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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System More...

Code5
(131981758)

Created by: Had Had
Started: 11/2020
Forex
Last trade: 282 days ago
Trading style: Futures Currencies

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
13.9%
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.

(39.2%)
Max Drawdown
79
Num Trades
98.7%
Win Trades
293.8 : 1
Profit Factor
21.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +6.1%+5.3%+11.7%
2021+3.1%(9.9%)(26.1%)+50.9%(11.8%)+7.9%+16.4%(1.9%)+7.1%+4.0%+14.3%(0.1%)+43.0%
2022  -  (0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.7%)
2023(0.1%)(0.1%)  -  (0.1%)(0.1%)(0.1%)  -  (0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.6%)
2024(0.1%)(0.1%)(0.1%)(0.1%)                                                (0.2%)

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 257 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1101 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/19/23 2:44 GBP/CHF GBP/CHF LONG 10 1.11240 7/19 2:49 1.11310 n/a $78
Includes Typical Broker Commissions trade costs of $4.00
6/27/23 11:16 GBP/CHF GBP/CHF LONG 1 1.14104 6/27 11:38 1.14120 0.01%
Trade id #145043122
Max drawdown($5)
Time6/27/23 11:32
Quant open1
Worst price1.14054
Drawdown as % of equity-0.01%
 ($2)
Includes Typical Broker Commissions trade costs of $4.00
3/22/23 9:55 GBP/CHF GBP/CHF SHORT 10 1.13047 3/22 10:18 1.12978 0.06%
Trade id #143992311
Max drawdown($50)
Time3/22/23 10:00
Quant open10
Worst price1.13093
Drawdown as % of equity-0.06%
 $71
Includes Typical Broker Commissions trade costs of $4.00
2/17/21 1:36 GBP/CHF GBP/CHF SHORT 1,280 1.26900 11/30 11:09 1.26742 47.71%
Trade id #134099727
Max drawdown($17,909)
Time4/5/21 0:00
Quant open50
Worst price1.30737
Drawdown as % of equity-47.71%
 $21,463
Includes Typical Broker Commissions trade costs of $512.00
2/16/21 12:15 GBP/CHF GBP/CHF SHORT 10 1.24088 2/16 19:18 1.24027 0.19%
Trade id #134089473
Max drawdown($111)
Time2/16/21 13:32
Quant open10
Worst price1.24188
Drawdown as % of equity-0.19%
 $64
Includes Typical Broker Commissions trade costs of $4.00
2/16/21 4:45 GBP/CHF GBP/CHF SHORT 10 1.23759 2/16 5:06 1.23704 0.04%
Trade id #134075806
Max drawdown($23)
Time2/16/21 4:49
Quant open10
Worst price1.23780
Drawdown as % of equity-0.04%
 $58
Includes Typical Broker Commissions trade costs of $4.00
2/15/21 6:28 GBP/CHF GBP/CHF SHORT 10 1.23790 2/16 3:59 1.23725 0.36%
Trade id #134060930
Max drawdown($215)
Time2/15/21 23:31
Quant open10
Worst price1.23982
Drawdown as % of equity-0.36%
 $69
Includes Typical Broker Commissions trade costs of $4.00
2/15/21 4:09 GBP/CHF GBP/CHF SHORT 10 1.23789 2/15 4:40 1.23729 0.04%
Trade id #134059781
Max drawdown($24)
Time2/15/21 4:17
Quant open10
Worst price1.23811
Drawdown as % of equity-0.04%
 $63
Includes Typical Broker Commissions trade costs of $4.00
2/12/21 9:44 GBP/CHF GBP/CHF SHORT 10 1.23463 2/12 10:26 1.23393 0.14%
Trade id #134032120
Max drawdown($81)
Time2/12/21 9:50
Quant open10
Worst price1.23536
Drawdown as % of equity-0.14%
 $74
Includes Typical Broker Commissions trade costs of $4.00
2/11/21 11:08 GBP/CHF GBP/CHF SHORT 10 1.22980 2/11 14:50 1.22914 0.23%
Trade id #134010020
Max drawdown($134)
Time2/11/21 11:58
Quant open10
Worst price1.23100
Drawdown as % of equity-0.23%
 $70
Includes Typical Broker Commissions trade costs of $4.00
2/11/21 6:22 GBP/CHF GBP/CHF SHORT 10 1.23060 2/11 9:51 1.22993 0.18%
Trade id #134002444
Max drawdown($104)
Time2/11/21 8:20
Quant open10
Worst price1.23153
Drawdown as % of equity-0.18%
 $71
Includes Typical Broker Commissions trade costs of $4.00
2/11/21 3:07 GBP/CHF GBP/CHF SHORT 10 1.23130 2/11 3:20 1.23058 0.02%
Trade id #134000760
Max drawdown($14)
Time2/11/21 3:16
Quant open10
Worst price1.23143
Drawdown as % of equity-0.02%
 $77
Includes Typical Broker Commissions trade costs of $4.00
2/10/21 10:40 GBP/CHF GBP/CHF SHORT 10 1.23260 2/10 11:41 1.23192 0.14%
Trade id #133968485
Max drawdown($81)
Time2/10/21 10:51
Quant open10
Worst price1.23333
Drawdown as % of equity-0.14%
 $72
Includes Typical Broker Commissions trade costs of $4.00
2/10/21 6:48 GBP/CHF GBP/CHF SHORT 10 1.23260 2/10 8:34 1.23209 0.23%
Trade id #133961602
Max drawdown($137)
Time2/10/21 7:29
Quant open10
Worst price1.23382
Drawdown as % of equity-0.23%
 $53
Includes Typical Broker Commissions trade costs of $4.00
2/4/21 8:00 GBP/CHF GBP/CHF SHORT 10 1.23281 2/9 4:56 1.23124 0.86%
Trade id #133843643
Max drawdown($496)
Time2/4/21 20:05
Quant open10
Worst price1.23725
Drawdown as % of equity-0.86%
 $172
Includes Typical Broker Commissions trade costs of $4.00
2/4/21 1:57 GBP/CHF GBP/CHF SHORT 10 1.22470 2/4 2:49 1.22408 0.03%
Trade id #133838699
Max drawdown($19)
Time2/4/21 2:00
Quant open10
Worst price1.22488
Drawdown as % of equity-0.03%
 $65
Includes Typical Broker Commissions trade costs of $4.00
2/3/21 6:48 GBP/CHF GBP/CHF SHORT 10 1.22610 2/3 6:59 1.22541 0.02%
Trade id #133813714
Max drawdown($13)
Time2/3/21 6:52
Quant open10
Worst price1.22622
Drawdown as % of equity-0.02%
 $73
Includes Typical Broker Commissions trade costs of $4.00
2/2/21 8:36 GBP/CHF GBP/CHF SHORT 10 1.22607 2/2 9:03 1.22550 0.08%
Trade id #133789980
Max drawdown($47)
Time2/2/21 8:55
Quant open10
Worst price1.22650
Drawdown as % of equity-0.08%
 $59
Includes Typical Broker Commissions trade costs of $4.00
2/2/21 7:56 GBP/CHF GBP/CHF SHORT 10 1.22673 2/2 7:58 1.22610 n/a $66
Includes Typical Broker Commissions trade costs of $4.00
2/2/21 3:25 GBP/CHF GBP/CHF SHORT 10 1.22648 2/2 3:37 1.22578 0.08%
Trade id #133785718
Max drawdown($44)
Time2/2/21 3:28
Quant open10
Worst price1.22688
Drawdown as % of equity-0.08%
 $74
Includes Typical Broker Commissions trade costs of $4.00
2/1/21 2:59 GBP/CHF GBP/CHF SHORT 30 1.22693 2/1 9:39 1.22639 0.98%
Trade id #133745019
Max drawdown($565)
Time2/1/21 4:57
Quant open20
Worst price1.22893
Drawdown as % of equity-0.98%
 $169
Includes Typical Broker Commissions trade costs of $12.00
2/1/21 0:53 GBP/CHF GBP/CHF SHORT 10 1.22577 2/1 1:40 1.22535 0.03%
Trade id #133743465
Max drawdown($17)
Time2/1/21 1:00
Quant open10
Worst price1.22593
Drawdown as % of equity-0.03%
 $39
Includes Typical Broker Commissions trade costs of $8.00
1/29/21 8:16 GBP/CHF GBP/CHF SHORT 10 1.22168 1/29 8:23 1.22110 0.01%
Trade id #133697382
Max drawdown($4)
Time1/29/21 8:19
Quant open10
Worst price1.22172
Drawdown as % of equity-0.01%
 $61
Includes Typical Broker Commissions trade costs of $4.00
1/29/21 3:50 GBP/CHF GBP/CHF SHORT 10 1.21680 1/29 4:42 1.21617 0.15%
Trade id #133690705
Max drawdown($85)
Time1/29/21 4:10
Quant open10
Worst price1.21756
Drawdown as % of equity-0.15%
 $67
Includes Typical Broker Commissions trade costs of $4.00
1/28/21 23:48 GBP/CHF GBP/CHF SHORT 10 1.21953 1/29 0:40 1.21896 0.13%
Trade id #133686456
Max drawdown($76)
Time1/29/21 0:00
Quant open10
Worst price1.22021
Drawdown as % of equity-0.13%
 $60
Includes Typical Broker Commissions trade costs of $4.00
1/28/21 12:11 GBP/CHF GBP/CHF SHORT 10 1.21900 1/28 17:00 1.21997 0.21%
Trade id #133672434
Max drawdown($119)
Time1/28/21 15:28
Quant open10
Worst price1.22006
Drawdown as % of equity-0.21%
 ($113)
Includes Typical Broker Commissions trade costs of $4.00
1/28/21 4:11 GBP/CHF GBP/CHF LONG 10 1.21540 1/28 5:47 1.21608 0.61%
Trade id #133653461
Max drawdown($351)
Time1/28/21 4:38
Quant open10
Worst price1.21227
Drawdown as % of equity-0.61%
 $72
Includes Typical Broker Commissions trade costs of $4.00
1/27/21 11:57 GBP/CHF GBP/CHF SHORT 10 1.21730 1/27 15:00 1.21681 0.27%
Trade id #133634648
Max drawdown($155)
Time1/27/21 14:00
Quant open10
Worst price1.21868
Drawdown as % of equity-0.27%
 $51
Includes Typical Broker Commissions trade costs of $4.00
1/26/21 23:20 GBP/CHF GBP/CHF SHORT 10 1.21720 1/27 8:29 1.21677 0.64%
Trade id #133616235
Max drawdown($371)
Time1/27/21 5:02
Quant open10
Worst price1.22050
Drawdown as % of equity-0.64%
 $44
Includes Typical Broker Commissions trade costs of $4.00
1/26/21 11:05 GBP/CHF GBP/CHF SHORT 10 1.21900 1/26 11:35 1.21830 0.07%
Trade id #133599904
Max drawdown($40)
Time1/26/21 11:12
Quant open10
Worst price1.21936
Drawdown as % of equity-0.07%
 $75
Includes Typical Broker Commissions trade costs of $4.00
Next

Statistics

  • Strategy began
    11/2/2020
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    1271.15
  • Age
    42 months ago
  • What it trades
    Forex
  • # Trades
    79
  • # Profitable
    78
  • % Profitable
    98.70%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    39.18%
  • drawdown period
    Feb 16, 2021 - April 05, 2021
  • Annual Return (Compounded)
    14.6%
  • Avg win
    $410.53
  • Avg loss
    $109.00
  • Model Account Values (Raw)
  • Cash
    $81,914
  • Margin Used
    $0
  • Buying Power
    $81,914
  • Ratios
  • W:L ratio
    293.77:1
  • Sharpe Ratio
    0.46
  • Sortino Ratio
    0.75
  • Calmar Ratio
    0.497
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    8.48%
  • Correlation to SP500
    -0.02950
  • Return Percent SP500 (cumu) during strategy life
    52.51%
  • Return Statistics
  • Ann Return (w trading costs)
    14.6%
  • Slump
  • Current Slump as Pcnt Equity
    1.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.67%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.146%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    70.00%
  • Chance of 20% account loss
    49.50%
  • Chance of 30% account loss
    21.00%
  • Chance of 40% account loss
    6.50%
  • 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
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    625
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Performance-weighted percentile
    370
  • Popularity (7 days, Percentile 1000 scale)
    450
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $109
  • Avg Win
    $411
  • Sum Trade PL (losers)
    $109.000
  • Age
  • Num Months filled monthly returns table
    42
  • Win / Loss
  • Sum Trade PL (winners)
    $32,021.000
  • # Winners
    78
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    1
  • % Winners
    98.7%
  • Frequency
  • Avg Position Time (mins)
    6579.60
  • Avg Position Time (hrs)
    109.66
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    282
  • Leverage
  • Daily leverage (average)
    8.11
  • Daily leverage (max)
    17.75
  • Regression
  • Alpha
    0.04
  • Beta
    -0.05
  • Treynor Index
    -0.94
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.72
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.522
  • 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
    1.514
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.094
  • Hold-and-Hope Ratio
    0.657
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17134
  • SD
    0.27563
  • Sharpe ratio (Glass type estimate)
    0.62163
  • Sharpe ratio (Hedges UMVUE)
    0.60820
  • df
    35.00000
  • t
    1.07670
  • p
    0.14449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75814
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53232
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74872
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31807
  • Upside Potential Ratio
    2.31698
  • Upside part of mean
    0.30120
  • Downside part of mean
    -0.12985
  • Upside SD
    0.24374
  • Downside SD
    0.12999
  • N nonnegative terms
    9.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.13123
  • Mean of criterion
    0.17134
  • SD of predictor
    0.16080
  • SD of criterion
    0.27563
  • Covariance
    0.00756
  • r
    0.17050
  • b (slope, estimate of beta)
    0.29225
  • a (intercept, estimate of alpha)
    0.13299
  • Mean Square Error
    0.07594
  • DF error
    34.00000
  • t(b)
    1.00894
  • p(b)
    0.16006
  • t(a)
    0.81302
  • p(a)
    0.21093
  • Lowerbound of 95% confidence interval for beta
    -0.29641
  • Upperbound of 95% confidence interval for beta
    0.88092
  • Lowerbound of 95% confidence interval for alpha
    -0.19944
  • Upperbound of 95% confidence interval for alpha
    0.46541
  • Treynor index (mean / b)
    0.58628
  • Jensen alpha (a)
    0.13299
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13603
  • SD
    0.26035
  • Sharpe ratio (Glass type estimate)
    0.52251
  • Sharpe ratio (Hedges UMVUE)
    0.51122
  • df
    35.00000
  • t
    0.90502
  • p
    0.18582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64913
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94442
  • Upside Potential Ratio
    1.91096
  • Upside part of mean
    0.27526
  • Downside part of mean
    -0.13922
  • Upside SD
    0.21608
  • Downside SD
    0.14404
  • N nonnegative terms
    9.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.11769
  • Mean of criterion
    0.13603
  • SD of predictor
    0.16150
  • SD of criterion
    0.26035
  • Covariance
    0.00691
  • r
    0.16431
  • b (slope, estimate of beta)
    0.26488
  • a (intercept, estimate of alpha)
    0.10486
  • Mean Square Error
    0.06789
  • DF error
    34.00000
  • t(b)
    0.97129
  • p(b)
    0.16913
  • t(a)
    0.68171
  • p(a)
    0.25002
  • Lowerbound of 95% confidence interval for beta
    -0.28933
  • Upperbound of 95% confidence interval for beta
    0.81910
  • Lowerbound of 95% confidence interval for alpha
    -0.20774
  • Upperbound of 95% confidence interval for alpha
    0.41746
  • Treynor index (mean / b)
    0.51357
  • Jensen alpha (a)
    0.10486
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10621
  • Expected Shortfall on VaR
    0.13351
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03148
  • Expected Shortfall on VaR
    0.06855
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.79222
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00678
  • Maximum
    1.33617
  • Mean of quarter 1
    0.96349
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.10273
  • Inter Quartile Range
    0.00678
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.91784
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    1.10273
  • 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)
    0.53767
  • VaR(95%) (regression method)
    0.06315
  • Expected Shortfall (regression method)
    0.24051
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02068
  • Quartile 1
    0.08021
  • Median
    0.13974
  • Quartile 3
    0.19926
  • Maximum
    0.25879
  • Mean of quarter 1
    0.02068
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.25879
  • Inter Quartile Range
    0.11906
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21177
  • Compounded annual return (geometric extrapolation)
    0.17814
  • Calmar ratio (compounded annual return / max draw down)
    0.68837
  • Compounded annual return / average of 25% largest draw downs
    0.68837
  • Compounded annual return / Expected Shortfall lognormal
    1.33433
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18040
  • SD
    0.30785
  • Sharpe ratio (Glass type estimate)
    0.58600
  • Sharpe ratio (Hedges UMVUE)
    0.58545
  • df
    795.00000
  • t
    1.02142
  • p
    0.15368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71066
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71027
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96810
  • Upside Potential Ratio
    5.76770
  • Upside part of mean
    1.07477
  • Downside part of mean
    -0.89437
  • Upside SD
    0.24505
  • Downside SD
    0.18634
  • N nonnegative terms
    154.00000
  • N negative terms
    642.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    796.00000
  • Mean of predictor
    0.12845
  • Mean of criterion
    0.18040
  • SD of predictor
    0.18596
  • SD of criterion
    0.30785
  • Covariance
    -0.00217
  • r
    -0.03788
  • b (slope, estimate of beta)
    -0.06271
  • a (intercept, estimate of alpha)
    0.18800
  • Mean Square Error
    0.09475
  • DF error
    794.00000
  • t(b)
    -1.06816
  • p(b)
    0.85711
  • t(a)
    1.06615
  • p(a)
    0.14334
  • Lowerbound of 95% confidence interval for beta
    -0.17795
  • Upperbound of 95% confidence interval for beta
    0.05253
  • Lowerbound of 95% confidence interval for alpha
    -0.15852
  • Upperbound of 95% confidence interval for alpha
    0.53543
  • Treynor index (mean / b)
    -2.87671
  • Jensen alpha (a)
    0.18845
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13398
  • SD
    0.30330
  • Sharpe ratio (Glass type estimate)
    0.44173
  • Sharpe ratio (Hedges UMVUE)
    0.44131
  • df
    795.00000
  • t
    0.76995
  • p
    0.22078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68335
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56598
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69913
  • Upside Potential Ratio
    5.45985
  • Upside part of mean
    1.04627
  • Downside part of mean
    -0.91229
  • Upside SD
    0.23499
  • Downside SD
    0.19163
  • N nonnegative terms
    154.00000
  • N negative terms
    642.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    796.00000
  • Mean of predictor
    0.11101
  • Mean of criterion
    0.13398
  • SD of predictor
    0.18705
  • SD of criterion
    0.30330
  • Covariance
    -0.00208
  • r
    -0.03671
  • b (slope, estimate of beta)
    -0.05952
  • a (intercept, estimate of alpha)
    0.14058
  • Mean Square Error
    0.09198
  • DF error
    794.00000
  • t(b)
    -1.03503
  • p(b)
    0.84951
  • t(a)
    0.80741
  • p(a)
    0.20983
  • Lowerbound of 95% confidence interval for beta
    -0.17240
  • Upperbound of 95% confidence interval for beta
    0.05336
  • Lowerbound of 95% confidence interval for alpha
    -0.20120
  • Upperbound of 95% confidence interval for alpha
    0.48236
  • Treynor index (mean / b)
    -2.25095
  • Jensen alpha (a)
    0.14058
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02985
  • Expected Shortfall on VaR
    0.03740
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01041
  • Expected Shortfall on VaR
    0.02240
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    796.00000
  • Minimum
    0.91124
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.17041
  • Mean of quarter 1
    0.98669
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01649
  • Inter Quartile Range
    0.00000
  • Number outliers low
    126.00000
  • Percentage of outliers low
    0.15829
  • Mean of outliers low
    0.97898
  • Number of outliers high
    156.00000
  • Percentage of outliers high
    0.19598
  • Mean of outliers high
    1.02104
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.14139
  • VaR(95%) (moments method)
    0.00366
  • Expected Shortfall (moments method)
    0.00427
  • Extreme Value Index (regression method)
    -0.11089
  • VaR(95%) (regression method)
    0.01632
  • Expected Shortfall (regression method)
    0.02820
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00052
  • Quartile 1
    0.00418
  • Median
    0.01600
  • Quartile 3
    0.06561
  • Maximum
    0.35374
  • Mean of quarter 1
    0.00249
  • Mean of quarter 2
    0.00848
  • Mean of quarter 3
    0.04151
  • Mean of quarter 4
    0.18001
  • Inter Quartile Range
    0.06143
  • 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
    0.10000
  • Mean of outliers high
    0.27199
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.11449
  • VaR(95%) (moments method)
    0.16863
  • Expected Shortfall (moments method)
    0.17241
  • Extreme Value Index (regression method)
    -0.06088
  • VaR(95%) (regression method)
    0.25582
  • Expected Shortfall (regression method)
    0.36282
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20911
  • Compounded annual return (geometric extrapolation)
    0.17572
  • Calmar ratio (compounded annual return / max draw down)
    0.49675
  • Compounded annual return / average of 25% largest draw downs
    0.97615
  • Compounded annual return / Expected Shortfall lognormal
    4.69871
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32439
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.11598
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31750
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.11581
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6769460000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    37262600000000001708494906458112.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349189000
  • Max Equity Drawdown (num days)
    48
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

Summary Statistics

Strategy began
2020-11-02
Suggested Minimum Capital
$80,000
# Trades
79
# Profitable
78
% Profitable
98.7%
Correlation S&P500
-0.029
Sharpe Ratio
0.46
Sortino Ratio
0.75
Beta
-0.05
Alpha
0.04
Leverage
8.11 Average
17.75 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.