Rainier
(39055744)
Subscription terms. Subscriptions to this system cost $50.00 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.
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  

2009  +6.2%  +3.5%  +1.4%  +1.6%  +6.7%  +0.8%  +3.3%  +5.9%  +3.5%  +0.5%  +38.8%  
2010  (3.6%)  +6.1%  +1.6%  +2.7%  +18.7%  (1.6%)  +2.6%  (0.3%)  (0.7%)  +2.1%  +2.4%    +32.2% 
2011  +0.7%  (0.8%)  +7.5%  +2.1%  (3.2%)  +1.8%  +0.2%  (16.3%)  (8.8%)  +5.6%  +2.9%  +1.6%  (8.6%) 
2012  +0.1%  +1.1%  (3.8%)  +3.7%  +2.2%  (0.7%)  +0.7%    +2.3%  +0.8%  +2.3%  (0.2%)  +8.5% 
2013  (0.1%)  +0.5%  (0.4%)  (0.2%)  +1.8%  +0.5%  (0.3%)  +4.1%          +6.1% 
2014                          0.0 
2015                          0.0 
2016                (0.9%)          (0.9%) 
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  $100,000  
Buy Power  $223,077  
Cash  $223,077  
Equity  $0  
Cumulative $  $123,076  
Includes dividends and cashsettled expirations:  $1,930  Itemized 
Total System Equity  $223,076  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began3/14/2009

Suggested Minimum Cap$100,000

Strategy Age (days)4609.27

Age154 months ago

What it tradesStocks

# Trades1021

# Profitable649

% Profitable63.60%

Avg trade duration1.6 days

Max peaktovalley drawdown%

drawdown periodDec ,  Dec ,

Annual Return (Compounded)15.9%

Avg win$512.30

Avg loss$568.08
 Model Account Values (Raw)

Cash$223,077

Margin Used$0

Buying Power$223,077
 Ratios

W:L ratio1.58:1

Sharpe Ratio0.36

Sortino Ratio0.47

Calmar Ratio0.563
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)2.83%

Correlation to SP5000.15110

Return Percent SP500 (cumu) during strategy life501.64%
 Return Statistics

Ann Return (w trading costs)15.9%
 Slump

Current Slump as Pcnt Equity8.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.159%
 Instruments

Percent Trades Optionsn/a

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.81%
 Instruments

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)6.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss28.50%

Chance of 20% account loss9.00%

Chance of 30% account loss2.50%

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
 Trading Style

Any stock shorts? 0/10
 Management

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

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Win$512

Avg Loss$568

Sum Trade PL (losers)$211,325.000

# Winners649

Num Months Winners42
 Age

Num Months filled monthly returns table152
 Win / Loss

Sum Trade PL (winners)$332,485.000
 Dividends

Dividends Received in Model Acct1931
 Win / Loss

# Losers372

% Winners63.6%
 Frequency

Avg Position Time (mins)2335.73

Avg Position Time (hrs)38.93

Avg Trade Length1.6 days

Last Trade Ago2987
 Regression

Alpha0.01

Beta0.08

Treynor Index0.13
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:Equity, losing trades only, 95th Percentile Value for this strat

MAE:Equity, win trades only, 95th Percentile Value for this strat

MAE:PL  Winning Trades  this strat Percentile of All Strats66.90

MAE:PL (avg, winning trades)

MAE:PL  worst single value for strategy

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)1.10

Avg(MAE) / Avg(PL)  All trades6.111

MAE:PL  Losing Trades  this strat Percentile of All Strats59.07

MAE:Equity, 95th Percentile Value for this strat0.02

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  Winning trades0.522

Avg(MAE) / Avg(PL)  Losing trades1.795

HoldandHope Ratio0.163
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to linear regression on benchmark

a (intercept, estimate of alpha)0.08900
 Analysis based on DAILY values, last 6 months only
 Ratio statistics of excess log return rates

VAR (95 Confidence Intrvl)0.01800
 DRAW DOWN STATISTICS
 Risk estimates based on draw downs (based on Extreme Value T
 assuming Pareto losses only (using partial moments from Sortino statistics)

Max Equity Drawdown (num days)62

Last 4 Months  Pcnt Negativen/a
Strategy Description
What to Expect
The system will generate orders every evening after the market closes. There will be far more orders generated when the market is weak than when it is strong. Only a fraction of the orders will be filled.
Position Management
When a position is opened, you will receive a sell at limit order or profit target for the next day. The vast majority of trades will last 1 or 2 days. If the position is still open on the third day, it will be closed with a market order. Rainier does not "average down" or add to losing positions.
I strongly recommend that you don't allocate over 12% of your account to a single position. Doing so can increase risk to an unacceptable level. Rainier was designed to use a maximum of 12% position sizing, but you can use less if you want. Smaller position sizes will reduce both profits and drawdowns, but this would be appropriate for many riskaverse individuals. At any rate open 16 positions and then stop buying.
You can size your positions as a percentage of Rainier's position size. The formula is X% = YA / (RE * 2) * 100. YA is Your Account (the amount you're allocating to Rainier), RE is Rainier's Equity (you multiply it by two because it uses 2:1 margin). For example if you allocate $50,000 to trading the system and Rainier's equity is $180,000 the formula would be X% = 50,000 / (180,000 * 2) * 100 = 13.9%.
Margin
The use of margin increases both profits and drawdowns. Market exposure can vary from 0% to about 192%. Historically, with 12% position sizing, the average market exposure has been under 25%. If you don't want to use margin, just use 6% for position sizing.
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.
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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.