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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

Model Of Consistency
(147130479)

Created by: jacqui_white11 jacqui_white11
Started: 01/2024
Forex
Last trade: Yesterday

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 $299.00 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.

309.2%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(32.9%)
Max Drawdown
225
Num Trades
41.8%
Win Trades
1.8 : 1
Profit Factor
90.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024+2.2%+27.4%+2.1%+74.9%+10.2%+22.9%+2.2%(10.8%)+38.7%+2.8%            +309.1%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/29/24 9:50 USD/JPY USD/JPY LONG 20 153.651 10/29 10:00 153.187 2.15%
Trade id #149873899
Max drawdown($891)
Time10/29/24 10:00
Quant open20
Worst price152.968
Drawdown as % of equity-2.15%
 ($606)
10/28/24 16:16 USD/JPY USD/JPY SHORT 20 153.257 10/29 7:51 153.614 1.16%
Trade id #149868750
Max drawdown($485)
Time10/29/24 7:51
Quant open20
Worst price153.629
Drawdown as % of equity-1.16%
 ($465)
10/24/24 18:04 USD/JPY USD/JPY LONG 20 151.781 10/25 1:14 151.479 0.94%
Trade id #149823390
Max drawdown($396)
Time10/25/24 1:14
Quant open20
Worst price151.480
Drawdown as % of equity-0.94%
 ($398)
10/24/24 9:36 USD/JPY USD/JPY SHORT 20 152.087 10/24 18:03 151.792 0.77%
Trade id #149817122
Max drawdown($321)
Time10/24/24 9:45
Quant open20
Worst price152.331
Drawdown as % of equity-0.77%
 $389
10/24/24 2:16 USD/JPY USD/JPY LONG 20 152.199 10/24 7:00 151.816 1.25%
Trade id #149814547
Max drawdown($525)
Time10/24/24 7:00
Quant open20
Worst price151.800
Drawdown as % of equity-1.25%
 ($504)
10/23/24 19:26 USD/JPY USD/JPY LONG 20 152.617 10/24 2:13 152.092 1.63%
Trade id #149812769
Max drawdown($697)
Time10/24/24 2:13
Quant open20
Worst price152.087
Drawdown as % of equity-1.63%
 ($690)
10/23/24 3:51 USD/JPY USD/JPY LONG 20 152.360 10/23 6:56 152.799 0.14%
Trade id #149802173
Max drawdown($57)
Time10/23/24 4:00
Quant open20
Worst price152.316
Drawdown as % of equity-0.14%
 $575
10/21/24 2:37 USD/JPY USD/JPY LONG 20 149.577 10/23 3:23 152.553 0.07%
Trade id #149720825
Max drawdown($28)
Time10/21/24 2:40
Quant open20
Worst price149.555
Drawdown as % of equity-0.07%
 $3,907
10/20/24 20:43 USD/JPY USD/JPY SHORT 20 149.351 10/21 2:37 149.571 0.98%
Trade id #149719435
Max drawdown($388)
Time10/21/24 0:00
Quant open20
Worst price149.642
Drawdown as % of equity-0.98%
 ($294)
10/2/24 18:37 USD/JPY USD/JPY LONG 20 146.544 10/4 1:48 146.003 1.88%
Trade id #149564986
Max drawdown($742)
Time10/4/24 1:48
Quant open20
Worst price146.000
Drawdown as % of equity-1.88%
 ($741)
10/2/24 15:46 USD/JPY USD/JPY SHORT 20 146.437 10/2 18:30 146.770 1.28%
Trade id #149563683
Max drawdown($517)
Time10/2/24 18:30
Quant open20
Worst price146.817
Drawdown as % of equity-1.28%
 ($454)
10/2/24 10:54 USD/JPY USD/JPY SHORT 20 146.066 10/2 14:47 146.307 1%
Trade id #149560334
Max drawdown($403)
Time10/2/24 14:47
Quant open-20
Worst price146.362
Drawdown as % of equity-1.00%
 ($329)
10/2/24 10:29 USD/JPY USD/JPY SHORT 20 145.710 10/2 10:47 146.008 1.02%
Trade id #149559868
Max drawdown($419)
Time10/2/24 10:47
Quant open20
Worst price146.018
Drawdown as % of equity-1.02%
 ($408)
10/1/24 13:50 USD/JPY USD/JPY LONG 20 143.776 10/2 8:34 145.207 1.23%
Trade id #149553034
Max drawdown($476)
Time10/1/24 18:44
Quant open20
Worst price143.426
Drawdown as % of equity-1.23%
 $1,971
10/1/24 12:49 USD/JPY USD/JPY SHORT 20 143.506 10/1 13:49 143.791 1.05%
Trade id #149552509
Max drawdown($412)
Time10/1/24 13:49
Quant open20
Worst price143.802
Drawdown as % of equity-1.05%
 ($396)
10/1/24 10:48 USD/JPY USD/JPY LONG 20 143.605 10/1 12:49 143.535 1.2%
Trade id #149550141
Max drawdown($476)
Time10/1/24 12:33
Quant open20
Worst price143.263
Drawdown as % of equity-1.20%
 ($98)
10/1/24 9:47 USD/JPY USD/JPY SHORT 20 143.464 10/1 10:47 143.600 1.35%
Trade id #149548700
Max drawdown($536)
Time10/1/24 10:00
Quant open20
Worst price143.849
Drawdown as % of equity-1.35%
 ($189)
9/18/24 15:01 USD/JPY USD/JPY LONG 40 141.534 9/20 10:00 144.124 0.97%
Trade id #149444065
Max drawdown($330)
Time9/18/24 15:04
Quant open40
Worst price141.415
Drawdown as % of equity-0.97%
 $7,189
9/18/24 14:08 USD/JPY USD/JPY SHORT 40 141.041 9/18 15:01 141.520 4.57%
Trade id #149441035
Max drawdown($1,564)
Time9/18/24 15:01
Quant open40
Worst price141.596
Drawdown as % of equity-4.57%
 ($1,345)
9/18/24 13:09 USD/JPY USD/JPY LONG 32 141.868 9/18 14:00 141.210 6.92%
Trade id #149436531
Max drawdown($2,480)
Time9/18/24 14:00
Quant open32
Worst price140.768
Drawdown as % of equity-6.92%
 ($1,496)
9/18/24 12:29 USD/JPY USD/JPY LONG 44 141.843 9/18 13:08 141.867 0.18%
Trade id #149435210
Max drawdown($65)
Time9/18/24 13:05
Quant open22
Worst price141.808
Drawdown as % of equity-0.18%
 $77
9/17/24 19:38 USD/JPY USD/JPY SHORT 35 141.918 9/18 7:57 141.885 0.85%
Trade id #149424530
Max drawdown($300)
Time9/17/24 19:57
Quant open35
Worst price142.040
Drawdown as % of equity-0.85%
 $81
9/17/24 19:14 USD/JPY USD/JPY SHORT 35 141.980 9/17 19:38 141.920 0.43%
Trade id #149424456
Max drawdown($153)
Time9/17/24 19:22
Quant open35
Worst price142.042
Drawdown as % of equity-0.43%
 $148
9/17/24 15:31 USD/JPY USD/JPY SHORT 35 142.240 9/17 19:13 141.981 1.65%
Trade id #149422814
Max drawdown($566)
Time9/17/24 16:49
Quant open35
Worst price142.469
Drawdown as % of equity-1.65%
 $637
9/17/24 10:17 USD/JPY USD/JPY LONG 15 141.599 9/17 15:25 142.121 0.05%
Trade id #149418776
Max drawdown($17)
Time9/17/24 11:14
Quant open15
Worst price141.582
Drawdown as % of equity-0.05%
 $550
9/12/24 6:29 USD/JPY USD/JPY SHORT 15 142.767 9/16 11:34 140.804 n/a $2,092
9/8/24 20:58 USD/JPY USD/JPY SHORT 20 142.712 9/9 0:58 142.992 1.64%
Trade id #149318924
Max drawdown($532)
Time9/9/24 0:00
Quant open20
Worst price143.095
Drawdown as % of equity-1.64%
 ($392)
9/3/24 18:20 USD/JPY USD/JPY SHORT 22 145.507 9/6 15:56 142.413 0.27%
Trade id #149240609
Max drawdown($75)
Time9/3/24 18:23
Quant open22
Worst price145.556
Drawdown as % of equity-0.27%
 $4,779
9/3/24 11:13 USD/JPY USD/JPY LONG 22 145.784 9/3 16:55 145.458 1.77%
Trade id #149212270
Max drawdown($505)
Time9/3/24 16:55
Quant open22
Worst price145.450
Drawdown as % of equity-1.77%
 ($493)
9/3/24 10:27 USD/JPY USD/JPY SHORT 17 145.503 9/3 11:12 145.800 1.24%
Trade id #149205828
Max drawdown($355)
Time9/3/24 11:12
Quant open17
Worst price145.807
Drawdown as % of equity-1.24%
 ($346)
Next

Statistics

  • Strategy began
    1/25/2024
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    278.59
  • Age
    9 months ago
  • What it trades
    Forex
  • # Trades
    225
  • # Profitable
    94
  • % Profitable
    41.80%
  • Avg trade duration
    16.5 hours
  • Max peak-to-valley drawdown
    32.89%
  • drawdown period
    March 11, 2024 - March 15, 2024
  • Cumul. Return
    309.1%
  • Avg win
    $808.35
  • Avg loss
    $318.73
  • Model Account Values (Raw)
  • Cash
    $44,235
  • Margin Used
    $0
  • Buying Power
    $44,235
  • Ratios
  • W:L ratio
    1.82:1
  • Sharpe Ratio
    2.26
  • Sortino Ratio
    4.26
  • Calmar Ratio
    27.397
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    289.65%
  • Correlation to SP500
    0.06930
  • Return Percent SP500 (cumu) during strategy life
    19.32%
  • Return Statistics
  • Ann Return (w trading costs)
    520.8%
  • Slump
  • Current Slump as Pcnt Equity
    5.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • 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)
    3.091%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    596.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.00%
  • Chance of 20% account loss
    16.00%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    635
  • Popularity (Last 6 weeks)
    906
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    944
  • Popularity (7 days, Percentile 1000 scale)
    783
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $319
  • Avg Win
    $808
  • Sum Trade PL (losers)
    $41,753.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $75,985.000
  • # Winners
    94
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    131
  • % Winners
    41.8%
  • Frequency
  • Avg Position Time (mins)
    991.72
  • Avg Position Time (hrs)
    16.53
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    11.43
  • Daily leverage (max)
    33.11
  • Regression
  • Alpha
    0.57
  • Beta
    0.44
  • Treynor Index
    1.35
  • 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)
    0.38
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.379
  • 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
    0.189
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.281
  • Hold-and-Hope Ratio
    0.420
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.60855
  • SD
    0.79598
  • Sharpe ratio (Glass type estimate)
    3.27715
  • Sharpe ratio (Hedges UMVUE)
    2.91078
  • df
    7.00000
  • t
    2.67578
  • p
    0.01587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.13352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06701
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.75454
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.47530
  • Upside Potential Ratio
    12.70000
  • Upside part of mean
    2.88696
  • Downside part of mean
    -0.27841
  • Upside SD
    1.03429
  • Downside SD
    0.22732
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.21804
  • Mean of criterion
    2.60855
  • SD of predictor
    0.08325
  • SD of criterion
    0.79598
  • Covariance
    -0.01292
  • r
    -0.19495
  • b (slope, estimate of beta)
    -1.86391
  • a (intercept, estimate of alpha)
    3.01497
  • Mean Square Error
    0.71109
  • DF error
    6.00000
  • t(b)
    -0.48687
  • p(b)
    0.67819
  • t(a)
    2.27041
  • p(a)
    0.03182
  • Lowerbound of 95% confidence interval for beta
    -11.23160
  • Upperbound of 95% confidence interval for beta
    7.50377
  • Lowerbound of 95% confidence interval for alpha
    -0.23442
  • Upperbound of 95% confidence interval for alpha
    6.26436
  • Treynor index (mean / b)
    -1.39951
  • Jensen alpha (a)
    3.01497
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.15439
  • SD
    0.69292
  • Sharpe ratio (Glass type estimate)
    3.10916
  • Sharpe ratio (Hedges UMVUE)
    2.76157
  • df
    7.00000
  • t
    2.53862
  • p
    0.01937
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.91811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04107
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.56420
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.58990
  • Upside Potential Ratio
    9.81465
  • Upside part of mean
    2.46156
  • Downside part of mean
    -0.30717
  • Upside SD
    0.86255
  • Downside SD
    0.25080
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.21262
  • Mean of criterion
    2.15439
  • SD of predictor
    0.08274
  • SD of criterion
    0.69292
  • Covariance
    -0.00557
  • r
    -0.09715
  • b (slope, estimate of beta)
    -0.81356
  • a (intercept, estimate of alpha)
    2.32737
  • Mean Square Error
    0.55487
  • DF error
    6.00000
  • t(b)
    -0.23909
  • p(b)
    0.59050
  • t(a)
    1.99883
  • p(a)
    0.04629
  • Lowerbound of 95% confidence interval for beta
    -9.13987
  • Upperbound of 95% confidence interval for beta
    7.51275
  • Lowerbound of 95% confidence interval for alpha
    -0.52176
  • Upperbound of 95% confidence interval for alpha
    5.17650
  • Treynor index (mean / b)
    -2.64809
  • Jensen alpha (a)
    2.32737
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13885
  • Expected Shortfall on VaR
    0.20579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01488
  • Expected Shortfall on VaR
    0.04924
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.81672
  • Quartile 1
    1.09961
  • Median
    1.27077
  • Quartile 3
    1.31199
  • Maximum
    1.58060
  • Mean of quarter 1
    0.92597
  • Mean of quarter 2
    1.19201
  • Mean of quarter 3
    1.28566
  • Mean of quarter 4
    1.47519
  • Inter Quartile Range
    0.21237
  • 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
    1.00000
  • Minimum
    0.18328
  • Quartile 1
    0.18328
  • Median
    0.18328
  • Quartile 3
    0.18328
  • Maximum
    0.18328
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.92584
  • Compounded annual return (geometric extrapolation)
    7.86662
  • Calmar ratio (compounded annual return / max draw down)
    42.92200
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    38.22720
  • 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
    2.28577
  • SD
    0.77068
  • Sharpe ratio (Glass type estimate)
    2.96589
  • Sharpe ratio (Hedges UMVUE)
    2.95429
  • df
    192.00000
  • t
    2.54556
  • p
    0.40966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26488
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.25693
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.54123
  • Upside Potential Ratio
    11.83040
  • Upside part of mean
    4.88007
  • Downside part of mean
    -2.59431
  • Upside SD
    0.66382
  • Downside SD
    0.41250
  • N nonnegative terms
    107.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    193.00000
  • Mean of predictor
    0.22223
  • Mean of criterion
    2.28577
  • SD of predictor
    0.12780
  • SD of criterion
    0.77068
  • Covariance
    0.00483
  • r
    0.04904
  • b (slope, estimate of beta)
    0.29572
  • a (intercept, estimate of alpha)
    2.22000
  • Mean Square Error
    0.59563
  • DF error
    191.00000
  • t(b)
    0.67854
  • p(b)
    0.46879
  • t(a)
    2.45470
  • p(a)
    0.38924
  • Lowerbound of 95% confidence interval for beta
    -0.56391
  • Upperbound of 95% confidence interval for beta
    1.15535
  • Lowerbound of 95% confidence interval for alpha
    0.43614
  • Upperbound of 95% confidence interval for alpha
    4.00396
  • Treynor index (mean / b)
    7.72956
  • Jensen alpha (a)
    2.22005
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.99186
  • SD
    0.75170
  • Sharpe ratio (Glass type estimate)
    2.64980
  • Sharpe ratio (Hedges UMVUE)
    2.63943
  • df
    192.00000
  • t
    2.27426
  • p
    0.41902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93824
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.59051
  • Upside Potential Ratio
    10.77850
  • Upside part of mean
    4.67688
  • Downside part of mean
    -2.68502
  • Upside SD
    0.62370
  • Downside SD
    0.43391
  • N nonnegative terms
    107.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    193.00000
  • Mean of predictor
    0.21398
  • Mean of criterion
    1.99186
  • SD of predictor
    0.12794
  • SD of criterion
    0.75170
  • Covariance
    0.00446
  • r
    0.04633
  • b (slope, estimate of beta)
    0.27222
  • a (intercept, estimate of alpha)
    1.93361
  • Mean Square Error
    0.56680
  • DF error
    191.00000
  • t(b)
    0.64103
  • p(b)
    0.47051
  • t(a)
    2.19263
  • p(a)
    0.40066
  • Lowerbound of 95% confidence interval for beta
    -0.56541
  • Upperbound of 95% confidence interval for beta
    1.10985
  • Lowerbound of 95% confidence interval for alpha
    0.19416
  • Upperbound of 95% confidence interval for alpha
    3.67306
  • Treynor index (mean / b)
    7.31709
  • Jensen alpha (a)
    1.93361
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06647
  • Expected Shortfall on VaR
    0.08428
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02068
  • Expected Shortfall on VaR
    0.04501
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    193.00000
  • Minimum
    0.85708
  • Quartile 1
    0.99080
  • Median
    1.00104
  • Quartile 3
    1.02021
  • Maximum
    1.23594
  • Mean of quarter 1
    0.96276
  • Mean of quarter 2
    0.99850
  • Mean of quarter 3
    1.00942
  • Mean of quarter 4
    1.06561
  • Inter Quartile Range
    0.02942
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.05699
  • Mean of outliers low
    0.90731
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.08808
  • Mean of outliers high
    1.12090
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57232
  • VaR(95%) (moments method)
    0.03564
  • Expected Shortfall (moments method)
    0.09453
  • Extreme Value Index (regression method)
    0.39144
  • VaR(95%) (regression method)
    0.03374
  • Expected Shortfall (regression method)
    0.06736
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00743
  • Median
    0.02197
  • Quartile 3
    0.06298
  • Maximum
    0.23858
  • Mean of quarter 1
    0.00310
  • Mean of quarter 2
    0.01723
  • Mean of quarter 3
    0.04174
  • Mean of quarter 4
    0.21895
  • Inter Quartile Range
    0.05554
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.23529
  • Mean of outliers high
    0.21895
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -243.10000
  • VaR(95%) (moments method)
    0.14167
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.60358
  • VaR(95%) (regression method)
    0.08907
  • Expected Shortfall (regression method)
    0.09448
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.65293
  • Compounded annual return (geometric extrapolation)
    6.53657
  • Calmar ratio (compounded annual return / max draw down)
    27.39730
  • Compounded annual return / average of 25% largest draw downs
    29.85350
  • Compounded annual return / Expected Shortfall lognormal
    77.55910
  • 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
    2.44871
  • SD
    0.62597
  • Sharpe ratio (Glass type estimate)
    3.91188
  • Sharpe ratio (Hedges UMVUE)
    3.88927
  • df
    130.00000
  • t
    2.76612
  • p
    0.38212
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.09236
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.71683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.70110
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.44672
  • Upside Potential Ratio
    14.84850
  • Upside part of mean
    4.30460
  • Downside part of mean
    -1.85589
  • Upside SD
    0.57244
  • Downside SD
    0.28990
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29021
  • Mean of criterion
    2.44871
  • SD of predictor
    0.13139
  • SD of criterion
    0.62597
  • Covariance
    -0.00259
  • r
    -0.03146
  • b (slope, estimate of beta)
    -0.14987
  • a (intercept, estimate of alpha)
    2.49221
  • Mean Square Error
    0.39448
  • DF error
    129.00000
  • t(b)
    -0.35748
  • p(b)
    0.52002
  • t(a)
    2.77983
  • p(a)
    0.35009
  • Lowerbound of 95% confidence interval for beta
    -0.97936
  • Upperbound of 95% confidence interval for beta
    0.67961
  • Lowerbound of 95% confidence interval for alpha
    0.71840
  • Upperbound of 95% confidence interval for alpha
    4.26602
  • Treynor index (mean / b)
    -16.33870
  • Jensen alpha (a)
    2.49221
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.25200
  • SD
    0.60648
  • Sharpe ratio (Glass type estimate)
    3.71320
  • Sharpe ratio (Hedges UMVUE)
    3.69174
  • df
    130.00000
  • t
    2.62563
  • p
    0.38780
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.51455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.49964
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.47623
  • Upside Potential Ratio
    13.78360
  • Upside part of mean
    4.15191
  • Downside part of mean
    -1.89991
  • Upside SD
    0.54188
  • Downside SD
    0.30122
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28144
  • Mean of criterion
    2.25200
  • SD of predictor
    0.13162
  • SD of criterion
    0.60648
  • Covariance
    -0.00317
  • r
    -0.03971
  • b (slope, estimate of beta)
    -0.18295
  • a (intercept, estimate of alpha)
    2.30349
  • Mean Square Error
    0.37009
  • DF error
    129.00000
  • t(b)
    -0.45133
  • p(b)
    0.52527
  • t(a)
    2.65419
  • p(a)
    0.35639
  • VAR (95 Confidence Intrvl)
    0.06600
  • Lowerbound of 95% confidence interval for beta
    -0.98497
  • Upperbound of 95% confidence interval for beta
    0.61907
  • Lowerbound of 95% confidence interval for alpha
    0.58639
  • Upperbound of 95% confidence interval for alpha
    4.02059
  • Treynor index (mean / b)
    -12.30920
  • Jensen alpha (a)
    2.30349
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05165
  • Expected Shortfall on VaR
    0.06630
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01421
  • Expected Shortfall on VaR
    0.03107
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88740
  • Quartile 1
    0.99072
  • Median
    1.00105
  • Quartile 3
    1.02013
  • Maximum
    1.16707
  • Mean of quarter 1
    0.97332
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00977
  • Mean of quarter 4
    1.05584
  • Inter Quartile Range
    0.02941
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.91538
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.11968
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39943
  • VaR(95%) (moments method)
    0.02671
  • Expected Shortfall (moments method)
    0.05130
  • Extreme Value Index (regression method)
    0.64700
  • VaR(95%) (regression method)
    0.02304
  • Expected Shortfall (regression method)
    0.06181
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00842
  • Median
    0.02114
  • Quartile 3
    0.05722
  • Maximum
    0.20811
  • Mean of quarter 1
    0.00326
  • Mean of quarter 2
    0.01584
  • Mean of quarter 3
    0.03095
  • Mean of quarter 4
    0.15971
  • Inter Quartile Range
    0.04880
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.20808
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -31275100.00000
  • VaR(95%) (moments method)
    0.13824
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -12.17170
  • VaR(95%) (regression method)
    3.37867
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    3.37867
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -382088000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.25324
  • Compounded annual return (geometric extrapolation)
    8.77576
  • Calmar ratio (compounded annual return / max draw down)
    42.16960
  • Compounded annual return / average of 25% largest draw downs
    54.94840
  • Compounded annual return / Expected Shortfall lognormal
    132.37300

Strategy Description

This system is a combination of my best three strategies that I’ve made over the last 20 years of trading. This system is based on swing trading and technical analysis. I have created my own algorithm for each hour of the day. Simply put, each trade will have its own target point and stop loss depending on the currency and time and session that the trade started from. This allows me to be consistent and also limit my losses by already having a predetermined stop loss on each trade…Give my system a good hard look and you’ll see that it shows a “MODEL OF CONSISTENCY”.

Summary Statistics

Strategy began
2024-01-25
Suggested Minimum Capital
$40,000
Rank at C2 %
Top 5.6%
Rank # 
#268
# Trades
225
# Profitable
94
% Profitable
41.8%
Correlation S&P500
0.069
Sharpe Ratio
2.26
Sortino Ratio
4.26
Beta
0.44
Alpha
0.57
Leverage
11.43 Average
33.11 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.