Just Forex Trades
(94987184)
Subscription terms. Subscriptions to this system cost $225.00 per month.
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 shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).Shortterm Reversal
Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a shortterm time frame (up to one month).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2015  +10.5%  (1.6%)  +13.8%  +4.9%  +12.7%  (10.2%)  +10.5%  +45.1%  
2016  (6.2%)  +13.7%  (17.7%)  +40.4%  +16.8%  +10.2%  +4.7%  +1.9%  +0.8%  (3.6%)  +7.5%  +2.9%  +82.2% 
2017  +9.5%  +3.6%  +4.2%  (13.6%)  (5.1%)  +3.8%  +1.8%  (3.1%)  +1.6%  +10.3%  (5.9%)  +17.5%  +23.3% 
2018  (3.9%)  +14.0%  (6.5%)  +16.0%  +20.3%  +0.1%  +9.8%  (2.8%)  +1.2%  +14.4%  (2%)  +73.4% 
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.
Started  $20,000  
Buy Power  $93,326  
Cash  $139,663  
Equity  ($12,717)  
Cumulative $  $106,945  
Total System Equity  $126,945  
Margined  $33,618  
Open P/L  ($12,717) 
Trading Record
Statistics

Strategy began6/12/2015

Suggested Minimum Cap$100,000

Strategy Age (days)1249.87

Age42 months ago

What it tradesForex

# Trades716

# Profitable664

% Profitable92.70%

Avg trade duration9.9 days

Max peaktovalley drawdown30.76%

drawdown periodApril 14, 2017  Sept 20, 2017

Annual Return (Compounded)66.7%

Avg win$185.82

Avg loss$314.88
 Model Account Values (Raw)

Cash$139,663

Margin Used$33,618

Buying Power$93,326
 Ratios

W:L ratio7.54:1

Sharpe Ratio1.942

Sortino Ratio3.075

Calmar Ratio3.069
 CORRELATION STATISTICS

Correlation to SP5000.04700
 Return Statistics

Ann Return (w trading costs)66.7%

Ann Return (Compnd, No Fees)71.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss37.50%

Chance of 20% account loss21.00%

Chance of 30% account loss7.50%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)976

Popularity (Last 6 weeks)995

C2 Score97.7
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$318

Avg Win$186

# Winners664

# Losers52

% Winners92.7%
 Frequency

Avg Position Time (mins)14326.80

Avg Position Time (hrs)238.78

Avg Trade Length9.9 days

Last Trade Ago0
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.59255

SD0.36072

Sharpe ratio (Glass type estimate)1.64268

Sharpe ratio (Hedges UMVUE)1.61085

df39.00000

t2.99911

p0.00235

Lowerbound of 95% confidence interval for Sharpe Ratio0.49989

Upperbound of 95% confidence interval for Sharpe Ratio2.76658

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.47938

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.74233
 Statistics related to Sortino ratio

Sortino ratio3.17557

Upside Potential Ratio4.67551

Upside part of mean0.87244

Downside part of mean0.27988

Upside SD0.34829

Downside SD0.18660

N nonnegative terms28.00000

N negative terms12.00000
 Statistics related to linear regression on benchmark

N of observations40.00000

Mean of predictor0.05030

Mean of criterion0.59255

SD of predictor0.11627

SD of criterion0.36072

Covariance0.00375

r0.08932

b (slope, estimate of beta)0.27714

a (intercept, estimate of alpha)0.57861

Mean Square Error0.13248

DF error38.00000

t(b)0.55285

p(b)0.29180

t(a)2.87943

p(a)0.00325

Lowerbound of 95% confidence interval for beta0.73767

Upperbound of 95% confidence interval for beta1.29194

Lowerbound of 95% confidence interval for alpha0.17182

Upperbound of 95% confidence interval for alpha0.98541

Treynor index (mean / b)2.13813

Jensen alpha (a)0.57861
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.51697

SD0.35556

Sharpe ratio (Glass type estimate)1.45397

Sharpe ratio (Hedges UMVUE)1.42580

df39.00000

t2.65457

p0.00572

Lowerbound of 95% confidence interval for Sharpe Ratio0.32480

Upperbound of 95% confidence interval for Sharpe Ratio2.56610

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.30662

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.54497
 Statistics related to Sortino ratio

Sortino ratio2.55008

Upside Potential Ratio4.02321

Upside part of mean0.81561

Downside part of mean0.29864

Upside SD0.32316

Downside SD0.20273

N nonnegative terms28.00000

N negative terms12.00000
 Statistics related to linear regression on benchmark

N of observations40.00000

Mean of predictor0.04341

Mean of criterion0.51697

SD of predictor0.11767

SD of criterion0.35556

Covariance0.00411

r0.09826

b (slope, estimate of beta)0.29690

a (intercept, estimate of alpha)0.50408

Mean Square Error0.12850

DF error38.00000

t(b)0.60864

p(b)0.27319

t(a)2.55261

p(a)0.00742

Lowerbound of 95% confidence interval for beta0.69062

Upperbound of 95% confidence interval for beta1.28442

Lowerbound of 95% confidence interval for alpha0.10431

Upperbound of 95% confidence interval for alpha0.90385

Treynor index (mean / b)1.74121

Jensen alpha (a)0.50408
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.11816

Expected Shortfall on VaR0.15458
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03702

Expected Shortfall on VaR0.08348
 ORDER STATISTICS
 Quartiles of return rates

Number of observations40.00000

Minimum0.80693

Quartile 10.97885

Median1.05140

Quartile 31.13922

Maximum1.21346

Mean of quarter 10.91254

Mean of quarter 21.02205

Mean of quarter 31.10370

Mean of quarter 41.16854

Inter Quartile Range0.16037

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.19654

VaR(95%) (moments method)0.06433

Expected Shortfall (moments method)0.08488

Extreme Value Index (regression method)0.45932

VaR(95%) (regression method)0.06697

Expected Shortfall (regression method)0.08039
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations10.00000

Minimum0.00930

Quartile 10.02923

Median0.06004

Quartile 30.11364

Maximum0.19980

Mean of quarter 10.01781

Mean of quarter 20.05362

Mean of quarter 30.08662

Mean of quarter 40.16742

Inter Quartile Range0.08441

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)156.22500

VaR(95%) (moments method)0.17507

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)3.67615

VaR(95%) (regression method)0.29260

Expected Shortfall (regression method)0.29288
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.54464

Compounded annual return (geometric extrapolation)0.72440

Calmar ratio (compounded annual return / max draw down)3.62561

Compounded annual return / average of 25% largest draw downs4.32695

Compounded annual return / Expected Shortfall lognormal4.68617

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.56023

SD0.28820

Sharpe ratio (Glass type estimate)1.94389

Sharpe ratio (Hedges UMVUE)1.94225

df886.00000

t3.57671

p0.00018

Lowerbound of 95% confidence interval for Sharpe Ratio0.87430

Upperbound of 95% confidence interval for Sharpe Ratio3.01241

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.87320

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.01129
 Statistics related to Sortino ratio

Sortino ratio3.07496

Upside Potential Ratio10.89120

Upside part of mean1.98427

Downside part of mean1.42404

Upside SD0.22577

Downside SD0.18219

N nonnegative terms495.00000

N negative terms392.00000
 Statistics related to linear regression on benchmark

N of observations887.00000

Mean of predictor0.05834

Mean of criterion0.56023

SD of predictor0.13220

SD of criterion0.28820

Covariance0.00135

r0.03539

b (slope, estimate of beta)0.07715

a (intercept, estimate of alpha)0.55600

Mean Square Error0.08305

DF error885.00000

t(b)1.05337

p(b)0.14623

t(a)3.54687

p(a)0.00021

Lowerbound of 95% confidence interval for beta0.06659

Upperbound of 95% confidence interval for beta0.22088

Lowerbound of 95% confidence interval for alpha0.24822

Upperbound of 95% confidence interval for alpha0.86324

Treynor index (mean / b)7.26204

Jensen alpha (a)0.55573
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.51830

SD0.28743

Sharpe ratio (Glass type estimate)1.80322

Sharpe ratio (Hedges UMVUE)1.80169

df886.00000

t3.31788

p0.00047

Lowerbound of 95% confidence interval for Sharpe Ratio0.73420

Upperbound of 95% confidence interval for Sharpe Ratio2.87124

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.73318

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.87021
 Statistics related to Sortino ratio

Sortino ratio2.79681

Upside Potential Ratio10.57190

Upside part of mean1.95917

Downside part of mean1.44087

Upside SD0.22182

Downside SD0.18532

N nonnegative terms495.00000

N negative terms392.00000
 Statistics related to linear regression on benchmark

N of observations887.00000

Mean of predictor0.04957

Mean of criterion0.51830

SD of predictor0.13253

SD of criterion0.28743

Covariance0.00134

r0.03517

b (slope, estimate of beta)0.07627

a (intercept, estimate of alpha)0.51452

Mean Square Error0.08261

DF error885.00000

t(b)1.04683

p(b)0.14773

t(a)3.29297

p(a)0.00052

Lowerbound of 95% confidence interval for beta0.06672

Upperbound of 95% confidence interval for beta0.21926

Lowerbound of 95% confidence interval for alpha0.20786

Upperbound of 95% confidence interval for alpha0.82118

Treynor index (mean / b)6.79574

Jensen alpha (a)0.51452
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02686

Expected Shortfall on VaR0.03404
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01156

Expected Shortfall on VaR0.02316
 ORDER STATISTICS
 Quartiles of return rates

Number of observations887.00000

Minimum0.92898

Quartile 10.99247

Median1.00181

Quartile 31.01116

Maximum1.07349

Mean of quarter 10.98115

Mean of quarter 20.99752

Mean of quarter 31.00597

Mean of quarter 41.02435

Inter Quartile Range0.01869

Number outliers low21.00000

Percentage of outliers low0.02368

Mean of outliers low0.95369

Number of outliers high30.00000

Percentage of outliers high0.03382

Mean of outliers high1.04866
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.21807

VaR(95%) (moments method)0.01868

Expected Shortfall (moments method)0.02920

Extreme Value Index (regression method)0.03626

VaR(95%) (regression method)0.01680

Expected Shortfall (regression method)0.02295
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations66.00000

Minimum0.00010

Quartile 10.00640

Median0.01611

Quartile 30.03842

Maximum0.23682

Mean of quarter 10.00310

Mean of quarter 20.01019

Mean of quarter 30.02639

Mean of quarter 40.11024

Inter Quartile Range0.03201

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high11.00000

Percentage of outliers high0.16667

Mean of outliers high0.14023
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.62311

VaR(95%) (moments method)0.10048

Expected Shortfall (moments method)0.11462

Extreme Value Index (regression method)0.48080

VaR(95%) (regression method)0.11764

Expected Shortfall (regression method)0.13927
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.58165

Compounded annual return (geometric extrapolation)0.72670

Calmar ratio (compounded annual return / max draw down)3.06853

Compounded annual return / average of 25% largest draw downs6.59178

Compounded annual return / Expected Shortfall lognormal21.35070

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

Mean0.61801

SD0.22069

Sharpe ratio (Glass type estimate)2.80032

Sharpe ratio (Hedges UMVUE)2.78413

df130.00000

t1.98012

p0.41445

Lowerbound of 95% confidence interval for Sharpe Ratio0.00246

Upperbound of 95% confidence interval for Sharpe Ratio5.58760

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00826

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.57652
 Statistics related to Sortino ratio

Sortino ratio4.44309

Upside Potential Ratio12.35380

Upside part of mean1.71836

Downside part of mean1.10034

Upside SD0.17448

Downside SD0.13910

N nonnegative terms82.00000

N negative terms49.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.02550

Mean of criterion0.61801

SD of predictor0.12860

SD of criterion0.22069

Covariance0.00026

r0.00908

b (slope, estimate of beta)0.01558

a (intercept, estimate of alpha)0.61762

Mean Square Error0.04908

DF error129.00000

t(b)0.10313

p(b)0.50578

t(a)1.97116

p(a)0.39167

Lowerbound of 95% confidence interval for beta0.31451

Upperbound of 95% confidence interval for beta0.28335

Lowerbound of 95% confidence interval for alpha0.00231

Upperbound of 95% confidence interval for alpha1.23754

Treynor index (mean / b)39.66180

Jensen alpha (a)0.61762
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.59313

SD0.22042

Sharpe ratio (Glass type estimate)2.69088

Sharpe ratio (Hedges UMVUE)2.67532

df130.00000

t1.90274

p0.41770

Lowerbound of 95% confidence interval for Sharpe Ratio0.10514

Upperbound of 95% confidence interval for Sharpe Ratio5.47682

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11549

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.46614
 Statistics related to Sortino ratio

Sortino ratio4.21572

Upside Potential Ratio12.10540

Upside part of mean1.70318

Downside part of mean1.11005

Upside SD0.17252

Downside SD0.14070

N nonnegative terms82.00000

N negative terms49.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.03374

Mean of criterion0.59313

SD of predictor0.12904

SD of criterion0.22042

Covariance0.00029

r0.01002

b (slope, estimate of beta)0.01712

a (intercept, estimate of alpha)0.59256

Mean Square Error0.04896

DF error129.00000

t(b)0.11384

p(b)0.50638

t(a)1.89341

p(a)0.39579

Lowerbound of 95% confidence interval for beta0.31466

Upperbound of 95% confidence interval for beta0.28042

Lowerbound of 95% confidence interval for alpha0.02664

Upperbound of 95% confidence interval for alpha1.21175

Treynor index (mean / b)34.64600

Jensen alpha (a)0.59256
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01993

Expected Shortfall on VaR0.02548
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00800

Expected Shortfall on VaR0.01637
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95944

Quartile 10.99406

Median1.00323

Quartile 31.01146

Maximum1.04008

Mean of quarter 10.98490

Mean of quarter 20.99924

Mean of quarter 31.00646

Mean of quarter 41.01939

Inter Quartile Range0.01740

Number outliers low1.00000

Percentage of outliers low0.00763

Mean of outliers low0.95944

Number of outliers high1.00000

Percentage of outliers high0.00763

Mean of outliers high1.04008
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.49095

VaR(95%) (moments method)0.01435

Expected Shortfall (moments method)0.01666

Extreme Value Index (regression method)0.39706

VaR(95%) (regression method)0.01610

Expected Shortfall (regression method)0.01929
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00312

Quartile 10.01200

Median0.01712

Quartile 30.03646

Maximum0.15955

Mean of quarter 10.00735

Mean of quarter 20.01494

Mean of quarter 30.02983

Mean of quarter 40.11507

Inter Quartile Range0.02446

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.11111

Mean of outliers high0.15955
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.86374

VaR(95%) (moments method)0.09260

Expected Shortfall (moments method)0.09502

Extreme Value Index (regression method)0.38247

VaR(95%) (regression method)0.18687

Expected Shortfall (regression method)0.37467
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.72827

Compounded annual return (geometric extrapolation)0.86086

Calmar ratio (compounded annual return / max draw down)5.39562

Compounded annual return / average of 25% largest draw downs7.48147

Compounded annual return / Expected Shortfall lognormal33.78220
Strategy Description
1)Exhaustive momentum is not sustainable.
2)Currencies are range bound.
3)Prices fall faster than they rise.
As such, we are a momentum based, Short only and we do not use initial stops, we therefore are noncorrelated to most other programs.
Summary Statistics
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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Strategy is now visible
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Finally, please note that you can restore public visibility at any time.
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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.