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C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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FOX II_C

By MohamedGabr3

Forex · Started Sep 2010

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
353
Win Trades
52.4%
Profit Factor
0.60
Win Months
2.6%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2010-1.1-0.14.6-42.4-40.5
201181.416.912.61.3-103.6-157.5-569.9-28.6-515.60.00.00.0-288.8
20120.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.0-0.7-0.0-0.0-0.1-0.0-0.2-0.0
2015-0.0-0.00.00.0-0.1-1.10.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began9/20/2010
Suggested Minimum Capital$12,122
Age194 months
What it tradesForex
# Trades353
# Profitable185
% Profitable52.4%
Avg trade duration12.3 hours
Max peak-to-valley drawdown100.0%
drawdown periodAug 30, 2011 - Aug 31, 2011
Annual Return (Compounded)0.0%
Avg win$196
Avg loss$335

Ratios

W:L ratio0.64
Sharpe Ratio-1.18
Sortino Ratio-1.19
Calmar Ratio-0.91

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life560.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-776.8%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.0%

Slump

Current Slump as Pcnt Equity—
Current Slump, time of slump as pcnt of strategy life1.0%

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)100.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$335
Avg Win$196
# Winners185
Sum Trade PL (losers)$56,283
Sum Trade PL (winners)$36,172
Num Months Winners5
# Losers168
% Winners52.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table9

Frequency

Avg Position Time (mins)739.25
Avg Position Time (hrs)12.32
Avg Trade Length0.50
Last Trade Ago5478

Regression

Alpha0
Beta-5815.52
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.05
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-2.25
MAE:PL (avg, all trades)-1.23
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats46.85
MAE:PL - Winning Trades - this strat Percentile of All Strats8.09
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.52
Avg(MAE) / Avg(PL) - Losing trades-1.03
Hold-and-Hope Ratio-0.45

RATIO STATISTICS

Mean0.04
SD0.90
Sharpe ratio (Glass type estimate)0.04
Sharpe ratio (Hedges UMVUE)0.04
df46
t0.08
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio-0.95
Upperbound of 95% confidence interval for Sharpe Ratio1.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.95
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.03
Sortino ratio0.05
Upside Potential Ratio0.85
Upside part of mean0.60
Downside part of mean-0.56
Upside SD0.55
Downside SD0.70
N nonnegative terms44
N negative terms3
N of observations47
Mean of predictor0.55
Mean of criterion0.04
SD of predictor0.39
SD of criterion0.90
Covariance-0.02
r-0.05
b (slope, estimate of beta)-0.11
a (intercept, estimate of alpha)0.10
Mean Square Error0.83
DF error45
t(b)-0.33
p(b)0.63
t(a)0.20
p(a)0.42
Lowerbound of 95% confidence interval for beta-0.81
Upperbound of 95% confidence interval for beta0.59
Lowerbound of 95% confidence interval for alpha-0.90
Upperbound of 95% confidence interval for alpha1.10
Treynor index (mean / b)-0.33
Jensen alpha (a)0.10
Mean-2.40
SD4.47
Sharpe ratio (Glass type estimate)-0.54
Sharpe ratio (Hedges UMVUE)-0.53
df46
t-1.06
p0.85
Lowerbound of 95% confidence interval for Sharpe Ratio-1.53
Upperbound of 95% confidence interval for Sharpe Ratio0.46
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.52
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.47
Sortino ratio-0.54
Upside Potential Ratio0.11
Upside part of mean0.49
Downside part of mean-2.89
Upside SD0.43
Downside SD4.45
N nonnegative terms44
N negative terms3
N of observations47
Mean of predictor0.48
Mean of criterion-2.40
SD of predictor0.33
SD of criterion4.47
Covariance-0.05
r-0.03
b (slope, estimate of beta)-0.42
a (intercept, estimate of alpha)-2.20
Mean Square Error20.39
DF error45
t(b)-0.21
p(b)0.58
t(a)-0.89
p(a)0.81
Lowerbound of 95% confidence interval for beta-4.46
Upperbound of 95% confidence interval for beta3.61
Lowerbound of 95% confidence interval for alpha-7.19
Upperbound of 95% confidence interval for alpha2.79
Treynor index (mean / b)5.70
Jensen alpha (a)-2.20
VaR(95%)0.90
Expected Shortfall on VaR0.94
VaR(95%)0.01
Expected Shortfall on VaR0.06
Mean1409.33
SD1994.52
Sharpe ratio (Glass type estimate)0.71
Sharpe ratio (Hedges UMVUE)0.71
df1031
t1.40
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio-0.28
Upperbound of 95% confidence interval for Sharpe Ratio1.69
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.28
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.69
Sortino ratio801.84
Upside Potential Ratio804.79
Upside part of mean1414.51
Downside part of mean-5.18
Upside SD1995.46
Downside SD1.76
N nonnegative terms931
N negative terms101
N of observations1032
Mean of predictor0.54
Mean of criterion1409.33
SD of predictor0.33
SD of criterion1994.52
Covariance26.93
r0.04
b (slope, estimate of beta)248.37
a (intercept, estimate of alpha)1276.25
Mean Square Error3975292.50
DF error1030
t(b)1.32
p(b)0.48
t(a)1.26
p(a)0.48
Lowerbound of 95% confidence interval for beta-121.69
Upperbound of 95% confidence interval for beta618.43
Lowerbound of 95% confidence interval for alpha-705.00
Upperbound of 95% confidence interval for alpha3257.50
Treynor index (mean / b)5.67
Jensen alpha (a)1276.25
Mean-2.39
SD11.60
Sharpe ratio (Glass type estimate)-0.21
Sharpe ratio (Hedges UMVUE)-0.21
df1031
t-0.41
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-1.19
Upperbound of 95% confidence interval for Sharpe Ratio0.78
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.19
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.78
Sortino ratio-0.27
Upside Potential Ratio1.52
Upside part of mean13.36
Downside part of mean-15.75
Upside SD7.55
Downside SD8.80
N nonnegative terms931
N negative terms101
N of observations1032
Mean of predictor0.48
Mean of criterion-2.39
SD of predictor0.33
SD of criterion11.60
Covariance0.23
r0.06
b (slope, estimate of beta)2.10
a (intercept, estimate of alpha)-3.40
Mean Square Error134.21
DF error1030
t(b)1.93
p(b)0.47
t(a)-0.58
p(a)0.51
Lowerbound of 95% confidence interval for beta-0.04
Upperbound of 95% confidence interval for beta4.23
Lowerbound of 95% confidence interval for alpha-14.90
Upperbound of 95% confidence interval for alpha8.10
Treynor index (mean / b)-1.14
Jensen alpha (a)-3.40
VaR(95%)0.70
Expected Shortfall on VaR0.77
VaR(95%)0.01
Expected Shortfall on VaR0.04
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.33
Mean of criterion0
SD of predictor0.42
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.24
Mean of criterion0
SD of predictor0.42
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.69
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations47
Minimum0.00
Quartile 11
Median1
Quartile 31
Maximum1.78
Mean of quarter 10.82
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.20
Inter Quartile Range0
Number outliers low3
Percentage of outliers low0.06
Mean of outliers low0.26
Number of outliers high9
Percentage of outliers high0.19
Mean of outliers high1.26
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-2.39
VaR(95%) (regression method)0.85
Expected Shortfall (regression method)1.10
Number of observations1032
Minimum0.00
Quartile 11
Median1
Quartile 31
Maximum3843.50
Mean of quarter 10.92
Mean of quarter 21
Mean of quarter 31
Mean of quarter 422.60
Inter Quartile Range0
Number outliers low101
Percentage of outliers low0.10
Mean of outliers low0.80
Number of outliers high127
Percentage of outliers high0.12
Mean of outliers high44.87
Extreme Value Index (moments method)-0.12
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.16
VaR(95%) (regression method)0.05
Expected Shortfall (regression method)0.12
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations2
Minimum0.28
Quartile 10.46
Median0.64
Quartile 30.82
Maximum1.00
Mean of quarter 10.28
Mean of quarter 20
Mean of quarter 30
Mean of quarter 41.00
Inter Quartile Range0.36
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations24
Minimum0.01
Quartile 10.03
Median0.06
Quartile 30.13
Maximum1.00
Mean of quarter 10.02
Mean of quarter 20.05
Mean of quarter 30.09
Mean of quarter 40.35
Inter Quartile Range0.10
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.08
Mean of outliers high0.69
Extreme Value Index (moments method)0.70
VaR(95%) (moments method)0.40
Expected Shortfall (moments method)1.33
Extreme Value Index (regression method)2.26
VaR(95%) (regression method)0.39
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-419899680
Max Equity Drawdown (num days)1
Last 4 Months - Pcnt Negative0.2%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.26
Compounded annual return (geometric extrapolation)-0.91
Calmar ratio (compounded annual return / max draw down)-0.91
Compounded annual return / average of 25% largest draw downs-0.91
Compounded annual return / Expected Shortfall lognormal-0.97
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.25
Compounded annual return (geometric extrapolation)-0.91
Calmar ratio (compounded annual return / max draw down)-0.91
Compounded annual return / average of 25% largest draw downs-2.61
Compounded annual return / Expected Shortfall lognormal-1.18
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 17 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/USD long300May 4, 2011Sep 11, 2011($27,371)
EUR/USD long300May 3, 2011May 4, 2011$372
EUR/USD long300May 3, 2011May 3, 2011($288)
GBP/USD short300May 3, 2011May 3, 2011($408)
EUR/USD long300May 3, 2011May 3, 2011($1,161)
EUR/JPY short300May 2, 2011May 2, 2011($0)
EUR/USD long300May 2, 2011May 2, 2011($651)
EUR/USD long300May 2, 2011May 2, 2011$867
GBP/JPY long300May 1, 2011May 2, 2011($4)
GBP/USD long300Apr 29, 2011Apr 29, 2011$129
GBP/USD long300Apr 29, 2011Apr 29, 2011($744)
GBP/USD long300Apr 28, 2011Apr 28, 2011$204
EUR/USD long300Apr 27, 2011Apr 27, 2011$1,137
EUR/JPY long300Apr 27, 2011Apr 27, 2011$1
EUR/USD long200Apr 26, 2011Apr 27, 2011($790)
EUR/USD long200Apr 26, 2011Apr 26, 2011$280
GBP/CHF short200Apr 26, 2011Apr 26, 2011($620)
GBP/CHF short150Apr 26, 2011Apr 26, 2011($587)
USD/CHF short200Apr 21, 2011Apr 21, 2011$712
USD/CHF short70Apr 13, 2011Apr 13, 2011$182
GBP/JPY long150Apr 8, 2011Apr 8, 2011$3
GBP/CHF short100Apr 4, 2011Apr 4, 2011$211
EUR/JPY long150Mar 29, 2011Mar 29, 2011$4
EUR/JPY long200Mar 24, 2011Mar 24, 2011$2
GBP/USD long100Mar 23, 2011Mar 23, 2011($148)
GBP/JPY long70Mar 20, 2011Mar 21, 2011$1
GBP/CHF short200Mar 14, 2011Mar 15, 2011$2,481
EUR/USD long200Mar 14, 2011Mar 14, 2011$574
EUR/USD long200Mar 14, 2011Mar 14, 2011($50)
EUR/USD long200Mar 14, 2011Mar 14, 2011$166

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.