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These are hypothetical performance results that have certain inherent limitations. Learn more

Multimentum
(46840960)

Created by: MatthewMacClary MatthewMacClary
Started: 02/2010
Stocks
Last trade: 2,044 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $29.00 per month.

6.9%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(32.4%)
Max Drawdown
320
Num Trades
48.4%
Win Trades
1.6 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010       (7.9%)+3.2%+6.3%(4.3%)(6.8%)+4.0%+3.1%(6.3%)+2.1%+1.7%+3.7%(2.4%)
2011+1.0%(1.7%)+4.5%+1.5%(2.2%)(7.5%)(0.8%)+4.7%(8.2%)+0.9%  -  +1.8%(6.6%)
2012+3.3%(0.4%)(1.6%)+1.2%+3.2%+4.2%+0.3%(4.2%)+2.5%+0.6%(2.3%)(11.4%)(5.5%)
2013+4.1%+0.8%+2.5%+0.2%+0.1%(10.8%)(7.1%)(5.4%)+5.4%+8.2%+2.3%+0.8%(0.6%)
2014(2.6%)+5.2%+2.0%+0.1%+2.0%+3.3%(1.3%)+6.6%(3.9%)+8.0%+9.6%+10.9%+46.2%
2015+4.5%(1%)+1.6%(9%)+0.3%(3.6%)+15.7%(10.4%)(0.1%)+6.9%+9.7%+6.8%+20.0%
2016+3.2%+1.3%(2.4%)(10.7%)(2.3%)+2.9%+14.0%(3.2%)(6.2%)(1.8%)(1.8%)(1.3%)(9.9%)
2017+4.1%+5.1%+2.0%+2.7%+3.5%+1.4%(1.6%)+2.8%(1.8%)+1.6%+1.3%+2.0%+25.6%
2018+7.5%(5.9%)(8.2%)+2.4%+2.2%(0.6%)+6.0%+3.9%(0.6%)(12.3%)+11.3%(15.4%)(12.6%)
2019+12.7%+3.4%+3.6%+2.7%+0.4%                                          +24.6%

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.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/24/12 9:30 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 4,656 39.43 7/8/13 13:18 35.63 27.52%
Trade id #76760163
Max drawdown($21,045)
Time7/8/13 12:51
Quant open2,655
Worst price31.50
Drawdown as % of equity-27.52%
($17,730)
Includes Typical Broker Commissions trade costs of $49.47
6/10/13 9:56 DEE POWERSHARES DB COMMODITY DBLE LONG 70 29.64 6/17 12:33 27.25 0.19%
Trade id #81390419
Max drawdown($167)
Time6/17/13 12:33
Quant open0
Worst price27.25
Drawdown as % of equity-0.19%
($168)
Includes Typical Broker Commissions trade costs of $1.40
9/11/12 10:13 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 1,645 84.43 6/17/13 12:33 84.44 0.31%
Trade id #76531420
Max drawdown($315)
Time9/17/12 16:01
Quant open217
Worst price82.99
Drawdown as % of equity-0.31%
($16)
Includes Typical Broker Commissions trade costs of $30.30
6/3/13 9:31 DYY POWERSHARES DB COMMODITY DBLE LONG 343 7.81 6/10 12:40 7.51 0.11%
Trade id #81243320
Max drawdown($103)
Time6/10/13 12:40
Quant open0
Worst price7.51
Drawdown as % of equity-0.11%
($110)
Includes Typical Broker Commissions trade costs of $6.86
6/3/13 9:31 FXP PROSHARES ULTRASHORT FTSE CHIN LONG 5 81.92 6/10 9:31 85.48 0.01%
Trade id #81243312
Max drawdown($7)
Time6/3/13 15:50
Quant open20
Worst price20.09
Drawdown as % of equity-0.01%
$18
Includes Typical Broker Commissions trade costs of $0.10
5/20/13 10:12 DEE POWERSHARES DB COMMODITY DBLE LONG 191 30.95 6/5 13:43 25.50 1.11%
Trade id #80971870
Max drawdown($1,040)
Time6/5/13 13:01
Quant open191
Worst price25.50
Drawdown as % of equity-1.11%
($1,044)
Includes Typical Broker Commissions trade costs of $3.82
5/20/13 10:12 XPP PROSHARES ULTRA FTSE CHINA 50 LONG 3 55.42 6/3 9:36 49.86 0.02%
Trade id #80971854
Max drawdown($20)
Time5/23/13 10:00
Quant open3
Worst price48.65
Drawdown as % of equity-0.02%
($17)
Includes Typical Broker Commissions trade costs of $0.06
4/22/13 9:30 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 248 76.02 6/3 9:31 64.86 2.93%
Trade id #80389544
Max drawdown($2,776)
Time5/15/13 12:16
Quant open231
Worst price64.00
Drawdown as % of equity-2.93%
($2,772)
Includes Typical Broker Commissions trade costs of $4.96
5/6/13 9:30 DYY POWERSHARES DB COMMODITY DBLE LONG 685 7.90 5/20 10:11 7.51 0.28%
Trade id #80701528
Max drawdown($267)
Time5/20/13 10:11
Quant open0
Worst price7.51
Drawdown as % of equity-0.28%
($272)
Includes Typical Broker Commissions trade costs of $5.00
4/1/13 9:30 FXP PROSHARES ULTRASHORT FTSE CHIN LONG 107 79.89 5/20 10:11 76.70 0.44%
Trade id #79976021
Max drawdown($424)
Time5/3/13 13:16
Quant open379
Worst price18.85
Drawdown as % of equity-0.44%
($343)
Includes Typical Broker Commissions trade costs of $2.14
4/1/13 9:30 DYY POWERSHARES DB COMMODITY DBLE LONG 341 8.44 4/22 9:31 7.75 0.35%
Trade id #79976151
Max drawdown($334)
Time4/15/13 11:45
Quant open341
Worst price7.46
Drawdown as % of equity-0.35%
($242)
Includes Typical Broker Commissions trade costs of $6.82
3/19/13 9:30 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 297 57.66 4/22 9:30 49.28 2.88%
Trade id #79774187
Max drawdown($2,724)
Time4/17/13 12:52
Quant open297
Worst price48.49
Drawdown as % of equity-2.88%
($2,496)
Includes Typical Broker Commissions trade costs of $5.94
3/4/13 9:31 XPP PROSHARES ULTRA FTSE CHINA 50 LONG 107 54.33 4/1 9:31 50.57 0.42%
Trade id #79518004
Max drawdown($403)
Time4/1/13 9:31
Quant open82
Worst price51.47
Drawdown as % of equity-0.42%
($405)
Includes Typical Broker Commissions trade costs of $2.14
1/7/13 9:31 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 328 67.29 3/19 9:31 64.32 1.6%
Trade id #78504515
Max drawdown($1,513)
Time3/8/13 11:54
Quant open242
Worst price61.04
Drawdown as % of equity-1.60%
($984)
Includes Typical Broker Commissions trade costs of $6.56
2/25/13 9:31 FXP PROSHARES ULTRASHORT FTSE CHIN LONG 17 74.76 3/4 9:31 78.68 0.03%
Trade id #79384516
Max drawdown($31)
Time2/28/13 14:11
Quant open66
Worst price18.21
Drawdown as % of equity-0.03%
$67
Includes Typical Broker Commissions trade costs of $0.34
2/11/13 9:32 DYY POWERSHARES DB COMMODITY DBLE LONG 1,091 8.99 3/4 9:31 8.45 0.77%
Trade id #79134597
Max drawdown($719)
Time3/1/13 9:59
Quant open864
Worst price8.15
Drawdown as % of equity-0.77%
($600)
Includes Typical Broker Commissions trade costs of $11.46
1/14/13 9:30 XPP PROSHARES ULTRA FTSE CHINA 50 LONG 705 62.42 2/25 9:31 60.51 2.55%
Trade id #78629058
Max drawdown($2,352)
Time2/21/13 12:41
Quant open348
Worst price55.66
Drawdown as % of equity-2.55%
($1,357)
Includes Typical Broker Commissions trade costs of $14.10
1/14/13 9:30 DZZ POWERSHARES DB GOLD DOUBLE SHO LONG 4,464 4.50 2/19 9:31 4.82 0.47%
Trade id #78628800
Max drawdown($433)
Time1/17/13 12:57
Quant open2,891
Worst price4.34
Drawdown as % of equity-0.47%
$1,403
Includes Typical Broker Commissions trade costs of $11.08
1/28/13 9:35 DEE POWERSHARES DB COMMODITY DBLE LONG 55 26.50 2/11 9:31 29.86 0.01%
Trade id #78877794
Max drawdown($10)
Time1/29/13 13:11
Quant open55
Worst price26.31
Drawdown as % of equity-0.01%
$184
Includes Typical Broker Commissions trade costs of $1.10
1/7/13 9:31 FXP PROSHARES ULTRASHORT FTSE CHIN LONG 4 67.12 1/14 9:31 66.52 0.01%
Trade id #78504458
Max drawdown($4)
Time1/10/13 15:49
Quant open14
Worst price16.45
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $0.08
11/19/12 9:32 DGP POWERSHARES DB GOLD DOUBLE LON LONG 458 54.11 1/14/13 9:30 52.69 1.35%
Trade id #77720830
Max drawdown($1,233)
Time12/20/12 11:45
Quant open192
Worst price49.65
Drawdown as % of equity-1.35%
($662)
Includes Typical Broker Commissions trade costs of $9.16
12/19/12 9:43 DEE POWERSHARES DB COMMODITY DBLE LONG 708 28.38 1/9/13 9:30 27.01 1.48%
Trade id #78233093
Max drawdown($1,331)
Time12/31/12 13:14
Quant open708
Worst price26.50
Drawdown as % of equity-1.48%
($980)
Includes Typical Broker Commissions trade costs of $9.58
12/31/12 15:44 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 385 54.45 1/7/13 9:31 58.00 0.1%
Trade id #78404430
Max drawdown($88)
Time12/31/12 16:00
Quant open385
Worst price54.22
Drawdown as % of equity-0.10%
$1,359
Includes Typical Broker Commissions trade costs of $7.70
12/31/12 15:45 XPP PROSHARES ULTRA FTSE CHINA 50 LONG 12 62.13 1/7/13 9:30 64.97 0%
Trade id #78404446
Max drawdown($0)
Time12/31/12 15:47
Quant open12
Worst price62.10
Drawdown as % of equity-0.00%
$34
Includes Typical Broker Commissions trade costs of $0.24
11/26/12 9:31 FXP PROSHARES ULTRASHORT FTSE CHIN LONG 273 85.81 12/31 15:43 77.31 2.58%
Trade id #77827478
Max drawdown($2,313)
Time12/31/12 15:43
Quant open1,084
Worst price17.64
Drawdown as % of equity-2.58%
($2,317)
Includes Typical Broker Commissions trade costs of $5.45
11/12/12 9:31 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 714 78.19 12/31 15:43 72.29 5.99%
Trade id #77591301
Max drawdown($5,595)
Time12/18/12 14:26
Quant open632
Worst price69.34
Drawdown as % of equity-5.99%
($4,224)
Includes Typical Broker Commissions trade costs of $10.60
11/26/12 9:34 DYY POWERSHARES DB COMMODITY DBLE LONG 854 9.04 12/19 9:42 9.35 0.13%
Trade id #77827702
Max drawdown($133)
Time11/28/12 10:17
Quant open837
Worst price8.88
Drawdown as % of equity-0.13%
$255
Includes Typical Broker Commissions trade costs of $7.95
11/12/12 9:30 XPP PROSHARES ULTRA FTSE CHINA 50 LONG 261 50.21 11/26 9:30 52.57 0.09%
Trade id #77591162
Max drawdown($87)
Time11/15/12 12:16
Quant open30
Worst price47.80
Drawdown as % of equity-0.09%
$610
Includes Typical Broker Commissions trade costs of $5.22
11/1/12 13:42 DEE POWERSHARES DB COMMODITY DBLE LONG 674 27.64 11/26 9:30 27.83 0.03%
Trade id #77432818
Max drawdown($33)
Time11/6/12 15:21
Quant open674
Worst price27.59
Drawdown as % of equity-0.03%
$119
Includes Typical Broker Commissions trade costs of $5.79
11/12/12 9:30 DZZ POWERSHARES DB GOLD DOUBLE SHO LONG 1,851 4.16 11/19 9:31 4.18 0.02%
Trade id #77591093
Max drawdown($18)
Time11/12/12 9:32
Quant open1,851
Worst price4.15
Drawdown as % of equity-0.02%
$32
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/4/2010
  • Suggested Minimum Cap
    $97,179
  • Strategy Age (days)
    3377.34
  • Age
    113 months ago
  • What it trades
    Stocks
  • # Trades
    320
  • # Profitable
    155
  • % Profitable
    48.40%
  • Avg trade duration
    47.0 days
  • Max peak-to-valley drawdown
    32.36%
  • drawdown period
    April 08, 2011 - July 08, 2013
  • Annual Return (Compounded)
    6.9%
  • Avg win
    $1,607
  • Avg loss
    $1,068
  • Model Account Values (Raw)
  • Cash
    $49,441
  • Margin Used
    $0
  • Buying Power
    $156,761
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    0.428
  • Sortino Ratio
    0.597
  • Calmar Ratio
    0.36
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.21900
  • Return Statistics
  • Ann Return (w trading costs)
    6.9%
  • Ann Return (Compnd, No Fees)
    7.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    6.67%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    339
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $1,068
  • Avg Win
    $1,607
  • # Winners
    155
  • # Losers
    165
  • % Winners
    48.4%
  • Frequency
  • Avg Position Time (mins)
    67730.90
  • Avg Position Time (hrs)
    1128.85
  • Avg Trade Length
    47.0 days
  • Last Trade Ago
    2030
  • Unknown
  • Alpha
    0.06
  • Beta
    0.28
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08541
  • SD
    0.21314
  • Sharpe ratio (Glass type estimate)
    0.40071
  • Sharpe ratio (Hedges UMVUE)
    0.39680
  • df
    77.00000
  • t
    1.02163
  • p
    0.15508
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17079
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16811
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63600
  • Upside Potential Ratio
    2.27983
  • Upside part of mean
    0.30616
  • Downside part of mean
    -0.22075
  • Upside SD
    0.16559
  • Downside SD
    0.13429
  • N nonnegative terms
    46.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.11132
  • Mean of criterion
    0.08541
  • SD of predictor
    0.12812
  • SD of criterion
    0.21314
  • Covariance
    0.00140
  • r
    0.05120
  • b (slope, estimate of beta)
    0.08518
  • a (intercept, estimate of alpha)
    0.07593
  • Mean Square Error
    0.04591
  • DF error
    76.00000
  • t(b)
    0.44695
  • p(b)
    0.32809
  • t(a)
    0.87599
  • p(a)
    0.19190
  • Lowerbound of 95% confidence interval for beta
    -0.29439
  • Upperbound of 95% confidence interval for beta
    0.46475
  • Lowerbound of 95% confidence interval for alpha
    -0.09670
  • Upperbound of 95% confidence interval for alpha
    0.24855
  • Treynor index (mean / b)
    1.00270
  • Jensen alpha (a)
    0.07593
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06298
  • SD
    0.21076
  • Sharpe ratio (Glass type estimate)
    0.29885
  • Sharpe ratio (Hedges UMVUE)
    0.29593
  • df
    77.00000
  • t
    0.76192
  • p
    0.22422
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.06810
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47425
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06611
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44434
  • Upside Potential Ratio
    2.06630
  • Upside part of mean
    0.29290
  • Downside part of mean
    -0.22991
  • Upside SD
    0.15520
  • Downside SD
    0.14175
  • N nonnegative terms
    46.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.10249
  • Mean of criterion
    0.06298
  • SD of predictor
    0.12840
  • SD of criterion
    0.21076
  • Covariance
    0.00138
  • r
    0.05096
  • b (slope, estimate of beta)
    0.08365
  • a (intercept, estimate of alpha)
    0.05441
  • Mean Square Error
    0.04489
  • DF error
    76.00000
  • t(b)
    0.44486
  • p(b)
    0.32884
  • t(a)
    0.63783
  • p(a)
    0.26275
  • Lowerbound of 95% confidence interval for beta
    -0.29087
  • Upperbound of 95% confidence interval for beta
    0.45818
  • Lowerbound of 95% confidence interval for alpha
    -0.11549
  • Upperbound of 95% confidence interval for alpha
    0.22431
  • Treynor index (mean / b)
    0.75293
  • Jensen alpha (a)
    0.05441
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09047
  • Expected Shortfall on VaR
    0.11308
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03714
  • Expected Shortfall on VaR
    0.07595
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.84841
  • Quartile 1
    0.98114
  • Median
    1.01087
  • Quartile 3
    1.03948
  • Maximum
    1.20701
  • Mean of quarter 1
    0.93604
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.02399
  • Mean of quarter 4
    1.07971
  • Inter Quartile Range
    0.05835
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.86500
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03846
  • Mean of outliers high
    1.18356
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.42196
  • VaR(95%) (moments method)
    0.05402
  • Expected Shortfall (moments method)
    0.06479
  • Extreme Value Index (regression method)
    -0.00791
  • VaR(95%) (regression method)
    0.05062
  • Expected Shortfall (regression method)
    0.06952
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.03288
  • Quartile 1
    0.07137
  • Median
    0.10973
  • Quartile 3
    0.14349
  • Maximum
    0.25358
  • Mean of quarter 1
    0.04699
  • Mean of quarter 2
    0.09189
  • Mean of quarter 3
    0.11461
  • Mean of quarter 4
    0.23564
  • Inter Quartile Range
    0.07212
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.25358
  • 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)
    0.12391
  • Compounded annual return (geometric extrapolation)
    0.09515
  • Calmar ratio (compounded annual return / max draw down)
    0.37523
  • Compounded annual return / average of 25% largest draw downs
    0.40379
  • Compounded annual return / Expected Shortfall lognormal
    0.84147
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08989
  • SD
    0.21004
  • Sharpe ratio (Glass type estimate)
    0.42796
  • Sharpe ratio (Hedges UMVUE)
    0.42777
  • df
    1723.00000
  • t
    1.09779
  • p
    0.48317
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33642
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19197
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59667
  • Upside Potential Ratio
    7.69281
  • Upside part of mean
    1.15893
  • Downside part of mean
    -1.06904
  • Upside SD
    0.14638
  • Downside SD
    0.15065
  • N nonnegative terms
    911.00000
  • N negative terms
    813.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1724.00000
  • Mean of predictor
    0.12719
  • Mean of criterion
    0.08989
  • SD of predictor
    0.20070
  • SD of criterion
    0.21004
  • Covariance
    0.01109
  • r
    0.26301
  • b (slope, estimate of beta)
    0.27526
  • a (intercept, estimate of alpha)
    0.05500
  • Mean Square Error
    0.04109
  • DF error
    1722.00000
  • t(b)
    11.31230
  • p(b)
    0.36850
  • t(a)
    0.69395
  • p(a)
    0.49164
  • Lowerbound of 95% confidence interval for beta
    0.22753
  • Upperbound of 95% confidence interval for beta
    0.32298
  • Lowerbound of 95% confidence interval for alpha
    -0.10023
  • Upperbound of 95% confidence interval for alpha
    0.20999
  • Treynor index (mean / b)
    0.32657
  • Jensen alpha (a)
    0.05488
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06776
  • SD
    0.21050
  • Sharpe ratio (Glass type estimate)
    0.32192
  • Sharpe ratio (Hedges UMVUE)
    0.32178
  • df
    1723.00000
  • t
    0.82579
  • p
    0.48734
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44226
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.08602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08592
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44182
  • Upside Potential Ratio
    7.48697
  • Upside part of mean
    1.14831
  • Downside part of mean
    -1.08055
  • Upside SD
    0.14415
  • Downside SD
    0.15338
  • N nonnegative terms
    911.00000
  • N negative terms
    813.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1724.00000
  • Mean of predictor
    0.10693
  • Mean of criterion
    0.06776
  • SD of predictor
    0.20147
  • SD of criterion
    0.21050
  • Covariance
    0.01114
  • r
    0.26261
  • b (slope, estimate of beta)
    0.27439
  • a (intercept, estimate of alpha)
    0.03842
  • Mean Square Error
    0.04128
  • DF error
    1722.00000
  • t(b)
    11.29410
  • p(b)
    0.36869
  • t(a)
    0.48488
  • p(a)
    0.49416
  • Lowerbound of 95% confidence interval for beta
    0.22674
  • Upperbound of 95% confidence interval for beta
    0.32204
  • Lowerbound of 95% confidence interval for alpha
    -0.11700
  • Upperbound of 95% confidence interval for alpha
    0.19385
  • Treynor index (mean / b)
    0.24696
  • Jensen alpha (a)
    0.03842
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02091
  • Expected Shortfall on VaR
    0.02621
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00896
  • Expected Shortfall on VaR
    0.01855
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1724.00000
  • Minimum
    0.91877
  • Quartile 1
    0.99552
  • Median
    1.00064
  • Quartile 3
    1.00613
  • Maximum
    1.08616
  • Mean of quarter 1
    0.98556
  • Mean of quarter 2
    0.99836
  • Mean of quarter 3
    1.00310
  • Mean of quarter 4
    1.01477
  • Inter Quartile Range
    0.01062
  • Number outliers low
    90.00000
  • Percentage of outliers low
    0.05220
  • Mean of outliers low
    0.96766
  • Number of outliers high
    68.00000
  • Percentage of outliers high
    0.03944
  • Mean of outliers high
    1.03343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33727
  • VaR(95%) (moments method)
    0.01356
  • Expected Shortfall (moments method)
    0.02459
  • Extreme Value Index (regression method)
    0.16578
  • VaR(95%) (regression method)
    0.01386
  • Expected Shortfall (regression method)
    0.02182
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00445
  • Median
    0.03073
  • Quartile 3
    0.15345
  • Maximum
    0.27864
  • Mean of quarter 1
    0.00176
  • Mean of quarter 2
    0.01404
  • Mean of quarter 3
    0.07386
  • Mean of quarter 4
    0.21211
  • Inter Quartile Range
    0.14900
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.03364
  • VaR(95%) (moments method)
    0.23599
  • Expected Shortfall (moments method)
    0.28913
  • Extreme Value Index (regression method)
    -0.85626
  • VaR(95%) (regression method)
    0.18924
  • Expected Shortfall (regression method)
    0.19334
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13324
  • Compounded annual return (geometric extrapolation)
    0.10040
  • Calmar ratio (compounded annual return / max draw down)
    0.36032
  • Compounded annual return / average of 25% largest draw downs
    0.47333
  • Compounded annual return / Expected Shortfall lognormal
    3.83119
  • 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
  • Mean
    0.20953
  • SD
    0.32948
  • Sharpe ratio (Glass type estimate)
    0.63595
  • Sharpe ratio (Hedges UMVUE)
    0.63227
  • df
    130.00000
  • t
    0.44968
  • p
    0.48030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13814
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40763
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.14060
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40514
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88355
  • Upside Potential Ratio
    7.45512
  • Upside part of mean
    1.76797
  • Downside part of mean
    -1.55844
  • Upside SD
    0.22728
  • Downside SD
    0.23715
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23070
  • Mean of criterion
    0.20953
  • SD of predictor
    0.25240
  • SD of criterion
    0.32948
  • Covariance
    0.07563
  • r
    0.90948
  • b (slope, estimate of beta)
    1.18720
  • a (intercept, estimate of alpha)
    -0.06435
  • Mean Square Error
    0.01891
  • DF error
    129.00000
  • t(b)
    24.84660
  • p(b)
    0.01612
  • t(a)
    -0.33038
  • p(a)
    0.51851
  • Lowerbound of 95% confidence interval for beta
    1.09267
  • Upperbound of 95% confidence interval for beta
    1.28174
  • Lowerbound of 95% confidence interval for alpha
    -0.44972
  • Upperbound of 95% confidence interval for alpha
    0.32102
  • Treynor index (mean / b)
    0.17649
  • Jensen alpha (a)
    -0.06435
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15534
  • SD
    0.33072
  • Sharpe ratio (Glass type estimate)
    0.46969
  • Sharpe ratio (Hedges UMVUE)
    0.46698
  • df
    130.00000
  • t
    0.33212
  • p
    0.48544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23937
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63729
  • Upside Potential Ratio
    7.14985
  • Upside part of mean
    1.74277
  • Downside part of mean
    -1.58744
  • Upside SD
    0.22186
  • Downside SD
    0.24375
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19866
  • Mean of criterion
    0.15534
  • SD of predictor
    0.25432
  • SD of criterion
    0.33072
  • Covariance
    0.07656
  • r
    0.91023
  • b (slope, estimate of beta)
    1.18366
  • a (intercept, estimate of alpha)
    -0.07981
  • Mean Square Error
    0.01890
  • DF error
    129.00000
  • t(b)
    24.96470
  • p(b)
    0.01593
  • t(a)
    -0.41000
  • p(a)
    0.52296
  • Lowerbound of 95% confidence interval for beta
    1.08985
  • Upperbound of 95% confidence interval for beta
    1.27747
  • Lowerbound of 95% confidence interval for alpha
    -0.46496
  • Upperbound of 95% confidence interval for alpha
    0.30533
  • Treynor index (mean / b)
    0.13124
  • Jensen alpha (a)
    -0.07981
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03248
  • Expected Shortfall on VaR
    0.04067
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01227
  • Expected Shortfall on VaR
    0.02644
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92262
  • Quartile 1
    0.99514
  • Median
    1.00106
  • Quartile 3
    1.00924
  • Maximum
    1.08616
  • Mean of quarter 1
    0.97845
  • Mean of quarter 2
    0.99831
  • Mean of quarter 3
    1.00463
  • Mean of quarter 4
    1.02235
  • Inter Quartile Range
    0.01410
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.95142
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.05018
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61414
  • VaR(95%) (moments method)
    0.02032
  • Expected Shortfall (moments method)
    0.05968
  • Extreme Value Index (regression method)
    0.29832
  • VaR(95%) (regression method)
    0.02092
  • Expected Shortfall (regression method)
    0.03875
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00773
  • Quartile 1
    0.00787
  • Median
    0.00800
  • Quartile 3
    0.09472
  • Maximum
    0.18144
  • Mean of quarter 1
    0.00773
  • Mean of quarter 2
    0.00800
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18144
  • Inter Quartile Range
    0.08685
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.19190
  • Compounded annual return (geometric extrapolation)
    0.20111
  • Calmar ratio (compounded annual return / max draw down)
    1.10843
  • Compounded annual return / average of 25% largest draw downs
    1.10843
  • Compounded annual return / Expected Shortfall lognormal
    4.94445

Strategy 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.

Summary Statistics

Strategy began
2010-02-04
Suggested Minimum Capital
$15,000
# Trades
320
# Profitable
155
% Profitable
48.4%
Net Dividends
Correlation S&P500
0.219
Sharpe Ratio
0.43
Sortino Ratio
0.60
Beta
0.28
Alpha
0.06

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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 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.

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 re-scaled downward to make current go-forward 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 per-trade 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.

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