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Featured Strategy QUANT AI Gold and Silver +60.5% Cumul. Return since Sep 23, 2025 Hypothetical

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SMARTY Smart Martingale
(148261013)

Created by: BlackOpzFXX BlackOpzFXX
Started: 05/2024
Forex
Last trade: Today
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).
6.5%
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
1134
Num Trades
38.0%
Win Trades
1.1 : 1
Profit Factor
52.2%
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%)+1.0%(5.9%)
2026+0.1%(0.2%)+1.2%                                                      +1.1%

Model Account Details

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

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

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Live broadcasts, recordings, and community highlights.
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More Info, Testing & Logic: C2 Forum - https://x7.fyi/smartyc2
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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 382 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
3/13/26 12:00 USD/JPY USD/JPY LONG 30 159.581 3/16 8:04 159.085 0.17%
Trade id #155024812
Max drawdown($95)
Time3/16/26 8:04
Quant open30
Worst price159.074
Drawdown as % of equity-0.17%
 ($93.46)
3/13/26 12:16 GBP/USD GBP/USD SHORT 15 1.32352 3/16 7:43 1.32788 0.12%
Trade id #155025050
Max drawdown($66)
Time3/16/26 7:43
Quant open15
Worst price1.32795
Drawdown as % of equity-0.12%
 ($65.40)
3/12/26 11:00 USD/JPY USD/JPY LONG 30 159.227 3/13 9:37 159.183 0.07%
Trade id #155004212
Max drawdown($40)
Time3/12/26 20:24
Quant open30
Worst price159.011
Drawdown as % of equity-0.07%
 ($8.29)
3/13/26 3:00 GBP/USD GBP/USD SHORT 15 1.33077 3/13 8:45 1.32825 n/a $37.80
3/11/26 20:36 GBP/USD GBP/USD SHORT 120 1.33834 3/13 3:00 1.33433 0.61%
Trade id #154994483
Max drawdown($338)
Time3/12/26 0:00
Quant open120
Worst price1.34116
Drawdown as % of equity-0.61%
 $481.35
3/12/26 0:33 USD/JPY USD/JPY LONG 15 159.072 3/12 3:14 158.835 0.04%
Trade id #154997228
Max drawdown($23)
Time3/12/26 3:14
Quant open15
Worst price158.822
Drawdown as % of equity-0.04%
 ($22.33)
3/11/26 12:25 USD/JPY USD/JPY LONG 15 158.817 3/11 21:02 158.890 0.01%
Trade id #154988514
Max drawdown($4)
Time3/11/26 17:57
Quant open15
Worst price158.767
Drawdown as % of equity-0.01%
 $6.88
3/11/26 4:04 USD/JPY USD/JPY LONG 120 158.255 3/11 12:15 158.785 0.08%
Trade id #154980595
Max drawdown($44)
Time3/11/26 4:13
Quant open120
Worst price158.196
Drawdown as % of equity-0.08%
 $399.46
3/10/26 15:38 USD/JPY USD/JPY LONG 120 158.073 3/11 2:25 158.031 0.21%
Trade id #154973834
Max drawdown($117)
Time3/10/26 20:19
Quant open120
Worst price157.918
Drawdown as % of equity-0.21%
 ($31.66)
3/10/26 2:38 GBP/USD GBP/USD LONG 120 1.34527 3/10 15:40 1.34544 0.33%
Trade id #154962667
Max drawdown($182)
Time3/10/26 15:40
Quant open45
Worst price1.34121
Drawdown as % of equity-0.33%
 $20.70
3/9/26 20:04 USD/JPY USD/JPY LONG 120 157.920 3/9 20:42 157.610 0.43%
Trade id #154958875
Max drawdown($239)
Time3/9/26 20:42
Quant open120
Worst price157.605
Drawdown as % of equity-0.43%
 ($233.64)
3/9/26 14:44 USD/JPY USD/JPY LONG 60 158.367 3/9 15:20 158.000 0.27%
Trade id #154953966
Max drawdown($150)
Time3/9/26 15:20
Quant open60
Worst price157.972
Drawdown as % of equity-0.27%
 ($138.30)
3/9/26 9:06 USD/JPY USD/JPY LONG 30 158.530 3/9 9:11 158.353 0.07%
Trade id #154945647
Max drawdown($39)
Time3/9/26 9:11
Quant open30
Worst price158.324
Drawdown as % of equity-0.07%
 ($33.35)
3/9/26 4:40 USD/JPY USD/JPY LONG 15 158.691 3/9 5:32 158.367 0.06%
Trade id #154943129
Max drawdown($33)
Time3/9/26 5:32
Quant open15
Worst price158.341
Drawdown as % of equity-0.06%
 ($30.52)
3/6/26 13:29 USD/JPY USD/JPY LONG 30 157.741 3/8 18:15 158.437 0.02%
Trade id #154912369
Max drawdown($10)
Time3/6/26 13:31
Quant open30
Worst price157.688
Drawdown as % of equity-0.02%
 $131.14
3/6/26 1:02 USD/JPY USD/JPY LONG 15 157.890 3/6 8:30 157.406 0.09%
Trade id #154901460
Max drawdown($49)
Time3/6/26 8:30
Quant open15
Worst price157.366
Drawdown as % of equity-0.09%
 ($45.60)
3/6/26 5:00 GBP/USD GBP/USD SHORT 60 1.33206 3/6 8:30 1.33864 0.72%
Trade id #154903394
Max drawdown($403)
Time3/6/26 8:30
Quant open60
Worst price1.33879
Drawdown as % of equity-0.72%
 ($394.80)
3/6/26 1:04 GBP/USD GBP/USD SHORT 30 1.33522 3/6 2:00 1.33717 0.1%
Trade id #154901508
Max drawdown($57)
Time3/6/26 2:00
Quant open30
Worst price1.33713
Drawdown as % of equity-0.10%
 ($58.50)
3/5/26 7:00 USD/JPY USD/JPY LONG 60 157.387 3/6 0:49 157.855 0.07%
Trade id #154885201
Max drawdown($37)
Time3/5/26 7:20
Quant open60
Worst price157.288
Drawdown as % of equity-0.07%
 $176.37
3/5/26 11:41 GBP/USD GBP/USD SHORT 15 1.33171 3/5 15:15 1.33613 0.12%
Trade id #154890001
Max drawdown($68)
Time3/5/26 15:15
Quant open15
Worst price1.33627
Drawdown as % of equity-0.12%
 ($66.30)
3/5/26 9:13 GBP/USD GBP/USD SHORT 30 1.33485 3/5 11:40 1.33157 0.03%
Trade id #154886294
Max drawdown($18)
Time3/5/26 9:32
Quant open30
Worst price1.33547
Drawdown as % of equity-0.03%
 $98.55
3/4/26 23:00 USD/JPY USD/JPY LONG 60 157.022 3/5 4:06 156.990 0.04%
Trade id #154880354
Max drawdown($24)
Time3/5/26 1:53
Quant open60
Worst price156.958
Drawdown as % of equity-0.04%
 ($12.06)
3/5/26 1:50 GBP/USD GBP/USD SHORT 15 1.33283 3/5 2:29 1.33428 0.04%
Trade id #154882505
Max drawdown($22)
Time3/5/26 2:29
Quant open15
Worst price1.33435
Drawdown as % of equity-0.04%
 ($21.75)
3/4/26 9:35 GBP/USD GBP/USD SHORT 60 1.33585 3/5 1:50 1.33252 0.31%
Trade id #154867891
Max drawdown($169)
Time3/4/26 20:29
Quant open60
Worst price1.33868
Drawdown as % of equity-0.31%
 $199.80
3/4/26 7:53 USD/JPY USD/JPY LONG 30 157.252 3/4 19:09 156.846 0.15%
Trade id #154866036
Max drawdown($81)
Time3/4/26 19:09
Quant open30
Worst price156.826
Drawdown as % of equity-0.15%
 ($76.50)
3/3/26 23:40 GBP/USD GBP/USD SHORT 30 1.33216 3/4 2:28 1.33518 0.22%
Trade id #154860584
Max drawdown($125)
Time3/4/26 0:00
Quant open30
Worst price1.33634
Drawdown as % of equity-0.22%
 ($90.60)
3/3/26 8:03 USD/JPY USD/JPY LONG 15 157.689 3/3 23:13 157.294 0.07%
Trade id #154846849
Max drawdown($37)
Time3/3/26 23:13
Quant open15
Worst price157.294
Drawdown as % of equity-0.07%
 ($37.21)
3/3/26 4:16 GBP/USD GBP/USD SHORT 15 1.33067 3/3 6:52 1.32992 0.01%
Trade id #154844396
Max drawdown($4)
Time3/3/26 5:21
Quant open15
Worst price1.33094
Drawdown as % of equity-0.01%
 $11.25
3/2/26 21:13 GBP/USD GBP/USD SHORT 30 1.33972 3/3 4:15 1.33099 0.08%
Trade id #154839823
Max drawdown($45)
Time3/2/26 21:42
Quant open30
Worst price1.34123
Drawdown as % of equity-0.08%
 $261.90
3/2/26 11:18 GBP/USD GBP/USD SHORT 15 1.33609 3/2 12:12 1.34041 0.12%
Trade id #154830995
Max drawdown($65)
Time3/2/26 12:12
Quant open15
Worst price1.34045
Drawdown as % of equity-0.12%
 ($64.80)

Statistics

  • Strategy began
    5/26/2024
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    658.95
  • Age
    22 months ago
  • What it trades
    Forex
  • # Trades
    1134
  • # Profitable
    431
  • % Profitable
    38.00%
  • Avg trade duration
    11.9 hours
  • Max peak-to-valley drawdown
    11.38%
  • drawdown period
    April 28, 2025 - Feb 26, 2026
  • Annual Return (Compounded)
    6.5%
  • Avg win
    $181.49
  • Avg loss
    $96.96
  • Model Account Values (Raw)
  • Cash
    $60,060
  • Margin Used
    $0
  • Buying Power
    $60,060
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    0.85
  • Calmar Ratio
    1.24
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -14.18%
  • Correlation to SP500
    0.02250
  • Return Percent SP500 (cumu) during strategy life
    26.29%
  • Return Statistics
  • Ann Return (w trading costs)
    6.5%
  • Slump
  • Current Slump as Pcnt Equity
    10.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.065%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • 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
    99.93%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    734
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    289
  • Popularity (7 days, Percentile 1000 scale)
    512
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $97
  • Avg Win
    $181
  • Sum Trade PL (losers)
    $68,163.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $78,221.000
  • # Winners
    431
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    703
  • % Winners
    38.0%
  • Frequency
  • Avg Position Time (mins)
    712.00
  • Avg Position Time (hrs)
    11.87
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.82
  • Daily leverage (max)
    8.57
  • Regression
  • Alpha
    0.01
  • Beta
    0.01
  • Treynor Index
    1.32
  • 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)
    -0.88
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    14.500
  • 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
    0.329
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.105
  • Hold-and-Hope Ratio
    0.069
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08309
  • SD
    0.11454
  • Sharpe ratio (Glass type estimate)
    0.72542
  • Sharpe ratio (Hedges UMVUE)
    0.69781
  • df
    20.00000
  • t
    0.95964
  • p
    0.39510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21497
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79948
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19510
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41138
  • Upside Potential Ratio
    3.22471
  • Upside part of mean
    0.18985
  • Downside part of mean
    -0.10676
  • Upside SD
    0.09800
  • Downside SD
    0.05887
  • N nonnegative terms
    12.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.12136
  • Mean of criterion
    0.08309
  • SD of predictor
    0.09122
  • SD of criterion
    0.11454
  • Covariance
    -0.00107
  • r
    -0.10232
  • b (slope, estimate of beta)
    -0.12848
  • a (intercept, estimate of alpha)
    0.09868
  • Mean Square Error
    0.01367
  • DF error
    19.00000
  • t(b)
    -0.44836
  • p(b)
    0.56503
  • t(a)
    1.03915
  • p(a)
    0.35370
  • Lowerbound of 95% confidence interval for beta
    -0.72825
  • Upperbound of 95% confidence interval for beta
    0.47129
  • Lowerbound of 95% confidence interval for alpha
    -0.10008
  • Upperbound of 95% confidence interval for alpha
    0.29745
  • Treynor index (mean / b)
    -0.64672
  • Jensen alpha (a)
    0.09868
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07654
  • SD
    0.11263
  • Sharpe ratio (Glass type estimate)
    0.67958
  • Sharpe ratio (Hedges UMVUE)
    0.65372
  • df
    20.00000
  • t
    0.89900
  • p
    0.40146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14910
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27764
  • Upside Potential Ratio
    3.08501
  • Upside part of mean
    0.18482
  • Downside part of mean
    -0.10828
  • Upside SD
    0.09477
  • Downside SD
    0.05991
  • N nonnegative terms
    12.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.11657
  • Mean of criterion
    0.07654
  • SD of predictor
    0.09072
  • SD of criterion
    0.11263
  • Covariance
    -0.00111
  • r
    -0.10907
  • b (slope, estimate of beta)
    -0.13541
  • a (intercept, estimate of alpha)
    0.09233
  • Mean Square Error
    0.01320
  • DF error
    19.00000
  • t(b)
    -0.47827
  • p(b)
    0.56930
  • t(a)
    0.99390
  • p(a)
    0.35965
  • Lowerbound of 95% confidence interval for beta
    -0.72801
  • Upperbound of 95% confidence interval for beta
    0.45719
  • Lowerbound of 95% confidence interval for alpha
    -0.10210
  • Upperbound of 95% confidence interval for alpha
    0.28676
  • Treynor index (mean / b)
    -0.56526
  • Jensen alpha (a)
    0.09233
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04601
  • Expected Shortfall on VaR
    0.05882
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01874
  • Expected Shortfall on VaR
    0.03610
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.95002
  • Quartile 1
    0.98845
  • Median
    1.00565
  • Quartile 3
    1.01990
  • Maximum
    1.08608
  • Mean of quarter 1
    0.97316
  • Mean of quarter 2
    1.00099
  • Mean of quarter 3
    1.01557
  • Mean of quarter 4
    1.05450
  • Inter Quartile Range
    0.03144
  • 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
    0.09524
  • Mean of outliers high
    1.07855
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.46732
  • VaR(95%) (moments method)
    0.02696
  • Expected Shortfall (moments method)
    0.02800
  • Extreme Value Index (regression method)
    -0.64331
  • VaR(95%) (regression method)
    0.02802
  • Expected Shortfall (regression method)
    0.03128
  • 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)
    0.11460
  • Compounded annual return (geometric extrapolation)
    0.11010
  • Calmar ratio (compounded annual return / max draw down)
    1.27717
  • Compounded annual return / average of 25% largest draw downs
    1.27717
  • Compounded annual return / Expected Shortfall lognormal
    1.87194
  • 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
    0.07833
  • SD
    0.07286
  • Sharpe ratio (Glass type estimate)
    1.07494
  • Sharpe ratio (Hedges UMVUE)
    1.07321
  • df
    464.00000
  • t
    1.43206
  • p
    0.07640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39961
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54603
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68554
  • Upside Potential Ratio
    9.47571
  • Upside part of mean
    0.44033
  • Downside part of mean
    -0.36200
  • Upside SD
    0.05623
  • Downside SD
    0.04647
  • N nonnegative terms
    239.00000
  • N negative terms
    226.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    465.00000
  • Mean of predictor
    0.11722
  • Mean of criterion
    0.07833
  • SD of predictor
    0.16533
  • SD of criterion
    0.07286
  • Covariance
    0.00027
  • r
    0.02271
  • b (slope, estimate of beta)
    0.01001
  • a (intercept, estimate of alpha)
    0.07700
  • Mean Square Error
    0.00532
  • DF error
    463.00000
  • t(b)
    0.48876
  • p(b)
    0.31262
  • t(a)
    1.40810
  • p(a)
    0.07989
  • Lowerbound of 95% confidence interval for beta
    -0.03023
  • Upperbound of 95% confidence interval for beta
    0.05025
  • Lowerbound of 95% confidence interval for alpha
    -0.03052
  • Upperbound of 95% confidence interval for alpha
    0.18482
  • Treynor index (mean / b)
    7.82624
  • Jensen alpha (a)
    0.07715
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07566
  • SD
    0.07275
  • Sharpe ratio (Glass type estimate)
    1.04001
  • Sharpe ratio (Hedges UMVUE)
    1.03833
  • df
    464.00000
  • t
    1.38553
  • p
    0.08328
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51105
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.62151
  • Upside Potential Ratio
    9.40192
  • Upside part of mean
    0.43871
  • Downside part of mean
    -0.36305
  • Upside SD
    0.05591
  • Downside SD
    0.04666
  • N nonnegative terms
    239.00000
  • N negative terms
    226.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    465.00000
  • Mean of predictor
    0.10361
  • Mean of criterion
    0.07566
  • SD of predictor
    0.16476
  • SD of criterion
    0.07275
  • Covariance
    0.00023
  • r
    0.01908
  • b (slope, estimate of beta)
    0.00843
  • a (intercept, estimate of alpha)
    0.07479
  • Mean Square Error
    0.00530
  • DF error
    463.00000
  • t(b)
    0.41069
  • p(b)
    0.34075
  • t(a)
    1.36728
  • p(a)
    0.08610
  • Lowerbound of 95% confidence interval for beta
    -0.03189
  • Upperbound of 95% confidence interval for beta
    0.04874
  • Lowerbound of 95% confidence interval for alpha
    -0.03270
  • Upperbound of 95% confidence interval for alpha
    0.18228
  • Treynor index (mean / b)
    8.97941
  • Jensen alpha (a)
    0.07479
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00708
  • Expected Shortfall on VaR
    0.00894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00312
  • Expected Shortfall on VaR
    0.00618
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    465.00000
  • Minimum
    0.98403
  • Quartile 1
    0.99819
  • Median
    1.00016
  • Quartile 3
    1.00231
  • Maximum
    1.02382
  • Mean of quarter 1
    0.99524
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00114
  • Mean of quarter 4
    1.00581
  • Inter Quartile Range
    0.00412
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.03871
  • Mean of outliers low
    0.98945
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.04086
  • Mean of outliers high
    1.01271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06781
  • VaR(95%) (moments method)
    0.00435
  • Expected Shortfall (moments method)
    0.00613
  • Extreme Value Index (regression method)
    0.02718
  • VaR(95%) (regression method)
    0.00429
  • Expected Shortfall (regression method)
    0.00590
  • 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)
    0.11370
  • Compounded annual return (geometric extrapolation)
    0.10912
  • Calmar ratio (compounded annual return / max draw down)
    1.23980
  • Compounded annual return / average of 25% largest draw downs
    2.53790
  • Compounded annual return / Expected Shortfall lognormal
    12.20520
  • 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
    -0.06008
  • SD
    0.04542
  • Sharpe ratio (Glass type estimate)
    -1.32282
  • Sharpe ratio (Hedges UMVUE)
    -1.31517
  • df
    130.00000
  • t
    -0.93537
  • p
    0.54088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.09675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.09159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46124
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.62620
  • Upside Potential Ratio
    6.05918
  • Upside part of mean
    0.22387
  • Downside part of mean
    -0.28395
  • Upside SD
    0.02638
  • Downside SD
    0.03695
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02992
  • Mean of criterion
    -0.06008
  • SD of predictor
    0.12060
  • SD of criterion
    0.04542
  • Covariance
    -0.00003
  • r
    -0.00621
  • b (slope, estimate of beta)
    -0.00234
  • a (intercept, estimate of alpha)
    -0.06001
  • Mean Square Error
    0.00208
  • DF error
    129.00000
  • t(b)
    -0.07054
  • p(b)
    0.50395
  • t(a)
    -0.93059
  • p(a)
    0.55193
  • Lowerbound of 95% confidence interval for beta
    -0.06795
  • Upperbound of 95% confidence interval for beta
    0.06327
  • Lowerbound of 95% confidence interval for alpha
    -0.18761
  • Upperbound of 95% confidence interval for alpha
    0.06758
  • Treynor index (mean / b)
    25.68590
  • Jensen alpha (a)
    -0.06001
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06111
  • SD
    0.04548
  • Sharpe ratio (Glass type estimate)
    -1.34366
  • Sharpe ratio (Hedges UMVUE)
    -1.33589
  • df
    130.00000
  • t
    -0.95011
  • p
    0.54152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.11774
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.11245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44067
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.64875
  • Upside Potential Ratio
    6.03008
  • Upside part of mean
    0.22350
  • Downside part of mean
    -0.28461
  • Upside SD
    0.02633
  • Downside SD
    0.03706
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02268
  • Mean of criterion
    -0.06111
  • SD of predictor
    0.12084
  • SD of criterion
    0.04548
  • Covariance
    -0.00003
  • r
    -0.00612
  • b (slope, estimate of beta)
    -0.00230
  • a (intercept, estimate of alpha)
    -0.06106
  • Mean Square Error
    0.00208
  • DF error
    129.00000
  • t(b)
    -0.06956
  • p(b)
    0.50390
  • t(a)
    -0.94559
  • p(a)
    0.55276
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    -0.06786
  • Upperbound of 95% confidence interval for beta
    0.06325
  • Lowerbound of 95% confidence interval for alpha
    -0.18881
  • Upperbound of 95% confidence interval for alpha
    0.06670
  • Treynor index (mean / b)
    26.51360
  • Jensen alpha (a)
    -0.06106
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00484
  • Expected Shortfall on VaR
    0.00601
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00253
  • Expected Shortfall on VaR
    0.00500
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99012
  • Quartile 1
    0.99919
  • Median
    1.00003
  • Quartile 3
    1.00167
  • Maximum
    1.00618
  • Mean of quarter 1
    0.99622
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00059
  • Mean of quarter 4
    1.00303
  • Inter Quartile Range
    0.00249
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99327
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.00618
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.43784
  • VaR(95%) (moments method)
    0.00290
  • Expected Shortfall (moments method)
    0.00306
  • Extreme Value Index (regression method)
    -0.22055
  • VaR(95%) (regression method)
    0.00331
  • Expected Shortfall (regression method)
    0.00438
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00025
  • Median
    0.00042
  • Quartile 3
    0.01463
  • Maximum
    0.05694
  • Mean of quarter 1
    0.00003
  • Mean of quarter 2
    0.00032
  • Mean of quarter 3
    0.00052
  • Mean of quarter 4
    0.05694
  • Inter Quartile Range
    0.01438
  • 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
    0.25000
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -381861000
  • Max Equity Drawdown (num days)
    304
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03293
  • Compounded annual return (geometric extrapolation)
    -0.03266
  • Calmar ratio (compounded annual return / max draw down)
    -0.57357
  • Compounded annual return / average of 25% largest draw downs
    -0.57357
  • Compounded annual return / Expected Shortfall lognormal
    -5.43357

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.

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Summary Statistics

Strategy began
2024-05-26
Suggested Minimum Capital
$60,000
# Trades
1134
# Profitable
431
% Profitable
38.0%
Correlation S&P500
0.022
Sharpe Ratio
0.55
Sortino Ratio
0.85
Beta
0.01
Alpha
0.01
Leverage
1.82 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.