Risk Reward Trades
(135643435)
Subscription terms. Subscriptions to this system cost $199.00 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.
Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  +9.8%  +21.9%  (10.2%)  +3.3%  (13.1%)  +7.9% 
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  $50,000  
Buy Power  $8,047  
Cash  $1  
Equity  $1  
Cumulative $  $5,231  
Total System Equity  $55,231  
Margined  $1  
Open P/L  ($12,435)  
Data has been delayed by 12 hours for nonsubscribers 
System developer has asked us to delay this information by 12 hours.
Trading Record
Statistics

Strategy began5/17/2021

Suggested Minimum Cap$15,000

Strategy Age (days)133.98

Age134 days ago

What it tradesStocks

# Trades27

# Profitable16

% Profitable59.30%

Avg trade duration31.8 days

Max peaktovalley drawdown23.21%

drawdown periodJune 29, 2021  Aug 19, 2021

Cumul. Return7.9%

Avg win$1,487

Avg loss$1,688
 Model Account Values (Raw)

Cash$20,482

Margin Used$0

Buying Power$8,047
 Ratios

W:L ratio1.28:1

Sharpe Ratio0.88

Sortino Ratio1.42

Calmar Ratio1.395
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)1.17%

Correlation to SP5000.19920

Return Percent SP500 (cumu) during strategy life6.72%
 Return Statistics

Ann Return (w trading costs)22.5%
 Slump

Current Slump as Pcnt Equity20.30%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.67%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.079%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)30.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss46.00%

Chance of 20% account loss8.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 60% 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 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)459

Popularity (Last 6 weeks)755
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score759

Popularity (7 days, Percentile 1000 scale)290
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$1,688

Avg Win$1,488

Sum Trade PL (losers)$18,572.000
 AUM

AUM (AutoTrader num accounts)2
 Age

Num Months filled monthly returns table5
 Win / Loss

Sum Trade PL (winners)$23,802.000

# Winners16

Num Months Winners3
 Dividends

Dividends Received in Model Acct0
 AUM

AUM (AutoTrader live capital)82642
 Win / Loss

# Losers11

% Winners59.3%
 Frequency

Avg Position Time (mins)45787.20

Avg Position Time (hrs)763.12

Avg Trade Length31.8 days

Last Trade Ago32
 Leverage

Daily leverage (average)1.14

Daily leverage (max)1.68
 Regression

Alpha0.07

Beta0.77

Treynor Index0.14
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.41

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.04

Avg(MAE) / Avg(PL)  All trades12.735

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 strat0.02

Avg(MAE) / Avg(PL)  Winning trades0.406

Avg(MAE) / Avg(PL)  Losing trades1.131

HoldandHope Ratio0.156
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.50814

SD0.39022

Sharpe ratio (Glass type estimate)1.30219

Sharpe ratio (Hedges UMVUE)0.94226

df3.00000

t0.75182

p0.25338

Lowerbound of 95% confidence interval for Sharpe Ratio2.32794

Upperbound of 95% confidence interval for Sharpe Ratio4.74587

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.53521

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.41974
 Statistics related to Sortino ratio

Sortino ratio5.08382

Upside Potential Ratio7.06232

Upside part of mean0.70590

Downside part of mean0.19776

Upside SD0.35459

Downside SD0.09995

N nonnegative terms2.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.19491

Mean of criterion0.50814

SD of predictor0.03260

SD of criterion0.39022

Covariance0.00713

r0.56018

b (slope, estimate of beta)6.70492

a (intercept, estimate of alpha)1.81500

Mean Square Error0.15673

DF error2.00000

t(b)0.95636

p(b)0.78009

t(a)1.18714

p(a)0.17853

Lowerbound of 95% confidence interval for beta36.87030

Upperbound of 95% confidence interval for beta23.46050

Lowerbound of 95% confidence interval for alpha4.76328

Upperbound of 95% confidence interval for alpha8.39328

Treynor index (mean / b)0.07579

Jensen alpha (a)1.81500
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.44638

SD0.36193

Sharpe ratio (Glass type estimate)1.23331

Sharpe ratio (Hedges UMVUE)0.89242

df3.00000

t0.71205

p0.26391

Lowerbound of 95% confidence interval for Sharpe Ratio2.37827

Upperbound of 95% confidence interval for Sharpe Ratio4.66676

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.57662

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.36147
 Statistics related to Sortino ratio

Sortino ratio4.35021

Upside Potential Ratio6.32332

Upside part of mean0.64884

Downside part of mean0.20246

Upside SD0.32299

Downside SD0.10261

N nonnegative terms2.00000

N negative terms2.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.19251

Mean of criterion0.44638

SD of predictor0.03204

SD of criterion0.36193

Covariance0.00672

r0.57939

b (slope, estimate of beta)6.54578

a (intercept, estimate of alpha)1.70653

Mean Square Error0.13053

DF error2.00000

t(b)1.00530

p(b)0.78969

t(a)1.21806

p(a)0.17370

Lowerbound of 95% confidence interval for beta34.56140

Upperbound of 95% confidence interval for beta21.46980

Lowerbound of 95% confidence interval for alpha4.32160

Upperbound of 95% confidence interval for alpha7.73467

Treynor index (mean / b)0.06819

Jensen alpha (a)1.70653
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.12599

Expected Shortfall on VaR0.16270
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03845

Expected Shortfall on VaR0.06830
 ORDER STATISTICS
 Quartiles of return rates

Number of observations4.00000

Minimum0.94531

Quartile 10.98140

Median1.01453

Quartile 31.07781

Maximum1.20432

Mean of quarter 10.94531

Mean of quarter 20.99343

Mean of quarter 31.03563

Mean of quarter 41.20432

Inter Quartile Range0.09641

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 for a oneperiod unit investment (based on Ex

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
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.06090

Quartile 10.06090

Median0.06090

Quartile 30.06090

Maximum0.06090

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)0.51383

Compounded annual return (geometric extrapolation)0.60686

Calmar ratio (compounded annual return / max draw down)9.96448

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal3.72986

0.00000

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

Mean0.29172

SD0.37568

Sharpe ratio (Glass type estimate)0.77652

Sharpe ratio (Hedges UMVUE)0.77038

df95.00000

t0.47004

p0.31970

Lowerbound of 95% confidence interval for Sharpe Ratio2.46524

Upperbound of 95% confidence interval for Sharpe Ratio4.01432

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.46937

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.01012
 Statistics related to Sortino ratio

Sortino ratio1.23990

Upside Potential Ratio11.06560

Upside part of mean2.60350

Downside part of mean2.31178

Upside SD0.29091

Downside SD0.23528

N nonnegative terms45.00000

N negative terms51.00000
 Statistics related to linear regression on benchmark

N of observations96.00000

Mean of predictor0.15435

Mean of criterion0.29172

SD of predictor0.09716

SD of criterion0.37568

Covariance0.00705

r0.19315

b (slope, estimate of beta)0.74682

a (intercept, estimate of alpha)0.17600

Mean Square Error0.13731

DF error94.00000

t(b)1.90856

p(b)0.02968

t(a)0.28684

p(a)0.38743

Lowerbound of 95% confidence interval for beta0.03012

Upperbound of 95% confidence interval for beta1.52375

Lowerbound of 95% confidence interval for alpha1.04493

Upperbound of 95% confidence interval for alpha1.39782

Treynor index (mean / b)0.39062

Jensen alpha (a)0.17645
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.22228

SD0.37358

Sharpe ratio (Glass type estimate)0.59499

Sharpe ratio (Hedges UMVUE)0.59028

df95.00000

t0.36016

p0.35976

Lowerbound of 95% confidence interval for Sharpe Ratio2.64549

Upperbound of 95% confidence interval for Sharpe Ratio3.83251

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.64870

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.82927
 Statistics related to Sortino ratio

Sortino ratio0.93086

Upside Potential Ratio10.72940

Upside part of mean2.56203

Downside part of mean2.33976

Upside SD0.28509

Downside SD0.23879

N nonnegative terms45.00000

N negative terms51.00000
 Statistics related to linear regression on benchmark

N of observations96.00000

Mean of predictor0.14962

Mean of criterion0.22228

SD of predictor0.09716

SD of criterion0.37358

Covariance0.00705

r0.19423

b (slope, estimate of beta)0.74678

a (intercept, estimate of alpha)0.11054

Mean Square Error0.13573

DF error94.00000

t(b)1.91968

p(b)0.02897

t(a)0.18080

p(a)0.42846

Lowerbound of 95% confidence interval for beta0.02561

Upperbound of 95% confidence interval for beta1.51918

Lowerbound of 95% confidence interval for alpha1.10340

Upperbound of 95% confidence interval for alpha1.32448

Treynor index (mean / b)0.29765

Jensen alpha (a)0.11054
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03643

Expected Shortfall on VaR0.04565
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02133

Expected Shortfall on VaR0.03576
 ORDER STATISTICS
 Quartiles of return rates

Number of observations96.00000

Minimum0.95134

Quartile 10.98599

Median0.99837

Quartile 31.01829

Maximum1.07751

Mean of quarter 10.97404

Mean of quarter 20.99103

Mean of quarter 31.00710

Mean of quarter 41.03271

Inter Quartile Range0.03230

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.01042

Mean of outliers high1.07751
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.43621

VaR(95%) (moments method)0.02772

Expected Shortfall (moments method)0.03165

Extreme Value Index (regression method)0.28098

VaR(95%) (regression method)0.02578

Expected Shortfall (regression method)0.02993
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00106

Quartile 10.00938

Median0.02179

Quartile 30.03214

Maximum0.20377

Mean of quarter 10.00365

Mean of quarter 20.01716

Mean of quarter 30.02728

Mean of quarter 40.12038

Inter Quartile Range0.02275

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.14286

Mean of outliers high0.20377
 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)0.26201

Compounded annual return (geometric extrapolation)0.28426

Calmar ratio (compounded annual return / max draw down)1.39503

Compounded annual return / average of 25% largest draw downs2.36136

Compounded annual return / Expected Shortfall lognormal6.22735
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.03600
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.50%

Strat Max DD how much worse than SP500 max DD during strat life?313447000

Max Equity Drawdown (num days)51
Strategy Description
I use daily and weekly candles to enter and exit trades.
Stops and limits are mental, which mean they are not always set. However, I constantly monitor the markets and positions and make changes as necessary.
If a position I have takes a hit, I would often view this as an opportunity to add.
Losing weeks are months are a certainty, but over all the risk/reward is well in our favor.
If you choose to subscribe to this service, I suggest you commit for at least 4 months to give you an good insight to my trading style.
Enjoy.
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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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.