Fuzzy Maths
(135830827)
Subscription terms. Subscriptions to this system cost $125.00 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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  (0.3%)  +1.3%  +7.5%  +1.7%  (1.1%)  +9.1% 
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  $36,549  
Cash  $1  
Equity  $1  
Cumulative $  $5,399  
Total System Equity  $55,399  
Margined  $1  
Open P/L  $875  
Data has been delayed by 24 hours for nonsubscribers 
System developer has asked us to delay this information by 24 hours.
Trading Record
Statistics

Strategy began5/29/2021

Suggested Minimum Cap$15,000

Strategy Age (days)113.86

Age114 days ago

What it tradesStocks

# Trades52

# Profitable29

% Profitable55.80%

Avg trade duration5.3 days

Max peaktovalley drawdown3.43%

drawdown periodAug 26, 2021  Sept 17, 2021

Cumul. Return9.1%

Avg win$324.59

Avg loss$174.52
 Model Account Values (Raw)

Cash$35,674

Margin Used$0

Buying Power$36,549
 Ratios

W:L ratio2.35:1

Sharpe Ratio2.47

Sortino Ratio6.23

Calmar Ratio14.729
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)3.66%

Correlation to SP5000.25840

Return Percent SP500 (cumu) during strategy life5.44%
 Verified

C2Star2
 Return Statistics

Ann Return (w trading costs)31.3%
 Slump

Current Slump as Pcnt Equity2.20%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.21%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.091%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)38.5%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

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 (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)814

Popularity (Last 6 weeks)925
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score877

Popularity (7 days, Percentile 1000 scale)788
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$175

Avg Win$325

Sum Trade PL (losers)$4,014.000
 Age

Num Months filled monthly returns table5
 Win / Loss

Sum Trade PL (winners)$9,413.000

# Winners29

Num Months Winners3
 Dividends

Dividends Received in Model Acct0
 Win / Loss

# Losers23

% Winners55.8%
 Frequency

Avg Position Time (mins)7617.23

Avg Position Time (hrs)126.95

Avg Trade Length5.3 days

Last Trade Ago2
 Leverage

Daily leverage (average)0.66

Daily leverage (max)1.29
 Regression

Alpha0.09

Beta0.26

Treynor Index0.29
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.23

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades1.472

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.208

Avg(MAE) / Avg(PL)  Losing trades1.107

HoldandHope Ratio0.747
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.43581

SD0.11762

Sharpe ratio (Glass type estimate)3.70513

Sharpe ratio (Hedges UMVUE)2.09040

df2.00000

t1.85257

p0.10257

Lowerbound of 95% confidence interval for Sharpe Ratio1.65689

Upperbound of 95% confidence interval for Sharpe Ratio8.66982

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.33254

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.51333
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.43581

Downside part of mean0.00000

Upside SD0.15827

Downside SD0.00000

N nonnegative terms3.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.26787

Mean of criterion0.43581

SD of predictor0.01305

SD of criterion0.11762

Covariance0.00060

r0.38937

b (slope, estimate of beta)3.50906

a (intercept, estimate of alpha)1.37578

Mean Square Error0.02348

DF error1.00000

t(b)0.42273

p(b)0.62731

t(a)0.61292

p(a)0.32497

Lowerbound of 95% confidence interval for beta108.98400

Upperbound of 95% confidence interval for beta101.96600

Lowerbound of 95% confidence interval for alpha27.14480

Upperbound of 95% confidence interval for alpha29.89630

Treynor index (mean / b)0.12419

Jensen alpha (a)1.37578
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.42288

SD0.11223

Sharpe ratio (Glass type estimate)3.76796

Sharpe ratio (Hedges UMVUE)2.12584

df2.00000

t1.88398

p0.10013

Lowerbound of 95% confidence interval for Sharpe Ratio1.62985

Upperbound of 95% confidence interval for Sharpe Ratio8.77073

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.31329

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.56497
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.42288

Downside part of mean0.00000

Upside SD0.15264

Downside SD0.00000

N nonnegative terms3.00000

N negative terms0.00000
 Statistics related to linear regression on benchmark

N of observations3.00000

Mean of predictor0.26426

Mean of criterion0.42288

SD of predictor0.01272

SD of criterion0.11223

Covariance0.00055

r0.38778

b (slope, estimate of beta)3.42026

a (intercept, estimate of alpha)1.32672

Mean Square Error0.02140

DF error1.00000

t(b)0.42069

p(b)0.62676

t(a)0.61187

p(a)0.32521

Lowerbound of 95% confidence interval for beta106.72200

Upperbound of 95% confidence interval for beta99.88160

Lowerbound of 95% confidence interval for alpha26.22400

Upperbound of 95% confidence interval for alpha28.87740

Treynor index (mean / b)0.12364

Jensen alpha (a)1.32672
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01789

Expected Shortfall on VaR0.03102
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates

Number of observations3.00000

Minimum1.01728

Quartile 11.01907

Median1.02086

Quartile 31.04933

Maximum1.07780

Mean of quarter 11.01728

Mean of quarter 21.02086

Mean of quarter 30.00000

Mean of quarter 41.07780

Inter Quartile Range0.03026

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 for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)0.47717

Compounded annual return (geometric extrapolation)0.56954

Calmar ratio (compounded annual return / max draw down)0.00000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal18.35790

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.31197

SD0.08810

Sharpe ratio (Glass type estimate)3.54118

Sharpe ratio (Hedges UMVUE)3.50745

df79.00000

t1.95678

p0.02695

Lowerbound of 95% confidence interval for Sharpe Ratio0.05928

Upperbound of 95% confidence interval for Sharpe Ratio7.11984

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.08140

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.09630
 Statistics related to Sortino ratio

Sortino ratio9.80998

Upside Potential Ratio18.06240

Upside part of mean0.57441

Downside part of mean0.26244

Upside SD0.08381

Downside SD0.03180

N nonnegative terms42.00000

N negative terms38.00000
 Statistics related to linear regression on benchmark

N of observations80.00000

Mean of predictor0.15001

Mean of criterion0.31197

SD of predictor0.09276

SD of criterion0.08810

Covariance0.00201

r0.24657

b (slope, estimate of beta)0.23418

a (intercept, estimate of alpha)0.34700

Mean Square Error0.00738

DF error78.00000

t(b)2.24704

p(b)0.98627

t(a)2.22102

p(a)0.01463

Lowerbound of 95% confidence interval for beta0.44166

Upperbound of 95% confidence interval for beta0.02670

Lowerbound of 95% confidence interval for alpha0.03597

Upperbound of 95% confidence interval for alpha0.65823

Treynor index (mean / b)1.33217

Jensen alpha (a)0.34710
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.30797

SD0.08738

Sharpe ratio (Glass type estimate)3.52461

Sharpe ratio (Hedges UMVUE)3.49104

df79.00000

t1.94762

p0.02751

Lowerbound of 95% confidence interval for Sharpe Ratio0.07536

Upperbound of 95% confidence interval for Sharpe Ratio7.10287

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.09743

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.07950
 Statistics related to Sortino ratio

Sortino ratio9.66290

Upside Potential Ratio17.91230

Upside part of mean0.57088

Downside part of mean0.26292

Upside SD0.08298

Downside SD0.03187

N nonnegative terms42.00000

N negative terms38.00000
 Statistics related to linear regression on benchmark

N of observations80.00000

Mean of predictor0.14571

Mean of criterion0.30797

SD of predictor0.09274

SD of criterion0.08738

Covariance0.00200

r0.24731

b (slope, estimate of beta)0.23302

a (intercept, estimate of alpha)0.34192

Mean Square Error0.00726

DF error78.00000

t(b)2.25424

p(b)0.98651

t(a)2.20699

p(a)0.01513

Lowerbound of 95% confidence interval for beta0.43881

Upperbound of 95% confidence interval for beta0.02723

Lowerbound of 95% confidence interval for alpha0.03349

Upperbound of 95% confidence interval for alpha0.65035

Treynor index (mean / b)1.32164

Jensen alpha (a)0.34192
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00767

Expected Shortfall on VaR0.00991
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00224

Expected Shortfall on VaR0.00432
 ORDER STATISTICS
 Quartiles of return rates

Number of observations80.00000

Minimum0.99377

Quartile 10.99872

Median1.00031

Quartile 31.00174

Maximum1.03063

Mean of quarter 10.99651

Mean of quarter 20.99971

Mean of quarter 31.00108

Mean of quarter 41.00789

Inter Quartile Range0.00302

Number outliers low1.00000

Percentage of outliers low0.01250

Mean of outliers low0.99377

Number of outliers high9.00000

Percentage of outliers high0.11250

Mean of outliers high1.01304
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.65748

VaR(95%) (moments method)0.00336

Expected Shortfall (moments method)0.00379

Extreme Value Index (regression method)0.60786

VaR(95%) (regression method)0.00407

Expected Shortfall (regression method)0.00468
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations8.00000

Minimum0.00100

Quartile 10.00499

Median0.00690

Quartile 30.00774

Maximum0.02710

Mean of quarter 10.00204

Mean of quarter 20.00603

Mean of quarter 30.00741

Mean of quarter 40.01781

Inter Quartile Range0.00275

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.12500

Mean of outliers high0.02710
 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)0.35370

Compounded annual return (geometric extrapolation)0.39916

Calmar ratio (compounded annual return / max draw down)14.72930

Compounded annual return / average of 25% largest draw downs22.41230

Compounded annual return / Expected Shortfall lognormal40.28720
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess log return rates
 Statistics related to linear regression on benchmark

VAR (95 Confidence Intrvl)0.00800
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Last 4 Months  Pcnt Negative0.25%

Strat Max DD how much worse than SP500 max DD during strat life?295107000

Max Equity Drawdown (num days)22
Strategy Description
The strategy is entirely quantitative and technical. Positions are entered and exited based on their own individual analysis and characteristics and are not intended to hedge other positions or diversify the portfolio. No fundamental preconceived notions or newsdriven decisions are employed.
IRA compatible (since there are no short positions) but a margin account is necessary because of the use of levered ETF’s.
Trades are not devised to be intraday unless a stoploss level is reached, and the position is closed out.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
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Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
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To make this strategy private, you need to first withdraw from C2Star program.
Strategy is no longer visible
This strategy is no longer visible to anyone except current subscribers.
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Finally, please note that you can restore public visibility at any time.
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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.