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These are hypothetical performance results that have certain inherent limitations. Learn more
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VTL 3 - Dynamic
(79678923)

Created by: Vu Vu
Started: 03/2013
Forex
Last trade: 3,521 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.

-0.2%
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.

(13.6%)
Max Drawdown
120
Num Trades
53.3%
Win Trades
1.0 : 1
Profit Factor
30.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013              (4.1%)+0.3%(4.5%)+4.3%(2.4%)  -    -  (2.2%)(2.3%)(2.6%)(12.8%)
2014+1.7%  -  +0.9%+1.2%(0.2%)(0.1%)+1.0%+2.8%+2.5%  -  +0.3%  -  +10.6%
2015(0.1%)  -    -    -  +0.1%  -    -  (0.1%)(0.1%)  -  +0.1%(0.1%)0.0
2016(0.1%)(0.2%)  -  (0.2%)+0.1%(0.3%)  -    -  (0.1%)+0.2%+0.3%+0.1%(0.1%)
2017(0.1%)(0.1%)  -    -    -    -    -    -  +0.1%+0.1%(0.1%)  -  (0.1%)
2018(0.1%)(0.1%)  -  +0.1%  -    -    -    -  +0.1%  -    -    -  0.0
2019(0.1%)+0.1%  -    -    -    -  (0.1%)+0.1%  -    -    -  (0.1%)
2020  -    -    -    -    -    -  (0.1%)  -    -    -    -  (0.1%)(0.2%)
2021+0.1%+0.1%+0.2%(0.1%)+0.1%  -    -    -  +0.1%+0.1%  -  +0.1%+0.4%
2022  -    -  +0.2%+0.1%  -  +0.2%  -    -  +0.2%+0.1%(0.2%)(0.1%)+0.5%
2023(0.1%)+0.1%(0.1%)+0.1%+0.1%  -    -  +0.1%+0.1%  -    -  (0.2%)+0.2%
2024+0.1%+0.1%  -  +0.1%                                                +0.3%

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

This strategy has placed 230 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/8/14 13:02 EUR/USD EUR/USD SHORT 15 1.29168 9/8 18:00 1.29010 0.13%
Trade id #89515444
Max drawdown($130)
Time9/8/14 13:04
Quant open-15
Worst price1.29255
Drawdown as % of equity-0.13%
 $237
9/4/14 7:45 EUR/USD EUR/USD SHORT 14 1.30785 9/4 18:00 1.29384 0.1%
Trade id #89434802
Max drawdown($98)
Time9/4/14 7:47
Quant open-14
Worst price1.30855
Drawdown as % of equity-0.10%
 $1,961
8/29/14 6:00 USD/JPY USD/JPY LONG 27 103.931 8/31 18:00 104.141 0.35%
Trade id #89348510
Max drawdown($339)
Time8/29/14 10:25
Quant open27
Worst price103.800
Drawdown as % of equity-0.35%
 $544
8/22/14 10:08 EUR/USD EUR/USD SHORT 14 1.32383 8/24 17:15 1.32044 0.33%
Trade id #89229431
Max drawdown($312)
Time8/22/14 10:16
Quant open-14
Worst price1.32606
Drawdown as % of equity-0.33%
 $475
8/19/14 8:33 EUR/USD EUR/USD SHORT 14 1.33265 8/20 18:00 1.32596 0.1%
Trade id #89145541
Max drawdown($92)
Time8/19/14 8:50
Quant open-14
Worst price1.33331
Drawdown as % of equity-0.10%
 $937
8/19/14 8:30 USD/JPY USD/JPY LONG 27 102.773 8/20 18:00 103.700 0.36%
Trade id #89145480
Max drawdown($333)
Time8/19/14 8:50
Quant open27
Worst price102.645
Drawdown as % of equity-0.36%
 $2,414
8/13/14 3:47 USD/JPY USD/JPY LONG 27 102.480 8/14 18:00 102.474 0.74%
Trade id #89054836
Max drawdown($682)
Time8/13/14 8:56
Quant open27
Worst price102.221
Drawdown as % of equity-0.74%
 ($16)
8/7/14 1:19 USD/JPY USD/JPY LONG 27 102.468 8/7 21:31 101.911 1.57%
Trade id #88964814
Max drawdown($1,477)
Time8/7/14 21:31
Quant open0
Worst price101.911
Drawdown as % of equity-1.57%
 ($1,477)
8/5/14 10:14 EUR/USD EUR/USD SHORT 14 1.33646 8/6 18:00 1.33834 0.33%
Trade id #88926327
Max drawdown($309)
Time8/6/14 17:14
Quant open-14
Worst price1.33867
Drawdown as % of equity-0.33%
 ($263)
7/22/14 4:26 EUR/USD EUR/USD SHORT 14 1.34875 7/22 18:00 1.34675 0.11%
Trade id #88687271
Max drawdown($106)
Time7/22/14 9:06
Quant open-14
Worst price1.34951
Drawdown as % of equity-0.11%
 $280
7/15/14 10:36 EUR/USD EUR/USD SHORT 13 1.35759 7/16 18:00 1.35263 0.05%
Trade id #88582468
Max drawdown($48)
Time7/15/14 11:48
Quant open-13
Worst price1.35796
Drawdown as % of equity-0.05%
 $645
5/23/14 4:00 EUR/USD EUR/USD SHORT 13 1.36293 5/25 17:15 1.36280 0.17%
Trade id #87726811
Max drawdown($161)
Time5/23/14 10:19
Quant open-13
Worst price1.36417
Drawdown as % of equity-0.17%
 $17
5/15/14 3:10 EUR/USD EUR/USD SHORT 13 1.36881 5/15 18:00 1.37119 0.6%
Trade id #87577229
Max drawdown($562)
Time5/15/14 11:18
Quant open-13
Worst price1.37314
Drawdown as % of equity-0.60%
 ($309)
5/6/14 3:15 EUR/USD EUR/USD LONG 16 1.38965 5/6 18:00 1.39265 n/a $480
5/1/14 2:06 EUR/USD EUR/USD LONG 16 1.38857 5/4 17:15 1.38749 1.29%
Trade id #87334389
Max drawdown($1,195)
Time5/2/14 9:37
Quant open16
Worst price1.38110
Drawdown as % of equity-1.29%
 ($173)
5/2/14 2:03 USD/JPY USD/JPY LONG 27 102.484 5/2 10:44 102.291 0.55%
Trade id #87356562
Max drawdown($509)
Time5/2/14 10:44
Quant open0
Worst price102.291
Drawdown as % of equity-0.55%
 ($509)
4/28/14 10:15 USD/JPY USD/JPY LONG 27 102.514 4/29 18:00 102.634 0.6%
Trade id #87268132
Max drawdown($563)
Time4/28/14 13:47
Quant open27
Worst price102.300
Drawdown as % of equity-0.60%
 $316
4/17/14 12:41 USD/JPY USD/JPY LONG 27 102.390 4/20 18:00 102.426 0.27%
Trade id #87116272
Max drawdown($247)
Time4/17/14 17:50
Quant open27
Worst price102.296
Drawdown as % of equity-0.27%
 $95
4/4/14 10:16 EUR/USD EUR/USD SHORT 13 1.36839 4/6 17:15 1.37012 0.34%
Trade id #86866478
Max drawdown($313)
Time4/4/14 12:12
Quant open-13
Worst price1.37080
Drawdown as % of equity-0.34%
 ($225)
4/3/14 8:45 EUR/USD EUR/USD SHORT 13 1.37441 4/3 18:00 1.37190 0.38%
Trade id #86840109
Max drawdown($356)
Time4/3/14 8:50
Quant open-13
Worst price1.37715
Drawdown as % of equity-0.38%
 $326
4/1/14 9:34 USD/JPY USD/JPY LONG 27 103.458 4/2 18:00 103.857 0.31%
Trade id #86796099
Max drawdown($288)
Time4/1/14 10:01
Quant open27
Worst price103.347
Drawdown as % of equity-0.31%
 $1,037
3/28/14 9:39 USD/JPY USD/JPY LONG 27 102.525 3/30 18:00 102.875 n/a $918
3/27/14 6:04 EUR/USD EUR/USD SHORT 13 1.37439 3/27 19:00 1.37449 0.49%
Trade id #86712468
Max drawdown($445)
Time3/27/14 9:37
Quant open-13
Worst price1.37782
Drawdown as % of equity-0.49%
 ($13)
3/24/14 4:00 EUR/USD EUR/USD LONG 17 1.38236 3/24 19:00 1.38370 1.21%
Trade id #86627485
Max drawdown($1,094)
Time3/24/14 7:58
Quant open17
Worst price1.37592
Drawdown as % of equity-1.21%
 $228
3/12/14 8:20 EUR/USD EUR/USD LONG 16 1.38839 3/12 19:00 1.39005 0.1%
Trade id #86421672
Max drawdown($86)
Time3/12/14 10:12
Quant open16
Worst price1.38785
Drawdown as % of equity-0.10%
 $266
2/28/14 4:56 EUR/USD EUR/USD LONG 16 1.37314 3/2 17:15 1.37751 0.17%
Trade id #86219339
Max drawdown($152)
Time2/28/14 5:00
Quant open16
Worst price1.37219
Drawdown as % of equity-0.17%
 $699
2/27/14 23:54 USD/JPY USD/JPY SHORT 23 101.703 2/28 9:55 102.238 1.32%
Trade id #86215495
Max drawdown($1,204)
Time2/28/14 9:55
Quant open0
Worst price102.238
Drawdown as % of equity-1.32%
 ($1,204)
2/21/14 9:53 EUR/USD EUR/USD LONG 16 1.37398 2/23 17:15 1.37365 0.37%
Trade id #86103647
Max drawdown($334)
Time2/21/14 11:21
Quant open16
Worst price1.37189
Drawdown as % of equity-0.37%
 ($53)
2/16/14 18:56 USD/JPY USD/JPY SHORT 23 101.552 2/17 18:11 102.025 1.16%
Trade id #86005715
Max drawdown($1,066)
Time2/17/14 18:11
Quant open0
Worst price102.025
Drawdown as % of equity-1.16%
 ($1,066)
2/13/14 4:22 EUR/USD EUR/USD LONG 17 1.36544 2/13 18:00 1.36774 0.08%
Trade id #85768384
Max drawdown($69)
Time2/13/14 4:24
Quant open17
Worst price1.36503
Drawdown as % of equity-0.08%
 $391
Next

Statistics

  • Strategy began
    3/13/2013
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4061.79
  • Age
    136 months ago
  • What it trades
    Forex
  • # Trades
    120
  • # Profitable
    64
  • % Profitable
    53.30%
  • Avg trade duration
    22.5 hours
  • Max peak-to-valley drawdown
    13.6%
  • drawdown period
    March 18, 2013 - Jan 08, 2014
  • Annual Return (Compounded)
    -0.2%
  • Avg win
    $701.69
  • Avg loss
    $800.54
  • Model Account Values (Raw)
  • Cash
    $100,077
  • Margin Used
    $0
  • Buying Power
    $100,077
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    -0.55
  • Sortino Ratio
    -0.84
  • Calmar Ratio
    0.003
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -227.55%
  • Correlation to SP500
    0.00410
  • Return Percent SP500 (cumu) during strategy life
    228.07%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.2%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.003%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • 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
  • 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
    $801
  • Avg Win
    $702
  • Sum Trade PL (losers)
    $44,830.000
  • Age
  • Num Months filled monthly returns table
    134
  • Win / Loss
  • Sum Trade PL (winners)
    $44,908.000
  • # Winners
    64
  • Num Months Winners
    74
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    56
  • % Winners
    53.3%
  • Frequency
  • Avg Position Time (mins)
    1347.07
  • Avg Position Time (hrs)
    22.45
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    3517
  • Regression
  • Alpha
    -0.01
  • Beta
    0.00
  • Treynor Index
    -6.57
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    80.91
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    69.90
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.52
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -17.297
  • 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
    0.647
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.325
  • Hold-and-Hope Ratio
    -0.058
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02636
  • SD
    0.05655
  • Sharpe ratio (Glass type estimate)
    -0.46622
  • Sharpe ratio (Hedges UMVUE)
    -0.45483
  • df
    31.00000
  • t
    -0.76134
  • p
    0.77390
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.74327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75072
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61885
  • Upside Potential Ratio
    1.00243
  • Upside part of mean
    0.04271
  • Downside part of mean
    -0.06907
  • Upside SD
    0.03662
  • Downside SD
    0.04260
  • N nonnegative terms
    7.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.45995
  • Mean of criterion
    -0.02636
  • SD of predictor
    0.24038
  • SD of criterion
    0.05655
  • Covariance
    -0.00220
  • r
    -0.16167
  • b (slope, estimate of beta)
    -0.03803
  • a (intercept, estimate of alpha)
    -0.00887
  • Mean Square Error
    0.00322
  • DF error
    30.00000
  • t(b)
    -0.89732
  • p(b)
    0.81165
  • t(a)
    -0.22271
  • p(a)
    0.58736
  • Lowerbound of 95% confidence interval for beta
    -0.12459
  • Upperbound of 95% confidence interval for beta
    0.04853
  • Lowerbound of 95% confidence interval for alpha
    -0.09022
  • Upperbound of 95% confidence interval for alpha
    0.07248
  • Treynor index (mean / b)
    0.69320
  • Jensen alpha (a)
    -0.00887
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02788
  • SD
    0.05656
  • Sharpe ratio (Glass type estimate)
    -0.49296
  • Sharpe ratio (Hedges UMVUE)
    -0.48092
  • df
    31.00000
  • t
    -0.80501
  • p
    0.78653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72526
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.64394
  • Upside Potential Ratio
    0.96899
  • Upside part of mean
    0.04195
  • Downside part of mean
    -0.06983
  • Upside SD
    0.03590
  • Downside SD
    0.04330
  • N nonnegative terms
    7.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.42507
  • Mean of criterion
    -0.02788
  • SD of predictor
    0.22708
  • SD of criterion
    0.05656
  • Covariance
    -0.00214
  • r
    -0.16648
  • b (slope, estimate of beta)
    -0.04146
  • a (intercept, estimate of alpha)
    -0.01026
  • Mean Square Error
    0.00321
  • DF error
    30.00000
  • t(b)
    -0.92474
  • p(b)
    0.81876
  • t(a)
    -0.25895
  • p(a)
    0.60128
  • Lowerbound of 95% confidence interval for beta
    -0.13304
  • Upperbound of 95% confidence interval for beta
    0.05011
  • Lowerbound of 95% confidence interval for alpha
    -0.09114
  • Upperbound of 95% confidence interval for alpha
    0.07063
  • Treynor index (mean / b)
    0.67241
  • Jensen alpha (a)
    -0.01026
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02876
  • Expected Shortfall on VaR
    0.03534
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01729
  • Expected Shortfall on VaR
    0.03277
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.95942
  • Quartile 1
    0.99883
  • Median
    1.00000
  • Quartile 3
    1.00182
  • Maximum
    1.04445
  • Mean of quarter 1
    0.98365
  • Mean of quarter 2
    0.99941
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.01652
  • Inter Quartile Range
    0.00299
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.96996
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.02887
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.01194
  • VaR(95%) (moments method)
    0.01049
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.07535
  • VaR(95%) (regression method)
    0.01653
  • Expected Shortfall (regression method)
    0.02498
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.07518
  • Quartile 1
    0.07518
  • Median
    0.07518
  • Quartile 3
    0.07518
  • Maximum
    0.07518
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00003
  • Compounded annual return (geometric extrapolation)
    0.00003
  • Calmar ratio (compounded annual return / max draw down)
    0.00035
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00074
  • 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
    -0.02545
  • SD
    0.06610
  • Sharpe ratio (Glass type estimate)
    -0.38497
  • Sharpe ratio (Hedges UMVUE)
    -0.38456
  • df
    700.00000
  • t
    -0.62970
  • p
    0.73545
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.81356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81384
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57166
  • Upside Potential Ratio
    3.71745
  • Upside part of mean
    0.16547
  • Downside part of mean
    -0.19091
  • Upside SD
    0.04882
  • Downside SD
    0.04451
  • N nonnegative terms
    273.00000
  • N negative terms
    428.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    701.00000
  • Mean of predictor
    0.46056
  • Mean of criterion
    -0.02545
  • SD of predictor
    0.30750
  • SD of criterion
    0.06610
  • Covariance
    -0.00004
  • r
    -0.00219
  • b (slope, estimate of beta)
    -0.00047
  • a (intercept, estimate of alpha)
    -0.02500
  • Mean Square Error
    0.00437
  • DF error
    699.00000
  • t(b)
    -0.05789
  • p(b)
    0.52307
  • t(a)
    -0.62124
  • p(a)
    0.73268
  • Lowerbound of 95% confidence interval for beta
    -0.01643
  • Upperbound of 95% confidence interval for beta
    0.01549
  • Lowerbound of 95% confidence interval for alpha
    -0.10496
  • Upperbound of 95% confidence interval for alpha
    0.05450
  • Treynor index (mean / b)
    54.06110
  • Jensen alpha (a)
    -0.02523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02762
  • SD
    0.06589
  • Sharpe ratio (Glass type estimate)
    -0.41915
  • Sharpe ratio (Hedges UMVUE)
    -0.41870
  • df
    700.00000
  • t
    -0.68561
  • p
    0.75340
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61744
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77973
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61480
  • Upside Potential Ratio
    3.65733
  • Upside part of mean
    0.16428
  • Downside part of mean
    -0.19190
  • Upside SD
    0.04817
  • Downside SD
    0.04492
  • N nonnegative terms
    273.00000
  • N negative terms
    428.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    701.00000
  • Mean of predictor
    0.41234
  • Mean of criterion
    -0.02762
  • SD of predictor
    0.31056
  • SD of criterion
    0.06589
  • Covariance
    -0.00005
  • r
    -0.00224
  • b (slope, estimate of beta)
    -0.00047
  • a (intercept, estimate of alpha)
    -0.02742
  • Mean Square Error
    0.00435
  • DF error
    699.00000
  • t(b)
    -0.05916
  • p(b)
    0.52358
  • t(a)
    -0.67798
  • p(a)
    0.75100
  • Lowerbound of 95% confidence interval for beta
    -0.01623
  • Upperbound of 95% confidence interval for beta
    0.01528
  • Lowerbound of 95% confidence interval for alpha
    -0.10683
  • Upperbound of 95% confidence interval for alpha
    0.05199
  • Treynor index (mean / b)
    58.17040
  • Jensen alpha (a)
    -0.02742
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.00846
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00185
  • Expected Shortfall on VaR
    0.00416
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    701.00000
  • Minimum
    0.97112
  • Quartile 1
    0.99980
  • Median
    1.00002
  • Quartile 3
    1.00028
  • Maximum
    1.03971
  • Mean of quarter 1
    0.99740
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00013
  • Mean of quarter 4
    1.00260
  • Inter Quartile Range
    0.00048
  • Number outliers low
    64.00000
  • Percentage of outliers low
    0.09130
  • Mean of outliers low
    0.99362
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.08559
  • Mean of outliers high
    1.00660
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64175
  • VaR(95%) (moments method)
    0.00201
  • Expected Shortfall (moments method)
    0.00794
  • Extreme Value Index (regression method)
    0.37128
  • VaR(95%) (regression method)
    0.00245
  • Expected Shortfall (regression method)
    0.00683
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00002
  • Quartile 1
    0.02840
  • Median
    0.05678
  • Quartile 3
    0.08517
  • Maximum
    0.11355
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11355
  • Inter Quartile Range
    0.05676
  • 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)
    0.00029
  • Compounded annual return (geometric extrapolation)
    0.00029
  • Calmar ratio (compounded annual return / max draw down)
    0.00257
  • Compounded annual return / average of 25% largest draw downs
    0.00257
  • Compounded annual return / Expected Shortfall lognormal
    0.03443
  • 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
    -0.00295
  • SD
    0.00658
  • Sharpe ratio (Glass type estimate)
    -0.44819
  • Sharpe ratio (Hedges UMVUE)
    -0.44559
  • df
    130.00000
  • t
    -0.31692
  • p
    0.51389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.21968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.21793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32674
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61330
  • Upside Potential Ratio
    7.87119
  • Upside part of mean
    0.03786
  • Downside part of mean
    -0.04081
  • Upside SD
    0.00446
  • Downside SD
    0.00481
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.91625
  • Mean of criterion
    -0.00295
  • SD of predictor
    0.42150
  • SD of criterion
    0.00658
  • Covariance
    -0.00049
  • r
    -0.17623
  • b (slope, estimate of beta)
    -0.00275
  • a (intercept, estimate of alpha)
    -0.00043
  • Mean Square Error
    0.00004
  • DF error
    129.00000
  • t(b)
    -2.03336
  • p(b)
    0.61160
  • t(a)
    -0.04617
  • p(a)
    0.50259
  • Lowerbound of 95% confidence interval for beta
    -0.00543
  • Upperbound of 95% confidence interval for beta
    -0.00007
  • Lowerbound of 95% confidence interval for alpha
    -0.01879
  • Upperbound of 95% confidence interval for alpha
    0.01794
  • Treynor index (mean / b)
    1.07197
  • Jensen alpha (a)
    -0.00043
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00297
  • SD
    0.00658
  • Sharpe ratio (Glass type estimate)
    -0.45143
  • Sharpe ratio (Hedges UMVUE)
    -0.44882
  • df
    130.00000
  • t
    -0.31921
  • p
    0.51399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.22294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.22116
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32352
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61753
  • Upside Potential Ratio
    7.86602
  • Upside part of mean
    0.03785
  • Downside part of mean
    -0.04082
  • Upside SD
    0.00446
  • Downside SD
    0.00481
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.82567
  • Mean of criterion
    -0.00297
  • SD of predictor
    0.42497
  • SD of criterion
    0.00658
  • Covariance
    -0.00049
  • r
    -0.17646
  • b (slope, estimate of beta)
    -0.00273
  • a (intercept, estimate of alpha)
    -0.00071
  • Mean Square Error
    0.00004
  • DF error
    129.00000
  • t(b)
    -2.03617
  • p(b)
    0.61175
  • t(a)
    -0.07715
  • p(a)
    0.50432
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    -0.00539
  • Upperbound of 95% confidence interval for beta
    -0.00008
  • Lowerbound of 95% confidence interval for alpha
    -0.01904
  • Upperbound of 95% confidence interval for alpha
    0.01761
  • Treynor index (mean / b)
    1.08717
  • Jensen alpha (a)
    -0.00071
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00068
  • Expected Shortfall on VaR
    0.00085
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00038
  • Expected Shortfall on VaR
    0.00070
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99880
  • Quartile 1
    0.99990
  • Median
    1.00009
  • Quartile 3
    1.00033
  • Maximum
    1.00123
  • Mean of quarter 1
    0.99960
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00020
  • Mean of quarter 4
    1.00059
  • Inter Quartile Range
    0.00044
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99903
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00120
  • 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
    8.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00069
  • Median
    0.00093
  • Quartile 3
    0.00123
  • Maximum
    0.00389
  • Mean of quarter 1
    0.00046
  • Mean of quarter 2
    0.00078
  • Mean of quarter 3
    0.00101
  • Mean of quarter 4
    0.00287
  • Inter Quartile Range
    0.00054
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.00389
  • 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?
    -347142000
  • Max Equity Drawdown (num days)
    296
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02509
  • Compounded annual return (geometric extrapolation)
    0.02525
  • Calmar ratio (compounded annual return / max draw down)
    6.49578
  • Compounded annual return / average of 25% largest draw downs
    8.78658
  • Compounded annual return / Expected Shortfall lognormal
    29.71480

Strategy Description

System Description
VTL 3 -Dynamic
Underlying: EURUSD + USDJPY- 24 hours

This system combines a "Breakout-Strategy" with some special trend components for the entry and market components for the stops.
VTL 3 - Dynamic has the same concept like VTL-Dynamic but better MM/RM and trades now 2 FX-paires.

VTL 3 - Dynamic is full automated and sends the signals via Investox (www.investox.de) to the C2-plattform.
Frequency: 6-10 trades per month.

Trade duration is up to 2 days.
The most trades will be closed at midnight this or next day. Trades on a friday can stay over weekend and will be closed sunday when the market opens. There also exist intradaystops which can finish an open trade.

VTL 3 - Dynamic is backtested round over 3 years.

Profitable trades : 60%
Consecutive winner: 10
Consecutive looser: 5


It has an intelligent Money-/Riskmmanagement with predefined stoploss.
Initstops at C2 are round about 20% larger than real systemstops (technical reasons).

Entryorder: MKT
Stops/Exits: MKT


Max risk per trade: 2.4%
Average risk: 1,0%

Max winner per trade: 3,7%
Average winner: 1,9%

CRV: 1,55:1

VTL 3 - Dynamic starts with 100.000 USD and will increase/decrease contracts depending on the capital.
The statistical drawdown will be between 5-8%.

Scale it down or take more capital if you accept less risk.

-------------------------------

If you want to trade without dynamic (fixed contract) I recommend for each contract* minimum 1.600 USD capital.

Drawdown 800 USD (MonteCarlo worst) / 470 (MonteCarlo mid).


Max risk per contract: 120 USD
Average risk: 48 USD

Max winner: 218 USD
average winner: 69 USD


*) 1 minilot / 10.000 $

-------------------------------

Copyright notice:
A subscription to VTL II - Dynamic entitles one (1) person, the subscriber, to take the trades in his own accounts.
If you are sharing your account, or any information from this site with others or trading others accounts based on these signals, You are in violation of copyright laws, subject to a penalty of up to $150,000 per incident.
In other words, do NOT share any trade signals or commentary with anyone else. If you are trading others accounts you must sign them up as well.

DISCLAIMER:
Past performance is no guarantee of future results.

Summary Statistics

Strategy began
2013-03-13
Suggested Minimum Capital
$100,000
# Trades
120
# Profitable
64
% Profitable
53.3%
Correlation S&P500
0.004
Sharpe Ratio
-0.55
Sortino Ratio
-0.84
Beta
0.00
Alpha
-0.01

Latest Activity

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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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