Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.2% Annual Return (Compounded) since May 2, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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VFL system
(48199551)

Created by: JORDIGUELL JORDIGUELL
Started: 04/2010
Forex
Last trade: 4,977 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

2.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(29.8%)
Max Drawdown
100
Num Trades
49.0%
Win Trades
1.3 : 1
Profit Factor
3.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                     +8.0%+12.2%+0.6%(13.3%)+28.9%(9%)(7.9%)+23.0%+7.1%+50.4%
2011(9.3%)(0.6%)(1.6%)(0.1%)  -    -    -    -    -    -    -    -  (11.4%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/23/11 8:33 EUR/USD EUR/USD LONG 2 1.41015 4/7 3:24 1.42817 0.4%
Trade id #59040328
Max drawdown($111)
Time3/29/11 9:35
Quant open2
Worst price1.40459
Drawdown as % of equity-0.40%
 $360
3/22/11 7:17 AUD/NZD AUD/NZD LONG 2 1.35570 4/6 8:35 1.34225 0.75%
Trade id #59007556
Max drawdown($209)
Time4/6/11 8:35
Quant open1
Worst price1.33870
Drawdown as % of equity-0.75%
 ($209)
3/21/11 3:39 CAD/CHF CAD/CHF SHORT 2 0.92645 3/29 6:32 0.93995 1.06%
Trade id #58969924
Max drawdown($294)
Time3/29/11 6:32
Quant open1
Worst price0.94340
Drawdown as % of equity-1.06%
 ($294)
3/8/11 2:46 EUR/USD EUR/USD LONG 3 1.39037 3/17 21:38 1.40090 0.93%
Trade id #58489091
Max drawdown($258)
Time3/10/11 15:20
Quant open2
Worst price1.37742
Drawdown as % of equity-0.93%
 $316
3/14/11 11:15 AUD/USD AUD/USD LONG 3 1.00070 3/15 8:23 0.98850 1.32%
Trade id #58702031
Max drawdown($366)
Time3/15/11 8:23
Quant open1
Worst price0.98400
Drawdown as % of equity-1.32%
 ($366)
3/7/11 10:32 GBP/USD GBP/USD LONG 3 1.61753 3/11 5:10 1.60443 1.41%
Trade id #58461232
Max drawdown($393)
Time3/11/11 2:47
Quant open3
Worst price0.00000
Drawdown as % of equity-1.41%
 ($393)
2/27/11 19:35 EUR/USD EUR/USD LONG 1 1.37130 3/4 8:33 1.40010 n/a $288
2/22/11 5:09 EUR/USD EUR/USD LONG 1 1.35657 2/24 18:46 1.38230 n/a $257
2/1/11 0:04 USD/JPY USD/JPY SHORT 2 81.790 2/15 8:17 83.800 1.73%
Trade id #57397164
Max drawdown($481)
Time2/15/11 8:17
Quant open0
Worst price83.800
Drawdown as % of equity-1.73%
 ($481)
1/17/11 1:59 EUR/USD EUR/USD SHORT 3 1.33000 1/19 0:48 1.34700 1.8%
Trade id #56842998
Max drawdown($510)
Time1/19/11 0:48
Quant open0
Worst price1.34700
Drawdown as % of equity-1.80%
 ($510)
12/13/10 5:48 USD/ZAR USD/ZAR SHORT 5 6.80728 1/14/11 8:08 6.87800 1.77%
Trade id #55735512
Max drawdown($510)
Time1/14/11 8:08
Quant open2
Worst price6.95000
Drawdown as % of equity-1.77%
 ($510)
1/7/11 8:29 EUR/USD EUR/USD SHORT 5 1.29088 1/12 4:12 1.30338 2.22%
Trade id #56571208
Max drawdown($649)
Time1/12/11 4:06
Quant open-5
Worst price1.30387
Drawdown as % of equity-2.22%
 ($625)
12/17/10 10:43 EUR/USD EUR/USD SHORT 2 1.31500 12/30 9:54 1.33005 0.98%
Trade id #55923252
Max drawdown($302)
Time12/30/10 9:54
Quant open-2
Worst price1.33015
Drawdown as % of equity-0.98%
 ($301)
12/17/10 10:36 EUR/AUD EUR/AUD SHORT 6 1.33640 12/30 9:54 1.31652 0.07%
Trade id #55923476
Max drawdown($19)
Time12/17/10 10:38
Quant open-6
Worst price1.33672
Drawdown as % of equity-0.07%
 $1,209
12/13/10 3:35 GBP/USD GBP/USD SHORT 3 1.57500 12/13 3:35 1.57445 n/a $17
11/25/10 5:48 GBP/USD GBP/USD SHORT 15 1.56893 11/30 1:37 1.55600 1.09%
Trade id #55197084
Max drawdown($262)
Time11/25/10 10:50
Quant open-5
Worst price1.57932
Drawdown as % of equity-1.09%
 $1,940
11/15/10 3:53 USD/JPY USD/JPY LONG 5 83.215 11/30 1:36 83.591 0.36%
Trade id #54816026
Max drawdown($85)
Time11/15/10 9:24
Quant open3
Worst price82.712
Drawdown as % of equity-0.36%
 $233
11/16/10 10:38 EUR/USD EUR/USD SHORT 16 1.33607 11/30 1:36 1.31347 3.03%
Trade id #54876818
Max drawdown($691)
Time11/22/10 2:29
Quant open-3
Worst price1.37864
Drawdown as % of equity-3.03%
 $3,616
11/25/10 4:57 USD/CHF USD/CHF LONG 5 1.00040 11/30 1:36 0.99941 0.76%
Trade id #55195690
Max drawdown($215)
Time11/29/10 20:41
Quant open5
Worst price0.99609
Drawdown as % of equity-0.76%
 ($50)
11/16/10 3:07 AUD/NZD AUD/NZD SHORT 2 1.27050 11/30 1:36 1.29152 1.52%
Trade id #54860445
Max drawdown($372)
Time11/24/10 20:29
Quant open-2
Worst price1.29547
Drawdown as % of equity-1.52%
 ($313)
11/4/10 11:35 USD/CHF USD/CHF LONG 3 0.95820 11/10 20:53 0.96476 0.3%
Trade id #54498597
Max drawdown($70)
Time11/5/10 6:12
Quant open2
Worst price0.95478
Drawdown as % of equity-0.30%
 $203
10/24/10 20:26 EUR/USD EUR/USD SHORT 3 1.40153 11/3 14:17 1.41047 1.48%
Trade id #54130633
Max drawdown($348)
Time11/3/10 14:17
Quant open-2
Worst price1.41895
Drawdown as % of equity-1.48%
 ($268)
10/27/10 3:13 USD/JPY USD/JPY SHORT 1 81.890 10/31 17:00 80.450 0.05%
Trade id #54221192
Max drawdown($11)
Time10/27/10 4:00
Quant open-1
Worst price81.985
Drawdown as % of equity-0.05%
 $179
10/26/10 6:12 GBP/USD GBP/USD SHORT 3 1.59077 10/29 11:06 1.59793 0.9%
Trade id #54185403
Max drawdown($215)
Time10/29/10 11:05
Quant open-2
Worst price1.59971
Drawdown as % of equity-0.90%
 ($215)
10/18/10 4:01 EUR/USD EUR/USD LONG 3 1.38323 10/19 14:10 1.37537 1%
Trade id #53924264
Max drawdown($236)
Time10/19/10 14:10
Quant open2
Worst price1.37329
Drawdown as % of equity-1.00%
 ($236)
10/19/10 7:48 USD/CHF USD/CHF SHORT 3 0.96667 10/19 9:11 0.97160 0.63%
Trade id #53973615
Max drawdown($152)
Time10/19/10 9:11
Quant open-2
Worst price0.97252
Drawdown as % of equity-0.63%
 ($152)
10/18/10 4:02 GBP/USD GBP/USD LONG 3 1.58380 10/19 7:42 1.57773 0.75%
Trade id #53924283
Max drawdown($182)
Time10/19/10 7:19
Quant open2
Worst price1.57624
Drawdown as % of equity-0.75%
 ($182)
10/12/10 13:13 GBP/USD GBP/USD LONG 1 1.57780 10/13 20:14 1.59630 0.09%
Trade id #53762376
Max drawdown($22)
Time10/12/10 14:02
Quant open1
Worst price1.57551
Drawdown as % of equity-0.09%
 $185
10/6/10 6:00 EUR/USD EUR/USD SHORT 3 1.39040 10/13 20:14 1.40253 1.49%
Trade id #53569085
Max drawdown($364)
Time10/7/10 9:00
Quant open-2
Worst price1.40295
Drawdown as % of equity-1.49%
 ($364)
9/28/10 5:51 GBP/USD GBP/USD SHORT 5 1.58936 10/7 7:02 1.59682 1.52%
Trade id #53313440
Max drawdown($373)
Time10/7/10 7:02
Quant open-3
Worst price1.59966
Drawdown as % of equity-1.52%
 ($373)
Next

Statistics

  • Strategy began
    4/6/2010
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    5340.57
  • Age
    178 months ago
  • What it trades
    Forex
  • # Trades
    100
  • # Profitable
    49
  • % Profitable
    49.00%
  • Avg trade duration
    3.2 days
  • Max peak-to-valley drawdown
    29.8%
  • drawdown period
    June 11, 2010 - Aug 08, 2010
  • Annual Return (Compounded)
    2.0%
  • Avg win
    $733.94
  • Avg loss
    $552.51
  • Model Account Values (Raw)
  • Cash
    $27,787
  • Margin Used
    $0
  • Buying Power
    $27,787
  • Ratios
  • W:L ratio
    1.28:1
  • Sharpe Ratio
    0.04
  • Sortino Ratio
    0.06
  • Calmar Ratio
    0.138
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -362.26%
  • Correlation to SP500
    -0.05260
  • Return Percent SP500 (cumu) during strategy life
    397.46%
  • Return Statistics
  • Ann Return (w trading costs)
    2.0%
  • Slump
  • Current Slump as Pcnt Equity
    15.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.020%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $553
  • Avg Win
    $734
  • Sum Trade PL (losers)
    $28,178.000
  • Age
  • Num Months filled monthly returns table
    176
  • Win / Loss
  • Sum Trade PL (winners)
    $35,963.000
  • # Winners
    49
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    51
  • % Winners
    49.0%
  • Frequency
  • Avg Position Time (mins)
    4548.85
  • Avg Position Time (hrs)
    75.81
  • Avg Trade Length
    3.2 days
  • Last Trade Ago
    4975
  • Regression
  • Alpha
    0.00
  • Beta
    -0.03
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    8.24
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.71
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.50
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    9.759
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.260
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.047
  • Hold-and-Hope Ratio
    0.102
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03509
  • SD
    0.25243
  • Sharpe ratio (Glass type estimate)
    0.13903
  • Sharpe ratio (Hedges UMVUE)
    0.13701
  • df
    52.00000
  • t
    0.29218
  • p
    0.38566
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07138
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06999
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30153
  • Upside Potential Ratio
    1.34595
  • Upside part of mean
    0.15665
  • Downside part of mean
    -0.12156
  • Upside SD
    0.22153
  • Downside SD
    0.11639
  • N nonnegative terms
    5.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.38416
  • Mean of criterion
    0.03509
  • SD of predictor
    0.26934
  • SD of criterion
    0.25243
  • Covariance
    -0.00926
  • r
    -0.13613
  • b (slope, estimate of beta)
    -0.12759
  • a (intercept, estimate of alpha)
    0.08411
  • Mean Square Error
    0.06376
  • DF error
    51.00000
  • t(b)
    -0.98132
  • p(b)
    0.83447
  • t(a)
    0.64636
  • p(a)
    0.26047
  • Lowerbound of 95% confidence interval for beta
    -0.38860
  • Upperbound of 95% confidence interval for beta
    0.13343
  • Lowerbound of 95% confidence interval for alpha
    -0.17713
  • Upperbound of 95% confidence interval for alpha
    0.34534
  • Treynor index (mean / b)
    -0.27506
  • Jensen alpha (a)
    0.08411
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00757
  • SD
    0.23006
  • Sharpe ratio (Glass type estimate)
    0.03289
  • Sharpe ratio (Hedges UMVUE)
    0.03241
  • df
    52.00000
  • t
    0.06911
  • p
    0.47258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96504
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05977
  • Upside Potential Ratio
    1.07762
  • Upside part of mean
    0.13640
  • Downside part of mean
    -0.12884
  • Upside SD
    0.18950
  • Downside SD
    0.12658
  • N nonnegative terms
    5.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.34498
  • Mean of criterion
    0.00757
  • SD of predictor
    0.25498
  • SD of criterion
    0.23006
  • Covariance
    -0.00823
  • r
    -0.14033
  • b (slope, estimate of beta)
    -0.12661
  • a (intercept, estimate of alpha)
    0.05124
  • Mean Square Error
    0.05290
  • DF error
    51.00000
  • t(b)
    -1.01216
  • p(b)
    0.84188
  • t(a)
    0.43559
  • p(a)
    0.33249
  • Lowerbound of 95% confidence interval for beta
    -0.37774
  • Upperbound of 95% confidence interval for beta
    0.12452
  • Lowerbound of 95% confidence interval for alpha
    -0.18493
  • Upperbound of 95% confidence interval for alpha
    0.28742
  • Treynor index (mean / b)
    -0.05975
  • Jensen alpha (a)
    0.05124
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10292
  • Expected Shortfall on VaR
    0.12721
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03321
  • Expected Shortfall on VaR
    0.07051
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.81552
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.40323
  • Mean of quarter 1
    0.96961
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05414
  • Inter Quartile Range
    0.00000
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.13207
  • Mean of outliers low
    0.93922
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11321
  • Mean of outliers high
    1.11731
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64381
  • VaR(95%) (moments method)
    0.00239
  • Expected Shortfall (moments method)
    0.01108
  • Extreme Value Index (regression method)
    0.81984
  • VaR(95%) (regression method)
    0.03109
  • Expected Shortfall (regression method)
    0.28850
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00382
  • Quartile 1
    0.04538
  • Median
    0.11569
  • Quartile 3
    0.17523
  • Maximum
    0.18448
  • Mean of quarter 1
    0.00382
  • Mean of quarter 2
    0.05923
  • Mean of quarter 3
    0.17214
  • Mean of quarter 4
    0.18448
  • Inter Quartile Range
    0.12985
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03840
  • Compounded annual return (geometric extrapolation)
    0.03611
  • Calmar ratio (compounded annual return / max draw down)
    0.19574
  • Compounded annual return / average of 25% largest draw downs
    0.19574
  • Compounded annual return / Expected Shortfall lognormal
    0.28386
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04462
  • SD
    0.27502
  • Sharpe ratio (Glass type estimate)
    0.16224
  • Sharpe ratio (Hedges UMVUE)
    0.16214
  • df
    1161.00000
  • t
    0.34167
  • p
    0.49362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76848
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09283
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25148
  • Upside Potential Ratio
    3.22458
  • Upside part of mean
    0.57213
  • Downside part of mean
    -0.52751
  • Upside SD
    0.21000
  • Downside SD
    0.17743
  • N nonnegative terms
    109.00000
  • N negative terms
    1053.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1162.00000
  • Mean of predictor
    0.40302
  • Mean of criterion
    0.04462
  • SD of predictor
    0.31253
  • SD of criterion
    0.27502
  • Covariance
    -0.00288
  • r
    -0.03351
  • b (slope, estimate of beta)
    -0.02949
  • a (intercept, estimate of alpha)
    0.05700
  • Mean Square Error
    0.07562
  • DF error
    1160.00000
  • t(b)
    -1.14207
  • p(b)
    0.51676
  • t(a)
    0.43138
  • p(a)
    0.49367
  • Lowerbound of 95% confidence interval for beta
    -0.08016
  • Upperbound of 95% confidence interval for beta
    0.02117
  • Lowerbound of 95% confidence interval for alpha
    -0.20050
  • Upperbound of 95% confidence interval for alpha
    0.31351
  • Treynor index (mean / b)
    -1.51299
  • Jensen alpha (a)
    0.05651
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00742
  • SD
    0.27230
  • Sharpe ratio (Glass type estimate)
    0.02724
  • Sharpe ratio (Hedges UMVUE)
    0.02722
  • df
    1161.00000
  • t
    0.05737
  • p
    0.49893
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90345
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95789
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03930
  • Upside Potential Ratio
    2.92436
  • Upside part of mean
    0.55196
  • Downside part of mean
    -0.54454
  • Upside SD
    0.19611
  • Downside SD
    0.18874
  • N nonnegative terms
    109.00000
  • N negative terms
    1053.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1162.00000
  • Mean of predictor
    0.35388
  • Mean of criterion
    0.00742
  • SD of predictor
    0.31288
  • SD of criterion
    0.27230
  • Covariance
    -0.00296
  • r
    -0.03475
  • b (slope, estimate of beta)
    -0.03024
  • a (intercept, estimate of alpha)
    0.01812
  • Mean Square Error
    0.07412
  • DF error
    1160.00000
  • t(b)
    -1.18409
  • p(b)
    0.51737
  • t(a)
    0.13981
  • p(a)
    0.49795
  • Lowerbound of 95% confidence interval for beta
    -0.08034
  • Upperbound of 95% confidence interval for beta
    0.01987
  • Lowerbound of 95% confidence interval for alpha
    -0.23614
  • Upperbound of 95% confidence interval for alpha
    0.27238
  • Treynor index (mean / b)
    -0.24531
  • Jensen alpha (a)
    0.01812
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02726
  • Expected Shortfall on VaR
    0.03406
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00658
  • Expected Shortfall on VaR
    0.01473
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1162.00000
  • Minimum
    0.81805
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.25245
  • Mean of quarter 1
    0.99235
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00876
  • Inter Quartile Range
    0.00000
  • Number outliers low
    128.00000
  • Percentage of outliers low
    0.11016
  • Mean of outliers low
    0.98260
  • Number of outliers high
    111.00000
  • Percentage of outliers high
    0.09552
  • Mean of outliers high
    1.02297
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49937
  • VaR(95%) (moments method)
    0.00259
  • Expected Shortfall (moments method)
    0.00870
  • Extreme Value Index (regression method)
    0.48029
  • VaR(95%) (regression method)
    0.00580
  • Expected Shortfall (regression method)
    0.02256
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00624
  • Quartile 1
    0.00869
  • Median
    0.02481
  • Quartile 3
    0.11319
  • Maximum
    0.25974
  • Mean of quarter 1
    0.00732
  • Mean of quarter 2
    0.01768
  • Mean of quarter 3
    0.05542
  • Mean of quarter 4
    0.19639
  • Inter Quartile Range
    0.10449
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -13.32540
  • VaR(95%) (moments method)
    0.19791
  • Expected Shortfall (moments method)
    0.19791
  • Extreme Value Index (regression method)
    -0.96449
  • VaR(95%) (regression method)
    0.20730
  • Expected Shortfall (regression method)
    0.21810
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03824
  • Compounded annual return (geometric extrapolation)
    0.03596
  • Calmar ratio (compounded annual return / max draw down)
    0.13843
  • Compounded annual return / average of 25% largest draw downs
    0.18308
  • Compounded annual return / Expected Shortfall lognormal
    1.05570
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.50671
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43508
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41229
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43543
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6854800000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    118799000000000007344662108962816.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -493449000
  • Max Equity Drawdown (num days)
    58
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

VFL System is a Weekly system, and is a combination of different trading techniques. The vast majority of trades will last from 1 day to 10 days.

I usually send orders just before the beginning of the week,near european opening, and sometimes, before friday's close. Entry and take profit are limit orders,All entry orders have a protecting stop loss,trades are managed trough the week.

You will only need a few minutes every week to follow this system, orders are entered beginning of week. Ideal system for people who do not have neither the time nor the wish to sit for hours in front of the computer.

Summary Statistics

Strategy began
2010-04-06
Suggested Minimum Capital
$20,000
# Trades
100
# Profitable
49
% Profitable
49.0%
Correlation S&P500
-0.053
Sharpe Ratio
0.04
Sortino Ratio
0.06
Beta
-0.03
Alpha
0.00

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.