Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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positive forex

By mikhail_nasonov

Forex · Started May 2006

hypothetical · Annual Return (Compounded)
-14.8%
Max Drawdown
97.8%
Trades
155
Win Trades
85.8%
Profit Factor
0.90
Win Months
6.9%

About this strategy

total pips since start 4,334

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200686.221.7-1.4-2.25.813.7-4.79.5174.1
20074.215.57.64.15.110.60.2-68.368.7-37.4-64.6-3.5-82.1
2008-4.7-53.4-96.11267.455.40.00.00.00.00.00.00.0-62.7
20090.00.00.00.00.00.00.00.00.0-0.30.00.0-0.3
20100.00.00.00.00.00.3-0.30.30.00.00.00.00.3
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 began5/12/2006
Suggested Minimum Capital$100,000
Age248 months
What it tradesForex
# Trades155
# Profitable133
% Profitable85.8%
Avg trade duration9.1 days
Max peak-to-valley drawdown97.8%
drawdown periodJuly 23, 2007 - April 14, 2008
Annual return (compounded)-5.9%
Avg win$4,770
Avg loss$32,059

Ratios

W:L ratio0.90
Sharpe Ratio0.25
Sortino Ratio0.89
Calmar Ratio-0.26

CORRELATION STATISTICS

Correlation to SP5000.12
Return Percent SP500 (cumu) during strategy life491.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-101.7%

Return Statistics

Ann Return (w trading costs)-14.8%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-5.9%

Slump

Current Slump as Pcnt Equity2498.1%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex1.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)0.0%

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$32,059
Avg Win$4,770
# Winners133
Sum Trade PL (losers)$705,290
Sum Trade PL (winners)$634,354
Num Months Winners18
# Losers22
% Winners85.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table245

Frequency

Avg Position Time (mins)13153.83
Avg Position Time (hrs)219.23
Avg Trade Length9.10
Last Trade Ago6703

Regression

Alpha0
Beta1.31
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.09
MAE:Equity, 95th Percentile Value for this strat0.50
MAE:Equity, average, losing trades0.52
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 trades-18.42
MAE:PL (avg, all trades)3.91
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats72.73
MAE:PL - Winning Trades - this strat Percentile of All Strats94.12
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.70
Avg(MAE) / Avg(PL) - Losing trades-1.22
Hold-and-Hope Ratio-0.05

RATIO STATISTICS

a (intercept, estimate of alpha)3.69
VAR (95 Confidence Intrvl)0.24

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)266
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 225 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
AUD/JPY long100Apr 8, 2008May 7, 2008$18
EUR/AUD short200Mar 6, 2008May 7, 2008$5,422
EUR/USD short100Mar 6, 2008May 7, 2008($732)
GBP/USD short100Mar 6, 2008Mar 26, 2008$373
AUD/JPY long100Mar 6, 2008Mar 16, 2008($16)
GBP/USD short400Feb 18, 2008Mar 6, 2008($19,721)
EUR/USD short100Feb 26, 2008Mar 6, 2008($3,959)
EUR/USD short700Feb 13, 2008Feb 26, 2008($21,008)
EUR/GBP short200Jan 21, 2008Feb 21, 2008($1,600)
GBP/USD short100Feb 17, 2008Feb 18, 2008$866
AUD/USD long100Feb 15, 2008Feb 17, 2008$351
AUD/JPY long100Feb 15, 2008Feb 17, 2008$3
EUR/AUD short200Feb 12, 2008Feb 17, 2008$442
AUD/JPY long200Feb 12, 2008Feb 15, 2008$6
AUD/USD long200Feb 12, 2008Feb 15, 2008$1,365
AUD/USD long100Feb 6, 2008Feb 7, 2008($180)
EUR/USD short100Feb 6, 2008Feb 7, 2008$1,650
EUR/USD short200Jan 21, 2008Feb 5, 2008$144
AUD/USD long200Jan 25, 2008Feb 4, 2008$5,190
EUR/AUD short500Nov 21, 2007Jan 25, 2008$13,796
GBP/CHF long100Jan 21, 2008Jan 25, 2008$1,773
EUR/AUD short1000Nov 13, 2007Nov 21, 2007($38,572)
USD/CAD long3000Sep 27, 2007Nov 6, 2007($107,796)
AUD/USD long1500Sep 27, 2007Oct 5, 2007$28,350
EUR/AUD short1200Aug 20, 2007Sep 19, 2007$19,099
AUD/USD long900Aug 20, 2007Sep 19, 2007$35,190
AUD/JPY long900Aug 20, 2007Sep 19, 2007$185
EUR/AUD short700Aug 3, 2007Aug 20, 2007($43,687)
AUD/JPY long700Aug 3, 2007Aug 20, 2007($443)
USD/CAD long1400Jul 23, 2007Aug 1, 2007$8,401

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.