Collective2 Collective2
Featured Strategy Iberia Capital Strategy +15.0% Cumul. Return since Apr 15, 2026 Hypothetical

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FX Tactical

By MarkShawzin2

Forex · Started Feb 2010

hypothetical · Annual Return (Compounded)
40.8%
Max Drawdown
99.1%
Trades
448
Win Trades
56.2%
Profit Factor
3.60
Win Months
13.5%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201070.973.8-36.9173.9-98.62328.3-60.1475.361.638.2-6.1762.3
2011-13.03.837.5-6.8-9.2-35.0-4.946.8422.377.298.84.81738.2
2012-7.625.16.8-9.1-7.96.4-7.71.4-2.18.010.613.636.8
201313.04.75.57.44.8-4.71.60.00.00.00.00.036.1
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 began2/4/2010
Suggested Minimum Capital$5,000
Age202 months
What it tradesForex
# Trades448
# Profitable252
% Profitable56.2%
Avg trade duration4.2 days
Max peak-to-valley drawdown99.1%
drawdown periodMay 22, 2010 - June 29, 2010
Annual Return (Compounded)40.8%
Avg win$8,280
Avg loss$2,946

Ratios

W:L ratio3.61
Sharpe Ratio0.35
Sortino Ratio2.36
Calmar Ratio0.92

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life616.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)28778.1%

Return Statistics

Ann Return (w trading costs)40.8%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.4%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)41.0%

Slump

Current Slump as Pcnt Equity4.1%
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 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)0.0%

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$2,946
Avg Win$8,280
# Winners252
Sum Trade PL (losers)$577,509
Sum Trade PL (winners)$2,086,578
Num Months Winners27
# Losers196
% Winners56.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table200

Frequency

Avg Position Time (mins)6108.47
Avg Position Time (hrs)101.81
Avg Trade Length4.20
Last Trade Ago4794

Regression

Alpha0.45
Beta-0.51
Treynor Index-0.86

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.06
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.07
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.05
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades1.50
MAE:PL (avg, all trades)0.41
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats45.48
MAE:PL - Winning Trades - this strat Percentile of All Strats73.08
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.59
Avg(MAE) / Avg(PL) - Losing trades-1.29
Hold-and-Hope Ratio0.67

RATIO STATISTICS

Mean1.38
SD1.45
Sharpe ratio (Glass type estimate)0.95
Sharpe ratio (Hedges UMVUE)0.94
df61
t2.17
p0.02
Lowerbound of 95% confidence interval for Sharpe Ratio0.07
Upperbound of 95% confidence interval for Sharpe Ratio1.83
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.06
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.82
Sortino ratio3.26
Upside Potential Ratio4.20
Upside part of mean1.79
Downside part of mean-0.40
Upside SD1.43
Downside SD0.42
N nonnegative terms50
N negative terms12
N of observations62
Mean of predictor0.38
Mean of criterion1.38
SD of predictor0.26
SD of criterion1.45
Covariance0.05
r0.13
b (slope, estimate of beta)0.71
a (intercept, estimate of alpha)1.11
Mean Square Error2.10
DF error60
t(b)1.00
p(b)0.16
t(a)1.61
p(a)0.06
Lowerbound of 95% confidence interval for beta-0.72
Upperbound of 95% confidence interval for beta2.15
Lowerbound of 95% confidence interval for alpha-0.27
Upperbound of 95% confidence interval for alpha2.50
Treynor index (mean / b)1.93
Jensen alpha (a)1.11
Mean0.62
SD1.24
Sharpe ratio (Glass type estimate)0.50
Sharpe ratio (Hedges UMVUE)0.49
df61
t1.14
p0.13
Lowerbound of 95% confidence interval for Sharpe Ratio-0.37
Upperbound of 95% confidence interval for Sharpe Ratio1.37
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.37
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.36
Sortino ratio0.72
Upside Potential Ratio1.44
Upside part of mean1.25
Downside part of mean-0.63
Upside SD0.89
Downside SD0.86
N nonnegative terms50
N negative terms12
N of observations62
Mean of predictor0.34
Mean of criterion0.62
SD of predictor0.25
SD of criterion1.24
Covariance0.08
r0.27
b (slope, estimate of beta)1.30
a (intercept, estimate of alpha)0.18
Mean Square Error1.45
DF error60
t(b)2.15
p(b)0.02
t(a)0.31
p(a)0.38
Lowerbound of 95% confidence interval for beta0.09
Upperbound of 95% confidence interval for beta2.52
Lowerbound of 95% confidence interval for alpha-0.96
Upperbound of 95% confidence interval for alpha1.31
Treynor index (mean / b)0.48
Jensen alpha (a)0.18
VaR(95%)0.41
Expected Shortfall on VaR0.49
VaR(95%)0.03
Expected Shortfall on VaR0.10
Mean2.16
SD1.72
Sharpe ratio (Glass type estimate)1.25
Sharpe ratio (Hedges UMVUE)1.25
df1356
t2.86
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio0.39
Upperbound of 95% confidence interval for Sharpe Ratio2.12
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.39
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.12
Sortino ratio2.26
Upside Potential Ratio6.83
Upside part of mean6.54
Downside part of mean-4.37
Upside SD1.44
Downside SD0.96
N nonnegative terms1062
N negative terms295
N of observations1357
Mean of predictor0.39
Mean of criterion2.16
SD of predictor0.31
SD of criterion1.72
Covariance0.01
r0.02
b (slope, estimate of beta)0.10
a (intercept, estimate of alpha)2.13
Mean Square Error2.97
DF error1355
t(b)0.63
p(b)0.49
t(a)2.80
p(a)0.45
Lowerbound of 95% confidence interval for beta-0.20
Upperbound of 95% confidence interval for beta0.40
Lowerbound of 95% confidence interval for alpha0.64
Upperbound of 95% confidence interval for alpha3.62
Treynor index (mean / b)22.48
Jensen alpha (a)2.13
Mean0.62
SD1.90
Sharpe ratio (Glass type estimate)0.33
Sharpe ratio (Hedges UMVUE)0.33
df1356
t0.74
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.54
Upperbound of 95% confidence interval for Sharpe Ratio1.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.54
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.19
Sortino ratio0.41
Upside Potential Ratio3.83
Upside part of mean5.77
Downside part of mean-5.15
Upside SD1.16
Downside SD1.51
N nonnegative terms1062
N negative terms295
N of observations1357
Mean of predictor0.34
Mean of criterion0.62
SD of predictor0.31
SD of criterion1.90
Covariance0.09
r0.15
b (slope, estimate of beta)0.93
a (intercept, estimate of alpha)0.30
Mean Square Error3.53
DF error1355
t(b)5.70
p(b)0.40
t(a)0.36
p(a)0.49
Lowerbound of 95% confidence interval for beta0.61
Upperbound of 95% confidence interval for beta1.26
Lowerbound of 95% confidence interval for alpha-1.32
Upperbound of 95% confidence interval for alpha1.92
Treynor index (mean / b)0.66
Jensen alpha (a)0.30
VaR(95%)0.17
Expected Shortfall on VaR0.21
VaR(95%)0.02
Expected Shortfall on VaR0.05
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 predictor1.14
Mean of criterion0
SD of predictor0.38
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 predictor1.06
Mean of criterion0
SD of predictor0.38
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)0.17
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 observations62
Minimum0.15
Quartile 11
Median1
Quartile 31.06
Maximum3.31
Mean of quarter 10.87
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.57
Inter Quartile Range0.06
Number outliers low7
Percentage of outliers low0.11
Mean of outliers low0.73
Number of outliers high13
Percentage of outliers high0.21
Mean of outliers high1.68
Extreme Value Index (moments method)-34.80
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0.00
VaR(95%) (regression method)0.17
Expected Shortfall (regression method)0.29
Number of observations1357
Minimum0.08
Quartile 11
Median1
Quartile 31
Maximum2.25
Mean of quarter 10.93
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.10
Inter Quartile Range0
Number outliers low295
Percentage of outliers low0.22
Mean of outliers low0.92
Number of outliers high315
Percentage of outliers high0.23
Mean of outliers high1.11
Extreme Value Index (moments method)-0.06
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.31
VaR(95%) (regression method)0.06
Expected Shortfall (regression method)0.13
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 observations5
Minimum0.00
Quartile 10.07
Median0.10
Quartile 30.32
Maximum0.85
Mean of quarter 10.03
Mean of quarter 20.10
Mean of quarter 30.32
Mean of quarter 40.85
Inter Quartile Range0.26
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.20
Mean of outliers high0.85
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 observations25
Minimum0.00
Quartile 10.06
Median0.15
Quartile 30.20
Maximum0.93
Mean of quarter 10.02
Mean of quarter 20.12
Mean of quarter 30.19
Mean of quarter 40.54
Inter Quartile Range0.14
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high4
Percentage of outliers high0.16
Mean of outliers high0.66
Extreme Value Index (moments method)-0.45
VaR(95%) (moments method)0.49
Expected Shortfall (moments method)0.58
Extreme Value Index (regression method)-0.10
VaR(95%) (regression method)0.66
Expected Shortfall (regression method)0.89
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?-405979840
Max Equity Drawdown (num days)38
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)4.58
Compounded annual return (geometric extrapolation)0.86
Calmar ratio (compounded annual return / max draw down)1.01
Compounded annual return / average of 25% largest draw downs1.01
Compounded annual return / Expected Shortfall lognormal1.75
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)4.56
Compounded annual return (geometric extrapolation)0.86
Calmar ratio (compounded annual return / max draw down)0.92
Compounded annual return / average of 25% largest draw downs1.59
Compounded annual return / Expected Shortfall lognormal4.03
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 375 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
AUD/JPY long3000Jan 6, 2012Jul 24, 2013$2,363
AUD/USD short3000Dec 14, 2011Jul 24, 2013$228,990
GBP/JPY long3000Dec 16, 2011Dec 16, 2011($105)
GBP/JPY long3000Dec 15, 2011Dec 15, 2011($55)
EUR/USD short9500Dec 2, 2011Dec 13, 2011$133,845
GBP/USD short5000Dec 9, 2011Dec 12, 2011$27,110
EUR/CAD short3000Dec 11, 2011Dec 12, 2011$2,898
GBP/JPY long3000Dec 1, 2011Dec 11, 2011($133)
GBP/USD short5000Dec 8, 2011Dec 9, 2011$14,502
EUR/GBP short6000Nov 30, 2011Dec 8, 2011$14,751
AUD/USD short3000Dec 5, 2011Dec 8, 2011$9,780
GBP/USD short3000Dec 2, 2011Dec 5, 2011$8,820
GBP/JPY long9000Nov 28, 2011Nov 30, 2011$80
GBP/USD short3000Nov 28, 2011Nov 29, 2011($41,490)
EUR/GBP long3000Nov 29, 2011Nov 29, 2011($10,008)
AUD/JPY long6000Nov 28, 2011Nov 28, 2011$9
EUR/USD short16000Nov 18, 2011Nov 28, 2011$91,890
GBP/JPY long5000Nov 25, 2011Nov 28, 2011$267
USD/JPY long3000Nov 25, 2011Nov 28, 2011$41
GBP/USD short5000Nov 20, 2011Nov 25, 2011$90,920
CAD/JPY short1000Nov 20, 2011Nov 24, 2011$57
EUR/AUD long2500Nov 18, 2011Nov 18, 2011($8,841)
EUR/GBP long3000Nov 18, 2011Nov 18, 2011($2,371)
EUR/GBP short3000Nov 18, 2011Nov 18, 2011($10,450)
AUD/USD short2000Nov 17, 2011Nov 18, 2011($15,720)
USD/CAD long3000Nov 18, 2011Nov 18, 2011($7,663)
EUR/CAD long3000Nov 17, 2011Nov 18, 2011$4,314
EUR/USD long3000Nov 17, 2011Nov 17, 2011($4,800)
EUR/USD short3000Nov 17, 2011Nov 17, 2011($20,430)
EUR/GBP long3000Nov 17, 2011Nov 17, 2011($4,019)

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.