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Featured Strategy S2Prox0 Rank on Leaderboard #12 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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FOREX VIX-3
(134962085)

Created by: LeslieGray LeslieGray
Started: 04/2021
Forex
Last trade: 2 days ago
Trading style: Futures Currencies

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $50.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
22.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(13.9%)
Max Drawdown
144
Num Trades
84.0%
Win Trades
4.9 : 1
Profit Factor
75.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     +4.9%(7.7%)+12.7%+1.7%+0.7%+0.6%+0.5%+3.4%(0.3%)+16.5%
2022+0.2%+1.0%+0.6%(0.7%)+6.3%(1.3%)+1.8%+1.4%+4.9%+4.9%+4.2%(1.5%)+23.6%
2023+2.9%+3.3%+1.1%(1.3%)+2.5%(5.2%)+4.2%+3.0%+5.2%+0.5%+2.4%(3%)+16.1%
2024+9.1%(0.4%)+1.4%+0.5%                                                +10.7%

Model Account Details

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

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

Trading Record

This strategy has placed 240 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/5/24 8:29 USD/MXN USD/MXN LONG 4 16.50631 4/16 10:11 16.97429 0.32%
Trade id #147817607
Max drawdown($578)
Time4/9/24 0:00
Quant open4
Worst price16.25980
Drawdown as % of equity-0.32%
 $1,103
2/4/24 17:36 USD/NOK USD/NOK LONG 4 10.63742 3/27 18:47 10.79907 0.67%
Trade id #147223319
Max drawdown($1,213)
Time3/8/24 0:00
Quant open4
Worst price10.30970
Drawdown as % of equity-0.67%
 $599
2/4/24 17:36 USD/SEK USD/SEK LONG 8 10.34901 3/27 5:30 10.58516 0.79%
Trade id #147223318
Max drawdown($1,427)
Time3/8/24 0:00
Quant open4
Worst price10.14210
Drawdown as % of equity-0.79%
 $1,782
11/21/23 8:08 USD/SEK USD/SEK LONG 16 10.13979 1/24/24 5:28 10.42859 2.17%
Trade id #146497489
Max drawdown($3,599)
Time12/27/23 0:00
Quant open16
Worst price9.90558
Drawdown as % of equity-2.17%
 $4,429
1/5/24 7:48 EUR/CHF EUR/CHF LONG 8 0.93127 1/23 10:53 0.94429 0.21%
Trade id #146914208
Max drawdown($356)
Time1/9/24 0:00
Quant open8
Worst price0.92740
Drawdown as % of equity-0.21%
 $1,195
11/21/23 2:36 EUR/SEK EUR/SEK LONG 16 11.18705 1/19/24 7:49 11.37979 1.71%
Trade id #146496364
Max drawdown($2,874)
Time12/22/23 0:00
Quant open16
Worst price10.99920
Drawdown as % of equity-1.71%
 $2,949
11/30/23 12:55 USD/CHF USD/CHF LONG 24 0.85594 1/18/24 9:58 0.85977 2.6%
Trade id #146579584
Max drawdown($4,190)
Time12/28/23 0:00
Quant open16
Worst price0.83321
Drawdown as % of equity-2.60%
 $1,057
12/24/23 20:12 USD/SGD USD/SGD LONG 4 1.32516 1/5/24 7:46 1.33094 0.42%
Trade id #146799147
Max drawdown($700)
Time12/25/23 0:00
Quant open4
Worst price1.30180
Drawdown as % of equity-0.42%
 $174
12/13/23 15:10 USD/JPY USD/JPY LONG 8 141.984 1/3/24 9:42 143.308 0.6%
Trade id #146686675
Max drawdown($968)
Time12/28/23 0:00
Quant open8
Worst price140.249
Drawdown as % of equity-0.60%
 $741
12/28/23 2:11 GBP/USD GBP/USD SHORT 4 1.28169 12/28 2:29 1.28203 0.01%
Trade id #146828444
Max drawdown($20)
Time12/28/23 2:19
Quant open4
Worst price1.28219
Drawdown as % of equity-0.01%
 ($14)
12/27/23 11:39 CAD/CHF CAD/CHF LONG 4 0.63736 12/28 2:29 0.63633 0.05%
Trade id #146820487
Max drawdown($82)
Time12/27/23 23:56
Quant open4
Worst price0.63563
Drawdown as % of equity-0.05%
 ($49)
9/15/23 6:39 USD/JPY USD/JPY SHORT 3 147.900 11/29 11:44 147.444 0.48%
Trade id #145834131
Max drawdown($817)
Time11/13/23 0:00
Quant open3
Worst price151.908
Drawdown as % of equity-0.48%
 $93
10/25/23 10:27 USD/CAD USD/CAD SHORT 4 1.37978 11/29 11:43 1.36088 0.18%
Trade id #146230837
Max drawdown($297)
Time11/1/23 0:00
Quant open4
Worst price1.38989
Drawdown as % of equity-0.18%
 $556
8/16/23 21:34 NZD/CAD NZD/CAD LONG 3 0.80030 11/21 8:06 0.83366 0.08%
Trade id #145558304
Max drawdown($135)
Time9/19/23 0:00
Quant open3
Worst price0.79414
Drawdown as % of equity-0.08%
 $730
9/25/23 15:01 USD/CHF USD/CHF SHORT 6 0.91570 11/15 8:07 0.88710 0.36%
Trade id #145927182
Max drawdown($595)
Time10/3/23 0:00
Quant open6
Worst price0.92450
Drawdown as % of equity-0.36%
 $1,934
9/25/23 15:02 AUD/CAD AUD/CAD LONG 3 0.86496 11/1 17:21 0.88560 0.11%
Trade id #145927208
Max drawdown($184)
Time9/27/23 0:00
Quant open3
Worst price0.85644
Drawdown as % of equity-0.11%
 $447
10/19/23 16:06 EUR/CHF EUR/CHF LONG 3 0.94453 10/23 11:32 0.94947 0.06%
Trade id #146179666
Max drawdown($93)
Time10/20/23 0:00
Quant open3
Worst price0.94174
Drawdown as % of equity-0.06%
 $166
9/25/23 10:21 EUR/CAD EUR/CAD LONG 3 1.42583 10/23 11:31 1.45525 0.13%
Trade id #145923657
Max drawdown($221)
Time9/28/23 0:00
Quant open3
Worst price1.41572
Drawdown as % of equity-0.13%
 $645
9/25/23 15:03 CAD/CHF CAD/CHF SHORT 3 0.67716 10/18 13:29 0.65622 0.12%
Trade id #145927233
Max drawdown($191)
Time9/28/23 0:00
Quant open3
Worst price0.68290
Drawdown as % of equity-0.12%
 $700
8/11/23 2:00 GBP/NZD GBP/NZD SHORT 6 2.13307 9/22 0:10 2.06887 0.59%
Trade id #145501661
Max drawdown($916)
Time8/21/23 0:00
Quant open6
Worst price2.15859
Drawdown as % of equity-0.59%
 $2,286
4/13/23 5:18 CHF/JPY CHF/JPY SHORT 11 153.350 9/21 5:14 163.391 6.24%
Trade id #144280174
Max drawdown($9,880)
Time8/30/23 0:00
Quant open11
Worst price166.590
Drawdown as % of equity-6.24%
 ($7,456)
7/26/23 17:49 EUR/CHF EUR/CHF LONG 3 0.95465 9/21 5:14 0.96732 0.07%
Trade id #145334721
Max drawdown($105)
Time8/23/23 0:00
Quant open3
Worst price0.95149
Drawdown as % of equity-0.07%
 $419
4/26/23 2:47 GBP/AUD GBP/AUD SHORT 18 1.94814 9/19 11:02 1.91811 3.72%
Trade id #144424687
Max drawdown($5,686)
Time8/17/23 0:00
Quant open18
Worst price1.99712
Drawdown as % of equity-3.72%
 $3,490
7/13/23 8:30 USD/ZAR USD/ZAR LONG 6 17.83000 8/15 6:12 19.15870 0.85%
Trade id #145203210
Max drawdown($1,292)
Time7/27/23 0:00
Quant open6
Worst price17.41760
Drawdown as % of equity-0.85%
 $4,159
7/12/23 8:30 USD/MXN USD/MXN LONG 3 16.95000 8/4 0:18 17.32630 0.37%
Trade id #145182350
Max drawdown($572)
Time7/28/23 0:00
Quant open3
Worst price16.62380
Drawdown as % of equity-0.37%
 $652
7/20/23 7:09 USD/CHF USD/CHF LONG 4 0.85875 8/1 7:27 0.87514 0.1%
Trade id #145270065
Max drawdown($156)
Time7/27/23 0:00
Quant open4
Worst price0.85533
Drawdown as % of equity-0.10%
 $749
6/14/23 21:01 GBP/JPY GBP/JPY SHORT 6 179.502 7/28 0:09 177.000 1.32%
Trade id #144926630
Max drawdown($1,954)
Time7/5/23 0:00
Quant open6
Worst price184.012
Drawdown as % of equity-1.32%
 $1,084
7/11/23 20:41 GBP/USD GBP/USD SHORT 6 1.30100 7/21 12:04 1.28497 0.52%
Trade id #145180108
Max drawdown($794)
Time7/14/23 0:00
Quant open6
Worst price1.31424
Drawdown as % of equity-0.52%
 $962
5/30/23 4:29 EUR/SEK EUR/SEK SHORT 6 11.73010 7/13 9:44 11.47410 0.88%
Trade id #144776130
Max drawdown($1,295)
Time7/7/23 0:00
Quant open6
Worst price11.95020
Drawdown as % of equity-0.88%
 $1,502
7/5/23 14:21 USD/SEK USD/SEK SHORT 3 10.93030 7/11 7:52 10.71640 0.11%
Trade id #145124094
Max drawdown($169)
Time7/6/23 0:00
Quant open3
Worst price10.99070
Drawdown as % of equity-0.11%
 $599
Next

Statistics

  • Strategy began
    4/1/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1113.36
  • Age
    37 months ago
  • What it trades
    Forex
  • # Trades
    144
  • # Profitable
    121
  • % Profitable
    84.00%
  • Avg trade duration
    45.7 days
  • Max peak-to-valley drawdown
    13.89%
  • drawdown period
    April 20, 2021 - May 27, 2021
  • Annual Return (Compounded)
    22.3%
  • Avg win
    $917.71
  • Avg loss
    $993.96
  • Model Account Values (Raw)
  • Cash
    $188,761
  • Margin Used
    $6,821
  • Buying Power
    $181,325
  • Ratios
  • W:L ratio
    4.86:1
  • Sharpe Ratio
    1.28
  • Sortino Ratio
    2.17
  • Calmar Ratio
    2.094
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    60.45%
  • Correlation to SP500
    -0.08890
  • Return Percent SP500 (cumu) during strategy life
    24.97%
  • Return Statistics
  • Ann Return (w trading costs)
    22.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.223%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.99%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    0.50%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    788
  • Popularity (Last 6 weeks)
    961
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    993
  • Popularity (7 days, Percentile 1000 scale)
    940
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $991
  • Avg Win
    $918
  • Sum Trade PL (losers)
    $22,790.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $111,057.000
  • # Winners
    121
  • Num Months Winners
    28
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1834570
  • Win / Loss
  • # Losers
    23
  • % Winners
    84.0%
  • Frequency
  • Avg Position Time (mins)
    65819.00
  • Avg Position Time (hrs)
    1096.98
  • Avg Trade Length
    45.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.21
  • Daily leverage (max)
    8.85
  • Regression
  • Alpha
    0.05
  • Beta
    -0.07
  • Treynor Index
    -0.82
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.50
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.742
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.834
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.650
  • Hold-and-Hope Ratio
    0.575
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19389
  • SD
    0.13258
  • Sharpe ratio (Glass type estimate)
    1.46245
  • Sharpe ratio (Hedges UMVUE)
    1.43084
  • df
    35.00000
  • t
    2.53303
  • p
    0.00797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61103
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41358
  • Upside Potential Ratio
    4.75252
  • Upside part of mean
    0.26994
  • Downside part of mean
    -0.07605
  • Upside SD
    0.13037
  • Downside SD
    0.05680
  • N nonnegative terms
    24.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.07024
  • Mean of criterion
    0.19389
  • SD of predictor
    0.15370
  • SD of criterion
    0.13258
  • Covariance
    0.00149
  • r
    0.07307
  • b (slope, estimate of beta)
    0.06303
  • a (intercept, estimate of alpha)
    0.18946
  • Mean Square Error
    0.01800
  • DF error
    34.00000
  • t(b)
    0.42719
  • p(b)
    0.33597
  • t(a)
    2.42451
  • p(a)
    0.01040
  • Lowerbound of 95% confidence interval for beta
    -0.23681
  • Upperbound of 95% confidence interval for beta
    0.36287
  • Lowerbound of 95% confidence interval for alpha
    0.03065
  • Upperbound of 95% confidence interval for alpha
    0.34827
  • Treynor index (mean / b)
    3.07627
  • Jensen alpha (a)
    0.18946
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18374
  • SD
    0.12930
  • Sharpe ratio (Glass type estimate)
    1.42096
  • Sharpe ratio (Hedges UMVUE)
    1.39025
  • df
    35.00000
  • t
    2.46117
  • p
    0.00946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56777
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14549
  • Upside Potential Ratio
    4.47306
  • Upside part of mean
    0.26128
  • Downside part of mean
    -0.07755
  • Upside SD
    0.12512
  • Downside SD
    0.05841
  • N nonnegative terms
    24.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.05853
  • Mean of criterion
    0.18374
  • SD of predictor
    0.15290
  • SD of criterion
    0.12930
  • Covariance
    0.00143
  • r
    0.07211
  • b (slope, estimate of beta)
    0.06098
  • a (intercept, estimate of alpha)
    0.18017
  • Mean Square Error
    0.01712
  • DF error
    34.00000
  • t(b)
    0.42158
  • p(b)
    0.33799
  • t(a)
    2.37000
  • p(a)
    0.01180
  • Lowerbound of 95% confidence interval for beta
    -0.23300
  • Upperbound of 95% confidence interval for beta
    0.35496
  • Lowerbound of 95% confidence interval for alpha
    0.02568
  • Upperbound of 95% confidence interval for alpha
    0.33466
  • Treynor index (mean / b)
    3.01283
  • Jensen alpha (a)
    0.18017
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04504
  • Expected Shortfall on VaR
    0.05973
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01072
  • Expected Shortfall on VaR
    0.02457
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.93655
  • Quartile 1
    0.99619
  • Median
    1.01003
  • Quartile 3
    1.04854
  • Maximum
    1.12760
  • Mean of quarter 1
    0.97836
  • Mean of quarter 2
    1.00388
  • Mean of quarter 3
    1.02125
  • Mean of quarter 4
    1.07044
  • Inter Quartile Range
    0.05236
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02778
  • Mean of outliers high
    1.12760
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75537
  • VaR(95%) (moments method)
    0.02200
  • Expected Shortfall (moments method)
    0.09626
  • Extreme Value Index (regression method)
    -0.13218
  • VaR(95%) (regression method)
    0.01553
  • Expected Shortfall (regression method)
    0.02044
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00284
  • Quartile 1
    0.00936
  • Median
    0.01118
  • Quartile 3
    0.01447
  • Maximum
    0.06345
  • Mean of quarter 1
    0.00502
  • Mean of quarter 2
    0.01069
  • Mean of quarter 3
    0.01155
  • Mean of quarter 4
    0.04707
  • Inter Quartile Range
    0.00511
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.06292
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -14206.30000
  • VaR(95%) (moments method)
    0.03701
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.48152
  • VaR(95%) (regression method)
    0.21633
  • Expected Shortfall (regression method)
    0.21633
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29563
  • Compounded annual return (geometric extrapolation)
    0.23571
  • Calmar ratio (compounded annual return / max draw down)
    3.71497
  • Compounded annual return / average of 25% largest draw downs
    5.00797
  • Compounded annual return / Expected Shortfall lognormal
    3.94622
  • 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
    0.19397
  • SD
    0.12454
  • Sharpe ratio (Glass type estimate)
    1.55745
  • Sharpe ratio (Hedges UMVUE)
    1.55597
  • df
    792.00000
  • t
    2.70956
  • p
    0.00344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68615
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68515
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62444
  • Upside Potential Ratio
    9.39783
  • Upside part of mean
    0.69458
  • Downside part of mean
    -0.50061
  • Upside SD
    0.10086
  • Downside SD
    0.07391
  • N nonnegative terms
    405.00000
  • N negative terms
    388.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    793.00000
  • Mean of predictor
    0.05984
  • Mean of criterion
    0.19397
  • SD of predictor
    0.17276
  • SD of criterion
    0.12454
  • Covariance
    -0.00147
  • r
    -0.06852
  • b (slope, estimate of beta)
    -0.04939
  • a (intercept, estimate of alpha)
    0.19700
  • Mean Square Error
    0.01546
  • DF error
    791.00000
  • t(b)
    -1.93152
  • p(b)
    0.97311
  • t(a)
    2.75495
  • p(a)
    0.00300
  • Lowerbound of 95% confidence interval for beta
    -0.09959
  • Upperbound of 95% confidence interval for beta
    0.00080
  • Lowerbound of 95% confidence interval for alpha
    0.05661
  • Upperbound of 95% confidence interval for alpha
    0.33724
  • Treynor index (mean / b)
    -3.92702
  • Jensen alpha (a)
    0.19692
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18618
  • SD
    0.12394
  • Sharpe ratio (Glass type estimate)
    1.50222
  • Sharpe ratio (Hedges UMVUE)
    1.50080
  • df
    792.00000
  • t
    2.61349
  • p
    0.00457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63079
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62980
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.49643
  • Upside Potential Ratio
    9.24515
  • Upside part of mean
    0.68951
  • Downside part of mean
    -0.50332
  • Upside SD
    0.09956
  • Downside SD
    0.07458
  • N nonnegative terms
    405.00000
  • N negative terms
    388.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    793.00000
  • Mean of predictor
    0.04491
  • Mean of criterion
    0.18618
  • SD of predictor
    0.17286
  • SD of criterion
    0.12394
  • Covariance
    -0.00147
  • r
    -0.06847
  • b (slope, estimate of beta)
    -0.04909
  • a (intercept, estimate of alpha)
    0.18839
  • Mean Square Error
    0.01531
  • DF error
    791.00000
  • t(b)
    -1.93009
  • p(b)
    0.97302
  • t(a)
    2.64864
  • p(a)
    0.00412
  • Lowerbound of 95% confidence interval for beta
    -0.09901
  • Upperbound of 95% confidence interval for beta
    0.00084
  • Lowerbound of 95% confidence interval for alpha
    0.04877
  • Upperbound of 95% confidence interval for alpha
    0.32801
  • Treynor index (mean / b)
    -3.79276
  • Jensen alpha (a)
    0.18839
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01181
  • Expected Shortfall on VaR
    0.01497
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00428
  • Expected Shortfall on VaR
    0.00897
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    793.00000
  • Minimum
    0.96011
  • Quartile 1
    0.99835
  • Median
    1.00019
  • Quartile 3
    1.00286
  • Maximum
    1.05736
  • Mean of quarter 1
    0.99322
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00139
  • Mean of quarter 4
    1.00944
  • Inter Quartile Range
    0.00451
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.06810
  • Mean of outliers low
    0.98573
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.08071
  • Mean of outliers high
    1.01797
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45857
  • VaR(95%) (moments method)
    0.00608
  • Expected Shortfall (moments method)
    0.01327
  • Extreme Value Index (regression method)
    0.08234
  • VaR(95%) (regression method)
    0.00628
  • Expected Shortfall (regression method)
    0.00962
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    70.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00206
  • Median
    0.00457
  • Quartile 3
    0.00907
  • Maximum
    0.11403
  • Mean of quarter 1
    0.00091
  • Mean of quarter 2
    0.00290
  • Mean of quarter 3
    0.00625
  • Mean of quarter 4
    0.03797
  • Inter Quartile Range
    0.00701
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.12857
  • Mean of outliers high
    0.06175
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53478
  • VaR(95%) (moments method)
    0.03596
  • Expected Shortfall (moments method)
    0.08983
  • Extreme Value Index (regression method)
    0.41705
  • VaR(95%) (regression method)
    0.03726
  • Expected Shortfall (regression method)
    0.07803
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30122
  • Compounded annual return (geometric extrapolation)
    0.23874
  • Calmar ratio (compounded annual return / max draw down)
    2.09359
  • Compounded annual return / average of 25% largest draw downs
    6.28732
  • Compounded annual return / Expected Shortfall lognormal
    15.95150
  • 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
    0.17061
  • SD
    0.08483
  • Sharpe ratio (Glass type estimate)
    2.01109
  • Sharpe ratio (Hedges UMVUE)
    1.99946
  • df
    130.00000
  • t
    1.42205
  • p
    0.43812
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78990
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78190
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95282
  • Upside Potential Ratio
    10.50080
  • Upside part of mean
    0.45323
  • Downside part of mean
    -0.28262
  • Upside SD
    0.07342
  • Downside SD
    0.04316
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25127
  • Mean of criterion
    0.17061
  • SD of predictor
    0.11802
  • SD of criterion
    0.08483
  • Covariance
    -0.00136
  • r
    -0.13560
  • b (slope, estimate of beta)
    -0.09748
  • a (intercept, estimate of alpha)
    0.19510
  • Mean Square Error
    0.00712
  • DF error
    129.00000
  • t(b)
    -1.55452
  • p(b)
    0.58606
  • t(a)
    1.62097
  • p(a)
    0.41035
  • Lowerbound of 95% confidence interval for beta
    -0.22154
  • Upperbound of 95% confidence interval for beta
    0.02659
  • Lowerbound of 95% confidence interval for alpha
    -0.04303
  • Upperbound of 95% confidence interval for alpha
    0.43323
  • Treynor index (mean / b)
    -1.75025
  • Jensen alpha (a)
    0.19510
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16699
  • SD
    0.08432
  • Sharpe ratio (Glass type estimate)
    1.98055
  • Sharpe ratio (Hedges UMVUE)
    1.96910
  • df
    130.00000
  • t
    1.40046
  • p
    0.43904
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81302
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.75122
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.84311
  • Upside Potential Ratio
    10.36810
  • Upside part of mean
    0.45052
  • Downside part of mean
    -0.28353
  • Upside SD
    0.07262
  • Downside SD
    0.04345
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24422
  • Mean of criterion
    0.16699
  • SD of predictor
    0.11789
  • SD of criterion
    0.08432
  • Covariance
    -0.00134
  • r
    -0.13526
  • b (slope, estimate of beta)
    -0.09674
  • a (intercept, estimate of alpha)
    0.19062
  • Mean Square Error
    0.00703
  • DF error
    129.00000
  • t(b)
    -1.55056
  • p(b)
    0.58585
  • t(a)
    1.59411
  • p(a)
    0.41180
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    -0.22019
  • Upperbound of 95% confidence interval for beta
    0.02670
  • Lowerbound of 95% confidence interval for alpha
    -0.04597
  • Upperbound of 95% confidence interval for alpha
    0.42721
  • Treynor index (mean / b)
    -1.72616
  • Jensen alpha (a)
    0.19062
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00790
  • Expected Shortfall on VaR
    0.01005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00251
  • Expected Shortfall on VaR
    0.00527
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97876
  • Quartile 1
    0.99884
  • Median
    1.00004
  • Quartile 3
    1.00204
  • Maximum
    1.03421
  • Mean of quarter 1
    0.99639
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00086
  • Mean of quarter 4
    1.00624
  • Inter Quartile Range
    0.00321
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98847
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01529
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51484
  • VaR(95%) (moments method)
    0.00368
  • Expected Shortfall (moments method)
    0.00844
  • Extreme Value Index (regression method)
    0.61416
  • VaR(95%) (regression method)
    0.00341
  • Expected Shortfall (regression method)
    0.00907
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00061
  • Quartile 1
    0.00161
  • Median
    0.00565
  • Quartile 3
    0.00678
  • Maximum
    0.05841
  • Mean of quarter 1
    0.00091
  • Mean of quarter 2
    0.00401
  • Mean of quarter 3
    0.00649
  • Mean of quarter 4
    0.02685
  • Inter Quartile Range
    0.00517
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.03685
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.44188
  • VaR(95%) (moments method)
    0.02192
  • Expected Shortfall (moments method)
    0.02739
  • Extreme Value Index (regression method)
    1.35392
  • VaR(95%) (regression method)
    0.07121
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340543000
  • Max Equity Drawdown (num days)
    37
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20471
  • Compounded annual return (geometric extrapolation)
    0.21519
  • Calmar ratio (compounded annual return / max draw down)
    3.68400
  • Compounded annual return / average of 25% largest draw downs
    8.01545
  • Compounded annual return / Expected Shortfall lognormal
    21.40180

Strategy Description

Basket of (up to 50) L/S positions in tradable currencies. The system trades the volatility around a trend, using a profit-harvesting algorithm. Risk is controlled through position sizing. Stop-losses are rarely used.

The system harvests profits from "normal currency volatility" and reversion to the mean. Trades are entered and exited on an overbought/oversold signal. Importantly, once a Long or Short signal on a currency is triggered, a set of further trades and exits on that position are set as open orders.

Backtest show an average Annual Return/ Average Drawdown ratio of approximately 6.0, with an average annual max Drawdown of <10%.

However, the multi-year (7) Max Drawdown could be up to 15% with this strategy. One should expect a drawdown of approximately 8% +/- to occur about every 3 months.

If you should choose to follow the strategy at C2, I recommend that you "join trades in progress".

(May 2022: C2 and Oanda have stopped working together, so I am no longer using C2 to manage my trades at Oanda - rather running my program directly with Oanda. I will continue to publish trades and orders on C2, but will no longer "trade my own system" at C2.)

CAVEAT EMPTOR

Contact me if you have any questions. [email protected]. 617-592-8379
Control notes: trade units = 0.2*$k.

Summary Statistics

Strategy began
2021-04-01
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 0.7%
Rank # 
#6
# Trades
144
# Profitable
121
% Profitable
84.0%
Correlation S&P500
-0.089
Sharpe Ratio
1.28
Sortino Ratio
2.17
Beta
-0.07
Alpha
0.05
Leverage
2.21 Average
8.85 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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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.