Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Piston

By GabrielGarcia2

Stocks · Started Oct 2011

hypothetical · Annual Return (Compounded)
7.1%
Max Drawdown
—
Trades
115
Win Trades
38.3%
Profit Factor
1.20
Win Months
4.5%

About this strategy

Piston is a long/short stocks trading system in which positions are held for a maximum of 10 days. We choose stocks with incipient but defined trends after overbought or oversold situations. Normally, each position will have allocated 50% of the Total System Equity so it is possible that on occasions we use some leverage depending on how many positions we have open at the same time. Without exception, each trade will have a stop loss and a stop limit that is placed the day after the position is opened. In this manner we manage the risk of the system and thus reducing as much as possible the drawdown.

Despite the fact that the benchmark is the S&P 500 (we do not have any other option in C2) our goal is to give absolute returns to investors (measured yearly) regardless of the performance of the benchmark.

Last but least, there might be extended periods where this system is not invested. Our motto is better to be in cash than to face a massive drawdown.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2011-1.2-0.30.1-1.3
20127.20.75.4-1.6-7.11.5-3.9-6.5-1.36.9-0.4-9.2-9.3
2013-1.3-0.60.8-0.12.00.00.00.00.00.00.00.00.8
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
20190.00.00.00.00.00.00.00.00.00.00.0
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 began10/24/2011
Suggested Minimum Capital$10,000
Age181 months
What it tradesStocks
# Trades115
# Profitable44
% Profitable38.3%
Avg trade duration3.3 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)1.0%
Avg win$238
Avg loss$125

Ratios

W:L ratio1.19
Sharpe Ratio-0.41
Sortino Ratio-0.59
Calmar Ratio0.32

CORRELATION STATISTICS

Correlation to SP5000.05
Return Percent SP500 (cumu) during strategy life502.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-17.8%

Return Statistics

Ann Return (w trading costs)7.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.0%

Slump

Current Slump as Pcnt Equity28.2%
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%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)—

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$125
Avg Win$238
# Winners44
Sum Trade PL (losers)$8,868
Sum Trade PL (winners)$10,469
Num Months Winners8
# Losers71
% Winners38.3%

Dividends

Dividends Received in Model Acct80

Age

Num Months filled monthly returns table180

Frequency

Avg Position Time (mins)4719.92
Avg Position Time (hrs)78.67
Avg Trade Length3.30
Last Trade Ago4879

Regression

Alpha-0.01
Beta0.02
Treynor Index-0.41

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-52.88
MAE:PL (avg, all trades)-0.61
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats6.90
MAE:PL - Winning Trades - this strat Percentile of All Strats7.71
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.28
Avg(MAE) / Avg(PL) - Losing trades-1.11
Hold-and-Hope Ratio-0.02

RATIO STATISTICS

a (intercept, estimate of alpha)0.01
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)55
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 34 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
AXP long84Apr 24, 2013May 3, 2013$209
SLXP long112Apr 25, 2013May 1, 2013$192
CYH long120Apr 25, 2013Apr 29, 2013$210
FLO long260Apr 22, 2013Apr 25, 2013$11
TWC long61Apr 24, 2013Apr 25, 2013($174)
C long130Apr 15, 2013Apr 22, 2013($164)
ARCO long450Apr 11, 2013Apr 17, 2013($95)
HOG long113Apr 12, 2013Apr 15, 2013($77)
CTB long237Apr 12, 2013Apr 15, 2013($124)
SGY long278Apr 11, 2013Apr 12, 2013($99)
WPX long331Apr 10, 2013Apr 11, 2013$198
TXT long197Apr 10, 2013Apr 11, 2013$201
CHS long317Apr 5, 2013Apr 11, 2013$102
AN long125Mar 7, 2013Mar 11, 2013($78)
PHG long197Mar 1, 2013Mar 5, 2013$219
ROSE long115Feb 28, 2013Mar 4, 2013($97)
SPLS long424Feb 22, 2013Feb 25, 2013($106)
EGN long118Feb 5, 2013Feb 14, 2013$174
BBL long82Jan 28, 2013Jan 31, 2013$190
DELL long494Jan 8, 2013Jan 11, 2013($163)
CLR long138Jan 7, 2013Jan 8, 2013$167
SHLD long127Jan 7, 2013Jan 8, 2013$195
RIMM short479Dec 31, 2012Jan 2, 2013($259)
NFLX short450Dec 31, 2012Jan 2, 2013($377)
WMS long684Dec 20, 2012Dec 27, 2012($201)
MRO long193Dec 18, 2012Dec 27, 2012($93)
NPBC long628Dec 20, 2012Dec 21, 2012($93)
SHLD long135Dec 19, 2012Dec 20, 2012($95)
SHW long39Dec 19, 2012Dec 20, 2012($93)
VRSN long165Dec 10, 2012Dec 13, 2012($97)

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.