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

Aggressive Trend Scalper
(121872737)

Created by: PipMaster2018 PipMaster2018
Started: 01/2019
Forex
Last trade: 1,037 days ago
Trading style: Equity Trend-following

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 $193.00 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: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
19.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(23.2%)
Max Drawdown
735
Num Trades
73.2%
Win Trades
1.4 : 1
Profit Factor
25.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+25.3%(3%)+3.6%+6.0%+7.4%+3.7%(2.5%)(0.2%)+3.5%+8.1%(1.5%)+1.0%+61.0%
2020+9.7%(2.5%)(6.7%)(2%)+0.3%(0.3%)(4.4%)+21.9%+7.2%+12.0%+9.2%(0.1%)+49.4%
2021+7.8%(0.4%)(1%)(2.7%)+2.1%  -    -    -    -    -    -    -  +5.6%
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.

Trading Record

This strategy has placed 1,022 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1062 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/26/21 11:01 USD/JPY USD/JPY LONG 50 109.070 5/26 11:37 109.095 0.68%
Trade id #135784192
Max drawdown($325)
Time5/26/21 11:18
Quant open50
Worst price108.999
Drawdown as % of equity-0.68%
$115
5/25/21 8:52 USD/JPY USD/JPY LONG 50 109.003 5/25 8:56 109.013 n/a $46
5/25/21 2:40 EUR/USD EUR/USD LONG 50 1.22393 5/25 2:42 1.22403 n/a $50
5/19/21 9:08 USD/JPY USD/JPY SHORT 50 108.831 5/19 9:12 108.781 n/a $230
5/19/21 7:08 USD/JPY USD/JPY LONG 50 109.282 5/19 7:14 109.292 0.17%
Trade id #135676538
Max drawdown($78)
Time5/19/21 7:11
Quant open50
Worst price109.265
Drawdown as % of equity-0.17%
$46
5/18/21 2:24 USD/JPY USD/JPY SHORT 50 109.074 5/18 2:56 109.064 0.3%
Trade id #135659018
Max drawdown($142)
Time5/18/21 2:34
Quant open50
Worst price109.105
Drawdown as % of equity-0.30%
$46
5/17/21 5:38 EUR/USD EUR/USD LONG 50 1.21508 5/17 5:48 1.21558 0.51%
Trade id #135640345
Max drawdown($240)
Time5/17/21 5:43
Quant open50
Worst price1.21460
Drawdown as % of equity-0.51%
$250
5/17/21 2:37 USD/JPY USD/JPY SHORT 50 109.175 5/17 3:09 109.162 0.5%
Trade id #135639312
Max drawdown($233)
Time5/17/21 2:43
Quant open50
Worst price109.226
Drawdown as % of equity-0.50%
$60
5/14/21 2:29 EUR/USD EUR/USD LONG 50 1.21055 5/14 2:35 1.21065 0.34%
Trade id #135612639
Max drawdown($160)
Time5/14/21 2:32
Quant open50
Worst price1.21023
Drawdown as % of equity-0.34%
$50
5/13/21 4:47 EUR/USD EUR/USD SHORT 50 1.20642 5/13 4:56 1.20572 n/a $350
5/12/21 10:49 EUR/USD EUR/USD SHORT 50 1.20725 5/12 10:50 1.20715 n/a $50
5/12/21 8:30 USD/JPY USD/JPY LONG 50 108.982 5/12 8:30 109.018 n/a $165
5/12/21 8:30 USD/JPY USD/JPY LONG 50 108.905 5/12 8:30 108.890 0.15%
Trade id #135573290
Max drawdown($69)
Time5/12/21 8:30
Quant open50
Worst price108.890
Drawdown as % of equity-0.15%
($69)
5/11/21 9:03 EUR/USD EUR/USD LONG 50 1.21798 5/11 9:06 1.21787 0.18%
Trade id #135554746
Max drawdown($85)
Time5/11/21 9:06
Quant open50
Worst price1.21781
Drawdown as % of equity-0.18%
($55)
5/11/21 7:21 USD/JPY USD/JPY SHORT 50 108.652 5/11 7:27 108.642 0.03%
Trade id #135553096
Max drawdown($13)
Time5/11/21 7:24
Quant open50
Worst price108.655
Drawdown as % of equity-0.03%
$46
5/10/21 9:30 EUR/USD EUR/USD LONG 50 1.21770 5/10 14:35 1.21464 3.31%
Trade id #135533732
Max drawdown($1,590)
Time5/10/21 14:35
Quant open50
Worst price1.21452
Drawdown as % of equity-3.31%
($1,530)
5/10/21 3:05 USD/JPY USD/JPY SHORT 50 108.937 5/10 4:00 108.927 1.14%
Trade id #135529896
Max drawdown($547)
Time5/10/21 3:38
Quant open50
Worst price109.056
Drawdown as % of equity-1.14%
$46
5/7/21 8:30 USD/JPY USD/JPY SHORT 50 108.937 5/7 8:30 108.887 n/a $230
5/7/21 3:14 EUR/USD EUR/USD LONG 50 1.20711 5/7 3:16 1.20861 n/a $750
5/6/21 5:38 USD/JPY USD/JPY SHORT 50 109.100 5/6 6:32 109.090 0.78%
Trade id #135478735
Max drawdown($366)
Time5/6/21 6:11
Quant open50
Worst price109.180
Drawdown as % of equity-0.78%
$46
5/5/21 2:49 EUR/USD EUR/USD SHORT 30 1.19997 5/5 2:50 1.19982 n/a $45
5/4/21 3:27 EUR/USD EUR/USD SHORT 60 1.20136 5/4 3:42 1.20121 0.67%
Trade id #135431975
Max drawdown($312)
Time5/4/21 3:31
Quant open60
Worst price1.20188
Drawdown as % of equity-0.67%
$90
4/30/21 10:53 USD/JPY USD/JPY LONG 30 109.235 4/30 11:14 109.244 0.04%
Trade id #135398829
Max drawdown($16)
Time4/30/21 10:56
Quant open30
Worst price109.229
Drawdown as % of equity-0.04%
$24
4/30/21 10:53 EUR/USD EUR/USD SHORT 30 1.20567 4/30 10:54 1.20467 n/a $300
4/29/21 9:07 USD/JPY USD/JPY LONG 30 109.075 4/29 9:18 109.168 n/a $256
4/28/21 10:21 EUR/USD EUR/USD LONG 60 1.20955 4/28 10:33 1.20937 0.41%
Trade id #135351169
Max drawdown($195)
Time4/28/21 10:33
Quant open60
Worst price1.20922
Drawdown as % of equity-0.41%
($105)
4/28/21 3:01 EUR/USD EUR/USD SHORT 60 1.20569 4/28 10:15 1.20875 3.95%
Trade id #135346046
Max drawdown($1,905)
Time4/28/21 10:15
Quant open60
Worst price1.20887
Drawdown as % of equity-3.95%
($1,833)
4/26/21 8:20 USD/JPY USD/JPY LONG 30 108.145 4/26 21:18 108.245 1.43%
Trade id #135315481
Max drawdown($684)
Time4/26/21 10:18
Quant open30
Worst price107.898
Drawdown as % of equity-1.43%
$277
4/22/21 21:05 USD/JPY USD/JPY SHORT 30 107.812 4/23 8:13 107.716 1.11%
Trade id #135280875
Max drawdown($529)
Time4/23/21 0:00
Quant open30
Worst price108.002
Drawdown as % of equity-1.11%
$267
4/23/21 3:15 EUR/USD EUR/USD LONG 30 1.20478 4/23 4:33 1.20563 0.21%
Trade id #135282408
Max drawdown($99)
Time4/23/21 3:30
Quant open30
Worst price1.20445
Drawdown as % of equity-0.21%
$255

Statistics

  • Strategy began
    1/9/2019
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    1896.84
  • Age
    64 months ago
  • What it trades
    Forex
  • # Trades
    735
  • # Profitable
    538
  • % Profitable
    73.20%
  • Avg trade duration
    2.5 hours
  • Max peak-to-valley drawdown
    23.16%
  • drawdown period
    Feb 10, 2020 - Aug 10, 2020
  • Annual Return (Compounded)
    19.6%
  • Avg win
    $208.27
  • Avg loss
    $394.99
  • Model Account Values (Raw)
  • Cash
    $54,463
  • Margin Used
    $0
  • Buying Power
    $54,463
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    1.12
  • Sortino Ratio
    1.87
  • Calmar Ratio
    1.714
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    53.63%
  • Correlation to SP500
    0.02540
  • Return Percent SP500 (cumu) during strategy life
    103.04%
  • Return Statistics
  • Ann Return (w trading costs)
    19.6%
  • Slump
  • Current Slump as Pcnt Equity
    2.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • 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)
    0.196%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.94%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    446
  • 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
    $395
  • Avg Win
    $208
  • Sum Trade PL (losers)
    $77,813.000
  • Age
  • Num Months filled monthly returns table
    63
  • Win / Loss
  • Sum Trade PL (winners)
    $112,051.000
  • # Winners
    538
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    197
  • % Winners
    73.2%
  • Frequency
  • Avg Position Time (mins)
    147.65
  • Avg Position Time (hrs)
    2.46
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1029
  • Leverage
  • Daily leverage (average)
    18.81
  • Daily leverage (max)
    67.73
  • Regression
  • Alpha
    0.05
  • Beta
    0.02
  • Treynor Index
    2.97
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.53
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.49
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.45
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -42.822
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.561
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.532
  • Hold-and-Hope Ratio
    -0.023
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27941
  • SD
    0.21906
  • Sharpe ratio (Glass type estimate)
    1.27549
  • Sharpe ratio (Hedges UMVUE)
    1.25199
  • df
    41.00000
  • t
    2.38621
  • p
    0.01086
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33411
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.46047
  • Upside Potential Ratio
    7.05066
  • Upside part of mean
    0.36077
  • Downside part of mean
    -0.08137
  • Upside SD
    0.22524
  • Downside SD
    0.05117
  • N nonnegative terms
    17.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.20747
  • Mean of criterion
    0.27941
  • SD of predictor
    0.25693
  • SD of criterion
    0.21906
  • Covariance
    0.00165
  • r
    0.02940
  • b (slope, estimate of beta)
    0.02506
  • a (intercept, estimate of alpha)
    0.27421
  • Mean Square Error
    0.04914
  • DF error
    40.00000
  • t(b)
    0.18601
  • p(b)
    0.42669
  • t(a)
    2.25223
  • p(a)
    0.01493
  • Lowerbound of 95% confidence interval for beta
    -0.24727
  • Upperbound of 95% confidence interval for beta
    0.29740
  • Lowerbound of 95% confidence interval for alpha
    0.02814
  • Upperbound of 95% confidence interval for alpha
    0.52027
  • Treynor index (mean / b)
    11.14760
  • Jensen alpha (a)
    0.27421
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25477
  • SD
    0.20301
  • Sharpe ratio (Glass type estimate)
    1.25494
  • Sharpe ratio (Hedges UMVUE)
    1.23182
  • df
    41.00000
  • t
    2.34778
  • p
    0.01190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16571
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32986
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31286
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.88455
  • Upside Potential Ratio
    6.46666
  • Upside part of mean
    0.33729
  • Downside part of mean
    -0.08252
  • Upside SD
    0.20717
  • Downside SD
    0.05216
  • N nonnegative terms
    17.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.17061
  • Mean of criterion
    0.25477
  • SD of predictor
    0.27449
  • SD of criterion
    0.20301
  • Covariance
    0.00290
  • r
    0.05208
  • b (slope, estimate of beta)
    0.03852
  • a (intercept, estimate of alpha)
    0.24820
  • Mean Square Error
    0.04213
  • DF error
    40.00000
  • t(b)
    0.32982
  • p(b)
    0.37163
  • t(a)
    2.22582
  • p(a)
    0.01586
  • Lowerbound of 95% confidence interval for beta
    -0.19751
  • Upperbound of 95% confidence interval for beta
    0.27455
  • Lowerbound of 95% confidence interval for alpha
    0.02283
  • Upperbound of 95% confidence interval for alpha
    0.47357
  • Treynor index (mean / b)
    6.61424
  • Jensen alpha (a)
    0.24820
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07241
  • Expected Shortfall on VaR
    0.09464
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01733
  • Expected Shortfall on VaR
    0.03414
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.94748
  • Quartile 1
    0.99860
  • Median
    1.00000
  • Quartile 3
    1.02534
  • Maximum
    1.25943
  • Mean of quarter 1
    0.97940
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00651
  • Mean of quarter 4
    1.11248
  • Inter Quartile Range
    0.02673
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.04762
  • Mean of outliers low
    0.95290
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.21429
  • Mean of outliers high
    1.12848
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30750
  • VaR(95%) (moments method)
    0.00964
  • Expected Shortfall (moments method)
    0.01871
  • Extreme Value Index (regression method)
    -0.07975
  • VaR(95%) (regression method)
    0.02479
  • Expected Shortfall (regression method)
    0.03697
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00327
  • Quartile 1
    0.01133
  • Median
    0.02652
  • Quartile 3
    0.06518
  • Maximum
    0.14361
  • Mean of quarter 1
    0.00327
  • Mean of quarter 2
    0.01401
  • Mean of quarter 3
    0.03903
  • Mean of quarter 4
    0.14361
  • Inter Quartile Range
    0.05385
  • 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)
    0.48272
  • Compounded annual return (geometric extrapolation)
    0.32668
  • Calmar ratio (compounded annual return / max draw down)
    2.27469
  • Compounded annual return / average of 25% largest draw downs
    2.27469
  • Compounded annual return / Expected Shortfall lognormal
    3.45188
  • 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
    0.26491
  • SD
    0.14422
  • Sharpe ratio (Glass type estimate)
    1.83687
  • Sharpe ratio (Hedges UMVUE)
    1.83537
  • df
    917.00000
  • t
    3.43834
  • p
    0.00031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78493
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88580
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.11414
  • Upside Potential Ratio
    8.27990
  • Upside part of mean
    0.70433
  • Downside part of mean
    -0.43943
  • Upside SD
    0.11750
  • Downside SD
    0.08507
  • N nonnegative terms
    322.00000
  • N negative terms
    596.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    918.00000
  • Mean of predictor
    0.20318
  • Mean of criterion
    0.26491
  • SD of predictor
    0.25535
  • SD of criterion
    0.14422
  • Covariance
    0.00133
  • r
    0.03624
  • b (slope, estimate of beta)
    0.02047
  • a (intercept, estimate of alpha)
    0.26100
  • Mean Square Error
    0.02079
  • DF error
    916.00000
  • t(b)
    1.09754
  • p(b)
    0.13635
  • t(a)
    3.38066
  • p(a)
    0.00038
  • Lowerbound of 95% confidence interval for beta
    -0.01613
  • Upperbound of 95% confidence interval for beta
    0.05707
  • Lowerbound of 95% confidence interval for alpha
    0.10938
  • Upperbound of 95% confidence interval for alpha
    0.41212
  • Treynor index (mean / b)
    12.94260
  • Jensen alpha (a)
    0.26075
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25446
  • SD
    0.14321
  • Sharpe ratio (Glass type estimate)
    1.77679
  • Sharpe ratio (Hedges UMVUE)
    1.77533
  • df
    917.00000
  • t
    3.32588
  • p
    0.00046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82555
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.95354
  • Upside Potential Ratio
    8.09615
  • Upside part of mean
    0.69752
  • Downside part of mean
    -0.44306
  • Upside SD
    0.11538
  • Downside SD
    0.08615
  • N nonnegative terms
    322.00000
  • N negative terms
    596.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    918.00000
  • Mean of predictor
    0.17039
  • Mean of criterion
    0.25446
  • SD of predictor
    0.25622
  • SD of criterion
    0.14321
  • Covariance
    0.00132
  • r
    0.03594
  • b (slope, estimate of beta)
    0.02009
  • a (intercept, estimate of alpha)
    0.25104
  • Mean Square Error
    0.02051
  • DF error
    916.00000
  • t(b)
    1.08830
  • p(b)
    0.13837
  • t(a)
    3.27870
  • p(a)
    0.00054
  • Lowerbound of 95% confidence interval for beta
    -0.01614
  • Upperbound of 95% confidence interval for beta
    0.05631
  • Lowerbound of 95% confidence interval for alpha
    0.10077
  • Upperbound of 95% confidence interval for alpha
    0.40131
  • Treynor index (mean / b)
    12.66860
  • Jensen alpha (a)
    0.25104
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01349
  • Expected Shortfall on VaR
    0.01713
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00446
  • Expected Shortfall on VaR
    0.00968
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    918.00000
  • Minimum
    0.94944
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00247
  • Maximum
    1.08482
  • Mean of quarter 1
    0.99358
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00056
  • Mean of quarter 4
    1.01032
  • Inter Quartile Range
    0.00247
  • Number outliers low
    110.00000
  • Percentage of outliers low
    0.11983
  • Mean of outliers low
    0.98775
  • Number of outliers high
    129.00000
  • Percentage of outliers high
    0.14052
  • Mean of outliers high
    1.01535
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17149
  • VaR(95%) (moments method)
    0.00354
  • Expected Shortfall (moments method)
    0.00628
  • Extreme Value Index (regression method)
    0.11340
  • VaR(95%) (regression method)
    0.00723
  • Expected Shortfall (regression method)
    0.01324
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00067
  • Quartile 1
    0.00354
  • Median
    0.01257
  • Quartile 3
    0.04366
  • Maximum
    0.19036
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.00653
  • Mean of quarter 3
    0.02972
  • Mean of quarter 4
    0.08324
  • Inter Quartile Range
    0.04011
  • 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
    0.06250
  • Mean of outliers high
    0.14727
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38334
  • VaR(95%) (moments method)
    0.09588
  • Expected Shortfall (moments method)
    0.16108
  • Extreme Value Index (regression method)
    1.19625
  • VaR(95%) (regression method)
    0.09432
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48220
  • Compounded annual return (geometric extrapolation)
    0.32627
  • Calmar ratio (compounded annual return / max draw down)
    1.71393
  • Compounded annual return / average of 25% largest draw downs
    3.91980
  • Compounded annual return / Expected Shortfall lognormal
    19.05150
  • 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
    0.53337
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.32887
  • 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
    0.47965
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.32674
  • 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)
    -6838330000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01300
  • 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)
    -186038000000000006784824530436096.00000
  • 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?
    -391836000
  • Max Equity Drawdown (num days)
    182
  • 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

Aggressive Trend Scalper is a fully automated system.
No Grid, No Martingale, No over-optimization.
The EA focused on intraday short term trade only.
1. Trading paires: eurusd, usdjpy
2. Timeframe: H1
3. Tickdata Backtest report:
https://forums.collective2.com/t/aggressive-trend-scalper-tickdata-backtest-reports/12676/8
4. Entry: Every order has fixed 20 pips take profit level.
5. Exit:
①Every order has fixed 20 pips stop loss level.
②The EA could also detect potential trend reversal in very short term period, if so, it will exit the trade no matter win or loss.
6. Risk control:
I suggest every $10k balance with fixed 0.5-1.0 standard lot per trade.
In this strategy, I use fixed 6-10 standard lot per trade for $50k balance. Please adjust your scaling proportion according to this thread:
https://support.collective2.com/hc/en-us/articles/202933834-AutoTrade-Configuration-Scaling-Max-Size-Auto-Stop-Loss
7. Trading conditions of Master account:
Spread: 0.2-0.4 pip for eurusd and 0.2-0.3 pip for usdjpy
Commission: $2.0-2.5 per side per standard lot
8. If the spread of your account is higher than that level, please see another strategy and backtest report:
https://collective2.com/details/122385528
https://forums.collective2.com/t/euroscalpingpro-tickdata-backtest-reports/12684/2

Thanks,

Summary Statistics

Strategy began
2019-01-09
Suggested Minimum Capital
$40,000
# Trades
735
# Profitable
538
% Profitable
73.2%
Correlation S&P500
0.025
Sharpe Ratio
1.12
Sortino Ratio
1.87
Beta
0.02
Alpha
0.05
Leverage
18.81 Average
67.73 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.