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%  (0.1%)  (0.3%)  (1.3%) 
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  $1,604  
Cash  $12,670  
Equity  ($11,066)  
Cumulative $  ($685)  
Includes dividends and cashsettled expirations:  $651  Itemized 
Total System Equity  $9,314  
Margined  $0  
Open P/L  ($11,066) 
Trading Record
Statistics

Strategy began8/23/2006

Suggested Minimum Cap$10,000

Strategy Age (days)5201.32

Age174 months ago

What it tradesStocks

# Trades525

# Profitable244

% Profitable46.50%

Avg trade duration25.1 days

Max peaktovalley drawdown80.97%

drawdown periodMarch 11, 2008  Nov 19, 2020

Annual Return (Compounded)6.6%

Avg win$154.17

Avg loss$138.63
 Model Account Values (Raw)

Cash$12,670

Margin Used$0

Buying Power$1,604
 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)238.25%

Correlation to SP5000.04840

Return Percent SP500 (cumu) during strategy life181.16%
 Return Statistics

Ann Return (w trading costs)6.6%
 Slump

Current Slump as Pcnt Equity425.60%
 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)0.066%
 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)$38,954.000
 Age

Num Months filled monthly returns table172
 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)36169.90

Avg Position Time (hrs)602.83

Avg Trade Length25.1 days

Last Trade Ago3781
 Regression

Alpha0.01

Beta0.05

Treynor Index0.32
 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 trades12.634

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

Mean0.05985

SD0.26836

Sharpe ratio (Glass type estimate)0.22303

Sharpe ratio (Hedges UMVUE)0.22103

df84.00000

t0.59357

p0.72280

Lowerbound of 95% confidence interval for Sharpe Ratio0.95957

Upperbound of 95% confidence interval for Sharpe Ratio0.51481

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95821

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.51616
 Statistics related to Sortino ratio

Sortino ratio0.26510

Upside Potential Ratio0.72796

Upside part of mean0.16435

Downside part of mean0.22421

Upside SD0.14317

Downside SD0.22577

N nonnegative terms25.00000

N negative terms60.00000
 Statistics related to linear regression on benchmark

N of observations85.00000

Mean of predictor0.10798

Mean of criterion0.05985

SD of predictor0.23554

SD of criterion0.26836

Covariance0.00583

r0.09230

b (slope, estimate of beta)0.10517

a (intercept, estimate of alpha)0.07121

Mean Square Error0.07227

DF error83.00000

t(b)0.84454

p(b)0.20040

t(a)0.69882

p(a)0.75669

Lowerbound of 95% confidence interval for beta0.14251

Upperbound of 95% confidence interval for beta0.35285

Lowerbound of 95% confidence interval for alpha0.27388

Upperbound of 95% confidence interval for alpha0.13146

Treynor index (mean / b)0.56911

Jensen alpha (a)0.07121
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.10334

SD0.31347

Sharpe ratio (Glass type estimate)0.32966

Sharpe ratio (Hedges UMVUE)0.32671

df84.00000

t0.87738

p0.80861

Lowerbound of 95% confidence interval for Sharpe Ratio1.06682

Upperbound of 95% confidence interval for Sharpe Ratio0.40941

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.06479

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.41137
 Statistics related to Sortino ratio

Sortino ratio0.36333

Upside Potential Ratio0.54465

Upside part of mean0.15491

Downside part of mean0.25825

Upside SD0.13077

Downside SD0.28442

N nonnegative terms25.00000

N negative terms60.00000
 Statistics related to linear regression on benchmark

N of observations85.00000

Mean of predictor0.07982

Mean of criterion0.10334

SD of predictor0.23724

SD of criterion0.31347

Covariance0.00795

r0.10686

b (slope, estimate of beta)0.14120

a (intercept, estimate of alpha)0.11461

Mean Square Error0.09831

DF error83.00000

t(b)0.97918

p(b)0.16517

t(a)0.96822

p(a)0.83213

Lowerbound of 95% confidence interval for beta0.14561

Upperbound of 95% confidence interval for beta0.42802

Lowerbound of 95% confidence interval for alpha0.35005

Upperbound of 95% confidence interval for alpha0.12083

Treynor index (mean / b)0.73186

Jensen alpha (a)0.11461
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.14569

Expected Shortfall on VaR0.17693
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.05226

Expected Shortfall on VaR0.11462
 ORDER STATISTICS
 Quartiles of return rates

Number of observations85.00000

Minimum0.57679

Quartile 10.99246

Median0.99939

Quartile 31.00547

Maximum1.28789

Mean of quarter 10.93648

Mean of quarter 20.99720

Mean of quarter 31.00118

Mean of quarter 41.05740

Inter Quartile Range0.01300

Number outliers low9.00000

Percentage of outliers low0.10588

Mean of outliers low0.86654

Number of outliers high11.00000

Percentage of outliers high0.12941

Mean of outliers high1.09487
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.06743

VaR(95%) (moments method)0.05212

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.87472

VaR(95%) (regression method)0.04100

Expected Shortfall (regression method)0.34840
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00623

Quartile 10.02717

Median0.20770

Quartile 30.42847

Maximum0.57012

Mean of quarter 10.00623

Mean of quarter 20.03414

Mean of quarter 30.38125

Mean of quarter 40.57012

Inter Quartile Range0.40131

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)0.05844

Compounded annual return (geometric extrapolation)0.07266

Calmar ratio (compounded annual return / max draw down)0.12744

Compounded annual return / average of 25% largest draw downs0.12744

Compounded annual return / Expected Shortfall lognormal0.41066

0.00000

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

Mean0.03570

SD0.52113

Sharpe ratio (Glass type estimate)0.06851

Sharpe ratio (Hedges UMVUE)0.06848

df1858.00000

t0.18249

p0.49788

Lowerbound of 95% confidence interval for Sharpe Ratio0.66729

Upperbound of 95% confidence interval for Sharpe Ratio0.80431

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.66732

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80428
 Statistics related to Sortino ratio

Sortino ratio0.09972

Upside Potential Ratio3.51834

Upside part of mean1.25967

Downside part of mean1.22397

Upside SD0.37849

Downside SD0.35803

N nonnegative terms750.00000

N negative terms1109.00000
 Statistics related to linear regression on benchmark

N of observations1859.00000

Mean of predictor0.23439

Mean of criterion0.03570

SD of predictor0.53381

SD of criterion0.52113

Covariance0.00983

r0.03533

b (slope, estimate of beta)0.03450

a (intercept, estimate of alpha)0.04400

Mean Square Error0.27139

DF error1857.00000

t(b)1.52361

p(b)0.52249

t(a)0.22382

p(a)0.49669

Lowerbound of 95% confidence interval for beta0.07890

Upperbound of 95% confidence interval for beta0.00991

Lowerbound of 95% confidence interval for alpha0.33992

Upperbound of 95% confidence interval for alpha0.42749

Treynor index (mean / b)1.03501

Jensen alpha (a)0.04379
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.10342

SD0.53428

Sharpe ratio (Glass type estimate)0.19356

Sharpe ratio (Hedges UMVUE)0.19348

df1858.00000

t0.51559

p0.50598

Lowerbound of 95% confidence interval for Sharpe Ratio0.92939

Upperbound of 95% confidence interval for Sharpe Ratio0.54226

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92931

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.54234
 Statistics related to Sortino ratio

Sortino ratio0.25192

Upside Potential Ratio2.91610

Upside part of mean1.19709

Downside part of mean1.30051

Upside SD0.34179

Downside SD0.41051

N nonnegative terms750.00000

N negative terms1109.00000
 Statistics related to linear regression on benchmark

N of observations1859.00000

Mean of predictor0.09206

Mean of criterion0.10342

SD of predictor0.53492

SD of criterion0.53428

Covariance0.00911

r0.03189

b (slope, estimate of beta)0.03185

a (intercept, estimate of alpha)0.10048

Mean Square Error0.28532

DF error1857.00000

t(b)1.37494

p(b)0.52030

t(a)0.50106

p(a)0.50740

Lowerbound of 95% confidence interval for beta0.07729

Upperbound of 95% confidence interval for beta0.01358

Lowerbound of 95% confidence interval for alpha0.49379

Upperbound of 95% confidence interval for alpha0.29282

Treynor index (mean / b)3.24678

Jensen alpha (a)0.10048
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05322

Expected Shortfall on VaR0.06612
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01159

Expected Shortfall on VaR0.02682
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1859.00000

Minimum0.57769

Quartile 10.99894

Median1.00000

Quartile 31.00116

Maximum1.40861

Mean of quarter 10.98190

Mean of quarter 20.99966

Mean of quarter 31.00030

Mean of quarter 41.01911

Inter Quartile Range0.00222

Number outliers low252.00000

Percentage of outliers low0.13556

Mean of outliers low0.96856

Number of outliers high266.00000

Percentage of outliers high0.14309

Mean of outliers high1.03147
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.32333

VaR(95%) (moments method)0.01178

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.91395

VaR(95%) (regression method)0.01049

Expected Shortfall (regression method)0.14044
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00141

Quartile 10.05350

Median0.09678

Quartile 30.16560

Maximum0.58157

Mean of quarter 10.02520

Mean of quarter 20.07904

Mean of quarter 30.12690

Mean of quarter 40.35297

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 high0.49654
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.69526

VaR(95%) (moments method)0.37460

Expected Shortfall (moments method)0.38668

Extreme Value Index (regression method)0.41582

VaR(95%) (regression method)0.56810

Expected Shortfall (regression method)0.68506
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.05846

Compounded annual return (geometric extrapolation)0.07273

Calmar ratio (compounded annual return / max draw down)0.12506

Compounded annual return / average of 25% largest draw downs0.20605

Compounded annual return / Expected Shortfall lognormal1.09997

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

Mean0.88900

SD0.59754

Sharpe ratio (Glass type estimate)1.48778

Sharpe ratio (Hedges UMVUE)1.47918

df130.00000

t1.05202

p0.54594

Lowerbound of 95% confidence interval for Sharpe Ratio4.26270

Upperbound of 95% confidence interval for Sharpe Ratio1.29270

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.25681

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.29845
 Statistics related to Sortino ratio

Sortino ratio1.48778

Upside Potential Ratio0.07081

Upside part of mean0.04231

Downside part of mean0.93131

Upside SD0.01711

Downside SD0.59753

N nonnegative terms34.00000

N negative terms97.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.62535

Mean of criterion0.88900

SD of predictor0.58582

SD of criterion0.59754

Covariance0.01252

r0.03576

b (slope, estimate of beta)0.03647

a (intercept, estimate of alpha)0.86619

Mean Square Error0.35936

DF error129.00000

t(b)0.40639

p(b)0.52276

t(a)1.01950

p(a)0.55684

Lowerbound of 95% confidence interval for beta0.21404

Upperbound of 95% confidence interval for beta0.14110

Lowerbound of 95% confidence interval for alpha2.54719

Upperbound of 95% confidence interval for alpha0.81481

Treynor index (mean / b)24.37430

Jensen alpha (a)0.86619
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.14204

SD0.77621

Sharpe ratio (Glass type estimate)1.47130

Sharpe ratio (Hedges UMVUE)1.46280

df130.00000

t1.04037

p0.54543

Lowerbound of 95% confidence interval for Sharpe Ratio4.24610

Upperbound of 95% confidence interval for Sharpe Ratio1.30905

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.24030

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.31470
 Statistics related to Sortino ratio

Sortino ratio1.47120

Upside Potential Ratio0.05432

Upside part of mean0.04216

Downside part of mean1.18421

Upside SD0.01702

Downside SD0.77627

N nonnegative terms34.00000

N negative terms97.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.43606

Mean of criterion1.14204

SD of predictor0.63458

SD of criterion0.77621

Covariance0.01478

r0.03002

b (slope, estimate of beta)0.03671

a (intercept, estimate of alpha)1.12603

Mean Square Error0.60663

DF error129.00000

t(b)0.34106

p(b)0.51911

t(a)1.02137

p(a)0.55694

VAR (95 Confidence Intrvl)0.05300

Lowerbound of 95% confidence interval for beta0.24970

Upperbound of 95% confidence interval for beta0.17627

Lowerbound of 95% confidence interval for alpha3.30732

Upperbound of 95% confidence interval for alpha1.05525

Treynor index (mean / b)31.10600

Jensen alpha (a)1.12603
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07987

Expected Shortfall on VaR0.09798
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01014

Expected Shortfall on VaR0.02365
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.57769

Quartile 10.99979

Median0.99994

Quartile 31.00011

Maximum1.01173

Mean of quarter 10.98630

Mean of quarter 20.99988

Mean of quarter 31.00002

Mean of quarter 41.00075

Inter Quartile Range0.00032

Number outliers low13.00000

Percentage of outliers low0.09924

Mean of outliers low0.96583

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)1.58682

VaR(95%) (moments method)0.00135

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)3.16919

VaR(95%) (regression method)0.00095

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

Number of observations2.00000

Minimum0.00184

Quartile 10.10834

Median0.21483

Quartile 30.32132

Maximum0.42782

Mean of quarter 10.00184

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.42782

Inter Quartile Range0.21299

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?291379000

Max Equity Drawdown (num days)4636
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.85423

Compounded annual return (geometric extrapolation)0.67180

Calmar ratio (compounded annual return / max draw down)1.57030

Compounded annual return / average of 25% largest draw downs1.57030

Compounded annual return / Expected Shortfall lognormal6.85656
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.