DataGlobe FX II
- hypothetical · Annual Return (Compounded)
- 0.9%
- Max Drawdown
- 97.4%
- Trades
- 63
- Win Trades
- 84.1%
- Profit Factor
- 1.10
- Win Months
- 49.1%
About this strategy
Generally speaking, our smallest gain on a profitable trade will be 75 pips. Our system charges just $49 per profitable trade. As long as you trade $1/pip or more - you cant lose!
Please visit our website at www.dataglobe.biz
We make our money by trading our own signals. When we routinely bank over 1000+ pips per month, we dont need subscribers to make our money. We offer trading signals on C2 for FUN. Participation in this system is limited! Unlike some system developers, we ACTUALLY TAKE each trade we issue! Youve tried the rest - DataGlobe is the best!
Recommended Sizing: Trade a maximum of 0.3 Lots on each signal for every $10,000.00 USD you have in your account! DataGlobes corporate account trades a maximum of 30 standard lots per position. However, we incorporate scaling into our trading strategy.
DataGlobes FX-II signals are based on unconventional high-probability position data. While these signals have proved overwhelmingly profitable historically, the generated trades do occasionally require patience. Performance to date shows profits of up to 1200 pips per month - consistently.
Moderate draw-down is well tolerated and should not be cause for concern. Our trading strategy is specifically developed to handle drawdown and we always have an absolute stop loss in mind for each trade placed. We recommend sizing your lots appropriately to weather any potential draw-down. Expect average of 3-5 trades per week.
DataGlobe Trading CONSISTENTLY has 2 OR MORE systems on the "gainers this week, month, etc" lists. Give us a try! If the trade doesnt make money - we dont WANT your money!! (And 85% of FX-IIs trades MAKE MONEY!)
Please Note: DataGlobe Trading is comprised of a team of professional traders. As such, we are a 24x7 operation (during market hours). Our trade desk is always staffed and we continually monitor our target markets and open positions. Rest assured - we are not an amateur operation. We take our trading very seriously and place our own hundreds of thousands on each signal we generate. While some trades will close relatively quickly with profit, others may require patience to develop. We are willing to close a trade for a loss if our market data warrants such measures. While losses will be experienced on occasion, we expect a win rate of 90% over the long term. Since its birth, FX-II has grown DataGlobes corporate FX account exponentially. You wont find consistent profits like these elsewhere - your portfolio NEEDS FX-II! Dont want to make money? Stay away from this system!!!!
Please visit our website at www.dataglobe.biz
We make our money by trading our own signals. When we routinely bank over 1000+ pips per month, we dont need subscribers to make our money. We offer trading signals on C2 for FUN. Participation in this system is limited! Unlike some system developers, we ACTUALLY TAKE each trade we issue! Youve tried the rest - DataGlobe is the best!
Recommended Sizing: Trade a maximum of 0.3 Lots on each signal for every $10,000.00 USD you have in your account! DataGlobes corporate account trades a maximum of 30 standard lots per position. However, we incorporate scaling into our trading strategy.
DataGlobes FX-II signals are based on unconventional high-probability position data. While these signals have proved overwhelmingly profitable historically, the generated trades do occasionally require patience. Performance to date shows profits of up to 1200 pips per month - consistently.
Moderate draw-down is well tolerated and should not be cause for concern. Our trading strategy is specifically developed to handle drawdown and we always have an absolute stop loss in mind for each trade placed. We recommend sizing your lots appropriately to weather any potential draw-down. Expect average of 3-5 trades per week.
DataGlobe Trading CONSISTENTLY has 2 OR MORE systems on the "gainers this week, month, etc" lists. Give us a try! If the trade doesnt make money - we dont WANT your money!! (And 85% of FX-IIs trades MAKE MONEY!)
Please Note: DataGlobe Trading is comprised of a team of professional traders. As such, we are a 24x7 operation (during market hours). Our trade desk is always staffed and we continually monitor our target markets and open positions. Rest assured - we are not an amateur operation. We take our trading very seriously and place our own hundreds of thousands on each signal we generate. While some trades will close relatively quickly with profit, others may require patience to develop. We are willing to close a trade for a loss if our market data warrants such measures. While losses will be experienced on occasion, we expect a win rate of 90% over the long term. Since its birth, FX-II has grown DataGlobes corporate FX account exponentially. You wont find consistent profits like these elsewhere - your portfolio NEEDS FX-II! Dont want to make money? Stay away from this system!!!!
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 14.5 | 6.2 | -4.6 | -14.1 | -0.4 | ||||||||
| 2008 | 61.9 | 26.4 | -37.8 | -18.2 | 19.2 | -49.6 | 35.2 | 80.9 | 37.4 | -10.2 | -20.2 | -69.8 | -54.5 |
| 2009 | 178.7 | -14.0 | -35.3 | 79.2 | 1.7 | -32.1 | 75.0 | -16.8 | 0.6 | -14.8 | 2.6 | 54.4 | 279.6 |
| 2010 | 12.8 | 18.2 | 24.4 | 5.4 | 18.4 | -5.7 | -8.4 | -0.9 | -16.2 | -3.2 | 27.0 | 1.8 | 86.2 |
| 2011 | -8.2 | 6.9 | -8.2 | -12.8 | 4.8 | -0.3 | 14.1 | -13.8 | -1.0 | 3.6 | 4.7 | 14.4 | -0.7 |
| 2012 | 2.5 | -5.1 | 3.8 | 6.3 | 1.7 | 2.6 | 13.8 | -1.2 | -5.6 | -7.0 | 1.0 | -5.2 | 5.8 |
| 2013 | -11.9 | 1.6 | 12.5 | -4.9 | -5.8 | -7.6 | 2.2 | -7.4 | -0.5 | -3.4 | -11.2 | -6.1 | -36.7 |
| 2014 | -15.3 | -11.1 | 1.8 | 4.3 | 16.1 | 6.7 | -0.2 | 12.3 | 7.9 | -1.9 | -4.4 | 5.1 | 18.1 |
| 2015 | -6.5 | 8.0 | 9.5 | 1.2 | -1.5 | -6.1 | -12.5 | -14.3 | 2.2 | 8.0 | 13.1 | -27.7 | -29.9 |
| 2016 | 2.8 | 14.2 | -3.9 | 14.9 | -5.7 | 4.8 | -8.7 | 4.4 | -5.2 | 1.2 | 14.6 | 2.2 | 37.0 |
| 2017 | 1.7 | 0.3 | -6.9 | -14.6 | -9.3 | 12.3 | -3.7 | -2.5 | 8.8 | -7.0 | -14.5 | 14.1 | -23.3 |
| 2018 | -11.4 | -12.6 | -10.8 | 16.6 | 21.6 | -9.2 | 4.1 | 4.2 | 5.2 | -1.4 | -0.2 | -17.5 | -17.6 |
| 2019 | 16.8 | 5.5 | 0.8 | -1.3 | -2.5 | 0.0 | 9.3 | 0.7 | 1.4 | -1.9 | 0.5 | 39.0 | |
| 2020 | 2.9 | -7.3 | -24.3 | 13.4 | -1.7 | 2.6 | -21.5 | 8.0 | 2.2 | 1.5 | -0.2 | -9.6 | -34.4 |
| 2021 | 9.8 | 10.1 | 19.3 | 0.6 | 1.5 | 1.6 | -4.2 | -2.5 | 7.6 | 11.2 | -4.4 | -0.5 | 59.0 |
| 2022 | 7.4 | -2.3 | 14.6 | 6.1 | -2.2 | 0.9 | 12.6 | 1.0 | -12.3 | 0.2 | -5.5 | -16.4 | -0.6 |
| 2023 | 0.9 | 3.2 | -8.3 | -7.9 | 10.5 | 4.5 | -4.2 | -2.7 | 9.9 | -8.6 | -7.2 | 9.4 | -3.5 |
| 2024 | 0.8 | -3.0 | 2.6 | -0.0 | -4.8 | 3.8 | -10.8 | -3.5 | -0.1 | 0.7 | 10.4 | -5.2 | -10.1 |
| 2025 | -2.2 | 2.0 | -15.7 | -10.2 | 5.9 | -18.6 | 4.5 | -8.5 | 0.0 | 0.0 | 0.0 | 0.0 | -37.7 |
| 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 | 9/6/2007 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 232 months |
| What it trades | Forex |
| # Trades | 63 |
| # Profitable | 53 |
| % Profitable | 84.1% |
| Avg trade duration | 107.5 days |
| Max peak-to-valley drawdown | 97.4% |
| drawdown period | Oct 06, 2008 - Dec 29, 2008 |
| Annual Return (Compounded) | 0.9% |
| Avg win | $4,124 |
| Avg loss | $19,680 |
Ratios
| W:L ratio | 1.11 |
|---|---|
| Sharpe Ratio | 0.23 |
| Sortino Ratio | 0.37 |
| Calmar Ratio | 0.01 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.14 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 416.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -399.0% |
Return Statistics
| Ann Return (w trading costs) | 0.9% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 1.0% |
Slump
| Current Slump as Pcnt Equity | 252.8% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.7% |
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) | 0.0% |
Automation
| Percentage Signals Automated | 0.5% |
|---|
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 | $19,680 |
|---|---|
| Avg Win | $4,124 |
| # Winners | 53 |
| Sum Trade PL (losers) | $196,802 |
| Sum Trade PL (winners) | $218,585 |
| Num Months Winners | 112 |
| # Losers | 10 |
| % Winners | 84.1% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 229 |
|---|
Frequency
| Avg Position Time (mins) | 154748.27 |
|---|---|
| Avg Position Time (hrs) | 2579.14 |
| Avg Trade Length | 107.50 |
| Last Trade Ago | 388 |
Regression
| Alpha | 0.04 |
|---|---|
| Beta | 0.44 |
| Treynor Index | 0.11 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.07 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.09 |
| MAE:Equity, average, losing trades | 0.18 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.05 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 35.29 |
| MAE:PL (avg, all trades) | 3.47 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 32.02 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 73.61 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.06 |
| Avg(MAE) / Avg(PL) - Losing trades | -0.65 |
| Hold-and-Hope Ratio | 0.03 |
RATIO STATISTICS
| Mean | 0.98 |
|---|---|
| SD | 1.68 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.57 |
| df | 68 |
| t | 1.39 |
| p | 0.08 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.24 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.40 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.40 |
| Sortino ratio | 1.53 |
| Upside Potential Ratio | 3.31 |
| Upside part of mean | 2.10 |
| Downside part of mean | -1.13 |
| Upside SD | 1.57 |
| Downside SD | 0.64 |
| N nonnegative terms | 40 |
| N negative terms | 29 |
| N of observations | 69 |
| Mean of predictor | 0.26 |
| Mean of criterion | 0.98 |
| SD of predictor | 0.30 |
| SD of criterion | 1.68 |
| Covariance | -0.13 |
| r | -0.27 |
| b (slope, estimate of beta) | -1.49 |
| a (intercept, estimate of alpha) | 1.37 |
| Mean Square Error | 2.66 |
| DF error | 67 |
| t(b) | -2.26 |
| p(b) | 0.99 |
| t(a) | 1.95 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | -2.81 |
| Upperbound of 95% confidence interval for beta | -0.18 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | 2.77 |
| Treynor index (mean / b) | -0.65 |
| Jensen alpha (a) | 1.37 |
| Mean | 0.02 |
| SD | 1.38 |
| Sharpe ratio (Glass type estimate) | 0.02 |
| Sharpe ratio (Hedges UMVUE) | 0.02 |
| df | 68 |
| t | 0.04 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.80 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.83 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.80 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.83 |
| Sortino ratio | 0.02 |
| Upside Potential Ratio | 1.49 |
| Upside part of mean | 1.52 |
| Downside part of mean | -1.49 |
| Upside SD | 0.91 |
| Downside SD | 1.02 |
| N nonnegative terms | 40 |
| N negative terms | 29 |
| N of observations | 69 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.02 |
| SD of predictor | 0.30 |
| SD of criterion | 1.38 |
| Covariance | -0.07 |
| r | -0.18 |
| b (slope, estimate of beta) | -0.80 |
| a (intercept, estimate of alpha) | 0.20 |
| Mean Square Error | 1.87 |
| DF error | 67 |
| t(b) | -1.47 |
| p(b) | 0.93 |
| t(a) | 0.34 |
| p(a) | 0.37 |
| Lowerbound of 95% confidence interval for beta | -1.90 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | -0.96 |
| Upperbound of 95% confidence interval for alpha | 1.36 |
| Treynor index (mean / b) | -0.03 |
| Jensen alpha (a) | 0.20 |
| VaR(95%) | 0.48 |
| Expected Shortfall on VaR | 0.55 |
| VaR(95%) | 0.20 |
| Expected Shortfall on VaR | 0.38 |
| Mean | 3.16 |
| SD | 2.85 |
| Sharpe ratio (Glass type estimate) | 1.11 |
| Sharpe ratio (Hedges UMVUE) | 1.11 |
| df | 1512 |
| t | 2.67 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.93 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.93 |
| Sortino ratio | 2.40 |
| Upside Potential Ratio | 8.46 |
| Upside part of mean | 11.14 |
| Downside part of mean | -7.98 |
| Upside SD | 2.53 |
| Downside SD | 1.32 |
| N nonnegative terms | 809 |
| N negative terms | 704 |
| N of observations | 1513 |
| Mean of predictor | 0.42 |
| Mean of criterion | 3.16 |
| SD of predictor | 0.57 |
| SD of criterion | 2.85 |
| Covariance | -0.12 |
| r | -0.07 |
| b (slope, estimate of beta) | -0.38 |
| a (intercept, estimate of alpha) | 3.32 |
| Mean Square Error | 8.07 |
| DF error | 1511 |
| t(b) | -2.90 |
| p(b) | 0.55 |
| t(a) | 2.81 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | -0.63 |
| Upperbound of 95% confidence interval for beta | -0.12 |
| Lowerbound of 95% confidence interval for alpha | 1.00 |
| Upperbound of 95% confidence interval for alpha | 5.64 |
| Treynor index (mean / b) | -8.43 |
| Jensen alpha (a) | 3.32 |
| Mean | 0.01 |
| SD | 2.48 |
| Sharpe ratio (Glass type estimate) | 0.00 |
| Sharpe ratio (Hedges UMVUE) | 0.00 |
| df | 1512 |
| t | 0.01 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.81 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.82 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.81 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.82 |
| Sortino ratio | 0.00 |
| Upside Potential Ratio | 5.17 |
| Upside part of mean | 9.28 |
| Downside part of mean | -9.27 |
| Upside SD | 1.71 |
| Downside SD | 1.80 |
| N nonnegative terms | 809 |
| N negative terms | 704 |
| N of observations | 1513 |
| Mean of predictor | 0.26 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.57 |
| SD of criterion | 2.48 |
| Covariance | -0.11 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.33 |
| a (intercept, estimate of alpha) | 0.10 |
| Mean Square Error | 6.12 |
| DF error | 1511 |
| t(b) | -2.98 |
| p(b) | 0.55 |
| t(a) | 0.09 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -0.56 |
| Upperbound of 95% confidence interval for beta | -0.11 |
| Lowerbound of 95% confidence interval for alpha | -1.92 |
| Upperbound of 95% confidence interval for alpha | 2.12 |
| Treynor index (mean / b) | -0.03 |
| Jensen alpha (a) | 0.10 |
| VaR(95%) | 0.22 |
| Expected Shortfall on VaR | 0.27 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.14 |
| Mean | 1.06 |
| SD | 0.96 |
| Sharpe ratio (Glass type estimate) | 1.10 |
| Sharpe ratio (Hedges UMVUE) | 1.10 |
| df | 130 |
| t | 0.78 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.88 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.68 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.87 |
| Sortino ratio | 1.66 |
| Upside Potential Ratio | 9.10 |
| Upside part of mean | 5.79 |
| Downside part of mean | -4.73 |
| Upside SD | 0.72 |
| Downside SD | 0.64 |
| N nonnegative terms | 67 |
| N negative terms | 64 |
| N of observations | 131 |
| Mean of predictor | 1.84 |
| Mean of criterion | 1.06 |
| SD of predictor | 0.63 |
| SD of criterion | 0.96 |
| Covariance | 0.04 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.09 |
| a (intercept, estimate of alpha) | 0.89 |
| Mean Square Error | 0.92 |
| DF error | 129 |
| t(b) | 0.69 |
| p(b) | 0.46 |
| t(a) | 0.64 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | -0.17 |
| Upperbound of 95% confidence interval for beta | 0.36 |
| Lowerbound of 95% confidence interval for alpha | -1.85 |
| Upperbound of 95% confidence interval for alpha | 3.62 |
| Treynor index (mean / b) | 11.51 |
| Jensen alpha (a) | 0.89 |
| Mean | 0.60 |
| SD | 0.96 |
| Sharpe ratio (Glass type estimate) | 0.62 |
| Sharpe ratio (Hedges UMVUE) | 0.62 |
| df | 130 |
| t | 0.44 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.39 |
| Sortino ratio | 0.88 |
| Upside Potential Ratio | 8.16 |
| Upside part of mean | 5.55 |
| Downside part of mean | -4.95 |
| Upside SD | 0.68 |
| Downside SD | 0.68 |
| N nonnegative terms | 67 |
| N negative terms | 64 |
| N of observations | 131 |
| Mean of predictor | 1.63 |
| Mean of criterion | 0.60 |
| SD of predictor | 0.64 |
| SD of criterion | 0.96 |
| Covariance | 0.04 |
| r | 0.07 |
| b (slope, estimate of beta) | 0.11 |
| a (intercept, estimate of alpha) | 0.43 |
| Mean Square Error | 0.93 |
| DF error | 129 |
| t(b) | 0.81 |
| p(b) | 0.45 |
| t(a) | 0.31 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.15 |
| VAR (95 Confidence Intrvl) | 0.22 |
| Upperbound of 95% confidence interval for beta | 0.37 |
| Lowerbound of 95% confidence interval for alpha | -2.30 |
| Upperbound of 95% confidence interval for alpha | 3.15 |
| Treynor index (mean / b) | 5.65 |
| Jensen alpha (a) | 0.43 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.11 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
ORDER STATISTICS
| Number of observations | 69 |
|---|---|
| Minimum | 0.15 |
| Quartile 1 | 0.85 |
| Median | 1.06 |
| Quartile 3 | 1.16 |
| Maximum | 3.40 |
| Mean of quarter 1 | 0.69 |
| Mean of quarter 2 | 0.96 |
| Mean of quarter 3 | 1.10 |
| Mean of quarter 4 | 1.60 |
| Inter Quartile Range | 0.31 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.01 |
| Mean of outliers low | 0.15 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 2.60 |
| Extreme Value Index (moments method) | -0.07 |
| VaR(95%) (moments method) | 0.31 |
| Expected Shortfall (moments method) | 0.40 |
| Extreme Value Index (regression method) | 0.21 |
| VaR(95%) (regression method) | 0.33 |
| Expected Shortfall (regression method) | 0.48 |
| Number of observations | 1513 |
| Minimum | 0.26 |
| Quartile 1 | 0.97 |
| Median | 1.00 |
| Quartile 3 | 1.03 |
| Maximum | 3.45 |
| Mean of quarter 1 | 0.89 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.16 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 97 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.74 |
| Number of outliers high | 106 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.41 |
| Extreme Value Index (moments method) | 0.63 |
| VaR(95%) (moments method) | 0.11 |
| Expected Shortfall (moments method) | 0.33 |
| Extreme Value Index (regression method) | 0.32 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.16 |
| Number of observations | 131 |
| Minimum | 0.81 |
| Quartile 1 | 0.98 |
| Median | 1.00 |
| Quartile 3 | 1.03 |
| Maximum | 1.21 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 6 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.86 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.14 |
| Extreme Value Index (moments method) | 0.16 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.09 |
| Extreme Value Index (regression method) | -0.02 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.09 |
DRAW DOWN STATISTICS
| Number of observations | 5 |
|---|---|
| Minimum | 0.36 |
| Quartile 1 | 0.47 |
| Median | 0.68 |
| Quartile 3 | 0.70 |
| Maximum | 0.87 |
| Mean of quarter 1 | 0.41 |
| Mean of quarter 2 | 0.68 |
| Mean of quarter 3 | 0.70 |
| Mean of quarter 4 | 0.87 |
| Inter Quartile Range | 0.23 |
| 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 | 18 |
| Minimum | 0.00 |
| Quartile 1 | 0.05 |
| Median | 0.33 |
| Quartile 3 | 0.70 |
| Maximum | 0.89 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.20 |
| Mean of quarter 3 | 0.57 |
| Mean of quarter 4 | 0.75 |
| Inter Quartile Range | 0.64 |
| 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) | 0.20 |
| VaR(95%) (moments method) | 0.80 |
| Expected Shortfall (moments method) | 0.89 |
| Extreme Value Index (regression method) | 0.79 |
| VaR(95%) (regression method) | 0.75 |
| Expected Shortfall (regression method) | 1.01 |
| Number of observations | 7 |
| Minimum | 0.00 |
| Quartile 1 | 0.03 |
| Median | 0.15 |
| Quartile 3 | 0.29 |
| Maximum | 0.43 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.10 |
| Mean of quarter 3 | 0.22 |
| Mean of quarter 4 | 0.40 |
| Inter Quartile Range | 0.27 |
| 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? | -396891808 |
| Max Equity Drawdown (num days) | 84 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.03 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.02 |
| Calmar ratio (compounded annual return / max draw down) | 0.03 |
| Compounded annual return / average of 25% largest draw downs | 0.03 |
| Compounded annual return / Expected Shortfall lognormal | 0.04 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.01 |
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.01 |
| Compounded annual return / average of 25% largest draw downs | 0.01 |
| Compounded annual return / Expected Shortfall lognormal | 0.03 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.70 |
| Compounded annual return (geometric extrapolation) | 0.82 |
| Calmar ratio (compounded annual return / max draw down) | 1.92 |
| Compounded annual return / average of 25% largest draw downs | 2.06 |
| Compounded annual return / Expected Shortfall lognormal | 7.26 |
Trading record
Placed 48 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| EUR/CAD | short | 1000 | Feb 15, 2008 | Aug 21, 2025 | ($98,607) |
| AUD/USD | short | 1000 | Mar 21, 2008 | Aug 8, 2008 | $283 |
| AUD/JPY | short | 600 | Mar 21, 2008 | Apr 9, 2008 | ($140) |
| USD/JPY | short | 500 | Mar 21, 2008 | Apr 9, 2008 | ($61) |
| GBP/JPY | short | 300 | Apr 3, 2008 | Apr 3, 2008 | ($11) |
| AUD/USD | short | 800 | Mar 7, 2008 | Mar 17, 2008 | $12,763 |
| AUD/JPY | short | 300 | Mar 14, 2008 | Mar 16, 2008 | $49 |
| CHF/JPY | short | 500 | Feb 29, 2008 | Mar 14, 2008 | $18 |
| USD/JPY | short | 400 | Mar 14, 2008 | Mar 14, 2008 | $26 |
| USD/CAD | short | 500 | Mar 7, 2008 | Mar 14, 2008 | $1,913 |
| USD/CAD | short | 600 | Mar 5, 2008 | Mar 7, 2008 | $3,247 |
| GBP/USD | long | 300 | Mar 7, 2008 | Mar 7, 2008 | $1,332 |
| GBP/JPY | short | 200 | Mar 7, 2008 | Mar 7, 2008 | $4 |
| USD/CHF | long | 200 | Mar 5, 2008 | Mar 7, 2008 | ($3,942) |
| AUD/JPY | short | 500 | Feb 29, 2008 | Mar 2, 2008 | $64 |
| EUR/JPY | short | 300 | Feb 29, 2008 | Feb 29, 2008 | $8 |
| EUR/CHF | short | 500 | Feb 15, 2008 | Feb 29, 2008 | $9,098 |
| USD/JPY | short | 1000 | Feb 1, 2008 | Feb 28, 2008 | $93 |
| EUR/JPY | short | 300 | Feb 27, 2008 | Feb 27, 2008 | ($8) |
| EUR/JPY | long | 300 | Feb 27, 2008 | Feb 27, 2008 | ($10) |
| EUR/USD | long | 1100 | Jan 11, 2008 | Feb 26, 2008 | $23,749 |
| USD/CAD | short | 500 | Feb 15, 2008 | Feb 26, 2008 | $5,365 |
| USD/CHF | short | 1000 | Jan 25, 2008 | Feb 25, 2008 | $10,208 |
| GBP/JPY | short | 300 | Jan 18, 2008 | Jan 18, 2008 | $20 |
| USD/JPY | short | 200 | Jan 11, 2008 | Jan 15, 2008 | $19 |
| EUR/JPY | short | 300 | Jan 13, 2008 | Jan 14, 2008 | $20 |
| GBP/JPY | short | 200 | Jan 11, 2008 | Jan 11, 2008 | $10 |
| EUR/AUD | short | 200 | Jan 7, 2008 | Jan 10, 2008 | $2,187 |
| AUD/JPY | long | 200 | Jan 7, 2008 | Jan 8, 2008 | $13 |
| AUD/JPY | short | 200 | Jan 4, 2008 | Jan 7, 2008 | $8 |
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.