Collective2 Collective2
Featured Strategy TechSignal +170.1% Cumul. Return since Jul 3, 2024 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)

Creato da: LeslieGray LeslieGray
Started: 04/2021
Forex
Last trade: 29 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 è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.

17.6%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(13.9%)
Max Drawdown
221
Num Trades
78.7%
Win Trades
2.7 : 1
Profit Factor
70.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     +4.9%(7.7%)+12.6%+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%(0.2%)+2.8%+0.9%+1.4%+1.9%(4.2%)+6.2%+2.6%(0.7%)+22.1%
2025+1.7%(2.1%)(3.1%)+0.6%(0.7%)+0.8%                                    (3%)


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

Trading Record

This strategy has placed 464 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
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/21/25 10:19 CAD/CHF CAD/CHF LONG 10 0.58438 5/13 11:18 0.60203 0.1%
Trade id #151469748
Max drawdown($199)
Time4/21/25 13:06
Quant open10
Worst price0.58270
Drawdown as % of equity-0.10%
 $2,099
4/8/25 14:48 @MCDM5 E-MICRO CAD/USD SHORT 1 0.70530 4/8 14:52 0.70540 0%
Trade id #151323722
Max drawdown($1)
Time4/8/25 14:52
Quant open1
Worst price0.70540
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.78
4/8/25 14:47 @M6AM5 E-MICRO AUD/USD LONG 1 0.5974 4/8 14:52 0.5974 0%
Trade id #151323717
Max drawdown($4)
Time4/8/25 14:52
Quant open1
Worst price0.5970
Drawdown as % of equity-0.00%
 ($1)
Includes Typical Broker Commissions trade costs of $0.78
4/8/25 14:46 @CDK5 CANADIAN DOLLAR SHORT 1 0.7043 4/8 14:52 0.7044 0.01%
Trade id #151323713
Max drawdown($10)
Time4/8/25 14:52
Quant open1
Worst price0.7044
Drawdown as % of equity-0.01%
 ($18)
Includes Typical Broker Commissions trade costs of $8.00
4/8/25 14:46 @ADK5 AUSTRALIAN DOLLAR LONG 1 0.5975 4/8 14:52 0.5969 0.03%
Trade id #151323709
Max drawdown($50)
Time4/8/25 14:52
Quant open1
Worst price0.5969
Drawdown as % of equity-0.03%
 ($58)
Includes Typical Broker Commissions trade costs of $8.00
3/19/25 20:17 USD/NOK USD/NOK LONG 15 10.51577 4/2 14:12 10.42970 0.6%
Trade id #151140367
Max drawdown($1,171)
Time4/2/25 11:54
Quant open10
Worst price10.39350
Drawdown as % of equity-0.60%
 ($1,241)
3/19/25 8:10 EUR/NZD EUR/NZD SHORT 5 1.88417 4/2 14:12 1.89284 0.39%
Trade id #151132632
Max drawdown($764)
Time4/1/25 0:00
Quant open5
Worst price1.91103
Drawdown as % of equity-0.39%
 ($249)
3/7/25 13:27 GBP/USD GBP/USD SHORT 5 1.28988 4/2 14:12 1.29700 0.29%
Trade id #151042205
Max drawdown($579)
Time3/20/25 0:00
Quant open5
Worst price1.30146
Drawdown as % of equity-0.29%
 ($356)
3/7/25 13:26 USD/SEK USD/SEK LONG 25 10.10138 4/2 14:12 9.99157 1.61%
Trade id #151042199
Max drawdown($3,126)
Time4/2/25 11:55
Quant open15
Worst price9.89440
Drawdown as % of equity-1.61%
 ($2,770)
3/7/25 13:24 CAD/JPY CAD/JPY LONG 5 102.693 4/2 14:12 104.773 0.22%
Trade id #151042159
Max drawdown($444)
Time3/11/25 0:00
Quant open5
Worst price101.375
Drawdown as % of equity-0.22%
 $693
3/7/25 13:24 CAD/CHF CAD/CHF LONG 5 0.61128 4/2 14:12 0.61628 0.17%
Trade id #151042153
Max drawdown($331)
Time3/11/25 0:00
Quant open5
Worst price0.60543
Drawdown as % of equity-0.17%
 $283
2/14/25 12:28 EUR/SEK EUR/SEK LONG 20 10.99945 4/2 14:12 10.75367 2.76%
Trade id #150872683
Max drawdown($5,413)
Time4/2/25 9:27
Quant open20
Worst price10.73060
Drawdown as % of equity-2.76%
 ($4,959)
12/10/24 11:42 GBP/NZD GBP/NZD SHORT 15 2.21671 4/2/25 14:12 2.26301 2.95%
Trade id #150290478
Max drawdown($5,804)
Time3/31/25 0:00
Quant open15
Worst price2.28472
Drawdown as % of equity-2.95%
 ($3,982)
3/19/25 20:13 EUR/USD EUR/USD SHORT 5 1.09147 3/28 16:46 1.08328 0.01%
Trade id #151140344
Max drawdown($12)
Time3/19/25 22:33
Quant open5
Worst price1.09172
Drawdown as % of equity-0.01%
 $409
1/10/25 8:42 USD/CHF USD/CHF SHORT 5 0.91851 1/24 11:22 0.90487 0.04%
Trade id #150530734
Max drawdown($88)
Time1/13/25 0:00
Quant open5
Worst price0.92010
Drawdown as % of equity-0.04%
 $754
12/5/24 11:47 EUR/JPY EUR/JPY LONG 5 158.691 12/10 11:37 159.765 0.13%
Trade id #150253231
Max drawdown($272)
Time12/9/24 0:00
Quant open5
Worst price157.862
Drawdown as % of equity-0.13%
 $353
12/8/24 17:15 EUR/CAD EUR/CAD LONG 10 1.49599 12/10 11:34 1.48781 0.29%
Trade id #150274712
Max drawdown($603)
Time12/10/24 11:05
Quant open10
Worst price1.48744
Drawdown as % of equity-0.29%
 ($578)
11/25/24 7:50 EUR/CAD EUR/CAD LONG 5 1.46490 12/6 8:38 1.49260 0.01%
Trade id #150165281
Max drawdown($23)
Time11/25/24 8:05
Quant open5
Worst price1.46424
Drawdown as % of equity-0.01%
 $985
12/5/24 17:22 USD/SEK USD/SEK SHORT 5 10.84887 12/5 18:38 10.85760 0%
Trade id #150259998
Max drawdown($7)
Time12/5/24 18:20
Quant open5
Worst price10.85040
Drawdown as % of equity-0.00%
 ($40)
11/13/24 11:47 USD/SEK USD/SEK SHORT 5 10.98265 12/5 11:58 10.88245 0.45%
Trade id #150077363
Max drawdown($916)
Time11/22/24 0:00
Quant open5
Worst price11.18160
Drawdown as % of equity-0.45%
 $461
11/25/24 7:56 EUR/USD EUR/USD LONG 5 1.04915 12/5 11:53 1.05677 0.16%
Trade id #150165293
Max drawdown($331)
Time11/25/24 19:16
Quant open5
Worst price1.04252
Drawdown as % of equity-0.16%
 $381
11/25/24 5:54 AUD/USD AUD/USD SHORT 5 0.65118 11/25 7:44 0.65061 0%
Trade id #150164825
Max drawdown($5)
Time11/25/24 6:05
Quant open5
Worst price0.65128
Drawdown as % of equity-0.00%
 $29
11/12/24 11:18 USD/CHF USD/CHF LONG 15 0.88218 11/12 11:46 0.88296 0.03%
Trade id #150065670
Max drawdown($56)
Time11/12/24 11:22
Quant open15
Worst price0.88185
Drawdown as % of equity-0.03%
 $132
11/12/24 11:12 GBP/USD GBP/USD SHORT 10 1.27573 11/12 11:27 1.27518 0.02%
Trade id #150065619
Max drawdown($43)
Time11/12/24 11:22
Quant open10
Worst price1.27616
Drawdown as % of equity-0.02%
 $55
11/12/24 11:07 AUD/USD AUD/USD SHORT 5 0.65393 11/12 11:21 0.65391 0%
Trade id #150065529
Max drawdown($8)
Time11/12/24 11:11
Quant open5
Worst price0.65410
Drawdown as % of equity-0.00%
 $1
9/18/24 13:26 USD/ZAR USD/ZAR LONG 15 17.53468 11/12 10:57 18.12141 2.24%
Trade id #149436981
Max drawdown($4,162)
Time9/30/24 0:00
Quant open15
Worst price17.03230
Drawdown as % of equity-2.24%
 $4,843
11/7/24 8:02 GBP/USD GBP/USD SHORT 10 1.29571 11/7 8:15 1.29704 0.09%
Trade id #150023406
Max drawdown($181)
Time11/7/24 8:14
Quant open10
Worst price1.29752
Drawdown as % of equity-0.09%
 ($133)
11/7/24 7:57 AUD/USD AUD/USD SHORT 5 0.66426 11/7 8:10 0.66576 0.04%
Trade id #150023398
Max drawdown($85)
Time11/7/24 8:09
Quant open5
Worst price0.66596
Drawdown as % of equity-0.04%
 ($75)
9/30/24 13:27 AUD/USD AUD/USD SHORT 15 0.67972 10/28 11:08 0.66854 0.01%
Trade id #149542931
Max drawdown($20)
Time9/30/24 13:55
Quant open5
Worst price0.69423
Drawdown as % of equity-0.01%
 $1,677
9/20/24 11:52 USD/SEK USD/SEK LONG 15 10.22751 10/17 1:05 10.33844 0.28%
Trade id #149469398
Max drawdown($532)
Time9/24/24 0:00
Quant open5
Worst price10.08200
Drawdown as % of equity-0.28%
 $1,582

Successivo

Statistics

  • Strategy began
    4/1/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1538.39
  • Age
    51 months ago
  • What it trades
    Forex
  • # Trades
    221
  • # Profitable
    174
  • % Profitable
    78.70%
  • Avg trade duration
    37.9 days
  • Max peak-to-valley drawdown
    13.89%
  • drawdown period
    April 20, 2021 - May 27, 2021
  • Annual Return (Compounded)
    17.6%
  • Avg win
    $934.57
  • Avg loss
    $1,279
  • Model Account Values (Raw)
  • Cash
    $200,297
  • Margin Used
    $17,476
  • Buying Power
    $185,003
  • Ratios
  • W:L ratio
    2.70:1
  • Sharpe Ratio
    1.09
  • Sortino Ratio
    1.78
  • Calmar Ratio
    1.641
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    49.25%
  • Correlation to SP500
    -0.05360
  • Return Percent SP500 (cumu) during strategy life
    49.32%
  • Return Statistics
  • Ann Return (w trading costs)
    17.6%
  • Slump
  • Current Slump as Pcnt Equity
    6.10%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • 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)
    0.176%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.98%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.50%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    0.50%
  • 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
    19.69%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    928
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    523
  • Popularity (7 days, Percentile 1000 scale)
    750
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,281
  • Avg Win
    $935
  • Sum Trade PL (losers)
    $60,194.000
  • Age
  • Num Months filled monthly returns table
    51
  • Win / Loss
  • Sum Trade PL (winners)
    $162,624.000
  • # Winners
    174
  • Num Months Winners
    36
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    991998
  • Win / Loss
  • # Losers
    47
  • % Winners
    78.7%
  • Frequency
  • Avg Position Time (mins)
    54586.60
  • Avg Position Time (hrs)
    909.78
  • Avg Trade Length
    37.9 days
  • Last Trade Ago
    29
  • Leverage
  • Daily leverage (average)
    2.07
  • Daily leverage (max)
    8.85
  • Regression
  • Alpha
    0.04
  • Beta
    -0.04
  • Treynor Index
    -1.18
  • 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)
    0.81
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.429
  • 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
    0.795
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.733
  • Hold-and-Hope Ratio
    0.431
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14874
  • SD
    0.12294
  • Sharpe ratio (Glass type estimate)
    1.20987
  • Sharpe ratio (Hedges UMVUE)
    1.19124
  • df
    49.00000
  • t
    2.46963
  • p
    0.00853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20252
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17996
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61452
  • Upside Potential Ratio
    4.09727
  • Upside part of mean
    0.23309
  • Downside part of mean
    -0.08435
  • Upside SD
    0.11584
  • Downside SD
    0.05689
  • N nonnegative terms
    31.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.07949
  • Mean of criterion
    0.14874
  • SD of predictor
    0.15561
  • SD of criterion
    0.12294
  • Covariance
    0.00277
  • r
    0.14456
  • b (slope, estimate of beta)
    0.11420
  • a (intercept, estimate of alpha)
    0.13966
  • Mean Square Error
    0.01511
  • DF error
    48.00000
  • t(b)
    1.01216
  • p(b)
    0.15827
  • t(a)
    2.29417
  • p(a)
    0.01310
  • Lowerbound of 95% confidence interval for beta
    -0.11266
  • Upperbound of 95% confidence interval for beta
    0.34107
  • Lowerbound of 95% confidence interval for alpha
    0.01726
  • Upperbound of 95% confidence interval for alpha
    0.26206
  • Treynor index (mean / b)
    1.30238
  • Jensen alpha (a)
    0.13966
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14036
  • SD
    0.12022
  • Sharpe ratio (Glass type estimate)
    1.16752
  • Sharpe ratio (Hedges UMVUE)
    1.14954
  • df
    49.00000
  • t
    2.38318
  • p
    0.01054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16275
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13632
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40803
  • Upside Potential Ratio
    3.88040
  • Upside part of mean
    0.22619
  • Downside part of mean
    -0.08582
  • Upside SD
    0.11140
  • Downside SD
    0.05829
  • N nonnegative terms
    31.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.06729
  • Mean of criterion
    0.14036
  • SD of predictor
    0.15521
  • SD of criterion
    0.12022
  • Covariance
    0.00274
  • r
    0.14693
  • b (slope, estimate of beta)
    0.11381
  • a (intercept, estimate of alpha)
    0.13271
  • Mean Square Error
    0.01444
  • DF error
    48.00000
  • t(b)
    1.02913
  • p(b)
    0.15429
  • t(a)
    2.23670
  • p(a)
    0.01499
  • Lowerbound of 95% confidence interval for beta
    -0.10854
  • Upperbound of 95% confidence interval for beta
    0.33617
  • Lowerbound of 95% confidence interval for alpha
    0.01341
  • Upperbound of 95% confidence interval for alpha
    0.25200
  • Treynor index (mean / b)
    1.23331
  • Jensen alpha (a)
    0.13271
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04437
  • Expected Shortfall on VaR
    0.05806
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01327
  • Expected Shortfall on VaR
    0.02870
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.93655
  • Quartile 1
    0.99490
  • Median
    1.01003
  • Quartile 3
    1.03243
  • Maximum
    1.12760
  • Mean of quarter 1
    0.97679
  • Mean of quarter 2
    1.00291
  • Mean of quarter 3
    1.01703
  • Mean of quarter 4
    1.06143
  • Inter Quartile Range
    0.03753
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.93708
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02000
  • Mean of outliers high
    1.12760
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51124
  • VaR(95%) (moments method)
    0.02175
  • Expected Shortfall (moments method)
    0.05210
  • Extreme Value Index (regression method)
    -0.20239
  • VaR(95%) (regression method)
    0.01972
  • Expected Shortfall (regression method)
    0.02574
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00284
  • Quartile 1
    0.01000
  • Median
    0.01118
  • Quartile 3
    0.02712
  • Maximum
    0.06506
  • Mean of quarter 1
    0.00502
  • Mean of quarter 2
    0.01072
  • Mean of quarter 3
    0.01282
  • Mean of quarter 4
    0.06363
  • Inter Quartile Range
    0.01712
  • 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
    0.25000
  • Mean of outliers high
    0.06363
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.18954
  • VaR(95%) (moments method)
    0.06487
  • Expected Shortfall (moments method)
    0.06500
  • Extreme Value Index (regression method)
    -0.38325
  • VaR(95%) (regression method)
    0.06524
  • Expected Shortfall (regression method)
    0.06623
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24385
  • Compounded annual return (geometric extrapolation)
    0.18326
  • Calmar ratio (compounded annual return / max draw down)
    2.81667
  • Compounded annual return / average of 25% largest draw downs
    2.87985
  • Compounded annual return / Expected Shortfall lognormal
    3.15660
  • 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
    0.15026
  • SD
    0.11487
  • Sharpe ratio (Glass type estimate)
    1.30808
  • Sharpe ratio (Hedges UMVUE)
    1.30718
  • df
    1093.00000
  • t
    2.67296
  • p
    0.44875
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34707
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34646
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26790
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14213
  • Upside Potential Ratio
    9.06710
  • Upside part of mean
    0.63602
  • Downside part of mean
    -0.48576
  • Upside SD
    0.09137
  • Downside SD
    0.07015
  • N nonnegative terms
    558.00000
  • N negative terms
    536.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1094.00000
  • Mean of predictor
    0.08299
  • Mean of criterion
    0.15026
  • SD of predictor
    0.17714
  • SD of criterion
    0.11487
  • Covariance
    -0.00064
  • r
    -0.03157
  • b (slope, estimate of beta)
    -0.02047
  • a (intercept, estimate of alpha)
    0.15200
  • Mean Square Error
    0.01319
  • DF error
    1092.00000
  • t(b)
    -1.04367
  • p(b)
    0.51578
  • t(a)
    2.70216
  • p(a)
    0.45925
  • Lowerbound of 95% confidence interval for beta
    -0.05896
  • Upperbound of 95% confidence interval for beta
    0.01802
  • Lowerbound of 95% confidence interval for alpha
    0.04162
  • Upperbound of 95% confidence interval for alpha
    0.26231
  • Treynor index (mean / b)
    -7.34017
  • Jensen alpha (a)
    0.15196
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14365
  • SD
    0.11440
  • Sharpe ratio (Glass type estimate)
    1.25566
  • Sharpe ratio (Hedges UMVUE)
    1.25480
  • df
    1093.00000
  • t
    2.56584
  • p
    0.45079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29420
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21540
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03056
  • Upside Potential Ratio
    8.93144
  • Upside part of mean
    0.63185
  • Downside part of mean
    -0.48820
  • Upside SD
    0.09028
  • Downside SD
    0.07074
  • N nonnegative terms
    558.00000
  • N negative terms
    536.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1094.00000
  • Mean of predictor
    0.06732
  • Mean of criterion
    0.14365
  • SD of predictor
    0.17696
  • SD of criterion
    0.11440
  • Covariance
    -0.00063
  • r
    -0.03130
  • b (slope, estimate of beta)
    -0.02024
  • a (intercept, estimate of alpha)
    0.14501
  • Mean Square Error
    0.01309
  • DF error
    1092.00000
  • t(b)
    -1.03485
  • p(b)
    0.51565
  • t(a)
    2.58954
  • p(a)
    0.46094
  • Lowerbound of 95% confidence interval for beta
    -0.05860
  • Upperbound of 95% confidence interval for beta
    0.01813
  • Lowerbound of 95% confidence interval for alpha
    0.03513
  • Upperbound of 95% confidence interval for alpha
    0.25489
  • Treynor index (mean / b)
    -7.09907
  • Jensen alpha (a)
    0.14501
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01102
  • Expected Shortfall on VaR
    0.01393
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00417
  • Expected Shortfall on VaR
    0.00866
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1094.00000
  • Minimum
    0.96011
  • Quartile 1
    0.99827
  • Median
    1.00018
  • Quartile 3
    1.00273
  • Maximum
    1.05736
  • Mean of quarter 1
    0.99349
  • Mean of quarter 2
    0.99932
  • Mean of quarter 3
    1.00131
  • Mean of quarter 4
    1.00860
  • Inter Quartile Range
    0.00446
  • Number outliers low
    67.00000
  • Percentage of outliers low
    0.06124
  • Mean of outliers low
    0.98589
  • Number of outliers high
    76.00000
  • Percentage of outliers high
    0.06947
  • Mean of outliers high
    1.01718
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39651
  • VaR(95%) (moments method)
    0.00588
  • Expected Shortfall (moments method)
    0.01166
  • Extreme Value Index (regression method)
    0.11458
  • VaR(95%) (regression method)
    0.00581
  • Expected Shortfall (regression method)
    0.00895
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    91.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00198
  • Median
    0.00491
  • Quartile 3
    0.01088
  • Maximum
    0.11403
  • Mean of quarter 1
    0.00082
  • Mean of quarter 2
    0.00314
  • Mean of quarter 3
    0.00711
  • Mean of quarter 4
    0.03946
  • Inter Quartile Range
    0.00890
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.13187
  • Mean of outliers high
    0.06124
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51868
  • VaR(95%) (moments method)
    0.04069
  • Expected Shortfall (moments method)
    0.09593
  • Extreme Value Index (regression method)
    0.56282
  • VaR(95%) (regression method)
    0.03382
  • Expected Shortfall (regression method)
    0.08082
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25073
  • Compounded annual return (geometric extrapolation)
    0.18715
  • Calmar ratio (compounded annual return / max draw down)
    1.64123
  • Compounded annual return / average of 25% largest draw downs
    4.74252
  • Compounded annual return / Expected Shortfall lognormal
    13.43600
  • 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
    -0.09849
  • SD
    0.06934
  • Sharpe ratio (Glass type estimate)
    -1.42037
  • Sharpe ratio (Hedges UMVUE)
    -1.41216
  • df
    130.00000
  • t
    -1.00435
  • p
    0.54387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.19489
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35947
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.18928
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36495
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.84528
  • Upside Potential Ratio
    6.79791
  • Upside part of mean
    0.36285
  • Downside part of mean
    -0.46134
  • Upside SD
    0.04427
  • Downside SD
    0.05338
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    -0.09849
  • SD of predictor
    0.24590
  • SD of criterion
    0.06934
  • Covariance
    0.00292
  • r
    0.17124
  • b (slope, estimate of beta)
    0.04829
  • a (intercept, estimate of alpha)
    -0.09748
  • Mean Square Error
    0.00470
  • DF error
    129.00000
  • t(b)
    1.97404
  • p(b)
    0.39152
  • t(a)
    -1.00503
  • p(a)
    0.55604
  • Lowerbound of 95% confidence interval for beta
    -0.00011
  • Upperbound of 95% confidence interval for beta
    0.09669
  • Lowerbound of 95% confidence interval for alpha
    -0.28939
  • Upperbound of 95% confidence interval for alpha
    0.09442
  • Treynor index (mean / b)
    -2.03968
  • Jensen alpha (a)
    -0.09748
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10089
  • SD
    0.06940
  • Sharpe ratio (Glass type estimate)
    -1.45378
  • Sharpe ratio (Hedges UMVUE)
    -1.44538
  • df
    130.00000
  • t
    -1.02798
  • p
    0.54490
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.22843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.22274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33199
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.88271
  • Upside Potential Ratio
    6.75212
  • Upside part of mean
    0.36183
  • Downside part of mean
    -0.46272
  • Upside SD
    0.04412
  • Downside SD
    0.05359
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    -0.10089
  • SD of predictor
    0.24427
  • SD of criterion
    0.06940
  • Covariance
    0.00292
  • r
    0.17217
  • b (slope, estimate of beta)
    0.04891
  • a (intercept, estimate of alpha)
    -0.09841
  • Mean Square Error
    0.00471
  • DF error
    129.00000
  • t(b)
    1.98510
  • p(b)
    0.39094
  • t(a)
    -1.01391
  • p(a)
    0.55653
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    0.00016
  • Upperbound of 95% confidence interval for beta
    0.09767
  • Lowerbound of 95% confidence interval for alpha
    -0.29045
  • Upperbound of 95% confidence interval for alpha
    0.09363
  • Treynor index (mean / b)
    -2.06259
  • Jensen alpha (a)
    -0.09841
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00741
  • Expected Shortfall on VaR
    0.00919
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00432
  • Expected Shortfall on VaR
    0.00794
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98789
  • Quartile 1
    0.99760
  • Median
    0.99996
  • Quartile 3
    1.00174
  • Maximum
    1.00934
  • Mean of quarter 1
    0.99429
  • Mean of quarter 2
    0.99895
  • Mean of quarter 3
    1.00069
  • Mean of quarter 4
    1.00502
  • Inter Quartile Range
    0.00414
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98893
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.00890
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21357
  • VaR(95%) (moments method)
    0.00548
  • Expected Shortfall (moments method)
    0.00682
  • Extreme Value Index (regression method)
    -0.43303
  • VaR(95%) (regression method)
    0.00585
  • Expected Shortfall (regression method)
    0.00688
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00132
  • Median
    0.00238
  • Quartile 3
    0.00654
  • Maximum
    0.07272
  • Mean of quarter 1
    0.00068
  • Mean of quarter 2
    0.00137
  • Mean of quarter 3
    0.00340
  • Mean of quarter 4
    0.04016
  • Inter Quartile Range
    0.00522
  • 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
    0.16667
  • Mean of outliers high
    0.07272
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370818000
  • Max Equity Drawdown (num days)
    37
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07167
  • Compounded annual return (geometric extrapolation)
    -0.07038
  • Calmar ratio (compounded annual return / max draw down)
    -0.96787
  • Compounded annual return / average of 25% largest draw downs
    -1.75278
  • Compounded annual return / Expected Shortfall lognormal
    -7.66277

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 (10) Max Drawdown could be up to 20% 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. lesgray@morganllc.com. 617-592-8379
Control notes: trade units = 0.2*$k.

Summary Statistics


Strategy began
2021-04-01
Suggested Minimum Capital
$100,000
# Trades
221
# Profitable
174
% Profitable
78.7%
Correlation S&P500
-0.054
Sharpe Ratio
1.09
Sortino Ratio
1.78
Beta
-0.04
Alpha
0.04
Leverage
2.07 Average
8.85 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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Trade journal

  • 9/15/2018, 10:03:33 PM BTS 200 EURUSD

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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.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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