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  (0.1%)  (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  $1,590  
Cash  $12,670  
Equity  ($11,080)  
Cumulative $  ($698)  
Includes dividends and cashsettled expirations:  $651  Itemized 
Total System Equity  $9,301  
Margined  $0  
Open P/L  ($11,080) 
Trading Record
Statistics

Strategy began8/23/2006

Suggested Minimum Cap$10,000

Strategy Age (days)5262.87

Age176 months ago

What it tradesStocks

# Trades525

# Profitable244

% Profitable46.50%

Avg trade duration25.4 days

Max peaktovalley drawdown81.73%

drawdown periodMarch 10, 2008  Jan 16, 2021

Annual Return (Compounded)6.8%

Avg win$154.17

Avg loss$138.67
 Model Account Values (Raw)

Cash$12,670

Margin Used$0

Buying Power$1,590
 Ratios

W:L ratio1.00:1

Sharpe Ratio0.24

Sortino Ratio0.26

Calmar Ratio0.124
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)257.62%

Correlation to SP5000.04890

Return Percent SP500 (cumu) during strategy life197.10%
 Return Statistics

Ann Return (w trading costs)6.8%
 Slump

Current Slump as Pcnt Equity447.30%
 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)0.068%
 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)350
 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)$38,967.000
 Age

Num Months filled monthly returns table174
 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)36507.60

Avg Position Time (hrs)608.46

Avg Trade Length25.4 days

Last Trade Ago3843
 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 trades12.597

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

Mean0.03354

SD0.26157

Sharpe ratio (Glass type estimate)0.12821

Sharpe ratio (Hedges UMVUE)0.12707

df84.00000

t0.34123

p0.63311

Lowerbound of 95% confidence interval for Sharpe Ratio0.86454

Upperbound of 95% confidence interval for Sharpe Ratio0.60883

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86374

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60961
 Statistics related to Sortino ratio

Sortino ratio0.15089

Upside Potential Ratio0.75715

Upside part of mean0.16828

Downside part of mean0.20182

Upside SD0.13530

Downside SD0.22226

N nonnegative terms36.00000

N negative terms49.00000
 Statistics related to linear regression on benchmark

N of observations85.00000

Mean of predictor0.14141

Mean of criterion0.03354

SD of predictor0.25047

SD of criterion0.26157

Covariance0.00353

r0.05383

b (slope, estimate of beta)0.05621

a (intercept, estimate of alpha)0.04149

Mean Square Error0.06904

DF error83.00000

t(b)0.49112

p(b)0.31232

t(a)0.41467

p(a)0.66027

Lowerbound of 95% confidence interval for beta0.17144

Upperbound of 95% confidence interval for beta0.28387

Lowerbound of 95% confidence interval for alpha0.24047

Upperbound of 95% confidence interval for alpha0.15750

Treynor index (mean / b)0.59659

Jensen alpha (a)0.04149
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.07538

SD0.30816

Sharpe ratio (Glass type estimate)0.24461

Sharpe ratio (Hedges UMVUE)0.24242

df84.00000

t0.65103

p0.74160

Lowerbound of 95% confidence interval for Sharpe Ratio0.98125

Upperbound of 95% confidence interval for Sharpe Ratio0.49346

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97976

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.49491
 Statistics related to Sortino ratio

Sortino ratio0.26805

Upside Potential Ratio0.56965

Upside part of mean0.16019

Downside part of mean0.23557

Upside SD0.12344

Downside SD0.28121

N nonnegative terms36.00000

N negative terms49.00000
 Statistics related to linear regression on benchmark

N of observations85.00000

Mean of predictor0.11032

Mean of criterion0.07538

SD of predictor0.24801

SD of criterion0.30816

Covariance0.00508

r0.06644

b (slope, estimate of beta)0.08256

a (intercept, estimate of alpha)0.08449

Mean Square Error0.09568

DF error83.00000

t(b)0.60668

p(b)0.27286

t(a)0.72095

p(a)0.76352

Lowerbound of 95% confidence interval for beta0.18811

Upperbound of 95% confidence interval for beta0.35323

Lowerbound of 95% confidence interval for alpha0.31757

Upperbound of 95% confidence interval for alpha0.14860

Treynor index (mean / b)0.91303

Jensen alpha (a)0.08449
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.14153

Expected Shortfall on VaR0.17241
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04100

Expected Shortfall on VaR0.09318
 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 lognormal0.42114

0.00000

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

Mean0.06295

SD0.51937

Sharpe ratio (Glass type estimate)0.12120

Sharpe ratio (Hedges UMVUE)0.12115

df1870.00000

t0.32389

p0.49626

Lowerbound of 95% confidence interval for Sharpe Ratio0.61224

Upperbound of 95% confidence interval for Sharpe Ratio0.85465

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.61229

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85460
 Statistics related to Sortino ratio

Sortino ratio0.17659

Upside Potential Ratio3.55081

Upside part of mean1.26577

Downside part of mean1.20282

Upside SD0.37755

Downside SD0.35647

N nonnegative terms938.00000

N negative terms933.00000
 Statistics related to linear regression on benchmark

N of observations1871.00000

Mean of predictor0.26946

Mean of criterion0.06295

SD of predictor0.53254

SD of criterion0.51937

Covariance0.00978

r0.03537

b (slope, estimate of beta)0.03450

a (intercept, estimate of alpha)0.07200

Mean Square Error0.26955

DF error1869.00000

t(b)1.53011

p(b)0.52251

t(a)0.37167

p(a)0.49453

Lowerbound of 95% confidence interval for beta0.07871

Upperbound of 95% confidence interval for beta0.00972

Lowerbound of 95% confidence interval for alpha0.30898

Upperbound of 95% confidence interval for alpha0.45347

Treynor index (mean / b)1.82481

Jensen alpha (a)0.07224
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.07523

SD0.53248

Sharpe ratio (Glass type estimate)0.14129

Sharpe ratio (Hedges UMVUE)0.14123

df1870.00000

t0.37757

p0.50437

Lowerbound of 95% confidence interval for Sharpe Ratio0.87474

Upperbound of 95% confidence interval for Sharpe Ratio0.59216

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.87468

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.59221
 Statistics related to Sortino ratio

Sortino ratio0.18403

Upside Potential Ratio2.94417

Upside part of mean1.20362

Downside part of mean1.27886

Upside SD0.34099

Downside SD0.40882

N nonnegative terms938.00000

N negative terms933.00000
 Statistics related to linear regression on benchmark

N of observations1871.00000

Mean of predictor0.12780

Mean of criterion0.07523

SD of predictor0.53364

SD of criterion0.53248

Covariance0.00907

r0.03191

b (slope, estimate of beta)0.03184

a (intercept, estimate of alpha)0.07117

Mean Square Error0.28340

DF error1869.00000

t(b)1.38032

p(b)0.52031

t(a)0.35720

p(a)0.50526

Lowerbound of 95% confidence interval for beta0.07709

Upperbound of 95% confidence interval for beta0.01340

Lowerbound of 95% confidence interval for alpha0.46191

Upperbound of 95% confidence interval for alpha0.31958

Treynor index (mean / b)2.36270

Jensen alpha (a)0.07117
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05294

Expected Shortfall on VaR0.06580
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01004

Expected Shortfall on VaR0.02380
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1871.00000

Minimum0.57769

Quartile 10.99893

Median1.00000

Quartile 31.00114

Maximum1.40861

Mean of quarter 10.98198

Mean of quarter 20.99966

Mean of quarter 31.00029

Mean of quarter 41.01903

Inter Quartile Range0.00221

Number outliers low254.00000

Percentage of outliers low0.13576

Mean of outliers low0.96875

Number of outliers high270.00000

Percentage of outliers high0.14431

Mean of outliers high1.03110
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.31960

VaR(95%) (moments method)0.01182

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.91575

VaR(95%) (regression method)0.01048

Expected Shortfall (regression method)0.14297
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations14.00000

Minimum0.00141

Quartile 10.05350

Median0.09678

Quartile 30.16560

Maximum0.58219

Mean of quarter 10.02520

Mean of quarter 20.07904

Mean of quarter 30.12690

Mean of quarter 40.35313

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 high0.49685
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.69018

VaR(95%) (moments method)0.37478

Expected Shortfall (moments method)0.38695

Extreme Value Index (regression method)0.41225

VaR(95%) (regression method)0.56852

Expected Shortfall (regression method)0.68629
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.05821

Compounded annual return (geometric extrapolation)0.07247

Calmar ratio (compounded annual return / max draw down)0.12448

Compounded annual return / average of 25% largest draw downs0.20524

Compounded annual return / Expected Shortfall lognormal1.10136

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

Mean0.86410

SD0.59752

Sharpe ratio (Glass type estimate)1.44614

Sharpe ratio (Hedges UMVUE)1.43779

df130.00000

t1.02258

p0.54466

Lowerbound of 95% confidence interval for Sharpe Ratio4.22086

Upperbound of 95% confidence interval for Sharpe Ratio1.33389

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.21510

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.33952
 Statistics related to Sortino ratio

Sortino ratio1.44650

Upside Potential Ratio0.08343

Upside part of mean0.04984

Downside part of mean0.91394

Upside SD0.01737

Downside SD0.59737

N nonnegative terms61.00000

N negative terms70.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.85653

Mean of criterion0.86410

SD of predictor0.57364

SD of criterion0.59752

Covariance0.01182

r0.03447

b (slope, estimate of beta)0.03591

a (intercept, estimate of alpha)0.83334

Mean Square Error0.35937

DF error129.00000

t(b)0.39177

p(b)0.52194

t(a)0.97878

p(a)0.55459

Lowerbound of 95% confidence interval for beta0.21725

Upperbound of 95% confidence interval for beta0.14543

Lowerbound of 95% confidence interval for alpha2.51788

Upperbound of 95% confidence interval for alpha0.85119

Treynor index (mean / b)24.06450

Jensen alpha (a)0.83334
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.11714

SD0.77619

Sharpe ratio (Glass type estimate)1.43926

Sharpe ratio (Hedges UMVUE)1.43094

df130.00000

t1.01771

p0.54445

Lowerbound of 95% confidence interval for Sharpe Ratio4.21392

Upperbound of 95% confidence interval for Sharpe Ratio1.34073

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.20819

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.34632
 Statistics related to Sortino ratio

Sortino ratio1.43942

Upside Potential Ratio0.06403

Upside part of mean0.04969

Downside part of mean1.16683

Upside SD0.01728

Downside SD0.77611

N nonnegative terms61.00000

N negative terms70.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.67411

Mean of criterion1.11714

SD of predictor0.62248

SD of criterion0.77619

Covariance0.01385

r0.02867

b (slope, estimate of beta)0.03574

a (intercept, estimate of alpha)1.09305

Mean Square Error0.60665

DF error129.00000

t(b)0.32571

p(b)0.51825

t(a)0.99010

p(a)0.55522

VAR (95 Confidence Intrvl)0.05300

Lowerbound of 95% confidence interval for beta0.25287

Upperbound of 95% confidence interval for beta0.18138

Lowerbound of 95% confidence interval for alpha3.27730

Upperbound of 95% confidence interval for alpha1.09121

Treynor index (mean / b)31.25380

Jensen alpha (a)1.09305
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07978

Expected Shortfall on VaR0.09789
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00794

Expected Shortfall on VaR0.01922
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.57769

Quartile 10.99977

Median0.99994

Quartile 31.00011

Maximum1.01173

Mean of quarter 10.98629

Mean of quarter 20.99987

Mean of quarter 31.00001

Mean of quarter 41.00074

Inter Quartile Range0.00034

Number outliers low13.00000

Percentage of outliers low0.09924

Mean of outliers low0.96584

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)1.58327

VaR(95%) (moments method)0.00134

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)3.22464

VaR(95%) (regression method)0.00094

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

Number of observations3.00000

Minimum0.00018

Quartile 10.00080

Median0.00141

Quartile 30.21504

Maximum0.42868

Mean of quarter 10.00018

Mean of quarter 20.00141

Mean of quarter 30.00000

Mean of quarter 40.42868

Inter Quartile Range0.21425

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 Negative1.00%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?310581000

Max Equity Drawdown (num days)4698
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.85595

Compounded annual return (geometric extrapolation)0.67279

Calmar ratio (compounded annual return / max draw down)1.56945

Compounded annual return / average of 25% largest draw downs1.56945

Compounded annual return / Expected Shortfall lognormal6.87276
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.