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Myfxmap com
(117695605)

Created by: MAP MAP
Started: 04/2018
Futures
Last trade: 4 days ago
Trading style: Futures 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 $129.00 per month.

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
32.6%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(15.1%)
Max Drawdown
74
Num Trades
87.8%
Win Trades
2.2 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                       -  (6%)+24.2%+9.0%+1.2%+8.5%(5.6%)+0.6%      +32.7%

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 100 hours.

Trading Record

This strategy has placed 230 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/9/18 11:52 @EUZ8 EUROFX LONG 2 1.13576 11/9 12:49 1.13661 0.27%
Trade id #120855073
Max drawdown($186)
Time11/9/18 12:05
Quant open1
Worst price1.13480
Drawdown as % of equity-0.27%
$201
Includes Typical Broker Commissions trade costs of $12.00
11/7/18 7:47 @CDZ8 CANADIAN DOLLAR LONG 2 0.7642 11/9 11:25 0.7575 1.96%
Trade id #120788766
Max drawdown($1,361)
Time11/9/18 11:24
Quant open2
Worst price0.7573
Drawdown as % of equity-1.96%
($1,334)
Includes Typical Broker Commissions trade costs of $12.00
11/6/18 8:37 @CDZ8 CANADIAN DOLLAR LONG 2 0.7628 11/7 4:57 0.7647 0.33%
Trade id #120756095
Max drawdown($230)
Time11/6/18 21:27
Quant open1
Worst price0.7604
Drawdown as % of equity-0.33%
$373
Includes Typical Broker Commissions trade costs of $12.00
11/6/18 9:50 @EUZ8 EUROFX LONG 1 1.14500 11/6 21:44 1.14591 0.35%
Trade id #120758260
Max drawdown($250)
Time11/6/18 21:08
Quant open1
Worst price1.14300
Drawdown as % of equity-0.35%
$107
Includes Typical Broker Commissions trade costs of $6.00
11/2/18 11:03 @EUZ8 EUROFX LONG 3 1.14390 11/6 8:09 1.14547 1.75%
Trade id #120697326
Max drawdown($1,212)
Time11/5/18 7:55
Quant open2
Worst price1.13890
Drawdown as % of equity-1.75%
$571
Includes Typical Broker Commissions trade costs of $18.00
11/2/18 9:17 @EUZ8 EUROFX LONG 1 1.14503 11/2 10:28 1.14650 0.14%
Trade id #120692400
Max drawdown($97)
Time11/2/18 9:22
Quant open1
Worst price1.14425
Drawdown as % of equity-0.14%
$177
Includes Typical Broker Commissions trade costs of $6.00
11/2/18 8:37 @EUZ8 EUROFX LONG 1 1.14505 11/2 8:42 1.14635 0.05%
Trade id #120690865
Max drawdown($31)
Time11/2/18 8:39
Quant open1
Worst price1.14480
Drawdown as % of equity-0.05%
$156
Includes Typical Broker Commissions trade costs of $6.00
11/1/18 13:57 @EUZ8 EUROFX LONG 1 1.14500 11/2 2:10 1.14610 0.37%
Trade id #120675276
Max drawdown($256)
Time11/1/18 21:56
Quant open1
Worst price1.14295
Drawdown as % of equity-0.37%
$132
Includes Typical Broker Commissions trade costs of $6.00
11/1/18 11:50 @CDZ8 CANADIAN DOLLAR LONG 1 0.7634 11/1 12:35 0.7641 0.05%
Trade id #120670877
Max drawdown($34)
Time11/1/18 11:52
Quant open1
Worst price0.7631
Drawdown as % of equity-0.05%
$55
Includes Typical Broker Commissions trade costs of $6.00
10/24/18 21:49 @CDZ8 CANADIAN DOLLAR LONG 4 0.7665 11/1 5:25 0.7645 3.2%
Trade id #120526441
Max drawdown($2,112)
Time10/26/18 8:31
Quant open3
Worst price0.7604
Drawdown as % of equity-3.20%
($825)
Includes Typical Broker Commissions trade costs of $24.00
10/17/18 5:40 @ADZ8 AUSTRALIAN DOLLAR LONG 6 0.7121 11/1 3:15 0.7131 3.03%
Trade id #120394735
Max drawdown($1,999)
Time10/26/18 5:48
Quant open2
Worst price0.7024
Drawdown as % of equity-3.03%
$546
Includes Typical Broker Commissions trade costs of $36.00
10/24/18 13:04 @CDZ8 CANADIAN DOLLAR LONG 1 0.7700 10/24 13:04 0.7700 0.01%
Trade id #120515939
Max drawdown($5)
Time10/24/18 13:04
Quant open0
Worst price0.7700
Drawdown as % of equity-0.01%
($11)
Includes Typical Broker Commissions trade costs of $6.00
10/24/18 10:39 @CDZ8 CANADIAN DOLLAR LONG 2 0.7696 10/24 11:58 0.7703 0.69%
Trade id #120510964
Max drawdown($469)
Time10/24/18 11:34
Quant open2
Worst price0.7673
Drawdown as % of equity-0.69%
$118
Includes Typical Broker Commissions trade costs of $12.00
10/24/18 10:10 @CDZ8 CANADIAN DOLLAR LONG 1 0.7695 10/24 10:33 0.7705 0.04%
Trade id #120510213
Max drawdown($29)
Time10/24/18 10:12
Quant open1
Worst price0.7692
Drawdown as % of equity-0.04%
$94
Includes Typical Broker Commissions trade costs of $6.00
10/22/18 7:25 @EUZ8 EUROFX LONG 2 1.15372 10/23 11:25 1.15300 1.83%
Trade id #120464588
Max drawdown($1,230)
Time10/23/18 2:10
Quant open2
Worst price1.14880
Drawdown as % of equity-1.83%
($193)
Includes Typical Broker Commissions trade costs of $12.00
10/16/18 23:06 @ADZ8 AUSTRALIAN DOLLAR LONG 1 0.7137 10/17 4:06 0.7161 0.01%
Trade id #120391965
Max drawdown($10)
Time10/16/18 23:20
Quant open1
Worst price0.7136
Drawdown as % of equity-0.01%
$234
Includes Typical Broker Commissions trade costs of $6.00
10/16/18 1:49 @ADZ8 AUSTRALIAN DOLLAR LONG 1 0.7124 10/16 8:44 0.7138 0.12%
Trade id #120370999
Max drawdown($80)
Time10/16/18 3:14
Quant open1
Worst price0.7116
Drawdown as % of equity-0.12%
$133
Includes Typical Broker Commissions trade costs of $6.00
10/15/18 5:36 @EUZ8 EUROFX SHORT 1 1.16425 10/15 13:32 1.16380 0.38%
Trade id #120346443
Max drawdown($262)
Time10/15/18 8:59
Quant open-1
Worst price1.16635
Drawdown as % of equity-0.38%
$50
Includes Typical Broker Commissions trade costs of $6.00
10/12/18 2:56 @ADZ8 AUSTRALIAN DOLLAR LONG 1 0.7117 10/12 7:23 0.7132 0%
Trade id #120315910
Max drawdown$0
Time10/12/18 2:58
Quant open1
Worst price0.7117
Drawdown as % of equity0.00%
$144
Includes Typical Broker Commissions trade costs of $6.00
10/10/18 3:16 @ADZ8 AUSTRALIAN DOLLAR LONG 3 0.7114 10/11 16:24 0.7124 1.89%
Trade id #120267669
Max drawdown($1,280)
Time10/10/18 16:53
Quant open2
Worst price0.7047
Drawdown as % of equity-1.89%
$282
Includes Typical Broker Commissions trade costs of $18.00
10/9/18 10:27 @ADZ8 AUSTRALIAN DOLLAR LONG 1 0.7086 10/9 12:04 0.7096 0.12%
Trade id #120253368
Max drawdown($80)
Time10/9/18 11:04
Quant open1
Worst price0.7078
Drawdown as % of equity-0.12%
$92
Includes Typical Broker Commissions trade costs of $6.00
10/5/18 8:35 @EUZ8 EUROFX LONG 1 1.15640 10/5 8:54 1.15869 0.31%
Trade id #120202530
Max drawdown($212)
Time10/5/18 8:40
Quant open1
Worst price1.15470
Drawdown as % of equity-0.31%
$281
Includes Typical Broker Commissions trade costs of $6.00
10/5/18 5:55 @EUZ8 EUROFX LONG 1 1.15556 10/5 6:49 1.15635 0.02%
Trade id #120200654
Max drawdown($13)
Time10/5/18 6:24
Quant open1
Worst price1.15545
Drawdown as % of equity-0.02%
$93
Includes Typical Broker Commissions trade costs of $6.00
9/30/18 22:45 @ADZ8 AUSTRALIAN DOLLAR LONG 3 0.7208 10/4 22:31 0.7068 6.23%
Trade id #120109542
Max drawdown($4,240)
Time10/4/18 22:29
Quant open3
Worst price0.7067
Drawdown as % of equity-6.23%
($4,228)
Includes Typical Broker Commissions trade costs of $18.00
9/27/18 10:09 @CDZ8 CANADIAN DOLLAR LONG 2 0.7669 9/27 12:13 0.7689 0.1%
Trade id #120064499
Max drawdown($68)
Time9/27/18 10:59
Quant open1
Worst price0.7664
Drawdown as % of equity-0.10%
$385
Includes Typical Broker Commissions trade costs of $12.00
9/26/18 1:36 @ADZ8 AUSTRALIAN DOLLAR LONG 2 0.7258 9/26 14:03 0.7275 0.35%
Trade id #120035736
Max drawdown($250)
Time9/26/18 8:17
Quant open1
Worst price0.7244
Drawdown as % of equity-0.35%
$328
Includes Typical Broker Commissions trade costs of $12.00
9/25/18 11:45 @ADZ8 AUSTRALIAN DOLLAR LONG 1 0.7250 9/25 22:30 0.7283 0.07%
Trade id #120024958
Max drawdown($50)
Time9/25/18 13:44
Quant open1
Worst price0.7245
Drawdown as % of equity-0.07%
$324
Includes Typical Broker Commissions trade costs of $6.00
9/25/18 0:59 @ADZ8 AUSTRALIAN DOLLAR LONG 1 0.7244 9/25 9:49 0.7259 0.06%
Trade id #120015698
Max drawdown($40)
Time9/25/18 4:10
Quant open1
Worst price0.7240
Drawdown as % of equity-0.06%
$144
Includes Typical Broker Commissions trade costs of $6.00
9/19/18 8:21 @ADZ8 AUSTRALIAN DOLLAR LONG 1 0.7242 9/19 9:35 0.7257 0%
Trade id #119924001
Max drawdown$0
Time9/19/18 8:23
Quant open1
Worst price0.7242
Drawdown as % of equity0.00%
$144
Includes Typical Broker Commissions trade costs of $6.00
9/19/18 0:14 @ADZ8 AUSTRALIAN DOLLAR LONG 1 0.7240 9/19 5:38 0.7257 0.03%
Trade id #119921010
Max drawdown($20)
Time9/19/18 0:50
Quant open1
Worst price0.7238
Drawdown as % of equity-0.03%
$164
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    4/27/2018
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    200.33
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    74
  • # Profitable
    65
  • % Profitable
    87.80%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    15.09%
  • drawdown period
    May 02, 2018 - May 29, 2018
  • Cumul. Return
    33.1%
  • Avg win
    $533.20
  • Avg loss
    $1,714
  • Model Account Values (Raw)
  • Cash
    $69,704
  • Margin Used
    $6,258
  • Buying Power
    $63,105
  • Ratios
  • W:L ratio
    2.25:1
  • Sharpe Ratio
    2.285
  • Sortino Ratio
    3.679
  • Calmar Ratio
    6.927
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.13000
  • Return Statistics
  • Ann Return (w trading costs)
    66.9%
  • Ann Return (Compnd, No Fees)
    79.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.50%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    755
  • Popularity (Last 6 weeks)
    961
  • C2 Score
    86.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,733
  • Avg Win
    $533
  • # Winners
    65
  • # Losers
    9
  • % Winners
    87.8%
  • Frequency
  • Avg Position Time (mins)
    3240.38
  • Avg Position Time (hrs)
    54.01
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72775
  • SD
    0.56939
  • Sharpe ratio (Glass type estimate)
    1.27812
  • Sharpe ratio (Hedges UMVUE)
    1.07458
  • df
    5.00000
  • t
    0.90377
  • p
    0.20378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65597
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09787
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92528
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.12864
  • Upside Potential Ratio
    6.03331
  • Upside part of mean
    1.06348
  • Downside part of mean
    -0.33573
  • Upside SD
    0.53220
  • Downside SD
    0.17627
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.03788
  • Mean of criterion
    0.72775
  • SD of predictor
    0.16320
  • SD of criterion
    0.56939
  • Covariance
    0.03179
  • r
    0.34211
  • b (slope, estimate of beta)
    1.19356
  • a (intercept, estimate of alpha)
    0.77296
  • Mean Square Error
    0.35783
  • DF error
    4.00000
  • t(b)
    0.72815
  • p(b)
    0.25343
  • t(a)
    0.91126
  • p(a)
    0.20685
  • Lowerbound of 95% confidence interval for beta
    -3.35839
  • Upperbound of 95% confidence interval for beta
    5.74552
  • Lowerbound of 95% confidence interval for alpha
    -1.58258
  • Upperbound of 95% confidence interval for alpha
    3.12851
  • Treynor index (mean / b)
    0.60973
  • Jensen alpha (a)
    0.77296
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59365
  • SD
    0.50809
  • Sharpe ratio (Glass type estimate)
    1.16841
  • Sharpe ratio (Hedges UMVUE)
    0.98234
  • df
    5.00000
  • t
    0.82619
  • p
    0.22316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82022
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20434
  • Upside Potential Ratio
    5.10178
  • Upside part of mean
    0.94518
  • Downside part of mean
    -0.35153
  • Upside SD
    0.45844
  • Downside SD
    0.18527
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    -0.04949
  • Mean of criterion
    0.59365
  • SD of predictor
    0.16906
  • SD of criterion
    0.50809
  • Covariance
    0.03135
  • r
    0.36495
  • b (slope, estimate of beta)
    1.09680
  • a (intercept, estimate of alpha)
    0.64793
  • Mean Square Error
    0.27971
  • DF error
    4.00000
  • t(b)
    0.78398
  • p(b)
    0.23844
  • t(a)
    0.86260
  • p(a)
    0.21850
  • Lowerbound of 95% confidence interval for beta
    -2.78825
  • Upperbound of 95% confidence interval for beta
    4.98185
  • Lowerbound of 95% confidence interval for alpha
    -1.43798
  • Upperbound of 95% confidence interval for alpha
    2.73385
  • Treynor index (mean / b)
    0.54126
  • Jensen alpha (a)
    0.64793
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17451
  • Expected Shortfall on VaR
    0.22246
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05037
  • Expected Shortfall on VaR
    0.09826
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.89151
  • Quartile 1
    0.96632
  • Median
    1.04730
  • Quartile 3
    1.07852
  • Maximum
    1.36348
  • Mean of quarter 1
    0.91839
  • Mean of quarter 2
    1.02943
  • Mean of quarter 3
    1.06517
  • Mean of quarter 4
    1.22322
  • Inter Quartile Range
    0.11220
  • 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
    0.16667
  • Mean of outliers high
    1.36348
  • 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
    2.00000
  • Minimum
    0.05472
  • Quartile 1
    0.06816
  • Median
    0.08160
  • Quartile 3
    0.09505
  • Maximum
    0.10849
  • Mean of quarter 1
    0.05472
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10849
  • Inter Quartile Range
    0.02689
  • 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)
    0.72898
  • Compounded annual return (geometric extrapolation)
    0.86183
  • Calmar ratio (compounded annual return / max draw down)
    7.94378
  • Compounded annual return / average of 25% largest draw downs
    7.94378
  • Compounded annual return / Expected Shortfall lognormal
    3.87402
  • 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
    0.61631
  • SD
    0.26834
  • Sharpe ratio (Glass type estimate)
    2.29676
  • Sharpe ratio (Hedges UMVUE)
    2.28453
  • df
    141.00000
  • t
    1.69087
  • p
    0.41055
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38290
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96848
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39108
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.96013
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67941
  • Upside Potential Ratio
    10.96390
  • Upside part of mean
    1.83649
  • Downside part of mean
    -1.22017
  • Upside SD
    0.21188
  • Downside SD
    0.16750
  • N nonnegative terms
    85.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    142.00000
  • Mean of predictor
    0.01592
  • Mean of criterion
    0.61631
  • SD of predictor
    0.12710
  • SD of criterion
    0.26834
  • Covariance
    0.00469
  • r
    0.13752
  • b (slope, estimate of beta)
    0.29033
  • a (intercept, estimate of alpha)
    0.61200
  • Mean Square Error
    0.07115
  • DF error
    140.00000
  • t(b)
    1.64273
  • p(b)
    0.43124
  • t(a)
    1.68821
  • p(a)
    0.42938
  • Lowerbound of 95% confidence interval for beta
    -0.05909
  • Upperbound of 95% confidence interval for beta
    0.63974
  • Lowerbound of 95% confidence interval for alpha
    -0.10465
  • Upperbound of 95% confidence interval for alpha
    1.32803
  • Treynor index (mean / b)
    2.12283
  • Jensen alpha (a)
    0.61169
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58003
  • SD
    0.26727
  • Sharpe ratio (Glass type estimate)
    2.17021
  • Sharpe ratio (Hedges UMVUE)
    2.15865
  • df
    141.00000
  • t
    1.59770
  • p
    0.41536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50779
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.84072
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51553
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.83282
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.40357
  • Upside Potential Ratio
    10.64700
  • Upside part of mean
    1.81442
  • Downside part of mean
    -1.23440
  • Upside SD
    0.20778
  • Downside SD
    0.17042
  • N nonnegative terms
    85.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    142.00000
  • Mean of predictor
    0.00787
  • Mean of criterion
    0.58003
  • SD of predictor
    0.12750
  • SD of criterion
    0.26727
  • Covariance
    0.00468
  • r
    0.13736
  • b (slope, estimate of beta)
    0.28792
  • a (intercept, estimate of alpha)
    0.57776
  • Mean Square Error
    0.07058
  • DF error
    140.00000
  • t(b)
    1.64078
  • p(b)
    0.43132
  • t(a)
    1.60097
  • p(a)
    0.43296
  • Lowerbound of 95% confidence interval for beta
    -0.05901
  • Upperbound of 95% confidence interval for beta
    0.63486
  • Lowerbound of 95% confidence interval for alpha
    -0.13572
  • Upperbound of 95% confidence interval for alpha
    1.29125
  • Treynor index (mean / b)
    2.01452
  • Jensen alpha (a)
    0.57776
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02464
  • Expected Shortfall on VaR
    0.03133
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00920
  • Expected Shortfall on VaR
    0.01933
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    142.00000
  • Minimum
    0.94786
  • Quartile 1
    0.99319
  • Median
    1.00286
  • Quartile 3
    1.01067
  • Maximum
    1.06915
  • Mean of quarter 1
    0.98335
  • Mean of quarter 2
    0.99905
  • Mean of quarter 3
    1.00581
  • Mean of quarter 4
    1.02162
  • Inter Quartile Range
    0.01748
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02817
  • Mean of outliers low
    0.95436
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02113
  • Mean of outliers high
    1.06175
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38364
  • VaR(95%) (moments method)
    0.01790
  • Expected Shortfall (moments method)
    0.03275
  • Extreme Value Index (regression method)
    0.19044
  • VaR(95%) (regression method)
    0.01688
  • Expected Shortfall (regression method)
    0.02568
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00375
  • Quartile 1
    0.00984
  • Median
    0.01761
  • Quartile 3
    0.04135
  • Maximum
    0.12078
  • Mean of quarter 1
    0.00774
  • Mean of quarter 2
    0.01422
  • Mean of quarter 3
    0.02527
  • Mean of quarter 4
    0.07087
  • Inter Quartile Range
    0.03151
  • 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
    0.07143
  • Mean of outliers high
    0.12078
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00420
  • VaR(95%) (moments method)
    0.07779
  • Expected Shortfall (moments method)
    0.10084
  • Extreme Value Index (regression method)
    0.95245
  • VaR(95%) (regression method)
    0.10696
  • Expected Shortfall (regression method)
    1.68951
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72006
  • Compounded annual return (geometric extrapolation)
    0.83663
  • Calmar ratio (compounded annual return / max draw down)
    6.92687
  • Compounded annual return / average of 25% largest draw downs
    11.80520
  • Compounded annual return / Expected Shortfall lognormal
    26.70780
  • 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
    0.82978
  • SD
    0.25722
  • Sharpe ratio (Glass type estimate)
    3.22589
  • Sharpe ratio (Hedges UMVUE)
    3.20724
  • df
    130.00000
  • t
    2.28105
  • p
    0.40191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42051
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.01920
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40815
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.00633
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.66394
  • Upside Potential Ratio
    12.98490
  • Upside part of mean
    1.90232
  • Downside part of mean
    -1.07254
  • Upside SD
    0.21639
  • Downside SD
    0.14650
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02550
  • Mean of criterion
    0.82978
  • SD of predictor
    0.12860
  • SD of criterion
    0.25722
  • Covariance
    0.00560
  • r
    0.16916
  • b (slope, estimate of beta)
    0.33834
  • a (intercept, estimate of alpha)
    0.83840
  • Mean Square Error
    0.06477
  • DF error
    129.00000
  • t(b)
    1.94937
  • p(b)
    0.39283
  • t(a)
    2.32927
  • p(a)
    0.37297
  • Lowerbound of 95% confidence interval for beta
    -0.00506
  • Upperbound of 95% confidence interval for beta
    0.68175
  • Lowerbound of 95% confidence interval for alpha
    0.12625
  • Upperbound of 95% confidence interval for alpha
    1.55056
  • Treynor index (mean / b)
    2.45247
  • Jensen alpha (a)
    0.83840
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.79595
  • SD
    0.25533
  • Sharpe ratio (Glass type estimate)
    3.11727
  • Sharpe ratio (Hedges UMVUE)
    3.09925
  • df
    130.00000
  • t
    2.20424
  • p
    0.40509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.90901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30196
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.89654
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.35218
  • Upside Potential Ratio
    12.63710
  • Upside part of mean
    1.87932
  • Downside part of mean
    -1.08337
  • Upside SD
    0.21213
  • Downside SD
    0.14871
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03374
  • Mean of criterion
    0.79595
  • SD of predictor
    0.12904
  • SD of criterion
    0.25533
  • Covariance
    0.00560
  • r
    0.17004
  • b (slope, estimate of beta)
    0.33645
  • a (intercept, estimate of alpha)
    0.80730
  • Mean Square Error
    0.06380
  • DF error
    129.00000
  • t(b)
    1.95979
  • p(b)
    0.39227
  • t(a)
    2.25968
  • p(a)
    0.37657
  • Lowerbound of 95% confidence interval for beta
    -0.00322
  • Upperbound of 95% confidence interval for beta
    0.67611
  • Lowerbound of 95% confidence interval for alpha
    0.10045
  • Upperbound of 95% confidence interval for alpha
    1.51415
  • Treynor index (mean / b)
    2.36573
  • Jensen alpha (a)
    0.80730
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02265
  • Expected Shortfall on VaR
    0.02905
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00781
  • Expected Shortfall on VaR
    0.01652
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95007
  • Quartile 1
    0.99470
  • Median
    1.00337
  • Quartile 3
    1.01088
  • Maximum
    1.06915
  • Mean of quarter 1
    0.98506
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00629
  • Mean of quarter 4
    1.02197
  • Inter Quartile Range
    0.01619
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95341
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.06175
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22477
  • VaR(95%) (moments method)
    0.01329
  • Expected Shortfall (moments method)
    0.01668
  • Extreme Value Index (regression method)
    0.12080
  • VaR(95%) (regression method)
    0.01424
  • Expected Shortfall (regression method)
    0.02112
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00375
  • Quartile 1
    0.00972
  • Median
    0.01786
  • Quartile 3
    0.04324
  • Maximum
    0.06908
  • Mean of quarter 1
    0.00797
  • Mean of quarter 2
    0.01513
  • Mean of quarter 3
    0.03100
  • Mean of quarter 4
    0.05694
  • Inter Quartile Range
    0.03352
  • 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)
    -0.19723
  • VaR(95%) (moments method)
    0.06107
  • Expected Shortfall (moments method)
    0.06929
  • Extreme Value Index (regression method)
    -0.05560
  • VaR(95%) (regression method)
    0.05850
  • Expected Shortfall (regression method)
    0.06653
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.01945
  • Compounded annual return (geometric extrapolation)
    1.27926
  • Calmar ratio (compounded annual return / max draw down)
    18.51880
  • Compounded annual return / average of 25% largest draw downs
    22.46670
  • Compounded annual return / Expected Shortfall lognormal
    44.03210

Strategy Description

Summary Statistics

Strategy began
2018-04-27
Suggested Minimum Capital
$70,000
# Trades
74
# Profitable
65
% Profitable
87.8%
Correlation S&P500
0.130
Sharpe Ratio
2.285

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.

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