USD/CAD-Mover
- hypothetical · Annual Return (Compounded)
- -11.8%
- Max Drawdown
- 100.0%
- Trades
- 36
- Win Trades
- 77.8%
- Profit Factor
- 6.20
- Win Months
- 46.1%
About this strategy
Coming soon
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | 9.7 | 17.1 | -3.2 | 5.3 | 8.8 | 19.5 | 6.1 | 80.7 | |||||
| 2007 | 5.6 | -4.8 | -5.4 | -18.7 | -22.7 | -2.1 | 2.1 | -12.6 | -83.8 | -410.3 | -149.2 | -68.3 | -95.9 |
| 2008 | 226.0 | -104.2 | -5979.2 | -39.1 | -62.7 | 174.7 | 50.4 | 95.4 | -7.4 | 161.5 | 8.3 | -6.6 | 3473.6 |
| 2009 | 2.8 | 14.9 | -5.4 | -18.9 | -45.7 | 61.7 | -43.9 | 15.7 | -21.1 | 13.9 | -24.6 | -11.7 | -69.1 |
| 2010 | 34.3 | -5.9 | -61.2 | 1.1 | 107.2 | 5.9 | -33.9 | 74.1 | -44.2 | -24.8 | 13.0 | -58.0 | -75.1 |
| 2011 | -7.6 | -202.1 | -35.9 | -296.2 | -73.7 | -100.1 | -378976.9 | -75.4 | -608.1 | 0.8 | 18.4 | -37.4 | 126.3 |
| 2012 | -49.7 | -40.0 | 1.7 | -106.9 | -7472.3 | -39.6 | -51.3 | -108.9 | -229.2 | -405.9 | -54.7 | 65.5 | -69.3 |
| 2013 | 45.7 | 179.7 | -12.7 | -11.2 | 54.6 | 14.5 | -32.1 | 53.3 | -30.6 | 33.3 | 16.0 | 10.8 | 592.7 |
| 2014 | 57.9 | 0.3 | 6.2 | -17.4 | -5.6 | -24.3 | 34.5 | -4.3 | 29.6 | -0.8 | 9.9 | 15.9 | 109.8 |
| 2015 | 49.6 | -6.3 | 1.6 | -12.4 | 9.7 | 3.5 | 15.2 | 4.1 | 1.2 | -5.0 | 4.5 | 12.5 | 92.2 |
| 2016 | 5.2 | -8.0 | -10.2 | -15.4 | 13.5 | 0.2 | 0.1 | -1.0 | 3.0 | 6.2 | 0.8 | -0.0 | -8.5 |
| 2017 | -6.1 | 1.8 | 2.0 | 7.3 | -4.0 | -9.9 | -14.4 | -1.4 | 1.1 | 14.3 | -5.7 | -3.0 | -19.2 |
| 2018 | -4.7 | 13.1 | 1.8 | -1.4 | 2.2 | 6.8 | -5.3 | 1.1 | -0.6 | 2.6 | 3.5 | 7.5 | 28.1 |
| 2019 | -10.8 | 4.6 | 0.5 | 2.6 | 0.7 | 0.0 | 4.0 | -1.5 | -3.6 | 4.9 | -4.1 | -10.7 | |
| 2020 | 2.7 | 2.2 | 16.8 | -2.1 | -5.0 | -3.7 | -2.6 | -5.8 | 3.6 | -0.0 | -7.3 | -3.7 | -6.7 |
| 2021 | -1.8 | -1.0 | -4.6 | -4.2 | -12.0 | 8.6 | 4.7 | 6.1 | 3.4 | -9.5 | 11.3 | 0.8 | -1.0 |
| 2022 | -1.3 | -0.8 | -6.4 | 10.4 | -5.1 | 6.1 | -0.8 | 2.6 | 16.6 | -0.1 | -5.4 | 4.8 | 19.6 |
| 2023 | -6.0 | 6.4 | -1.8 | 0.6 | 1.9 | -8.1 | -0.8 | 8.7 | -0.5 | 3.9 | -4.5 | -4.3 | -5.7 |
| 2024 | 2.6 | 2.1 | 0.7 | 3.2 | -2.7 | 2.3 | 1.1 | -5.9 | 1.5 | 6.4 | 1.9 | 6.2 | 20.9 |
| 2025 | 0.7 | -3.1 | 0.9 | -7.0 | -2.1 | -0.1 | -2.3 | 5.5 | -0.0 | -0.0 | -0.0 | -0.0 | -7.8 |
| 2026 | 0.0 | -0.0 | -0.0 | -0.0 | -0.0 | 0.0 | -0.0 | -0.0 | 0.0 | -0.1 |
Statistics
Overview
| Strategy began | 6/12/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 247 months |
| What it trades | Forex |
| # Trades | 36 |
| # Profitable | 28 |
| % Profitable | 77.8% |
| Avg trade duration | 189.9 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Aug 04, 2011 - June 19, 2014 |
| Annual return (compounded) | 7.2% |
| Avg win | $13,031 |
| Avg loss | $7,313 |
Ratios
| W:L ratio | 6.24 |
|---|---|
| Sharpe Ratio | -0.19 |
| Sortino Ratio | -0.19 |
| Calmar Ratio | 0.12 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.13 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 517.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -72.0% |
Return Statistics
| Ann Return (w trading costs) | -11.8% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 7.2% |
Slump
| Current Slump as Pcnt Equity | 13.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.5% |
Instruments
| Percent Trades Forex | 1.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Automation
| Percentage Signals Automated | 1.4% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $7,313 |
|---|---|
| Avg Win | $13,030 |
| # Winners | 28 |
| Sum Trade PL (losers) | $58,503 |
| Sum Trade PL (winners) | $364,853 |
| Num Months Winners | 8 |
| # Losers | 8 |
| % Winners | 77.8% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 17 |
|---|
Frequency
| Avg Position Time (mins) | 273519.88 |
|---|---|
| Avg Position Time (hrs) | 4558.67 |
| Avg Trade Length | 189.90 |
| Last Trade Ago | 390 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -1.74 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.06 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.06 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.06 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 1.69 |
| MAE:PL (avg, all trades) | 1.11 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 67.42 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 68.87 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.23 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.21 |
| Hold-and-Hope Ratio | 0.59 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 16886.55 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.78 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 1050 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.8% |
Trading record
Placed 58 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| USD/CAD | long | 1200 | Feb 22, 2007 | Aug 21, 2025 | $223,594 |
| USD/CAD | long | 800 | Feb 13, 2007 | Feb 21, 2007 | ($4,170) |
| USD/CAD | long | 800 | Feb 4, 2007 | Feb 13, 2007 | ($10,224) |
| USD/CAD | long | 800 | Jan 23, 2007 | Feb 2, 2007 | $1,085 |
| USD/CAD | short | 800 | Jan 22, 2007 | Jan 22, 2007 | $800 |
| USD/CAD | long | 800 | Jan 22, 2007 | Jan 22, 2007 | $5,255 |
| USD/CAD | long | 800 | Jan 12, 2007 | Jan 16, 2007 | $3,313 |
| USD/CAD | short | 800 | Jan 4, 2007 | Jan 12, 2007 | $2,513 |
| USD/CAD | long | 800 | Dec 18, 2006 | Dec 22, 2006 | $2,456 |
| USD/CAD | long | 800 | Dec 13, 2006 | Dec 14, 2006 | $3,484 |
| USD/CAD | short | 800 | Dec 12, 2006 | Dec 13, 2006 | $1,371 |
| USD/CAD | long | 800 | Dec 4, 2006 | Dec 6, 2006 | $3,313 |
| USD/CAD | short | 800 | Nov 30, 2006 | Dec 4, 2006 | ($857) |
| USD/CAD | long | 800 | Nov 27, 2006 | Nov 30, 2006 | $3,941 |
| USD/CAD | short | 800 | Nov 16, 2006 | Nov 24, 2006 | $4,112 |
| USD/CAD | short | 800 | Nov 15, 2006 | Nov 15, 2006 | $1,999 |
| USD/CAD | long | 800 | Nov 2, 2006 | Nov 15, 2006 | $4,684 |
| USD/CAD | long | 800 | Oct 31, 2006 | Nov 2, 2006 | $7,368 |
| USD/CAD | long | 800 | Oct 23, 2006 | Oct 26, 2006 | ($3,141) |
| USD/CAD | long | 800 | Oct 17, 2006 | Oct 18, 2006 | $3,998 |
| USD/CAD | long | 800 | Oct 12, 2006 | Oct 13, 2006 | $2,970 |
| USD/CAD | long | 800 | Oct 10, 2006 | Oct 11, 2006 | $2,970 |
| USD/CAD | short | 800 | Oct 6, 2006 | Oct 6, 2006 | ($2,685) |
| USD/CAD | long | 800 | Sep 21, 2006 | Oct 5, 2006 | $4,170 |
| USD/CAD | short | 800 | Sep 14, 2006 | Sep 21, 2006 | ($571) |
| USD/CAD | long | 800 | Aug 23, 2006 | Sep 12, 2006 | $5,769 |
| USD/CAD | long | 800 | Aug 14, 2006 | Aug 23, 2006 | ($14,279) |
| USD/CAD | short | 800 | Aug 10, 2006 | Aug 11, 2006 | $4,398 |
| USD/CAD | long | 800 | Aug 7, 2006 | Aug 10, 2006 | $3,541 |
| USD/CAD | short | 800 | Jul 13, 2006 | Aug 7, 2006 | $4,969 |
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.