2d
- hypothetical · Annual Return (Compounded)
- 7.4%
- Max Drawdown
- 50.5%
- Trades
- 1072
- Win Trades
- 98.7%
- Profit Factor
- 0.20
- Win Months
- 14.9%
About this strategy
Philosophy
Steady win!
Philosophy means vision, objective and goal! Philosophy is not a promise, but it is sure, 2d system will do make an effort to control the risk, any time!
Some Features
Trades per week: 5-20;
Max simultaneously opened positions: 8-10 (more - very rare);
Orders per position: 1 (at market).
Currency pair: EURUSD, GBPUSD.
Advisable Use
Collective2 autotrading.
Remarks
If you will use 2d system in account with leverage 100:1, and to be save, you could use the empirical formula (k/100000)*(Your_Capital_for_2d_System) to calculate your starting lot (Standard Lot Size), where k=0.2. In case of your account is with leverage of 500:1, you could use k=0.4, with the same security.
Example: Let we have an 30K USD account with leverage 100:1. Next we decide to use 15K USD for trading with 2d system and 15K USD for trading with another one (if we want). So, implementing the proposed formula we have (0.2/100000)*15000 = 0.030. That means, our starting lot for 2d system have to be 0.03 Standard Lots (0.3 Mini Lots). The same example with 500:1 account could use 0.06 Standard Lots (0.6 Mini Lots) as starting lot.
Warmest regards,
Trading Dimensions Team.
Steady win!
Philosophy means vision, objective and goal! Philosophy is not a promise, but it is sure, 2d system will do make an effort to control the risk, any time!
Some Features
Trades per week: 5-20;
Max simultaneously opened positions: 8-10 (more - very rare);
Orders per position: 1 (at market).
Currency pair: EURUSD, GBPUSD.
Advisable Use
Collective2 autotrading.
Remarks
If you will use 2d system in account with leverage 100:1, and to be save, you could use the empirical formula (k/100000)*(Your_Capital_for_2d_System) to calculate your starting lot (Standard Lot Size), where k=0.2. In case of your account is with leverage of 500:1, you could use k=0.4, with the same security.
Example: Let we have an 30K USD account with leverage 100:1. Next we decide to use 15K USD for trading with 2d system and 15K USD for trading with another one (if we want). So, implementing the proposed formula we have (0.2/100000)*15000 = 0.030. That means, our starting lot for 2d system have to be 0.03 Standard Lots (0.3 Mini Lots). The same example with 500:1 account could use 0.06 Standard Lots (0.6 Mini Lots) as starting lot.
Warmest regards,
Trading Dimensions Team.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | 5.1 | 4.0 | 3.7 | 3.4 | 17.1 | ||||||||
| 2012 | 4.1 | 2.0 | 2.2 | 3.3 | 3.6 | 0.3 | 3.7 | -2.3 | -10.9 | -18.5 | 42.0 | -0.4 | 21.2 |
| 2013 | -1.9 | 10.6 | 4.5 | 0.3 | 4.0 | 0.6 | 0.3 | 2.1 | 2.3 | 0.9 | 0.2 | 2.2 | 28.9 |
| 2014 | -0.6 | 2.2 | 1.5 | -2.0 | 4.2 | -4.0 | 3.2 | -12.8 | -58.2 | -53.4 | -170.0 | -245.2 | -142.8 |
| 2015 | -203.7 | -13.0 | -58.2 | -26.7 | -4.7 | -19.5 | -6.2 | -3.7 | -10.9 | -2.1 | -34.3 | -4.9 | |
| 2016 | -30.3 | -6.3 | -23.5 | -7.1 | -3.9 | -50.6 | -1.4 | -3.5 | -1.8 | -18.4 | -10.8 | -7.4 | |
| 2017 | -11.0 | -8.3 | -7.2 | -9.7 | -8.8 | -9.6 | -16.8 | -0.7 | -5.6 | -12.0 | -14.4 | -2.6 | |
| 2018 | -43.0 | -11.7 | -2.8 | -25.0 | -50.6 | -3.2 | -3.7 | -0.6 | -3.8 | -15.4 | -3.6 | -2.4 | |
| 2019 | -9.8 | -1.6 | -10.6 | -0.6 | -0.4 | -3.6 | -5.1 | -15.7 | -0.3 | -17.9 | -5.5 | -8.6 | |
| 2020 | -0.2 | -9.3 | -6.0 | -5.8 | -2.7 | -4.3 | -27.0 | -0.5 | -2.0 | -4.1 | -12.4 | -15.7 | |
| 2021 | -2.3 | -9.9 | -24.9 | -14.8 | -22.1 | -37.2 | -1.9 | -8.9 | -19.8 | -14.0 | -30.9 | -3.1 | |
| 2022 | -3.3 | -1.6 | -14.1 | -19.8 | -2.8 | -9.2 | -9.3 | -11.0 | -10.9 | -3.0 | -16.9 | -7.5 | |
| 2023 | -10.6 | -15.1 | -9.7 | -6.5 | -9.2 | -10.8 | -4.9 | -8.2 | -16.0 | -1.4 | -16.0 | -8.0 | |
| 2024 | -9.9 | -1.1 | -0.8 | -6.5 | -9.1 | -6.0 | -7.8 | -10.9 | -9.8 | -23.1 | -12.7 | -3.8 | |
| 2025 | -5.2 | -6.5 | -11.9 | -23.3 | -1.5 | -13.2 | -1.8 | -4.3 | -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 | -0.2 |
Statistics
Overview
| Strategy began | 9/7/2011 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 183 months |
| What it trades | Forex |
| # Trades | 1072 |
| # Profitable | 1058 |
| % Profitable | 98.7% |
| Avg trade duration | 8.4 days |
| Max peak-to-valley drawdown | 50.5% |
| drawdown period | July 24, 2014 - Sept 09, 2014 |
| Annual Return (Compounded) | 7.4% |
| Avg win | $52 |
| Avg loss | $20,355 |
Ratios
| W:L ratio | 0.19 |
|---|---|
| Sharpe Ratio | 0.03 |
| Sortino Ratio | 0.07 |
| Calmar Ratio | -0.88 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 532.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -43.5% |
Return Statistics
| Ann Return (w trading costs) | 7.4% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.0% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
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 | 81.0% |
|---|---|
| Chance of 20% account loss | 62.5% |
| Chance of 30% account loss | 41.0% |
| Chance of 40% account loss | 21.5% |
| Chance of 50% account loss | 10.0% |
| Chance of 60% account loss (Monte Carlo) | 2.5% |
| 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) | — |
Automation
| Percentage Signals Automated | 50.4% |
|---|
Popularity
| Popularity (Today) | 380 |
|---|---|
| Popularity (Last 6 weeks) | 776 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $20,355 |
|---|---|
| Avg Win | $52 |
| # Winners | 1058 |
| Sum Trade PL (losers) | $284,970 |
| Sum Trade PL (winners) | $55,050 |
| Num Months Winners | 27 |
| # Losers | 14 |
| % Winners | 98.7% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 39 |
|---|
Frequency
| Avg Position Time (mins) | 12136.65 |
|---|---|
| Avg Position Time (hrs) | 202.28 |
| Avg Trade Length | 8.40 |
| Last Trade Ago | 379 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -1.05 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 2.61 |
| MAE:Equity, average, losing trades | 0.50 |
| 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 | -2.64 |
| MAE:PL (avg, all trades) | 2.50 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 34.66 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 49.42 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 4.88 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.28 |
| Hold-and-Hope Ratio | -0.38 |
RATIO STATISTICS
| Mean | 0.13 |
|---|---|
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | 0.41 |
| Sharpe ratio (Hedges UMVUE) | 0.40 |
| df | 36 |
| t | 0.72 |
| p | 0.24 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.71 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.53 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.72 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.52 |
| Sortino ratio | 0.57 |
| Upside Potential Ratio | 1.61 |
| Upside part of mean | 0.37 |
| Downside part of mean | -0.24 |
| Upside SD | 0.22 |
| Downside SD | 0.23 |
| N nonnegative terms | 26 |
| N negative terms | 11 |
| N of observations | 37 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0.13 |
| SD of predictor | 0.08 |
| SD of criterion | 0.32 |
| Covariance | -0.01 |
| r | -0.22 |
| b (slope, estimate of beta) | -0.85 |
| a (intercept, estimate of alpha) | 0.27 |
| Mean Square Error | 0.10 |
| DF error | 35 |
| t(b) | -1.33 |
| p(b) | 0.90 |
| t(a) | 1.29 |
| p(a) | 0.10 |
| Lowerbound of 95% confidence interval for beta | -2.14 |
| Upperbound of 95% confidence interval for beta | 0.45 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 0.68 |
| Treynor index (mean / b) | -0.15 |
| Jensen alpha (a) | 0.27 |
| Mean | 0.08 |
| SD | 0.34 |
| Sharpe ratio (Glass type estimate) | 0.22 |
| Sharpe ratio (Hedges UMVUE) | 0.22 |
| df | 36 |
| t | 0.39 |
| p | 0.35 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.90 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.34 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.90 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.33 |
| Sortino ratio | 0.27 |
| Upside Potential Ratio | 1.25 |
| Upside part of mean | 0.35 |
| Downside part of mean | -0.27 |
| Upside SD | 0.20 |
| Downside SD | 0.28 |
| N nonnegative terms | 26 |
| N negative terms | 11 |
| N of observations | 37 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0.08 |
| SD of predictor | 0.08 |
| SD of criterion | 0.34 |
| Covariance | -0.01 |
| r | -0.22 |
| b (slope, estimate of beta) | -0.92 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.11 |
| DF error | 35 |
| t(b) | -1.32 |
| p(b) | 0.90 |
| t(a) | 0.99 |
| p(a) | 0.16 |
| Lowerbound of 95% confidence interval for beta | -2.34 |
| Upperbound of 95% confidence interval for beta | 0.49 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.67 |
| Treynor index (mean / b) | -0.08 |
| Jensen alpha (a) | 0.22 |
| VaR(95%) | 0.14 |
| Expected Shortfall on VaR | 0.18 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.07 |
| Mean | 0.17 |
| SD | 0.37 |
| Sharpe ratio (Glass type estimate) | 0.46 |
| Sharpe ratio (Hedges UMVUE) | 0.46 |
| df | 1069 |
| t | 0.81 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.65 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.57 |
| Sortino ratio | 0.65 |
| Upside Potential Ratio | 5.53 |
| Upside part of mean | 1.45 |
| Downside part of mean | -1.28 |
| Upside SD | 0.26 |
| Downside SD | 0.26 |
| N nonnegative terms | 606 |
| N negative terms | 464 |
| N of observations | 1070 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.17 |
| SD of predictor | 0.14 |
| SD of criterion | 0.37 |
| Covariance | -0.01 |
| r | -0.10 |
| b (slope, estimate of beta) | -0.27 |
| a (intercept, estimate of alpha) | 830.40 |
| Mean Square Error | 0.14 |
| DF error | 1068 |
| t(b) | -3.30 |
| p(b) | 0.55 |
| t(a) | 1.02 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.43 |
| Upperbound of 95% confidence interval for beta | -0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.20 |
| Upperbound of 95% confidence interval for alpha | 0.63 |
| Treynor index (mean / b) | -0.63 |
| Jensen alpha (a) | 0.21 |
| Mean | 0.10 |
| SD | 0.37 |
| Sharpe ratio (Glass type estimate) | 0.27 |
| Sharpe ratio (Hedges UMVUE) | 0.27 |
| df | 1069 |
| t | 0.47 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.84 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.38 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.84 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.38 |
| Sortino ratio | 0.36 |
| Upside Potential Ratio | 5.13 |
| Upside part of mean | 1.42 |
| Downside part of mean | -1.32 |
| Upside SD | 0.25 |
| Downside SD | 0.28 |
| N nonnegative terms | 606 |
| N negative terms | 464 |
| N of observations | 1070 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.14 |
| SD of criterion | 0.37 |
| Covariance | -0.01 |
| r | -0.10 |
| b (slope, estimate of beta) | -0.27 |
| a (intercept, estimate of alpha) | 0.14 |
| Mean Square Error | 0.14 |
| DF error | 1068 |
| t(b) | -3.29 |
| p(b) | 0.55 |
| t(a) | 0.67 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | -0.43 |
| Upperbound of 95% confidence interval for beta | -0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.56 |
| Treynor index (mean / b) | -0.37 |
| Jensen alpha (a) | 0.14 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.63 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | -1.77 |
| Sharpe ratio (Hedges UMVUE) | -1.77 |
| df | 171 |
| t | -1.25 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.55 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.01 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.54 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.01 |
| Sortino ratio | -2.06 |
| Upside Potential Ratio | 3.64 |
| Upside part of mean | 1.11 |
| Downside part of mean | -1.73 |
| Upside SD | 0.18 |
| Downside SD | 0.30 |
| N nonnegative terms | 85 |
| N negative terms | 87 |
| N of observations | 172 |
| Mean of predictor | 0.16 |
| Mean of criterion | -0.63 |
| SD of predictor | 0.09 |
| SD of criterion | 0.35 |
| Covariance | 0.00 |
| r | 0.07 |
| b (slope, estimate of beta) | 0.26 |
| a (intercept, estimate of alpha) | -0.67 |
| Mean Square Error | 0.12 |
| DF error | 170 |
| t(b) | 0.85 |
| p(b) | 0.47 |
| t(a) | -1.33 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -0.34 |
| Upperbound of 95% confidence interval for beta | 0.86 |
| Lowerbound of 95% confidence interval for alpha | -1.66 |
| Upperbound of 95% confidence interval for alpha | 0.32 |
| Treynor index (mean / b) | -2.42 |
| Jensen alpha (a) | -0.67 |
| Mean | -0.69 |
| SD | 0.36 |
| Sharpe ratio (Glass type estimate) | -1.90 |
| Sharpe ratio (Hedges UMVUE) | -1.89 |
| df | 171 |
| t | -1.34 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.88 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.89 |
| Sortino ratio | -2.16 |
| Upside Potential Ratio | 3.41 |
| Upside part of mean | 1.09 |
| Downside part of mean | -1.78 |
| Upside SD | 0.18 |
| Downside SD | 0.32 |
| N nonnegative terms | 85 |
| N negative terms | 87 |
| N of observations | 172 |
| Mean of predictor | 0.16 |
| Mean of criterion | -0.69 |
| SD of predictor | 0.09 |
| SD of criterion | 0.36 |
| Covariance | 0.00 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.26 |
| a (intercept, estimate of alpha) | -0.73 |
| Mean Square Error | 0.13 |
| DF error | 170 |
| t(b) | 0.84 |
| p(b) | 0.47 |
| t(a) | -1.41 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -0.35 |
| VAR (95 Confidence Intrvl) | 0.50 |
| Upperbound of 95% confidence interval for beta | 0.88 |
| Lowerbound of 95% confidence interval for alpha | -1.75 |
| Upperbound of 95% confidence interval for alpha | 0.29 |
| Treynor index (mean / b) | -2.62 |
| Jensen alpha (a) | -0.73 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
ORDER STATISTICS
| Number of observations | 37 |
|---|---|
| Minimum | 0.64 |
| Quartile 1 | 1.00 |
| Median | 1.01 |
| Quartile 3 | 1.04 |
| Maximum | 1.31 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.09 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.81 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.19 |
| Extreme Value Index (moments method) | -7.74 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 1.01 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 1070 |
| Minimum | 0.83 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.18 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 114 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 104 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 1.09 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.77 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 172 |
| Minimum | 0.86 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 17 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 11 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.88 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.15 |
| Extreme Value Index (regression method) | 0.83 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.09 |
DRAW DOWN STATISTICS
| Number of observations | 7 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.04 |
| Quartile 3 | 0.13 |
| Maximum | 0.36 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.29 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.36 |
| 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 observations | 134 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.48 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.00 |
| Mean of quarter 4 | 0.06 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 19 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.10 |
| Extreme Value Index (moments method) | 1.06 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.96 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 1.03 |
| Number of observations | 13 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.00 |
| Maximum | 0.45 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.00 |
| Mean of quarter 4 | 0.18 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.23 |
| Mean of outliers high | 0.18 |
| Extreme Value Index (moments method) | -0.12 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 1.63 |
| VaR(95%) (regression method) | 0.33 |
| Expected Shortfall (regression method) | 0 |
| Max Equity Drawdown (num days) | 47 |
| Last 4 Months - Pcnt Negative | 1.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.10 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.09 |
| Calmar ratio (compounded annual return / max draw down) | 0.25 |
| Compounded annual return / average of 25% largest draw downs | 0.31 |
| Compounded annual return / Expected Shortfall lognormal | 0.50 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.13 |
| Compounded annual return (geometric extrapolation) | 0.12 |
| Calmar ratio (compounded annual return / max draw down) | 0.25 |
| Compounded annual return / average of 25% largest draw downs | 1.97 |
| Compounded annual return / Expected Shortfall lognormal | 2.88 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.58 |
| Compounded annual return (geometric extrapolation) | -0.49 |
| Calmar ratio (compounded annual return / max draw down) | -1.09 |
| Compounded annual return / average of 25% largest draw downs | -2.74 |
| Compounded annual return / Expected Shortfall lognormal | -11.88 |
Trading record
Placed 1843 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| GBP/USD | long | 560 | Aug 13, 2014 | Aug 21, 2025 | ($170,522) |
| EUR/USD | long | 670 | Jul 14, 2014 | Aug 21, 2025 | ($114,058) |
| GBP/USD | long | 110 | Aug 5, 2014 | Aug 13, 2014 | $82 |
| GBP/USD | long | 110 | Jul 29, 2014 | Aug 5, 2014 | $62 |
| GBP/USD | short | 20 | Jul 29, 2014 | Jul 29, 2014 | $40 |
| GBP/USD | short | 20 | Jul 24, 2014 | Jul 29, 2014 | $38 |
| GBP/USD | short | 460 | Jun 10, 2014 | Jul 24, 2014 | $1,273 |
| EUR/USD | long | 20 | Jul 10, 2014 | Jul 14, 2014 | $42 |
| EUR/USD | short | 40 | Jul 8, 2014 | Jul 10, 2014 | $59 |
| EUR/USD | long | 20 | Jul 7, 2014 | Jul 8, 2014 | $40 |
| EUR/USD | short | 20 | Jul 3, 2014 | Jul 6, 2014 | $43 |
| EUR/USD | short | 20 | Jul 2, 2014 | Jul 3, 2014 | $43 |
| EUR/USD | short | 70 | Jun 27, 2014 | Jul 2, 2014 | $40 |
| EUR/USD | long | 20 | Jun 26, 2014 | Jun 27, 2014 | $44 |
| EUR/USD | short | 40 | Jun 24, 2014 | Jun 26, 2014 | $46 |
| EUR/USD | short | 20 | Jun 24, 2014 | Jun 24, 2014 | $41 |
| EUR/USD | long | 40 | Jun 19, 2014 | Jun 24, 2014 | $56 |
| EUR/USD | long | 20 | Jun 18, 2014 | Jun 19, 2014 | $44 |
| EUR/USD | long | 40 | Jun 16, 2014 | Jun 18, 2014 | $61 |
| EUR/USD | long | 20 | Jun 13, 2014 | Jun 16, 2014 | $40 |
| EUR/USD | short | 20 | Jun 13, 2014 | Jun 13, 2014 | $44 |
| EUR/USD | short | 40 | Jun 12, 2014 | Jun 13, 2014 | $58 |
| EUR/USD | long | 70 | Jun 9, 2014 | Jun 12, 2014 | $71 |
| GBP/USD | short | 20 | Jun 10, 2014 | Jun 10, 2014 | $37 |
| GBP/USD | short | 70 | Jun 5, 2014 | Jun 10, 2014 | $63 |
| EUR/USD | short | 70 | Jun 5, 2014 | Jun 9, 2014 | $58 |
| EUR/USD | short | 20 | Jun 5, 2014 | Jun 5, 2014 | $80 |
| GBP/USD | short | 20 | Jun 4, 2014 | Jun 5, 2014 | $46 |
| EUR/USD | short | 20 | Jun 5, 2014 | Jun 5, 2014 | $42 |
| EUR/USD | long | 20 | Jun 5, 2014 | Jun 5, 2014 | $49 |
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.