Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.2% Annual Return (Compounded) since May 2, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Fx Engine
(45334407)

Created by: YuThet YuThet
Started: 11/2009
Forex
Last trade: 5,357 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-1.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(18.6%)
Max Drawdown
121
Num Trades
33.1%
Win Trades
0.8 : 1
Profit Factor
1.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                                                      +1.0%(1.1%)(0.2%)
2010(2.7%)(4.4%)(7.7%)(1.8%)(1.8%)(0.2%)+0.2%(0.2%)  -    -    -    -  (17.4%)
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/23/10 8:24 USD/JPY USD/JPY SHORT 4 90.342 3/23 9:42 90.410 0.34%
Trade id #47781557
Max drawdown($31)
Time3/23/10 9:42
Quant open-4
Worst price90.416
Drawdown as % of equity-0.34%
 ($29)
3/19/10 6:23 USD/JPY USD/JPY LONG 4 90.482 3/19 7:34 90.446 n/a ($16)
3/19/10 3:49 USD/JPY USD/JPY LONG 4 90.509 3/19 4:56 90.450 n/a ($26)
3/18/10 9:59 GBP/USD GBP/USD LONG 5 1.53083 3/18 10:32 1.52870 n/a ($107)
3/18/10 7:14 EUR/USD EUR/USD SHORT 4 1.36789 3/18 8:31 1.36765 n/a $10
3/17/10 6:45 EUR/USD EUR/USD LONG 2 1.37857 3/17 7:44 1.37790 n/a ($13)
3/17/10 4:49 GBP/USD GBP/USD LONG 2 1.52295 3/17 5:12 1.52190 n/a ($21)
3/11/10 8:02 EUR/USD EUR/USD LONG 3 1.36625 3/11 8:42 1.36555 n/a ($21)
3/11/10 8:30 USD/JPY USD/JPY LONG 4 90.580 3/11 8:31 90.415 n/a ($71)
3/11/10 3:43 EUR/USD EUR/USD LONG 4 1.36546 3/11 5:39 1.36564 n/a $7
3/10/10 10:31 GBP/USD GBP/USD SHORT 4 1.49558 3/10 10:56 1.49690 0.54%
Trade id #47464567
Max drawdown($53)
Time3/10/10 10:53
Quant open-4
Worst price1.49623
Drawdown as % of equity-0.54%
 ($53)
3/10/10 8:46 GBP/USD GBP/USD SHORT 2 1.49222 3/10 8:55 1.49385 n/a ($33)
3/8/10 10:33 USD/JPY USD/JPY LONG 4 90.400 3/8 11:16 90.305 0.41%
Trade id #47418164
Max drawdown($41)
Time3/8/10 11:11
Quant open4
Worst price90.346
Drawdown as % of equity-0.41%
 ($41)
3/8/10 9:00 GBP/USD GBP/USD LONG 2 1.51476 3/8 10:03 1.51290 0.37%
Trade id #47413795
Max drawdown($37)
Time3/8/10 9:51
Quant open2
Worst price1.51312
Drawdown as % of equity-0.37%
 ($37)
3/5/10 4:03 USD/JPY USD/JPY LONG 4 89.310 3/5 8:30 89.585 n/a $119
3/4/10 8:52 GBP/USD GBP/USD LONG 3 1.50952 3/4 10:16 1.50670 0.86%
Trade id #47366834
Max drawdown($85)
Time3/4/10 10:10
Quant open3
Worst price1.50753
Drawdown as % of equity-0.86%
 ($85)
3/4/10 4:01 USD/JPY USD/JPY SHORT 3 88.375 3/4 4:32 88.475 n/a ($33)
3/1/10 2:51 EUR/USD EUR/USD LONG 2 1.36158 3/1 5:59 1.35900 n/a ($52)
2/26/10 4:50 USD/JPY USD/JPY SHORT 4 89.262 2/26 8:07 89.145 n/a $51
2/26/10 2:57 USD/JPY USD/JPY SHORT 4 89.313 2/26 3:11 89.359 n/a ($20)
2/25/10 6:50 EUR/USD EUR/USD SHORT 2 1.34852 2/25 9:47 1.34882 0.35%
Trade id #47242847
Max drawdown($34)
Time2/25/10 8:47
Quant open-2
Worst price1.35025
Drawdown as % of equity-0.35%
 ($6)
2/24/10 8:46 EUR/USD EUR/USD SHORT 2 1.35398 2/24 9:30 1.35545 0.29%
Trade id #47215560
Max drawdown($29)
Time2/24/10 9:30
Quant open-2
Worst price1.35495
Drawdown as % of equity-0.29%
 ($29)
2/24/10 7:23 GBP/USD GBP/USD SHORT 2 1.54393 2/24 8:00 1.54432 0.24%
Trade id #47214606
Max drawdown($24)
Time2/24/10 7:43
Quant open-2
Worst price1.54515
Drawdown as % of equity-0.24%
 ($8)
2/24/10 7:11 GBP/USD GBP/USD SHORT 2 1.54399 2/24 7:12 1.54408 n/a ($2)
2/24/10 6:16 GBP/USD GBP/USD SHORT 2 1.54410 2/24 6:50 1.54486 0.25%
Trade id #47213983
Max drawdown($25)
Time2/24/10 6:38
Quant open-2
Worst price1.54535
Drawdown as % of equity-0.25%
 ($15)
2/24/10 6:24 EUR/USD EUR/USD SHORT 2 1.35400 2/24 6:35 1.35494 0.19%
Trade id #47214042
Max drawdown($19)
Time2/24/10 6:30
Quant open-2
Worst price1.35490
Drawdown as % of equity-0.19%
 ($19)
2/24/10 2:21 EUR/USD EUR/USD SHORT 2 1.35406 2/24 3:05 1.35356 0.04%
Trade id #47211374
Max drawdown($4)
Time2/24/10 2:23
Quant open-2
Worst price1.35426
Drawdown as % of equity-0.04%
 $10
2/24/10 2:27 GBP/USD GBP/USD SHORT 2 1.54488 2/24 2:50 1.54300 0.09%
Trade id #47211425
Max drawdown($9)
Time2/24/10 2:29
Quant open-2
Worst price1.54535
Drawdown as % of equity-0.09%
 $38
2/22/10 9:32 USD/JPY USD/JPY LONG 2 91.387 2/22 10:09 91.190 0.43%
Trade id #47148486
Max drawdown($43)
Time2/22/10 10:06
Quant open2
Worst price91.216
Drawdown as % of equity-0.43%
 ($43)
2/19/10 9:33 EUR/USD EUR/USD SHORT 2 1.35071 2/19 11:15 1.35330 0.52%
Trade id #47129513
Max drawdown($52)
Time2/19/10 11:08
Quant open-2
Worst price1.35265
Drawdown as % of equity-0.52%
 ($52)
Next

Statistics

  • Strategy began
    11/25/2009
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5473.95
  • Age
    183 months ago
  • What it trades
    Forex
  • # Trades
    121
  • # Profitable
    40
  • % Profitable
    33.10%
  • Avg trade duration
    1.3 hours
  • Max peak-to-valley drawdown
    18.63%
  • drawdown period
    Dec 02, 2009 - May 29, 2010
  • Annual Return (Compounded)
    -1.3%
  • Avg win
    $45.05
  • Avg loss
    $28.95
  • Model Account Values (Raw)
  • Cash
    $9,459
  • Margin Used
    $0
  • Buying Power
    $9,459
  • Ratios
  • W:L ratio
    0.77:1
  • Sharpe Ratio
    -1.82
  • Sortino Ratio
    -1.91
  • Calmar Ratio
    -0.149
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -450.33%
  • Correlation to SP500
    0.00430
  • Return Percent SP500 (cumu) during strategy life
    432.77%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.3%
  • Slump
  • Current Slump as Pcnt Equity
    22.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.013%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $29
  • Avg Win
    $45
  • Sum Trade PL (losers)
    $2,345.000
  • Age
  • Num Months filled monthly returns table
    181
  • Win / Loss
  • Sum Trade PL (winners)
    $1,802.000
  • # Winners
    40
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    81
  • % Winners
    33.1%
  • Frequency
  • Avg Position Time (mins)
    78.95
  • Avg Position Time (hrs)
    1.32
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    5356
  • Regression
  • Alpha
    -0.01
  • Beta
    0.00
  • Treynor Index
    -22.41
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    70.70
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    27.67
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -5.038
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.342
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.106
  • Hold-and-Hope Ratio
    -0.195
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01256
  • SD
    0.03211
  • Sharpe ratio (Glass type estimate)
    -0.39129
  • Sharpe ratio (Hedges UMVUE)
    -0.38538
  • df
    50.00000
  • t
    -0.80666
  • p
    0.78816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34317
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.56442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56834
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42499
  • Upside Potential Ratio
    0.27095
  • Upside part of mean
    0.00801
  • Downside part of mean
    -0.02057
  • Upside SD
    0.01224
  • Downside SD
    0.02956
  • N nonnegative terms
    47.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.40615
  • Mean of criterion
    -0.01256
  • SD of predictor
    0.23457
  • SD of criterion
    0.03211
  • Covariance
    -0.00046
  • r
    -0.06090
  • b (slope, estimate of beta)
    -0.00834
  • a (intercept, estimate of alpha)
    -0.00918
  • Mean Square Error
    0.00105
  • DF error
    49.00000
  • t(b)
    -0.42709
  • p(b)
    0.66441
  • t(a)
    -0.52173
  • p(a)
    0.69789
  • Lowerbound of 95% confidence interval for beta
    -0.04756
  • Upperbound of 95% confidence interval for beta
    0.03088
  • Lowerbound of 95% confidence interval for alpha
    -0.04453
  • Upperbound of 95% confidence interval for alpha
    0.02617
  • Treynor index (mean / b)
    1.50713
  • Jensen alpha (a)
    -0.00918
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01309
  • SD
    0.03267
  • Sharpe ratio (Glass type estimate)
    -0.40053
  • Sharpe ratio (Hedges UMVUE)
    -0.39449
  • df
    50.00000
  • t
    -0.82571
  • p
    0.79356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55937
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43284
  • Upside Potential Ratio
    0.26247
  • Upside part of mean
    0.00794
  • Downside part of mean
    -0.02102
  • Upside SD
    0.01212
  • Downside SD
    0.03023
  • N nonnegative terms
    47.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.37369
  • Mean of criterion
    -0.01309
  • SD of predictor
    0.23045
  • SD of criterion
    0.03267
  • Covariance
    -0.00048
  • r
    -0.06348
  • b (slope, estimate of beta)
    -0.00900
  • a (intercept, estimate of alpha)
    -0.00972
  • Mean Square Error
    0.00108
  • DF error
    49.00000
  • t(b)
    -0.44526
  • p(b)
    0.67095
  • t(a)
    -0.55017
  • p(a)
    0.70765
  • Lowerbound of 95% confidence interval for beta
    -0.04962
  • Upperbound of 95% confidence interval for beta
    0.03162
  • Lowerbound of 95% confidence interval for alpha
    -0.04524
  • Upperbound of 95% confidence interval for alpha
    0.02579
  • Treynor index (mean / b)
    1.45400
  • Jensen alpha (a)
    -0.00972
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01647
  • Expected Shortfall on VaR
    0.02033
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00045
  • Expected Shortfall on VaR
    0.00258
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.95141
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02338
  • Mean of quarter 1
    0.99328
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00262
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.07843
  • Mean of outliers low
    0.97814
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.00567
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53871
  • VaR(95%) (moments method)
    0.00036
  • Expected Shortfall (moments method)
    0.00250
  • Extreme Value Index (regression method)
    0.41541
  • VaR(95%) (regression method)
    0.00569
  • Expected Shortfall (regression method)
    0.02944
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.08460
  • Quartile 1
    0.08460
  • Median
    0.08460
  • Quartile 3
    0.08460
  • Maximum
    0.08460
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01273
  • Compounded annual return (geometric extrapolation)
    -0.01300
  • Calmar ratio (compounded annual return / max draw down)
    -0.15368
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.63950
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01271
  • SD
    0.02163
  • Sharpe ratio (Glass type estimate)
    -0.58747
  • Sharpe ratio (Hedges UMVUE)
    -0.58708
  • df
    1125.00000
  • t
    -1.21788
  • p
    0.52309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.35839
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53282
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35866
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68222
  • Upside Potential Ratio
    1.40555
  • Upside part of mean
    0.02618
  • Downside part of mean
    -0.03888
  • Upside SD
    0.01101
  • Downside SD
    0.01862
  • N nonnegative terms
    1067.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1126.00000
  • Mean of predictor
    0.42855
  • Mean of criterion
    -0.01271
  • SD of predictor
    0.29599
  • SD of criterion
    0.02163
  • Covariance
    -0.00013
  • r
    -0.02025
  • b (slope, estimate of beta)
    -0.00148
  • a (intercept, estimate of alpha)
    -0.01200
  • Mean Square Error
    0.00047
  • DF error
    1124.00000
  • t(b)
    -0.67911
  • p(b)
    0.51013
  • t(a)
    -1.15221
  • p(a)
    0.51717
  • Lowerbound of 95% confidence interval for beta
    -0.00576
  • Upperbound of 95% confidence interval for beta
    0.00280
  • Lowerbound of 95% confidence interval for alpha
    -0.03263
  • Upperbound of 95% confidence interval for alpha
    0.00849
  • Treynor index (mean / b)
    8.58617
  • Jensen alpha (a)
    -0.01207
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01294
  • SD
    0.02173
  • Sharpe ratio (Glass type estimate)
    -0.59561
  • Sharpe ratio (Hedges UMVUE)
    -0.59521
  • df
    1125.00000
  • t
    -1.23475
  • p
    0.52341
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54125
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.35026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35054
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68971
  • Upside Potential Ratio
    1.39191
  • Upside part of mean
    0.02612
  • Downside part of mean
    -0.03906
  • Upside SD
    0.01097
  • Downside SD
    0.01876
  • N nonnegative terms
    1067.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1126.00000
  • Mean of predictor
    0.38392
  • Mean of criterion
    -0.01294
  • SD of predictor
    0.29900
  • SD of criterion
    0.02173
  • Covariance
    -0.00013
  • r
    -0.01999
  • b (slope, estimate of beta)
    -0.00145
  • a (intercept, estimate of alpha)
    -0.01238
  • Mean Square Error
    0.00047
  • DF error
    1124.00000
  • t(b)
    -0.67026
  • p(b)
    0.50999
  • t(a)
    -1.17755
  • p(a)
    0.51755
  • Lowerbound of 95% confidence interval for beta
    -0.00570
  • Upperbound of 95% confidence interval for beta
    0.00280
  • Lowerbound of 95% confidence interval for alpha
    -0.03302
  • Upperbound of 95% confidence interval for alpha
    0.00825
  • Treynor index (mean / b)
    8.90949
  • Jensen alpha (a)
    -0.01238
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00225
  • Expected Shortfall on VaR
    0.00281
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00016
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1126.00000
  • Minimum
    0.97685
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01298
  • Mean of quarter 1
    0.99941
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00040
  • Inter Quartile Range
    0.00000
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.05240
  • Mean of outliers low
    0.99717
  • Number of outliers high
    56.00000
  • Percentage of outliers high
    0.04973
  • Mean of outliers high
    1.00201
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29096
  • VaR(95%) (moments method)
    0.00034
  • Expected Shortfall (moments method)
    0.00187
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00073
  • Quartile 1
    0.00129
  • Median
    0.00889
  • Quartile 3
    0.03382
  • Maximum
    0.08637
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00147
  • Mean of quarter 3
    0.01631
  • Mean of quarter 4
    0.08637
  • Inter Quartile Range
    0.03253
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.08637
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01259
  • Compounded annual return (geometric extrapolation)
    -0.01286
  • Calmar ratio (compounded annual return / max draw down)
    -0.14887
  • Compounded annual return / average of 25% largest draw downs
    -0.14887
  • Compounded annual return / Expected Shortfall lognormal
    -4.56895
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56061
  • Mean of criterion
    0.00000
  • SD of predictor
    0.39786
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48103
  • Mean of criterion
    0.00000
  • SD of predictor
    0.40006
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.00200
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -356341000
  • Max Equity Drawdown (num days)
    178
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description


What is Fx Engine?


A discretionary method based on price action and market cycles. An intraday system but will swing on winning trades to maximize returns.


How much capital do I need?


US$5,000
will be sufficient to follow Fx Engine. Current system capital is set at $10,000. Agressive traders may follow the system with as low as
US$3,000
.


Subscribers are urged to follow the system with automation. It is free to subscribe.


Risk and Reward


Stoploss value is usually between $20 and $70. It is a conservative system.

Most of the entries will have low risk level of 0.05% of total capital, maximum risk per trade is capped at 1%. This is to lower the risk or ruin. On reward side, a typical return is 0.05 to 1% whilst occassional swings will bring much larger returns.



Pre-determined orders


Precise levels for profit targets and stoploss will be given together with the entry order.



Signal times


Signals will be given between 06:30hr GMT and 18:00hr GMT.



Trading philisophy and theory


They are available on Tradarcade.com. Knowledge of how Fx Engine works can be an advantage but not necessary as the signals are given with precise levels for entry, stoploss and target profit for every trade.

Disclaimer: Past performance is not a guarantee for future performance. Trade with the money you can afford to lose.

Summary Statistics

Strategy began
2009-11-25
Suggested Minimum Capital
$10,000
# Trades
121
# Profitable
40
% Profitable
33.1%
Correlation S&P500
0.004
Sharpe Ratio
-1.82
Sortino Ratio
-1.91
Beta
0.00
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.