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Fluir
(128182917)

Created by: domenico_crimaldi domenico_crimaldi
Started: 03/2020
Forex
Last trade: Yesterday

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 $250.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

112.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(16.7%)
Max Drawdown
1197
Num Trades
35.4%
Win Trades
1.6 : 1
Profit Factor
31.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +1.6%+173.8%(1%)(1.6%)+0.2%(3.2%)(1.8%)(0.3%)(0.4%)(5.2%)+143.1%
2021(2.9%)+2.1%(1.2%)(0.8%)+9.0%(1.8%)                                    +4.1%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/9/21 10:32 USD/JPY USD/JPY LONG 20 109.490 6/11 11:53 109.742 0.25%
Trade id #135981690
Max drawdown($335)
Time6/10/21 0:00
Quant open20
Worst price109.306
Drawdown as % of equity-0.25%
$451
Includes Typical Broker Commissions trade costs of $8.00
6/11/21 6:40 USD/CAD USD/CAD LONG 10 1.20935 6/11 11:53 1.21594 0%
Trade id #136017237
Max drawdown($3)
Time6/11/21 6:43
Quant open10
Worst price1.20931
Drawdown as % of equity-0.00%
$538
Includes Typical Broker Commissions trade costs of $4.00
6/8/21 7:22 AUD/NZD AUD/NZD LONG 20 1.07519 6/11 11:53 1.08058 0.07%
Trade id #135956465
Max drawdown($91)
Time6/8/21 8:57
Quant open10
Worst price1.07338
Drawdown as % of equity-0.07%
$759
Includes Typical Broker Commissions trade costs of $8.00
6/9/21 10:22 NZD/USD NZD/USD SHORT 20 0.71869 6/11 11:53 0.71249 0.18%
Trade id #135981336
Max drawdown($247)
Time6/10/21 0:00
Quant open10
Worst price0.72128
Drawdown as % of equity-0.18%
$1,233
Includes Typical Broker Commissions trade costs of $8.00
6/9/21 5:02 CHF/JPY CHF/JPY LONG 10 122.157 6/11 11:21 122.030 0.1%
Trade id #135975299
Max drawdown($132)
Time6/10/21 0:00
Quant open10
Worst price122.012
Drawdown as % of equity-0.10%
($120)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 1:32 CAD/JPY CAD/JPY LONG 10 90.415 6/11 11:21 90.332 0.07%
Trade id #135974322
Max drawdown($88)
Time6/10/21 0:00
Quant open10
Worst price90.318
Drawdown as % of equity-0.07%
($80)
Includes Typical Broker Commissions trade costs of $4.00
6/11/21 3:20 GBP/CAD GBP/CAD SHORT 10 1.71127 6/11 10:57 1.71600 0.21%
Trade id #136016205
Max drawdown($288)
Time6/11/21 7:13
Quant open10
Worst price1.71476
Drawdown as % of equity-0.21%
($393)
Includes Typical Broker Commissions trade costs of $4.00
6/11/21 0:21 NZD/JPY NZD/JPY LONG 10 78.718 6/11 8:07 78.500 0.16%
Trade id #136015371
Max drawdown($210)
Time6/11/21 8:07
Quant open10
Worst price78.487
Drawdown as % of equity-0.16%
($203)
Includes Typical Broker Commissions trade costs of $4.00
6/10/21 6:34 USD/CAD USD/CAD SHORT 10 1.21072 6/11 6:40 1.20935 0.11%
Trade id #135997544
Max drawdown($145)
Time6/10/21 8:30
Quant open10
Worst price1.21249
Drawdown as % of equity-0.11%
$109
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 5:05 NZD/CAD NZD/CAD SHORT 10 0.87081 6/11 3:22 0.87076 0.03%
Trade id #135975311
Max drawdown($46)
Time6/10/21 0:00
Quant open10
Worst price0.87138
Drawdown as % of equity-0.03%
$0
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 8:15 GBP/NZD GBP/NZD SHORT 10 1.96663 6/10 16:16 1.97000 0.18%
Trade id #135977412
Max drawdown($242)
Time6/10/21 16:16
Quant open10
Worst price1.97000
Drawdown as % of equity-0.18%
($247)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 5:01 AUD/CAD AUD/CAD SHORT 10 0.93649 6/10 12:11 0.93800 0.1%
Trade id #135975278
Max drawdown($130)
Time6/10/21 12:11
Quant open10
Worst price0.93807
Drawdown as % of equity-0.10%
($129)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 10:26 AUD/USD AUD/USD SHORT 10 0.77391 6/10 10:24 0.77602 0.16%
Trade id #135981451
Max drawdown($217)
Time6/10/21 10:24
Quant open10
Worst price0.77608
Drawdown as % of equity-0.16%
($215)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 9:16 EUR/CAD EUR/CAD LONG 10 1.47331 6/10 9:28 1.47100 0.14%
Trade id #135978532
Max drawdown($192)
Time6/10/21 9:28
Quant open10
Worst price1.47098
Drawdown as % of equity-0.14%
($195)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 9:24 AUD/CHF AUD/CHF SHORT 10 0.69326 6/10 9:19 0.69510 0.16%
Trade id #135978591
Max drawdown($210)
Time6/10/21 9:19
Quant open10
Worst price0.69514
Drawdown as % of equity-0.16%
($210)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 10:34 EUR/AUD EUR/AUD LONG 10 1.57707 6/9 23:39 1.57300 0.24%
Trade id #135981833
Max drawdown($317)
Time6/9/21 23:39
Quant open10
Worst price1.57296
Drawdown as % of equity-0.24%
($319)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 6:09 USD/CHF USD/CHF SHORT 10 0.89573 6/9 12:42 0.89629 0.06%
Trade id #135975613
Max drawdown($80)
Time6/9/21 12:39
Quant open10
Worst price0.89645
Drawdown as % of equity-0.06%
($66)
Includes Typical Broker Commissions trade costs of $4.00
6/8/21 22:43 EUR/USD EUR/USD LONG 10 1.21810 6/9 12:39 1.21744 0.07%
Trade id #135973700
Max drawdown($99)
Time6/9/21 0:00
Quant open10
Worst price1.21711
Drawdown as % of equity-0.07%
($70)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 3:22 USD/CAD USD/CAD SHORT 10 1.20959 6/9 11:51 1.20974 0.06%
Trade id #135974823
Max drawdown($75)
Time6/9/21 11:31
Quant open10
Worst price1.21050
Drawdown as % of equity-0.06%
($16)
Includes Typical Broker Commissions trade costs of $4.00
6/8/21 15:25 AUD/JPY AUD/JPY LONG 20 84.788 6/9 10:18 84.714 0.13%
Trade id #135970704
Max drawdown($180)
Time6/9/21 9:52
Quant open20
Worst price84.689
Drawdown as % of equity-0.13%
($143)
Includes Typical Broker Commissions trade costs of $8.00
6/9/21 8:00 AUD/USD AUD/USD LONG 10 0.77513 6/9 10:15 0.77400 0.09%
Trade id #135976775
Max drawdown($119)
Time6/9/21 10:15
Quant open10
Worst price0.77394
Drawdown as % of equity-0.09%
($117)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 8:11 EUR/JPY EUR/JPY SHORT 10 133.377 6/9 10:13 133.552 0.13%
Trade id #135977262
Max drawdown($172)
Time6/9/21 10:13
Quant open10
Worst price133.566
Drawdown as % of equity-0.13%
($164)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 3:24 EUR/AUD EUR/AUD SHORT 10 1.57155 6/9 9:52 1.57500 0.21%
Trade id #135974831
Max drawdown($280)
Time6/9/21 9:52
Quant open10
Worst price1.57518
Drawdown as % of equity-0.21%
($271)
Includes Typical Broker Commissions trade costs of $4.00
6/8/21 15:41 AUD/CHF AUD/CHF LONG 10 0.69423 6/9 9:24 0.69326 0.1%
Trade id #135971048
Max drawdown($137)
Time6/9/21 9:10
Quant open10
Worst price0.69300
Drawdown as % of equity-0.10%
($113)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 3:13 CAD/CHF CAD/CHF LONG 10 0.74109 6/9 9:20 0.74043 0.06%
Trade id #135974762
Max drawdown($84)
Time6/9/21 9:19
Quant open10
Worst price0.74033
Drawdown as % of equity-0.06%
($78)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 4:51 USD/JPY USD/JPY LONG 10 109.484 6/9 8:09 109.370 0.09%
Trade id #135975220
Max drawdown($118)
Time6/9/21 7:45
Quant open10
Worst price109.354
Drawdown as % of equity-0.09%
($108)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 2:39 GBP/NZD GBP/NZD LONG 10 1.96779 6/9 8:07 1.96692 0.06%
Trade id #135974571
Max drawdown($81)
Time6/9/21 8:07
Quant open10
Worst price1.96666
Drawdown as % of equity-0.06%
($67)
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 2:56 GBP/AUD GBP/AUD LONG 10 1.82997 6/9 8:06 1.82823 0.1%
Trade id #135974687
Max drawdown($139)
Time6/9/21 8:06
Quant open10
Worst price1.82816
Drawdown as % of equity-0.10%
($139)
Includes Typical Broker Commissions trade costs of $4.00
6/8/21 15:26 EUR/JPY EUR/JPY LONG 10 133.340 6/9 8:04 133.361 0.09%
Trade id #135970728
Max drawdown($124)
Time6/8/21 21:13
Quant open10
Worst price133.203
Drawdown as % of equity-0.09%
$15
Includes Typical Broker Commissions trade costs of $4.00
6/9/21 2:49 @QOQ1 miNY Gold SHORT 1 1893.00 6/9 7:53 1893.25 0.09%
Trade id #135974655
Max drawdown($125)
Time6/9/21 4:06
Quant open1
Worst price1895.50
Drawdown as % of equity-0.09%
($19)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    3/23/2020
  • Suggested Minimum Cap
    $140,000
  • Strategy Age (days)
    446.45
  • Age
    15 months ago
  • What it trades
    Forex
  • # Trades
    1197
  • # Profitable
    424
  • % Profitable
    35.40%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    16.74%
  • drawdown period
    April 30, 2020 - April 27, 2021
  • Annual Return (Compounded)
    119.0%
  • Avg win
    $532.03
  • Avg loss
    $179.52
  • Model Account Values (Raw)
  • Cash
    $57,234
  • Margin Used
    $1,975
  • Buying Power
    $134,834
  • Ratios
  • W:L ratio
    1.63:1
  • Sharpe Ratio
    0.75
  • Sortino Ratio
    13.32
  • Calmar Ratio
    36.428
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    72.81%
  • Correlation to SP500
    0.16480
  • Return Percent SP500 (cumu) during strategy life
    89.84%
  • Return Statistics
  • Ann Return (w trading costs)
    119.0%
  • Slump
  • Current Slump as Pcnt Equity
    8.00%
  • Instruments
  • Percent Trades Futures
    0.08%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.190%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.92%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    127.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    689
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    768
  • Popularity (7 days, Percentile 1000 scale)
    435
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $180
  • Avg Win
    $532
  • Sum Trade PL (losers)
    $138,770.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $225,579.000
  • # Winners
    424
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    773
  • % Winners
    35.4%
  • Frequency
  • Avg Position Time (mins)
    3111.08
  • Avg Position Time (hrs)
    51.85
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    3.87
  • Daily leverage (max)
    22.19
  • Regression
  • Alpha
    0.20
  • Beta
    1.07
  • Treynor Index
    0.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.11
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -11.253
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.366
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.236
  • Hold-and-Hope Ratio
    0.286
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.29252
  • SD
    2.46146
  • Sharpe ratio (Glass type estimate)
    1.33763
  • Sharpe ratio (Hedges UMVUE)
    1.12461
  • df
    5.00000
  • t
    0.94585
  • p
    0.19383
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60848
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73350
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98271
  • Statistics related to Sortino ratio
  • Sortino ratio
    40.55330
  • Upside Potential Ratio
    43.23660
  • Upside part of mean
    3.51037
  • Downside part of mean
    -0.21786
  • Upside SD
    2.43840
  • Downside SD
    0.08119
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    1.34327
  • Mean of criterion
    3.29252
  • SD of predictor
    0.34215
  • SD of criterion
    2.46146
  • Covariance
    0.64912
  • r
    0.77074
  • b (slope, estimate of beta)
    5.54475
  • a (intercept, estimate of alpha)
    -4.15560
  • Mean Square Error
    3.07450
  • DF error
    4.00000
  • t(b)
    2.41936
  • p(b)
    0.03641
  • t(a)
    -1.05124
  • p(a)
    0.82377
  • Lowerbound of 95% confidence interval for beta
    -0.81962
  • Upperbound of 95% confidence interval for beta
    11.90910
  • Lowerbound of 95% confidence interval for alpha
    -15.13310
  • Upperbound of 95% confidence interval for alpha
    6.82193
  • Treynor index (mean / b)
    0.59381
  • Jensen alpha (a)
    -4.15560
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.84192
  • SD
    1.44015
  • Sharpe ratio (Glass type estimate)
    1.27898
  • Sharpe ratio (Hedges UMVUE)
    1.07530
  • df
    5.00000
  • t
    0.90437
  • p
    0.20363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65527
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92610
  • Statistics related to Sortino ratio
  • Sortino ratio
    22.35550
  • Upside Potential Ratio
    25.03420
  • Upside part of mean
    2.06263
  • Downside part of mean
    -0.22071
  • Upside SD
    1.41573
  • Downside SD
    0.08239
  • N nonnegative terms
    2.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    1.23240
  • Mean of criterion
    1.84192
  • SD of predictor
    0.29982
  • SD of criterion
    1.44015
  • Covariance
    0.32509
  • r
    0.75290
  • b (slope, estimate of beta)
    3.61648
  • a (intercept, estimate of alpha)
    -2.61505
  • Mean Square Error
    1.12294
  • DF error
    4.00000
  • t(b)
    2.28799
  • p(b)
    0.04202
  • t(a)
    -1.06400
  • p(a)
    0.82635
  • Lowerbound of 95% confidence interval for beta
    -0.77294
  • Upperbound of 95% confidence interval for beta
    8.00590
  • Lowerbound of 95% confidence interval for alpha
    -9.44019
  • Upperbound of 95% confidence interval for alpha
    4.21009
  • Treynor index (mean / b)
    0.50931
  • Jensen alpha (a)
    -2.61505
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.41159
  • Expected Shortfall on VaR
    0.49991
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04327
  • Expected Shortfall on VaR
    0.05277
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.95977
  • Quartile 1
    0.97826
  • Median
    0.98135
  • Quartile 3
    1.02104
  • Maximum
    2.72625
  • Mean of quarter 1
    0.96884
  • Mean of quarter 2
    0.97928
  • Mean of quarter 3
    0.98341
  • Mean of quarter 4
    1.87992
  • Inter Quartile Range
    0.04279
  • 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
    2.72625
  • 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
    0.09611
  • Quartile 1
    0.09611
  • Median
    0.09611
  • Quartile 3
    0.09611
  • Maximum
    0.09611
  • 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)
    3.09399
  • Compounded annual return (geometric extrapolation)
    5.48719
  • Calmar ratio (compounded annual return / max draw down)
    57.09130
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.97640
  • 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
    2.96292
  • SD
    2.15101
  • Sharpe ratio (Glass type estimate)
    1.37745
  • Sharpe ratio (Hedges UMVUE)
    1.37022
  • df
    143.00000
  • t
    1.02119
  • p
    0.44590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01871
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.41350
  • Upside Potential Ratio
    32.13620
  • Upside part of mean
    3.90018
  • Downside part of mean
    -0.93726
  • Upside SD
    2.14791
  • Downside SD
    0.12136
  • N nonnegative terms
    60.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    144.00000
  • Mean of predictor
    1.19306
  • Mean of criterion
    2.96292
  • SD of predictor
    0.32579
  • SD of criterion
    2.15101
  • Covariance
    0.07905
  • r
    0.11281
  • b (slope, estimate of beta)
    0.74480
  • a (intercept, estimate of alpha)
    2.07400
  • Mean Square Error
    4.60014
  • DF error
    142.00000
  • t(b)
    1.35287
  • p(b)
    0.44360
  • t(a)
    0.69921
  • p(a)
    0.47071
  • Lowerbound of 95% confidence interval for beta
    -0.34350
  • Upperbound of 95% confidence interval for beta
    1.83309
  • Lowerbound of 95% confidence interval for alpha
    -3.79021
  • Upperbound of 95% confidence interval for alpha
    7.93887
  • Treynor index (mean / b)
    3.97816
  • Jensen alpha (a)
    2.07433
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.77873
  • SD
    1.30241
  • Sharpe ratio (Glass type estimate)
    1.36572
  • Sharpe ratio (Hedges UMVUE)
    1.35855
  • df
    143.00000
  • t
    1.01250
  • p
    0.44635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00696
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.48940
  • Upside Potential Ratio
    22.18430
  • Upside part of mean
    2.72336
  • Downside part of mean
    -0.94464
  • Upside SD
    1.29672
  • Downside SD
    0.12276
  • N nonnegative terms
    60.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    144.00000
  • Mean of predictor
    1.13836
  • Mean of criterion
    1.77873
  • SD of predictor
    0.32269
  • SD of criterion
    1.30241
  • Covariance
    0.04143
  • r
    0.09858
  • b (slope, estimate of beta)
    0.39789
  • a (intercept, estimate of alpha)
    1.32578
  • Mean Square Error
    1.69160
  • DF error
    142.00000
  • t(b)
    1.18051
  • p(b)
    0.45071
  • t(a)
    0.73826
  • p(a)
    0.46908
  • Lowerbound of 95% confidence interval for beta
    -0.26840
  • Upperbound of 95% confidence interval for beta
    1.06418
  • Lowerbound of 95% confidence interval for alpha
    -2.22423
  • Upperbound of 95% confidence interval for alpha
    4.87579
  • Treynor index (mean / b)
    4.47037
  • Jensen alpha (a)
    1.32578
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11800
  • Expected Shortfall on VaR
    0.14678
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00905
  • Expected Shortfall on VaR
    0.01756
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    144.00000
  • Minimum
    0.96212
  • Quartile 1
    0.99601
  • Median
    1.00000
  • Quartile 3
    1.00303
  • Maximum
    2.58469
  • Mean of quarter 1
    0.98800
  • Mean of quarter 2
    0.99794
  • Mean of quarter 3
    1.00097
  • Mean of quarter 4
    1.05875
  • Inter Quartile Range
    0.00702
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.97780
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.07639
  • Mean of outliers high
    1.17667
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50412
  • VaR(95%) (moments method)
    0.01272
  • Expected Shortfall (moments method)
    0.02867
  • Extreme Value Index (regression method)
    0.21658
  • VaR(95%) (regression method)
    0.01071
  • Expected Shortfall (regression method)
    0.01695
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00118
  • Quartile 1
    0.01681
  • Median
    0.04752
  • Quartile 3
    0.06667
  • Maximum
    0.13972
  • Mean of quarter 1
    0.00900
  • Mean of quarter 2
    0.04752
  • Mean of quarter 3
    0.06667
  • Mean of quarter 4
    0.13972
  • Inter Quartile Range
    0.04986
  • 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)
    3.09161
  • Compounded annual return (geometric extrapolation)
    5.08991
  • Calmar ratio (compounded annual return / max draw down)
    36.42790
  • Compounded annual return / average of 25% largest draw downs
    36.42790
  • Compounded annual return / Expected Shortfall lognormal
    34.67620
  • 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
    0.07867
  • SD
    0.25548
  • Sharpe ratio (Glass type estimate)
    0.30792
  • Sharpe ratio (Hedges UMVUE)
    0.30614
  • df
    130.00000
  • t
    0.21774
  • p
    0.49045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.46462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07950
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46591
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07820
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62681
  • Upside Potential Ratio
    8.50180
  • Upside part of mean
    1.06705
  • Downside part of mean
    -0.98838
  • Upside SD
    0.22146
  • Downside SD
    0.12551
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.85264
  • Mean of criterion
    0.07867
  • SD of predictor
    0.26105
  • SD of criterion
    0.25548
  • Covariance
    -0.01375
  • r
    -0.20612
  • b (slope, estimate of beta)
    -0.20173
  • a (intercept, estimate of alpha)
    0.25067
  • Mean Square Error
    0.06298
  • DF error
    129.00000
  • t(b)
    -2.39248
  • p(b)
    0.63029
  • t(a)
    0.69222
  • p(a)
    0.46130
  • Lowerbound of 95% confidence interval for beta
    -0.36855
  • Upperbound of 95% confidence interval for beta
    -0.03490
  • Lowerbound of 95% confidence interval for alpha
    -0.46580
  • Upperbound of 95% confidence interval for alpha
    0.96714
  • Treynor index (mean / b)
    -0.38998
  • Jensen alpha (a)
    0.25067
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04758
  • SD
    0.24774
  • Sharpe ratio (Glass type estimate)
    0.19207
  • Sharpe ratio (Hedges UMVUE)
    0.19096
  • df
    130.00000
  • t
    0.13581
  • p
    0.49405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.58020
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96362
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58094
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96286
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37477
  • Upside Potential Ratio
    8.22130
  • Upside part of mean
    1.04386
  • Downside part of mean
    -0.99627
  • Upside SD
    0.21165
  • Downside SD
    0.12697
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81741
  • Mean of criterion
    0.04758
  • SD of predictor
    0.26121
  • SD of criterion
    0.24774
  • Covariance
    -0.01327
  • r
    -0.20500
  • b (slope, estimate of beta)
    -0.19444
  • a (intercept, estimate of alpha)
    0.20652
  • Mean Square Error
    0.05925
  • DF error
    129.00000
  • t(b)
    -2.37893
  • p(b)
    0.62959
  • t(a)
    0.58893
  • p(a)
    0.46705
  • VAR (95 Confidence Intrvl)
    0.11800
  • Lowerbound of 95% confidence interval for beta
    -0.35615
  • Upperbound of 95% confidence interval for beta
    -0.03273
  • Lowerbound of 95% confidence interval for alpha
    -0.48729
  • Upperbound of 95% confidence interval for alpha
    0.90033
  • Treynor index (mean / b)
    -0.24473
  • Jensen alpha (a)
    0.20652
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02468
  • Expected Shortfall on VaR
    0.03089
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00945
  • Expected Shortfall on VaR
    0.01819
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96212
  • Quartile 1
    0.99574
  • Median
    0.99989
  • Quartile 3
    1.00292
  • Maximum
    1.12804
  • Mean of quarter 1
    0.98759
  • Mean of quarter 2
    0.99768
  • Mean of quarter 3
    1.00100
  • Mean of quarter 4
    1.01538
  • Inter Quartile Range
    0.00718
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97630
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.03587
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50526
  • VaR(95%) (moments method)
    0.01334
  • Expected Shortfall (moments method)
    0.03001
  • Extreme Value Index (regression method)
    0.26378
  • VaR(95%) (regression method)
    0.01084
  • Expected Shortfall (regression method)
    0.01757
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00118
  • Quartile 1
    0.03594
  • Median
    0.05563
  • Quartile 3
    0.08273
  • Maximum
    0.13972
  • Mean of quarter 1
    0.00118
  • Mean of quarter 2
    0.04752
  • Mean of quarter 3
    0.06373
  • Mean of quarter 4
    0.13972
  • Inter Quartile Range
    0.04679
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -338320000
  • Max Equity Drawdown (num days)
    362
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07693
  • Compounded annual return (geometric extrapolation)
    0.07841
  • Calmar ratio (compounded annual return / max draw down)
    0.56120
  • Compounded annual return / average of 25% largest draw downs
    0.56120
  • Compounded annual return / Expected Shortfall lognormal
    2.53879

Strategy Description

Summary Statistics

Strategy began
2020-03-23
Suggested Minimum Capital
$140,000
# Trades
1197
# Profitable
424
% Profitable
35.4%
Correlation S&P500
0.165
Sharpe Ratio
0.75
Sortino Ratio
13.32
Beta
1.07
Alpha
0.20
Leverage
3.87 Average
22.19 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

AGM - Access to Global Markets calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.

0