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Featured Strategy Quant AI pro Followed by live capital $115,000 Hypothetical

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SMARTY Smart Martingale
(148261013)

Created by: BlackOpzFXX BlackOpzFXX
Started: 05/2024
Forex
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

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 $149.00 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: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
17.8%
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.

(6.2%)
Max Drawdown
405
Num Trades
39.0%
Win Trades
1.5 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                            (0.3%)(1.3%)(2.1%)+1.2%+5.0%+7.2%+7.8%(0.3%)+17.9%

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

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/25/24 21:01 USD/JPY USD/JPY LONG 1 157.449 12/25 21:21 157.452 n/a $0
12/23/24 0:02 USD/JPY USD/JPY LONG 2 156.591 12/25 21:00 157.416 0.03%
Trade id #150386789
Max drawdown($16)
Time12/23/24 3:47
Quant open2
Worst price156.460
Drawdown as % of equity-0.03%
 $105
12/23/24 9:17 GBP/USD GBP/USD SHORT 1 1.25283 12/24 9:27 1.25720 0.07%
Trade id #150388724
Max drawdown($43)
Time12/24/24 9:27
Quant open1
Worst price1.25716
Drawdown as % of equity-0.07%
 ($44)
12/20/24 15:00 GBP/USD GBP/USD SHORT 2 1.25962 12/23 9:00 1.25256 0.02%
Trade id #150378550
Max drawdown($14)
Time12/20/24 15:12
Quant open2
Worst price1.26035
Drawdown as % of equity-0.02%
 $141
12/20/24 11:01 GBP/USD GBP/USD SHORT 1 1.25380 12/20 11:17 1.25616 0.04%
Trade id #150375781
Max drawdown($23)
Time12/20/24 11:17
Quant open1
Worst price1.25617
Drawdown as % of equity-0.04%
 ($24)
12/20/24 7:08 USD/JPY USD/JPY LONG 1 156.806 12/20 7:29 156.635 0.02%
Trade id #150373344
Max drawdown($11)
Time12/20/24 7:29
Quant open1
Worst price156.625
Drawdown as % of equity-0.02%
 ($11)
12/19/24 14:32 GBP/USD GBP/USD SHORT 1 1.25136 12/20 3:43 1.25174 0.01%
Trade id #150367922
Max drawdown($3)
Time12/20/24 3:43
Quant open1
Worst price1.25175
Drawdown as % of equity-0.01%
 ($4)
12/19/24 9:07 USD/JPY USD/JPY LONG 1 157.023 12/19 21:26 156.984 0.01%
Trade id #150362823
Max drawdown($3)
Time12/19/24 9:10
Quant open1
Worst price156.967
Drawdown as % of equity-0.01%
 ($2)
12/19/24 7:48 GBP/USD GBP/USD SHORT 11 1.26062 12/19 14:00 1.25706 0.1%
Trade id #150362518
Max drawdown($56)
Time12/19/24 7:52
Quant open8
Worst price1.26209
Drawdown as % of equity-0.10%
 $391
12/19/24 3:00 USD/JPY USD/JPY LONG 1 156.545 12/19 8:40 156.441 0.02%
Trade id #150361302
Max drawdown($9)
Time12/19/24 8:40
Quant open1
Worst price156.388
Drawdown as % of equity-0.02%
 ($7)
12/18/24 15:05 GBP/USD GBP/USD SHORT 4 1.25863 12/19 3:42 1.26312 0.31%
Trade id #150357016
Max drawdown($183)
Time12/19/24 3:42
Quant open4
Worst price1.26321
Drawdown as % of equity-0.31%
 ($180)
12/18/24 23:11 USD/JPY USD/JPY LONG 1 155.270 12/19 1:54 156.074 0.04%
Trade id #150360590
Max drawdown($21)
Time12/19/24 1:33
Quant open1
Worst price154.932
Drawdown as % of equity-0.04%
 $52
12/18/24 15:05 USD/JPY USD/JPY LONG 1 154.412 12/18 21:52 155.190 0.01%
Trade id #150357000
Max drawdown($5)
Time12/18/24 15:10
Quant open1
Worst price154.329
Drawdown as % of equity-0.01%
 $50
12/17/24 15:01 USD/JPY USD/JPY LONG 1 153.368 12/18 14:00 154.123 0%
Trade id #150346868
Max drawdown($2)
Time12/17/24 15:12
Quant open1
Worst price153.328
Drawdown as % of equity-0.00%
 $49
12/18/24 7:34 GBP/USD GBP/USD LONG 2 1.27163 12/18 9:04 1.26888 0.11%
Trade id #150351375
Max drawdown($62)
Time12/18/24 9:03
Quant open2
Worst price1.26851
Drawdown as % of equity-0.11%
 ($55)
12/17/24 2:30 GBP/USD GBP/USD LONG 4 1.27021 12/18 6:53 1.27063 0.22%
Trade id #150340662
Max drawdown($126)
Time12/17/24 5:24
Quant open4
Worst price1.26705
Drawdown as % of equity-0.22%
 $17
12/16/24 5:02 USD/JPY USD/JPY LONG 1 153.828 12/17 4:01 153.773 0.02%
Trade id #150331651
Max drawdown($11)
Time12/16/24 5:21
Quant open1
Worst price153.650
Drawdown as % of equity-0.02%
 ($4)
12/16/24 7:40 GBP/USD GBP/USD SHORT 2 1.26463 12/16 10:26 1.26718 0.1%
Trade id #150332227
Max drawdown($56)
Time12/16/24 10:26
Quant open2
Worst price1.26747
Drawdown as % of equity-0.10%
 ($51)
12/13/24 12:32 GBP/USD GBP/USD SHORT 1 1.26211 12/16 4:34 1.26643 0.07%
Trade id #150321677
Max drawdown($43)
Time12/16/24 4:34
Quant open1
Worst price1.26648
Drawdown as % of equity-0.07%
 ($43)
12/13/24 7:55 USD/JPY USD/JPY LONG 1 153.479 12/16 3:18 153.445 0.02%
Trade id #150317479
Max drawdown($14)
Time12/13/24 8:48
Quant open1
Worst price153.256
Drawdown as % of equity-0.02%
 ($2)
12/12/24 10:30 GBP/USD GBP/USD SHORT 1 1.26863 12/13 12:01 1.26237 0.06%
Trade id #150309741
Max drawdown($33)
Time12/12/24 12:14
Quant open1
Worst price1.27193
Drawdown as % of equity-0.06%
 $63
12/12/24 15:01 USD/JPY USD/JPY LONG 21 152.656 12/13 7:30 153.063 0.21%
Trade id #150313162
Max drawdown($120)
Time12/12/24 18:51
Quant open16
Worst price152.450
Drawdown as % of equity-0.21%
 $558
12/11/24 23:15 USD/JPY USD/JPY LONG 21 152.402 12/12 8:35 152.504 0.27%
Trade id #150306276
Max drawdown($155)
Time12/12/24 8:35
Quant open5
Worst price151.927
Drawdown as % of equity-0.27%
 $140
12/11/24 18:39 GBP/USD GBP/USD LONG 1 1.27589 12/12 4:53 1.27552 0.01%
Trade id #150305512
Max drawdown($3)
Time12/12/24 4:53
Quant open1
Worst price1.27550
Drawdown as % of equity-0.01%
 ($4)
12/11/24 11:23 USD/JPY USD/JPY LONG 16 152.513 12/11 20:01 152.081 0.81%
Trade id #150301068
Max drawdown($472)
Time12/11/24 20:01
Quant open16
Worst price152.064
Drawdown as % of equity-0.81%
 ($455)
12/11/24 7:00 GBP/USD GBP/USD LONG 1 1.27387 12/11 10:51 1.27351 0.01%
Trade id #150297747
Max drawdown($6)
Time12/11/24 7:33
Quant open1
Worst price1.27325
Drawdown as % of equity-0.01%
 ($4)
12/11/24 5:02 USD/JPY USD/JPY LONG 16 152.712 12/11 8:30 152.418 0.87%
Trade id #150297447
Max drawdown($508)
Time12/11/24 8:30
Quant open16
Worst price152.227
Drawdown as % of equity-0.87%
 ($309)
12/10/24 3:06 USD/JPY USD/JPY LONG 11 151.821 12/11 4:11 151.903 0.28%
Trade id #150286683
Max drawdown($164)
Time12/11/24 4:11
Quant open3
Worst price150.984
Drawdown as % of equity-0.28%
 $60
12/9/24 23:11 USD/JPY USD/JPY SHORT 8 151.014 12/10 2:34 151.424 0.38%
Trade id #150286023
Max drawdown($221)
Time12/10/24 2:34
Quant open8
Worst price151.433
Drawdown as % of equity-0.38%
 ($217)
12/9/24 15:00 USD/JPY USD/JPY SHORT 4 151.213 12/9 18:02 151.344 0.06%
Trade id #150282899
Max drawdown($34)
Time12/9/24 18:02
Quant open4
Worst price151.343
Drawdown as % of equity-0.06%
 ($35)
Next

Statistics

  • Strategy began
    5/26/2024
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    213.62
  • Age
    7 months ago
  • What it trades
    Forex
  • # Trades
    405
  • # Profitable
    158
  • % Profitable
    39.00%
  • Avg trade duration
    13.3 hours
  • Max peak-to-valley drawdown
    6.24%
  • drawdown period
    June 04, 2024 - Aug 12, 2024
  • Cumul. Return
    17.8%
  • Avg win
    $206.58
  • Avg loss
    $90.10
  • Model Account Values (Raw)
  • Cash
    $60,382
  • Margin Used
    $0
  • Buying Power
    $60,382
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    2.56
  • Sortino Ratio
    4.84
  • Calmar Ratio
    7.375
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4.10%
  • Correlation to SP500
    0.19230
  • Return Percent SP500 (cumu) during strategy life
    13.86%
  • Return Statistics
  • Ann Return (w trading costs)
    31.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.178%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    816
  • Popularity (Last 6 weeks)
    965
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    915
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $90
  • Avg Win
    $207
  • Sum Trade PL (losers)
    $22,255.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $32,640.000
  • # Winners
    158
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    247
  • % Winners
    39.0%
  • Frequency
  • Avg Position Time (mins)
    798.53
  • Avg Position Time (hrs)
    13.31
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.19
  • Daily leverage (max)
    8.57
  • Regression
  • Alpha
    0.07
  • Beta
    0.13
  • Treynor Index
    0.59
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.82
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    3.869
  • 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
    0.325
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.063
  • Hold-and-Hope Ratio
    0.258
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35614
  • SD
    0.15123
  • Sharpe ratio (Glass type estimate)
    2.35498
  • Sharpe ratio (Hedges UMVUE)
    1.97995
  • df
    5.00000
  • t
    1.66522
  • p
    0.07837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84774
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.38040
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.01125
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.50934
  • Upside Potential Ratio
    10.20520
  • Upside part of mean
    0.42712
  • Downside part of mean
    -0.07098
  • Upside SD
    0.16696
  • Downside SD
    0.04185
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.22938
  • Mean of criterion
    0.35614
  • SD of predictor
    0.05188
  • SD of criterion
    0.15123
  • Covariance
    0.00362
  • r
    0.46185
  • b (slope, estimate of beta)
    1.34625
  • a (intercept, estimate of alpha)
    0.04733
  • Mean Square Error
    0.02249
  • DF error
    4.00000
  • t(b)
    1.04142
  • p(b)
    0.17824
  • t(a)
    0.12983
  • p(a)
    0.45148
  • Lowerbound of 95% confidence interval for beta
    -2.24357
  • Upperbound of 95% confidence interval for beta
    4.93607
  • Lowerbound of 95% confidence interval for alpha
    -0.96506
  • Upperbound of 95% confidence interval for alpha
    1.05972
  • Treynor index (mean / b)
    0.26454
  • Jensen alpha (a)
    0.04733
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34118
  • SD
    0.14690
  • Sharpe ratio (Glass type estimate)
    2.32258
  • Sharpe ratio (Hedges UMVUE)
    1.95270
  • df
    5.00000
  • t
    1.64231
  • p
    0.08072
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87063
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.33980
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97722
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.05723
  • Upside Potential Ratio
    9.75050
  • Upside part of mean
    0.41288
  • Downside part of mean
    -0.07170
  • Upside SD
    0.16090
  • Downside SD
    0.04234
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.22562
  • Mean of criterion
    0.34118
  • SD of predictor
    0.05102
  • SD of criterion
    0.14690
  • Covariance
    0.00351
  • r
    0.46834
  • b (slope, estimate of beta)
    1.34841
  • a (intercept, estimate of alpha)
    0.03696
  • Mean Square Error
    0.02106
  • DF error
    4.00000
  • t(b)
    1.06013
  • p(b)
    0.17443
  • t(a)
    0.10475
  • p(a)
    0.46081
  • Lowerbound of 95% confidence interval for beta
    -2.18372
  • Upperbound of 95% confidence interval for beta
    4.88054
  • Lowerbound of 95% confidence interval for alpha
    -0.94275
  • Upperbound of 95% confidence interval for alpha
    1.01666
  • Treynor index (mean / b)
    0.25302
  • Jensen alpha (a)
    0.03696
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04048
  • Expected Shortfall on VaR
    0.05721
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01039
  • Expected Shortfall on VaR
    0.02172
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.97349
  • Quartile 1
    1.00173
  • Median
    1.03288
  • Quartile 3
    1.06474
  • Maximum
    1.08608
  • Mean of quarter 1
    0.98458
  • Mean of quarter 2
    1.01990
  • Mean of quarter 3
    1.04587
  • Mean of quarter 4
    1.07855
  • Inter Quartile Range
    0.06300
  • 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
    0.03072
  • Quartile 1
    0.03072
  • Median
    0.03072
  • Quartile 3
    0.03072
  • Maximum
    0.03072
  • 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)
    0.40534
  • Compounded annual return (geometric extrapolation)
    0.44641
  • Calmar ratio (compounded annual return / max draw down)
    14.53290
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.80256
  • 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
    0.30122
  • SD
    0.08659
  • Sharpe ratio (Glass type estimate)
    3.47876
  • Sharpe ratio (Hedges UMVUE)
    3.46145
  • df
    151.00000
  • t
    2.64969
  • p
    0.36681
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.07604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.06412
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.63354
  • Upside Potential Ratio
    14.26160
  • Upside part of mean
    0.64760
  • Downside part of mean
    -0.34638
  • Upside SD
    0.07571
  • Downside SD
    0.04541
  • N nonnegative terms
    87.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    152.00000
  • Mean of predictor
    0.20344
  • Mean of criterion
    0.30122
  • SD of predictor
    0.13501
  • SD of criterion
    0.08659
  • Covariance
    0.00217
  • r
    0.18558
  • b (slope, estimate of beta)
    0.11902
  • a (intercept, estimate of alpha)
    0.27700
  • Mean Square Error
    0.00729
  • DF error
    150.00000
  • t(b)
    2.31309
  • p(b)
    0.40721
  • t(a)
    2.46083
  • p(a)
    0.40151
  • Lowerbound of 95% confidence interval for beta
    0.01735
  • Upperbound of 95% confidence interval for beta
    0.22070
  • Lowerbound of 95% confidence interval for alpha
    0.05459
  • Upperbound of 95% confidence interval for alpha
    0.49943
  • Treynor index (mean / b)
    2.53075
  • Jensen alpha (a)
    0.27701
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29731
  • SD
    0.08629
  • Sharpe ratio (Glass type estimate)
    3.44544
  • Sharpe ratio (Hedges UMVUE)
    3.42830
  • df
    151.00000
  • t
    2.62431
  • p
    0.36801
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.04226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.03040
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.52017
  • Upside Potential Ratio
    14.13830
  • Upside part of mean
    0.64469
  • Downside part of mean
    -0.34738
  • Upside SD
    0.07520
  • Downside SD
    0.04560
  • N nonnegative terms
    87.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    152.00000
  • Mean of predictor
    0.19427
  • Mean of criterion
    0.29731
  • SD of predictor
    0.13531
  • SD of criterion
    0.08629
  • Covariance
    0.00214
  • r
    0.18323
  • b (slope, estimate of beta)
    0.11685
  • a (intercept, estimate of alpha)
    0.27461
  • Mean Square Error
    0.00724
  • DF error
    150.00000
  • t(b)
    2.28272
  • p(b)
    0.40839
  • t(a)
    2.44784
  • p(a)
    0.40201
  • Lowerbound of 95% confidence interval for beta
    0.01571
  • Upperbound of 95% confidence interval for beta
    0.21799
  • Lowerbound of 95% confidence interval for alpha
    0.05294
  • Upperbound of 95% confidence interval for alpha
    0.49628
  • Treynor index (mean / b)
    2.54447
  • Jensen alpha (a)
    0.27461
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00761
  • Expected Shortfall on VaR
    0.00981
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00274
  • Expected Shortfall on VaR
    0.00559
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    152.00000
  • Minimum
    0.98551
  • Quartile 1
    0.99821
  • Median
    1.00089
  • Quartile 3
    1.00348
  • Maximum
    1.02382
  • Mean of quarter 1
    0.99542
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00208
  • Mean of quarter 4
    1.00792
  • Inter Quartile Range
    0.00527
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.98847
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.03947
  • Mean of outliers high
    1.01684
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25352
  • VaR(95%) (moments method)
    0.00458
  • Expected Shortfall (moments method)
    0.00741
  • Extreme Value Index (regression method)
    0.41570
  • VaR(95%) (regression method)
    0.00434
  • Expected Shortfall (regression method)
    0.00801
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00079
  • Quartile 1
    0.00229
  • Median
    0.00487
  • Quartile 3
    0.01136
  • Maximum
    0.05212
  • Mean of quarter 1
    0.00084
  • Mean of quarter 2
    0.00346
  • Mean of quarter 3
    0.00710
  • Mean of quarter 4
    0.03016
  • Inter Quartile Range
    0.00906
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.05212
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68614
  • VaR(95%) (moments method)
    0.03261
  • Expected Shortfall (moments method)
    0.03808
  • Extreme Value Index (regression method)
    0.91105
  • VaR(95%) (regression method)
    0.05083
  • Expected Shortfall (regression method)
    0.53464
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35792
  • Compounded annual return (geometric extrapolation)
    0.38433
  • Calmar ratio (compounded annual return / max draw down)
    7.37458
  • Compounded annual return / average of 25% largest draw downs
    12.74150
  • Compounded annual return / Expected Shortfall lognormal
    39.17230
  • 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
    0.37020
  • SD
    0.09054
  • Sharpe ratio (Glass type estimate)
    4.08901
  • Sharpe ratio (Hedges UMVUE)
    4.06538
  • df
    130.00000
  • t
    2.89137
  • p
    0.37710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.26552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.89743
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.88089
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.00916
  • Upside Potential Ratio
    15.34110
  • Upside part of mean
    0.70910
  • Downside part of mean
    -0.33890
  • Upside SD
    0.08075
  • Downside SD
    0.04622
  • 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
    0.17893
  • Mean of criterion
    0.37020
  • SD of predictor
    0.14233
  • SD of criterion
    0.09054
  • Covariance
    0.00251
  • r
    0.19448
  • b (slope, estimate of beta)
    0.12371
  • a (intercept, estimate of alpha)
    0.34807
  • Mean Square Error
    0.00795
  • DF error
    129.00000
  • t(b)
    2.25185
  • p(b)
    0.37698
  • t(a)
    2.75237
  • p(a)
    0.35146
  • Lowerbound of 95% confidence interval for beta
    0.01502
  • Upperbound of 95% confidence interval for beta
    0.23240
  • Lowerbound of 95% confidence interval for alpha
    0.09786
  • Upperbound of 95% confidence interval for alpha
    0.59827
  • Treynor index (mean / b)
    2.99254
  • Jensen alpha (a)
    0.34807
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36586
  • SD
    0.09021
  • Sharpe ratio (Glass type estimate)
    4.05555
  • Sharpe ratio (Hedges UMVUE)
    4.03210
  • df
    130.00000
  • t
    2.86770
  • p
    0.37804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.23277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.86325
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21730
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.84691
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.88053
  • Upside Potential Ratio
    15.20270
  • Upside part of mean
    0.70579
  • Downside part of mean
    -0.33993
  • Upside SD
    0.08020
  • Downside SD
    0.04643
  • 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
    0.16877
  • Mean of criterion
    0.36586
  • SD of predictor
    0.14268
  • SD of criterion
    0.09021
  • Covariance
    0.00247
  • r
    0.19211
  • b (slope, estimate of beta)
    0.12147
  • a (intercept, estimate of alpha)
    0.34536
  • Mean Square Error
    0.00790
  • DF error
    129.00000
  • t(b)
    2.22333
  • p(b)
    0.37846
  • t(a)
    2.74040
  • p(a)
    0.35206
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    0.01337
  • Upperbound of 95% confidence interval for beta
    0.22956
  • Lowerbound of 95% confidence interval for alpha
    0.09601
  • Upperbound of 95% confidence interval for alpha
    0.59470
  • Treynor index (mean / b)
    3.01202
  • Jensen alpha (a)
    0.34536
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00774
  • Expected Shortfall on VaR
    0.01005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00257
  • Expected Shortfall on VaR
    0.00538
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98551
  • Quartile 1
    0.99827
  • Median
    1.00106
  • Quartile 3
    1.00382
  • Maximum
    1.02382
  • Mean of quarter 1
    0.99543
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00230
  • Mean of quarter 4
    1.00853
  • Inter Quartile Range
    0.00555
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98798
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01790
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39778
  • VaR(95%) (moments method)
    0.00480
  • Expected Shortfall (moments method)
    0.00911
  • Extreme Value Index (regression method)
    0.49032
  • VaR(95%) (regression method)
    0.00436
  • Expected Shortfall (regression method)
    0.00897
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00079
  • Quartile 1
    0.00183
  • Median
    0.00463
  • Quartile 3
    0.01268
  • Maximum
    0.04568
  • Mean of quarter 1
    0.00084
  • Mean of quarter 2
    0.00346
  • Mean of quarter 3
    0.00757
  • Mean of quarter 4
    0.02802
  • Inter Quartile Range
    0.01084
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.04568
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.15655
  • VaR(95%) (moments method)
    0.03195
  • Expected Shortfall (moments method)
    0.03453
  • Extreme Value Index (regression method)
    0.55010
  • VaR(95%) (regression method)
    0.04733
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.11395
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -343659000
  • Max Equity Drawdown (num days)
    69
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43520
  • Compounded annual return (geometric extrapolation)
    0.48255
  • Calmar ratio (compounded annual return / max draw down)
    10.56310
  • Compounded annual return / average of 25% largest draw downs
    17.22190
  • Compounded annual return / Expected Shortfall lognormal
    48.03060

Strategy Description

SMARTY - The Smarter Loss-Controlled Martingale. 7% to 8% sequence failure cost instead of whole account failure of traditional Martingale. Only one open trade per currency (no active grid). Designed to Survive 9 levels (97% Success) or 10 levels (98% Success) of 2X Martingale. Additional safety features such as breakeven triggers can add additional failure levels enhancing the per sequence success rate. Net expected result: 3 to 4 failures per 97/96 successful sequences.

Summary Statistics

Strategy began
2024-05-26
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 6.9%
Rank # 
#313
# Trades
405
# Profitable
158
% Profitable
39.0%
Correlation S&P500
0.192
Sharpe Ratio
2.56
Sortino Ratio
4.84
Beta
0.13
Alpha
0.07
Leverage
2.19 Average
8.57 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.