Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW Followed by live capital $119,000 Hypothetical

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CHF.VolaBreakout

By Hans-JrgStrhnz2

Forex · Started Jul 2007

hypothetical · Annual Return (Compounded)
1.3%
Max Drawdown
39.3%
Trades
122
Win Trades
42.6%
Profit Factor
1.20
Win Months
3.5%

About this strategy

It

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2007-2.01.911.9-0.34.0-6.68.2
20089.220.614.914.6-18.2-16.81.10.00.00.00.00.019.4
20090.00.00.00.00.00.00.00.00.00.00.00.00.0
20100.00.00.00.00.0-0.00.0-0.00.00.00.00.0-0.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began7/2/2007
Suggested Minimum Capital$100,000
Age234 months
What it tradesForex
# Trades122
# Profitable52
% Profitable42.6%
Avg trade duration5.1 hours
Max peak-to-valley drawdown39.3%
drawdown periodApril 25, 2008 - July 03, 2008
Annual Return (Compounded)1.3%
Avg win$5,973
Avg loss$3,688

Ratios

W:L ratio1.20
Sharpe Ratio-0.02
Sortino Ratio-0.04
Calmar Ratio0.12

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life402.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-374.8%

Return Statistics

Ann Return (w trading costs)1.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.2%

Slump

Current Slump as Pcnt Equity56.3%
Current Slump, time of slump as pcnt of strategy life1.0%

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 loss6.7%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

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$3,688
Avg Win$5,973
# Winners52
Sum Trade PL (losers)$258,176
Sum Trade PL (winners)$310,592
Num Months Winners10
# Losers70
% Winners42.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table231

Frequency

Avg Position Time (mins)303.52
Avg Position Time (hrs)5.06
Avg Trade Length0.20
Last Trade Ago6642

Regression

Alpha0
Beta0.01
Treynor Index-0.03

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.03
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 trades31.68
MAE:PL (avg, all trades)-0.75
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats60.69
MAE:PL - Winning Trades - this strat Percentile of All Strats50.17
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.29
Avg(MAE) / Avg(PL) - Losing trades-1.08
Hold-and-Hope Ratio0.03

RATIO STATISTICS

Mean0.07
SD0.23
Sharpe ratio (Glass type estimate)0.32
Sharpe ratio (Hedges UMVUE)0.32
df72
t0.80
p0.21
Lowerbound of 95% confidence interval for Sharpe Ratio-0.47
Upperbound of 95% confidence interval for Sharpe Ratio1.12
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.48
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.12
Sortino ratio0.56
Upside Potential Ratio1.37
Upside part of mean0.18
Downside part of mean-0.11
Upside SD0.19
Downside SD0.13
N nonnegative terms66
N negative terms7
N of observations73
Mean of predictor0.19
Mean of criterion0.07
SD of predictor0.25
SD of criterion0.23
Covariance-0.00
r-0.05
b (slope, estimate of beta)-0.05
a (intercept, estimate of alpha)0.08
Mean Square Error0.05
DF error71
t(b)-0.44
p(b)0.67
t(a)0.87
p(a)0.19
Lowerbound of 95% confidence interval for beta-0.27
Upperbound of 95% confidence interval for beta0.17
Lowerbound of 95% confidence interval for alpha-0.11
Upperbound of 95% confidence interval for alpha0.27
Treynor index (mean / b)-1.52
Jensen alpha (a)0.08
Mean0.05
SD0.23
Sharpe ratio (Glass type estimate)0.21
Sharpe ratio (Hedges UMVUE)0.21
df72
t0.53
p0.30
Lowerbound of 95% confidence interval for Sharpe Ratio-0.58
Upperbound of 95% confidence interval for Sharpe Ratio1.01
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.58
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.01
Sortino ratio0.33
Upside Potential Ratio1.12
Upside part of mean0.17
Downside part of mean-0.12
Upside SD0.17
Downside SD0.15
N nonnegative terms66
N negative terms7
N of observations73
Mean of predictor0.16
Mean of criterion0.05
SD of predictor0.25
SD of criterion0.23
Covariance-0.00
r-0.04
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.05
Mean Square Error0.05
DF error71
t(b)-0.32
p(b)0.63
t(a)0.58
p(a)0.28
Lowerbound of 95% confidence interval for beta-0.25
Upperbound of 95% confidence interval for beta0.18
Lowerbound of 95% confidence interval for alpha-0.13
Upperbound of 95% confidence interval for alpha0.24
Treynor index (mean / b)-1.39
Jensen alpha (a)0.05
VaR(95%)0.10
Expected Shortfall on VaR0.12
VaR(95%)0.00
Expected Shortfall on VaR0.02
Mean0.38
SD0.85
Sharpe ratio (Glass type estimate)0.44
Sharpe ratio (Hedges UMVUE)0.44
df1596
t1.09
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.35
Upperbound of 95% confidence interval for Sharpe Ratio1.24
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.35
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.24
Sortino ratio0.80
Upside Potential Ratio3.39
Upside part of mean1.59
Downside part of mean-1.21
Upside SD0.71
Downside SD0.47
N nonnegative terms1453
N negative terms144
N of observations1597
Mean of predictor0.39
Mean of criterion0.38
SD of predictor0.59
SD of criterion0.85
Covariance-0.07
r-0.14
b (slope, estimate of beta)-0.20
a (intercept, estimate of alpha)0.46
Mean Square Error0.71
DF error1595
t(b)-5.62
p(b)0.59
t(a)1.33
p(a)0.48
Lowerbound of 95% confidence interval for beta-0.27
Upperbound of 95% confidence interval for beta-0.13
Lowerbound of 95% confidence interval for alpha-0.22
Upperbound of 95% confidence interval for alpha1.13
Treynor index (mean / b)-1.88
Jensen alpha (a)0.46
Mean0.05
SD0.80
Sharpe ratio (Glass type estimate)0.06
Sharpe ratio (Hedges UMVUE)0.06
df1596
t0.15
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.73
Upperbound of 95% confidence interval for Sharpe Ratio0.85
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.73
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85
Sortino ratio0.09
Upside Potential Ratio2.56
Upside part of mean1.39
Downside part of mean-1.34
Upside SD0.58
Downside SD0.54
N nonnegative terms1453
N negative terms144
N of observations1597
Mean of predictor0.22
Mean of criterion0.05
SD of predictor0.59
SD of criterion0.80
Covariance-0.06
r-0.13
b (slope, estimate of beta)-0.18
a (intercept, estimate of alpha)0.09
Mean Square Error0.63
DF error1595
t(b)-5.42
p(b)0.59
t(a)0.27
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.25
Upperbound of 95% confidence interval for beta-0.12
Lowerbound of 95% confidence interval for alpha-0.54
Upperbound of 95% confidence interval for alpha0.72
Treynor index (mean / b)-0.27
Jensen alpha (a)0.09
VaR(95%)0.08
Expected Shortfall on VaR0.10
VaR(95%)0.00
Expected Shortfall on VaR0.01
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 predictor1.79
Mean of criterion0
SD of predictor0.68
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 predictor1.57
Mean of criterion0
SD of predictor0.65
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)0.08
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 observations73
Minimum0.74
Quartile 11
Median1
Quartile 31
Maximum1.24
Mean of quarter 10.97
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.06
Inter Quartile Range0
Number outliers low7
Percentage of outliers low0.10
Mean of outliers low0.91
Number of outliers high10
Percentage of outliers high0.14
Mean of outliers high1.11
Extreme Value Index (moments method)-159.47
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.31
VaR(95%) (regression method)0.04
Expected Shortfall (regression method)0.09
Number of observations1597
Minimum0.58
Quartile 11
Median1
Quartile 31
Maximum1.72
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.02
Inter Quartile Range0
Number outliers low144
Percentage of outliers low0.09
Mean of outliers low0.95
Number of outliers high138
Percentage of outliers high0.09
Mean of outliers high1.07
Extreme Value Index (moments method)1.07
VaR(95%) (moments method)0.00
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
Minimum0.13
Quartile 10.14
Median0.16
Quartile 30.25
Maximum0.33
Mean of quarter 10.13
Mean of quarter 20.16
Mean of quarter 30
Mean of quarter 40.33
Inter Quartile Range0.10
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 observations7
Minimum0.01
Quartile 10.22
Median0.33
Quartile 30.37
Maximum0.42
Mean of quarter 10.09
Mean of quarter 20.30
Mean of quarter 30.33
Mean of quarter 40.41
Inter Quartile Range0.14
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 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?-405626240
Max Equity Drawdown (num days)69
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.06
Compounded annual return (geometric extrapolation)0.05
Calmar ratio (compounded annual return / max draw down)0.15
Compounded annual return / average of 25% largest draw downs0.15
Compounded annual return / Expected Shortfall lognormal0.41
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.06
Compounded annual return (geometric extrapolation)0.05
Calmar ratio (compounded annual return / max draw down)0.12
Compounded annual return / average of 25% largest draw downs0.12
Compounded annual return / Expected Shortfall lognormal0.51
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 26 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
USD/CHF long2040Jul 7, 2008Jul 7, 2008($6,161)
USD/CHF long1880Jul 3, 2008Jul 3, 2008$14,729
USD/CHF short1950Jul 1, 2008Jul 1, 2008($5,912)
USD/CHF short2010Jun 26, 2008Jun 26, 2008($6,094)
USD/CHF long2000Jun 23, 2008Jun 23, 2008$1,213
USD/CHF short2000Jun 20, 2008Jun 22, 2008($97)
USD/CHF long1970Jun 19, 2008Jun 19, 2008$1,816
USD/CHF long2040Jun 13, 2008Jun 13, 2008($6,185)
USD/CHF long1950Jun 12, 2008Jun 12, 2008$9,649
USD/CHF long2010Jun 10, 2008Jun 10, 2008($6,094)
USD/CHF short2110Jun 5, 2008Jun 5, 2008($3,506)
USD/CHF long2110Jun 5, 2008Jun 5, 2008($6,398)
USD/CHF long2250Jun 3, 2008Jun 3, 2008($6,822)
USD/CHF short2250Jun 3, 2008Jun 3, 2008($6,822)
USD/CHF long2320May 29, 2008May 29, 2008($7,034)
USD/CHF long2390May 27, 2008May 27, 2008($7,247)
USD/CHF short2430May 23, 2008May 23, 2008($2,652)
USD/CHF long2340May 22, 2008May 22, 2008($7,095)
USD/CHF short2340May 20, 2008May 20, 2008$16,489
USD/CHF short2270May 16, 2008May 18, 2008$7,020
USD/CHF long2270May 15, 2008May 15, 2008($1,266)
USD/CHF long2350May 13, 2008May 13, 2008($7,125)
USD/CHF short2410May 9, 2008May 9, 2008($7,307)
USD/CHF short2500May 8, 2008May 8, 2008($7,580)
USD/CHF short2590May 6, 2008May 6, 2008($7,853)
USD/CHF long2660May 2, 2008May 2, 2008($8,065)
USD/CHF long2740Apr 30, 2008Apr 30, 2008($8,308)
USD/CHF long2830Apr 29, 2008Apr 29, 2008($8,581)
USD/CHF long840Apr 24, 2008Apr 24, 2008$10,116
USD/CHF long840Apr 23, 2008Apr 23, 2008$917

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.