BreakoutFX
- hypothetical · Annual Return (Compounded)
- -31.5%
- Max Drawdown
- 20.8%
- Trades
- 160
- Win Trades
- 42.5%
- Profit Factor
- 0.90
- Win Months
- 1.6%
About this strategy
Entries: use a similar strategy to the original Turtles method, but has been modified for the intraday Forex market.
Stop-Losses: are also based on a similar method to that of the Turtles and again modified for currencies. Stops are set to risk around 1% of capital per trade.
Profit Targets: the system is designed to use profit targets, and is based on a proprietary trading method.
Trend: is based on ideas and methods from Elder using multi-timeframes and MACD-H along with Elliott Wave theory, for establishing direction and strength.
This strategy has been entirely coded for eSignal Advanced GET. Entries, exits and all updates are generated automatically on the chart, taking the emotion away from selecting a trade and leaving the trader to manually enter and manage the trades.
Because of the strict money management rules all stops and profit targets are updated frequently and if followed strictly produce the best result.
Note: There will be no cost to subscribe to BreakoutFX until there is at least 6-12 months record of returns on C2. The live results on C2 will show the performance and profitability of the system and this free subscription period will allow subscribers plenty of time to test and evaluate the strategy without incurring subscription costs.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | 2.3 | 5.3 | 1.9 | -20.8 | 0.0 | 0.0 | 0.0 | 0.0 | -13.1 | ||||
| 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 | |
| 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 |
Statistics
Overview
| Strategy began | 5/18/2011 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 186 months |
| What it trades | Forex |
| # Trades | 160 |
| # Profitable | 68 |
| % Profitable | 42.5% |
| Avg trade duration | 1.5 days |
| Max peak-to-valley drawdown | 20.8% |
| drawdown period | July 29, 2011 - Aug 29, 2011 |
| Annual return (compounded) | -0.8% |
| Avg win | $505 |
| Avg loss | $434 |
Ratios
| W:L ratio | 0.86 |
|---|---|
| Sharpe Ratio | -0.73 |
| Sortino Ratio | -0.90 |
| Calmar Ratio | -0.22 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 463.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -39.7% |
Return Statistics
| Ann Return (w trading costs) | -31.5% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -0.8% |
Slump
| Current Slump as Pcnt Equity | 28.2% |
|---|---|
| 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 | 46.3% |
|---|---|
| Chance of 20% account loss | 4.9% |
| 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 | $434 |
|---|---|
| Avg Win | $505 |
| # Winners | 68 |
| Sum Trade PL (losers) | $39,971 |
| Sum Trade PL (winners) | $34,334 |
| Num Months Winners | 3 |
| # Losers | 92 |
| % Winners | 42.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 185 |
|---|
Frequency
| Avg Position Time (mins) | 2151.08 |
|---|---|
| Avg Position Time (hrs) | 35.85 |
| Avg Trade Length | 1.50 |
| Last Trade Ago | 5488 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | 12.95 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.01 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -2.33 |
| MAE:PL (avg, all trades) | -1.88 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 61.46 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 41.38 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.48 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.09 |
| Hold-and-Hope Ratio | -0.43 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | -0.07 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.01 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 31 |
|---|---|
| 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/AUD | long | 30 | Aug 28, 2011 | Aug 29, 2011 | ($93) |
| EUR/USD | short | 50 | Aug 28, 2011 | Aug 29, 2011 | ($140) |
| USD/CHF | short | 50 | Aug 28, 2011 | Aug 29, 2011 | ($337) |
| AUD/USD | short | 50 | Aug 28, 2011 | Aug 29, 2011 | ($228) |
| GBP/AUD | long | 50 | Aug 28, 2011 | Aug 29, 2011 | ($97) |
| GBP/NZD | long | 50 | Aug 28, 2011 | Aug 29, 2011 | ($183) |
| CHF/JPY | long | 50 | Aug 28, 2011 | Aug 29, 2011 | ($2) |
| AUD/CAD | short | 50 | Aug 26, 2011 | Aug 29, 2011 | $10 |
| GBP/JPY | long | 50 | Aug 26, 2011 | Aug 29, 2011 | $3 |
| GBP/CAD | long | 50 | Aug 26, 2011 | Aug 29, 2011 | ($247) |
| EUR/GBP | short | 30 | Aug 25, 2011 | Aug 29, 2011 | ($176) |
| CAD/CHF | short | 50 | Aug 28, 2011 | Aug 29, 2011 | ($639) |
| NZD/CHF | short | 50 | Aug 28, 2011 | Aug 29, 2011 | ($639) |
| AUD/CHF | short | 50 | Aug 28, 2011 | Aug 29, 2011 | ($603) |
| EUR/CHF | short | 30 | Aug 28, 2011 | Aug 29, 2011 | ($367) |
| GBP/CHF | short | 50 | Aug 28, 2011 | Aug 29, 2011 | ($624) |
| EUR/NZD | long | 30 | Aug 28, 2011 | Aug 29, 2011 | ($195) |
| GBP/USD | long | 50 | Aug 25, 2011 | Aug 28, 2011 | $446 |
| NZD/USD | short | 50 | Aug 26, 2011 | Aug 28, 2011 | ($533) |
| GBP/NZD | long | 50 | Aug 26, 2011 | Aug 26, 2011 | ($386) |
| GBP/AUD | long | 50 | Aug 26, 2011 | Aug 26, 2011 | ($393) |
| CHF/JPY | long | 50 | Aug 26, 2011 | Aug 26, 2011 | ($3) |
| GBP/CHF | long | 50 | Aug 26, 2011 | Aug 26, 2011 | $652 |
| CAD/JPY | short | 50 | Aug 25, 2011 | Aug 26, 2011 | $2 |
| EUR/JPY | short | 50 | Aug 25, 2011 | Aug 26, 2011 | $2 |
| GBP/NZD | long | 50 | Aug 25, 2011 | Aug 26, 2011 | ($345) |
| GBP/AUD | long | 50 | Aug 25, 2011 | Aug 25, 2011 | ($394) |
| GBP/USD | long | 50 | Aug 25, 2011 | Aug 25, 2011 | ($584) |
| GBP/CAD | long | 50 | Aug 25, 2011 | Aug 25, 2011 | ($387) |
| EUR/AUD | short | 50 | Aug 25, 2011 | Aug 25, 2011 | $200 |
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.