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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Zarco51
(112379792)

Created by: LuisCarlos LuisCarlos
Started: 07/2017
Forex
Last trade: 2,347 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.

71.0%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(14.6%)
Max Drawdown
87
Num Trades
92.0%
Win Trades
0.9 : 1
Profit Factor
48.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          +3.0%+18.6%+5.8%(2.9%)+5.4%+3.7%+37.3%
2018+8.6%(16.2%)(1.4%)+2.1%(6%)(9.7%)+7.7%+0.9%+0.7%(3.4%)(5.3%)(13.6%)(32.8%)
2019+23.0%(7.5%)(4%)(2.9%)+0.1%+16.1%(0.1%)(8%)+2.2%+7.7%(8.4%)+5.8%+20.9%
2020(3.6%)(2.1%)(30.3%)+1.3%+14.7%+9.4%+10.6%+11.4%(9.6%)(1.2%)+15.3%+9.0%+15.6%
2021(0.7%)+1.2%+5.7%+4.9%+13.1%(7.2%)(5%)(6.1%)(4.2%)+12.1%(11.3%)(1.7%)(2.1%)
2022+1.8%+1.0%+8.4%(11.3%)+7.0%(7.7%)(0.2%)(1.5%)  -  (4.8%)(9%)(26.8%)
2023+13.2%(11.5%)+3.0%(0.8%)(4.6%)+18.8%+0.9%(14.8%)+1.1%(9.8%)+5.7%+22.9%+18.1%
2024(9.4%)(4.9%)(1.1%)                                                      (14.8%)

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 72 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/18/17 19:49 EUR/AUD EUR/AUD LONG 3 1.50280 10/19 15:54 1.50436 0.71%
Trade id #114358737
Max drawdown($97)
Time10/19/17 4:19
Quant open3
Worst price1.49869
Drawdown as % of equity-0.71%
$37
10/19/17 2:48 EUR/USD EUR/USD LONG 1 1.18105 10/19 9:43 1.18470 0.31%
Trade id #114362855
Max drawdown($42)
Time10/19/17 4:19
Quant open1
Worst price1.17680
Drawdown as % of equity-0.31%
$37
10/19/17 3:23 NZD/USD NZD/USD SHORT 1 0.70464 10/19 7:14 0.70250 0.07%
Trade id #114363371
Max drawdown($9)
Time10/19/17 3:42
Quant open-1
Worst price0.70560
Drawdown as % of equity-0.07%
$21
10/16/17 2:58 NZD/JPY NZD/JPY SHORT 1 80.273 10/19 0:16 80.100 0.45%
Trade id #114290737
Max drawdown($60)
Time10/18/17 20:34
Quant open-1
Worst price80.960
Drawdown as % of equity-0.45%
$15
10/10/17 2:30 NZD/USD NZD/USD SHORT 7 0.71464 10/18 4:46 0.71220 1.65%
Trade id #114123541
Max drawdown($217)
Time10/16/17 17:46
Quant open-3
Worst price0.72068
Drawdown as % of equity-1.65%
$171
10/17/17 18:05 USD/CAD USD/CAD SHORT 1 1.25223 10/18 4:04 1.25189 0%
Trade id #114337043
Max drawdown($0)
Time10/17/17 18:07
Quant open-1
Worst price1.25226
Drawdown as % of equity-0.00%
$3
10/18/17 1:04 USD/JPY USD/JPY LONG 1 112.240 10/18 3:46 112.498 0.01%
Trade id #114340425
Max drawdown($1)
Time10/18/17 1:08
Quant open1
Worst price112.226
Drawdown as % of equity-0.01%
$23
10/17/17 16:14 EUR/USD EUR/USD SHORT 1 1.17672 10/18 3:04 1.17491 0.1%
Trade id #114335925
Max drawdown($13)
Time10/17/17 20:06
Quant open-1
Worst price1.17808
Drawdown as % of equity-0.10%
$18
10/6/17 0:31 USD/CAD USD/CAD LONG 3 1.25478 10/17 10:07 1.25571 2.11%
Trade id #114054656
Max drawdown($274)
Time10/12/17 2:56
Quant open3
Worst price1.24329
Drawdown as % of equity-2.11%
$22
10/13/17 5:19 USD/JPY USD/JPY LONG 2 112.149 10/17 10:03 112.459 0.32%
Trade id #114235349
Max drawdown($41)
Time10/16/17 3:30
Quant open1
Worst price111.653
Drawdown as % of equity-0.32%
$55
10/16/17 16:48 EUR/USD EUR/USD SHORT 1 1.17954 10/17 2:18 1.17691 0.04%
Trade id #114306325
Max drawdown($4)
Time10/16/17 17:56
Quant open-1
Worst price1.18001
Drawdown as % of equity-0.04%
$26
9/26/17 0:48 USD/JPY USD/JPY SHORT 6 112.234 10/13 5:05 112.130 5.07%
Trade id #113855050
Max drawdown($645)
Time10/6/17 9:58
Quant open-6
Worst price113.440
Drawdown as % of equity-5.07%
$56
10/10/17 2:33 NZD/JPY NZD/JPY SHORT 1 79.609 10/10 6:04 79.429 0%
Trade id #114123618
Max drawdown$0
Time10/10/17 2:35
Quant open-1
Worst price79.609
Drawdown as % of equity0.00%
$16
10/5/17 20:17 USD/CAD USD/CAD LONG 1 1.25730 10/6 0:05 1.25894 0.07%
Trade id #114051708
Max drawdown($8)
Time10/5/17 21:30
Quant open1
Worst price1.25617
Drawdown as % of equity-0.07%
$13
10/5/17 0:31 NZD/USD NZD/USD SHORT 1 0.71562 10/5 8:47 0.71400 0.07%
Trade id #114028964
Max drawdown($9)
Time10/5/17 4:49
Quant open-1
Worst price0.71655
Drawdown as % of equity-0.07%
$16
10/1/17 17:42 USD/CAD USD/CAD LONG 1 1.24838 10/5 8:34 1.25047 0.21%
Trade id #113958891
Max drawdown($28)
Time10/4/17 8:04
Quant open1
Worst price1.24486
Drawdown as % of equity-0.21%
$17
10/4/17 20:46 EUR/USD EUR/USD SHORT 1 1.17552 10/5 7:10 1.17390 0.18%
Trade id #114027379
Max drawdown($23)
Time10/5/17 3:24
Quant open-1
Worst price1.17789
Drawdown as % of equity-0.18%
$16
10/3/17 16:11 NZD/USD NZD/USD SHORT 2 0.71714 10/4 20:07 0.71508 0.53%
Trade id #113999917
Max drawdown($68)
Time10/3/17 22:15
Quant open-2
Worst price0.72056
Drawdown as % of equity-0.53%
$41
10/2/17 3:29 NZD/JPY NZD/JPY SHORT 1 81.092 10/3 10:04 80.880 0.13%
Trade id #113964575
Max drawdown($17)
Time10/2/17 10:10
Quant open-1
Worst price81.284
Drawdown as % of equity-0.13%
$19
10/1/17 17:28 NZD/USD NZD/USD SHORT 1 0.72102 10/3 1:00 0.71630 0.12%
Trade id #113958601
Max drawdown($15)
Time10/1/17 19:13
Quant open-1
Worst price0.72261
Drawdown as % of equity-0.12%
$47
9/26/17 1:08 EUR/USD EUR/USD SHORT 1 1.18498 9/26 3:49 1.18175 0.07%
Trade id #113855125
Max drawdown($9)
Time9/26/17 2:39
Quant open-1
Worst price1.18590
Drawdown as % of equity-0.07%
$32
9/25/17 2:04 EUR/USD EUR/USD SHORT 1 1.19276 9/25 2:44 1.19145 0.01%
Trade id #113831203
Max drawdown($1)
Time9/25/17 2:09
Quant open-1
Worst price1.19289
Drawdown as % of equity-0.01%
$13
9/25/17 2:02 GBP/JPY GBP/JPY SHORT 1 152.023 9/25 2:08 151.955 0.02%
Trade id #113831180
Max drawdown($2)
Time9/25/17 2:08
Quant open-1
Worst price152.047
Drawdown as % of equity-0.02%
$6
9/21/17 2:09 USD/CAD USD/CAD LONG 5 1.23052 9/22 13:26 1.23477 1.65%
Trade id #113779041
Max drawdown($211)
Time9/22/17 8:30
Quant open5
Worst price1.22530
Drawdown as % of equity-1.65%
$172
9/21/17 7:00 NZD/USD NZD/USD SHORT 10 0.73060 9/21 19:44 0.73017 1.46%
Trade id #113781872
Max drawdown($188)
Time9/21/17 8:17
Quant open-10
Worst price0.73248
Drawdown as % of equity-1.46%
$43
9/20/17 2:56 USD/JPY USD/JPY LONG 1 111.465 9/20 14:14 112.003 0.26%
Trade id #113757676
Max drawdown($32)
Time9/20/17 14:01
Quant open1
Worst price111.096
Drawdown as % of equity-0.26%
$48
9/18/17 0:24 AUD/USD AUD/USD LONG 5 0.80040 9/20 2:19 0.80430 1.81%
Trade id #113714990
Max drawdown($225)
Time9/18/17 14:16
Quant open3
Worst price0.79399
Drawdown as % of equity-1.81%
$195
9/13/17 0:27 EUR/USD EUR/USD LONG 4 1.19301 9/15 7:27 1.19565 3%
Trade id #113652977
Max drawdown($371)
Time9/14/17 8:31
Quant open4
Worst price1.18372
Drawdown as % of equity-3.00%
$106
9/13/17 1:23 USD/JPY USD/JPY LONG 3 110.079 9/13 9:37 110.280 0.39%
Trade id #113653231
Max drawdown($47)
Time9/13/17 3:45
Quant open3
Worst price109.903
Drawdown as % of equity-0.39%
$55
9/10/17 17:32 USD/CAD USD/CAD LONG 3 1.21294 9/12 9:10 1.21550 0.94%
Trade id #113613792
Max drawdown($116)
Time9/12/17 3:30
Quant open3
Worst price1.20822
Drawdown as % of equity-0.94%
$63

Statistics

  • Strategy began
    7/3/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2459.61
  • Age
    82 months ago
  • What it trades
    Forex
  • # Trades
    87
  • # Profitable
    80
  • % Profitable
    92.00%
  • Avg trade duration
    29.1 days
  • Max peak-to-valley drawdown
    14.6%
  • drawdown period
    Aug 11, 2017 - Aug 17, 2017
  • Cumul. Return
    19.1%
  • Avg win
    $53.29
  • Avg loss
    $690.57
  • Model Account Values (Raw)
  • Cash
    $13,825
  • Margin Used
    $1,800
  • Buying Power
    $9,095
  • Ratios
  • W:L ratio
    0.88:1
  • Sharpe Ratio
    0.06
  • Sortino Ratio
    0.08
  • Calmar Ratio
    -0.08
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.64%
  • Correlation to SP500
    0.47970
  • Return Percent SP500 (cumu) during strategy life
    116.32%
  • Return Statistics
  • Ann Return (w trading costs)
    71.0%
  • Slump
  • Current Slump as Pcnt Equity
    75.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.42%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.191%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.50%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    93.56%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    870
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    864
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $691
  • Avg Win
    $53
  • Sum Trade PL (losers)
    $4,834.000
  • Age
  • Num Months filled monthly returns table
    81
  • Win / Loss
  • Sum Trade PL (winners)
    $4,263.000
  • # Winners
    80
  • Num Months Winners
    39
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    7
  • % Winners
    92.0%
  • Frequency
  • Avg Position Time (mins)
    41920.30
  • Avg Position Time (hrs)
    698.67
  • Avg Trade Length
    29.1 days
  • Last Trade Ago
    2345
  • Regression
  • Alpha
    -0.02
  • Beta
    0.99
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    60.48
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.38
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.71
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.15
  • Avg(MAE) / Avg(PL) - All trades
    -36.319
  • 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
    1.01
  • Avg(MAE) / Avg(PL) - Winning trades
    2.194
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.878
  • Hold-and-Hope Ratio
    0.391
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.03600
  • SD
    0.11850
  • Sharpe ratio (Glass type estimate)
    8.74287
  • Sharpe ratio (Hedges UMVUE)
    4.93264
  • df
    2.00000
  • t
    4.37144
  • p
    0.02428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    17.52960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    11.15620
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.03600
  • Downside part of mean
    0.00000
  • Upside SD
    0.31433
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.14411
  • Mean of criterion
    1.03600
  • SD of predictor
    0.04465
  • SD of criterion
    0.11850
  • Covariance
    -0.00446
  • r
    -0.84230
  • b (slope, estimate of beta)
    -2.23558
  • a (intercept, estimate of alpha)
    1.35817
  • Mean Square Error
    0.00816
  • DF error
    1.00000
  • t(b)
    -1.56270
  • p(b)
    0.81880
  • t(a)
    4.95480
  • p(a)
    0.06339
  • Lowerbound of 95% confidence interval for beta
    -20.41300
  • Upperbound of 95% confidence interval for beta
    15.94180
  • Lowerbound of 95% confidence interval for alpha
    -2.12475
  • Upperbound of 95% confidence interval for alpha
    4.84109
  • Treynor index (mean / b)
    -0.46342
  • Jensen alpha (a)
    1.35817
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.98751
  • SD
    0.10939
  • Sharpe ratio (Glass type estimate)
    9.02723
  • Sharpe ratio (Hedges UMVUE)
    5.09307
  • df
    2.00000
  • t
    4.51361
  • p
    0.02287
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11521
  • Upperbound of 95% confidence interval for Sharpe Ratio
    18.05370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25335
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    11.43950
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.98751
  • Downside part of mean
    0.00000
  • Upside SD
    0.29873
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.14227
  • Mean of criterion
    0.98751
  • SD of predictor
    0.04417
  • SD of criterion
    0.10939
  • Covariance
    -0.00405
  • r
    -0.83732
  • b (slope, estimate of beta)
    -2.07390
  • a (intercept, estimate of alpha)
    1.28256
  • Mean Square Error
    0.00715
  • DF error
    1.00000
  • t(b)
    -1.53154
  • p(b)
    0.81588
  • t(a)
    5.00266
  • p(a)
    0.06280
  • Lowerbound of 95% confidence interval for beta
    -19.27970
  • Upperbound of 95% confidence interval for beta
    15.13190
  • Lowerbound of 95% confidence interval for alpha
    -1.97501
  • Upperbound of 95% confidence interval for alpha
    4.54013
  • Treynor index (mean / b)
    -0.47616
  • Jensen alpha (a)
    1.28256
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.03082
  • Expected Shortfall on VaR
    -0.01737
  • 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
    3.00000
  • Minimum
    1.05148
  • Quartile 1
    1.07360
  • Median
    1.09571
  • Quartile 3
    1.10725
  • Maximum
    1.11879
  • Mean of quarter 1
    1.05148
  • Mean of quarter 2
    1.09571
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.11879
  • Inter Quartile Range
    0.03366
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.15594
  • Compounded annual return (geometric extrapolation)
    1.76051
  • 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
  • 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
    0.71781
  • SD
    0.31181
  • Sharpe ratio (Glass type estimate)
    2.30207
  • Sharpe ratio (Hedges UMVUE)
    2.28121
  • df
    83.00000
  • t
    1.30349
  • p
    0.09801
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.77439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19760
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.76001
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.17645
  • Upside Potential Ratio
    12.52050
  • Upside part of mean
    2.15191
  • Downside part of mean
    -1.43410
  • Upside SD
    0.26171
  • Downside SD
    0.17187
  • N nonnegative terms
    44.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    0.13860
  • Mean of criterion
    0.71781
  • SD of predictor
    0.06581
  • SD of criterion
    0.31181
  • Covariance
    0.00200
  • r
    0.09732
  • b (slope, estimate of beta)
    0.46111
  • a (intercept, estimate of alpha)
    -0.48900
  • Mean Square Error
    0.09748
  • DF error
    82.00000
  • t(b)
    0.88548
  • p(b)
    0.18924
  • t(a)
    1.17586
  • p(a)
    0.12153
  • Lowerbound of 95% confidence interval for beta
    -0.57482
  • Upperbound of 95% confidence interval for beta
    1.49705
  • Lowerbound of 95% confidence interval for alpha
    -0.45237
  • Upperbound of 95% confidence interval for alpha
    1.76016
  • Treynor index (mean / b)
    1.55669
  • Jensen alpha (a)
    0.65390
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66938
  • SD
    0.30904
  • Sharpe ratio (Glass type estimate)
    2.16596
  • Sharpe ratio (Hedges UMVUE)
    2.14633
  • df
    83.00000
  • t
    1.22642
  • p
    0.11175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31748
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.63664
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.62315
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83708
  • Upside Potential Ratio
    12.14330
  • Upside part of mean
    2.11839
  • Downside part of mean
    -1.44901
  • Upside SD
    0.25622
  • Downside SD
    0.17445
  • N nonnegative terms
    44.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    0.13640
  • Mean of criterion
    0.66938
  • SD of predictor
    0.06591
  • SD of criterion
    0.30904
  • Covariance
    0.00199
  • r
    0.09748
  • b (slope, estimate of beta)
    0.45710
  • a (intercept, estimate of alpha)
    0.60703
  • Mean Square Error
    0.09575
  • DF error
    82.00000
  • t(b)
    0.88699
  • p(b)
    0.18884
  • t(a)
    1.10168
  • p(a)
    0.13691
  • Lowerbound of 95% confidence interval for beta
    -0.56808
  • Upperbound of 95% confidence interval for beta
    1.48229
  • Lowerbound of 95% confidence interval for alpha
    -0.48909
  • Upperbound of 95% confidence interval for alpha
    1.70315
  • Treynor index (mean / b)
    1.46438
  • Jensen alpha (a)
    0.60703
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02844
  • Expected Shortfall on VaR
    0.03613
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01230
  • Expected Shortfall on VaR
    0.02353
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    84.00000
  • Minimum
    0.94673
  • Quartile 1
    0.99187
  • Median
    1.00088
  • Quartile 3
    1.00899
  • Maximum
    1.06385
  • Mean of quarter 1
    0.98146
  • Mean of quarter 2
    0.99690
  • Mean of quarter 3
    1.00535
  • Mean of quarter 4
    1.02768
  • Inter Quartile Range
    0.01712
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01190
  • Mean of outliers low
    0.94673
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.04939
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28320
  • VaR(95%) (moments method)
    0.01863
  • Expected Shortfall (moments method)
    0.02247
  • Extreme Value Index (regression method)
    0.18716
  • VaR(95%) (regression method)
    0.01697
  • Expected Shortfall (regression method)
    0.02414
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00089
  • Quartile 1
    0.00613
  • Median
    0.01973
  • Quartile 3
    0.06323
  • Maximum
    0.09144
  • Mean of quarter 1
    0.00418
  • Mean of quarter 2
    0.01931
  • Mean of quarter 3
    0.05065
  • Mean of quarter 4
    0.08829
  • Inter Quartile Range
    0.05710
  • 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)
    -42.82540
  • VaR(95%) (moments method)
    0.08479
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.79969
  • VaR(95%) (regression method)
    0.11163
  • Expected Shortfall (regression method)
    0.11186
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78137
  • Compounded annual return (geometric extrapolation)
    1.00829
  • Calmar ratio (compounded annual return / max draw down)
    11.02650
  • Compounded annual return / average of 25% largest draw downs
    11.41960
  • Compounded annual return / Expected Shortfall lognormal
    27.90420
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.07400
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.75%
  • Max Equity Drawdown (num days)
    6

Strategy Description

Our strategy is based mainly on long-term trends, working with short-term retracements, we recommend having a 10k account to invest 100%.
Previously we tried several platforms before starting with Zarco51 until we adapt to 100% for today we already have ZARCO51 working with good results, our goal is to open positions of .10 lots until we have 20,000 dollars and then we will work with .20 lots to protect our investment.
Many people think an investor wants to make money with strategies instead of working with our advantage, personally we do it to help in our trading psychology knowing that we are committed to many investors who follow our work, for which we are obliged to have better results.
Thank you!!

Summary Statistics

Strategy began
2017-07-03
Suggested Minimum Capital
$9,000
# Trades
87
# Profitable
80
% Profitable
92.0%
Correlation S&P500
0.480
Sharpe Ratio
0.06
Sortino Ratio
0.08
Beta
0.99
Alpha
-0.02

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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