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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

Combo Art FX
(47955198)

Created by: IvanKoutyrev IvanKoutyrev
Started: 03/2010
Forex
Last trade: 315 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

-
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.

(100.0%)
Max Drawdown
87
Num Trades
58.6%
Win Trades
0.5 : 1
Profit Factor
11.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010              +10.2%(88.5%)(120.7%)(520%)(221.2%)(131.8%)(651%)+48.9%(93.9%)+564.8%(79.2%)
2011+72.2%+10.9%+52.8%+36.2%(13.5%)(6.3%)+5.7%+5.6%(68.1%)+155.1%(67.6%)(68.6%)(70.3%)
2012+27.5%+195.6%(14.6%)(24.7%)(308.2%)(52.8%)(107%)(34.9%)(76.7%)(96.2%)(1371.4%)(623.3%)+118.2%
2013+85.3%(77.3%)(78.4%)+204.1%(111.4%)(823.5%)+416.3%+27.7%+53.3%+4.2%(0.6%)+28.9%+207.8%
2014(28%)+23.9%+8.5%+14.4%(29.4%)+7.7%(37.2%)(58.7%)(285.4%)(14.3%)(26.3%)(60.8%)(194.1%)
2015(110.4%)(6.1%)(26.1%)(20.1%)(9.3%)(5.1%)(8%)(13.1%)(3.6%)(10.9%)(18.6%)(13.2%)(159%)
2016(0.1%)(3.4%)(26.2%)(3.9%)(23.7%)  -  (3.3%)(1.8%)(5.3%)(15.8%)(17%)(8.1%)(24.1%)
2017(14.1%)(10%)(3.4%)(12.2%)(12.1%)(13.7%)(21.4%)(9.3%)(6.4%)(12.9%)(19.3%)(10.5%)-
2018(43.3%)(41.2%)(17.8%)(41.9%)(41.2%)(10.5%)(5.7%)(4%)(3.4%)(23.2%)(1.7%)(2.5%)(71.4%)
2019(7.6%)(6.1%)(6.2%)(6.2%)(0.9%)(10%)  -  (16.6%)(8%)(7.1%)(1.4%)(2%)(14.7%)
2020(0.6%)(13.2%)(11.8%)(13.7%)(12%)(7.9%)(31.4%)(8.2%)(14.1%)(5%)(22%)(27.5%)-
2021(11.3%)(7.7%)(37.4%)(27.3%)(7.9%)(25.9%)(4.1%)(13%)(12.1%)(3.4%)(24.8%)(0.4%)(120.3%)
2022(3.7%)(0.3%)(17.4%)(22.3%)(8.1%)(9.3%)(12.6%)(7.5%)(11.5%)(8.6%)(14.7%)(11.6%)(39.5%)
2023(7.9%)(15.1%)(8.5%)(10.8%)(14.3%)(8.8%)(4.2%)(4.9%)(15.6%)(0.1%)(15.1%)(4.5%)-
2024(11.6%)(0.8%)(0.1%)(5.1%)(3.8%)(5.5%)(7.1%)(13%)(0.6%)(15.4%)(14.7%)(5.8%)(32.8%)
2025(6.9%)(9.9%)(12.4%)(32.5%)(11.5%)(17.8%)(4.9%)(4.8%)  -    -    -    -  -
2026  -    -    -    -    -    -                                      

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/13/10 9:04 EUR/USD EUR/USD LONG 20 1.25109 8/21/25 10:31 1.20050 9.13%
Trade id #49308353
Max drawdown($297)
Time9/28/22 0:00
Quant open1
Worst price0.95358
Drawdown as % of equity9.13%
 ($1,011.80)
5/20/10 14:55 USD/CHF USD/CHF SHORT 10 1.14567 5/25 5:00 1.16505 33.47%
Trade id #49548321
Max drawdown($168)
Time5/24/10 22:08
Quant open-1
Worst price1.16219
Drawdown as % of equity-33.47%
 ($239.63)
5/20/10 14:50 USD/CHF USD/CHF SHORT 10 1.14559 5/20 14:53 1.14692 n/a ($16.44)
5/20/10 14:44 USD/CHF USD/CHF SHORT 10 1.14846 5/20 14:48 1.14764 n/a $10.14
5/20/10 14:38 USD/CHF USD/CHF SHORT 10 1.14870 5/20 14:42 1.14925 n/a ($6.80)
5/20/10 11:53 USD/CHF USD/CHF SHORT 10 1.14980 5/20 14:36 1.14720 7.93%
Trade id #49540511
Max drawdown($44)
Time5/20/10 12:48
Quant open-1
Worst price1.15491
Drawdown as % of equity-7.93%
 $32.15
5/10/10 2:43 GBP/USD GBP/USD SHORT 10 1.48552 5/12 13:59 1.48240 25.89%
Trade id #49182006
Max drawdown($166)
Time5/10/10 11:20
Quant open-1
Worst price1.50216
Drawdown as % of equity-25.89%
 $31.20
5/10/10 2:43 EUR/USD EUR/USD LONG 10 1.29861 5/10 9:46 1.29341 10.48%
Trade id #49182034
Max drawdown($67)
Time5/10/10 9:31
Quant open1
Worst price1.29187
Drawdown as % of equity-10.48%
 ($52.00)
5/10/10 0:31 EUR/USD EUR/USD LONG 10 1.29376 5/10 2:39 1.29770 2.5%
Trade id #49179430
Max drawdown($18)
Time5/10/10 0:56
Quant open1
Worst price1.29193
Drawdown as % of equity-2.50%
 $39.40
5/6/10 10:52 GBP/USD GBP/USD LONG 10 1.49694 5/10 0:18 1.49045 40.74%
Trade id #49100661
Max drawdown($318)
Time5/7/10 10:30
Quant open1
Worst price1.46508
Drawdown as % of equity-40.74%
 ($64.90)
5/6/10 1:56 EUR/USD EUR/USD SHORT 10 1.28323 5/7 2:00 1.26956 n/a $136.70
5/6/10 0:28 GBP/USD GBP/USD LONG 10 1.51179 5/6 1:37 1.51013 2.24%
Trade id #49080668
Max drawdown($17)
Time5/6/10 0:57
Quant open1
Worst price1.51056
Drawdown as % of equity-2.24%
 ($16.60)
5/4/10 16:16 EUR/USD EUR/USD SHORT 10 1.29925 5/6 0:26 1.28387 n/a $153.80
5/4/10 11:03 EUR/USD EUR/USD SHORT 10 1.30261 5/4 16:16 1.29934 4.74%
Trade id #49013130
Max drawdown($21)
Time5/4/10 12:21
Quant open-1
Worst price1.30473
Drawdown as % of equity-4.74%
 $32.70
5/4/10 9:46 EUR/USD EUR/USD SHORT 10 1.30430 5/4 11:01 1.30296 5.28%
Trade id #49008032
Max drawdown($23)
Time5/4/10 10:01
Quant open-1
Worst price1.30666
Drawdown as % of equity-5.28%
 $13.40
5/4/10 7:49 EUR/USD EUR/USD SHORT 10 1.30946 5/4 9:45 1.30393 n/a $55.30
5/4/10 4:33 EUR/USD EUR/USD SHORT 10 1.31380 5/4 7:49 1.30944 n/a $43.60
5/4/10 3:11 EUR/USD EUR/USD SHORT 10 1.31575 5/4 4:30 1.31431 n/a $14.40
5/4/10 1:37 EUR/USD EUR/USD SHORT 10 1.31840 5/4 3:09 1.31630 n/a $21.00
5/3/10 4:48 EUR/USD EUR/USD LONG 10 1.32403 5/4 1:31 1.31836 17.73%
Trade id #48957224
Max drawdown($85)
Time5/3/10 11:45
Quant open1
Worst price1.31550
Drawdown as % of equity-17.73%
 ($56.70)
5/3/10 4:47 GBP/USD GBP/USD LONG 10 1.52505 5/3 4:48 1.52490 n/a ($1.50)
5/3/10 4:47 EUR/USD EUR/USD LONG 10 1.32377 5/3 4:47 1.32342 n/a ($3.50)
4/29/10 6:02 USD/CAD USD/CAD SHORT 10 1.00388 5/3 4:34 1.01601 27.18%
Trade id #48874991
Max drawdown($137)
Time5/2/10 21:54
Quant open-1
Worst price1.01828
Drawdown as % of equity-27.18%
 ($85.32)
4/29/10 10:01 CAD/JPY CAD/JPY LONG 10 93.868 5/3 4:34 92.527 35.4%
Trade id #48883127
Max drawdown($178)
Time5/2/10 22:14
Quant open1
Worst price92.191
Drawdown as % of equity-35.40%
 ($0.83)
4/29/10 6:02 CAD/JPY CAD/JPY LONG 10 93.573 4/29 8:28 93.851 n/a $0.17
4/28/10 22:04 CAD/JPY CAD/JPY LONG 10 92.926 4/29 2:48 93.242 1.03%
Trade id #48865622
Max drawdown($6)
Time4/28/10 22:11
Quant open1
Worst price92.862
Drawdown as % of equity-1.03%
 $0.19
4/28/10 2:04 AUD/CHF AUD/CHF LONG 10 1.00088 4/29 2:37 1.00425 0.94%
Trade id #48829216
Max drawdown($6)
Time4/28/10 9:57
Quant open1
Worst price1.00018
Drawdown as % of equity-0.94%
 $41.67
4/27/10 10:12 CAD/JPY CAD/JPY SHORT 10 92.950 4/28 22:03 92.931 4.03%
Trade id #48801565
Max drawdown($27)
Time4/28/10 11:16
Quant open-1
Worst price93.211
Drawdown as % of equity-4.03%
 $0.01
4/27/10 18:04 NZD/USD NZD/USD SHORT 10 0.71113 4/28 16:46 0.72140 14.95%
Trade id #48818965
Max drawdown($103)
Time4/28/10 11:20
Quant open-1
Worst price0.71840
Drawdown as % of equity-14.95%
 ($102.70)
4/26/10 22:02 EUR/AUD EUR/AUD LONG 10 1.44443 4/28 2:01 1.43145 12.87%
Trade id #48782769
Max drawdown($122)
Time4/27/10 23:28
Quant open1
Worst price1.43115
Drawdown as % of equity-12.87%
 ($89.46)

Statistics

  • Strategy began
    3/27/2010
  • Suggested Minimum Cap
    $2,000
  • Strategy Age (days)
    5933.05
  • Age
    198 months ago
  • What it trades
    Forex
  • # Trades
    87
  • # Profitable
    51
  • % Profitable
    58.60%
  • Avg trade duration
    65.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    May 01, 2013 - Oct 11, 2022
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $41.67
  • Avg loss
    $123.39
  • Model Account Values (Raw)
  • Cash
    ($313)
  • Margin Used
    $0
  • Buying Power
    ($313)
  • Ratios
  • W:L ratio
    0.48:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    1.15
  • Calmar Ratio
    -0.735
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -697.60%
  • Correlation to SP500
    -0.03840
  • Return Percent SP500 (cumu) during strategy life
    541.46%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • 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
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    50.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $123
  • Avg Win
    $42
  • Sum Trade PL (losers)
    $4,442.000
  • Age
  • Num Months filled monthly returns table
    3
  • Win / Loss
  • Sum Trade PL (winners)
    $2,125.000
  • # Winners
    51
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    36
  • % Winners
    58.6%
  • Frequency
  • Avg Position Time (mins)
    94163.10
  • Avg Position Time (hrs)
    1569.39
  • Avg Trade Length
    65.4 days
  • Last Trade Ago
    307
  • Regression
  • Alpha
    0.00
  • Beta
    -1.38
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.13
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    50.61
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    36.68
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.07
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.22
  • Avg(MAE) / Avg(PL) - All trades
    -1.721
  • 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
    0.20
  • Avg(MAE) / Avg(PL) - Winning trades
    0.923
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.006
  • Hold-and-Hope Ratio
    -0.581
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    173.96400
  • SD
    257.15900
  • Sharpe ratio (Glass type estimate)
    0.67649
  • Sharpe ratio (Hedges UMVUE)
    0.66628
  • df
    50.00000
  • t
    1.39461
  • p
    0.08465
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28669
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63306
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62593
  • Statistics related to Sortino ratio
  • Sortino ratio
    170.14900
  • Upside Potential Ratio
    171.71100
  • Upside part of mean
    175.56100
  • Downside part of mean
    -1.59709
  • Upside SD
    259.52800
  • Downside SD
    1.02242
  • N nonnegative terms
    34.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.49200
  • Mean of criterion
    173.96400
  • SD of predictor
    0.24744
  • SD of criterion
    257.15900
  • Covariance
    20.36760
  • r
    0.32009
  • b (slope, estimate of beta)
    332.66200
  • a (intercept, estimate of alpha)
    10.29380
  • Mean Square Error
    60566.30000
  • DF error
    49.00000
  • t(b)
    2.36505
  • p(b)
    0.01102
  • t(a)
    0.07460
  • p(a)
    0.47042
  • Lowerbound of 95% confidence interval for beta
    50.00070
  • Upperbound of 95% confidence interval for beta
    615.32300
  • Lowerbound of 95% confidence interval for alpha
    -266.99900
  • Upperbound of 95% confidence interval for alpha
    287.58600
  • Treynor index (mean / b)
    0.52294
  • Jensen alpha (a)
    10.29380
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.33123
  • SD
    6.76933
  • Sharpe ratio (Glass type estimate)
    -0.19666
  • Sharpe ratio (Hedges UMVUE)
    -0.19369
  • df
    50.00000
  • t
    -0.40542
  • p
    0.65655
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75779
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25448
  • Upside Potential Ratio
    0.79470
  • Upside part of mean
    4.15726
  • Downside part of mean
    -5.48849
  • Upside SD
    4.20804
  • Downside SD
    5.23120
  • N nonnegative terms
    34.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.45365
  • Mean of criterion
    -1.33123
  • SD of predictor
    0.24327
  • SD of criterion
    6.76933
  • Covariance
    0.45983
  • r
    0.27923
  • b (slope, estimate of beta)
    7.77006
  • a (intercept, estimate of alpha)
    -4.85616
  • Mean Square Error
    43.11320
  • DF error
    49.00000
  • t(b)
    2.03560
  • p(b)
    0.02361
  • t(a)
    -1.33952
  • p(a)
    0.90671
  • Lowerbound of 95% confidence interval for beta
    0.09934
  • Upperbound of 95% confidence interval for beta
    15.44080
  • Lowerbound of 95% confidence interval for alpha
    -12.14150
  • Upperbound of 95% confidence interval for alpha
    2.42917
  • Treynor index (mean / b)
    -0.17133
  • Jensen alpha (a)
    -4.85616
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.96403
  • Expected Shortfall on VaR
    0.98071
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23032
  • Expected Shortfall on VaR
    0.50007
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.00113
  • Quartile 1
    0.84180
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    457.50000
  • Mean of quarter 1
    0.51087
  • Mean of quarter 2
    0.96700
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    58.39490
  • Inter Quartile Range
    0.15820
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.11765
  • Mean of outliers low
    0.21944
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    83.86410
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22625
  • VaR(95%) (moments method)
    0.45670
  • Expected Shortfall (moments method)
    0.74595
  • Extreme Value Index (regression method)
    -1.80080
  • VaR(95%) (regression method)
    0.52368
  • Expected Shortfall (regression method)
    0.53717
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.17439
  • Quartile 1
    0.28759
  • Median
    0.55074
  • Quartile 3
    0.83202
  • Maximum
    0.99958
  • Mean of quarter 1
    0.17439
  • Mean of quarter 2
    0.32533
  • Mean of quarter 3
    0.77616
  • Mean of quarter 4
    0.99958
  • Inter Quartile Range
    0.54443
  • 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)
    -0.23447
  • Compounded annual return (geometric extrapolation)
    -0.73585
  • Calmar ratio (compounded annual return / max draw down)
    -0.73616
  • Compounded annual return / average of 25% largest draw downs
    -0.73616
  • Compounded annual return / Expected Shortfall lognormal
    -0.75033
  • 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
    56.98020
  • SD
    57.45790
  • Sharpe ratio (Glass type estimate)
    0.99169
  • Sharpe ratio (Hedges UMVUE)
    0.99102
  • df
    1116.00000
  • t
    2.04762
  • p
    0.46941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04136
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94114
  • Statistics related to Sortino ratio
  • Sortino ratio
    32.34750
  • Upside Potential Ratio
    37.01630
  • Upside part of mean
    65.20410
  • Downside part of mean
    -8.22397
  • Upside SD
    57.51300
  • Downside SD
    1.76150
  • N nonnegative terms
    837.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1117.00000
  • Mean of predictor
    0.49795
  • Mean of criterion
    56.98020
  • SD of predictor
    0.31386
  • SD of criterion
    57.45790
  • Covariance
    0.76408
  • r
    0.04237
  • b (slope, estimate of beta)
    7.75644
  • a (intercept, estimate of alpha)
    53.11800
  • Mean Square Error
    3298.44000
  • DF error
    1115.00000
  • t(b)
    1.41605
  • p(b)
    0.47303
  • t(a)
    1.90057
  • p(a)
    0.46384
  • Lowerbound of 95% confidence interval for beta
    -2.99097
  • Upperbound of 95% confidence interval for beta
    18.50390
  • Lowerbound of 95% confidence interval for alpha
    -1.71947
  • Upperbound of 95% confidence interval for alpha
    107.95500
  • Treynor index (mean / b)
    7.34617
  • Jensen alpha (a)
    53.11790
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.32706
  • SD
    7.36900
  • Sharpe ratio (Glass type estimate)
    -0.18009
  • Sharpe ratio (Hedges UMVUE)
    -0.17997
  • df
    1116.00000
  • t
    -0.37184
  • p
    0.50557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12932
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.76920
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12923
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76929
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22891
  • Upside Potential Ratio
    2.28126
  • Upside part of mean
    13.22510
  • Downside part of mean
    -14.55210
  • Upside SD
    4.54443
  • Downside SD
    5.79727
  • N nonnegative terms
    837.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1117.00000
  • Mean of predictor
    0.44805
  • Mean of criterion
    -1.32706
  • SD of predictor
    0.31526
  • SD of criterion
    7.36900
  • Covariance
    0.19256
  • r
    0.08289
  • b (slope, estimate of beta)
    1.93742
  • a (intercept, estimate of alpha)
    -2.19512
  • Mean Square Error
    53.97740
  • DF error
    1115.00000
  • t(b)
    2.77728
  • p(b)
    0.44729
  • t(a)
    -0.61455
  • p(a)
    0.51171
  • Lowerbound of 95% confidence interval for beta
    0.56867
  • Upperbound of 95% confidence interval for beta
    3.30617
  • Lowerbound of 95% confidence interval for alpha
    -9.20352
  • Upperbound of 95% confidence interval for alpha
    4.81328
  • Treynor index (mean / b)
    -0.68496
  • Jensen alpha (a)
    -2.19512
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.52947
  • Expected Shortfall on VaR
    0.60581
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04071
  • Expected Shortfall on VaR
    0.10604
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1117.00000
  • Minimum
    0.00431
  • Quartile 1
    0.99990
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    83.20000
  • Mean of quarter 1
    0.87478
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.99637
  • Inter Quartile Range
    0.00010
  • Number outliers low
    279.00000
  • Percentage of outliers low
    0.24978
  • Mean of outliers low
    0.87433
  • Number of outliers high
    272.00000
  • Percentage of outliers high
    0.24351
  • Mean of outliers high
    2.02202
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.83486
  • VaR(95%) (moments method)
    0.00577
  • Expected Shortfall (moments method)
    0.00659
  • Extreme Value Index (regression method)
    0.09699
  • VaR(95%) (regression method)
    0.10162
  • Expected Shortfall (regression method)
    0.17700
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04350
  • Quartile 1
    0.42123
  • Median
    0.77335
  • Quartile 3
    0.99958
  • Maximum
    0.99966
  • Mean of quarter 1
    0.04350
  • Mean of quarter 2
    0.54714
  • Mean of quarter 3
    0.99955
  • Mean of quarter 4
    0.99966
  • Inter Quartile Range
    0.57835
  • 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)
    -0.23374
  • Compounded annual return (geometric extrapolation)
    -0.73474
  • Calmar ratio (compounded annual return / max draw down)
    -0.73499
  • Compounded annual return / average of 25% largest draw downs
    -0.73499
  • Compounded annual return / Expected Shortfall lognormal
    -1.21283
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.03624
  • Mean of criterion
    0.00000
  • SD of predictor
    0.38069
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.96108
  • Mean of criterion
    0.00000
  • SD of predictor
    0.38643
  • 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
  • VAR (95 Confidence Intrvl)
    0.52900
  • 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
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -356408000
  • Max Equity Drawdown (num days)
    3450
  • 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

Summary Statistics

Strategy began
2010-03-27
Suggested Minimum Capital
$2,000
# Trades
87
# Profitable
51
% Profitable
58.6%
Correlation S&P500
-0.038
Sharpe Ratio
0.44
Sortino Ratio
1.15
Beta
-1.38
Alpha
0.00

Latest Activity

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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.