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DeltaForex

Forex · Started Sep 2009

hypothetical · Annual Return (Compounded)
1.2%
Max Drawdown
30.1%
Trades
1471
Win Trades
95.9%
Profit Factor
1.30
Win Months
2.5%

About this strategy

**NOTE** The $300,000 account size listed here is NOT required for live trading. The account size was only set this high because Collective2 only allows a maximum leverage of 33:1. In a live Forex account, leverage should be set to 200:1, requiring only a minimum of $50,000-$100,000 for mini lots (0.1 standard lots) initial trade size. For this reason, the listing on C2 required 6x (200/33=6) normal leverage. When auto trading, then, set the scaling factor to 100% and you should have plenty of funds available.

DeltaForex is the result of 12 years of system development. It is not based on any lagging indicators or fuzzy logic. In fact, DeltaForex does not use any traditional indicators. All indicators have been derived from scratch using sound statistical algorithms based only on what the markets are actually doing (price action) at any given time. DeltaForex takes quick profits multiple times a day trading the 6 major currency pairs using a 4-hr. time period. Profit targets are continually calculated based on the highest probability of hitting targets. In the event markets reverse, the programs algorithm is self-adapting, adding additional positions and changing the profit targets to, again, deliver the highest probability of success. The performance over time in extensive back testing and live testing are remarkably consistent. Another nice advantage of trading DeltaForex is that it does not require a large account. For trading 0.01 lots, we recommend an account size of only (but - important - NO less than) $5,000-10,000. You may scale up the lot size accordingly for larger accounts. Good luck trading!

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20091.35.32.1-6.02.4
2010-0.50.00.00.0-0.00.2-0.20.20.00.00.0-0.0-0.3
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began9/21/2009
Suggested Minimum Capital$300,000
Age207 months
What it tradesForex
# Trades1471
# Profitable1410
% Profitable95.9%
Avg trade duration5.0 hours
Max peak-to-valley drawdown30.1%
drawdown periodDec 11, 2009 - Dec 22, 2009
Annual return (compounded)0.2%
Avg win$32
Avg loss$551

Ratios

W:L ratio1.34
Sharpe Ratio-0.24
Sortino Ratio-0.36
Calmar Ratio0.00

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life617.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-58.0%

Return Statistics

Ann Return (w trading costs)1.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.2%

Slump

Current Slump as Pcnt Equity8.2%
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 loss87.5%
Chance of 20% account loss47.1%
Chance of 30% account loss16.7%
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 Automated49.9%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$551
Avg Win$32
# Winners1410
Sum Trade PL (losers)$33,625
Sum Trade PL (winners)$45,149
Num Months Winners6
# Losers61
% Winners95.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table205

Frequency

Avg Position Time (mins)299.47
Avg Position Time (hrs)4.99
Avg Trade Length0.20
Last Trade Ago6087

Regression

Alpha0
Beta0
Treynor Index-1.81

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat
Avg(MAE) / Avg(PL) - All trades28.59
MAE:PL (avg, all trades)2.07
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats85.17
MAE:PL - Winning Trades - this strat Percentile of All Strats55.45
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades4.47
Avg(MAE) / Avg(PL) - Losing trades-3.20
Hold-and-Hope Ratio0.04

RATIO STATISTICS

a (intercept, estimate of alpha)-0.03
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)11
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 1604 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
USD/JPY long10Jan 14, 2010Jan 17, 2010($0)
USD/CHF short30Jan 14, 2010Jan 17, 2010($226)
USD/CAD short10Jan 14, 2010Jan 17, 2010($46)
EUR/USD long10Jan 14, 2010Jan 17, 2010($138)
AUD/USD long10Jan 14, 2010Jan 17, 2010($97)
GBP/USD long10Jan 14, 2010Jan 14, 2010$15
USD/CAD short10Jan 14, 2010Jan 14, 2010$12
GBP/USD long10Jan 14, 2010Jan 14, 2010$21
USD/CHF short10Jan 14, 2010Jan 14, 2010$20
EUR/USD long10Jan 14, 2010Jan 14, 2010$17
USD/JPY short10Jan 14, 2010Jan 14, 2010$0
USD/CHF short10Jan 14, 2010Jan 14, 2010$16
GBP/USD long10Jan 14, 2010Jan 14, 2010$22
USD/CAD long10Jan 14, 2010Jan 14, 2010$9
USD/JPY short10Jan 14, 2010Jan 14, 2010$0
USD/CHF short10Jan 14, 2010Jan 14, 2010$6
USD/CAD short10Jan 11, 2010Jan 14, 2010($6)
GBP/USD short30Jan 8, 2010Jan 14, 2010($720)
EUR/USD short100Jan 8, 2010Jan 14, 2010$26
AUD/USD long10Jan 10, 2010Jan 14, 2010$14
USD/CHF short10Jan 11, 2010Jan 11, 2010$27
USD/JPY long30Jan 8, 2010Jan 11, 2010$0
USD/CAD short10Jan 10, 2010Jan 10, 2010$5
USD/CHF short10Jan 10, 2010Jan 10, 2010$21
USD/CHF short10Jan 10, 2010Jan 10, 2010$13
AUD/USD long10Jan 10, 2010Jan 10, 2010($5)
AUD/USD long10Jan 8, 2010Jan 8, 2010$18
USD/CAD short10Jan 8, 2010Jan 8, 2010$14
USD/CHF short10Jan 8, 2010Jan 8, 2010$23
USD/CAD short10Jan 8, 2010Jan 8, 2010$14

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.