Multimentum

Hypothetical Monthly Returns (includes typical commissions and system fees)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2010		(7.9%)	+3.3%	+6.3%	(4.2%)	(6.8%)	+4.0%	+3.2%	(6.4%)	+2.0%	+1.4%	+3.3%
2011	+0.7%	(1.9%)	+4.4%	+1.3%	(2.5%)	(7.9%)	(1.1%)	+4.5%	(8.6%)	+0.8%	(0.3%)	+1.6%
2012	+3.2%	(0.6%)	(1.8%)	+0.9%	+2.1%

Strategy Summary

Global asset rotation fund that trades "ultra" long and short ETFs a few times a month. This system is designed to work in most IRA and similar accounts that can trade ETFs.

Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.

Subscribe to System

$5 per month, only if profitable

Details

This is a pay-for-performance system. Subscriptions cost $5 at the end of each month, but only if the system has made profitable recommendations for the period.

To determine profitability, we do not look at your brokerage account, nor do we take into consideration whether you actually placed the trades recommended here. We simply measure the system's hypothetical track record here on the Collective2 Web site, without factoring fees or commissions. You will not be charged unless the sum of the trades during the period was profitable. (Also, we want to reassure you that a "month" means a full 30-day period. That is, you are billed only if the last 30 days' worth of trade recommendations were profitable. So it's safe to subscribe at the end of a calendar month; you'll still get 30 days' worth of trades.)

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Technical Analysis: Moving Average daysX

Model Account Status

Started	$10,000
Buy Power	$4,580
Cash	$3,559
Equity	$1,021
Cumulative $*	($56)
Total System Equity	$9,943
Margined	$0
Open P/L	$202

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Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Price	Risk	P/L
4/30/12 9:30	BUY	56	DYY	DB COMMODITY DOUBLE LONG ETN	9.84	5/79:31	8.83	Low	($59)
4/30/12 9:30	BUY	9	UCO	PROSHARE TR ULTRA CRUDE	43.04	5/79:31	37.56	Low	($51)
8/29/11 9:30	BUY	248	DGP	DB GOLD DBSH ETN 38	58.87	5/7/12 9:30	56.45	High	($637)
4/2/12 9:31	BUY	45	SCO	PROSHARE TR UTRASHT CRD	35.38	4/309:30	35.52	Low	$1
4/16/12 14:50	BUY	10	DYY	DB COMMODITY DOUBLE LONG ETN	9.70	4/239:30	9.39	Low	($5)
4/16/12 14:50	BUY	15	XPP	ULTRA FTSE/XINHUA CHINA 25 P	50.70	4/239:30	50.54	Low	($4)
4/16/12 14:50	BUY	9	SDS	PROSHARES ULTRSHT S&P500	15.76	4/239:30	15.94	Low	$0
10/3/11 9:31	BUY	243	SSO	PROSHARES ULTRA S&P 500	42.38	4/16/12 14:49	48.29	Normal	$1,411
4/2/12 11:20	BUY	36	DEE	DB COMMODITY DOUBLE SHORT ET	28.70	4/1614:49	29.50	Low	$27
2/13/12 9:30	BUY	63	FXP	PROSHARES UL FTSE/X ETF	23.76	4/1614:49	24.70	Low	$50
3/26/12 9:32	BUY	5	DYY	DB COMMODITY DOUBLE LONG ETN	10.40	4/210:20	9.86	Low	($5)
3/19/12 9:30	BUY	38	UCO	PROSHARE TR ULTRA CRUDE	46.70	4/29:31	42.22	Normal	($173)
12/19/11 9:30	BUY	64	SCO	PROSHARE TR UTRASHT CRD	39.13	3/19/12 9:30	36.95	Low	($153)
2/7/12 9:30	BUY	10	DEE	DB COMMODITY DOUBLE SHORT ET	27.56	2/279:31	26.21	Low	($16)
1/17/12 12:21	BUY	178	DYY	DB COMMODITY DOUBLE LONG ETN	9.72	2/69:30	9.86	Low	$21

Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Close Price	Risk	P/L
4/30/12 9:30	BUY	56	DYY	DB COMMODITY DOUBLE LONG ETN	9.84	5/79:31	8.83	Low	($59)
4/30/12 9:30	BTO	56	DYY		9.84
5/7/12 9:31	STC	56	DYY		8.83
4/30/12 9:30	BUY	9	UCO	PROSHARE TR ULTRA CRUDE	43.04	5/79:31	37.56	Low	($51)
4/30/12 9:30	BTO	9	UCO		43.04
5/7/12 9:31	STC	9	UCO		37.56
8/29/11 9:30	BUY	248	DGP	DB GOLD DBSH ETN 38	58.87	5/7/12 9:30	56.45	High	($637)
8/29/11 9:30	BTO	42	DGP		66.34
9/6/11 9:30	BTO	10	DGP		72.80
9/12/11 9:30	STC	22	DGP		68.38
9/19/11 9:30	BTO	20	DGP		66.75
9/26/11 9:30	STC	31	DGP		51.96
9/27/11 9:30	STC	10	DGP		55.26
10/3/11 9:30	BTO	17	DGP		54.53
10/10/11 9:30	BTO	25	DGP		55.16
10/10/11 9:30	STC	7	DGP		55.16
10/17/11 9:31	STC	25	DGP		56.44
10/31/11 9:30	BTO	18	DGP		58.90
11/7/11 9:30	STC	9	DGP		62.47
11/14/11 9:45	STC	5	DGP		63.12
11/21/11 9:30	BTO	28	DGP		58.10
11/28/11 9:30	STC	34	DGP		58.37
12/5/11 9:30	BTO	11	DGP		59.85
12/12/11 9:31	STC	23	DGP		55.05
12/19/11 9:30	STC	4	DGP		50.08
12/27/11 9:31	BTO	12	DGP		49.78
1/3/12 9:31	STC	9	DGP		49.32
1/9/12 9:30	BTO	6	DGP		50.90
1/17/12 9:31	BTO	24	DGP		53.27
1/30/12 9:30	STC	24	DGP		57.65
2/6/12 9:30	BTO	10	DGP		56.70
2/13/12 9:30	BTO	8	DGP		56.94
2/21/12 9:30	STC	3	DGP		58.51
2/27/12 9:30	STC	2	DGP		60.25
3/13/12 11:53	STC	4	DGP		55.35
3/19/12 9:30	STC	11	DGP		52.40
3/26/12 9:30	STC	5	DGP		53.97
4/2/12 9:30	BTO	11	DGP		53.09
4/16/12 14:50	BTO	5	DGP		51.98
4/23/12 9:31	STC	16	DGP		50.55
4/30/12 9:30	BTO	1	DGP		52.08
5/7/12 9:30	STC	4	DGP		51.25
4/2/12 9:31	BUY	45	SCO	PROSHARE TR UTRASHT CRD	35.38	4/309:30	35.52	Low	$1
4/2/12 9:31	BTO	20	SCO		35.74
4/9/12 9:31	STC	14	SCO		36.21
4/16/12 14:50	BTO	25	SCO		35.10
4/23/12 9:30	STC	16	SCO		35.79
4/30/12 9:30	STC	15	SCO		34.59
4/16/12 14:50	BUY	10	DYY	DB COMMODITY DOUBLE LONG ETN	9.70	4/239:30	9.39	Low	($5)
4/16/12 14:50	BTO	10	DYY		9.70
4/23/12 9:30	STC	10	DYY		9.39
4/16/12 14:50	BUY	15	XPP	ULTRA FTSE/XINHUA CHINA 25 P	50.70	4/239:30	50.54	Low	($4)
4/16/12 14:50	BTO	15	XPP		50.70
4/23/12 9:30	STC	15	XPP		50.54
4/16/12 14:50	BUY	9	SDS	PROSHARES ULTRSHT S&P500	15.76	4/239:30	15.94	Low	$0
4/16/12 14:50	BTO	9	SDS		15.76
4/23/12 9:30	STC	9	SDS		15.94
10/3/11 9:31	BUY	243	SSO	PROSHARES ULTRA S&P 500	42.38	4/16/12 14:49	48.29	Normal	$1,411
10/3/11 9:31	BTO	96	SSO		37.51
10/10/11 9:30	BTO	25	SSO		40.93
10/17/11 9:31	STC	42	SSO		43.94
10/24/11 9:31	STC	18	SSO		45.44
10/31/11 9:30	STC	11	SSO		47.59
11/7/11 9:30	STC	4	SSO		46.18
11/14/11 9:45	STC	10	SSO		46.66
11/21/11 9:30	BTO	32	SSO		42.26
11/28/11 9:30	STC	47	SSO		41.70
12/5/11 9:30	BTO	26	SSO		46.89
12/12/11 9:31	STC	6	SSO		45.46
12/19/11 9:30	BTO	30	SSO		43.90
1/3/12 9:31	STC	10	SSO		47.97
1/9/12 9:31	BTO	9	SSO		48.16
1/17/12 9:30	STC	14	SSO		49.70
1/23/12 9:30	BTO	3	SSO		50.81
1/30/12 9:30	STC	3	SSO		50.03
2/6/12 9:30	BTO	11	SSO		52.70
2/21/12 9:31	BTO	4	SSO		54.85
2/27/12 9:30	STC	10	SSO		54.26
3/19/12 9:30	BTO	4	SSO		58.10
3/26/12 9:30	STC	2	SSO		58.27
4/2/12 9:30	STC	5	SSO		58.25
4/9/12 9:31	BTO	3	SSO		56.07
4/16/12 14:49	STC	61	SSO		55.53
4/2/12 11:20	BUY	36	DEE	DB COMMODITY DOUBLE SHORT ET	28.70	4/1614:49	29.50	Low	$27
4/2/12 11:20	BTO	36	DEE		28.70
4/16/12 14:49	STC	36	DEE		29.50
2/13/12 9:30	BUY	63	FXP	PROSHARES UL FTSE/X ETF	23.76	4/1614:49	24.70	Low	$50
2/13/12 9:30	BTO	19	FXP		23.12
2/21/12 9:30	STC	17	FXP		22.32
2/27/12 9:31	BTO	16	FXP		23.03
3/13/12 11:53	BTO	4	FXP		22.70
3/19/12 9:30	BTO	18	FXP		24.47
3/26/12 9:30	STC	9	FXP		25.56
4/2/12 9:30	BTO	6	FXP		26.33
4/9/12 9:30	STC	11	FXP		26.37
4/16/12 14:49	STC	26	FXP		25.25
3/26/12 9:32	BUY	5	DYY	DB COMMODITY DOUBLE LONG ETN	10.40	4/210:20	9.86	Low	($5)
3/26/12 9:32	BTO	5	DYY		10.40
4/2/12 10:20	STC	5	DYY		9.86
3/19/12 9:30	BUY	38	UCO	PROSHARE TR ULTRA CRUDE	46.70	4/29:31	42.22	Normal	($173)
3/19/12 9:30	BTO	17	UCO		47.35
3/26/12 9:30	BTO	21	UCO		46.18
4/2/12 9:31	STC	38	UCO		42.22
12/19/11 9:30	BUY	64	SCO	PROSHARE TR UTRASHT CRD	39.13	3/19/12 9:30	36.95	Low	($153)
12/19/11 9:30	BTO	9	SCO		42.68
12/27/11 9:31	STC	3	SCO		38.13
1/3/12 9:31	BTO	2	SCO		36.44
1/9/12 9:31	STC	5	SCO		36.54
1/17/12 9:31	STC	2	SCO		37.40
1/23/12 9:30	BTO	28	SCO		38.44
1/30/12 9:30	STC	22	SCO		38.55
2/6/12 9:30	BTO	21	SCO		39.70
2/13/12 9:30	STC	23	SCO		37.23
2/21/12 9:30	BTO	4	SCO		34.32
2/27/12 9:31	STC	7	SCO		31.96
3/13/12 11:53	STC	1	SCO		32.63
3/19/12 9:30	STC	1	SCO		32.17
2/7/12 9:30	BUY	10	DEE	DB COMMODITY DOUBLE SHORT ET	27.56	2/279:31	26.21	Low	($16)
2/7/12 9:30	BTO	5	DEE		26.25
2/13/12 12:21	BTO	5	DEE		28.86
2/27/12 9:31	STC	10	DEE		26.21
1/17/12 12:21	BUY	178	DYY	DB COMMODITY DOUBLE LONG ETN	9.72	2/69:30	9.86	Low	$21
1/17/12 12:21	BTO	47	DYY		9.60
1/23/12 11:21	STC	34	DYY		9.53
1/30/12 11:21	BTO	131	DYY		9.76
2/6/12 9:30	STC	144	DYY		9.94

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Statistics

Analytics

All Statistics Based on Hypothetical Results
Trades	244
# Profitable	119 (48.8%)
# months tracked	28
Profitable months	16 (57.1%)
Avg trade duration	15.0 days
Annual return (compounded)	-0.2%
Average win	$101
Average loss	$97
Profit factor	1.0:1
Max peak-to-valley drawdown (historical)	20.25%
drawdown period	April 08, 2011 to May 11, 2012
Correlation w/ S&P	0.088
Sharpe ratio	-0.101
Keep after worst-case slippage	100.0%
Probabilities of future account loss
Chance of 10% account loss	75.6%
Chance of 20% account loss	19.5%
Chance of 30% account loss	2.4%

Chance of 50% account loss	0.0%
Chance of 100% account loss	0.0%
Average Profit to Drawdown (APD)	-0.04
Average P/L per unit traded	$0.08
Sum of dividends and cash expir. in model account	$64

System Description

Multimentum is 2 systems in one. Half the account trades currencies using ETFS, and half the account trades non-currency ETFs using different rules.

5 reasons why Multimentum won't blow up (also see below for cautions)

1) Multimentum trades ETFs from the long side without
margin (though some ETFs are levered and/or inverse
products). ETFs represent ownership in many securities
sometimes spread across many countries. This makes it less
likely that an ETF will go to zero than that an options or
futures contract will expire worthless.

2) Multimentum is a global asset rotation type system. This means
that it can seek profits in many asset classes and
markets. Some other systems trade one particular market
only (such as QLD/QID). This means that Multimentum is less
likely to be caught in a situation where it has to slog
through un-favorable market conditions for the system which
may lead to whip-saws and related losses.

3) Multimentum doesn't buy dips, this means that it won't chase
an asset down buying the whole time. (dip-buy systems can be
profitable, but they can lead to large draw-downs on the way.)

4) Multimentum uses stop loss orders in the 12%-15% range. This
reduces the chance that any one trade will blow up the "fund".

5) One aspect of Multimentum is a check to see if an asset's
price is above its moving average. This feature means that
the system won't try to catch falling knives. If an ETF is
plunging in value Multimentum will stay away, or buy the
corresponding short ETF if the price and volume action are
favorable.

Warning: even trading systems with plausible sounding safety
features are still subject to loss. You should only invest
your "risk capital" in trading systems such as those found on
C2. "Risk capital" means that you can gladly replenish the
investment if large losses occur.

::System Description::

This system is basically a group of "expert systems". Each expert system looks at multi-period index data and use unique trend-following type strategies to determines which asset class(es) will perform the best in the near to medium term.

I chose to put "multi" in the system name because it follows multiple assets over multiple time frames using multiple diverse underlying strategies.

The system looks at price and volume momentum, it does use stops, it uses market orders, it maintains 1 or 2 open positions at a time, it trades just a few times a month, it does not use margin.

- Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.

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