Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

Algorithmics
(113957930)

Created by: ss11 ss11
Started: 10/2017
Forex
Last trade: 2,201 days ago

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 $99.00 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.

-
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.

(100.0%)
Max Drawdown
37
Num Trades
64.9%
Win Trades
0.3 : 1
Profit Factor
36.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               +8.5%+7.5%+2.7%+19.8%
2018(13.8%)(8.8%)(47.9%)+35.7%+60.1%(24.4%)+24.0%+6.3%(26.9%)(7.2%)+37.0%(29.6%)(42%)
2019+1.5%(51.6%)+22.3%+38.4%(54.7%)  -  (7.2%)(8.1%)(52.4%)(24.1%)+19.6%(64.8%)
2020(191.2%)(58.3%)(143%)(57.6%)(167.3%)+131.7%(28.6%)(6.4%)(1.7%)(19.9%)+19.3%+61.8%+135.6%
2021(8.6%)(6.9%)+37.7%+8.2%(36.7%)(2.5%)(92.6%)(56.9%)+1295.8%+132.3%(58.2%)+11.6%(62.5%)
2022(80.3%)+630.8%+227.7%(8.4%)+12.0%(16.5%)+7.6%+45.8%+4.0%(49.1%)(14.6%)(4.5%)+173.7%
2023+27.2%(23.9%)(66.2%)(233.5%)(5.1%)(4.3%)(134.6%)(19.9%)(78.5%)(120.4%)(36.1%)(35.8%)(146.1%)
2024(124%)(19%)(14.8%)                                                      (54.5%)

Model Account Details

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

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

Trading Record

This strategy has placed 13 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2299 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/21/18 12:21 GBP/NZD GBP/NZD SHORT 6 1.90009 2/22 5:43 1.89483 1.38%
Trade id #116643982
Max drawdown($136)
Time2/21/18 18:02
Quant open-6
Worst price1.90320
Drawdown as % of equity-1.38%
$231
2/21/18 3:15 GBP/NZD GBP/NZD SHORT 5 1.90333 2/21 7:36 1.89730 n/a $221
1/31/18 2:47 GBP/NZD GBP/NZD SHORT 4 1.92009 2/5 10:53 1.92059 5.45%
Trade id #116192691
Max drawdown($592)
Time2/1/18 6:38
Quant open-4
Worst price1.94039
Drawdown as % of equity-5.45%
($15)
1/24/18 0:31 EUR/NZD EUR/NZD LONG 5 1.67307 1/24 10:07 1.67060 2.64%
Trade id #116061246
Max drawdown($317)
Time1/24/18 7:35
Quant open5
Worst price1.66450
Drawdown as % of equity-2.64%
($92)
1/21/18 19:26 EUR/JPY EUR/JPY SHORT 4 135.572 1/23 23:07 135.457 1.91%
Trade id #116014034
Max drawdown($234)
Time1/23/18 1:46
Quant open-4
Worst price136.216
Drawdown as % of equity-1.91%
$42
1/14/18 21:09 GBP/JPY GBP/JPY SHORT 5 152.183 1/16 2:13 152.644 3.3%
Trade id #115879440
Max drawdown($413)
Time1/15/18 21:28
Quant open-5
Worst price153.099
Drawdown as % of equity-3.30%
($208)
1/10/18 0:45 GBP/USD GBP/USD SHORT 4 1.35286 1/10 2:45 1.35177 0.09%
Trade id #115791858
Max drawdown($11)
Time1/10/18 2:15
Quant open-4
Worst price1.35314
Drawdown as % of equity-0.09%
$44
1/4/18 1:25 NZD/CAD NZD/CAD LONG 6 0.89328 1/10 2:45 0.89102 2.08%
Trade id #115686700
Max drawdown($269)
Time1/5/18 8:53
Quant open6
Worst price0.88768
Drawdown as % of equity-2.08%
($109)
1/3/18 2:53 USD/CHF USD/CHF LONG 6 0.97278 1/3 10:38 0.97904 0.25%
Trade id #115660372
Max drawdown($31)
Time1/3/18 4:48
Quant open6
Worst price0.97226
Drawdown as % of equity-0.25%
$384
12/27/17 1:50 EUR/NZD EUR/NZD LONG 6 1.68607 12/28 13:19 1.68832 0.73%
Trade id #115532196
Max drawdown($89)
Time12/27/17 6:16
Quant open2
Worst price1.67948
Drawdown as % of equity-0.73%
$96
12/26/17 19:48 GBP/JPY GBP/JPY LONG 5 151.474 12/27 10:32 151.989 0.31%
Trade id #115528939
Max drawdown($37)
Time12/27/17 0:08
Quant open5
Worst price151.389
Drawdown as % of equity-0.31%
$227
12/22/17 13:45 USD/CAD USD/CAD SHORT 4 1.27315 12/26 11:00 1.27065 0.15%
Trade id #115489260
Max drawdown($18)
Time12/22/17 13:50
Quant open-4
Worst price1.27373
Drawdown as % of equity-0.15%
$79
12/15/17 10:34 EUR/USD EUR/USD SHORT 6 1.17778 12/26 11:00 1.18635 6.08%
Trade id #115373610
Max drawdown($744)
Time12/20/17 10:45
Quant open-6
Worst price1.19018
Drawdown as % of equity-6.08%
($514)
12/14/17 0:22 USD/CAD USD/CAD SHORT 7 1.28186 12/14 13:13 1.27355 1.34%
Trade id #115344437
Max drawdown($161)
Time12/14/17 4:01
Quant open-4
Worst price1.28660
Drawdown as % of equity-1.34%
$456
12/10/17 23:33 GBP/JPY GBP/JPY LONG 5 152.262 12/14 6:55 151.538 6.65%
Trade id #115280946
Max drawdown($798)
Time12/13/17 14:18
Quant open5
Worst price150.463
Drawdown as % of equity-6.65%
($321)
12/6/17 16:38 GBP/JPY GBP/JPY LONG 5 150.424 12/7 10:08 151.084 0.51%
Trade id #115230278
Max drawdown($62)
Time12/6/17 17:59
Quant open3
Worst price150.142
Drawdown as % of equity-0.51%
$293
12/6/17 1:23 USD/CHF USD/CHF LONG 5 0.98631 12/6 8:07 0.98790 0.33%
Trade id #115212490
Max drawdown($40)
Time12/6/17 2:26
Quant open5
Worst price0.98551
Drawdown as % of equity-0.33%
$80
12/4/17 23:38 CAD/CHF CAD/CHF SHORT 4 0.77700 12/6 1:16 0.77725 1.22%
Trade id #115190170
Max drawdown($146)
Time12/5/17 8:36
Quant open-4
Worst price0.78061
Drawdown as % of equity-1.22%
($10)
12/4/17 23:36 EUR/NZD EUR/NZD SHORT 3 1.72052 12/5 22:00 1.71575 0.65%
Trade id #115190160
Max drawdown($77)
Time12/5/17 4:06
Quant open-3
Worst price1.72427
Drawdown as % of equity-0.65%
$99
11/30/17 0:12 EUR/AUD EUR/AUD SHORT 3 1.56316 12/1 5:32 1.57114 2.66%
Trade id #115111482
Max drawdown($317)
Time12/1/17 0:54
Quant open-3
Worst price1.57712
Drawdown as % of equity-2.66%
($181)
11/29/17 22:08 USD/CHF USD/CHF SHORT 3 0.98418 11/30 21:39 0.98362 1.02%
Trade id #115110840
Max drawdown($123)
Time11/30/17 5:02
Quant open-3
Worst price0.98822
Drawdown as % of equity-1.02%
$17
11/28/17 0:00 GBP/CAD GBP/CAD LONG 4 1.70113 11/28 13:03 1.70689 2.06%
Trade id #115070819
Max drawdown($243)
Time11/28/17 12:05
Quant open4
Worst price1.69334
Drawdown as % of equity-2.06%
$180
11/24/17 0:11 GBP/JPY GBP/JPY LONG 3 148.150 11/24 5:12 148.534 0.12%
Trade id #115008913
Max drawdown($14)
Time11/24/17 1:12
Quant open3
Worst price148.097
Drawdown as % of equity-0.12%
$103
11/20/17 12:47 GBP/NZD GBP/NZD SHORT 7 1.94185 11/23 4:55 1.93005 2.42%
Trade id #114943684
Max drawdown($270)
Time11/21/17 3:33
Quant open-5
Worst price1.95116
Drawdown as % of equity-2.42%
$569
11/14/17 12:17 GBP/JPY GBP/JPY LONG 4 148.952 11/16 1:26 148.888 0.93%
Trade id #114849328
Max drawdown($105)
Time11/15/17 4:55
Quant open1
Worst price148.097
Drawdown as % of equity-0.93%
($22)
11/9/17 20:37 EUR/NZD EUR/NZD LONG 5 1.67650 11/10 15:41 1.68310 0.44%
Trade id #114782728
Max drawdown($49)
Time11/9/17 20:46
Quant open5
Worst price1.67508
Drawdown as % of equity-0.44%
$229
11/5/17 21:39 EUR/AUD EUR/AUD LONG 5 1.51912 11/7 10:51 1.51656 3.88%
Trade id #114695048
Max drawdown($421)
Time11/6/17 22:43
Quant open5
Worst price1.50808
Drawdown as % of equity-3.88%
($98)
11/2/17 21:00 EUR/JPY EUR/JPY SHORT 5 132.837 11/3 16:22 132.438 0.61%
Trade id #114663211
Max drawdown($66)
Time11/3/17 3:10
Quant open-5
Worst price132.989
Drawdown as % of equity-0.61%
$175
11/1/17 11:14 GBP/USD GBP/USD SHORT 5 1.32662 11/1 17:47 1.32511 0.69%
Trade id #114630279
Max drawdown($75)
Time11/1/17 14:03
Quant open-5
Worst price1.32812
Drawdown as % of equity-0.69%
$76
10/30/17 23:46 GBP/JPY GBP/JPY LONG 1 149.436 10/31 10:09 150.331 0.11%
Trade id #114603888
Max drawdown($12)
Time10/31/17 3:01
Quant open1
Worst price149.296
Drawdown as % of equity-0.11%
$79

Statistics

  • Strategy began
    10/1/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2363.52
  • Age
    79 months ago
  • What it trades
    Forex
  • # Trades
    37
  • # Profitable
    24
  • % Profitable
    64.90%
  • Avg trade duration
    122.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    June 23, 2023 - June 30, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $191.62
  • Avg loss
    $1,386
  • Model Account Values (Raw)
  • Cash
    $13,009
  • Margin Used
    $5,030
  • Buying Power
    ($5,640)
  • Ratios
  • W:L ratio
    0.26:1
  • Sharpe Ratio
    -0.18
  • Sortino Ratio
    -0.19
  • Calmar Ratio
    -0.997
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -250.18%
  • Correlation to SP500
    0.08480
  • Return Percent SP500 (cumu) during strategy life
    108.33%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.23%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    7.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    52.00%
  • 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
    $1,386
  • Avg Win
    $192
  • Sum Trade PL (losers)
    $18,020.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $4,599.000
  • # Winners
    24
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    13
  • % Winners
    64.9%
  • Frequency
  • Avg Position Time (mins)
    176261.00
  • Avg Position Time (hrs)
    2937.68
  • Avg Trade Length
    122.4 days
  • Last Trade Ago
    2195
  • Regression
  • Alpha
    0.00
  • Beta
    1.14
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.28
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    91.75
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.66
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -2.332
  • 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
    0.555
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.594
  • Hold-and-Hope Ratio
    0.419
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.12330
  • SD
    8.27227
  • Sharpe ratio (Glass type estimate)
    0.74022
  • Sharpe ratio (Hedges UMVUE)
    0.70887
  • df
    18.00000
  • t
    0.93142
  • p
    0.39278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84574
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28361
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04935
  • Upside Potential Ratio
    6.09990
  • Upside part of mean
    9.22409
  • Downside part of mean
    -3.10079
  • Upside SD
    8.10350
  • Downside SD
    1.51217
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.39507
  • Mean of criterion
    6.12330
  • SD of predictor
    0.29425
  • SD of criterion
    8.27227
  • Covariance
    -1.01539
  • r
    -0.41715
  • b (slope, estimate of beta)
    -11.72740
  • a (intercept, estimate of alpha)
    10.75650
  • Mean Square Error
    59.84750
  • DF error
    17.00000
  • t(b)
    -1.89247
  • p(b)
    0.75765
  • t(a)
    1.62544
  • p(a)
    0.27186
  • Lowerbound of 95% confidence interval for beta
    -24.80160
  • Upperbound of 95% confidence interval for beta
    1.34684
  • Lowerbound of 95% confidence interval for alpha
    -3.20537
  • Upperbound of 95% confidence interval for alpha
    24.71830
  • Treynor index (mean / b)
    -0.52214
  • Jensen alpha (a)
    10.75650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.84496
  • SD
    6.83668
  • Sharpe ratio (Glass type estimate)
    -0.85494
  • Sharpe ratio (Hedges UMVUE)
    -0.81873
  • df
    18.00000
  • t
    -1.07578
  • p
    0.62289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.42564
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39915
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76168
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90015
  • Upside Potential Ratio
    0.54614
  • Upside part of mean
    3.54627
  • Downside part of mean
    -9.39123
  • Upside SD
    2.22802
  • Downside SD
    6.49331
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.34916
  • Mean of criterion
    -5.84496
  • SD of predictor
    0.28656
  • SD of criterion
    6.83668
  • Covariance
    -0.83882
  • r
    -0.42816
  • b (slope, estimate of beta)
    -10.21500
  • a (intercept, estimate of alpha)
    -2.27835
  • Mean Square Error
    40.41710
  • DF error
    17.00000
  • t(b)
    -1.95347
  • p(b)
    0.76400
  • t(a)
    -0.42410
  • p(a)
    0.56502
  • Lowerbound of 95% confidence interval for beta
    -21.24750
  • Upperbound of 95% confidence interval for beta
    0.81758
  • Lowerbound of 95% confidence interval for alpha
    -13.61260
  • Upperbound of 95% confidence interval for alpha
    9.05592
  • Treynor index (mean / b)
    0.57220
  • Jensen alpha (a)
    -2.27835
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.97609
  • Expected Shortfall on VaR
    0.98723
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.58586
  • Expected Shortfall on VaR
    1.01956
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.00064
  • Quartile 1
    0.56702
  • Median
    1.02916
  • Quartile 3
    1.33659
  • Maximum
    10.94250
  • Mean of quarter 1
    0.19937
  • Mean of quarter 2
    0.82874
  • Mean of quarter 3
    1.12048
  • Mean of quarter 4
    3.82340
  • Inter Quartile Range
    0.76957
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    6.81464
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -11.82110
  • VaR(95%) (moments method)
    0.79836
  • Expected Shortfall (moments method)
    0.79836
  • Extreme Value Index (regression method)
    -1.73338
  • VaR(95%) (regression method)
    1.03947
  • Expected Shortfall (regression method)
    1.06211
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99992
  • Quartile 1
    0.99992
  • Median
    0.99992
  • Quartile 3
    0.99992
  • Maximum
    0.99992
  • 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)
    -0.63152
  • Compounded annual return (geometric extrapolation)
    -0.99702
  • Calmar ratio (compounded annual return / max draw down)
    -0.99710
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00992
  • 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
    2008.00000
  • SD
    1331.51000
  • Sharpe ratio (Glass type estimate)
    1.50806
  • Sharpe ratio (Hedges UMVUE)
    1.50541
  • df
    426.00000
  • t
    1.92523
  • p
    0.02743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04582
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04400
  • Statistics related to Sortino ratio
  • Sortino ratio
    730.88800
  • Upside Potential Ratio
    736.68100
  • Upside part of mean
    2023.91000
  • Downside part of mean
    -15.91560
  • Upside SD
    1335.72000
  • Downside SD
    2.74734
  • N nonnegative terms
    199.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    427.00000
  • Mean of predictor
    0.50265
  • Mean of criterion
    2008.00000
  • SD of predictor
    0.41362
  • SD of criterion
    1331.51000
  • Covariance
    25.17870
  • r
    0.04572
  • b (slope, estimate of beta)
    147.17400
  • a (intercept, estimate of alpha)
    1934.02000
  • Mean Square Error
    1773370.00000
  • DF error
    425.00000
  • t(b)
    0.94349
  • p(b)
    0.17298
  • t(a)
    1.84885
  • p(a)
    0.03259
  • Lowerbound of 95% confidence interval for beta
    -159.43100
  • Upperbound of 95% confidence interval for beta
    453.77900
  • Lowerbound of 95% confidence interval for alpha
    -122.08800
  • Upperbound of 95% confidence interval for alpha
    3990.13000
  • Treynor index (mean / b)
    13.64370
  • Jensen alpha (a)
    1934.02000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.67922
  • SD
    16.98870
  • Sharpe ratio (Glass type estimate)
    -0.33429
  • Sharpe ratio (Hedges UMVUE)
    -0.33370
  • df
    426.00000
  • t
    -0.42677
  • p
    0.66512
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20129
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20173
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.44432
  • Upside Potential Ratio
    2.60480
  • Upside part of mean
    33.29440
  • Downside part of mean
    -38.97370
  • Upside SD
    11.16620
  • Downside SD
    12.78200
  • N nonnegative terms
    199.00000
  • N negative terms
    228.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    427.00000
  • Mean of predictor
    0.41025
  • Mean of criterion
    -5.67922
  • SD of predictor
    0.43847
  • SD of criterion
    16.98870
  • Covariance
    0.29540
  • r
    0.03966
  • b (slope, estimate of beta)
    1.53649
  • a (intercept, estimate of alpha)
    -6.30956
  • Mean Square Error
    288.84000
  • DF error
    425.00000
  • t(b)
    0.81817
  • p(b)
    0.20686
  • t(a)
    -0.47316
  • p(a)
    0.68183
  • Lowerbound of 95% confidence interval for beta
    -2.15475
  • Upperbound of 95% confidence interval for beta
    5.22774
  • Lowerbound of 95% confidence interval for alpha
    -32.52020
  • Upperbound of 95% confidence interval for alpha
    19.90110
  • Treynor index (mean / b)
    -3.69622
  • Jensen alpha (a)
    -6.30956
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.82589
  • Expected Shortfall on VaR
    0.88031
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14260
  • Expected Shortfall on VaR
    0.30942
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    427.00000
  • Minimum
    0.00053
  • Quartile 1
    0.96785
  • Median
    1.00000
  • Quartile 3
    1.03577
  • Maximum
    1195.00000
  • Mean of quarter 1
    0.76585
  • Mean of quarter 2
    0.99196
  • Mean of quarter 3
    1.01110
  • Mean of quarter 4
    31.81640
  • Inter Quartile Range
    0.06792
  • Number outliers low
    55.00000
  • Percentage of outliers low
    0.12881
  • Mean of outliers low
    0.61743
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.13817
  • Mean of outliers high
    56.81820
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51325
  • VaR(95%) (moments method)
    0.15900
  • Expected Shortfall (moments method)
    0.39699
  • Extreme Value Index (regression method)
    -0.45074
  • VaR(95%) (regression method)
    0.20353
  • Expected Shortfall (regression method)
    0.25341
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00829
  • Median
    0.03611
  • Quartile 3
    0.22647
  • Maximum
    0.99993
  • Mean of quarter 1
    0.00439
  • Mean of quarter 2
    0.01931
  • Mean of quarter 3
    0.05544
  • Mean of quarter 4
    0.88692
  • Inter Quartile Range
    0.21818
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.88692
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3444920000.00000
  • VaR(95%) (moments method)
    0.93456
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -16.05250
  • VaR(95%) (regression method)
    29.00270
  • Expected Shortfall (regression method)
    29.00270
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.61352
  • Compounded annual return (geometric extrapolation)
    -0.99649
  • Calmar ratio (compounded annual return / max draw down)
    -0.99655
  • Compounded annual return / average of 25% largest draw downs
    -1.12354
  • Compounded annual return / Expected Shortfall lognormal
    -1.13197
  • 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
    4265.55000
  • SD
    2137.07000
  • Sharpe ratio (Glass type estimate)
    1.99598
  • Sharpe ratio (Hedges UMVUE)
    1.98444
  • df
    130.00000
  • t
    1.41137
  • p
    0.43858
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79018
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77463
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76672
  • Statistics related to Sortino ratio
  • Sortino ratio
    1230.92000
  • Upside Potential Ratio
    1237.67000
  • Upside part of mean
    4288.96000
  • Downside part of mean
    -23.40890
  • Upside SD
    2145.15000
  • Downside SD
    3.46534
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63486
  • Mean of criterion
    4265.55000
  • SD of predictor
    0.41674
  • SD of criterion
    2137.07000
  • Covariance
    78.47470
  • r
    0.08811
  • b (slope, estimate of beta)
    451.85800
  • a (intercept, estimate of alpha)
    3978.69000
  • Mean Square Error
    4566750.00000
  • DF error
    129.00000
  • t(b)
    1.00469
  • p(b)
    0.44398
  • t(a)
    1.31066
  • p(a)
    0.42718
  • Lowerbound of 95% confidence interval for beta
    -437.97800
  • Upperbound of 95% confidence interval for beta
    1341.69000
  • Lowerbound of 95% confidence interval for alpha
    -2027.38000
  • Upperbound of 95% confidence interval for alpha
    9984.75000
  • Treynor index (mean / b)
    9.44003
  • Jensen alpha (a)
    3978.69000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -17.90470
  • SD
    23.11000
  • Sharpe ratio (Glass type estimate)
    -0.77476
  • Sharpe ratio (Hedges UMVUE)
    -0.77028
  • df
    130.00000
  • t
    -0.54784
  • p
    0.52400
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.54672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.54367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00311
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99383
  • Upside Potential Ratio
    2.63649
  • Upside part of mean
    47.49850
  • Downside part of mean
    -65.40320
  • Upside SD
    14.37540
  • Downside SD
    18.01580
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54616
  • Mean of criterion
    -17.90470
  • SD of predictor
    0.42351
  • SD of criterion
    23.11000
  • Covariance
    0.51995
  • r
    0.05312
  • b (slope, estimate of beta)
    2.89890
  • a (intercept, estimate of alpha)
    -19.48800
  • Mean Square Error
    536.69500
  • DF error
    129.00000
  • t(b)
    0.60423
  • p(b)
    0.46620
  • t(a)
    -0.59293
  • p(a)
    0.53317
  • VAR (95 Confidence Intrvl)
    0.82600
  • Lowerbound of 95% confidence interval for beta
    -6.59334
  • Upperbound of 95% confidence interval for beta
    12.39110
  • Lowerbound of 95% confidence interval for alpha
    -84.51660
  • Upperbound of 95% confidence interval for alpha
    45.54070
  • Treynor index (mean / b)
    -6.17638
  • Jensen alpha (a)
    -19.48800
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.91079
  • Expected Shortfall on VaR
    0.94508
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23630
  • Expected Shortfall on VaR
    0.47963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00053
  • Quartile 1
    0.91529
  • Median
    1.00000
  • Quartile 3
    1.07065
  • Maximum
    1195.00000
  • Mean of quarter 1
    0.66621
  • Mean of quarter 2
    0.97938
  • Mean of quarter 3
    1.01139
  • Mean of quarter 4
    65.97340
  • Inter Quartile Range
    0.15536
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.36782
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    179.39600
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31924
  • VaR(95%) (moments method)
    0.28553
  • Expected Shortfall (moments method)
    0.52139
  • Extreme Value Index (regression method)
    -0.90730
  • VaR(95%) (regression method)
    0.31096
  • Expected Shortfall (regression method)
    0.34336
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.08166
  • Quartile 1
    0.13337
  • Median
    0.25279
  • Quartile 3
    0.63697
  • Maximum
    0.99993
  • Mean of quarter 1
    0.09278
  • Mean of quarter 2
    0.20782
  • Mean of quarter 3
    0.27405
  • Mean of quarter 4
    0.99991
  • Inter Quartile Range
    0.50360
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340830000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99974
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00007
  • Compounded annual return / average of 25% largest draw downs
    -1.00009
  • Compounded annual return / Expected Shortfall lognormal
    -1.05811

Strategy Description

In my strategy I use dynamic Support-Resistance lines calculated accordingly to my own algorithm.

Summary Statistics

Strategy began
2017-10-01
Suggested Minimum Capital
$10,000
# Trades
37
# Profitable
24
% Profitable
64.9%
Correlation S&P500
0.085
Sharpe Ratio
-0.18
Sortino Ratio
-0.19
Beta
1.14
Alpha
0.00

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.