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C2Star Strategy MYEZ Portfolio Followed by live capital $49,200 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).
6.6%
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.

(11.4%)
Max Drawdown
965
Num Trades
37.0%
Win Trades
1.1 : 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%
2025(0.8%)(1.5%)+3.0%+3.8%(5.6%)(1.9%)+0.1%+1.1%+1.9%(3.4%)(3.3%)+0.6%(6.3%)

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 372 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 291 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/15/25 3:15 GBP/USD GBP/USD LONG 10 1.33673 12/15 13:24 1.33634 0.01%
Trade id #153818440
Max drawdown($4)
Time12/15/25 13:24
Quant open10
Worst price1.33630
Drawdown as % of equity-0.01%
 ($3.90)
12/12/25 7:44 USD/JPY USD/JPY LONG 54 156.045 12/12 9:55 155.852 0.13%
Trade id #153789545
Max drawdown($70)
Time12/12/25 9:55
Quant open54
Worst price155.843
Drawdown as % of equity-0.13%
 ($67.31)
12/11/25 20:16 GBP/USD GBP/USD LONG 22 1.33967 12/12 2:00 1.33815 0.07%
Trade id #153784013
Max drawdown($36)
Time12/12/25 2:00
Quant open22
Worst price1.33803
Drawdown as % of equity-0.07%
 ($33.44)
12/11/25 18:09 USD/JPY USD/JPY SHORT 26 155.493 12/11 19:20 155.659 0.06%
Trade id #153783125
Max drawdown($30)
Time12/11/25 19:20
Quant open26
Worst price155.677
Drawdown as % of equity-0.06%
 ($27.87)
12/11/25 10:05 USD/JPY USD/JPY SHORT 12 155.051 12/11 14:58 155.581 0.07%
Trade id #153775638
Max drawdown($40)
Time12/11/25 14:58
Quant open12
Worst price155.582
Drawdown as % of equity-0.07%
 ($41.08)
12/11/25 10:58 GBP/USD GBP/USD LONG 10 1.34340 12/11 14:57 1.33915 0.08%
Trade id #153776708
Max drawdown($43)
Time12/11/25 14:57
Quant open10
Worst price1.33909
Drawdown as % of equity-0.08%
 ($42.50)
12/11/25 7:21 GBP/USD GBP/USD LONG 22 1.33938 12/11 10:52 1.34307 0.04%
Trade id #153773368
Max drawdown($22)
Time12/11/25 7:38
Quant open22
Worst price1.33834
Drawdown as % of equity-0.04%
 $81.18
12/11/25 8:30 USD/JPY USD/JPY SHORT 54 155.415 12/11 10:01 155.008 0.08%
Trade id #153773871
Max drawdown($46)
Time12/11/25 8:35
Quant open54
Worst price155.548
Drawdown as % of equity-0.08%
 $142.02
12/11/25 3:25 GBP/USD GBP/USD LONG 10 1.33735 12/11 4:09 1.33595 0.03%
Trade id #153771075
Max drawdown($14)
Time12/11/25 4:09
Quant open10
Worst price1.33593
Drawdown as % of equity-0.03%
 ($14.00)
12/10/25 19:04 USD/JPY USD/JPY SHORT 26 155.618 12/11 1:25 156.152 0.16%
Trade id #153767190
Max drawdown($89)
Time12/11/25 1:25
Quant open26
Worst price156.154
Drawdown as % of equity-0.16%
 ($89.67)
12/10/25 14:41 GBP/USD GBP/USD LONG 10 1.33347 12/11 0:54 1.33618 0.01%
Trade id #153763890
Max drawdown($8)
Time12/10/25 14:44
Quant open10
Worst price1.33266
Drawdown as % of equity-0.01%
 $27.10
12/9/25 13:31 GBP/USD GBP/USD LONG 10 1.33014 12/10 14:41 1.33280 0.02%
Trade id #153748731
Max drawdown($13)
Time12/9/25 17:04
Quant open10
Worst price1.32883
Drawdown as % of equity-0.02%
 $26.60
12/10/25 1:02 USD/JPY USD/JPY LONG 12 156.734 12/10 3:04 156.581 0.02%
Trade id #153754793
Max drawdown($11)
Time12/10/25 3:04
Quant open12
Worst price156.578
Drawdown as % of equity-0.02%
 ($11.86)
12/9/25 7:00 USD/JPY USD/JPY LONG 12 156.221 12/9 22:20 156.597 0%
Trade id #153743597
Max drawdown($0)
Time12/9/25 7:04
Quant open12
Worst price156.210
Drawdown as % of equity-0.00%
 $29.14
12/8/25 19:41 USD/JPY USD/JPY LONG 12 155.908 12/9 4:17 156.064 0.02%
Trade id #153739119
Max drawdown($12)
Time12/8/25 21:03
Quant open12
Worst price155.744
Drawdown as % of equity-0.02%
 $12.09
12/8/25 19:34 USD/JPY USD/JPY LONG 12 155.876 12/8 19:39 155.901 0%
Trade id #153739048
Max drawdown($0)
Time12/8/25 19:37
Quant open12
Worst price155.865
Drawdown as % of equity-0.00%
 $1.94
12/4/25 23:27 GBP/USD GBP/USD LONG 10 1.33366 12/5 11:15 1.33218 0.03%
Trade id #153691298
Max drawdown($14)
Time12/5/25 11:15
Quant open10
Worst price1.33217
Drawdown as % of equity-0.03%
 ($14.80)
12/4/25 23:27 USD/JPY USD/JPY SHORT 12 154.974 12/5 3:05 154.719 0.01%
Trade id #153691271
Max drawdown($4)
Time12/4/25 23:37
Quant open12
Worst price155.027
Drawdown as % of equity-0.01%
 $19.76
12/3/25 7:24 GBP/USD GBP/USD LONG 10 1.32999 12/4 8:30 1.33236 0.01%
Trade id #153662365
Max drawdown($7)
Time12/3/25 9:17
Quant open10
Worst price1.32921
Drawdown as % of equity-0.01%
 $23.70
12/2/25 11:12 USD/JPY USD/JPY SHORT 28 155.846 12/3 11:45 155.062 0.08%
Trade id #153651086
Max drawdown($42)
Time12/2/25 12:19
Quant open28
Worst price156.084
Drawdown as % of equity-0.08%
 $141.78
12/2/25 22:19 GBP/USD GBP/USD LONG 10 1.32321 12/3 7:20 1.32960 0.01%
Trade id #153658598
Max drawdown($5)
Time12/2/25 23:05
Quant open10
Worst price1.32266
Drawdown as % of equity-0.01%
 $63.90
12/2/25 10:30 GBP/USD GBP/USD LONG 44 1.31908 12/2 21:36 1.32285 0.09%
Trade id #153650137
Max drawdown($49)
Time12/2/25 12:11
Quant open44
Worst price1.31796
Drawdown as % of equity-0.09%
 $165.88
12/1/25 20:52 GBP/USD GBP/USD LONG 22 1.32142 12/2 5:03 1.31999 0.07%
Trade id #153642824
Max drawdown($35)
Time12/2/25 5:03
Quant open22
Worst price1.31979
Drawdown as % of equity-0.07%
 ($31.46)
12/1/25 8:17 USD/JPY USD/JPY SHORT 14 154.826 12/1 12:12 155.339 0.08%
Trade id #153631073
Max drawdown($46)
Time12/1/25 12:12
Quant open14
Worst price155.342
Drawdown as % of equity-0.08%
 ($46.38)
12/1/25 8:41 GBP/USD GBP/USD LONG 10 1.32671 12/1 11:27 1.32237 0.08%
Trade id #153631242
Max drawdown($44)
Time12/1/25 11:27
Quant open10
Worst price1.32226
Drawdown as % of equity-0.08%
 ($43.40)
12/1/25 3:06 USD/JPY USD/JPY SHORT 28 155.342 12/1 8:16 154.858 0.07%
Trade id #153628370
Max drawdown($39)
Time12/1/25 3:44
Quant open28
Worst price155.563
Drawdown as % of equity-0.07%
 $87.62
12/1/25 7:53 GBP/USD GBP/USD LONG 2 1.32659 12/1 7:57 1.32677 n/a $0.36
11/28/25 9:30 GBP/USD GBP/USD LONG 22 1.32203 12/1 1:04 1.32176 0.06%
Trade id #153598660
Max drawdown($31)
Time11/28/25 10:36
Quant open22
Worst price1.32061
Drawdown as % of equity-0.06%
 ($5.94)
12/1/25 0:01 USD/JPY USD/JPY SHORT 14 155.520 12/1 1:01 155.661 0.02%
Trade id #153626895
Max drawdown($13)
Time12/1/25 1:01
Quant open14
Worst price155.667
Drawdown as % of equity-0.02%
 ($12.75)
11/27/25 8:24 GBP/USD GBP/USD LONG 10 1.32416 11/28 2:58 1.32125 0.06%
Trade id #153585649
Max drawdown($31)
Time11/28/25 2:58
Quant open10
Worst price1.32104
Drawdown as % of equity-0.06%
 ($29.10)

Statistics

  • Strategy began
    5/26/2024
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    567.96
  • Age
    19 months ago
  • What it trades
    Forex
  • # Trades
    965
  • # Profitable
    357
  • % Profitable
    37.00%
  • Avg trade duration
    12.1 hours
  • Max peak-to-valley drawdown
    11.37%
  • drawdown period
    April 28, 2025 - Dec 02, 2025
  • Annual Return (Compounded)
    6.6%
  • Avg win
    $196.83
  • Avg loss
    $101.31
  • Model Account Values (Raw)
  • Cash
    $58,669
  • Margin Used
    $60
  • Buying Power
    $58,612
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.53
  • Sortino Ratio
    0.83
  • Calmar Ratio
    1.251
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -18.05%
  • Correlation to SP500
    0.03430
  • Return Percent SP500 (cumu) during strategy life
    28.50%
  • Return Statistics
  • Ann Return (w trading costs)
    6.6%
  • Slump
  • Current Slump as Pcnt Equity
    12.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.41%
  • 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)
    0.066%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • 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
    99.92%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    458
  • Popularity (Last 6 weeks)
    810
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    299
  • Popularity (7 days, Percentile 1000 scale)
    345
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $101
  • Avg Win
    $197
  • Sum Trade PL (losers)
    $61,597.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $70,272.000
  • # Winners
    357
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    608
  • % Winners
    37.0%
  • Frequency
  • Avg Position Time (mins)
    723.62
  • Avg Position Time (hrs)
    12.06
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.88
  • Daily leverage (max)
    8.57
  • Regression
  • Alpha
    0.01
  • Beta
    0.02
  • Treynor Index
    0.87
  • 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)
    -0.90
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    15.661
  • 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
    0.312
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.105
  • Hold-and-Hope Ratio
    0.064
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08279
  • SD
    0.12416
  • Sharpe ratio (Glass type estimate)
    0.66681
  • Sharpe ratio (Hedges UMVUE)
    0.63688
  • df
    17.00000
  • t
    0.81668
  • p
    0.37709
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25144
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30191
  • Upside Potential Ratio
    3.26053
  • Upside part of mean
    0.20734
  • Downside part of mean
    -0.12455
  • Upside SD
    0.10529
  • Downside SD
    0.06359
  • N nonnegative terms
    9.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.14605
  • Mean of criterion
    0.08279
  • SD of predictor
    0.09637
  • SD of criterion
    0.12416
  • Covariance
    -0.00129
  • r
    -0.10794
  • b (slope, estimate of beta)
    -0.13906
  • a (intercept, estimate of alpha)
    0.10310
  • Mean Square Error
    0.01619
  • DF error
    16.00000
  • t(b)
    -0.43431
  • p(b)
    0.55397
  • t(a)
    0.90499
  • p(a)
    0.38966
  • Lowerbound of 95% confidence interval for beta
    -0.81784
  • Upperbound of 95% confidence interval for beta
    0.53971
  • Lowerbound of 95% confidence interval for alpha
    -0.13841
  • Upperbound of 95% confidence interval for alpha
    0.34460
  • Treynor index (mean / b)
    -0.59533
  • Jensen alpha (a)
    0.10310
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07524
  • SD
    0.12208
  • Sharpe ratio (Glass type estimate)
    0.61633
  • Sharpe ratio (Hedges UMVUE)
    0.58866
  • df
    17.00000
  • t
    0.75484
  • p
    0.38598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22093
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20115
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16273
  • Upside Potential Ratio
    3.11491
  • Upside part of mean
    0.20156
  • Downside part of mean
    -0.12633
  • Upside SD
    0.10178
  • Downside SD
    0.06471
  • N nonnegative terms
    9.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.14052
  • Mean of criterion
    0.07524
  • SD of predictor
    0.09593
  • SD of criterion
    0.12208
  • Covariance
    -0.00133
  • r
    -0.11354
  • b (slope, estimate of beta)
    -0.14448
  • a (intercept, estimate of alpha)
    0.09554
  • Mean Square Error
    0.01563
  • DF error
    16.00000
  • t(b)
    -0.45711
  • p(b)
    0.55677
  • t(a)
    0.85824
  • p(a)
    0.39511
  • Lowerbound of 95% confidence interval for beta
    -0.81454
  • Upperbound of 95% confidence interval for beta
    0.52557
  • Lowerbound of 95% confidence interval for alpha
    -0.14045
  • Upperbound of 95% confidence interval for alpha
    0.33154
  • Treynor index (mean / b)
    -0.52076
  • Jensen alpha (a)
    0.09554
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05038
  • Expected Shortfall on VaR
    0.06418
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02420
  • Expected Shortfall on VaR
    0.04331
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.95002
  • Quartile 1
    0.98543
  • Median
    1.00207
  • Quartile 3
    1.02554
  • Maximum
    1.08608
  • Mean of quarter 1
    0.97010
  • Mean of quarter 2
    0.99590
  • Mean of quarter 3
    1.01486
  • Mean of quarter 4
    1.05450
  • Inter Quartile Range
    0.04011
  • 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
    0.05556
  • Mean of outliers high
    1.08608
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.91258
  • VaR(95%) (moments method)
    0.03065
  • Expected Shortfall (moments method)
    0.03080
  • Extreme Value Index (regression method)
    -0.38071
  • VaR(95%) (regression method)
    0.02849
  • Expected Shortfall (regression method)
    0.03254
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01204
  • Quartile 1
    0.02138
  • Median
    0.03072
  • Quartile 3
    0.05846
  • Maximum
    0.08621
  • Mean of quarter 1
    0.01204
  • Mean of quarter 2
    0.03072
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08621
  • Inter Quartile Range
    0.03708
  • 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)
    0.11155
  • Compounded annual return (geometric extrapolation)
    0.10865
  • Calmar ratio (compounded annual return / max draw down)
    1.26040
  • Compounded annual return / average of 25% largest draw downs
    1.26040
  • Compounded annual return / Expected Shortfall lognormal
    1.69285
  • 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
    0.07949
  • SD
    0.07674
  • Sharpe ratio (Glass type estimate)
    1.03583
  • Sharpe ratio (Hedges UMVUE)
    1.03389
  • df
    401.00000
  • t
    1.28307
  • p
    0.10010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54871
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55001
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61780
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.62584
  • Upside Potential Ratio
    9.53320
  • Upside part of mean
    0.46609
  • Downside part of mean
    -0.38660
  • Upside SD
    0.05923
  • Downside SD
    0.04889
  • N nonnegative terms
    209.00000
  • N negative terms
    193.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    402.00000
  • Mean of predictor
    0.15016
  • Mean of criterion
    0.07949
  • SD of predictor
    0.17147
  • SD of criterion
    0.07674
  • Covariance
    0.00042
  • r
    0.03183
  • b (slope, estimate of beta)
    0.01425
  • a (intercept, estimate of alpha)
    0.07700
  • Mean Square Error
    0.00590
  • DF error
    400.00000
  • t(b)
    0.63697
  • p(b)
    0.26226
  • t(a)
    1.24579
  • p(a)
    0.10679
  • Lowerbound of 95% confidence interval for beta
    -0.02972
  • Upperbound of 95% confidence interval for beta
    0.05821
  • Lowerbound of 95% confidence interval for alpha
    -0.04471
  • Upperbound of 95% confidence interval for alpha
    0.19941
  • Treynor index (mean / b)
    5.57975
  • Jensen alpha (a)
    0.07735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07654
  • SD
    0.07662
  • Sharpe ratio (Glass type estimate)
    0.99898
  • Sharpe ratio (Hedges UMVUE)
    0.99711
  • df
    401.00000
  • t
    1.23743
  • p
    0.10833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58091
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55887
  • Upside Potential Ratio
    9.45644
  • Upside part of mean
    0.46430
  • Downside part of mean
    -0.38776
  • Upside SD
    0.05888
  • Downside SD
    0.04910
  • N nonnegative terms
    209.00000
  • N negative terms
    193.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    402.00000
  • Mean of predictor
    0.13552
  • Mean of criterion
    0.07654
  • SD of predictor
    0.17082
  • SD of criterion
    0.07662
  • Covariance
    0.00037
  • r
    0.02808
  • b (slope, estimate of beta)
    0.01259
  • a (intercept, estimate of alpha)
    0.07483
  • Mean Square Error
    0.00588
  • DF error
    400.00000
  • t(b)
    0.56176
  • p(b)
    0.28730
  • t(a)
    1.20735
  • p(a)
    0.11400
  • Lowerbound of 95% confidence interval for beta
    -0.03148
  • Upperbound of 95% confidence interval for beta
    0.05666
  • Lowerbound of 95% confidence interval for alpha
    -0.04702
  • Upperbound of 95% confidence interval for alpha
    0.19668
  • Treynor index (mean / b)
    6.07781
  • Jensen alpha (a)
    0.07483
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00747
  • Expected Shortfall on VaR
    0.00943
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00331
  • Expected Shortfall on VaR
    0.00652
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    402.00000
  • Minimum
    0.98403
  • Quartile 1
    0.99804
  • Median
    1.00017
  • Quartile 3
    1.00239
  • Maximum
    1.02382
  • Mean of quarter 1
    0.99496
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00118
  • Mean of quarter 4
    1.00612
  • Inter Quartile Range
    0.00435
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.04229
  • Mean of outliers low
    0.98932
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.04478
  • Mean of outliers high
    1.01293
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07290
  • VaR(95%) (moments method)
    0.00466
  • Expected Shortfall (moments method)
    0.00658
  • Extreme Value Index (regression method)
    -0.05025
  • VaR(95%) (regression method)
    0.00467
  • Expected Shortfall (regression method)
    0.00620
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00079
  • Quartile 1
    0.00249
  • Median
    0.00512
  • Quartile 3
    0.01586
  • Maximum
    0.08802
  • Mean of quarter 1
    0.00119
  • Mean of quarter 2
    0.00411
  • Mean of quarter 3
    0.01030
  • Mean of quarter 4
    0.04300
  • Inter Quartile Range
    0.01337
  • 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
    0.10526
  • Mean of outliers high
    0.07007
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.51239
  • VaR(95%) (moments method)
    0.04129
  • Expected Shortfall (moments method)
    0.04904
  • Extreme Value Index (regression method)
    0.14735
  • VaR(95%) (regression method)
    0.06953
  • Expected Shortfall (regression method)
    0.11303
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11328
  • Compounded annual return (geometric extrapolation)
    0.11009
  • Calmar ratio (compounded annual return / max draw down)
    1.25085
  • Compounded annual return / average of 25% largest draw downs
    2.56051
  • Compounded annual return / Expected Shortfall lognormal
    11.68090
  • 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
    -0.07408
  • SD
    0.05040
  • Sharpe ratio (Glass type estimate)
    -1.46983
  • Sharpe ratio (Hedges UMVUE)
    -1.46134
  • df
    130.00000
  • t
    -1.03933
  • p
    0.54539
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.24461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.23883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31616
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.88143
  • Upside Potential Ratio
    6.47842
  • Upside part of mean
    0.25508
  • Downside part of mean
    -0.32916
  • Upside SD
    0.03149
  • Downside SD
    0.03937
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21829
  • Mean of criterion
    -0.07408
  • SD of predictor
    0.10927
  • SD of criterion
    0.05040
  • Covariance
    0.00034
  • r
    0.06175
  • b (slope, estimate of beta)
    0.02848
  • a (intercept, estimate of alpha)
    -0.08030
  • Mean Square Error
    0.00255
  • DF error
    129.00000
  • t(b)
    0.70268
  • p(b)
    0.46071
  • t(a)
    -1.11582
  • p(a)
    0.56214
  • Lowerbound of 95% confidence interval for beta
    -0.05171
  • Upperbound of 95% confidence interval for beta
    0.10867
  • Lowerbound of 95% confidence interval for alpha
    -0.22268
  • Upperbound of 95% confidence interval for alpha
    0.06208
  • Treynor index (mean / b)
    -2.60110
  • Jensen alpha (a)
    -0.08030
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07534
  • SD
    0.05044
  • Sharpe ratio (Glass type estimate)
    -1.49383
  • Sharpe ratio (Hedges UMVUE)
    -1.48519
  • df
    130.00000
  • t
    -1.05629
  • p
    0.54612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.26879
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.26287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29249
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.90769
  • Upside Potential Ratio
    6.44543
  • Upside part of mean
    0.25456
  • Downside part of mean
    -0.32991
  • Upside SD
    0.03141
  • Downside SD
    0.03949
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21224
  • Mean of criterion
    -0.07534
  • SD of predictor
    0.10944
  • SD of criterion
    0.05044
  • Covariance
    0.00034
  • r
    0.06205
  • b (slope, estimate of beta)
    0.02860
  • a (intercept, estimate of alpha)
    -0.08141
  • Mean Square Error
    0.00255
  • DF error
    129.00000
  • t(b)
    0.70608
  • p(b)
    0.46053
  • t(a)
    -1.13103
  • p(a)
    0.56298
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    -0.05153
  • Upperbound of 95% confidence interval for beta
    0.10873
  • Lowerbound of 95% confidence interval for alpha
    -0.22383
  • Upperbound of 95% confidence interval for alpha
    0.06100
  • Treynor index (mean / b)
    -2.63479
  • Jensen alpha (a)
    -0.08141
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00540
  • Expected Shortfall on VaR
    0.00669
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00298
  • Expected Shortfall on VaR
    0.00562
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99012
  • Quartile 1
    0.99828
  • Median
    1.00000
  • Quartile 3
    1.00141
  • Maximum
    1.00771
  • Mean of quarter 1
    0.99579
  • Mean of quarter 2
    0.99944
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.00353
  • Inter Quartile Range
    0.00313
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.99159
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.00679
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.49657
  • VaR(95%) (moments method)
    0.00410
  • Expected Shortfall (moments method)
    0.00473
  • Extreme Value Index (regression method)
    -0.05195
  • VaR(95%) (regression method)
    0.00382
  • Expected Shortfall (regression method)
    0.00496
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00092
  • Median
    0.00260
  • Quartile 3
    0.01201
  • Maximum
    0.05694
  • Mean of quarter 1
    0.00028
  • Mean of quarter 2
    0.00150
  • Mean of quarter 3
    0.00603
  • Mean of quarter 4
    0.03931
  • Inter Quartile Range
    0.01109
  • 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
    0.12500
  • Mean of outliers high
    0.05694
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -427509000
  • Max Equity Drawdown (num days)
    218
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04688
  • Compounded annual return (geometric extrapolation)
    -0.04633
  • Calmar ratio (compounded annual return / max draw down)
    -0.81371
  • Compounded annual return / average of 25% largest draw downs
    -1.17865
  • Compounded annual return / Expected Shortfall lognormal
    -6.92329

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
# Trades
965
# Profitable
357
% Profitable
37.0%
Correlation S&P500
0.034
Sharpe Ratio
0.53
Sortino Ratio
0.83
Beta
0.02
Alpha
0.01
Leverage
1.88 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.