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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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STP 100
(41657880)

Created by: futurm futurm
Started: 07/2009
Stocks
Last trade: 5,244 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 $150.00 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.

-2.2%

Rate 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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(8.0%)
Max Drawdown
83
Num Trades
36.1%
Win Trades
0.9 : 1
Profit Factor
0.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009                                          (1.1%)(2.6%)(0.3%)(4.3%)+0.6%(2%)(9.4%)
2010  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/2/09 9:32 EXPD EXPEDITORS INTERNATIONAL SHORT 155 32.37 12/14 12:22 33.72 0.87%
Trade id #44417722
Max drawdown($209)
Time12/14/09 12:20
Quant open-155
Worst price33.69
Drawdown as % of equity-0.87%
 ($212)
Includes Typical Broker Commissions trade costs of $3.10
11/19/09 9:54 APPL SHORT 50 92.00 11/24 13:54 92.00 n/a ($1)
Includes Typical Broker Commissions trade costs of $1.00
10/30/09 9:32 GENZ Genzyme Corp. LONG 97 52.12 11/13 9:52 53.72 0.84%
Trade id #44349761
Max drawdown($200)
Time11/2/09 14:08
Quant open97
Worst price50.05
Drawdown as % of equity-0.84%
 $153
Includes Typical Broker Commissions trade costs of $1.94
10/27/09 9:32 PAYX PAYCHEX LONG 171 29.25 11/2 14:06 28.31 0.67%
Trade id #44217505
Max drawdown($161)
Time11/2/09 12:55
Quant open171
Worst price28.32
Drawdown as % of equity-0.67%
 ($164)
Includes Typical Broker Commissions trade costs of $3.42
11/2/09 9:32 VRTX VERTEX SHORT 149 37.13 11/2 9:32 37.50 n/a ($58)
Includes Typical Broker Commissions trade costs of $2.98
10/30/09 9:32 ADSK AUTODESK LONG 193 25.79 11/2 9:31 24.78 0.81%
Trade id #44349756
Max drawdown($195)
Time10/30/09 16:01
Quant open193
Worst price24.87
Drawdown as % of equity-0.81%
 ($199)
Includes Typical Broker Commissions trade costs of $3.86
10/26/09 9:32 INTU INTUIT SHORT 167 29.79 11/2 9:30 29.00 0.45%
Trade id #44175362
Max drawdown($106)
Time10/26/09 10:50
Quant open-167
Worst price30.43
Drawdown as % of equity-0.45%
 $129
Includes Typical Broker Commissions trade costs of $3.34
10/28/09 9:32 STX SEAGATE TECHNOLOGY SHORT 326 15.26 10/30 11:53 14.32 0.07%
Trade id #44263182
Max drawdown($16)
Time10/28/09 9:53
Quant open-326
Worst price15.31
Drawdown as % of equity-0.07%
 $299
Includes Typical Broker Commissions trade costs of $6.52
10/28/09 9:32 FSLR FIRST SOLAR INC SHORT 34 148.91 10/29 9:30 141.09 0.78%
Trade id #44263226
Max drawdown($185)
Time10/28/09 14:58
Quant open-34
Worst price154.37
Drawdown as % of equity-0.78%
 $265
Includes Typical Broker Commissions trade costs of $0.68
10/22/09 9:33 STLD STEEL DYNAMICS LONG 324 15.46 10/27 10:02 14.33 1.54%
Trade id #44041973
Max drawdown($366)
Time10/27/09 9:47
Quant open324
Worst price14.40
Drawdown as % of equity-1.54%
 ($372)
Includes Typical Broker Commissions trade costs of $6.48
10/16/09 9:31 ATVI ACTIVISION BLIZZARD SHORT 400 12.46 10/27 9:55 11.96 0.39%
Trade id #43871931
Max drawdown($92)
Time10/21/09 9:53
Quant open-400
Worst price12.69
Drawdown as % of equity-0.39%
 $192
Includes Typical Broker Commissions trade costs of $8.00
10/23/09 9:43 BIDU BAIDU LONG 120 42.30 10/23 11:58 43.58 0.04%
Trade id #44081849
Max drawdown($9)
Time10/23/09 9:47
Quant open12
Worst price422.20
Drawdown as % of equity-0.04%
 $151
Includes Typical Broker Commissions trade costs of $2.40
10/8/09 9:31 CTAS CINTAS SHORT 170 29.35 10/23 10:55 28.27 0.26%
Trade id #43642483
Max drawdown($61)
Time10/8/09 11:27
Quant open-170
Worst price29.71
Drawdown as % of equity-0.26%
 $181
Includes Typical Broker Commissions trade costs of $3.40
10/15/09 9:32 FWLT FOSTER WHEELER LONG 154 32.04 10/22 9:50 31.60 0.29%
Trade id #43835339
Max drawdown($68)
Time10/22/09 9:49
Quant open154
Worst price31.68
Drawdown as % of equity-0.29%
 ($71)
Includes Typical Broker Commissions trade costs of $3.08
10/16/09 9:30 AMZN AMAZON.COM SHORT 52 95.30 10/22 9:43 92.28 0.29%
Trade id #43871886
Max drawdown($69)
Time10/21/09 9:38
Quant open-52
Worst price96.63
Drawdown as % of equity-0.29%
 $156
Includes Typical Broker Commissions trade costs of $1.04
10/16/09 9:31 DELL DELL TECHNOLOGIES INC SHORT 324 15.33 10/20 10:45 14.73 0.22%
Trade id #43871929
Max drawdown($51)
Time10/20/09 10:32
Quant open-324
Worst price15.49
Drawdown as % of equity-0.22%
 $188
Includes Typical Broker Commissions trade costs of $6.48
10/16/09 9:31 ERTS SHORT 245 20.17 10/19 9:30 20.84 0.7%
Trade id #43871938
Max drawdown($164)
Time10/16/09 14:26
Quant open-245
Worst price20.74
Drawdown as % of equity-0.70%
 ($169)
Includes Typical Broker Commissions trade costs of $4.90
10/15/09 9:32 HOLX HOLOGIC LONG 296 16.77 10/16 11:33 16.50 0.34%
Trade id #43835326
Max drawdown($80)
Time10/16/09 11:27
Quant open296
Worst price16.54
Drawdown as % of equity-0.34%
 ($86)
Includes Typical Broker Commissions trade costs of $5.92
10/15/09 9:31 AMGN AMGEN LONG 85 60.57 10/15 11:32 61.38 0%
Trade id #43835310
Max drawdown($0)
Time10/15/09 9:34
Quant open85
Worst price60.56
Drawdown as % of equity-0.00%
 $67
Includes Typical Broker Commissions trade costs of $1.70
10/1/09 9:30 ALTR ALTAIR ENGINEERING INC. CLASS A SHORT 246 20.50 10/12 9:32 21.17 0.7%
Trade id #43499360
Max drawdown($165)
Time10/12/09 9:31
Quant open-246
Worst price21.14
Drawdown as % of equity-0.70%
 ($170)
Includes Typical Broker Commissions trade costs of $4.92
10/2/09 9:30 ISRG INTUITIVE SURGICAL SHORT 25 249.00 10/8 9:31 258.82 1.02%
Trade id #43527005
Max drawdown($246)
Time10/6/09 9:54
Quant open-25
Worst price256.98
Drawdown as % of equity-1.02%
 ($247)
Includes Typical Broker Commissions trade costs of $0.50
10/6/09 9:34 CSCO CISCO SYSTEMS LONG 218 23.26 10/8 9:30 23.81 0.15%
Trade id #43589938
Max drawdown($37)
Time10/6/09 14:23
Quant open218
Worst price23.09
Drawdown as % of equity-0.15%
 $116
Includes Typical Broker Commissions trade costs of $4.36
10/5/09 9:31 ADBE ADOBE INC LONG 155 32.37 10/6 9:55 33.05 0.13%
Trade id #43561629
Max drawdown($31)
Time10/5/09 9:36
Quant open155
Worst price32.17
Drawdown as % of equity-0.13%
 $102
Includes Typical Broker Commissions trade costs of $3.10
10/2/09 9:30 QID PROSHARES ULTRASHORT QQQ LONG 50 494.00 10/6 9:43 471.40 4.68%
Trade id #43526942
Max drawdown($1,130)
Time10/6/09 9:42
Quant open1,000
Worst price23.62
Drawdown as % of equity-4.68%
 ($1,131)
Includes Typical Broker Commissions trade costs of $1.00
9/25/09 9:31 JBHT J.B. HUNT TRANSPORT SHORT 157 32.02 10/6 9:32 32.63 0.47%
Trade id #43377318
Max drawdown($113)
Time10/6/09 9:31
Quant open-157
Worst price32.74
Drawdown as % of equity-0.47%
 ($99)
Includes Typical Broker Commissions trade costs of $3.14
9/25/09 9:31 EXPE EXPEDIA SHORT 104 47.94 10/1 11:37 46.32 0.24%
Trade id #43377322
Max drawdown($60)
Time9/28/09 12:10
Quant open-208
Worst price24.26
Drawdown as % of equity-0.24%
 $166
Includes Typical Broker Commissions trade costs of $2.08
10/1/09 9:30 CHKP CHECK POINT SOFTWARE SHORT 179 28.28 10/1 9:39 28.33 0.04%
Trade id #43499431
Max drawdown($9)
Time10/1/09 9:34
Quant open-179
Worst price28.29
Drawdown as % of equity-0.04%
 ($13)
Includes Typical Broker Commissions trade costs of $3.58
10/1/09 9:30 NTAP NETAPP SHORT 191 26.59 10/1 9:30 26.77 n/a ($38)
Includes Typical Broker Commissions trade costs of $3.82
9/29/09 9:30 CA XTRACKERS CALIFORNIA MUNI BNDS ETF LONG 224 22.30 9/30 9:55 21.87 0.38%
Trade id #43442512
Max drawdown($96)
Time9/30/09 9:53
Quant open224
Worst price21.93
Drawdown as % of equity-0.38%
 ($100)
Includes Typical Broker Commissions trade costs of $4.48
9/29/09 9:30 ORLY O'REILLY AUTOMOTIVE LONG 136 36.79 9/30 9:44 35.92 0.47%
Trade id #43442561
Max drawdown($118)
Time9/30/09 9:43
Quant open136
Worst price36.02
Drawdown as % of equity-0.47%
 ($121)
Includes Typical Broker Commissions trade costs of $2.72
Next

Statistics

  • Strategy began
    7/12/2009
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    5392.03
  • Age
    180 months ago
  • What it trades
    Stocks
  • # Trades
    83
  • # Profitable
    30
  • % Profitable
    36.10%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    7.96%
  • drawdown period
    Sept 25, 2009 - Oct 12, 2009
  • Annual return (compounded)
    -0.3%
  • Avg win
    $219.37
  • Avg loss
    $143.25
  • Model Account Values (Raw)
  • Cash
    $24,022
  • Margin Used
    $0
  • Buying Power
    $24,022
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -1.13
  • Sortino Ratio
    -1.46
  • Calmar Ratio
    -0.122
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.04910
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -97.52%
  • Return Percent SP500 (cumu) during strategy life
    476.42%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.2%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Slump
  • Current Slump as Pcnt Equity
    11.20%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.33%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $219
  • Avg Loss
    $143
  • Sum Trade PL (losers)
    $7,592.000
  • Sum Trade PL (winners)
    $6,581.000
  • # Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    30
  • Win / Loss
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    178
  • Win / Loss
  • # Losers
    53
  • % Winners
    36.1%
  • Frequency
  • Avg Position Time (mins)
    5840.93
  • Avg Position Time (hrs)
    97.35
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    5257
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.01
  • Treynor Index
    1.19
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.53
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -5.966
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.53
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    9.51
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.368
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.019
  • Hold-and-Hope Ratio
    -0.168
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.02300
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    17
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2009-07-12
Suggested Minimum Capital
$25,000
# Trades
83
# Profitable
30
% Profitable
36.1%
Net Dividends
$30
Correlation S&P500
-0.049
Sharpe Ratio
-1.13
Sortino Ratio
-1.46
Beta
-0.01
Alpha
-0.01

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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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.