Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW Followed by live capital $119,000 Hypothetical

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By MattDoyle

Stocks · Started Oct 2008

hypothetical · Annual Return (Compounded)
-2.7%
Max Drawdown
—
Trades
48
Win Trades
47.9%
Profit Factor
0.90
Win Months
3.2%

About this strategy

Long and Short using index 1x and 2x ETFs. Uses stops and position sizing.

No new subscriptions are being offered at this time.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20084.4-0.51.95.8
20094.82.72.713.4-14.8-2.4-6.7-0.4-0.2-10.4-0.10.7-13.0
2010-1.10.00.00.00.00.00.00.0-0.00.00.00.0-1.1
20110.0-0.00.00.00.00.00.00.00.00.00.00.0-0.0
20120.00.00.00.0-0.00.00.00.00.00.00.00.00.0
20130.00.00.0-0.00.00.00.00.00.00.00.00.0-0.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.0-0.00.00.00.00.0-0.00.00.0-0.1
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began10/27/2008
Suggested Minimum Capital$100,000
Age218 months
What it tradesStocks
# Trades48
# Profitable23
% Profitable47.9%
Avg trade duration4.8 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)-0.4%
Avg win$2,441
Avg loss$2,595

Ratios

W:L ratio0.90
Sharpe Ratio-0.45
Sortino Ratio-0.64
Calmar Ratio-0.07

CORRELATION STATISTICS

Correlation to SP5000.06
Return Percent SP500 (cumu) during strategy life799.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-107.7%

Return Statistics

Ann Return (w trading costs)-2.7%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-0.4%

Slump

Current Slump as Pcnt Equity45.7%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss78.0%
Chance of 20% account loss26.2%
Chance of 30% account loss2.3%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,595
Avg Win$2,441
# Winners23
Sum Trade PL (losers)$64,865
Sum Trade PL (winners)$56,149
Num Months Winners11
# Losers25
% Winners47.9%

Dividends

Dividends Received in Model Acct2351

Age

Num Months filled monthly returns table216

Frequency

Avg Position Time (mins)6945.18
Avg Position Time (hrs)115.75
Avg Trade Length4.80
Last Trade Ago6079

Regression

Alpha-0.01
Beta0.02
Treynor Index-0.41

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-10.19
MAE:PL (avg, all trades)-0.31
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats12.81
MAE:PL - Winning Trades - this strat Percentile of All Strats17.12
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.31
Avg(MAE) / Avg(PL) - Losing trades-1.10
Hold-and-Hope Ratio-0.10

RATIO STATISTICS

a (intercept, estimate of alpha)-0.06
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)224
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 81 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
DDM long212Dec 23, 2009Jan 25, 2010$47
TZA long4Jan 7, 2010Jan 20, 2010($115)
TNA long340Jan 5, 2010Jan 7, 2010($50)
TZA long4Dec 30, 2009Jan 5, 2010($392)
SDS long60Dec 23, 2009Jan 4, 2010($149)
SSO long4800Dec 3, 2009Dec 18, 2009$326
SSO long8160Oct 15, 2009Oct 30, 2009($7,833)
SSO long4500Sep 23, 2009Oct 1, 2009($3,596)
SSO long6400Aug 6, 2009Aug 18, 2009($1,727)
SSO long3300Jul 30, 2009Aug 3, 2009$1,431
SDS long595Jun 15, 2009Jul 23, 2009($6,728)
SDS long325Jun 3, 2009Jun 11, 2009($3,173)
SDS long450May 21, 2009May 29, 2009($7,681)
SSO long9540May 8, 2009May 12, 2009($5,824)
SDS long500May 1, 2009May 4, 2009($5,847)
SSO long9860Apr 28, 2009Apr 29, 2009$4,205
SDS long220Apr 27, 2009Apr 28, 2009$781
SDS long213Apr 22, 2009Apr 24, 2009($3,309)
SDS long195Apr 17, 2009Apr 21, 2009$4,986
SSO long8940Apr 15, 2009Apr 17, 2009$3,562
SDS long178Apr 14, 2009Apr 15, 2009$754
SSO long5300Apr 9, 2009Apr 14, 2009($209)
QLD long8280Apr 9, 2009Apr 14, 2009($1,868)
SSO long9300Apr 1, 2009Apr 8, 2009$3,085
QLD long14480Apr 1, 2009Apr 8, 2009$4,120
SSO long5300Mar 31, 2009Mar 31, 2009($74)
QLD long8280Mar 31, 2009Mar 31, 2009($237)
SDS long131Mar 30, 2009Mar 31, 2009($825)
QLD long8800Mar 23, 2009Mar 30, 2009($1,853)
SSO long5460Mar 23, 2009Mar 27, 2009$1,469

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.