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MCProTrader
(107294590)

Created by: MCprotrader MCprotrader
Started: 11/2016
Options
Last trade: 9 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $149.00 per month.

257.9%
Annual Return (Compounded)
32.5%
Max Drawdown
141
Num Trades
86.5%
Win Trades
2.6 : 1
Profit Factor
92.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +12.2%+29.2%+45.0%
2017+32.1%+36.3%+7.4%+4.5%+4.6%+5.1%+5.7%(4.9%)+6.6%+8.3%+3.9%+1.0%+170.9%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 233 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/17 13:27 @USH8 US T-BOND SHORT 2 153 4/32 12/7 14:48 153 2/32 6.38%
Trade id #115177569
Max drawdown($2,844)
Time12/6/17 9:52
Quant open-2
Worst price154 18/32
Drawdown as % of equity-6.38%
$141
Includes Typical Broker Commissions trade costs of $16.00
12/1/17 11:15 @USH8 US T-BOND SHORT 1 153 23/32 12/1 11:38 153 14/32 1%
Trade id #115143485
Max drawdown($468)
Time12/1/17 11:28
Quant open-1
Worst price154 6/32
Drawdown as % of equity-1.00%
$273
Includes Typical Broker Commissions trade costs of $8.00
11/28/17 10:31 @USZ7 US T-BOND SHORT 2 154 16/32 11/28 14:57 154 6/32 1.45%
Trade id #115078045
Max drawdown($656)
Time11/28/17 12:17
Quant open-2
Worst price154 27/32
Drawdown as % of equity-1.45%
$639
Includes Typical Broker Commissions trade costs of $16.00
11/27/17 11:42 @USZ7 US T-BOND SHORT 1 154 17/32 11/27 12:47 154 10/32 n/a $204
Includes Typical Broker Commissions trade costs of $8.00
11/27/17 8:22 @USZ7 US T-BOND SHORT 1 154 15/32 11/27 9:45 154 5/32 0.35%
Trade id #115053321
Max drawdown($156)
Time11/27/17 9:06
Quant open-1
Worst price154 20/32
Drawdown as % of equity-0.35%
$305
Includes Typical Broker Commissions trade costs of $8.00
11/27/17 8:20 @USZ7 US T-BOND SHORT 1 154 17/32 11/27 8:20 154 18/32 0.07%
Trade id #115053294
Max drawdown($31)
Time11/27/17 8:20
Quant open0
Worst price154 18/32
Drawdown as % of equity-0.07%
($39)
Includes Typical Broker Commissions trade costs of $8.00
11/24/17 9:40 @USZ7 US T-BOND SHORT 1 154 14/32 11/24 10:38 154 6/32 0.06%
Trade id #115012978
Max drawdown($27)
Time11/24/17 9:42
Quant open-1
Worst price154 15/32
Drawdown as % of equity-0.06%
$246
Includes Typical Broker Commissions trade costs of $8.00
11/22/17 12:11 @USZ7 US T-BOND SHORT 2 154 14/32 11/23 22:49 154 9/32 1.42%
Trade id #114985475
Max drawdown($625)
Time11/23/17 13:00
Quant open-2
Worst price154 24/32
Drawdown as % of equity-1.42%
$313
Includes Typical Broker Commissions trade costs of $16.00
11/21/17 9:29 @USZ7 US T-BOND SHORT 1 154 16/32 11/21 10:48 154 6/32 0.42%
Trade id #114957335
Max drawdown($187)
Time11/21/17 9:52
Quant open-1
Worst price154 22/32
Drawdown as % of equity-0.42%
$304
Includes Typical Broker Commissions trade costs of $8.00
11/20/17 13:00 QGCZ7 Gold 100 oz LONG 1 1275.9 11/20 22:52 1279.5 0.4%
Trade id #114943995
Max drawdown($175)
Time11/20/17 13:04
Quant open1
Worst price1274.1
Drawdown as % of equity-0.40%
$356
Includes Typical Broker Commissions trade costs of $8.00
11/17/17 11:53 @USZ7 US T-BOND SHORT 1 154 2/32 11/20 9:00 153 22/32 0.86%
Trade id #114917670
Max drawdown($375)
Time11/19/17 21:42
Quant open-1
Worst price154 14/32
Drawdown as % of equity-0.86%
$366
Includes Typical Broker Commissions trade costs of $8.00
11/15/17 9:19 @USZ7 US T-BOND SHORT 1 153 30/32 11/15 10:49 153 18/32 0.45%
Trade id #114864360
Max drawdown($218)
Time11/15/17 9:40
Quant open-1
Worst price154 5/32
Drawdown as % of equity-0.45%
$367
Includes Typical Broker Commissions trade costs of $8.00
11/14/17 14:21 VIX1715W12 VIX Nov15'17 12 put SHORT 30 0.30 11/15 8:05 0.00 0.98%
Trade id #114852991
Max drawdown($450)
Time11/14/17 16:02
Quant open-30
Worst price0.45
Drawdown as % of equity-0.98%
$870
Includes Typical Broker Commissions trade costs of $29.85
11/9/17 9:58 VIX1715K11.5 VIX Nov15'17 11.5 call SHORT 10 0.57 11/15 8:05 2.29 3.75%
Trade id #114768573
Max drawdown($1,717)
Time11/15/17 8:05
Quant open0
Worst price2.29
Drawdown as % of equity-3.75%
($1,727)
Includes Typical Broker Commissions trade costs of $9.95
11/7/17 12:06 VIX1715K11 VIX Nov15'17 11 call SHORT 10 0.60 11/15 8:05 2.79 4.78%
Trade id #114726614
Max drawdown($2,190)
Time11/15/17 8:05
Quant open0
Worst price2.79
Drawdown as % of equity-4.78%
($2,200)
Includes Typical Broker Commissions trade costs of $9.95
11/13/17 14:39 @ESZ7 E-MINI S&P 500 SHORT 1 2583.25 11/14 14:42 2576.25 0.24%
Trade id #114831092
Max drawdown($112)
Time11/13/17 15:26
Quant open-1
Worst price2585.50
Drawdown as % of equity-0.24%
$342
Includes Typical Broker Commissions trade costs of $8.00
11/6/17 8:27 @USZ7 US T-BOND SHORT 2 154 14/32 11/8 16:23 154 6/32 1.59%
Trade id #114699470
Max drawdown($719)
Time11/8/17 9:54
Quant open-2
Worst price154 26/32
Drawdown as % of equity-1.59%
$514
Includes Typical Broker Commissions trade costs of $16.00
11/3/17 8:30 @USZ7 US T-BOND SHORT 1 153 28/32 11/3 10:49 153 16/32 0.28%
Trade id #114668427
Max drawdown($125)
Time11/3/17 8:36
Quant open-1
Worst price154
Drawdown as % of equity-0.28%
$367
Includes Typical Broker Commissions trade costs of $8.00
11/2/17 10:14 @USZ7 US T-BOND SHORT 1 153 18/32 11/2 12:32 153 9/32 0.14%
Trade id #114649753
Max drawdown($63)
Time11/2/17 10:16
Quant open-1
Worst price153 20/32
Drawdown as % of equity-0.14%
$273
Includes Typical Broker Commissions trade costs of $8.00
10/25/17 15:28 VIX1701K15 VIX Nov1'17 15 call SHORT 10 0.30 11/1 8:05 0.00 0.11%
Trade id #114528131
Max drawdown($50)
Time10/25/17 15:47
Quant open-10
Worst price0.35
Drawdown as % of equity-0.11%
$280
Includes Typical Broker Commissions trade costs of $19.90
10/25/17 9:58 VIX1701K14.5 VIX Nov1'17 14.5 call SHORT 20 0.25 11/1 8:05 0.00 2.12%
Trade id #114516265
Max drawdown($920)
Time10/25/17 12:28
Quant open-20
Worst price0.71
Drawdown as % of equity-2.12%
$465
Includes Typical Broker Commissions trade costs of $34.85
10/25/17 8:15 @USZ7 US T-BOND LONG 1 150 28/32 10/25 11:11 150 28/32 1%
Trade id #114513810
Max drawdown($437)
Time10/25/17 8:46
Quant open1
Worst price150 14/32
Drawdown as % of equity-1.00%
($8)
Includes Typical Broker Commissions trade costs of $8.00
10/19/17 10:08 @USZ7 US T-BOND SHORT 1 154 10/19 12:01 153 23/32 0.14%
Trade id #114369255
Max drawdown($62)
Time10/19/17 10:27
Quant open-1
Worst price154 2/32
Drawdown as % of equity-0.14%
$273
Includes Typical Broker Commissions trade costs of $8.00
10/5/17 9:52 VIX1718J12 VIX Oct18'17 12 call SHORT 20 0.50 10/18 8:05 0.00 0.48%
Trade id #114037811
Max drawdown($200)
Time10/6/17 12:19
Quant open-20
Worst price0.60
Drawdown as % of equity-0.48%
$965
Includes Typical Broker Commissions trade costs of $34.85
10/13/17 14:35 VIX1718J11 VIX Oct18'17 11 call SHORT 20 0.30 10/18 8:05 0.00 0.24%
Trade id #114248964
Max drawdown($100)
Time10/13/17 15:58
Quant open-20
Worst price0.35
Drawdown as % of equity-0.24%
$565
Includes Typical Broker Commissions trade costs of $34.85
10/13/17 11:47 @USZ7 US T-BOND SHORT 1 153 24/32 10/17 8:49 153 16/32 0.97%
Trade id #114244426
Max drawdown($406)
Time10/13/17 14:02
Quant open-1
Worst price154 5/32
Drawdown as % of equity-0.97%
$242
Includes Typical Broker Commissions trade costs of $8.00
10/6/17 9:42 @USZ7 US T-BOND LONG 1 151 15/32 10/6 10:36 151 27/32 0.6%
Trade id #114064203
Max drawdown($250)
Time10/6/17 10:06
Quant open1
Worst price151 7/32
Drawdown as % of equity-0.60%
$367
Includes Typical Broker Commissions trade costs of $8.00
9/21/17 10:02 VIX1727I12.5 VIX Sep27'17 12.5 call SHORT 30 0.20 9/26 16:15 0.00 0.73%
Trade id #113785742
Max drawdown($300)
Time9/22/17 3:54
Quant open-30
Worst price0.30
Drawdown as % of equity-0.73%
$570
Includes Typical Broker Commissions trade costs of $29.85
9/18/17 10:47 VIX1720I10.5 VIX Sep20'17 10.5 call SHORT 20 0.40 9/19 16:15 0.21 0.13%
Trade id #113724640
Max drawdown($50)
Time9/18/17 14:26
Quant open-10
Worst price0.50
Drawdown as % of equity-0.13%
$345
Includes Typical Broker Commissions trade costs of $34.85
9/15/17 9:55 VIX1720I11 VIX Sep20'17 11 call SHORT 30 0.52 9/19 16:15 0.00 0.13%
Trade id #113700384
Max drawdown($50)
Time9/15/17 9:57
Quant open-10
Worst price0.70
Drawdown as % of equity-0.13%
$1,520
Includes Typical Broker Commissions trade costs of $29.85

Statistics

  • Strategy began
    11/23/2016
  • Starting Unit Size
    $10,000
  • Strategy Age (days)
    388.24
  • Age
    13 months ago
  • What it trades
    Options
  • # Trades
    141
  • # Profitable
    122
  • % Profitable
    86.50%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    32.46%
  • drawdown period
    Aug 08, 2017 - Aug 11, 2017
  • Annual Return (Compounded)
    257.9%
  • Avg win
    $486.63
  • Avg loss
    $1,181
  • Model Account Values (Raw)
  • Cash
    $47,612
  • Margin Used
    $6,000
  • Buying Power
    $40,924
  • Ratios
  • W:L ratio
    2.65:1
  • Sharpe Ratio
    5.118
  • Sortino Ratio
    9.264
  • Calmar Ratio
    17.411
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.22100
  • Return Statistics
  • Ann Return (w trading costs)
    257.9%
  • Ann Return (Compnd, No Fees)
    326.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    937
  • Popularity (Last 6 weeks)
    991
  • C2 Score
    99.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,181
  • Avg Win
    $487
  • # Winners
    122
  • # Losers
    19
  • % Winners
    86.5%
  • Frequency
  • Avg Position Time (mins)
    6597.58
  • Avg Position Time (hrs)
    109.96
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.64448
  • SD
    0.60306
  • Sharpe ratio (Glass type estimate)
    2.72689
  • Sharpe ratio (Hedges UMVUE)
    2.53590
  • df
    11.00000
  • t
    2.72689
  • p
    0.00984
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94119
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30782
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76398
  • Statistics related to Sortino ratio
  • Sortino ratio
    72.88980
  • Upside Potential Ratio
    73.88980
  • Upside part of mean
    1.66704
  • Downside part of mean
    -0.02256
  • Upside SD
    0.74715
  • Downside SD
    0.02256
  • N nonnegative terms
    11.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.16811
  • Mean of criterion
    1.64448
  • SD of predictor
    0.04954
  • SD of criterion
    0.60306
  • Covariance
    0.01642
  • r
    0.54954
  • b (slope, estimate of beta)
    6.69025
  • a (intercept, estimate of alpha)
    0.51980
  • Mean Square Error
    0.27924
  • DF error
    10.00000
  • t(b)
    2.08002
  • p(b)
    0.03210
  • t(a)
    0.68753
  • p(a)
    0.25369
  • Lowerbound of 95% confidence interval for beta
    -0.47641
  • Upperbound of 95% confidence interval for beta
    13.85690
  • Lowerbound of 95% confidence interval for alpha
    -1.16477
  • Upperbound of 95% confidence interval for alpha
    2.20437
  • Treynor index (mean / b)
    0.24580
  • Jensen alpha (a)
    0.51980
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.42550
  • SD
    0.48879
  • Sharpe ratio (Glass type estimate)
    2.91635
  • Sharpe ratio (Hedges UMVUE)
    2.71208
  • df
    11.00000
  • t
    2.91635
  • p
    0.00701
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56883
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44806
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.97611
  • Statistics related to Sortino ratio
  • Sortino ratio
    62.46810
  • Upside Potential Ratio
    63.46810
  • Upside part of mean
    1.44832
  • Downside part of mean
    -0.02282
  • Upside SD
    0.62276
  • Downside SD
    0.02282
  • N nonnegative terms
    11.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.16584
  • Mean of criterion
    1.42550
  • SD of predictor
    0.04906
  • SD of criterion
    0.48879
  • Covariance
    0.01303
  • r
    0.54350
  • b (slope, estimate of beta)
    5.41549
  • a (intercept, estimate of alpha)
    0.52738
  • Mean Square Error
    0.18518
  • DF error
    10.00000
  • t(b)
    2.04750
  • p(b)
    0.03390
  • t(a)
    0.85826
  • p(a)
    0.20542
  • Lowerbound of 95% confidence interval for beta
    -0.47777
  • Upperbound of 95% confidence interval for beta
    11.30880
  • Lowerbound of 95% confidence interval for alpha
    -0.84176
  • Upperbound of 95% confidence interval for alpha
    1.89653
  • Treynor index (mean / b)
    0.26323
  • Jensen alpha (a)
    0.52738
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10712
  • Expected Shortfall on VaR
    0.15711
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00059
  • Expected Shortfall on VaR
    0.00296
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.97744
  • Quartile 1
    1.04391
  • Median
    1.05583
  • Quartile 3
    1.14080
  • Maximum
    1.52852
  • Mean of quarter 1
    1.01808
  • Mean of quarter 2
    1.05017
  • Mean of quarter 3
    1.06983
  • Mean of quarter 4
    1.41007
  • Inter Quartile Range
    0.09689
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    1.41007
  • Risk estimates for a one-period unit investment (based on Ex
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02256
  • Quartile 1
    0.02256
  • Median
    0.02256
  • Quartile 3
    0.02256
  • Maximum
    0.02256
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.15992
  • Compounded annual return (geometric extrapolation)
    3.15992
  • Calmar ratio (compounded annual return / max draw down)
    140.06000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    20.11230
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.43245
  • SD
    0.27913
  • Sharpe ratio (Glass type estimate)
    5.13180
  • Sharpe ratio (Hedges UMVUE)
    5.11785
  • df
    276.00000
  • t
    5.27666
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.17378
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.08100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16446
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.07123
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.26430
  • Upside Potential Ratio
    13.20280
  • Upside part of mean
    2.04141
  • Downside part of mean
    -0.60896
  • Upside SD
    0.24811
  • Downside SD
    0.15462
  • N nonnegative terms
    222.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    277.00000
  • Mean of predictor
    0.18556
  • Mean of criterion
    1.43245
  • SD of predictor
    0.06837
  • SD of criterion
    0.27913
  • Covariance
    0.00455
  • r
    0.23861
  • b (slope, estimate of beta)
    0.97423
  • a (intercept, estimate of alpha)
    1.25200
  • Mean Square Error
    0.07375
  • DF error
    275.00000
  • t(b)
    4.07468
  • p(b)
    0.00003
  • t(a)
    4.67379
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.50355
  • Upperbound of 95% confidence interval for beta
    1.44492
  • Lowerbound of 95% confidence interval for alpha
    0.72446
  • Upperbound of 95% confidence interval for alpha
    1.77888
  • Treynor index (mean / b)
    1.47033
  • Jensen alpha (a)
    1.25167
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.39015
  • SD
    0.27773
  • Sharpe ratio (Glass type estimate)
    5.00539
  • Sharpe ratio (Hedges UMVUE)
    4.99177
  • df
    276.00000
  • t
    5.14668
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.04977
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.95242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.94289
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.67561
  • Upside Potential Ratio
    12.55420
  • Upside part of mean
    2.01164
  • Downside part of mean
    -0.62150
  • Upside SD
    0.24198
  • Downside SD
    0.16024
  • N nonnegative terms
    222.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    277.00000
  • Mean of predictor
    0.18316
  • Mean of criterion
    1.39015
  • SD of predictor
    0.06837
  • SD of criterion
    0.27773
  • Covariance
    0.00453
  • r
    0.23837
  • b (slope, estimate of beta)
    0.96826
  • a (intercept, estimate of alpha)
    1.21279
  • Mean Square Error
    0.07302
  • DF error
    275.00000
  • t(b)
    4.07023
  • p(b)
    0.00003
  • t(a)
    4.55280
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.49995
  • Upperbound of 95% confidence interval for beta
    1.43658
  • Lowerbound of 95% confidence interval for alpha
    0.68838
  • Upperbound of 95% confidence interval for alpha
    1.73721
  • Treynor index (mean / b)
    1.43571
  • Jensen alpha (a)
    1.21279
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02266
  • Expected Shortfall on VaR
    0.02962
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00239
  • Expected Shortfall on VaR
    0.00683
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    277.00000
  • Minimum
    0.90055
  • Quartile 1
    1.00000
  • Median
    1.00359
  • Quartile 3
    1.00898
  • Maximum
    1.10294
  • Mean of quarter 1
    0.99080
  • Mean of quarter 2
    1.00095
  • Mean of quarter 3
    1.00576
  • Mean of quarter 4
    1.02457
  • Inter Quartile Range
    0.00898
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.04332
  • Mean of outliers low
    0.96434
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.10108
  • Mean of outliers high
    1.03971
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82663
  • VaR(95%) (moments method)
    0.00381
  • Expected Shortfall (moments method)
    0.02715
  • Extreme Value Index (regression method)
    0.51784
  • VaR(95%) (regression method)
    0.00633
  • Expected Shortfall (regression method)
    0.01883
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00104
  • Quartile 1
    0.00425
  • Median
    0.00716
  • Quartile 3
    0.01370
  • Maximum
    0.17319
  • Mean of quarter 1
    0.00231
  • Mean of quarter 2
    0.00584
  • Mean of quarter 3
    0.01051
  • Mean of quarter 4
    0.06249
  • Inter Quartile Range
    0.00945
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.07072
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00502
  • VaR(95%) (moments method)
    0.04083
  • Expected Shortfall (moments method)
    0.05797
  • Extreme Value Index (regression method)
    0.51602
  • VaR(95%) (regression method)
    0.08514
  • Expected Shortfall (regression method)
    0.21635
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.16678
  • Compounded annual return (geometric extrapolation)
    3.01544
  • Calmar ratio (compounded annual return / max draw down)
    17.41150
  • Compounded annual return / average of 25% largest draw downs
    48.25440
  • Compounded annual return / Expected Shortfall lognormal
    101.80800
  • 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
  • Mean
    0.55366
  • SD
    0.28749
  • Sharpe ratio (Glass type estimate)
    1.92585
  • Sharpe ratio (Hedges UMVUE)
    1.91472
  • df
    130.00000
  • t
    1.36178
  • p
    0.44070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85946
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70389
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69628
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65628
  • Upside Potential Ratio
    6.69547
  • Upside part of mean
    1.39556
  • Downside part of mean
    -0.84191
  • Upside SD
    0.19936
  • Downside SD
    0.20843
  • N nonnegative terms
    105.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19305
  • Mean of criterion
    0.55366
  • SD of predictor
    0.06774
  • SD of criterion
    0.28749
  • Covariance
    0.00601
  • r
    0.30851
  • b (slope, estimate of beta)
    1.30940
  • a (intercept, estimate of alpha)
    0.30088
  • Mean Square Error
    0.07536
  • DF error
    129.00000
  • t(b)
    3.68373
  • p(b)
    0.30676
  • t(a)
    0.76318
  • p(a)
    0.45735
  • Lowerbound of 95% confidence interval for beta
    0.60613
  • Upperbound of 95% confidence interval for beta
    2.01268
  • Lowerbound of 95% confidence interval for alpha
    -0.47915
  • Upperbound of 95% confidence interval for alpha
    1.08092
  • Treynor index (mean / b)
    0.42283
  • Jensen alpha (a)
    0.30088
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51172
  • SD
    0.28972
  • Sharpe ratio (Glass type estimate)
    1.76629
  • Sharpe ratio (Hedges UMVUE)
    1.75609
  • df
    130.00000
  • t
    1.24896
  • p
    0.44555
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.53610
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35965
  • Upside Potential Ratio
    6.34742
  • Upside part of mean
    1.37653
  • Downside part of mean
    -0.86481
  • Upside SD
    0.19304
  • Downside SD
    0.21687
  • N nonnegative terms
    105.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19070
  • Mean of criterion
    0.51172
  • SD of predictor
    0.06776
  • SD of criterion
    0.28972
  • Covariance
    0.00603
  • r
    0.30722
  • b (slope, estimate of beta)
    1.31352
  • a (intercept, estimate of alpha)
    0.26124
  • Mean Square Error
    0.07660
  • DF error
    129.00000
  • t(b)
    3.66668
  • p(b)
    0.30754
  • t(a)
    0.65748
  • p(a)
    0.46323
  • Lowerbound of 95% confidence interval for beta
    0.60475
  • Upperbound of 95% confidence interval for beta
    2.02228
  • Lowerbound of 95% confidence interval for alpha
    -0.52489
  • Upperbound of 95% confidence interval for alpha
    1.04737
  • Treynor index (mean / b)
    0.38958
  • Jensen alpha (a)
    0.26124
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02711
  • Expected Shortfall on VaR
    0.03434
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00332
  • Expected Shortfall on VaR
    0.00943
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90055
  • Quartile 1
    1.00000
  • Median
    1.00213
  • Quartile 3
    1.00644
  • Maximum
    1.10294
  • Mean of quarter 1
    0.98724
  • Mean of quarter 2
    1.00057
  • Mean of quarter 3
    1.00438
  • Mean of quarter 4
    1.01632
  • Inter Quartile Range
    0.00644
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.96709
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03594
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26405
  • VaR(95%) (moments method)
    0.00166
  • Expected Shortfall (moments method)
    0.00335
  • Extreme Value Index (regression method)
    0.55913
  • VaR(95%) (regression method)
    0.01008
  • Expected Shortfall (regression method)
    0.03335
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00104
  • Quartile 1
    0.00419
  • Median
    0.00684
  • Quartile 3
    0.01075
  • Maximum
    0.17319
  • Mean of quarter 1
    0.00200
  • Mean of quarter 2
    0.00531
  • Mean of quarter 3
    0.00829
  • Mean of quarter 4
    0.08364
  • Inter Quartile Range
    0.00656
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.11966
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -7.93575
  • VaR(95%) (moments method)
    0.04061
  • Expected Shortfall (moments method)
    0.04061
  • Extreme Value Index (regression method)
    -0.02690
  • VaR(95%) (regression method)
    0.17681
  • Expected Shortfall (regression method)
    0.27987
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58315
  • Compounded annual return (geometric extrapolation)
    0.66817
  • Calmar ratio (compounded annual return / max draw down)
    3.85806
  • Compounded annual return / average of 25% largest draw downs
    7.98887
  • Compounded annual return / Expected Shortfall lognormal
    19.45660

Strategy Description

Seek high probability setups using stocks, options, and futures. This system is aggressive and targets on 100% annual return, this translates to 8%/mon. We try to limit the max draw down to less than 15% in normal trading situation. In case of disaster such as 911, we try our best to protect the capital and limit the DD to 30%. We recommend Interactive Brokers (IB) to auto trade the system. Any questions? contact directly at mcprotrader@gmail.com.

For subscribers who auto trade the system, please make sure to select stocks, options and futures in the auto trade configuration. if you don't see "stocks" available, click on "Show all possible instruments", then select "stocks". Contact C2 if you have any questions regarding auto trade setup. Subscribers need to frequently compare the positions in the C2 system and your brokerage account, if discrepancy occurs make the correction ASAP.

Summary Statistics

Strategy began
2016-11-23
Minimum Capital Required
$10,000
# Trades
141
# Profitable
122
% Profitable
86.5%
Correlation S&P500
0.221
Sharpe Ratio
5.118

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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 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.

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 re-scaled downward to make current go-forward 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 per-trade 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.

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