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C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Forex Paycheck

By RockyChen

Futures, Forex · Started Feb 2006

hypothetical · Annual Return (Compounded)
4.0%
Max Drawdown
37.7%
Trades
93
Win Trades
59.1%
Profit Factor
1.20
Win Months
2.0%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20065.76.931.5-2.2-16.7-6.45.60.00.00.00.019.8
20070.00.00.00.00.10.00.00.00.00.00.00.00.1
20080.00.00.00.00.00.00.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.00.00.00.00.0
20100.00.00.00.00.0-0.00.0-0.00.00.00.00.0-0.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began2/9/2006
Suggested Minimum Capital$100,000
Age251 months
What it tradesFutures, Forex
# Trades93
# Profitable55
% Profitable59.1%
Avg trade duration1.6 days
Max peak-to-valley drawdown37.7%
drawdown periodJune 21, 2006 - July 17, 2006
Annual return (compounded)1.4%
Avg win$4,435
Avg loss$5,550

Ratios

W:L ratio1.16
Sharpe Ratio-0.04
Sortino Ratio-0.06
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life503.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-1.3%

Return Statistics

Ann Return (w trading costs)4.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.4%

Slump

Current Slump as Pcnt Equity40.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.5%
Percent Trades Futures0.5%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$5,550
Avg Win$4,435
# Winners55
Sum Trade PL (losers)$210,885
Sum Trade PL (winners)$243,937
Num Months Winners8
# Losers38
% Winners59.1%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table248

Frequency

Avg Position Time (mins)2237.82
Avg Position Time (hrs)37.30
Avg Trade Length1.60
Last Trade Ago7341

Regression

Alpha0
Beta0.02
Treynor Index-0.07

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.04
MAE:Equity, average, losing trades0.05
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades9.62
MAE:PL (avg, all trades)0.40
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats30.91
MAE:PL - Winning Trades - this strat Percentile of All Strats53.44
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.58
Avg(MAE) / Avg(PL) - Losing trades-1.11
Hold-and-Hope Ratio0.10

RATIO STATISTICS

a (intercept, estimate of alpha)-0.01
VAR (95 Confidence Intrvl)0.03

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)26
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
EU U6short5Aug 4, 2006Aug 10, 2006$6,335
EU U6long13Jul 18, 2006Jul 19, 2006$15,496
EU U6short7Jul 17, 2006Jul 18, 2006$1,782
EU U6long3Jul 13, 2006Jul 17, 2006($6,774)
EU U6long10Jul 13, 2006Jul 17, 2006($14,705)
EU U6short10Jul 7, 2006Jul 13, 2006$14,233
EU U6long10Jul 7, 2006Jul 7, 2006($4,955)
EU U6short10Jul 5, 2006Jul 7, 2006($17,205)
EU U6long10Jul 5, 2006Jul 5, 2006($10,830)
EU U6short10Jul 5, 2006Jul 5, 2006$1,920
EU U6long10Jul 4, 2006Jul 5, 2006$2,045
EU U6short10Jul 4, 2006Jul 4, 2006$1,295
EU U6long10Jun 30, 2006Jul 4, 2006$1,295
EU U6short10Jun 30, 2006Jun 30, 2006($10,580)
EU U6long10Jun 26, 2006Jun 30, 2006$12,545
EU U6short10Jun 23, 2006Jun 26, 2006($11,580)
EU U6long10Jun 22, 2006Jun 23, 2006($10,955)
EU U6short10Jun 22, 2006Jun 22, 2006($330)
EU M6short10Jun 22, 2006Jun 22, 2006($80)
EU U6long10Jun 19, 2006Jun 22, 2006$2,170
EU U6short20Jun 19, 2006Jun 19, 2006$4,715
EU M6long10Jun 19, 2006Jun 19, 2006($3,330)
EU M6short10Jun 14, 2006Jun 18, 2006$795
EU M6long10Jun 12, 2006Jun 14, 2006$2,045
EUR/USD long1000Jun 13, 2006Jun 13, 2006($4,700)
EUR/USD long400Jun 9, 2006Jun 12, 2006($640)
EU M6short10Jun 8, 2006Jun 12, 2006$10,420
EU M6long10Jun 7, 2006Jun 8, 2006($15,205)
EUR/USD short400Jun 8, 2006Jun 8, 2006$1,240
EUR/USD short400Jun 8, 2006Jun 8, 2006$1,280

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.