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C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Value and Trending Stocks

By BradW

Futures, Options · Started Aug 2011

hypothetical · Annual Return (Compounded)
-28.9%
Max Drawdown
—
Trades
278
Win Trades
46.8%
Profit Factor
0.80
Win Months
34.8%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2011-0.946.718.3-8.7-0.356.6
20124.05.5-7.8-8.3-22.5-25.5-6.86.4-9.5-14.3-2.4-23.3-69.2
2013-12.238.58.2-5.58.529.6-13.4-7.9-21.515.4-18.65.28.1
201431.4-5.1-3.36.4-12.3-1.4-32.12.725.0-15.4-6.8-18.1-37.4
20155.8-31.5-26.2-151.5-123.3509.4186.873.6-2.4-25.62.814.265.9
201639.7-4.8-14.41.66.1-11.4-9.5-13.1-8.111.0-7.420.4-2.7
2017-15.8-15.3-3.2-0.6-19.53.0-34.4-40.09.9-60.3-116.5-18.1-101.9
2018-2469.4-62.1-42.4-19.2-50.9-420.4-62.6111.7-21.7314.6-44.330.4-2059.5
2019-80.8-56.033.8-213.6-52.90.0463.0-27.3-38.226.0-154.7-132.0
2020-225.6-25.1211.311.5-18.1-57.8-93.4-2177.3-116.3-939.7-78.9-25.3
2021-134.6-3.5-39.5-10.8-13.6-5.0-105.7123.5262.3-79.7417.756.3-204.5
2022-40.3102.059.542.8-20.1-35.060.5-0.346.223.1-30.2-4.1175.3
2023-45.782.4-2.02.98.3-5.4-22.328.35.68.2-2.910.625.3
202414.6-12.0-1.1-0.3-20.35.29.6-10.4-46.67.528.4-15.7-49.1
2025-2.9-64.38.083.8-48.1-49.8-80.9-384.9-245.8-3.1-45.2-42.7-110.3
2026-125.2-39.9-275.6-51.8150.0164.1-62.5-12.625.4-410.5

Statistics

Overview

Strategy began8/29/2011
Suggested Minimum Capital$30,000
Age183 months
What it tradesStocks, Options, Futures
# Trades278
# Profitable130
% Profitable46.8%
Avg trade duration36.3 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)-8.4%
Avg win$1,068
Avg loss$969

Ratios

W:L ratio0.85
Sharpe Ratio-0.01
Sortino Ratio-0.01
Calmar Ratio-0.30

CORRELATION STATISTICS

Correlation to SP500-0.11
Return Percent SP500 (cumu) during strategy life524.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-73.4%

Return Statistics

Ann Return (w trading costs)-28.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-8.4%

Slump

Current Slump as Pcnt Equity1567.1%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.4%
Percent Trades Options0.4%
Percent Trades Stocks0.2%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)—
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? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$969
Avg Win$1,068
# Winners130
Sum Trade PL (losers)$143,446
Sum Trade PL (winners)$138,847
Num Months Winners16
# Losers148
% Winners46.8%

Dividends

Dividends Received in Model Acct-17385

Age

Num Months filled monthly returns table45

Frequency

Avg Position Time (mins)52204.13
Avg Position Time (hrs)870.07
Avg Trade Length36.30
Last Trade Ago5069

Regression

Alpha0
Beta-1.13
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.05
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-12.06
MAE:PL (avg, all trades)-0.08
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats28.70
MAE:PL - Winning Trades - this strat Percentile of All Strats58.24
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.41
Avg(MAE) / Avg(PL) - Losing trades-1.43
Hold-and-Hope Ratio-0.08

RATIO STATISTICS

a (intercept, estimate of alpha)1131.83
VAR (95 Confidence Intrvl)0.63

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)463
Last 4 Months - Pcnt Negative0.8%

Trading record

Placed 128 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
LUV short400Apr 22, 2012Oct 11, 2012$405
MPC long400Apr 22, 2012Jul 27, 2012$3,406
ITB1221S16 long20Jun 25, 2012Jul 22, 2012($2,414)
FXI1221S34 long15Jun 25, 2012Jul 22, 2012($3,731)
NFLX1216R60 long5Jun 1, 2012Jun 17, 2012($1,089)
FXI1216R34 long5Jun 4, 2012Jun 17, 2012($874)
JJC1216R41 long10Jun 1, 2012Jun 17, 2012($707)
IWM1216R73 long10Jun 1, 2012Jun 17, 2012($1,367)
EUR/USD short40Jun 1, 2012Jun 5, 2012($93)
TRP long200Apr 22, 2012Jun 1, 2012$78
YCS long200Apr 22, 2012Jun 1, 2012($660)
OVTI long400Apr 22, 2012Jun 1, 2012($1,524)
IRBT long200Apr 22, 2012May 18, 2012$52
VLO long200Apr 22, 2012May 18, 2012$322
WNR long200Apr 22, 2012Apr 23, 2012$190
LNG long400Apr 22, 2012Apr 22, 2012$2,792
LNG1221D16 short4Mar 20, 2012Apr 22, 2012$297
IDIX1221D12.5 short2Mar 20, 2012Apr 22, 2012$89
YCS1221D45 long2Mar 20, 2012Apr 22, 2012($681)
WNR1221D17 long2Mar 20, 2012Apr 22, 2012($641)
WNR1221D20 short2Mar 20, 2012Apr 22, 2012$159
VLO1221D20 long2Mar 20, 2012Apr 22, 2012($1,511)
VLO1221D28 short2Mar 20, 2012Apr 22, 2012$161
PETD1221D40 short1Mar 20, 2012Apr 22, 2012$119
OVTI1221D21 short4Mar 20, 2012Apr 22, 2012$177
OVTI1221D17 long4Mar 20, 2012Apr 22, 2012($1,083)
GF K2short2Mar 20, 2012Mar 20, 2012($104)
GF J2long1Mar 20, 2012Mar 20, 2012($46)
YCS long200Mar 18, 2012Mar 20, 2012$1,224
LNG long200Mar 18, 2012Mar 20, 2012$656

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.