Collective2 Collective2
Featured Strategy Cryptoverse Followed by live capital $1.80 million Hypothetical

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FOREX VIX-3
(134962085)

Created by: LeslieGray LeslieGray
Started: 04/2021
Forex
Last trade: 3 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 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.

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
21.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(13.9%)
Max Drawdown
201
Num Trades
82.1%
Win Trades
3.4 : 1
Profit Factor
73.3%
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%(0.2%)+22.8%

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 427 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
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
9/18/24 13:26 USD/SGD USD/SGD LONG 20 1.28834 10/10 1:07 1.30099 0.76%
Trade id #149436978
Max drawdown($1,481)
Time9/27/24 0:00
Quant open15
Worst price1.27542
Drawdown as % of equity-0.76%
 $1,936
9/18/24 13:23 GBP/USD GBP/USD SHORT 15 1.33424 10/3 9:32 1.32217 0.56%
Trade id #149436968
Max drawdown($1,082)
Time9/24/24 0:00
Quant open5
Worst price1.34157
Drawdown as % of equity-0.56%
 $1,811
9/18/24 13:24 USD/CHF USD/CHF LONG 15 0.84495 10/2 9:47 0.84967 0.54%
Trade id #149436972
Max drawdown($1,043)
Time9/18/24 14:33
Quant open15
Worst price0.83904
Drawdown as % of equity-0.54%
 $834
9/25/24 9:53 CHF/JPY CHF/JPY LONG 15 169.900 9/30 13:27 169.405 0.91%
Trade id #149502297
Max drawdown($1,672)
Time9/30/24 2:01
Quant open15
Worst price168.299
Drawdown as % of equity-0.91%
 ($518)
9/29/24 17:15 AUD/USD AUD/USD SHORT 105 0.68918 9/30 9:19 0.69323 2.83%
Trade id #149537056
Max drawdown($5,212)
Time9/30/24 1:44
Quant open105
Worst price0.69414
Drawdown as % of equity-2.83%
 ($4,261)
9/25/24 9:52 AUD/JPY AUD/JPY LONG 10 98.956 9/26 12:03 99.828 0.13%
Trade id #149502290
Max drawdown($251)
Time9/25/24 13:44
Quant open10
Worst price98.591
Drawdown as % of equity-0.13%
 $602
8/1/24 10:32 CAD/CHF CAD/CHF LONG 11 0.62597 9/26 8:56 0.62970 1.26%
Trade id #148795901
Max drawdown($2,321)
Time8/5/24 0:00
Quant open10
Worst price0.60595
Drawdown as % of equity-1.26%
 $484
9/18/24 13:22 AUD/CHF AUD/CHF LONG 5 0.57152 9/23 11:27 0.58106 0.02%
Trade id #149436959
Max drawdown($38)
Time9/18/24 15:06
Quant open5
Worst price0.57087
Drawdown as % of equity-0.02%
 $563
9/18/24 13:23 EUR/AUD EUR/AUD SHORT 5 1.64387 9/23 11:15 1.62518 0.04%
Trade id #149436963
Max drawdown($72)
Time9/18/24 15:52
Quant open5
Worst price1.64598
Drawdown as % of equity-0.04%
 $640
9/18/24 13:22 AUD/CAD AUD/CAD LONG 5 0.91959 9/19 12:37 0.92462 0.02%
Trade id #149436891
Max drawdown($46)
Time9/18/24 15:50
Quant open5
Worst price0.91834
Drawdown as % of equity-0.02%
 $186
5/21/24 10:02 USD/ZAR USD/ZAR LONG 10 17.88565 9/18 13:15 17.57316 1.06%
Trade id #148216085
Max drawdown($2,040)
Time9/18/24 9:27
Quant open10
Worst price17.52850
Drawdown as % of equity-1.06%
 ($1,786)
8/14/24 17:00 USD/SGD USD/SGD LONG 40 1.28732 9/18 13:14 1.30136 0.39%
Trade id #148921130
Max drawdown($759)
Time9/6/24 0:00
Quant open15
Worst price1.27593
Drawdown as % of equity-0.39%
 $4,345
8/25/24 20:15 USD/CHF USD/CHF LONG 25 0.84673 9/18 13:14 0.84752 0.57%
Trade id #149047477
Max drawdown($1,110)
Time9/6/24 0:00
Quant open10
Worst price0.83734
Drawdown as % of equity-0.57%
 $234
8/23/24 14:54 GBP/USD GBP/USD SHORT 5 1.32079 9/18 13:14 1.32042 0.15%
Trade id #149024831
Max drawdown($292)
Time8/27/24 0:00
Quant open5
Worst price1.32664
Drawdown as % of equity-0.15%
 $19
9/16/24 16:04 EUR/AUD EUR/AUD SHORT 6 1.64772 9/18 13:14 1.64471 0.03%
Trade id #149413840
Max drawdown($62)
Time9/17/24 0:00
Quant open5
Worst price1.65004
Drawdown as % of equity-0.03%
 $123
Next

Statistics

  • Strategy began
    4/1/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1359.99
  • Age
    45 months ago
  • What it trades
    Forex
  • # Trades
    201
  • # Profitable
    165
  • % Profitable
    82.10%
  • Avg trade duration
    38.7 days
  • Max peak-to-valley drawdown
    13.89%
  • drawdown period
    April 20, 2021 - May 27, 2021
  • Annual Return (Compounded)
    21.2%
  • Avg win
    $936.66
  • Avg loss
    $1,264
  • Model Account Values (Raw)
  • Cash
    $209,345
  • Margin Used
    $5,654
  • Buying Power
    $203,362
  • Ratios
  • W:L ratio
    3.40:1
  • Sharpe Ratio
    1.27
  • Sortino Ratio
    2.11
  • Calmar Ratio
    1.971
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    57.66%
  • Correlation to SP500
    -0.07740
  • Return Percent SP500 (cumu) during strategy life
    47.54%
  • Return Statistics
  • Ann Return (w trading costs)
    21.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.212%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.99%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    15.88%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    960
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    933
  • Popularity (7 days, Percentile 1000 scale)
    907
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,264
  • Avg Win
    $937
  • Sum Trade PL (losers)
    $45,521.000
  • Age
  • Num Months filled monthly returns table
    45
  • Win / Loss
  • Sum Trade PL (winners)
    $154,549.000
  • # Winners
    165
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    815049
  • Win / Loss
  • # Losers
    36
  • % Winners
    82.1%
  • Frequency
  • Avg Position Time (mins)
    55779.40
  • Avg Position Time (hrs)
    929.66
  • Avg Trade Length
    38.7 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.12
  • Daily leverage (max)
    8.85
  • Regression
  • Alpha
    0.05
  • Beta
    -0.06
  • Treynor Index
    -0.89
  • 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)
    0.91
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.980
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.808
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.919
  • Hold-and-Hope Ratio
    0.508
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18643
  • SD
    0.12264
  • Sharpe ratio (Glass type estimate)
    1.52008
  • Sharpe ratio (Hedges UMVUE)
    1.49339
  • df
    43.00000
  • t
    2.91074
  • p
    0.00285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56450
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.59987
  • Upside Potential Ratio
    4.88839
  • Upside part of mean
    0.25315
  • Downside part of mean
    -0.06673
  • Upside SD
    0.12212
  • Downside SD
    0.05179
  • N nonnegative terms
    29.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.09410
  • Mean of criterion
    0.18643
  • SD of predictor
    0.14829
  • SD of criterion
    0.12264
  • Covariance
    0.00110
  • r
    0.06059
  • b (slope, estimate of beta)
    0.05011
  • a (intercept, estimate of alpha)
    0.18171
  • Mean Square Error
    0.01534
  • DF error
    42.00000
  • t(b)
    0.39340
  • p(b)
    0.34801
  • t(a)
    2.76207
  • p(a)
    0.00424
  • Lowerbound of 95% confidence interval for beta
    -0.20695
  • Upperbound of 95% confidence interval for beta
    0.30718
  • Lowerbound of 95% confidence interval for alpha
    0.04895
  • Upperbound of 95% confidence interval for alpha
    0.31448
  • Treynor index (mean / b)
    3.72018
  • Jensen alpha (a)
    0.18171
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17754
  • SD
    0.11963
  • Sharpe ratio (Glass type estimate)
    1.48410
  • Sharpe ratio (Hedges UMVUE)
    1.45803
  • df
    43.00000
  • t
    2.84183
  • p
    0.00342
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54647
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52697
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33494
  • Upside Potential Ratio
    4.61154
  • Upside part of mean
    0.24550
  • Downside part of mean
    -0.06796
  • Upside SD
    0.11738
  • Downside SD
    0.05324
  • N nonnegative terms
    29.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.08291
  • Mean of criterion
    0.17754
  • SD of predictor
    0.14765
  • SD of criterion
    0.11963
  • Covariance
    0.00108
  • r
    0.06101
  • b (slope, estimate of beta)
    0.04943
  • a (intercept, estimate of alpha)
    0.17344
  • Mean Square Error
    0.01460
  • DF error
    42.00000
  • t(b)
    0.39615
  • p(b)
    0.34700
  • t(a)
    2.71265
  • p(a)
    0.00482
  • Lowerbound of 95% confidence interval for beta
    -0.20240
  • Upperbound of 95% confidence interval for beta
    0.30127
  • Lowerbound of 95% confidence interval for alpha
    0.04441
  • Upperbound of 95% confidence interval for alpha
    0.30248
  • Treynor index (mean / b)
    3.59149
  • Jensen alpha (a)
    0.17344
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04114
  • Expected Shortfall on VaR
    0.05480
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00952
  • Expected Shortfall on VaR
    0.02197
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.93655
  • Quartile 1
    0.99708
  • Median
    1.01066
  • Quartile 3
    1.03711
  • Maximum
    1.12760
  • Mean of quarter 1
    0.98114
  • Mean of quarter 2
    1.00442
  • Mean of quarter 3
    1.01969
  • Mean of quarter 4
    1.06620
  • Inter Quartile Range
    0.04003
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02273
  • Mean of outliers low
    0.93655
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02273
  • Mean of outliers high
    1.12760
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32474
  • VaR(95%) (moments method)
    0.01226
  • Expected Shortfall (moments method)
    0.02350
  • Extreme Value Index (regression method)
    -0.29887
  • VaR(95%) (regression method)
    0.01390
  • Expected Shortfall (regression method)
    0.01797
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00284
  • Quartile 1
    0.00968
  • Median
    0.01106
  • Quartile 3
    0.01358
  • Maximum
    0.06345
  • Mean of quarter 1
    0.00502
  • Mean of quarter 2
    0.01072
  • Mean of quarter 3
    0.01155
  • Mean of quarter 4
    0.04707
  • Inter Quartile Range
    0.00390
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.18182
  • Mean of outliers low
    0.00301
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.06292
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -14206.30000
  • VaR(95%) (moments method)
    0.03701
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.48152
  • VaR(95%) (regression method)
    0.21633
  • Expected Shortfall (regression method)
    0.21633
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30655
  • Compounded annual return (geometric extrapolation)
    0.22808
  • Calmar ratio (compounded annual return / max draw down)
    3.59472
  • Compounded annual return / average of 25% largest draw downs
    4.84587
  • Compounded annual return / Expected Shortfall lognormal
    4.16210
  • 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
    0.18202
  • SD
    0.11927
  • Sharpe ratio (Glass type estimate)
    1.52616
  • Sharpe ratio (Hedges UMVUE)
    1.52498
  • df
    968.00000
  • t
    2.93502
  • p
    0.00171
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54638
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53034
  • Upside Potential Ratio
    9.30922
  • Upside part of mean
    0.66967
  • Downside part of mean
    -0.48764
  • Upside SD
    0.09572
  • Downside SD
    0.07194
  • N nonnegative terms
    502.00000
  • N negative terms
    467.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    969.00000
  • Mean of predictor
    0.09106
  • Mean of criterion
    0.18202
  • SD of predictor
    0.16608
  • SD of criterion
    0.11927
  • Covariance
    -0.00109
  • r
    -0.05528
  • b (slope, estimate of beta)
    -0.03970
  • a (intercept, estimate of alpha)
    0.18600
  • Mean Square Error
    0.01420
  • DF error
    967.00000
  • t(b)
    -1.72156
  • p(b)
    0.95727
  • t(a)
    2.99462
  • p(a)
    0.00141
  • Lowerbound of 95% confidence interval for beta
    -0.08495
  • Upperbound of 95% confidence interval for beta
    0.00555
  • Lowerbound of 95% confidence interval for alpha
    0.06399
  • Upperbound of 95% confidence interval for alpha
    0.30729
  • Treynor index (mean / b)
    -4.58540
  • Jensen alpha (a)
    0.18564
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17488
  • SD
    0.11876
  • Sharpe ratio (Glass type estimate)
    1.47257
  • Sharpe ratio (Hedges UMVUE)
    1.47143
  • df
    968.00000
  • t
    2.83196
  • p
    0.00236
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49347
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45018
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49268
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40970
  • Upside Potential Ratio
    9.16443
  • Upside part of mean
    0.66509
  • Downside part of mean
    -0.49021
  • Upside SD
    0.09454
  • Downside SD
    0.07257
  • N nonnegative terms
    502.00000
  • N negative terms
    467.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    969.00000
  • Mean of predictor
    0.07725
  • Mean of criterion
    0.17488
  • SD of predictor
    0.16621
  • SD of criterion
    0.11876
  • Covariance
    -0.00109
  • r
    -0.05504
  • b (slope, estimate of beta)
    -0.03933
  • a (intercept, estimate of alpha)
    0.17792
  • Mean Square Error
    0.01408
  • DF error
    967.00000
  • t(b)
    -1.71426
  • p(b)
    0.95660
  • t(a)
    2.88286
  • p(a)
    0.00201
  • Lowerbound of 95% confidence interval for beta
    -0.08435
  • Upperbound of 95% confidence interval for beta
    0.00569
  • Lowerbound of 95% confidence interval for alpha
    0.05681
  • Upperbound of 95% confidence interval for alpha
    0.29903
  • Treynor index (mean / b)
    -4.44659
  • Jensen alpha (a)
    0.17792
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01134
  • Expected Shortfall on VaR
    0.01436
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00413
  • Expected Shortfall on VaR
    0.00867
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    969.00000
  • Minimum
    0.96011
  • Quartile 1
    0.99833
  • Median
    1.00026
  • Quartile 3
    1.00286
  • Maximum
    1.05736
  • Mean of quarter 1
    0.99342
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00140
  • Mean of quarter 4
    1.00905
  • Inter Quartile Range
    0.00453
  • Number outliers low
    62.00000
  • Percentage of outliers low
    0.06398
  • Mean of outliers low
    0.98565
  • Number of outliers high
    74.00000
  • Percentage of outliers high
    0.07637
  • Mean of outliers high
    1.01738
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47694
  • VaR(95%) (moments method)
    0.00607
  • Expected Shortfall (moments method)
    0.01355
  • Extreme Value Index (regression method)
    0.14040
  • VaR(95%) (regression method)
    0.00595
  • Expected Shortfall (regression method)
    0.00941
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    87.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00206
  • Median
    0.00497
  • Quartile 3
    0.01088
  • Maximum
    0.11403
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00326
  • Mean of quarter 3
    0.00711
  • Mean of quarter 4
    0.03795
  • Inter Quartile Range
    0.00882
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.12644
  • Mean of outliers high
    0.06020
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53643
  • VaR(95%) (moments method)
    0.03994
  • Expected Shortfall (moments method)
    0.09650
  • Extreme Value Index (regression method)
    0.65532
  • VaR(95%) (regression method)
    0.03223
  • Expected Shortfall (regression method)
    0.09105
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30202
  • Compounded annual return (geometric extrapolation)
    0.22481
  • Calmar ratio (compounded annual return / max draw down)
    1.97147
  • Compounded annual return / average of 25% largest draw downs
    5.92371
  • Compounded annual return / Expected Shortfall lognormal
    15.65690
  • 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
    0.13697
  • SD
    0.09942
  • Sharpe ratio (Glass type estimate)
    1.37772
  • Sharpe ratio (Hedges UMVUE)
    1.36976
  • df
    130.00000
  • t
    0.97420
  • p
    0.45743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40168
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14656
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96522
  • Upside Potential Ratio
    8.63765
  • Upside part of mean
    0.60203
  • Downside part of mean
    -0.46506
  • Upside SD
    0.07087
  • Downside SD
    0.06970
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    0.13697
  • SD of predictor
    0.14146
  • SD of criterion
    0.09942
  • Covariance
    0.00089
  • r
    0.06312
  • b (slope, estimate of beta)
    0.04436
  • a (intercept, estimate of alpha)
    0.13064
  • Mean Square Error
    0.00992
  • DF error
    129.00000
  • t(b)
    0.71838
  • p(b)
    0.45984
  • t(a)
    0.92562
  • p(a)
    0.44835
  • Lowerbound of 95% confidence interval for beta
    -0.07782
  • Upperbound of 95% confidence interval for beta
    0.16655
  • Lowerbound of 95% confidence interval for alpha
    -0.14861
  • Upperbound of 95% confidence interval for alpha
    0.40989
  • Treynor index (mean / b)
    3.08744
  • Jensen alpha (a)
    0.13064
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13201
  • SD
    0.09952
  • Sharpe ratio (Glass type estimate)
    1.32650
  • Sharpe ratio (Hedges UMVUE)
    1.31883
  • df
    130.00000
  • t
    0.93797
  • p
    0.45901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45254
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10045
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09527
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87947
  • Upside Potential Ratio
    8.53469
  • Upside part of mean
    0.59948
  • Downside part of mean
    -0.46747
  • Upside SD
    0.07044
  • Downside SD
    0.07024
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    0.13201
  • SD of predictor
    0.14181
  • SD of criterion
    0.09952
  • Covariance
    0.00090
  • r
    0.06407
  • b (slope, estimate of beta)
    0.04497
  • a (intercept, estimate of alpha)
    0.12605
  • Mean Square Error
    0.00994
  • DF error
    129.00000
  • t(b)
    0.72921
  • p(b)
    0.45924
  • t(a)
    0.89246
  • p(a)
    0.45018
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.07704
  • Upperbound of 95% confidence interval for beta
    0.16697
  • Lowerbound of 95% confidence interval for alpha
    -0.15339
  • Upperbound of 95% confidence interval for alpha
    0.40549
  • Treynor index (mean / b)
    2.93594
  • Jensen alpha (a)
    0.12605
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00956
  • Expected Shortfall on VaR
    0.01210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00349
  • Expected Shortfall on VaR
    0.00756
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97578
  • Quartile 1
    0.99850
  • Median
    1.00069
  • Quartile 3
    1.00333
  • Maximum
    1.02078
  • Mean of quarter 1
    0.99362
  • Mean of quarter 2
    0.99967
  • Mean of quarter 3
    1.00173
  • Mean of quarter 4
    1.00753
  • Inter Quartile Range
    0.00483
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98419
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01532
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53042
  • VaR(95%) (moments method)
    0.00605
  • Expected Shortfall (moments method)
    0.01482
  • Extreme Value Index (regression method)
    0.37012
  • VaR(95%) (regression method)
    0.00706
  • Expected Shortfall (regression method)
    0.01417
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00450
  • Median
    0.00703
  • Quartile 3
    0.01627
  • Maximum
    0.05503
  • Mean of quarter 1
    0.00153
  • Mean of quarter 2
    0.00583
  • Mean of quarter 3
    0.01276
  • Mean of quarter 4
    0.04153
  • Inter Quartile Range
    0.01177
  • 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
    0.16667
  • Mean of outliers high
    0.05323
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -502.38000
  • VaR(95%) (moments method)
    0.03769
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.20616
  • VaR(95%) (regression method)
    0.10512
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.10523
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -382994000
  • Max Equity Drawdown (num days)
    37
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16649
  • Compounded annual return (geometric extrapolation)
    0.17342
  • Calmar ratio (compounded annual return / max draw down)
    3.15114
  • Compounded annual return / average of 25% largest draw downs
    4.17549
  • Compounded annual return / Expected Shortfall lognormal
    14.32960

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 (7) Max Drawdown could be up to 15% 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
Rank at C2 %
Top 6.7%
Rank # 
#49
# Trades
201
# Profitable
165
% Profitable
82.1%
Correlation S&P500
-0.077
Sharpe Ratio
1.27
Sortino Ratio
2.11
Beta
-0.06
Alpha
0.05
Leverage
2.12 Average
8.85 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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