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

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TRENDSETTER

By na_na

Forex · Started Mar 2008

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
136
Win Trades
86.0%
Profit Factor
0.30
Win Months
2.7%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20089.410.84.12.65.5-27.017.9-104.1-1.0-1.7-104.9
2009-1.7-1.60.00.00.00.00.00.0-0.7-0.80.00.0
20100.00.00.00.00.0-0.8-0.8-0.7-0.00.00.0-0.0
20110.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/1/2008
Suggested Minimum Capital$100,000
Age226 months
What it tradesForex
# Trades136
# Profitable117
% Profitable86.0%
Avg trade duration2.2 days
Max peak-to-valley drawdown100.0%
drawdown periodOct 24, 2008 - Oct 24, 2008
Annual Return (Compounded)0.0%
Avg win$464
Avg loss$8,223

Ratios

W:L ratio0.35
Sharpe Ratio-1.32
Sortino Ratio-1.32
Calmar Ratio-0.89

CORRELATION STATISTICS

Correlation to SP5000.31
Return Percent SP500 (cumu) during strategy life474.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-580.5%

Return Statistics

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

Slump

Current Slump as Pcnt Equity—
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)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)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$8,223
Avg Win$464
# Winners117
Sum Trade PL (losers)$156,229
Sum Trade PL (winners)$54,283
Num Months Winners6
# Losers19
% Winners86.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table8

Frequency

Avg Position Time (mins)3103.85
Avg Position Time (hrs)51.73
Avg Trade Length2.20
Last Trade Ago6533

Regression

Alpha0
Beta1.19
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.17
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 trades-3.15
MAE:PL (avg, all trades)3.40
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats79.97
MAE:PL - Winning Trades - this strat Percentile of All Strats75.37
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.65
Avg(MAE) / Avg(PL) - Losing trades-1.51
Hold-and-Hope Ratio-0.32

RATIO STATISTICS

Mean11606.23
SD26804.26
Sharpe ratio (Glass type estimate)0.43
Sharpe ratio (Hedges UMVUE)0.43
df63
t1.00
p0.16
Lowerbound of 95% confidence interval for Sharpe Ratio-0.42
Upperbound of 95% confidence interval for Sharpe Ratio1.28
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.42
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.28
Sortino ratio18936.93
Upside Potential Ratio18937.56
Upside part of mean11606.62
Downside part of mean-0.39
Upside SD26804.24
Downside SD0.61
N nonnegative terms60
N negative terms4
N of observations64
Mean of predictor0.32
Mean of criterion11606.23
SD of predictor0.32
SD of criterion26804.26
Covariance-1434.98
r-0.17
b (slope, estimate of beta)-14136.10
a (intercept, estimate of alpha)16088.94
Mean Square Error709444224
DF error62
t(b)-1.34
p(b)0.91
t(a)1.34
p(a)0.09
Lowerbound of 95% confidence interval for beta-35190.27
Upperbound of 95% confidence interval for beta6918.06
Lowerbound of 95% confidence interval for alpha-7913.39
Upperbound of 95% confidence interval for alpha40091.27
Treynor index (mean / b)-0.82
Jensen alpha (a)16088.94
Mean-2.19
SD8.51
Sharpe ratio (Glass type estimate)-0.26
Sharpe ratio (Hedges UMVUE)-0.25
df63
t-0.59
p0.72
Lowerbound of 95% confidence interval for Sharpe Ratio-1.11
Upperbound of 95% confidence interval for Sharpe Ratio0.59
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.10
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60
Sortino ratio-0.31
Upside Potential Ratio0.30
Upside part of mean2.10
Downside part of mean-4.29
Upside SD4.78
Downside SD6.99
N nonnegative terms60
N negative terms4
N of observations64
Mean of predictor0.27
Mean of criterion-2.19
SD of predictor0.30
SD of criterion8.51
Covariance0.50
r0.19
b (slope, estimate of beta)5.39
a (intercept, estimate of alpha)-3.63
Mean Square Error70.89
DF error62
t(b)1.54
p(b)0.06
t(a)-0.96
p(a)0.83
Lowerbound of 95% confidence interval for beta-1.60
Upperbound of 95% confidence interval for beta12.39
Lowerbound of 95% confidence interval for alpha-11.15
Upperbound of 95% confidence interval for alpha3.89
Treynor index (mean / b)-0.41
Jensen alpha (a)-3.63
VaR(95%)0.99
Expected Shortfall on VaR0.99
VaR(95%)0.00
Expected Shortfall on VaR0.04
Mean118329.23
SD107614.67
Sharpe ratio (Glass type estimate)1.10
Sharpe ratio (Hedges UMVUE)1.10
df1409
t2.55
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio0.25
Upperbound of 95% confidence interval for Sharpe Ratio1.95
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.25
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.94
Sortino ratio89380.37
Upside Potential Ratio89382.27
Upside part of mean118331.76
Downside part of mean-2.52
Upside SD107824.61
Downside SD1.32
N nonnegative terms1321
N negative terms89
N of observations1410
Mean of predictor0.47
Mean of criterion118329.23
SD of predictor0.57
SD of criterion107614.67
Covariance23489.85
r0.38
b (slope, estimate of beta)72821.48
a (intercept, estimate of alpha)83852.91
Mean Square Error9877362688
DF error1408
t(b)15.62
p(b)0.31
t(a)1.95
p(a)0.47
Lowerbound of 95% confidence interval for beta63676.64
Upperbound of 95% confidence interval for beta81966.33
Lowerbound of 95% confidence interval for alpha-297.99
Upperbound of 95% confidence interval for alpha168003.81
Treynor index (mean / b)1.62
Jensen alpha (a)83852.91
Mean-2.17
SD18.72
Sharpe ratio (Glass type estimate)-0.12
Sharpe ratio (Hedges UMVUE)-0.12
df1409
t-0.27
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.96
Upperbound of 95% confidence interval for Sharpe Ratio0.73
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.96
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.73
Sortino ratio-0.16
Upside Potential Ratio1.15
Upside part of mean15.47
Downside part of mean-17.64
Upside SD12.99
Downside SD13.47
N nonnegative terms1321
N negative terms89
N of observations1410
Mean of predictor0.31
Mean of criterion-2.17
SD of predictor0.56
SD of criterion18.72
Covariance4.33
r0.41
b (slope, estimate of beta)13.61
a (intercept, estimate of alpha)-6.44
Mean Square Error291.67
DF error1408
t(b)16.87
p(b)0.30
t(a)-0.87
p(a)0.51
Lowerbound of 95% confidence interval for beta12.03
Upperbound of 95% confidence interval for beta15.19
Lowerbound of 95% confidence interval for alpha-20.89
Upperbound of 95% confidence interval for alpha8.01
Treynor index (mean / b)-0.16
Jensen alpha (a)-6.44
VaR(95%)0.85
Expected Shortfall on VaR0.90
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 predictor2.35
Mean of criterion0
SD of predictor0.69
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 predictor2.11
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
VAR (95 Confidence Intrvl)0.85
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 observations64
Minimum0.00
Quartile 11
Median1
Quartile 31
Maximum61902.75
Mean of quarter 10.87
Mean of quarter 21
Mean of quarter 31
Mean of quarter 43869.87
Inter Quartile Range0
Number outliers low4
Percentage of outliers low0.06
Mean of outliers low0.48
Number of outliers high4
Percentage of outliers high0.06
Mean of outliers high15476.49
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-6.30
VaR(95%) (regression method)0.46
Expected Shortfall (regression method)0.49
Number of observations1410
Minimum0.00
Quartile 11
Median1
Quartile 31
Maximum139369.67
Mean of quarter 10.96
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41805.03
Inter Quartile Range0
Number outliers low89
Percentage of outliers low0.06
Mean of outliers low0.85
Number of outliers high78
Percentage of outliers high0.06
Mean of outliers high8165.40
Extreme Value Index (moments method)1.50
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-1.55
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.06
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 observations2
Minimum0.06
Quartile 10.29
Median0.53
Quartile 30.76
Maximum1.00
Mean of quarter 10.06
Mean of quarter 20
Mean of quarter 30
Mean of quarter 41.00
Inter Quartile Range0.47
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 observations9
Minimum0.03
Quartile 10.11
Median0.13
Quartile 30.27
Maximum1.00
Mean of quarter 10.07
Mean of quarter 20.13
Mean of quarter 30.20
Mean of quarter 41.00
Inter Quartile Range0.16
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.22
Mean of outliers high1.00
Extreme Value Index (moments method)0
VaR(95%) (moments method)0.79
Expected Shortfall (moments method)1.14
Extreme Value Index (regression method)-26.95
VaR(95%) (regression method)3027.18
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?-384320672
Max Equity Drawdown (num days)2555
Last 4 Months - Pcnt Negative0.5%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.19
Compounded annual return (geometric extrapolation)-0.89
Calmar ratio (compounded annual return / max draw down)-0.89
Compounded annual return / average of 25% largest draw downs-0.89
Compounded annual return / Expected Shortfall lognormal-0.89
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.19
Compounded annual return (geometric extrapolation)-0.89
Calmar ratio (compounded annual return / max draw down)-0.89
Compounded annual return / average of 25% largest draw downs-0.89
Compounded annual return / Expected Shortfall lognormal-0.98
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 13 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
GBP/USD long200Sep 30, 2008Oct 24, 2008($45,235)
AUD/USD long400Sep 30, 2008Oct 24, 2008($71,828)
CHF/JPY long100Oct 1, 2008Oct 24, 2008($86)
GBP/CAD long400Sep 25, 2008Oct 3, 2008$2,094
EUR/GBP short100Sep 24, 2008Oct 2, 2008$587
GBP/NZD short200Sep 23, 2008Sep 26, 2008$1,587
CHF/JPY short100Sep 24, 2008Sep 26, 2008$2
EUR/GBP short100Sep 22, 2008Sep 24, 2008$203
CHF/JPY short200Sep 22, 2008Sep 24, 2008$3
GBP/USD long420Aug 5, 2008Sep 23, 2008($12,033)
GBP/CHF long140Sep 1, 2008Sep 8, 2008$2,305
USD/CAD short210Jul 28, 2008Aug 13, 2008($4,984)
EUR/CHF short140Jul 29, 2008Aug 5, 2008($527)
EUR/JPY short140Jul 28, 2008Jul 28, 2008$2
USD/JPY short130Jul 28, 2008Jul 28, 2008$0
EUR/JPY short130Jul 18, 2008Jul 24, 2008$7
AUD/USD short260Jul 10, 2008Jul 23, 2008($1,035)
USD/JPY short130Jul 17, 2008Jul 18, 2008$4
EUR/CHF short130Jul 14, 2008Jul 14, 2008$731
EUR/CHF short130Jul 10, 2008Jul 11, 2008$699
EUR/JPY short130Jul 10, 2008Jul 11, 2008$3
EUR/CHF short130Jul 9, 2008Jul 9, 2008$404
EUR/JPY short130Jul 9, 2008Jul 9, 2008$4
EUR/JPY short130Jul 7, 2008Jul 8, 2008$5
GBP/AUD long100Jul 7, 2008Jul 7, 2008$576
AUD/USD short100Jul 3, 2008Jul 7, 2008$373
CHF/JPY short100Jul 2, 2008Jul 3, 2008$3
EUR/USD short200Jun 27, 2008Jul 3, 2008$40
GBP/USD short100Jul 1, 2008Jul 1, 2008$670
EUR/JPY short100Jun 25, 2008Jun 26, 2008$4

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.