Multimentum
(46840960)
Subscription terms. Subscriptions to this system cost $29.00 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.
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 Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
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  

2010  (7.9%)  +3.2%  +6.3%  (4.3%)  (6.9%)  +4.0%  +3.1%  (6.4%)  +2.0%  +1.7%  +3.7%  (2.8%)  
2011  +0.9%  (1.7%)  +4.5%  +1.5%  (2.3%)  (7.6%)  (0.8%)  +4.7%  (8.3%)  +0.9%    +1.8%  (7%) 
2012  +3.3%  (0.4%)  (1.6%)  +1.2%  +3.2%  +4.2%  +0.3%  (4.3%)  +2.5%  +0.6%  (2.4%)  (11.6%)  (6%) 
2013  +4.1%  +0.8%  +2.5%  +0.2%  +0.1%  (11%)  (7.3%)  (5.5%)  +5.5%  +8.3%  +2.3%  +0.8%  (1.2%) 
2014  (2.8%)  +5.2%  +2.1%  +0.1%  +2.0%  +3.4%  (1.4%)  +6.8%  (4%)  +8.1%  +9.8%  +11.1%  +47.0% 
2015  +4.5%  (1%)  +1.6%  (9.1%)  +0.3%  (3.7%)  +15.9%  (10.6%)  (0.1%)  +7.1%  +9.8%  +6.9%  +20.2% 
2016  +3.2%  +1.4%  (2.5%)  (10.9%)  (2.3%)  +2.9%  +14.2%  (3.3%)  (6.3%)  (1.9%)  (1.9%)  (1.3%)  (10%) 
2017  +4.2%  +5.2%  +2.1%  +2.7%  +3.6%  +1.4%  (1.6%)  +2.9%  (1.8%)  +1.6%  +1.3%  +2.0%  +25.9% 
2018  +7.6%  (5.9%)  (8.3%)  +2.4%  +2.3%  (0.6%)  +6.0%  +4.0%  (0.6%)  (12.5%)  +11.5%  (15.5%)  (12.7%) 
2019  +12.9%  +3.4%  +3.7%  +2.7%  +0.4%    (1.1%)  +3.5%  +2.3%  +2.8%  +5.1%  +43.7%  
2020  +5.8%  (11%)  (12.7%)  +16.6%  (4.9%)  +2.9%  +8.3%  (31.7%)  (6.4%)  +5.6%  +3.8%  +1.4%  (27.9%) 
2021  (3%)  (0.4%)  +4.0%  +7.0%  +7.5% 
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  $97,179  
Buy Power  $137,973  
Cash  $50,623  
Equity  $87,350  
Cumulative $  $69,573  
Includes dividends and cashsettled expirations:  $16,666  Itemized 
Total System Equity  $166,752  
Margined  $0  
Open P/L  $83,861 
Trading Record
Statistics

Strategy began2/4/2010

Suggested Minimum Cap$97,179

Strategy Age (days)4086.47

Age136 months ago

What it tradesStocks

# Trades320

# Profitable154

% Profitable48.10%

Avg trade duration58.1 days

Max peaktovalley drawdown61.76%

drawdown periodFeb 18, 2020  Aug 18, 2020

Annual Return (Compounded)4.5%

Avg win$1,022

Avg loss$1,069
 Model Account Values (Raw)

Cash$50,623

Margin Used$0

Buying Power$137,973
 Ratios

W:L ratio1.07:1

Sharpe Ratio0.2

Sortino Ratio0.25

Calmar Ratio0.163
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)225.25%

Correlation to SP5000.25520

Return Percent SP500 (cumu) during strategy life289.69%
 Return Statistics

Ann Return (w trading costs)4.5%
 Slump

Current Slump as Pcnt Equity42.60%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.10%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.045%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)4.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss100.00%

Chance of 40% account loss6.67%

Chance of 100% 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 60% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

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

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)0
 Management

No Subs Allowed Flag (1: no subs)0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$1,086

Avg Win$1,514

Sum Trade PL (losers)$180,260.000
 Age

Num Months filled monthly returns table135
 Win / Loss

Sum Trade PL (winners)$233,120.000

# Winners154

Num Months Winners84
 Dividends

Dividends Received in Model Acct16666
 Win / Loss

# Losers166

% Winners48.1%
 Frequency

Avg Position Time (mins)83686.40

Avg Position Time (hrs)1394.77

Avg Trade Length58.1 days

Last Trade Ago2739
 Regression

Alpha0.00

Beta0.39

Treynor Index0.04
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.07

MAE:PL  Winning Trades  this strat Percentile of All Strats97.44

MAE:PL  worst single value for strategy

MAE:PL  Losing Trades  this strat Percentile of All Strats99.33

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)17.12

MAE:Equity, average, winning trades0.03

MAE:Equity, average, losing trades0.10

Avg(MAE) / Avg(PL)  All trades43.588

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 strat0.03

Avg(MAE) / Avg(PL)  Winning trades1.880

Avg(MAE) / Avg(PL)  Losing trades8.020

HoldandHope Ratio0.026
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.09782

SD0.23397

Sharpe ratio (Glass type estimate)0.41807

Sharpe ratio (Hedges UMVUE)0.41414

df80.00000

t1.08619

p0.14033

Lowerbound of 95% confidence interval for Sharpe Ratio0.34037

Upperbound of 95% confidence interval for Sharpe Ratio1.17394

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.34297

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.17126
 Statistics related to Sortino ratio

Sortino ratio0.62228

Upside Potential Ratio2.12824

Upside part of mean0.33455

Downside part of mean0.23673

Upside SD0.17365

Downside SD0.15720

N nonnegative terms49.00000

N negative terms32.00000
 Statistics related to linear regression on benchmark

N of observations81.00000

Mean of predictor0.18688

Mean of criterion0.09782

SD of predictor0.15669

SD of criterion0.23397

Covariance0.00557

r0.15196

b (slope, estimate of beta)0.22691

a (intercept, estimate of alpha)0.14022

Mean Square Error0.05416

DF error79.00000

t(b)1.36649

p(b)0.91217

t(a)1.47922

p(a)0.07153

Lowerbound of 95% confidence interval for beta0.55743

Upperbound of 95% confidence interval for beta0.10361

Lowerbound of 95% confidence interval for alpha0.04846

Upperbound of 95% confidence interval for alpha0.32891

Treynor index (mean / b)0.43109

Jensen alpha (a)0.14022
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.07015

SD0.23685

Sharpe ratio (Glass type estimate)0.29617

Sharpe ratio (Hedges UMVUE)0.29338

df80.00000

t0.76947

p0.22194

Lowerbound of 95% confidence interval for Sharpe Ratio0.46052

Upperbound of 95% confidence interval for Sharpe Ratio1.05103

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.46237

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.04914
 Statistics related to Sortino ratio

Sortino ratio0.41076

Upside Potential Ratio1.87769

Upside part of mean0.32067

Downside part of mean0.25052

Upside SD0.16326

Downside SD0.17078

N nonnegative terms49.00000

N negative terms32.00000
 Statistics related to linear regression on benchmark

N of observations81.00000

Mean of predictor0.17397

Mean of criterion0.07015

SD of predictor0.15163

SD of criterion0.23685

Covariance0.00577

r0.16058

b (slope, estimate of beta)0.25083

a (intercept, estimate of alpha)0.11379

Mean Square Error0.05534

DF error79.00000

t(b)1.44603

p(b)0.92394

t(a)1.19215

p(a)0.11839

Lowerbound of 95% confidence interval for beta0.59610

Upperbound of 95% confidence interval for beta0.09444

Lowerbound of 95% confidence interval for alpha0.07619

Upperbound of 95% confidence interval for alpha0.30377

Treynor index (mean / b)0.27967

Jensen alpha (a)0.11379
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10113

Expected Shortfall on VaR0.12617
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03835

Expected Shortfall on VaR0.08194
 ORDER STATISTICS
 Quartiles of return rates

Number of observations81.00000

Minimum0.76319

Quartile 10.98048

Median1.01089

Quartile 31.04176

Maximum1.20701

Mean of quarter 10.92780

Mean of quarter 20.99884

Mean of quarter 31.02632

Mean of quarter 41.08365

Inter Quartile Range0.06128

Number outliers low3.00000

Percentage of outliers low0.03704

Mean of outliers low0.82239

Number of outliers high3.00000

Percentage of outliers high0.03704

Mean of outliers high1.18356
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.12627

VaR(95%) (moments method)0.05600

Expected Shortfall (moments method)0.07430

Extreme Value Index (regression method)0.36417

VaR(95%) (regression method)0.05769

Expected Shortfall (regression method)0.10644
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.03288

Quartile 10.07479

Median0.11048

Quartile 30.21770

Maximum0.25358

Mean of quarter 10.05625

Mean of quarter 20.10973

Mean of quarter 30.16823

Mean of quarter 40.24520

Inter Quartile Range0.14291

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)5.36697

VaR(95%) (moments method)0.24826

Expected Shortfall (moments method)0.24827

Extreme Value Index (regression method)1.18868

VaR(95%) (regression method)0.26358

Expected Shortfall (regression method)0.26694
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.08972

Compounded annual return (geometric extrapolation)0.07267

Calmar ratio (compounded annual return / max draw down)0.28657

Compounded annual return / average of 25% largest draw downs0.29636

Compounded annual return / Expected Shortfall lognormal0.57595

0.00000

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

Mean0.13422

SD0.30265

Sharpe ratio (Glass type estimate)0.44348

Sharpe ratio (Hedges UMVUE)0.44330

df1779.00000

t1.15594

p0.48256

Lowerbound of 95% confidence interval for Sharpe Ratio0.30864

Upperbound of 95% confidence interval for Sharpe Ratio1.19554

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.30879

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.19539
 Statistics related to Sortino ratio

Sortino ratio0.54826

Upside Potential Ratio5.28714

Upside part of mean1.29436

Downside part of mean1.16014

Upside SD0.17799

Downside SD0.24481

N nonnegative terms973.00000

N negative terms807.00000
 Statistics related to linear regression on benchmark

N of observations1780.00000

Mean of predictor0.20784

Mean of criterion0.13422

SD of predictor0.22431

SD of criterion0.30265

Covariance0.01820

r0.26808

b (slope, estimate of beta)0.36171

a (intercept, estimate of alpha)0.05900

Mean Square Error0.08506

DF error1778.00000

t(b)11.73340

p(b)0.36596

t(a)0.52680

p(a)0.49375

Lowerbound of 95% confidence interval for beta0.30125

Upperbound of 95% confidence interval for beta0.42217

Lowerbound of 95% confidence interval for alpha0.16078

Upperbound of 95% confidence interval for alpha0.27886

Treynor index (mean / b)0.37107

Jensen alpha (a)0.05904
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.07982

SD0.34734

Sharpe ratio (Glass type estimate)0.22981

Sharpe ratio (Hedges UMVUE)0.22971

df1779.00000

t0.59900

p0.49096

Lowerbound of 95% confidence interval for Sharpe Ratio0.52220

Upperbound of 95% confidence interval for Sharpe Ratio0.98178

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.52227

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.98170
 Statistics related to Sortino ratio

Sortino ratio0.26514

Upside Potential Ratio4.24874

Upside part of mean1.27910

Downside part of mean1.19928

Upside SD0.17311

Downside SD0.30105

N nonnegative terms973.00000

N negative terms807.00000
 Statistics related to linear regression on benchmark

N of observations1780.00000

Mean of predictor0.18231

Mean of criterion0.07982

SD of predictor0.22654

SD of criterion0.34734

Covariance0.01845

r0.23446

b (slope, estimate of beta)0.35948

a (intercept, estimate of alpha)0.01428

Mean Square Error0.11408

DF error1778.00000

t(b)10.16990

p(b)0.38277

t(a)0.11010

p(a)0.49869

Lowerbound of 95% confidence interval for beta0.29016

Upperbound of 95% confidence interval for beta0.42881

Lowerbound of 95% confidence interval for alpha0.24017

Upperbound of 95% confidence interval for alpha0.26875

Treynor index (mean / b)0.22205

Jensen alpha (a)0.01428
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03439

Expected Shortfall on VaR0.04298
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00917

Expected Shortfall on VaR0.02119
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1780.00000

Minimum0.51771

Quartile 10.99552

Median1.00068

Quartile 31.00639

Maximum1.17714

Mean of quarter 10.98395

Mean of quarter 20.99839

Mean of quarter 31.00325

Mean of quarter 41.01646

Inter Quartile Range0.01087

Number outliers low96.00000

Percentage of outliers low0.05393

Mean of outliers low0.96120

Number of outliers high81.00000

Percentage of outliers high0.04551

Mean of outliers high1.03758
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.43889

VaR(95%) (moments method)0.01471

Expected Shortfall (moments method)0.03049

Extreme Value Index (regression method)0.26240

VaR(95%) (regression method)0.01429

Expected Shortfall (regression method)0.02440
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations20.00000

Minimum0.00003

Quartile 10.00520

Median0.03073

Quartile 30.16146

Maximum0.51118

Mean of quarter 10.00176

Mean of quarter 20.01445

Mean of quarter 30.09134

Mean of quarter 40.28209

Inter Quartile Range0.15626

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.05000

Mean of outliers high0.51118
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.17550

VaR(95%) (moments method)0.29923

Expected Shortfall (moments method)0.37360

Extreme Value Index (regression method)0.14159

VaR(95%) (regression method)0.26389

Expected Shortfall (regression method)0.34862
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.10597

Compounded annual return (geometric extrapolation)0.08309

Calmar ratio (compounded annual return / max draw down)0.16255

Compounded annual return / average of 25% largest draw downs0.29457

Compounded annual return / Expected Shortfall lognormal1.93350

0.00000

0.00000
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.48517

SD0.86496

Sharpe ratio (Glass type estimate)0.56091

Sharpe ratio (Hedges UMVUE)0.55767

df130.00000

t0.39663

p0.48262

Lowerbound of 95% confidence interval for Sharpe Ratio2.21270

Upperbound of 95% confidence interval for Sharpe Ratio3.33259

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.21496

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.33031
 Statistics related to Sortino ratio

Sortino ratio0.65007

Upside Potential Ratio4.42245

Upside part of mean3.30059

Downside part of mean2.81542

Upside SD0.43167

Downside SD0.74633

N nonnegative terms79.00000

N negative terms52.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.92475

Mean of criterion0.48517

SD of predictor0.44320

SD of criterion0.86496

Covariance0.15489

r0.40404

b (slope, estimate of beta)0.78854

a (intercept, estimate of alpha)0.24403

Mean Square Error0.63088

DF error129.00000

t(b)5.01674

p(b)0.24996

t(a)0.21545

p(a)0.51207

Lowerbound of 95% confidence interval for beta0.47755

Upperbound of 95% confidence interval for beta1.09952

Lowerbound of 95% confidence interval for alpha2.48499

Upperbound of 95% confidence interval for alpha1.99693

Treynor index (mean / b)0.61528

Jensen alpha (a)0.24403
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00256

SD1.06949

Sharpe ratio (Glass type estimate)0.00239

Sharpe ratio (Hedges UMVUE)0.00238

df130.00000

t0.00169

p0.50007

Lowerbound of 95% confidence interval for Sharpe Ratio2.77420

Upperbound of 95% confidence interval for Sharpe Ratio2.76942

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.77418

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.76943
 Statistics related to Sortino ratio

Sortino ratio0.00260

Upside Potential Ratio3.26986

Upside part of mean3.21317

Downside part of mean3.21573

Upside SD0.41165

Downside SD0.98266

N nonnegative terms79.00000

N negative terms52.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.82253

Mean of criterion0.00256

SD of predictor0.45506

SD of criterion1.06949

Covariance0.15933

r0.32738

b (slope, estimate of beta)0.76943

a (intercept, estimate of alpha)0.63544

Mean Square Error1.02914

DF error129.00000

t(b)3.93524

p(b)0.29537

t(a)0.44016

p(a)0.52465

VAR (95 Confidence Intrvl)0.03400

Lowerbound of 95% confidence interval for beta0.38258

Upperbound of 95% confidence interval for beta1.15628

Lowerbound of 95% confidence interval for alpha3.49174

Upperbound of 95% confidence interval for alpha2.22086

Treynor index (mean / b)0.00332

Jensen alpha (a)0.63544
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10299

Expected Shortfall on VaR0.12716
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01995

Expected Shortfall on VaR0.04848
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.51771

Quartile 10.99525

Median1.00298

Quartile 31.01812

Maximum1.17714

Mean of quarter 10.95888

Mean of quarter 20.99905

Mean of quarter 31.00846

Mean of quarter 41.04121

Inter Quartile Range0.02288

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.88755

Number of outliers high6.00000

Percentage of outliers high0.04580

Mean of outliers high1.09661
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.00090

VaR(95%) (moments method)0.03204

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.68575

VaR(95%) (regression method)0.03613

Expected Shortfall (regression method)0.13845
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00687

Quartile 10.01045

Median0.01593

Quartile 30.09870

Maximum0.51118

Mean of quarter 10.00728

Mean of quarter 20.01458

Mean of quarter 30.01610

Mean of quarter 40.34624

Inter Quartile Range0.08825

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 high0.51118
 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

Last 4 Months  Pcnt Negative0.50%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?285946000

Max Equity Drawdown (num days)182
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.00256

Compounded annual return (geometric extrapolation)0.00255

Calmar ratio (compounded annual return / max draw down)0.00500

Compounded annual return / average of 25% largest draw downs0.00738

Compounded annual return / Expected Shortfall lognormal0.02009
Strategy Description
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 unfavorable market conditions for the system which
may lead to whipsaws and related losses.
3) Multimentum doesn't buy dips, this means that it won't chase
an asset down buying the whole time. (dipbuy systems can be
profitable, but they can lead to large drawdowns 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 multiperiod index data and use unique trendfollowing 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.
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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
If you designate your strategy as Private, it will no longer be visible to the public.
No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.
Continue to designate your strategy as Private?
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
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.