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C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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momentum #3

By tom_smith2

Stocks · Started Oct 2006

hypothetical · Annual Return (Compounded)
-8.9%
Max Drawdown
—
Trades
82
Win Trades
67.1%
Profit Factor
0.60
Win Months
10.4%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20062.68.05.116.6
20072.49.46.74.93.9-24.0-24.4-2.2-12.058.9-5.9-41.1-43.3
200818.413.92.92.8-3.4-17.6-7.7-9.2-11.2-58.55.5-57.6-84.3
200937.1-4.523.626.7111.5-28.518.3-23.9152.7-21.0-7.81.2420.3
20103.626.4-33.6-16.4-28.6-23.7-3.5155.40.00.00.04.31.8
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.0-0.00.00.00.00.00.00.00.00.00.00.0-0.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began10/21/2006
Suggested Minimum Capital$100,000
Age242 months
What it tradesStocks
# Trades82
# Profitable55
% Profitable67.1%
Avg trade duration108.5 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)-2.6%
Avg win$1,260
Avg loss$4,151

Ratios

W:L ratio0.64
Sharpe Ratio0.17
Sortino Ratio0.45
Calmar Ratio-0.10

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life458.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-66.6%

Return Statistics

Ann Return (w trading costs)-8.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-2.6%

Slump

Current Slump as Pcnt Equity203.7%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$4,151
Avg Win$1,260
# Winners55
Sum Trade PL (losers)$112,080
Sum Trade PL (winners)$69,309
Num Months Winners26
# Losers27
% Winners67.1%

Dividends

Dividends Received in Model Acct2250

Age

Num Months filled monthly returns table240

Frequency

Avg Position Time (mins)156217.69
Avg Position Time (hrs)2603.63
Avg Trade Length108.50
Last Trade Ago7079

Regression

Alpha0.05
Beta0.05
Treynor Index1.02

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.14
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.43
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-2.57
MAE:PL (avg, all trades)-0.80
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats75.53
MAE:PL - Winning Trades - this strat Percentile of All Strats18.94
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.29
Avg(MAE) / Avg(PL) - Losing trades-1.23
Hold-and-Hope Ratio-0.23

RATIO STATISTICS

a (intercept, estimate of alpha)1.23
VAR (95 Confidence Intrvl)0.18

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)568
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
ILI long6400Apr 5, 2007Apr 9, 2007($517)
AOG long12000Feb 26, 2007Apr 9, 2007($528)
STMP long700Apr 2, 2007Apr 9, 2007$163
PGIC long4600Apr 5, 2007Apr 9, 2007$1,053
PPCO long2000Mar 27, 2007Apr 9, 2007$1,643
EPEX long2100Jan 30, 2007Apr 9, 2007($2,896)
HITK long900Apr 2, 2007Apr 9, 2007($95)
DCGN long5500Mar 7, 2007Apr 9, 2007($118)
MED long3200Mar 20, 2007Apr 5, 2007$4,571
NSSC long4800Feb 12, 2007Apr 5, 2007$1,238
CEGE long6600Mar 7, 2007Mar 30, 2007$8,298
PWAV long4000Mar 7, 2007Mar 27, 2007$2,610
DDD long12985Mar 1, 2007Mar 16, 2007($7,147)
OTIV long4800Feb 2, 2007Mar 6, 2007$4,198
EMKR long1600Feb 12, 2007Feb 26, 2007$4,154
STMP long800Feb 16, 2007Feb 16, 2007$163
CEGE long9700Jan 29, 2007Feb 9, 2007$6,009
IFNY long2800Jan 30, 2007Feb 6, 2007($565)
TWTR long7700Jan 29, 2007Feb 2, 2007$3,306
ESLR long1900Jan 16, 2007Jan 30, 2007$1,401
CNVR long3500Jan 16, 2007Jan 22, 2007($1,510)
EGOV long1000Dec 18, 2006Jan 16, 2007$405
OI short300Jan 3, 2007Jan 16, 2007($780)
CBST long300Dec 18, 2006Jan 16, 2007$234
SPC short500Jan 3, 2007Jan 16, 2007($510)
WCI short300Jan 3, 2007Jan 16, 2007($876)
ALKS long400Dec 21, 2006Jan 16, 2007$664
UIS short60Jan 3, 2007Jan 16, 2007($223)
MFE short200Jan 3, 2007Jan 16, 2007($38)
CTB short400Jan 3, 2007Jan 16, 2007($280)

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.