FX Low Risk
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 45.8%
- Trades
- 167
- Win Trades
- 47.9%
- Profit Factor
- 1
- Win Months
- 9.8%
About this strategy
... The purpose is to build less volatile system with stable returns. Drawdown should be below 5% and return over 50%. The main focus is on forex and stock indices with trades build usually on intraday basis. There is always set a stop on each trade, t/p is usually around 30-40 pips far from spot depending on future market conditions. Trading time is 6-16GMT.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | -2.8 | 12.1 | 7.3 | 1.5 | 43.5 | -4.1 | -0.5 | -19.2 | 31.4 | ||||
| 2007 | 9.3 | -0.2 | -0.1 | 0.1 | 0.3 | 0.1 | -0.4 | -0.2 | -0.1 | 0.0 | -31.2 | 0.1 | -25.0 |
| 2008 | -0.8 | -0.3 | -0.8 | 0.8 | 2.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.9 |
| 2009 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2010 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | -0.0 | 0.0 | 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 | 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 | 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 | 0.0 |
| 2014 | 0.0 | 2.1 | 0.1 | 0.2 | -0.5 | 0.0 | -0.5 | -0.6 | -0.9 | -0.4 | -0.1 | -0.6 | -1.2 |
| 2015 | -1.9 | -0.2 | -1.0 | 0.8 | -0.3 | 0.1 | 0.0 | 0.3 | -0.1 | -0.3 | -0.9 | 0.8 | -2.6 |
| 2016 | -0.3 | 0.2 | 0.6 | 0.4 | -0.5 | -0.4 | 0.1 | 0.3 | 0.1 | -0.8 | 0.0 | 0.0 | -0.1 |
| 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 | 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 | 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 | 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 | 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 | 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 | 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 | 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 | 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 | 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 | 5/18/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 247 months |
| What it trades | Futures, Forex |
| # Trades | 167 |
| # Profitable | 80 |
| % Profitable | 47.9% |
| Avg trade duration | 1.9 days |
| Max peak-to-valley drawdown | 45.8% |
| drawdown period | Nov 06, 2006 - March 17, 2008 |
| Annual return (compounded) | 0.5% |
| Avg win | $3,649 |
| Avg loss | $3,284 |
Ratios
| W:L ratio | 1.02 |
|---|---|
| Sharpe Ratio | -0.09 |
| Sortino Ratio | -0.12 |
| Calmar Ratio | -0.07 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 505.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -18.9% |
Return Statistics
| Ann Return (w trading costs) | 0.0% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.5% |
Slump
| Current Slump as Pcnt Equity | 99.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.8% |
|---|---|
| Percent Trades Futures | 0.2% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $3,284 |
|---|---|
| Avg Win | $3,648 |
| # Winners | 80 |
| Sum Trade PL (losers) | $285,686 |
| Sum Trade PL (winners) | $291,880 |
| Num Months Winners | 29 |
| # Losers | 87 |
| % Winners | 47.9% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 245 |
|---|
Frequency
| Avg Position Time (mins) | 2785.18 |
|---|---|
| Avg Position Time (hrs) | 46.42 |
| Avg Trade Length | 1.90 |
| Last Trade Ago | 7214 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -0.32 |
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 | 0.03 |
| 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 | 9.27 |
| MAE:PL (avg, all trades) | -0.87 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 74.08 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 47.21 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.45 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.33 |
| Hold-and-Hope Ratio | 0.11 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | -0.01 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.04 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 497 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 163 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SP Z6 | short | 5 | Oct 20, 2006 | Dec 14, 2006 | ($52,165) |
| GC Z6 | long | 5 | Oct 6, 2006 | Dec 1, 2006 | $31,800 |
| EUR/USD | short | 1000 | Oct 19, 2006 | Oct 25, 2006 | $4,000 |
| GBP/USD | short | 2000 | Oct 19, 2006 | Oct 22, 2006 | ($1,300) |
| GBP/USD | short | 2000 | Oct 18, 2006 | Oct 18, 2006 | $4,900 |
| GBP/USD | long | 1000 | Oct 18, 2006 | Oct 18, 2006 | ($100) |
| USD/JPY | short | 1000 | Oct 13, 2006 | Oct 16, 2006 | $22 |
| GBP/USD | long | 2000 | Oct 13, 2006 | Oct 16, 2006 | ($600) |
| USD/JPY | short | 1000 | Oct 12, 2006 | Oct 13, 2006 | ($10) |
| EUR/USD | long | 1000 | Oct 12, 2006 | Oct 13, 2006 | ($4,100) |
| GBP/USD | long | 1000 | Oct 12, 2006 | Oct 13, 2006 | $3,300 |
| CL Z6 | long | 3 | Oct 6, 2006 | Oct 12, 2006 | ($3,174) |
| EUR/USD | long | 1000 | Oct 12, 2006 | Oct 12, 2006 | ($1,600) |
| GBP/USD | short | 1000 | Oct 11, 2006 | Oct 11, 2006 | ($1,800) |
| XG Z6 | short | 2 | Oct 6, 2006 | Oct 11, 2006 | ($2,171) |
| GBP/USD | short | 1000 | Oct 11, 2006 | Oct 11, 2006 | $1,500 |
| EUR/USD | long | 2000 | Oct 6, 2006 | Oct 10, 2006 | ($8,500) |
| GBP/USD | long | 1000 | Oct 10, 2006 | Oct 10, 2006 | ($4,800) |
| GBP/USD | long | 2000 | Oct 10, 2006 | Oct 10, 2006 | $1,200 |
| GBP/USD | long | 1000 | Oct 10, 2006 | Oct 10, 2006 | ($3,000) |
| GBP/USD | long | 1000 | Oct 9, 2006 | Oct 10, 2006 | $4,600 |
| GBP/USD | long | 500 | Oct 9, 2006 | Oct 9, 2006 | ($850) |
| GBP/USD | long | 1000 | Oct 6, 2006 | Oct 9, 2006 | ($2,900) |
| GC X6 | long | 2 | Oct 6, 2006 | Oct 6, 2006 | ($16) |
| GBP/USD | long | 1000 | Oct 6, 2006 | Oct 6, 2006 | $2,850 |
| EUR/GBP | long | 1000 | Oct 6, 2006 | Oct 6, 2006 | ($268) |
| EUR/GBP | long | 1000 | Oct 6, 2006 | Oct 6, 2006 | $1,339 |
| GBP/USD | long | 1000 | Oct 6, 2006 | Oct 6, 2006 | ($2,000) |
| GBP/USD | short | 2000 | Oct 6, 2006 | Oct 6, 2006 | $6,800 |
| GBP/USD | long | 500 | Oct 6, 2006 | Oct 6, 2006 | ($250) |
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.