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%  +8.4%  +2.4%  +0.8%  (0.9%) 
2014  (2.7%)  +5.3%  +2.1%  +0.1%  +2.0%  +3.4%  (1.4%)  +6.7%  (4%)  +8.1%  +9.8%  +11.1%  +47.0% 
2015  +4.5%  (1%)  +1.6%  (9.1%)  +0.3%  (3.6%)  +15.9%  (10.6%)  (0.1%)  +7.0%  +9.8%  +6.9%  +20.2% 
2016  +3.2%  +1.4%  (2.5%)  (10.8%)  (2.3%)  +2.9%  +14.2%  (3.3%)  (6.2%)  (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%  +25.8% 
2018  +7.6%  (5.9%)  (8.3%)  +2.4%  +2.3%  (0.6%)  +6.0%  +3.9%  (0.6%)  (12.4%)  +11.4%  (15.5%)  (12.7%) 
2019  +12.8%  +3.4%  +3.7%  +2.7%  +0.4%    (1.1%)  +3.5%  +2.3%  +2.7%  +5.1%  +43.6%  
2020  +5.7%  (10.9%)  (12.7%)  +16.6%  (4.9%)  +2.9%  +8.3%  (31.7%)  (6.4%)  +5.6%  +3.8%  +1.4%  (27.8%) 
2021  (0.4%)  (0.4%) 
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  $126,855  
Cash  $50,547  
Equity  $76,308  
Cumulative $  $58,436  
Includes dividends and cashsettled expirations:  $16,591  Itemized 
Total System Equity  $155,615  
Margined  $0  
Open P/L  $72,800 
Trading Record
Statistics

Strategy began2/4/2010

Suggested Minimum Cap$97,179

Strategy Age (days)3997.53

Age133 months ago

What it tradesStocks

# Trades320

# Profitable154

% Profitable48.10%

Avg trade duration56.7 days

Max peaktovalley drawdown61.68%

drawdown periodFeb 23, 2020  Aug 18, 2020

Annual Return (Compounded)3.9%

Avg win$1,003

Avg loss$1,052
 Model Account Values (Raw)

Cash$50,547

Margin Used$0

Buying Power$126,855
 Ratios

W:L ratio1.07:1

Sharpe Ratio0.19

Sortino Ratio0.22

Calmar Ratio0.141
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)206.38%

Correlation to SP5000.24460

Return Percent SP500 (cumu) during strategy life254.57%
 Return Statistics

Ann Return (w trading costs)3.9%
 Slump

Current Slump as Pcnt Equity53.80%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.08%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.039%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)4.3%
 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$1,063

Avg Win$1,417

Sum Trade PL (losers)$176,445.000
 Age

Num Months filled monthly returns table132
 Win / Loss

Sum Trade PL (winners)$218,245.000

# Winners154

Num Months Winners82
 Dividends

Dividends Received in Model Acct16591
 Win / Loss

# Losers166

% Winners48.1%
 Frequency

Avg Position Time (mins)81685.20

Avg Position Time (hrs)1361.42

Avg Trade Length56.7 days

Last Trade Ago2650
 Regression

Alpha0.00

Beta0.38

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)17.06

MAE:Equity, average, winning trades0.03

MAE:Equity, average, losing trades0.10

Avg(MAE) / Avg(PL)  All trades56.100

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades2.021

Avg(MAE) / Avg(PL)  Losing trades8.133

HoldandHope Ratio0.020
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.10662

SD0.21496

Sharpe ratio (Glass type estimate)0.49601

Sharpe ratio (Hedges UMVUE)0.49129

df79.00000

t1.28071

p0.10202

Lowerbound of 95% confidence interval for Sharpe Ratio0.26854

Upperbound of 95% confidence interval for Sharpe Ratio1.25748

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.27165

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.25424
 Statistics related to Sortino ratio

Sortino ratio0.80409

Upside Potential Ratio2.42724

Upside part of mean0.32186

Downside part of mean0.21523

Upside SD0.17028

Downside SD0.13260

N nonnegative terms48.00000

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

N of observations80.00000

Mean of predictor0.12531

Mean of criterion0.10662

SD of predictor0.13088

SD of criterion0.21496

Covariance0.00281

r0.09975

b (slope, estimate of beta)0.16383

a (intercept, estimate of alpha)0.08609

Mean Square Error0.04633

DF error78.00000

t(b)0.88537

p(b)0.18934

t(a)0.99494

p(a)0.16142

Lowerbound of 95% confidence interval for beta0.20456

Upperbound of 95% confidence interval for beta0.53222

Lowerbound of 95% confidence interval for alpha0.08618

Upperbound of 95% confidence interval for alpha0.25837

Treynor index (mean / b)0.65082

Jensen alpha (a)0.08609
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.08366

SD0.21233

Sharpe ratio (Glass type estimate)0.39399

Sharpe ratio (Hedges UMVUE)0.39023

df79.00000

t1.01727

p0.15607

Lowerbound of 95% confidence interval for Sharpe Ratio0.36882

Upperbound of 95% confidence interval for Sharpe Ratio1.15433

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.37129

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.15176
 Statistics related to Sortino ratio

Sortino ratio0.59769

Upside Potential Ratio2.19925

Upside part of mean0.30782

Downside part of mean0.22417

Upside SD0.15973

Downside SD0.13997

N nonnegative terms48.00000

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

N of observations80.00000

Mean of predictor0.11600

Mean of criterion0.08366

SD of predictor0.13078

SD of criterion0.21233

Covariance0.00267

r0.09621

b (slope, estimate of beta)0.15621

a (intercept, estimate of alpha)0.06554

Mean Square Error0.04524

DF error78.00000

t(b)0.85370

p(b)0.19794

t(a)0.77040

p(a)0.22170

Lowerbound of 95% confidence interval for beta0.20808

Upperbound of 95% confidence interval for beta0.52050

Lowerbound of 95% confidence interval for alpha0.10382

Upperbound of 95% confidence interval for alpha0.23489

Treynor index (mean / b)0.53553

Jensen alpha (a)0.06554
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08958

Expected Shortfall on VaR0.11238
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03553

Expected Shortfall on VaR0.07340
 ORDER STATISTICS
 Quartiles of return rates

Number of observations80.00000

Minimum0.84841

Quartile 10.98244

Median1.01195

Quartile 31.04189

Maximum1.20701

Mean of quarter 10.93604

Mean of quarter 20.99884

Mean of quarter 31.02632

Mean of quarter 41.08365

Inter Quartile Range0.05945

Number outliers low3.00000

Percentage of outliers low0.03750

Mean of outliers low0.86500

Number of outliers high3.00000

Percentage of outliers high0.03750

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

Extreme Value Index (moments method)0.42196

VaR(95%) (moments method)0.05363

Expected Shortfall (moments method)0.06452

Extreme Value Index (regression method)0.00791

VaR(95%) (regression method)0.05014

Expected Shortfall (regression method)0.06904
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.03288

Quartile 10.07137

Median0.10973

Quartile 30.14349

Maximum0.25358

Mean of quarter 10.04699

Mean of quarter 20.09189

Mean of quarter 30.11461

Mean of quarter 40.23564

Inter Quartile Range0.07212

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

Mean of outliers high0.25358
 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

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.16557

Compounded annual return (geometric extrapolation)0.11803

Calmar ratio (compounded annual return / max draw down)0.46543

Compounded annual return / average of 25% largest draw downs0.50087

Compounded annual return / Expected Shortfall lognormal1.05027

0.00000

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

Mean0.09612

SD0.30212

Sharpe ratio (Glass type estimate)0.31813

Sharpe ratio (Hedges UMVUE)0.31800

df1764.00000

t0.82571

p0.49017

Lowerbound of 95% confidence interval for Sharpe Ratio0.43711

Upperbound of 95% confidence interval for Sharpe Ratio1.07331

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.43721

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07321
 Statistics related to Sortino ratio

Sortino ratio0.39141

Upside Potential Ratio5.14985

Upside part of mean1.26460

Downside part of mean1.16848

Upside SD0.17596

Downside SD0.24556

N nonnegative terms937.00000

N negative terms828.00000
 Statistics related to linear regression on benchmark

N of observations1765.00000

Mean of predictor0.16915

Mean of criterion0.09612

SD of predictor0.22360

SD of criterion0.30212

Covariance0.01757

r0.26002

b (slope, estimate of beta)0.35135

a (intercept, estimate of alpha)0.03700

Mean Square Error0.08516

DF error1763.00000

t(b)11.30690

p(b)0.33635

t(a)0.32595

p(a)0.49506

Lowerbound of 95% confidence interval for beta0.29040

Upperbound of 95% confidence interval for beta0.41229

Lowerbound of 95% confidence interval for alpha0.18407

Upperbound of 95% confidence interval for alpha0.25744

Treynor index (mean / b)0.27357

Jensen alpha (a)0.03669
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.04181

SD0.34725

Sharpe ratio (Glass type estimate)0.12040

Sharpe ratio (Hedges UMVUE)0.12034

df1764.00000

t0.31249

p0.49628

Lowerbound of 95% confidence interval for Sharpe Ratio0.63475

Upperbound of 95% confidence interval for Sharpe Ratio0.87555

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.63480

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.87549
 Statistics related to Sortino ratio

Sortino ratio0.13839

Upside Potential Ratio4.13646

Upside part of mean1.24956

Downside part of mean1.20775

Upside SD0.17106

Downside SD0.30208

N nonnegative terms937.00000

N negative terms828.00000
 Statistics related to linear regression on benchmark

N of observations1765.00000

Mean of predictor0.14378

Mean of criterion0.04181

SD of predictor0.22586

SD of criterion0.34725

Covariance0.01782

r0.22719

b (slope, estimate of beta)0.34929

a (intercept, estimate of alpha)0.00841

Mean Square Error0.11442

DF error1763.00000

t(b)9.79545

p(b)0.35662

t(a)0.06452

p(a)0.50098

Lowerbound of 95% confidence interval for beta0.27936

Upperbound of 95% confidence interval for beta0.41923

Lowerbound of 95% confidence interval for alpha0.26422

Upperbound of 95% confidence interval for alpha0.24739

Treynor index (mean / b)0.11969

Jensen alpha (a)0.00841
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03452

Expected Shortfall on VaR0.04310
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00946

Expected Shortfall on VaR0.02175
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1765.00000

Minimum0.51771

Quartile 10.99556

Median1.00067

Quartile 31.00634

Maximum1.17714

Mean of quarter 10.98403

Mean of quarter 20.99840

Mean of quarter 31.00323

Mean of quarter 41.01626

Inter Quartile Range0.01078

Number outliers low96.00000

Percentage of outliers low0.05439

Mean of outliers low0.96144

Number of outliers high79.00000

Percentage of outliers high0.04476

Mean of outliers high1.03761
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.43639

VaR(95%) (moments method)0.01457

Expected Shortfall (moments method)0.03013

Extreme Value Index (regression method)0.26643

VaR(95%) (regression method)0.01423

Expected Shortfall (regression method)0.02443
 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)0.08898

Compounded annual return (geometric extrapolation)0.07220

Calmar ratio (compounded annual return / max draw down)0.14125

Compounded annual return / average of 25% largest draw downs0.25595

Compounded annual return / Expected Shortfall lognormal1.67508

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

Mean0.22704

SD0.85757

Sharpe ratio (Glass type estimate)0.26475

Sharpe ratio (Hedges UMVUE)0.26322

df130.00000

t0.18721

p0.49179

Lowerbound of 95% confidence interval for Sharpe Ratio2.50773

Upperbound of 95% confidence interval for Sharpe Ratio3.03626

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.50877

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.03521
 Statistics related to Sortino ratio

Sortino ratio0.30515

Upside Potential Ratio4.00467

Upside part of mean2.97963

Downside part of mean2.75259

Upside SD0.42001

Downside SD0.74404

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.69496

Mean of criterion0.22704

SD of predictor0.43394

SD of criterion0.85757

Covariance0.14564

r0.39138

b (slope, estimate of beta)0.77347

a (intercept, estimate of alpha)0.31049

Mean Square Error0.62760

DF error129.00000

t(b)4.83057

p(b)0.25736

t(a)0.27578

p(a)0.51545

Lowerbound of 95% confidence interval for beta0.45667

Upperbound of 95% confidence interval for beta1.09027

Lowerbound of 95% confidence interval for alpha2.53805

Upperbound of 95% confidence interval for alpha1.91707

Treynor index (mean / b)0.29354

Jensen alpha (a)0.31049
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.25409

SD1.06318

Sharpe ratio (Glass type estimate)0.23899

Sharpe ratio (Hedges UMVUE)0.23760

df130.00000

t0.16899

p0.50741

Lowerbound of 95% confidence interval for Sharpe Ratio3.01058

Upperbound of 95% confidence interval for Sharpe Ratio2.53334

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.00956

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.53435
 Statistics related to Sortino ratio

Sortino ratio0.25904

Upside Potential Ratio2.95320

Upside part of mean2.89676

Downside part of mean3.15084

Upside SD0.39980

Downside SD0.98089

N nonnegative terms74.00000

N negative terms57.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.59740

Mean of criterion0.25409

SD of predictor0.44590

SD of criterion1.06318

Covariance0.14967

r0.31571

b (slope, estimate of beta)0.75275

a (intercept, estimate of alpha)0.70378

Mean Square Error1.02559

DF error129.00000

t(b)3.77902

p(b)0.30240

t(a)0.48971

p(a)0.52741

VAR (95 Confidence Intrvl)0.03500

Lowerbound of 95% confidence interval for beta0.35864

Upperbound of 95% confidence interval for beta1.14686

Lowerbound of 95% confidence interval for alpha3.54717

Upperbound of 95% confidence interval for alpha2.13961

Treynor index (mean / b)0.33754

Jensen alpha (a)0.70378
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10328

Expected Shortfall on VaR0.12730
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02087

Expected Shortfall on VaR0.05007
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.51771

Quartile 10.99525

Median1.00170

Quartile 31.01210

Maximum1.17714

Mean of quarter 10.96032

Mean of quarter 20.99840

Mean of quarter 31.00623

Mean of quarter 41.03909

Inter Quartile Range0.01686

Number outliers low10.00000

Percentage of outliers low0.07634

Mean of outliers low0.89604

Number of outliers high11.00000

Percentage of outliers high0.08397

Mean of outliers high1.07229
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.07557

VaR(95%) (moments method)0.03228

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.98357

VaR(95%) (regression method)0.02857

Expected Shortfall (regression method)1.82042
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00687

Quartile 10.01184

Median0.01601

Quartile 30.08359

Maximum0.51118

Mean of quarter 10.00728

Mean of quarter 20.01458

Mean of quarter 30.03356

Mean of quarter 40.34624

Inter Quartile Range0.07175

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

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 Negative0.25%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?354039000

Max Equity Drawdown (num days)177
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.21386

Compounded annual return (geometric extrapolation)0.20242

Calmar ratio (compounded annual return / max draw down)0.39599

Compounded annual return / average of 25% largest draw downs0.58463

Compounded annual return / Expected Shortfall lognormal1.59015
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.