Corporate Investments |
What it trades: Mostly Stocks, Futures; (some forex, options)
Hypothetical Monthly Results
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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% | - | - |
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 since | 12/20/2007 (27 months ago) |
|---|---|
| Trades | 158 |
| # Profitable | 72 (45.6%) |
| # months tracked | 27 |
| Profitable months | 18 (66.7%) |
| Avg trade duration | 23.2 days |
| Annual return (compounded) | 251.1% |
| Average win | $27,741 |
| Average loss | $3,521 |
| Profit factor | 6.6:1 |
| Max peak-to-valley drawdown (historical) | 52.79% |
| drawdown period | Dec 18, 2008 to April 20, 2009 |
| Correlation w/ S&P | 0.037 |
| Sharpe ratio | 0.975 |
C2Realism Factor  | 82% |
| Keep after worst-case slippage | 99.8% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 75.0% |
| Chance of 20% account loss | 52.9% |
| Chance of 30% account loss | 11.1% |
| Chance of 50% account loss | 0.1% |
|---|---|
| Chance of 100% account loss | 0.0% |
| 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 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.
