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Forex Aggressive Risk
(117863277)

Created by: JayMcGivney6 JayMcGivney6
Started: 05/2018
Forex
Last trade: Today

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

98.0%
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.

(24.2%)
Max Drawdown
128
Num Trades
96.1%
Win Trades
9.7 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +14.7%+10.6%+12.9%(10.3%)(3.1%)+24.3%+5.7%+0.2%+63.9%
2019+20.8%                                                                  +20.8%

Model Account Details

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

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

Trading Record

This strategy has placed 25 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/18/19 13:38 CAD/CHF CAD/CHF SHORT 10 0.75056 1/22 2:02 0.74861 n/a $191
Includes Typical Broker Commissions trade costs of $4.00
1/17/19 14:39 AUD/NZD AUD/NZD SHORT 10 1.06385 1/18 2:58 1.06203 0.23%
Trade id #122038019
Max drawdown($92)
Time1/17/19 20:47
Quant open-10
Worst price1.06522
Drawdown as % of equity-0.23%
$119
Includes Typical Broker Commissions trade costs of $4.00
1/10/19 9:28 AUD/USD AUD/USD SHORT 10 0.71842 1/16 6:01 0.71754 1.27%
Trade id #121893653
Max drawdown($509)
Time1/11/19 5:54
Quant open-10
Worst price0.72351
Drawdown as % of equity-1.27%
$84
Includes Typical Broker Commissions trade costs of $4.00
12/18/18 23:43 EUR/AUD EUR/AUD SHORT 10 1.58300 1/15/19 12:28 1.58312 15.07%
Trade id #121564547
Max drawdown($5,214)
Time1/2/19 18:01
Quant open-10
Worst price1.65550
Drawdown as % of equity-15.07%
($13)
Includes Typical Broker Commissions trade costs of $4.00
1/4/19 14:46 AUD/NZD AUD/NZD SHORT 10 1.05488 1/15 1:28 1.05397 1.52%
Trade id #121796909
Max drawdown($612)
Time1/8/19 18:56
Quant open-10
Worst price1.06383
Drawdown as % of equity-1.52%
$58
Includes Typical Broker Commissions trade costs of $4.00
12/4/18 14:32 USD/CAD USD/CAD SHORT 10 1.32447 1/8/19 18:57 1.32439 8.95%
Trade id #121341592
Max drawdown($3,170)
Time12/31/18 10:59
Quant open-10
Worst price1.36648
Drawdown as % of equity-8.95%
$2
Includes Typical Broker Commissions trade costs of $4.00
12/28/18 16:28 GBP/AUD GBP/AUD SHORT 10 1.80347 1/2/19 11:22 1.79719 2.77%
Trade id #121706619
Max drawdown($981)
Time12/31/18 10:32
Quant open-10
Worst price1.81750
Drawdown as % of equity-2.77%
$436
Includes Typical Broker Commissions trade costs of $4.00
11/1/18 9:30 NZD/JPY NZD/JPY SHORT 15 75.712 12/28 11:40 74.003 11.16%
Trade id #120664440
Max drawdown($3,744)
Time12/3/18 22:50
Quant open-10
Worst price78.861
Drawdown as % of equity-11.16%
$2,316
Includes Typical Broker Commissions trade costs of $7.00
12/18/18 12:50 EUR/CAD EUR/CAD SHORT 10 1.53220 12/18 15:55 1.53120 0.27%
Trade id #121556203
Max drawdown($92)
Time12/18/18 14:51
Quant open-10
Worst price1.53345
Drawdown as % of equity-0.27%
$70
Includes Typical Broker Commissions trade costs of $4.00
12/14/18 15:32 USD/CHF USD/CHF SHORT 10 0.99770 12/17 9:08 0.99247 0.35%
Trade id #121508707
Max drawdown($123)
Time12/14/18 16:44
Quant open-10
Worst price0.99893
Drawdown as % of equity-0.35%
$523
Includes Typical Broker Commissions trade costs of $4.00
12/13/18 11:07 USD/JPY USD/JPY SHORT 10 113.630 12/13 19:42 113.530 0.2%
Trade id #121482179
Max drawdown($68)
Time12/13/18 11:45
Quant open-10
Worst price113.708
Drawdown as % of equity-0.20%
$84
Includes Typical Broker Commissions trade costs of $4.00
12/11/18 14:30 USD/CHF USD/CHF SHORT 10 0.99328 12/12 10:37 0.99188 0.98%
Trade id #121449873
Max drawdown($330)
Time12/12/18 7:32
Quant open-10
Worst price0.99656
Drawdown as % of equity-0.98%
$137
Includes Typical Broker Commissions trade costs of $4.00
12/6/18 11:08 EUR/AUD EUR/AUD SHORT 10 1.57742 12/6 12:53 1.57540 0.16%
Trade id #121378239
Max drawdown($54)
Time12/6/18 11:11
Quant open-10
Worst price1.57817
Drawdown as % of equity-0.16%
$142
Includes Typical Broker Commissions trade costs of $4.00
12/4/18 9:57 EUR/CAD EUR/CAD SHORT 10 1.50410 12/4 10:41 1.50070 0.08%
Trade id #121331155
Max drawdown($28)
Time12/4/18 10:13
Quant open-10
Worst price1.50447
Drawdown as % of equity-0.08%
$253
Includes Typical Broker Commissions trade costs of $4.00
12/3/18 12:35 CAD/JPY CAD/JPY SHORT 10 86.169 12/3 13:50 86.056 0.1%
Trade id #121314014
Max drawdown($32)
Time12/3/18 13:14
Quant open-10
Worst price86.206
Drawdown as % of equity-0.10%
$95
Includes Typical Broker Commissions trade costs of $4.00
12/3/18 10:27 CAD/JPY CAD/JPY SHORT 10 86.163 12/3 11:57 86.059 0.04%
Trade id #121310159
Max drawdown($12)
Time12/3/18 10:31
Quant open-10
Worst price86.177
Drawdown as % of equity-0.04%
$88
Includes Typical Broker Commissions trade costs of $4.00
11/30/18 12:27 USD/JPY USD/JPY SHORT 10 113.546 12/2 23:09 113.440 0.72%
Trade id #121276406
Max drawdown($244)
Time12/2/18 18:21
Quant open-10
Worst price113.823
Drawdown as % of equity-0.72%
$89
Includes Typical Broker Commissions trade costs of $4.00
11/29/18 16:34 EUR/CAD EUR/CAD SHORT 10 1.51290 11/30 9:46 1.51135 0.45%
Trade id #121259210
Max drawdown($152)
Time11/30/18 6:21
Quant open-10
Worst price1.51493
Drawdown as % of equity-0.45%
$112
Includes Typical Broker Commissions trade costs of $4.00
11/29/18 9:29 CAD/CHF CAD/CHF SHORT 10 0.75086 11/30 3:26 0.74880 0.3%
Trade id #121239030
Max drawdown($103)
Time11/29/18 13:34
Quant open-10
Worst price0.75189
Drawdown as % of equity-0.30%
$203
Includes Typical Broker Commissions trade costs of $4.00
11/28/18 11:31 USD/JPY USD/JPY SHORT 10 113.974 11/28 12:03 113.746 0.07%
Trade id #121218818
Max drawdown($24)
Time11/28/18 11:51
Quant open-10
Worst price114.002
Drawdown as % of equity-0.07%
$197
Includes Typical Broker Commissions trade costs of $4.00
11/26/18 10:48 USD/CHF USD/CHF SHORT 10 0.99882 11/28 12:02 0.99667 0.52%
Trade id #121166457
Max drawdown($177)
Time11/28/18 10:59
Quant open-10
Worst price1.00059
Drawdown as % of equity-0.52%
$212
Includes Typical Broker Commissions trade costs of $4.00
11/23/18 12:19 USD/CHF USD/CHF SHORT 10 0.99765 11/26 4:04 0.99560 0.22%
Trade id #121139040
Max drawdown($77)
Time11/25/18 22:00
Quant open-10
Worst price0.99842
Drawdown as % of equity-0.22%
$202
Includes Typical Broker Commissions trade costs of $4.00
11/23/18 9:42 AUD/NZD AUD/NZD SHORT 10 1.06660 11/23 16:37 1.06546 0.23%
Trade id #121134453
Max drawdown($83)
Time11/23/18 10:22
Quant open-10
Worst price1.06783
Drawdown as % of equity-0.23%
$73
Includes Typical Broker Commissions trade costs of $4.00
11/23/18 10:12 USD/CAD USD/CAD SHORT 10 1.32397 11/23 12:04 1.32236 0.02%
Trade id #121135515
Max drawdown($7)
Time11/23/18 10:14
Quant open-10
Worst price1.32407
Drawdown as % of equity-0.02%
$118
Includes Typical Broker Commissions trade costs of $4.00
11/22/18 9:02 CAD/JPY CAD/JPY SHORT 10 85.426 11/23 8:42 85.128 0.73%
Trade id #121117711
Max drawdown($249)
Time11/22/18 16:01
Quant open-10
Worst price85.707
Drawdown as % of equity-0.73%
$260
Includes Typical Broker Commissions trade costs of $4.00
11/13/18 15:32 AUD/CAD AUD/CAD SHORT 10 0.95498 11/23 8:30 0.95384 2.68%
Trade id #120915577
Max drawdown($866)
Time11/21/18 10:33
Quant open-10
Worst price0.96642
Drawdown as % of equity-2.68%
$82
Includes Typical Broker Commissions trade costs of $4.00
11/21/18 8:55 AUD/JPY AUD/JPY SHORT 10 81.960 11/22 3:15 81.798 0.74%
Trade id #121092391
Max drawdown($245)
Time11/21/18 17:39
Quant open-10
Worst price82.237
Drawdown as % of equity-0.74%
$139
Includes Typical Broker Commissions trade costs of $4.00
11/19/18 9:15 CHF/JPY CHF/JPY SHORT 10 113.211 11/20 10:05 113.110 0.8%
Trade id #121041762
Max drawdown($263)
Time11/19/18 21:45
Quant open-10
Worst price113.507
Drawdown as % of equity-0.80%
$86
Includes Typical Broker Commissions trade costs of $4.00
10/16/18 13:49 USD/CHF USD/CHF SHORT 15 0.99200 11/20 3:12 0.99100 10.22%
Trade id #120384914
Max drawdown($3,150)
Time11/13/18 5:23
Quant open-15
Worst price1.01285
Drawdown as % of equity-10.22%
$145
Includes Typical Broker Commissions trade costs of $7.00
11/16/18 13:49 AUD/USD AUD/USD SHORT 10 0.73296 11/18 17:30 0.73135 0.27%
Trade id #121019044
Max drawdown($84)
Time11/16/18 16:46
Quant open-10
Worst price0.73380
Drawdown as % of equity-0.27%
$157
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    5/9/2018
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    257.73
  • Age
    9 months ago
  • What it trades
    Forex
  • # Trades
    128
  • # Profitable
    123
  • % Profitable
    96.10%
  • Avg trade duration
    5.9 days
  • Max peak-to-valley drawdown
    24.22%
  • drawdown period
    Aug 21, 2018 - Sept 21, 2018
  • Cumul. Return
    101.1%
  • Avg win
    $193.20
  • Avg loss
    $488.60
  • Model Account Values (Raw)
  • Cash
    $43,754
  • Margin Used
    $10,512
  • Buying Power
    $30,806
  • Ratios
  • W:L ratio
    9.73:1
  • Sharpe Ratio
    3.132
  • Sortino Ratio
    5.525
  • Calmar Ratio
    8.746
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.08300
  • Return Statistics
  • Ann Return (w trading costs)
    166.0%
  • Ann Return (Compnd, No Fees)
    178.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    986
  • Popularity (Last 6 weeks)
    972
  • C2 Score
    88.5
  • 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
    $485
  • Avg Win
    $193
  • # Winners
    123
  • # Losers
    5
  • % Winners
    96.1%
  • Frequency
  • Avg Position Time (mins)
    8463.42
  • Avg Position Time (hrs)
    141.06
  • Avg Trade Length
    5.9 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.10828
  • SD
    0.31718
  • Sharpe ratio (Glass type estimate)
    3.49412
  • Sharpe ratio (Hedges UMVUE)
    3.10348
  • df
    7.00000
  • t
    2.85293
  • p
    0.01229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42071
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.41438
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.00262
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.03530
  • Upside Potential Ratio
    19.26000
  • Upside part of mean
    1.18354
  • Downside part of mean
    -0.07526
  • Upside SD
    0.43199
  • Downside SD
    0.06145
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.08090
  • Mean of criterion
    1.10828
  • SD of predictor
    0.09984
  • SD of criterion
    0.31718
  • Covariance
    0.00031
  • r
    0.00979
  • b (slope, estimate of beta)
    0.03110
  • a (intercept, estimate of alpha)
    1.11079
  • Mean Square Error
    0.11736
  • DF error
    6.00000
  • t(b)
    0.02398
  • p(b)
    0.49082
  • t(a)
    2.56834
  • p(a)
    0.02121
  • Lowerbound of 95% confidence interval for beta
    -3.14246
  • Upperbound of 95% confidence interval for beta
    3.20465
  • Lowerbound of 95% confidence interval for alpha
    0.05251
  • Upperbound of 95% confidence interval for alpha
    2.16908
  • Treynor index (mean / b)
    35.63970
  • Jensen alpha (a)
    1.11079
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02048
  • SD
    0.29264
  • Sharpe ratio (Glass type estimate)
    3.48717
  • Sharpe ratio (Hedges UMVUE)
    3.09731
  • df
    7.00000
  • t
    2.84726
  • p
    0.01239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.40529
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.99464
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.22500
  • Upside Potential Ratio
    17.44970
  • Upside part of mean
    1.09751
  • Downside part of mean
    -0.07703
  • Upside SD
    0.39719
  • Downside SD
    0.06290
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.08545
  • Mean of criterion
    1.02048
  • SD of predictor
    0.10144
  • SD of criterion
    0.29264
  • Covariance
    0.00007
  • r
    0.00240
  • b (slope, estimate of beta)
    0.00692
  • a (intercept, estimate of alpha)
    1.02107
  • Mean Square Error
    0.09991
  • DF error
    6.00000
  • t(b)
    0.00588
  • p(b)
    0.49775
  • t(a)
    2.55274
  • p(a)
    0.02167
  • Lowerbound of 95% confidence interval for beta
    -2.87502
  • Upperbound of 95% confidence interval for beta
    2.88886
  • Lowerbound of 95% confidence interval for alpha
    0.04232
  • Upperbound of 95% confidence interval for alpha
    1.99982
  • Treynor index (mean / b)
    147.41900
  • Jensen alpha (a)
    1.02107
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05249
  • Expected Shortfall on VaR
    0.08490
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.01331
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.95215
  • Quartile 1
    1.03682
  • Median
    1.08561
  • Quartile 3
    1.17465
  • Maximum
    1.20299
  • Mean of quarter 1
    0.98984
  • Mean of quarter 2
    1.04225
  • Mean of quarter 3
    1.14706
  • Mean of quarter 4
    1.19959
  • Inter Quartile Range
    0.13783
  • 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
    1.00000
  • Minimum
    0.04785
  • Quartile 1
    0.04785
  • Median
    0.04785
  • Quartile 3
    0.04785
  • Maximum
    0.04785
  • 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)
    1.51738
  • Compounded annual return (geometric extrapolation)
    1.85304
  • Calmar ratio (compounded annual return / max draw down)
    38.72930
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    21.82480
  • 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
    1.07807
  • SD
    0.34281
  • Sharpe ratio (Glass type estimate)
    3.14483
  • Sharpe ratio (Hedges UMVUE)
    3.13178
  • df
    181.00000
  • t
    2.62109
  • p
    0.37901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.51434
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.50541
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.52453
  • Upside Potential Ratio
    13.30390
  • Upside part of mean
    2.59615
  • Downside part of mean
    -1.51808
  • Upside SD
    0.28849
  • Downside SD
    0.19514
  • N nonnegative terms
    107.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    182.00000
  • Mean of predictor
    -0.02866
  • Mean of criterion
    1.07807
  • SD of predictor
    0.16639
  • SD of criterion
    0.34281
  • Covariance
    -0.00569
  • r
    -0.09976
  • b (slope, estimate of beta)
    -0.20552
  • a (intercept, estimate of alpha)
    1.07200
  • Mean Square Error
    0.11699
  • DF error
    180.00000
  • t(b)
    -1.34510
  • p(b)
    0.54988
  • t(a)
    2.61244
  • p(a)
    0.40443
  • Lowerbound of 95% confidence interval for beta
    -0.50702
  • Upperbound of 95% confidence interval for beta
    0.09597
  • Lowerbound of 95% confidence interval for alpha
    0.26234
  • Upperbound of 95% confidence interval for alpha
    1.88202
  • Treynor index (mean / b)
    -5.24552
  • Jensen alpha (a)
    1.07218
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01816
  • SD
    0.33980
  • Sharpe ratio (Glass type estimate)
    2.99634
  • Sharpe ratio (Hedges UMVUE)
    2.98390
  • df
    181.00000
  • t
    2.49733
  • p
    0.38446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.36408
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35551
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.13079
  • Upside Potential Ratio
    12.87810
  • Upside part of mean
    2.55555
  • Downside part of mean
    -1.53739
  • Upside SD
    0.28180
  • Downside SD
    0.19844
  • N nonnegative terms
    107.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    182.00000
  • Mean of predictor
    -0.04243
  • Mean of criterion
    1.01816
  • SD of predictor
    0.16640
  • SD of criterion
    0.33980
  • Covariance
    -0.00586
  • r
    -0.10370
  • b (slope, estimate of beta)
    -0.21177
  • a (intercept, estimate of alpha)
    1.00918
  • Mean Square Error
    0.11486
  • DF error
    180.00000
  • t(b)
    -1.39888
  • p(b)
    0.55185
  • t(a)
    2.48151
  • p(a)
    0.40906
  • Lowerbound of 95% confidence interval for beta
    -0.51049
  • Upperbound of 95% confidence interval for beta
    0.08695
  • Lowerbound of 95% confidence interval for alpha
    0.20671
  • Upperbound of 95% confidence interval for alpha
    1.81165
  • Treynor index (mean / b)
    -4.80788
  • Jensen alpha (a)
    1.00918
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03018
  • Expected Shortfall on VaR
    0.03862
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01175
  • Expected Shortfall on VaR
    0.02387
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    182.00000
  • Minimum
    0.94237
  • Quartile 1
    0.99228
  • Median
    1.00324
  • Quartile 3
    1.01479
  • Maximum
    1.10248
  • Mean of quarter 1
    0.97925
  • Mean of quarter 2
    0.99857
  • Mean of quarter 3
    1.00847
  • Mean of quarter 4
    1.03056
  • Inter Quartile Range
    0.02252
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01648
  • Mean of outliers low
    0.95132
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03297
  • Mean of outliers high
    1.06217
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11833
  • VaR(95%) (moments method)
    0.01869
  • Expected Shortfall (moments method)
    0.02426
  • Extreme Value Index (regression method)
    -0.16066
  • VaR(95%) (regression method)
    0.02079
  • Expected Shortfall (regression method)
    0.02689
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00388
  • Median
    0.01392
  • Quartile 3
    0.05282
  • Maximum
    0.21111
  • Mean of quarter 1
    0.00148
  • Mean of quarter 2
    0.01006
  • Mean of quarter 3
    0.03644
  • Mean of quarter 4
    0.09967
  • Inter Quartile Range
    0.04894
  • 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
    0.04762
  • Mean of outliers high
    0.21111
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.31455
  • VaR(95%) (moments method)
    0.10820
  • Expected Shortfall (moments method)
    0.17372
  • Extreme Value Index (regression method)
    0.58457
  • VaR(95%) (regression method)
    0.10203
  • Expected Shortfall (regression method)
    0.21211
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.53768
  • Compounded annual return (geometric extrapolation)
    1.84644
  • Calmar ratio (compounded annual return / max draw down)
    8.74648
  • Compounded annual return / average of 25% largest draw downs
    18.52610
  • Compounded annual return / Expected Shortfall lognormal
    47.80960
  • 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
    0.88460
  • SD
    0.33542
  • Sharpe ratio (Glass type estimate)
    2.63728
  • Sharpe ratio (Hedges UMVUE)
    2.62204
  • df
    130.00000
  • t
    1.86484
  • p
    0.41929
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.42259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.41211
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.33418
  • Upside Potential Ratio
    12.24750
  • Upside part of mean
    2.49971
  • Downside part of mean
    -1.61511
  • Upside SD
    0.27015
  • Downside SD
    0.20410
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10818
  • Mean of criterion
    0.88460
  • SD of predictor
    0.18763
  • SD of criterion
    0.33542
  • Covariance
    -0.00787
  • r
    -0.12511
  • b (slope, estimate of beta)
    -0.22366
  • a (intercept, estimate of alpha)
    0.86041
  • Mean Square Error
    0.11160
  • DF error
    129.00000
  • t(b)
    -1.43223
  • p(b)
    0.57944
  • t(a)
    1.81999
  • p(a)
    0.39969
  • Lowerbound of 95% confidence interval for beta
    -0.53263
  • Upperbound of 95% confidence interval for beta
    0.08531
  • Lowerbound of 95% confidence interval for alpha
    -0.07495
  • Upperbound of 95% confidence interval for alpha
    1.79576
  • Treynor index (mean / b)
    -3.95510
  • Jensen alpha (a)
    0.86041
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82760
  • SD
    0.33419
  • Sharpe ratio (Glass type estimate)
    2.47647
  • Sharpe ratio (Hedges UMVUE)
    2.46216
  • df
    130.00000
  • t
    1.75113
  • p
    0.42410
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.25984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32576
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.25007
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.98498
  • Upside Potential Ratio
    11.86370
  • Upside part of mean
    2.46385
  • Downside part of mean
    -1.63625
  • Upside SD
    0.26516
  • Downside SD
    0.20768
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12566
  • Mean of criterion
    0.82760
  • SD of predictor
    0.18762
  • SD of criterion
    0.33419
  • Covariance
    -0.00810
  • r
    -0.12916
  • b (slope, estimate of beta)
    -0.23006
  • a (intercept, estimate of alpha)
    0.79869
  • Mean Square Error
    0.11067
  • DF error
    129.00000
  • t(b)
    -1.47933
  • p(b)
    0.58199
  • t(a)
    1.69621
  • p(a)
    0.40631
  • Lowerbound of 95% confidence interval for beta
    -0.53774
  • Upperbound of 95% confidence interval for beta
    0.07763
  • Lowerbound of 95% confidence interval for alpha
    -0.13294
  • Upperbound of 95% confidence interval for alpha
    1.73032
  • Treynor index (mean / b)
    -3.59741
  • Jensen alpha (a)
    0.79869
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03033
  • Expected Shortfall on VaR
    0.03863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01269
  • Expected Shortfall on VaR
    0.02548
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94237
  • Quartile 1
    0.99139
  • Median
    1.00276
  • Quartile 3
    1.01411
  • Maximum
    1.06164
  • Mean of quarter 1
    0.97823
  • Mean of quarter 2
    0.99801
  • Mean of quarter 3
    1.00779
  • Mean of quarter 4
    1.03002
  • Inter Quartile Range
    0.02272
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95132
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.05446
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08122
  • VaR(95%) (moments method)
    0.02098
  • Expected Shortfall (moments method)
    0.02955
  • Extreme Value Index (regression method)
    -0.14106
  • VaR(95%) (regression method)
    0.02144
  • Expected Shortfall (regression method)
    0.02735
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00079
  • Quartile 1
    0.00708
  • Median
    0.01959
  • Quartile 3
    0.07186
  • Maximum
    0.21111
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.01436
  • Mean of quarter 3
    0.05091
  • Mean of quarter 4
    0.12173
  • Inter Quartile Range
    0.06478
  • 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
    0.09091
  • Mean of outliers high
    0.21111
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.44410
  • VaR(95%) (moments method)
    0.14589
  • Expected Shortfall (moments method)
    0.27504
  • Extreme Value Index (regression method)
    4.29066
  • VaR(95%) (regression method)
    0.35124
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06762
  • Compounded annual return (geometric extrapolation)
    1.35257
  • Calmar ratio (compounded annual return / max draw down)
    6.40705
  • Compounded annual return / average of 25% largest draw downs
    11.11160
  • Compounded annual return / Expected Shortfall lognormal
    35.01100

Strategy Description

Summary Statistics

Strategy began
2018-05-09
Suggested Minimum Capital
$40,000
# Trades
128
# Profitable
123
% Profitable
96.1%
Correlation S&P500
-0.083
Sharpe Ratio
3.132

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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