Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Kingda Forex

By na_na3

Forex · Started Dec 2010

hypothetical · Annual Return (Compounded)
-1.8%
Max Drawdown
33.0%
Trades
942
Win Trades
71.4%
Profit Factor
1.10
Win Months
43.4%

About this strategy

Please visit www.kingda.collective2.com for a detailed description.

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DISCLAIMER:

Trading foreign exchange on margin carries a high level of risk, and may not be suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to trade foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading, and seek advice from an independent financial advisor if you have any doubts.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20108.58.5
20111.48.74.91.6-2.31.40.80.91.90.4-3.2-0.017.3
2012-1.97.11.93.0-6.78.84.8-2.1-5.6-2.86.5-4.67.2
20132.27.2-11.3-4.31.9-2.51.80.9-0.30.8-3.00.5-6.8
2014-0.2-4.71.2-9.9-0.3-5.8-12.67.8-70.2-0.2-1.00.3-77.3
20151.0-0.30.2-0.3-0.2-2.30.30.50.3-0.3-0.20.3-1.0
20160.30.5-0.50.00.80.8-0.50.30.2-0.5-1.0-0.30.2
20170.00.00.20.30.2-0.5-0.30.2-0.30.20.5-0.5-0.2
20180.20.70.5-0.50.00.2-0.30.3-0.30.2-0.30.71.2
20190.2-0.30.3-0.30.20.00.7-0.2-0.30.2-0.30.3
20200.3-0.31.1-0.2-0.3-0.20.0-0.50.50.2-0.3-0.20.2
2021-0.3-0.3-0.50.0-0.20.20.20.5-0.3-0.80.20.2-1.3
20220.2-0.2-1.3-0.20.0-0.70.0-0.20.0-0.20.50.5-1.5
2023-0.2-0.20.7-0.3-0.5-0.50.2-0.2-0.20.2-0.30.3-1.0
2024-0.2-0.20.0-0.5-0.2-0.20.90.2-0.2-0.20.00.2-0.3
20250.00.50.00.5-0.2-0.3-0.30.3-0.2-0.5-0.2-0.2-0.5
2026-0.2-0.2-0.2-0.30.20.0-0.20.20.2-0.5

Statistics

Overview

Strategy began12/3/2010
Suggested Minimum Capital$2,117
Age192 months
What it tradesForex
# Trades942
# Profitable673
% Profitable71.4%
Avg trade duration8.1 hours
Max peak-to-valley drawdown33.0%
drawdown periodFeb 11, 2014 - Sept 10, 2014
Annual Return (Compounded)-1.8%
Avg win$15
Avg loss$33

Ratios

W:L ratio1.11
Sharpe Ratio-0.39
Sortino Ratio-0.43
Calmar Ratio0.20

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life519.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-68.9%

Return Statistics

Ann Return (w trading costs)-1.8%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)2.5%

Slump

Current Slump as Pcnt Equity451.1%
Current Slump, time of slump as pcnt of strategy life0.9%

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 loss53.5%
Chance of 20% account loss15.5%
Chance of 30% account loss3.5%
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 Automated60.0%

Popularity

Popularity (Today)601
Popularity (Last 6 weeks)855

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$33
Avg Win$15
# Winners673
Sum Trade PL (losers)$8,922
Sum Trade PL (winners)$9,931
Num Months Winners82
# Losers269
% Winners71.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table190

Frequency

Avg Position Time (mins)488.38
Avg Position Time (hrs)8.14
Avg Trade Length0.30
Last Trade Ago4380

Regression

Alpha-0.02
Beta-0.01
Treynor Index1.63

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.02
MAE:Equity, average, losing trades0.03
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 trades125.30
MAE:PL (avg, all trades)0.91
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats48.91
MAE:PL - Winning Trades - this strat Percentile of All Strats59.05
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.24
Avg(MAE) / Avg(PL) - Losing trades-1.39
Hold-and-Hope Ratio0.01

RATIO STATISTICS

Mean0.20
SD0.14
Sharpe ratio (Glass type estimate)1.39
Sharpe ratio (Hedges UMVUE)1.36
df45
t2.72
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.34
Upperbound of 95% confidence interval for Sharpe Ratio2.42
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.32
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.40
Sortino ratio3.00
Upside Potential Ratio4.37
Upside part of mean0.29
Downside part of mean-0.09
Upside SD0.14
Downside SD0.07
N nonnegative terms34
N negative terms12
N of observations46
Mean of predictor0.12
Mean of criterion0.20
SD of predictor0.12
SD of criterion0.14
Covariance0.00
r0.21
b (slope, estimate of beta)0.25
a (intercept, estimate of alpha)0.17
Mean Square Error0.02
DF error44
t(b)1.42
p(b)0.08
t(a)2.24
p(a)0.02
Lowerbound of 95% confidence interval for beta-0.10
Upperbound of 95% confidence interval for beta0.61
Lowerbound of 95% confidence interval for alpha0.02
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)0.79
Jensen alpha (a)0.17
Mean0.19
SD0.14
Sharpe ratio (Glass type estimate)1.34
Sharpe ratio (Hedges UMVUE)1.32
df45
t2.63
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.30
Upperbound of 95% confidence interval for Sharpe Ratio2.37
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.28
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.36
Sortino ratio2.74
Upside Potential Ratio4.10
Upside part of mean0.28
Downside part of mean-0.09
Upside SD0.13
Downside SD0.07
N nonnegative terms34
N negative terms12
N of observations46
Mean of predictor0.11
Mean of criterion0.19
SD of predictor0.12
SD of criterion0.14
Covariance0.00
r0.21
b (slope, estimate of beta)0.24
a (intercept, estimate of alpha)0.16
Mean Square Error0.02
DF error44
t(b)1.41
p(b)0.08
t(a)2.19
p(a)0.02
Lowerbound of 95% confidence interval for beta-0.10
Upperbound of 95% confidence interval for beta0.59
Lowerbound of 95% confidence interval for alpha0.01
Upperbound of 95% confidence interval for alpha0.31
Treynor index (mean / b)0.77
Jensen alpha (a)0.16
VaR(95%)0.05
Expected Shortfall on VaR0.07
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean0.18
SD0.16
Sharpe ratio (Glass type estimate)1.16
Sharpe ratio (Hedges UMVUE)1.16
df1342
t2.30
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio0.17
Upperbound of 95% confidence interval for Sharpe Ratio2.16
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.17
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.15
Sortino ratio1.70
Upside Potential Ratio6.76
Upside part of mean0.72
Downside part of mean-0.54
Upside SD0.11
Downside SD0.11
N nonnegative terms521
N negative terms822
N of observations1343
Mean of predictor0.13
Mean of criterion0.18
SD of predictor0.15
SD of criterion0.16
Covariance0.00
r0.03
b (slope, estimate of beta)0.04
a (intercept, estimate of alpha)0.05
Mean Square Error0.02
DF error1341
t(b)1.26
p(b)0.48
t(a)2.24
p(a)0.46
Lowerbound of 95% confidence interval for beta-0.02
Upperbound of 95% confidence interval for beta0.09
Lowerbound of 95% confidence interval for alpha0.02
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)5.14
Jensen alpha (a)0.18
Mean0.17
SD0.16
Sharpe ratio (Glass type estimate)1.08
Sharpe ratio (Hedges UMVUE)1.08
df1342
t2.14
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio0.09
Upperbound of 95% confidence interval for Sharpe Ratio2.08
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.09
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.08
Sortino ratio1.56
Upside Potential Ratio6.57
Upside part of mean0.72
Downside part of mean-0.55
Upside SD0.11
Downside SD0.11
N nonnegative terms521
N negative terms822
N of observations1343
Mean of predictor0.11
Mean of criterion0.17
SD of predictor0.15
SD of criterion0.16
Covariance0.00
r0.03
b (slope, estimate of beta)0.04
a (intercept, estimate of alpha)0.17
Mean Square Error0.02
DF error1341
t(b)1.26
p(b)0.48
t(a)2.09
p(a)0.46
Lowerbound of 95% confidence interval for beta-0.02
Upperbound of 95% confidence interval for beta0.09
Lowerbound of 95% confidence interval for alpha0.01
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)4.82
Jensen alpha (a)0.17
VaR(95%)0.01
Expected Shortfall on VaR0.02
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean-0.16
SD0.17
Sharpe ratio (Glass type estimate)-0.96
Sharpe ratio (Hedges UMVUE)-0.95
df171
t-0.68
p0.53
Lowerbound of 95% confidence interval for Sharpe Ratio-3.73
Upperbound of 95% confidence interval for Sharpe Ratio1.82
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.72
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.82
Sortino ratio-1.10
Upside Potential Ratio3.87
Upside part of mean0.57
Downside part of mean-0.74
Upside SD0.08
Downside SD0.15
N nonnegative terms84
N negative terms88
N of observations172
Mean of predictor0.11
Mean of criterion-0.16
SD of predictor0.09
SD of criterion0.17
Covariance0.00
r0.10
b (slope, estimate of beta)0.19
a (intercept, estimate of alpha)-0.19
Mean Square Error0.03
DF error170
t(b)1.31
p(b)0.45
t(a)-0.77
p(a)0.53
Lowerbound of 95% confidence interval for beta-0.10
Upperbound of 95% confidence interval for beta0.48
Lowerbound of 95% confidence interval for alpha-0.66
Upperbound of 95% confidence interval for alpha0.29
Treynor index (mean / b)-0.85
Jensen alpha (a)-0.19
Mean-0.18
SD0.17
Sharpe ratio (Glass type estimate)-1.02
Sharpe ratio (Hedges UMVUE)-1.02
df171
t-0.72
p0.54
Lowerbound of 95% confidence interval for Sharpe Ratio-3.80
Upperbound of 95% confidence interval for Sharpe Ratio1.75
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.79
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.75
Sortino ratio-1.17
Upside Potential Ratio3.74
Upside part of mean0.57
Downside part of mean-0.75
Upside SD0.08
Downside SD0.15
N nonnegative terms84
N negative terms88
N of observations172
Mean of predictor0.11
Mean of criterion-0.18
SD of predictor0.09
SD of criterion0.17
Covariance0.00
r0.10
b (slope, estimate of beta)0.20
a (intercept, estimate of alpha)-0.20
Mean Square Error0.03
DF error170
t(b)1.33
p(b)0.45
t(a)-0.81
p(a)0.53
Lowerbound of 95% confidence interval for beta-0.10
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0.49
Lowerbound of 95% confidence interval for alpha-0.69
Upperbound of 95% confidence interval for alpha0.29
Treynor index (mean / b)-0.90
Jensen alpha (a)-0.20
VaR(95%)0.02
Expected Shortfall on VaR0.02
VaR(95%)0.00
Expected Shortfall on VaR0.01

ORDER STATISTICS

Number of observations46
Minimum0.93
Quartile 11.00
Median1.01
Quartile 31.03
Maximum1.13
Mean of quarter 10.97
Mean of quarter 21.01
Mean of quarter 31.02
Mean of quarter 41.07
Inter Quartile Range0.03
Number outliers low3
Percentage of outliers low0.07
Mean of outliers low0.93
Number of outliers high6
Percentage of outliers high0.13
Mean of outliers high1.10
Extreme Value Index (moments method)0.50
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.05
Extreme Value Index (regression method)0.09
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.05
Number of observations1343
Minimum0.92
Quartile 11
Median1
Quartile 31.00
Maximum1.07
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low166
Percentage of outliers low0.12
Mean of outliers low0.99
Number of outliers high177
Percentage of outliers high0.13
Mean of outliers high1.01
Extreme Value Index (moments method)0.72
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations172
Minimum0.92
Quartile 11.00
Median1
Quartile 31.00
Maximum1.04
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low23
Percentage of outliers low0.13
Mean of outliers low0.99
Number of outliers high16
Percentage of outliers high0.09
Mean of outliers high1.01
Extreme Value Index (moments method)0.95
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.13
Extreme Value Index (regression method)0.88
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.06

DRAW DOWN STATISTICS

Number of observations9
Minimum0.01
Quartile 10.01
Median0.02
Quartile 30.06
Maximum0.08
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.04
Mean of quarter 40.08
Inter Quartile Range0.05
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)-4.24
VaR(95%) (moments method)0.08
Expected Shortfall (moments method)0.08
Extreme Value Index (regression method)-0.87
VaR(95%) (regression method)0.09
Expected Shortfall (regression method)0.09
Number of observations59
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.03
Maximum0.10
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.02
Mean of quarter 40.06
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high5
Percentage of outliers high0.08
Mean of outliers high0.10
Extreme Value Index (moments method)-0.24
VaR(95%) (moments method)0.07
Expected Shortfall (moments method)0.08
Extreme Value Index (regression method)-0.42
VaR(95%) (regression method)0.06
Expected Shortfall (regression method)0.06
Number of observations3
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.05
Maximum0.10
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30
Mean of quarter 40.10
Inter Quartile Range0.05
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)211
Last 4 Months - Pcnt Negative0.2%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.30
Compounded annual return (geometric extrapolation)0.22
Calmar ratio (compounded annual return / max draw down)2.58
Compounded annual return / average of 25% largest draw downs2.78
Compounded annual return / Expected Shortfall lognormal3.34
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.26
Compounded annual return (geometric extrapolation)0.20
Calmar ratio (compounded annual return / max draw down)1.92
Compounded annual return / average of 25% largest draw downs3.05
Compounded annual return / Expected Shortfall lognormal11.74
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.16
Compounded annual return (geometric extrapolation)-0.16
Calmar ratio (compounded annual return / max draw down)-1.57
Compounded annual return / average of 25% largest draw downs-1.57
Compounded annual return / Expected Shortfall lognormal-7.87

Trading record

Placed 1202 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/AUD short90Sep 9, 2014Sep 10, 2014($1,160)
EUR/CAD short50Sep 3, 2014Sep 4, 2014$27
EUR/AUD short20Sep 3, 2014Sep 3, 2014$10
EUR/NZD short20Sep 2, 2014Sep 2, 2014$2
USD/CAD long10Aug 29, 2014Aug 29, 2014$4
CAD/CHF short20Aug 27, 2014Aug 27, 2014$4
EUR/USD short40Aug 27, 2014Aug 27, 2014$2
AUD/JPY short20Aug 26, 2014Aug 26, 2014$0
EUR/CHF long10Aug 25, 2014Aug 25, 2014$2
USD/JPY short30Aug 20, 2014Aug 21, 2014$0
USD/CAD short40Aug 19, 2014Aug 20, 2014$5
AUD/USD long30Aug 19, 2014Aug 19, 2014$1
GBP/AUD short20Aug 19, 2014Aug 19, 2014$4
EUR/USD long10Aug 19, 2014Aug 19, 2014$4
USD/CHF short30Aug 18, 2014Aug 19, 2014$13
CAD/JPY short10Aug 15, 2014Aug 15, 2014$0
AUD/USD short20Aug 13, 2014Aug 13, 2014$10
EUR/USD short40Aug 13, 2014Aug 13, 2014$3
GBP/USD short20Aug 12, 2014Aug 12, 2014$5
CAD/JPY short60Aug 11, 2014Aug 12, 2014$0
EUR/USD short30Aug 8, 2014Aug 8, 2014$7
USD/JPY long10Aug 7, 2014Aug 7, 2014$0
EUR/AUD short30Aug 6, 2014Aug 7, 2014($6)
NZD/USD long70Aug 5, 2014Aug 6, 2014$105
CAD/JPY short20Aug 6, 2014Aug 6, 2014$0
USD/CAD short20Aug 5, 2014Aug 5, 2014$8
USD/JPY short10Aug 5, 2014Aug 5, 2014$0
NZD/USD short10Aug 4, 2014Aug 4, 2014$4
AUD/JPY short10Jul 31, 2014Jul 31, 2014$0
USD/CAD long10Jul 31, 2014Jul 31, 2014$4

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.