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

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EUR Scalper

By tsignal_fx

Forex · Started May 2009

hypothetical · Annual Return (Compounded)
28.5%
Max Drawdown
32.7%
Trades
1911
Win Trades
78.4%
Profit Factor
1.30
Win Months
14.8%

About this strategy

This system was terminated at the end of November, 2013.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2009-1.8-10.4-9.414.711.76.40.6-3.16.0
201026.611.7-11.82.0-37.0-22.9-6.18.058.126.219.4-11.032.8
201136.6-1.16.716.1-14.9-12.031.8-12.1-20.08.416.67.658.1
20122.60.22.3-11.02.7-2.88.03.95.5-5.27.7-1.411.2
2013-5.311.1-2.5-3.4-1.010.0-5.2-5.02.11.80.40.01.3
20140.00.00.00.00.00.00.00.0-0.00.00.00.0-0.0
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 began5/17/2009
Suggested Minimum Capital$10,000
Age211 months
What it tradesForex
# Trades1911
# Profitable1498
% Profitable78.4%
Avg trade duration2.9 hours
Max peak-to-valley drawdown32.7%
drawdown periodMay 17, 2010 - July 23, 2010
Annual Return (Compounded)28.5%
Avg win$136
Avg loss$378

Ratios

W:L ratio1.30
Sharpe Ratio0.22
Sortino Ratio0.28
Calmar Ratio0.85

CORRELATION STATISTICS

Correlation to SP5000.00
Return Percent SP500 (cumu) during strategy life755.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)113.2%

Return Statistics

Ann Return (w trading costs)28.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)10.6%

Slump

Current Slump as Pcnt Equity7.9%
Current Slump, time of slump as pcnt of strategy life0.8%

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 loss0.0%
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 Automated16.9%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$378
Avg Win$136
# Winners1498
Sum Trade PL (losers)$155,975
Sum Trade PL (winners)$203,181
Num Months Winners31
# Losers413
% Winners78.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table209

Frequency

Avg Position Time (mins)173.20
Avg Position Time (hrs)2.89
Avg Trade Length0.10
Last Trade Ago4702

Regression

Alpha0.02
Beta0
Treynor Index4.40

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.05
MAE:Equity, average, losing trades0.05
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-56.34
MAE:PL (avg, all trades)0.98
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats84.20
MAE:PL - Winning Trades - this strat Percentile of All Strats65.46
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.19
Avg(MAE) / Avg(PL) - Losing trades-1.77
Hold-and-Hope Ratio-0.02

RATIO STATISTICS

Mean0.41
SD0.29
Sharpe ratio (Glass type estimate)1.42
Sharpe ratio (Hedges UMVUE)1.40
df55
t3.07
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.47
Upperbound of 95% confidence interval for Sharpe Ratio2.36
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.46
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.35
Sortino ratio3.42
Upside Potential Ratio4.79
Upside part of mean0.57
Downside part of mean-0.16
Upside SD0.28
Downside SD0.12
N nonnegative terms36
N negative terms20
N of observations56
Mean of predictor0.16
Mean of criterion0.41
SD of predictor0.15
SD of criterion0.29
Covariance0.01
r0.13
b (slope, estimate of beta)0.26
a (intercept, estimate of alpha)0.37
Mean Square Error0.08
DF error54
t(b)0.98
p(b)0.17
t(a)2.65
p(a)0.01
Lowerbound of 95% confidence interval for beta-0.27
Upperbound of 95% confidence interval for beta0.78
Lowerbound of 95% confidence interval for alpha0.09
Upperbound of 95% confidence interval for alpha0.65
Treynor index (mean / b)1.59
Jensen alpha (a)0.37
Mean0.36
SD0.27
Sharpe ratio (Glass type estimate)1.33
Sharpe ratio (Hedges UMVUE)1.32
df55
t2.88
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.39
Upperbound of 95% confidence interval for Sharpe Ratio2.27
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.38
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.26
Sortino ratio2.88
Upside Potential Ratio4.24
Upside part of mean0.54
Downside part of mean-0.17
Upside SD0.26
Downside SD0.13
N nonnegative terms36
N negative terms20
N of observations56
Mean of predictor0.14
Mean of criterion0.36
SD of predictor0.15
SD of criterion0.27
Covariance0.01
r0.13
b (slope, estimate of beta)0.24
a (intercept, estimate of alpha)0.33
Mean Square Error0.07
DF error54
t(b)0.99
p(b)0.16
t(a)2.51
p(a)0.01
Lowerbound of 95% confidence interval for beta-0.25
Upperbound of 95% confidence interval for beta0.74
Lowerbound of 95% confidence interval for alpha0.07
Upperbound of 95% confidence interval for alpha0.59
Treynor index (mean / b)1.49
Jensen alpha (a)0.33
VaR(95%)0.09
Expected Shortfall on VaR0.12
VaR(95%)0.02
Expected Shortfall on VaR0.05
Mean0.39
SD0.23
Sharpe ratio (Glass type estimate)1.66
Sharpe ratio (Hedges UMVUE)1.66
df1631
t3.62
p0.44
Lowerbound of 95% confidence interval for Sharpe Ratio0.76
Upperbound of 95% confidence interval for Sharpe Ratio2.56
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.76
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.56
Sortino ratio2.20
Upside Potential Ratio7.21
Upside part of mean1.26
Downside part of mean-0.87
Upside SD0.15
Downside SD0.17
N nonnegative terms671
N negative terms961
N of observations1632
Mean of predictor0.16
Mean of criterion0.39
SD of predictor0.17
SD of criterion0.23
Covariance0.00
r0.01
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)0.19
Mean Square Error0.05
DF error1630
t(b)0.44
p(b)0.49
t(a)3.59
p(a)0.46
Lowerbound of 95% confidence interval for beta-0.05
Upperbound of 95% confidence interval for beta0.08
Lowerbound of 95% confidence interval for alpha0.17
Upperbound of 95% confidence interval for alpha0.59
Treynor index (mean / b)25.81
Jensen alpha (a)0.38
Mean0.36
SD0.23
Sharpe ratio (Glass type estimate)1.52
Sharpe ratio (Hedges UMVUE)1.52
df1631
t3.32
p0.45
Lowerbound of 95% confidence interval for Sharpe Ratio0.62
Upperbound of 95% confidence interval for Sharpe Ratio2.42
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.62
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42
Sortino ratio1.98
Upside Potential Ratio6.92
Upside part of mean1.25
Downside part of mean-0.89
Upside SD0.15
Downside SD0.18
N nonnegative terms671
N negative terms961
N of observations1632
Mean of predictor0.14
Mean of criterion0.36
SD of predictor0.17
SD of criterion0.23
Covariance0.00
r0.01
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)0.36
Mean Square Error0.06
DF error1630
t(b)0.42
p(b)0.49
t(a)3.30
p(a)0.46
Lowerbound of 95% confidence interval for beta-0.05
Upperbound of 95% confidence interval for beta0.08
Lowerbound of 95% confidence interval for alpha0.14
Upperbound of 95% confidence interval for alpha0.57
Treynor index (mean / b)24.77
Jensen alpha (a)0.36
VaR(95%)0.02
Expected Shortfall on VaR0.02
VaR(95%)0.01
Expected Shortfall on VaR0.01
Mean0.04
SD0.03
Sharpe ratio (Glass type estimate)1.10
Sharpe ratio (Hedges UMVUE)1.09
df171
t0.78
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.68
Upperbound of 95% confidence interval for Sharpe Ratio3.87
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.68
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.87
Sortino ratio1.44
Upside Potential Ratio4.45
Upside part of mean0.11
Downside part of mean-0.07
Upside SD0.02
Downside SD0.02
N nonnegative terms22
N negative terms150
N of observations172
Mean of predictor0.17
Mean of criterion0.04
SD of predictor0.10
SD of criterion0.03
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.04
Mean Square Error0.00
DF error170
t(b)-0.35
p(b)0.51
t(a)0.80
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.06
Upperbound of 95% confidence interval for beta0.04
Lowerbound of 95% confidence interval for alpha-0.05
Upperbound of 95% confidence interval for alpha0.13
Treynor index (mean / b)-3.93
Jensen alpha (a)0.04
Mean0.03
SD0.03
Sharpe ratio (Glass type estimate)1.08
Sharpe ratio (Hedges UMVUE)1.07
df171
t0.76
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.70
Upperbound of 95% confidence interval for Sharpe Ratio3.85
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.70
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.85
Sortino ratio1.41
Upside Potential Ratio4.42
Upside part of mean0.11
Downside part of mean-0.07
Upside SD0.02
Downside SD0.02
N nonnegative terms22
N negative terms150
N of observations172
Mean of predictor0.16
Mean of criterion0.03
SD of predictor0.10
SD of criterion0.03
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.01
a (intercept, estimate of alpha)0.04
Mean Square Error0.00
DF error170
t(b)-0.35
p(b)0.51
t(a)0.79
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.06
VAR (95 Confidence Intrvl)0.03
Upperbound of 95% confidence interval for beta0.04
Lowerbound of 95% confidence interval for alpha-0.05
Upperbound of 95% confidence interval for alpha0.13
Treynor index (mean / b)-3.87
Jensen alpha (a)0.04
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0.00
Expected Shortfall on VaR0.00

ORDER STATISTICS

Number of observations56
Minimum0.85
Quartile 11.00
Median1.02
Quartile 31.08
Maximum1.28
Mean of quarter 10.95
Mean of quarter 21.01
Mean of quarter 31.04
Mean of quarter 41.15
Inter Quartile Range0.08
Number outliers low1
Percentage of outliers low0.02
Mean of outliers low0.85
Number of outliers high2
Percentage of outliers high0.04
Mean of outliers high1.25
Extreme Value Index (moments method)-4.43
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.09
VaR(95%) (regression method)0.07
Expected Shortfall (regression method)0.11
Number of observations1632
Minimum0.88
Quartile 11
Median1
Quartile 31.00
Maximum1.08
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low172
Percentage of outliers low0.11
Mean of outliers low0.98
Number of outliers high211
Percentage of outliers high0.13
Mean of outliers high1.02
Extreme Value Index (moments method)0.79
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.37
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations172
Minimum0.99
Quartile 11
Median1
Quartile 31
Maximum1.01
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low8
Percentage of outliers low0.05
Mean of outliers low1.00
Number of outliers high22
Percentage of outliers high0.13
Mean of outliers high1.00
Extreme Value Index (moments method)-2.56
VaR(95%) (moments method)-0.01
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.32
VaR(95%) (regression method)-0.00
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations11
Minimum0.00
Quartile 10.00
Median0.03
Quartile 30.09
Maximum0.27
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.05
Mean of quarter 40.17
Inter Quartile Range0.08
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.09
Mean of outliers high0.27
Extreme Value Index (moments method)-0.14
VaR(95%) (moments method)0.19
Expected Shortfall (moments method)0.24
Extreme Value Index (regression method)1.56
VaR(95%) (regression method)0.29
Expected Shortfall (regression method)0
Number of observations60
Minimum0.00
Quartile 10.01
Median0.02
Quartile 30.04
Maximum0.32
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.11
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high7
Percentage of outliers high0.12
Mean of outliers high0.16
Extreme Value Index (moments method)0.30
VaR(95%) (moments method)0.11
Expected Shortfall (moments method)0.19
Extreme Value Index (regression method)0.04
VaR(95%) (regression method)0.09
Expected Shortfall (regression method)0.12
Number of observations3
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.01
Maximum0.02
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30
Mean of quarter 40.02
Inter Quartile Range0.01
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
Max Equity Drawdown (num days)67
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.01
Compounded annual return (geometric extrapolation)0.45
Calmar ratio (compounded annual return / max draw down)1.66
Compounded annual return / average of 25% largest draw downs2.66
Compounded annual return / Expected Shortfall lognormal3.68
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.99
Compounded annual return (geometric extrapolation)0.44
Calmar ratio (compounded annual return / max draw down)1.37
Compounded annual return / average of 25% largest draw downs4.17
Compounded annual return / Expected Shortfall lognormal17.95
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.05
Compounded annual return (geometric extrapolation)0.05
Calmar ratio (compounded annual return / max draw down)1.96
Compounded annual return / average of 25% largest draw downs1.96
Compounded annual return / Expected Shortfall lognormal13.16

Trading record

Placed 4365 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/USD short100Nov 1, 2013Nov 1, 2013$107
EUR/USD long200Oct 23, 2013Oct 23, 2013$321
EUR/USD long200Oct 17, 2013Oct 18, 2013($12)
EUR/USD long100Oct 3, 2013Oct 3, 2013$205
EUR/USD long100Oct 3, 2013Oct 3, 2013$126
EUR/USD long200Sep 20, 2013Sep 20, 2013$274
EUR/USD long100Sep 20, 2013Sep 20, 2013$89
EUR/USD long200Sep 19, 2013Sep 19, 2013$195
EUR/USD long100Sep 19, 2013Sep 19, 2013$99
EUR/USD long200Sep 12, 2013Sep 12, 2013($19)
EUR/USD long100Sep 10, 2013Sep 10, 2013$42
EUR/USD short200Sep 5, 2013Sep 6, 2013$100
EUR/USD short100Aug 30, 2013Aug 30, 2013$146
EUR/USD short100Aug 29, 2013Aug 30, 2013$30
EUR/USD long200Aug 21, 2013Aug 21, 2013($1,273)
EUR/USD long200Aug 8, 2013Aug 8, 2013$12
EUR/USD long200Jul 26, 2013Jul 26, 2013$456
EUR/USD long200Jul 17, 2013Jul 17, 2013$362
EUR/USD long200Jul 11, 2013Jul 12, 2013($1,361)
EUR/USD long200Jul 11, 2013Jul 11, 2013$627
EUR/USD short200Jul 10, 2013Jul 10, 2013($1,294)
EUR/USD short100Jul 5, 2013Jul 5, 2013$463
EUR/USD short200Jul 3, 2013Jul 3, 2013($474)
EUR/USD short100Jul 3, 2013Jul 3, 2013$143
EUR/USD short200Jun 26, 2013Jun 27, 2013($234)
EUR/USD short100Jun 20, 2013Jun 21, 2013$138
EUR/USD short100Jun 20, 2013Jun 20, 2013$142
EUR/USD long200Jun 11, 2013Jun 12, 2013$187
EUR/USD long200Jun 11, 2013Jun 11, 2013$626
EUR/USD long100Jun 11, 2013Jun 11, 2013$166

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.