trades the system looks for early entries and exits before the trade becomes " crowded" . Pure intraday FX and minimising risk across data and key events.

Summary Statistics

Strategy began
2017-08-15
Suggested Minimum Capital
$30,000
# Trades
733
# Profitable
400
% Profitable
54.6%
Correlation S&P500
0.006
Sharpe Ratio
0.25
Sortino Ratio
0.45
Beta
0.00
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.