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COREX
(113004400)

Created by: corridorinvest_com corridorinvest_com
Started: 08/2017
Forex
Last trade: 7 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. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

23.1%
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.

(11.3%)
Max Drawdown
576
Num Trades
62.7%
Win Trades
1.2 : 1
Profit Factor
63.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +4.7%+9.0%+10.7%+3.0%(3.1%)+26.1%
2018+6.2%(3.6%)+9.7%+1.0%(0.3%)+2.8%+5.2%(4.3%)+5.3%+3.7%+2.9%+1.4%+33.4%
2019(0.6%)+0.3%+2.5%(0.2%)(5%)+1.7%(5.4%)+4.0%(0.6%)(2%)            (5.7%)

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 1,044 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/19 10:22 GBP/USD GBP/USD SHORT 10 1.26439 10/14 10:34 1.26125 0.06%
Trade id #125765431
Max drawdown($46)
Time10/14/19 10:23
Quant open10
Worst price1.26486
Drawdown as % of equity-0.06%
$315
10/14/19 1:36 GBP/USD GBP/USD SHORT 10 1.26047 10/14 3:24 1.25741 0.03%
Trade id #125760202
Max drawdown($22)
Time10/14/19 1:42
Quant open10
Worst price1.26069
Drawdown as % of equity-0.03%
$306
10/11/19 8:10 GBP/USD GBP/USD SHORT 10 1.26190 10/11 8:12 1.26173 0.03%
Trade id #125738123
Max drawdown($20)
Time10/11/19 8:11
Quant open10
Worst price1.26210
Drawdown as % of equity-0.03%
$16
10/11/19 7:56 GBP/USD GBP/USD SHORT 10 1.26412 10/11 8:10 1.26202 0.12%
Trade id #125737980
Max drawdown($99)
Time10/11/19 7:58
Quant open10
Worst price1.26512
Drawdown as % of equity-0.12%
$210
10/10/19 12:26 GBP/USD GBP/USD LONG 10 1.23997 10/11 2:04 1.24611 0.24%
Trade id #125724693
Max drawdown($187)
Time10/10/19 12:44
Quant open10
Worst price1.23810
Drawdown as % of equity-0.24%
$614
10/10/19 10:58 GBP/USD GBP/USD SHORT 10 1.22819 10/10 12:26 1.23997 1.45%
Trade id #125721516
Max drawdown($1,165)
Time10/10/19 12:26
Quant open10
Worst price1.23985
Drawdown as % of equity-1.45%
($1,177)
10/9/19 13:00 USD/JPY USD/JPY LONG 10 107.630 10/10 10:24 107.858 0.7%
Trade id #125702784
Max drawdown($554)
Time10/9/19 19:00
Quant open10
Worst price107.034
Drawdown as % of equity-0.70%
$211
10/7/19 3:07 EUR/USD EUR/USD LONG 10 1.09829 10/10 5:25 1.10185 0.53%
Trade id #125653628
Max drawdown($419)
Time10/8/19 0:00
Quant open10
Worst price1.09409
Drawdown as % of equity-0.53%
$357
10/7/19 3:08 USD/JPY USD/JPY SHORT 10 106.811 10/9 13:00 107.629 0.9%
Trade id #125653637
Max drawdown($719)
Time10/9/19 12:59
Quant open10
Worst price107.584
Drawdown as % of equity-0.90%
($761)
10/9/19 4:32 GBP/USD GBP/USD SHORT 10 1.22651 10/9 5:31 1.22347 0.1%
Trade id #125692594
Max drawdown($77)
Time10/9/19 4:33
Quant open10
Worst price1.22729
Drawdown as % of equity-0.10%
$304
10/7/19 3:08 GBP/USD GBP/USD SHORT 10 1.23100 10/8 8:12 1.22294 0.3%
Trade id #125653644
Max drawdown($236)
Time10/7/19 7:02
Quant open10
Worst price1.23336
Drawdown as % of equity-0.30%
$806
10/4/19 7:03 GBP/USD GBP/USD SHORT 10 1.23160 10/4 15:54 1.23349 0.42%
Trade id #125627959
Max drawdown($333)
Time10/4/19 7:34
Quant open10
Worst price1.23494
Drawdown as % of equity-0.42%
($189)
10/4/19 3:08 EUR/USD EUR/USD LONG 10 1.09722 10/4 15:54 1.09796 0.19%
Trade id #125626276
Max drawdown($151)
Time10/4/19 8:38
Quant open10
Worst price1.09571
Drawdown as % of equity-0.19%
$74
10/3/19 10:00 USD/JPY USD/JPY SHORT 10 106.735 10/4 15:54 106.868 0.46%
Trade id #125611716
Max drawdown($372)
Time10/4/19 0:00
Quant open10
Worst price107.133
Drawdown as % of equity-0.46%
($125)
10/3/19 10:04 GBP/USD GBP/USD LONG 10 1.24040 10/4 7:03 1.23166 1.02%
Trade id #125612092
Max drawdown($817)
Time10/4/19 7:03
Quant open10
Worst price1.23223
Drawdown as % of equity-1.02%
($874)
10/3/19 8:59 GBP/USD GBP/USD SHORT 10 1.23751 10/3 10:04 1.24033 0.28%
Trade id #125609840
Max drawdown($229)
Time10/3/19 10:03
Quant open10
Worst price1.23981
Drawdown as % of equity-0.28%
($282)
10/2/19 6:41 USD/JPY USD/JPY LONG 10 107.626 10/3 10:00 106.743 1.31%
Trade id #125587779
Max drawdown($1,069)
Time10/3/19 0:00
Quant open10
Worst price106.483
Drawdown as % of equity-1.31%
($828)
10/1/19 12:55 EUR/USD EUR/USD LONG 10 1.09383 10/1 23:52 1.09366 0.16%
Trade id #125576173
Max drawdown($131)
Time10/1/19 13:42
Quant open10
Worst price1.09251
Drawdown as % of equity-0.16%
($17)
10/1/19 12:50 GBP/USD GBP/USD SHORT 10 1.23155 10/1 23:52 1.22877 0.18%
Trade id #125576070
Max drawdown($144)
Time10/1/19 13:12
Quant open10
Worst price1.23299
Drawdown as % of equity-0.18%
$278
10/1/19 12:49 USD/JPY USD/JPY LONG 10 107.743 10/1 23:52 107.873 0.12%
Trade id #125576003
Max drawdown($96)
Time10/1/19 13:09
Quant open10
Worst price107.639
Drawdown as % of equity-0.12%
$120
10/1/19 12:41 USD/JPY USD/JPY LONG 10 107.751 10/1 12:43 107.738 0.03%
Trade id #125574708
Max drawdown($22)
Time10/1/19 12:43
Quant open10
Worst price107.727
Drawdown as % of equity-0.03%
($12)
10/1/19 10:15 USD/JPY USD/JPY LONG 10 107.895 10/1 11:42 107.712 0.28%
Trade id #125569933
Max drawdown($227)
Time10/1/19 11:35
Quant open10
Worst price107.650
Drawdown as % of equity-0.28%
($170)
10/1/19 11:41 EUR/USD EUR/USD SHORT 10 1.09321 10/1 11:42 1.09323 0.02%
Trade id #125572515
Max drawdown($18)
Time10/1/19 11:42
Quant open10
Worst price1.09340
Drawdown as % of equity-0.02%
($2)
9/30/19 0:43 EUR/USD EUR/USD LONG 10 1.09362 10/1 11:41 1.09321 0.71%
Trade id #125550616
Max drawdown($571)
Time10/1/19 0:00
Quant open10
Worst price1.08791
Drawdown as % of equity-0.71%
($41)
9/30/19 0:43 GBP/USD GBP/USD SHORT 10 1.22909 10/1 5:08 1.22735 0.69%
Trade id #125550626
Max drawdown($554)
Time9/30/19 10:54
Quant open10
Worst price1.23463
Drawdown as % of equity-0.69%
$174
9/30/19 0:43 USD/JPY USD/JPY LONG 10 107.898 10/1 3:40 108.392 0.18%
Trade id #125550623
Max drawdown($142)
Time9/30/19 3:19
Quant open10
Worst price107.744
Drawdown as % of equity-0.18%
$456
9/25/19 5:15 GBP/USD GBP/USD LONG 10 1.24292 9/27 9:28 1.23174 1.96%
Trade id #125496148
Max drawdown($1,583)
Time9/27/19 3:36
Quant open10
Worst price1.22708
Drawdown as % of equity-1.96%
($1,118)
9/25/19 14:11 EUR/USD EUR/USD LONG 10 1.09450 9/27 9:28 1.09309 0.47%
Trade id #125506597
Max drawdown($383)
Time9/27/19 2:22
Quant open10
Worst price1.09067
Drawdown as % of equity-0.47%
($141)
9/26/19 11:01 USD/JPY USD/JPY LONG 10 107.659 9/26 13:00 107.792 0.07%
Trade id #125519081
Max drawdown($60)
Time9/26/19 11:04
Quant open10
Worst price107.594
Drawdown as % of equity-0.07%
$123
9/25/19 3:06 USD/JPY USD/JPY LONG 10 107.369 9/25 9:19 107.504 0.14%
Trade id #125495277
Max drawdown($113)
Time9/25/19 5:29
Quant open10
Worst price107.247
Drawdown as % of equity-0.14%
$126

Statistics

  • Strategy began
    8/6/2017
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    806.48
  • Age
    27 months ago
  • What it trades
    Forex
  • # Trades
    576
  • # Profitable
    361
  • % Profitable
    62.70%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    11.28%
  • drawdown period
    March 26, 2019 - Aug 01, 2019
  • Annual Return (Compounded)
    23.2%
  • Avg win
    $421.22
  • Avg loss
    $570.66
  • Model Account Values (Raw)
  • Cash
    $79,425
  • Margin Used
    $10,234
  • Buying Power
    $69,158
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    1.44
  • Sortino Ratio
    2.27
  • Calmar Ratio
    2.248
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    37.46%
  • Correlation to SP500
    0.00070
  • Return Percent SP500 (cumu) during strategy life
    21.30%
  • Return Statistics
  • Ann Return (w trading costs)
    23.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.12%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.26%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.232%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    5296.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    887
  • Popularity (Last 6 weeks)
    955
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    911
  • Popularity (7 days, Percentile 1000 scale)
    890
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $571
  • Avg Win
    $421
  • Sum Trade PL (losers)
    $122,725.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months (Age strategy)
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $152,078.000
  • # Winners
    361
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    555752
  • Win / Loss
  • # Losers
    215
  • % Winners
    62.7%
  • Frequency
  • Avg Position Time (mins)
    1984.38
  • Avg Position Time (hrs)
    33.07
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    3.61
  • Daily leverage (max)
    7.11
  • Regression
  • Alpha
    0.05
  • Beta
    0.00
  • Treynor Index
    89.99
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.80
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    30.16
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.168
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.609
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.294
  • Hold-and-Hope Ratio
    0.107
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20017
  • SD
    0.15331
  • Sharpe ratio (Glass type estimate)
    1.30563
  • Sharpe ratio (Hedges UMVUE)
    1.26600
  • df
    25.00000
  • t
    1.92184
  • p
    0.03305
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11099
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64300
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.63639
  • Upside Potential Ratio
    5.53970
  • Upside part of mean
    0.30494
  • Downside part of mean
    -0.10477
  • Upside SD
    0.15136
  • Downside SD
    0.05505
  • N nonnegative terms
    14.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.06657
  • Mean of criterion
    0.20017
  • SD of predictor
    0.12987
  • SD of criterion
    0.15331
  • Covariance
    -0.00298
  • r
    -0.14963
  • b (slope, estimate of beta)
    -0.17663
  • a (intercept, estimate of alpha)
    0.21193
  • Mean Square Error
    0.02394
  • DF error
    24.00000
  • t(b)
    -0.74136
  • p(b)
    0.76717
  • t(a)
    1.99375
  • p(a)
    0.02883
  • Lowerbound of 95% confidence interval for beta
    -0.66834
  • Upperbound of 95% confidence interval for beta
    0.31509
  • Lowerbound of 95% confidence interval for alpha
    -0.00746
  • Upperbound of 95% confidence interval for alpha
    0.43131
  • Treynor index (mean / b)
    -1.13327
  • Jensen alpha (a)
    0.21193
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18745
  • SD
    0.14759
  • Sharpe ratio (Glass type estimate)
    1.27011
  • Sharpe ratio (Hedges UMVUE)
    1.23156
  • df
    25.00000
  • t
    1.86955
  • p
    0.03665
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60615
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35401
  • Upside Potential Ratio
    5.25184
  • Upside part of mean
    0.29352
  • Downside part of mean
    -0.10607
  • Upside SD
    0.14405
  • Downside SD
    0.05589
  • N nonnegative terms
    14.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.05819
  • Mean of criterion
    0.18745
  • SD of predictor
    0.12964
  • SD of criterion
    0.14759
  • Covariance
    -0.00297
  • r
    -0.15538
  • b (slope, estimate of beta)
    -0.17689
  • a (intercept, estimate of alpha)
    0.19775
  • Mean Square Error
    0.02214
  • DF error
    24.00000
  • t(b)
    -0.77055
  • p(b)
    0.77575
  • t(a)
    1.93926
  • p(a)
    0.03216
  • Lowerbound of 95% confidence interval for beta
    -0.65067
  • Upperbound of 95% confidence interval for beta
    0.29690
  • Lowerbound of 95% confidence interval for alpha
    -0.01271
  • Upperbound of 95% confidence interval for alpha
    0.40820
  • Treynor index (mean / b)
    -1.05974
  • Jensen alpha (a)
    0.19775
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05300
  • Expected Shortfall on VaR
    0.06960
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01937
  • Expected Shortfall on VaR
    0.03577
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.95543
  • Quartile 1
    0.98731
  • Median
    1.00972
  • Quartile 3
    1.03922
  • Maximum
    1.13677
  • Mean of quarter 1
    0.97425
  • Mean of quarter 2
    0.99794
  • Mean of quarter 3
    1.02793
  • Mean of quarter 4
    1.07417
  • Inter Quartile Range
    0.05192
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.12877
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.44018
  • VaR(95%) (moments method)
    0.02768
  • Expected Shortfall (moments method)
    0.03221
  • Extreme Value Index (regression method)
    0.09233
  • VaR(95%) (regression method)
    0.03019
  • Expected Shortfall (regression method)
    0.04225
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00523
  • Quartile 1
    0.01545
  • Median
    0.02173
  • Quartile 3
    0.03195
  • Maximum
    0.09385
  • Mean of quarter 1
    0.00935
  • Mean of quarter 2
    0.02143
  • Mean of quarter 3
    0.02203
  • Mean of quarter 4
    0.06455
  • Inter Quartile Range
    0.01650
  • 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
    0.16667
  • Mean of outliers high
    0.09385
  • 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)
    0.27442
  • Compounded annual return (geometric extrapolation)
    0.24031
  • Calmar ratio (compounded annual return / max draw down)
    2.56055
  • Compounded annual return / average of 25% largest draw downs
    3.72266
  • Compounded annual return / Expected Shortfall lognormal
    3.45291
  • 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
    0.19268
  • SD
    0.11358
  • Sharpe ratio (Glass type estimate)
    1.69642
  • Sharpe ratio (Hedges UMVUE)
    1.69419
  • df
    570.00000
  • t
    2.50438
  • p
    0.00627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36441
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36291
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02547
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68653
  • Upside Potential Ratio
    10.43380
  • Upside part of mean
    0.74831
  • Downside part of mean
    -0.55563
  • Upside SD
    0.08874
  • Downside SD
    0.07172
  • N nonnegative terms
    302.00000
  • N negative terms
    269.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    571.00000
  • Mean of predictor
    0.07018
  • Mean of criterion
    0.19268
  • SD of predictor
    0.14451
  • SD of criterion
    0.11358
  • Covariance
    -0.00027
  • r
    -0.01672
  • b (slope, estimate of beta)
    -0.01314
  • a (intercept, estimate of alpha)
    0.19400
  • Mean Square Error
    0.01292
  • DF error
    569.00000
  • t(b)
    -0.39886
  • p(b)
    0.65493
  • t(a)
    2.51338
  • p(a)
    0.00612
  • Lowerbound of 95% confidence interval for beta
    -0.07785
  • Upperbound of 95% confidence interval for beta
    0.05157
  • Lowerbound of 95% confidence interval for alpha
    0.04231
  • Upperbound of 95% confidence interval for alpha
    0.34489
  • Treynor index (mean / b)
    -14.66290
  • Jensen alpha (a)
    0.19360
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18616
  • SD
    0.11345
  • Sharpe ratio (Glass type estimate)
    1.64095
  • Sharpe ratio (Hedges UMVUE)
    1.63879
  • df
    570.00000
  • t
    2.42249
  • p
    0.00786
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30923
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97133
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96983
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57574
  • Upside Potential Ratio
    10.29860
  • Upside part of mean
    0.74433
  • Downside part of mean
    -0.55817
  • Upside SD
    0.08807
  • Downside SD
    0.07227
  • N nonnegative terms
    302.00000
  • N negative terms
    269.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    571.00000
  • Mean of predictor
    0.05971
  • Mean of criterion
    0.18616
  • SD of predictor
    0.14485
  • SD of criterion
    0.11345
  • Covariance
    -0.00028
  • r
    -0.01704
  • b (slope, estimate of beta)
    -0.01334
  • a (intercept, estimate of alpha)
    0.18696
  • Mean Square Error
    0.01289
  • DF error
    569.00000
  • t(b)
    -0.40646
  • p(b)
    0.65772
  • t(a)
    2.43028
  • p(a)
    0.00770
  • Lowerbound of 95% confidence interval for beta
    -0.07783
  • Upperbound of 95% confidence interval for beta
    0.05114
  • Lowerbound of 95% confidence interval for alpha
    0.03586
  • Upperbound of 95% confidence interval for alpha
    0.33806
  • Treynor index (mean / b)
    -13.95120
  • Jensen alpha (a)
    0.18696
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01076
  • Expected Shortfall on VaR
    0.01365
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00470
  • Expected Shortfall on VaR
    0.00936
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    571.00000
  • Minimum
    0.95946
  • Quartile 1
    0.99698
  • Median
    1.00028
  • Quartile 3
    1.00420
  • Maximum
    1.03359
  • Mean of quarter 1
    0.99258
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00210
  • Mean of quarter 4
    1.00951
  • Inter Quartile Range
    0.00722
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.01401
  • Mean of outliers low
    0.97932
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.03503
  • Mean of outliers high
    1.01968
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20091
  • VaR(95%) (moments method)
    0.00698
  • Expected Shortfall (moments method)
    0.00870
  • Extreme Value Index (regression method)
    -0.11165
  • VaR(95%) (regression method)
    0.00694
  • Expected Shortfall (regression method)
    0.00891
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00384
  • Median
    0.00908
  • Quartile 3
    0.02709
  • Maximum
    0.10619
  • Mean of quarter 1
    0.00127
  • Mean of quarter 2
    0.00618
  • Mean of quarter 3
    0.01418
  • Mean of quarter 4
    0.05868
  • Inter Quartile Range
    0.02325
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.08331
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.45992
  • VaR(95%) (moments method)
    0.06066
  • Expected Shortfall (moments method)
    0.07075
  • Extreme Value Index (regression method)
    -0.33603
  • VaR(95%) (regression method)
    0.07125
  • Expected Shortfall (regression method)
    0.08636
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27277
  • Compounded annual return (geometric extrapolation)
    0.23871
  • Calmar ratio (compounded annual return / max draw down)
    2.24783
  • Compounded annual return / average of 25% largest draw downs
    4.06800
  • Compounded annual return / Expected Shortfall lognormal
    17.48870
  • 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
    -0.21067
  • SD
    0.08393
  • Sharpe ratio (Glass type estimate)
    -2.51003
  • Sharpe ratio (Hedges UMVUE)
    -2.49552
  • df
    130.00000
  • t
    -1.77486
  • p
    0.57691
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.29384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.28326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.28387
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29284
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.17449
  • Upside Potential Ratio
    6.46507
  • Upside part of mean
    0.42905
  • Downside part of mean
    -0.63972
  • Upside SD
    0.05250
  • Downside SD
    0.06636
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04834
  • Mean of criterion
    -0.21067
  • SD of predictor
    0.14139
  • SD of criterion
    0.08393
  • Covariance
    0.00036
  • r
    0.03016
  • b (slope, estimate of beta)
    0.01790
  • a (intercept, estimate of alpha)
    -0.21154
  • Mean Square Error
    0.00709
  • DF error
    129.00000
  • t(b)
    0.34265
  • p(b)
    0.48081
  • t(a)
    -1.77569
  • p(a)
    0.59794
  • Lowerbound of 95% confidence interval for beta
    -0.08546
  • Upperbound of 95% confidence interval for beta
    0.12126
  • Lowerbound of 95% confidence interval for alpha
    -0.44724
  • Upperbound of 95% confidence interval for alpha
    0.02416
  • Treynor index (mean / b)
    -11.76910
  • Jensen alpha (a)
    -0.21154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21424
  • SD
    0.08397
  • Sharpe ratio (Glass type estimate)
    -2.55144
  • Sharpe ratio (Hedges UMVUE)
    -2.53670
  • df
    130.00000
  • t
    -1.80414
  • p
    0.57815
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.33569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.24240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.32560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25221
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.21511
  • Upside Potential Ratio
    6.41770
  • Upside part of mean
    0.42764
  • Downside part of mean
    -0.64187
  • Upside SD
    0.05226
  • Downside SD
    0.06663
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03837
  • Mean of criterion
    -0.21424
  • SD of predictor
    0.14187
  • SD of criterion
    0.08397
  • Covariance
    0.00033
  • r
    0.02804
  • b (slope, estimate of beta)
    0.01660
  • a (intercept, estimate of alpha)
    -0.21487
  • Mean Square Error
    0.00710
  • DF error
    129.00000
  • t(b)
    0.31862
  • p(b)
    0.48215
  • t(a)
    -1.80299
  • p(a)
    0.59940
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.08647
  • Upperbound of 95% confidence interval for beta
    0.11966
  • Lowerbound of 95% confidence interval for alpha
    -0.45066
  • Upperbound of 95% confidence interval for alpha
    0.02092
  • Treynor index (mean / b)
    -12.90800
  • Jensen alpha (a)
    -0.21487
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00931
  • Expected Shortfall on VaR
    0.01145
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00606
  • Expected Shortfall on VaR
    0.01026
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98742
  • Quartile 1
    0.99560
  • Median
    0.99966
  • Quartile 3
    1.00234
  • Maximum
    1.01515
  • Mean of quarter 1
    0.99269
  • Mean of quarter 2
    0.99786
  • Mean of quarter 3
    1.00097
  • Mean of quarter 4
    1.00574
  • Inter Quartile Range
    0.00674
  • 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
    0.00763
  • Mean of outliers high
    1.01515
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.48151
  • VaR(95%) (moments method)
    0.00788
  • Expected Shortfall (moments method)
    0.00885
  • Extreme Value Index (regression method)
    -0.57638
  • VaR(95%) (regression method)
    0.00775
  • Expected Shortfall (regression method)
    0.00853
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.09624
  • Quartile 1
    0.09624
  • Median
    0.09624
  • Quartile 3
    0.09624
  • Maximum
    0.09624
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -6
  • Max Equity Drawdown (num days)
    128
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17791
  • Compounded annual return (geometric extrapolation)
    -0.17000
  • Calmar ratio (compounded annual return / max draw down)
    -1.76640
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -14.84710

Strategy Description

COREX STRATEGY:
Traded portfolio size: EURUSD:100K / USDJPY:100K / GBPUSD:100K
Max open positions: 3
Trailing stop placed
Fixed rules, no martingale
Low frequency, low cost
Self adjusting
Stresscase tested
High scalability
No trend follower
To use as diversified or stand alone
API automated signals: NinjaTrader to InteractiveBrokers to Collective2
24/5 up and running, no positions over the weekend
Realtime system monitoring
Redundant servers

COREX PAST PERFORMANCE FACTSHEET: 5 years 05/2012-07/2017
https://forums.collective2.com/t/corex-past-performance-factsheet-05-2012-07-2017/11115

RECOMMENDED REQUIREMENTS FOR SUBSCRIBING/AUTOTRADING:
Follow strategy order entries and exits
Min. investment period: 6 months
5000$ account equity for 10% scaling
10000$ account equity for 20% scaling
25000$ account equity for 50% scaling
50000$ account equity for 100% scaling
100000$ account equity for 200% scaling
etc.

DISCLAIMER:
Drawdowns that last a few weeks are part of the strategy.
Past performance is not indicative of future results.

Summary Statistics

Strategy began
2017-08-06
Suggested Minimum Capital
$80,000
Rank at C2 %
Top 8.9%
Rank # 
#55
# Trades
576
# Profitable
361
% Profitable
62.7%
Correlation S&P500
0.001
Sharpe Ratio
1.44
Sortino Ratio
2.27
Beta
0.00
Alpha
0.05
Leverage
3.61 Average
7.11 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

#PERSONNAME#
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.