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 
2022                    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  $51,416  
Cash  $1  
Equity  $1  
Cumulative $  $36,416  
Includes dividends and cashsettled expirations:  $292  Itemized 
Total System Equity  $51,416  
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)5078.69

Age170 months ago

What it tradesStocks

# Trades4250

# Profitable2316

% Profitable54.50%

Avg trade duration1.4 days

Max peaktovalley drawdown29.02%

drawdown periodOct 23, 2008  Nov 21, 2008

Annual Return (Compounded)5.0%

Avg win$65.26

Avg loss$59.45
 Model Account Values (Raw)

Cash$51,416

Margin Used$0

Buying Power$51,416
 Ratios

W:L ratio1.32:1

Sharpe Ratio0.28

Sortino Ratio0.41

Calmar Ratio0.08
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)228.75%

Correlation to SP5000.30020

Return Percent SP500 (cumu) during strategy life302.49%
 Return Statistics

Ann Return (w trading costs)5.0%
 Slump

Current Slump as Pcnt Equity14.10%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.76%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.050%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)9.2%
 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)0
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)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 table168
 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 Ago3489
 Regression

Alpha0.01

Beta0.17

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

Mean0.12687

SD0.31265

Sharpe ratio (Glass type estimate)0.40580

Sharpe ratio (Hedges UMVUE)0.40225

df86.00000

t1.09264

p0.13880

Lowerbound of 95% confidence interval for Sharpe Ratio0.32579

Upperbound of 95% confidence interval for Sharpe Ratio1.13506

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.32814

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.13264
 Statistics related to Sortino ratio

Sortino ratio0.51057

Upside Potential Ratio0.99935

Upside part of mean0.24833

Downside part of mean0.12146

Upside SD0.19031

Downside SD0.24849

N nonnegative terms70.00000

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

N of observations87.00000

Mean of predictor0.21424

Mean of criterion0.12687

SD of predictor0.23683

SD of criterion0.31265

Covariance0.04864

r0.65695

b (slope, estimate of beta)0.86728

a (intercept, estimate of alpha)0.05893

Mean Square Error0.05622

DF error85.00000

t(b)8.03354

p(b)0.00000

t(a)0.64732

p(a)0.74042

Lowerbound of 95% confidence interval for beta0.65263

Upperbound of 95% confidence interval for beta1.08192

Lowerbound of 95% confidence interval for alpha0.23996

Upperbound of 95% confidence interval for alpha0.12208

Treynor index (mean / b)0.14629

Jensen alpha (a)0.05893
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05192

SD0.44311

Sharpe ratio (Glass type estimate)0.11717

Sharpe ratio (Hedges UMVUE)0.11614

df86.00000

t0.31548

p0.37658

Lowerbound of 95% confidence interval for Sharpe Ratio0.61129

Upperbound of 95% confidence interval for Sharpe Ratio0.84496

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.61198

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.84426
 Statistics related to Sortino ratio

Sortino ratio0.12756

Upside Potential Ratio0.57213

Upside part of mean0.23286

Downside part of mean0.18094

Upside SD0.16930

Downside SD0.40701

N nonnegative terms70.00000

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

N of observations87.00000

Mean of predictor0.18298

Mean of criterion0.05192

SD of predictor0.25045

SD of criterion0.44311

Covariance0.07920

r0.71361

b (slope, estimate of beta)1.26255

a (intercept, estimate of alpha)0.17910

Mean Square Error0.09749

DF error85.00000

t(b)9.39149

p(b)0.00000

t(a)1.51084

p(a)0.93273

Lowerbound of 95% confidence interval for beta0.99525

Upperbound of 95% confidence interval for beta1.52984

Lowerbound of 95% confidence interval for alpha0.41480

Upperbound of 95% confidence interval for alpha0.05660

Treynor index (mean / b)0.04112

Jensen alpha (a)0.17910
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.18623

Expected Shortfall on VaR0.22773
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01001

Expected Shortfall on VaR0.02975
 ORDER STATISTICS
 Quartiles of return rates

Number of observations87.00000

Minimum0.33513

Quartile 11.00000

Median1.00000

Quartile 31.02416

Maximum1.37929

Mean of quarter 10.95997

Mean of quarter 21.00000

Mean of quarter 31.00846

Mean of quarter 41.07377

Inter Quartile Range0.02416

Number outliers low2.00000

Percentage of outliers low0.02299

Mean of outliers low0.64626

Number of outliers high6.00000

Percentage of outliers high0.06897

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)0.01203

Expected Shortfall (regression method)0.17927
 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)0.06304

Compounded annual return (geometric extrapolation)0.05329

Calmar ratio (compounded annual return / max draw down)0.08015

Compounded annual return / average of 25% largest draw downs0.08015

Compounded annual return / Expected Shortfall lognormal0.23400

0.00000

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

Mean0.13125

SD0.35096

Sharpe ratio (Glass type estimate)0.37398

Sharpe ratio (Hedges UMVUE)0.37383

df1904.00000

t1.00842

p0.48845

Lowerbound of 95% confidence interval for Sharpe Ratio0.35302

Upperbound of 95% confidence interval for Sharpe Ratio1.10090

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.35313

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.10079
 Statistics related to Sortino ratio

Sortino ratio0.47415

Upside Potential Ratio2.93748

Upside part of mean0.81312

Downside part of mean0.68187

Upside SD0.21575

Downside SD0.27681

N nonnegative terms1428.00000

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

N of observations1905.00000

Mean of predictor0.22731

Mean of criterion0.13125

SD of predictor0.34151

SD of criterion0.35096

Covariance0.05202

r0.43402

b (slope, estimate of beta)0.44603

a (intercept, estimate of alpha)0.03000

Mean Square Error0.10002

DF error1903.00000

t(b)21.01590

p(b)0.23263

t(a)0.25440

p(a)0.49629

Lowerbound of 95% confidence interval for beta0.40440

Upperbound of 95% confidence interval for beta0.48765

Lowerbound of 95% confidence interval for alpha0.20036

Upperbound of 95% confidence interval for alpha0.26008

Treynor index (mean / b)0.29426

Jensen alpha (a)0.02986
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05177

SD0.43256

Sharpe ratio (Glass type estimate)0.11968

Sharpe ratio (Hedges UMVUE)0.11963

df1904.00000

t0.32271

p0.49630

Lowerbound of 95% confidence interval for Sharpe Ratio0.60719

Upperbound of 95% confidence interval for Sharpe Ratio0.84655

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60724

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.84650
 Statistics related to Sortino ratio

Sortino ratio0.13542

Upside Potential Ratio2.07118

Upside part of mean0.79179

Downside part of mean0.74002

Upside SD0.20217

Downside SD0.38229

N nonnegative terms1428.00000

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

N of observations1905.00000

Mean of predictor0.16817

Mean of criterion0.05177

SD of predictor0.34521

SD of criterion0.43256

Covariance0.06262

r0.41936

b (slope, estimate of beta)0.52547

a (intercept, estimate of alpha)0.03660

Mean Square Error0.15428

DF error1903.00000

t(b)20.15170

p(b)0.24107

t(a)0.25114

p(a)0.50367

Lowerbound of 95% confidence interval for beta0.47433

Upperbound of 95% confidence interval for beta0.57661

Lowerbound of 95% confidence interval for alpha0.32241

Upperbound of 95% confidence interval for alpha0.24921

Treynor index (mean / b)0.09852

Jensen alpha (a)0.03660
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04282

Expected Shortfall on VaR0.05340
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00326

Expected Shortfall on VaR0.00898
 ORDER STATISTICS
 Quartiles of return rates

Number of observations1905.00000

Minimum0.39777

Quartile 10.99999

Median1.00000

Quartile 31.00118

Maximum1.28484

Mean of quarter 10.98961

Mean of quarter 21.00000

Mean of quarter 31.00016

Mean of quarter 41.01226

Inter Quartile Range0.00119

Number outliers low301.00000

Percentage of outliers low0.15801

Mean of outliers low0.98399

Number of outliers high326.00000

Percentage of outliers high0.17113

Mean of outliers high1.01696
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.13426

VaR(95%) (moments method)0.00635

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.73538

VaR(95%) (regression method)0.00622

Expected Shortfall (regression method)0.02950
 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)0.06286

Compounded annual return (geometric extrapolation)0.05313

Calmar ratio (compounded annual return / max draw down)0.07991

Compounded annual return / average of 25% largest draw downs0.60861

Compounded annual return / Expected Shortfall lognormal0.99501

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 predictor0.94560

Mean of criterion0.00000

SD of predictor0.53124

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 predictor0.79724

Mean of criterion0.00000

SD of predictor0.55139

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?345750000

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.