Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +33.1% Cumul. Return since Sep 23, 2025 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Blizzard FX
(60012988)

Created by: JohnMay JohnMay
Started: 05/2011
Forex
Last trade: 294 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. Subscriptions to this system cost $49.95 per month.

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.

-6.7%
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.

(100.0%)
Max Drawdown
610
Num Trades
97.9%
Win Trades
0.5 : 1
Profit Factor
45.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                            +1.5%+3.9%(1.1%)+7.8%(1.4%)+3.9%+4.0%+1.0%+21.0%
2012(2.5%)(5.3%)(2.1%)(5.5%)+20.5%+0.6%+0.7%(0.5%)(0.7%)(7.4%)(6.7%)(18.3%)(27.3%)
2013(8.5%)+16.4%  -  (16%)(14.4%)(27.8%)+12.9%(46%)(39.4%)(80.3%)
2014+55.7%(33.5%)+2.7%(35.5%)+48.5%(70.6%)+130.1%+23.7%(2.1%)+5.3%(17.1%)+7.7%(21.4%)
2015+150.4%(45.6%)+97.3%(29%)(54.8%)(60.8%)(26.1%)+357.9%+67.7%(39%)+44.3%+40.3%+137.1%
2016+63.1%+38.6%+0.9%(2.6%)(8.2%)+91.8%(1.4%)(0.5%)+13.0%+11.2%(23.6%)+3.3%+280.5%
2017(2%)+6.8%+0.1%(10.9%)+3.2%(5.2%)(2.6%)+7.4%(16.4%)+0.3%+1.3%(3.6%)(21.8%)
2018(11.5%)+9.5%(0.9%)+5.1%+9.9%+1.4%+2.5%+4.8%(7.8%)+9.2%(1.2%)+8.7%+30.5%
2019(10.6%)(5.9%)+4.1%+2.7%(1.5%)  -  +12.5%(4.6%)(15.6%)+2.8%(10.5%)(10.7%)
2020+1.7%+3.2%+18.0%+2.1%+5.1%(6.5%)(9.3%)(6.4%)+11.1%  -  (7.6%)(5.8%)+2.1%
2021(6.1%)(17.4%)+3.5%+0.3%(14.5%)+12.1%+0.5%+3.7%(0.3%)(6.7%)+13.8%(8.8%)(22.3%)
2022+3.5%+0.7%(6.4%)+5.4%+1.3%+0.7%+4.1%+9.4%+17.0%(16.6%)(11.7%)+9.8%+13.0%
2023(2.4%)(0.7%)(3.6%)(7.4%)(7.4%)(18.6%)(2.9%)(2%)+17.0%+3.2%(20.5%)+12.8%(32.8%)
2024(13%)(5%)+2.1%(5.5%)(15.3%)(1%)+13.7%(7.6%)(16.1%)+20.1%(0.8%)+14.5%(19.6%)
2025+2.7%+4.1%(15.8%)(3.7%)(16%)(19.9%)+17.3%(5.3%)  -    -    -    -  (35.2%)
2026  -    -    -    -    -    -                                      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

This strategy has placed 2,279 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5017 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/18/12 13:15 GBP/JPY GBP/JPY SHORT 290 125.065 8/21/25 10:35 183.483 32.35%
Trade id #75357369
Max drawdown($12,871)
Time7/11/24 0:00
Quant open23
Worst price208.117
Drawdown as % of equity-32.35%
 ($1,055.29)
9/5/12 7:30 GBP/USD GBP/USD SHORT 100 1.60758 8/21/25 10:35 1.36952 14.35%
Trade id #76422412
Max drawdown($1,003)
Time7/15/14 0:00
Quant open9
Worst price1.71905
Drawdown as % of equity-14.35%
 $23,806.10
9/3/12 23:30 GBP/USD GBP/USD SHORT 10 1.58949 9/4 6:15 1.58829 0.01%
Trade id #76391447
Max drawdown($12)
Time9/4/12 3:32
Quant open-1
Worst price1.59073
Drawdown as % of equity-0.01%
 $12.00
8/1/12 12:30 GBP/USD GBP/USD LONG 20 1.56049 8/27 21:13 1.56954 0.08%
Trade id #75715791
Max drawdown($105)
Time8/2/12 12:35
Quant open1
Worst price1.54894
Drawdown as % of equity-0.08%
 $180.80
7/18/12 14:00 GBP/USD GBP/USD SHORT 10 1.56439 8/1 9:00 1.56309 0.1%
Trade id #75358235
Max drawdown($122)
Time7/27/12 10:02
Quant open-1
Worst price1.57668
Drawdown as % of equity-0.10%
 $13.00
7/17/12 13:15 GBP/JPY GBP/JPY SHORT 10 123.547 7/18 5:14 123.334 0.04%
Trade id #75327998
Max drawdown($45)
Time7/17/12 19:42
Quant open-1
Worst price123.904
Drawdown as % of equity-0.04%
 $0.13
7/17/12 14:00 GBP/USD GBP/USD SHORT 20 1.56325 7/18 4:31 1.56236 0.05%
Trade id #75329110
Max drawdown($69)
Time7/17/12 20:25
Quant open-2
Worst price1.56672
Drawdown as % of equity-0.05%
 $17.90
7/16/12 21:15 GBP/JPY GBP/JPY SHORT 10 123.389 7/17 10:38 123.184 0.04%
Trade id #75301738
Max drawdown($50)
Time7/16/12 21:39
Quant open-1
Worst price123.792
Drawdown as % of equity-0.04%
 $0.13
7/16/12 11:00 GBP/USD GBP/USD SHORT 20 1.56210 7/17 10:01 1.56017 0.09%
Trade id #75284472
Max drawdown($111)
Time7/16/12 21:31
Quant open-2
Worst price1.56767
Drawdown as % of equity-0.09%
 $38.80
7/15/12 21:00 GBP/JPY GBP/JPY LONG 20 123.231 7/16 20:30 123.355 0.14%
Trade id #75261900
Max drawdown($184)
Time7/16/12 5:31
Quant open2
Worst price122.504
Drawdown as % of equity-0.14%
 $0.15
7/13/12 12:00 GBP/USD GBP/USD SHORT 10 1.55483 7/16 4:47 1.55353 0.03%
Trade id #75247410
Max drawdown($43)
Time7/15/12 18:45
Quant open-1
Worst price1.55918
Drawdown as % of equity-0.03%
 $13.00
7/13/12 15:30 GBP/JPY GBP/JPY SHORT 10 123.424 7/15 20:56 123.239 0.01%
Trade id #75251957
Max drawdown($8)
Time7/15/12 18:45
Quant open-1
Worst price123.495
Drawdown as % of equity-0.01%
 $0.12
7/12/12 1:15 GBP/JPY GBP/JPY LONG 20 122.894 7/13 9:47 123.014 0.17%
Trade id #75190334
Max drawdown($220)
Time7/12/12 10:47
Quant open2
Worst price122.022
Drawdown as % of equity-0.17%
 $0.15
7/12/12 4:00 GBP/USD GBP/USD LONG 10 1.54625 7/13 7:35 1.54765 0.06%
Trade id #75192926
Max drawdown($70)
Time7/12/12 10:51
Quant open1
Worst price1.53918
Drawdown as % of equity-0.06%
 $14.00
7/11/12 16:00 GBP/USD GBP/USD LONG 10 1.55030 7/11 23:45 1.55140 0.01%
Trade id #75181928
Max drawdown($9)
Time7/11/12 17:03
Quant open1
Worst price1.54936
Drawdown as % of equity-0.01%
 $11.00
7/11/12 16:45 GBP/JPY GBP/JPY SHORT 10 123.641 7/11 20:01 123.445 0%
Trade id #75182586
Max drawdown($5)
Time7/11/12 16:50
Quant open-1
Worst price123.681
Drawdown as % of equity-0.00%
 $0.12
7/10/12 14:30 GBP/USD GBP/USD SHORT 20 1.55314 7/11 14:04 1.55175 0.07%
Trade id #75144073
Max drawdown($91)
Time7/11/12 7:24
Quant open-2
Worst price1.55770
Drawdown as % of equity-0.07%
 $27.70
7/9/12 23:30 GBP/USD GBP/USD LONG 10 1.55062 7/10 4:26 1.55257 0.01%
Trade id #75114428
Max drawdown($12)
Time7/10/12 3:29
Quant open1
Worst price1.54938
Drawdown as % of equity-0.01%
 $19.50
7/9/12 15:30 GBP/USD GBP/USD SHORT 20 1.55230 7/9 22:17 1.55110 0.01%
Trade id #75106686
Max drawdown($8)
Time7/9/12 16:30
Quant open-1
Worst price1.55336
Drawdown as % of equity-0.01%
 $24.10
7/6/12 13:00 GBP/USD GBP/USD LONG 10 1.54804 7/9 9:08 1.54955 0.01%
Trade id #75063023
Max drawdown($15)
Time7/6/12 14:26
Quant open1
Worst price1.54648
Drawdown as % of equity-0.01%
 $15.10
7/6/12 1:00 GBP/USD GBP/USD SHORT 10 1.55266 7/6 8:51 1.55096 0.02%
Trade id #75049955
Max drawdown($23)
Time7/6/12 5:16
Quant open-1
Worst price1.55497
Drawdown as % of equity-0.02%
 $17.00
6/28/12 21:30 GBP/USD GBP/USD SHORT 40 1.56263 7/4 10:12 1.55984 0.29%
Trade id #74917733
Max drawdown($377)
Time7/2/12 9:22
Quant open-4
Worst price1.57206
Drawdown as % of equity-0.29%
 $111.80
7/2/12 11:15 GBP/JPY GBP/JPY LONG 10 124.475 7/2 14:18 124.661 0.02%
Trade id #74970149
Max drawdown($23)
Time7/2/12 11:30
Quant open1
Worst price124.292
Drawdown as % of equity-0.02%
 $0.12
7/1/12 21:00 GBP/JPY GBP/JPY LONG 20 124.768 7/2 4:20 124.909 0.04%
Trade id #74953819
Max drawdown($45)
Time7/2/12 1:54
Quant open1
Worst price124.521
Drawdown as % of equity-0.04%
 $0.18
6/29/12 11:30 GBP/JPY GBP/JPY SHORT 10 125.384 6/29 13:00 125.156 n/a $0.14
6/29/12 6:15 GBP/JPY GBP/JPY LONG 10 123.855 6/29 7:45 124.071 0.01%
Trade id #74927853
Max drawdown($13)
Time6/29/12 6:19
Quant open1
Worst price123.751
Drawdown as % of equity-0.01%
 $0.13
6/29/12 3:30 GBP/JPY GBP/JPY SHORT 10 124.733 6/29 5:00 124.177 0.01%
Trade id #74925921
Max drawdown($7)
Time6/29/12 3:32
Quant open-1
Worst price124.791
Drawdown as % of equity-0.01%
 $0.35
6/27/12 9:15 GBP/JPY GBP/JPY LONG 60 123.397 6/28 23:00 123.666 0.32%
Trade id #74861239
Max drawdown($410)
Time6/28/12 20:57
Quant open6
Worst price122.855
Drawdown as % of equity-0.32%
 $1.00
6/28/12 10:30 GBP/USD GBP/USD LONG 20 1.55083 6/28 20:26 1.55208 0.04%
Trade id #74900951
Max drawdown($48)
Time6/28/12 14:31
Quant open2
Worst price1.54840
Drawdown as % of equity-0.04%
 $25.20
6/27/12 9:30 GBP/USD GBP/USD LONG 10 1.55789 6/27 23:25 1.55913 0.03%
Trade id #74861636
Max drawdown($34)
Time6/27/12 9:57
Quant open1
Worst price1.55446
Drawdown as % of equity-0.03%
 $12.40

Statistics

  • Strategy began
    5/3/2011
  • Suggested Minimum Cap
    $99,992
  • Strategy Age (days)
    5508.67
  • Age
    184 months ago
  • What it trades
    Forex
  • # Trades
    610
  • # Profitable
    597
  • % Profitable
    97.90%
  • Avg trade duration
    16.2 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    June 19, 2015 - June 21, 2015
  • Annual Return (Compounded)
    -6.7%
  • Avg win
    $90.75
  • Avg loss
    $8,888
  • Model Account Values (Raw)
  • Cash
    $38,611
  • Margin Used
    $0
  • Buying Power
    $38,611
  • Ratios
  • W:L ratio
    0.47:1
  • Sharpe Ratio
    -0.06
  • Sortino Ratio
    -0.07
  • Calmar Ratio
    -0.207
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -524.96%
  • Correlation to SP500
    -0.10340
  • Return Percent SP500 (cumu) during strategy life
    435.67%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.7%
  • Slump
  • Current Slump as Pcnt Equity
    350.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.45%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.067%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -6.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    50.52%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $8,889
  • Avg Win
    $91
  • Sum Trade PL (losers)
    $115,552.000
  • Age
  • Num Months filled monthly returns table
    182
  • Win / Loss
  • Sum Trade PL (winners)
    $54,180.000
  • # Winners
    597
  • Num Months Winners
    82
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    13
  • % Winners
    97.9%
  • Frequency
  • Avg Position Time (mins)
    23379.10
  • Avg Position Time (hrs)
    389.65
  • Avg Trade Length
    16.2 days
  • Last Trade Ago
    285
  • Regression
  • Alpha
    0.00
  • Beta
    -1.25
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    50.36
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    83.32
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -1.352
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.565
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.170
  • Hold-and-Hope Ratio
    -0.740
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84179
  • SD
    1.97031
  • Sharpe ratio (Glass type estimate)
    0.42724
  • Sharpe ratio (Hedges UMVUE)
    0.42052
  • df
    48.00000
  • t
    0.86333
  • p
    0.19612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39871
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39409
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23619
  • Upside Potential Ratio
    3.10163
  • Upside part of mean
    2.11208
  • Downside part of mean
    -1.27028
  • Upside SD
    1.84343
  • Downside SD
    0.68096
  • N nonnegative terms
    22.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.39606
  • Mean of criterion
    0.84179
  • SD of predictor
    0.27442
  • SD of criterion
    1.97031
  • Covariance
    -0.16425
  • r
    -0.30377
  • b (slope, estimate of beta)
    -2.18103
  • a (intercept, estimate of alpha)
    1.70562
  • Mean Square Error
    3.59888
  • DF error
    47.00000
  • t(b)
    -2.18582
  • p(b)
    0.98308
  • t(a)
    1.67448
  • p(a)
    0.05034
  • Lowerbound of 95% confidence interval for beta
    -4.18836
  • Upperbound of 95% confidence interval for beta
    -0.17370
  • Lowerbound of 95% confidence interval for alpha
    -0.34353
  • Upperbound of 95% confidence interval for alpha
    3.75477
  • Treynor index (mean / b)
    -0.38596
  • Jensen alpha (a)
    1.70562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25999
  • SD
    1.38461
  • Sharpe ratio (Glass type estimate)
    -0.18777
  • Sharpe ratio (Hedges UMVUE)
    -0.18482
  • df
    48.00000
  • t
    -0.37943
  • p
    0.64698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78582
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28063
  • Upside Potential Ratio
    1.46186
  • Upside part of mean
    1.35435
  • Downside part of mean
    -1.61434
  • Upside SD
    1.01258
  • Downside SD
    0.92646
  • N nonnegative terms
    22.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.35576
  • Mean of criterion
    -0.25999
  • SD of predictor
    0.25712
  • SD of criterion
    1.38461
  • Covariance
    -0.13158
  • r
    -0.36959
  • b (slope, estimate of beta)
    -1.99025
  • a (intercept, estimate of alpha)
    0.44806
  • Mean Square Error
    1.69049
  • DF error
    47.00000
  • t(b)
    -2.72685
  • p(b)
    0.99552
  • t(a)
    0.64577
  • p(a)
    0.26079
  • Lowerbound of 95% confidence interval for beta
    -3.45856
  • Upperbound of 95% confidence interval for beta
    -0.52194
  • Lowerbound of 95% confidence interval for alpha
    -0.94777
  • Upperbound of 95% confidence interval for alpha
    1.84390
  • Treynor index (mean / b)
    0.13063
  • Jensen alpha (a)
    0.44806
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49294
  • Expected Shortfall on VaR
    0.56650
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.26050
  • Expected Shortfall on VaR
    0.47577
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.37944
  • Quartile 1
    0.86595
  • Median
    0.99319
  • Quartile 3
    1.07130
  • Maximum
    3.85076
  • Mean of quarter 1
    0.66149
  • Mean of quarter 2
    0.94044
  • Mean of quarter 3
    1.02350
  • Mean of quarter 4
    1.69873
  • Inter Quartile Range
    0.20535
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.08163
  • Mean of outliers low
    0.46386
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.10204
  • Mean of outliers high
    2.43350
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.55670
  • VaR(95%) (moments method)
    0.32756
  • Expected Shortfall (moments method)
    0.37623
  • Extreme Value Index (regression method)
    -0.55247
  • VaR(95%) (regression method)
    0.38405
  • Expected Shortfall (regression method)
    0.44390
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00256
  • Quartile 1
    0.04135
  • Median
    0.12263
  • Quartile 3
    0.75798
  • Maximum
    0.94761
  • Mean of quarter 1
    0.02195
  • Mean of quarter 2
    0.12263
  • Mean of quarter 3
    0.75798
  • Mean of quarter 4
    0.94761
  • Inter Quartile Range
    0.71664
  • 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)
    -0.14996
  • Compounded annual return (geometric extrapolation)
    -0.20712
  • Calmar ratio (compounded annual return / max draw down)
    -0.21857
  • Compounded annual return / average of 25% largest draw downs
    -0.21857
  • Compounded annual return / Expected Shortfall lognormal
    -0.36561
  • 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
    1.83930
  • SD
    2.22377
  • Sharpe ratio (Glass type estimate)
    0.82711
  • Sharpe ratio (Hedges UMVUE)
    0.82653
  • df
    1074.00000
  • t
    1.67539
  • p
    0.47447
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14130
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79516
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14170
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79476
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69901
  • Upside Potential Ratio
    7.47963
  • Upside part of mean
    8.09724
  • Downside part of mean
    -6.25794
  • Upside SD
    1.94461
  • Downside SD
    1.08257
  • N nonnegative terms
    526.00000
  • N negative terms
    549.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1075.00000
  • Mean of predictor
    0.43710
  • Mean of criterion
    1.83930
  • SD of predictor
    0.30279
  • SD of criterion
    2.22377
  • Covariance
    -0.12779
  • r
    -0.18980
  • b (slope, estimate of beta)
    -1.39392
  • a (intercept, estimate of alpha)
    2.44900
  • Mean Square Error
    4.77147
  • DF error
    1073.00000
  • t(b)
    -6.33217
  • p(b)
    0.62010
  • t(a)
    2.26161
  • p(a)
    0.45619
  • Lowerbound of 95% confidence interval for beta
    -1.82586
  • Upperbound of 95% confidence interval for beta
    -0.96198
  • Lowerbound of 95% confidence interval for alpha
    0.32419
  • Upperbound of 95% confidence interval for alpha
    4.57296
  • Treynor index (mean / b)
    -1.31951
  • Jensen alpha (a)
    2.44857
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25887
  • SD
    2.11095
  • Sharpe ratio (Glass type estimate)
    -0.12263
  • Sharpe ratio (Hedges UMVUE)
    -0.12255
  • df
    1074.00000
  • t
    -0.24841
  • p
    0.50379
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84498
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09016
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84506
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16081
  • Upside Potential Ratio
    4.31232
  • Upside part of mean
    6.94194
  • Downside part of mean
    -7.20082
  • Upside SD
    1.36410
  • Downside SD
    1.60979
  • N nonnegative terms
    526.00000
  • N negative terms
    549.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1075.00000
  • Mean of predictor
    0.39059
  • Mean of criterion
    -0.25887
  • SD of predictor
    0.30466
  • SD of criterion
    2.11095
  • Covariance
    -0.11790
  • r
    -0.18332
  • b (slope, estimate of beta)
    -1.27021
  • a (intercept, estimate of alpha)
    0.23726
  • Mean Square Error
    4.31036
  • DF error
    1073.00000
  • t(b)
    -6.10851
  • p(b)
    0.61605
  • t(a)
    0.23076
  • p(a)
    0.49551
  • Lowerbound of 95% confidence interval for beta
    -1.67823
  • Upperbound of 95% confidence interval for beta
    -0.86220
  • Lowerbound of 95% confidence interval for alpha
    -1.78018
  • Upperbound of 95% confidence interval for alpha
    2.25470
  • Treynor index (mean / b)
    0.20380
  • Jensen alpha (a)
    0.23726
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19386
  • Expected Shortfall on VaR
    0.23574
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05440
  • Expected Shortfall on VaR
    0.11882
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1075.00000
  • Minimum
    0.11484
  • Quartile 1
    0.97946
  • Median
    1.00000
  • Quartile 3
    1.01364
  • Maximum
    3.30120
  • Mean of quarter 1
    0.91074
  • Mean of quarter 2
    0.99403
  • Mean of quarter 3
    1.00411
  • Mean of quarter 4
    1.11962
  • Inter Quartile Range
    0.03417
  • Number outliers low
    111.00000
  • Percentage of outliers low
    0.10326
  • Mean of outliers low
    0.83854
  • Number of outliers high
    126.00000
  • Percentage of outliers high
    0.11721
  • Mean of outliers high
    1.21878
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59340
  • VaR(95%) (moments method)
    0.08230
  • Expected Shortfall (moments method)
    0.22896
  • Extreme Value Index (regression method)
    0.40687
  • VaR(95%) (regression method)
    0.08010
  • Expected Shortfall (regression method)
    0.16513
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00079
  • Median
    0.00536
  • Quartile 3
    0.02241
  • Maximum
    0.99426
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00310
  • Mean of quarter 3
    0.01206
  • Mean of quarter 4
    0.26743
  • Inter Quartile Range
    0.02162
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.16216
  • Mean of outliers high
    0.38014
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.14451
  • VaR(95%) (moments method)
    0.19767
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.16869
  • VaR(95%) (regression method)
    0.16514
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.14924
  • Compounded annual return (geometric extrapolation)
    -0.20623
  • Calmar ratio (compounded annual return / max draw down)
    -0.20742
  • Compounded annual return / average of 25% largest draw downs
    -0.77117
  • Compounded annual return / Expected Shortfall lognormal
    -0.87483
  • 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
    -1.12159
  • SD
    1.11915
  • Sharpe ratio (Glass type estimate)
    -1.00218
  • Sharpe ratio (Hedges UMVUE)
    -0.99639
  • df
    130.00000
  • t
    -0.70865
  • p
    0.53102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.77485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.77084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77806
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41989
  • Upside Potential Ratio
    6.96357
  • Upside part of mean
    5.50061
  • Downside part of mean
    -6.62220
  • Upside SD
    0.78980
  • Downside SD
    0.78991
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.08208
  • Mean of criterion
    -1.12159
  • SD of predictor
    0.47572
  • SD of criterion
    1.11915
  • Covariance
    -0.19418
  • r
    -0.36473
  • b (slope, estimate of beta)
    -0.85805
  • a (intercept, estimate of alpha)
    -0.19311
  • Mean Square Error
    1.09430
  • DF error
    129.00000
  • t(b)
    -4.44906
  • p(b)
    0.72694
  • t(a)
    -0.12926
  • p(a)
    0.50724
  • Lowerbound of 95% confidence interval for beta
    -1.23963
  • Upperbound of 95% confidence interval for beta
    -0.47647
  • Lowerbound of 95% confidence interval for alpha
    -3.14910
  • Upperbound of 95% confidence interval for alpha
    2.76287
  • Treynor index (mean / b)
    1.30714
  • Jensen alpha (a)
    -0.19311
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.74938
  • SD
    1.12412
  • Sharpe ratio (Glass type estimate)
    -1.55621
  • Sharpe ratio (Hedges UMVUE)
    -1.54722
  • df
    130.00000
  • t
    -1.10041
  • p
    0.54803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.33156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22495
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.32539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23096
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05475
  • Upside Potential Ratio
    6.12718
  • Upside part of mean
    5.21657
  • Downside part of mean
    -6.96595
  • Upside SD
    0.73542
  • Downside SD
    0.85138
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.96749
  • Mean of criterion
    -1.74938
  • SD of predictor
    0.47670
  • SD of criterion
    1.12412
  • Covariance
    -0.19349
  • r
    -0.36108
  • b (slope, estimate of beta)
    -0.85147
  • a (intercept, estimate of alpha)
    -0.92559
  • Mean Square Error
    1.10742
  • DF error
    129.00000
  • t(b)
    -4.39775
  • p(b)
    0.72477
  • t(a)
    -0.61707
  • p(a)
    0.53452
  • VAR (95 Confidence Intrvl)
    0.19400
  • Lowerbound of 95% confidence interval for beta
    -1.23454
  • Upperbound of 95% confidence interval for beta
    -0.46840
  • Lowerbound of 95% confidence interval for alpha
    -3.89333
  • Upperbound of 95% confidence interval for alpha
    2.04216
  • Treynor index (mean / b)
    2.05453
  • Jensen alpha (a)
    -0.92559
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11389
  • Expected Shortfall on VaR
    0.13895
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06545
  • Expected Shortfall on VaR
    0.12107
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.73849
  • Quartile 1
    0.96437
  • Median
    1.00000
  • Quartile 3
    1.01948
  • Maximum
    1.26154
  • Mean of quarter 1
    0.91636
  • Mean of quarter 2
    0.98356
  • Mean of quarter 3
    1.00425
  • Mean of quarter 4
    1.07939
  • Inter Quartile Range
    0.05511
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.85240
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.15078
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02564
  • VaR(95%) (moments method)
    0.07877
  • Expected Shortfall (moments method)
    0.10456
  • Extreme Value Index (regression method)
    -0.31927
  • VaR(95%) (regression method)
    0.08472
  • Expected Shortfall (regression method)
    0.10229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.03118
  • Quartile 1
    0.04447
  • Median
    0.08713
  • Quartile 3
    0.21076
  • Maximum
    0.71789
  • Mean of quarter 1
    0.03782
  • Mean of quarter 2
    0.08713
  • Mean of quarter 3
    0.21076
  • Mean of quarter 4
    0.71789
  • Inter Quartile Range
    0.16629
  • 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
    0.20000
  • Mean of outliers high
    0.71789
  • 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?
    -389631000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.15430
  • Compounded annual return (geometric extrapolation)
    -0.82120
  • Calmar ratio (compounded annual return / max draw down)
    -1.14390
  • Compounded annual return / average of 25% largest draw downs
    -1.14390
  • Compounded annual return / Expected Shortfall lognormal
    -5.91008

Strategy Description

Blizzard FX trades the GBP/USD and the GBP/JPY based on price action and technical indicators. It will trade in all of the markets

Blizzard FX generates trades from an original Expert Advisor (EA), that is based on several years of research and study. I created and wrote the programming for the EA from scratch. The current version is the 5th generation form the original premise. The EA uses the stochastic indicator as the primary filter for entry points. However, other factors, such as price action, the average true range and the relative strength index contribute to the entry trigger.

Even though the EA pinpoints the entry points, I constantly monitor the market over a broad range of currency pairs to look for abnormalities and news events.

Exit points are based on a predetermined profit target for each trade set. Blizzard FX may add to positions for a total of 16 unit lots per trade set, per currency. When the profit target is reached, the trade set is closed by the EA. Under certain conditions the profit target will be ignored and the trade will be allowed to run before being closed by the EA.

Blizzard FX is similar to my other system Hudson Bay and runs on the same EA only with different parameters. Since it trades two currencies, it will take more trades per week. The GBP/USD works off of the 30 minute time frame, the GBP/JPYworks off of the 5 minute time frame. The two currency pairs are are related and subject to the influences and trends of the pound.

Summary Statistics

Strategy began
2011-05-03
Suggested Minimum Capital
$99,900
# Trades
610
# Profitable
597
% Profitable
97.9%
Correlation S&P500
-0.103
Sharpe Ratio
-0.06
Sortino Ratio
-0.07
Beta
-1.25
Alpha
0.00

Latest Activity

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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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