Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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FX Ultimatum ( Terminated )

By Locals

Futures · Started Jan 2012

hypothetical · Annual Return (Compounded)
14.0%
Max Drawdown
18.3%
Trades
267
Win Trades
76.0%
Profit Factor
1.20
Win Months
2.8%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20124.115.9-5.62.62.3-11.40.00.00.00.00.00.05.9
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.0-0.00.00.00.00.00.00.0-0.0-0.00.00.2
20150.10.00.00.00.00.0-0.0-0.0-0.00.00.0-0.10.1
2016-0.0-0.1-0.00.00.0-0.1-0.0-0.0-0.0-0.00.00.0-0.3
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began1/20/2012
Suggested Minimum Capital$50,000
Age178 months
What it tradesFutures, Forex
# Trades267
# Profitable203
% Profitable76.0%
Avg trade duration15.1 hours
Max peak-to-valley drawdown18.3%
drawdown periodMarch 25, 2012 - April 05, 2012
Annual return (compounded)1.5%
Avg win$326
Avg loss$840

Ratios

W:L ratio1.23
Sharpe Ratio-0.25
Sortino Ratio-0.36
Calmar Ratio0.49

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life480.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-4.8%

Return Statistics

Ann Return (w trading costs)14.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.5%

Slump

Current Slump as Pcnt Equity22.2%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.2%
Percent Trades Futures0.8%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss0.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated10.5%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$840
Avg Win$326
# Winners203
Sum Trade PL (losers)$53,744
Sum Trade PL (winners)$66,179
Num Months Winners22
# Losers64
% Winners76.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table177

Frequency

Avg Position Time (mins)905.57
Avg Position Time (hrs)15.09
Avg Trade Length0.60
Last Trade Ago5194

Regression

Alpha0
Beta0
Treynor Index0.96

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades21.88
MAE:PL (avg, all trades)0.58
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats68.79
MAE:PL - Winning Trades - this strat Percentile of All Strats57.33
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.26
Avg(MAE) / Avg(PL) - Losing trades-1.68
Hold-and-Hope Ratio0.05

RATIO STATISTICS

a (intercept, estimate of alpha)0.06
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)11
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 172 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
QCL Q2short2Jun 27, 2012Jun 27, 2012($96)
QCL Q2long2Jun 27, 2012Jun 27, 2012$424
QCL Q2short2Jun 27, 2012Jun 27, 2012($36)
QCL Q2long2Jun 27, 2012Jun 27, 2012($296)
QCL Q2long2Jun 27, 2012Jun 27, 2012($116)
QCL Q2short2Jun 27, 2012Jun 27, 2012($136)
GBP/USD short330Jun 26, 2012Jun 26, 2012($323)
EUR/JPY short330Jun 26, 2012Jun 26, 2012($5)
EUR/JPY short330Jun 26, 2012Jun 26, 2012($1)
EUR/JPY short330Jun 26, 2012Jun 26, 2012($3)
EUR/JPY short330Jun 26, 2012Jun 26, 2012($4)
GBP/USD long330Jun 26, 2012Jun 26, 2012$211
GBP/USD short330Jun 26, 2012Jun 26, 2012($373)
EUR/JPY short330Jun 26, 2012Jun 26, 2012$3
EUR/JPY long330Jun 25, 2012Jun 25, 2012($2)
AUD/USD short330Jun 25, 2012Jun 25, 2012($244)
AUD/USD short330Jun 25, 2012Jun 25, 2012($201)
AUD/USD long330Jun 25, 2012Jun 25, 2012($109)
AUD/USD long330Jun 25, 2012Jun 25, 2012($69)
GBP/USD short330Jun 25, 2012Jun 25, 2012($300)
GBP/USD long10Jun 24, 2012Jun 24, 2012($8)
GBP/USD long130Jun 22, 2012Jun 22, 2012$138
GBP/USD long130Jun 22, 2012Jun 22, 2012$172
EUR/USD long230Jun 22, 2012Jun 22, 2012($297)
GBP/USD short230Jun 22, 2012Jun 22, 2012$175
EUR/USD short230Jun 22, 2012Jun 22, 2012($292)
EUR/USD long230Jun 21, 2012Jun 21, 2012($412)
EUR/USD long230Jun 21, 2012Jun 21, 2012($315)
GBP/USD long230Jun 21, 2012Jun 21, 2012($713)
GBP/USD long230Jun 21, 2012Jun 21, 2012$313

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.