Canada Leveraged

Systems uses proprietary market timing and buys EWC using margin during long calls. Go to http://www.etf2x.com for more info.read more...

- This text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that text above is an accurate Strategy Description. (Contact System Developer)

Hypothetical Monthly Results

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2009											+0.8%	+3.2%
2010	(11.5%)	(4.9%)	+12.6%	+2.2%	(18.3%)	(9.9%)	(0.4%)	+2.2%	+2.8%

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Opened ET	B/S	#	Symbol		Price	Closed	Price	Risk	P/L
6/16/10 14:16	BUY	294	EWC	ISHARES MSCI CANADA INDEX	27.54	6/29 10:07	25.27	High	($667)
5/28/10 9:30	BUY	315	EWC	ISHARES MSCI CANADA INDEX	26.59	6/8 14:45	25.67	Normal	($290)
5/12/10 9:30	BUY	320	EWC	ISHARES MSCI CANADA INDEX	27.93	5/20 10:28	25.98	Normal	($622)
2/24/10 11:12	BUY	660	EWC	ISHARES MSCI CANADA INDEX	26.14	5/7 10:24	26.58	Very	$292
2/22/10 9:35	BUY	520	EWC	ISHARES MSCI CANADA INDEX	26.53	2/23 12:44	25.56	Normal	($507)
11/9/09 10:14	BUY	770	EWC	ISHARES MSCI CANADA INDEX	25.81	1/26/10 9:41	24.77	High	($801)

Opened ET	B/S	#	Symbol		Price	Closed	Close Price	Risk	P/L
6/16/10 14:16	BUY	294	EWC	ISHARES MSCI CANADA INDEX	27.54	6/29 10:07	25.27	High	($667)
6/16/10 14:16	BTO	147	EWC		27.49
I am taking a 25% position in HXU and using EWC as a proxy
6/18/10 12:42	BTO	147	EWC		27.59
This purchase reflects an increase in HXU holdings to 50%.
6/29/10 10:07	STC	294	EWC		25.27
The Canadian timer was being set up to go to cash this evening if the market didn't go up today. Unfortunately the market is down about 1.75% as I write. On the other hand, if you have been following my US models, I am short the US market and therefore having a good day with PSQ and RWM.
5/28/10 9:30	BUY	315	EWC	ISHARES MSCI CANADA INDEX	26.59	6/8 14:45	25.67	Normal	($290)
5/28/10 9:30	BTO	315	EWC		26.59
This purchases represents a 50% purchase of HXU.
6/8/10 14:45	STC	315	EWC		25.67
With this sale my HXU model will be 100% cash
5/12/10 9:30	BUY	320	EWC	ISHARES MSCI CANADA INDEX	27.93	5/20 10:28	25.98	Normal	($622)
5/12/10 9:30	BTO	320	EWC		27.93
The HXU models are going to a 50% position in HXU.
5/18/10 15:01	STC	160	EWC		26.74
This sale represents a reduction in our HXU model to a 25% holding of HXU.
5/20/10 10:28	STC	160	EWC		25.23
With this sale, the HXU model is now 100% cash
2/24/10 11:12	BUY	660	EWC	ISHARES MSCI CANADA INDEX	26.14	5/7 10:24	26.58	Very	$292
2/24/10 11:12	BTO	170	EWC		25.82
This trade represents a 25% position given that this account will be leveraged 2:1 when fully invested.
2/25/10 14:54	BTO	170	EWC		25.66
3/1/10 11:25	BTO	170	EWC		26.32
This trade is meant to put the HXU model at 75% invested.
3/2/10 10:49	BTO	150	EWC		26.83
As EWC is being used here as a proxy for HXU, this purchase puts the HXU model at 100% invested.
5/5/10 10:06	STC	330	EWC		27.05
This sell is meant to convey reducing HXU holdings to 50%.
5/7/10 10:24	STC	330	EWC		26.11
This sale closes out our position in EWC and likewise HXU
2/22/10 9:35	BUY	520	EWC	ISHARES MSCI CANADA INDEX	26.53	2/23 12:44	25.56	Normal	($507)
2/22/10 9:35	BTO	350	EWC		26.58
2/22/10 9:55	BTO	170	EWC		26.44
2/23/10 12:44	STC	520	EWC		25.56
11/9/09 10:14	BUY	770	EWC	ISHARES MSCI CANADA INDEX	25.81	1/26/10 9:41	24.77	High	($801)
11/9/09 10:14	BTO	770	EWC		25.81
1/26/10 9:41	STC	770	EWC		24.77

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Statistics

Analytics

System has been audited since	11/2/2009 (10 months ago)
Trades	7
# Profitable	2 (28.6%)
# months tracked	11
Profitable months	6 (54.5%)
Avg trade duration	33.4 days
Annual return (compounded)	-25.7%
Average win	$321
Average loss	$577
Profit factor	0.2:1
Max peak-to-valley drawdown (historical)	36.54%
drawdown period	Jan 10, 2010 to Aug 16, 2010
Correlation w/ S&P	0.564
Sharpe ratio	-1.161
C2Realism Factor	86%
Keep after worst-case slippage	100.0%
Probabilities of future account loss
Chance of 10% account loss	97.6%
Chance of 20% account loss	85.7%
Chance of 30% account loss	51.2%

Chance of 50% account loss	0.0%
Chance of 100% account loss	0.0%
Average Profit to Drawdown (APD)	-0.65
Average P/L per unit traded	($1.12)
Sum of dividends and cash expir. in model account	$8

System Description

Once a long signal is generated, the system will purchase EWC (iShares Canada) using margin. Once a neutral signal is generated, the system will go to cash.

- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description.

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System Description