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%)  +2.6%  +5.8%  (4.9%)  (7.6%)  +3.5%  +2.6%  (7.2%)  +1.5%  +1.1%  +2.6%  (8.9%)  
2011  +0.4%  (1.8%)  +4.2%  +1.0%  (3.7%)  (8.9%)  (1.6%)  +4.6%  (10%)  +0.3%  (0.7%)  +1.3%  (14.8%) 
2012  +3.1%  (1.2%)  (2.6%)  +0.7%  +3.1%  +4.3%  (0.3%)  (5.8%)  +3.0%  +0.7%  (2.9%)  (14.1%)  (12.8%) 
2013  +5.1%  +1.0%  +3.1%  +0.2%  +0.1%  (13.5%)  (9.3%)  (7.2%)  +7.2%  +10.7%  +2.9%  +0.9%  (1.5%) 
2014  (3.5%)  +6.6%  +2.6%  +0.2%  +2.5%  +4.2%  (1.7%)  +8.3%  (4.9%)  +9.9%  +11.8%  +13.1%  +59.1% 
2015  +5.3%  (1.2%)  +1.9%  (10.5%)  +0.3%  (4.3%)  +18.8%  (12.2%)  (0.1%)  +8.3%  +11.4%  +7.9%  +23.5% 
2016  +3.7%  +1.5%  (2.8%)  (12.3%)  (2.6%)  +3.3%  +16.3%  (3.7%)  (7.1%)  (2.1%)  (2.1%)  (1.5%)  (11.3%) 
2017  +4.8%  +5.9%  +2.3%  +3.1%  +4.0%  +1.5%  (1.8%)  +3.2%  (2%)  +1.8%  +1.4%  +2.2%  +29.8% 
2018  +8.5%  (6.6%)  (9.2%)  +2.7%  +2.5%  (0.7%)  +6.8%  +4.4%  (0.6%)  (13.8%)  +12.9%  (17.2%)  (14.2%) 
2019  +14.6%  +3.8%  +4.1%  +3.0%  +0.5%    (1.2%)  +3.8%  +2.5%  +3.0%  +5.6%  +49.5%  
2020  +6.3%  (11.9%)  (14%)  +18.5%  (5.4%)  +3.2%  +9.1%    
2021  (17%)  (1.5%)  +4.1%  (0.8%)  +9.6%  (3.2%)  
2022  (14.1%)  (2%)  +4.7%  (11.2%)  (8.2%)  (11%)  +4.2%  +9.8%  (6%)  (12.1%)  +7.3%  (8.9%)  (40.8%) 
2023  +12.3%  (6.2%)  +1.9%  +8.4%  +0.1% 
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  $120,869  
Cash  $51,327  
Equity  $69,541  
Cumulative $  $52,496  
Includes dividends and cashsettled expirations:  $17,410  Itemized 
Total System Equity  $149,675  
Margined  $0  
Open P/L  $66,051 
Trading Record
Statistics

Strategy began2/4/2010

Suggested Minimum Cap$97,179

Strategy Age (days)4861.15

Age162 months ago

What it tradesStocks

# Trades320

# Profitable153

% Profitable47.80%

Avg trade duration70.2 days

Max peaktovalley drawdown54.54%

drawdown periodFeb 18, 2020  Oct 14, 2022

Annual Return (Compounded)1.9%

Avg win$1,435

Avg loss$1,105
 Model Account Values (Raw)

Cash$51,327

Margin Used$0

Buying Power$120,869
 Ratios

W:L ratio1.28:1

Sharpe Ratio0.1

Sortino Ratio0.13

Calmar Ratio0.123
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)266.66%

Correlation to SP5000.27870

Return Percent SP500 (cumu) during strategy life297.04%
 Return Statistics

Ann Return (w trading costs)1.9%
 Slump

Current Slump as Pcnt Equity67.20%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.24%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.019%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)3.3%
 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 60% 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 90% account loss (Monte Carlo)n/a

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

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

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
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$1,105

Avg Win$1,436

Sum Trade PL (losers)$184,587.000
 Age

Num Months filled monthly returns table149
 Win / Loss

Sum Trade PL (winners)$219,683.000

# Winners153

Num Months Winners89
 Dividends

Dividends Received in Model Acct17411
 Win / Loss

# Losers167

% Winners47.8%
 Frequency

Avg Position Time (mins)101117.00

Avg Position Time (hrs)1685.28

Avg Trade Length70.2 days

Last Trade Ago3513
 Regression

Alpha0.00

Beta0.34

Treynor Index0.02
 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)17.05

MAE:Equity, average, winning trades0.03

MAE:Equity, average, losing trades0.11

Avg(MAE) / Avg(PL)  All trades81.209

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 strat0.04

Avg(MAE) / Avg(PL)  Winning trades2.031

Avg(MAE) / Avg(PL)  Losing trades7.791

HoldandHope Ratio0.016
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.08339

SD0.24025

Sharpe ratio (Glass type estimate)0.34709

Sharpe ratio (Hedges UMVUE)0.34391

df82.00000

t0.91284

p0.18200

Lowerbound of 95% confidence interval for Sharpe Ratio0.40109

Upperbound of 95% confidence interval for Sharpe Ratio1.09319

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.40319

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.09101
 Statistics related to Sortino ratio

Sortino ratio0.49679

Upside Potential Ratio1.94500

Upside part of mean0.32649

Downside part of mean0.24310

Upside SD0.17155

Downside SD0.16786

N nonnegative terms49.00000

N negative terms34.00000
 Statistics related to linear regression on benchmark

N of observations83.00000

Mean of predictor0.20031

Mean of criterion0.08339

SD of predictor0.23681

SD of criterion0.24025

Covariance0.00908

r0.15965

b (slope, estimate of beta)0.16197

a (intercept, estimate of alpha)0.05095

Mean Square Error0.05694

DF error81.00000

t(b)1.45552

p(b)0.07470

t(a)0.54526

p(a)0.29354

Lowerbound of 95% confidence interval for beta0.05944

Upperbound of 95% confidence interval for beta0.38338

Lowerbound of 95% confidence interval for alpha0.13496

Upperbound of 95% confidence interval for alpha0.23685

Treynor index (mean / b)0.51485

Jensen alpha (a)0.05095
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05364

SD0.24767

Sharpe ratio (Glass type estimate)0.21657

Sharpe ratio (Hedges UMVUE)0.21459

df82.00000

t0.56958

p0.28526

Lowerbound of 95% confidence interval for Sharpe Ratio0.53006

Upperbound of 95% confidence interval for Sharpe Ratio0.96190

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.53138

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.96056
 Statistics related to Sortino ratio

Sortino ratio0.28740

Upside Potential Ratio1.67673

Upside part of mean0.31294

Downside part of mean0.25930

Upside SD0.16128

Downside SD0.18664

N nonnegative terms49.00000

N negative terms34.00000
 Statistics related to linear regression on benchmark

N of observations83.00000

Mean of predictor0.17520

Mean of criterion0.05364

SD of predictor0.21170

SD of criterion0.24767

Covariance0.01144

r0.21827

b (slope, estimate of beta)0.25537

a (intercept, estimate of alpha)0.00890

Mean Square Error0.05914

DF error81.00000

t(b)2.01302

p(b)0.02372

t(a)0.09356

p(a)0.46284

Lowerbound of 95% confidence interval for beta0.00296

Upperbound of 95% confidence interval for beta0.50777

Lowerbound of 95% confidence interval for alpha0.18033

Upperbound of 95% confidence interval for alpha0.19812

Treynor index (mean / b)0.21005

Jensen alpha (a)0.00890
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10697

Expected Shortfall on VaR0.13295
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04020

Expected Shortfall on VaR0.08661
 ORDER STATISTICS
 Quartiles of return rates

Number of observations83.00000

Minimum0.71073

Quartile 10.98095

Median1.01086

Quartile 31.04073

Maximum1.20701

Mean of quarter 10.92531

Mean of quarter 20.99690

Mean of quarter 31.02478

Mean of quarter 41.08166

Inter Quartile Range0.05978

Number outliers low4.00000

Percentage of outliers low0.04819

Mean of outliers low0.82643

Number of outliers high3.00000

Percentage of outliers high0.03614

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

Extreme Value Index (moments method)0.01701

VaR(95%) (moments method)0.05517

Expected Shortfall (moments method)0.07716

Extreme Value Index (regression method)0.44508

VaR(95%) (regression method)0.05774

Expected Shortfall (regression method)0.11768
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.03288

Quartile 10.07479

Median0.11048

Quartile 30.21770

Maximum0.31116

Mean of quarter 10.05625

Mean of quarter 20.10973

Mean of quarter 30.16823

Mean of quarter 40.28237

Inter Quartile Range0.14291

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)2.34775

VaR(95%) (moments method)0.29444

Expected Shortfall (moments method)0.29611

Extreme Value Index (regression method)0.31754

VaR(95%) (regression method)0.32922

Expected Shortfall (regression method)0.36429
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.06494

Compounded annual return (geometric extrapolation)0.05510

Calmar ratio (compounded annual return / max draw down)0.17709

Compounded annual return / average of 25% largest draw downs0.19515

Compounded annual return / Expected Shortfall lognormal0.41447

0.00000

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

Mean0.09478

SD0.26740

Sharpe ratio (Glass type estimate)0.35444

Sharpe ratio (Hedges UMVUE)0.35429

df1822.00000

t0.93493

p0.48905

Lowerbound of 95% confidence interval for Sharpe Ratio0.38872

Upperbound of 95% confidence interval for Sharpe Ratio1.09752

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.38883

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.09741
 Statistics related to Sortino ratio

Sortino ratio0.47391

Upside Potential Ratio6.65947

Upside part of mean1.33182

Downside part of mean1.23704

Upside SD0.17749

Downside SD0.19999

N nonnegative terms993.00000

N negative terms830.00000
 Statistics related to linear regression on benchmark

N of observations1823.00000

Mean of predictor0.21241

Mean of criterion0.09478

SD of predictor0.26777

SD of criterion0.26740

Covariance0.02118

r0.29576

b (slope, estimate of beta)0.29536

a (intercept, estimate of alpha)0.03200

Mean Square Error0.06528

DF error1821.00000

t(b)13.21210

p(b)0.31450

t(a)0.33037

p(a)0.49507

Lowerbound of 95% confidence interval for beta0.25151

Upperbound of 95% confidence interval for beta0.33920

Lowerbound of 95% confidence interval for alpha0.15817

Upperbound of 95% confidence interval for alpha0.22224

Treynor index (mean / b)0.32089

Jensen alpha (a)0.03204
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05846

SD0.27074

Sharpe ratio (Glass type estimate)0.21592

Sharpe ratio (Hedges UMVUE)0.21583

df1822.00000

t0.56955

p0.49333

Lowerbound of 95% confidence interval for Sharpe Ratio0.52714

Upperbound of 95% confidence interval for Sharpe Ratio0.95898

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.52723

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95889
 Statistics related to Sortino ratio

Sortino ratio0.28179

Upside Potential Ratio6.34607

Upside part of mean1.31649

Downside part of mean1.25803

Upside SD0.17389

Downside SD0.20745

N nonnegative terms993.00000

N negative terms830.00000
 Statistics related to linear regression on benchmark

N of observations1823.00000

Mean of predictor0.17754

Mean of criterion0.05846

SD of predictor0.26244

SD of criterion0.27074

Covariance0.02230

r0.31385

b (slope, estimate of beta)0.32378

a (intercept, estimate of alpha)0.00098

Mean Square Error0.06612

DF error1821.00000

t(b)14.10580

p(b)0.30353

t(a)0.01000

p(a)0.49985

Lowerbound of 95% confidence interval for beta0.27876

Upperbound of 95% confidence interval for beta0.36879

Lowerbound of 95% confidence interval for alpha0.19038

Upperbound of 95% confidence interval for alpha0.19233

Treynor index (mean / b)0.18055

Jensen alpha (a)0.00098
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02692

Expected Shortfall on VaR0.03368
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00999

Expected Shortfall on VaR0.02179
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1823.00000

Minimum0.85572

Quartile 10.99531

Median1.00064

Quartile 31.00641

Maximum1.10101

Mean of quarter 10.98285

Mean of quarter 20.99832

Mean of quarter 31.00324

Mean of quarter 41.01705

Inter Quartile Range0.01110

Number outliers low107.00000

Percentage of outliers low0.05869

Mean of outliers low0.96027

Number of outliers high86.00000

Percentage of outliers high0.04718

Mean of outliers high1.03903
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.47582

VaR(95%) (moments method)0.01610

Expected Shortfall (moments method)0.03547

Extreme Value Index (regression method)0.25131

VaR(95%) (regression method)0.01527

Expected Shortfall (regression method)0.02592
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations20.00000

Minimum0.00003

Quartile 10.00520

Median0.03073

Quartile 30.16146

Maximum0.48884

Mean of quarter 10.00176

Mean of quarter 20.01445

Mean of quarter 30.09134

Mean of quarter 40.27762

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 high0.48884
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.25886

VaR(95%) (moments method)0.29846

Expected Shortfall (moments method)0.36345

Extreme Value Index (regression method)0.06759

VaR(95%) (regression method)0.26144

Expected Shortfall (regression method)0.33343
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.07214

Compounded annual return (geometric extrapolation)0.06020

Calmar ratio (compounded annual return / max draw down)0.12315

Compounded annual return / average of 25% largest draw downs0.21684

Compounded annual return / Expected Shortfall lognormal1.78745

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

Mean0.06834

SD0.66207

Sharpe ratio (Glass type estimate)0.10322

Sharpe ratio (Hedges UMVUE)0.10262

df130.00000

t0.07299

p0.49680

Lowerbound of 95% confidence interval for Sharpe Ratio2.66874

Upperbound of 95% confidence interval for Sharpe Ratio2.87493

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.66921

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.87446
 Statistics related to Sortino ratio

Sortino ratio0.13252

Upside Potential Ratio6.98175

Upside part of mean3.60027

Downside part of mean3.53193

Upside SD0.41121

Downside SD0.51567

N nonnegative terms76.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor1.24671

Mean of criterion0.06834

SD of predictor0.69033

SD of criterion0.66207

Covariance0.16157

r0.35351

b (slope, estimate of beta)0.33904

a (intercept, estimate of alpha)0.35435

Mean Square Error0.38653

DF error129.00000

t(b)4.29225

p(b)0.27973

t(a)0.40051

p(a)0.52243

Lowerbound of 95% confidence interval for beta0.18276

Upperbound of 95% confidence interval for beta0.49532

Lowerbound of 95% confidence interval for alpha2.10483

Upperbound of 95% confidence interval for alpha1.39613

Treynor index (mean / b)0.20156

Jensen alpha (a)0.35435
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.15620

SD0.67849

Sharpe ratio (Glass type estimate)0.23022

Sharpe ratio (Hedges UMVUE)0.22889

df130.00000

t0.16279

p0.50714

Lowerbound of 95% confidence interval for Sharpe Ratio3.00181

Upperbound of 95% confidence interval for Sharpe Ratio2.54209

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.00084

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.54305
 Statistics related to Sortino ratio

Sortino ratio0.28636

Upside Potential Ratio6.45123

Upside part of mean3.51900

Downside part of mean3.67520

Upside SD0.39922

Downside SD0.54548

N nonnegative terms76.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor1.02305

Mean of criterion0.15620

SD of predictor0.65887

SD of criterion0.67849

Covariance0.17696

r0.39584

b (slope, estimate of beta)0.40763

a (intercept, estimate of alpha)0.57323

Mean Square Error0.39122

DF error129.00000

t(b)4.89582

p(b)0.25474

t(a)0.64506

p(a)0.53608

VAR (95 Confidence Intrvl)0.02700

Lowerbound of 95% confidence interval for beta0.24290

Upperbound of 95% confidence interval for beta0.57237

Lowerbound of 95% confidence interval for alpha2.33145

Upperbound of 95% confidence interval for alpha1.18499

Treynor index (mean / b)0.38320

Jensen alpha (a)0.57323
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06718

Expected Shortfall on VaR0.08327
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02725

Expected Shortfall on VaR0.05823
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.85572

Quartile 10.98831

Median1.00160

Quartile 31.02033

Maximum1.10101

Mean of quarter 10.94952

Mean of quarter 20.99710

Mean of quarter 31.00976

Mean of quarter 41.04495

Inter Quartile Range0.03202

Number outliers low7.00000

Percentage of outliers low0.05344

Mean of outliers low0.88383

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.08182
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.00069

VaR(95%) (moments method)0.03504

Expected Shortfall (moments method)0.04973

Extreme Value Index (regression method)0.19258

VaR(95%) (regression method)0.04727

Expected Shortfall (regression method)0.06306
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations7.00000

Minimum0.00320

Quartile 10.01001

Median0.01610

Quartile 30.03810

Maximum0.48884

Mean of quarter 10.00396

Mean of quarter 20.01570

Mean of quarter 30.03214

Mean of quarter 40.26645

Inter Quartile Range0.02809

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.14286

Mean of outliers high0.48884
 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?328817000

Max Equity Drawdown (num days)969
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.15026

Compounded annual return (geometric extrapolation)0.14461

Calmar ratio (compounded annual return / max draw down)0.29583

Compounded annual return / average of 25% largest draw downs0.54275

Compounded annual return / Expected Shortfall lognormal1.73677
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.