Bottoms up
(22381250)
Subscription terms. Subscriptions to this system cost $35.00 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.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2006  (1.2%)  (0.5%)  +12.3%  +14.1%  +10.4%  +38.9%  
2007  +5.9%  +4.2%  (5.1%)  +1.9%  (0.6%)  +0.8%  +2.0%  (6.3%)  +4.9%  +5.8%  (2.8%)  +10.0%  +21.3% 
2008  (2%)  +13.5%  (7%)  (0.4%)  (0.7%)  (3.3%)  (2.4%)  +3.3%  (9.3%)  +7.4%  (0.5%)  +4.1%  +0.5% 
2009  (6.4%)  (5.8%)  +3.2%  (1.6%)  (1.3%)  (0.9%)  (1.8%)  +0.8%  (0.2%)  (4%)  (0.3%)  (0.7%)  (17.8%) 
2010  (0.9%)  +1.5%  +2.4%  (2.1%)  +1.1%  (2.2%)  +0.3%  +1.7%  (4.5%)  (1.1%)  (1%)  (1.2%)  (5.9%) 
2011  (0.2%)  +3.0%  (0.4%)  (0.5%)  +0.1%  +0.4%    +0.5%  +1.1%  (1.3%)  +0.6%  (1%)  +2.4% 
2012  (1%)  (0.2%)  (0.1%)  (0.1%)  +0.7%  (0.6%)  +0.3%  (0.5%)  (0.3%)  (0.1%)  (0.1%)  (0.3%)  (2.3%) 
2013  (0.4%)    +1.6%  +0.1%  (0.5%)  +0.1%  (0.3%)  +0.1%  (0.3%)    (0.2%)  (0.1%)  +0.2% 
2014  (4.2%)  (0.2%)    +0.2%    (0.2%)  +0.2%  (0.2%)  +0.2%  (0.3%)    (0.1%)  (4.6%) 
2015  +0.1%  (0.2%)  (0.1%)  +0.1%  (3.3%)      +0.2%  (12.7%)  +0.8%  (0.1%)  +0.2%  (14.9%) 
2016  +0.4%      (0.1%)    (0.1%)  (0.2%)  (0.1%)    +0.2%  (0.3%)  (0.1%)  (0.4%) 
2017            (0.1%)    +0.1%  (0.1%)  (0.1%)  (0.1%)    (0.3%) 
2018          (0.1%)      (0.1%)    +0.1%    +0.2%  +0.2% 
2019  (0.2%)  (0.1%)          (64.9%)    (0.3%)  (0.2%)  (0.2%)  (65.3%)  
2020  +0.1%  +0.7%  +1.3%  (1.4%)  (1%)  (0.1%)  (0.2%)  (0.2%)  +0.1%  (0.1%)  (0.5%)  (0.1%)  (1.6%) 
2021  (67.6%)  (5151.3%)      (1736%) 
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.
Started  $10,000  
Buy Power  ($107,902)  
Cash  ($33,920)  
Equity  ($73,982)  
Cumulative $  ($63,600)  
Includes dividends and cashsettled expirations:  $651  Itemized 
Total System Equity  ($53,600)  
Margined  $0  
Open P/L  ($73,982) 
Trading Record
Statistics

Strategy began8/23/2006

Suggested Minimum Cap$10,000

Strategy Age (days)5343.6

Age178 months ago

What it tradesStocks

# Trades525

# Profitable244

% Profitable46.50%

Avg trade duration25.7 days

Max peaktovalley drawdown100%

drawdown periodFeb 12, 2021  Feb 28, 2021

Annual Return (Compounded)0.0%

Avg win$154.17

Avg loss$362.52
 Model Account Values (Raw)

Cash($33,920)

Margin Used$0

Buying Power($107,902)
 Ratios

W:L ratio0.38:1

Sharpe Ratio0.23

Sortino Ratio0.23

Calmar Ratio0.738
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)912.15%

Correlation to SP5000.00680

Return Percent SP500 (cumu) during strategy life219.00%
 Return Statistics

Ann Return (w trading costs)n/a
 Slump

Current Slump as Pcnt Equityn/a
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.89%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)n/a
 Instruments

Percent Trades Options0.01%

Percent Trades Stocks0.99%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)n/a
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss100.00%

Chance of 40% account lossn/a

Chance of 100% 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 60% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 90% account loss (Monte Carlo)n/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 Trading Style

Any stock shorts? 0/11
 Popularity

Popularity (7 days, Percentile 1000 scale)0
 Management

No Subs Allowed Flag (1: no subs)0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$363

Avg Win$154

Sum Trade PL (losers)$101,869.000
 Age

Num Months filled monthly returns table175
 Win / Loss

Sum Trade PL (winners)$37,617.000

# Winners244

Num Months Winners61
 Dividends

Dividends Received in Model Acct652
 Win / Loss

# Losers281

% Winners46.5%
 Frequency

Avg Position Time (mins)36950.50

Avg Position Time (hrs)615.84

Avg Trade Length25.7 days

Last Trade Ago3924
 Regression

Alpha0.00

Beta0.02

Treynor Index0.00
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  Winning Trades  this strat Percentile of All Strats11.78

MAE:PL  worst single value for strategy

MAE:PL  Losing Trades  this strat Percentile of All Strats7.70

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.37

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades1.646

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.203

Avg(MAE) / Avg(PL)  Losing trades1.008

HoldandHope Ratio1.624
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.07021

SD0.27794

Sharpe ratio (Glass type estimate)0.25262

Sharpe ratio (Hedges UMVUE)0.25039

df85.00000

t0.67629

p0.74965

Lowerbound of 95% confidence interval for Sharpe Ratio0.98501

Upperbound of 95% confidence interval for Sharpe Ratio0.48122

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.98349

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.48271
 Statistics related to Sortino ratio

Sortino ratio0.28988

Upside Potential Ratio0.68667

Upside part of mean0.16633

Downside part of mean0.23654

Upside SD0.13451

Downside SD0.24222

N nonnegative terms36.00000

N negative terms50.00000
 Statistics related to linear regression on benchmark

N of observations86.00000

Mean of predictor0.16487

Mean of criterion0.07021

SD of predictor0.25680

SD of criterion0.27794

Covariance0.00268

r0.03758

b (slope, estimate of beta)0.04067

a (intercept, estimate of alpha)0.06351

Mean Square Error0.07806

DF error84.00000

t(b)0.34465

p(b)0.63439

t(a)0.59821

p(a)0.72435

Lowerbound of 95% confidence interval for beta0.27535

Upperbound of 95% confidence interval for beta0.19401

Lowerbound of 95% confidence interval for alpha0.27463

Upperbound of 95% confidence interval for alpha0.14761

Treynor index (mean / b)1.72633

Jensen alpha (a)0.06351
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.11759

SD0.32652

Sharpe ratio (Glass type estimate)0.36013

Sharpe ratio (Hedges UMVUE)0.35695

df85.00000

t0.96410

p0.83113

Lowerbound of 95% confidence interval for Sharpe Ratio1.09322

Upperbound of 95% confidence interval for Sharpe Ratio0.37502

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.09104

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.37715
 Statistics related to Sortino ratio

Sortino ratio0.38881

Upside Potential Ratio0.52352

Upside part of mean0.15833

Downside part of mean0.27592

Upside SD0.12273

Downside SD0.30243

N nonnegative terms36.00000

N negative terms50.00000
 Statistics related to linear regression on benchmark

N of observations86.00000

Mean of predictor0.13213

Mean of criterion0.11759

SD of predictor0.25336

SD of criterion0.32652

Covariance0.00158

r0.01907

b (slope, estimate of beta)0.02457

a (intercept, estimate of alpha)0.11434

Mean Square Error0.10784

DF error84.00000

t(b)0.17478

p(b)0.56917

t(a)0.92161

p(a)0.82031

Lowerbound of 95% confidence interval for beta0.30415

Upperbound of 95% confidence interval for beta0.25500

Lowerbound of 95% confidence interval for alpha0.36107

Upperbound of 95% confidence interval for alpha0.13238

Treynor index (mean / b)4.78531

Jensen alpha (a)0.11434
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.15197

Expected Shortfall on VaR0.18423
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04845

Expected Shortfall on VaR0.10891
 ORDER STATISTICS
 Quartiles of return rates

Number of observations86.00000

Minimum0.57699

Quartile 10.99107

Median0.99920

Quartile 31.01186

Maximum1.28789

Mean of quarter 10.92651

Mean of quarter 20.99645

Mean of quarter 31.00267

Mean of quarter 41.05145

Inter Quartile Range0.02079

Number outliers low7.00000

Percentage of outliers low0.08140

Mean of outliers low0.80860

Number of outliers high10.00000

Percentage of outliers high0.11628

Mean of outliers high1.08686
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.15169

VaR(95%) (moments method)0.06489

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.01900

VaR(95%) (regression method)0.05006

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.04831

Quartile 10.06922

Median0.22872

Quartile 30.45362

Maximum0.67070

Mean of quarter 10.04831

Mean of quarter 20.07618

Mean of quarter 30.38125

Mean of quarter 40.67070

Inter Quartile Range0.38440

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.07946

Compounded annual return (geometric extrapolation)0.11094

Calmar ratio (compounded annual return / max draw down)0.16541

Compounded annual return / average of 25% largest draw downs0.16541

Compounded annual return / Expected Shortfall lognormal0.60218

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.11273

SD0.64421

Sharpe ratio (Glass type estimate)0.17499

Sharpe ratio (Hedges UMVUE)0.17492

df1890.00000

t0.47011

p0.50541

Lowerbound of 95% confidence interval for Sharpe Ratio0.90455

Upperbound of 95% confidence interval for Sharpe Ratio0.55458

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90448

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.55465
 Statistics related to Sortino ratio

Sortino ratio0.21544

Upside Potential Ratio2.39358

Upside part of mean1.25245

Downside part of mean1.36517

Upside SD0.37555

Downside SD0.52325

N nonnegative terms953.00000

N negative terms938.00000
 Statistics related to linear regression on benchmark

N of observations1891.00000

Mean of predictor0.27841

Mean of criterion0.11273

SD of predictor0.53020

SD of criterion0.64421

Covariance0.00709

r0.02076

b (slope, estimate of beta)0.02523

a (intercept, estimate of alpha)0.10600

Mean Square Error0.41504

DF error1889.00000

t(b)0.90252

p(b)0.51322

t(a)0.44057

p(a)0.50645

Lowerbound of 95% confidence interval for beta0.08004

Upperbound of 95% confidence interval for beta0.02959

Lowerbound of 95% confidence interval for alpha0.57625

Upperbound of 95% confidence interval for alpha0.36485

Treynor index (mean / b)4.46885

Jensen alpha (a)0.10570
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.34061

SD3.33213

Sharpe ratio (Glass type estimate)0.40233

Sharpe ratio (Hedges UMVUE)0.40217

df1890.00000

t1.08087

p0.51243

Lowerbound of 95% confidence interval for Sharpe Ratio1.13195

Upperbound of 95% confidence interval for Sharpe Ratio0.32737

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.13183

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.32749
 Statistics related to Sortino ratio

Sortino ratio0.40441

Upside Potential Ratio0.35927

Upside part of mean1.19095

Downside part of mean2.53156

Upside SD0.33918

Downside SD3.31497

N nonnegative terms953.00000

N negative terms938.00000
 Statistics related to linear regression on benchmark

N of observations1891.00000

Mean of predictor0.13799

Mean of criterion1.34061

SD of predictor0.53130

SD of criterion3.33213

Covariance0.00956

r0.00540

b (slope, estimate of beta)0.03385

a (intercept, estimate of alpha)1.34528

Mean Square Error11.10860

DF error1889.00000

t(b)0.23459

p(b)0.49656

t(a)1.08423

p(a)0.51587

Lowerbound of 95% confidence interval for beta0.24915

Upperbound of 95% confidence interval for beta0.31685

Lowerbound of 95% confidence interval for alpha3.77870

Upperbound of 95% confidence interval for alpha1.08814

Treynor index (mean / b)39.60230

Jensen alpha (a)1.34528
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.29088

Expected Shortfall on VaR0.34749
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01129

Expected Shortfall on VaR0.02721
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1891.00000

Minimum0.00015

Quartile 10.99894

Median1.00000

Quartile 31.00111

Maximum1.40861

Mean of quarter 10.97950

Mean of quarter 20.99967

Mean of quarter 31.00027

Mean of quarter 41.01884

Inter Quartile Range0.00216

Number outliers low257.00000

Percentage of outliers low0.13591

Mean of outliers low0.96418

Number of outliers high276.00000

Percentage of outliers high0.14596

Mean of outliers high1.03052
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.36662

VaR(95%) (moments method)0.01232

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.99685

VaR(95%) (regression method)0.01072

Expected Shortfall (regression method)3.83850
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00141

Quartile 10.05350

Median0.09678

Quartile 30.16560

Maximum0.99996

Mean of quarter 10.02520

Mean of quarter 20.07904

Mean of quarter 30.12690

Mean of quarter 40.45757

Inter Quartile Range0.11211

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.14286

Mean of outliers high0.70573
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.09517

VaR(95%) (moments method)0.42439

Expected Shortfall (moments method)0.57466

Extreme Value Index (regression method)0.78530

VaR(95%) (regression method)0.84284

Expected Shortfall (regression method)4.22003
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.13854

Compounded annual return (geometric extrapolation)0.73831

Calmar ratio (compounded annual return / max draw down)0.73835

Compounded annual return / average of 25% largest draw downs1.61356

Compounded annual return / Expected Shortfall lognormal2.12471

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

Mean3.38917

SD1.57145

Sharpe ratio (Glass type estimate)2.15671

Sharpe ratio (Hedges UMVUE)2.14425

df130.00000

t1.52503

p0.56629

Lowerbound of 95% confidence interval for Sharpe Ratio4.93677

Upperbound of 95% confidence interval for Sharpe Ratio0.63146

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.92828

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.63979
 Statistics related to Sortino ratio

Sortino ratio2.14601

Upside Potential Ratio0.03079

Upside part of mean0.04863

Downside part of mean3.43780

Upside SD0.01736

Downside SD1.57929

N nonnegative terms67.00000

N negative terms64.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.94534

Mean of criterion3.38917

SD of predictor0.57436

SD of criterion1.57145

Covariance0.03268

r0.03620

b (slope, estimate of beta)0.09905

a (intercept, estimate of alpha)3.48281

Mean Square Error2.48535

DF error129.00000

t(b)0.41146

p(b)0.47696

t(a)1.55407

p(a)0.58604

Lowerbound of 95% confidence interval for beta0.37725

Upperbound of 95% confidence interval for beta0.57535

Lowerbound of 95% confidence interval for alpha7.91686

Upperbound of 95% confidence interval for alpha0.95124

Treynor index (mean / b)34.21590

Jensen alpha (a)3.48281
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean19.39320

SD12.51410

Sharpe ratio (Glass type estimate)1.54970

Sharpe ratio (Hedges UMVUE)1.54075

df130.00000

t1.09581

p0.54783

Lowerbound of 95% confidence interval for Sharpe Ratio4.32500

Upperbound of 95% confidence interval for Sharpe Ratio1.23140

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.31887

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.23738
 Statistics related to Sortino ratio

Sortino ratio1.54852

Upside Potential Ratio0.00387

Upside part of mean0.04848

Downside part of mean19.44170

Upside SD0.01727

Downside SD12.52370

N nonnegative terms67.00000

N negative terms64.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.76222

Mean of criterion19.39320

SD of predictor0.62321

SD of criterion12.51410

Covariance0.29978

r0.03844

b (slope, estimate of beta)0.77185

a (intercept, estimate of alpha)19.98150

Mean Square Error157.58400

DF error129.00000

t(b)0.43690

p(b)0.47553

t(a)1.12231

p(a)0.56250

VAR (95 Confidence Intrvl)0.29100

Lowerbound of 95% confidence interval for beta2.72348

Upperbound of 95% confidence interval for beta4.26717

Lowerbound of 95% confidence interval for alpha55.20710

Upperbound of 95% confidence interval for alpha15.24410

Treynor index (mean / b)25.12570

Jensen alpha (a)19.98150
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.73964

Expected Shortfall on VaR0.80458
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02806

Expected Shortfall on VaR0.06822
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.00015

Quartile 10.99975

Median1.00000

Quartile 31.00007

Maximum1.01173

Mean of quarter 10.94803

Mean of quarter 20.99988

Mean of quarter 31.00001

Mean of quarter 41.00073

Inter Quartile Range0.00032

Number outliers low16.00000

Percentage of outliers low0.12214

Mean of outliers low0.89329

Number of outliers high6.00000

Percentage of outliers high0.04580

Mean of outliers high1.00298
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)2.37097

VaR(95%) (moments method)0.00290

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)3.87927

VaR(95%) (regression method)0.00134

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00006

Quartile 10.00017

Median0.00031

Quartile 30.00031

Maximum0.99994

Mean of quarter 10.00009

Mean of quarter 20.00031

Mean of quarter 30.00031

Mean of quarter 40.50012

Inter Quartile Range0.00014

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.16667

Mean of outliers high0.99994
 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 Negative1.00%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?284002000

Max Equity Drawdown (num days)16
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.99988

Compounded annual return (geometric extrapolation)1.00000

Calmar ratio (compounded annual return / max draw down)1.00006

Compounded annual return / average of 25% largest draw downs1.99951

Compounded annual return / Expected Shortfall lognormal1.24288
Strategy Description
Signals are issued after market hours EASY TO TRADE
My goal is to achieve 35% annualized return consistently while limiting risk. (S&P500 max drawdown 41%, vs. Bottoms up of 18%!!! )
Generally look for 713% gain on average trade, if gain doesnt pan out, will close out position between 2 and 4 weeks. Up to 1215 open positions at any time (with each position averaging between 58% of total portfolio CONSERVATIVE SYSTEM) Targets and stop losses are set with most signals. Average trade length is 2 weeks.
Limit orders are placed above market price to avoid slippage its basically a market order, but allows the C2 results to mimic real life.
For the most part I usually try to exit the trade within a few days to a couple of weeks. I am available for any further questions and also make myself available for emailing.
As of April 1, 2006, went to an EOD(after market close) signals.
As of 2/1/2007 the system will no longer trade Options in the system. If when I am sending the signals, and you are interested in buying an option on the underlying security, email me and I will be more than happy to advise. I only did 4 options trades up to this point, and want to target my system to "stock" traders, since I was getting 99% of all my profits from stocks anyways. If you are interested in my options trading service, click on my other systemspy options.
disclaimer: Past results are not indicative of future results.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
If you designate your strategy as Private, it will no longer be visible to the public.
No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.
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(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
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This strategy is no longer visible to the public. No subscribers will be allowed.
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Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.