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These are hypothetical performance results that have certain inherent limitations. Learn more

The Golden Oak
(132624701)

Created by: TheGoldenOak TheGoldenOak
Started: 12/2020
Forex
Last trade: 744 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 $29.00 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.

3.5%
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.

(13.4%)
Max Drawdown
101
Num Trades
94.1%
Win Trades
2.1 : 1
Profit Factor
32.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             +4.4%+4.4%
2021+1.0%+1.2%+1.8%(1.1%)(5.1%)+11.1%+1.0%+0.5%+0.6%+2.1%+1.6%+1.6%+16.7%
2022+0.4%+2.2%(10.3%)  -    -    -    -    -    -    -    -    -  (7.9%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 873 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 743 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/10/22 18:00 USD/JPY USD/JPY SHORT 55 117.704 3/16 14:05 118.500 5.2%
Trade id #139741910
Max drawdown($2,959)
Time3/16/22 13:30
Quant open39
Worst price118.607
Drawdown as % of equity-5.20%
($3,682)
3/10/22 10:23 USD/JPY USD/JPY SHORT 3 116.169 3/10 10:38 115.965 n/a $53
3/9/22 22:41 USD/JPY USD/JPY SHORT 3 116.172 3/10 2:11 115.970 0.01%
Trade id #139725926
Max drawdown($6)
Time3/9/22 22:50
Quant open3
Worst price116.196
Drawdown as % of equity-0.01%
$52
3/8/22 13:25 EUR/USD EUR/USD LONG 6 1.09213 3/9 3:30 1.09406 0.32%
Trade id #139701803
Max drawdown($189)
Time3/8/22 18:19
Quant open6
Worst price1.08898
Drawdown as % of equity-0.32%
$116
3/1/22 8:20 EUR/USD EUR/USD LONG 124 1.09691 3/8 12:49 1.09451 5.39%
Trade id #139586944
Max drawdown($3,364)
Time3/4/22 0:00
Quant open17
Worst price1.08857
Drawdown as % of equity-5.39%
($2,975)
2/27/22 21:49 EUR/USD EUR/USD LONG 3 1.11484 2/28 2:16 1.11691 0.13%
Trade id #139566732
Max drawdown($78)
Time2/28/22 0:00
Quant open3
Worst price1.11222
Drawdown as % of equity-0.13%
$62
2/27/22 17:00 EUR/USD EUR/USD LONG 16 1.11295 2/27 17:13 1.11366 n/a $113
2/23/22 12:13 EUR/USD EUR/USD LONG 50 1.12135 2/25 16:10 1.12223 3.38%
Trade id #139509787
Max drawdown($2,084)
Time2/24/22 0:00
Quant open13
Worst price1.11063
Drawdown as % of equity-3.38%
$443
2/21/22 21:36 EUR/USD EUR/USD LONG 3 1.13076 2/22 3:59 1.13268 0.1%
Trade id #139481527
Max drawdown($59)
Time2/21/22 22:39
Quant open3
Worst price1.12879
Drawdown as % of equity-0.10%
$58
2/21/22 17:23 NZD/USD NZD/USD LONG 3 0.66995 2/21 17:24 0.66980 0.01%
Trade id #139479671
Max drawdown($5)
Time2/21/22 17:24
Quant open3
Worst price0.66980
Drawdown as % of equity-0.01%
($5)
2/15/22 10:07 USD/JPY USD/JPY SHORT 3 115.846 2/15 11:59 115.635 n/a $55
2/14/22 12:30 USD/JPY USD/JPY SHORT 3 115.691 2/14 13:53 115.487 n/a $53
2/10/22 0:41 USD/JPY USD/JPY SHORT 20 116.017 2/11 13:38 115.873 0.68%
Trade id #139330095
Max drawdown($422)
Time2/10/22 9:18
Quant open13
Worst price116.338
Drawdown as % of equity-0.68%
$249
1/26/22 15:32 NZD/USD NZD/USD LONG 25 0.65931 2/1 13:31 0.66050 1.7%
Trade id #139115716
Max drawdown($1,037)
Time1/28/22 0:00
Quant open13
Worst price0.65293
Drawdown as % of equity-1.70%
$296
1/23/22 22:36 NZD/USD NZD/USD LONG 12 0.66903 1/26 13:26 0.66916 0.44%
Trade id #139065282
Max drawdown($271)
Time1/25/22 0:00
Quant open9
Worst price0.66602
Drawdown as % of equity-0.44%
$15
1/23/22 22:35 USD/JPY USD/JPY LONG 3 113.856 1/23 22:36 113.856 n/a $0
1/20/22 15:46 EUR/USD EUR/USD LONG 3 1.13074 1/20 21:56 1.13279 0.03%
Trade id #139036093
Max drawdown($19)
Time1/20/22 20:03
Quant open3
Worst price1.13008
Drawdown as % of equity-0.03%
$62
1/14/22 1:44 USD/CAD USD/CAD LONG 4 1.24859 1/14 2:31 1.25033 0.01%
Trade id #138950386
Max drawdown($5)
Time1/14/22 1:54
Quant open4
Worst price1.24841
Drawdown as % of equity-0.01%
$56
1/13/22 13:06 USD/CAD USD/CAD LONG 3 1.24929 1/13 15:51 1.25133 0.04%
Trade id #138942299
Max drawdown($22)
Time1/13/22 14:12
Quant open3
Worst price1.24834
Drawdown as % of equity-0.04%
$49
1/3/22 12:44 USD/JPY USD/JPY SHORT 23 115.880 1/7 10:30 115.789 1.1%
Trade id #138794143
Max drawdown($672)
Time1/4/22 0:00
Quant open10
Worst price116.352
Drawdown as % of equity-1.10%
$182
1/3/22 0:49 USD/JPY USD/JPY SHORT 3 115.313 1/3 5:55 115.108 0.02%
Trade id #138780969
Max drawdown($12)
Time1/3/22 1:25
Quant open3
Worst price115.362
Drawdown as % of equity-0.02%
$53
1/3/22 0:51 EUR/USD EUR/USD SHORT 3 1.13405 1/3 0:51 1.13406 n/a $0
12/17/21 10:52 EUR/USD EUR/USD LONG 6 1.12694 12/20 9:31 1.12861 0.34%
Trade id #138619514
Max drawdown($206)
Time12/17/21 16:52
Quant open6
Worst price1.12350
Drawdown as % of equity-0.34%
$100
12/14/21 11:03 EUR/USD EUR/USD LONG 15 1.12512 12/15 15:34 1.12674 0.53%
Trade id #138576306
Max drawdown($320)
Time12/15/21 14:03
Quant open9
Worst price1.12216
Drawdown as % of equity-0.53%
$244
12/13/21 19:51 EUR/USD EUR/USD LONG 3 1.12782 12/14 1:31 1.12798 0.03%
Trade id #138566816
Max drawdown($20)
Time12/13/21 22:54
Quant open3
Worst price1.12714
Drawdown as % of equity-0.03%
$5
12/13/21 3:50 EUR/USD EUR/USD LONG 3 1.12779 12/13 9:18 1.12963 0.09%
Trade id #138553738
Max drawdown($53)
Time12/13/21 4:27
Quant open3
Worst price1.12601
Drawdown as % of equity-0.09%
$55
12/9/21 9:53 EUR/USD EUR/USD LONG 10 1.12849 12/10 11:46 1.13056 0.25%
Trade id #138523607
Max drawdown($148)
Time12/10/21 5:48
Quant open6
Worst price1.12649
Drawdown as % of equity-0.25%
$207
12/7/21 11:36 EUR/USD EUR/USD LONG 3 1.12436 12/7 15:27 1.12644 0.01%
Trade id #138493207
Max drawdown($6)
Time12/7/21 12:57
Quant open3
Worst price1.12416
Drawdown as % of equity-0.01%
$62
12/3/21 13:36 USD/CAD USD/CAD SHORT 4 1.28345 12/6 3:32 1.28150 0.1%
Trade id #138453201
Max drawdown($61)
Time12/3/21 16:42
Quant open4
Worst price1.28543
Drawdown as % of equity-0.10%
$61
12/3/21 8:48 EUR/USD EUR/USD LONG 6 1.12832 12/3 13:23 1.13041 0.16%
Trade id #138442668
Max drawdown($99)
Time12/3/21 10:32
Quant open6
Worst price1.12667
Drawdown as % of equity-0.16%
$125

Statistics

  • Strategy began
    12/3/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1204.14
  • Age
    40 months ago
  • What it trades
    Forex
  • # Trades
    101
  • # Profitable
    95
  • % Profitable
    94.10%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    13.42%
  • drawdown period
    April 27, 2021 - May 18, 2021
  • Annual Return (Compounded)
    3.5%
  • Avg win
    $144.77
  • Avg loss
    $1,110
  • Model Account Values (Raw)
  • Cash
    $57,093
  • Margin Used
    $0
  • Buying Power
    $57,093
  • Ratios
  • W:L ratio
    2.06:1
  • Sharpe Ratio
    0.21
  • Sortino Ratio
    0.31
  • Calmar Ratio
    0.878
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -30.75%
  • Correlation to SP500
    -0.02220
  • Return Percent SP500 (cumu) during strategy life
    43.30%
  • Return Statistics
  • Ann Return (w trading costs)
    3.5%
  • Slump
  • Current Slump as Pcnt Equity
    12.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.62%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.035%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    5.00%
  • 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
    99.90%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    338
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,111
  • Avg Win
    $145
  • Sum Trade PL (losers)
    $6,664.000
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $13,753.000
  • # Winners
    95
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    6
  • % Winners
    94.1%
  • Frequency
  • Avg Position Time (mins)
    2795.65
  • Avg Position Time (hrs)
    46.59
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    736
  • Leverage
  • Daily leverage (average)
    3.06
  • Daily leverage (max)
    12.87
  • Regression
  • Alpha
    0.01
  • Beta
    -0.01
  • Treynor Index
    -0.50
  • 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)
    1.42
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    5.286
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    2.172
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.950
  • Hold-and-Hope Ratio
    0.189
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06819
  • SD
    0.11850
  • Sharpe ratio (Glass type estimate)
    0.57541
  • Sharpe ratio (Hedges UMVUE)
    0.54958
  • df
    17.00000
  • t
    0.70474
  • p
    0.39325
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17894
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16051
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77738
  • Upside Potential Ratio
    1.94752
  • Upside part of mean
    0.17082
  • Downside part of mean
    -0.10264
  • Upside SD
    0.07717
  • Downside SD
    0.08771
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.17751
  • Mean of criterion
    0.06819
  • SD of predictor
    0.19616
  • SD of criterion
    0.11850
  • Covariance
    -0.00254
  • r
    -0.10920
  • b (slope, estimate of beta)
    -0.06596
  • a (intercept, estimate of alpha)
    0.07989
  • Mean Square Error
    0.01474
  • DF error
    16.00000
  • t(b)
    -0.43941
  • p(b)
    0.55460
  • t(a)
    0.77829
  • p(a)
    0.40450
  • Lowerbound of 95% confidence interval for beta
    -0.38420
  • Upperbound of 95% confidence interval for beta
    0.25227
  • Lowerbound of 95% confidence interval for alpha
    -0.13772
  • Upperbound of 95% confidence interval for alpha
    0.29751
  • Treynor index (mean / b)
    -1.03371
  • Jensen alpha (a)
    0.07989
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06109
  • SD
    0.12053
  • Sharpe ratio (Glass type estimate)
    0.50686
  • Sharpe ratio (Hedges UMVUE)
    0.48411
  • df
    17.00000
  • t
    0.62078
  • p
    0.40557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10962
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10879
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12445
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09266
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66829
  • Upside Potential Ratio
    1.83284
  • Upside part of mean
    0.16755
  • Downside part of mean
    -0.10646
  • Upside SD
    0.07533
  • Downside SD
    0.09141
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.15795
  • Mean of criterion
    0.06109
  • SD of predictor
    0.19540
  • SD of criterion
    0.12053
  • Covariance
    -0.00246
  • r
    -0.10462
  • b (slope, estimate of beta)
    -0.06453
  • a (intercept, estimate of alpha)
    0.07128
  • Mean Square Error
    0.01527
  • DF error
    16.00000
  • t(b)
    -0.42078
  • p(b)
    0.55231
  • t(a)
    0.68707
  • p(a)
    0.41536
  • Lowerbound of 95% confidence interval for beta
    -0.38964
  • Upperbound of 95% confidence interval for beta
    0.26058
  • Lowerbound of 95% confidence interval for alpha
    -0.14866
  • Upperbound of 95% confidence interval for alpha
    0.29122
  • Treynor index (mean / b)
    -0.94668
  • Jensen alpha (a)
    0.07128
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05080
  • Expected Shortfall on VaR
    0.06443
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01424
  • Expected Shortfall on VaR
    0.03379
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.90830
  • Quartile 1
    1.00029
  • Median
    1.01050
  • Quartile 3
    1.02615
  • Maximum
    1.06420
  • Mean of quarter 1
    0.97177
  • Mean of quarter 2
    1.00638
  • Mean of quarter 3
    1.01397
  • Mean of quarter 4
    1.04078
  • Inter Quartile Range
    0.02586
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.92942
  • 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)
    -1.22749
  • VaR(95%) (regression method)
    0.10024
  • Expected Shortfall (regression method)
    0.11805
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04946
  • Quartile 1
    0.06002
  • Median
    0.07058
  • Quartile 3
    0.08114
  • Maximum
    0.09170
  • Mean of quarter 1
    0.04946
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09170
  • Inter Quartile Range
    0.02112
  • 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)
    0.09521
  • Compounded annual return (geometric extrapolation)
    0.09308
  • Calmar ratio (compounded annual return / max draw down)
    1.01504
  • Compounded annual return / average of 25% largest draw downs
    1.01504
  • Compounded annual return / Expected Shortfall lognormal
    1.44474
  • 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
    0.06676
  • SD
    0.11471
  • Sharpe ratio (Glass type estimate)
    0.58201
  • Sharpe ratio (Hedges UMVUE)
    0.58091
  • df
    396.00000
  • t
    0.71643
  • p
    0.23707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17364
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84589
  • Upside Potential Ratio
    5.28713
  • Upside part of mean
    0.41728
  • Downside part of mean
    -0.35052
  • Upside SD
    0.08314
  • Downside SD
    0.07892
  • N nonnegative terms
    154.00000
  • N negative terms
    243.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    397.00000
  • Mean of predictor
    0.23133
  • Mean of criterion
    0.06676
  • SD of predictor
    0.21587
  • SD of criterion
    0.11471
  • Covariance
    0.00044
  • r
    0.01772
  • b (slope, estimate of beta)
    0.00942
  • a (intercept, estimate of alpha)
    0.06500
  • Mean Square Error
    0.01319
  • DF error
    395.00000
  • t(b)
    0.35224
  • p(b)
    0.36242
  • t(a)
    0.69078
  • p(a)
    0.24506
  • Lowerbound of 95% confidence interval for beta
    -0.04314
  • Upperbound of 95% confidence interval for beta
    0.06197
  • Lowerbound of 95% confidence interval for alpha
    -0.11922
  • Upperbound of 95% confidence interval for alpha
    0.24839
  • Treynor index (mean / b)
    7.09009
  • Jensen alpha (a)
    0.06458
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06019
  • SD
    0.11459
  • Sharpe ratio (Glass type estimate)
    0.52529
  • Sharpe ratio (Hedges UMVUE)
    0.52429
  • df
    396.00000
  • t
    0.64661
  • p
    0.25913
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11693
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75256
  • Upside Potential Ratio
    5.17397
  • Upside part of mean
    0.41385
  • Downside part of mean
    -0.35365
  • Upside SD
    0.08194
  • Downside SD
    0.07999
  • N nonnegative terms
    154.00000
  • N negative terms
    243.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    397.00000
  • Mean of predictor
    0.20790
  • Mean of criterion
    0.06019
  • SD of predictor
    0.21639
  • SD of criterion
    0.11459
  • Covariance
    0.00049
  • r
    0.01959
  • b (slope, estimate of beta)
    0.01038
  • a (intercept, estimate of alpha)
    0.05804
  • Mean Square Error
    0.01316
  • DF error
    395.00000
  • t(b)
    0.38948
  • p(b)
    0.34856
  • t(a)
    0.62167
  • p(a)
    0.26726
  • Lowerbound of 95% confidence interval for beta
    -0.04200
  • Upperbound of 95% confidence interval for beta
    0.06275
  • Lowerbound of 95% confidence interval for alpha
    -0.12550
  • Upperbound of 95% confidence interval for alpha
    0.24157
  • Treynor index (mean / b)
    5.80132
  • Jensen alpha (a)
    0.05804
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01135
  • Expected Shortfall on VaR
    0.01427
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00340
  • Expected Shortfall on VaR
    0.00763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    397.00000
  • Minimum
    0.95729
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00090
  • Maximum
    1.04892
  • Mean of quarter 1
    0.99495
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00027
  • Mean of quarter 4
    1.00628
  • Inter Quartile Range
    0.00090
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.12343
  • Mean of outliers low
    0.98999
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.15113
  • Mean of outliers high
    1.00943
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51584
  • VaR(95%) (moments method)
    0.00311
  • Expected Shortfall (moments method)
    0.00898
  • Extreme Value Index (regression method)
    0.25718
  • VaR(95%) (regression method)
    0.00581
  • Expected Shortfall (regression method)
    0.01329
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00031
  • Median
    0.00143
  • Quartile 3
    0.00850
  • Maximum
    0.10493
  • Mean of quarter 1
    0.00013
  • Mean of quarter 2
    0.00063
  • Mean of quarter 3
    0.00347
  • Mean of quarter 4
    0.03803
  • Inter Quartile Range
    0.00820
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09375
  • Mean of outliers high
    0.07910
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83930
  • VaR(95%) (moments method)
    0.03969
  • Expected Shortfall (moments method)
    0.25974
  • Extreme Value Index (regression method)
    0.41530
  • VaR(95%) (regression method)
    0.02991
  • Expected Shortfall (regression method)
    0.05966
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09425
  • Compounded annual return (geometric extrapolation)
    0.09210
  • Calmar ratio (compounded annual return / max draw down)
    0.87775
  • Compounded annual return / average of 25% largest draw downs
    2.42194
  • Compounded annual return / Expected Shortfall lognormal
    6.45533
  • 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
    -0.18085
  • SD
    0.10018
  • Sharpe ratio (Glass type estimate)
    -1.80536
  • Sharpe ratio (Hedges UMVUE)
    -1.79493
  • df
    130.00000
  • t
    -1.27658
  • p
    0.55563
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.58246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.57531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98545
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.97747
  • Upside Potential Ratio
    1.96508
  • Upside part of mean
    0.17972
  • Downside part of mean
    -0.36057
  • Upside SD
    0.04146
  • Downside SD
    0.09146
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23229
  • Mean of criterion
    -0.18085
  • SD of predictor
    0.32604
  • SD of criterion
    0.10018
  • Covariance
    0.00170
  • r
    0.05215
  • b (slope, estimate of beta)
    0.01602
  • a (intercept, estimate of alpha)
    -0.18458
  • Mean Square Error
    0.01009
  • DF error
    129.00000
  • t(b)
    0.59311
  • p(b)
    0.46682
  • t(a)
    -1.29834
  • p(a)
    0.57215
  • Lowerbound of 95% confidence interval for beta
    -0.03743
  • Upperbound of 95% confidence interval for beta
    0.06947
  • Lowerbound of 95% confidence interval for alpha
    -0.46585
  • Upperbound of 95% confidence interval for alpha
    0.09670
  • Treynor index (mean / b)
    -11.28700
  • Jensen alpha (a)
    -0.18458
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18596
  • SD
    0.10141
  • Sharpe ratio (Glass type estimate)
    -1.83379
  • Sharpe ratio (Hedges UMVUE)
    -1.82319
  • df
    130.00000
  • t
    -1.29669
  • p
    0.55650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.61104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95035
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.60385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95746
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.00043
  • Upside Potential Ratio
    1.92395
  • Upside part of mean
    0.17885
  • Downside part of mean
    -0.36481
  • Upside SD
    0.04117
  • Downside SD
    0.09296
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17925
  • Mean of criterion
    -0.18596
  • SD of predictor
    0.32699
  • SD of criterion
    0.10141
  • Covariance
    0.00179
  • r
    0.05386
  • b (slope, estimate of beta)
    0.01670
  • a (intercept, estimate of alpha)
    -0.18895
  • Mean Square Error
    0.01033
  • DF error
    129.00000
  • t(b)
    0.61264
  • p(b)
    0.46573
  • t(a)
    -1.31364
  • p(a)
    0.57298
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.03724
  • Upperbound of 95% confidence interval for beta
    0.07065
  • Lowerbound of 95% confidence interval for alpha
    -0.47354
  • Upperbound of 95% confidence interval for alpha
    0.09564
  • Treynor index (mean / b)
    -11.13280
  • Jensen alpha (a)
    -0.18895
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01095
  • Expected Shortfall on VaR
    0.01354
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00414
  • Expected Shortfall on VaR
    0.00917
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95729
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01933
  • Mean of quarter 1
    0.99487
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00281
  • Inter Quartile Range
    0.00000
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.98942
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.20611
  • Mean of outliers high
    1.00343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16261
  • VaR(95%) (moments method)
    0.00226
  • Expected Shortfall (moments method)
    0.00503
  • Extreme Value Index (regression method)
    0.26953
  • VaR(95%) (regression method)
    0.00699
  • Expected Shortfall (regression method)
    0.02042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00561
  • Median
    0.01098
  • Quartile 3
    0.01403
  • Maximum
    0.10493
  • Mean of quarter 1
    0.00299
  • Mean of quarter 2
    0.01098
  • Mean of quarter 3
    0.01403
  • Mean of quarter 4
    0.10493
  • Inter Quartile Range
    0.00842
  • 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
    0.20000
  • Mean of outliers high
    0.10493
  • 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?
    -351210000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.15197
  • Compounded annual return (geometric extrapolation)
    -0.14619
  • Calmar ratio (compounded annual return / max draw down)
    -1.39332
  • Compounded annual return / average of 25% largest draw downs
    -1.39332
  • Compounded annual return / Expected Shortfall lognormal
    -10.79940

Strategy Description

-----4/28/21 Update: I have learned that I can earn my TOS badge by upgrading my "trader subscription" at the cost of an additional $60 per month. This will also increase profits from subscriptions by 10%. Once subscription revenue nears $600 (before fees), I will upgrade my subscription so investors may indeed see proof that I trade my account at 100% of signals generated.
This strategy is still developing it's trading history. For those who may be wondering this strategy, in the past, tends to experience about 2 drawdowns per 12 month period of approximately 11-15%. As well about once every 2.5 years I have experienced drawdowns of approximately 22%. I just wanted to divulge some information to give extra insight to investors. As stated below originally, past results are not indicative of the future and performance & drawdowns are not guaranteed and results may vary.
-----

Trading major USD cross pairs including CAD/AUD/NZD/EUR/JPY/GBP. 11 years experience trading forex. 6 years full time.

Trading is a marathon not a sprint, thus our goals are 2% ROI per month. These of course are only goals, and as such performance can not be guaranteed and results may vary. Trades place on this C2 system are the exact same as my personal trading account using the C2 Platform Copier. Trades are based off technical analysis most often, but I keep an eye on fundamentals as they can trump technicals at times.

Summary Statistics

Strategy began
2020-12-03
Suggested Minimum Capital
$60,000
# Trades
101
# Profitable
95
% Profitable
94.1%
Correlation S&P500
-0.022
Sharpe Ratio
0.21
Sortino Ratio
0.31
Beta
-0.01
Alpha
0.01
Leverage
3.06 Average
12.87 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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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.