Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,000 Hypothetical

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SRQ TRADING LLC

By rodSmith

Futures · Forex · Started May 2020

hypothetical · Annual Return (Compounded)
6.3%
Max Drawdown
36.2%
Trades
135
Win Trades
68.9%
Profit Factor
1.30
Win Months
3.9%

About this strategy

SRQ TRADING LLC, Our trend Following system gets signals based on intermarket data and also wave pattern analysis.
We encourage all of our users to use leverage with caution. And our trend following system gets out of losings trades with very small losses and allows winners to run. Enjoy and I will update with useful information regarding SRQ TREND FOLLOWING SYSTEM.

Trend-following Currencies

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
202047.59.028.6-28.60.00.00.00.047.6
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 began5/12/2020
Suggested Minimum Capital$10,000
Age77 months
What it tradesForex
# Trades135
# Profitable93
% Profitable68.9%
Avg trade duration7.9 hours
Max peak-to-valley drawdown36.2%
drawdown periodAug 10, 2020 - Aug 27, 2020
Annual Return (Compounded)6.3%
Avg win$287
Avg loss$472

Ratios

W:L ratio1.35
Sharpe Ratio0.37
Sortino Ratio0.60
Calmar Ratio1.77

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life164.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-117.3%

Return Statistics

Ann Return (w trading costs)6.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)8.6%

Slump

Current Slump as Pcnt Equity56.8%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex1.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$472
Avg Win$287
# Winners93
Sum Trade PL (losers)$19,803
Sum Trade PL (winners)$26,695
Num Months Winners3
# Losers42
% Winners68.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table77

Frequency

Avg Position Time (mins)475.33
Avg Position Time (hrs)7.92
Avg Trade Length0.30
Last Trade Ago2205

Leverage

Daily leverage (average)13.70
Daily leverage (max)30.48

Regression

Alpha0.02
Beta0.02
Treynor Index0.79

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades10.03
MAE:PL (avg, all trades)0.61
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.87
Avg(MAE) / Avg(PL) - Losing trades-1.30
Hold-and-Hope Ratio0.10

RATIO STATISTICS

Mean0.78
SD0.95
Sharpe ratio (Glass type estimate)0.81
Sharpe ratio (Hedges UMVUE)0.76
df12
t0.85
p0.38
Lowerbound of 95% confidence interval for Sharpe Ratio-1.11
Upperbound of 95% confidence interval for Sharpe Ratio2.71
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.15
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.67
Sortino ratio2.51
Upside Potential Ratio3.53
Upside part of mean1.09
Downside part of mean-0.32
Upside SD0.89
Downside SD0.31
N nonnegative terms3
N negative terms10
N of observations13
Mean of predictor0.87
Mean of criterion0.78
SD of predictor0.38
SD of criterion0.95
Covariance-0.00
r-0.00
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)0.78
Mean Square Error0.99
DF error11
t(b)-0.00
p(b)0.50
t(a)0.67
p(a)0.26
Lowerbound of 95% confidence interval for beta-1.66
Upperbound of 95% confidence interval for beta1.66
Lowerbound of 95% confidence interval for alpha-1.78
Upperbound of 95% confidence interval for alpha3.34
Treynor index (mean / b)-3430.54
Jensen alpha (a)0.78
Mean0.45
SD0.77
Sharpe ratio (Glass type estimate)0.59
Sharpe ratio (Hedges UMVUE)0.55
df12
t0.61
p0.41
Lowerbound of 95% confidence interval for Sharpe Ratio-1.32
Upperbound of 95% confidence interval for Sharpe Ratio2.48
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.34
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.45
Sortino ratio1.22
Upside Potential Ratio2.23
Upside part of mean0.83
Downside part of mean-0.38
Upside SD0.65
Downside SD0.37
N nonnegative terms3
N negative terms10
N of observations13
Mean of predictor0.78
Mean of criterion0.45
SD of predictor0.37
SD of criterion0.77
Covariance0.02
r0.06
b (slope, estimate of beta)0.12
a (intercept, estimate of alpha)0.36
Mean Square Error0.64
DF error11
t(b)0.19
p(b)0.43
t(a)0.40
p(a)0.35
Lowerbound of 95% confidence interval for beta-1.24
Upperbound of 95% confidence interval for beta1.47
Lowerbound of 95% confidence interval for alpha-1.64
Upperbound of 95% confidence interval for alpha2.36
Treynor index (mean / b)3.94
Jensen alpha (a)0.36
VaR(95%)0.28
Expected Shortfall on VaR0.34
VaR(95%)0.08
Expected Shortfall on VaR0.17
Mean0.46
SD0.28
Sharpe ratio (Glass type estimate)1.62
Sharpe ratio (Hedges UMVUE)1.62
df304
t1.75
p0.04
Lowerbound of 95% confidence interval for Sharpe Ratio-0.20
Upperbound of 95% confidence interval for Sharpe Ratio3.44
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.20
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.44
Sortino ratio2.82
Upside Potential Ratio6.72
Upside part of mean1.10
Downside part of mean-0.64
Upside SD0.23
Downside SD0.16
N nonnegative terms44
N negative terms261
N of observations305
Mean of predictor0.87
Mean of criterion0.46
SD of predictor0.34
SD of criterion0.28
Covariance0.00
r0.02
b (slope, estimate of beta)0.02
a (intercept, estimate of alpha)0.45
Mean Square Error0.08
DF error303
t(b)0.36
p(b)0.36
t(a)1.67
p(a)0.05
Lowerbound of 95% confidence interval for beta-0.08
Upperbound of 95% confidence interval for beta0.11
Lowerbound of 95% confidence interval for alpha-0.08
Upperbound of 95% confidence interval for alpha0.97
Treynor index (mean / b)27.34
Jensen alpha (a)0.45
Mean0.42
SD0.28
Sharpe ratio (Glass type estimate)1.50
Sharpe ratio (Hedges UMVUE)1.50
df304
t1.62
p0.05
Lowerbound of 95% confidence interval for Sharpe Ratio-0.32
Upperbound of 95% confidence interval for Sharpe Ratio3.32
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.32
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.32
Sortino ratio2.50
Upside Potential Ratio6.37
Upside part of mean1.07
Downside part of mean-0.65
Upside SD0.22
Downside SD0.17
N nonnegative terms44
N negative terms261
N of observations305
Mean of predictor0.81
Mean of criterion0.42
SD of predictor0.34
SD of criterion0.28
Covariance0.00
r0.02
b (slope, estimate of beta)0.02
a (intercept, estimate of alpha)0.41
Mean Square Error0.08
DF error303
t(b)0.33
p(b)0.37
t(a)1.55
p(a)0.06
Lowerbound of 95% confidence interval for beta-0.08
Upperbound of 95% confidence interval for beta0.11
Lowerbound of 95% confidence interval for alpha-0.11
Upperbound of 95% confidence interval for alpha0.92
Treynor index (mean / b)27.01
Jensen alpha (a)0.41
VaR(95%)0.03
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.08
Mean of criterion-0.03
SD of predictor0.43
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)-9.74841826823373e+15
Sharpe ratio (Hedges UMVUE)-9.69206937105203e+15
df130
t-6893172865105920
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08701574255084e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-8513981316595712
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor0.98
Mean of criterion-0.03
SD of predictor0.43
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.03
Mean Square Error0
DF error129
t(b)0
p(b)0.50
t(a)-6799776653770752
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.03
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)8.03750607679262e+31
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations13
Minimum0.68
Quartile 11
Median1
Quartile 31
Maximum1.89
Mean of quarter 10.92
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.40
Inter Quartile Range0
Number outliers low1
Percentage of outliers low0.08
Mean of outliers low0.68
Number of outliers high3
Percentage of outliers high0.23
Mean of outliers high1.40
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations305
Minimum0.92
Quartile 11
Median1
Quartile 31
Maximum1.13
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.02
Inter Quartile Range0
Number outliers low30
Percentage of outliers low0.10
Mean of outliers low0.98
Number of outliers high44
Percentage of outliers high0.14
Mean of outliers high1.03
Extreme Value Index (moments method)-3.35
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.20
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations1
Minimum0.32
Quartile 10.32
Median0.32
Quartile 30.32
Maximum0.32
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations11
Minimum0.01
Quartile 10.02
Median0.02
Quartile 30.04
Maximum0.32
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.02
Mean of quarter 40.17
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.18
Mean of outliers high0.22
Extreme Value Index (moments method)-1.96
VaR(95%) (moments method)0.15
Expected Shortfall (moments method)0.16
Extreme Value Index (regression method)0.49
VaR(95%) (regression method)0.33
Expected Shortfall (regression method)0.83
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-384871328
Max Equity Drawdown (num days)17
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.63
Compounded annual return (geometric extrapolation)0.62
Calmar ratio (compounded annual return / max draw down)1.93
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal1.82
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.59
Compounded annual return (geometric extrapolation)0.57
Calmar ratio (compounded annual return / max draw down)1.77
Compounded annual return / average of 25% largest draw downs3.41
Compounded annual return / Expected Shortfall lognormal16.87
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 132 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EUR/JPY short200Aug 27, 2020Aug 27, 2020($1,240)
USD/CAD long400Aug 19, 2020Aug 27, 2020($2,382)
AUD/USD long400Aug 19, 2020Aug 19, 2020($436)
GBP/USD long200Aug 19, 2020Aug 19, 2020($691)
USD/JPY long400Aug 18, 2020Aug 18, 2020$80
USD/JPY long400Aug 18, 2020Aug 18, 2020$448
USD/JPY long200Aug 18, 2020Aug 18, 2020($408)
NZD/USD long200Aug 17, 2020Aug 17, 2020($249)
USD/JPY long400Aug 17, 2020Aug 17, 2020($166)
USD/JPY long400Aug 17, 2020Aug 17, 2020($219)
USD/JPY long400Aug 17, 2020Aug 17, 2020($181)
USD/JPY long400Aug 17, 2020Aug 17, 2020($226)
USD/JPY long400Aug 17, 2020Aug 17, 2020($220)
USD/JPY long400Aug 17, 2020Aug 17, 2020($100)
USD/JPY long400Aug 17, 2020Aug 17, 2020($282)
USD/JPY long200Aug 16, 2020Aug 17, 2020($308)
EUR/USD long200Aug 14, 2020Aug 14, 2020$302
AUD/USD long200Aug 14, 2020Aug 14, 2020$96
NZD/USD long200Aug 13, 2020Aug 13, 2020($282)
NZD/USD long200Aug 13, 2020Aug 13, 2020($220)
AUD/USD long200Aug 12, 2020Aug 12, 2020$106
AUD/USD long200Aug 12, 2020Aug 12, 2020$210
USD/CAD long200Aug 11, 2020Aug 11, 2020$5
EUR/USD short200Aug 11, 2020Aug 11, 2020$282
USD/CAD long400Aug 10, 2020Aug 10, 2020($363)
EUR/USD long200Aug 10, 2020Aug 10, 2020($26)
USD/CAD long200Aug 10, 2020Aug 10, 2020$103
AUD/USD long200Aug 10, 2020Aug 10, 2020$163
AUD/USD long200Aug 6, 2020Aug 6, 2020$183
AUD/USD long200Aug 6, 2020Aug 6, 2020$198

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.