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BreakoutFX

Forex · Started May 2011

hypothetical · Annual Return (Compounded)
-31.5%
Max Drawdown
20.8%
Trades
160
Win Trades
42.5%
Profit Factor
0.90
Win Months
1.6%

About this strategy

BreakoutFX is a trend following breakout strategy using a mix of trading methods and ideas from Elder, original Turtles, Elliott Wave and personal experience of trading the currency markets.

Entries: use a similar strategy to the original Turtles method, but has been modified for the intraday Forex market.

Stop-Losses: are also based on a similar method to that of the Turtles and again modified for currencies. Stops are set to risk around 1% of capital per trade.

Profit Targets: the system is designed to use profit targets, and is based on a proprietary trading method.

Trend: is based on ideas and methods from Elder using multi-timeframes and MACD-H along with Elliott Wave theory, for establishing direction and strength.

This strategy has been entirely coded for eSignal Advanced GET. Entries, exits and all updates are generated automatically on the chart, taking the emotion away from selecting a trade and leaving the trader to manually enter and manage the trades.

Because of the strict money management rules all stops and profit targets are updated frequently and if followed strictly produce the best result.

Note: There will be no cost to subscribe to BreakoutFX until there is at least 6-12 months record of returns on C2. The live results on C2 will show the performance and profitability of the system and this free subscription period will allow subscribers plenty of time to test and evaluate the strategy without incurring subscription costs.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20112.35.31.9-20.80.00.00.00.0-13.1
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began5/18/2011
Suggested Minimum Capital$50,000
Age186 months
What it tradesForex
# Trades160
# Profitable68
% Profitable42.5%
Avg trade duration1.5 days
Max peak-to-valley drawdown20.8%
drawdown periodJuly 29, 2011 - Aug 29, 2011
Annual return (compounded)-0.8%
Avg win$505
Avg loss$434

Ratios

W:L ratio0.86
Sharpe Ratio-0.73
Sortino Ratio-0.90
Calmar Ratio-0.22

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life463.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-39.7%

Return Statistics

Ann Return (w trading costs)-31.5%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-0.8%

Slump

Current Slump as Pcnt Equity28.2%
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 loss46.3%
Chance of 20% account loss4.9%
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$434
Avg Win$505
# Winners68
Sum Trade PL (losers)$39,971
Sum Trade PL (winners)$34,334
Num Months Winners3
# Losers92
% Winners42.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table185

Frequency

Avg Position Time (mins)2151.08
Avg Position Time (hrs)35.85
Avg Trade Length1.50
Last Trade Ago5488

Regression

Alpha-0.01
Beta0
Treynor Index12.95

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
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-2.33
MAE:PL (avg, all trades)-1.88
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats61.46
MAE:PL - Winning Trades - this strat Percentile of All Strats41.38
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades0.48
Avg(MAE) / Avg(PL) - Losing trades-1.09
Hold-and-Hope Ratio-0.43

RATIO STATISTICS

a (intercept, estimate of alpha)-0.07
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)31
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 51 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/AUD long30Aug 28, 2011Aug 29, 2011($93)
EUR/USD short50Aug 28, 2011Aug 29, 2011($140)
USD/CHF short50Aug 28, 2011Aug 29, 2011($337)
AUD/USD short50Aug 28, 2011Aug 29, 2011($228)
GBP/AUD long50Aug 28, 2011Aug 29, 2011($97)
GBP/NZD long50Aug 28, 2011Aug 29, 2011($183)
CHF/JPY long50Aug 28, 2011Aug 29, 2011($2)
AUD/CAD short50Aug 26, 2011Aug 29, 2011$10
GBP/JPY long50Aug 26, 2011Aug 29, 2011$3
GBP/CAD long50Aug 26, 2011Aug 29, 2011($247)
EUR/GBP short30Aug 25, 2011Aug 29, 2011($176)
CAD/CHF short50Aug 28, 2011Aug 29, 2011($639)
NZD/CHF short50Aug 28, 2011Aug 29, 2011($639)
AUD/CHF short50Aug 28, 2011Aug 29, 2011($603)
EUR/CHF short30Aug 28, 2011Aug 29, 2011($367)
GBP/CHF short50Aug 28, 2011Aug 29, 2011($625)
EUR/NZD long30Aug 28, 2011Aug 29, 2011($195)
GBP/USD long50Aug 25, 2011Aug 28, 2011$446
NZD/USD short50Aug 26, 2011Aug 28, 2011($533)
GBP/NZD long50Aug 26, 2011Aug 26, 2011($386)
GBP/AUD long50Aug 26, 2011Aug 26, 2011($393)
CHF/JPY long50Aug 26, 2011Aug 26, 2011($3)
GBP/CHF long50Aug 26, 2011Aug 26, 2011$652
CAD/JPY short50Aug 25, 2011Aug 26, 2011$2
EUR/JPY short50Aug 25, 2011Aug 26, 2011$2
GBP/NZD long50Aug 25, 2011Aug 26, 2011($345)
GBP/AUD long50Aug 25, 2011Aug 25, 2011($394)
GBP/USD long50Aug 25, 2011Aug 25, 2011($584)
GBP/CAD long50Aug 25, 2011Aug 25, 2011($387)
EUR/AUD short50Aug 25, 2011Aug 25, 2011$200

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.