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Optimized Partners II
(77331265)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 46 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 $99.00 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).
13.8%
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.

(40.1%)
Max Drawdown
939
Num Trades
44.2%
Win Trades
1.3 : 1
Profit Factor
55.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +2.2%(9.8%)(1.7%)(9.3%)
2013(3.8%)+4.7%+9.1%+5.5%+0.2%+1.0%+9.2%(4.8%)+5.5%+4.4%+18.7%+8.2%+72.3%
2014+1.0%+13.4%+2.3%+5.6%(1.8%)+2.0%(5.8%)+5.2%(4.1%)+7.2%+6.0%+9.7%+46.7%
2015(0.9%)(4.5%)+6.9%(4.3%)(3.2%)(1.2%)(3.4%)(1.5%)(1.4%)+4.3%(5.8%)(6.2%)(20%)
2016+2.0%+4.3%(2.4%)+6.0%(13.6%)+8.3%(3.5%)+6.6%(3.9%)(5.5%)+2.5%+6.7%+5.3%
2017+9.4%(4.7%)+7.9%+9.3%+5.3%(4.9%)+12.0%+4.0%+0.2%+6.9%+3.8%(0.7%)+58.6%
2018+11.9%+0.2%(0.5%)(1.1%)+1.8%+0.8%(3.6%)+15.8%+1.0%(10.2%)(2.3%)+8.1%+21.0%
2019+7.0%(3%)(0.4%)+1.0%(3.3%)+10.2%+3.2%(5.9%)(4.3%)(5.6%)+0.2%+2.4%+0.1%
2020+1.5%(17.9%)(1%)(5.4%)(0.7%)+1.8%(0.6%)(2.2%)(1.6%)                  (24.6%)

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 1,112 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 314 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/27/20 10:08 TTWO TAKE-TWO INTERACTIVE SFTW LONG 20 159.55 8/12 14:17 168.44 0.12%
Trade id #130291286
Max drawdown($72)
Time7/30/20 0:00
Quant open20
Worst price155.92
Drawdown as % of equity-0.12%
$178
Includes Typical Broker Commissions trade costs of $0.40
8/11/20 9:46 VMC VULCAN MATERIALS LONG 38 135.62 8/12 14:14 131.64 0.32%
Trade id #130558012
Max drawdown($185)
Time8/12/20 13:11
Quant open38
Worst price130.74
Drawdown as % of equity-0.32%
($152)
Includes Typical Broker Commissions trade costs of $0.76
7/23/20 12:04 ROM PROSHARES ULTRA TECHNOLOGY LONG 35 211.27 8/11 9:46 218.06 0.49%
Trade id #130241670
Max drawdown($288)
Time7/24/20 0:00
Quant open15
Worst price183.84
Drawdown as % of equity-0.49%
$237
Includes Typical Broker Commissions trade costs of $0.70
7/23/20 11:23 ZS ZSCALER INC. COMMON STOCK LONG 33 128.36 8/11 9:46 118.76 0.65%
Trade id #130240231
Max drawdown($378)
Time8/11/20 9:30
Quant open33
Worst price116.88
Drawdown as % of equity-0.65%
($318)
Includes Typical Broker Commissions trade costs of $0.66
7/23/20 11:24 DOCU DOCUSIGN INC. COMMON STOCK LONG 30 214.57 8/11 9:45 195.40 1.18%
Trade id #130240267
Max drawdown($689)
Time8/11/20 9:32
Quant open30
Worst price191.59
Drawdown as % of equity-1.18%
($576)
Includes Typical Broker Commissions trade costs of $0.60
8/3/20 11:01 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 26 266.22 8/11 9:45 242.69 1.15%
Trade id #130422206
Max drawdown($672)
Time8/11/20 9:33
Quant open26
Worst price240.36
Drawdown as % of equity-1.15%
($613)
Includes Typical Broker Commissions trade costs of $0.52
8/5/20 11:33 TDOC TELADOC HEALTH INC LONG 20 220.00 8/7 13:59 196.90 0.85%
Trade id #130470835
Max drawdown($495)
Time8/7/20 13:26
Quant open20
Worst price195.25
Drawdown as % of equity-0.85%
($462)
Includes Typical Broker Commissions trade costs of $0.40
7/28/20 11:10 DDOG DATADOG INC. LONG 45 88.99 8/7 9:30 82.60 0.51%
Trade id #130318760
Max drawdown($309)
Time8/7/20 9:30
Quant open45
Worst price82.12
Drawdown as % of equity-0.51%
($289)
Includes Typical Broker Commissions trade costs of $0.90
8/3/20 12:56 LVGO LIVONGO HEALTH INC LONG 45 134.78 8/5 10:35 131.27 0.78%
Trade id #130426708
Max drawdown($479)
Time8/5/20 10:20
Quant open45
Worst price124.13
Drawdown as % of equity-0.78%
($159)
Includes Typical Broker Commissions trade costs of $0.90
8/4/20 11:20 TDOC TELADOC HEALTH INC LONG 27 250.49 8/5 10:35 207.31 2.24%
Trade id #130447405
Max drawdown($1,377)
Time8/5/20 10:20
Quant open27
Worst price199.46
Drawdown as % of equity-2.24%
($1,167)
Includes Typical Broker Commissions trade costs of $0.54
7/23/20 11:25 SITE SITEONE LANDSCAPE SUPPLY INC LONG 25 122.95 8/3 11:00 127.82 0.22%
Trade id #130240292
Max drawdown($129)
Time7/24/20 0:00
Quant open25
Worst price117.75
Drawdown as % of equity-0.22%
$122
Includes Typical Broker Commissions trade costs of $0.50
6/29/20 11:16 SDS PROSHARES ULTRASHORT S&P500 LONG 300 19.48 7/23 9:49 17.20 1.15%
Trade id #129803474
Max drawdown($687)
Time7/22/20 0:00
Quant open300
Worst price17.19
Drawdown as % of equity-1.15%
($690)
Includes Typical Broker Commissions trade costs of $6.00
6/25/20 10:13 RWM PROSHARES SHORT RUSSELL2000 LONG 300 37.28 7/23 9:49 34.68 1.35%
Trade id #129755948
Max drawdown($811)
Time7/21/20 0:00
Quant open300
Worst price34.58
Drawdown as % of equity-1.35%
($787)
Includes Typical Broker Commissions trade costs of $6.00
6/17/20 15:36 SH PROSHARES SHORT S&P500 LONG 700 22.26 7/23 9:49 21.06 1.41%
Trade id #129624854
Max drawdown($840)
Time7/22/20 0:00
Quant open700
Worst price21.06
Drawdown as % of equity-1.41%
($845)
Includes Typical Broker Commissions trade costs of $5.00
5/26/20 11:53 BWA BORGWARNER LONG 135 31.31 6/15 13:22 33.51 0.06%
Trade id #129194692
Max drawdown($36)
Time5/29/20 0:00
Quant open135
Worst price31.04
Drawdown as % of equity-0.06%
$294
Includes Typical Broker Commissions trade costs of $2.70
5/27/20 13:49 JPM JPMORGAN CHASE LONG 50 99.68 6/15 13:22 99.53 0.31%
Trade id #129220076
Max drawdown($190)
Time6/15/20 9:35
Quant open50
Worst price95.87
Drawdown as % of equity-0.31%
($9)
Includes Typical Broker Commissions trade costs of $1.00
5/27/20 13:50 PNC PNC FINANCIAL SERVICES LONG 40 114.83 6/15 13:22 110.76 0.58%
Trade id #129220082
Max drawdown($355)
Time6/15/20 9:34
Quant open40
Worst price105.94
Drawdown as % of equity-0.58%
($164)
Includes Typical Broker Commissions trade costs of $0.80
5/26/20 11:51 MIDD MIDDLEBY LONG 65 69.75 6/15 13:22 81.75 0.32%
Trade id #129194635
Max drawdown($192)
Time5/29/20 0:00
Quant open65
Worst price66.79
Drawdown as % of equity-0.32%
$779
Includes Typical Broker Commissions trade costs of $1.30
5/15/20 12:00 SLV ISHARES SILVER TRUST LONG 375 15.72 6/15 13:22 16.13 0.03%
Trade id #129043575
Max drawdown($21)
Time5/15/20 14:44
Quant open300
Worst price15.42
Drawdown as % of equity-0.03%
$148
Includes Typical Broker Commissions trade costs of $7.50
5/26/20 11:51 VTR VENTAS LONG 125 35.34 6/3 11:53 40.37 0.24%
Trade id #129194649
Max drawdown($145)
Time5/29/20 0:00
Quant open125
Worst price34.18
Drawdown as % of equity-0.24%
$627
Includes Typical Broker Commissions trade costs of $2.50
5/21/20 12:12 POOL POOL LONG 20 234.95 5/29 15:11 267.37 0.01%
Trade id #129133876
Max drawdown($8)
Time5/22/20 0:00
Quant open20
Worst price234.55
Drawdown as % of equity-0.01%
$648
Includes Typical Broker Commissions trade costs of $0.40
5/20/20 11:09 VIAC VIACOMCBS INC CLASS B LONG 220 20.01 5/29 9:30 20.74 0.33%
Trade id #129109373
Max drawdown($201)
Time5/22/20 0:00
Quant open220
Worst price19.09
Drawdown as % of equity-0.33%
$157
Includes Typical Broker Commissions trade costs of $4.40
4/22/20 11:47 GLD SPDR GOLD SHARES LONG 80 161.47 5/27 13:49 161.15 0.19%
Trade id #128691824
Max drawdown($113)
Time5/27/20 9:31
Quant open50
Worst price159.20
Drawdown as % of equity-0.19%
($27)
Includes Typical Broker Commissions trade costs of $1.60
5/7/20 11:14 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 65 76.00 5/26 11:50 78.70 0.31%
Trade id #128908295
Max drawdown($187)
Time5/13/20 0:00
Quant open65
Worst price73.12
Drawdown as % of equity-0.31%
$175
Includes Typical Broker Commissions trade costs of $1.30
5/6/20 11:07 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 30 147.70 5/26 11:50 165.10 0.08%
Trade id #128890709
Max drawdown($46)
Time5/6/20 11:51
Quant open30
Worst price146.16
Drawdown as % of equity-0.08%
$521
Includes Typical Broker Commissions trade costs of $0.60
5/6/20 14:04 NFLX NETFLIX LONG 10 438.23 5/26 9:30 426.21 0.19%
Trade id #128894853
Max drawdown($117)
Time5/26/20 9:30
Quant open10
Worst price426.52
Drawdown as % of equity-0.19%
($120)
Includes Typical Broker Commissions trade costs of $0.20
5/14/20 10:15 RWM PROSHARES SHORT RUSSELL2000 LONG 160 44.98 5/20 10:30 39.48 1.46%
Trade id #129020366
Max drawdown($886)
Time5/20/20 10:22
Quant open160
Worst price39.44
Drawdown as % of equity-1.46%
($883)
Includes Typical Broker Commissions trade costs of $3.20
5/6/20 11:08 ADBE ADOBE INC LONG 14 363.09 5/14 10:14 351.91 0.35%
Trade id #128890758
Max drawdown($211)
Time5/14/20 9:55
Quant open14
Worst price348.01
Drawdown as % of equity-0.35%
($157)
Includes Typical Broker Commissions trade costs of $0.28
5/6/20 11:08 TDOC TELADOC HEALTH INC LONG 24 175.08 5/14 9:50 176.10 0.26%
Trade id #128890735
Max drawdown($158)
Time5/8/20 0:00
Quant open24
Worst price168.48
Drawdown as % of equity-0.26%
$25
Includes Typical Broker Commissions trade costs of $0.48
4/15/20 13:25 NLOK NORTONLIFELOCK INC LONG 200 19.99 5/13 12:19 20.24 0.31%
Trade id #128582024
Max drawdown($186)
Time4/21/20 0:00
Quant open200
Worst price19.06
Drawdown as % of equity-0.31%
$46
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2895.26
  • Age
    97 months ago
  • What it trades
    Stocks
  • # Trades
    939
  • # Profitable
    415
  • % Profitable
    44.20%
  • Avg trade duration
    32.5 days
  • Max peak-to-valley drawdown
    40.14%
  • drawdown period
    July 29, 2019 - Sept 21, 2020
  • Annual Return (Compounded)
    13.8%
  • Avg win
    $513.49
  • Avg loss
    $313.86
  • Model Account Values (Raw)
  • Cash
    $48,467
  • Margin Used
    $0
  • Buying Power
    $51,383
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    0.58
  • Sortino Ratio
    0.8
  • Calmar Ratio
    0.563
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    42.09%
  • Correlation to SP500
    0.20320
  • Return Percent SP500 (cumu) during strategy life
    137.20%
  • Return Statistics
  • Ann Return (w trading costs)
    13.8%
  • Slump
  • Current Slump as Pcnt Equity
    61.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.138%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.50%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 100% 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 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    475
  • Popularity (Last 6 weeks)
    852
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    702
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $314
  • Avg Win
    $514
  • Sum Trade PL (losers)
    $164,463.000
  • Age
  • Num Months filled monthly returns table
    96
  • Win / Loss
  • Sum Trade PL (winners)
    $213,335.000
  • # Winners
    415
  • Num Months Winners
    53
  • Dividends
  • Dividends Received in Model Acct
    3618
  • Win / Loss
  • # Losers
    524
  • % Winners
    44.2%
  • Frequency
  • Avg Position Time (mins)
    46734.20
  • Avg Position Time (hrs)
    778.90
  • Avg Trade Length
    32.5 days
  • Last Trade Ago
    46
  • Leverage
  • Daily leverage (average)
    1.08
  • Daily leverage (max)
    2.74
  • Regression
  • Alpha
    0.03
  • Beta
    0.21
  • Treynor Index
    0.16
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    48.99
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.39
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.29
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.068
  • 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 strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.318
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.282
  • Hold-and-Hope Ratio
    0.166
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15282
  • SD
    0.18406
  • Sharpe ratio (Glass type estimate)
    0.83030
  • Sharpe ratio (Hedges UMVUE)
    0.82351
  • df
    92.00000
  • t
    2.31145
  • p
    0.01152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11397
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54227
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10948
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53753
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.46275
  • Upside Potential Ratio
    3.17683
  • Upside part of mean
    0.33191
  • Downside part of mean
    -0.17908
  • Upside SD
    0.15667
  • Downside SD
    0.10448
  • N nonnegative terms
    50.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    93.00000
  • Mean of predictor
    0.09147
  • Mean of criterion
    0.15282
  • SD of predictor
    0.12414
  • SD of criterion
    0.18406
  • Covariance
    0.00980
  • r
    0.42904
  • b (slope, estimate of beta)
    0.63615
  • a (intercept, estimate of alpha)
    0.09464
  • Mean Square Error
    0.02795
  • DF error
    91.00000
  • t(b)
    4.53101
  • p(b)
    0.00001
  • t(a)
    1.54115
  • p(a)
    0.06337
  • Lowerbound of 95% confidence interval for beta
    0.35726
  • Upperbound of 95% confidence interval for beta
    0.91504
  • Lowerbound of 95% confidence interval for alpha
    -0.02734
  • Upperbound of 95% confidence interval for alpha
    0.21662
  • Treynor index (mean / b)
    0.24023
  • Jensen alpha (a)
    0.09464
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13513
  • SD
    0.18235
  • Sharpe ratio (Glass type estimate)
    0.74105
  • Sharpe ratio (Hedges UMVUE)
    0.73499
  • df
    92.00000
  • t
    2.06299
  • p
    0.02097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44699
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23385
  • Upside Potential Ratio
    2.91813
  • Upside part of mean
    0.31960
  • Downside part of mean
    -0.18447
  • Upside SD
    0.14974
  • Downside SD
    0.10952
  • N nonnegative terms
    50.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    93.00000
  • Mean of predictor
    0.08307
  • Mean of criterion
    0.13513
  • SD of predictor
    0.12756
  • SD of criterion
    0.18235
  • Covariance
    0.01045
  • r
    0.44927
  • b (slope, estimate of beta)
    0.64225
  • a (intercept, estimate of alpha)
    0.08179
  • Mean Square Error
    0.02683
  • DF error
    91.00000
  • t(b)
    4.79716
  • p(b)
    0.00000
  • t(a)
    1.36575
  • p(a)
    0.08769
  • Lowerbound of 95% confidence interval for beta
    0.37631
  • Upperbound of 95% confidence interval for beta
    0.90819
  • Lowerbound of 95% confidence interval for alpha
    -0.03717
  • Upperbound of 95% confidence interval for alpha
    0.20074
  • Treynor index (mean / b)
    0.21041
  • Jensen alpha (a)
    0.08179
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07256
  • Expected Shortfall on VaR
    0.09256
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03276
  • Expected Shortfall on VaR
    0.06441
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    93.00000
  • Minimum
    0.83696
  • Quartile 1
    0.98470
  • Median
    1.00551
  • Quartile 3
    1.05238
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95215
  • Mean of quarter 2
    0.99477
  • Mean of quarter 3
    1.03359
  • Mean of quarter 4
    1.08247
  • Inter Quartile Range
    0.06768
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01075
  • Mean of outliers low
    0.83696
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01075
  • Mean of outliers high
    1.16460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40387
  • VaR(95%) (moments method)
    0.04126
  • Expected Shortfall (moments method)
    0.04949
  • Extreme Value Index (regression method)
    0.18689
  • VaR(95%) (regression method)
    0.04221
  • Expected Shortfall (regression method)
    0.06575
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01593
  • Median
    0.03932
  • Quartile 3
    0.07377
  • Maximum
    0.28384
  • Mean of quarter 1
    0.00870
  • Mean of quarter 2
    0.02880
  • Mean of quarter 3
    0.05658
  • Mean of quarter 4
    0.15805
  • Inter Quartile Range
    0.05784
  • 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
    0.12500
  • Mean of outliers high
    0.22296
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.11669
  • VaR(95%) (moments method)
    0.16352
  • Expected Shortfall (moments method)
    0.21278
  • Extreme Value Index (regression method)
    0.73270
  • VaR(95%) (regression method)
    0.23044
  • Expected Shortfall (regression method)
    0.81834
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32749
  • Compounded annual return (geometric extrapolation)
    0.17708
  • Calmar ratio (compounded annual return / max draw down)
    0.62390
  • Compounded annual return / average of 25% largest draw downs
    1.12042
  • Compounded annual return / Expected Shortfall lognormal
    1.91308
  • 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
    0.14847
  • SD
    0.15610
  • Sharpe ratio (Glass type estimate)
    0.95110
  • Sharpe ratio (Hedges UMVUE)
    0.95075
  • df
    2041.00000
  • t
    2.65525
  • p
    0.00399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24809
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65341
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32155
  • Upside Potential Ratio
    8.67754
  • Upside part of mean
    0.97486
  • Downside part of mean
    -0.82639
  • Upside SD
    0.10871
  • Downside SD
    0.11234
  • N nonnegative terms
    1123.00000
  • N negative terms
    919.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2042.00000
  • Mean of predictor
    0.09777
  • Mean of criterion
    0.14847
  • SD of predictor
    0.17174
  • SD of criterion
    0.15610
  • Covariance
    0.00531
  • r
    0.19820
  • b (slope, estimate of beta)
    0.18015
  • a (intercept, estimate of alpha)
    0.13100
  • Mean Square Error
    0.02342
  • DF error
    2040.00000
  • t(b)
    9.13334
  • p(b)
    0.00000
  • t(a)
    2.38556
  • p(a)
    0.00857
  • Lowerbound of 95% confidence interval for beta
    0.14147
  • Upperbound of 95% confidence interval for beta
    0.21883
  • Lowerbound of 95% confidence interval for alpha
    0.02328
  • Upperbound of 95% confidence interval for alpha
    0.23843
  • Treynor index (mean / b)
    0.82412
  • Jensen alpha (a)
    0.13085
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13619
  • SD
    0.15656
  • Sharpe ratio (Glass type estimate)
    0.86989
  • Sharpe ratio (Hedges UMVUE)
    0.86957
  • df
    2041.00000
  • t
    2.42852
  • p
    0.00762
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57236
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16701
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57213
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19665
  • Upside Potential Ratio
    8.51353
  • Upside part of mean
    0.96891
  • Downside part of mean
    -0.83273
  • Upside SD
    0.10778
  • Downside SD
    0.11381
  • N nonnegative terms
    1123.00000
  • N negative terms
    919.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2042.00000
  • Mean of predictor
    0.08292
  • Mean of criterion
    0.13619
  • SD of predictor
    0.17252
  • SD of criterion
    0.15656
  • Covariance
    0.00537
  • r
    0.19889
  • b (slope, estimate of beta)
    0.18048
  • a (intercept, estimate of alpha)
    0.12122
  • Mean Square Error
    0.02355
  • DF error
    2040.00000
  • t(b)
    9.16617
  • p(b)
    0.00000
  • t(a)
    2.20422
  • p(a)
    0.01381
  • Lowerbound of 95% confidence interval for beta
    0.14187
  • Upperbound of 95% confidence interval for beta
    0.21910
  • Lowerbound of 95% confidence interval for alpha
    0.01337
  • Upperbound of 95% confidence interval for alpha
    0.22908
  • Treynor index (mean / b)
    0.75458
  • Jensen alpha (a)
    0.12122
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01527
  • Expected Shortfall on VaR
    0.01924
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00674
  • Expected Shortfall on VaR
    0.01385
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2042.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99606
  • Median
    1.00105
  • Quartile 3
    1.00597
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98891
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00319
  • Mean of quarter 4
    1.01180
  • Inter Quartile Range
    0.00991
  • Number outliers low
    68.00000
  • Percentage of outliers low
    0.03330
  • Mean of outliers low
    0.97310
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.02057
  • Mean of outliers high
    1.02591
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22656
  • VaR(95%) (moments method)
    0.01049
  • Expected Shortfall (moments method)
    0.01677
  • Extreme Value Index (regression method)
    0.13574
  • VaR(95%) (regression method)
    0.01020
  • Expected Shortfall (regression method)
    0.01521
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    68.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00529
  • Median
    0.02419
  • Quartile 3
    0.05604
  • Maximum
    0.31664
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.01353
  • Mean of quarter 3
    0.03886
  • Mean of quarter 4
    0.10658
  • Inter Quartile Range
    0.05075
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.04412
  • Mean of outliers high
    0.21374
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.16735
  • VaR(95%) (moments method)
    0.11219
  • Expected Shortfall (moments method)
    0.16151
  • Extreme Value Index (regression method)
    0.38929
  • VaR(95%) (regression method)
    0.12315
  • Expected Shortfall (regression method)
    0.21548
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33268
  • Compounded annual return (geometric extrapolation)
    0.17833
  • Calmar ratio (compounded annual return / max draw down)
    0.56318
  • Compounded annual return / average of 25% largest draw downs
    1.67317
  • Compounded annual return / Expected Shortfall lognormal
    9.26986
  • 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
    -0.15255
  • SD
    0.11920
  • Sharpe ratio (Glass type estimate)
    -1.27972
  • Sharpe ratio (Hedges UMVUE)
    -1.27232
  • df
    130.00000
  • t
    -0.90490
  • p
    0.53956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.05347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.04844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50380
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58941
  • Upside Potential Ratio
    6.72042
  • Upside part of mean
    0.64500
  • Downside part of mean
    -0.79755
  • Upside SD
    0.07056
  • Downside SD
    0.09598
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55954
  • Mean of criterion
    -0.15255
  • SD of predictor
    0.25974
  • SD of criterion
    0.11920
  • Covariance
    0.01212
  • r
    0.39141
  • b (slope, estimate of beta)
    0.17963
  • a (intercept, estimate of alpha)
    -0.25306
  • Mean Square Error
    0.01213
  • DF error
    129.00000
  • t(b)
    4.83094
  • p(b)
    0.25734
  • t(a)
    -1.61066
  • p(a)
    0.58909
  • Lowerbound of 95% confidence interval for beta
    0.10606
  • Upperbound of 95% confidence interval for beta
    0.25320
  • Lowerbound of 95% confidence interval for alpha
    -0.56391
  • Upperbound of 95% confidence interval for alpha
    0.05780
  • Treynor index (mean / b)
    -0.84923
  • Jensen alpha (a)
    -0.25306
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15965
  • SD
    0.11954
  • Sharpe ratio (Glass type estimate)
    -1.33557
  • Sharpe ratio (Hedges UMVUE)
    -1.32785
  • df
    130.00000
  • t
    -0.94439
  • p
    0.54127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.10959
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.10435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44865
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.65126
  • Upside Potential Ratio
    6.64481
  • Upside part of mean
    0.64246
  • Downside part of mean
    -0.80211
  • Upside SD
    0.07021
  • Downside SD
    0.09669
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.52548
  • Mean of criterion
    -0.15965
  • SD of predictor
    0.25964
  • SD of criterion
    0.11954
  • Covariance
    0.01229
  • r
    0.39598
  • b (slope, estimate of beta)
    0.18231
  • a (intercept, estimate of alpha)
    -0.25545
  • Mean Square Error
    0.01214
  • DF error
    129.00000
  • t(b)
    4.89774
  • p(b)
    0.25467
  • t(a)
    -1.62648
  • p(a)
    0.58994
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.10866
  • Upperbound of 95% confidence interval for beta
    0.25596
  • Lowerbound of 95% confidence interval for alpha
    -0.56620
  • Upperbound of 95% confidence interval for alpha
    0.05529
  • Treynor index (mean / b)
    -0.87573
  • Jensen alpha (a)
    -0.25545
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01268
  • Expected Shortfall on VaR
    0.01571
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00695
  • Expected Shortfall on VaR
    0.01327
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97615
  • Quartile 1
    0.99541
  • Median
    1.00029
  • Quartile 3
    1.00391
  • Maximum
    1.01566
  • Mean of quarter 1
    0.98967
  • Mean of quarter 2
    0.99847
  • Mean of quarter 3
    1.00209
  • Mean of quarter 4
    1.00794
  • Inter Quartile Range
    0.00850
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98071
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08732
  • VaR(95%) (moments method)
    0.01026
  • Expected Shortfall (moments method)
    0.01436
  • Extreme Value Index (regression method)
    -0.18148
  • VaR(95%) (regression method)
    0.01088
  • Expected Shortfall (regression method)
    0.01367
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06080
  • Quartile 1
    0.06884
  • Median
    0.07687
  • Quartile 3
    0.08491
  • Maximum
    0.09295
  • Mean of quarter 1
    0.06080
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09295
  • Inter Quartile Range
    0.01608
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -270424000
  • Max Equity Drawdown (num days)
    420
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12750
  • Compounded annual return (geometric extrapolation)
    -0.12344
  • Calmar ratio (compounded annual return / max draw down)
    -1.32797
  • Compounded annual return / average of 25% largest draw downs
    -1.32797
  • Compounded annual return / Expected Shortfall lognormal
    -7.85506

Strategy Description

How is OP II managed? All of my portfolios are geared to be flexible to the markets. At heart I'm a Trend trader and OP II is a combination of OP and our VGP. OP II has less volatility than OP I but more than the VGP. People frequently ask for specifics and expect a rigidly defined strategy. But in my 30 years experience, rigid strategies are almost excessively curve-fitted which leads to inevitable failure. These failures led me to an evolving trend following discipline in combination with my experience with bull and bear markets. In other words, I employ no single methodology but I do factor in Monetary policy along with technical and fundamental analysis.

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.

In my 35 years I've explored, tested and traded hundreds of systems and made just about every mistake that can be made and then some. What we provide to subscribers to C2 is the end result of all the years of education and experience of being a professional investor and we hope it makes a difference in your life.

Brad Pappas

Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$15,000
# Trades
939
# Profitable
415
% Profitable
44.2%
Net Dividends
Correlation S&P500
0.203
Sharpe Ratio
0.58
Sortino Ratio
0.80
Beta
0.21
Alpha
0.03
Leverage
1.08 Average
2.74 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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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.