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%  (31.4%) 
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  $116,047  
Cash  $50,456  
Equity  $65,590  
Cumulative $  $47,525  
Includes dividends and cashsettled expirations:  $16,500  Itemized 
Total System Equity  $144,704  
Margined  $0  
Open P/L  $61,980 
Trading Record
Statistics

Strategy began2/4/2010

Suggested Minimum Cap$97,179

Strategy Age (days)3917.4

Age131 months ago

What it tradesStocks

# Trades320

# Profitable156

% Profitable48.80%

Avg trade duration55.5 days

Max peaktovalley drawdown61.68%

drawdown periodFeb 23, 2020  Aug 18, 2020

Annual Return (Compounded)3.3%

Avg win$983.88

Avg loss$1,037
 Model Account Values (Raw)

Cash$50,456

Margin Used$0

Buying Power$116,047
 Ratios

W:L ratio1.10:1

Sharpe Ratio0.17

Sortino Ratio0.21

Calmar Ratio0.128
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)178.04%

Correlation to SP5000.24350

Return Percent SP500 (cumu) during strategy life219.04%
 Return Statistics

Ann Return (w trading costs)3.3%
 Slump

Current Slump as Pcnt Equity61.20%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.06%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.033%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)4.0%
 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$1,046

Avg Win$1,299

Sum Trade PL (losers)$171,539.000
 Age

Num Months filled monthly returns table129
 Win / Loss

Sum Trade PL (winners)$202,602.000

# Winners156

Num Months Winners80
 Dividends

Dividends Received in Model Acct16500
 Win / Loss

# Losers164

% Winners48.8%
 Frequency

Avg Position Time (mins)79882.20

Avg Position Time (hrs)1331.37

Avg Trade Length55.5 days

Last Trade Ago2570
 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)17.07

MAE:Equity, average, winning trades0.03

MAE:Equity, average, losing trades0.10

Avg(MAE) / Avg(PL)  All trades81.860

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 trades2.193

Avg(MAE) / Avg(PL)  Losing trades8.319

HoldandHope Ratio0.014
 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

Mean0.08986

SD0.30244

Sharpe ratio (Glass type estimate)0.29713

Sharpe ratio (Hedges UMVUE)0.29700

df1757.00000

t0.76967

p0.48831

Lowerbound of 95% confidence interval for Sharpe Ratio0.45961

Upperbound of 95% confidence interval for Sharpe Ratio1.05380

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.45970

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.05370
 Statistics related to Sortino ratio

Sortino ratio0.36527

Upside Potential Ratio5.12401

Upside part of mean1.26061

Downside part of mean1.17074

Upside SD0.17585

Downside SD0.24602

N nonnegative terms933.00000

N negative terms825.00000
 Statistics related to linear regression on benchmark

N of observations1758.00000

Mean of predictor0.15418

Mean of criterion0.08986

SD of predictor0.22318

SD of criterion0.30244

Covariance0.01748

r0.25894

b (slope, estimate of beta)0.35090

a (intercept, estimate of alpha)0.03600

Mean Square Error0.08539

DF error1756.00000

t(b)11.23380

p(b)0.37053

t(a)0.31673

p(a)0.49622

Lowerbound of 95% confidence interval for beta0.28964

Upperbound of 95% confidence interval for beta0.41217

Lowerbound of 95% confidence interval for alpha0.18569

Upperbound of 95% confidence interval for alpha0.25721

Treynor index (mean / b)0.25609

Jensen alpha (a)0.03576
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03543

SD0.34769

Sharpe ratio (Glass type estimate)0.10189

Sharpe ratio (Hedges UMVUE)0.10185

df1757.00000

t0.26394

p0.49599

Lowerbound of 95% confidence interval for Sharpe Ratio0.65475

Upperbound of 95% confidence interval for Sharpe Ratio0.85854

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.65480

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85850
 Statistics related to Sortino ratio

Sortino ratio0.11705

Upside Potential Ratio4.11545

Upside part of mean1.24559

Downside part of mean1.21016

Upside SD0.17094

Downside SD0.30266

N nonnegative terms933.00000

N negative terms825.00000
 Statistics related to linear regression on benchmark

N of observations1758.00000

Mean of predictor0.12892

Mean of criterion0.03543

SD of predictor0.22547

SD of criterion0.34769

Covariance0.01773

r0.22618

b (slope, estimate of beta)0.34878

a (intercept, estimate of alpha)0.00954

Mean Square Error0.11477

DF error1756.00000

t(b)9.72996

p(b)0.38691

t(a)0.07287

p(a)0.50087

Lowerbound of 95% confidence interval for beta0.27847

Upperbound of 95% confidence interval for beta0.41908

Lowerbound of 95% confidence interval for alpha0.26620

Upperbound of 95% confidence interval for alpha0.24713

Treynor index (mean / b)0.10157

Jensen alpha (a)0.00954
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03458

Expected Shortfall on VaR0.04318
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00948

Expected Shortfall on VaR0.02180
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1758.00000

Minimum0.51771

Quartile 10.99553

Median1.00067

Quartile 31.00629

Maximum1.17714

Mean of quarter 10.98399

Mean of quarter 20.99840

Mean of quarter 31.00320

Mean of quarter 41.01621

Inter Quartile Range0.01076

Number outliers low96.00000

Percentage of outliers low0.05461

Mean of outliers low0.96144

Number of outliers high79.00000

Percentage of outliers high0.04494

Mean of outliers high1.03757
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.44178

VaR(95%) (moments method)0.01469

Expected Shortfall (moments method)0.03057

Extreme Value Index (regression method)0.26842

VaR(95%) (regression method)0.01427

Expected Shortfall (regression method)0.02451
 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)0.07892

Compounded annual return (geometric extrapolation)0.06538

Calmar ratio (compounded annual return / max draw down)0.12790

Compounded annual return / average of 25% largest draw downs0.23178

Compounded annual return / Expected Shortfall lognormal1.51416

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

Mean0.16477

SD0.85631

Sharpe ratio (Glass type estimate)0.19242

Sharpe ratio (Hedges UMVUE)0.19131

df130.00000

t0.13606

p0.49403

Lowerbound of 95% confidence interval for Sharpe Ratio2.57985

Upperbound of 95% confidence interval for Sharpe Ratio2.96396

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.58060

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.96321
 Statistics related to Sortino ratio

Sortino ratio0.22149

Upside Potential Ratio3.88488

Upside part of mean2.89003

Downside part of mean2.72526

Upside SD0.41756

Downside SD0.74392

N nonnegative terms75.00000

N negative terms56.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.50807

Mean of criterion0.16477

SD of predictor0.42883

SD of criterion0.85631

Covariance0.14376

r0.39150

b (slope, estimate of beta)0.78176

a (intercept, estimate of alpha)0.23242

Mean Square Error0.62569

DF error129.00000

t(b)4.83229

p(b)0.25729

t(a)0.20721

p(a)0.51161

Lowerbound of 95% confidence interval for beta0.46168

Upperbound of 95% confidence interval for beta1.10185

Lowerbound of 95% confidence interval for alpha2.45166

Upperbound of 95% confidence interval for alpha1.98682

Treynor index (mean / b)0.21077

Jensen alpha (a)0.23242
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31525

SD1.06208

Sharpe ratio (Glass type estimate)0.29682

Sharpe ratio (Hedges UMVUE)0.29510

df130.00000

t0.20988

p0.50920

Lowerbound of 95% confidence interval for Sharpe Ratio3.06838

Upperbound of 95% confidence interval for Sharpe Ratio2.47571

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.06714

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.47693
 Statistics related to Sortino ratio

Sortino ratio0.32142

Upside Potential Ratio2.86317

Upside part of mean2.80817

Downside part of mean3.12342

Upside SD0.39728

Downside SD0.98079

N nonnegative terms75.00000

N negative terms56.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.41309

Mean of criterion0.31525

SD of predictor0.44094

SD of criterion1.06208

Covariance0.14747

r0.31489

b (slope, estimate of beta)0.75846

a (intercept, estimate of alpha)0.62856

Mean Square Error1.02405

DF error129.00000

t(b)3.76811

p(b)0.30290

t(a)0.43847

p(a)0.52455

VAR (95 Confidence Intrvl)0.03500

Lowerbound of 95% confidence interval for beta0.36022

Upperbound of 95% confidence interval for beta1.15671

Lowerbound of 95% confidence interval for alpha3.46483

Upperbound of 95% confidence interval for alpha2.20772

Treynor index (mean / b)0.41564

Jensen alpha (a)0.62856
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10339

Expected Shortfall on VaR0.12738
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02039

Expected Shortfall on VaR0.04909
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.51771

Quartile 10.99567

Median1.00170

Quartile 31.01064

Maximum1.17714

Mean of quarter 10.96042

Mean of quarter 20.99873

Mean of quarter 31.00544

Mean of quarter 41.03850

Inter Quartile Range0.01497

Number outliers low12.00000

Percentage of outliers low0.09160

Mean of outliers low0.90867

Number of outliers high13.00000

Percentage of outliers high0.09924

Mean of outliers high1.06666
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.09731

VaR(95%) (moments method)0.03237

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.98988

VaR(95%) (regression method)0.02862

Expected Shortfall (regression method)2.96458
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00687

Quartile 10.01184

Median0.01601

Quartile 30.08448

Maximum0.51118

Mean of quarter 10.00728

Mean of quarter 20.01458

Mean of quarter 30.03415

Mean of quarter 40.34624

Inter Quartile Range0.07264

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 Negative0.50%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?313087000

Max Equity Drawdown (num days)177
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.26765

Compounded annual return (geometric extrapolation)0.24974

Calmar ratio (compounded annual return / max draw down)0.48856

Compounded annual return / average of 25% largest draw downs0.72129

Compounded annual return / Expected Shortfall lognormal1.96060
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.