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The Cake
(47319696)

Created by: HaggaiShapira HaggaiShapira
Started: 03/2010
Forex
Last trade: 2,891 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 $100.00 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.

5.3%
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.

(40.2%)
Max Drawdown
466
Num Trades
38.0%
Win Trades
1.5 : 1
Profit Factor
11.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010              (3.6%)(7.1%)+18.3%+13.4%+0.4%+15.0%(4.2%)+7.8%(6%)+19.3%+60.6%
2011(6.8%)(3.5%)(2.9%)+12.3%+6.0%+7.5%+10.8%(2.1%)+24.7%(17%)(7.7%)+8.5%+25.8%
2012(1.4%)(10%)(1.7%)(9%)+15.6%(5%)+6.4%(6.6%)(2.2%)  -    -    -  (15.4%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -                          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.

Trading Record

This strategy has placed 820 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/15/12 14:15 EUR/USD EUR/USD SHORT 2 1.22835 9/10 22:57 1.27781 0.6%
Trade id #76027636
Max drawdown($1,064)
Time9/7/12 16:59
Quant open-2
Worst price1.28157
Drawdown as % of equity-0.60%
($989)
8/15/12 14:14 USD/CHF USD/CHF LONG 5 0.97775 9/10 22:57 0.94547 1.04%
Trade id #76027621
Max drawdown($1,828)
Time9/9/12 17:01
Quant open5
Worst price0.94317
Drawdown as % of equity-1.04%
($1,707)
8/15/12 14:14 GBP/USD GBP/USD LONG 3 1.56868 9/10 22:57 1.60098 0.02%
Trade id #76027614
Max drawdown($30)
Time8/19/12 21:29
Quant open3
Worst price1.56768
Drawdown as % of equity-0.02%
$969
7/30/12 3:54 USD/CAD USD/CAD SHORT 18 0.99960 9/10 22:57 0.98155 0.22%
Trade id #75636644
Max drawdown($427)
Time8/2/12 15:17
Quant open-9
Worst price1.00836
Drawdown as % of equity-0.22%
$3,327
7/30/12 3:53 AUD/USD AUD/USD LONG 8 1.05142 9/10 22:57 1.03634 1.37%
Trade id #75636611
Max drawdown($2,456)
Time9/5/12 21:31
Quant open7
Worst price1.01632
Drawdown as % of equity-1.37%
($1,207)
7/6/12 1:11 EUR/AUD EUR/AUD SHORT 11 1.19128 9/10 22:57 1.20599 1.36%
Trade id #75050122
Max drawdown($2,471)
Time9/5/12 10:11
Quant open-5
Worst price1.23906
Drawdown as % of equity-1.36%
($1,674)
6/18/12 0:52 USD/JPY USD/JPY SHORT 35 79.113 9/10 22:57 78.860 1.29%
Trade id #74615259
Max drawdown($2,411)
Time6/24/12 18:38
Quant open-13
Worst price80.611
Drawdown as % of equity-1.29%
$1,134
6/18/12 0:52 GBP/JPY GBP/JPY SHORT 10 123.676 9/10 22:57 124.372 0.73%
Trade id #74615253
Max drawdown($1,284)
Time9/7/12 4:34
Quant open-4
Worst price126.187
Drawdown as % of equity-0.73%
($891)
6/18/12 0:52 EUR/JPY EUR/JPY SHORT 15 98.968 9/10 22:57 98.481 0.63%
Trade id #74615248
Max drawdown($1,115)
Time9/7/12 7:31
Quant open-6
Worst price100.422
Drawdown as % of equity-0.63%
$934
6/18/12 0:51 EUR/GBP EUR/GBP SHORT 19 0.79688 9/10 22:57 0.79244 0.33%
Trade id #74615243
Max drawdown($589)
Time9/10/12 8:53
Quant open-9
Worst price0.80097
Drawdown as % of equity-0.33%
$1,351
6/18/12 0:51 EUR/CHF EUR/CHF SHORT 30 1.20109 9/10 22:57 1.20576 1.63%
Trade id #74615233
Max drawdown($2,881)
Time9/7/12 6:53
Quant open-19
Worst price1.21543
Drawdown as % of equity-1.63%
($1,481)
6/18/12 0:51 AUD/JPY AUD/JPY SHORT 37 80.548 9/10 22:57 81.374 2.88%
Trade id #74615216
Max drawdown($5,261)
Time7/5/12 8:32
Quant open-20
Worst price82.350
Drawdown as % of equity-2.88%
($3,908)
6/18/12 0:50 GBP/CHF GBP/CHF LONG 9 1.49756 9/10 22:57 1.51441 0.08%
Trade id #74615195
Max drawdown($155)
Time6/20/12 4:31
Quant open4
Worst price1.48166
Drawdown as % of equity-0.08%
$1,604
8/7/12 2:43 EUR/USD EUR/USD LONG 4 1.23883 8/15 14:14 1.22835 0.31%
Trade id #75838902
Max drawdown($592)
Time8/10/12 9:36
Quant open4
Worst price1.22403
Drawdown as % of equity-0.31%
($419)
8/3/12 2:58 GBP/USD GBP/USD SHORT 4 1.55283 8/15 14:13 1.56310 0.29%
Trade id #75770393
Max drawdown($544)
Time8/5/12 19:46
Quant open-4
Worst price1.56644
Drawdown as % of equity-0.29%
($411)
7/6/12 1:10 USD/CHF USD/CHF LONG 10 0.97782 8/7 2:42 0.97465 0.28%
Trade id #75050117
Max drawdown($537)
Time7/27/12 13:31
Quant open8
Worst price0.96940
Drawdown as % of equity-0.28%
($327)
8/3/12 2:57 EUR/USD EUR/USD SHORT 3 1.21913 8/7 2:42 1.23843 0.41%
Trade id #75770376
Max drawdown($752)
Time8/5/12 19:43
Quant open-3
Worst price1.24420
Drawdown as % of equity-0.41%
($579)
7/30/12 3:53 GBP/USD GBP/USD LONG 4 1.57129 8/3 2:56 1.55272 0.46%
Trade id #75636616
Max drawdown($894)
Time8/2/12 12:35
Quant open4
Worst price1.54894
Drawdown as % of equity-0.46%
($743)
7/24/12 6:24 USD/CAD USD/CAD LONG 4 1.01934 7/30 3:52 1.00383 0.35%
Trade id #75488122
Max drawdown($664)
Time7/27/12 17:00
Quant open4
Worst price1.00267
Drawdown as % of equity-0.35%
($618)
7/24/12 6:25 GBP/USD GBP/USD SHORT 3 1.55011 7/30 3:52 1.57104 0.41%
Trade id #75488152
Max drawdown($797)
Time7/27/12 10:02
Quant open-3
Worst price1.57668
Drawdown as % of equity-0.41%
($628)
7/6/12 1:19 EUR/USD EUR/USD SHORT 7 1.23563 7/30 3:52 1.22843 0.07%
Trade id #75050229
Max drawdown($127)
Time7/6/12 4:29
Quant open-6
Worst price1.24002
Drawdown as % of equity-0.07%
$505
7/24/12 6:25 AUD/USD AUD/USD SHORT 3 1.02774 7/30 3:51 1.04741 0.33%
Trade id #75488147
Max drawdown($625)
Time7/27/12 15:43
Quant open-3
Worst price1.04859
Drawdown as % of equity-0.33%
($590)
7/18/12 2:51 GBP/USD GBP/USD LONG 1 1.56482 7/24 6:24 1.55010 0.08%
Trade id #75342463
Max drawdown($164)
Time7/23/12 9:36
Quant open1
Worst price1.54841
Drawdown as % of equity-0.08%
($147)
7/18/12 2:51 AUD/USD AUD/USD LONG 1 1.03078 7/24 6:24 1.02777 0.03%
Trade id #75342458
Max drawdown($65)
Time7/23/12 10:16
Quant open1
Worst price1.02422
Drawdown as % of equity-0.03%
($30)
7/18/12 2:53 USD/CAD USD/CAD SHORT 3 1.01252 7/24 6:24 1.01928 0.11%
Trade id #75342496
Max drawdown($230)
Time7/23/12 8:43
Quant open-3
Worst price1.02035
Drawdown as % of equity-0.11%
($199)
7/9/12 10:46 USD/CAD USD/CAD LONG 3 1.02088 7/18 2:51 1.01231 0.15%
Trade id #75100454
Max drawdown($278)
Time7/17/12 20:25
Quant open3
Worst price1.01149
Drawdown as % of equity-0.15%
($254)
6/26/12 1:01 GBP/USD GBP/USD SHORT 3 1.55411 7/18 2:51 1.56522 0.21%
Trade id #74820679
Max drawdown($406)
Time7/16/12 21:31
Quant open-3
Worst price1.56767
Drawdown as % of equity-0.21%
($333)
6/18/12 0:51 AUD/USD AUD/USD SHORT 15 1.01070 7/18 2:50 1.02304 0.96%
Trade id #74615222
Max drawdown($1,851)
Time7/18/12 2:50
Quant open12
Worst price1.03079
Drawdown as % of equity-0.96%
($1,851)
7/6/12 1:12 USD/CAD USD/CAD SHORT 3 1.01525 7/9 10:45 1.02059 0.11%
Trade id #75050166
Max drawdown($200)
Time7/9/12 10:01
Quant open-3
Worst price1.02205
Drawdown as % of equity-0.11%
($157)
6/18/12 0:50 USD/CAD USD/CAD LONG 10 1.02123 7/6 1:10 1.01655 0.55%
Trade id #74615205
Max drawdown($997)
Time7/5/12 7:51
Quant open9
Worst price1.00998
Drawdown as % of equity-0.55%
($462)

Statistics

  • Strategy began
    3/2/2010
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3812.71
  • Age
    127 months ago
  • What it trades
    Forex
  • # Trades
    466
  • # Profitable
    177
  • % Profitable
    38.00%
  • Avg trade duration
    6.7 days
  • Max peak-to-valley drawdown
    40.2%
  • drawdown period
    Oct 04, 2011 - April 20, 2012
  • Annual Return (Compounded)
    5.3%
  • Avg win
    $1,260
  • Avg loss
    $501.91
  • Model Account Values (Raw)
  • Cash
    $178,072
  • Margin Used
    $0
  • Buying Power
    $178,072
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    0.25
  • Sortino Ratio
    0.36
  • Calmar Ratio
    0.393
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -128.91%
  • Correlation to SP500
    -0.17830
  • Return Percent SP500 (cumu) during strategy life
    200.58%
  • Return Statistics
  • Ann Return (w trading costs)
    5.3%
  • Slump
  • Current Slump as Pcnt Equity
    52.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.85%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.053%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 100% 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 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    465
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $502
  • Avg Win
    $1,261
  • Sum Trade PL (losers)
    $145,052.000
  • Age
  • Num Months filled monthly returns table
    126
  • Win / Loss
  • Sum Trade PL (winners)
    $223,124.000
  • # Winners
    177
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    289
  • % Winners
    38.0%
  • Frequency
  • Avg Position Time (mins)
    9597.80
  • Avg Position Time (hrs)
    159.96
  • Avg Trade Length
    6.7 days
  • Last Trade Ago
    2889
  • Regression
  • Alpha
    0.02
  • Beta
    -0.15
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    63.10
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    63.74
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.42
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    3.174
  • 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
    0.230
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.286
  • Hold-and-Hope Ratio
    0.315
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14825
  • SD
    0.29235
  • Sharpe ratio (Glass type estimate)
    0.50710
  • Sharpe ratio (Hedges UMVUE)
    0.49945
  • df
    50.00000
  • t
    1.04542
  • p
    0.15043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45520
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97183
  • Upside Potential Ratio
    2.54735
  • Upside part of mean
    0.38860
  • Downside part of mean
    -0.24034
  • Upside SD
    0.24970
  • Downside SD
    0.15255
  • N nonnegative terms
    16.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.21824
  • Mean of criterion
    0.14825
  • SD of predictor
    0.20436
  • SD of criterion
    0.29235
  • Covariance
    -0.02733
  • r
    -0.45751
  • b (slope, estimate of beta)
    -0.65450
  • a (intercept, estimate of alpha)
    0.29109
  • Mean Square Error
    0.06896
  • DF error
    49.00000
  • t(b)
    -3.60166
  • p(b)
    0.99963
  • t(a)
    2.18193
  • p(a)
    0.01697
  • Lowerbound of 95% confidence interval for beta
    -1.01968
  • Upperbound of 95% confidence interval for beta
    -0.28931
  • Lowerbound of 95% confidence interval for alpha
    0.02299
  • Upperbound of 95% confidence interval for alpha
    0.55918
  • Treynor index (mean / b)
    -0.22651
  • Jensen alpha (a)
    0.29109
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10787
  • SD
    0.28022
  • Sharpe ratio (Glass type estimate)
    0.38496
  • Sharpe ratio (Hedges UMVUE)
    0.37916
  • df
    50.00000
  • t
    0.79362
  • p
    0.21558
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33278
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66349
  • Upside Potential Ratio
    2.21609
  • Upside part of mean
    0.36030
  • Downside part of mean
    -0.25243
  • Upside SD
    0.22698
  • Downside SD
    0.16259
  • N nonnegative terms
    16.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.19616
  • Mean of criterion
    0.10787
  • SD of predictor
    0.20018
  • SD of criterion
    0.28022
  • Covariance
    -0.02576
  • r
    -0.45918
  • b (slope, estimate of beta)
    -0.64279
  • a (intercept, estimate of alpha)
    0.23397
  • Mean Square Error
    0.06323
  • DF error
    49.00000
  • t(b)
    -3.61830
  • p(b)
    0.99965
  • t(a)
    1.84435
  • p(a)
    0.03559
  • Lowerbound of 95% confidence interval for beta
    -0.99980
  • Upperbound of 95% confidence interval for beta
    -0.28579
  • Lowerbound of 95% confidence interval for alpha
    -0.02096
  • Upperbound of 95% confidence interval for alpha
    0.48889
  • Treynor index (mean / b)
    -0.16782
  • Jensen alpha (a)
    0.23397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11668
  • Expected Shortfall on VaR
    0.14566
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05578
  • Expected Shortfall on VaR
    0.10851
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.83169
  • Quartile 1
    0.99452
  • Median
    1.00000
  • Quartile 3
    1.02335
  • Maximum
    1.32961
  • Mean of quarter 1
    0.92786
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00258
  • Mean of quarter 4
    1.12752
  • Inter Quartile Range
    0.02883
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.17647
  • Mean of outliers low
    0.90831
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.23529
  • Mean of outliers high
    1.13552
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.48688
  • VaR(95%) (moments method)
    0.03069
  • Expected Shortfall (moments method)
    0.03071
  • Extreme Value Index (regression method)
    -0.24779
  • VaR(95%) (regression method)
    0.08907
  • Expected Shortfall (regression method)
    0.12158
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00211
  • Quartile 1
    0.00885
  • Median
    0.09651
  • Quartile 3
    0.14066
  • Maximum
    0.30540
  • Mean of quarter 1
    0.00548
  • Mean of quarter 2
    0.09651
  • Mean of quarter 3
    0.14066
  • Mean of quarter 4
    0.30540
  • Inter Quartile Range
    0.13181
  • 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)
    0.18372
  • Compounded annual return (geometric extrapolation)
    0.14543
  • Calmar ratio (compounded annual return / max draw down)
    0.47619
  • Compounded annual return / average of 25% largest draw downs
    0.47619
  • Compounded annual return / Expected Shortfall lognormal
    0.99845
  • 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
    0.15524
  • SD
    0.30896
  • Sharpe ratio (Glass type estimate)
    0.50248
  • Sharpe ratio (Hedges UMVUE)
    0.50214
  • df
    1114.00000
  • t
    1.03658
  • p
    0.48448
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44817
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45245
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75531
  • Upside Potential Ratio
    6.29031
  • Upside part of mean
    1.29288
  • Downside part of mean
    -1.13763
  • Upside SD
    0.23069
  • Downside SD
    0.20553
  • N nonnegative terms
    333.00000
  • N negative terms
    782.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1115.00000
  • Mean of predictor
    0.23534
  • Mean of criterion
    0.15524
  • SD of predictor
    0.26318
  • SD of criterion
    0.30896
  • Covariance
    -0.01492
  • r
    -0.18354
  • b (slope, estimate of beta)
    -0.21546
  • a (intercept, estimate of alpha)
    0.20600
  • Mean Square Error
    0.09232
  • DF error
    1113.00000
  • t(b)
    -6.22889
  • p(b)
    0.61618
  • t(a)
    1.39616
  • p(a)
    0.47339
  • Lowerbound of 95% confidence interval for beta
    -0.28333
  • Upperbound of 95% confidence interval for beta
    -0.14759
  • Lowerbound of 95% confidence interval for alpha
    -0.08348
  • Upperbound of 95% confidence interval for alpha
    0.49538
  • Treynor index (mean / b)
    -0.72052
  • Jensen alpha (a)
    0.20595
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10769
  • SD
    0.30827
  • Sharpe ratio (Glass type estimate)
    0.34934
  • Sharpe ratio (Hedges UMVUE)
    0.34910
  • df
    1114.00000
  • t
    0.72066
  • p
    0.48921
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29947
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60109
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29930
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50582
  • Upside Potential Ratio
    5.95260
  • Upside part of mean
    1.26733
  • Downside part of mean
    -1.15964
  • Upside SD
    0.22285
  • Downside SD
    0.21290
  • N nonnegative terms
    333.00000
  • N negative terms
    782.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1115.00000
  • Mean of predictor
    0.20008
  • Mean of criterion
    0.10769
  • SD of predictor
    0.26645
  • SD of criterion
    0.30827
  • Covariance
    -0.01482
  • r
    -0.18042
  • b (slope, estimate of beta)
    -0.20874
  • a (intercept, estimate of alpha)
    0.14946
  • Mean Square Error
    0.09202
  • DF error
    1113.00000
  • t(b)
    -6.11958
  • p(b)
    0.61423
  • t(a)
    1.01529
  • p(a)
    0.48064
  • Lowerbound of 95% confidence interval for beta
    -0.27567
  • Upperbound of 95% confidence interval for beta
    -0.14181
  • Lowerbound of 95% confidence interval for alpha
    -0.13937
  • Upperbound of 95% confidence interval for alpha
    0.43829
  • Treynor index (mean / b)
    -0.51591
  • Jensen alpha (a)
    0.14946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03044
  • Expected Shortfall on VaR
    0.03810
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01215
  • Expected Shortfall on VaR
    0.02581
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1115.00000
  • Minimum
    0.85426
  • Quartile 1
    0.99900
  • Median
    1.00000
  • Quartile 3
    1.00252
  • Maximum
    1.15372
  • Mean of quarter 1
    0.98297
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00026
  • Mean of quarter 4
    1.01959
  • Inter Quartile Range
    0.00352
  • Number outliers low
    203.00000
  • Percentage of outliers low
    0.18206
  • Mean of outliers low
    0.97796
  • Number of outliers high
    205.00000
  • Percentage of outliers high
    0.18386
  • Mean of outliers high
    1.02482
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.13341
  • VaR(95%) (moments method)
    0.00501
  • Expected Shortfall (moments method)
    0.00698
  • Extreme Value Index (regression method)
    0.13695
  • VaR(95%) (regression method)
    0.01406
  • Expected Shortfall (regression method)
    0.02452
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00104
  • Quartile 1
    0.02238
  • Median
    0.05389
  • Quartile 3
    0.10259
  • Maximum
    0.36953
  • Mean of quarter 1
    0.00910
  • Mean of quarter 2
    0.03555
  • Mean of quarter 3
    0.08361
  • Mean of quarter 4
    0.17649
  • Inter Quartile Range
    0.08021
  • 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
    0.03571
  • Mean of outliers high
    0.36953
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.26629
  • VaR(95%) (moments method)
    0.19709
  • Expected Shortfall (moments method)
    0.30153
  • Extreme Value Index (regression method)
    0.88711
  • VaR(95%) (regression method)
    0.18359
  • Expected Shortfall (regression method)
    1.00806
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18347
  • Compounded annual return (geometric extrapolation)
    0.14522
  • Calmar ratio (compounded annual return / max draw down)
    0.39299
  • Compounded annual return / average of 25% largest draw downs
    0.82283
  • Compounded annual return / Expected Shortfall lognormal
    3.81122
  • 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
    0.53158
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44314
  • 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
    0.42904
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45926
  • 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)
    -6855110000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03000
  • 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)
    -168787000000000020726931410386944.00000
  • 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?
    -312131000
  • Max Equity Drawdown (num days)
    199
  • 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

The Cake is a trend following system. The system is ranking the power of the trend in each of the 10 traded pairs, and hence adjust the size and direction of the position in each of the traded pairs.

The total Dollar value of all positions at any given time is constant ("the Cake") and the size of the "slice" for each of the pairs is determined and adjust daily.

Trading orders are delivered once a day at about 7 AM GMT (give or take)
timing is not highly important, if you miss my call, you can take it later - those are usually adjustments of the existing position size.

Very simple, very powerful.

Summary Statistics

Strategy began
2010-03-02
Suggested Minimum Capital
$100,000
# Trades
466
# Profitable
177
% Profitable
38.0%
Correlation S&P500
-0.178
Sharpe Ratio
0.25
Sortino Ratio
0.36
Beta
-0.15
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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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.