C2 slow steady
(142012072)
Subscription terms. Subscriptions to this system cost $50.00 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.
Pairs Trading / Relative Value
Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security aloneRate 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 marked-to-market equity calculations.
All results are hypothetical.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2022 | +5.4% | (3.7%) | (5.9%) | (4.5%) | |||||||||
2023 | +15.4% | (3.6%) | +7.8% | +2.9% | +1.1% | +2.3% | +9.1% | (3.3%) | (5.1%) | (2%) | +14.6% | +6.8% | +53.1% |
2024 | (3%) | +11.1% | +0.5% | (3.6%) | +3.5% | +1.3% | +2.7% | (1.3%) | +1.0% | (0.7%) | +11.3% |
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 | $50,000 | |
Buy Power | $74,412 | |
Cash | $80,245 | |
Equity | ($5,832) | |
Cumulative $ | $34,013 | |
Includes dividends and cash-settled expirations: | $1,588 | Itemized |
Total System Equity | $84,013 | |
Margined | $0 | |
Open P/L | ($5,832) |
Trading Record
Statistics
-
Strategy began10/3/2022
-
Suggested Minimum Cap$15,000
-
Strategy Age (days)759.35
-
Age25 months ago
-
What it tradesStocks
-
# Trades289
-
# Profitable247
-
% Profitable85.50%
-
Avg trade duration30.4 days
-
Max peak-to-valley drawdown12.84%
-
drawdown periodAug 01, 2023 - Oct 26, 2023
-
Annual Return (Compounded)26.2%
-
Avg win$225.62
-
Avg loss$522.88
- Model Account Values (Raw)
-
Cash$80,245
-
Margin Used$0
-
Buying Power$74,412
- Ratios
-
W:L ratio2.68:1
-
Sharpe Ratio1.3
-
Sortino Ratio2.19
-
Calmar Ratio2.629
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)7.58%
-
Correlation to SP5000.47590
-
Return Percent SP500 (cumu) during strategy life55.11%
- Verified
-
C2Star0
- Return Statistics
-
Ann Return (w trading costs)26.2%
- Slump
-
Current Slump as Pcnt Equity2.20%
- Instruments
-
Percent Trades Futuresn/a
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.14%
- Return Statistics
-
Return Pcnt Since TOS Statusn/a
- Instruments
-
Short Options - Percent Covered100.00%
- Return Statistics
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.262%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocks1.00%
-
Percent Trades Forexn/a
- Return Statistics
-
Ann Return (Compnd, No Fees)28.3%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss11.50%
-
Chance of 20% account lossn/a
-
Chance of 30% account lossn/a
-
Chance of 40% account lossn/a
-
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
- Automation
-
Percentage Signals Automatedn/a
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account lossn/a
- Popularity
-
Popularity (Today)791
-
Popularity (Last 6 weeks)943
- Trading Style
-
Any stock shorts? 0/10
- Popularity
-
C2 Score967
-
Popularity (7 days, Percentile 1000 scale)841
- Trades-Own-System Certification
-
Trades Own System?-
-
TOS percentn/a
- Win / Loss
-
Avg Loss$555
-
Avg Win$226
-
Sum Trade PL (losers)$23,303.000
- Age
-
Num Months filled monthly returns table25
- Win / Loss
-
Sum Trade PL (winners)$55,727.000
-
# Winners247
-
Num Months Winners15
- Dividends
-
Dividends Received in Model Acct1588
- Win / Loss
-
# Losers42
-
% Winners85.5%
- Frequency
-
Avg Position Time (mins)43783.60
-
Avg Position Time (hrs)729.73
-
Avg Trade Length30.4 days
-
Last Trade Ago17
- Leverage
-
Daily leverage (average)0.71
-
Daily leverage (max)1.81
- Regression
-
Alpha0.04
-
Beta0.47
-
Treynor Index0.13
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.01
-
MAE:PL - worst single value for strategy-
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)1.25
-
MAE:Equity, average, winning trades0.00
-
MAE:Equity, average, losing trades0.01
-
Avg(MAE) / Avg(PL) - All trades3.025
-
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 strat0.01
-
Avg(MAE) / Avg(PL) - Winning trades1.263
-
Avg(MAE) / Avg(PL) - Losing trades-0.965
-
Hold-and-Hope Ratio0.321
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.25159
-
SD0.18084
-
Sharpe ratio (Glass type estimate)1.39121
-
Sharpe ratio (Hedges UMVUE)1.34526
-
df23.00000
-
t1.96746
-
p0.03065
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.06511
-
Upperbound of 95% confidence interval for Sharpe Ratio2.81972
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.09414
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.78465
- Statistics related to Sortino ratio
-
Sortino ratio2.98697
-
Upside Potential Ratio4.46461
-
Upside part of mean0.37605
-
Downside part of mean-0.12446
-
Upside SD0.17182
-
Downside SD0.08423
-
N nonnegative terms15.00000
-
N negative terms9.00000
- Statistics related to linear regression on benchmark
-
N of observations24.00000
-
Mean of predictor0.21144
-
Mean of criterion0.25159
-
SD of predictor0.13106
-
SD of criterion0.18084
-
Covariance0.01506
-
r0.63522
-
b (slope, estimate of beta)0.87651
-
a (intercept, estimate of alpha)0.06626
-
Mean Square Error0.02039
-
DF error22.00000
-
t(b)3.85774
-
p(b)0.00043
-
t(a)0.59254
-
p(a)0.27977
-
Lowerbound of 95% confidence interval for beta0.40531
-
Upperbound of 95% confidence interval for beta1.34771
-
Lowerbound of 95% confidence interval for alpha-0.16565
-
Upperbound of 95% confidence interval for alpha0.29817
-
Treynor index (mean / b)0.28703
-
Jensen alpha (a)0.06626
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.23354
-
SD0.17602
-
Sharpe ratio (Glass type estimate)1.32672
-
Sharpe ratio (Hedges UMVUE)1.28290
-
df23.00000
-
t1.87627
-
p0.03668
-
Lowerbound of 95% confidence interval for Sharpe Ratio-0.12399
-
Upperbound of 95% confidence interval for Sharpe Ratio2.75079
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.15173
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.71754
- Statistics related to Sortino ratio
-
Sortino ratio2.67715
-
Upside Potential Ratio4.14312
-
Upside part of mean0.36142
-
Downside part of mean-0.12788
-
Upside SD0.16318
-
Downside SD0.08723
-
N nonnegative terms15.00000
-
N negative terms9.00000
- Statistics related to linear regression on benchmark
-
N of observations24.00000
-
Mean of predictor0.20107
-
Mean of criterion0.23354
-
SD of predictor0.13007
-
SD of criterion0.17602
-
Covariance0.01489
-
r0.65029
-
b (slope, estimate of beta)0.88002
-
a (intercept, estimate of alpha)0.05659
-
Mean Square Error0.01870
-
DF error22.00000
-
t(b)4.01494
-
p(b)0.00029
-
t(a)0.53257
-
p(a)0.29983
-
Lowerbound of 95% confidence interval for beta0.42546
-
Upperbound of 95% confidence interval for beta1.33459
-
Lowerbound of 95% confidence interval for alpha-0.16377
-
Upperbound of 95% confidence interval for alpha0.27695
-
Treynor index (mean / b)0.26538
-
Jensen alpha (a)0.05659
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.06211
-
Expected Shortfall on VaR0.08165
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.01938
-
Expected Shortfall on VaR0.04209
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations24.00000
-
Minimum0.91492
-
Quartile 10.99601
-
Median1.01950
-
Quartile 31.05324
-
Maximum1.16140
-
Mean of quarter 10.96290
-
Mean of quarter 21.00393
-
Mean of quarter 31.04070
-
Mean of quarter 41.08564
-
Inter Quartile Range0.05723
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.04167
-
Mean of outliers high1.16140
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-0.76767
-
VaR(95%) (moments method)0.02380
-
Expected Shortfall (moments method)0.02750
-
Extreme Value Index (regression method)-0.09185
-
VaR(95%) (regression method)0.04852
-
Expected Shortfall (regression method)0.07117
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations6.00000
-
Minimum0.00305
-
Quartile 10.00841
-
Median0.02018
-
Quartile 30.07221
-
Maximum0.08868
-
Mean of quarter 10.00493
-
Mean of quarter 20.01322
-
Mean of quarter 30.02715
-
Mean of quarter 40.08796
-
Inter Quartile Range0.06381
-
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)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)0.34345
-
Compounded annual return (geometric extrapolation)0.29880
-
Calmar ratio (compounded annual return / max draw down)3.36952
-
Compounded annual return / average of 25% largest draw downs3.39715
-
Compounded annual return / Expected Shortfall lognormal3.65956
-
0.00000
-
0.00000
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.23732
-
SD0.14502
-
Sharpe ratio (Glass type estimate)1.63647
-
Sharpe ratio (Hedges UMVUE)1.63419
-
df537.00000
-
t2.34503
-
p0.00969
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.26452
-
Upperbound of 95% confidence interval for Sharpe Ratio3.00702
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.26295
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.00543
- Statistics related to Sortino ratio
-
Sortino ratio2.81648
-
Upside Potential Ratio10.66110
-
Upside part of mean0.89830
-
Downside part of mean-0.66098
-
Upside SD0.11877
-
Downside SD0.08426
-
N nonnegative terms282.00000
-
N negative terms256.00000
- Statistics related to linear regression on benchmark
-
N of observations538.00000
-
Mean of predictor0.19678
-
Mean of criterion0.23732
-
SD of predictor0.14760
-
SD of criterion0.14502
-
Covariance0.00996
-
r0.46509
-
b (slope, estimate of beta)0.45693
-
a (intercept, estimate of alpha)0.14700
-
Mean Square Error0.01651
-
DF error536.00000
-
t(b)12.16300
-
p(b)0.00000
-
t(a)1.63822
-
p(a)0.05098
-
Lowerbound of 95% confidence interval for beta0.38313
-
Upperbound of 95% confidence interval for beta0.53073
-
Lowerbound of 95% confidence interval for alpha-0.02935
-
Upperbound of 95% confidence interval for alpha0.32415
-
Treynor index (mean / b)0.51937
-
Jensen alpha (a)0.14740
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.22677
-
SD0.14421
-
Sharpe ratio (Glass type estimate)1.57250
-
Sharpe ratio (Hedges UMVUE)1.57030
-
df537.00000
-
t2.25336
-
p0.01232
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.20081
-
Upperbound of 95% confidence interval for Sharpe Ratio2.94277
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.19933
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.94127
- Statistics related to Sortino ratio
-
Sortino ratio2.67168
-
Upside Potential Ratio10.50030
-
Upside part of mean0.89127
-
Downside part of mean-0.66450
-
Upside SD0.11726
-
Downside SD0.08488
-
N nonnegative terms282.00000
-
N negative terms256.00000
- Statistics related to linear regression on benchmark
-
N of observations538.00000
-
Mean of predictor0.18585
-
Mean of criterion0.22677
-
SD of predictor0.14729
-
SD of criterion0.14421
-
Covariance0.00993
-
r0.46727
-
b (slope, estimate of beta)0.45750
-
a (intercept, estimate of alpha)0.14175
-
Mean Square Error0.01629
-
DF error536.00000
-
t(b)12.23610
-
p(b)0.00000
-
t(a)1.58680
-
p(a)0.05657
-
Lowerbound of 95% confidence interval for beta0.38405
-
Upperbound of 95% confidence interval for beta0.53094
-
Lowerbound of 95% confidence interval for alpha-0.03373
-
Upperbound of 95% confidence interval for alpha0.31723
-
Treynor index (mean / b)0.49568
-
Jensen alpha (a)0.14175
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.01369
-
Expected Shortfall on VaR0.01735
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00563
-
Expected Shortfall on VaR0.01114
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations538.00000
-
Minimum0.97193
-
Quartile 10.99699
-
Median1.00045
-
Quartile 31.00429
-
Maximum1.05360
-
Mean of quarter 10.99120
-
Mean of quarter 20.99896
-
Mean of quarter 31.00199
-
Mean of quarter 41.01189
-
Inter Quartile Range0.00731
-
Number outliers low20.00000
-
Percentage of outliers low0.03717
-
Mean of outliers low0.98143
-
Number of outliers high29.00000
-
Percentage of outliers high0.05390
-
Mean of outliers high1.02492
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-0.06343
-
VaR(95%) (moments method)0.00758
-
Expected Shortfall (moments method)0.01011
-
Extreme Value Index (regression method)-0.15212
-
VaR(95%) (regression method)0.00824
-
Expected Shortfall (regression method)0.01071
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations33.00000
-
Minimum0.00038
-
Quartile 10.00496
-
Median0.01350
-
Quartile 30.02757
-
Maximum0.11034
-
Mean of quarter 10.00187
-
Mean of quarter 20.00897
-
Mean of quarter 30.02044
-
Mean of quarter 40.06357
-
Inter Quartile Range0.02261
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high3.00000
-
Percentage of outliers high0.09091
-
Mean of outliers high0.09489
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)-0.49770
-
VaR(95%) (moments method)0.06140
-
Expected Shortfall (moments method)0.07082
-
Extreme Value Index (regression method)-1.89224
-
VaR(95%) (regression method)0.06930
-
Expected Shortfall (regression method)0.07051
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.33458
-
Compounded annual return (geometric extrapolation)0.29005
-
Calmar ratio (compounded annual return / max draw down)2.62873
-
Compounded annual return / average of 25% largest draw downs4.56290
-
Compounded annual return / Expected Shortfall lognormal16.71340
-
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
-
Mean0.09643
-
SD0.06082
-
Sharpe ratio (Glass type estimate)1.58547
-
Sharpe ratio (Hedges UMVUE)1.57631
-
df130.00000
-
t1.12110
-
p0.45107
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.19605
-
Upperbound of 95% confidence interval for Sharpe Ratio4.36095
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.20211
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.35473
- Statistics related to Sortino ratio
-
Sortino ratio2.21838
-
Upside Potential Ratio8.85337
-
Upside part of mean0.38483
-
Downside part of mean-0.28840
-
Upside SD0.04262
-
Downside SD0.04347
-
N nonnegative terms80.00000
-
N negative terms51.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.19894
-
Mean of criterion0.09643
-
SD of predictor0.13243
-
SD of criterion0.06082
-
Covariance0.00453
-
r0.56260
-
b (slope, estimate of beta)0.25838
-
a (intercept, estimate of alpha)0.04502
-
Mean Square Error0.00255
-
DF error129.00000
-
t(b)7.72911
-
p(b)0.16175
-
t(a)0.62802
-
p(a)0.46487
-
Lowerbound of 95% confidence interval for beta0.19223
-
Upperbound of 95% confidence interval for beta0.32451
-
Lowerbound of 95% confidence interval for alpha-0.09682
-
Upperbound of 95% confidence interval for alpha0.18687
-
Treynor index (mean / b)0.37320
-
Jensen alpha (a)0.04502
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.09456
-
SD0.06091
-
Sharpe ratio (Glass type estimate)1.55238
-
Sharpe ratio (Hedges UMVUE)1.54340
-
df130.00000
-
t1.09770
-
p0.45208
-
Lowerbound of 95% confidence interval for Sharpe Ratio-1.22875
-
Upperbound of 95% confidence interval for Sharpe Ratio4.32770
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.23474
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.32155
- Statistics related to Sortino ratio
-
Sortino ratio2.16246
-
Upside Potential Ratio8.77895
-
Upside part of mean0.38388
-
Downside part of mean-0.28932
-
Upside SD0.04247
-
Downside SD0.04373
-
N nonnegative terms80.00000
-
N negative terms51.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.19012
-
Mean of criterion0.09456
-
SD of predictor0.13273
-
SD of criterion0.06091
-
Covariance0.00456
-
r0.56393
-
b (slope, estimate of beta)0.25880
-
a (intercept, estimate of alpha)0.04536
-
Mean Square Error0.00255
-
DF error129.00000
-
t(b)7.75582
-
p(b)0.16105
-
t(a)0.63261
-
p(a)0.46462
-
VAR (95 Confidence Intrvl)0.01400
-
Lowerbound of 95% confidence interval for beta0.19278
-
Upperbound of 95% confidence interval for beta0.32482
-
Lowerbound of 95% confidence interval for alpha-0.09650
-
Upperbound of 95% confidence interval for alpha0.18721
-
Treynor index (mean / b)0.36538
-
Jensen alpha (a)0.04536
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.00581
-
Expected Shortfall on VaR0.00737
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00210
-
Expected Shortfall on VaR0.00460
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations131.00000
-
Minimum0.97979
-
Quartile 10.99874
-
Median1.00055
-
Quartile 31.00216
-
Maximum1.01329
-
Mean of quarter 10.99605
-
Mean of quarter 20.99990
-
Mean of quarter 31.00140
-
Mean of quarter 41.00457
-
Inter Quartile Range0.00342
-
Number outliers low4.00000
-
Percentage of outliers low0.03053
-
Mean of outliers low0.98895
-
Number of outliers high5.00000
-
Percentage of outliers high0.03817
-
Mean of outliers high1.00863
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.21674
-
VaR(95%) (moments method)0.00356
-
Expected Shortfall (moments method)0.00571
-
Extreme Value Index (regression method)0.20337
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VaR(95%) (regression method)0.00339
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Expected Shortfall (regression method)0.00530
- DRAW DOWN STATISTICS
- Quartiles of draw downs
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Number of observations12.00000
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Minimum0.00046
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Quartile 10.00135
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Median0.00264
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Quartile 30.01019
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Maximum0.03901
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Mean of quarter 10.00086
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Mean of quarter 20.00165
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Mean of quarter 30.00633
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Mean of quarter 40.02031
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Inter Quartile Range0.00884
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Number outliers low0.00000
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Percentage of outliers low0.00000
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Mean of outliers low0.00000
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Number of outliers high1.00000
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Percentage of outliers high0.08333
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Mean of outliers high0.03901
- Risk estimates based on draw downs (based on Extreme Value T
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Extreme Value Index (moments method)0.57618
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VaR(95%) (moments method)0.02320
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Expected Shortfall (moments method)0.05738
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Extreme Value Index (regression method)4.34791
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VaR(95%) (regression method)0.05204
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Last 4 Months - Pcnt Negative0.50%
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Expected Shortfall (regression method)0.00000
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Strat Max DD how much worse than SP500 max DD during strat life?-342035000
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Max Equity Drawdown (num days)86
- COMBINED STATISTICS
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Annualized return (arithmetic extrapolation)0.12629
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Compounded annual return (geometric extrapolation)0.13028
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Calmar ratio (compounded annual return / max draw down)3.33963
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Compounded annual return / average of 25% largest draw downs6.41382
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Compounded annual return / Expected Shortfall lognormal17.66960
Strategy Description
Long-term Approach: The strategy is designed for long-term investors who are willing to hold positions for extended periods. It emphasizes the importance of giving the selected companies ample time to fulfill their potential.
Daily Order Placement: The strategy typically places orders on a daily basis to take advantage of short-term fluctuations while maintaining a long-term investment horizon. However, the overarching philosophy remains focused on the big picture.
Limited Diversification: The strategy typically maintains a manageable number of positions, with a maximum of 20 different companies in the portfolio at any given time. This approach allows for better monitoring and analysis of each investment.
No Short Positions: The strategy does not engage in short selling, thereby avoiding potential higher risks associated with short positions.
Fundamental Belief in Companies: Investments are made in companies that the strategy's creator firmly believes in, based on thorough fundamental analysis. The focus is on selecting strong, well-established companies with solid growth prospects.
Patient Risk Management: Emphasizing patience and discipline, the strategy avoids making impulsive decisions during market downturns or euphoria. Losses are managed carefully, and exits are only executed when there is a strong conviction that a company's potential has diminished.
Scaling Possibility: Investors have the option to scale their accounts, but the strategy creator suggests a minimum account size of 3K to ensure the timely execution of signals.
Risk and Reward:
The C2 Slow and Steady strategy aims for steady, consistent growth over time, rather than chasing quick gains. By focusing on fundamentally strong companies and exercising patience, the strategy seeks to limit downside risk while participating in potential long-term upsides. Investors should be prepared for moderate volatility in the short term but can expect a smoother equity curve over the long run.
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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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.