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Just Forex Trades
(94987184)

Created by: Jay_ Jay_
Started: 06/2015
Forex
Last trade: Today
Trading style: Equity Momentum Short-term Reversal

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 $225.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
82.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(30.8%)
Max Drawdown
899
Num Trades
93.4%
Win Trades
17.2 : 1
Profit Factor
72.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +10.9%(1.4%)+14.0%+5.2%+12.9%(9.9%)+10.6%+47.6%
2016(5.9%)+13.6%(17.1%)+39.5%+16.6%+10.2%+4.8%+1.9%+0.8%(3.4%)+7.4%+2.9%+82.7%
2017+9.4%+3.6%+4.2%(13.3%)(5%)+3.9%+2.0%(2.9%)+1.7%+10.1%(5.6%)+17.2%+23.8%
2018(3.7%)+13.7%(6.2%)+15.6%+19.9%+0.2%+9.6%(2.7%)+1.3%+14.2%(3.1%)(17.3%)+41.2%
2019+36.5%+9.1%+9.9%(7.4%)+13.5%+6.4%+12.6%+17.6%+1.8%+10.9%+10.2%+5.2%+216.9%

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 1,570 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/9/19 21:04 NZD/USD NZD/USD SHORT 150 0.65583 12/10 9:52 0.65399 0.49%
Trade id #126551733
Max drawdown($1,452)
Time12/9/19 21:23
Quant open150
Worst price0.65680
Drawdown as % of equity-0.49%
$2,757
12/6/19 13:53 USD/CAD USD/CAD SHORT 150 1.32585 12/9 9:50 1.32384 0.26%
Trade id #126521816
Max drawdown($755)
Time12/6/19 15:11
Quant open150
Worst price1.32652
Drawdown as % of equity-0.26%
$2,276
12/2/19 11:18 CHF/JPY CHF/JPY SHORT 250 109.916 12/6 9:10 109.900 2.59%
Trade id #126442267
Max drawdown($7,533)
Time12/5/19 0:00
Quant open250
Worst price110.244
Drawdown as % of equity-2.59%
$376
12/3/19 10:29 AUD/CAD AUD/CAD SHORT 250 0.91080 12/3 10:42 0.90936 0.05%
Trade id #126459105
Max drawdown($150)
Time12/3/19 10:30
Quant open250
Worst price0.91088
Drawdown as % of equity-0.05%
$2,698
11/26/19 14:22 CAD/JPY CAD/JPY SHORT 200 82.123 12/2 10:56 82.027 3.06%
Trade id #126373685
Max drawdown($8,775)
Time12/2/19 3:43
Quant open200
Worst price82.601
Drawdown as % of equity-3.06%
$1,748
11/22/19 11:00 USD/CHF USD/CHF SHORT 200 0.99600 12/2 10:00 0.99421 4.4%
Trade id #126326264
Max drawdown($12,659)
Time11/29/19 0:00
Quant open200
Worst price1.00233
Drawdown as % of equity-4.40%
$3,609
12/1/19 20:29 USD/JPY USD/JPY SHORT 200 109.680 12/2 10:00 109.456 0.3%
Trade id #126433102
Max drawdown($857)
Time12/1/19 21:27
Quant open200
Worst price109.727
Drawdown as % of equity-0.30%
$4,095
11/29/19 14:23 GBP/AUD GBP/AUD SHORT 100 1.91153 12/1 20:21 1.90792 0.4%
Trade id #126423643
Max drawdown($1,147)
Time11/29/19 16:56
Quant open100
Worst price1.91323
Drawdown as % of equity-0.40%
$2,445
11/27/19 16:12 USD/JPY USD/JPY SHORT 100 109.538 11/29 13:00 109.412 0.42%
Trade id #126398431
Max drawdown($1,193)
Time11/29/19 8:14
Quant open100
Worst price109.669
Drawdown as % of equity-0.42%
$1,150
11/15/19 11:36 EUR/USD EUR/USD SHORT 200 1.10456 11/22 9:46 1.10454 3.53%
Trade id #126228789
Max drawdown($10,276)
Time11/21/19 0:00
Quant open200
Worst price1.10970
Drawdown as % of equity-3.53%
$48
11/20/19 9:46 USD/CHF USD/CHF SHORT 235 0.99287 11/20 12:58 0.99086 0.52%
Trade id #126283669
Max drawdown($1,503)
Time11/20/19 10:38
Quant open235
Worst price0.99350
Drawdown as % of equity-0.52%
$4,754
11/19/19 10:02 AUD/CHF AUD/CHF SHORT 230 0.67638 11/19 21:12 0.67519 0.63%
Trade id #126268369
Max drawdown($1,795)
Time11/19/19 11:40
Quant open230
Worst price0.67715
Drawdown as % of equity-0.63%
$2,745
11/12/19 15:43 USD/CAD USD/CAD SHORT 100 1.32355 11/15 11:04 1.32218 0.94%
Trade id #126179657
Max drawdown($2,651)
Time11/14/19 0:00
Quant open100
Worst price1.32706
Drawdown as % of equity-0.94%
$1,038
11/14/19 12:49 EUR/AUD EUR/AUD SHORT 100 1.62470 11/14 20:08 1.62194 0.34%
Trade id #126213657
Max drawdown($958)
Time11/14/19 13:59
Quant open100
Worst price1.62611
Drawdown as % of equity-0.34%
$1,875
11/13/19 10:26 NZD/USD NZD/USD SHORT 200 0.64016 11/14 8:57 0.63803 1.22%
Trade id #126189270
Max drawdown($3,404)
Time11/13/19 19:08
Quant open200
Worst price0.64186
Drawdown as % of equity-1.22%
$4,258
8/26/19 9:05 AUD/NZD AUD/NZD SHORT 200 1.06635 11/13 9:07 1.06646 10.13%
Trade id #125084068
Max drawdown($25,712)
Time11/7/19 0:00
Quant open200
Worst price1.08655
Drawdown as % of equity-10.13%
($131)
11/8/19 13:37 USD/CHF USD/CHF SHORT 100 0.99733 11/11 9:15 0.99349 0.22%
Trade id #126134997
Max drawdown($556)
Time11/8/19 15:33
Quant open100
Worst price0.99788
Drawdown as % of equity-0.22%
$3,856
11/7/19 11:21 USD/JPY USD/JPY SHORT 100 109.287 11/8 11:23 109.088 0.73%
Trade id #126113405
Max drawdown($1,839)
Time11/7/19 13:02
Quant open100
Worst price109.488
Drawdown as % of equity-0.73%
$1,818
11/6/19 14:33 USD/CAD USD/CAD SHORT 200 1.31820 11/7 10:01 1.31685 0.9%
Trade id #126098878
Max drawdown($2,289)
Time11/6/19 22:22
Quant open200
Worst price1.31971
Drawdown as % of equity-0.90%
$2,048
11/5/19 12:57 USD/JPY USD/JPY SHORT 200 109.123 11/6 1:41 108.919 0.88%
Trade id #126080184
Max drawdown($2,220)
Time11/5/19 15:02
Quant open200
Worst price109.244
Drawdown as % of equity-0.88%
$3,741
11/5/19 10:55 CAD/JPY CAD/JPY SHORT 200 82.951 11/5 11:50 82.825 0.22%
Trade id #126077312
Max drawdown($563)
Time11/5/19 11:07
Quant open200
Worst price82.982
Drawdown as % of equity-0.22%
$2,314
11/4/19 11:01 CHF/JPY CHF/JPY SHORT 100 110.038 11/4 16:41 109.926 0.08%
Trade id #126061851
Max drawdown($202)
Time11/4/19 13:03
Quant open100
Worst price110.060
Drawdown as % of equity-0.08%
$1,034
11/1/19 13:55 AUD/JPY AUD/JPY SHORT 100 74.839 11/1 15:20 74.737 0.03%
Trade id #126042770
Max drawdown($72)
Time11/1/19 13:56
Quant open100
Worst price74.847
Drawdown as % of equity-0.03%
$940
10/10/19 11:10 USD/JPY USD/JPY SHORT 200 107.937 10/31 13:31 107.934 10.81%
Trade id #125722068
Max drawdown($24,796)
Time10/30/19 0:00
Quant open200
Worst price109.286
Drawdown as % of equity-10.81%
$52
10/24/19 16:44 CAD/CHF CAD/CHF SHORT 150 0.75976 10/30 10:01 0.75661 2.56%
Trade id #125940389
Max drawdown($6,026)
Time10/28/19 0:00
Quant open150
Worst price0.76376
Drawdown as % of equity-2.56%
$4,772
10/16/19 15:00 CHF/JPY CHF/JPY SHORT 100 109.306 10/25 10:55 109.295 4.22%
Trade id #125820431
Max drawdown($10,022)
Time10/21/19 0:00
Quant open100
Worst price110.394
Drawdown as % of equity-4.22%
$93
10/9/19 12:59 USD/JPY USD/JPY SHORT 100 107.564 10/9 18:20 107.359 0.23%
Trade id #125702618
Max drawdown($593)
Time10/9/19 13:01
Quant open100
Worst price107.628
Drawdown as % of equity-0.23%
$1,916
10/7/19 15:14 EUR/JPY EUR/JPY SHORT 200 117.737 10/8 5:30 117.676 1.72%
Trade id #125665601
Max drawdown($4,351)
Time10/8/19 2:03
Quant open200
Worst price117.970
Drawdown as % of equity-1.72%
$1,129
10/3/19 9:10 NZD/USD NZD/USD SHORT 200 0.62841 10/7 6:27 0.62850 4.25%
Trade id #125609996
Max drawdown($10,522)
Time10/4/19 0:00
Quant open200
Worst price0.63367
Drawdown as % of equity-4.25%
($190)
10/2/19 9:21 EUR/AUD EUR/AUD SHORT 200 1.63438 10/2 21:21 1.63263 1.3%
Trade id #125589402
Max drawdown($3,265)
Time10/2/19 9:47
Quant open200
Worst price1.63682
Drawdown as % of equity-1.30%
$2,352

Statistics

  • Strategy began
    6/12/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1642.12
  • Age
    55 months ago
  • What it trades
    Forex
  • # Trades
    899
  • # Profitable
    840
  • % Profitable
    93.40%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    30.76%
  • drawdown period
    April 16, 2017 - Sept 20, 2017
  • Annual Return (Compounded)
    82.2%
  • Avg win
    $383.36
  • Avg loss
    $317.32
  • Model Account Values (Raw)
  • Cash
    $332,698
  • Margin Used
    $88,679
  • Buying Power
    $234,621
  • Ratios
  • W:L ratio
    17.20:1
  • Sharpe Ratio
    1.64
  • Sortino Ratio
    2.64
  • Calmar Ratio
    3.589
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1345.35%
  • Correlation to SP500
    0.03130
  • Return Percent SP500 (cumu) during strategy life
    49.59%
  • Return Statistics
  • Ann Return (w trading costs)
    82.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.05%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.822%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    84.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    13.50%
  • Chance of 30% account loss
    2.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    994
  • Popularity (Last 6 weeks)
    999
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    10
  • Popularity (7 days, Percentile 1000 scale)
    997
  • 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
    $485
  • Avg Win
    $383
  • Sum Trade PL (losers)
    $28,637.000
  • AUM
  • AUM (AutoTrader num accounts)
    40
  • Age
  • Num Months (Age strategy)
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $321,839.000
  • # Winners
    840
  • Num Months Winners
    40
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    7125520
  • Win / Loss
  • # Losers
    59
  • % Winners
    93.4%
  • Frequency
  • Avg Position Time (mins)
    13031.50
  • Avg Position Time (hrs)
    217.19
  • Avg Trade Length
    9.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    9.39
  • Daily leverage (max)
    20.83
  • Regression
  • Alpha
    0.17
  • Beta
    0.07
  • Treynor Index
    2.35
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    97.67
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    99.62
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    14.65
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    3.533
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    2.088
  • Avg(MAE) / Avg(PL) - Losing trades
    -7.601
  • Hold-and-Hope Ratio
    0.294
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66692
  • SD
    0.36762
  • Sharpe ratio (Glass type estimate)
    1.81412
  • Sharpe ratio (Hedges UMVUE)
    1.78783
  • df
    52.00000
  • t
    3.81253
  • p
    0.00018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.81111
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78172
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.74539
  • Upside Potential Ratio
    5.23157
  • Upside part of mean
    0.93155
  • Downside part of mean
    -0.26464
  • Upside SD
    0.37143
  • Downside SD
    0.17806
  • N nonnegative terms
    38.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.07265
  • Mean of criterion
    0.66692
  • SD of predictor
    0.12315
  • SD of criterion
    0.36762
  • Covariance
    0.00706
  • r
    0.15599
  • b (slope, estimate of beta)
    0.46565
  • a (intercept, estimate of alpha)
    0.63309
  • Mean Square Error
    0.13445
  • DF error
    51.00000
  • t(b)
    1.12783
  • p(b)
    0.13234
  • t(a)
    3.57613
  • p(a)
    0.00039
  • Lowerbound of 95% confidence interval for beta
    -0.36323
  • Upperbound of 95% confidence interval for beta
    1.29454
  • Lowerbound of 95% confidence interval for alpha
    0.27768
  • Upperbound of 95% confidence interval for alpha
    0.98849
  • Treynor index (mean / b)
    1.43222
  • Jensen alpha (a)
    0.63309
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58605
  • SD
    0.35787
  • Sharpe ratio (Glass type estimate)
    1.63761
  • Sharpe ratio (Hedges UMVUE)
    1.61387
  • df
    52.00000
  • t
    3.44157
  • p
    0.00057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.64648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63104
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59671
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04003
  • Upside Potential Ratio
    4.50084
  • Upside part of mean
    0.86766
  • Downside part of mean
    -0.28161
  • Upside SD
    0.34221
  • Downside SD
    0.19278
  • N nonnegative terms
    38.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.06479
  • Mean of criterion
    0.58605
  • SD of predictor
    0.12406
  • SD of criterion
    0.35787
  • Covariance
    0.00729
  • r
    0.16418
  • b (slope, estimate of beta)
    0.47359
  • a (intercept, estimate of alpha)
    0.55536
  • Mean Square Error
    0.12706
  • DF error
    51.00000
  • t(b)
    1.18859
  • p(b)
    0.12005
  • t(a)
    3.23701
  • p(a)
    0.00106
  • Lowerbound of 95% confidence interval for beta
    -0.32633
  • Upperbound of 95% confidence interval for beta
    1.27351
  • Lowerbound of 95% confidence interval for alpha
    0.21093
  • Upperbound of 95% confidence interval for alpha
    0.89980
  • Treynor index (mean / b)
    1.23745
  • Jensen alpha (a)
    0.55536
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11404
  • Expected Shortfall on VaR
    0.15086
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03339
  • Expected Shortfall on VaR
    0.07654
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.80693
  • Quartile 1
    0.97890
  • Median
    1.05822
  • Quartile 3
    1.13919
  • Maximum
    1.24947
  • Mean of quarter 1
    0.91967
  • Mean of quarter 2
    1.03465
  • Mean of quarter 3
    1.10367
  • Mean of quarter 4
    1.18426
  • Inter Quartile Range
    0.16029
  • 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)
    0.21165
  • VaR(95%) (moments method)
    0.06773
  • Expected Shortfall (moments method)
    0.11153
  • Extreme Value Index (regression method)
    0.15043
  • VaR(95%) (regression method)
    0.05597
  • Expected Shortfall (regression method)
    0.08412
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00930
  • Quartile 1
    0.04406
  • Median
    0.05873
  • Quartile 3
    0.11422
  • Maximum
    0.19980
  • Mean of quarter 1
    0.02437
  • Mean of quarter 2
    0.05187
  • Mean of quarter 3
    0.09582
  • Mean of quarter 4
    0.17481
  • Inter Quartile Range
    0.07016
  • 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)
    -2.11167
  • VaR(95%) (moments method)
    0.18084
  • Expected Shortfall (moments method)
    0.18270
  • Extreme Value Index (regression method)
    -1.76160
  • VaR(95%) (regression method)
    0.20782
  • Expected Shortfall (regression method)
    0.21073
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.18199
  • Compounded annual return (geometric extrapolation)
    0.84772
  • Calmar ratio (compounded annual return / max draw down)
    4.24287
  • Compounded annual return / average of 25% largest draw downs
    4.84924
  • Compounded annual return / Expected Shortfall lognormal
    5.61920
  • 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
    0.62894
  • SD
    0.28693
  • Sharpe ratio (Glass type estimate)
    2.19198
  • Sharpe ratio (Hedges UMVUE)
    2.19057
  • df
    1164.00000
  • t
    4.62220
  • p
    0.43287
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.25779
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12499
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12429
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56776
  • Upside Potential Ratio
    11.42930
  • Upside part of mean
    2.01480
  • Downside part of mean
    -1.38587
  • Upside SD
    0.22954
  • Downside SD
    0.17628
  • N nonnegative terms
    648.00000
  • N negative terms
    517.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1165.00000
  • Mean of predictor
    0.07203
  • Mean of criterion
    0.62894
  • SD of predictor
    0.13670
  • SD of criterion
    0.28693
  • Covariance
    0.00093
  • r
    0.02364
  • b (slope, estimate of beta)
    0.04963
  • a (intercept, estimate of alpha)
    0.62500
  • Mean Square Error
    0.08235
  • DF error
    1163.00000
  • t(b)
    0.80655
  • p(b)
    0.48495
  • t(a)
    4.59280
  • p(a)
    0.41528
  • Lowerbound of 95% confidence interval for beta
    -0.07110
  • Upperbound of 95% confidence interval for beta
    0.17035
  • Lowerbound of 95% confidence interval for alpha
    0.35821
  • Upperbound of 95% confidence interval for alpha
    0.89251
  • Treynor index (mean / b)
    12.67320
  • Jensen alpha (a)
    0.62536
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58728
  • SD
    0.28577
  • Sharpe ratio (Glass type estimate)
    2.05506
  • Sharpe ratio (Hedges UMVUE)
    2.05374
  • df
    1164.00000
  • t
    4.33349
  • p
    0.43700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.12142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12053
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98695
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27741
  • Upside Potential Ratio
    11.09920
  • Upside part of mean
    1.98888
  • Downside part of mean
    -1.40160
  • Upside SD
    0.22540
  • Downside SD
    0.17919
  • N nonnegative terms
    648.00000
  • N negative terms
    517.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1165.00000
  • Mean of predictor
    0.06266
  • Mean of criterion
    0.58728
  • SD of predictor
    0.13696
  • SD of criterion
    0.28577
  • Covariance
    0.00090
  • r
    0.02303
  • b (slope, estimate of beta)
    0.04805
  • a (intercept, estimate of alpha)
    0.58427
  • Mean Square Error
    0.08169
  • DF error
    1163.00000
  • t(b)
    0.78555
  • p(b)
    0.48534
  • t(a)
    4.30884
  • p(a)
    0.42041
  • Lowerbound of 95% confidence interval for beta
    -0.07196
  • Upperbound of 95% confidence interval for beta
    0.16806
  • Lowerbound of 95% confidence interval for alpha
    0.31823
  • Upperbound of 95% confidence interval for alpha
    0.85032
  • Treynor index (mean / b)
    12.22210
  • Jensen alpha (a)
    0.58427
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02644
  • Expected Shortfall on VaR
    0.03358
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01128
  • Expected Shortfall on VaR
    0.02253
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1165.00000
  • Minimum
    0.92898
  • Quartile 1
    0.99282
  • Median
    1.00189
  • Quartile 3
    1.01126
  • Maximum
    1.07763
  • Mean of quarter 1
    0.98174
  • Mean of quarter 2
    0.99754
  • Mean of quarter 3
    1.00617
  • Mean of quarter 4
    1.02464
  • Inter Quartile Range
    0.01845
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.02489
  • Mean of outliers low
    0.95600
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.03433
  • Mean of outliers high
    1.04959
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17746
  • VaR(95%) (moments method)
    0.01769
  • Expected Shortfall (moments method)
    0.02682
  • Extreme Value Index (regression method)
    0.00178
  • VaR(95%) (regression method)
    0.01685
  • Expected Shortfall (regression method)
    0.02286
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    97.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00638
  • Median
    0.01510
  • Quartile 3
    0.03476
  • Maximum
    0.23682
  • Mean of quarter 1
    0.00312
  • Mean of quarter 2
    0.01038
  • Mean of quarter 3
    0.02416
  • Mean of quarter 4
    0.10400
  • Inter Quartile Range
    0.02837
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.15464
  • Mean of outliers high
    0.13474
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.14405
  • VaR(95%) (moments method)
    0.08925
  • Expected Shortfall (moments method)
    0.11574
  • Extreme Value Index (regression method)
    -0.21477
  • VaR(95%) (regression method)
    0.09920
  • Expected Shortfall (regression method)
    0.12639
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.24232
  • Compounded annual return (geometric extrapolation)
    0.85001
  • Calmar ratio (compounded annual return / max draw down)
    3.58922
  • Compounded annual return / average of 25% largest draw downs
    8.17298
  • Compounded annual return / Expected Shortfall lognormal
    25.31460
  • 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
    1.09280
  • SD
    0.32237
  • Sharpe ratio (Glass type estimate)
    3.38986
  • Sharpe ratio (Hedges UMVUE)
    3.37026
  • df
    130.00000
  • t
    2.39699
  • p
    0.39713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.18578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.17218
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.32977
  • Upside Potential Ratio
    14.77350
  • Upside part of mean
    2.54905
  • Downside part of mean
    -1.45625
  • Upside SD
    0.27914
  • Downside SD
    0.17254
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14351
  • Mean of criterion
    1.09280
  • SD of predictor
    0.12620
  • SD of criterion
    0.32237
  • Covariance
    -0.00640
  • r
    -0.15734
  • b (slope, estimate of beta)
    -0.40193
  • a (intercept, estimate of alpha)
    1.15048
  • Mean Square Error
    0.10214
  • DF error
    129.00000
  • t(b)
    -1.80956
  • p(b)
    0.59975
  • t(a)
    2.53919
  • p(a)
    0.36221
  • Lowerbound of 95% confidence interval for beta
    -0.84138
  • Upperbound of 95% confidence interval for beta
    0.03753
  • Lowerbound of 95% confidence interval for alpha
    0.25403
  • Upperbound of 95% confidence interval for alpha
    2.04693
  • Treynor index (mean / b)
    -2.71890
  • Jensen alpha (a)
    1.15048
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.03963
  • SD
    0.31938
  • Sharpe ratio (Glass type estimate)
    3.25519
  • Sharpe ratio (Hedges UMVUE)
    3.23637
  • df
    130.00000
  • t
    2.30176
  • p
    0.40106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.04900
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.03595
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.94749
  • Upside Potential Ratio
    14.36410
  • Upside part of mean
    2.51088
  • Downside part of mean
    -1.47124
  • Upside SD
    0.27348
  • Downside SD
    0.17480
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13552
  • Mean of criterion
    1.03963
  • SD of predictor
    0.12665
  • SD of criterion
    0.31938
  • Covariance
    -0.00636
  • r
    -0.15716
  • b (slope, estimate of beta)
    -0.39630
  • a (intercept, estimate of alpha)
    1.09334
  • Mean Square Error
    0.10025
  • DF error
    129.00000
  • t(b)
    -1.80742
  • p(b)
    0.59964
  • t(a)
    2.43632
  • p(a)
    0.36746
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    -0.83011
  • Upperbound of 95% confidence interval for beta
    0.03752
  • Lowerbound of 95% confidence interval for alpha
    0.20544
  • Upperbound of 95% confidence interval for alpha
    1.98123
  • Treynor index (mean / b)
    -2.62337
  • Jensen alpha (a)
    1.09334
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02808
  • Expected Shortfall on VaR
    0.03604
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01168
  • Expected Shortfall on VaR
    0.02257
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96240
  • Quartile 1
    0.99119
  • Median
    1.00290
  • Quartile 3
    1.01563
  • Maximum
    1.07763
  • Mean of quarter 1
    0.98090
  • Mean of quarter 2
    0.99761
  • Mean of quarter 3
    1.00874
  • Mean of quarter 4
    1.03000
  • Inter Quartile Range
    0.02444
  • 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
    0.01527
  • Mean of outliers high
    1.06649
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08057
  • VaR(95%) (moments method)
    0.01932
  • Expected Shortfall (moments method)
    0.02451
  • Extreme Value Index (regression method)
    -0.48362
  • VaR(95%) (regression method)
    0.01769
  • Expected Shortfall (regression method)
    0.01987
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00142
  • Quartile 1
    0.01001
  • Median
    0.01698
  • Quartile 3
    0.03445
  • Maximum
    0.10976
  • Mean of quarter 1
    0.00536
  • Mean of quarter 2
    0.01415
  • Mean of quarter 3
    0.02392
  • Mean of quarter 4
    0.06734
  • Inter Quartile Range
    0.02444
  • 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
    0.10000
  • Mean of outliers high
    0.09793
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.15373
  • VaR(95%) (moments method)
    0.06958
  • Expected Shortfall (moments method)
    0.08912
  • Extreme Value Index (regression method)
    0.99598
  • VaR(95%) (regression method)
    0.06704
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    10.19800
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -294900000
  • Max Equity Drawdown (num days)
    157
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.41070
  • Compounded annual return (geometric extrapolation)
    1.90821
  • Calmar ratio (compounded annual return / max draw down)
    17.38510
  • Compounded annual return / average of 25% largest draw downs
    28.33850
  • Compounded annual return / Expected Shortfall lognormal
    52.94790

Strategy Description

Our approach is based upon 3 principles
1)Exhaustive momentum is not sustainable.
2)Currencies are range bound.
3)Prices fall faster than they rise.

As such, we are a momentum based, Short only and we do not use initial stops, we therefore are non-correlated to most other programs.

Summary Statistics

Strategy began
2015-06-12
Suggested Minimum Capital
$100,000
# Trades
899
# Profitable
840
% Profitable
93.4%
Correlation S&P500
0.031
Sharpe Ratio
1.64
Sortino Ratio
2.64
Beta
0.07
Alpha
0.17
Leverage
9.39 Average
20.83 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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