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

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PCM-Forex

By ChiragParikh

Forex · Started May 2011

hypothetical · Annual Return (Compounded)
-0.6%
Max Drawdown
25.0%
Trades
245
Win Trades
67.3%
Profit Factor
1
Win Months
2.7%

About this strategy

Name: Parikh Capital Management

Description: PCM-Forex utilizes a near full discretionary trading approach with minimal inclusion of trading indicators. Several trade management techniques are employed to ensure as much risk aversion as possible. The Euro/USD currency pair is the only one traded with PCM-Forex. A maximum risk amount of 2% per trade will be utilized, however, this will almost never be hit. Recognition of market trends is paramount in trading success and is an integral part of the PCM-Forex strategy. The primary objective here is to ensure both long term and sustainable profitability. Finally, trading is not limited to either session and may change depending on market conditions.

About me: I studied finance,Spanish, entrepreneurship at Case Western University. Though my area of study focused on fundamental analysis, I've learned over the course of my five year trading career to implement a myriad of strategies including: market timing, Elliott Wave Theory, Market Profile, technical analysis as well as many others. I also have experience with countless instruments, but it has been with the forex markets that I've found success. It is my true contention that the secret to trading success lies within pure and simple price action. Trading should be a humbling experience and one that teaches a single lesson above all: some of the best things in life come from being patient, persistent and lots and lots of hard work. If you have any questions whatsoever, please don't hesitate to contact me.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20113.50.06.05.72.8-12.52.8-0.27.2
2012-6.1-0.8-4.5-0.8-4.20.00.00.00.00.00.00.0-15.5
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
20190.00.00.00.00.00.00.00.00.00.00.0
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 began5/6/2011
Suggested Minimum Capital$20,000
Age187 months
What it tradesForex
# Trades245
# Profitable165
% Profitable67.3%
Avg trade duration13.7 hours
Max peak-to-valley drawdown25.0%
drawdown periodOct 04, 2011 - May 09, 2012
Annual Return (Compounded)-0.6%
Avg win$85
Avg loss$169

Ratios

W:L ratio1.04
Sharpe Ratio-0.62
Sortino Ratio-0.86
Calmar Ratio0.03

CORRELATION STATISTICS

Correlation to SP5000.00
Return Percent SP500 (cumu) during strategy life463.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-485.4%

Return Statistics

Ann Return (w trading costs)-0.6%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.2%

Slump

Current Slump as Pcnt Equity31.8%
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 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%

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$169
Avg Win$85
# Winners165
Sum Trade PL (losers)$13,551
Sum Trade PL (winners)$14,068
Num Months Winners6
# Losers80
% Winners67.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table185

Frequency

Avg Position Time (mins)822.60
Avg Position Time (hrs)13.71
Avg Trade Length0.60
Last Trade Ago5236

Regression

Alpha-0.01
Beta0
Treynor Index-8.75

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
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-6.16
MAE:PL (avg, all trades)3.97
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats11.95
MAE:PL - Winning Trades - this strat Percentile of All Strats92.66
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.03
Avg(MAE) / Avg(PL) - Losing trades-1.04
Hold-and-Hope Ratio-0.16

RATIO STATISTICS

Mean-0.02
SD0.07
Sharpe ratio (Glass type estimate)-0.27
Sharpe ratio (Hedges UMVUE)-0.27
df55
t-0.59
p0.72
Lowerbound of 95% confidence interval for Sharpe Ratio-1.18
Upperbound of 95% confidence interval for Sharpe Ratio0.64
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.18
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.64
Sortino ratio-0.37
Upside Potential Ratio0.92
Upside part of mean0.05
Downside part of mean-0.07
Upside SD0.05
Downside SD0.05
N nonnegative terms8
N negative terms48
N of observations56
Mean of predictor0.34
Mean of criterion-0.02
SD of predictor0.24
SD of criterion0.07
Covariance-0.01
r-0.29
b (slope, estimate of beta)-0.09
a (intercept, estimate of alpha)0.01
Mean Square Error0.01
DF error54
t(b)-2.24
p(b)0.99
t(a)0.28
p(a)0.39
Lowerbound of 95% confidence interval for beta-0.17
Upperbound of 95% confidence interval for beta-0.01
Lowerbound of 95% confidence interval for alpha-0.06
Upperbound of 95% confidence interval for alpha0.08
Treynor index (mean / b)0.22
Jensen alpha (a)0.01
Mean-0.02
SD0.07
Sharpe ratio (Glass type estimate)-0.31
Sharpe ratio (Hedges UMVUE)-0.30
df55
t-0.67
p0.75
Lowerbound of 95% confidence interval for Sharpe Ratio-1.22
Upperbound of 95% confidence interval for Sharpe Ratio0.60
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.21
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60
Sortino ratio-0.41
Upside Potential Ratio0.86
Upside part of mean0.05
Downside part of mean-0.07
Upside SD0.05
Downside SD0.06
N nonnegative terms8
N negative terms48
N of observations56
Mean of predictor0.31
Mean of criterion-0.02
SD of predictor0.23
SD of criterion0.07
Covariance-0.01
r-0.30
b (slope, estimate of beta)-0.10
a (intercept, estimate of alpha)0.01
Mean Square Error0.01
DF error54
t(b)-2.34
p(b)0.99
t(a)0.18
p(a)0.43
Lowerbound of 95% confidence interval for beta-0.18
Upperbound of 95% confidence interval for beta-0.01
Lowerbound of 95% confidence interval for alpha-0.06
Upperbound of 95% confidence interval for alpha0.08
Treynor index (mean / b)0.24
Jensen alpha (a)0.01
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.02
Expected Shortfall on VaR0.04
Mean-0.02
SD0.06
Sharpe ratio (Glass type estimate)-0.36
Sharpe ratio (Hedges UMVUE)-0.36
df1243
t-0.79
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-1.26
Upperbound of 95% confidence interval for Sharpe Ratio0.54
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.26
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.54
Sortino ratio-0.51
Upside Potential Ratio3.51
Upside part of mean0.15
Downside part of mean-0.17
Upside SD0.04
Downside SD0.04
N nonnegative terms129
N negative terms1115
N of observations1244
Mean of predictor0.39
Mean of criterion-0.02
SD of predictor0.30
SD of criterion0.06
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)-0.02
Mean Square Error0.00
DF error1242
t(b)-0.48
p(b)0.51
t(a)-0.74
p(a)0.51
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.01
Lowerbound of 95% confidence interval for alpha-0.07
Upperbound of 95% confidence interval for alpha0.03
Treynor index (mean / b)7.98
Jensen alpha (a)-0.02
Mean-0.02
SD0.06
Sharpe ratio (Glass type estimate)-0.39
Sharpe ratio (Hedges UMVUE)-0.39
df1243
t-0.85
p0.52
Lowerbound of 95% confidence interval for Sharpe Ratio-1.29
Upperbound of 95% confidence interval for Sharpe Ratio0.51
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.29
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.51
Sortino ratio-0.55
Upside Potential Ratio3.45
Upside part of mean0.15
Downside part of mean-0.17
Upside SD0.04
Downside SD0.04
N nonnegative terms129
N negative terms1115
N of observations1244
Mean of predictor0.34
Mean of criterion-0.02
SD of predictor0.31
SD of criterion0.06
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)-0.02
Mean Square Error0.00
DF error1242
t(b)-0.47
p(b)0.51
t(a)-0.82
p(a)0.51
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.01
Lowerbound of 95% confidence interval for alpha-0.08
Upperbound of 95% confidence interval for alpha0.03
Treynor index (mean / b)9.18
Jensen alpha (a)-0.02
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
Mean-0.03
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 ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.23
Mean of criterion-0.03
SD of predictor0.47
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
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)-9.74841826823373e+15
Sharpe ratio (Hedges UMVUE)-9.69206937105203e+15
df130
t-6893172865105920
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08701574255084e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-8513981316595712
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.12
Mean of criterion-0.03
SD of predictor0.47
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.03
Mean Square Error0
DF error129
t(b)0
p(b)0.50
t(a)-6793901675380736
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.01
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)1.00490556401515e+32
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations56
Minimum0.91
Quartile 11
Median1
Quartile 31
Maximum1.08
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.02
Inter Quartile Range0
Number outliers low5
Percentage of outliers low0.09
Mean of outliers low0.96
Number of outliers high8
Percentage of outliers high0.14
Mean of outliers high1.03
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.57
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.05
Number of observations1244
Minimum0.96
Quartile 11
Median1
Quartile 31
Maximum1.05
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low121
Percentage of outliers low0.10
Mean of outliers low0.99
Number of outliers high131
Percentage of outliers high0.11
Mean of outliers high1.01
Extreme Value Index (moments method)0.05
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.12
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.01
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 observations1
Minimum0.17
Quartile 10.17
Median0.17
Quartile 30.17
Maximum0.17
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
Number of observations11
Minimum0.01
Quartile 10.01
Median0.02
Quartile 30.02
Maximum0.18
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.02
Mean of quarter 40.08
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.09
Mean of outliers high0.18
Extreme Value Index (moments method)0.72
VaR(95%) (moments method)0.08
Expected Shortfall (moments method)0.34
Extreme Value Index (regression method)3.04
VaR(95%) (regression method)0.25
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?-419720832
Max Equity Drawdown (num days)218
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.00
Compounded annual return (geometric extrapolation)0.00
Calmar ratio (compounded annual return / max draw down)0.03
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0.11
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.00
Compounded annual return (geometric extrapolation)0.00
Calmar ratio (compounded annual return / max draw down)0.03
Compounded annual return / average of 25% largest draw downs0.06
Compounded annual return / Expected Shortfall lognormal0.62
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 514 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/USD short50May 8, 2012May 9, 2012$130
EUR/USD short50May 6, 2012May 7, 2012($350)
EUR/USD long50Apr 29, 2012May 2, 2012($480)
EUR/USD short50Apr 24, 2012Apr 27, 2012$60
EUR/USD long50Apr 23, 2012Apr 24, 2012$86
EUR/USD short30Apr 19, 2012Apr 23, 2012$36
EUR/USD long30Apr 19, 2012Apr 19, 2012$74
EUR/USD short50Apr 18, 2012Apr 19, 2012$60
EUR/USD short50Apr 17, 2012Apr 17, 2012$5
EUR/USD long20Apr 15, 2012Apr 16, 2012($134)
EUR/USD long50Apr 12, 2012Apr 12, 2012($125)
EUR/USD long50Apr 10, 2012Apr 11, 2012$251
EUR/USD short50Apr 8, 2012Apr 9, 2012($247)
EUR/USD long50Apr 3, 2012Apr 3, 2012($88)
EUR/USD short50Mar 22, 2012Mar 26, 2012($722)
EUR/USD short50Mar 21, 2012Mar 22, 2012($240)
EUR/USD long50Mar 20, 2012Mar 20, 2012$76
EUR/USD long50Mar 19, 2012Mar 20, 2012($184)
EUR/USD long50Mar 19, 2012Mar 19, 2012$201
EUR/USD long50Mar 15, 2012Mar 16, 2012($171)
EUR/USD long50Mar 14, 2012Mar 14, 2012$50
EUR/USD short30Mar 11, 2012Mar 13, 2012$69
EUR/USD short30Mar 9, 2012Mar 9, 2012$45
EUR/USD long50Mar 9, 2012Mar 9, 2012($108)
EUR/USD long30Mar 8, 2012Mar 8, 2012$88
EUR/USD short30Mar 5, 2012Mar 6, 2012$153
EUR/USD short30Mar 1, 2012Mar 2, 2012$63
EUR/USD long30Feb 28, 2012Feb 28, 2012$65
EUR/USD long30Feb 27, 2012Feb 28, 2012$156
EUR/USD short30Feb 16, 2012Feb 24, 2012($1,101)

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.