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snake eyes

By john_calhoun

Forex · Started May 2009

hypothetical · Annual Return (Compounded)
11.4%
Max Drawdown
69.5%
Trades
524
Win Trades
40.6%
Profit Factor
1.10
Win Months
7.2%

About this strategy

This system works well and should generate around 50% breakeven trades the rest divided between winners and losers. After much backtesting this works well over time. Start small and hang on and I think you'll be pleased.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2009-3.330.7108.37.0-27.3-21.699.619.0281.5
2010-40.9-87.989.2-42.1172.723.5238.833.0-56.5-59.588.4-33.9-73.9
201126.029.1-60.2-1.1268.30.00.00.00.00.00.00.0136.0
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
20140.00.00.00.00.00.00.00.00.20.00.00.00.2
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 began5/29/2009
Suggested Minimum Capital$10,000
Age211 months
What it tradesForex
# Trades524
# Profitable213
% Profitable40.6%
Avg trade duration4.1 hours
Max peak-to-valley drawdown69.5%
drawdown periodJan 10, 2010 - April 14, 2010
Annual Return (Compounded)11.4%
Avg win$2,120
Avg loss$1,301

Ratios

W:L ratio1.12
Sharpe Ratio0.07
Sortino Ratio0.12
Calmar Ratio0.12

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life730.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-24.8%

Return Statistics

Ann Return (w trading costs)11.4%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)10.6%

Slump

Current Slump as Pcnt Equity92.9%
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)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
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$1,301
Avg Win$2,120
# Winners213
Sum Trade PL (losers)$404,617
Sum Trade PL (winners)$451,615
Num Months Winners15
# Losers311
% Winners40.7%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table209

Frequency

Avg Position Time (mins)245.23
Avg Position Time (hrs)4.09
Avg Trade Length0.20
Last Trade Ago5590

Regression

Alpha0
Beta-0.09
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.08
MAE:Equity, 95th Percentile Value for this strat0.02
MAE:Equity, average, losing trades0.09
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.06
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-13.13
MAE:PL (avg, all trades)-1.83
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats79.65
MAE:PL - Winning Trades - this strat Percentile of All Strats44.25
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.36
Avg(MAE) / Avg(PL) - Losing trades-1.08
Hold-and-Hope Ratio-0.08

RATIO STATISTICS

a (intercept, estimate of alpha)0.65
VAR (95 Confidence Intrvl)0.12

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)94
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 900 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/JPY short900May 27, 2011May 27, 2011$0
EUR/JPY short900May 26, 2011May 27, 2011$14
EUR/JPY long900May 25, 2011May 25, 2011$0
EUR/JPY short750May 20, 2011May 23, 2011$96
EUR/JPY long750May 19, 2011May 19, 2011$0
EUR/JPY short800May 18, 2011May 18, 2011($15)
EUR/JPY long80May 17, 2011May 17, 2011$0
EUR/JPY short90May 16, 2011May 16, 2011($2)
EUR/JPY short90May 12, 2011May 16, 2011$3
EUR/JPY long90May 11, 2011May 11, 2011($0)
EUR/JPY long100May 9, 2011May 9, 2011($2)
EUR/JPY short100May 6, 2011May 6, 2011($1)
EUR/JPY short70May 5, 2011May 5, 2011$9
EUR/JPY long80May 4, 2011May 4, 2011($2)
EUR/JPY short90May 3, 2011May 3, 2011($2)
EUR/JPY short90Apr 29, 2011May 2, 2011($0)
EUR/JPY long70Apr 27, 2011Apr 28, 2011$4
EUR/JPY long750Apr 26, 2011Apr 26, 2011$0
EUR/JPY short70Apr 21, 2011Apr 22, 2011$0
EUR/JPY long70Apr 20, 2011Apr 20, 2011$0
EUR/JPY short70Apr 18, 2011Apr 18, 2011$0
EUR/JPY short50Apr 15, 2011Apr 15, 2011($1)
EUR/JPY short50Apr 14, 2011Apr 14, 2011($1)
EUR/JPY short70Apr 13, 2011Apr 13, 2011($2)
EUR/JPY short70Apr 11, 2011Apr 11, 2011$0
EUR/JPY long90Apr 8, 2011Apr 8, 2011($3)
EUR/JPY long90Apr 6, 2011Apr 7, 2011($1)
EUR/JPY short90Apr 5, 2011Apr 5, 2011($3)
EUR/JPY long90Apr 1, 2011Apr 4, 2011$5
EUR/JPY long90Mar 31, 2011Mar 31, 2011($1)

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.