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MWTech
(119050838)

Created by: MWTech MWTech
Started: 07/2018
Forex
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

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 $10.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
88.3%
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.

(16.4%)
Max Drawdown
57
Num Trades
73.7%
Win Trades
3.7 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                          +17.8%+8.6%+22.6%+1.6%+18.2%      +88.3%

Model Account Details

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

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

System developer has asked us to delay this information by 10 hours.

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/7/18 3:16 NZD/USD NZD/USD SHORT 10 0.67540 11/12 23:35 0.67489 n/a $47
Includes Typical Broker Commissions trade costs of $4.00
11/5/18 5:14 AUD/USD AUD/USD SHORT 20 0.72170 11/12 23:34 0.72425 n/a ($518)
Includes Typical Broker Commissions trade costs of $8.00
11/7/18 6:51 EUR/CHF EUR/CHF SHORT 10 1.14420 11/12 15:22 1.13550 1.84%
Trade id #120787713
Max drawdown($280)
Time11/8/18 10:22
Quant open-10
Worst price1.14703
Drawdown as % of equity-1.84%
$857
Includes Typical Broker Commissions trade costs of $4.00
11/7/18 3:51 GBP/USD GBP/USD SHORT 10 1.31450 11/9 11:50 1.29850 2.01%
Trade id #120785069
Max drawdown($297)
Time11/7/18 5:26
Quant open-10
Worst price1.31747
Drawdown as % of equity-2.01%
$1,596
Includes Typical Broker Commissions trade costs of $4.00
11/7/18 8:00 USD/CAD USD/CAD LONG 10 1.30810 11/8 23:12 1.31760 1.27%
Trade id #120788972
Max drawdown($188)
Time11/7/18 8:36
Quant open10
Worst price1.30561
Drawdown as % of equity-1.27%
$717
Includes Typical Broker Commissions trade costs of $4.00
11/7/18 0:04 USD/CAD USD/CAD LONG 10 1.31120 11/7 1:56 1.31300 0.17%
Trade id #120783148
Max drawdown($25)
Time11/7/18 0:17
Quant open10
Worst price1.31086
Drawdown as % of equity-0.17%
$133
Includes Typical Broker Commissions trade costs of $4.00
11/5/18 4:26 NZD/USD NZD/USD SHORT 10 0.66520 11/6 23:25 0.67740 7.86%
Trade id #120721617
Max drawdown($1,229)
Time11/6/18 23:24
Quant open-10
Worst price0.67749
Drawdown as % of equity-7.86%
($1,224)
Includes Typical Broker Commissions trade costs of $4.00
11/5/18 10:43 USD/CAD USD/CAD LONG 10 1.30820 11/6 11:35 1.31260 0.14%
Trade id #120729907
Max drawdown($24)
Time11/5/18 10:47
Quant open10
Worst price1.30788
Drawdown as % of equity-0.14%
$331
Includes Typical Broker Commissions trade costs of $4.00
10/30/18 11:30 EUR/USD EUR/USD LONG 5 1.13620 11/2 6:46 1.14444 1.9%
Trade id #120621500
Max drawdown($299)
Time10/31/18 13:54
Quant open5
Worst price1.13021
Drawdown as % of equity-1.90%
$408
Includes Typical Broker Commissions trade costs of $4.00
10/30/18 2:24 USD/CAD USD/CAD SHORT 5 1.31152 11/2 6:46 1.30579 1.34%
Trade id #120612125
Max drawdown($210)
Time10/31/18 15:01
Quant open-5
Worst price1.31702
Drawdown as % of equity-1.34%
$215
Includes Typical Broker Commissions trade costs of $4.00
10/30/18 10:37 GBP/USD GBP/USD LONG 5 1.27570 11/1 4:04 1.28754 1.96%
Trade id #120620085
Max drawdown($306)
Time10/30/18 14:21
Quant open5
Worst price1.26958
Drawdown as % of equity-1.96%
$588
Includes Typical Broker Commissions trade costs of $4.00
10/10/18 8:33 USD/JPY USD/JPY SHORT 5 113.203 10/12 10:12 112.214 0.18%
Trade id #120270245
Max drawdown($28)
Time10/10/18 9:02
Quant open-5
Worst price113.266
Drawdown as % of equity-0.18%
$437
Includes Typical Broker Commissions trade costs of $4.00
9/10/18 9:30 SNAP SNAP INC SHORT 200 9.78 10/12 10:12 7.33 0.17%
Trade id #119777041
Max drawdown($24)
Time9/12/18 4:02
Quant open-200
Worst price9.90
Drawdown as % of equity-0.17%
$488
Includes Typical Broker Commissions trade costs of $2.00
9/26/18 8:32 GBP/USD GBP/USD SHORT 5 1.31605 10/12 10:11 1.31782 3.08%
Trade id #120038864
Max drawdown($486)
Time10/12/18 3:58
Quant open-5
Worst price1.32578
Drawdown as % of equity-3.08%
($93)
Includes Typical Broker Commissions trade costs of $4.00
9/18/18 12:07 @QMV8 MINY CRUDE OIL SHORT 1 69.775 9/18 12:14 69.750 0.08%
Trade id #119912042
Max drawdown($12)
Time9/18/18 12:13
Quant open-1
Worst price69.800
Drawdown as % of equity-0.08%
$8
Includes Typical Broker Commissions trade costs of $4.60
9/10/18 10:29 ENT GLOBAL EAGLE ENTERTAINMENT INC LONG 500 2.25 9/18 9:30 2.34 0.63%
Trade id #119779456
Max drawdown($90)
Time9/10/18 11:49
Quant open500
Worst price2.07
Drawdown as % of equity-0.63%
$40
Includes Typical Broker Commissions trade costs of $5.00
9/10/18 9:30 WMT WALMART INC SHORT 20 96.11 9/18 9:30 94.46 0.22%
Trade id #119777052
Max drawdown($31)
Time9/11/18 9:33
Quant open-20
Worst price97.66
Drawdown as % of equity-0.22%
$31
Includes Typical Broker Commissions trade costs of $2.00
9/12/18 7:42 EUR/CHF EUR/CHF LONG 5 1.12787 9/18 7:43 1.12477 1.9%
Trade id #119816277
Max drawdown($290)
Time9/18/18 5:15
Quant open5
Worst price1.12229
Drawdown as % of equity-1.90%
($165)
Includes Typical Broker Commissions trade costs of $4.00
9/17/18 2:42 GBP/USD GBP/USD SHORT 5 1.30849 9/18 7:42 1.31406 2.81%
Trade id #119881603
Max drawdown($428)
Time9/18/18 2:21
Quant open-5
Worst price1.31706
Drawdown as % of equity-2.81%
($283)
Includes Typical Broker Commissions trade costs of $4.00
9/13/18 13:02 GBP/USD GBP/USD SHORT 5 1.31062 9/14 10:42 1.30739 1.19%
Trade id #119847897
Max drawdown($185)
Time9/14/18 8:19
Quant open-5
Worst price1.31433
Drawdown as % of equity-1.19%
$158
Includes Typical Broker Commissions trade costs of $4.00
9/13/18 13:09 EUR/USD EUR/USD SHORT 5 1.16786 9/14 0:57 1.16953 0.61%
Trade id #119847997
Max drawdown($95)
Time9/13/18 23:35
Quant open-5
Worst price1.16976
Drawdown as % of equity-0.61%
($88)
Includes Typical Broker Commissions trade costs of $4.00
9/10/18 14:01 QGCV8 Gold 100 oz LONG 1 1195.7 9/13 23:52 1205.3 5.96%
Trade id #119784924
Max drawdown($830)
Time9/11/18 9:43
Quant open1
Worst price1187.4
Drawdown as % of equity-5.96%
$954
Includes Typical Broker Commissions trade costs of $6.00
9/11/18 2:29 USD/CHF USD/CHF SHORT 5 0.97507 9/12 7:40 0.97379 0.25%
Trade id #119792290
Max drawdown($36)
Time9/11/18 2:37
Quant open-5
Worst price0.97579
Drawdown as % of equity-0.25%
$62
Includes Typical Broker Commissions trade costs of $4.00
9/10/18 13:52 @QMV8 MINY CRUDE OIL LONG 1 67.500 9/11 0:51 67.575 0.26%
Trade id #119784774
Max drawdown($37)
Time9/10/18 14:27
Quant open1
Worst price67.425
Drawdown as % of equity-0.26%
$33
Includes Typical Broker Commissions trade costs of $4.60
9/7/18 4:23 @QMV8 MINY CRUDE OIL SHORT 1 67.925 9/7 8:41 67.775 0.45%
Trade id #119756536
Max drawdown($62)
Time9/7/18 4:49
Quant open-1
Worst price68.050
Drawdown as % of equity-0.45%
$70
Includes Typical Broker Commissions trade costs of $4.60
9/7/18 4:49 QGCV8 Gold 100 oz SHORT 1 1200.9 9/7 8:32 1198.0 1.07%
Trade id #119756661
Max drawdown($150)
Time9/7/18 7:03
Quant open-1
Worst price1202.4
Drawdown as % of equity-1.07%
$284
Includes Typical Broker Commissions trade costs of $6.00
9/5/18 10:37 BPMX BIOPHARMX CORPORATIO LONG 2,000 0.16 9/5 11:55 0.16 0.01%
Trade id #119731938
Max drawdown($2)
Time9/5/18 10:40
Quant open2,000
Worst price0.16
Drawdown as % of equity-0.01%
($20)
Includes Typical Broker Commissions trade costs of $20.00
9/5/18 9:30 HMNY HELIOS AND MATHESON ANALYTICS LONG 1,000 0.03 9/5 11:54 0.03 0.01%
Trade id #119728629
Max drawdown($1)
Time9/5/18 9:38
Quant open1,000
Worst price0.02
Drawdown as % of equity-0.01%
($10)
Includes Typical Broker Commissions trade costs of $10.00
9/5/18 9:33 AA ALCOA SHORT 50 42.76 9/5 10:38 41.87 0.1%
Trade id #119728830
Max drawdown($14)
Time9/5/18 9:40
Quant open-50
Worst price43.05
Drawdown as % of equity-0.10%
$43
Includes Typical Broker Commissions trade costs of $2.00
8/27/18 22:00 NZD/USD NZD/USD SHORT 5 0.66977 9/5 1:28 0.65531 1.29%
Trade id #119617232
Max drawdown($146)
Time8/28/18 13:05
Quant open-5
Worst price0.67270
Drawdown as % of equity-1.29%
$719
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    7/22/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    114.13
  • Age
    114 days ago
  • What it trades
    Forex
  • # Trades
    57
  • # Profitable
    42
  • % Profitable
    73.70%
  • Avg trade duration
    3.2 days
  • Max peak-to-valley drawdown
    16.44%
  • drawdown period
    Nov 06, 2018 - Nov 07, 2018
  • Cumul. Return
    91.0%
  • Avg win
    $300.55
  • Avg loss
    $225.47
  • Model Account Values (Raw)
  • Cash
    $19,241
  • Margin Used
    $0
  • Buying Power
    $19,241
  • Ratios
  • W:L ratio
    3.73:1
  • Sharpe Ratio
    4.457
  • Sortino Ratio
    9.931
  • Calmar Ratio
    55.636
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.13200
  • Return Statistics
  • Ann Return (w trading costs)
    644.6%
  • Ann Return (Compnd, No Fees)
    695.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.00%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    803
  • Popularity (Last 6 weeks)
    866
  • C2 Score
    89.3
  • 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
    $225
  • Avg Win
    $301
  • # Winners
    42
  • # Losers
    15
  • % Winners
    73.7%
  • Frequency
  • Avg Position Time (mins)
    4655.20
  • Avg Position Time (hrs)
    77.59
  • Avg Trade Length
    3.2 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
    1.88235
  • SD
    0.34431
  • Sharpe ratio (Glass type estimate)
    5.46700
  • Sharpe ratio (Hedges UMVUE)
    3.08442
  • df
    2.00000
  • t
    2.73350
  • p
    0.05591
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97239
  • Upperbound of 95% confidence interval for Sharpe Ratio
    11.63070
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86557
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.03442
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.88235
  • Downside part of mean
    0.00000
  • Upside SD
    0.61181
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.11298
  • Mean of criterion
    1.88235
  • SD of predictor
    0.17241
  • SD of criterion
    0.34431
  • Covariance
    0.05877
  • r
    0.99006
  • b (slope, estimate of beta)
    1.97723
  • a (intercept, estimate of alpha)
    2.10574
  • Mean Square Error
    0.00469
  • DF error
    1.00000
  • t(b)
    7.04046
  • p(b)
    0.04491
  • t(a)
    14.97930
  • p(a)
    0.02122
  • Lowerbound of 95% confidence interval for beta
    -1.59116
  • Upperbound of 95% confidence interval for beta
    5.54561
  • Lowerbound of 95% confidence interval for alpha
    0.31954
  • Upperbound of 95% confidence interval for alpha
    3.89193
  • Treynor index (mean / b)
    0.95202
  • Jensen alpha (a)
    2.10574
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.71441
  • SD
    0.30409
  • Sharpe ratio (Glass type estimate)
    5.63776
  • Sharpe ratio (Hedges UMVUE)
    3.18077
  • df
    2.00000
  • t
    2.81888
  • p
    0.05309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    11.92870
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.18897
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.71441
  • Downside part of mean
    0.00000
  • Upside SD
    0.55370
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.12351
  • Mean of criterion
    1.71441
  • SD of predictor
    0.17628
  • SD of criterion
    0.30409
  • Covariance
    0.05315
  • r
    0.99153
  • b (slope, estimate of beta)
    1.71043
  • a (intercept, estimate of alpha)
    1.92566
  • Mean Square Error
    0.00312
  • DF error
    1.00000
  • t(b)
    7.63602
  • p(b)
    0.04145
  • t(a)
    16.73610
  • p(a)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -1.13570
  • Upperbound of 95% confidence interval for beta
    4.55656
  • Lowerbound of 95% confidence interval for alpha
    0.46368
  • Upperbound of 95% confidence interval for alpha
    3.38763
  • Treynor index (mean / b)
    1.00233
  • Jensen alpha (a)
    1.92566
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00152
  • Expected Shortfall on VaR
    0.03698
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.04634
  • Quartile 1
    1.12193
  • Median
    1.19753
  • Quartile 3
    1.21562
  • Maximum
    1.23371
  • Mean of quarter 1
    1.04634
  • Mean of quarter 2
    1.19753
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.23371
  • Inter Quartile Range
    0.09369
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.18343
  • Compounded annual return (geometric extrapolation)
    4.71056
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    127.37600
  • 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
    2.10773
  • SD
    0.46844
  • Sharpe ratio (Glass type estimate)
    4.49946
  • Sharpe ratio (Hedges UMVUE)
    4.45660
  • df
    79.00000
  • t
    2.48630
  • p
    0.00751
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87040
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.10122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.07097
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.93134
  • Upside Potential Ratio
    15.61100
  • Upside part of mean
    3.31313
  • Downside part of mean
    -1.20540
  • Upside SD
    0.43429
  • Downside SD
    0.21223
  • N nonnegative terms
    41.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    -0.11706
  • Mean of criterion
    2.10773
  • SD of predictor
    0.15082
  • SD of criterion
    0.46844
  • Covariance
    -0.01078
  • r
    -0.15260
  • b (slope, estimate of beta)
    -0.47398
  • a (intercept, estimate of alpha)
    2.05200
  • Mean Square Error
    0.21707
  • DF error
    78.00000
  • t(b)
    -1.36372
  • p(b)
    0.91171
  • t(a)
    2.43117
  • p(a)
    0.00867
  • Lowerbound of 95% confidence interval for beta
    -1.16593
  • Upperbound of 95% confidence interval for beta
    0.21797
  • Lowerbound of 95% confidence interval for alpha
    0.37169
  • Upperbound of 95% confidence interval for alpha
    3.73281
  • Treynor index (mean / b)
    -4.44686
  • Jensen alpha (a)
    2.05225
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.99419
  • SD
    0.45919
  • Sharpe ratio (Glass type estimate)
    4.34281
  • Sharpe ratio (Hedges UMVUE)
    4.30145
  • df
    79.00000
  • t
    2.39975
  • p
    0.00938
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71884
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.94044
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.91125
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.07773
  • Upside Potential Ratio
    14.67160
  • Upside part of mean
    3.22304
  • Downside part of mean
    -1.22885
  • Upside SD
    0.41850
  • Downside SD
    0.21968
  • N nonnegative terms
    41.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    -0.12837
  • Mean of criterion
    1.99419
  • SD of predictor
    0.15151
  • SD of criterion
    0.45919
  • Covariance
    -0.01077
  • r
    -0.15478
  • b (slope, estimate of beta)
    -0.46909
  • a (intercept, estimate of alpha)
    1.93397
  • Mean Square Error
    0.20844
  • DF error
    78.00000
  • t(b)
    -1.38363
  • p(b)
    0.91479
  • t(a)
    2.33747
  • p(a)
    0.01099
  • Lowerbound of 95% confidence interval for beta
    -1.14406
  • Upperbound of 95% confidence interval for beta
    0.20586
  • Lowerbound of 95% confidence interval for alpha
    0.28679
  • Upperbound of 95% confidence interval for alpha
    3.58115
  • Treynor index (mean / b)
    -4.25113
  • Jensen alpha (a)
    1.93397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03830
  • Expected Shortfall on VaR
    0.04958
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01014
  • Expected Shortfall on VaR
    0.02238
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.90782
  • Quartile 1
    0.99839
  • Median
    1.00049
  • Quartile 3
    1.01566
  • Maximum
    1.12727
  • Mean of quarter 1
    0.98216
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00493
  • Mean of quarter 4
    1.04585
  • Inter Quartile Range
    0.01727
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.95444
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.06798
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.61004
  • VaR(95%) (moments method)
    0.00679
  • Expected Shortfall (moments method)
    0.00707
  • Extreme Value Index (regression method)
    0.09283
  • VaR(95%) (regression method)
    0.01521
  • Expected Shortfall (regression method)
    0.02529
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00805
  • Quartile 1
    0.01163
  • Median
    0.02163
  • Quartile 3
    0.03742
  • Maximum
    0.11780
  • Mean of quarter 1
    0.01033
  • Mean of quarter 2
    0.02024
  • Mean of quarter 3
    0.03015
  • Mean of quarter 4
    0.09982
  • Inter Quartile Range
    0.02579
  • 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
    0.22222
  • Mean of outliers high
    0.09982
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -12.56360
  • VaR(95%) (moments method)
    0.07640
  • Expected Shortfall (moments method)
    0.07640
  • Extreme Value Index (regression method)
    -1.30475
  • VaR(95%) (regression method)
    0.14183
  • Expected Shortfall (regression method)
    0.14815
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.79738
  • Compounded annual return (geometric extrapolation)
    6.55413
  • Calmar ratio (compounded annual return / max draw down)
    55.63580
  • Compounded annual return / average of 25% largest draw downs
    65.65700
  • Compounded annual return / Expected Shortfall lognormal
    132.19500

Strategy Description

Is real money account.90% is forex trading .All trade is executed in my MT4 account linked to C2 via PlatformTransmit.
No scalp,no hedge,no martingale.Is simple PA strategy based on daily and weekly chart.Max DD is between 15-20%(some time).The minimum traded C2 lot is 10!Maximum is 50!(in 2018) So adjust your account.
Good trading for all !

Summary Statistics

Strategy began
2018-07-22
Suggested Minimum Capital
$25,000
# Trades
57
# Profitable
42
% Profitable
73.7%
Correlation S&P500
-0.132
Sharpe Ratio
4.457

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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