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

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DPI All Cap FCF

By JimEmberg

Stocks · Started May 2010

hypothetical · Annual Return (Compounded)
13.5%
Max Drawdown
—
Trades
179
Win Trades
56.4%
Profit Factor
1.70
Win Months
11.2%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2010-8.4-8.620.28.97.21.02.35.928.6
20116.86.13.91.00.3-0.9-1.6-11.2-0.4-1.2-0.9-4.3-3.5
201212.36.4-2.5-5.0-10.01.0-0.5-1.80.7-5.9-3.54.1-6.5
20133.4-1.97.7-0.15.4-2.83.5-1.5-0.23.90.00.018.2
20140.00.00.00.00.00.00.00.10.00.00.00.00.1
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began5/1/2010
Suggested Minimum Capital$7,500
Age199 months
What it tradesStocks
# Trades179
# Profitable101
% Profitable56.4%
Avg trade duration40.5 days
Max peak-to-valley drawdown—
drawdown period—
Annual Return (Compounded)13.5%
Avg win$120
Avg loss$94

Ratios

W:L ratio1.72
Sharpe Ratio0.04
Sortino Ratio0.05
Calmar Ratio0.22

CORRELATION STATISTICS

Correlation to SP5000.18
Return Percent SP500 (cumu) during strategy life536.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)8.4%

Return Statistics

Ann Return (w trading costs)13.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.3%

Slump

Current Slump as Pcnt Equity15.0%
Current Slump, time of slump as pcnt of strategy life0.9%

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 loss42.5%
Chance of 20% account loss20.5%
Chance of 30% account loss5.0%
Chance of 40% account loss1.0%
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)—

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$94
Avg Win$120
# Winners101
Sum Trade PL (losers)$7,352
Sum Trade PL (winners)$12,107
Num Months Winners23
# Losers78
% Winners56.4%

Dividends

Dividends Received in Model Acct518

Age

Num Months filled monthly returns table197

Frequency

Avg Position Time (mins)58278.90
Avg Position Time (hrs)971.32
Avg Trade Length40.50
Last Trade Ago4722

Regression

Alpha0
Beta0.09
Treynor Index0.01

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades3.20
MAE:PL (avg, all trades)-0.50
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats34.52
MAE:PL - Winning Trades - this strat Percentile of All Strats19.47
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.33
Avg(MAE) / Avg(PL) - Losing trades-1.47
Hold-and-Hope Ratio0.31

RATIO STATISTICS

a (intercept, estimate of alpha)0.00
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)32
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 246 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
MW long35Jun 10, 2013Oct 11, 2013$288
KR long74May 28, 2013Oct 11, 2013$262
SHOO long40Apr 29, 2013Aug 26, 2013$188
ATVI long90Mar 4, 2013Jul 29, 2013$280
CROX long80May 13, 2013Jul 29, 2013($244)
HBI long104May 6, 2013Jun 25, 2013$16
CVI long23May 6, 2013Jun 25, 2013($156)
INGR long19Feb 11, 2013Jun 24, 2013($17)
WDC long32Nov 12, 2012Jun 10, 2013$912
PETM long18May 6, 2013May 28, 2013$40
AGU long10Feb 25, 2013May 13, 2013($85)
STX long32Apr 1, 2013May 6, 2013$140
ARW long30Mar 4, 2013May 6, 2013($49)
WNR long40Apr 29, 2013May 6, 2013$10
RS long20Mar 11, 2013Apr 29, 2013($57)
JAH long63Apr 1, 2013Apr 29, 2013$67
PCS long98Nov 2, 2012Apr 1, 2013$44
TGI long17Mar 11, 2013Apr 1, 2013$71
SFD long50Feb 19, 2013Mar 11, 2013$133
ANN long43Feb 11, 2013Mar 11, 2013$64
TVL long105Feb 11, 2013Mar 4, 2013($135)
MYL long41Nov 2, 2012Mar 4, 2013$171
DMD long5Nov 12, 2012Feb 25, 2013($96)
SBGI long92Jan 28, 2013Feb 11, 2013$23
BLC long150Nov 12, 2012Feb 11, 2013$207
M long29Nov 12, 2012Feb 11, 2013$17
ABC long28Nov 5, 2012Jan 28, 2013$133
HUM long15Nov 5, 2012Nov 12, 2012($107)
ASNA long65Oct 8, 2012Nov 12, 2012($110)
AZK long250Nov 5, 2012Nov 12, 2012($130)

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.