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Adaptive Neuro-Fuzzy Clustering Bot

Forex · Started Nov 2010

hypothetical · Annual Return (Compounded)
-6.4%
Max Drawdown
29.2%
Trades
102
Win Trades
78.4%
Profit Factor
1.30
Win Months
4.7%

About this strategy

Welcome!

I dedicate this work especially for my family and university where I grew and spent almost all of my age. This work is a product of my researches in intelligent system particularly in neuro-fuzzy and evolutionary algorithm.

This is my humble trading system. This is a system for my living. The typical performance is as follow:
- Typical expected return 2-6% per month
- Typical risk exposure 1-2% per cycle
- Typical equity drawdown less than 10% per cycle
Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.

Before you decide to continue: (1) Make sure you understand the law of nature "high gain, high risk". There is no such thing in this world with "high gain, low risk" or "high profit, low drawdown". If you understand this context then you should trade with sufficient balance and only according to your own risk tolerance. (2) Make sure you know your reasonable reward. Be realistic! "get rich quick" and "gotta have it now" mentality are the most factor that make you as loser (part of the other 90% in this leveraged arena).

This is an autonomous foreign exchange trading system based on adaptive neuro-fuzzy clustering (ANFC) algorithm. This is an inherently safe and stable trading system. It trades 16 currency pairs including: EURUSD, GBPUSD, EURJPY, USDJPY, AUDUSD, EURCHF, CHFJPY, USDCHF, USDCAD, EURGBP, AUDJPY, NZDUSD, GBPJPY, AUDCAD, EURAUD, GBPCHF. The system will send trading signal regardless time zone or time frame. Currency pair selection, lot size, time to close and open are fully controlled by the algorithm. It may open one or more positions within a period, called, a cycle. The max risk and max expected equity drawdown per cycle are fixed at 25%. It does not use all of the risk allocation at single trade, but it introduces you to the risk step by step depending on the market condition. Most of the time it only exposes you to the risks 1%-2% per cycle, with equity drawdown less than 10%. This is a very conservative strategy which can sustain up to 6% fluctuation over MA 20-days period rarely found during normal market condition. I really did a lot of researches, experiment and studies in risk control and money management and put strict discipline on this matter. It works very well in a portfolio of assorted strategies since it does not take up much of the leverage.

Learn carefully my trading system before you decide to subscribe. Only trade according to your own risk tolerance and do not over leverage yourself. Happy Trade!


Frequently Asked Questions (FAQs)

1Q: What is your maximum drawdown (DD)?
1A: My system has maximum drawdown set at 25% of my trading account balance (USD 12000). If your trading account is USD 60000 with percent model account size=100% then drawdown exposure is only as much as 5%. If your trading account is USD 6000 with percent model account size=100% then your drawdown exposure will be 50%

2Q: What is the right account amount for trading this system?
2A: It depends on your tolerance to the drawdown. If you are OK with 25% drawdown then your account should be higher than USD 12000 with percent model account size equal to 100%. If you want it to be lower than 25% drawdown then either you increase the account capital or reduce the percent model account size.
Example: I have only USD 10000 in my account how much I should adjust my percent model account size such that max drawdown in my account become 15%? Use this formula percent model account size = (USD 10000/USD 12000)*(15%/25%)*100% = 50%

3Q: Can I scale up the account size based on the available fund?
3A: Of course you can. Just adjust your percent model account size and use the formula on 2A.

4Q: Do you use stop loss signal for each opened position?
4A: Yes. My trading system uses stop signal consists of 4 types: (1) hard stop -> all open positions will be closed if it reach max drawdown (25%). (2) trailing stop -> to lock profit, (3) logic stop -> if the system considers that its profit/loss ratio is enough then it will close all position automatically.
(4) stop loss target is provided for each open position

5Q: Do you carry trades over weekend?
5A: Yes. I do not close my position every friday. It depends totally on the algorithm.


Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20102.95.18.1
20116.22.03.21.93.91.6-4.3-9.8-13.5-2.16.60.0-6.4
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 began11/8/2010
Suggested Minimum Capital$5,000
Age193 months
What it tradesForex
# Trades102
# Profitable80
% Profitable78.4%
Avg trade duration1.4 days
Max peak-to-valley drawdown29.2%
drawdown periodMarch 28, 2011 - April 08, 2011
Annual Return (Compounded)-6.4%
Avg win$75
Avg loss$218

Ratios

W:L ratio1.25
Sharpe Ratio-0.13
Sortino Ratio-0.19
Calmar Ratio-0.13

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life517.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-71.9%

Return Statistics

Ann Return (w trading costs)-6.4%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.4%

Slump

Current Slump as Pcnt Equity32.8%
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 loss6.7%
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 Automated51.5%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$218
Avg Win$75
# Winners80
Sum Trade PL (losers)$4,804
Sum Trade PL (winners)$6,014
Num Months Winners9
# Losers22
% Winners78.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table191

Frequency

Avg Position Time (mins)1984.73
Avg Position Time (hrs)33.08
Avg Trade Length1.40
Last Trade Ago5420

Regression

Alpha0
Beta-0.01
Treynor Index0.51

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.02
MAE:Equity, average, losing trades0.06
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-13.00
MAE:PL (avg, all trades)0.42
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats45.77
MAE:PL - Winning Trades - this strat Percentile of All Strats35.28
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades0.86
Avg(MAE) / Avg(PL) - Losing trades-1.30
Hold-and-Hope Ratio-0.08

RATIO STATISTICS

Mean0.16
SD0.22
Sharpe ratio (Glass type estimate)0.74
Sharpe ratio (Hedges UMVUE)0.70
df17
t0.90
p0.36
Lowerbound of 95% confidence interval for Sharpe Ratio-0.89
Upperbound of 95% confidence interval for Sharpe Ratio2.35
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.91
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.32
Sortino ratio0.96
Upside Potential Ratio1.86
Upside part of mean0.31
Downside part of mean-0.15
Upside SD0.14
Downside SD0.17
N nonnegative terms9
N negative terms9
N of observations18
Mean of predictor0.27
Mean of criterion0.16
SD of predictor0.22
SD of criterion0.22
Covariance-0.01
r-0.22
b (slope, estimate of beta)-0.22
a (intercept, estimate of alpha)0.22
Mean Square Error0.05
DF error16
t(b)-0.90
p(b)0.61
t(a)1.16
p(a)0.36
Lowerbound of 95% confidence interval for beta-0.74
Upperbound of 95% confidence interval for beta0.30
Lowerbound of 95% confidence interval for alpha-0.18
Upperbound of 95% confidence interval for alpha0.62
Treynor index (mean / b)-0.72
Jensen alpha (a)0.22
Mean0.13
SD0.23
Sharpe ratio (Glass type estimate)0.58
Sharpe ratio (Hedges UMVUE)0.56
df17
t0.71
p0.39
Lowerbound of 95% confidence interval for Sharpe Ratio-1.04
Upperbound of 95% confidence interval for Sharpe Ratio2.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.05
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.17
Sortino ratio0.73
Upside Potential Ratio1.61
Upside part of mean0.30
Downside part of mean-0.16
Upside SD0.13
Downside SD0.19
N nonnegative terms9
N negative terms9
N of observations18
Mean of predictor0.25
Mean of criterion0.13
SD of predictor0.22
SD of criterion0.23
Covariance-0.01
r-0.21
b (slope, estimate of beta)-0.22
a (intercept, estimate of alpha)0.19
Mean Square Error0.05
DF error16
t(b)-0.84
p(b)0.60
t(a)0.94
p(a)0.39
Lowerbound of 95% confidence interval for beta-0.78
Upperbound of 95% confidence interval for beta0.33
Lowerbound of 95% confidence interval for alpha-0.24
Upperbound of 95% confidence interval for alpha0.61
Treynor index (mean / b)-0.61
Jensen alpha (a)0.19
VaR(95%)0.09
Expected Shortfall on VaR0.12
VaR(95%)0.03
Expected Shortfall on VaR0.06
Mean0.16
SD0.25
Sharpe ratio (Glass type estimate)0.63
Sharpe ratio (Hedges UMVUE)0.63
df543
t0.79
p0.21
Lowerbound of 95% confidence interval for Sharpe Ratio-0.93
Upperbound of 95% confidence interval for Sharpe Ratio2.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.93
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.19
Sortino ratio1.00
Upside Potential Ratio5.41
Upside part of mean0.85
Downside part of mean-0.69
Upside SD0.19
Downside SD0.16
N nonnegative terms133
N negative terms411
N of observations544
Mean of predictor0.28
Mean of criterion0.16
SD of predictor0.24
SD of criterion0.25
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)-0.00
Mean Square Error0.06
DF error542
t(b)-0.71
p(b)0.76
t(a)0.84
p(a)0.20
Lowerbound of 95% confidence interval for beta-0.12
Upperbound of 95% confidence interval for beta0.06
Lowerbound of 95% confidence interval for alpha-0.23
Upperbound of 95% confidence interval for alpha0.56
Treynor index (mean / b)-4.88
Jensen alpha (a)0.17
Mean0.13
SD0.25
Sharpe ratio (Glass type estimate)0.52
Sharpe ratio (Hedges UMVUE)0.52
df543
t0.65
p0.26
Lowerbound of 95% confidence interval for Sharpe Ratio-1.04
Upperbound of 95% confidence interval for Sharpe Ratio2.08
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.04
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.07
Sortino ratio0.78
Upside Potential Ratio5.13
Upside part of mean0.83
Downside part of mean-0.71
Upside SD0.18
Downside SD0.16
N nonnegative terms133
N negative terms411
N of observations544
Mean of predictor0.26
Mean of criterion0.13
SD of predictor0.24
SD of criterion0.25
Covariance-0.00
r-0.03
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.13
Mean Square Error0.06
DF error542
t(b)-0.67
p(b)0.75
t(a)0.69
p(a)0.25
Lowerbound of 95% confidence interval for beta-0.12
Upperbound of 95% confidence interval for beta0.06
Lowerbound of 95% confidence interval for alpha-0.25
Upperbound of 95% confidence interval for alpha0.52
Treynor index (mean / b)-4.24
Jensen alpha (a)0.13
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.01
Mean-0.01
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 ratio-18.55
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.01
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms172
N of observations172
Mean of predictor0.61
Mean of criterion-0.01
SD of predictor0.23
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
Mean-0.01
SD0
Sharpe ratio (Glass type estimate)-3.15763010599649e+16
Sharpe ratio (Hedges UMVUE)-3.14375993861079e+16
df171
t-2.23277998051164e+16
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.47694997228749e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.81057999810724e+16
Sortino ratio-18.55
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.01
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms172
N of observations172
Mean of predictor0.58
Mean of criterion-0.01
SD of predictor0.23
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.01
Mean Square Error0
DF error170
t(b)0
p(b)0.50
t(a)-2.20543005826744e+16
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.03
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.01
Upperbound of 95% confidence interval for alpha-0.01
Treynor index (mean / b)-8.6796299273029e+31
Jensen alpha (a)-0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations18
Minimum0.80
Quartile 11
Median1.01
Quartile 31.05
Maximum1.08
Mean of quarter 10.96
Mean of quarter 21
Mean of quarter 31.03
Mean of quarter 41.07
Inter Quartile Range0.05
Number outliers low1
Percentage of outliers low0.06
Mean of outliers low0.80
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)2.85
VaR(95%) (regression method)0.07
Expected Shortfall (regression method)0
Number of observations544
Minimum0.89
Quartile 11
Median1
Quartile 31
Maximum1.18
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low91
Percentage of outliers low0.17
Mean of outliers low0.99
Number of outliers high133
Percentage of outliers high0.24
Mean of outliers high1.01
Extreme Value Index (moments method)1.00
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0.38
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations172
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 observations1
Minimum0.21
Quartile 10.21
Median0.21
Quartile 30.21
Maximum0.21
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
Number of observations19
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.01
Maximum0.26
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.12
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high3
Percentage of outliers high0.16
Mean of outliers high0.19
Extreme Value Index (moments method)0.60
VaR(95%) (moments method)0.07
Expected Shortfall (moments method)0.23
Extreme Value Index (regression method)-1.43
VaR(95%) (regression method)0.11
Expected Shortfall (regression method)0.12
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
Max Equity Drawdown (num days)11
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.16
Compounded annual return (geometric extrapolation)0.16
Calmar ratio (compounded annual return / max draw down)0.73
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal1.31
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.15
Compounded annual return (geometric extrapolation)0.15
Calmar ratio (compounded annual return / max draw down)0.57
Compounded annual return / average of 25% largest draw downs1.23
Compounded annual return / Expected Shortfall lognormal5.52
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 199 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
AUD/USD short50Oct 27, 2011Nov 2, 2011$116
AUD/USD short10Oct 24, 2011Oct 26, 2011$31
AUD/USD short10Oct 18, 2011Oct 18, 2011$12
AUD/USD short10Oct 14, 2011Oct 17, 2011$64
EUR/JPY short10Oct 12, 2011Oct 13, 2011$0
NZD/USD long20Sep 30, 2011Sep 30, 2011$79
NZD/USD long20Sep 29, 2011Sep 29, 2011$89
NZD/USD long20Sep 26, 2011Sep 26, 2011$84
NZD/USD long20Sep 26, 2011Sep 26, 2011$97
EUR/AUD short10Sep 22, 2011Sep 23, 2011$16
AUD/USD long20Sep 22, 2011Sep 22, 2011$11
USD/CHF short40Sep 21, 2011Sep 22, 2011($677)
CHF/JPY long20Sep 21, 2011Sep 21, 2011$0
GBP/CHF short20Sep 20, 2011Sep 20, 2011$121
CHF/JPY long20Sep 19, 2011Sep 19, 2011$0
AUD/USD long10Sep 14, 2011Sep 14, 2011$33
EUR/JPY long20Sep 12, 2011Sep 12, 2011$0
EUR/USD long20Sep 11, 2011Sep 11, 2011$77
EUR/USD long20Sep 9, 2011Sep 9, 2011$136
EUR/AUD long10Sep 8, 2011Sep 9, 2011($47)
USD/CHF short20Sep 6, 2011Sep 6, 2011($424)
EUR/CHF short10Sep 6, 2011Sep 6, 2011($39)
GBP/CHF long10Sep 2, 2011Sep 2, 2011($109)
GBP/CHF long10Sep 2, 2011Sep 2, 2011($93)
GBP/CHF long20Sep 1, 2011Sep 2, 2011($278)
USD/CHF short20Aug 30, 2011Aug 30, 2011$76
EUR/CHF short50Aug 26, 2011Aug 29, 2011($869)
GBP/CHF short10Aug 17, 2011Aug 17, 2011$104
USD/CHF long10Aug 15, 2011Aug 15, 2011$81
GBP/CHF short10Aug 14, 2011Aug 15, 2011($223)

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.