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

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By AlexaKim

Forex · Started Jan 2008

hypothetical · Annual Return (Compounded)
5.6%
Max Drawdown
21.2%
Trades
58
Win Trades
48.3%
Profit Factor
1.30
Win Months
0.9%

About this strategy








NOTICE: As of Mar 19, 2008 the system will begin trading the EUR/USD pair in conjuction with the GBP/USD.



Performance update:

Jan 10th to Jan 31st, 2008: 71 pips
Feb 1st to Feb 29th, 2008: 811 pips
Mar 3rd to Mar 10th, 2008: 150 pips
Max drawdown: -160 pips



System trades the EUR/USD and GBP/USD pairs using entry-stop orders. Signals are issued once a day at precisely 4 a.m EST, with corresponding stop losses and take profit limits. For the EUR/USD stop loss levels range between 30 to 50 pips while system will take profit between 80 to 120 pips. Stop loss on the GBP/USD are usually between 70 to 80 pips while aiming for a target of 120 to 150 pips. These levels are devised taking into consideration the daily volatility of the two pairs.

Entry orders are only valid for the first hour after they are issued. All un-filled orders are cancelled as soon as 5 a.m EST.

When a trade is activated and neither the stop loss nor take profit level is hit within a 24-hour period, the trade will be closed when new orders are issued the next trading day, regardless of the price.

This is a simple yet accurate breakout trading system that takes advantage of sizeable moves that often occur around the London opening hours. Deceptively simple, yet very profitable. Back-tested results over 24 months show an average gain of 330 pips per month, with only 2 losing months, while our own real-time trading over the last 7 months has faired a bit better, recording a total gain of 3,350 pips with no losing month yet. The maximum drawdown is an acceptable 450 pips.

We believe that if being traded with faith and patience, the system will bring sweet reward over the long run.

Please give it a try and do not hesitate to bring forward any questions you may have.

Jan 8, 2008

Seeking Light Team.













Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20084.235.2-12.5-2.20.00.00.00.00.00.00.00.020.5
20090.00.00.00.00.00.00.00.00.00.00.00.00.0
20100.00.00.00.00.00.00.0-0.00.00.00.00.0-0.0
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
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began1/8/2008
Suggested Minimum Capital$100,000
Age227 months
What it tradesForex
# Trades58
# Profitable28
% Profitable48.3%
Avg trade duration15.7 hours
Max peak-to-valley drawdown21.2%
drawdown periodMarch 09, 2008 - April 04, 2008
Annual return (compounded)1.1%
Avg win$3,372
Avg loss$2,359

Ratios

W:L ratio1.33
Sharpe Ratio-0.15
Sortino Ratio-0.24
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP5000.00
Return Percent SP500 (cumu) during strategy life449.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)0.7%

Return Statistics

Ann Return (w trading costs)5.6%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.1%

Slump

Current Slump as Pcnt Equity25.4%
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%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,358
Avg Win$3,372
# Winners28
Sum Trade PL (losers)$70,755
Sum Trade PL (winners)$94,411
Num Months Winners3
# Losers30
% Winners48.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table225

Frequency

Avg Position Time (mins)940.90
Avg Position Time (hrs)15.68
Avg Trade Length0.70
Last Trade Ago6721

Regression

Alpha0
Beta0
Treynor Index-3.16

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.02
MAE:Equity, average, losing trades0.02
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 trades5.97
MAE:PL (avg, all trades)0.77
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats5.54
MAE:PL - Winning Trades - this strat Percentile of All Strats53.29
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.39
Avg(MAE) / Avg(PL) - Losing trades-1.07
Hold-and-Hope Ratio0.17

RATIO STATISTICS

a (intercept, estimate of alpha)0.04
VAR (95 Confidence Intrvl)0.03

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)26
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 21 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
GBP/USD long250Apr 9, 2008Apr 10, 2008$1,287
EUR/USD short500Apr 9, 2008Apr 9, 2008($1,500)
GBP/USD short250Apr 8, 2008Apr 9, 2008$2,160
EUR/USD long500Apr 8, 2008Apr 8, 2008($1,750)
GBP/USD long250Apr 7, 2008Apr 8, 2008($2,000)
EUR/USD long500Apr 7, 2008Apr 7, 2008$5,000
EUR/USD short500Apr 3, 2008Apr 3, 2008($1,750)
GBP/USD short250Apr 3, 2008Apr 3, 2008($2,000)
GBP/USD long250Apr 2, 2008Apr 3, 2008$70
EUR/USD long500Apr 2, 2008Apr 2, 2008($1,750)
EUR/USD short500Mar 28, 2008Mar 28, 2008($1,750)
GBP/USD long250Mar 27, 2008Mar 28, 2008($2,000)
EUR/USD short500Mar 27, 2008Mar 27, 2008($1,750)
EUR/USD long500Mar 26, 2008Mar 26, 2008$5,000
GBP/USD short250Mar 26, 2008Mar 26, 2008($2,000)
GBP/USD long250Mar 25, 2008Mar 25, 2008$3,250
EUR/USD short500Mar 25, 2008Mar 25, 2008($1,750)
GBP/USD long250Mar 24, 2008Mar 25, 2008$2,753
GBP/USD short250Mar 20, 2008Mar 20, 2008($2,000)
EUR/USD long500Mar 19, 2008Mar 19, 2008($1,750)
EUR/USD short500Mar 18, 2008Mar 18, 2008($1,750)
GBP/USD long500Mar 17, 2008Mar 17, 2008($4,000)
GBP/USD short500Mar 17, 2008Mar 17, 2008($3,100)
GBP/USD short500Mar 14, 2008Mar 14, 2008($4,000)
GBP/USD long500Mar 13, 2008Mar 14, 2008($1,385)
GBP/USD short500Mar 12, 2008Mar 12, 2008($4,000)
GBP/USD long500Mar 12, 2008Mar 12, 2008($1,500)
GBP/USD long500Mar 10, 2008Mar 10, 2008($4,000)
GBP/USD long500Mar 7, 2008Mar 10, 2008$1,165
GBP/USD long500Mar 5, 2008Mar 5, 2008$6,500

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.