Short-Term Stock Index Program (ER2)
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | +3.2% | +26.6% | +3.5% | |||||||||
| 2007 | +10.6% | +4.4% | - | - | - | - | - | +3.1% | (2.1%) | - | - | - |
| 2008 | - | - | - | - | (0.9%) | - | - | - | - | - | - | - |
| 2009 | - | - | - | - | - | - | - | - | - | - | - | - |
| 2010 | - | - | - | - | - | - | - | - | - | - | - | - |
| 2011 | - | - | - | - | - | - | - | - | - | - | - | - |
| 2012 | - | - | - | - | - | - | - | - | - | - | - | - |
| 2013 | - | - | - | - | - |
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this
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| Instruments | Futures |
|---|---|
| Strategies | Unclassified |
| System started | 10/8/2006 (81 months ago) |
| System developer |
Bundle Trader 
(Last login to C2: 1/23/11 19:36) C2 Score: 967  Vendor has created 9 other systems. Show |
| Status | This system is no longer supported. |
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 9/10/07 10:40 | BUY | 3 | @ER2U7 | MINI RUSSELL 2000 | 769.20 | 9/10 11:15 |
765.63 | Low | ($1,112) |
| 9/6/07 16:05 | BUY | 2 | @ER2U7 | MINI RUSSELL 2000 | 787.25 | 9/10 9:35 |
780.05 | Low | ($1,468) |
| 9/6/07 9:47 | SELL | 1 | @ER2U7 | MINI RUSSELL 2000 | 793.20 | 9/6 16:05 |
793.20 | Low | ($14) |
| 9/5/07 16:05 | BUY | 1 | @ER2U7 | MINI RUSSELL 2000 | 791.90 | 9/6 9:46 |
792.80 | Low | $76 |
| 9/5/07 14:25 | SELL | 1 | @ER2U7 | MINI RUSSELL 2000 | 788.40 | 9/5 16:05 |
791.90 | Low | ($364) |
| 9/5/07 10:05 | BUY | 1 | @ER2U7 | MINI RUSSELL 2000 | 793.00 | 9/5 14:25 |
788.40 | Low | ($474) |
| 8/31/07 9:45 | SELL | 1 | @ER2U7 | MINI RUSSELL 2000 | 791.00 | 8/31 15:42 |
796.50 | Low | ($564) |
| 8/30/07 11:55 | BUY | 4 | @ER2U7 | MINI RUSSELL 2000 | 792.40 | 8/31 9:40 |
785.75 | Normal | ($2,716) |
| 8/30/07 9:55 | SELL | 2 | @ER2U7 | MINI RUSSELL 2000 | 787.10 | 8/30 11:05 |
787.70 | Low | ($148) |
| 8/29/07 14:40 | BUY | 1 | @ER2U7 | MINI RUSSELL 2000 | 780.60 | 8/29 16:06 |
789.50 | Low | $876 |
| 8/29/07 9:45 | BUY | 1 | @ER2U7 | MINI RUSSELL 2000 | 774.40 | 8/29 11:00 |
776.90 | Low | $236 |
| 8/28/07 11:16 | SELL | 3 | @ER2U7 | MINI RUSSELL 2000 | 778.17 | 8/28 16:05 |
771.63 | Low | $1,918 |
| 8/27/07 9:45 | SELL | 1 | @ER2U7 | MINI RUSSELL 2000 | 796.90 | 8/27 16:05 |
790.20 | Low | $656 |
| 8/24/07 9:48 | BUY | 1 | @ER2U7 | MINI RUSSELL 2000 | 791.30 | 8/24 16:11 |
801.10 | Low | $966 |
| 8/23/07 9:55 | SELL | 1 | @ER2U7 | MINI RUSSELL 2000 | 795.50 | 8/24 9:48 |
791.30 | Low | $406 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 108 |
| # Profitable | 61 (56.5%) |
| # months tracked | 80 |
| Profitable months | 6 (7.5%) |
| Avg trade duration | 21.2 hours |
| Annual return (compounded) | 7.6% |
| Average win | $1,746 |
| Average loss | $929 |
| Profit factor | 2.4:1 |
| Max peak-to-valley drawdown (historical) | 7.47% |
| drawdown period | Jan 15, 2007 to Jan 17, 2007 |
| Correlation w/ S&P | 0.283 |
| Sharpe ratio | 1.075 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 0.0% |
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.63 |
| Average P/L per unit traded | $106.66 |
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System Description
This is a CTA program tracked here at Collective2 for auditing purposes at the request of a potential client.
- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
