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Featured Strategy Easiest Followed by live capital $451,000 Hypothetical

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Edge Master
(127787381)

Created by: Edge-Master Edge-Master
Started: 02/2020
Forex
Last trade: 1,508 days ago
Trading style: Futures Short Term Currencies

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
-0.2%
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.

(1.3%)
Max Drawdown
32
Num Trades
56.2%
Win Trades
0.8 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       (0.6%)(0.3%)  -    -    -    -    -    -    -    -    -  (1%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 24 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/9/20 8:46 USD/CAD USD/CAD LONG 9 1.36332 3/9 9:46 1.36197 0.22%
Trade id #127915870
Max drawdown($55)
Time3/9/20 9:22
Quant open3
Worst price1.36078
Drawdown as % of equity-0.22%
 ($89)
3/6/20 8:36 AUD/USD AUD/USD LONG 7 0.66274 3/6 12:45 0.66301 0.06%
Trade id #127886531
Max drawdown($14)
Time3/6/20 8:37
Quant open5
Worst price0.66245
Drawdown as % of equity-0.06%
 $19
3/6/20 8:56 NZD/USD NZD/USD LONG 4 0.63532 3/6 10:27 0.63567 0.04%
Trade id #127886855
Max drawdown($9)
Time3/6/20 9:01
Quant open3
Worst price0.63501
Drawdown as % of equity-0.04%
 $14
3/6/20 8:50 EUR/USD EUR/USD LONG 1 1.13131 3/6 8:53 1.13213 0.02%
Trade id #127886706
Max drawdown($4)
Time3/6/20 8:51
Quant open1
Worst price1.13089
Drawdown as % of equity-0.02%
 $8
3/5/20 10:49 EUR/AUD EUR/AUD LONG 7 1.69406 3/5 16:51 1.69556 0.18%
Trade id #127870093
Max drawdown($43)
Time3/5/20 10:56
Quant open6
Worst price1.69293
Drawdown as % of equity-0.18%
 $69
3/5/20 11:10 AUD/USD AUD/USD SHORT 4 0.66052 3/5 15:50 0.65992 0.03%
Trade id #127870701
Max drawdown($7)
Time3/5/20 11:15
Quant open3
Worst price0.66076
Drawdown as % of equity-0.03%
 $24
3/5/20 10:00 AUD/USD AUD/USD SHORT 6 0.66006 3/5 10:51 0.66001 0.04%
Trade id #127868620
Max drawdown($10)
Time3/5/20 10:02
Quant open4
Worst price0.66031
Drawdown as % of equity-0.04%
 $3
3/5/20 9:51 NZD/USD NZD/USD SHORT 20 0.63007 3/5 10:44 0.62972 0.3%
Trade id #127868423
Max drawdown($74)
Time3/5/20 10:03
Quant open18
Worst price0.63050
Drawdown as % of equity-0.30%
 $71
3/5/20 10:34 EUR/USD EUR/USD LONG 3 1.11732 3/5 10:43 1.11732 0.04%
Trade id #127869624
Max drawdown($9)
Time3/5/20 10:43
Quant open3
Worst price1.11702
Drawdown as % of equity-0.04%
 $0
3/5/20 9:54 EUR/USD EUR/USD LONG 7 1.11891 3/5 10:09 1.11913 0.08%
Trade id #127868486
Max drawdown($18)
Time3/5/20 9:56
Quant open5
Worst price1.11854
Drawdown as % of equity-0.08%
 $16
3/5/20 9:18 USD/CAD USD/CAD LONG 12 1.34146 3/5 9:56 1.34157 0.16%
Trade id #127866911
Max drawdown($39)
Time3/5/20 9:29
Quant open12
Worst price1.34101
Drawdown as % of equity-0.16%
 $10
3/4/20 12:53 EUR/USD EUR/USD SHORT 1 1.11191 3/5 4:45 1.11702 0.2%
Trade id #127853082
Max drawdown($48)
Time3/5/20 4:45
Quant open1
Worst price1.11676
Drawdown as % of equity-0.20%
 ($51)
3/4/20 20:40 GBP/USD GBP/USD SHORT 11 1.28642 3/4 21:44 1.28693 0.17%
Trade id #127860178
Max drawdown($42)
Time3/4/20 21:44
Quant open11
Worst price1.28681
Drawdown as % of equity-0.17%
 ($56)
3/4/20 18:25 AUD/JPY AUD/JPY LONG 4 71.237 3/4 19:21 71.268 0.04%
Trade id #127859145
Max drawdown($9)
Time3/4/20 18:26
Quant open3
Worst price71.202
Drawdown as % of equity-0.04%
 $12
3/4/20 11:39 AUD/JPY AUD/JPY SHORT 3 70.979 3/4 12:17 70.947 0.02%
Trade id #127850667
Max drawdown($4)
Time3/4/20 11:40
Quant open2
Worst price71.005
Drawdown as % of equity-0.02%
 $9
3/4/20 10:51 GBP/USD GBP/USD LONG 1 1.28186 3/4 11:37 1.28188 0.08%
Trade id #127848898
Max drawdown($18)
Time3/4/20 11:22
Quant open1
Worst price1.27997
Drawdown as % of equity-0.08%
 $0
3/4/20 10:33 USD/JPY USD/JPY SHORT 4 107.344 3/4 11:10 107.318 0.04%
Trade id #127848243
Max drawdown($10)
Time3/4/20 10:34
Quant open3
Worst price107.381
Drawdown as % of equity-0.04%
 $10
3/4/20 10:37 GBP/JPY GBP/JPY SHORT 3 137.473 3/4 10:50 137.461 0.05%
Trade id #127848379
Max drawdown($11)
Time3/4/20 10:38
Quant open2
Worst price137.534
Drawdown as % of equity-0.05%
 $3
3/3/20 16:06 EUR/AUD EUR/AUD LONG 1 1.69480 3/3 16:41 1.69577 0.01%
Trade id #127834986
Max drawdown($2)
Time3/3/20 16:08
Quant open1
Worst price1.69443
Drawdown as % of equity-0.01%
 $6
3/3/20 15:50 AUD/JPY AUD/JPY SHORT 1 70.691 3/3 16:41 70.600 0.03%
Trade id #127834389
Max drawdown($7)
Time3/3/20 15:56
Quant open1
Worst price70.767
Drawdown as % of equity-0.03%
 $8
3/3/20 9:00 USD/JPY USD/JPY SHORT 3 107.719 3/3 14:32 107.399 0.14%
Trade id #127823224
Max drawdown($34)
Time3/3/20 10:03
Quant open2
Worst price107.902
Drawdown as % of equity-0.14%
 $90
3/3/20 9:27 USD/CAD USD/CAD LONG 2 1.33746 3/3 10:00 1.33454 0.08%
Trade id #127823580
Max drawdown($19)
Time3/3/20 10:00
Quant open2
Worst price1.33614
Drawdown as % of equity-0.08%
 ($44)
3/3/20 8:22 EUR/USD EUR/USD SHORT 1 1.11004 3/3 10:00 1.11364 0.12%
Trade id #127822770
Max drawdown($28)
Time3/3/20 9:44
Quant open1
Worst price1.11289
Drawdown as % of equity-0.12%
 ($36)
3/2/20 18:39 EUR/USD EUR/USD LONG 2 1.11477 3/2 20:15 1.11210 0.19%
Trade id #127814046
Max drawdown($46)
Time3/2/20 20:15
Quant open2
Worst price1.11246
Drawdown as % of equity-0.19%
 ($53)
3/2/20 14:35 GBP/USD GBP/USD SHORT 3 1.27760 3/2 18:42 1.27705 0.04%
Trade id #127810325
Max drawdown($8)
Time3/2/20 14:56
Quant open3
Worst price1.27789
Drawdown as % of equity-0.04%
 $17
3/2/20 16:14 USD/JPY USD/JPY SHORT 2 108.343 3/2 16:30 108.337 0.01%
Trade id #127812463
Max drawdown($3)
Time3/2/20 16:15
Quant open2
Worst price108.361
Drawdown as % of equity-0.01%
 $1
3/2/20 9:47 AUD/JPY AUD/JPY SHORT 2 70.345 3/2 15:47 70.638 0.21%
Trade id #127803202
Max drawdown($51)
Time3/2/20 11:18
Quant open2
Worst price70.624
Drawdown as % of equity-0.21%
 ($54)
3/2/20 8:20 USD/CAD USD/CAD LONG 3 1.33691 3/2 9:51 1.33689 0.05%
Trade id #127801277
Max drawdown($13)
Time3/2/20 8:42
Quant open3
Worst price1.33632
Drawdown as % of equity-0.05%
 $0
3/2/20 8:20 USD/JPY USD/JPY SHORT 3 107.673 3/2 9:30 107.844 0.15%
Trade id #127801273
Max drawdown($37)
Time3/2/20 9:27
Quant open3
Worst price107.807
Drawdown as % of equity-0.15%
 ($48)
3/2/20 8:23 AUD/JPY AUD/JPY SHORT 2 70.387 3/2 9:30 70.611 0.14%
Trade id #127801332
Max drawdown($34)
Time3/2/20 9:21
Quant open2
Worst price70.572
Drawdown as % of equity-0.14%
 ($42)
Next

Statistics

  • Strategy began
    2/29/2020
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    1515.81
  • Age
    51 months ago
  • What it trades
    Forex
  • # Trades
    32
  • # Profitable
    18
  • % Profitable
    56.20%
  • Avg trade duration
    2.1 hours
  • Max peak-to-valley drawdown
    1.28%
  • drawdown period
    March 01, 2020 - March 05, 2020
  • Annual Return (Compounded)
    -0.2%
  • Avg win
    $21.67
  • Avg loss
    $33.79
  • Model Account Values (Raw)
  • Cash
    $24,915
  • Margin Used
    $0
  • Buying Power
    $24,915
  • Ratios
  • W:L ratio
    0.82:1
  • Sharpe Ratio
    -4.16
  • Sortino Ratio
    -5.24
  • Calmar Ratio
    -0.123
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -72.17%
  • Correlation to SP500
    -0.01620
  • Return Percent SP500 (cumu) during strategy life
    71.67%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.002%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.1%
  • Automation
  • Percentage Signals Automated
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $34
  • Avg Win
    $22
  • Sum Trade PL (losers)
    $473.000
  • Age
  • Num Months filled monthly returns table
    51
  • Win / Loss
  • Sum Trade PL (winners)
    $390.000
  • # Winners
    18
  • Num Months Winners
    0
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    14
  • % Winners
    56.2%
  • Frequency
  • Avg Position Time (mins)
    124.45
  • Avg Position Time (hrs)
    2.07
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1507
  • Leverage
  • Daily leverage (average)
    3.63
  • Daily leverage (max)
    7.96
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    18.55
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.63
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -8.167
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.804
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.770
  • Hold-and-Hope Ratio
    -0.113
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02854
  • SD
    0.00072
  • Sharpe ratio (Glass type estimate)
    -39.73220
  • Sharpe ratio (Hedges UMVUE)
    -37.83520
  • df
    16.00000
  • t
    -47.29080
  • p
    0.99822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -51.04720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -24.62320
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.45178
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02854
  • Upside SD
    0.00000
  • Downside SD
    0.00827
  • N nonnegative terms
    0.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.38784
  • Mean of criterion
    -0.02854
  • SD of predictor
    0.38522
  • SD of criterion
    0.00072
  • Covariance
    0.00015
  • r
    0.54501
  • b (slope, estimate of beta)
    0.00102
  • a (intercept, estimate of alpha)
    -0.02894
  • Mean Square Error
    0.00000
  • DF error
    15.00000
  • t(b)
    2.51759
  • p(b)
    0.17107
  • t(a)
    -53.03840
  • p(a)
    0.99992
  • Lowerbound of 95% confidence interval for beta
    0.00016
  • Upperbound of 95% confidence interval for beta
    0.00188
  • Lowerbound of 95% confidence interval for alpha
    -0.03010
  • Upperbound of 95% confidence interval for alpha
    -0.02777
  • Treynor index (mean / b)
    -28.08350
  • Jensen alpha (a)
    -0.02894
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02851
  • SD
    0.00072
  • Sharpe ratio (Glass type estimate)
    -39.67040
  • Sharpe ratio (Hedges UMVUE)
    -37.77630
  • df
    16.00000
  • t
    -47.21720
  • p
    0.99821
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -50.96810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -24.58460
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.45174
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02851
  • Upside SD
    0.00000
  • Downside SD
    0.00826
  • N nonnegative terms
    0.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.31594
  • Mean of criterion
    -0.02851
  • SD of predictor
    0.37158
  • SD of criterion
    0.00072
  • Covariance
    0.00016
  • r
    0.60655
  • b (slope, estimate of beta)
    0.00117
  • a (intercept, estimate of alpha)
    -0.02888
  • Mean Square Error
    0.00000
  • DF error
    15.00000
  • t(b)
    2.95472
  • p(b)
    0.13906
  • t(a)
    -56.47150
  • p(a)
    0.99993
  • Lowerbound of 95% confidence interval for beta
    0.00033
  • Upperbound of 95% confidence interval for beta
    0.00202
  • Lowerbound of 95% confidence interval for alpha
    -0.02997
  • Upperbound of 95% confidence interval for alpha
    -0.02779
  • Treynor index (mean / b)
    -24.30300
  • Jensen alpha (a)
    -0.02888
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00271
  • Expected Shortfall on VaR
    0.00280
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00241
  • Expected Shortfall on VaR
    0.00241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.99914
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.99983
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.99914
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00086
  • Quartile 1
    0.00086
  • Median
    0.00086
  • Quartile 3
    0.00086
  • Maximum
    0.00086
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00060
  • Compounded annual return (geometric extrapolation)
    -0.00060
  • Calmar ratio (compounded annual return / max draw down)
    -0.70597
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.21559
  • 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
    -0.02848
  • SD
    0.00644
  • Sharpe ratio (Glass type estimate)
    -4.42477
  • Sharpe ratio (Hedges UMVUE)
    -4.41596
  • df
    377.00000
  • t
    -5.31479
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.08399
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -2.75993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.07787
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75405
  • Statistics related to Sortino ratio
  • Sortino ratio
    -5.74929
  • Upside Potential Ratio
    0.98574
  • Upside part of mean
    0.00488
  • Downside part of mean
    -0.03336
  • Upside SD
    0.00446
  • Downside SD
    0.00495
  • N nonnegative terms
    3.00000
  • N negative terms
    375.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    378.00000
  • Mean of predictor
    0.37785
  • Mean of criterion
    -0.02848
  • SD of predictor
    0.35677
  • SD of criterion
    0.00644
  • Covariance
    0.00004
  • r
    0.01613
  • b (slope, estimate of beta)
    0.00029
  • a (intercept, estimate of alpha)
    -0.02900
  • Mean Square Error
    0.00004
  • DF error
    376.00000
  • t(b)
    0.31277
  • p(b)
    0.37732
  • t(a)
    -5.31752
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00154
  • Upperbound of 95% confidence interval for beta
    0.00212
  • Lowerbound of 95% confidence interval for alpha
    -0.03916
  • Upperbound of 95% confidence interval for alpha
    -0.01802
  • Treynor index (mean / b)
    -97.88370
  • Jensen alpha (a)
    -0.02859
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02850
  • SD
    0.00644
  • Sharpe ratio (Glass type estimate)
    -4.42869
  • Sharpe ratio (Hedges UMVUE)
    -4.41987
  • df
    377.00000
  • t
    -5.31949
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.08796
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -2.76379
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.08184
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75791
  • Statistics related to Sortino ratio
  • Sortino ratio
    -5.74288
  • Upside Potential Ratio
    0.98188
  • Upside part of mean
    0.00487
  • Downside part of mean
    -0.03337
  • Upside SD
    0.00445
  • Downside SD
    0.00496
  • N nonnegative terms
    3.00000
  • N negative terms
    375.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    378.00000
  • Mean of predictor
    0.31358
  • Mean of criterion
    -0.02850
  • SD of predictor
    0.35919
  • SD of criterion
    0.00644
  • Covariance
    0.00004
  • r
    0.01784
  • b (slope, estimate of beta)
    0.00032
  • a (intercept, estimate of alpha)
    -0.02860
  • Mean Square Error
    0.00004
  • DF error
    376.00000
  • t(b)
    0.34591
  • p(b)
    0.36480
  • t(a)
    -5.32420
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00150
  • Upperbound of 95% confidence interval for beta
    0.00214
  • Lowerbound of 95% confidence interval for alpha
    -0.03916
  • Upperbound of 95% confidence interval for alpha
    -0.01804
  • Treynor index (mean / b)
    -89.18750
  • Jensen alpha (a)
    -0.02860
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00076
  • Expected Shortfall on VaR
    0.00093
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00044
  • Expected Shortfall on VaR
    0.00085
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    378.00000
  • Minimum
    0.99519
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00528
  • Mean of quarter 1
    0.99991
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00008
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.00794
  • Mean of outliers low
    0.99727
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.00794
  • Mean of outliers high
    1.00245
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.21085
  • VaR(95%) (regression method)
    -0.00582
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00338
  • Quartile 1
    0.00374
  • Median
    0.00409
  • Quartile 3
    0.00445
  • Maximum
    0.00481
  • Mean of quarter 1
    0.00338
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00481
  • Inter Quartile Range
    0.00071
  • 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)
    -0.00059
  • Compounded annual return (geometric extrapolation)
    -0.00059
  • Calmar ratio (compounded annual return / max draw down)
    -0.12329
  • Compounded annual return / average of 25% largest draw downs
    -0.12329
  • Compounded annual return / Expected Shortfall lognormal
    -0.63843
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43591
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.31893
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38430
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.32277
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6847970000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    359879000000000008456754769690624.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -416331000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trades up to a maximum of 6 pairs but not at the same time: EURUSD, USDJPY, GBPUSD, AUDUSD, USDCAD and EURJPY.

Return-to-risk ratio per trade if take-profit or loss is triggered is either ~0.6:1 or ~1.66:1 depending on the setup.

This trading methodology uses position sizing management to account for changing volatility. At present, max loss is contained to ~0.25% of the account balance.

The number of trades per day is limited to 1. The earliest possible trade is 1 hour 15 minutes after the rollover (end of New York session) to allow the spreads to return to their average. If either take-profit or loss exit has not triggered yet, any remaining trades close at exactly 30 minutes before the end of the New York session to avoid widening spreads and swap/rollover charges. Naturally, no trades are held over the weekend.

Each trade utilizes an emergency SL in case there is an issue with the signal transmission or a local power outage.

There will be stretches of days, even weeks, during which there is no trading activity. It is because it has been determined the market has switched to a state in which the probability of generating net profit is not skewed to our advantage.

This system does not engage in risky strategies such as martingale, averaging and pyramiding of any sort.

To minimize latency, the signals are originated in a MT4 account on a VPS located in New York.

Summary Statistics

Strategy began
2020-02-29
Suggested Minimum Capital
$20,000
# Trades
32
# Profitable
18
% Profitable
56.2%
Correlation S&P500
-0.016
Sharpe Ratio
-4.16
Sortino Ratio
-5.24
Beta
-0.00
Alpha
-0.01
Leverage
3.63 Average
7.96 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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.