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NOBSForex
(123297936)

Created by: ChrisYenter ChrisYenter
Started: 04/2019
Forex
Last trade: 2 days ago
Trading style: Futures Trend-following 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
32.3%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(16.6%)
Max Drawdown
106
Num Trades
45.3%
Win Trades
2.3 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     +4.0%+26.0%(6.6%)+11.4%+8.5%(10.6%)                  +32.3%

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.

Trading Record

This strategy has placed 155 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/12/19 11:30 EUR/JPY EUR/JPY SHORT 4 119.422 9/13 3:30 119.851 0.32%
Trade id #125329492
Max drawdown($104)
Time9/13/19 3:29
Quant open2
Worst price119.989
Drawdown as % of equity-0.32%
($159)
9/4/19 11:20 EUR/USD EUR/USD SHORT 6 1.10208 9/13 3:03 1.10901 0.92%
Trade id #125215888
Max drawdown($306)
Time9/13/19 3:03
Quant open4
Worst price1.10975
Drawdown as % of equity-0.92%
($416)
9/12/19 9:40 EUR/JPY EUR/JPY SHORT 2 118.434 9/12 10:10 119.508 0.35%
Trade id #125326489
Max drawdown($117)
Time9/12/19 9:48
Quant open2
Worst price119.068
Drawdown as % of equity-0.35%
($199)
9/6/19 4:34 NZD/JPY NZD/JPY LONG 2 68.592 9/11 19:26 69.254 0.1%
Trade id #125299879
Max drawdown($36)
Time9/6/19 8:31
Quant open2
Worst price68.399
Drawdown as % of equity-0.10%
$122
9/10/19 19:11 EUR/JPY EUR/JPY SHORT 2 118.766 9/11 19:25 118.880 0.22%
Trade id #125297326
Max drawdown($74)
Time9/11/19 0:00
Quant open2
Worst price119.169
Drawdown as % of equity-0.22%
($21)
7/31/19 22:15 NZD/JPY NZD/JPY SHORT 6 69.851 9/10 16:37 68.896 0.04%
Trade id #124707934
Max drawdown($15)
Time8/1/19 0:00
Quant open2
Worst price71.644
Drawdown as % of equity-0.04%
$533
8/25/19 22:18 EUR/JPY EUR/JPY SHORT 6 117.710 9/10 16:37 118.587 1.16%
Trade id #125079060
Max drawdown($406)
Time9/5/19 0:00
Quant open4
Worst price118.612
Drawdown as % of equity-1.16%
($489)
9/4/19 14:25 USD/CAD USD/CAD LONG 2 1.32295 9/9 8:38 1.31499 0.35%
Trade id #125220756
Max drawdown($119)
Time9/9/19 8:38
Quant open2
Worst price1.31510
Drawdown as % of equity-0.35%
($121)
9/3/19 10:57 AUD/USD AUD/USD SHORT 5 0.67895 9/6 11:15 0.68476 0.62%
Trade id #125197395
Max drawdown($211)
Time9/6/19 11:15
Quant open3
Worst price0.68600
Drawdown as % of equity-0.62%
($291)
9/4/19 21:29 AUD/JPY AUD/JPY SHORT 2 72.598 9/6 5:24 73.200 0.31%
Trade id #125224940
Max drawdown($106)
Time9/6/19 5:24
Quant open2
Worst price73.169
Drawdown as % of equity-0.31%
($113)
8/28/19 16:08 CAD/JPY CAD/JPY SHORT 6 80.089 9/5 7:32 80.691 0.74%
Trade id #125130911
Max drawdown($258)
Time9/5/19 6:20
Quant open4
Worst price80.776
Drawdown as % of equity-0.74%
($339)
9/4/19 14:27 GBP/JPY GBP/JPY SHORT 2 129.955 9/5 4:36 130.802 0.44%
Trade id #125220784
Max drawdown($154)
Time9/5/19 4:36
Quant open2
Worst price130.775
Drawdown as % of equity-0.44%
($159)
9/3/19 22:18 AUD/JPY AUD/JPY SHORT 2 71.834 9/4 14:37 72.319 0.26%
Trade id #125206678
Max drawdown($96)
Time9/4/19 0:00
Quant open2
Worst price72.346
Drawdown as % of equity-0.26%
($91)
9/3/19 11:04 USD/CAD USD/CAD LONG 2 1.33408 9/4 10:01 1.32699 0.5%
Trade id #125197614
Max drawdown($184)
Time9/4/19 0:00
Quant open2
Worst price1.32186
Drawdown as % of equity-0.50%
($107)
9/3/19 11:04 GBP/JPY GBP/JPY SHORT 2 127.943 9/4 2:11 128.601 0.29%
Trade id #125197625
Max drawdown($108)
Time9/4/19 2:11
Quant open2
Worst price128.516
Drawdown as % of equity-0.29%
($124)
9/3/19 10:57 USD/CAD USD/CAD LONG 2 1.33390 9/3 11:02 1.33365 0.01%
Trade id #125197412
Max drawdown($2)
Time9/3/19 10:58
Quant open2
Worst price1.33374
Drawdown as % of equity-0.01%
($4)
9/2/19 13:03 GBP/JPY GBP/JPY LONG 2 128.188 9/3 2:40 127.294 0.41%
Trade id #125183864
Max drawdown($151)
Time9/3/19 2:39
Quant open2
Worst price127.381
Drawdown as % of equity-0.41%
($168)
9/2/19 13:02 GBP/USD GBP/USD LONG 2 1.20712 9/3 1:50 1.19994 0.36%
Trade id #125183851
Max drawdown($135)
Time9/3/19 1:50
Quant open2
Worst price1.20037
Drawdown as % of equity-0.36%
($144)
6/30/19 17:17 GBP/JPY GBP/JPY SHORT 12 133.252 9/1 18:42 130.519 0.27%
Trade id #124280792
Max drawdown($81)
Time6/30/19 18:59
Quant open2
Worst price137.791
Drawdown as % of equity-0.27%
$3,091
8/27/19 9:37 GBP/USD GBP/USD SHORT 2 1.22910 9/1 18:41 1.21615 0.07%
Trade id #125100708
Max drawdown($25)
Time8/27/19 12:44
Quant open2
Worst price1.23035
Drawdown as % of equity-0.07%
$259
8/21/19 8:20 AUD/JPY AUD/JPY SHORT 4 71.596 9/1 18:41 71.678 0.01%
Trade id #125016586
Max drawdown($3)
Time8/21/19 11:59
Quant open2
Worst price72.408
Drawdown as % of equity-0.01%
($31)
8/20/19 11:23 GBP/USD GBP/USD SHORT 6 1.21964 8/23 10:48 1.22586 0.69%
Trade id #125004728
Max drawdown($247)
Time8/23/19 10:48
Quant open4
Worst price1.22582
Drawdown as % of equity-0.69%
($374)
8/19/19 22:25 AUD/JPY AUD/JPY SHORT 2 72.194 8/19 22:25 72.209 0.01%
Trade id #124995981
Max drawdown($3)
Time8/19/19 22:25
Quant open2
Worst price72.209
Drawdown as % of equity-0.01%
($3)
8/13/19 10:12 AUD/USD AUD/USD SHORT 2 0.68037 8/16 10:51 0.67808 0.13%
Trade id #124906717
Max drawdown($47)
Time8/16/19 10:51
Quant open-2
Worst price0.67800
Drawdown as % of equity-0.13%
$46
7/30/19 22:34 AUD/JPY AUD/JPY SHORT 8 72.921 8/16 10:47 72.236 1.21%
Trade id #124688647
Max drawdown($448)
Time8/16/19 10:47
Quant open-6
Worst price72.125
Drawdown as % of equity-1.21%
$515
7/30/19 22:36 EUR/JPY EUR/JPY SHORT 8 119.553 8/16 10:46 118.829 1.48%
Trade id #124688661
Max drawdown($546)
Time8/16/19 10:46
Quant open-4
Worst price118.100
Drawdown as % of equity-1.48%
$545
8/12/19 21:23 GBP/USD GBP/USD SHORT 4 1.20640 8/15 7:53 1.21351 0.55%
Trade id #124894791
Max drawdown($216)
Time8/12/19 21:23
Quant open4
Worst price1.21180
Drawdown as % of equity-0.55%
($285)
8/14/19 14:11 CAD/JPY CAD/JPY SHORT 2 79.526 8/15 2:37 79.800 0.12%
Trade id #124935602
Max drawdown($47)
Time8/14/19 14:11
Quant open2
Worst price79.776
Drawdown as % of equity-0.12%
($52)
8/13/19 9:54 NZD/USD NZD/USD LONG 2 0.64412 8/13 9:54 0.64407 0%
Trade id #124905909
Max drawdown($1)
Time8/13/19 9:54
Quant open2
Worst price0.64407
Drawdown as % of equity-0.00%
($1)
8/8/19 9:43 AUD/USD AUD/USD SHORT 2 0.68000 8/13 9:54 0.67857 0.12%
Trade id #124834659
Max drawdown($44)
Time8/8/19 9:43
Quant open2
Worst price0.68221
Drawdown as % of equity-0.12%
$29

Statistics

  • Strategy began
    4/12/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    156.1
  • Age
    156 days ago
  • What it trades
    Forex
  • # Trades
    106
  • # Profitable
    48
  • % Profitable
    45.30%
  • Avg trade duration
    7.4 days
  • Max peak-to-valley drawdown
    16.65%
  • drawdown period
    Aug 12, 2019 - Sept 13, 2019
  • Cumul. Return
    32.3%
  • Avg win
    $322.02
  • Avg loss
    $113.66
  • Model Account Values (Raw)
  • Cash
    $33,793
  • Margin Used
    $1,329
  • Buying Power
    $32,531
  • Ratios
  • W:L ratio
    2.34:1
  • Sharpe Ratio
    1.77
  • Sortino Ratio
    2.97
  • Calmar Ratio
    7.008
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.38210
  • Return Statistics
  • Ann Return (w trading costs)
    89.5%
  • Ann Return (Compnd, No Fees)
    101.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    738
  • Popularity (Last 6 weeks)
    972
  • C2 Score
    874
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $114
  • Avg Win
    $321
  • # Winners
    48
  • # Losers
    58
  • % Winners
    45.3%
  • Frequency
  • Avg Position Time (mins)
    10640.90
  • Avg Position Time (hrs)
    177.35
  • Avg Trade Length
    7.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    7.32
  • Daily leverage (max)
    16.63
  • Regression
  • Alpha
    0.21
  • Beta
    -0.91
  • Treynor Index
    -0.21
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    1.316
  • Avg(MAE) / Avg(PL) - Winning trades
    0.258
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.121
  • Hold-and-Hope Ratio
    0.760
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.43694
  • SD
    0.37452
  • Sharpe ratio (Glass type estimate)
    3.83675
  • Sharpe ratio (Hedges UMVUE)
    2.77628
  • df
    3.00000
  • t
    2.21515
  • p
    0.05678
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79344
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.16121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28071
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.83327
  • Statistics related to Sortino ratio
  • Sortino ratio
    61.46940
  • Upside Potential Ratio
    63.20140
  • Upside part of mean
    1.47742
  • Downside part of mean
    -0.04049
  • Upside SD
    0.52604
  • Downside SD
    0.02338
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.08920
  • Mean of criterion
    1.43694
  • SD of predictor
    0.14798
  • SD of criterion
    0.37452
  • Covariance
    -0.02630
  • r
    -0.47447
  • b (slope, estimate of beta)
    -1.20084
  • a (intercept, estimate of alpha)
    1.32982
  • Mean Square Error
    0.16303
  • DF error
    2.00000
  • t(b)
    -0.76227
  • p(b)
    0.73724
  • t(a)
    1.86424
  • p(a)
    0.10165
  • Lowerbound of 95% confidence interval for beta
    -7.97904
  • Upperbound of 95% confidence interval for beta
    5.57735
  • Lowerbound of 95% confidence interval for alpha
    -1.73939
  • Upperbound of 95% confidence interval for alpha
    4.39903
  • Treynor index (mean / b)
    -1.19660
  • Jensen alpha (a)
    1.32982
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31150
  • SD
    0.33940
  • Sharpe ratio (Glass type estimate)
    3.86414
  • Sharpe ratio (Hedges UMVUE)
    2.79610
  • df
    3.00000
  • t
    2.23096
  • p
    0.05595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.20238
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.86179
  • Statistics related to Sortino ratio
  • Sortino ratio
    55.85480
  • Upside Potential Ratio
    57.58680
  • Upside part of mean
    1.35217
  • Downside part of mean
    -0.04067
  • Upside SD
    0.47873
  • Downside SD
    0.02348
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.09765
  • Mean of criterion
    1.31150
  • SD of predictor
    0.14911
  • SD of criterion
    0.33940
  • Covariance
    -0.02475
  • r
    -0.48913
  • b (slope, estimate of beta)
    -1.11335
  • a (intercept, estimate of alpha)
    1.20279
  • Mean Square Error
    0.13145
  • DF error
    2.00000
  • t(b)
    -0.79309
  • p(b)
    0.74457
  • t(a)
    1.87128
  • p(a)
    0.10110
  • Lowerbound of 95% confidence interval for beta
    -7.15343
  • Upperbound of 95% confidence interval for beta
    4.92673
  • Lowerbound of 95% confidence interval for alpha
    -1.56280
  • Upperbound of 95% confidence interval for alpha
    3.96837
  • Treynor index (mean / b)
    -1.17798
  • Jensen alpha (a)
    1.20279
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05054
  • Expected Shortfall on VaR
    0.08804
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00479
  • Expected Shortfall on VaR
    0.01056
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98883
  • Quartile 1
    1.05762
  • Median
    1.13870
  • Quartile 3
    1.20315
  • Maximum
    1.22206
  • Mean of quarter 1
    0.98883
  • Mean of quarter 2
    1.08055
  • Mean of quarter 3
    1.19685
  • Mean of quarter 4
    1.22206
  • Inter Quartile Range
    0.14553
  • 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
    1.00000
  • Minimum
    0.01117
  • Quartile 1
    0.01117
  • Median
    0.01117
  • Quartile 3
    0.01117
  • Maximum
    0.01117
  • 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)
    1.68836
  • Compounded annual return (geometric extrapolation)
    2.81679
  • Calmar ratio (compounded annual return / max draw down)
    252.21700
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    31.99550
  • 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
    0.75462
  • SD
    0.33177
  • Sharpe ratio (Glass type estimate)
    2.27455
  • Sharpe ratio (Hedges UMVUE)
    2.25872
  • df
    108.00000
  • t
    1.46710
  • p
    0.43011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.32317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.31230
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.87804
  • Upside Potential Ratio
    11.83100
  • Upside part of mean
    2.30217
  • Downside part of mean
    -1.54755
  • Upside SD
    0.27087
  • Downside SD
    0.19459
  • N nonnegative terms
    59.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    109.00000
  • Mean of predictor
    0.06338
  • Mean of criterion
    0.75462
  • SD of predictor
    0.14178
  • SD of criterion
    0.33177
  • Covariance
    -0.01938
  • r
    -0.41201
  • b (slope, estimate of beta)
    -0.96410
  • a (intercept, estimate of alpha)
    0.81600
  • Mean Square Error
    0.09224
  • DF error
    107.00000
  • t(b)
    -4.67724
  • p(b)
    0.75467
  • t(a)
    1.73174
  • p(a)
    0.39536
  • Lowerbound of 95% confidence interval for beta
    -1.37272
  • Upperbound of 95% confidence interval for beta
    -0.55548
  • Lowerbound of 95% confidence interval for alpha
    -0.11807
  • Upperbound of 95% confidence interval for alpha
    1.74952
  • Treynor index (mean / b)
    -0.78272
  • Jensen alpha (a)
    0.81573
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69949
  • SD
    0.32973
  • Sharpe ratio (Glass type estimate)
    2.12140
  • Sharpe ratio (Hedges UMVUE)
    2.10663
  • df
    108.00000
  • t
    1.36831
  • p
    0.43473
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16842
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15827
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.53649
  • Upside Potential Ratio
    11.45760
  • Upside part of mean
    2.26622
  • Downside part of mean
    -1.56674
  • Upside SD
    0.26546
  • Downside SD
    0.19779
  • N nonnegative terms
    59.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    109.00000
  • Mean of predictor
    0.05336
  • Mean of criterion
    0.69949
  • SD of predictor
    0.14230
  • SD of criterion
    0.32973
  • Covariance
    -0.01936
  • r
    -0.41259
  • b (slope, estimate of beta)
    -0.95602
  • a (intercept, estimate of alpha)
    0.75050
  • Mean Square Error
    0.09106
  • DF error
    107.00000
  • t(b)
    -4.68530
  • p(b)
    0.75501
  • t(a)
    1.60377
  • p(a)
    0.40285
  • Lowerbound of 95% confidence interval for beta
    -1.36052
  • Upperbound of 95% confidence interval for beta
    -0.55152
  • Lowerbound of 95% confidence interval for alpha
    -0.17718
  • Upperbound of 95% confidence interval for alpha
    1.67818
  • Treynor index (mean / b)
    -0.73166
  • Jensen alpha (a)
    0.75050
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03037
  • Expected Shortfall on VaR
    0.03856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01289
  • Expected Shortfall on VaR
    0.02547
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    109.00000
  • Minimum
    0.95466
  • Quartile 1
    0.99281
  • Median
    1.00106
  • Quartile 3
    1.01170
  • Maximum
    1.06093
  • Mean of quarter 1
    0.97986
  • Mean of quarter 2
    0.99739
  • Mean of quarter 3
    1.00572
  • Mean of quarter 4
    1.02984
  • Inter Quartile Range
    0.01889
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02752
  • Mean of outliers low
    0.95650
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.06422
  • Mean of outliers high
    1.04954
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09368
  • VaR(95%) (moments method)
    0.01832
  • Expected Shortfall (moments method)
    0.02659
  • Extreme Value Index (regression method)
    -0.29423
  • VaR(95%) (regression method)
    0.01958
  • Expected Shortfall (regression method)
    0.02416
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00039
  • Quartile 1
    0.01042
  • Median
    0.02106
  • Quartile 3
    0.09134
  • Maximum
    0.15265
  • Mean of quarter 1
    0.00618
  • Mean of quarter 2
    0.01549
  • Mean of quarter 3
    0.02438
  • Mean of quarter 4
    0.12803
  • Inter Quartile Range
    0.08091
  • 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)
    -0.16331
  • VaR(95%) (moments method)
    0.14085
  • Expected Shortfall (moments method)
    0.15593
  • Extreme Value Index (regression method)
    2.01179
  • VaR(95%) (regression method)
    0.16921
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.84945
  • Compounded annual return (geometric extrapolation)
    1.06968
  • Calmar ratio (compounded annual return / max draw down)
    7.00763
  • Compounded annual return / average of 25% largest draw downs
    8.35511
  • Compounded annual return / Expected Shortfall lognormal
    27.74230

Strategy Description

Hello and thanks for looking at my system. I am a forex trader that follows longer term trends. I typically hold my positions for days or weeks at a time trying to capture larger moves and I do trade my own calls.
I am also posting commentary/charts regarding market sentiment and trades on YouTube (@NoBSForex).
Feel free to contact me with any questions.

Summary Statistics

Strategy began
2019-04-12
Suggested Minimum Capital
$35,000
Rank at C2 
#76
# Trades
106
# Profitable
48
% Profitable
45.3%
Correlation S&P500
-0.382
Sharpe Ratio
1.77
Sortino Ratio
2.97
Beta
-0.91
Alpha
0.21
Leverage
7.32 Average
16.63 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.