Welcome to RandBots

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

Bots Forex
(94987184)

Started: 06/2015
Forex
Last trade: Yesterday
Trading style: Equity Momentum Short-term Reversal

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 $295.00 per month.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
67.4%
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.

(30.8%)
Max Drawdown
740
Num Trades
93.0%
Win Trades
12.7 : 1
Profit Factor
68.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +10.8%(1.4%)+13.9%+5.0%+12.8%(10%)+10.6%+46.9%
2016(5.9%)+13.7%(17.2%)+39.8%+16.7%+10.2%+4.8%+1.9%+0.9%(3.4%)+7.5%+2.9%+83.2%
2017+9.4%+3.7%+4.3%(13.3%)(4.9%)+3.8%+1.9%(2.9%)+1.7%+10.1%(5.7%)+17.2%+24.0%
2018(3.7%)+13.7%(6.3%)+15.6%+20.0%+0.2%+9.7%(2.7%)+1.3%+14.2%(3.1%)(17.4%)+40.9%
2019+37.0%                                                                  +37.0%

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

This strategy has placed 1,227 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/17/19 14:39 AUD/NZD AUD/NZD SHORT 25 1.06383 1/18 2:58 1.06198 0.17%
Trade id #122038020
Max drawdown($234)
Time1/17/19 20:47
Quant open-25
Worst price1.06522
Drawdown as % of equity-0.17%
$304
Includes Typical Broker Commissions trade costs of $10.00
1/16/19 18:06 CAD/JPY CAD/JPY SHORT 25 82.279 1/16 20:33 82.088 0.04%
Trade id #122019796
Max drawdown($53)
Time1/16/19 18:16
Quant open-25
Worst price82.302
Drawdown as % of equity-0.04%
$429
Includes Typical Broker Commissions trade costs of $10.00
1/10/19 9:29 AUD/USD AUD/USD SHORT 20 0.71825 1/16 6:02 0.71725 0.79%
Trade id #121893679
Max drawdown($1,051)
Time1/11/19 5:54
Quant open-20
Worst price0.72351
Drawdown as % of equity-0.79%
$192
Includes Typical Broker Commissions trade costs of $8.00
12/19/18 1:43 EUR/AUD EUR/AUD SHORT 25 1.58330 1/15/19 12:13 1.58338 12.13%
Trade id #121565050
Max drawdown($12,989)
Time1/2/19 18:01
Quant open-25
Worst price1.65550
Drawdown as % of equity-12.13%
($24)
Includes Typical Broker Commissions trade costs of $10.00
1/4/19 14:44 AUD/NZD AUD/NZD SHORT 20 1.05477 1/15 1:28 1.05396 0.93%
Trade id #121796866
Max drawdown($1,239)
Time1/8/19 18:56
Quant open-20
Worst price1.06383
Drawdown as % of equity-0.93%
$104
Includes Typical Broker Commissions trade costs of $8.00
1/7/19 10:49 CAD/JPY CAD/JPY SHORT 25 81.474 1/13 22:09 81.446 1.61%
Trade id #121819095
Max drawdown($2,150)
Time1/8/19 21:43
Quant open-25
Worst price82.404
Drawdown as % of equity-1.61%
$54
Includes Typical Broker Commissions trade costs of $10.00
12/4/18 14:27 USD/CAD USD/CAD SHORT 35 1.32450 1/8/19 18:56 1.32470 10.32%
Trade id #121341275
Max drawdown($11,094)
Time12/31/18 10:59
Quant open-35
Worst price1.36648
Drawdown as % of equity-10.32%
($68)
Includes Typical Broker Commissions trade costs of $14.00
12/28/18 16:22 GBP/AUD GBP/AUD SHORT 3 1.80315 1/4/19 11:18 1.79230 0.5%
Trade id #121706567
Max drawdown($538)
Time1/2/19 18:08
Quant open-3
Worst price1.82843
Drawdown as % of equity-0.50%
$227
Includes Typical Broker Commissions trade costs of $4.00
11/1/18 9:29 NZD/JPY NZD/JPY SHORT 25 74.739 12/27 18:03 74.313 7.41%
Trade id #120664331
Max drawdown($9,292)
Time12/3/18 22:50
Quant open-25
Worst price78.861
Drawdown as % of equity-7.41%
$950
Includes Typical Broker Commissions trade costs of $10.00
12/18/18 13:52 EUR/AUD EUR/AUD SHORT 25 1.58452 12/18 16:16 1.58173 0.09%
Trade id #121557754
Max drawdown($109)
Time12/18/18 13:57
Quant open-25
Worst price1.58513
Drawdown as % of equity-0.09%
$492
Includes Typical Broker Commissions trade costs of $10.00
12/14/18 15:33 USD/CHF USD/CHF SHORT 25 0.99764 12/17 9:06 0.99240 0.26%
Trade id #121508719
Max drawdown($324)
Time12/14/18 16:44
Quant open-25
Worst price0.99893
Drawdown as % of equity-0.26%
$1,311
Includes Typical Broker Commissions trade costs of $10.00
12/13/18 11:06 USD/JPY USD/JPY SHORT 25 113.620 12/13 19:42 113.528 0.16%
Trade id #121482140
Max drawdown($194)
Time12/13/18 11:45
Quant open-25
Worst price113.708
Drawdown as % of equity-0.16%
$191
Includes Typical Broker Commissions trade costs of $10.00
9/28/18 9:27 USD/CHF USD/CHF SHORT 35 0.99058 12/6 10:24 0.99054 5%
Trade id #120084271
Max drawdown($6,342)
Time11/13/18 5:23
Quant open-25
Worst price1.01285
Drawdown as % of equity-5.00%
($2)
Includes Typical Broker Commissions trade costs of $17.00
12/3/18 12:34 CAD/JPY CAD/JPY SHORT 30 86.159 12/3 13:50 86.055 0.1%
Trade id #121313925
Max drawdown($125)
Time12/3/18 13:14
Quant open-30
Worst price86.206
Drawdown as % of equity-0.10%
$260
Includes Typical Broker Commissions trade costs of $12.00
11/30/18 12:29 USD/JPY USD/JPY SHORT 25 113.553 12/2 23:08 113.453 0.48%
Trade id #121276470
Max drawdown($594)
Time12/2/18 18:21
Quant open-25
Worst price113.823
Drawdown as % of equity-0.48%
$211
Includes Typical Broker Commissions trade costs of $10.00
11/29/18 9:32 AUD/CHF AUD/CHF SHORT 25 0.73015 11/29 12:53 0.72821 0.25%
Trade id #121239333
Max drawdown($310)
Time11/29/18 10:31
Quant open-25
Worst price0.73139
Drawdown as % of equity-0.25%
$476
Includes Typical Broker Commissions trade costs of $10.00
11/26/18 16:53 USD/CAD USD/CAD SHORT 25 1.32565 11/28 13:12 1.32557 1.56%
Trade id #121175794
Max drawdown($1,951)
Time11/28/18 11:03
Quant open-25
Worst price1.33599
Drawdown as % of equity-1.56%
$5
Includes Typical Broker Commissions trade costs of $10.00
11/22/18 9:03 CAD/JPY CAD/JPY SHORT 25 85.413 11/23 8:41 85.118 0.5%
Trade id #121117715
Max drawdown($650)
Time11/22/18 16:01
Quant open-25
Worst price85.707
Drawdown as % of equity-0.50%
$645
Includes Typical Broker Commissions trade costs of $10.00
11/20/18 9:10 USD/CAD USD/CAD SHORT 25 1.32090 11/22 12:05 1.32042 1.64%
Trade id #121070572
Max drawdown($2,062)
Time11/20/18 15:07
Quant open-25
Worst price1.33179
Drawdown as % of equity-1.64%
$79
Includes Typical Broker Commissions trade costs of $10.00
11/21/18 9:18 AUD/JPY AUD/JPY SHORT 25 82.000 11/22 3:15 81.803 0.41%
Trade id #121093450
Max drawdown($525)
Time11/21/18 17:39
Quant open-25
Worst price82.237
Drawdown as % of equity-0.41%
$425
Includes Typical Broker Commissions trade costs of $10.00
11/19/18 9:02 CHF/JPY CHF/JPY SHORT 25 113.231 11/19 10:04 113.146 0.11%
Trade id #121041507
Max drawdown($146)
Time11/19/18 9:25
Quant open-25
Worst price113.297
Drawdown as % of equity-0.11%
$178
Includes Typical Broker Commissions trade costs of $10.00
11/16/18 13:47 AUD/USD AUD/USD SHORT 25 0.73273 11/18 17:14 0.73164 0.21%
Trade id #121019004
Max drawdown($267)
Time11/16/18 16:46
Quant open-25
Worst price0.73380
Drawdown as % of equity-0.21%
$264
Includes Typical Broker Commissions trade costs of $10.00
11/16/18 9:47 EUR/USD EUR/USD SHORT 25 1.14057 11/16 10:37 1.13957 0.05%
Trade id #121002076
Max drawdown($61)
Time11/16/18 9:57
Quant open-25
Worst price1.14082
Drawdown as % of equity-0.05%
$242
Includes Typical Broker Commissions trade costs of $10.00
11/15/18 13:51 USD/JPY USD/JPY SHORT 25 113.587 11/15 21:15 113.422 0.21%
Trade id #120981780
Max drawdown($264)
Time11/15/18 14:09
Quant open-25
Worst price113.707
Drawdown as % of equity-0.21%
$356
Includes Typical Broker Commissions trade costs of $10.00
11/9/18 9:59 USD/CAD USD/CAD SHORT 25 1.31961 11/15 13:29 1.31766 1.02%
Trade id #120849942
Max drawdown($1,287)
Time11/14/18 10:16
Quant open-25
Worst price1.32640
Drawdown as % of equity-1.02%
$360
Includes Typical Broker Commissions trade costs of $10.00
11/12/18 13:38 CAD/CHF CAD/CHF SHORT 25 0.76319 11/13 9:30 0.76237 0.33%
Trade id #120888072
Max drawdown($423)
Time11/13/18 5:23
Quant open-25
Worst price0.76490
Drawdown as % of equity-0.33%
$192
Includes Typical Broker Commissions trade costs of $10.00
11/7/18 11:30 AUD/USD AUD/USD SHORT 25 0.72839 11/8 14:29 0.72632 0.36%
Trade id #120798246
Max drawdown($468)
Time11/8/18 9:33
Quant open-25
Worst price0.73026
Drawdown as % of equity-0.36%
$508
Includes Typical Broker Commissions trade costs of $10.00
8/20/18 14:53 EUR/AUD EUR/AUD SHORT 35 1.57343 11/7 8:21 1.57434 14.09%
Trade id #119519403
Max drawdown($15,921)
Time10/11/18 0:26
Quant open-35
Worst price1.63577
Drawdown as % of equity-14.09%
($247)
Includes Typical Broker Commissions trade costs of $14.00
11/5/18 15:35 EUR/CHF EUR/CHF SHORT 20 1.14587 11/7 8:21 1.14446 0.18%
Trade id #120741082
Max drawdown($233)
Time11/6/18 4:10
Quant open-20
Worst price1.14703
Drawdown as % of equity-0.18%
$274
Includes Typical Broker Commissions trade costs of $8.00
11/6/18 16:45 USD/CAD USD/CAD SHORT 25 1.31249 11/6 23:25 1.31044 0.5%
Trade id #120776000
Max drawdown($644)
Time11/6/18 21:28
Quant open-25
Worst price1.31587
Drawdown as % of equity-0.50%
$381
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    6/12/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1316.46
  • Age
    44 months ago
  • What it trades
    Forex
  • # Trades
    740
  • # Profitable
    688
  • % Profitable
    93.00%
  • Avg trade duration
    10.0 days
  • Max peak-to-valley drawdown
    30.76%
  • drawdown period
    April 14, 2017 - Sept 20, 2017
  • Annual Return (Compounded)
    67.5%
  • Avg win
    $191.00
  • Avg loss
    $199.46
  • Model Account Values (Raw)
  • Cash
    $147,577
  • Margin Used
    $34,433
  • Buying Power
    $106,605
  • Ratios
  • W:L ratio
    12.67:1
  • Sharpe Ratio
    1.917
  • Sortino Ratio
    3.054
  • Calmar Ratio
    3.071
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05300
  • Return Statistics
  • Ann Return (w trading costs)
    67.5%
  • Ann Return (Compnd, No Fees)
    71.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    14.50%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    963
  • Popularity (Last 6 weeks)
    998
  • C2 Score
    96.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $199
  • Avg Win
    $191
  • # Winners
    688
  • # Losers
    52
  • % Winners
    93.0%
  • Frequency
  • Avg Position Time (mins)
    14471.60
  • Avg Position Time (hrs)
    241.19
  • Avg Trade Length
    10.1 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54440
  • SD
    0.36612
  • Sharpe ratio (Glass type estimate)
    1.48693
  • Sharpe ratio (Hedges UMVUE)
    1.45954
  • df
    41.00000
  • t
    2.78180
  • p
    0.00407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55378
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.76874
  • Upside Potential Ratio
    4.32603
  • Upside part of mean
    0.85060
  • Downside part of mean
    -0.30620
  • Upside SD
    0.34190
  • Downside SD
    0.19662
  • N nonnegative terms
    29.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.02615
  • Mean of criterion
    0.54440
  • SD of predictor
    0.11949
  • SD of criterion
    0.36612
  • Covariance
    0.00718
  • r
    0.16420
  • b (slope, estimate of beta)
    0.50313
  • a (intercept, estimate of alpha)
    0.53125
  • Mean Square Error
    0.13369
  • DF error
    40.00000
  • t(b)
    1.05277
  • p(b)
    0.14938
  • t(a)
    2.71262
  • p(a)
    0.00490
  • Lowerbound of 95% confidence interval for beta
    -0.46276
  • Upperbound of 95% confidence interval for beta
    1.46901
  • Lowerbound of 95% confidence interval for alpha
    0.13543
  • Upperbound of 95% confidence interval for alpha
    0.92706
  • Treynor index (mean / b)
    1.08204
  • Jensen alpha (a)
    0.53125
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46880
  • SD
    0.36196
  • Sharpe ratio (Glass type estimate)
    1.29516
  • Sharpe ratio (Hedges UMVUE)
    1.27130
  • df
    41.00000
  • t
    2.42303
  • p
    0.00995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20353
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35448
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19815
  • Upside Potential Ratio
    3.73137
  • Upside part of mean
    0.79579
  • Downside part of mean
    -0.32699
  • Upside SD
    0.31738
  • Downside SD
    0.21327
  • N nonnegative terms
    29.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    42.00000
  • Mean of predictor
    0.01900
  • Mean of criterion
    0.46880
  • SD of predictor
    0.12101
  • SD of criterion
    0.36196
  • Covariance
    0.00768
  • r
    0.17529
  • b (slope, estimate of beta)
    0.52431
  • a (intercept, estimate of alpha)
    0.45884
  • Mean Square Error
    0.13017
  • DF error
    40.00000
  • t(b)
    1.12604
  • p(b)
    0.13343
  • t(a)
    2.37679
  • p(a)
    0.01117
  • Lowerbound of 95% confidence interval for beta
    -0.41675
  • Upperbound of 95% confidence interval for beta
    1.46536
  • Lowerbound of 95% confidence interval for alpha
    0.06867
  • Upperbound of 95% confidence interval for alpha
    0.84901
  • Treynor index (mean / b)
    0.89413
  • Jensen alpha (a)
    0.45884
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12436
  • Expected Shortfall on VaR
    0.16115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04176
  • Expected Shortfall on VaR
    0.09216
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    42.00000
  • Minimum
    0.80693
  • Quartile 1
    0.97874
  • Median
    1.05140
  • Quartile 3
    1.13765
  • Maximum
    1.21346
  • Mean of quarter 1
    0.90809
  • Mean of quarter 2
    1.02205
  • Mean of quarter 3
    1.09691
  • Mean of quarter 4
    1.16587
  • Inter Quartile Range
    0.15891
  • 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)
    -0.39024
  • VaR(95%) (moments method)
    0.06812
  • Expected Shortfall (moments method)
    0.08379
  • Extreme Value Index (regression method)
    -0.41907
  • VaR(95%) (regression method)
    0.07698
  • Expected Shortfall (regression method)
    0.09372
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00930
  • Quartile 1
    0.03566
  • Median
    0.06135
  • Quartile 3
    0.12532
  • Maximum
    0.19980
  • Mean of quarter 1
    0.01781
  • Mean of quarter 2
    0.05619
  • Mean of quarter 3
    0.11306
  • Mean of quarter 4
    0.17481
  • Inter Quartile Range
    0.08967
  • 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)
    -68.57080
  • VaR(95%) (moments method)
    0.18510
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.16151
  • VaR(95%) (regression method)
    0.25377
  • Expected Shortfall (regression method)
    0.25432
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.33961
  • Compounded annual return (geometric extrapolation)
    0.64330
  • Calmar ratio (compounded annual return / max draw down)
    3.21973
  • Compounded annual return / average of 25% largest draw downs
    3.67988
  • Compounded annual return / Expected Shortfall lognormal
    3.99189
  • 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
    0.56195
  • SD
    0.29296
  • Sharpe ratio (Glass type estimate)
    1.91820
  • Sharpe ratio (Hedges UMVUE)
    1.91665
  • df
    932.00000
  • t
    3.61979
  • p
    0.00016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.87542
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87439
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95891
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05418
  • Upside Potential Ratio
    10.95690
  • Upside part of mean
    2.01600
  • Downside part of mean
    -1.45405
  • Upside SD
    0.23040
  • Downside SD
    0.18399
  • N nonnegative terms
    516.00000
  • N negative terms
    417.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    933.00000
  • Mean of predictor
    0.05024
  • Mean of criterion
    0.56195
  • SD of predictor
    0.14022
  • SD of criterion
    0.29296
  • Covariance
    0.00194
  • r
    0.04730
  • b (slope, estimate of beta)
    0.09881
  • a (intercept, estimate of alpha)
    0.55700
  • Mean Square Error
    0.08572
  • DF error
    931.00000
  • t(b)
    1.44471
  • p(b)
    0.07444
  • t(a)
    3.58902
  • p(a)
    0.00017
  • Lowerbound of 95% confidence interval for beta
    -0.03542
  • Upperbound of 95% confidence interval for beta
    0.23304
  • Lowerbound of 95% confidence interval for alpha
    0.25242
  • Upperbound of 95% confidence interval for alpha
    0.86155
  • Treynor index (mean / b)
    5.68702
  • Jensen alpha (a)
    0.55699
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51867
  • SD
    0.29202
  • Sharpe ratio (Glass type estimate)
    1.77614
  • Sharpe ratio (Hedges UMVUE)
    1.77471
  • df
    932.00000
  • t
    3.35172
  • p
    0.00042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73395
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81741
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81645
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77166
  • Upside Potential Ratio
    10.63340
  • Upside part of mean
    1.98988
  • Downside part of mean
    -1.47120
  • Upside SD
    0.22626
  • Downside SD
    0.18713
  • N nonnegative terms
    516.00000
  • N negative terms
    417.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    933.00000
  • Mean of predictor
    0.04039
  • Mean of criterion
    0.51867
  • SD of predictor
    0.14047
  • SD of criterion
    0.29202
  • Covariance
    0.00190
  • r
    0.04638
  • b (slope, estimate of beta)
    0.09642
  • a (intercept, estimate of alpha)
    0.51478
  • Mean Square Error
    0.08519
  • DF error
    931.00000
  • t(b)
    1.41663
  • p(b)
    0.07846
  • t(a)
    3.32782
  • p(a)
    0.00045
  • Lowerbound of 95% confidence interval for beta
    -0.03715
  • Upperbound of 95% confidence interval for beta
    0.22999
  • Lowerbound of 95% confidence interval for alpha
    0.21120
  • Upperbound of 95% confidence interval for alpha
    0.81836
  • Treynor index (mean / b)
    5.37950
  • Jensen alpha (a)
    0.51478
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02732
  • Expected Shortfall on VaR
    0.03460
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01190
  • Expected Shortfall on VaR
    0.02368
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    933.00000
  • Minimum
    0.92898
  • Quartile 1
    0.99237
  • Median
    1.00174
  • Quartile 3
    1.01126
  • Maximum
    1.07650
  • Mean of quarter 1
    0.98091
  • Mean of quarter 2
    0.99731
  • Mean of quarter 3
    1.00601
  • Mean of quarter 4
    1.02487
  • Inter Quartile Range
    0.01890
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.02358
  • Mean of outliers low
    0.95355
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.03323
  • Mean of outliers high
    1.04983
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17637
  • VaR(95%) (moments method)
    0.01860
  • Expected Shortfall (moments method)
    0.02811
  • Extreme Value Index (regression method)
    0.02128
  • VaR(95%) (regression method)
    0.01728
  • Expected Shortfall (regression method)
    0.02351
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    68.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00627
  • Median
    0.01474
  • Quartile 3
    0.04054
  • Maximum
    0.23682
  • Mean of quarter 1
    0.00286
  • Mean of quarter 2
    0.00945
  • Mean of quarter 3
    0.02586
  • Mean of quarter 4
    0.11878
  • Inter Quartile Range
    0.03426
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.14706
  • Mean of outliers high
    0.15480
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.62587
  • VaR(95%) (moments method)
    0.11190
  • Expected Shortfall (moments method)
    0.12746
  • Extreme Value Index (regression method)
    -0.43860
  • VaR(95%) (regression method)
    0.12326
  • Expected Shortfall (regression method)
    0.14660
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.68587
  • Compounded annual return (geometric extrapolation)
    0.72734
  • Calmar ratio (compounded annual return / max draw down)
    3.07123
  • Compounded annual return / average of 25% largest draw downs
    6.12326
  • Compounded annual return / Expected Shortfall lognormal
    21.02180
  • 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
    0.56360
  • SD
    0.29218
  • Sharpe ratio (Glass type estimate)
    1.92894
  • Sharpe ratio (Hedges UMVUE)
    1.91779
  • df
    130.00000
  • t
    1.36397
  • p
    0.44061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85640
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69938
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.16257
  • Upside Potential Ratio
    11.64240
  • Upside part of mean
    2.07477
  • Downside part of mean
    -1.51117
  • Upside SD
    0.23275
  • Downside SD
    0.17821
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11177
  • Mean of criterion
    0.56360
  • SD of predictor
    0.18773
  • SD of criterion
    0.29218
  • Covariance
    0.00478
  • r
    0.08715
  • b (slope, estimate of beta)
    0.13564
  • a (intercept, estimate of alpha)
    0.57876
  • Mean Square Error
    0.08538
  • DF error
    129.00000
  • t(b)
    0.99360
  • p(b)
    0.44459
  • t(a)
    1.39963
  • p(a)
    0.42233
  • Lowerbound of 95% confidence interval for beta
    -0.13445
  • Upperbound of 95% confidence interval for beta
    0.40573
  • Lowerbound of 95% confidence interval for alpha
    -0.23938
  • Upperbound of 95% confidence interval for alpha
    1.39689
  • Treynor index (mean / b)
    4.15518
  • Jensen alpha (a)
    0.57876
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52094
  • SD
    0.29062
  • Sharpe ratio (Glass type estimate)
    1.79252
  • Sharpe ratio (Hedges UMVUE)
    1.78216
  • df
    130.00000
  • t
    1.26750
  • p
    0.44476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99123
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56949
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56242
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88239
  • Upside Potential Ratio
    11.33240
  • Upside part of mean
    2.04813
  • Downside part of mean
    -1.52719
  • Upside SD
    0.22844
  • Downside SD
    0.18073
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12927
  • Mean of criterion
    0.52094
  • SD of predictor
    0.18772
  • SD of criterion
    0.29062
  • Covariance
    0.00451
  • r
    0.08266
  • b (slope, estimate of beta)
    0.12798
  • a (intercept, estimate of alpha)
    0.53748
  • Mean Square Error
    0.08453
  • DF error
    129.00000
  • t(b)
    0.94211
  • p(b)
    0.44744
  • t(a)
    1.30600
  • p(a)
    0.42744
  • Lowerbound of 95% confidence interval for beta
    -0.14079
  • Upperbound of 95% confidence interval for beta
    0.39674
  • Lowerbound of 95% confidence interval for alpha
    -0.27678
  • Upperbound of 95% confidence interval for alpha
    1.35175
  • Treynor index (mean / b)
    4.07059
  • Jensen alpha (a)
    0.53748
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02717
  • Expected Shortfall on VaR
    0.03442
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01254
  • Expected Shortfall on VaR
    0.02396
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95781
  • Quartile 1
    0.99078
  • Median
    1.00165
  • Quartile 3
    1.01287
  • Maximum
    1.07650
  • Mean of quarter 1
    0.98089
  • Mean of quarter 2
    0.99654
  • Mean of quarter 3
    1.00658
  • Mean of quarter 4
    1.02514
  • Inter Quartile Range
    0.02208
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.06208
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06539
  • VaR(95%) (moments method)
    0.01915
  • Expected Shortfall (moments method)
    0.02618
  • Extreme Value Index (regression method)
    -0.46303
  • VaR(95%) (regression method)
    0.01972
  • Expected Shortfall (regression method)
    0.02271
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00238
  • Quartile 1
    0.00500
  • Median
    0.01200
  • Quartile 3
    0.09138
  • Maximum
    0.18398
  • Mean of quarter 1
    0.00307
  • Mean of quarter 2
    0.00913
  • Mean of quarter 3
    0.02321
  • Mean of quarter 4
    0.17177
  • Inter Quartile Range
    0.08637
  • 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)
    0.63155
  • Compounded annual return (geometric extrapolation)
    0.73126
  • Calmar ratio (compounded annual return / max draw down)
    3.97459
  • Compounded annual return / average of 25% largest draw downs
    4.25730
  • Compounded annual return / Expected Shortfall lognormal
    21.24620

Strategy Description

Our approach is based upon 3 principles
1)Exhaustive momentum is not sustainable.
2)Currencies are ranged bond.
3)Prices fall faster than they raise.

As such, we are a momentum based, Short only and we do not use initial stops, we therefore are non-correlated to most other programs.

Summary Statistics

Includes fees & commissions
Strategy began
2015-06-12
Suggested Minimum Capital
$100,000
# Trades
740
# Profitable
688
% Profitable
93.0%
Correlation S&P500
0.053
Sharpe Ratio
1.917

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.