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Corporate Investments

What it trades: Mostly Stocks, Futures; (some forex, options)

Hypothetical Monthly Results

 JanFebMarAprMayJunJulAugSepOctNovDec
2007                                                                             +0.8%
2008+0.2%(3.3%)+23.1%+21.3%+22.3%+6.3%(17.1%)+12.2%(23.9%)+43.2%+7.1%+14.1%
2009(19.2%)(18.1%)(18.3%)+520.5%+11.6%+0.3%+33.6%+14.6%+29.9%(5.4%)+4.4%(2%)
2010+5.8%  -    -                                                        

 
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Subscription Terms

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Strategy Description 


See system description.
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- This overview was provided by the system developer. Collective2 has not verified it.




Recently Closed Trades

Details

Opened ET B/S # Symbol   Price Closed Price Risk P/L
4/28/09 14:05 BUY 100,000 DNDN DENDREON CORP 18.20 1/13/10 12:00 25.77 n/a $757,389
6/16/09 20:32 BUY 100 @ESU9 E-MINI S&P 500 909.75 9/18 9:02 1070.75 Extreme $805,000
4/17/09 11:04 BUY 50,000 UNG US NATURAL GAS FUND ETF 13.23 5/13 11:45 15.17 Very $97,231
5/10/09 18:01 SELL 10 @ESM9 E-MINI S&P 500 919.25 5/12 14:42 903.25 Low $8,000
4/28/09 12:26 BUY 7,500 DAL 6.49 4/30 9:52 6.44 Low ($375)
4/21/09 12:59 BUY 2,500 WFR 14.04 4/24 13:28 15.62 Low $3,950
4/21/09 14:13 BUY 3,000 YHOO YAHOO! INC 14.20 4/24 13:27 14.82 Low $1,860
4/16/09 9:30 BUY 5,000 GLW CORNING INC 14.82 4/24 13:27 15.01 Normal $950
4/9/09 9:59 BUY 2,000 CHK CHESAPEAKE ENERGY CORP 21.04 4/21 13:58 19.63 Normal ($2,820)
4/20/09 11:50 SELL 3,000 XLF 10.40 4/21 12:58 10.36 Low $120
4/17/09 9:47 BUY 300 GOOG GOOGLE INC A 396.24 4/20 11:49 388.26 Low ($2,392)
4/15/09 11:02 SELL 300 GOOG GOOGLE INC A 365.57 4/17 9:46 396.95 High ($9,414)
4/13/09 9:31 BUY 4,000 SBUX STARBUCKS CORP 11.93 4/15 9:32 11.16 Normal ($3,080)
4/9/09 10:00 BUY 200 TM 78.81 4/15 9:32 75.87 Low ($588)
3/31/09 13:11 SELL 400 GLD SPDR GOLD TRUST 90.52 4/15 9:31 87.42 Low $1,240

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Statistics

Analytics  
System has been audited since12/20/2007 (27 months ago)
Trades158
# Profitable72 (45.6%)
# months tracked27
Profitable months18 (66.7%)
Avg trade duration23.2 days
Annual return (compounded)251.1%
Average win$27,741
Average loss$3,521
Profit factor6.6:1
Max peak-to-valley drawdown (historical)52.79%
drawdown periodDec 18, 2008 to April 20, 2009
Correlation w/ S&P0.037
Sharpe ratio0.975
C2Realism Factor 82%
Keep after worst-case slippage 99.8%
Probabilities of future account loss  
Chance of 10% account loss75.0%
Chance of 20% account loss52.9%
Chance of 30% account loss11.1%
Chance of 50% account loss0.1%
Chance of 100% account loss0.0%
Average Profit to Drawdown (APD)1.29
Average P/L per unit traded$368.99
Sum of dividends and cash expir. in model account$1,278


System Description

SYSTEM BACKGROUND:
This system was originally conceived in 2007 as part of a lengthy interview process with a prominent bank in an effort to demonstrate system performance and highlight my own credentials and trading expertise. Despite its success it was no longer required from May 2008 and was thereafter used to track signals from Broadsword Macro and other discretionary trades. Whilst still maintaining a 30% annualized return it subsequently suffered it's worst drawdown of 50% by end March 2009, the maximum dd tolerated for system purposes, and therefore will no longer be actively traded or represent any system going forward.

- This system description was provided by the system developer. Collective2 has not verified it.