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These are hypothetical performance results that have certain inherent limitations. Learn more

Apeiron Global
(42656206)

Created by: AngA AngA
Started: 08/2009
Forex
Last trade: 3,220 days ago
Subscriptions not currently available.

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 $99.00 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.

2.4%
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.

(10.0%)
Max Drawdown
467
Num Trades
48.0%
Win Trades
1.7 : 1
Profit Factor
17.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                                 (0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.7%)
2010(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)+0.7%(3.5%)+5.0%(2.2%)(1.2%)(1.5%)(3.7%)
2011+2.0%(0.1%)(0.1%)+1.3%(0.1%)+1.6%(1.9%)+5.3%+3.7%+1.2%(0.9%)+4.7%+17.5%
2012(0.5%)+0.1%+1.1%(0.6%)+0.3%(2.8%)+0.1%+1.6%+3.7%+3.4%+2.7%+6.2%+16.1%
2013(0.2%)+0.3%+0.5%+1.6%+0.1%+0.5%(0.6%)(3.1%)+4.6%(0.6%)(0.2%)(0.3%)+2.6%
2014+1.4%(1.2%)(0.7%)(0.2%)(0.1%)(1.6%)+1.0%(0.1%)(1.4%)(0.8%)+0.1%+0.1%(3.6%)
2015(0.8%)+0.3%(2.9%)+12.7%+0.8%  -    -    -    -    -    -    -  +9.7%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3961 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/20/15 14:34 GBP/USD GBP/USD LONG 3 1.55488 5/26 8:30 1.53700 0.34%
Trade id #94536774
Max drawdown($536)
Time5/26/15 8:30
Quant open0
Worst price1.53700
Drawdown as % of equity-0.34%
($536)
5/20/15 7:53 USD/CAD USD/CAD SHORT 4 1.22131 5/22 10:05 1.22869 0.16%
Trade id #94524929
Max drawdown($258)
Time5/22/15 9:23
Quant open-4
Worst price1.22924
Drawdown as % of equity-0.16%
($240)
5/13/15 9:50 EUR/USD EUR/USD LONG 14 1.13392 5/15 8:12 1.13321 0.15%
Trade id #94394747
Max drawdown($234)
Time5/15/15 8:03
Quant open14
Worst price1.13224
Drawdown as % of equity-0.15%
($99)
5/11/15 9:33 GBP/USD GBP/USD LONG 10 1.55486 5/14 9:15 1.57804 n/a $2,318
5/6/15 9:54 EUR/USD EUR/USD LONG 6 1.13402 5/7 6:35 1.13509 0.09%
Trade id #94273461
Max drawdown($144)
Time5/6/15 12:46
Quant open6
Worst price1.13162
Drawdown as % of equity-0.09%
$64
5/4/15 22:44 EUR/USD EUR/USD SHORT 4 1.11424 5/5 15:20 1.11954 0.21%
Trade id #94237219
Max drawdown($318)
Time5/5/15 13:03
Quant open-4
Worst price1.12220
Drawdown as % of equity-0.21%
($212)
4/27/15 10:09 USD/CAD USD/CAD SHORT 9 1.20816 4/29 11:04 1.19615 0%
Trade id #94083718
Max drawdown($3)
Time4/27/15 10:11
Quant open-3
Worst price1.21161
Drawdown as % of equity-0.00%
$904
4/29/15 4:07 GBP/USD GBP/USD LONG 6 1.53950 4/29 11:00 1.54702 0.19%
Trade id #94131103
Max drawdown($289)
Time4/29/15 6:39
Quant open6
Worst price1.53467
Drawdown as % of equity-0.19%
$451
4/20/15 11:02 USD/CAD USD/CAD SHORT 10 1.22280 4/26 18:25 1.21898 0.19%
Trade id #93949635
Max drawdown($278)
Time4/21/15 14:15
Quant open-3
Worst price1.23045
Drawdown as % of equity-0.19%
$313
4/13/15 9:55 GBP/USD GBP/USD LONG 20 1.47342 4/26 18:25 1.51709 0.25%
Trade id #93817351
Max drawdown($346)
Time4/14/15 4:52
Quant open6
Worst price1.46025
Drawdown as % of equity-0.25%
$8,733
4/16/15 22:42 EUR/USD EUR/USD LONG 3 1.07667 4/23 23:55 1.07913 0.22%
Trade id #93906965
Max drawdown($324)
Time4/21/15 3:34
Quant open3
Worst price1.06587
Drawdown as % of equity-0.22%
$74
3/23/15 9:54 USD/CAD USD/CAD SHORT 10 1.24977 4/17 8:51 1.21272 1.71%
Trade id #93414121
Max drawdown($2,352)
Time3/31/15 8:28
Quant open-10
Worst price1.27830
Drawdown as % of equity-1.71%
$3,054
3/23/15 0:03 NZD/USD NZD/USD LONG 22 0.76224 4/17 8:32 0.75766 1.15%
Trade id #93402444
Max drawdown($1,579)
Time4/1/15 4:49
Quant open6
Worst price0.73902
Drawdown as % of equity-1.15%
($1,008)
3/31/15 9:49 SPY SPDR S&P 500 LONG 700 207.38 4/13 10:28 210.54 0.79%
Trade id #93592774
Max drawdown($1,091)
Time4/1/15 9:52
Quant open400
Worst price204.51
Drawdown as % of equity-0.79%
$2,206
Includes Typical Broker Commissions trade costs of $9.50
3/18/15 19:37 GBP/USD GBP/USD LONG 8 1.49165 4/10 7:07 1.46100 1.77%
Trade id #93326823
Max drawdown($2,452)
Time4/10/15 7:07
Quant open0
Worst price1.46100
Drawdown as % of equity-1.77%
($2,452)
3/17/15 10:57 USD/CAD USD/CAD SHORT 2 1.27638 3/18 18:57 1.25829 0.04%
Trade id #93275949
Max drawdown($59)
Time3/18/15 8:34
Quant open-1
Worst price1.28338
Drawdown as % of equity-0.04%
$288
3/10/15 15:02 USD/CAD USD/CAD LONG 5 1.26977 3/13 9:27 1.27312 0.23%
Trade id #93125349
Max drawdown($322)
Time3/12/15 8:31
Quant open5
Worst price1.26152
Drawdown as % of equity-0.23%
$131
3/10/15 5:14 USD/CAD USD/CAD LONG 1 1.26651 3/10 10:44 1.26102 0.04%
Trade id #93108586
Max drawdown($54)
Time3/10/15 8:46
Quant open1
Worst price1.25964
Drawdown as % of equity-0.04%
($44)
3/9/15 10:20 USD/CAD USD/CAD SHORT 2 1.25783 3/10 4:44 1.26502 0.08%
Trade id #93080781
Max drawdown($114)
Time3/10/15 4:44
Quant open0
Worst price1.26502
Drawdown as % of equity-0.08%
($114)
3/6/15 13:39 USD/CAD USD/CAD LONG 1 1.26184 3/9 10:20 1.25772 0.03%
Trade id #93027543
Max drawdown($36)
Time3/9/15 7:37
Quant open1
Worst price1.25721
Drawdown as % of equity-0.03%
($33)
3/5/15 13:18 USD/CAD USD/CAD LONG 1 1.25011 3/5 15:20 1.24999 0%
Trade id #92961855
Max drawdown($6)
Time3/5/15 14:28
Quant open1
Worst price1.24925
Drawdown as % of equity-0.00%
($1)
3/2/15 7:55 USD/CAD USD/CAD SHORT 2 1.25004 3/2 9:50 1.25467 0.05%
Trade id #92845858
Max drawdown($74)
Time3/2/15 9:50
Quant open0
Worst price1.25467
Drawdown as % of equity-0.05%
($74)
2/23/15 11:32 SPY SPDR S&P 500 LONG 150 211.55 2/26 10:13 211.02 0.06%
Trade id #92691492
Max drawdown($79)
Time2/26/15 10:13
Quant open0
Worst price211.02
Drawdown as % of equity-0.06%
($82)
Includes Typical Broker Commissions trade costs of $3.00
2/25/15 8:29 GBP/USD GBP/USD SHORT 2 1.54863 2/26 9:37 1.54391 0.09%
Trade id #92746318
Max drawdown($130)
Time2/25/15 21:16
Quant open-2
Worst price1.55514
Drawdown as % of equity-0.09%
$94
2/24/15 9:08 USD/CAD USD/CAD SHORT 1 1.26150 2/24 15:20 1.24850 0.02%
Trade id #92716034
Max drawdown($34)
Time2/24/15 10:03
Quant open-1
Worst price1.26575
Drawdown as % of equity-0.02%
$104
2/19/15 17:15 USD/CAD USD/CAD SHORT 1 1.24939 2/23 3:42 1.25752 0.05%
Trade id #92636559
Max drawdown($65)
Time2/23/15 3:42
Quant open0
Worst price1.25752
Drawdown as % of equity-0.05%
($65)
2/18/15 14:05 USD/CAD USD/CAD SHORT 1 1.24155 2/19 7:12 1.24900 0.04%
Trade id #92602012
Max drawdown($60)
Time2/19/15 7:12
Quant open0
Worst price1.24900
Drawdown as % of equity-0.04%
($60)
2/17/15 12:33 USD/CAD USD/CAD SHORT 1 1.23967 2/18 9:03 1.24576 0.03%
Trade id #92572327
Max drawdown($49)
Time2/18/15 9:03
Quant open0
Worst price1.24576
Drawdown as % of equity-0.03%
($49)
2/16/15 16:15 USD/CAD USD/CAD SHORT 1 1.24583 2/17 8:16 1.23752 0.01%
Trade id #92548736
Max drawdown($15)
Time2/16/15 19:00
Quant open-1
Worst price1.24770
Drawdown as % of equity-0.01%
$67
2/10/15 9:44 SPY SPDR S&P 500 LONG 100 206.28 2/12 10:17 208.33 0.03%
Trade id #92419117
Max drawdown($36)
Time2/10/15 10:50
Quant open50
Worst price204.82
Drawdown as % of equity-0.03%
$204
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    8/23/2009
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5313.88
  • Age
    177 months ago
  • What it trades
    Forex
  • # Trades
    467
  • # Profitable
    224
  • % Profitable
    48.00%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    9.98%
  • drawdown period
    Jan 24, 2014 - April 01, 2015
  • Annual Return (Compounded)
    2.4%
  • Avg win
    $610.73
  • Avg loss
    $330.28
  • Model Account Values (Raw)
  • Cash
    $156,110
  • Margin Used
    $0
  • Buying Power
    $156,110
  • Ratios
  • W:L ratio
    1.70:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.18
  • Calmar Ratio
    0.901
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -356.87%
  • Correlation to SP500
    0.02240
  • Return Percent SP500 (cumu) during strategy life
    401.83%
  • Return Statistics
  • Ann Return (w trading costs)
    2.4%
  • Slump
  • Current Slump as Pcnt Equity
    9.70%
  • Instruments
  • Percent Trades Futures
    0.17%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.61%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.024%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    0.80%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.67%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $330
  • Avg Win
    $611
  • Sum Trade PL (losers)
    $80,259.000
  • Age
  • Num Months filled monthly returns table
    176
  • Win / Loss
  • Sum Trade PL (winners)
    $136,803.000
  • # Winners
    224
  • Num Months Winners
    82
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    243
  • % Winners
    48.0%
  • Frequency
  • Avg Position Time (mins)
    3773.47
  • Avg Position Time (hrs)
    62.89
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    3213
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.19
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.49
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.39
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    4.158
  • 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
    0.556
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.240
  • Hold-and-Hope Ratio
    0.233
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06252
  • SD
    0.06971
  • Sharpe ratio (Glass type estimate)
    0.89688
  • Sharpe ratio (Hedges UMVUE)
    0.88922
  • df
    88.00000
  • t
    2.44253
  • p
    0.00829
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16268
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62617
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62080
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27080
  • Upside Potential Ratio
    3.40785
  • Upside part of mean
    0.09383
  • Downside part of mean
    -0.03131
  • Upside SD
    0.06613
  • Downside SD
    0.02753
  • N nonnegative terms
    61.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.22162
  • Mean of criterion
    0.06252
  • SD of predictor
    0.20864
  • SD of criterion
    0.06971
  • Covariance
    0.00024
  • r
    0.01649
  • b (slope, estimate of beta)
    0.00551
  • a (intercept, estimate of alpha)
    0.06130
  • Mean Square Error
    0.00491
  • DF error
    87.00000
  • t(b)
    0.15382
  • p(b)
    0.43905
  • t(a)
    2.27577
  • p(a)
    0.01266
  • Lowerbound of 95% confidence interval for beta
    -0.06568
  • Upperbound of 95% confidence interval for beta
    0.07670
  • Lowerbound of 95% confidence interval for alpha
    0.00776
  • Upperbound of 95% confidence interval for alpha
    0.11485
  • Treynor index (mean / b)
    11.34860
  • Jensen alpha (a)
    0.06130
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06005
  • SD
    0.06783
  • Sharpe ratio (Glass type estimate)
    0.88532
  • Sharpe ratio (Hedges UMVUE)
    0.87776
  • df
    88.00000
  • t
    2.41105
  • p
    0.00899
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14648
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60903
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14354
  • Upside Potential Ratio
    3.27486
  • Upside part of mean
    0.09175
  • Downside part of mean
    -0.03170
  • Upside SD
    0.06376
  • Downside SD
    0.02802
  • N nonnegative terms
    61.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.19880
  • Mean of criterion
    0.06005
  • SD of predictor
    0.20540
  • SD of criterion
    0.06783
  • Covariance
    0.00026
  • r
    0.01848
  • b (slope, estimate of beta)
    0.00610
  • a (intercept, estimate of alpha)
    0.05884
  • Mean Square Error
    0.00465
  • DF error
    87.00000
  • t(b)
    0.17242
  • p(b)
    0.43175
  • t(a)
    2.26169
  • p(a)
    0.01310
  • Lowerbound of 95% confidence interval for beta
    -0.06426
  • Upperbound of 95% confidence interval for beta
    0.07647
  • Lowerbound of 95% confidence interval for alpha
    0.00713
  • Upperbound of 95% confidence interval for alpha
    0.11055
  • Treynor index (mean / b)
    9.83871
  • Jensen alpha (a)
    0.05884
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02684
  • Expected Shortfall on VaR
    0.03474
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00414
  • Expected Shortfall on VaR
    0.01000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    89.00000
  • Minimum
    0.95027
  • Quartile 1
    0.99993
  • Median
    1.00008
  • Quartile 3
    1.00812
  • Maximum
    1.11969
  • Mean of quarter 1
    0.98991
  • Mean of quarter 2
    1.00001
  • Mean of quarter 3
    1.00281
  • Mean of quarter 4
    1.02881
  • Inter Quartile Range
    0.00819
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.07865
  • Mean of outliers low
    0.97555
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.12360
  • Mean of outliers high
    1.04482
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -6.65359
  • VaR(95%) (moments method)
    0.00086
  • Expected Shortfall (moments method)
    0.00086
  • Extreme Value Index (regression method)
    -0.10780
  • VaR(95%) (regression method)
    0.01409
  • Expected Shortfall (regression method)
    0.02251
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00126
  • Median
    0.00721
  • Quartile 3
    0.02474
  • Maximum
    0.06100
  • Mean of quarter 1
    0.00019
  • Mean of quarter 2
    0.00413
  • Mean of quarter 3
    0.01699
  • Mean of quarter 4
    0.04624
  • Inter Quartile Range
    0.02349
  • 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
    0.10000
  • Mean of outliers high
    0.06100
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -60.55280
  • VaR(95%) (moments method)
    0.04583
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.72904
  • VaR(95%) (regression method)
    0.08567
  • Expected Shortfall (regression method)
    0.08611
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07566
  • Compounded annual return (geometric extrapolation)
    0.06189
  • Calmar ratio (compounded annual return / max draw down)
    1.01460
  • Compounded annual return / average of 25% largest draw downs
    1.33865
  • Compounded annual return / Expected Shortfall lognormal
    1.78150
  • 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
    0.06181
  • SD
    0.06134
  • Sharpe ratio (Glass type estimate)
    1.00769
  • Sharpe ratio (Hedges UMVUE)
    1.00731
  • df
    1946.00000
  • t
    2.74701
  • p
    0.46892
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72724
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72698
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70458
  • Upside Potential Ratio
    5.57667
  • Upside part of mean
    0.20223
  • Downside part of mean
    -0.14041
  • Upside SD
    0.04960
  • Downside SD
    0.03626
  • N nonnegative terms
    1315.00000
  • N negative terms
    632.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1947.00000
  • Mean of predictor
    0.23178
  • Mean of criterion
    0.06181
  • SD of predictor
    0.24378
  • SD of criterion
    0.06134
  • Covariance
    0.00004
  • r
    0.00284
  • b (slope, estimate of beta)
    0.00071
  • a (intercept, estimate of alpha)
    0.06200
  • Mean Square Error
    0.00376
  • DF error
    1945.00000
  • t(b)
    0.12522
  • p(b)
    0.49819
  • t(a)
    2.73425
  • p(a)
    0.46063
  • Lowerbound of 95% confidence interval for beta
    -0.01048
  • Upperbound of 95% confidence interval for beta
    0.01190
  • Lowerbound of 95% confidence interval for alpha
    0.01743
  • Upperbound of 95% confidence interval for alpha
    0.10587
  • Treynor index (mean / b)
    86.51840
  • Jensen alpha (a)
    0.06165
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05993
  • SD
    0.06114
  • Sharpe ratio (Glass type estimate)
    0.98034
  • Sharpe ratio (Hedges UMVUE)
    0.97996
  • df
    1946.00000
  • t
    2.67244
  • p
    0.46976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69959
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63890
  • Upside Potential Ratio
    5.49668
  • Upside part of mean
    0.20101
  • Downside part of mean
    -0.14108
  • Upside SD
    0.04911
  • Downside SD
    0.03657
  • N nonnegative terms
    1315.00000
  • N negative terms
    632.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1947.00000
  • Mean of predictor
    0.20203
  • Mean of criterion
    0.05993
  • SD of predictor
    0.24365
  • SD of criterion
    0.06114
  • Covariance
    0.00003
  • r
    0.00221
  • b (slope, estimate of beta)
    0.00055
  • a (intercept, estimate of alpha)
    0.05982
  • Mean Square Error
    0.00374
  • DF error
    1945.00000
  • t(b)
    0.09729
  • p(b)
    0.49860
  • t(a)
    2.66328
  • p(a)
    0.46165
  • Lowerbound of 95% confidence interval for beta
    -0.01060
  • Upperbound of 95% confidence interval for beta
    0.01171
  • Lowerbound of 95% confidence interval for alpha
    0.01577
  • Upperbound of 95% confidence interval for alpha
    0.10387
  • Treynor index (mean / b)
    108.27800
  • Jensen alpha (a)
    0.05982
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00597
  • Expected Shortfall on VaR
    0.00753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00085
  • Expected Shortfall on VaR
    0.00214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1947.00000
  • Minimum
    0.96840
  • Quartile 1
    0.99997
  • Median
    1.00000
  • Quartile 3
    1.00003
  • Maximum
    1.03607
  • Mean of quarter 1
    0.99786
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00308
  • Inter Quartile Range
    0.00005
  • Number outliers low
    371.00000
  • Percentage of outliers low
    0.19055
  • Mean of outliers low
    0.99721
  • Number of outliers high
    392.00000
  • Percentage of outliers high
    0.20133
  • Mean of outliers high
    1.00382
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68587
  • VaR(95%) (moments method)
    0.00213
  • Expected Shortfall (moments method)
    0.00827
  • Extreme Value Index (regression method)
    0.38003
  • VaR(95%) (regression method)
    0.00218
  • Expected Shortfall (regression method)
    0.00508
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00150
  • Median
    0.00601
  • Quartile 3
    0.01094
  • Maximum
    0.06859
  • Mean of quarter 1
    0.00069
  • Mean of quarter 2
    0.00383
  • Mean of quarter 3
    0.00810
  • Mean of quarter 4
    0.03479
  • Inter Quartile Range
    0.00944
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.11905
  • Mean of outliers high
    0.05598
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.09866
  • VaR(95%) (moments method)
    0.03058
  • Expected Shortfall (moments method)
    0.04547
  • Extreme Value Index (regression method)
    -0.33882
  • VaR(95%) (regression method)
    0.03374
  • Expected Shortfall (regression method)
    0.04147
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07551
  • Compounded annual return (geometric extrapolation)
    0.06177
  • Calmar ratio (compounded annual return / max draw down)
    0.90054
  • Compounded annual return / average of 25% largest draw downs
    1.77528
  • Compounded annual return / Expected Shortfall lognormal
    8.19986
  • 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
    0.00100
  • SD
    0.00062
  • Sharpe ratio (Glass type estimate)
    1.62322
  • Sharpe ratio (Hedges UMVUE)
    1.61384
  • df
    130.00000
  • t
    1.14779
  • p
    0.44992
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.39902
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.39258
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80548
  • Upside Potential Ratio
    11.28670
  • Upside part of mean
    0.00402
  • Downside part of mean
    -0.00302
  • Upside SD
    0.00050
  • Downside SD
    0.00036
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33840
  • Mean of criterion
    0.00100
  • SD of predictor
    0.41784
  • SD of criterion
    0.00062
  • Covariance
    0.00007
  • r
    0.26298
  • b (slope, estimate of beta)
    0.00039
  • a (intercept, estimate of alpha)
    0.00087
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    3.09581
  • p(b)
    0.33453
  • t(a)
    1.02829
  • p(a)
    0.44268
  • Lowerbound of 95% confidence interval for beta
    0.00014
  • Upperbound of 95% confidence interval for beta
    0.00064
  • Lowerbound of 95% confidence interval for alpha
    -0.00080
  • Upperbound of 95% confidence interval for alpha
    0.00254
  • Treynor index (mean / b)
    2.57910
  • Jensen alpha (a)
    0.00087
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00100
  • SD
    0.00062
  • Sharpe ratio (Glass type estimate)
    1.62294
  • Sharpe ratio (Hedges UMVUE)
    1.61356
  • df
    130.00000
  • t
    1.14759
  • p
    0.44993
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.39874
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.39230
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80487
  • Upside Potential Ratio
    11.28600
  • Upside part of mean
    0.00402
  • Downside part of mean
    -0.00302
  • Upside SD
    0.00050
  • Downside SD
    0.00036
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25096
  • Mean of criterion
    0.00100
  • SD of predictor
    0.42030
  • SD of criterion
    0.00062
  • Covariance
    0.00007
  • r
    0.26382
  • b (slope, estimate of beta)
    0.00039
  • a (intercept, estimate of alpha)
    0.00090
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    3.10646
  • p(b)
    0.33402
  • t(a)
    1.06939
  • p(a)
    0.44041
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    0.00014
  • Upperbound of 95% confidence interval for beta
    0.00063
  • Lowerbound of 95% confidence interval for alpha
    -0.00077
  • Upperbound of 95% confidence interval for alpha
    0.00257
  • Treynor index (mean / b)
    2.58559
  • Jensen alpha (a)
    0.00090
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00006
  • Expected Shortfall on VaR
    0.00007
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00002
  • Expected Shortfall on VaR
    0.00005
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99992
  • Quartile 1
    0.99998
  • Median
    1.00000
  • Quartile 3
    1.00002
  • Maximum
    1.00014
  • Mean of quarter 1
    0.99996
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00005
  • Inter Quartile Range
    0.00004
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.99992
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.00012
  • 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
    12.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00003
  • Median
    0.00007
  • Quartile 3
    0.00011
  • Maximum
    0.00022
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00005
  • Mean of quarter 3
    0.00009
  • Mean of quarter 4
    0.00018
  • Inter Quartile Range
    0.00007
  • 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
    0.08333
  • Mean of outliers high
    0.00022
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352167000
  • Max Equity Drawdown (num days)
    432
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00100
  • Compounded annual return (geometric extrapolation)
    0.00100
  • Calmar ratio (compounded annual return / max draw down)
    4.58985
  • Compounded annual return / average of 25% largest draw downs
    5.50932
  • Compounded annual return / Expected Shortfall lognormal
    13.39340

Strategy Description

The Apeiron Global Trading discretionary program uses a short term analysis, through a multi strategy and multi market methodology, whose objective is to offer consistent results on different market conditions, while keeping the drawdown at an acceptable level.

The use of a mix of trend and counter-trend approaches, on uncorrelated global markets, could offer a grater diversification, reducing the risk on single trades, while it could increase opportunity for each market sector.

The profitable trades are held for 1 to 30 days. The losing trades are liquidated rapidly through the use of stops or market orders, if the stops have not been activated, but the system signals the end of the trade. The trading program is systematic in nature and 90% automatic with a touch of discretion.

The methodology is currently composed of 2 short term trading systems that operate in the direction and counter-direction of the markets. They rely on seasonal market behavior and chart patterns. The trading approach is the same for all the markets and market sectors, thus providing a robust and consistent method for exploiting market opportunities.

The Apeiron Short Term Trading program is presently active on Crude oil futures, Heating oil futures, Gold futures, Copper futures, 10YNotes futures, mini S&P 500 futures, Soybeans futures, Corn futures, Wheat futures, Euro/Usd, Gbp/Usd, Usd/Yen. It may be possible in the future to extend the trading in other world markets and/or other market sectors. On average, between 0 to 10 trades are executed each month.

RISK DISCLOSURE
Please Note: All performance figures and illustrations were obtained using historical back testing on a computer and are not the results of an actual account. No guarantee is inferred that future performance will be like the results shown. Futures, forex and options trading involve risk. There is a risk of loss in futures, forex and options trading.

"HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. 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 IM PLEMENTATION 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".

Summary Statistics

Strategy began
2009-08-23
Suggested Minimum Capital
$100,000
# Trades
467
# Profitable
224
% Profitable
48.0%
Correlation S&P500
0.022
Sharpe Ratio
0.10
Sortino Ratio
0.18
Beta
0.01
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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