Butterfly 100 Stocks
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | (0.1%) | (0.2%) | +3.4% | +1.2% | ||||||||
| 2012 | +4.0% | +4.3% | +5.1% | (0.7%) | (0.1%) | +1.2% | (0.2%) | +4.5% | +1.8% | +0.8% | +2.8% | +2.9% |
| 2013 | +2.0% | +1.4% | +2.0% | +1.7% | +0.3% |
Loading Chart...
| Instruments | Stocks |
|---|---|
| Strategies | Market timing |
| System started | 9/22/2011 (20 months ago) |
| System developer |
Enrico Ansaloni 
(Last login to C2: 5/20/13 17:35) C2 Score: 994  The name of this system has been changed 2 times. Show |
Live brokerage trade data is available for this system. Show broker data?
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 4/30/13 9:39 | BUY | 209 | DLTR | DOLLAR TREE INC | 47.25 | 5/2 12:01 |
48.51 | Low | $260 |
| 4/15/13 15:17 | BUY | 215 | CHKP | CHECK POINT SOFTWARE TECH | 45.68 | 5/2 11:10 |
46.88 | Low | $254 |
| 4/30/13 9:47 | BUY | 196 | GILD | GILEAD SCIENCES INC | 50.19 | 5/2 9:30 |
52.68 | Low | $484 |
| 4/24/13 12:38 | BUY | 154 | CTSH | COGNIZANT TECH SOL CP A | 63.25 | 4/30 12:26 |
65.08 | Low | $279 |
| 4/19/13 9:37 | BUY | 142 | CTSH | COGNIZANT TECH SOL CP A | 69.70 | 4/23 9:35 |
66.80 | Low | ($415) |
| 4/17/13 9:30 | BUY | 420 | YHOO | YAHOO! INC | 23.40 | 4/23 9:33 |
24.14 | Low | $303 |
| 4/17/13 10:58 | BUY | 104 | ALXN | ALEXION PHARMACEUTICALS | 94.22 | 4/22 10:47 |
90.44 | Low | ($395) |
| 3/14/13 12:43 | BUY | 292 | USB | US BANCORP | 33.93 | 4/16 9:33 |
32.50 | Low | ($424) |
| 4/9/13 11:08 | BUY | 213 | DLTR | DOLLAR TREE INC | 45.92 | 4/12 9:35 |
47.39 | Low | $309 |
| 4/5/13 9:30 | BUY | 222 | BMC | BMC SOFTWARE INC | 44.47 | 4/11 14:11 |
45.46 | Low | $215 |
| 4/3/13 12:42 | BUY | 277 | MCHP | MICROCHIP TECHNOLOGY INC | 35.59 | 4/10 13:44 |
36.73 | Low | $310 |
| 4/5/13 9:31 | BUY | 155 | ADP | AUTOMATIC DATA PROCESSNG | 63.82 | 4/10 12:52 |
65.58 | Low | $270 |
| 4/4/13 12:21 | BUY | 288 | AKAM | AKAMAI TECHNOLOGIES INC | 34.35 | 4/10 10:29 |
35.29 | Low | $265 |
| 4/5/13 9:30 | BUY | 108 | CERN | CERNER CORP | 91.48 | 4/10 10:00 |
94.12 | Low | $283 |
| 4/5/13 9:30 | BUY | 117 | BIDU | BAIDU INC ADS | 84.06 | 4/10 9:30 |
88.00 | Low | $459 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 373 |
| # Profitable | 261 (70.0%) |
| # months tracked | 21 |
| Profitable months | 16 (76.2%) |
| Avg trade duration | 8.6 days |
| Annual return (compounded) | 27.4% |
| Average win | $364 |
| Average loss | $413 |
| Profit factor | 2.1:1 |
| Max peak-to-valley drawdown (historical) | 6.26% |
| drawdown period | April 02, 2012 to May 18, 2012 |
| Correlation w/ S&P | 0.321 |
| Sharpe ratio | 2.794 |
| Keep after worst-case slippage | 99.7% |
| 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) | 0.53 |
| Average P/L per unit traded | $0.97 |
| Sum of dividends and cash expir. in model account | $1,025 |
Reviews
I've autotraded this system over the past month within my Interactive Brokers account using Trader68. My executions have matched what is shown on the web site, so I've made money so far without suffering any signifcant drawdowns. I like the fact that the return has been similar to the S&P but with less volatility (since it is usually only partially invested). If this performance keep up I'll be changing my rating to 5 stars.
System Description
Butterfly is a fully automated trading system based on statistical / quantitative analysis of stock prices.
Once a long position is taken the system generates a target profit order and a stop-loss order.
Positions are held at least one day and generally no more than one week.
The system is designed to be traded with at least $50,000 equity but the optimal performance can be achieved with $100,000 or more.
This system invests the same amount of money on any stock of nasdaq 100 or S&P 100 which has been selected by the statistical quantitative algorithm; as the equity of the portfolio increases, this amount proportionally increases.
Butterfly takes a low risk on the entire portfolio limiting losses, typically in %5 amounts of the total invested amount for each stock; the revenue estimate is greater than a 25% annual return percentage on the portfolio.
- 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.
