Multimentum
(46840960)
Subscription terms. Subscriptions to this system cost $29.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2010  (7.9%)  +3.2%  +6.3%  (4.3%)  (6.9%)  +4.0%  +3.1%  (6.4%)  +2.0%  +1.7%  +3.7%  (2.8%)  
2011  +0.9%  (1.7%)  +4.5%  +1.5%  (2.3%)  (7.6%)  (0.8%)  +4.7%  (8.3%)  +0.9%    +1.8%  (7%) 
2012  +3.3%  (0.4%)  (1.6%)  +1.2%  +3.2%  +4.2%  +0.3%  (4.3%)  +2.5%  +0.6%  (2.4%)  (11.6%)  (6%) 
2013  +4.1%  +0.8%  +2.5%  +0.2%  +0.1%  (11%)  (7.3%)  (5.5%)  +5.5%  +8.3%  +2.3%  +0.8%  (1.2%) 
2014  (2.8%)  +5.2%  +2.1%  +0.1%  +2.0%  +3.4%  (1.4%)  +6.8%  (4%)  +8.1%  +9.8%  +11.1%  +47.0% 
2015  +4.5%  (1%)  +1.6%  (9.1%)  +0.3%  (3.7%)  +15.9%  (10.6%)  (0.1%)  +7.1%  +9.8%  +6.9%  +20.2% 
2016  +3.2%  +1.4%  (2.5%)  (10.9%)  (2.3%)  +2.9%  +14.2%  (3.3%)  (6.3%)  (1.9%)  (1.9%)  (1.3%)  (10%) 
2017  +4.2%  +5.2%  +2.1%  +2.7%  +3.6%  +1.4%  (1.6%)  +2.9%  (1.8%)  +1.6%  +1.3%  +2.0%  +25.9% 
2018  +7.6%  (5.9%)  (8.3%)  +2.4%  +2.3%  (0.6%)  +6.0%  +4.0%  (0.6%)  (12.5%)  +11.5%  (15.5%)  (12.7%) 
2019  +12.9%  +3.4%  +3.7%  +2.7%  +0.4%    (1.1%)  +3.5%  +2.3%  +2.8%  +5.1%  +43.7%  
2020  +5.8%  (11%)  (12.7%)  +16.6%  (4.9%)  +2.9%  +8.3%  (31.7%)  (6.4%)  +5.6%  +3.8%  +1.4%  (27.9%) 
2021  (3%)  (0.4%)  +4.0%  +9.9%  +0.4%  +2.7%  +3.4%  +17.7% 
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  $152,658  
Cash  $50,669  
Equity  $101,989  
Cumulative $  $84,257  
Includes dividends and cashsettled expirations:  $16,713  Itemized 
Total System Equity  $181,436  
Margined  $0  
Open P/L  $98,498 
Trading Record
Statistics

Strategy began2/4/2010

Suggested Minimum Cap$97,179

Strategy Age (days)4186.93

Age140 months ago

What it tradesStocks

# Trades320

# Profitable154

% Profitable48.10%

Avg trade duration59.7 days

Max peaktovalley drawdown61.76%

drawdown periodFeb 18, 2020  Aug 18, 2020

Annual Return (Compounded)5.2%

Avg win$1,045

Avg loss$1,080
 Model Account Values (Raw)

Cash$50,669

Margin Used$0

Buying Power$152,658
 Ratios

W:L ratio1.08:1

Sharpe Ratio0.23

Sortino Ratio0.28

Calmar Ratio0.188
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)231.99%

Correlation to SP5000.25730

Return Percent SP500 (cumu) during strategy life315.12%
 Return Statistics

Ann Return (w trading costs)5.2%
 Slump

Current Slump as Pcnt Equity30.20%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.12%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.052%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)5.6%
 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
 Management

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

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$1,095

Avg Win$1,619

Sum Trade PL (losers)$181,759.000
 Age

Num Months filled monthly returns table138
 Win / Loss

Sum Trade PL (winners)$249,302.000

# Winners154

Num Months Winners87
 Dividends

Dividends Received in Model Acct16714
 Win / Loss

# Losers166

% Winners48.1%
 Frequency

Avg Position Time (mins)85946.70

Avg Position Time (hrs)1432.44

Avg Trade Length59.7 days

Last Trade Ago2839
 Regression

Alpha0.01

Beta0.39

Treynor Index0.05
 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)17.17

MAE:Equity, average, winning trades0.03

MAE:Equity, average, losing trades0.10

Avg(MAE) / Avg(PL)  All trades32.814

MAE:Equity, losing trades only, 95th Percentile Value for this strat

MAE:Equity, win trades only, 95th Percentile Value for this strat

MAE:Equity, 95th Percentile Value for this strat0.03

Avg(MAE) / Avg(PL)  Winning trades1.756

Avg(MAE) / Avg(PL)  Losing trades7.975

HoldandHope Ratio0.034
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.08465

SD0.23571

Sharpe ratio (Glass type estimate)0.35911

Sharpe ratio (Hedges UMVUE)0.35578

df81.00000

t0.93874

p0.17533

Lowerbound of 95% confidence interval for Sharpe Ratio0.39378

Upperbound of 95% confidence interval for Sharpe Ratio1.10983

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.39600

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.10755
 Statistics related to Sortino ratio

Sortino ratio0.52982

Upside Potential Ratio2.06324

Upside part of mean0.32963

Downside part of mean0.24498

Upside SD0.17307

Downside SD0.15976

N nonnegative terms49.00000

N negative terms33.00000
 Statistics related to linear regression on benchmark

N of observations82.00000

Mean of predictor0.17065

Mean of criterion0.08465

SD of predictor0.15870

SD of criterion0.23571

Covariance0.00432

r0.11550

b (slope, estimate of beta)0.17155

a (intercept, estimate of alpha)0.11392

Mean Square Error0.05550

DF error80.00000

t(b)1.04007

p(b)0.84928

t(a)1.20657

p(a)0.11558

Lowerbound of 95% confidence interval for beta0.49980

Upperbound of 95% confidence interval for beta0.15670

Lowerbound of 95% confidence interval for alpha0.07397

Upperbound of 95% confidence interval for alpha0.30182

Treynor index (mean / b)0.49340

Jensen alpha (a)0.11392
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05653

SD0.23833

Sharpe ratio (Glass type estimate)0.23720

Sharpe ratio (Hedges UMVUE)0.23500

df81.00000

t0.62007

p0.26848

Lowerbound of 95% confidence interval for Sharpe Ratio0.51418

Upperbound of 95% confidence interval for Sharpe Ratio0.98715

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.51565

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.98565
 Statistics related to Sortino ratio

Sortino ratio0.32647

Upside Potential Ratio1.81978

Upside part of mean0.31512

Downside part of mean0.25859

Upside SD0.16245

Downside SD0.17316

N nonnegative terms49.00000

N negative terms33.00000
 Statistics related to linear regression on benchmark

N of observations82.00000

Mean of predictor0.15730

Mean of criterion0.05653

SD of predictor0.15353

SD of criterion0.23833

Covariance0.00460

r0.12567

b (slope, estimate of beta)0.19508

a (intercept, estimate of alpha)0.08722

Mean Square Error0.05660

DF error80.00000

t(b)1.13300

p(b)0.86970

t(a)0.91851

p(a)0.18056

Lowerbound of 95% confidence interval for beta0.53774

Upperbound of 95% confidence interval for beta0.14757

Lowerbound of 95% confidence interval for alpha0.10175

Upperbound of 95% confidence interval for alpha0.27619

Treynor index (mean / b)0.28979

Jensen alpha (a)0.08722
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10278

Expected Shortfall on VaR0.12793
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.04030

Expected Shortfall on VaR0.08522
 ORDER STATISTICS
 Quartiles of return rates

Number of observations82.00000

Minimum0.76319

Quartile 10.98114

Median1.01195

Quartile 31.04216

Maximum1.20701

Mean of quarter 10.92780

Mean of quarter 20.99884

Mean of quarter 31.02632

Mean of quarter 41.08486

Inter Quartile Range0.06102

Number outliers low3.00000

Percentage of outliers low0.03659

Mean of outliers low0.82239

Number of outliers high3.00000

Percentage of outliers high0.03659

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

Extreme Value Index (moments method)0.12627

VaR(95%) (moments method)0.05574

Expected Shortfall (moments method)0.07408

Extreme Value Index (regression method)0.36417

VaR(95%) (regression method)0.05731

Expected Shortfall (regression method)0.10585
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.03288

Quartile 10.07479

Median0.11048

Quartile 30.21770

Maximum0.25358

Mean of quarter 10.05625

Mean of quarter 20.10973

Mean of quarter 30.16823

Mean of quarter 40.24520

Inter Quartile Range0.14291

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

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

Extreme Value Index (moments method)5.36697

VaR(95%) (moments method)0.24826

Expected Shortfall (moments method)0.24827

Extreme Value Index (regression method)1.18868

VaR(95%) (regression method)0.26358

Expected Shortfall (regression method)0.26694
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.11425

Compounded annual return (geometric extrapolation)0.08811

Calmar ratio (compounded annual return / max draw down)0.34746

Compounded annual return / average of 25% largest draw downs0.35934

Compounded annual return / Expected Shortfall lognormal0.68874

0.00000

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

Mean0.11812

SD0.30210

Sharpe ratio (Glass type estimate)0.39101

Sharpe ratio (Hedges UMVUE)0.39085

df1794.00000

t1.02346

p0.48792

Lowerbound of 95% confidence interval for Sharpe Ratio0.35793

Upperbound of 95% confidence interval for Sharpe Ratio1.13989

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.35806

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.13976
 Statistics related to Sortino ratio

Sortino ratio0.48326

Upside Potential Ratio5.26197

Upside part of mean1.28617

Downside part of mean1.16804

Upside SD0.17754

Downside SD0.24443

N nonnegative terms954.00000

N negative terms841.00000
 Statistics related to linear regression on benchmark

N of observations1795.00000

Mean of predictor0.18621

Mean of criterion0.11812

SD of predictor0.22363

SD of criterion0.30210

Covariance0.01820

r0.26935

b (slope, estimate of beta)0.36386

a (intercept, estimate of alpha)0.05000

Mean Square Error0.08469

DF error1793.00000

t(b)11.84300

p(b)0.33062

t(a)0.45243

p(a)0.49320

Lowerbound of 95% confidence interval for beta0.30360

Upperbound of 95% confidence interval for beta0.42411

Lowerbound of 95% confidence interval for alpha0.16798

Upperbound of 95% confidence interval for alpha0.26871

Treynor index (mean / b)0.32464

Jensen alpha (a)0.05037
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06396

SD0.34650

Sharpe ratio (Glass type estimate)0.18459

Sharpe ratio (Hedges UMVUE)0.18452

df1794.00000

t0.48317

p0.49430

Lowerbound of 95% confidence interval for Sharpe Ratio0.56423

Upperbound of 95% confidence interval for Sharpe Ratio0.93342

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.56431

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93334
 Statistics related to Sortino ratio

Sortino ratio0.21297

Upside Potential Ratio4.23153

Upside part of mean1.27085

Downside part of mean1.20689

Upside SD0.17267

Downside SD0.30033

N nonnegative terms954.00000

N negative terms841.00000
 Statistics related to linear regression on benchmark

N of observations1795.00000

Mean of predictor0.16083

Mean of criterion0.06396

SD of predictor0.22585

SD of criterion0.34650

Covariance0.01845

r0.23570

b (slope, estimate of beta)0.36161

a (intercept, estimate of alpha)0.00580

Mean Square Error0.11346

DF error1793.00000

t(b)10.26970

p(b)0.35135

t(a)0.04505

p(a)0.49932

Lowerbound of 95% confidence interval for beta0.29255

Upperbound of 95% confidence interval for beta0.43067

Lowerbound of 95% confidence interval for alpha0.24683

Upperbound of 95% confidence interval for alpha0.25844

Treynor index (mean / b)0.17688

Jensen alpha (a)0.00580
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03436

Expected Shortfall on VaR0.04293
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00945

Expected Shortfall on VaR0.02172
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1795.00000

Minimum0.51771

Quartile 10.99557

Median1.00069

Quartile 31.00640

Maximum1.17714

Mean of quarter 10.98401

Mean of quarter 20.99842

Mean of quarter 31.00327

Mean of quarter 41.01653

Inter Quartile Range0.01083

Number outliers low98.00000

Percentage of outliers low0.05460

Mean of outliers low0.96157

Number of outliers high84.00000

Percentage of outliers high0.04680

Mean of outliers high1.03722
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.43194

VaR(95%) (moments method)0.01456

Expected Shortfall (moments method)0.02992

Extreme Value Index (regression method)0.25658

VaR(95%) (regression method)0.01426

Expected Shortfall (regression method)0.02428
 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)0.12793

Compounded annual return (geometric extrapolation)0.09622

Calmar ratio (compounded annual return / max draw down)0.18823

Compounded annual return / average of 25% largest draw downs0.34110

Compounded annual return / Expected Shortfall lognormal2.24124

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

Mean0.49814

SD0.86652

Sharpe ratio (Glass type estimate)0.57487

Sharpe ratio (Hedges UMVUE)0.57155

df130.00000

t0.40650

p0.48218

Lowerbound of 95% confidence interval for Sharpe Ratio2.19890

Upperbound of 95% confidence interval for Sharpe Ratio3.34647

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.20113

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.34423
 Statistics related to Sortino ratio

Sortino ratio0.66680

Upside Potential Ratio4.46446

Upside part of mean3.33519

Downside part of mean2.83705

Upside SD0.43356

Downside SD0.74705

N nonnegative terms75.00000

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

N of observations131.00000

Mean of predictor0.92472

Mean of criterion0.49814

SD of predictor0.44339

SD of criterion0.86652

Covariance0.15501

r0.40344

b (slope, estimate of beta)0.78843

a (intercept, estimate of alpha)0.23094

Mean Square Error0.63351

DF error129.00000

t(b)5.00783

p(b)0.25031

t(a)0.20347

p(a)0.51140

Lowerbound of 95% confidence interval for beta0.47693

Upperbound of 95% confidence interval for beta1.09993

Lowerbound of 95% confidence interval for alpha2.47657

Upperbound of 95% confidence interval for alpha2.01468

Treynor index (mean / b)0.63180

Jensen alpha (a)0.23094
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00902

SD1.07079

Sharpe ratio (Glass type estimate)0.00842

Sharpe ratio (Hedges UMVUE)0.00837

df130.00000

t0.00595

p0.49974

Lowerbound of 95% confidence interval for Sharpe Ratio2.76339

Upperbound of 95% confidence interval for Sharpe Ratio2.78023

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.76343

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.78018
 Statistics related to Sortino ratio

Sortino ratio0.00917

Upside Potential Ratio3.30187

Upside part of mean3.24662

Downside part of mean3.23760

Upside SD0.41357

Downside SD0.98326

N nonnegative terms75.00000

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

N of observations131.00000

Mean of predictor0.82232

Mean of criterion0.00902

SD of predictor0.45526

SD of criterion1.07079

Covariance0.15951

r0.32721

b (slope, estimate of beta)0.76960

a (intercept, estimate of alpha)0.62385

Mean Square Error1.03177

DF error129.00000

t(b)3.93289

p(b)0.29547

t(a)0.43158

p(a)0.52417

VAR (95 Confidence Intrvl)0.03400

Lowerbound of 95% confidence interval for beta0.38244

Upperbound of 95% confidence interval for beta1.15677

Lowerbound of 95% confidence interval for alpha3.48378

Upperbound of 95% confidence interval for alpha2.23609

Treynor index (mean / b)0.01172

Jensen alpha (a)0.62385
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10307

Expected Shortfall on VaR0.12726
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02126

Expected Shortfall on VaR0.05100
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.51771

Quartile 10.99561

Median1.00242

Quartile 31.01935

Maximum1.17714

Mean of quarter 10.95860

Mean of quarter 20.99904

Mean of quarter 31.00898

Mean of quarter 41.04163

Inter Quartile Range0.02374

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.88755

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.10537
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.97259

VaR(95%) (moments method)0.03143

Expected Shortfall (moments method)1.23730

Extreme Value Index (regression method)0.69966

VaR(95%) (regression method)0.03599

Expected Shortfall (regression method)0.14385
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00768

Quartile 10.01323

Median0.01610

Quartile 30.18131

Maximum0.51118

Mean of quarter 10.01045

Mean of quarter 20.01610

Mean of quarter 30.18131

Mean of quarter 40.51118

Inter Quartile Range0.16808

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

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 Negativen/a

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?355982000

Max Equity Drawdown (num days)182
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.03727

Compounded annual return (geometric extrapolation)0.03761

Calmar ratio (compounded annual return / max draw down)0.07358

Compounded annual return / average of 25% largest draw downs0.07358

Compounded annual return / Expected Shortfall lognormal0.29556
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.