TS_EURUSD_1
- hypothetical · Annual Return (Compounded)
- 22.8%
- Max Drawdown
- 25.0%
- Trades
- 88
- Win Trades
- 48.9%
- Profit Factor
- 1.20
- Win Months
- 3.2%
About this strategy
The system trades EURUSD with only one position per trade.
Primary objective is to cut the losses short (average loss is around 60 pips) and let the profits run (average profit is 115 pips) at a reasonable winner percentage (the system wins 48% of the trades) and trade frequency (around 140 trades per year).
The system is 100% mechanical, not optimized (actually it doesn't have any input variables) and doesn't use any traditional technical indicators but an effective and robust mathematical method for determining trend and momentum direction.
As with any system, it is very important to take all trades and strictly follow the system (not close or open positions manually). Therefore I highly recommend to use auto-trading unless you are able to monitor the markets 24h per day...
Because of its simple structure and focus on larger profits and low dd, the system can be traded profitably on small and large accounts as well. You just need to set the lot size based on your account equity and risk preference.
The system in Collective uses a leverage of 2 (starting account size 5000 USD, trade size 1 mini lot) which is what most professional money managers are allowed to use.
You can study the performance statistics and decide which lot size would be the appropriate for you.
Primary objective is to cut the losses short (average loss is around 60 pips) and let the profits run (average profit is 115 pips) at a reasonable winner percentage (the system wins 48% of the trades) and trade frequency (around 140 trades per year).
The system is 100% mechanical, not optimized (actually it doesn't have any input variables) and doesn't use any traditional technical indicators but an effective and robust mathematical method for determining trend and momentum direction.
As with any system, it is very important to take all trades and strictly follow the system (not close or open positions manually). Therefore I highly recommend to use auto-trading unless you are able to monitor the markets 24h per day...
Because of its simple structure and focus on larger profits and low dd, the system can be traded profitably on small and large accounts as well. You just need to set the lot size based on your account equity and risk preference.
The system in Collective uses a leverage of 2 (starting account size 5000 USD, trade size 1 mini lot) which is what most professional money managers are allowed to use.
You can study the performance statistics and decide which lot size would be the appropriate for you.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | 2.9 | 3.2 | 7.6 | -24.9 | 4.1 | 4.5 | 2.6 | 0.0 | -4.3 | ||||
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 5/6/2011 |
|---|---|
| Suggested Minimum Capital | $5,000 |
| Age | 187 months |
| What it trades | Forex |
| # Trades | 88 |
| # Profitable | 43 |
| % Profitable | 48.9% |
| Avg trade duration | 1.6 days |
| Max peak-to-valley drawdown | 25.0% |
| drawdown period | July 26, 2011 - Aug 30, 2011 |
| Annual return (compounded) | 1.0% |
| Avg win | $103 |
| Avg loss | $80 |
Ratios
| W:L ratio | 1.22 |
|---|---|
| Sharpe Ratio | -0.33 |
| Sortino Ratio | -0.44 |
| Calmar Ratio | 0.19 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 463.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -11.1% |
Return Statistics
| Ann Return (w trading costs) | 22.8% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 1.0% |
Slump
| Current Slump as Pcnt Equity | 25.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 1.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 7.3% |
|---|---|
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| 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 Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $80 |
|---|---|
| Avg Win | $103 |
| # Winners | 43 |
| Sum Trade PL (losers) | $3,612 |
| Sum Trade PL (winners) | $4,414 |
| Num Months Winners | 6 |
| # Losers | 45 |
| % Winners | 48.9% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 185 |
|---|
Frequency
| Avg Position Time (mins) | 2280.10 |
|---|---|
| Avg Position Time (hrs) | 38 |
| Avg Trade Length | 1.60 |
| Last Trade Ago | 5424 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | 1.44 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -12.26 |
| MAE:PL (avg, all trades) | -0.69 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 16.54 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 12.88 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.37 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.16 |
| Hold-and-Hope Ratio | -0.08 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.03 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.01 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 35 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 51 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| EUR/USD | short | 10 | Nov 9, 2011 | Nov 9, 2011 | $104 |
| EUR/USD | long | 10 | Nov 7, 2011 | Nov 8, 2011 | $102 |
| EUR/USD | short | 10 | Nov 7, 2011 | Nov 7, 2011 | ($15) |
| EUR/USD | long | 10 | Nov 4, 2011 | Nov 7, 2011 | ($68) |
| EUR/USD | short | 10 | Nov 2, 2011 | Nov 4, 2011 | ($114) |
| EUR/USD | short | 10 | Oct 25, 2011 | Nov 1, 2011 | $109 |
| EUR/USD | long | 10 | Oct 21, 2011 | Oct 25, 2011 | $77 |
| EUR/USD | short | 10 | Oct 20, 2011 | Oct 21, 2011 | ($137) |
| EUR/USD | long | 10 | Oct 18, 2011 | Oct 18, 2011 | $65 |
| EUR/USD | long | 10 | Oct 14, 2011 | Oct 17, 2011 | $127 |
| EUR/USD | short | 10 | Oct 12, 2011 | Oct 14, 2011 | ($162) |
| EUR/USD | long | 10 | Oct 6, 2011 | Oct 10, 2011 | $341 |
| EUR/USD | short | 10 | Oct 5, 2011 | Oct 6, 2011 | ($23) |
| EUR/USD | long | 10 | Oct 5, 2011 | Oct 5, 2011 | ($34) |
| EUR/USD | long | 10 | Oct 4, 2011 | Oct 4, 2011 | $118 |
| EUR/USD | short | 10 | Sep 29, 2011 | Oct 2, 2011 | $217 |
| EUR/USD | long | 10 | Sep 29, 2011 | Sep 29, 2011 | ($112) |
| EUR/USD | short | 10 | Sep 28, 2011 | Sep 29, 2011 | ($85) |
| EUR/USD | long | 10 | Sep 26, 2011 | Sep 28, 2011 | $51 |
| EUR/USD | short | 10 | Sep 25, 2011 | Sep 26, 2011 | ($108) |
| EUR/USD | short | 10 | Sep 21, 2011 | Sep 22, 2011 | $131 |
| EUR/USD | long | 10 | Sep 20, 2011 | Sep 21, 2011 | ($65) |
| EUR/USD | short | 10 | Sep 18, 2011 | Sep 20, 2011 | $7 |
| EUR/USD | long | 10 | Sep 14, 2011 | Sep 18, 2011 | ($9) |
| EUR/USD | short | 10 | Sep 13, 2011 | Sep 14, 2011 | ($75) |
| EUR/USD | short | 10 | Sep 8, 2011 | Sep 9, 2011 | $182 |
| EUR/USD | long | 10 | Sep 7, 2011 | Sep 8, 2011 | ($35) |
| EUR/USD | long | 10 | Sep 6, 2011 | Sep 6, 2011 | $107 |
| EUR/USD | short | 10 | Sep 2, 2011 | Sep 6, 2011 | $75 |
| EUR/USD | short | 10 | Aug 31, 2011 | Sep 2, 2011 | $192 |
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.