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Optimized Partners I
(77330504)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $75.00 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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
23.5%
Annual Return (Compounded)

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 marked-to-market equity calculations.

All results are hypothetical.

(31.8%)
Max Drawdown
680
Num Trades
41.6%
Win Trades
1.4 : 1
Profit Factor
53.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               (0.5%)+22.2%+2.9%+25.1%
2013+8.5%(2.4%)+4.9%+0.2%+13.6%(4.4%)+9.9%(11.6%)+10.6%+11.4%+11.4%+5.2%+69.3%
2014(3.5%)+13.4%+9.0%+4.9%(0.9%)+0.7%(4.4%)+4.6%(1.2%)+5.5%+7.6%+10.2%+54.3%
2015(3.2%)(1.7%)+8.5%(4.5%)+0.7%(2.6%)(3.9%)+1.5%(3%)(5.5%)(7%)(3.7%)(22.4%)
2016+1.4%+9.5%(2.6%)+11.9%(17.8%)+12.3%(3.6%)+9.5%(5.1%)(5.8%)+13.8%+10.0%+31.8%
2017+1.8%(2%)+0.4%+6.0%+5.8%(4.5%)+16.0%+1.6%+2.6%+6.9%+0.4%(1.6%)+36.9%
2018+9.6%+1.5%(1.1%)(1.8%)(0.8%)(3.8%)(8.7%)+10.0%(0.6%)(11.3%)(2.5%)+8.7%(3.1%)
2019+7.7%(2.7%)(3.5%)(1.2%)(2.5%)+9.4%+2.7%(6.6%)(5.1%)                  (2.9%)

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 1,301 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/26/19 9:52 RWM PROSHARES SHORT RUSSELL2000 LONG 230 42.13 9/10 11:58 40.40 0.95%
Trade id #125085466
Max drawdown($411)
Time9/10/19 11:57
Quant open230
Worst price40.34
Drawdown as % of equity-0.95%
($402)
Includes Typical Broker Commissions trade costs of $4.60
8/20/19 11:26 MKTX MARKETAXESS HOLDINGS LONG 21 374.85 9/10 10:20 371.15 0.79%
Trade id #125004830
Max drawdown($346)
Time9/10/19 9:51
Quant open12
Worst price346.00
Drawdown as % of equity-0.79%
($78)
Includes Typical Broker Commissions trade costs of $0.42
9/4/19 11:42 AMT AMERICAN TOWER LONG 27 240.74 9/10 10:20 214.41 1.68%
Trade id #125217779
Max drawdown($735)
Time9/10/19 10:16
Quant open27
Worst price213.50
Drawdown as % of equity-1.68%
($712)
Includes Typical Broker Commissions trade costs of $0.54
8/23/19 15:58 PSQ PROSHARES SHORT QQQ LONG 340 28.94 9/5 9:39 27.56 1.04%
Trade id #125066582
Max drawdown($470)
Time9/5/19 9:39
Quant open340
Worst price27.56
Drawdown as % of equity-1.04%
($477)
Includes Typical Broker Commissions trade costs of $6.80
8/19/19 9:39 PAYC PAYCOM SOFTWARE INC LONG 25 245.71 9/3 10:30 247.93 0.3%
Trade id #124986733
Max drawdown($139)
Time8/20/19 0:00
Quant open25
Worst price240.13
Drawdown as % of equity-0.30%
$56
Includes Typical Broker Commissions trade costs of $0.50
8/15/19 13:14 FICO FAIR ISAAC LONG 20 338.87 8/27 10:42 351.13 0.13%
Trade id #124953405
Max drawdown($61)
Time8/15/19 13:56
Quant open20
Worst price335.82
Drawdown as % of equity-0.13%
$245
Includes Typical Broker Commissions trade costs of $0.40
8/15/19 12:36 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 40 157.26 8/26 9:53 163.67 0%
Trade id #124952894
Max drawdown($0)
Time8/15/19 12:37
Quant open40
Worst price157.24
Drawdown as % of equity-0.00%
$255
Includes Typical Broker Commissions trade costs of $0.80
8/15/19 12:35 CTAS CINTAS LONG 20 259.93 8/26 9:49 257.67 0.23%
Trade id #124952872
Max drawdown($105)
Time8/23/19 0:00
Quant open20
Worst price254.67
Drawdown as % of equity-0.23%
($45)
Includes Typical Broker Commissions trade costs of $0.40
8/19/19 13:39 KNSL KINSALE CAPITAL GROUP INC LONG 65 96.59 8/26 9:49 93.52 0.51%
Trade id #124991355
Max drawdown($237)
Time8/23/19 0:00
Quant open65
Worst price92.93
Drawdown as % of equity-0.51%
($201)
Includes Typical Broker Commissions trade costs of $1.30
8/21/19 10:34 AYX ALTERYX INC LONG 35 142.18 8/26 9:49 138.07 0.32%
Trade id #125019086
Max drawdown($145)
Time8/26/19 9:49
Quant open35
Worst price138.03
Drawdown as % of equity-0.32%
($145)
Includes Typical Broker Commissions trade costs of $0.70
8/23/19 12:18 ROM PROSHARES ULTRA TECHNOLOGY LONG 80 115.06 8/23 13:11 113.83 0.16%
Trade id #125062904
Max drawdown($73)
Time8/23/19 13:10
Quant open80
Worst price114.15
Drawdown as % of equity-0.16%
($101)
Includes Typical Broker Commissions trade costs of $1.60
8/19/19 9:40 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 45 100.94 8/23 11:36 87.43 1.3%
Trade id #124986813
Max drawdown($604)
Time8/23/19 11:36
Quant open45
Worst price87.52
Drawdown as % of equity-1.30%
($609)
Includes Typical Broker Commissions trade costs of $0.90
8/15/19 13:14 TZA DIREXION DAILY SMALL CAP BEAR LONG 125 54.71 8/19 9:35 49.48 1.44%
Trade id #124953414
Max drawdown($669)
Time8/19/19 9:32
Quant open125
Worst price49.36
Drawdown as % of equity-1.44%
($657)
Includes Typical Broker Commissions trade costs of $2.50
8/7/19 11:18 SRTY PROSHARES ULTRAPRO SHORT RUSSE LONG 125 26.75 8/14 11:39 27.40 0.6%
Trade id #124814772
Max drawdown($279)
Time8/7/19 11:18
Quant open125
Worst price24.52
Drawdown as % of equity-0.60%
$79
Includes Typical Broker Commissions trade costs of $2.50
8/13/19 14:35 KNSL KINSALE CAPITAL GROUP INC LONG 60 95.85 8/14 11:00 94.44 0.37%
Trade id #124914004
Max drawdown($170)
Time8/13/19 14:35
Quant open60
Worst price93.00
Drawdown as % of equity-0.37%
($86)
Includes Typical Broker Commissions trade costs of $1.20
7/15/19 12:15 SHOP SHOPIFY INC LONG 24 320.16 8/14 11:00 353.46 0.46%
Trade id #124463795
Max drawdown($235)
Time7/15/19 12:15
Quant open24
Worst price310.36
Drawdown as % of equity-0.46%
$799
Includes Typical Broker Commissions trade costs of $0.48
8/7/19 11:16 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 100 15.37 8/13 12:18 13.51 0.44%
Trade id #124814717
Max drawdown($202)
Time8/7/19 11:16
Quant open100
Worst price13.35
Drawdown as % of equity-0.44%
($188)
Includes Typical Broker Commissions trade costs of $2.00
8/1/19 11:20 ROM PROSHARES ULTRA TECHNOLOGY LONG 45 133.06 8/5 10:21 114.41 1.73%
Trade id #124718684
Max drawdown($860)
Time8/1/19 11:20
Quant open45
Worst price113.94
Drawdown as % of equity-1.73%
($840)
Includes Typical Broker Commissions trade costs of $0.90
7/25/19 11:12 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 55 147.78 8/5 9:38 128.54 2.75%
Trade id #124614351
Max drawdown($1,378)
Time7/25/19 11:12
Quant open55
Worst price122.72
Drawdown as % of equity-2.75%
($1,059)
Includes Typical Broker Commissions trade costs of $1.10
7/9/19 11:30 OKTA OKTA INC. CL A COMMON STOCK LONG 50 133.00 8/5 9:30 127.22 0.61%
Trade id #124389344
Max drawdown($289)
Time8/5/19 9:30
Quant open50
Worst price127.22
Drawdown as % of equity-0.61%
($290)
Includes Typical Broker Commissions trade costs of $1.00
7/1/19 11:27 IPAY AFTMG ISE MOBILE PAYMENTS ETF LONG 200 47.12 8/5 9:30 47.12 0.07%
Trade id #124290422
Max drawdown($33)
Time7/1/19 11:27
Quant open200
Worst price46.95
Drawdown as % of equity-0.07%
($3)
Includes Typical Broker Commissions trade costs of $4.00
7/1/19 11:27 OLED UNIVERSAL DISPLAY CORPORATION LONG 32 193.83 8/2 9:40 193.81 0.55%
Trade id #124290436
Max drawdown($259)
Time7/1/19 11:27
Quant open32
Worst price185.71
Drawdown as % of equity-0.55%
($2)
Includes Typical Broker Commissions trade costs of $0.64
7/24/19 14:12 PFBC PREFERRED BANK LONG 120 53.92 8/1 14:41 51.99 0.46%
Trade id #124599406
Max drawdown($231)
Time8/1/19 14:41
Quant open120
Worst price51.99
Drawdown as % of equity-0.46%
($233)
Includes Typical Broker Commissions trade costs of $2.40
7/26/19 12:16 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 45 144.77 7/31 14:49 134.80 0.91%
Trade id #124636064
Max drawdown($449)
Time7/31/19 14:49
Quant open45
Worst price134.80
Drawdown as % of equity-0.91%
($450)
Includes Typical Broker Commissions trade costs of $0.90
7/25/19 10:54 BYND BEYOND MEAT INC. COMMON STOCK LONG 30 209.68 7/29 10:09 209.67 0.08%
Trade id #124613772
Max drawdown($38)
Time7/25/19 10:54
Quant open30
Worst price208.40
Drawdown as % of equity-0.08%
($1)
Includes Typical Broker Commissions trade costs of $0.60
6/18/19 14:37 NOW SERVICENOW LONG 20 282.63 7/25 9:41 284.34 0.39%
Trade id #124131008
Max drawdown($191)
Time6/18/19 14:37
Quant open20
Worst price273.06
Drawdown as % of equity-0.39%
$34
Includes Typical Broker Commissions trade costs of $0.40
7/18/19 11:33 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 350 32.91 7/24 15:10 30.95 1.36%
Trade id #124517962
Max drawdown($686)
Time7/24/19 15:10
Quant open350
Worst price30.95
Drawdown as % of equity-1.36%
($693)
Includes Typical Broker Commissions trade costs of $7.00
7/11/19 12:53 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 200 14.86 7/23 10:31 12.78 1.02%
Trade id #124422338
Max drawdown($514)
Time7/11/19 12:53
Quant open200
Worst price12.29
Drawdown as % of equity-1.02%
($420)
Includes Typical Broker Commissions trade costs of $4.00
7/18/19 13:23 CEF CENTRAL FUND OF CANADA LONG 500 13.63 7/22 13:17 13.75 0.07%
Trade id #124520172
Max drawdown($35)
Time7/18/19 13:23
Quant open500
Worst price13.56
Drawdown as % of equity-0.07%
$51
Includes Typical Broker Commissions trade costs of $10.00
7/9/19 10:28 PAYS PAYSIGN INC LONG 400 15.05 7/22 9:30 16.21 0.21%
Trade id #124387966
Max drawdown($102)
Time7/9/19 10:28
Quant open400
Worst price14.79
Drawdown as % of equity-0.21%
$459
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2519.34
  • Age
    84 months ago
  • What it trades
    Stocks
  • # Trades
    680
  • # Profitable
    283
  • % Profitable
    41.60%
  • Avg trade duration
    26.1 days
  • Max peak-to-valley drawdown
    31.75%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    23.5%
  • Avg win
    $507.09
  • Avg loss
    $260.86
  • Model Account Values (Raw)
  • Cash
    $26,355
  • Margin Used
    $0
  • Buying Power
    $25,800
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.86
  • Sortino Ratio
    1.28
  • Calmar Ratio
    1.078
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19870
  • Return Statistics
  • Ann Return (w trading costs)
    23.5%
  • Ann Return (Compnd, No Fees)
    27.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    372
  • Popularity (Last 6 weeks)
    859
  • C2 Score
    315
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $261
  • Avg Win
    $507
  • # Winners
    283
  • # Losers
    397
  • % Winners
    41.6%
  • Frequency
  • Avg Position Time (mins)
    37568.80
  • Avg Position Time (hrs)
    626.15
  • Avg Trade Length
    26.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.12
  • Daily leverage (max)
    3.58
  • Regression
  • Alpha
    0.05
  • Beta
    0.32
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    4.801
  • Avg(MAE) / Avg(PL) - Winning trades
    0.275
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.327
  • Hold-and-Hope Ratio
    0.210
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25470
  • SD
    0.23047
  • Sharpe ratio (Glass type estimate)
    1.10514
  • Sharpe ratio (Hedges UMVUE)
    1.09475
  • df
    80.00000
  • t
    2.87125
  • p
    0.00262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86798
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77124
  • Upside Potential Ratio
    4.64607
  • Upside part of mean
    0.42702
  • Downside part of mean
    -0.17231
  • Upside SD
    0.22231
  • Downside SD
    0.09191
  • N nonnegative terms
    44.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.08561
  • Mean of criterion
    0.25470
  • SD of predictor
    0.10336
  • SD of criterion
    0.23047
  • Covariance
    0.00470
  • r
    0.19730
  • b (slope, estimate of beta)
    0.43993
  • a (intercept, estimate of alpha)
    0.21704
  • Mean Square Error
    0.05169
  • DF error
    79.00000
  • t(b)
    1.78881
  • p(b)
    0.03874
  • t(a)
    2.41131
  • p(a)
    0.00911
  • Lowerbound of 95% confidence interval for beta
    -0.04959
  • Upperbound of 95% confidence interval for beta
    0.92945
  • Lowerbound of 95% confidence interval for alpha
    0.03788
  • Upperbound of 95% confidence interval for alpha
    0.39620
  • Treynor index (mean / b)
    0.57897
  • Jensen alpha (a)
    0.21704
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22752
  • SD
    0.21788
  • Sharpe ratio (Glass type estimate)
    1.04423
  • Sharpe ratio (Hedges UMVUE)
    1.03441
  • df
    80.00000
  • t
    2.71299
  • p
    0.00408
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26963
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80564
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40227
  • Upside Potential Ratio
    4.26377
  • Upside part of mean
    0.40382
  • Downside part of mean
    -0.17630
  • Upside SD
    0.20550
  • Downside SD
    0.09471
  • N nonnegative terms
    44.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.07986
  • Mean of criterion
    0.22752
  • SD of predictor
    0.10348
  • SD of criterion
    0.21788
  • Covariance
    0.00443
  • r
    0.19638
  • b (slope, estimate of beta)
    0.41347
  • a (intercept, estimate of alpha)
    0.19450
  • Mean Square Error
    0.04622
  • DF error
    79.00000
  • t(b)
    1.78015
  • p(b)
    0.03945
  • t(a)
    2.29358
  • p(a)
    0.01224
  • Lowerbound of 95% confidence interval for beta
    -0.04885
  • Upperbound of 95% confidence interval for beta
    0.87579
  • Lowerbound of 95% confidence interval for alpha
    0.02571
  • Upperbound of 95% confidence interval for alpha
    0.36329
  • Treynor index (mean / b)
    0.55026
  • Jensen alpha (a)
    0.19450
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08103
  • Expected Shortfall on VaR
    0.10462
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03160
  • Expected Shortfall on VaR
    0.05905
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98209
  • Median
    1.01360
  • Quartile 3
    1.05172
  • Maximum
    1.28235
  • Mean of quarter 1
    0.95512
  • Mean of quarter 2
    0.99493
  • Mean of quarter 3
    1.03596
  • Mean of quarter 4
    1.11162
  • Inter Quartile Range
    0.06963
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02469
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.13245
  • VaR(95%) (moments method)
    0.04249
  • Expected Shortfall (moments method)
    0.04505
  • Extreme Value Index (regression method)
    -0.26660
  • VaR(95%) (regression method)
    0.04364
  • Expected Shortfall (regression method)
    0.05356
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00323
  • Quartile 1
    0.01283
  • Median
    0.04970
  • Quartile 3
    0.08605
  • Maximum
    0.21465
  • Mean of quarter 1
    0.00587
  • Mean of quarter 2
    0.03369
  • Mean of quarter 3
    0.06257
  • Mean of quarter 4
    0.16878
  • Inter Quartile Range
    0.07322
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.20757
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -288.44600
  • VaR(95%) (moments method)
    0.16641
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.94754
  • VaR(95%) (regression method)
    0.36527
  • Expected Shortfall (regression method)
    0.36554
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68261
  • Compounded annual return (geometric extrapolation)
    0.29101
  • Calmar ratio (compounded annual return / max draw down)
    1.35572
  • Compounded annual return / average of 25% largest draw downs
    1.72420
  • Compounded annual return / Expected Shortfall lognormal
    2.78156
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23335
  • SD
    0.18845
  • Sharpe ratio (Glass type estimate)
    1.23828
  • Sharpe ratio (Hedges UMVUE)
    1.23776
  • df
    1787.00000
  • t
    3.23484
  • p
    0.45147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98949
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98912
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86206
  • Upside Potential Ratio
    9.29272
  • Upside part of mean
    1.16457
  • Downside part of mean
    -0.93121
  • Upside SD
    0.14141
  • Downside SD
    0.12532
  • N nonnegative terms
    976.00000
  • N negative terms
    812.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1788.00000
  • Mean of predictor
    0.09125
  • Mean of criterion
    0.23335
  • SD of predictor
    0.13010
  • SD of criterion
    0.18845
  • Covariance
    0.00469
  • r
    0.19138
  • b (slope, estimate of beta)
    0.27722
  • a (intercept, estimate of alpha)
    0.20800
  • Mean Square Error
    0.03423
  • DF error
    1786.00000
  • t(b)
    8.24025
  • p(b)
    0.40431
  • t(a)
    2.93492
  • p(a)
    0.46536
  • Lowerbound of 95% confidence interval for beta
    0.21124
  • Upperbound of 95% confidence interval for beta
    0.34320
  • Lowerbound of 95% confidence interval for alpha
    0.06902
  • Upperbound of 95% confidence interval for alpha
    0.34710
  • Treynor index (mean / b)
    0.84176
  • Jensen alpha (a)
    0.20806
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21553
  • SD
    0.18815
  • Sharpe ratio (Glass type estimate)
    1.14555
  • Sharpe ratio (Hedges UMVUE)
    1.14507
  • df
    1787.00000
  • t
    2.99258
  • p
    0.45508
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89661
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39386
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89627
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69561
  • Upside Potential Ratio
    9.08373
  • Upside part of mean
    1.15465
  • Downside part of mean
    -0.93912
  • Upside SD
    0.13928
  • Downside SD
    0.12711
  • N nonnegative terms
    976.00000
  • N negative terms
    812.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1788.00000
  • Mean of predictor
    0.08275
  • Mean of criterion
    0.21553
  • SD of predictor
    0.13029
  • SD of criterion
    0.18815
  • Covariance
    0.00472
  • r
    0.19251
  • b (slope, estimate of beta)
    0.27800
  • a (intercept, estimate of alpha)
    0.19253
  • Mean Square Error
    0.03411
  • DF error
    1786.00000
  • t(b)
    8.29062
  • p(b)
    0.40375
  • t(a)
    2.72128
  • p(a)
    0.46787
  • Lowerbound of 95% confidence interval for beta
    0.21223
  • Upperbound of 95% confidence interval for beta
    0.34376
  • Lowerbound of 95% confidence interval for alpha
    0.05377
  • Upperbound of 95% confidence interval for alpha
    0.33129
  • Treynor index (mean / b)
    0.77530
  • Jensen alpha (a)
    0.19253
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01813
  • Expected Shortfall on VaR
    0.02288
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00765
  • Expected Shortfall on VaR
    0.01563
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1788.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99565
  • Median
    1.00085
  • Quartile 3
    1.00652
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98746
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00348
  • Mean of quarter 4
    1.01445
  • Inter Quartile Range
    0.01088
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.03132
  • Mean of outliers low
    0.96942
  • Number of outliers high
    53.00000
  • Percentage of outliers high
    0.02964
  • Mean of outliers high
    1.03364
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11924
  • VaR(95%) (moments method)
    0.01123
  • Expected Shortfall (moments method)
    0.01654
  • Extreme Value Index (regression method)
    0.09749
  • VaR(95%) (regression method)
    0.01145
  • Expected Shortfall (regression method)
    0.01671
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00916
  • Median
    0.01907
  • Quartile 3
    0.05031
  • Maximum
    0.25577
  • Mean of quarter 1
    0.00388
  • Mean of quarter 2
    0.01488
  • Mean of quarter 3
    0.03211
  • Mean of quarter 4
    0.11288
  • Inter Quartile Range
    0.04114
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07018
  • Mean of outliers high
    0.20767
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40250
  • VaR(95%) (moments method)
    0.12378
  • Expected Shortfall (moments method)
    0.22840
  • Extreme Value Index (regression method)
    0.37401
  • VaR(95%) (regression method)
    0.09900
  • Expected Shortfall (regression method)
    0.16237
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62515
  • Compounded annual return (geometric extrapolation)
    0.27563
  • Calmar ratio (compounded annual return / max draw down)
    1.07765
  • Compounded annual return / average of 25% largest draw downs
    2.44171
  • Compounded annual return / Expected Shortfall lognormal
    12.04730
  • 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
  • Mean
    -0.09222
  • SD
    0.15546
  • Sharpe ratio (Glass type estimate)
    -0.59319
  • Sharpe ratio (Hedges UMVUE)
    -0.58976
  • df
    130.00000
  • t
    -0.41945
  • p
    0.51838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.36485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.36249
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18297
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78209
  • Upside Potential Ratio
    6.92855
  • Upside part of mean
    0.81697
  • Downside part of mean
    -0.90919
  • Upside SD
    0.10056
  • Downside SD
    0.11791
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10069
  • Mean of criterion
    -0.09222
  • SD of predictor
    0.13609
  • SD of criterion
    0.15546
  • Covariance
    0.00830
  • r
    0.39227
  • b (slope, estimate of beta)
    0.44810
  • a (intercept, estimate of alpha)
    -0.13734
  • Mean Square Error
    0.02061
  • DF error
    129.00000
  • t(b)
    4.84354
  • p(b)
    0.25683
  • t(a)
    -0.67578
  • p(a)
    0.53779
  • Lowerbound of 95% confidence interval for beta
    0.26506
  • Upperbound of 95% confidence interval for beta
    0.63115
  • Lowerbound of 95% confidence interval for alpha
    -0.53944
  • Upperbound of 95% confidence interval for alpha
    0.26476
  • Treynor index (mean / b)
    -0.20580
  • Jensen alpha (a)
    -0.13734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10424
  • SD
    0.15568
  • Sharpe ratio (Glass type estimate)
    -0.66958
  • Sharpe ratio (Hedges UMVUE)
    -0.66571
  • df
    130.00000
  • t
    -0.47346
  • p
    0.52075
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.44138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10463
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.43870
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10728
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.87505
  • Upside Potential Ratio
    6.81542
  • Upside part of mean
    0.81190
  • Downside part of mean
    -0.91614
  • Upside SD
    0.09951
  • Downside SD
    0.11913
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09143
  • Mean of criterion
    -0.10424
  • SD of predictor
    0.13658
  • SD of criterion
    0.15568
  • Covariance
    0.00837
  • r
    0.39374
  • b (slope, estimate of beta)
    0.44879
  • a (intercept, estimate of alpha)
    -0.14527
  • Mean Square Error
    0.02064
  • DF error
    129.00000
  • t(b)
    4.86498
  • p(b)
    0.25598
  • t(a)
    -0.71444
  • p(a)
    0.53994
  • Lowerbound of 95% confidence interval for beta
    0.26628
  • Upperbound of 95% confidence interval for beta
    0.63131
  • Lowerbound of 95% confidence interval for alpha
    -0.54759
  • Upperbound of 95% confidence interval for alpha
    0.25704
  • Treynor index (mean / b)
    -0.23227
  • Jensen alpha (a)
    -0.14527
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01609
  • Expected Shortfall on VaR
    0.02003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00729
  • Expected Shortfall on VaR
    0.01474
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97027
  • Quartile 1
    0.99621
  • Median
    1.00062
  • Quartile 3
    1.00479
  • Maximum
    1.03814
  • Mean of quarter 1
    0.98785
  • Mean of quarter 2
    0.99867
  • Mean of quarter 3
    1.00259
  • Mean of quarter 4
    1.00999
  • Inter Quartile Range
    0.00858
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97720
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02876
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13441
  • VaR(95%) (moments method)
    0.01062
  • Expected Shortfall (moments method)
    0.01607
  • Extreme Value Index (regression method)
    -0.14761
  • VaR(95%) (regression method)
    0.01260
  • Expected Shortfall (regression method)
    0.01678
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00134
  • Quartile 1
    0.00570
  • Median
    0.03149
  • Quartile 3
    0.06345
  • Maximum
    0.14517
  • Mean of quarter 1
    0.00234
  • Mean of quarter 2
    0.01279
  • Mean of quarter 3
    0.05018
  • Mean of quarter 4
    0.10652
  • Inter Quartile Range
    0.05775
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07490
  • Compounded annual return (geometric extrapolation)
    -0.07349
  • Calmar ratio (compounded annual return / max draw down)
    -0.50625
  • Compounded annual return / average of 25% largest draw downs
    -0.68994
  • Compounded annual return / Expected Shortfall lognormal
    -3.66964

Strategy Description

OP I trades the Primary Trend be it up or down and is designed for aggressive investors. If the Primary Trend is up our core holdings will be equities. If the Primary Trend is down I will initiate Bear Market strategies. Since every Bear is different and also because so many new securities with unique characteristics I will determine our Bear Market holdings when the Bear arrives.

Contrary to most systems OP is not purely mechanical as I employ an eye-ball test and a bit of experience to its holdings.

Who am I? After my degree in Finance from Northeastern University in Boston I started out at Lehman Brothers in Boston in 1982 as an assistant trader. In 1984 I went to EF Hutton in Los Angeles and became Options Trading Coordinator in Beverly Hills. During this time I placed second in the 1987 US Trading Championship in the Options Writing Category and was featured in Investors Business Daily and Barrons and various radio stations. By 1990 I moved to AG Edwards and Sons and remained there until 1995 when I opened up my own shop. Since all three firms no longer exist I consider this the best move I ever made.

I'm no longer live in the big cities but manage client portfolios and C2 portfolios daily from my ranch near Rocky Mountain National Park in Colorado.

Brad Pappas

Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$15,000
# Trades
680
# Profitable
283
% Profitable
41.6%
Net Dividends
Correlation S&P500
0.199
Sharpe Ratio
0.86
Sortino Ratio
1.28
Beta
0.32
Alpha
0.05
Leverage
1.12 Average
3.58 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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 under-or over-compensated 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 re-scaled downward to make current go-forward 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 per-trade 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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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.