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Zip4x
(83803243)

Created by: Enzo Enzo
Started: 10/2013
Forex
Last trade: 8 days ago

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 $595.00 per month.

143.7%
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.

(89.2%)
Max Drawdown
781
Num Trades
99.4%
Win Trades
99.2 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                               +3.2%+38.4%(20.1%)+14.2%
2014+65.0%+7.2%+26.1%(37.5%)+34.5%(82.5%)+323.8%+70.9%+66.9%+19.5%+30.6%(3.3%)+497.9%
2015+54.7%(32.4%)+28.7%(32.5%)+97.9%+32.5%+15.9%+9.3%+8.2%(1.9%)+5.9%(6%)+218.3%
2016+34.0%+11.3%+15.7%+5.5%+3.2%+15.6%(2.3%)(0.1%)(11%)(43.5%)+51.5%+2.9%+66.1%
2017(16.9%)(1.8%)+36.3%+32.9%+9.1%(10.5%)(16.4%)+53.2%(0.6%)(10%)+11.6%(1%)+82.5%
2018+11.6%+9.9%+10.4%(3.5%)+9.7%+3.9%+1.2%+6.9%+0.8%+1.1%(0.8%)+4.0%+69.2%
2019+6.8%(0.3%)+3.6%                                                      +10.3%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 2,482 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/13/19 23:01 NZD/USD NZD/USD SHORT 1,000 0.68499 3/14 0:03 0.68422 0.05%
Trade id #122903180
Max drawdown($2,800)
Time3/13/19 23:10
Quant open-1,000
Worst price0.68527
Drawdown as % of equity-0.05%
$7,300
Includes Typical Broker Commissions trade costs of $400.00
3/3/19 20:10 USD/CAD USD/CAD SHORT 1,300 1.33204 3/13 14:56 1.33089 2.54%
Trade id #122765363
Max drawdown($138,977)
Time3/7/19 15:54
Quant open-1,100
Worst price1.34674
Drawdown as % of equity-2.54%
$10,721
Includes Typical Broker Commissions trade costs of $520.00
2/25/19 20:36 NZD/JPY NZD/JPY SHORT 1,000 76.322 2/25 21:01 76.291 0.04%
Trade id #122677297
Max drawdown($2,437)
Time2/25/19 20:41
Quant open-1,000
Worst price76.349
Drawdown as % of equity-0.04%
$2,399
Includes Typical Broker Commissions trade costs of $400.00
2/20/19 23:02 USD/JPY USD/JPY SHORT 800 110.795 2/21 8:38 110.629 0.04%
Trade id #122612505
Max drawdown($2,530)
Time2/21/19 2:30
Quant open-800
Worst price110.830
Drawdown as % of equity-0.04%
$11,684
Includes Typical Broker Commissions trade costs of $320.00
2/10/19 20:09 USD/CAD USD/CAD SHORT 500 1.32786 2/12 8:19 1.32547 0.26%
Trade id #122447540
Max drawdown($15,242)
Time2/11/19 11:10
Quant open-500
Worst price1.33190
Drawdown as % of equity-0.26%
$8,817
Includes Typical Broker Commissions trade costs of $200.00
2/5/19 20:36 NZD/JPY NZD/JPY SHORT 1,000 75.656 2/5 22:06 75.502 0.23%
Trade id #122383003
Max drawdown($14,123)
Time2/5/19 21:04
Quant open-1,000
Worst price75.811
Drawdown as % of equity-0.23%
$13,632
Includes Typical Broker Commissions trade costs of $400.00
1/31/19 23:06 USD/CAD USD/CAD SHORT 3,500 1.31453 2/1 8:51 1.31116 0.54%
Trade id #122305732
Max drawdown($32,559)
Time2/1/19 2:30
Quant open-3,500
Worst price1.31575
Drawdown as % of equity-0.54%
$88,539
Includes Typical Broker Commissions trade costs of $1,400.00
1/30/19 19:19 USD/CAD USD/CAD SHORT 3,000 1.31367 1/31 17:01 1.31274 0.66%
Trade id #122281137
Max drawdown($39,614)
Time1/31/19 9:50
Quant open-2,000
Worst price1.31653
Drawdown as % of equity-0.66%
$20,055
Includes Typical Broker Commissions trade costs of $1,200.00
1/14/19 7:53 EUR/USD EUR/USD LONG 2,550 1.14753 1/30 14:45 1.14991 8.57%
Trade id #121946828
Max drawdown($472,718)
Time1/24/19 14:14
Quant open2,530
Worst price1.12893
Drawdown as % of equity-8.57%
$59,704
Includes Typical Broker Commissions trade costs of $1,020.00
1/23/19 21:10 USD/CAD USD/CAD SHORT 500 1.33413 1/24 22:15 1.33251 0.23%
Trade id #122145881
Max drawdown($12,684)
Time1/24/19 8:35
Quant open-500
Worst price1.33751
Drawdown as % of equity-0.23%
$5,880
Includes Typical Broker Commissions trade costs of $200.00
1/10/19 20:36 USD/JPY USD/JPY SHORT 800 108.354 1/13 20:56 108.175 0.3%
Trade id #121909163
Max drawdown($17,611)
Time1/11/19 9:25
Quant open-750
Worst price108.598
Drawdown as % of equity-0.30%
$12,900
Includes Typical Broker Commissions trade costs of $320.00
1/9/19 23:10 GBP/USD GBP/USD LONG 2,000 1.27906 1/11 6:51 1.28285 2.8%
Trade id #121888643
Max drawdown($162,000)
Time1/11/19 4:11
Quant open2,000
Worst price1.27096
Drawdown as % of equity-2.80%
$75,000
Includes Typical Broker Commissions trade costs of $800.00
10/15/18 17:39 EUR/USD EUR/USD LONG 2,250 1.14992 1/9/19 9:47 1.15190 9.98%
Trade id #120365730
Max drawdown($532,358)
Time11/12/18 16:55
Quant open1,560
Worst price1.12155
Drawdown as % of equity-9.98%
$43,627
Includes Typical Broker Commissions trade costs of $903.00
1/2/19 19:45 USD/CAD USD/CAD SHORT 500 1.36281 1/2 21:00 1.36235 0.04%
Trade id #121755900
Max drawdown($2,310)
Time1/2/19 20:25
Quant open-500
Worst price1.36344
Drawdown as % of equity-0.04%
$1,487
Includes Typical Broker Commissions trade costs of $200.00
12/30/18 18:08 USD/CAD USD/CAD SHORT 400 1.36290 12/31 7:55 1.36167 0.04%
Trade id #121714005
Max drawdown($2,261)
Time12/30/18 20:49
Quant open-400
Worst price1.36367
Drawdown as % of equity-0.04%
$3,452
Includes Typical Broker Commissions trade costs of $160.00
10/14/18 22:08 NZD/USD NZD/USD LONG 1,250 0.65064 10/15 6:54 0.65387 0.22%
Trade id #120342208
Max drawdown($12,900)
Time10/14/18 23:33
Quant open1,250
Worst price0.64961
Drawdown as % of equity-0.22%
$39,875
Includes Typical Broker Commissions trade costs of $500.00
10/11/18 14:03 GBP/USD GBP/USD LONG 750 1.32121 10/12 0:19 1.32323 0.03%
Trade id #120306507
Max drawdown($1,522)
Time10/11/18 14:05
Quant open750
Worst price1.32101
Drawdown as % of equity-0.03%
$14,828
Includes Typical Broker Commissions trade costs of $300.00
9/16/18 18:47 USD/JPY USD/JPY SHORT 2,120 112.549 10/10 19:59 112.096 7.08%
Trade id #119879670
Max drawdown($376,975)
Time10/3/18 19:23
Quant open-2,100
Worst price114.550
Drawdown as % of equity-7.08%
$84,752
Includes Typical Broker Commissions trade costs of $848.00
9/13/18 11:41 USD/JPY USD/JPY SHORT 750 111.937 9/14 7:04 111.822 0.17%
Trade id #119844875
Max drawdown($9,477)
Time9/13/18 20:11
Quant open-750
Worst price112.078
Drawdown as % of equity-0.17%
$7,390
Includes Typical Broker Commissions trade costs of $300.00
9/11/18 14:53 EUR/USD EUR/USD LONG 1,525 1.15905 9/13 9:23 1.16880 0.54%
Trade id #119809679
Max drawdown($29,500)
Time9/12/18 2:56
Quant open1,500
Worst price1.15701
Drawdown as % of equity-0.54%
$148,063
Includes Typical Broker Commissions trade costs of $610.00
9/13/18 2:09 AUD/USD AUD/USD LONG 500 0.71798 9/13 8:40 0.72197 0.03%
Trade id #119834996
Max drawdown($1,925)
Time9/13/18 6:04
Quant open500
Worst price0.71760
Drawdown as % of equity-0.03%
$19,725
Includes Typical Broker Commissions trade costs of $200.00
9/2/18 23:03 USD/CAD USD/CAD SHORT 1,200 1.30937 9/11 16:46 1.30544 1.86%
Trade id #119696694
Max drawdown($99,003)
Time9/6/18 11:23
Quant open-825
Worst price1.32264
Drawdown as % of equity-1.86%
$35,681
Includes Typical Broker Commissions trade costs of $480.00
8/22/18 9:06 USD/JPY USD/JPY SHORT 1,740 110.662 9/6 19:38 110.539 3.46%
Trade id #119546643
Max drawdown($183,021)
Time8/29/18 11:51
Quant open-1,700
Worst price111.828
Drawdown as % of equity-3.46%
$18,659
Includes Typical Broker Commissions trade costs of $697.00
8/23/18 9:46 EUR/USD EUR/USD LONG 750 1.15616 8/24 5:51 1.15691 0.44%
Trade id #119566050
Max drawdown($23,750)
Time8/23/18 15:04
Quant open750
Worst price1.15299
Drawdown as % of equity-0.44%
$5,327
Includes Typical Broker Commissions trade costs of $300.00
8/21/18 23:40 NZD/USD NZD/USD SHORT 1,000 0.67048 8/22 6:45 0.66955 0.01%
Trade id #119542986
Max drawdown($700)
Time8/22/18 1:01
Quant open-1,000
Worst price0.67055
Drawdown as % of equity-0.01%
$8,900
Includes Typical Broker Commissions trade costs of $400.00
8/21/18 15:50 USD/JPY USD/JPY LONG 1,000 110.416 8/21 23:34 110.443 0.65%
Trade id #119540595
Max drawdown($35,269)
Time8/21/18 20:28
Quant open1,000
Worst price110.027
Drawdown as % of equity-0.65%
$2,000
Includes Typical Broker Commissions trade costs of $400.00
8/21/18 8:18 EUR/USD EUR/USD LONG 1,250 1.14975 8/21 13:17 1.15605 0.13%
Trade id #119527159
Max drawdown($6,950)
Time8/21/18 8:32
Quant open1,250
Worst price1.14919
Drawdown as % of equity-0.13%
$78,275
Includes Typical Broker Commissions trade costs of $500.00
8/9/18 21:09 USD/CAD USD/CAD SHORT 1,800 1.30664 8/20 23:42 1.30286 2.81%
Trade id #119369838
Max drawdown($147,831)
Time8/15/18 11:05
Quant open-1,700
Worst price1.31746
Drawdown as % of equity-2.81%
$51,463
Includes Typical Broker Commissions trade costs of $720.00
8/8/18 18:41 AUD/JPY AUD/JPY SHORT 1,500 82.420 8/9 11:33 82.080 0.59%
Trade id #119350904
Max drawdown($30,607)
Time8/9/18 2:19
Quant open-1,500
Worst price82.646
Drawdown as % of equity-0.59%
$45,356
Includes Typical Broker Commissions trade costs of $600.00
8/8/18 9:58 USD/CAD USD/CAD SHORT 1,500 1.30695 8/8 18:35 1.30185 0.22%
Trade id #119338441
Max drawdown($11,234)
Time8/8/18 12:43
Quant open-1,500
Worst price1.30793
Drawdown as % of equity-0.22%
$58,224
Includes Typical Broker Commissions trade costs of $600.00

Statistics

  • Strategy began
    10/31/2013
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1968.89
  • Age
    66 months ago
  • What it trades
    Forex
  • # Trades
    781
  • # Profitable
    776
  • % Profitable
    99.40%
  • Avg trade duration
    3.8 days
  • Max peak-to-valley drawdown
    89.16%
  • drawdown period
    April 04, 2014 - July 05, 2014
  • Annual Return (Compounded)
    143.3%
  • Avg win
    $8,057
  • Avg loss
    $12,608
  • Model Account Values (Raw)
  • Cash
    $6,302,160
  • Margin Used
    $618,606
  • Buying Power
    $5,620,704
  • Ratios
  • W:L ratio
    99.18:1
  • Sharpe Ratio
    1.396
  • Sortino Ratio
    2.3
  • Calmar Ratio
    1.875
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00800
  • Return Statistics
  • Ann Return (w trading costs)
    143.3%
  • Ann Return (Compnd, No Fees)
    144.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    84.50%
  • Chance of 20% account loss
    75.00%
  • Chance of 30% account loss
    58.50%
  • Chance of 40% account loss
    55.50%
  • Chance of 50% account loss
    35.00%
  • Popularity
  • Popularity (Today)
    875
  • Popularity (Last 6 weeks)
    891
  • C2 Score
    35.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $12,608
  • Avg Win
    $8,057
  • # Winners
    776
  • # Losers
    5
  • % Winners
    99.4%
  • Frequency
  • Avg Position Time (mins)
    5463.58
  • Avg Position Time (hrs)
    91.06
  • Avg Trade Length
    3.8 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.92542
  • SD
    2.22791
  • Sharpe ratio (Glass type estimate)
    0.86422
  • Sharpe ratio (Hedges UMVUE)
    0.85338
  • df
    60.00000
  • t
    1.94850
  • p
    0.02802
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73599
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21854
  • Upside Potential Ratio
    5.55407
  • Upside part of mean
    2.53498
  • Downside part of mean
    -0.60956
  • Upside SD
    2.23223
  • Downside SD
    0.45642
  • N nonnegative terms
    43.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.07172
  • Mean of criterion
    1.92542
  • SD of predictor
    0.10327
  • SD of criterion
    2.22791
  • Covariance
    -0.00861
  • r
    -0.03741
  • b (slope, estimate of beta)
    -0.80714
  • a (intercept, estimate of alpha)
    1.98331
  • Mean Square Error
    5.04066
  • DF error
    59.00000
  • t(b)
    -0.28758
  • p(b)
    0.61266
  • t(a)
    1.95219
  • p(a)
    0.02783
  • Lowerbound of 95% confidence interval for beta
    -6.42331
  • Upperbound of 95% confidence interval for beta
    4.80904
  • Lowerbound of 95% confidence interval for alpha
    -0.04958
  • Upperbound of 95% confidence interval for alpha
    4.01619
  • Treynor index (mean / b)
    -2.38549
  • Jensen alpha (a)
    1.98331
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90938
  • SD
    1.20393
  • Sharpe ratio (Glass type estimate)
    0.75534
  • Sharpe ratio (Hedges UMVUE)
    0.74586
  • df
    60.00000
  • t
    1.70301
  • p
    0.04687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12741
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62535
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36433
  • Upside Potential Ratio
    2.53087
  • Upside part of mean
    1.68692
  • Downside part of mean
    -0.77754
  • Upside SD
    1.02485
  • Downside SD
    0.66654
  • N nonnegative terms
    43.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    61.00000
  • Mean of predictor
    0.06612
  • Mean of criterion
    0.90938
  • SD of predictor
    0.10342
  • SD of criterion
    1.20393
  • Covariance
    -0.01321
  • r
    -0.10608
  • b (slope, estimate of beta)
    -1.23487
  • a (intercept, estimate of alpha)
    0.99103
  • Mean Square Error
    1.45742
  • DF error
    59.00000
  • t(b)
    -0.81944
  • p(b)
    0.79208
  • t(a)
    1.81959
  • p(a)
    0.03695
  • Lowerbound of 95% confidence interval for beta
    -4.25031
  • Upperbound of 95% confidence interval for beta
    1.78057
  • Lowerbound of 95% confidence interval for alpha
    -0.09880
  • Upperbound of 95% confidence interval for alpha
    2.08085
  • Treynor index (mean / b)
    -0.73642
  • Jensen alpha (a)
    0.99103
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.39096
  • Expected Shortfall on VaR
    0.46914
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07811
  • Expected Shortfall on VaR
    0.18380
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    61.00000
  • Minimum
    0.29792
  • Quartile 1
    0.98307
  • Median
    1.06421
  • Quartile 3
    1.15365
  • Maximum
    5.63193
  • Mean of quarter 1
    0.81003
  • Mean of quarter 2
    1.02663
  • Mean of quarter 3
    1.09796
  • Mean of quarter 4
    1.74002
  • Inter Quartile Range
    0.17058
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04918
  • Mean of outliers low
    0.52373
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.13115
  • Mean of outliers high
    2.15461
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.62583
  • VaR(95%) (moments method)
    0.07639
  • Expected Shortfall (moments method)
    0.08977
  • Extreme Value Index (regression method)
    0.10714
  • VaR(95%) (regression method)
    0.19176
  • Expected Shortfall (regression method)
    0.32187
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00542
  • Quartile 1
    0.03014
  • Median
    0.11337
  • Quartile 3
    0.34764
  • Maximum
    0.81554
  • Mean of quarter 1
    0.01135
  • Mean of quarter 2
    0.07294
  • Mean of quarter 3
    0.16839
  • Mean of quarter 4
    0.57299
  • Inter Quartile Range
    0.31750
  • 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)
    -0.87895
  • VaR(95%) (moments method)
    0.68320
  • Expected Shortfall (moments method)
    0.73853
  • Extreme Value Index (regression method)
    0.64116
  • VaR(95%) (regression method)
    0.87716
  • Expected Shortfall (regression method)
    2.15917
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    22.87390
  • Compounded annual return (geometric extrapolation)
    1.55304
  • Calmar ratio (compounded annual return / max draw down)
    1.90430
  • Compounded annual return / average of 25% largest draw downs
    2.71039
  • Compounded annual return / Expected Shortfall lognormal
    3.31038
  • 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
    1.46889
  • SD
    1.05179
  • Sharpe ratio (Glass type estimate)
    1.39656
  • Sharpe ratio (Hedges UMVUE)
    1.39577
  • df
    1335.00000
  • t
    3.15364
  • p
    0.44532
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26534
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29971
  • Upside Potential Ratio
    8.36458
  • Upside part of mean
    5.34268
  • Downside part of mean
    -3.87380
  • Upside SD
    0.84006
  • Downside SD
    0.63873
  • N nonnegative terms
    709.00000
  • N negative terms
    627.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1336.00000
  • Mean of predictor
    0.07268
  • Mean of criterion
    1.46889
  • SD of predictor
    0.13469
  • SD of criterion
    1.05179
  • Covariance
    -0.00293
  • r
    -0.02066
  • b (slope, estimate of beta)
    -0.16135
  • a (intercept, estimate of alpha)
    1.48100
  • Mean Square Error
    1.10662
  • DF error
    1334.00000
  • t(b)
    -0.75480
  • p(b)
    0.51033
  • t(a)
    3.17653
  • p(a)
    0.45668
  • Lowerbound of 95% confidence interval for beta
    -0.58070
  • Upperbound of 95% confidence interval for beta
    0.25800
  • Lowerbound of 95% confidence interval for alpha
    0.56623
  • Upperbound of 95% confidence interval for alpha
    2.39500
  • Treynor index (mean / b)
    -9.10380
  • Jensen alpha (a)
    1.48061
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91580
  • SD
    1.05665
  • Sharpe ratio (Glass type estimate)
    0.86669
  • Sharpe ratio (Hedges UMVUE)
    0.86621
  • df
    1335.00000
  • t
    1.95713
  • p
    0.46597
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00237
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73478
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24008
  • Upside Potential Ratio
    6.81833
  • Upside part of mean
    5.03531
  • Downside part of mean
    -4.11952
  • Upside SD
    0.75730
  • Downside SD
    0.73850
  • N nonnegative terms
    709.00000
  • N negative terms
    627.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1336.00000
  • Mean of predictor
    0.06358
  • Mean of criterion
    0.91580
  • SD of predictor
    0.13487
  • SD of criterion
    1.05665
  • Covariance
    -0.00279
  • r
    -0.01960
  • b (slope, estimate of beta)
    -0.15357
  • a (intercept, estimate of alpha)
    0.92556
  • Mean Square Error
    1.11692
  • DF error
    1334.00000
  • t(b)
    -0.71607
  • p(b)
    0.50980
  • t(a)
    1.97679
  • p(a)
    0.47298
  • Lowerbound of 95% confidence interval for beta
    -0.57430
  • Upperbound of 95% confidence interval for beta
    0.26715
  • Lowerbound of 95% confidence interval for alpha
    0.00705
  • Upperbound of 95% confidence interval for alpha
    1.84407
  • Treynor index (mean / b)
    -5.96326
  • Jensen alpha (a)
    0.92556
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09867
  • Expected Shortfall on VaR
    0.12267
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03190
  • Expected Shortfall on VaR
    0.06963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1336.00000
  • Minimum
    0.48631
  • Quartile 1
    0.98604
  • Median
    1.00168
  • Quartile 3
    1.01877
  • Maximum
    1.57240
  • Mean of quarter 1
    0.94624
  • Mean of quarter 2
    0.99492
  • Mean of quarter 3
    1.00864
  • Mean of quarter 4
    1.07304
  • Inter Quartile Range
    0.03272
  • Number outliers low
    78.00000
  • Percentage of outliers low
    0.05838
  • Mean of outliers low
    0.87116
  • Number of outliers high
    110.00000
  • Percentage of outliers high
    0.08234
  • Mean of outliers high
    1.14938
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53992
  • VaR(95%) (moments method)
    0.05083
  • Expected Shortfall (moments method)
    0.12543
  • Extreme Value Index (regression method)
    0.40799
  • VaR(95%) (regression method)
    0.04943
  • Expected Shortfall (regression method)
    0.10022
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    92.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01131
  • Median
    0.03513
  • Quartile 3
    0.09639
  • Maximum
    0.83705
  • Mean of quarter 1
    0.00321
  • Mean of quarter 2
    0.01826
  • Mean of quarter 3
    0.06749
  • Mean of quarter 4
    0.27610
  • Inter Quartile Range
    0.08507
  • 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
    0.11957
  • Mean of outliers high
    0.42063
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28449
  • VaR(95%) (moments method)
    0.26665
  • Expected Shortfall (moments method)
    0.45393
  • Extreme Value Index (regression method)
    0.44997
  • VaR(95%) (regression method)
    0.24030
  • Expected Shortfall (regression method)
    0.46821
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    23.92460
  • Compounded annual return (geometric extrapolation)
    1.56948
  • Calmar ratio (compounded annual return / max draw down)
    1.87501
  • Compounded annual return / average of 25% largest draw downs
    5.68450
  • Compounded annual return / Expected Shortfall lognormal
    12.79470
  • 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
    0.18996
  • SD
    0.19420
  • Sharpe ratio (Glass type estimate)
    0.97818
  • Sharpe ratio (Hedges UMVUE)
    0.97252
  • df
    130.00000
  • t
    0.69168
  • p
    0.46972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79799
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75072
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74685
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43156
  • Upside Potential Ratio
    10.16370
  • Upside part of mean
    1.34865
  • Downside part of mean
    -1.15869
  • Upside SD
    0.14126
  • Downside SD
    0.13269
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08173
  • Mean of criterion
    0.18996
  • SD of predictor
    0.19473
  • SD of criterion
    0.19420
  • Covariance
    0.00234
  • r
    0.06188
  • b (slope, estimate of beta)
    0.06171
  • a (intercept, estimate of alpha)
    0.19500
  • Mean Square Error
    0.03786
  • DF error
    129.00000
  • t(b)
    0.70417
  • p(b)
    0.46063
  • t(a)
    0.70842
  • p(a)
    0.46039
  • Lowerbound of 95% confidence interval for beta
    -0.11167
  • Upperbound of 95% confidence interval for beta
    0.23509
  • Lowerbound of 95% confidence interval for alpha
    -0.34961
  • Upperbound of 95% confidence interval for alpha
    0.73961
  • Treynor index (mean / b)
    3.07833
  • Jensen alpha (a)
    0.19500
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17116
  • SD
    0.19424
  • Sharpe ratio (Glass type estimate)
    0.88119
  • Sharpe ratio (Hedges UMVUE)
    0.87610
  • df
    130.00000
  • t
    0.62310
  • p
    0.47272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89425
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64995
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27760
  • Upside Potential Ratio
    9.99204
  • Upside part of mean
    1.33864
  • Downside part of mean
    -1.16748
  • Upside SD
    0.14001
  • Downside SD
    0.13397
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10055
  • Mean of criterion
    0.17116
  • SD of predictor
    0.19473
  • SD of criterion
    0.19424
  • Covariance
    0.00239
  • r
    0.06307
  • b (slope, estimate of beta)
    0.06291
  • a (intercept, estimate of alpha)
    0.17749
  • Mean Square Error
    0.03787
  • DF error
    129.00000
  • t(b)
    0.71776
  • p(b)
    0.45987
  • t(a)
    0.64459
  • p(a)
    0.46395
  • Lowerbound of 95% confidence interval for beta
    -0.11050
  • Upperbound of 95% confidence interval for beta
    0.23632
  • Lowerbound of 95% confidence interval for alpha
    -0.36730
  • Upperbound of 95% confidence interval for alpha
    0.72227
  • Treynor index (mean / b)
    2.72074
  • Jensen alpha (a)
    0.17749
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01890
  • Expected Shortfall on VaR
    0.02380
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01004
  • Expected Shortfall on VaR
    0.01866
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96849
  • Quartile 1
    0.99282
  • Median
    1.00089
  • Quartile 3
    1.00898
  • Maximum
    1.02492
  • Mean of quarter 1
    0.98530
  • Mean of quarter 2
    0.99741
  • Mean of quarter 3
    1.00482
  • Mean of quarter 4
    1.01592
  • Inter Quartile Range
    0.01616
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.96849
  • 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)
    -0.49714
  • VaR(95%) (moments method)
    0.01511
  • Expected Shortfall (moments method)
    0.01725
  • Extreme Value Index (regression method)
    -0.24667
  • VaR(95%) (regression method)
    0.01486
  • Expected Shortfall (regression method)
    0.01791
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00401
  • Quartile 1
    0.01747
  • Median
    0.05634
  • Quartile 3
    0.07708
  • Maximum
    0.09084
  • Mean of quarter 1
    0.00540
  • Mean of quarter 2
    0.04946
  • Mean of quarter 3
    0.06323
  • Mean of quarter 4
    0.08627
  • Inter Quartile Range
    0.05961
  • 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)
    0.20931
  • Compounded annual return (geometric extrapolation)
    0.22026
  • Calmar ratio (compounded annual return / max draw down)
    2.42471
  • Compounded annual return / average of 25% largest draw downs
    2.55326
  • Compounded annual return / Expected Shortfall lognormal
    9.25419

Strategy Description

Zip4x is a live trading account of an experienced Forex trading team, led by Enzo Stipoli. The team uses fundamental, proprietary technical analysis, and unique capital management techniques to form the strategy. The trading system is implemented in a semi-automated manner by the team so that we have a final decision for each trade opened. The system is constantly monitored, adjusted and optimized. Trading size might vary according to market conditions.

Summary Statistics

Strategy began
2013-10-31
Suggested Minimum Capital
$100,000
# Trades
781
# Profitable
776
% Profitable
99.4%
Correlation S&P500
-0.008
Sharpe Ratio
1.396

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.

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