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%  +2.2%  (4%)  (1.1%)  (1%)  (1.2%)  (4.9%) 
2011  (0.2%)  +3.0%  (0.4%)  (0.5%)  +0.1%  +0.4%    +0.5%  +1.1%  (1.3%)  +0.6%  (1%)  +2.3% 
2012  (1%)  (0.2%)  (0.1%)  (0.1%)  +0.7%  (0.6%)  +0.3%  (0.4%)  (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%)  (4.5%) 
2015  +0.1%  (0.1%)  (0.1%)  +0.1%  (3.3%)      +0.2%  (12.6%)  +0.8%  (0.1%)  +0.2%  (14.7%) 
2016  +0.4%      (0.1%)    (0.1%)  (0.2%)  (0.1%)    +0.1%  (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%)          (64.1%)    (0.3%)  (0.2%)  (0.2%)  (64.5%)  
2020  +0.1%  +0.6%  +1.2%  (1.4%)  (1%)  (0.1%)  (0.2%)  (0.2%)  +0.1% 
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  $1,622  
Cash  $12,670  
Equity  ($11,048)  
Cumulative $  ($666)  
Includes dividends and cashsettled expirations:  $651  Itemized 
Total System Equity  $9,333  
Margined  $0  
Open P/L  ($11,048) 
Trading Record
Statistics

Strategy began8/23/2006

Suggested Minimum Cap$10,000

Strategy Age (days)5150.6

Age172 months ago

What it tradesStocks

# Trades525

# Profitable244

% Profitable46.50%

Avg trade duration24.9 days

Max peaktovalley drawdown80.91%

drawdown periodMarch 11, 2008  Aug 11, 2020

Annual Return (Compounded)6.7%

Avg win$154.17

Avg loss$138.56
 Model Account Values (Raw)

Cash$12,670

Margin Used$0

Buying Power$1,622
 Ratios

W:L ratio1.00:1

Sharpe Ratio0.24

Sortino Ratio0.26

Calmar Ratio0.125
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)220.27%

Correlation to SP5000.04830

Return Percent SP500 (cumu) during strategy life160.09%
 Return Statistics

Ann Return (w trading costs)6.7%
 Slump

Current Slump as Pcnt Equity423.10%
 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)0.067%
 Instruments

Percent Trades Options0.01%

Percent Trades Stocks0.99%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)0.5%
 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$139

Avg Win$154

Sum Trade PL (losers)$38,935.000
 Age

Num Months filled monthly returns table170
 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)35891.70

Avg Position Time (hrs)598.20

Avg Trade Length24.9 days

Last Trade Ago3731
 Regression

Alpha0.01

Beta0.05

Treynor Index0.31
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

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 trades0.02

Avg(MAE) / Avg(PL)  All trades12.696

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 trades1.021

HoldandHope Ratio0.090
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.06148

SD0.26157

Sharpe ratio (Glass type estimate)0.23503

Sharpe ratio (Hedges UMVUE)0.23292

df84.00000

t0.62552

p0.73334

Lowerbound of 95% confidence interval for Sharpe Ratio0.97164

Upperbound of 95% confidence interval for Sharpe Ratio0.50293

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97019

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.50434
 Statistics related to Sortino ratio

Sortino ratio0.27389

Upside Potential Ratio0.70167

Upside part of mean0.15749

Downside part of mean0.21896

Upside SD0.13247

Downside SD0.22445

N nonnegative terms31.00000

N negative terms54.00000
 Statistics related to linear regression on benchmark

N of observations85.00000

Mean of predictor0.11347

Mean of criterion0.06148

SD of predictor0.25047

SD of criterion0.26157

Covariance0.00353

r0.05383

b (slope, estimate of beta)0.05621

a (intercept, estimate of alpha)0.06785

Mean Square Error0.06904

DF error83.00000

t(b)0.49112

p(b)0.31232

t(a)0.68142

p(a)0.75125

Lowerbound of 95% confidence interval for beta0.17144

Upperbound of 95% confidence interval for beta0.28387

Lowerbound of 95% confidence interval for alpha0.26591

Upperbound of 95% confidence interval for alpha0.13020

Treynor index (mean / b)1.09361

Jensen alpha (a)0.06785
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.10329

SD0.30816

Sharpe ratio (Glass type estimate)0.33517

Sharpe ratio (Hedges UMVUE)0.33217

df84.00000

t0.89205

p0.81254

Lowerbound of 95% confidence interval for Sharpe Ratio1.07234

Upperbound of 95% confidence interval for Sharpe Ratio0.40397

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07031

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40597
 Statistics related to Sortino ratio

Sortino ratio0.36468

Upside Potential Ratio0.52753

Upside part of mean0.14941

Downside part of mean0.25270

Upside SD0.12050

Downside SD0.28322

N nonnegative terms31.00000

N negative terms54.00000
 Statistics related to linear regression on benchmark

N of observations85.00000

Mean of predictor0.08242

Mean of criterion0.10329

SD of predictor0.24801

SD of criterion0.30816

Covariance0.00508

r0.06644

b (slope, estimate of beta)0.08256

a (intercept, estimate of alpha)0.11009

Mean Square Error0.09568

DF error83.00000

t(b)0.60668

p(b)0.27286

t(a)0.94285

p(a)0.82575

Lowerbound of 95% confidence interval for beta0.18811

Upperbound of 95% confidence interval for beta0.35323

Lowerbound of 95% confidence interval for alpha0.34233

Upperbound of 95% confidence interval for alpha0.12215

Treynor index (mean / b)1.25105

Jensen alpha (a)0.11009
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.14353

Expected Shortfall on VaR0.17433
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04760

Expected Shortfall on VaR0.10590
 ORDER STATISTICS
 Quartiles of return rates

Number of observations85.00000

Minimum0.57699

Quartile 10.99300

Median0.99925

Quartile 31.01252

Maximum1.28789

Mean of quarter 10.93827

Mean of quarter 20.99675

Mean of quarter 31.00330

Mean of quarter 41.05331

Inter Quartile Range0.01953

Number outliers low6.00000

Percentage of outliers low0.07059

Mean of outliers low0.82098

Number of outliers high10.00000

Percentage of outliers high0.11765

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

Extreme Value Index (moments method)1.04609

VaR(95%) (moments method)0.04839

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.78994

VaR(95%) (regression method)0.04143

Expected Shortfall (regression method)0.22012
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.04831

Quartile 10.06922

Median0.22872

Quartile 30.42383

Maximum0.55157

Mean of quarter 10.04831

Mean of quarter 20.07618

Mean of quarter 30.38125

Mean of quarter 40.55157

Inter Quartile Range0.35462

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)0.05841

Compounded annual return (geometric extrapolation)0.07261

Calmar ratio (compounded annual return / max draw down)0.13164

Compounded annual return / average of 25% largest draw downs0.13164

Compounded annual return / Expected Shortfall lognormal0.41650

0.00000

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

Mean0.03593

SD0.52105

Sharpe ratio (Glass type estimate)0.06896

Sharpe ratio (Hedges UMVUE)0.06893

df1858.00000

t0.18369

p0.49787

Lowerbound of 95% confidence interval for Sharpe Ratio0.66684

Upperbound of 95% confidence interval for Sharpe Ratio0.80476

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.66687

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80473
 Statistics related to Sortino ratio

Sortino ratio0.10037

Upside Potential Ratio3.52529

Upside part of mean1.26200

Downside part of mean1.22607

Upside SD0.37841

Downside SD0.35799

N nonnegative terms751.00000

N negative terms1108.00000
 Statistics related to linear regression on benchmark

N of observations1859.00000

Mean of predictor0.22440

Mean of criterion0.03593

SD of predictor0.53307

SD of criterion0.52105

Covariance0.00982

r0.03537

b (slope, estimate of beta)0.03457

a (intercept, estimate of alpha)0.04400

Mean Square Error0.27130

DF error1857.00000

t(b)1.52527

p(b)0.52251

t(a)0.22336

p(a)0.49670

Lowerbound of 95% confidence interval for beta0.07903

Upperbound of 95% confidence interval for beta0.00988

Lowerbound of 95% confidence interval for alpha0.33994

Upperbound of 95% confidence interval for alpha0.42732

Treynor index (mean / b)1.03923

Jensen alpha (a)0.04369
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.10314

SD0.53420

Sharpe ratio (Glass type estimate)0.19308

Sharpe ratio (Hedges UMVUE)0.19300

df1858.00000

t0.51432

p0.50596

Lowerbound of 95% confidence interval for Sharpe Ratio0.92891

Upperbound of 95% confidence interval for Sharpe Ratio0.54274

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92883

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.54282
 Statistics related to Sortino ratio

Sortino ratio0.25128

Upside Potential Ratio2.92215

Upside part of mean1.19945

Downside part of mean1.30260

Upside SD0.34171

Downside SD0.41047

N nonnegative terms751.00000

N negative terms1108.00000
 Statistics related to linear regression on benchmark

N of observations1859.00000

Mean of predictor0.08248

Mean of criterion0.10314

SD of predictor0.53418

SD of criterion0.53420

Covariance0.00911

r0.03194

b (slope, estimate of beta)0.03194

a (intercept, estimate of alpha)0.10051

Mean Square Error0.28523

DF error1857.00000

t(b)1.37708

p(b)0.52033

t(a)0.50128

p(a)0.50740

Lowerbound of 95% confidence interval for beta0.07743

Upperbound of 95% confidence interval for beta0.01355

Lowerbound of 95% confidence interval for alpha0.49375

Upperbound of 95% confidence interval for alpha0.29273

Treynor index (mean / b)3.22923

Jensen alpha (a)0.10051
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05321

Expected Shortfall on VaR0.06611
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01160

Expected Shortfall on VaR0.02685
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1859.00000

Minimum0.57769

Quartile 10.99891

Median1.00000

Quartile 31.00116

Maximum1.40861

Mean of quarter 10.98188

Mean of quarter 20.99966

Mean of quarter 31.00030

Mean of quarter 41.01914

Inter Quartile Range0.00224

Number outliers low252.00000

Percentage of outliers low0.13556

Mean of outliers low0.96854

Number of outliers high267.00000

Percentage of outliers high0.14363

Mean of outliers high1.03140
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.31314

VaR(95%) (moments method)0.01185

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.90803

VaR(95%) (regression method)0.01061

Expected Shortfall (regression method)0.13302
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00141

Quartile 10.05350

Median0.09678

Quartile 30.16560

Maximum0.58103

Mean of quarter 10.02520

Mean of quarter 20.07904

Mean of quarter 30.12690

Mean of quarter 40.35284

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 high0.49627
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.69962

VaR(95%) (moments method)0.37445

Expected Shortfall (moments method)0.38644

Extreme Value Index (regression method)0.41889

VaR(95%) (regression method)0.56773

Expected Shortfall (regression method)0.68400
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.05830

Compounded annual return (geometric extrapolation)0.07248

Calmar ratio (compounded annual return / max draw down)0.12474

Compounded annual return / average of 25% largest draw downs0.20541

Compounded annual return / Expected Shortfall lognormal1.09633

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

Mean0.88563

SD0.59755

Sharpe ratio (Glass type estimate)1.48211

Sharpe ratio (Hedges UMVUE)1.47354

df130.00000

t1.04801

p0.54576

Lowerbound of 95% confidence interval for Sharpe Ratio4.25698

Upperbound of 95% confidence interval for Sharpe Ratio1.29833

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.25113

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.30405
 Statistics related to Sortino ratio

Sortino ratio1.48216

Upside Potential Ratio0.07136

Upside part of mean0.04264

Downside part of mean0.92828

Upside SD0.01711

Downside SD0.59753

N nonnegative terms35.00000

N negative terms96.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.54971

Mean of criterion0.88563

SD of predictor0.57903

SD of criterion0.59755

Covariance0.01270

r0.03672

b (slope, estimate of beta)0.03789

a (intercept, estimate of alpha)0.86481

Mean Square Error0.35935

DF error129.00000

t(b)0.41732

p(b)0.52337

t(a)1.01834

p(a)0.55678

Lowerbound of 95% confidence interval for beta0.21754

Upperbound of 95% confidence interval for beta0.14176

Lowerbound of 95% confidence interval for alpha2.54503

Upperbound of 95% confidence interval for alpha0.81542

Treynor index (mean / b)23.37220

Jensen alpha (a)0.86481
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.13868

SD0.77623

Sharpe ratio (Glass type estimate)1.46694

Sharpe ratio (Hedges UMVUE)1.45846

df130.00000

t1.03728

p0.54530

Lowerbound of 95% confidence interval for Sharpe Ratio4.24169

Upperbound of 95% confidence interval for Sharpe Ratio1.31338

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.23593

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.31901
 Statistics related to Sortino ratio

Sortino ratio1.46686

Upside Potential Ratio0.05474

Upside part of mean0.04249

Downside part of mean1.18117

Upside SD0.01702

Downside SD0.77627

N nonnegative terms35.00000

N negative terms96.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.36444

Mean of criterion1.13868

SD of predictor0.62841

SD of criterion0.77623

Covariance0.01503

r0.03080

b (slope, estimate of beta)0.03805

a (intercept, estimate of alpha)1.12481

Mean Square Error0.60662

DF error129.00000

t(b)0.35004

p(b)0.51961

t(a)1.02052

p(a)0.55690

VAR (95 Confidence Intrvl)0.05300

Lowerbound of 95% confidence interval for beta0.25312

Upperbound of 95% confidence interval for beta0.17702

Lowerbound of 95% confidence interval for alpha3.30552

Upperbound of 95% confidence interval for alpha1.05590

Treynor index (mean / b)29.92560

Jensen alpha (a)1.12481
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07986

Expected Shortfall on VaR0.09797
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01004

Expected Shortfall on VaR0.02343
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.57769

Quartile 10.99982

Median0.99994

Quartile 31.00011

Maximum1.01173

Mean of quarter 10.98635

Mean of quarter 20.99989

Mean of quarter 31.00001

Mean of quarter 41.00075

Inter Quartile Range0.00029

Number outliers low15.00000

Percentage of outliers low0.11450

Mean of outliers low0.97032

Number of outliers high7.00000

Percentage of outliers high0.05344

Mean of outliers high1.00267
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.58627

VaR(95%) (moments method)0.00134

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)3.22063

VaR(95%) (regression method)0.00094

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

Number of observations3.00000

Minimum0.00031

Quartile 10.00107

Median0.00184

Quartile 30.21446

Maximum0.42708

Mean of quarter 10.00031

Mean of quarter 20.00184

Mean of quarter 30.00000

Mean of quarter 40.42708

Inter Quartile Range0.21339

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

Last 4 Months  Pcnt Negative0.75%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?574902000

Max Equity Drawdown (num days)4536
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.85230

Compounded annual return (geometric extrapolation)0.67070

Calmar ratio (compounded annual return / max draw down)1.57042

Compounded annual return / average of 25% largest draw downs1.57042

Compounded annual return / Expected Shortfall lognormal6.84594
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.
Not available
This feature isn't available under your current Trade Leader Plan.
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.
Continue to designate your strategy as Private?
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
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.