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

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Ichimoku-Can

By UweJaufmann

Forex · Started Aug 2011

hypothetical · Annual Return (Compounded)
-268.9%
Max Drawdown
91.0%
Trades
734
Win Trades
54.5%
Profit Factor
1
Win Months
1.6%

About this strategy

I trade for 7 years after the indicator Ichimoku Kinko Hyo ( every market ). I run this in the 60 minutes chart. Entry is always a small stop. The time frame moves from 1 hour to several days. The stop is always consistently tightened until the position is being stopped. My maxim = small losses, let profits run!

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20112.4-0.6209.743.7-91.3-60.6
2012-94.4-2043.20.00.00.00.00.00.00.00.00.00.0-209.5
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.0
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began8/23/2011
Suggested Minimum Capital$5,000
Age183 months
What it tradesForex
# Trades734
# Profitable400
% Profitable54.5%
Avg trade duration18.1 hours
Max peak-to-valley drawdown91.0%
drawdown periodDec 02, 2011 - Feb 10, 2012
Annual return (compounded)-4.7%
Avg win$213
Avg loss$263

Ratios

W:L ratio0.97
Sharpe Ratio-1.35
Sortino Ratio-1.39
Calmar Ratio-0.23

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life549.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-96.5%

Return Statistics

Ann Return (w trading costs)-268.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-4.7%

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 loss87.8%
Chance of 20% account loss71.4%
Chance of 30% account loss53.5%
Chance of 40% account loss29.6%
Chance of 50% account loss20.0%
Chance of 60% account loss (Monte Carlo)10.9%
Chance of 70% account loss (Monte Carlo)2.2%
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$263
Avg Win$213
# Winners400
Sum Trade PL (losers)$87,957
Sum Trade PL (winners)$85,392
Num Months Winners3
# Losers334
% Winners54.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table7

Frequency

Avg Position Time (mins)1085.50
Avg Position Time (hrs)18.09
Avg Trade Length0.80
Last Trade Ago5330

Regression

Alpha0
Beta-4982.82
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.05
MAE:Equity, 95th Percentile Value for this strat0.05
MAE:Equity, average, losing trades0.06
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-4.08
MAE:PL (avg, all trades)-0.42
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats63.07
MAE:PL - Winning Trades - this strat Percentile of All Strats67.01
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.83
Avg(MAE) / Avg(PL) - Losing trades-1.19
Hold-and-Hope Ratio-0.24

RATIO STATISTICS

a (intercept, estimate of alpha)0.14
VAR (95 Confidence Intrvl)0.09

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)70
Last 4 Months - Pcnt Negative0.8%

Trading record

Placed 491 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/AUD long50Feb 10, 2012Feb 10, 2012($6)
EUR/AUD short50Feb 6, 2012Feb 10, 2012($644)
EUR/NZD short40Feb 6, 2012Feb 10, 2012($541)
EUR/USD long70Feb 3, 2012Feb 6, 2012$58
EUR/USD short70Feb 2, 2012Feb 3, 2012$358
EUR/USD long70Feb 2, 2012Feb 2, 2012($117)
EUR/USD short70Feb 1, 2012Feb 2, 2012$67
NZD/USD long20Jan 31, 2012Feb 1, 2012$46
AUD/USD long40Jan 31, 2012Feb 1, 2012($258)
AUD/JPY long40Jan 31, 2012Feb 1, 2012($1)
AUD/JPY long40Jan 31, 2012Jan 31, 2012($1)
AUD/USD long40Jan 31, 2012Jan 31, 2012($142)
EUR/USD long20Jan 31, 2012Jan 31, 2012($83)
EUR/USD short100Jan 18, 2012Jan 31, 2012($3,580)
EUR/AUD short30Jan 20, 2012Jan 25, 2012($59)
EUR/NZD short30Jan 20, 2012Jan 25, 2012($99)
EUR/NZD short50Jan 18, 2012Jan 18, 2012($263)
AUD/JPY long40Jan 12, 2012Jan 18, 2012$1
AUD/USD long40Jan 12, 2012Jan 18, 2012$173
NZD/JPY long70Jan 12, 2012Jan 18, 2012$2
NZD/USD long70Jan 12, 2012Jan 18, 2012$522
EUR/CAD short40Jan 11, 2012Jan 12, 2012($81)
EUR/AUD short40Jan 6, 2012Jan 12, 2012$377
EUR/NZD short70Jan 6, 2012Jan 12, 2012$1,114
AUD/USD long40Jan 9, 2012Jan 11, 2012($134)
GBP/JPY long100Jan 3, 2012Jan 6, 2012($7)
NZD/JPY long50Jan 3, 2012Jan 3, 2012$1
AUD/JPY long50Jan 3, 2012Jan 3, 2012$2
NZD/USD long50Jan 3, 2012Jan 3, 2012$260
AUD/USD long50Jan 3, 2012Jan 3, 2012$405

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.