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Hunter333

By DirkMeise2

Forex · Started Jul 2009

hypothetical · Annual Return (Compounded)
-19.9%
Max Drawdown
56.9%
Trades
161
Win Trades
71.4%
Profit Factor
0.70
Win Months
2.9%

About this strategy

MMA is the nonlinear filter smoothing financial time series without delay. The result is the average time derivative of the price.
The theory stands up for the MMA is nonparametric singular spectrum analysis and artificial neural networks. These methods allow us to build accurate and consistent stochastic model of financial time series. The trading system is stationary and robust. Stationary means time-independence of system parameters, that speaks for the absence of the curve fitting to the historical data. Robust means close values of the system parameters for the high correlated assets.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20091.77.93.88.69.93.941.3
2010-62.20.00.00.00.00.00.00.00.00.00.0-0.0-62.2
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
20150.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
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 began7/3/2009
Suggested Minimum Capital$100,000
Age209 months
What it tradesForex
# Trades161
# Profitable115
% Profitable71.4%
Avg trade duration3.5 hours
Max peak-to-valley drawdown56.9%
drawdown periodDec 28, 2009 - Jan 27, 2010
Annual return (compounded)-2.4%
Avg win$798
Avg loss$2,739

Ratios

W:L ratio0.73
Sharpe Ratio-0.48
Sortino Ratio-0.50
Calmar Ratio-0.15

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life751.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-126.4%

Return Statistics

Ann Return (w trading costs)-19.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-2.4%

Slump

Current Slump as Pcnt Equity164.6%
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 loss95.2%
Chance of 30% account loss88.4%
Chance of 40% account loss50.0%
Chance of 50% account loss8.9%
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 Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,739
Avg Win$798
# Winners115
Sum Trade PL (losers)$126,002
Sum Trade PL (winners)$91,816
Num Months Winners8
# Losers46
% Winners71.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table207

Frequency

Avg Position Time (mins)208.75
Avg Position Time (hrs)3.48
Avg Trade Length0.10
Last Trade Ago6065

Regression

Alpha-0.01
Beta0.02
Treynor Index-0.92

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.04
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-6.54
MAE:PL (avg, all trades)1.17
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats46.99
MAE:PL - Winning Trades - this strat Percentile of All Strats61.20
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.37
Avg(MAE) / Avg(PL) - Losing trades-1.08
Hold-and-Hope Ratio-0.15

RATIO STATISTICS

a (intercept, estimate of alpha)-0.12
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)30
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 126 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/USD long2000Jan 14, 2010Jan 27, 2010($86,530)
EUR/USD short1500Jan 13, 2010Jan 13, 2010$555
EUR/USD long750Jan 13, 2010Jan 13, 2010$495
EUR/USD long750Jan 13, 2010Jan 13, 2010$22
EUR/USD long750Jan 13, 2010Jan 13, 2010$202
EUR/USD long1500Jan 12, 2010Jan 12, 2010$1,462
EUR/USD long750Jan 7, 2010Jan 7, 2010($1,740)
EUR/USD long750Jan 7, 2010Jan 7, 2010$690
EUR/USD long1000Jan 5, 2010Jan 5, 2010($540)
EUR/USD long500Jan 5, 2010Jan 5, 2010($1,375)
EUR/USD long500Dec 28, 2009Dec 28, 2009$510
EUR/USD short500Dec 23, 2009Dec 23, 2009$310
EUR/USD long500Dec 21, 2009Dec 21, 2009$1,165
EUR/USD long500Dec 17, 2009Dec 17, 2009$1,035
EUR/USD short1000Dec 16, 2009Dec 16, 2009$1,910
EUR/USD short500Dec 16, 2009Dec 16, 2009($1,235)
EUR/USD long500Dec 15, 2009Dec 15, 2009$1,070
EUR/USD long500Dec 15, 2009Dec 15, 2009($55)
EUR/USD long500Dec 14, 2009Dec 14, 2009$380
EUR/USD short500Dec 14, 2009Dec 14, 2009$955
EUR/USD short500Dec 14, 2009Dec 14, 2009$90
EUR/USD long500Dec 11, 2009Dec 13, 2009($235)
EUR/USD long500Dec 9, 2009Dec 9, 2009$775
EUR/USD long500Dec 8, 2009Dec 8, 2009$395
EUR/USD short500Dec 8, 2009Dec 8, 2009$500
EUR/USD short500Dec 8, 2009Dec 8, 2009($15)
EUR/USD long500Dec 7, 2009Dec 7, 2009$45
EUR/USD short500Dec 3, 2009Dec 3, 2009($100)
EUR/USD short500Dec 3, 2009Dec 3, 2009$380
EUR/USD long1000Dec 2, 2009Dec 2, 2009$560

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.