Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $26,900 Hypothetical

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

Long Term Steady Growth
(53695148)

Created by: MINGTSUNAU MINGTSUNAU
Started: 10/2010
Forex
Last trade: 4,915 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. Subscriptions to this system cost $47.00 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.

-
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.

(2.0%)
Max Drawdown
34
Num Trades
76.5%
Win Trades
1.2 : 1
Profit Factor
0.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                               (0.3%)+0.5%(0.1%)+0.1%
2011(0.1%)(0.1%)(0.1%)  -    -    -    -    -    -    -    -    -  (0.3%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -                                            0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by one hour.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/17/10 10:56 EUR/USD EUR/USD SHORT 4 1.35394 11/18 2:26 1.36111 0.31%
Trade id #54921770
Max drawdown($287)
Time11/18/10 1:09
Quant open-4
Worst price1.36076
Drawdown as % of equity-0.31%
 ($287)
11/16/10 20:56 EUR/USD EUR/USD SHORT 4 1.35034 11/17 1:52 1.34840 0.06%
Trade id #54896217
Max drawdown($52)
Time11/16/10 23:37
Quant open-4
Worst price1.35164
Drawdown as % of equity-0.06%
 $78
11/16/10 8:56 EUR/USD EUR/USD SHORT 4 1.35963 11/16 10:56 1.35499 0.07%
Trade id #54868756
Max drawdown($68)
Time11/16/10 9:02
Quant open-4
Worst price1.36135
Drawdown as % of equity-0.07%
 $186
11/15/10 10:56 EUR/USD EUR/USD LONG 4 1.35934 11/16 1:51 1.35915 0.14%
Trade id #54831074
Max drawdown($129)
Time11/15/10 19:34
Quant open4
Worst price1.35610
Drawdown as % of equity-0.14%
 ($8)
11/8/10 23:52 GBP/USD GBP/USD LONG 6 1.61340 11/9 5:28 1.61348 0.39%
Trade id #54615463
Max drawdown($361)
Time11/9/10 4:22
Quant open6
Worst price1.60738
Drawdown as % of equity-0.39%
 $5
11/8/10 2:36 EUR/USD EUR/USD LONG 5 1.39726 11/8 2:37 1.39759 n/a $17
11/8/10 2:33 EUR/USD EUR/USD LONG 5 1.39629 11/8 2:35 1.39696 n/a $34
11/8/10 2:05 EUR/USD EUR/USD LONG 5 1.39394 11/8 2:32 1.39594 n/a $100
11/7/10 20:54 EUR/USD EUR/USD SHORT 5 1.39716 11/8 2:04 1.39407 0.13%
Trade id #54563163
Max drawdown($119)
Time11/7/10 21:01
Quant open-5
Worst price1.39954
Drawdown as % of equity-0.13%
 $155
11/4/10 4:35 EUR/USD EUR/USD LONG 4 1.42038 11/4 11:53 1.42200 0.03%
Trade id #54481722
Max drawdown($24)
Time11/4/10 4:42
Quant open4
Worst price1.41976
Drawdown as % of equity-0.03%
 $65
11/2/10 21:15 EUR/USD EUR/USD LONG 4 1.40229 11/3 3:45 1.40311 0.14%
Trade id #54432391
Max drawdown($125)
Time11/3/10 2:17
Quant open4
Worst price1.39917
Drawdown as % of equity-0.14%
 $33
10/31/10 20:13 EUR/USD EUR/USD SHORT 4 1.39493 11/2 0:43 1.39309 0.27%
Trade id #54345615
Max drawdown($249)
Time11/1/10 2:14
Quant open-4
Worst price1.40115
Drawdown as % of equity-0.27%
 $74
10/28/10 20:30 EUR/USD EUR/USD LONG 5 1.39165 10/29 8:45 1.38926 0.6%
Trade id #54298050
Max drawdown($546)
Time10/29/10 5:56
Quant open5
Worst price1.38072
Drawdown as % of equity-0.60%
 ($120)
10/27/10 17:15 EUR/USD EUR/USD SHORT 5 1.37681 10/28 11:59 1.39293 0.96%
Trade id #54252730
Max drawdown($887)
Time10/28/10 11:40
Quant open-5
Worst price1.39456
Drawdown as % of equity-0.96%
 ($806)
10/27/10 5:45 EUR/USD EUR/USD SHORT 5 1.38328 10/27 7:14 1.38126 0.11%
Trade id #54224623
Max drawdown($103)
Time10/27/10 6:36
Quant open-5
Worst price1.38534
Drawdown as % of equity-0.11%
 $101
10/26/10 18:00 EUR/USD EUR/USD SHORT 5 1.38593 10/26 20:31 1.38390 0.03%
Trade id #54210086
Max drawdown($25)
Time10/26/10 20:23
Quant open-5
Worst price1.38643
Drawdown as % of equity-0.03%
 $102
10/25/10 8:30 EUR/USD EUR/USD LONG 5 1.40168 10/25 9:17 1.40348 0.08%
Trade id #54147347
Max drawdown($75)
Time10/25/10 8:49
Quant open5
Worst price1.40017
Drawdown as % of equity-0.08%
 $90
10/25/10 5:15 EUR/USD EUR/USD LONG 5 1.40265 10/25 5:34 1.40470 0.05%
Trade id #54142236
Max drawdown($49)
Time10/25/10 5:21
Quant open5
Worst price1.40166
Drawdown as % of equity-0.05%
 $103
10/24/10 17:15 EUR/USD EUR/USD SHORT 5 1.39678 10/24 17:35 1.39546 0.02%
Trade id #54126843
Max drawdown($17)
Time10/24/10 17:17
Quant open-5
Worst price1.39713
Drawdown as % of equity-0.02%
 $66
10/21/10 8:45 EUR/USD EUR/USD LONG 5 1.39896 10/21 9:44 1.40132 0.13%
Trade id #54062244
Max drawdown($116)
Time10/21/10 9:06
Quant open5
Worst price1.39664
Drawdown as % of equity-0.13%
 $118
10/21/10 4:25 EUR/USD EUR/USD LONG 5 1.40419 10/21 5:56 1.40121 0.16%
Trade id #54056444
Max drawdown($151)
Time10/21/10 5:56
Quant open5
Worst price1.40117
Drawdown as % of equity-0.16%
 ($149)
10/20/10 20:30 EUR/USD EUR/USD LONG 5 1.39449 10/20 21:20 1.39296 0.08%
Trade id #54046470
Max drawdown($77)
Time10/20/10 20:52
Quant open5
Worst price1.39404
Drawdown as % of equity-0.08%
 ($77)
10/20/10 15:45 EUR/USD EUR/USD LONG 10 1.39551 10/20 19:52 1.39744 0.1%
Trade id #54040646
Max drawdown($95)
Time10/20/10 15:58
Quant open10
Worst price1.39456
Drawdown as % of equity-0.10%
 $194
10/19/10 21:45 EUR/USD EUR/USD SHORT 5 1.37632 10/20 15:45 1.39542 1.24%
Trade id #54005018
Max drawdown($1,139)
Time10/20/10 11:28
Quant open-5
Worst price1.39911
Drawdown as % of equity-1.24%
 ($955)
10/19/10 18:45 EUR/USD EUR/USD SHORT 5 1.37439 10/19 19:19 1.37241 0.02%
Trade id #54000642
Max drawdown($16)
Time10/19/10 18:52
Quant open-5
Worst price1.37472
Drawdown as % of equity-0.02%
 $99
10/19/10 3:40 EUR/USD EUR/USD SHORT 5 1.39744 10/19 12:28 1.38147 n/a $799
10/18/10 16:31 EUR/USD EUR/USD LONG 17 1.39472 10/18 20:05 1.39528 0.33%
Trade id #53954010
Max drawdown($308)
Time10/18/10 17:01
Quant open17
Worst price1.39291
Drawdown as % of equity-0.33%
 $94
10/18/10 5:45 EUR/USD EUR/USD SHORT 5 1.38911 10/18 16:30 1.39700 0.58%
Trade id #53926907
Max drawdown($536)
Time10/18/10 14:36
Quant open-5
Worst price1.39985
Drawdown as % of equity-0.58%
 ($395)
10/18/10 2:45 EUR/USD EUR/USD SHORT 5 1.38918 10/18 3:09 1.38710 0.02%
Trade id #53922388
Max drawdown($23)
Time10/18/10 2:58
Quant open-5
Worst price1.38964
Drawdown as % of equity-0.02%
 $104
10/15/10 13:08 GBP/USD GBP/USD SHORT 5 1.60233 10/15 13:24 1.60189 n/a $22
Next

Statistics

  • Strategy began
    10/11/2010
  • Suggested Minimum Cap
    $91,900
  • Strategy Age (days)
    4951.73
  • Age
    165 months ago
  • What it trades
    Forex
  • # Trades
    34
  • # Profitable
    26
  • % Profitable
    76.50%
  • Avg trade duration
    5.4 hours
  • Max peak-to-valley drawdown
    1.99%
  • drawdown period
    Oct 19, 2010 - Oct 29, 2010
  • Annual Return (Compounded)
    -0.0%
  • Avg win
    $126.19
  • Avg loss
    $349.62
  • Model Account Values (Raw)
  • Cash
    $92,379
  • Margin Used
    $0
  • Buying Power
    $92,379
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    -4.54
  • Sortino Ratio
    -5.68
  • Calmar Ratio
    0.005
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -330.95%
  • Correlation to SP500
    -0.01780
  • Return Percent SP500 (cumu) during strategy life
    340.14%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.0%
  • Slump
  • Current Slump as Pcnt Equity
    1.60%
  • 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)
    -0.000%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    44.16%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • 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
    $350
  • Avg Win
    $126
  • Sum Trade PL (losers)
    $2,797.000
  • Age
  • Num Months filled monthly returns table
    164
  • Win / Loss
  • Sum Trade PL (winners)
    $3,281.000
  • # Winners
    26
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    8
  • % Winners
    76.5%
  • Frequency
  • Avg Position Time (mins)
    326.12
  • Avg Position Time (hrs)
    5.43
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    4914
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    13.46
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    89.55
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    75.89
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.46
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -12.224
  • 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
    0.957
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.343
  • Hold-and-Hope Ratio
    -0.082
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02788
  • SD
    0.00037
  • Sharpe ratio (Glass type estimate)
    -75.46900
  • Sharpe ratio (Hedges UMVUE)
    -73.92710
  • df
    37.00000
  • t
    -134.29800
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -90.80670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -57.04750
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.46055
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02788
  • Upside SD
    0.00000
  • Downside SD
    0.00806
  • N nonnegative terms
    0.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.44569
  • Mean of criterion
    -0.02788
  • SD of predictor
    0.29491
  • SD of criterion
    0.00037
  • Covariance
    0.00000
  • r
    0.00568
  • b (slope, estimate of beta)
    0.00001
  • a (intercept, estimate of alpha)
    -0.02788
  • Mean Square Error
    0.00000
  • DF error
    36.00000
  • t(b)
    0.03411
  • p(b)
    0.48649
  • t(a)
    -121.17300
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00042
  • Upperbound of 95% confidence interval for beta
    0.00043
  • Lowerbound of 95% confidence interval for alpha
    -0.02835
  • Upperbound of 95% confidence interval for alpha
    -0.02742
  • Treynor index (mean / b)
    -3915.18000
  • Jensen alpha (a)
    -0.02788
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02785
  • SD
    0.00037
  • Sharpe ratio (Glass type estimate)
    -75.39130
  • Sharpe ratio (Hedges UMVUE)
    -73.85100
  • df
    37.00000
  • t
    -134.16000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -90.71330
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -56.98870
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.46055
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02785
  • Upside SD
    0.00000
  • Downside SD
    0.00805
  • N nonnegative terms
    0.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.39768
  • Mean of criterion
    -0.02785
  • SD of predictor
    0.28270
  • SD of criterion
    0.00037
  • Covariance
    0.00000
  • r
    0.00773
  • b (slope, estimate of beta)
    0.00001
  • a (intercept, estimate of alpha)
    -0.02785
  • Mean Square Error
    0.00000
  • DF error
    36.00000
  • t(b)
    0.04640
  • p(b)
    0.48162
  • t(a)
    -122.39800
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00043
  • Upperbound of 95% confidence interval for beta
    0.00045
  • Lowerbound of 95% confidence interval for alpha
    -0.02831
  • Upperbound of 95% confidence interval for alpha
    -0.02739
  • Treynor index (mean / b)
    -2755.81000
  • Jensen alpha (a)
    -0.02785
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00249
  • Expected Shortfall on VaR
    0.00254
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00233
  • Expected Shortfall on VaR
    0.00233
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.99964
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00054
  • Mean of quarter 1
    0.99996
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00005
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.99964
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02632
  • Mean of outliers high
    1.00054
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00036
  • Median
    0.00036
  • Quartile 3
    0.00036
  • Maximum
    0.00036
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00006
  • Compounded annual return (geometric extrapolation)
    0.00006
  • Calmar ratio (compounded annual return / max draw down)
    0.16370
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.02304
  • 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
    -0.02781
  • SD
    0.00886
  • Sharpe ratio (Glass type estimate)
    -3.13860
  • Sharpe ratio (Hedges UMVUE)
    -3.13581
  • df
    842.00000
  • t
    -5.62989
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.24059
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -2.03480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.23868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03293
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.16551
  • Upside Potential Ratio
    1.50749
  • Upside part of mean
    0.01006
  • Downside part of mean
    -0.03788
  • Upside SD
    0.00607
  • Downside SD
    0.00668
  • N nonnegative terms
    16.00000
  • N negative terms
    827.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    843.00000
  • Mean of predictor
    0.47279
  • Mean of criterion
    -0.02781
  • SD of predictor
    0.32140
  • SD of criterion
    0.00886
  • Covariance
    0.00002
  • r
    0.00584
  • b (slope, estimate of beta)
    0.00016
  • a (intercept, estimate of alpha)
    -0.02800
  • Mean Square Error
    0.00008
  • DF error
    841.00000
  • t(b)
    0.16944
  • p(b)
    0.43275
  • t(a)
    -5.61886
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00170
  • Upperbound of 95% confidence interval for beta
    0.00203
  • Lowerbound of 95% confidence interval for alpha
    -0.03763
  • Upperbound of 95% confidence interval for alpha
    -0.01815
  • Treynor index (mean / b)
    -172.66000
  • Jensen alpha (a)
    -0.02789
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02785
  • SD
    0.00886
  • Sharpe ratio (Glass type estimate)
    -3.14359
  • Sharpe ratio (Hedges UMVUE)
    -3.14079
  • df
    842.00000
  • t
    -5.63884
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.24561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -2.03976
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.24370
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03789
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.16295
  • Upside Potential Ratio
    1.50162
  • Upside part of mean
    0.01005
  • Downside part of mean
    -0.03789
  • Upside SD
    0.00605
  • Downside SD
    0.00669
  • N nonnegative terms
    16.00000
  • N negative terms
    827.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    843.00000
  • Mean of predictor
    0.42076
  • Mean of criterion
    -0.02785
  • SD of predictor
    0.32161
  • SD of criterion
    0.00886
  • Covariance
    0.00002
  • r
    0.00583
  • b (slope, estimate of beta)
    0.00016
  • a (intercept, estimate of alpha)
    -0.02792
  • Mean Square Error
    0.00008
  • DF error
    841.00000
  • t(b)
    0.16921
  • p(b)
    0.43284
  • t(a)
    -5.63089
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00170
  • Upperbound of 95% confidence interval for beta
    0.00203
  • Lowerbound of 95% confidence interval for alpha
    -0.03765
  • Upperbound of 95% confidence interval for alpha
    -0.01819
  • Treynor index (mean / b)
    -173.27400
  • Jensen alpha (a)
    -0.02792
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00101
  • Expected Shortfall on VaR
    0.00123
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00050
  • Expected Shortfall on VaR
    0.00102
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    843.00000
  • Minimum
    0.99469
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00803
  • Mean of quarter 1
    0.99984
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00016
  • Inter Quartile Range
    0.00000
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.01779
  • Mean of outliers low
    0.99774
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.02135
  • Mean of outliers high
    1.00190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.11153
  • VaR(95%) (moments method)
    -0.00694
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.07277
  • VaR(95%) (regression method)
    -0.01123
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00501
  • Quartile 1
    0.00695
  • Median
    0.00889
  • Quartile 3
    0.01083
  • Maximum
    0.01276
  • Mean of quarter 1
    0.00501
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01276
  • Inter Quartile Range
    0.00388
  • 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)
    0.00006
  • Compounded annual return (geometric extrapolation)
    0.00006
  • Calmar ratio (compounded annual return / max draw down)
    0.00451
  • Compounded annual return / average of 25% largest draw downs
    0.00451
  • Compounded annual return / Expected Shortfall lognormal
    0.04660
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58741
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44117
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49090
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43906
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6850160000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -168962999999999995911093557919744.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -437185000
  • Max Equity Drawdown (num days)
    10
  • 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

Low risk steady growth, absolutely no martingale !
compounding is my favourite thing in the world!

Since the purpose of the system is steady growth, you should not expect extortionate profits, for long term investment only!!

To be honest with you, I can not guarantee to you, the forex market changing every moment, I can only guarantee you I will do my best, this is for sure.

Please watch my trading result and do your judging.

Summary Statistics

Strategy began
2010-10-11
Suggested Minimum Capital
$90,000
# Trades
34
# Profitable
26
% Profitable
76.5%
Correlation S&P500
-0.018
Sharpe Ratio
-4.54
Sortino Ratio
-5.68
Beta
-0.00
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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