Zero
(34634928)
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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.
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 Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
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  

2008  (0.4%)  (10.7%)  +16.6%  +3.6%  
2009  (1.3%)  +1.8%  +13.9%  +13.9%  +4.5%  +9.4%  +9.4%  +1.1%  +1.7%  (4.8%)  +5.0%  +2.8%  +72.4% 
2010  (2.3%)  +2.2%  (0.2%)  (2.4%)  +3.1%  (3.2%)  +6.5%  (3.9%)  +2.6%  +6.7%  +1.1%  +2.5%  +12.6% 
2011  +1.2%  (1.3%)  +1.5%  +1.3%  +0.3%  (1.2%)  (0.7%)  (5.1%)  (8.2%)  +7.2%  +1.2%  +4.1%  (0.6%) 
2012  +6.1%  +2.9%  (3.1%)  (5.9%)  (3.2%)  (2.9%)  (0.2%)  +3.3%  (1.4%)  (1.9%)  (0.4%)  (0.3%)  (7.4%) 
2013  +9.4%  (0.7%)  +0.7%  (0.4%)  (0.5%)  (0.4%)  (0.4%)  (0.6%)          +6.8% 
2014                          0.0 
2015                          0.0 
2016                          0.0 
2017                          0.0 
2018                          0.0 
2019                      0.0  
2020                          0.0 
2021                      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.
Started  $15,000  
Buy Power  $51,391  
Cash  $1  
Equity  $1  
Cumulative $  $36,391  
Includes dividends and cashsettled expirations:  $292  Itemized 
Total System Equity  $51,391  
Margined  $1  
Open P/L  $0  
Data has been delayed by 72 hours for nonsubscribers 
System developer has asked us to delay this information by 72 hours.
Trading Record
Statistics

Strategy began10/23/2008

Suggested Minimum Cap$15,000

Strategy Age (days)4749.32

Age158 months ago

What it tradesStocks

# Trades4255

# Profitable2316

% Profitable54.40%

Avg trade duration1.4 days

Max peaktovalley drawdown29.02%

drawdown periodOct 23, 2008  Nov 21, 2008

Annual Return (Compounded)5.4%

Avg win$65.26

Avg loss$59.33
 Model Account Values (Raw)

Cash$51,391

Margin Used$0

Buying Power$51,391
 Ratios

W:L ratio1.32:1

Sharpe Ratio0.3

Sortino Ratio0.44

Calmar Ratio0.081
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)302.71%

Correlation to SP5000.31460

Return Percent SP500 (cumu) during strategy life401.23%
 Return Statistics

Ann Return (w trading costs)5.4%
 Slump

Current Slump as Pcnt Equity14.10%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.74%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.054%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)9.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

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

Chance of 100% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)313
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)0
 Management

No Subs Allowed Flag (1: no subs)0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$59

Avg Win$65

Sum Trade PL (losers)$114,984.000
 Age

Num Months filled monthly returns table157
 Win / Loss

Sum Trade PL (winners)$151,143.000

# Winners2316

Num Months Winners33
 Dividends

Dividends Received in Model Acct292
 Win / Loss

# Losers1934

% Winners54.5%
 Frequency

Avg Position Time (mins)1954.25

Avg Position Time (hrs)32.57

Avg Trade Length1.4 days

Last Trade Ago3159
 Regression

Alpha0.00

Beta0.19

Treynor Index0.06
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  Winning Trades  this strat Percentile of All Strats46.49

MAE:PL  worst single value for strategy

MAE:PL  Losing Trades  this strat Percentile of All Strats60.54

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.57

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades44.560

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 trades0.528

Avg(MAE) / Avg(PL)  Losing trades1.516

HoldandHope Ratio0.022
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.12986

SD0.31630

Sharpe ratio (Glass type estimate)0.41055

Sharpe ratio (Hedges UMVUE)0.40688

df84.00000

t1.09267

p0.13883

Lowerbound of 95% confidence interval for Sharpe Ratio0.32968

Upperbound of 95% confidence interval for Sharpe Ratio1.14839

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.33211

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.14587
 Statistics related to Sortino ratio

Sortino ratio0.51654

Upside Potential Ratio1.01103

Upside part of mean0.25418

Downside part of mean0.12432

Upside SD0.19254

Downside SD0.25140

N nonnegative terms68.00000

N negative terms17.00000
 Statistics related to linear regression on benchmark

N of observations85.00000

Mean of predictor0.20365

Mean of criterion0.12986

SD of predictor0.23339

SD of criterion0.31630

Covariance0.04992

r0.67619

b (slope, estimate of beta)0.91638

a (intercept, estimate of alpha)0.05676

Mean Square Error0.05496

DF error83.00000

t(b)8.36173

p(b)0.00000

t(a)0.62470

p(a)0.73306

Lowerbound of 95% confidence interval for beta0.69840

Upperbound of 95% confidence interval for beta1.13435

Lowerbound of 95% confidence interval for alpha0.23749

Upperbound of 95% confidence interval for alpha0.12397

Treynor index (mean / b)0.14171

Jensen alpha (a)0.05676
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05314

SD0.44835

Sharpe ratio (Glass type estimate)0.11852

Sharpe ratio (Hedges UMVUE)0.11746

df84.00000

t0.31544

p0.37660

Lowerbound of 95% confidence interval for Sharpe Ratio0.61846

Upperbound of 95% confidence interval for Sharpe Ratio0.85483

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.61918

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85410
 Statistics related to Sortino ratio

Sortino ratio0.12905

Upside Potential Ratio0.57882

Upside part of mean0.23834

Downside part of mean0.18520

Upside SD0.17128

Downside SD0.41177

N nonnegative terms68.00000

N negative terms17.00000
 Statistics related to linear regression on benchmark

N of observations85.00000

Mean of predictor0.17320

Mean of criterion0.05314

SD of predictor0.24815

SD of criterion0.44835

Covariance0.08112

r0.72916

b (slope, estimate of beta)1.31744

a (intercept, estimate of alpha)0.17504

Mean Square Error0.09528

DF error83.00000

t(b)9.70715

p(b)0.00000

t(a)1.47918

p(a)0.92856

Lowerbound of 95% confidence interval for beta1.04750

Upperbound of 95% confidence interval for beta1.58738

Lowerbound of 95% confidence interval for alpha0.41040

Upperbound of 95% confidence interval for alpha0.06032

Treynor index (mean / b)0.04034

Jensen alpha (a)0.17504
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.18817

Expected Shortfall on VaR0.23004
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01049

Expected Shortfall on VaR0.03091
 ORDER STATISTICS
 Quartiles of return rates

Number of observations85.00000

Minimum0.33513

Quartile 11.00000

Median1.00002

Quartile 31.02598

Maximum1.37929

Mean of quarter 10.95997

Mean of quarter 21.00000

Mean of quarter 31.00969

Mean of quarter 41.07604

Inter Quartile Range0.02598

Number outliers low2.00000

Percentage of outliers low0.02353

Mean of outliers low0.64626

Number of outliers high6.00000

Percentage of outliers high0.07059

Mean of outliers high1.16400
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)4.86459

VaR(95%) (moments method)0.00060

Expected Shortfall (moments method)0.00061

Extreme Value Index (regression method)0.89686

VaR(95%) (regression method)0.01243

Expected Shortfall (regression method)0.18316
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00012

Quartile 10.02259

Median0.07099

Quartile 30.07183

Maximum0.66487

Mean of quarter 10.01135

Mean of quarter 20.07099

Mean of quarter 30.07183

Mean of quarter 40.66487

Inter Quartile Range0.04924

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high0.66487
 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)0.06452

Compounded annual return (geometric extrapolation)0.05458

Calmar ratio (compounded annual return / max draw down)0.08209

Compounded annual return / average of 25% largest draw downs0.08209

Compounded annual return / Expected Shortfall lognormal0.23725

0.00000

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

Mean0.13349

SD0.35394

Sharpe ratio (Glass type estimate)0.37716

Sharpe ratio (Hedges UMVUE)0.37701

df1872.00000

t1.00842

p0.48835

Lowerbound of 95% confidence interval for Sharpe Ratio0.35602

Upperbound of 95% confidence interval for Sharpe Ratio1.11027

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.35614

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.11015
 Statistics related to Sortino ratio

Sortino ratio0.47819

Upside Potential Ratio2.96247

Upside part of mean0.82701

Downside part of mean0.69352

Upside SD0.21759

Downside SD0.27916

N nonnegative terms1396.00000

N negative terms477.00000
 Statistics related to linear regression on benchmark

N of observations1873.00000

Mean of predictor0.24523

Mean of criterion0.13349

SD of predictor0.33687

SD of criterion0.35394

Covariance0.05290

r0.44366

b (slope, estimate of beta)0.46615

a (intercept, estimate of alpha)0.01900

Mean Square Error0.10067

DF error1871.00000

t(b)21.41360

p(b)0.22712

t(a)0.16146

p(a)0.49762

Lowerbound of 95% confidence interval for beta0.42346

Upperbound of 95% confidence interval for beta0.50885

Lowerbound of 95% confidence interval for alpha0.21379

Upperbound of 95% confidence interval for alpha0.25215

Treynor index (mean / b)0.28637

Jensen alpha (a)0.01918
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05265

SD0.43624

Sharpe ratio (Glass type estimate)0.12070

Sharpe ratio (Hedges UMVUE)0.12065

df1872.00000

t0.32271

p0.49627

Lowerbound of 95% confidence interval for Sharpe Ratio0.61236

Upperbound of 95% confidence interval for Sharpe Ratio0.85375

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.61240

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85370
 Statistics related to Sortino ratio

Sortino ratio0.13657

Upside Potential Ratio2.08880

Upside part of mean0.80532

Downside part of mean0.75267

Upside SD0.20389

Downside SD0.38554

N nonnegative terms1396.00000

N negative terms477.00000
 Statistics related to linear regression on benchmark

N of observations1873.00000

Mean of predictor0.18764

Mean of criterion0.05265

SD of predictor0.34066

SD of criterion0.43624

Covariance0.06369

r0.42856

b (slope, estimate of beta)0.54880

a (intercept, estimate of alpha)0.05032

Mean Square Error0.15544

DF error1871.00000

t(b)20.51700

p(b)0.23577

t(a)0.34108

p(a)0.50502

Lowerbound of 95% confidence interval for beta0.49634

Upperbound of 95% confidence interval for beta0.60126

Lowerbound of 95% confidence interval for alpha0.33968

Upperbound of 95% confidence interval for alpha0.23904

Treynor index (mean / b)0.09594

Jensen alpha (a)0.05032
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04317

Expected Shortfall on VaR0.05384
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00337

Expected Shortfall on VaR0.00923
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1873.00000

Minimum0.39777

Quartile 10.99996

Median1.00000

Quartile 31.00128

Maximum1.28484

Mean of quarter 10.98943

Mean of quarter 21.00000

Mean of quarter 31.00019

Mean of quarter 41.01245

Inter Quartile Range0.00131

Number outliers low288.00000

Percentage of outliers low0.15376

Mean of outliers low0.98335

Number of outliers high315.00000

Percentage of outliers high0.16818

Mean of outliers high1.01745
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.13426

VaR(95%) (moments method)0.00648

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.73538

VaR(95%) (regression method)0.00633

Expected Shortfall (regression method)0.02990
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations54.00000

Minimum0.00004

Quartile 10.00180

Median0.00507

Quartile 30.01544

Maximum0.66487

Mean of quarter 10.00073

Mean of quarter 20.00317

Mean of quarter 30.00863

Mean of quarter 40.08730

Inter Quartile Range0.01364

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high7.00000

Percentage of outliers high0.12963

Mean of outliers high0.14999
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.84811

VaR(95%) (moments method)0.07423

Expected Shortfall (moments method)0.51898

Extreme Value Index (regression method)0.95045

VaR(95%) (regression method)0.07504

Expected Shortfall (regression method)1.52404
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.06393

Compounded annual return (geometric extrapolation)0.05406

Calmar ratio (compounded annual return / max draw down)0.08131

Compounded annual return / average of 25% largest draw downs0.61928

Compounded annual return / Expected Shortfall lognormal1.00419

0.00000

0.00000
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.00000

SD0.00000

Sharpe ratio (Glass type estimate)0.00000

Sharpe ratio (Hedges UMVUE)0.00000

df0.00000

t0.00000

p0.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.00000

Upside SD0.00000

Downside SD0.00000

N nonnegative terms131.00000

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

N of observations131.00000

Mean of predictor1.06200

Mean of criterion0.00000

SD of predictor0.48080

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.00000

Mean Square Error0.00000

DF error0.00000

t(b)0.00000

p(b)0.00000

t(a)0.00000

p(a)0.00000

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.00000

Upperbound of 95% confidence interval for alpha0.00000

Treynor index (mean / b)0.00000

Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00000

SD0.00000

Sharpe ratio (Glass type estimate)0.00000

Sharpe ratio (Hedges UMVUE)0.00000

df0.00000

t0.00000

p0.00000

Lowerbound of 95% confidence interval for Sharpe Ratio0.00000

Upperbound of 95% confidence interval for Sharpe Ratio0.00000

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio

Sortino ratio0.00000

Upside Potential Ratio0.00000

Upside part of mean0.00000

Downside part of mean0.00000

Upside SD0.00000

Downside SD0.00000

N nonnegative terms131.00000

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

N of observations131.00000

Mean of predictor0.93856

Mean of criterion0.00000

SD of predictor0.50282

SD of criterion0.00000

Covariance0.00000

r0.00000

b (slope, estimate of beta)0.00000

a (intercept, estimate of alpha)0.00000

Mean Square Error0.00000

DF error0.00000

t(b)0.00000

p(b)0.00000

t(a)0.00000

p(a)0.00000

VAR (95 Confidence Intrvl)0.04300

Lowerbound of 95% confidence interval for beta0.00000

Upperbound of 95% confidence interval for beta0.00000

Lowerbound of 95% confidence interval for alpha0.00000

Upperbound of 95% confidence interval for alpha0.00000

Treynor index (mean / b)0.00000

Jensen alpha (a)0.00000
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00000

Expected Shortfall on VaR0.00000
 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 observations131.00000

Minimum1.00000

Quartile 11.00000

Median1.00000

Quartile 31.00000

Maximum1.00000

Mean of quarter 11.00000

Mean of quarter 21.00000

Mean of quarter 31.00000

Mean of quarter 41.00000

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 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

Last 4 Months  Pcnt Negativen/a

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?329443000

Max Equity Drawdown (num days)29
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.00000

Compounded annual return (geometric extrapolation)0.00000

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 lognormal0.00000
Strategy Description
Requirements to trade ZERO:
IB or equal commission structure brokerage account
TWS build 906.2 or higher with CSV input capability
15K minimum trading capital (30K+ preferred to mitigate friction costs)
5 minutes per day of personal account oversight between 9:259:30AM EST
The C2 equity curve reflects a 'Flat Rate' IB commissions rate which is
not
recommended in order to realize the full extent of profits trading this system. Additionally, the percentage of C2 capital allocated to each position takes into account the deduction of commissions from the Vendor's reallife portfolio based on a �Cost Plus� Interactive Brokers commission structure. Real trading results based on a �Cost Plus� commission structure at IB fall in between the upper and lower C2 hypothetical Zero equity curve results.
The approximate monthly cost associated with trading ZERO based on current C2 capital will be ~200.00 USD:
C2 Subscription Fee: 88.00 USD (pay per profitable month, ~75% profitable months per year)
Monthly Commissions: 125.00 USD (based on ~5.4 trades per day assuming a 'Cost Plus' commission structure at IB).
General Description:
ZERO is a proprietary Excelbased EOD (EndofDay) mechanical trading system that relies on principles of regression analysis to identify potential price aberrations in Naz100 equities which historically precede shortterm price increases with ~55% probability. The system incorporates a probabilistic algorithm which generates a daily basket of limit entry orders outside of market hours at ~8:30AM EST.
System Concept:
ZERO stands for the '0' filter, randomized nature of the algorithm that drives this trading system. Most systems rely on static conditionals that filter historical data for TA patterns which
have
preceded profitable price movements. The more specific and numerous that these filters are, the more likely that they will not correlate with future price movements due to their inflexibility to changing trends in the everevolving financial marketplace. ZERO does not rely on filters nor models to choose trades. It relies on basic supply/demand mechanisms that are inherent to the markets and assumes that all equities in its trading basket have an equal likelihood of profitability. Positions are chosen by future, not historical market data.
Money Management:
The system allocates no more than 9% of trading capital per position and assumes a theoretical maximum of 10 positions. Account size is recommended to be 2x total C2 equity in order to absorb 'simultaneous fills' which in extremely volatile market conditions can increase the total number of trades to as many as 2x the intended maximum. This can be avoided with the selection of 'overfill protection' in IB TWS settings. IRA accounts will automatically limit position count to 1x margin requirements. Typical capital exposure ranges between 3555%. All positions are held for 24hrs or less. There are no intraday trades. Stoplosses are not employed given that holdtime is so short.
Trading/Maintaining ZERO:
Trading and maintenance instructions will be provided upon subscription. It is important to understand that due to the 'randomized' logic nature of ZERO, there will occasionally be days when positions in a real account will differ from those in C2.
C2 Results:
C2 results mirror a live account with ~95% accuracy due to limitations in fill simulation with respect to position management methodology. Erroneous fills are generally corrected within 24hrs. Long term performance of a live account with equivalent position sizing to C2 should have an equal probability of performing slightly better or worse.
General Notes:
*C2 tracking began 10/31/08
*APD ratiothe 'dipbuy' nature of ZERO will always render a low APD even when 'hold and hope' is relatively low given its fixed position holdtime of 24hrs max. Average profit vs. loss is a more a telling metric from a bottomline perspective. In the interest of analyzing this further, please review individual trades, whose 'Drawdown and Risk' are almost exclusively classified as 'Low'.
Disclaimer:
Past results are not indicative of future results and neither Vendor nor C2 is responsible for unfavorable performance deviations. Do not subscribe to this system if you do not intend to dedicate the specified time for manual account maintenance. It is recommended for a serious subscriber to papertrade ZERO for at least two weeks in a virtual IB account to become familiar with its idiosyncrasies before trading real money. It should be known that all fills in a virtual account will be similar but not the same as fills in a real account. Vendor does not recommend autotrading of ZERO and is not responsible for syncing problems related to Tradebullet nor Trader68.
This system is only available to individuals through C2.
Please feel free to private message me with inquiries.
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
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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.