Winning Forex Monthly System!
- 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
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)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | 15.1 | 3.9 | -44.6 | -33.8 | |||||||||
| 2006 | 80.4 | 33.2 | 27.1 | -5.6 | 30.8 | -16.6 | 5.9 | -3.9 | 20.1 | -33.4 | -69.5 | 87.5 | 46.5 |
| 2007 | 19.0 | -25.9 | -10.3 | 6.1 | 46.9 | 2.1 | -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 | -0.3 | 0.0 | 0.0 | |
| 2010 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.3 | -0.3 | -0.3 | 0.0 | 0.0 | 0.0 | -0.0 | |
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 10/17/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 255 months |
| What it trades | Forex |
| # Trades | 922 |
| # Profitable | 390 |
| % Profitable | 42.3% |
| Avg trade duration | 1.4 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Sept 17, 2007 - Sept 28, 2007 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $2,854 |
| Avg loss | $2,197 |
Ratios
| W:L ratio | 0.95 |
|---|---|
| Sharpe Ratio | -0.55 |
| Sortino Ratio | -0.62 |
| Calmar Ratio | -0.18 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 540.8% |
| 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 Status | 0.0% |
| Ann Return (Compnd, No Fees) | -3.7% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 1.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 100.0% |
| 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 Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,197 |
|---|---|
| Avg Win | $2,854 |
| # Winners | 390 |
| Sum Trade PL (losers) | $1,168,572 |
| Sum Trade PL (winners) | $1,113,048 |
| Num Months Winners | 13 |
| # Losers | 532 |
| % Winners | 42.3% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 23 |
|---|
Frequency
| Avg Position Time (mins) | 2007.07 |
|---|---|
| Avg Position Time (hrs) | 33.45 |
| Avg Trade Length | 1.40 |
| Last Trade Ago | 6893 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.33 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| 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 Strats | 57.88 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 48.58 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.47 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.30 |
| Hold-and-Hope Ratio | -0.03 |
RATIO STATISTICS
| Mean | 0.07 |
|---|---|
| SD | 0.73 |
| Sharpe ratio (Glass type estimate) | 0.10 |
| Sharpe ratio (Hedges UMVUE) | 0.10 |
| df | 90 |
| t | 0.27 |
| p | 0.39 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.61 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.81 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.62 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.81 |
| Sortino ratio | 0.16 |
| Upside Potential Ratio | 1.33 |
| Upside part of mean | 0.58 |
| Downside part of mean | -0.51 |
| Upside SD | 0.58 |
| Downside SD | 0.44 |
| N nonnegative terms | 66 |
| N negative terms | 25 |
| N of observations | 91 |
| Mean of predictor | 0.15 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.24 |
| SD of criterion | 0.73 |
| Covariance | -0.00 |
| r | -0.00 |
| b (slope, estimate of beta) | -0.00 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.54 |
| DF error | 89 |
| 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 beta | 0.65 |
| Lowerbound of 95% confidence interval for alpha | -0.47 |
| Upperbound of 95% confidence interval for alpha | 0.61 |
| Treynor index (mean / b) | -18.21 |
| Jensen alpha (a) | 0.07 |
| Mean | -0.18 |
| SD | 0.73 |
| Sharpe ratio (Glass type estimate) | -0.25 |
| Sharpe ratio (Hedges UMVUE) | -0.25 |
| df | 90 |
| t | -0.69 |
| p | 0.75 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.96 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.46 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.96 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.47 |
| Sortino ratio | -0.31 |
| Upside Potential Ratio | 0.81 |
| Upside part of mean | 0.47 |
| Downside part of mean | -0.65 |
| Upside SD | 0.44 |
| Downside SD | 0.58 |
| N nonnegative terms | 66 |
| N negative terms | 25 |
| N of observations | 91 |
| Mean of predictor | 0.12 |
| Mean of criterion | -0.18 |
| SD of predictor | 0.24 |
| SD of criterion | 0.73 |
| Covariance | 0.01 |
| r | 0.05 |
| b (slope, estimate of beta) | 0.16 |
| a (intercept, estimate of alpha) | -0.20 |
| Mean Square Error | 0.53 |
| DF error | 89 |
| 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 beta | 0.79 |
| Lowerbound of 95% confidence interval for alpha | -0.73 |
| Upperbound of 95% confidence interval for alpha | 0.33 |
| Treynor index (mean / b) | -1.16 |
| Jensen alpha (a) | -0.20 |
| VaR(95%) | 0.30 |
| Expected Shortfall on VaR | 0.36 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.15 |
| Mean | 1.15 |
| SD | 2.00 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.58 |
| df | 1987 |
| t | 1.59 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.14 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.29 |
| Sortino ratio | 1.43 |
| Upside Potential Ratio | 4.58 |
| Upside part of mean | 3.69 |
| Downside part of mean | -2.54 |
| Upside SD | 1.83 |
| Downside SD | 0.81 |
| N nonnegative terms | 1518 |
| N negative terms | 470 |
| N of observations | 1988 |
| Mean of predictor | 0.28 |
| Mean of criterion | 1.15 |
| SD of predictor | 0.55 |
| SD of criterion | 2.00 |
| Covariance | -0.13 |
| r | -0.12 |
| b (slope, estimate of beta) | -0.44 |
| a (intercept, estimate of alpha) | 1.28 |
| Mean Square Error | 3.94 |
| DF error | 1986 |
| 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 alpha | 2.69 |
| Treynor index (mean / b) | -2.59 |
| Jensen alpha (a) | 1.28 |
| Mean | -0.18 |
| SD | 1.58 |
| Sharpe ratio (Glass type estimate) | -0.11 |
| Sharpe ratio (Hedges UMVUE) | -0.11 |
| df | 1987 |
| t | -0.31 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.83 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.60 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.83 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.60 |
| Sortino ratio | -0.16 |
| Upside Potential Ratio | 2.51 |
| Upside part of mean | 2.87 |
| Downside part of mean | -3.05 |
| Upside SD | 1.10 |
| Downside SD | 1.14 |
| N nonnegative terms | 1518 |
| N negative terms | 470 |
| N of observations | 1988 |
| Mean of predictor | 0.13 |
| Mean of criterion | -0.18 |
| SD of predictor | 0.54 |
| SD of criterion | 1.58 |
| Covariance | -0.11 |
| r | -0.13 |
| b (slope, estimate of beta) | -0.37 |
| a (intercept, estimate of alpha) | -0.13 |
| Mean Square Error | 2.47 |
| DF error | 1986 |
| 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 alpha | 0.99 |
| Treynor index (mean / b) | 0.49 |
| Jensen alpha (a) | -0.13 |
| VaR(95%) | 0.15 |
| Expected Shortfall on VaR | 0.18 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 0.89 |
| Mean of criterion | 0 |
| SD of predictor | 0.56 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | 0 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 0.73 |
| Mean of criterion | 0 |
| SD of predictor | 0.57 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.15 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 91 |
|---|---|
| Minimum | 0.44 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 2.16 |
| Mean of quarter 1 | 0.83 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.19 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 19 |
| Percentage of outliers low | 0.21 |
| Mean of outliers low | 0.80 |
| Number of outliers high | 20 |
| Percentage of outliers high | 0.22 |
| Mean of outliers high | 1.22 |
| 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 observations | 1988 |
| Minimum | 0.24 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 4.33 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.06 |
| Inter Quartile Range | 0 |
| Number outliers low | 470 |
| Percentage of outliers low | 0.24 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 460 |
| Percentage of outliers high | 0.23 |
| Mean of outliers high | 1.06 |
| 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 observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| 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 observations | 3 |
|---|---|
| Minimum | 0.09 |
| Quartile 1 | 0.29 |
| Median | 0.48 |
| Quartile 3 | 0.69 |
| Maximum | 0.90 |
| Mean of quarter 1 | 0.09 |
| Mean of quarter 2 | 0.48 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.90 |
| Inter Quartile Range | 0.40 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| 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 observations | 10 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.12 |
| Quartile 3 | 0.28 |
| Maximum | 0.92 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.23 |
| Mean of quarter 4 | 0.59 |
| Inter Quartile Range | 0.27 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.92 |
| 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 observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| 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 Negative | 0.5% |
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 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| 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 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| 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 downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 90 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| GBP/USD | short | 500 | Oct 31, 2006 | Oct 29, 2007 | ($75,050) |
| USD/JPY | long | 1500 | Oct 17, 2006 | Aug 17, 2007 | ($474) |
| USD/CHF | long | 1500 | Oct 17, 2006 | Dec 1, 2006 | ($85,306) |
| USD/CAD | long | 2000 | Oct 17, 2006 | Nov 24, 2006 | $4,039 |
| EUR/USD | short | 2000 | Nov 13, 2006 | Nov 22, 2006 | ($20,800) |
| EUR/USD | short | 2500 | Oct 17, 2006 | Nov 10, 2006 | ($41,800) |
| GBP/USD | short | 2000 | Oct 17, 2006 | Oct 31, 2006 | ($38,100) |
| EUR/USD | long | 500 | Oct 17, 2006 | Oct 17, 2006 | $200 |
| EUR/USD | short | 500 | Oct 17, 2006 | Oct 17, 2006 | ($1,000) |
| USD/CHF | short | 500 | Oct 17, 2006 | Oct 17, 2006 | ($548) |
| USD/CAD | short | 500 | Oct 16, 2006 | Oct 17, 2006 | $179 |
| USD/JPY | short | 500 | Oct 16, 2006 | Oct 17, 2006 | $30 |
| GBP/USD | long | 500 | Oct 17, 2006 | Oct 17, 2006 | $50 |
| GBP/USD | short | 500 | Oct 17, 2006 | Oct 17, 2006 | ($1,900) |
| USD/CHF | long | 500 | Oct 17, 2006 | Oct 17, 2006 | ($1,339) |
| USD/CHF | short | 500 | Oct 16, 2006 | Oct 17, 2006 | $669 |
| GBP/USD | long | 500 | Oct 16, 2006 | Oct 17, 2006 | $2,450 |
| EUR/USD | long | 500 | Oct 16, 2006 | Oct 17, 2006 | $550 |
| USD/CAD | long | 500 | Oct 16, 2006 | Oct 16, 2006 | ($608) |
| EUR/USD | short | 500 | Oct 16, 2006 | Oct 16, 2006 | ($1,400) |
| USD/CHF | long | 500 | Oct 16, 2006 | Oct 16, 2006 | ($2,008) |
| USD/CHF | short | 500 | Oct 16, 2006 | Oct 16, 2006 | ($1,704) |
| EUR/USD | long | 500 | Oct 16, 2006 | Oct 16, 2006 | ($1,300) |
| USD/CHF | long | 500 | Oct 15, 2006 | Oct 16, 2006 | ($1,460) |
| GBP/USD | short | 500 | Oct 15, 2006 | Oct 16, 2006 | ($1,650) |
| USD/JPY | long | 500 | Oct 15, 2006 | Oct 16, 2006 | ($6) |
| USD/CHF | long | 500 | Oct 9, 2006 | Oct 10, 2006 | $3,772 |
| USD/CAD | long | 500 | Oct 9, 2006 | Oct 10, 2006 | $1,072 |
| EUR/USD | short | 500 | Oct 9, 2006 | Oct 10, 2006 | $2,850 |
| USD/JPY | long | 500 | Oct 9, 2006 | Oct 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.