Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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Testing2

By SATKUNARAJAYOHARAJ

Forex · Started Mar 2011

hypothetical · Annual Return (Compounded)
11.0%
Max Drawdown
11.9%
Trades
237
Win Trades
50.6%
Profit Factor
1.20
Win Months
3.7%

About this strategy

This strategy had been discontinued.
A new strategy has been introduced, called "Super Moderate Trader".
Refer the new strategy for more details.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20113.43.61.82.8-0.2-1.6-3.04.5-0.8-6.43.7
2012-0.2-4.43.6-8.31.0-8.0-2.7-9.70.00.00.00.0-26.0
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 began3/7/2011
Suggested Minimum Capital$6,000
Age189 months
What it tradesForex
# Trades237
# Profitable120
% Profitable50.6%
Avg trade duration1.1 days
Max peak-to-valley drawdown11.9%
drawdown periodMarch 22, 2012 - Aug 17, 2012
Annual return (compounded)1.4%
Avg win$64
Avg loss$53

Ratios

W:L ratio1.23
Sharpe Ratio-0.49
Sortino Ratio-0.78
Calmar Ratio0.44

CORRELATION STATISTICS

Correlation to SP500-0.04
Return Percent SP500 (cumu) during strategy life476.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-6.3%

Return Statistics

Ann Return (w trading costs)11.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.4%

Slump

Current Slump as Pcnt Equity51.9%
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 loss5.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
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$53
Avg Win$64
# Winners120
Sum Trade PL (losers)$6,220
Sum Trade PL (winners)$7,649
Num Months Winners7
# Losers117
% Winners50.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table187

Frequency

Avg Position Time (mins)1603.47
Avg Position Time (hrs)26.72
Avg Trade Length1.10
Last Trade Ago5128

Regression

Alpha-0.01
Beta-0.02
Treynor Index0.60

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.01
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-66.17
MAE:PL (avg, all trades)1.25
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats10.10
MAE:PL - Winning Trades - this strat Percentile of All Strats70.08
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.46
Avg(MAE) / Avg(PL) - Losing trades-1.17
Hold-and-Hope Ratio-0.01

RATIO STATISTICS

a (intercept, estimate of alpha)0.04
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)148
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 419 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
USD/CHF long10Aug 30, 2012Aug 31, 2012($79)
USD/JPY long10Aug 29, 2012Aug 31, 2012($0)
USD/CHF short10Aug 28, 2012Aug 30, 2012($63)
EUR/USD long10Aug 28, 2012Aug 30, 2012($51)
GBP/USD short10Aug 27, 2012Aug 28, 2012$18
EUR/USD long10Aug 17, 2012Aug 22, 2012$104
USD/CHF short10Aug 16, 2012Aug 22, 2012$92
USD/CHF long10Aug 15, 2012Aug 16, 2012($84)
EUR/USD short10Aug 15, 2012Aug 16, 2012($58)
USD/CHF short10Aug 13, 2012Aug 15, 2012($44)
EUR/USD long10Aug 14, 2012Aug 15, 2012($47)
EUR/JPY short10Aug 8, 2012Aug 10, 2012$1
USD/JPY long10Aug 7, 2012Aug 8, 2012($0)
USD/JPY long10Aug 2, 2012Aug 3, 2012($0)
EUR/JPY long10Aug 2, 2012Aug 2, 2012($1)
USD/CHF short10Aug 1, 2012Aug 1, 2012($87)
USD/CHF long10Jul 20, 2012Jul 23, 2012$126
GBP/USD long10Jul 19, 2012Jul 20, 2012$38
EUR/USD long10Jul 19, 2012Jul 20, 2012($28)
EUR/JPY long20Jul 18, 2012Jul 18, 2012($1)
USD/CHF long10Jul 16, 2012Jul 16, 2012($86)
USD/CHF short10Jul 16, 2012Jul 16, 2012($56)
GBP/USD short10Jul 12, 2012Jul 12, 2012$112
GBP/USD short10Jul 4, 2012Jul 6, 2012$127
USD/CHF short10Jul 3, 2012Jul 4, 2012($26)
EUR/JPY long10Jul 3, 2012Jul 4, 2012($0)
USD/JPY long10Jul 3, 2012Jul 3, 2012($0)
USD/CHF long10Jun 28, 2012Jun 28, 2012($97)
EUR/USD short10Jun 28, 2012Jun 28, 2012($101)
GBP/USD short10Jun 27, 2012Jun 28, 2012$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.