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Love FX

By christopher_lovemo

Forex · Started Nov 2009

hypothetical · Annual Return (Compounded)
-58.0%
Max Drawdown
100.0%
Trades
77
Win Trades
76.6%
Profit Factor
0.20
Win Months
1.0%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20099.72.011.9
2010-69.2-138.80.00.0-0.80.0-0.1-0.1-0.00.00.0-0.0-112.0
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
20140.00.00.00.00.00.00.00.0-0.00.00.00.0
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 began11/4/2009
Suggested Minimum Capital$100,000
Age205 months
What it tradesForex
# Trades77
# Profitable59
% Profitable76.6%
Avg trade duration13.6 hours
Max peak-to-valley drawdown100.0%
drawdown periodFeb 12, 2010 - Feb 16, 2010
Annual return (compounded)0.0%
Avg win$518
Avg loss$7,657

Ratios

W:L ratio0.22
Sharpe Ratio-2.45
Sortino Ratio-2.55
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP5000.17
Return Percent SP500 (cumu) during strategy life629.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-172.2%

Return Statistics

Ann Return (w trading costs)-58.0%
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%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$7,657
Avg Win$518
# Winners59
Sum Trade PL (losers)$137,823
Sum Trade PL (winners)$30,539
Num Months Winners2
# Losers18
% Winners76.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table4

Frequency

Avg Position Time (mins)814.97
Avg Position Time (hrs)13.58
Avg Trade Length0.60
Last Trade Ago6047

Regression

Alpha0
Beta5.97
Treynor Index0

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 trades-1.95
MAE:PL (avg, all trades)3.26
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats78.27
MAE:PL - Winning Trades - this strat Percentile of All Strats80.12
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades2.41
Avg(MAE) / Avg(PL) - Losing trades-1.14
Hold-and-Hope Ratio-0.51

RATIO STATISTICS

a (intercept, estimate of alpha)36785.48
VAR (95 Confidence Intrvl)0.69

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)4
Last 4 Months - Pcnt Negative0.5%

Trading record

Placed 64 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/USD long2250Jan 19, 2010Feb 23, 2010($131,357)
USD/JPY short250Feb 10, 2010Feb 10, 2010$2
USD/CAD short100Feb 4, 2010Feb 4, 2010($277)
GBP/USD short250Feb 2, 2010Feb 2, 2010$680
GBP/USD short100Feb 2, 2010Feb 2, 2010($38)
AUD/USD long100Feb 1, 2010Feb 1, 2010($783)
EUR/GBP short100Feb 1, 2010Feb 1, 2010($152)
GBP/USD short100Jan 28, 2010Jan 28, 2010$916
USD/JPY long100Jan 26, 2010Jan 27, 2010$2
AUD/USD short400Jan 26, 2010Jan 26, 2010$692
GBP/USD long250Jan 26, 2010Jan 26, 2010$290
EUR/GBP long250Jan 25, 2010Jan 25, 2010$67
GBP/USD short250Jan 19, 2010Jan 19, 2010$20
GBP/USD long2000Jan 15, 2010Jan 15, 2010$1,240
GBP/USD long2000Jan 15, 2010Jan 15, 2010$780
EUR/USD long1000Jan 15, 2010Jan 15, 2010$600
EUR/GBP long250Jan 15, 2010Jan 15, 2010$94
USD/CAD short2000Jan 11, 2010Jan 14, 2010$2,402
GBP/USD short2000Jan 11, 2010Jan 11, 2010($1,000)
USD/CAD short10Jan 8, 2010Jan 8, 2010$12
GBP/USD short1000Jan 8, 2010Jan 8, 2010$670
EUR/JPY short1000Jan 6, 2010Jan 6, 2010$6
USD/JPY short1000Jan 6, 2010Jan 6, 2010$2
GBP/USD short1000Jan 4, 2010Jan 4, 2010($610)
GBP/USD short1000Jan 4, 2010Jan 4, 2010($250)
EUR/USD short1000Jan 4, 2010Jan 4, 2010$230
EUR/USD short1000Dec 29, 2009Dec 29, 2009$80
GBP/USD long1000Dec 29, 2009Dec 29, 2009$270
NZD/USD long1000Dec 22, 2009Dec 22, 2009$840
GBP/USD long1000Dec 21, 2009Dec 21, 2009($2,010)

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.