Welcome to AGM - Access to Global Markets

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

Just Forex Trades
(94987184)

Created by: JFT JFT
Started: 06/2015
Forex
Last trade: Today
Trading style: Equity Momentum Short-term Reversal

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 $225.00 per month.

Trading Category: Equity
Momentum
Category: Equity

Momentum

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

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
65.6%
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.

(30.8%)
Max Drawdown
716
Num Trades
92.7%
Win Trades
7.5 : 1
Profit Factor
69.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
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.

Trading Record

This strategy has placed 1,175 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/12/18 13:38 CAD/CHF CAD/CHF SHORT 25 0.76319 11/13 9:30 0.76237 n/a $192
Includes Typical Broker Commissions trade costs of $10.00
11/7/18 11:30 AUD/USD AUD/USD SHORT 25 0.72839 11/8 14:29 0.72632 0.36%
Trade id #120798246
Max drawdown($468)
Time11/8/18 9:33
Quant open-25
Worst price0.73026
Drawdown as % of equity-0.36%
$508
Includes Typical Broker Commissions trade costs of $10.00
8/20/18 14:53 EUR/AUD EUR/AUD SHORT 35 1.57343 11/7 8:21 1.57434 14.09%
Trade id #119519403
Max drawdown($15,921)
Time10/11/18 0:26
Quant open-35
Worst price1.63577
Drawdown as % of equity-14.09%
($247)
Includes Typical Broker Commissions trade costs of $14.00
11/5/18 15:35 EUR/CHF EUR/CHF SHORT 20 1.14587 11/7 8:21 1.14446 0.18%
Trade id #120741082
Max drawdown($233)
Time11/6/18 4:10
Quant open-20
Worst price1.14703
Drawdown as % of equity-0.18%
$274
Includes Typical Broker Commissions trade costs of $8.00
11/6/18 16:45 USD/CAD USD/CAD SHORT 25 1.31249 11/6 23:25 1.31044 0.5%
Trade id #120776000
Max drawdown($644)
Time11/6/18 21:28
Quant open-25
Worst price1.31587
Drawdown as % of equity-0.50%
$381
Includes Typical Broker Commissions trade costs of $10.00
10/31/18 13:53 CAD/CHF CAD/CHF SHORT 25 0.76677 11/1 5:00 0.76488 0.06%
Trade id #120646726
Max drawdown($75)
Time10/31/18 14:00
Quant open-25
Worst price0.76707
Drawdown as % of equity-0.06%
$461
Includes Typical Broker Commissions trade costs of $10.00
10/31/18 9:22 AUD/NZD AUD/NZD SHORT 25 1.08457 11/1 1:26 1.08267 0.42%
Trade id #120639065
Max drawdown($531)
Time10/31/18 20:45
Quant open-25
Worst price1.08780
Drawdown as % of equity-0.42%
$304
Includes Typical Broker Commissions trade costs of $10.00
10/30/18 10:09 EUR/GBP EUR/GBP SHORT 20 0.89045 10/31 8:44 0.88844 0.7%
Trade id #120618789
Max drawdown($889)
Time10/30/18 13:00
Quant open-20
Worst price0.89394
Drawdown as % of equity-0.70%
$505
Includes Typical Broker Commissions trade costs of $8.00
10/26/18 9:51 AUD/CAD AUD/CAD SHORT 10 0.92622 10/29 17:09 0.92713 0.29%
Trade id #120561253
Max drawdown($366)
Time10/29/18 4:03
Quant open-10
Worst price0.93103
Drawdown as % of equity-0.29%
($73)
Includes Typical Broker Commissions trade costs of $4.00
10/29/18 9:25 CAD/JPY CAD/JPY SHORT 25 85.814 10/29 12:11 85.620 0.12%
Trade id #120593701
Max drawdown($155)
Time10/29/18 9:37
Quant open-25
Worst price85.884
Drawdown as % of equity-0.12%
$422
Includes Typical Broker Commissions trade costs of $10.00
8/21/18 12:39 CHF/JPY CHF/JPY SHORT 25 111.932 10/26 5:12 111.936 10.93%
Trade id #119535530
Max drawdown($11,770)
Time9/26/18 14:07
Quant open-25
Worst price117.201
Drawdown as % of equity-10.93%
($21)
Includes Typical Broker Commissions trade costs of $10.00
10/24/18 10:52 CAD/JPY CAD/JPY SHORT 20 86.531 10/24 11:10 86.343 0.06%
Trade id #120511327
Max drawdown($76)
Time10/24/18 10:56
Quant open-20
Worst price86.574
Drawdown as % of equity-0.06%
$325
Includes Typical Broker Commissions trade costs of $8.00
10/15/18 12:17 NZD/JPY NZD/JPY SHORT 15 73.586 10/23 10:02 73.391 0.94%
Trade id #120356458
Max drawdown($1,108)
Time10/21/18 17:11
Quant open-15
Worst price74.414
Drawdown as % of equity-0.94%
$255
Includes Typical Broker Commissions trade costs of $7.00
10/22/18 9:33 EUR/GBP EUR/GBP SHORT 10 0.88438 10/23 8:26 0.88091 0.09%
Trade id #120466384
Max drawdown($111)
Time10/22/18 10:07
Quant open-10
Worst price0.88524
Drawdown as % of equity-0.09%
$448
Includes Typical Broker Commissions trade costs of $4.00
10/19/18 10:30 GBP/CAD GBP/CAD SHORT 10 1.70736 10/22 8:34 1.70139 0.74%
Trade id #120440298
Max drawdown($884)
Time10/19/18 12:48
Quant open-10
Worst price1.71894
Drawdown as % of equity-0.74%
$452
Includes Typical Broker Commissions trade costs of $4.00
10/17/18 9:02 NZD/CHF NZD/CHF SHORT 15 0.65175 10/18 18:03 0.64982 0.35%
Trade id #120397778
Max drawdown($422)
Time10/18/18 8:53
Quant open-15
Worst price0.65455
Drawdown as % of equity-0.35%
$283
Includes Typical Broker Commissions trade costs of $6.00
10/18/18 9:21 AUD/CHF AUD/CHF SHORT 15 0.71071 10/18 11:44 0.70877 n/a $286
Includes Typical Broker Commissions trade costs of $6.00
10/16/18 14:29 AUD/USD AUD/USD SHORT 10 0.71406 10/17 7:55 0.71202 0.16%
Trade id #120385602
Max drawdown($190)
Time10/17/18 4:18
Quant open-10
Worst price0.71597
Drawdown as % of equity-0.16%
$200
Includes Typical Broker Commissions trade costs of $4.00
10/15/18 8:50 AUD/CAD AUD/CAD SHORT 15 0.92922 10/15 10:58 0.92723 0.24%
Trade id #120348336
Max drawdown($283)
Time10/15/18 9:59
Quant open-15
Worst price0.93168
Drawdown as % of equity-0.24%
$225
Includes Typical Broker Commissions trade costs of $6.00
10/12/18 15:21 USD/CAD USD/CAD SHORT 10 1.30415 10/12 16:55 1.30218 0.01%
Trade id #120331964
Max drawdown($7)
Time10/12/18 15:25
Quant open-10
Worst price1.30425
Drawdown as % of equity-0.01%
$147
Includes Typical Broker Commissions trade costs of $4.00
10/12/18 9:53 AUD/NZD AUD/NZD SHORT 15 1.09391 10/12 14:43 1.09204 0.08%
Trade id #120321389
Max drawdown($99)
Time10/12/18 10:15
Quant open-15
Worst price1.09493
Drawdown as % of equity-0.08%
$176
Includes Typical Broker Commissions trade costs of $6.00
10/9/18 9:17 GBP/CHF GBP/CHF SHORT 20 1.30420 10/12 12:45 1.30312 1.11%
Trade id #120250528
Max drawdown($1,254)
Time10/12/18 3:05
Quant open-10
Worst price1.31159
Drawdown as % of equity-1.11%
$209
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 9:38 EUR/CAD EUR/CAD SHORT 10 1.50905 10/12 8:44 1.50485 0.3%
Trade id #120297131
Max drawdown($339)
Time10/11/18 14:48
Quant open-10
Worst price1.51347
Drawdown as % of equity-0.30%
$318
Includes Typical Broker Commissions trade costs of $4.00
10/5/18 14:35 AUD/NZD AUD/NZD SHORT 15 1.09532 10/10 17:44 1.09298 0.35%
Trade id #120211470
Max drawdown($395)
Time10/9/18 3:01
Quant open-15
Worst price1.09940
Drawdown as % of equity-0.35%
$219
Includes Typical Broker Commissions trade costs of $7.00
9/27/18 9:38 USD/JPY USD/JPY SHORT 15 113.481 10/8 9:27 113.134 1.27%
Trade id #120063215
Max drawdown($1,417)
Time10/3/18 19:23
Quant open-15
Worst price114.550
Drawdown as % of equity-1.27%
$453
Includes Typical Broker Commissions trade costs of $7.00
10/1/18 9:49 CAD/CHF CAD/CHF SHORT 15 0.76864 10/4 17:22 0.76749 0.43%
Trade id #120115546
Max drawdown($481)
Time10/3/18 13:16
Quant open-10
Worst price0.77200
Drawdown as % of equity-0.43%
$168
Includes Typical Broker Commissions trade costs of $7.00
9/18/18 8:17 AUD/CAD AUD/CAD SHORT 20 0.93775 9/28 8:29 0.93751 1.62%
Trade id #119903839
Max drawdown($1,747)
Time9/26/18 14:07
Quant open-20
Worst price0.94909
Drawdown as % of equity-1.62%
$30
Includes Typical Broker Commissions trade costs of $8.00
9/26/18 17:09 EUR/CAD EUR/CAD SHORT 10 1.52838 9/27 9:15 1.52533 0.27%
Trade id #120054164
Max drawdown($290)
Time9/26/18 22:35
Quant open-10
Worst price1.53218
Drawdown as % of equity-0.27%
$229
Includes Typical Broker Commissions trade costs of $4.00
9/20/18 9:05 CAD/JPY CAD/JPY SHORT 20 86.955 9/26 15:58 86.641 0.83%
Trade id #119944093
Max drawdown($887)
Time9/21/18 3:04
Quant open-20
Worst price87.455
Drawdown as % of equity-0.83%
$550
Includes Typical Broker Commissions trade costs of $8.00
9/26/18 9:51 USD/CHF USD/CHF SHORT 10 0.96930 9/26 13:33 0.96540 0.08%
Trade id #120041698
Max drawdown($90)
Time9/26/18 10:12
Quant open-10
Worst price0.97017
Drawdown as % of equity-0.08%
$401
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    6/12/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1249.87
  • Age
    42 months ago
  • What it trades
    Forex
  • # Trades
    716
  • # Profitable
    664
  • % Profitable
    92.70%
  • Avg trade duration
    9.9 days
  • Max peak-to-valley drawdown
    30.76%
  • drawdown period
    April 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 ratio
    7.54:1
  • Sharpe Ratio
    1.942
  • Sortino Ratio
    3.075
  • Calmar Ratio
    3.069
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.04700
  • Return Statistics
  • Ann Return (w trading costs)
    66.7%
  • Ann Return (Compnd, No Fees)
    71.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.50%
  • Chance of 20% account loss
    21.00%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    976
  • Popularity (Last 6 weeks)
    995
  • C2 Score
    97.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $318
  • Avg Win
    $186
  • # Winners
    664
  • # Losers
    52
  • % Winners
    92.7%
  • Frequency
  • Avg Position Time (mins)
    14326.80
  • Avg Position Time (hrs)
    238.78
  • Avg Trade Length
    9.9 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59255
  • SD
    0.36072
  • Sharpe ratio (Glass type estimate)
    1.64268
  • Sharpe ratio (Hedges UMVUE)
    1.61085
  • df
    39.00000
  • t
    2.99911
  • p
    0.00235
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49989
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76658
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74233
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.17557
  • Upside Potential Ratio
    4.67551
  • Upside part of mean
    0.87244
  • Downside part of mean
    -0.27988
  • Upside SD
    0.34829
  • Downside SD
    0.18660
  • N nonnegative terms
    28.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.05030
  • Mean of criterion
    0.59255
  • SD of predictor
    0.11627
  • SD of criterion
    0.36072
  • Covariance
    0.00375
  • r
    0.08932
  • b (slope, estimate of beta)
    0.27714
  • a (intercept, estimate of alpha)
    0.57861
  • Mean Square Error
    0.13248
  • DF error
    38.00000
  • t(b)
    0.55285
  • p(b)
    0.29180
  • t(a)
    2.87943
  • p(a)
    0.00325
  • Lowerbound of 95% confidence interval for beta
    -0.73767
  • Upperbound of 95% confidence interval for beta
    1.29194
  • Lowerbound of 95% confidence interval for alpha
    0.17182
  • Upperbound of 95% confidence interval for alpha
    0.98541
  • Treynor index (mean / b)
    2.13813
  • Jensen alpha (a)
    0.57861
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51697
  • SD
    0.35556
  • Sharpe ratio (Glass type estimate)
    1.45397
  • Sharpe ratio (Hedges UMVUE)
    1.42580
  • df
    39.00000
  • t
    2.65457
  • p
    0.00572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54497
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.55008
  • Upside Potential Ratio
    4.02321
  • Upside part of mean
    0.81561
  • Downside part of mean
    -0.29864
  • Upside SD
    0.32316
  • Downside SD
    0.20273
  • N nonnegative terms
    28.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.04341
  • Mean of criterion
    0.51697
  • SD of predictor
    0.11767
  • SD of criterion
    0.35556
  • Covariance
    0.00411
  • r
    0.09826
  • b (slope, estimate of beta)
    0.29690
  • a (intercept, estimate of alpha)
    0.50408
  • Mean Square Error
    0.12850
  • DF error
    38.00000
  • t(b)
    0.60864
  • p(b)
    0.27319
  • t(a)
    2.55261
  • p(a)
    0.00742
  • Lowerbound of 95% confidence interval for beta
    -0.69062
  • Upperbound of 95% confidence interval for beta
    1.28442
  • Lowerbound of 95% confidence interval for alpha
    0.10431
  • Upperbound of 95% confidence interval for alpha
    0.90385
  • Treynor index (mean / b)
    1.74121
  • Jensen alpha (a)
    0.50408
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11816
  • Expected Shortfall on VaR
    0.15458
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03702
  • Expected Shortfall on VaR
    0.08348
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.80693
  • Quartile 1
    0.97885
  • Median
    1.05140
  • Quartile 3
    1.13922
  • Maximum
    1.21346
  • Mean of quarter 1
    0.91254
  • Mean of quarter 2
    1.02205
  • Mean of quarter 3
    1.10370
  • Mean of quarter 4
    1.16854
  • Inter Quartile Range
    0.16037
  • 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)
    -0.19654
  • 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 observations
    10.00000
  • Minimum
    0.00930
  • Quartile 1
    0.02923
  • Median
    0.06004
  • Quartile 3
    0.11364
  • Maximum
    0.19980
  • Mean of quarter 1
    0.01781
  • Mean of quarter 2
    0.05362
  • Mean of quarter 3
    0.08662
  • Mean of quarter 4
    0.16742
  • Inter Quartile Range
    0.08441
  • 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)
    -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 downs
    4.32695
  • Compounded annual return / Expected Shortfall lognormal
    4.68617
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56023
  • SD
    0.28820
  • Sharpe ratio (Glass type estimate)
    1.94389
  • Sharpe ratio (Hedges UMVUE)
    1.94225
  • df
    886.00000
  • t
    3.57671
  • p
    0.00018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87320
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01129
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07496
  • Upside Potential Ratio
    10.89120
  • Upside part of mean
    1.98427
  • Downside part of mean
    -1.42404
  • Upside SD
    0.22577
  • Downside SD
    0.18219
  • N nonnegative terms
    495.00000
  • N negative terms
    392.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    887.00000
  • Mean of predictor
    0.05834
  • Mean of criterion
    0.56023
  • SD of predictor
    0.13220
  • SD of criterion
    0.28820
  • Covariance
    0.00135
  • r
    0.03539
  • b (slope, estimate of beta)
    0.07715
  • a (intercept, estimate of alpha)
    0.55600
  • Mean Square Error
    0.08305
  • DF error
    885.00000
  • t(b)
    1.05337
  • p(b)
    0.14623
  • t(a)
    3.54687
  • p(a)
    0.00021
  • Lowerbound of 95% confidence interval for beta
    -0.06659
  • Upperbound of 95% confidence interval for beta
    0.22088
  • Lowerbound of 95% confidence interval for alpha
    0.24822
  • Upperbound of 95% confidence interval for alpha
    0.86324
  • Treynor index (mean / b)
    7.26204
  • Jensen alpha (a)
    0.55573
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51830
  • SD
    0.28743
  • Sharpe ratio (Glass type estimate)
    1.80322
  • Sharpe ratio (Hedges UMVUE)
    1.80169
  • df
    886.00000
  • t
    3.31788
  • p
    0.00047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87021
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.79681
  • Upside Potential Ratio
    10.57190
  • Upside part of mean
    1.95917
  • Downside part of mean
    -1.44087
  • Upside SD
    0.22182
  • Downside SD
    0.18532
  • N nonnegative terms
    495.00000
  • N negative terms
    392.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    887.00000
  • Mean of predictor
    0.04957
  • Mean of criterion
    0.51830
  • SD of predictor
    0.13253
  • SD of criterion
    0.28743
  • Covariance
    0.00134
  • r
    0.03517
  • b (slope, estimate of beta)
    0.07627
  • a (intercept, estimate of alpha)
    0.51452
  • Mean Square Error
    0.08261
  • DF error
    885.00000
  • t(b)
    1.04683
  • p(b)
    0.14773
  • t(a)
    3.29297
  • p(a)
    0.00052
  • Lowerbound of 95% confidence interval for beta
    -0.06672
  • Upperbound of 95% confidence interval for beta
    0.21926
  • Lowerbound of 95% confidence interval for alpha
    0.20786
  • Upperbound of 95% confidence interval for alpha
    0.82118
  • Treynor index (mean / b)
    6.79574
  • Jensen alpha (a)
    0.51452
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02686
  • Expected Shortfall on VaR
    0.03404
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01156
  • Expected Shortfall on VaR
    0.02316
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    887.00000
  • Minimum
    0.92898
  • Quartile 1
    0.99247
  • Median
    1.00181
  • Quartile 3
    1.01116
  • Maximum
    1.07349
  • Mean of quarter 1
    0.98115
  • Mean of quarter 2
    0.99752
  • Mean of quarter 3
    1.00597
  • Mean of quarter 4
    1.02435
  • Inter Quartile Range
    0.01869
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.02368
  • Mean of outliers low
    0.95369
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.03382
  • Mean of outliers high
    1.04866
  • Risk estimates for a one-period 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 observations
    66.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00640
  • Median
    0.01611
  • Quartile 3
    0.03842
  • Maximum
    0.23682
  • Mean of quarter 1
    0.00310
  • Mean of quarter 2
    0.01019
  • Mean of quarter 3
    0.02639
  • Mean of quarter 4
    0.11024
  • Inter Quartile Range
    0.03201
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.14023
  • 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 downs
    6.59178
  • Compounded annual return / Expected Shortfall lognormal
    21.35070
  • 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
  • Mean
    0.61801
  • SD
    0.22069
  • Sharpe ratio (Glass type estimate)
    2.80032
  • Sharpe ratio (Hedges UMVUE)
    2.78413
  • df
    130.00000
  • t
    1.98012
  • p
    0.41445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.58760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00826
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.57652
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.44309
  • Upside Potential Ratio
    12.35380
  • Upside part of mean
    1.71836
  • Downside part of mean
    -1.10034
  • Upside SD
    0.17448
  • Downside SD
    0.13910
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02550
  • Mean of criterion
    0.61801
  • SD of predictor
    0.12860
  • SD of criterion
    0.22069
  • Covariance
    -0.00026
  • r
    -0.00908
  • b (slope, estimate of beta)
    -0.01558
  • a (intercept, estimate of alpha)
    0.61762
  • Mean Square Error
    0.04908
  • DF error
    129.00000
  • t(b)
    -0.10313
  • p(b)
    0.50578
  • t(a)
    1.97116
  • p(a)
    0.39167
  • Lowerbound of 95% confidence interval for beta
    -0.31451
  • Upperbound of 95% confidence interval for beta
    0.28335
  • Lowerbound of 95% confidence interval for alpha
    -0.00231
  • Upperbound of 95% confidence interval for alpha
    1.23754
  • Treynor index (mean / b)
    -39.66180
  • Jensen alpha (a)
    0.61762
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59313
  • SD
    0.22042
  • Sharpe ratio (Glass type estimate)
    2.69088
  • Sharpe ratio (Hedges UMVUE)
    2.67532
  • df
    130.00000
  • t
    1.90274
  • p
    0.41770
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.47682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.46614
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21572
  • Upside Potential Ratio
    12.10540
  • Upside part of mean
    1.70318
  • Downside part of mean
    -1.11005
  • Upside SD
    0.17252
  • Downside SD
    0.14070
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03374
  • Mean of criterion
    0.59313
  • SD of predictor
    0.12904
  • SD of criterion
    0.22042
  • Covariance
    -0.00029
  • r
    -0.01002
  • b (slope, estimate of beta)
    -0.01712
  • a (intercept, estimate of alpha)
    0.59256
  • Mean Square Error
    0.04896
  • DF error
    129.00000
  • t(b)
    -0.11384
  • p(b)
    0.50638
  • t(a)
    1.89341
  • p(a)
    0.39579
  • Lowerbound of 95% confidence interval for beta
    -0.31466
  • Upperbound of 95% confidence interval for beta
    0.28042
  • Lowerbound of 95% confidence interval for alpha
    -0.02664
  • Upperbound of 95% confidence interval for alpha
    1.21175
  • Treynor index (mean / b)
    -34.64600
  • Jensen alpha (a)
    0.59256
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01993
  • Expected Shortfall on VaR
    0.02548
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00800
  • Expected Shortfall on VaR
    0.01637
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95944
  • Quartile 1
    0.99406
  • Median
    1.00323
  • Quartile 3
    1.01146
  • Maximum
    1.04008
  • Mean of quarter 1
    0.98490
  • Mean of quarter 2
    0.99924
  • Mean of quarter 3
    1.00646
  • Mean of quarter 4
    1.01939
  • Inter Quartile Range
    0.01740
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.95944
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04008
  • Risk estimates for a one-period 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 observations
    9.00000
  • Minimum
    0.00312
  • Quartile 1
    0.01200
  • Median
    0.01712
  • Quartile 3
    0.03646
  • Maximum
    0.15955
  • Mean of quarter 1
    0.00735
  • Mean of quarter 2
    0.01494
  • Mean of quarter 3
    0.02983
  • Mean of quarter 4
    0.11507
  • Inter Quartile Range
    0.02446
  • 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
    0.11111
  • Mean of outliers high
    0.15955
  • 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 downs
    7.48147
  • Compounded annual return / Expected Shortfall lognormal
    33.78220

Strategy Description

Our approach is based upon 3 principles
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 non-correlated to most other programs.

Summary Statistics

Strategy began
2015-06-12
Suggested Minimum Capital
$100,000
# Trades
716
# Profitable
664
% Profitable
92.7%
Correlation S&P500
0.047
Sharpe Ratio
1.942

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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