Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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GFCM fx2

By IndunilDon2

Forex · Started Jul 2007

hypothetical · Annual Return (Compounded)
-3.0%
Max Drawdown
59.6%
Trades
50
Win Trades
50.0%
Profit Factor
0.70
Win Months
0.9%

About this strategy





We use a monthly, weekly and intra-day trend following system to generate high probability trades on GBP/JPY, USD/JPY and GBP/USD pairs. Every single trade is analyzed and verified before we enter the market to maintain its accuracy and profitability.

Our signals are a mix of short-term swing(GBP/JPY) and intra day(USD/JPY,GBP/USD).

Our target is 200% capital growth per year.


Our prime objective is to avoid unnecessary risks.

We believe a proper money management strategy is the only way to succeed in forex and achieve consistent gains in the long run. We follow very strict money management guidelines at all times . We follow very strict set of rules on Stop Losses and trade exits in order to minimize the drawdowns and losses. All our signals/trades come with pre-calculated Stop loss and Take profit targets.

Recommended Money management:


Maximum risk per pair : (Revised on 18/July/2007)



GBP/JPY 2.5% (swing)
USD/JPY 1% (intra-day)
GBP/USD 1.6 % (intra-day)


Maximum total portfolio risk exposure at any given time: 4 %



If you need any assistance or information please contact us: autotrade@gfcm.biz

Website: www.forex-autotrade.com , www.gfcm.biz


















Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200731.8-54.2-1.8-1.7-1.4-3.6-44.6
20080.00.00.00.00.00.00.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.0-0.00.1-0.00.00.0-0.00.0
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
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began7/3/2007
Suggested Minimum Capital$10,000
Age234 months
What it tradesForex
# Trades50
# Profitable25
% Profitable50.0%
Avg trade duration16.1 hours
Max peak-to-valley drawdown59.6%
drawdown periodJuly 31, 2007 - Aug 21, 2007
Annual Return (Compounded)-3.0%
Avg win$300
Avg loss$441

Ratios

W:L ratio0.68
Sharpe Ratio-0.22
Sortino Ratio-0.28
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life400.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-446.8%

Return Statistics

Ann Return (w trading costs)-3.0%
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 Equity142.4%
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 loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)6.7%
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)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$441
Avg Win$300
# Winners25
Sum Trade PL (losers)$11,014
Sum Trade PL (winners)$7,512
Num Months Winners4
# Losers25
% Winners50.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table231

Frequency

Avg Position Time (mins)963.25
Avg Position Time (hrs)16.05
Avg Trade Length0.70
Last Trade Ago6954

Regression

Alpha-0.01
Beta0.01
Treynor Index-2.04

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04
MAE:Equity, 95th Percentile Value for this strat0.65
MAE:Equity, average, losing trades0.06
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-9.18
MAE:PL (avg, all trades)-0.27
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats39.51
MAE:PL - Winning Trades - this strat Percentile of All Strats33.68
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.66
Avg(MAE) / Avg(PL) - Losing trades-1.06
Hold-and-Hope Ratio-0.11

RATIO STATISTICS

Mean0.04
SD0.31
Sharpe ratio (Glass type estimate)0.14
Sharpe ratio (Hedges UMVUE)0.14
df70
t0.33
p0.37
Lowerbound of 95% confidence interval for Sharpe Ratio-0.67
Upperbound of 95% confidence interval for Sharpe Ratio0.94
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.67
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.94
Sortino ratio0.27
Upside Potential Ratio0.68
Upside part of mean0.11
Downside part of mean-0.07
Upside SD0.26
Downside SD0.16
N nonnegative terms65
N negative terms6
N of observations71
Mean of predictor0.22
Mean of criterion0.04
SD of predictor0.32
SD of criterion0.31
Covariance-0.01
r-0.07
b (slope, estimate of beta)-0.07
a (intercept, estimate of alpha)0.06
Mean Square Error0.10
DF error69
t(b)-0.61
p(b)0.73
t(a)0.45
p(a)0.33
Lowerbound of 95% confidence interval for beta-0.30
Upperbound of 95% confidence interval for beta0.16
Lowerbound of 95% confidence interval for alpha-0.20
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)-0.61
Jensen alpha (a)0.06
Mean0.00
SD0.29
Sharpe ratio (Glass type estimate)0.00
Sharpe ratio (Hedges UMVUE)0.00
df70
t0.00
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.81
Upperbound of 95% confidence interval for Sharpe Ratio0.81
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.81
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.81
Sortino ratio0.00
Upside Potential Ratio0.41
Upside part of mean0.08
Downside part of mean-0.08
Upside SD0.20
Downside SD0.20
N nonnegative terms65
N negative terms6
N of observations71
Mean of predictor0.17
Mean of criterion0.00
SD of predictor0.33
SD of criterion0.29
Covariance-0.01
r-0.06
b (slope, estimate of beta)-0.05
a (intercept, estimate of alpha)0.01
Mean Square Error0.09
DF error69
t(b)-0.47
p(b)0.68
t(a)0.07
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.27
Upperbound of 95% confidence interval for beta0.16
Lowerbound of 95% confidence interval for alpha-0.23
Upperbound of 95% confidence interval for alpha0.25
Treynor index (mean / b)-0.00
Jensen alpha (a)0.01
VaR(95%)0.13
Expected Shortfall on VaR0.16
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0.06
SD0.35
Sharpe ratio (Glass type estimate)0.16
Sharpe ratio (Hedges UMVUE)0.16
df1559
t0.39
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.64
Upperbound of 95% confidence interval for Sharpe Ratio0.96
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.64
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.96
Sortino ratio0.28
Upside Potential Ratio1.53
Upside part of mean0.30
Downside part of mean-0.25
Upside SD0.29
Downside SD0.20
N nonnegative terms1495
N negative terms65
N of observations1560
Mean of predictor0.44
Mean of criterion0.06
SD of predictor0.67
SD of criterion0.35
Covariance-0.00
r-0.00
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)0.06
Mean Square Error0.12
DF error1558
t(b)-0.10
p(b)0.50
t(a)0.39
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.03
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha-0.23
Upperbound of 95% confidence interval for alpha0.34
Treynor index (mean / b)-40.96
Jensen alpha (a)0.06
Mean0.00
SD0.33
Sharpe ratio (Glass type estimate)0.00
Sharpe ratio (Hedges UMVUE)0.00
df1559
t0.00
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.80
Upperbound of 95% confidence interval for Sharpe Ratio0.80
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.80
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80
Sortino ratio0.00
Upside Potential Ratio1.24
Upside part of mean0.27
Downside part of mean-0.27
Upside SD0.24
Downside SD0.22
N nonnegative terms1495
N negative terms65
N of observations1560
Mean of predictor0.22
Mean of criterion0.00
SD of predictor0.67
SD of criterion0.33
Covariance-0.00
r-0.00
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)0.00
Mean Square Error0.11
DF error1558
t(b)-0.09
p(b)0.50
t(a)0.00
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.03
Upperbound of 95% confidence interval for beta0.02
Lowerbound of 95% confidence interval for alpha-0.26
Upperbound of 95% confidence interval for alpha0.26
Treynor index (mean / b)-0.18
Jensen alpha (a)0.00
VaR(95%)0.03
Expected Shortfall on VaR0.04
VaR(95%)0
Expected Shortfall on VaR0
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 predictor1.85
Mean of criterion0
SD of predictor0.78
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 predictor1.53
Mean of criterion0
SD of predictor0.80
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)0.03
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 observations71
Minimum0.61
Quartile 11
Median1
Quartile 31
Maximum1.64
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.04
Inter Quartile Range0
Number outliers low6
Percentage of outliers low0.08
Mean of outliers low0.93
Number of outliers high4
Percentage of outliers high0.06
Mean of outliers high1.16
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 observations1560
Minimum0.78
Quartile 11
Median1
Quartile 31
Maximum1.54
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low65
Percentage of outliers low0.04
Mean of outliers low0.98
Number of outliers high76
Percentage of outliers high0.05
Mean of outliers high1.02
Extreme Value Index (moments method)2.38
VaR(95%) (moments method)-0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0.33
VaR(95%) (regression method)-0.02
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 observations1
Minimum0.39
Quartile 10.39
Median0.39
Quartile 30.39
Maximum0.39
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
Number of observations3
Minimum0.01
Quartile 10.04
Median0.07
Quartile 30.31
Maximum0.54
Mean of quarter 10.01
Mean of quarter 20.07
Mean of quarter 30
Mean of quarter 40.54
Inter Quartile Range0.27
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?-402215296
Max Equity Drawdown (num days)21
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.00
Compounded annual return (geometric extrapolation)0.00
Calmar ratio (compounded annual return / max draw down)0.00
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0.00
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.00
Compounded annual return (geometric extrapolation)0.00
Calmar ratio (compounded annual return / max draw down)0.00
Compounded annual return / average of 25% largest draw downs0.00
Compounded annual return / Expected Shortfall lognormal0.00
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 83 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
GBP/JPY short120Aug 29, 2007Aug 29, 2007($16)
GBP/JPY long60Aug 21, 2007Aug 29, 2007$9
GBP/JPY long60Aug 20, 2007Aug 20, 2007($6)
GBP/JPY long60Aug 20, 2007Aug 20, 2007$5
GBP/JPY short150Aug 1, 2007Aug 8, 2007($39)
GBP/USD long20Jul 31, 2007Aug 1, 2007($240)
GBP/JPY long120Aug 1, 2007Aug 1, 2007($6)
GBP/JPY long70Jul 30, 2007Jul 31, 2007$1
GBP/JPY short20Jul 30, 2007Jul 30, 2007($0)
GBP/JPY short120Jul 29, 2007Jul 30, 2007$4
GBP/JPY short30Jul 27, 2007Jul 29, 2007$2
GBP/USD short40Jul 27, 2007Jul 27, 2007$172
GBP/JPY short20Jul 27, 2007Jul 27, 2007($1)
GBP/JPY short30Jul 27, 2007Jul 27, 2007($0)
GBP/JPY short80Jul 23, 2007Jul 26, 2007$7
GBP/JPY short100Jul 22, 2007Jul 23, 2007$2
GBP/JPY short20Jul 20, 2007Jul 22, 2007($1)
GBP/JPY short20Jul 20, 2007Jul 20, 2007($0)
GBP/JPY long20Jul 19, 2007Jul 20, 2007($1)
GBP/USD short100Jul 19, 2007Jul 19, 2007$54
GBP/USD short60Jul 18, 2007Jul 19, 2007$254
GBP/JPY short20Jul 19, 2007Jul 19, 2007($0)
GBP/JPY long20Jul 18, 2007Jul 19, 2007$0
GBP/USD long20Jul 18, 2007Jul 18, 2007($18)
USD/JPY long20Jul 18, 2007Jul 18, 2007($0)
GBP/USD short20Jul 18, 2007Jul 18, 2007($4)
USD/JPY long20Jul 18, 2007Jul 18, 2007$0
USD/JPY long20Jul 17, 2007Jul 17, 2007($0)
GBP/JPY long80Jul 16, 2007Jul 17, 2007$6
USD/JPY long20Jul 16, 2007Jul 17, 2007$0

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.