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

EURUSD Forex Profits
(117530196)

Created by: ForexProfits ForexProfits
Started: 04/2018
Forex
Last trade: 4 days ago
Trading style: Futures 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 $39.00 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
Currencies
Category: Equity

Currencies

Focuses on currency futures.
16.3%
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.

(9.0%)
Max Drawdown
610
Num Trades
85.7%
Win Trades
8.2 : 1
Profit Factor
90.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +2.4%+3.8%+2.4%+0.7%+0.9%+2.0%+3.5%+2.8%+0.5%+20.7%
2019(0.8%)+1.6%+4.0%+0.2%+1.7%(2.7%)+2.4%+0.2%+0.3%+0.5%+0.3%+0.4%+8.3%
2020+0.3%                                                                  +0.3%

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 2,112 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/21/20 10:36 EUR/USD EUR/USD LONG 9 1.10653 1/24 2:49 1.10692 0.11%
Trade id #127117483
Max drawdown($69)
Time1/22/20 0:00
Quant open5
Worst price1.10702
Drawdown as % of equity-0.11%
$36
1/17/20 10:35 EUR/USD EUR/USD LONG 6 1.10907 1/21 5:01 1.10936 0.13%
Trade id #127064703
Max drawdown($83)
Time1/20/20 0:00
Quant open5
Worst price1.10767
Drawdown as % of equity-0.13%
$17
1/15/20 1:40 EUR/USD EUR/USD SHORT 1 1.11337 1/16 0:15 1.11527 0.05%
Trade id #127003956
Max drawdown($29)
Time1/15/20 9:34
Quant open1
Worst price1.11635
Drawdown as % of equity-0.05%
($19)
1/14/20 8:20 EUR/USD EUR/USD LONG 2 1.11103 1/14 9:52 1.11203 0.02%
Trade id #126982235
Max drawdown($12)
Time1/14/20 9:15
Quant open2
Worst price1.11043
Drawdown as % of equity-0.02%
$20
1/10/20 7:05 EUR/USD EUR/USD LONG 1 1.10938 1/12 17:01 1.11138 0.01%
Trade id #126942744
Max drawdown($7)
Time1/10/20 9:19
Quant open1
Worst price1.10862
Drawdown as % of equity-0.01%
$20
1/6/20 5:00 EUR/USD EUR/USD SHORT 4 1.11991 1/6 9:46 1.11872 0.04%
Trade id #126877644
Max drawdown($25)
Time1/6/20 6:17
Quant open4
Worst price1.12055
Drawdown as % of equity-0.04%
$47
1/3/20 4:15 EUR/USD EUR/USD LONG 11 1.11332 1/3 9:42 1.11432 0.14%
Trade id #126846512
Max drawdown($89)
Time1/3/20 6:49
Quant open11
Worst price1.11250
Drawdown as % of equity-0.14%
$110
12/31/19 7:05 EUR/USD EUR/USD SHORT 6 1.12337 12/31 13:30 1.12246 0.05%
Trade id #126798993
Max drawdown($33)
Time12/31/19 9:03
Quant open6
Worst price1.12393
Drawdown as % of equity-0.05%
$55
12/27/19 12:53 EUR/USD EUR/USD SHORT 1 1.11792 12/27 16:16 1.11750 0.01%
Trade id #126770746
Max drawdown($9)
Time12/27/19 14:09
Quant open1
Worst price1.11883
Drawdown as % of equity-0.01%
$4
12/27/19 6:05 EUR/USD EUR/USD SHORT 10 1.11676 12/27 11:12 1.11664 0.18%
Trade id #126764336
Max drawdown($116)
Time12/27/19 10:50
Quant open10
Worst price1.11792
Drawdown as % of equity-0.18%
$12
12/26/19 13:47 EUR/USD EUR/USD SHORT 1 1.11062 12/26 16:09 1.11011 0%
Trade id #126758948
Max drawdown($2)
Time12/26/19 13:59
Quant open1
Worst price1.11089
Drawdown as % of equity-0.00%
$5
12/26/19 9:12 EUR/USD EUR/USD SHORT 1 1.10956 12/26 10:08 1.10928 0.01%
Trade id #126754332
Max drawdown($3)
Time12/26/19 9:47
Quant open1
Worst price1.10990
Drawdown as % of equity-0.01%
$3
12/24/19 10:53 EUR/USD EUR/USD SHORT 2 1.10922 12/26 5:30 1.10857 0.01%
Trade id #126735979
Max drawdown($6)
Time12/26/19 3:30
Quant open1
Worst price1.10964
Drawdown as % of equity-0.01%
$13
12/23/19 10:10 EUR/USD EUR/USD SHORT 1 1.10915 12/24 2:43 1.10844 0.01%
Trade id #126724303
Max drawdown($4)
Time12/23/19 10:46
Quant open1
Worst price1.10959
Drawdown as % of equity-0.01%
$7
12/19/19 21:29 EUR/USD EUR/USD LONG 1 1.11164 12/20 3:17 1.11196 0%
Trade id #126696025
Max drawdown($2)
Time12/19/19 23:55
Quant open1
Worst price1.11138
Drawdown as % of equity-0.00%
$3
12/19/19 5:26 EUR/USD EUR/USD SHORT 3 1.11375 12/19 7:29 1.11241 0.03%
Trade id #126682782
Max drawdown($19)
Time12/19/19 6:01
Quant open3
Worst price1.11441
Drawdown as % of equity-0.03%
$40
12/17/19 20:50 EUR/USD EUR/USD LONG 6 1.11341 12/18 4:20 1.11423 0.07%
Trade id #126663556
Max drawdown($45)
Time12/18/19 4:02
Quant open6
Worst price1.11265
Drawdown as % of equity-0.07%
$49
12/16/19 1:55 EUR/USD EUR/USD SHORT 2 1.11445 12/16 3:32 1.11348 0.02%
Trade id #126634565
Max drawdown($12)
Time12/16/19 2:37
Quant open2
Worst price1.11506
Drawdown as % of equity-0.02%
$19
12/4/19 9:00 EUR/USD EUR/USD SHORT 1 1.11061 12/4 10:03 1.10946 0.01%
Trade id #126476718
Max drawdown($6)
Time12/4/19 10:02
Quant open1
Worst price1.11127
Drawdown as % of equity-0.01%
$12
12/2/19 10:25 EUR/USD EUR/USD SHORT 6 1.10814 12/2 12:54 1.10709 0.07%
Trade id #126441025
Max drawdown($47)
Time12/2/19 11:37
Quant open6
Worst price1.10894
Drawdown as % of equity-0.07%
$63
11/22/19 11:27 EUR/USD EUR/USD LONG 3 1.10223 11/26 18:32 1.10251 0.09%
Trade id #126327287
Max drawdown($56)
Time11/25/19 0:00
Quant open3
Worst price1.10036
Drawdown as % of equity-0.09%
$8
11/15/19 6:40 EUR/USD EUR/USD SHORT 106 1.10743 11/18 17:24 1.10734 2.57%
Trade id #126223428
Max drawdown($1,643)
Time11/18/19 11:18
Quant open104
Worst price1.10899
Drawdown as % of equity-2.57%
$97
11/14/19 12:47 EUR/USD EUR/USD SHORT 5 1.10236 11/15 2:55 1.10168 0.05%
Trade id #126213616
Max drawdown($30)
Time11/14/19 21:59
Quant open5
Worst price1.10298
Drawdown as % of equity-0.05%
$34
11/14/19 3:09 EUR/USD EUR/USD SHORT 1 1.10109 11/14 5:30 1.10006 0.01%
Trade id #126204315
Max drawdown($4)
Time11/14/19 3:18
Quant open1
Worst price1.10157
Drawdown as % of equity-0.01%
$10
11/12/19 1:49 EUR/USD EUR/USD SHORT 1 1.10343 11/12 3:18 1.10251 0%
Trade id #126163750
Max drawdown($1)
Time11/12/19 1:52
Quant open1
Worst price1.10356
Drawdown as % of equity-0.00%
$9
11/7/19 13:18 EUR/USD EUR/USD LONG 1 1.10414 11/7 15:08 1.10490 0%
Trade id #126117172
Max drawdown($1)
Time11/7/19 13:19
Quant open1
Worst price1.10403
Drawdown as % of equity-0.00%
$8
11/6/19 12:45 EUR/USD EUR/USD LONG 3 1.10624 11/7 3:40 1.10730 0.03%
Trade id #126096347
Max drawdown($18)
Time11/6/19 22:22
Quant open2
Worst price1.10549
Drawdown as % of equity-0.03%
$32
11/5/19 12:28 EUR/USD EUR/USD LONG 2 1.10715 11/5 22:29 1.10794 0.02%
Trade id #126079556
Max drawdown($15)
Time11/5/19 14:28
Quant open2
Worst price1.10635
Drawdown as % of equity-0.02%
$16
11/5/19 2:41 EUR/USD EUR/USD SHORT 1 1.11347 11/5 5:15 1.11300 0.01%
Trade id #126070997
Max drawdown($5)
Time11/5/19 3:06
Quant open1
Worst price1.11402
Drawdown as % of equity-0.01%
$5
10/30/19 22:09 EUR/USD EUR/USD SHORT 1 1.11661 10/31 3:12 1.11661 0.01%
Trade id #126014113
Max drawdown($4)
Time10/31/19 0:15
Quant open1
Worst price1.11706
Drawdown as % of equity-0.01%
$0

Statistics

  • Strategy began
    4/16/2018
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    651.86
  • Age
    22 months ago
  • What it trades
    Forex
  • # Trades
    610
  • # Profitable
    523
  • % Profitable
    85.70%
  • Avg trade duration
    12.6 hours
  • Max peak-to-valley drawdown
    9.03%
  • drawdown period
    May 28, 2018 - May 29, 2018
  • Annual Return (Compounded)
    16.3%
  • Avg win
    $35.82
  • Avg loss
    $26.28
  • Model Account Values (Raw)
  • Cash
    $66,448
  • Margin Used
    $0
  • Buying Power
    $66,448
  • Ratios
  • W:L ratio
    8.20:1
  • Sharpe Ratio
    1.43
  • Sortino Ratio
    2.45
  • Calmar Ratio
    4.386
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.02%
  • Correlation to SP500
    0.07590
  • Return Percent SP500 (cumu) during strategy life
    21.13%
  • Return Statistics
  • Ann Return (w trading costs)
    16.3%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.163%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    9964.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    597
  • Popularity (Last 6 weeks)
    941
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    3
  • Popularity (7 days, Percentile 1000 scale)
    841
  • 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
    $26
  • Avg Win
    $36
  • Sum Trade PL (losers)
    $2,286.000
  • AUM
  • AUM (AutoTrader num accounts)
    6
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $18,734.000
  • # Winners
    523
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1295740
  • Win / Loss
  • # Losers
    87
  • % Winners
    85.7%
  • Frequency
  • Avg Position Time (mins)
    756.73
  • Avg Position Time (hrs)
    12.61
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    2.12
  • Daily leverage (max)
    34.44
  • Regression
  • Alpha
    0.04
  • Beta
    0.04
  • Treynor Index
    0.86
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    56.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    48.59
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.36
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    4.501
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    3.491
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.589
  • Hold-and-Hope Ratio
    0.221
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13715
  • SD
    0.05820
  • Sharpe ratio (Glass type estimate)
    2.35664
  • Sharpe ratio (Hedges UMVUE)
    2.26695
  • df
    20.00000
  • t
    3.11754
  • p
    0.21407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.98267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62724
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90666
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.48520
  • Upside Potential Ratio
    7.72696
  • Upside part of mean
    0.16341
  • Downside part of mean
    -0.02626
  • Upside SD
    0.06592
  • Downside SD
    0.02115
  • N nonnegative terms
    17.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.09803
  • Mean of criterion
    0.13715
  • SD of predictor
    0.11888
  • SD of criterion
    0.05820
  • Covariance
    -0.00040
  • r
    -0.05754
  • b (slope, estimate of beta)
    -0.02817
  • a (intercept, estimate of alpha)
    0.13991
  • Mean Square Error
    0.00355
  • DF error
    19.00000
  • t(b)
    -0.25124
  • p(b)
    0.53661
  • t(a)
    3.01649
  • p(a)
    0.15836
  • Lowerbound of 95% confidence interval for beta
    -0.26285
  • Upperbound of 95% confidence interval for beta
    0.20651
  • Lowerbound of 95% confidence interval for alpha
    0.04283
  • Upperbound of 95% confidence interval for alpha
    0.23699
  • Treynor index (mean / b)
    -4.86851
  • Jensen alpha (a)
    0.13991
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13449
  • SD
    0.05745
  • Sharpe ratio (Glass type estimate)
    2.34089
  • Sharpe ratio (Hedges UMVUE)
    2.25180
  • df
    20.00000
  • t
    3.09670
  • p
    0.21536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88951
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.30979
  • Upside Potential Ratio
    7.54961
  • Upside part of mean
    0.16091
  • Downside part of mean
    -0.02643
  • Upside SD
    0.06478
  • Downside SD
    0.02131
  • N nonnegative terms
    17.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.09069
  • Mean of criterion
    0.13449
  • SD of predictor
    0.11933
  • SD of criterion
    0.05745
  • Covariance
    -0.00036
  • r
    -0.05202
  • b (slope, estimate of beta)
    -0.02504
  • a (intercept, estimate of alpha)
    0.13676
  • Mean Square Error
    0.00346
  • DF error
    19.00000
  • t(b)
    -0.22705
  • p(b)
    0.53310
  • t(a)
    2.99860
  • p(a)
    0.15956
  • Lowerbound of 95% confidence interval for beta
    -0.25590
  • Upperbound of 95% confidence interval for beta
    0.20581
  • Lowerbound of 95% confidence interval for alpha
    0.04130
  • Upperbound of 95% confidence interval for alpha
    0.23222
  • Treynor index (mean / b)
    -5.37020
  • Jensen alpha (a)
    0.13676
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01594
  • Expected Shortfall on VaR
    0.02272
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00226
  • Expected Shortfall on VaR
    0.00613
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.97865
  • Quartile 1
    1.00382
  • Median
    1.00985
  • Quartile 3
    1.02864
  • Maximum
    1.03821
  • Mean of quarter 1
    0.99506
  • Mean of quarter 2
    1.00806
  • Mean of quarter 3
    1.01896
  • Mean of quarter 4
    1.03669
  • Inter Quartile Range
    0.02482
  • 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)
    -0.33694
  • VaR(95%) (regression method)
    0.01647
  • Expected Shortfall (regression method)
    0.02425
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00535
  • Quartile 1
    0.00782
  • Median
    0.01030
  • Quartile 3
    0.01582
  • Maximum
    0.02135
  • Mean of quarter 1
    0.00535
  • Mean of quarter 2
    0.01030
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02135
  • Inter Quartile Range
    0.00800
  • 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)
    0.18782
  • Compounded annual return (geometric extrapolation)
    0.17632
  • Calmar ratio (compounded annual return / max draw down)
    8.26039
  • Compounded annual return / average of 25% largest draw downs
    8.26039
  • Compounded annual return / Expected Shortfall lognormal
    7.76027
  • 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
    0.13716
  • SD
    0.07975
  • Sharpe ratio (Glass type estimate)
    1.71989
  • Sharpe ratio (Hedges UMVUE)
    1.71708
  • df
    459.00000
  • t
    2.27893
  • p
    0.01157
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23564
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20235
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.20042
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.87825
  • Upside Potential Ratio
    7.61248
  • Upside part of mean
    0.36276
  • Downside part of mean
    -0.22560
  • Upside SD
    0.06440
  • Downside SD
    0.04765
  • N nonnegative terms
    261.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    460.00000
  • Mean of predictor
    0.09101
  • Mean of criterion
    0.13716
  • SD of predictor
    0.13951
  • SD of criterion
    0.07975
  • Covariance
    0.00085
  • r
    0.07668
  • b (slope, estimate of beta)
    0.04384
  • a (intercept, estimate of alpha)
    0.13300
  • Mean Square Error
    0.00634
  • DF error
    458.00000
  • t(b)
    1.64594
  • p(b)
    0.05023
  • t(a)
    2.21495
  • p(a)
    0.01363
  • Lowerbound of 95% confidence interval for beta
    -0.00850
  • Upperbound of 95% confidence interval for beta
    0.09617
  • Lowerbound of 95% confidence interval for alpha
    0.01502
  • Upperbound of 95% confidence interval for alpha
    0.25132
  • Treynor index (mean / b)
    3.12898
  • Jensen alpha (a)
    0.13317
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13395
  • SD
    0.07941
  • Sharpe ratio (Glass type estimate)
    1.68684
  • Sharpe ratio (Hedges UMVUE)
    1.68408
  • df
    459.00000
  • t
    2.23513
  • p
    0.01294
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.16914
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16726
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78295
  • Upside Potential Ratio
    7.49331
  • Upside part of mean
    0.36069
  • Downside part of mean
    -0.22673
  • Upside SD
    0.06359
  • Downside SD
    0.04813
  • N nonnegative terms
    261.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    460.00000
  • Mean of predictor
    0.08127
  • Mean of criterion
    0.13395
  • SD of predictor
    0.13966
  • SD of criterion
    0.07941
  • Covariance
    0.00086
  • r
    0.07737
  • b (slope, estimate of beta)
    0.04399
  • a (intercept, estimate of alpha)
    0.13038
  • Mean Square Error
    0.00628
  • DF error
    458.00000
  • t(b)
    1.66078
  • p(b)
    0.04872
  • t(a)
    2.17822
  • p(a)
    0.01495
  • Lowerbound of 95% confidence interval for beta
    -0.00806
  • Upperbound of 95% confidence interval for beta
    0.09605
  • Lowerbound of 95% confidence interval for alpha
    0.01275
  • Upperbound of 95% confidence interval for alpha
    0.24801
  • Treynor index (mean / b)
    3.04486
  • Jensen alpha (a)
    0.13038
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00753
  • Expected Shortfall on VaR
    0.00956
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00172
  • Expected Shortfall on VaR
    0.00401
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    460.00000
  • Minimum
    0.96237
  • Quartile 1
    0.99995
  • Median
    1.00027
  • Quartile 3
    1.00134
  • Maximum
    1.04292
  • Mean of quarter 1
    0.99673
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.00508
  • Inter Quartile Range
    0.00139
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.10652
  • Mean of outliers low
    0.99318
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.11304
  • Mean of outliers high
    1.00857
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21643
  • VaR(95%) (moments method)
    0.00254
  • Expected Shortfall (moments method)
    0.00478
  • Extreme Value Index (regression method)
    0.15350
  • VaR(95%) (regression method)
    0.00310
  • Expected Shortfall (regression method)
    0.00579
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    49.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00027
  • Median
    0.00137
  • Quartile 3
    0.00679
  • Maximum
    0.04006
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.00081
  • Mean of quarter 3
    0.00413
  • Mean of quarter 4
    0.02273
  • Inter Quartile Range
    0.00652
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.03011
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.14753
  • VaR(95%) (moments method)
    0.01854
  • Expected Shortfall (moments method)
    0.01975
  • Extreme Value Index (regression method)
    -0.61221
  • VaR(95%) (regression method)
    0.02606
  • Expected Shortfall (regression method)
    0.03025
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18721
  • Compounded annual return (geometric extrapolation)
    0.17570
  • Calmar ratio (compounded annual return / max draw down)
    4.38603
  • Compounded annual return / average of 25% largest draw downs
    7.73128
  • Compounded annual return / Expected Shortfall lognormal
    18.37670
  • 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
    0.02463
  • SD
    0.05799
  • Sharpe ratio (Glass type estimate)
    0.42475
  • Sharpe ratio (Hedges UMVUE)
    0.42229
  • df
    130.00000
  • t
    0.30034
  • p
    0.48683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.34999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19457
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84741
  • Upside Potential Ratio
    4.92074
  • Upside part of mean
    0.14302
  • Downside part of mean
    -0.11839
  • Upside SD
    0.04994
  • Downside SD
    0.02906
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13397
  • Mean of criterion
    0.02463
  • SD of predictor
    0.12758
  • SD of criterion
    0.05799
  • Covariance
    0.00081
  • r
    0.11002
  • b (slope, estimate of beta)
    0.05001
  • a (intercept, estimate of alpha)
    0.01793
  • Mean Square Error
    0.00335
  • DF error
    129.00000
  • t(b)
    1.25724
  • p(b)
    0.43010
  • t(a)
    0.21867
  • p(a)
    0.48775
  • Lowerbound of 95% confidence interval for beta
    -0.02869
  • Upperbound of 95% confidence interval for beta
    0.12870
  • Lowerbound of 95% confidence interval for alpha
    -0.14430
  • Upperbound of 95% confidence interval for alpha
    0.18016
  • Treynor index (mean / b)
    0.49252
  • Jensen alpha (a)
    0.01793
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02298
  • SD
    0.05740
  • Sharpe ratio (Glass type estimate)
    0.40036
  • Sharpe ratio (Hedges UMVUE)
    0.39805
  • df
    130.00000
  • t
    0.28310
  • p
    0.48759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37418
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17027
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78628
  • Upside Potential Ratio
    4.85112
  • Upside part of mean
    0.14178
  • Downside part of mean
    -0.11880
  • Upside SD
    0.04917
  • Downside SD
    0.02923
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12581
  • Mean of criterion
    0.02298
  • SD of predictor
    0.12806
  • SD of criterion
    0.05740
  • Covariance
    0.00080
  • r
    0.10868
  • b (slope, estimate of beta)
    0.04871
  • a (intercept, estimate of alpha)
    0.01685
  • Mean Square Error
    0.00328
  • DF error
    129.00000
  • t(b)
    1.24176
  • p(b)
    0.43095
  • t(a)
    0.20764
  • p(a)
    0.48836
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    -0.02890
  • Upperbound of 95% confidence interval for beta
    0.12633
  • Lowerbound of 95% confidence interval for alpha
    -0.14372
  • Upperbound of 95% confidence interval for alpha
    0.17742
  • Treynor index (mean / b)
    0.47174
  • Jensen alpha (a)
    0.01685
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00573
  • Expected Shortfall on VaR
    0.00720
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00114
  • Expected Shortfall on VaR
    0.00260
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98571
  • Quartile 1
    0.99998
  • Median
    1.00004
  • Quartile 3
    1.00031
  • Maximum
    1.03403
  • Mean of quarter 1
    0.99843
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00013
  • Mean of quarter 4
    1.00223
  • Inter Quartile Range
    0.00033
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.99691
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.00433
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.48634
  • VaR(95%) (moments method)
    0.00074
  • Expected Shortfall (moments method)
    0.00251
  • Extreme Value Index (regression method)
    0.39078
  • VaR(95%) (regression method)
    0.00109
  • Expected Shortfall (regression method)
    0.00436
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00006
  • Median
    0.00035
  • Quartile 3
    0.00095
  • Maximum
    0.02910
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00010
  • Mean of quarter 3
    0.00074
  • Mean of quarter 4
    0.01434
  • Inter Quartile Range
    0.00090
  • 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
    0.16667
  • Mean of outliers high
    0.02092
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -19.74000
  • VaR(95%) (moments method)
    0.00461
  • Expected Shortfall (moments method)
    0.00461
  • Extreme Value Index (regression method)
    -0.50250
  • VaR(95%) (regression method)
    0.03147
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.04023
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -341602000
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05154
  • Compounded annual return (geometric extrapolation)
    0.05220
  • Calmar ratio (compounded annual return / max draw down)
    1.79423
  • Compounded annual return / average of 25% largest draw downs
    3.64085
  • Compounded annual return / Expected Shortfall lognormal
    7.25056

Strategy Description

Trading Record - Around 2000 trades in real-life brokerage accounts - See AutoTrade data.


Recommended Brokers:

OANDA, Interactive Brokers, FXCM, TradePro, AGM Markets


US Customers:

OANDA, TradePro, AGM Markets


FREE Trial - Coupon code: UGKF54274

This coupon allows a new subscriber access to 'EURUSD Forex Profits' at reduced price.

Instead of the standard price of $39.00 per month, user having this coupon will be charged $0.00 per month.

This reduced price will remain in effect for 1 billing transactions.

Please note that this coupon expires on 2019-12-11 03:02:00 Eastern U.S. time.

Summary Statistics

Strategy began
2018-04-16
Suggested Minimum Capital
$70,000
# Trades
610
# Profitable
523
% Profitable
85.7%
Correlation S&P500
0.076
Sharpe Ratio
1.43
Sortino Ratio
2.45
Beta
0.04
Alpha
0.04
Leverage
2.12 Average
34.44 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.