System 1200737
(12007379)
Subscription terms. You can subscribe to this system for free.
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 Cumulative Rate of Return is calculated
= (Ending_equity - Starting_equity) / Starting_equity
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.
All results are hypothetical.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | (8.1%) | (26.8%) | +40.9% | (5.4%) | (10.3%) | ||||||||
| 2005 | +33.9% | (18.6%) | +50.4% | +22.2% | (35.9%) | (104.7%) | (746.1%) | (188.5%) | +150.7% | +69.1% | - | +19.6% | +128.8% |
| 2006 | (37.4%) | +20.5% | +17.7% | +32.6% | (60.6%) | +55.9% | (18.7%) | +118.6% | (21.4%) | - | (0.1%) | - | +1.0% |
| 2007 | - | - | - | - | +0.1% | - | - | - | (0.1%) | - | (11.4%) | - | (11.5%) |
| 2008 | (0.1%) | (0.1%) | (0.2%) | +0.1% | +2.9% | - | - | - | - | - | - | - | +2.6% |
| 2009 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2010 | - | - | - | - | - | - | - | - | - | - | - | +0.3% | +0.3% |
| 2011 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2012 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2013 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2014 | - | +3.3% | - | (0.1%) | (0.3%) | (0.1%) | (0.4%) | (0.2%) | (0.5%) | (0.1%) | +0.1% | (0.4%) | +1.3% |
| 2015 | (1.1%) | (0.4%) | (0.2%) | +0.3% | (0.4%) | - | (0.3%) | +0.6% | +0.1% | (0.4%) | (0.6%) | +0.8% | (1.5%) |
| 2016 | +0.2% | +0.3% | +0.4% | - | (0.6%) | +0.8% | +0.3% | +0.1% | +0.2% | - | - | - | +1.7% |
| 2017 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2018 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2019 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2020 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2021 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2022 | - | - | - | - | - | - | - | - | - | - | - | - | 0.0 |
| 2023 | - | (5.4%) | - | - | - | - | - | - | - | - | - | - | (5.4%) |
| 2024 | - | - | - | - | - | - | - | - |
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 | $100,000 | |
| Buy Power | $222,032 | |
| Cash | $222,032 | |
| Equity | $0 | |
| Cumulative $ | $122,032 | |
| Includes dividends and cash-settled expirations: | $527 | Itemized |
| Total System Equity | $222,032 | |
| Margined | $0 | |
| Open P/L | $0 |
Trading Record
Statistics
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Strategy began9/12/2004
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Suggested Minimum Cap$100,000
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Strategy Age (days)7292.2
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Age243 months ago
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What it tradesStocks, Futures, Forex
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# Trades636
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# Profitable359
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% Profitable56.40%
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Avg trade duration10.5 days
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Max peak-to-valley drawdown%
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drawdown periodDec , - Dec ,
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Annual return (compounded)4.1%
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Avg win$2,425
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Avg loss$2,705
- Model Account Values (Raw)
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Cash$222,032
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Margin Used$0
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Buying Power$222,032
- Ratios
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W:L ratio1.16:1
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Sharpe Ratio0.31
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Sortino Ratio0.55
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Calmar Ratio-0.012
- CORRELATION STATISTICS
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Correlation to SP500-0.02910
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Return of Strat Pcnt - Return of SP500 Pcnt (cumu)79.48%
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Return Percent SP500 (cumu) during strategy life389.66%
- Return Statistics
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Ann Return (w trading costs)12.6%
- Instruments
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Percent Trades Options0.03%
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Percent Trades Futures0.35%
- Slump
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Current Slump, time of slump as pcnt of strategy life0.91%
- Instruments
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Percent Trades Stocks0.30%
- Slump
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Current Slump as Pcnt Equity121.10%
- Return Statistics
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Return Pcnt Since TOS Statusn/a
- Instruments
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Percent Trades Forex0.31%
- Return Statistics
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Ann Return (Compnd, No Fees)4.1%
- Automation
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Percentage Signals Automatedn/a
- Trading Style
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Any stock shorts? 0/11
- Trades-Own-System Certification
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Trades Own System?-
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TOS percentn/a
- Win / Loss
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Avg Win$2,426
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Avg Loss$2,706
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Sum Trade PL (losers)$749,542.000
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Sum Trade PL (winners)$870,829.000
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# Winners359
- Dividends
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Dividends Received in Model Acct527
- Win / Loss
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Num Months Winners4
- Age
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Num Months filled monthly returns table10
- Win / Loss
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# Losers277
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% Winners56.5%
- Frequency
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Avg Position Time (mins)15148.70
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Avg Position Time (hrs)252.48
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Avg Trade Length10.5 days
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Last Trade Ago6560
- Regression
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Alpha0.00
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Beta-1.21
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Treynor Index0.00
- Maximum Adverse Excursion (MAE)
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MAE:PL (avg, all trades)3.12
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MAE:Equity, average, all trades0.10
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Avg(MAE) / Avg(PL) - All trades11.294
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MAE:Equity, losing trades only, 95th Percentile Value for this strat-
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MAE:Equity, win trades only, 95th Percentile Value for this strat-
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MAE:PL - Losing Trades - this strat Percentile of All Strats88.72
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MAE:PL - Winning Trades - this strat Percentile of All Strats94.02
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MAE:Equity, 95th Percentile Value for this strat0.00
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MAE:PL (avg, winning trades)-
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MAE:PL - worst single value for strategy-
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MAE:Equity, average, winning trades0.04
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MAE:Equity, average, losing trades0.23
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MAE:PL (avg, losing trades)-
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Avg(MAE) / Avg(PL) - Winning trades0.889
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Avg(MAE) / Avg(PL) - Losing trades-2.794
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Hold-and-Hope Ratio0.065
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to linear regression on benchmark
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a (intercept, estimate of alpha)59448.10000
- Analysis based on DAILY values, last 6 months only
- Ratio statistics of excess log return rates
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VAR (95 Confidence Intrvl)0.67700
- DRAW DOWN STATISTICS
- Risk estimates based on draw downs (based on Extreme Value T
- assuming Pareto losses only (using partial moments from Sortino statistics)
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Max Equity Drawdown (num days)3276
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Last 4 Months - Pcnt Negative0.50%
Strategy Description
The expertise of the principal establishes the foundation for an analytical discipline employing a macro, top-down, bottom-up perspective in a framework tailored to the asset allocation challenges facing investment professionals, professional & proprietary traders, brokers, accredited investors, hedge fund & asset managers whose main purpose is to maximize the ES. We are uniquely positioned to provide high value-added in the quest for superior returns with an approach geared to the portfolio investor�s need to choose from among competing asset classes on a e. high risk/e. high reward (e. aggressive) basis taking into account the difficulty of picking winners, commission, slippage costs and tax consequences. Please ignore the Drawdwn & Risk column and the Max. Drawdown figures reported by C2 as it is fraught with bad quote errors, rife with fallacies and prejudices to base any concepts on it.
Our client services are primarily delivered through collective2.com e-mails. Our Model Positions are representative positions that put our best economic forecasts to work. These are not recommendations to buy or sell specific instruments, nor are they personalized investment advice.
I filter systems using Predominantly MOO orders (independence greater than 95%); Realism Factor (honesty - greater than 80%); P/L per unit: the higher the better (reliability - non scalping methods); Max (true or realized or actual) DrawDown (pride - less than 48%) and rank the resulting results by the Expectancy Score- ES - (highly correlated with Profit Factor - self esteem) and then break a tie (less than 5% difference in ES) if any, by the Sharpe Ratio (integrity).
I filter systems using Predominantly MOO orders (independence greater than 95%); Realism Factor (honesty - greater than 80%); P/L per unit: the higher the better (reliability - non scalping methods); Max (true or realized or actual) DrawDown (pride - less than 48%) and rank the resulting results by the Expectancy Score- ES - (highly correlated with Profit Factor - self esteem) and then break a tie (less than 5% difference in ES) if any, by the Sharpe Ratio (integrity).
Model Positions are created at a size representing a fixed % of the portfolio. Larger versions of similar positions may involve market impact costs or other costs that we do not take into account. The typical portfolio% risked is 0.6667% of total equity (adjusted by the dollar volatility of the instrument) for 36 positions, assuming that the system has a positive Expectancy ((AW X PW - AL X PL) / AL) where AW=average win, PW=probability of win, AL=average loss, PL=probability of loss) & a Profit Factor (W:L ratio) greater than 1.0. Use the 0.6667% equity risk model and never risk more than 2.6667% (from algorithmic hedged scaled up/down trades) for 36 positions, assuming a 96% DrawDown at a losing streak with 1 in 40007 of ever occurring will consist of 36 consequtive losses. Min. account size recommended:$10K - mini-forex, mini-futures, ETFs/Options, $100K - futures, stocks, $1M - bonds, $10M - T-bills, $100M - forex.
The risk of a trade is defined as the dollar amount that the trade would lose per contract if it were a loss. Commonly, the trade risk is taken as the size of the money management stop applied, if any, to each trade. If your system doesn�t use protective (money management) stops, the risk can be taken as the largest historical loss over a period of 30 recent trades. This is a modification of the approach Vince adopted in his book "Portfolio Management Formulas," John Wiley & Sons, New York, 1990. http://www.adaptrade.com/Articles/article-ffps.htm
In my mind, curve fitting means either using different systems for different markets, or using different parameters of the same system for different markets, & this is not valid technical analysis. Instead, one should trade the moves, rather than markets. Some traders hold on to a position, & keep changing their systems to fit it - other traders hold on to their systems & keep changing their portfolios to fit it. If a system works on Bonds & not on Beans, this system is curve fitted over a specific set of data (Bonds) & it loses all statistical validity. To believe it will work in the future as it has worked in the past is very dangerous. I therefore take exception to any system, that either only trades one specific market (stocks or forex) or group of markets (Energy), or trades different markets using different parameters or rules of the same system. All this proves is what has worked best in the past, & this will usually not continue to work in the future, as there is no correlation under this scenario as history wont ever repeat itself exactly.
Trader Mike says: "Expectancy, position-sizing & other aspects of money management are far more important than discovering the holygrail entry system or indicator(s)." http://tradermike.net/2004/05/trading_101_expectancy.html Alex Matulich says: "Expectancy score is a better, more objective measure than the Sharpe Ratio for evaluating the relative performance of different trading strategies." http://unicorn.us.com/trading/expectancy.html Harry M. Kat says "Overall portfolio standard deviation can be reduced further by combining both hedge funds & managed futures with stocks & bonds" http://www.capmgt.com/managed-futures-and-hedge-funds.html Dr. David Druz says, "The more robust a system, the more volatile it tends to be! This is because robust systems are not optimized to particular markets or market conditions. The converse is also true. You can design systems with excellent returns & low volatility on historical testing, but which work only for given periods in given markets. These systems tend to be curve-fit or market-fit & are not robust." This quote comes from: http://www.tacticalnet.com/cgi-bin/t2.exe/VolatiltiyPaper.htm
Day-trading systems specialize in one market, do very well for a while & then suddenly fall to pieces. Many day-trading systems are taking extremely large positions which, in the event of any large intra-day moves or breakdown in exchange trading functions or server outages which happen from time to time, expose the account to wipe-out, even negative equity. Please also note that as with many systems that go for longer terms moves (although not all trades do this), the open equity plot favoured here at C2 sometimes provides a misleading, or we should say incomplete, picture. The most important negative points are those that involve actual (realized) account losses, which are not the same as an open equity (unrealized) drawdown. There are going to be open drawdowns. But in order to get the big moves, you have to be willing to give those profits a chance to run. Mosttimes it works, sometimes it doesnt. What is not shown here on the C2 graph is the closed equity line. Usually, though not always, it shows a far smoother ride than looking at the open equity plot alone, which does tend to oscillate far more, and also with far larger moves than any day-trading system would permit. Also, options on forex & futures are not yet available at C2, which makes it difficult to hedge your positions for longer-term investing, with the result it appears that the day-trading systems at C2 encounter lower drawdowns; but in reality, the intra day drawdowns they encounter is not shown at C2; instead they show end-of-day drawdowns which essentially is a closed equity plot for day trading systems. "All that glisters is not Gold" - Shakespeare http://www.dontloseyourass.com
Out-of-sample data is essential for system validation. Robustness (a term used to describe a system or method that works under many market conditions), rather than peak performance, is the key to a useful system - Kaufman, Trading Systems & Methods" The systems that have withstood the test of time (robust) have very few parameters & very simple methods - Hill, Truth In Futures
Latest Activity
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
- Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
- Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
- All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
- "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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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.