Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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mvp-3

By StephenNorris

Stocks · Started Nov 2007

hypothetical · Annual Return (Compounded)
-5.9%
Max Drawdown
81.6%
Trades
88
Win Trades
51.1%
Profit Factor
1
Win Months
10.2%

About this strategy

this system is no longer supported, see mvp-9















Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200710.8-0.710.0
20081.60.813.823.515.51.719.9-10.2-35.0-15.439.913.258.4
2009-25.65.127.168.2-31.40.8-19.59.627.3-8.115.8-0.437.7
2010-7.2-8.7-15.4-10.2-7.6-25.823.3-4.8-18.6-4.9-4.7-5.1-63.8
20111.5-4.87.315.1-21.61.6-13.2-27.1-43.642.50.00.0-51.6
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
2014-1.70.00.00.00.00.00.00.00.00.00.00.0-1.7
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
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began11/20/2007
Suggested Minimum Capital$10,000
Age229 months
What it tradesStocks
# Trades88
# Profitable45
% Profitable51.1%
Avg trade duration7.7 days
Max peak-to-valley drawdown81.6%
drawdown periodApril 30, 2009 - Oct 04, 2011
Annual return (compounded)-1.0%
Avg win$1,364
Avg loss$1,494

Ratios

W:L ratio0.97
Sharpe Ratio-0.04
Sortino Ratio-0.06
Calmar Ratio-0.09

CORRELATION STATISTICS

Correlation to SP5000.11
Return Percent SP500 (cumu) during strategy life424.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-33.2%

Return Statistics

Ann Return (w trading costs)-5.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-1.0%

Slump

Current Slump as Pcnt Equity604.5%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

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

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss85.4%
Chance of 20% account loss88.1%
Chance of 30% account loss67.4%
Chance of 40% account loss61.4%
Chance of 50% account loss33.3%
Chance of 60% account loss (Monte Carlo)15.2%
Chance of 70% account loss (Monte Carlo)10.9%
Chance of 80% account loss (Monte Carlo)2.2%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,494
Avg Win$1,364
# Winners45
Sum Trade PL (losers)$64,233
Sum Trade PL (winners)$61,370
Num Months Winners23
# Losers43
% Winners51.1%

Dividends

Dividends Received in Model Acct1198

Age

Num Months filled monthly returns table227

Frequency

Avg Position Time (mins)11093.07
Avg Position Time (hrs)184.88
Avg Trade Length7.70
Last Trade Ago5438

Regression

Alpha-0.01
Beta0.18
Treynor Index-0.02

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.14
MAE:Equity, 95th Percentile Value for this strat0.23
MAE:Equity, average, losing trades0.24
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.04
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-9.63
MAE:PL (avg, all trades)-0.85
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats49.11
MAE:PL - Winning Trades - this strat Percentile of All Strats24.75
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.45
Avg(MAE) / Avg(PL) - Losing trades-1.54
Hold-and-Hope Ratio-0.10

RATIO STATISTICS

a (intercept, estimate of alpha)0.51
VAR (95 Confidence Intrvl)0.12

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)887
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 118 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
TNA long380Sep 20, 2011Oct 14, 2011($221)
MVV long320Sep 8, 2011Sep 19, 2011($147)
MZZ long50Sep 6, 2011Sep 8, 2011($1,023)
MZZ long40Aug 31, 2011Sep 2, 2011$626
MVV long480Aug 3, 2011Aug 30, 2011($2,162)
MZZ long68Jul 29, 2011Aug 2, 2011($126)
MZZ long135Jun 10, 2011Jul 5, 2011($1,895)
MZZ long105May 25, 2011Jun 7, 2011$560
MVV long460May 19, 2011May 25, 2011($791)
MVV long470May 10, 2011May 16, 2011($318)
MVV long420Apr 15, 2011May 3, 2011$997
MVV long400Mar 18, 2011Apr 8, 2011$1,094
MVV long270Mar 9, 2011Mar 11, 2011($345)
MZZ long60Mar 4, 2011Mar 9, 2011$126
MZZ long63Feb 4, 2011Feb 25, 2011($349)
MVV long320Feb 1, 2011Feb 4, 2011$152
MZZ long63Jan 27, 2011Feb 1, 2011$29
MZZ long72Dec 7, 2010Dec 27, 2010($393)
MVV long480Nov 22, 2010Nov 30, 2010($51)
MVV long400Nov 16, 2010Nov 18, 2010$236
MZZ long67Nov 1, 2010Nov 15, 2010($578)
MVV long500Oct 21, 2010Oct 27, 2010$50
MZZ long60Oct 1, 2010Oct 21, 2010($684)
MVV long500Sep 23, 2010Oct 1, 2010$870
MZZ long91Aug 20, 2010Sep 23, 2010($2,536)
MVV long900Aug 17, 2010Aug 20, 2010($703)
MVV long660Aug 11, 2010Aug 13, 2010($622)
MZZ long61Jul 26, 2010Aug 11, 2010$570
MVV long1300May 17, 2010Jul 26, 2010($2,748)
MZZ long66May 13, 2010May 17, 2010$928

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.