Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +36.6% Cumul. Return since Sep 23, 2025 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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No fuss
(26655273)

Created by: kaustubh_shinde kaustubh_shinde
Started: 06/2007
Forex
Last trade: 6,473 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 $99.00 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.

1.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(48.0%)
Max Drawdown
182
Num Trades
47.3%
Win Trades
1.1 : 1
Profit Factor
2.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                   (1.3%)(7.7%)+58.4%+26.9%+16.4%(18.3%)(5.4%)+64.8%
2008(7.2%)+32.5%(7.7%)+2.5%(8.8%)(11.3%)(3.9%)+3.4%(14.6%)(1%)(1%)(1%)(22.5%)
2009  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

Model Account Details

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

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

Trading Record

This strategy has placed 171 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 6599 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/17/08 19:35 USD/CHF USD/CHF SHORT 40 1.10227 9/19 3:16 1.12200 4.27%
Trade id #35154110
Max drawdown($707)
Time9/19/08 3:16
Quant open-4
Worst price1.12160
Drawdown as % of equity-4.27%
 ($987.61)
9/14/08 23:59 GBP/JPY GBP/JPY SHORT 30 190.255 9/15 9:45 189.698 2.25%
Trade id #35024035
Max drawdown($389)
Time9/15/08 1:45
Quant open-3
Worst price191.620
Drawdown as % of equity-2.25%
 $1.04
9/15/08 0:53 EUR/USD EUR/USD LONG 30 1.43563 9/15 6:15 1.42300 2.15%
Trade id #35024471
Max drawdown($379)
Time9/15/08 5:24
Quant open3
Worst price1.42358
Drawdown as % of equity-2.15%
 ($378.90)
9/2/08 9:44 USD/CHF USD/CHF LONG 40 1.10950 9/12 15:00 1.13143 1.7%
Trade id #34767720
Max drawdown($304)
Time9/4/08 3:37
Quant open4
Worst price1.10089
Drawdown as % of equity-1.70%
 $1,097.73
9/7/08 19:48 GBP/JPY GBP/JPY LONG 60 193.903 9/8 4:30 192.800 3.52%
Trade id #34866639
Max drawdown($610)
Time9/8/08 4:28
Quant open3
Worst price192.475
Drawdown as % of equity-3.52%
 ($4.13)
9/4/08 18:13 EUR/USD EUR/USD SHORT 30 1.42258 9/7 18:53 1.43425 2.03%
Trade id #34833822
Max drawdown($354)
Time9/5/08 9:18
Quant open-3
Worst price1.43440
Drawdown as % of equity-2.03%
 ($350.10)
9/4/08 18:21 GBP/JPY GBP/JPY SHORT 30 186.210 9/4 21:37 188.700 3.86%
Trade id #34833942
Max drawdown($701)
Time9/4/08 21:37
Quant open-3
Worst price188.670
Drawdown as % of equity-3.86%
 ($4.66)
9/1/08 14:38 GBP/JPY GBP/JPY LONG 20 194.881 9/1 18:25 193.402 1.48%
Trade id #34752801
Max drawdown($274)
Time9/1/08 18:25
Quant open2
Worst price193.440
Drawdown as % of equity-1.48%
 ($1.84)
8/27/08 10:50 GBP/JPY GBP/JPY LONG 40 201.898 8/27 20:13 200.750 2.28%
Trade id #34679964
Max drawdown($430)
Time8/27/08 11:53
Quant open4
Worst price200.720
Drawdown as % of equity-2.28%
 ($2.86)
8/26/08 22:23 GBP/JPY GBP/JPY LONG 40 201.638 8/27 4:09 200.800 1.62%
Trade id #34668810
Max drawdown($307)
Time8/27/08 4:05
Quant open4
Worst price200.820
Drawdown as % of equity-1.62%
 ($2.09)
8/26/08 20:48 USD/CAD USD/CAD LONG 30 1.04550 8/26 22:25 1.04511 0.16%
Trade id #34668178
Max drawdown($31)
Time8/26/08 21:13
Quant open3
Worst price1.04440
Drawdown as % of equity-0.16%
 ($8.40)
8/25/08 21:26 GBP/JPY GBP/JPY SHORT 40 201.992 8/26 22:15 201.618 1.46%
Trade id #34645932
Max drawdown($273)
Time8/26/08 4:00
Quant open-4
Worst price202.740
Drawdown as % of equity-1.46%
 $0.93
8/22/08 11:29 GBP/USD GBP/USD SHORT 40 1.85175 8/26 22:10 1.84403 1.48%
Trade id #34609242
Max drawdown($282)
Time8/25/08 11:59
Quant open-4
Worst price1.85880
Drawdown as % of equity-1.48%
 $308.80
8/25/08 20:14 GBP/JPY GBP/JPY SHORT 30 202.057 8/25 20:37 202.200 0.21%
Trade id #34645359
Max drawdown($39)
Time8/25/08 20:35
Quant open-3
Worst price202.160
Drawdown as % of equity-0.21%
 ($0.27)
8/14/08 15:21 GBP/JPY GBP/JPY SHORT 60 204.559 8/22 10:25 203.504 2.87%
Trade id #34469134
Max drawdown($520)
Time8/15/08 8:38
Quant open-3
Worst price206.536
Drawdown as % of equity-2.87%
 $3.94
8/14/08 13:55 EUR/USD EUR/USD SHORT 50 1.48061 8/18 12:21 1.47395 0.53%
Trade id #34467490
Max drawdown($94)
Time8/14/08 16:53
Quant open-5
Worst price1.48250
Drawdown as % of equity-0.53%
 $333.00
8/12/08 1:43 EUR/USD EUR/USD LONG 40 1.48530 8/14 9:36 1.48924 0.88%
Trade id #34390900
Max drawdown($156)
Time8/12/08 2:11
Quant open4
Worst price1.48140
Drawdown as % of equity-0.88%
 $157.60
8/7/08 21:28 AUD/USD AUD/USD SHORT 50 0.89870 8/11 0:43 0.88670 0.64%
Trade id #34321610
Max drawdown($110)
Time8/7/08 22:14
Quant open-5
Worst price0.90090
Drawdown as % of equity-0.64%
 $600.00
8/3/08 22:37 AUD/USD AUD/USD LONG 50 0.93170 8/4 20:08 0.92800 1.16%
Trade id #34213235
Max drawdown($200)
Time8/4/08 20:07
Quant open5
Worst price0.92770
Drawdown as % of equity-1.16%
 ($185.00)
7/31/08 20:01 USD/CAD USD/CAD SHORT 80 1.02353 8/1 8:36 1.02850 2.32%
Trade id #34178467
Max drawdown($406)
Time8/1/08 8:36
Quant open-8
Worst price1.02874
Drawdown as % of equity-2.32%
 ($285.37)
7/28/08 20:49 AUD/USD AUD/USD LONG 40 0.95830 7/29 20:56 0.94800 2.26%
Trade id #34090638
Max drawdown($412)
Time7/29/08 12:19
Quant open4
Worst price0.94993
Drawdown as % of equity-2.26%
 ($412.00)
7/25/08 0:13 USD/CHF USD/CHF SHORT 50 1.03410 7/29 10:03 1.04200 2.09%
Trade id #34034546
Max drawdown($381)
Time7/29/08 10:02
Quant open-5
Worst price1.04110
Drawdown as % of equity-2.09%
 ($494.31)
7/21/08 22:11 EUR/JPY EUR/JPY SHORT 50 169.470 7/25 2:38 167.600 1.33%
Trade id #33938201
Max drawdown($234)
Time7/23/08 2:52
Quant open-5
Worst price169.971
Drawdown as % of equity-1.33%
 $5.83
7/16/08 20:04 EUR/USD EUR/USD LONG 50 1.58299 7/22 10:48 1.58408 1.25%
Trade id #33839219
Max drawdown($229)
Time7/17/08 14:30
Quant open5
Worst price1.57840
Drawdown as % of equity-1.25%
 $54.50
7/17/08 18:23 GBP/JPY GBP/JPY SHORT 50 212.500 7/18 11:24 213.300 2.08%
Trade id #33872820
Max drawdown($375)
Time7/18/08 8:22
Quant open-5
Worst price213.296
Drawdown as % of equity-2.08%
 ($2.49)
7/17/08 3:12 GBP/JPY GBP/JPY SHORT 50 210.500 7/17 8:30 211.700 3.1%
Trade id #33844134
Max drawdown($569)
Time7/17/08 7:51
Quant open-5
Worst price211.595
Drawdown as % of equity-3.10%
 ($3.74)
7/13/08 19:54 GBP/USD GBP/USD SHORT 80 1.98717 7/14 10:49 1.99250 2.34%
Trade id #33740708
Max drawdown($442)
Time7/14/08 10:34
Quant open-8
Worst price1.99270
Drawdown as % of equity-2.34%
 ($426.40)
7/9/08 20:10 USD/JPY USD/JPY SHORT 50 106.905 7/11 9:36 105.700 1.36%
Trade id #33647437
Max drawdown($242)
Time7/10/08 8:31
Quant open-5
Worst price107.420
Drawdown as % of equity-1.36%
 $3.76
7/10/08 17:25 GBP/USD GBP/USD LONG 80 1.97777 7/11 8:28 1.98300 1.26%
Trade id #33686192
Max drawdown($221)
Time7/11/08 2:42
Quant open8
Worst price1.97500
Drawdown as % of equity-1.26%
 $418.40
7/9/08 20:23 AUD/USD AUD/USD LONG 50 0.95610 7/11 0:47 0.96002 n/a $196.00

Statistics

  • Strategy began
    6/6/2007
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    6939.67
  • Age
    231 months ago
  • What it trades
    Forex
  • # Trades
    182
  • # Profitable
    86
  • % Profitable
    47.30%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    48.02%
  • drawdown period
    Oct 11, 2007 - Dec 27, 2008
  • Annual Return (Compounded)
    1.3%
  • Avg win
    $610.31
  • Avg loss
    $480.33
  • Model Account Values (Raw)
  • Cash
    $16,373
  • Margin Used
    $0
  • Buying Power
    $16,373
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.02
  • Sortino Ratio
    0.03
  • Calmar Ratio
    0.137
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -358.92%
  • Correlation to SP500
    -0.01160
  • Return Percent SP500 (cumu) during strategy life
    386.80%
  • Return Statistics
  • Ann Return (w trading costs)
    1.3%
  • Slump
  • Current Slump as Pcnt Equity
    92.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.013%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    3.27%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $480
  • Avg Win
    $610
  • Sum Trade PL (losers)
    $46,112.000
  • Age
  • Num Months filled monthly returns table
    229
  • Win / Loss
  • Sum Trade PL (winners)
    $52,487.000
  • # Winners
    86
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    96
  • % Winners
    47.2%
  • Frequency
  • Avg Position Time (mins)
    3735.62
  • Avg Position Time (hrs)
    62.26
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    6471
  • Regression
  • Alpha
    0.00
  • Beta
    -0.01
  • Treynor Index
    -0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    13.08
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    6.51
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.34
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    21.120
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.317
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.038
  • Hold-and-Hope Ratio
    0.047
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11607
  • SD
    0.29594
  • Sharpe ratio (Glass type estimate)
    0.39220
  • Sharpe ratio (Hedges UMVUE)
    0.38810
  • df
    72.00000
  • t
    0.96734
  • p
    0.16831
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40635
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18808
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40908
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18528
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26547
  • Upside Potential Ratio
    2.16704
  • Upside part of mean
    0.19876
  • Downside part of mean
    -0.08269
  • Upside SD
    0.28123
  • Downside SD
    0.09172
  • N nonnegative terms
    63.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.19045
  • Mean of criterion
    0.11607
  • SD of predictor
    0.25646
  • SD of criterion
    0.29594
  • Covariance
    0.00935
  • r
    0.12322
  • b (slope, estimate of beta)
    0.14219
  • a (intercept, estimate of alpha)
    0.08899
  • Mean Square Error
    0.08746
  • DF error
    71.00000
  • t(b)
    1.04626
  • p(b)
    0.14949
  • t(a)
    0.72543
  • p(a)
    0.23529
  • Lowerbound of 95% confidence interval for beta
    -0.12879
  • Upperbound of 95% confidence interval for beta
    0.41317
  • Lowerbound of 95% confidence interval for alpha
    -0.15561
  • Upperbound of 95% confidence interval for alpha
    0.33358
  • Treynor index (mean / b)
    0.81629
  • Jensen alpha (a)
    0.08899
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08105
  • SD
    0.25167
  • Sharpe ratio (Glass type estimate)
    0.32205
  • Sharpe ratio (Hedges UMVUE)
    0.31868
  • df
    72.00000
  • t
    0.79431
  • p
    0.21481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11732
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11504
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82460
  • Upside Potential Ratio
    1.71282
  • Upside part of mean
    0.16835
  • Downside part of mean
    -0.08730
  • Upside SD
    0.23099
  • Downside SD
    0.09829
  • N nonnegative terms
    63.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.15705
  • Mean of criterion
    0.08105
  • SD of predictor
    0.25584
  • SD of criterion
    0.25167
  • Covariance
    0.01040
  • r
    0.16159
  • b (slope, estimate of beta)
    0.15895
  • a (intercept, estimate of alpha)
    0.05609
  • Mean Square Error
    0.06255
  • DF error
    71.00000
  • t(b)
    1.37967
  • p(b)
    0.08601
  • t(a)
    0.54450
  • p(a)
    0.29390
  • Lowerbound of 95% confidence interval for beta
    -0.07077
  • Upperbound of 95% confidence interval for beta
    0.38866
  • Lowerbound of 95% confidence interval for alpha
    -0.14930
  • Upperbound of 95% confidence interval for alpha
    0.26147
  • Treynor index (mean / b)
    0.50991
  • Jensen alpha (a)
    0.05609
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10662
  • Expected Shortfall on VaR
    0.13302
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00475
  • Expected Shortfall on VaR
    0.01574
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.83105
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.48489
  • Mean of quarter 1
    0.97352
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06717
  • Inter Quartile Range
    0.00000
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.13699
  • Mean of outliers low
    0.94970
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.13699
  • Mean of outliers high
    1.12091
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -6.44386
  • VaR(95%) (moments method)
    0.00093
  • Expected Shortfall (moments method)
    0.00094
  • Extreme Value Index (regression method)
    0.04731
  • VaR(95%) (regression method)
    0.04452
  • Expected Shortfall (regression method)
    0.09807
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00320
  • Quartile 1
    0.07620
  • Median
    0.14920
  • Quartile 3
    0.22220
  • Maximum
    0.29519
  • Mean of quarter 1
    0.00320
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.29519
  • Inter Quartile Range
    0.14600
  • 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)
    0.10476
  • Compounded annual return (geometric extrapolation)
    0.08442
  • Calmar ratio (compounded annual return / max draw down)
    0.28600
  • Compounded annual return / average of 25% largest draw downs
    0.28600
  • Compounded annual return / Expected Shortfall lognormal
    0.63465
  • 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
    0.29740
  • SD
    0.74191
  • Sharpe ratio (Glass type estimate)
    0.40085
  • Sharpe ratio (Hedges UMVUE)
    0.40067
  • df
    1613.00000
  • t
    0.99492
  • p
    0.48424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38912
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19046
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84869
  • Upside Potential Ratio
    3.55047
  • Upside part of mean
    1.24416
  • Downside part of mean
    -0.94676
  • Upside SD
    0.65394
  • Downside SD
    0.35042
  • N nonnegative terms
    1443.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1614.00000
  • Mean of predictor
    0.39420
  • Mean of criterion
    0.29740
  • SD of predictor
    0.59465
  • SD of criterion
    0.74191
  • Covariance
    0.07560
  • r
    0.17136
  • b (slope, estimate of beta)
    0.21379
  • a (intercept, estimate of alpha)
    0.21300
  • Mean Square Error
    0.53461
  • DF error
    1612.00000
  • t(b)
    6.98320
  • p(b)
    0.41432
  • t(a)
    0.72285
  • p(a)
    0.49100
  • Lowerbound of 95% confidence interval for beta
    0.15374
  • Upperbound of 95% confidence interval for beta
    0.27384
  • Lowerbound of 95% confidence interval for alpha
    -0.36518
  • Upperbound of 95% confidence interval for alpha
    0.79142
  • Treynor index (mean / b)
    1.39106
  • Jensen alpha (a)
    0.21312
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08004
  • SD
    0.64586
  • Sharpe ratio (Glass type estimate)
    0.12392
  • Sharpe ratio (Hedges UMVUE)
    0.12387
  • df
    1613.00000
  • t
    0.30757
  • p
    0.49512
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66576
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91355
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17800
  • Upside Potential Ratio
    2.47132
  • Upside part of mean
    1.11121
  • Downside part of mean
    -1.03117
  • Upside SD
    0.46338
  • Downside SD
    0.44964
  • N nonnegative terms
    1443.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1614.00000
  • Mean of predictor
    0.22204
  • Mean of criterion
    0.08004
  • SD of predictor
    0.58463
  • SD of criterion
    0.64586
  • Covariance
    0.07383
  • r
    0.19553
  • b (slope, estimate of beta)
    0.21600
  • a (intercept, estimate of alpha)
    0.03207
  • Mean Square Error
    0.40144
  • DF error
    1612.00000
  • t(b)
    8.00478
  • p(b)
    0.40224
  • t(a)
    0.12561
  • p(a)
    0.49844
  • Lowerbound of 95% confidence interval for beta
    0.16307
  • Upperbound of 95% confidence interval for beta
    0.26893
  • Lowerbound of 95% confidence interval for alpha
    -0.46877
  • Upperbound of 95% confidence interval for alpha
    0.53292
  • Treynor index (mean / b)
    0.37054
  • Jensen alpha (a)
    0.03207
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06324
  • Expected Shortfall on VaR
    0.07863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00168
  • Expected Shortfall on VaR
    0.00689
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1614.00000
  • Minimum
    0.41293
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.42173
  • Mean of quarter 1
    0.98556
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01897
  • Inter Quartile Range
    0.00000
  • Number outliers low
    171.00000
  • Percentage of outliers low
    0.10595
  • Mean of outliers low
    0.96589
  • Number of outliers high
    180.00000
  • Percentage of outliers high
    0.11152
  • Mean of outliers high
    1.04258
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15878
  • VaR(95%) (moments method)
    0.00262
  • Expected Shortfall (moments method)
    0.00550
  • Extreme Value Index (regression method)
    0.20267
  • VaR(95%) (regression method)
    0.01055
  • Expected Shortfall (regression method)
    0.03666
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.34076
  • Quartile 1
    0.40753
  • Median
    0.47430
  • Quartile 3
    0.54107
  • Maximum
    0.60784
  • Mean of quarter 1
    0.34076
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.60784
  • Inter Quartile Range
    0.13354
  • 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)
    0.10345
  • Compounded annual return (geometric extrapolation)
    0.08333
  • Calmar ratio (compounded annual return / max draw down)
    0.13709
  • Compounded annual return / average of 25% largest draw downs
    0.13709
  • Compounded annual return / Expected Shortfall lognormal
    1.05977
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.76784
  • Mean of criterion
    0.00000
  • SD of predictor
    0.67242
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.54384
  • Mean of criterion
    0.00000
  • SD of predictor
    0.66193
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.06300
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -366467000
  • Max Equity Drawdown (num days)
    443
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description










It does NOT generate 100s of signals each day and plays are generally low risk. So it should be easy to keep up with the system. Positions are normally held for at least a few hours and sometimes a few days. Its not a long term system though. Short to medium term is what we aim at. Profitable carry trades could be exceptions.
Also, all the signals generated here are placed in my real money account. All the trades I place in my broker account are placed here. So you can be sure that all the trades are placed with due diligence and I wont be swinging left and right if there is no clear opportunity.
I will post discretionary trades based on my fundamental and technical analysis. So the trades youll see here are combination of both.
All the trades are limit orders with stoploss and targets that vary for each trade. Trades are generally mailed well in advance so it is easy to trade this system manually.
Feel free to ask questions.
Kaustubh
www.nofussforex.com






Summary Statistics

Strategy began
2007-06-06
Suggested Minimum Capital
$10,000
# Trades
182
# Profitable
86
% Profitable
47.3%
Correlation S&P500
-0.012
Sharpe Ratio
0.02
Sortino Ratio
0.03
Beta
-0.01
Alpha
0.00

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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