Welcome to Collective2

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.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it

Winning Forex Monthly System!

Forex · Started Oct 2005

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
922
Win Trades
42.3%
Profit Factor
1
Win Months
5.2%

About this strategy

The pip totals listed in this system description are exactly as real life trades would be. The totals of C2 below in the trade list, are just a simulation, so you should take my totals as the accurate count. There are no multiple lots used.

This system since January 1st is 100% mechanical. Prior to January 1st, I just used this as a "test" account. I meant to start a new one when my TS program was ready on Jan. 1st, but just kept going on this account instead. So results prior to Jan. 1st, are meaningless to me here. Beginning May 7th, new systems will be combined with this one, and hopefully improve results.

Use the entry price as posted, as all spread adjustments are made for you.


RESULTS:

January 1- January 27 = +684 pips
January 29-February 17 = No Trades
February 19-February 28 = +232 pips
March 1 - March 24 = +707 pips
March 24 - March 31 = No Trades
April 1 - April 30 = -673 pips
May 1 - May 29 = +1581 pips
June 4 - June 30 = -719 pips
July 2 - July 31 = +739 pips
August 1 - August 31 = +1302 pips

Weekly results below are from FX-auto.com.

september 3 - september 8 = +199 pips
september 10 - september 15 = -292 pips
september 17 - september 22 = -204 pips
september 24 - september 29 = +485 pips
october 1 - october 6 = +203 pips
october 8 - october 13 = +209 pips
october 15 - october 20 = -365 pips ( I messed with the coding in an attempt to improve it and screwed up the weekly trades. See how it turns out next week.)
october 22 - october 27 = -200 pips
october 29 - october 30 = -410 pips

Now that all seems to be working correctly, I am going back to daily trades. Results below are from FX-auto. They will differ greatly from C2 for now, while I decide whether to bother to continue to send signals to C2.

October 31 = +74 pips
November 1 = +32 pips
November 2 = -168 pips
November 3 = +454 pips
November 6 = +91 pips
November 7 = +56 pips
November 8 = +73 pips
November 9 = -344 pips
November 10 = 0
November 13 = 0
November 14 = +160 pips
November 15 = +122 pips
November 16 =
November 17 =
Total = +550 pips

Notes:
Jan 1-6 (c2 missed a limit, but subscribers would have gotten +100 pips)
Jan 8-13 (no problems, smooth trading)
Jan 15-20 (a little c2 hiccup with last gbp trade, but correct results as subs would have gotten are above.)
Jan 22-27 (no problems, smooth trading)
Feb. 19 -- tradestation running.... so far not replacing orders properly....
Feb. 20 -- orders now replacing properly... problem solved... but 2 new problems arised... one is in Mathews hands and I am working on the other one.
Feb. 22 -- my end is fixed. Just waiting now on Mathew to fix the spread issue, and then it looks like all will be working properly.
Feb. 22 -- well all my trades just closed out at limits and stops that never existed in the marketplace.... I reentered my trades.... then C2 fixed mistake, so I had to now close out the trades I reentered. So there are 3 trades closed that never actually existed. C2 may remove them, I told them it didnt matter to me, they are just for a few pips. So the pip count above is correct as subs would get.
Feb. 27 -- An incorrect Euro trade was entered, and subsequently removed.
Feb. 27 -- It would seem TS made some crazy spikes causing incorrect limits. Again, use the above pip count as accurate.
Mar. 7 -- A yen trade was filled by C2 that did not fill in real trading. I stopped it out.
Mar. 9 -- another incorrect fill on gbp long trade. c2 to removed it.
Mar. 13 -- two incorrect orders filled by c2 as I tried out the new c2 connection to Tradestation. I manually put correct orders back in, and have immediately gone back to old c2 connection. Ill try out the new one on the weekend. Again, use above pip total log as correct.
Mar. 15 -- Mathew has fixed the spread issue. So far it is working perfectly. All entries are now to be used EXACTLY as posted.
Mar. 16 -- C2 apparently disrupted trading with some new upgrade. Above trade log is 100% correct.
Mar. 17 -- euro trade refuses to close. see above trade log for correct results.
Mar. 17 -- winning euro trade disappeared from trade log below.
Mar. 17 -- more incorrect fills in C2 trade log... again use the results above for accuracy.
Mar. 20 -- lots o silly trades made at c2 at rates that never existed in the marketplace. AGAIN, use the above pip count, and at this point, the trades logged below by C2 are pretty much useless.
Mar. 23 -- new TS application running. Be prepared for order corrections, as it seems to be making a few errors so far.
Mar. 23 -- everything seems to working well now.
Mar. 24 -- C2 was down and missed orders. I entered them manually. But had I not checked right when I did..........
April 10 -- getting a few double orders getting placed here at C2. Mathew is now working on the solution.
April 11-12 -- orders are getting stuck at C2. TS cant remove them, nor can I manually. Must be confusing for subs. Hope this problem doesnt persist, or gets fixed soon.
April 12 -- erroneous GBP fill. C2 will remove it.
April 13 -- one trade has disappeared, another has appeared. I tried to close it, but instead it has tripled in size. Things have been a mess all day.
April 13 -- things just continue to be a mess here at C2 this week. Crazy fills, orders not getting placed correctly, etc.... I dont see how a sub could follow through C2 at this time. It seems a lot of this is caused by C2s auto trade, so hopefully they fix whatever is wrong soon.
April 18 -- C2 worked well all week.
April 24 -- Euro trade didnt stop out at stop. Then doubled in size. Then closed but open euro trade disappeared. Then open euro trade back, but closed trade gone... just go by the above pip count. It is accurate.
April 24 - May 31 -- nip and tuck at C2. Only real problems were always connected with auto trading. So not too bad overall.
June 4/5 -- at least 4 trades have been messed up here at C2. Strange rates. Trades entered I didnt make. Things like that.
June was ok with a few problems here and there.
July 2-7 -- c2 tray got corrupted and no trade emails went out. So got stuck in positions here at c2 and fx-auto. So trades very different from trade list above.
July 9-14 For some reason for 3 or more days, reverses did not work here at C2. Trades were just piled up in same direction for days.
July 16-21 Same as last week. C2 not working properly.
August 1 - 4 Trade emails didnt work. Probably C2 tray again. So for now stuck in positions. Well see how the emails work as soon as I get a chance to exit positions or line up with TS trades.
August - Automation problems left us in same trades all month. Beginning September all trades will be monitored, so hopefully most of the problems will end.
September - A few problems with the automated trading, but still came out on top for the month. Hopefully October will be smoother.

CONTACT!!!! For a faster reply, please email at thaner1@nb.sympatico.ca

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200515.13.9-44.6-33.8
200680.433.227.1-5.630.8-16.65.9-3.920.1-33.4-69.587.546.5
200719.0-25.9-10.36.146.92.1-51.8-117.4-143.9-31.3-0.4-0.1-133.7
2008-0.9-1.1-0.3-1.0-50.0-0.0-0.0-0.0-0.0-0.1-0.0-0.0
2009-0.0-0.0-0.0-0.0-0.0-0.0-0.1-0.0-0.0-0.30.00.0
20100.00.00.00.00.0-0.3-0.3-0.30.00.00.0-0.0
20110.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.0
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 began10/17/2005
Suggested Minimum Capital$100,000
Age255 months
What it tradesForex
# Trades922
# Profitable390
% Profitable42.3%
Avg trade duration1.4 days
Max peak-to-valley drawdown100.0%
drawdown periodSept 17, 2007 - Sept 28, 2007
Annual Return (Compounded)0.0%
Avg win$2,854
Avg loss$2,197

Ratios

W:L ratio0.95
Sharpe Ratio-0.55
Sortino Ratio-0.62
Calmar Ratio-0.18

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life540.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-660.0%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-3.7%

Slump

Current Slump as Pcnt Equity
Current Slump, time of slump as pcnt of strategy life0.9%

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 loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)100.0%

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$2,197
Avg Win$2,854
# Winners390
Sum Trade PL (losers)$1,168,572
Sum Trade PL (winners)$1,113,048
Num Months Winners13
# Losers532
% Winners42.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table23

Frequency

Avg Position Time (mins)2007.07
Avg Position Time (hrs)33.45
Avg Trade Length1.40
Last Trade Ago6893

Regression

Alpha0
Beta0.33
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat
Avg(MAE) / Avg(PL) - All trades-35.49
MAE:PL (avg, all trades)-0.66
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats57.88
MAE:PL - Winning Trades - this strat Percentile of All Strats48.58
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades0.47
Avg(MAE) / Avg(PL) - Losing trades-1.30
Hold-and-Hope Ratio-0.03

RATIO STATISTICS

Mean0.07
SD0.73
Sharpe ratio (Glass type estimate)0.10
Sharpe ratio (Hedges UMVUE)0.10
df90
t0.27
p0.39
Lowerbound of 95% confidence interval for Sharpe Ratio-0.61
Upperbound of 95% confidence interval for Sharpe Ratio0.81
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.62
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.81
Sortino ratio0.16
Upside Potential Ratio1.33
Upside part of mean0.58
Downside part of mean-0.51
Upside SD0.58
Downside SD0.44
N nonnegative terms66
N negative terms25
N of observations91
Mean of predictor0.15
Mean of criterion0.07
SD of predictor0.24
SD of criterion0.73
Covariance-0.00
r-0.00
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)0.07
Mean Square Error0.54
DF error89
t(b)-0.01
p(b)0.50
t(a)0.26
p(a)0.40
Lowerbound of 95% confidence interval for beta-0.66
Upperbound of 95% confidence interval for beta0.65
Lowerbound of 95% confidence interval for alpha-0.47
Upperbound of 95% confidence interval for alpha0.61
Treynor index (mean / b)-18.21
Jensen alpha (a)0.07
Mean-0.18
SD0.73
Sharpe ratio (Glass type estimate)-0.25
Sharpe ratio (Hedges UMVUE)-0.25
df90
t-0.69
p0.75
Lowerbound of 95% confidence interval for Sharpe Ratio-0.96
Upperbound of 95% confidence interval for Sharpe Ratio0.46
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.96
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.47
Sortino ratio-0.31
Upside Potential Ratio0.81
Upside part of mean0.47
Downside part of mean-0.65
Upside SD0.44
Downside SD0.58
N nonnegative terms66
N negative terms25
N of observations91
Mean of predictor0.12
Mean of criterion-0.18
SD of predictor0.24
SD of criterion0.73
Covariance0.01
r0.05
b (slope, estimate of beta)0.16
a (intercept, estimate of alpha)-0.20
Mean Square Error0.53
DF error89
t(b)0.49
p(b)0.31
t(a)-0.75
p(a)0.77
Lowerbound of 95% confidence interval for beta-0.48
Upperbound of 95% confidence interval for beta0.79
Lowerbound of 95% confidence interval for alpha-0.73
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)-1.16
Jensen alpha (a)-0.20
VaR(95%)0.30
Expected Shortfall on VaR0.36
VaR(95%)0.06
Expected Shortfall on VaR0.15
Mean1.15
SD2.00
Sharpe ratio (Glass type estimate)0.58
Sharpe ratio (Hedges UMVUE)0.58
df1987
t1.59
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.14
Upperbound of 95% confidence interval for Sharpe Ratio1.29
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.14
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.29
Sortino ratio1.43
Upside Potential Ratio4.58
Upside part of mean3.69
Downside part of mean-2.54
Upside SD1.83
Downside SD0.81
N nonnegative terms1518
N negative terms470
N of observations1988
Mean of predictor0.28
Mean of criterion1.15
SD of predictor0.55
SD of criterion2.00
Covariance-0.13
r-0.12
b (slope, estimate of beta)-0.44
a (intercept, estimate of alpha)1.28
Mean Square Error3.94
DF error1986
t(b)-5.45
p(b)0.56
t(a)1.77
p(a)0.48
Lowerbound of 95% confidence interval for beta-0.60
Upperbound of 95% confidence interval for beta-0.28
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha2.69
Treynor index (mean / b)-2.59
Jensen alpha (a)1.28
Mean-0.18
SD1.58
Sharpe ratio (Glass type estimate)-0.11
Sharpe ratio (Hedges UMVUE)-0.11
df1987
t-0.31
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.83
Upperbound of 95% confidence interval for Sharpe Ratio0.60
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.83
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60
Sortino ratio-0.16
Upside Potential Ratio2.51
Upside part of mean2.87
Downside part of mean-3.05
Upside SD1.10
Downside SD1.14
N nonnegative terms1518
N negative terms470
N of observations1988
Mean of predictor0.13
Mean of criterion-0.18
SD of predictor0.54
SD of criterion1.58
Covariance-0.11
r-0.13
b (slope, estimate of beta)-0.37
a (intercept, estimate of alpha)-0.13
Mean Square Error2.47
DF error1986
t(b)-5.68
p(b)0.56
t(a)-0.23
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.50
Upperbound of 95% confidence interval for beta-0.24
Lowerbound of 95% confidence interval for alpha-1.25
Upperbound of 95% confidence interval for alpha0.99
Treynor index (mean / b)0.49
Jensen alpha (a)-0.13
VaR(95%)0.15
Expected Shortfall on VaR0.18
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean0
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 ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.89
Mean of criterion0
SD of predictor0.56
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
Mean0
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 ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.73
Mean of criterion0
SD of predictor0.57
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
VAR (95 Confidence Intrvl)0.15
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
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations91
Minimum0.44
Quartile 11.00
Median1
Quartile 31
Maximum2.16
Mean of quarter 10.83
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.19
Inter Quartile Range0.00
Number outliers low19
Percentage of outliers low0.21
Mean of outliers low0.80
Number of outliers high20
Percentage of outliers high0.22
Mean of outliers high1.22
Extreme Value Index (moments method)1.66
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations1988
Minimum0.24
Quartile 11
Median1
Quartile 31
Maximum4.33
Mean of quarter 10.96
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.06
Inter Quartile Range0
Number outliers low470
Percentage of outliers low0.24
Mean of outliers low0.96
Number of outliers high460
Percentage of outliers high0.23
Mean of outliers high1.06
Extreme Value Index (moments method)1.47
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
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 observations3
Minimum0.09
Quartile 10.29
Median0.48
Quartile 30.69
Maximum0.90
Mean of quarter 10.09
Mean of quarter 20.48
Mean of quarter 30
Mean of quarter 40.90
Inter Quartile Range0.40
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 observations10
Minimum0.00
Quartile 10.01
Median0.12
Quartile 30.28
Maximum0.92
Mean of quarter 10.00
Mean of quarter 20.03
Mean of quarter 30.23
Mean of quarter 40.59
Inter Quartile Range0.27
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.10
Mean of outliers high0.92
Extreme Value Index (moments method)-6.63
VaR(95%) (moments method)0.59
Expected Shortfall (moments method)0.59
Extreme Value Index (regression method)-0.76
VaR(95%) (regression method)1.04
Expected Shortfall (regression method)1.16
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?-385281248
Max Equity Drawdown (num days)11
Last 4 Months - Pcnt Negative0.5%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.10
Compounded annual return (geometric extrapolation)-0.17
Calmar ratio (compounded annual return / max draw down)-0.18
Compounded annual return / average of 25% largest draw downs-0.18
Compounded annual return / Expected Shortfall lognormal-0.46
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.10
Compounded annual return (geometric extrapolation)-0.17
Calmar ratio (compounded annual return / max draw down)-0.18
Compounded annual return / average of 25% largest draw downs-0.28
Compounded annual return / Expected Shortfall lognormal-0.91
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 90 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
GBP/USD short500Oct 31, 2006Oct 29, 2007($75,050)
USD/JPY long1500Oct 17, 2006Aug 17, 2007($474)
USD/CHF long1500Oct 17, 2006Dec 1, 2006($85,306)
USD/CAD long2000Oct 17, 2006Nov 24, 2006$4,039
EUR/USD short2000Nov 13, 2006Nov 22, 2006($20,800)
EUR/USD short2500Oct 17, 2006Nov 10, 2006($41,800)
GBP/USD short2000Oct 17, 2006Oct 31, 2006($38,100)
EUR/USD long500Oct 17, 2006Oct 17, 2006$200
EUR/USD short500Oct 17, 2006Oct 17, 2006($1,000)
USD/CHF short500Oct 17, 2006Oct 17, 2006($548)
USD/CAD short500Oct 16, 2006Oct 17, 2006$179
USD/JPY short500Oct 16, 2006Oct 17, 2006$30
GBP/USD long500Oct 17, 2006Oct 17, 2006$50
GBP/USD short500Oct 17, 2006Oct 17, 2006($1,900)
USD/CHF long500Oct 17, 2006Oct 17, 2006($1,339)
USD/CHF short500Oct 16, 2006Oct 17, 2006$669
GBP/USD long500Oct 16, 2006Oct 17, 2006$2,450
EUR/USD long500Oct 16, 2006Oct 17, 2006$550
USD/CAD long500Oct 16, 2006Oct 16, 2006($608)
EUR/USD short500Oct 16, 2006Oct 16, 2006($1,400)
USD/CHF long500Oct 16, 2006Oct 16, 2006($2,008)
USD/CHF short500Oct 16, 2006Oct 16, 2006($1,704)
EUR/USD long500Oct 16, 2006Oct 16, 2006($1,300)
USD/CHF long500Oct 15, 2006Oct 16, 2006($1,460)
GBP/USD short500Oct 15, 2006Oct 16, 2006($1,650)
USD/JPY long500Oct 15, 2006Oct 16, 2006($6)
USD/CHF long500Oct 9, 2006Oct 10, 2006$3,772
USD/CAD long500Oct 9, 2006Oct 10, 2006$1,072
EUR/USD short500Oct 9, 2006Oct 10, 2006$2,850
USD/JPY long500Oct 9, 2006Oct 10, 2006$11

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.