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Optimized Partners II
(77331265)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 9 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.

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).
23.3%
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.

(31.9%)
Max Drawdown
766
Num Trades
45.4%
Win Trades
1.6 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +2.5%(9.5%)(1.3%)(8.5%)
2013(3.5%)+4.9%+9.3%+5.7%+0.4%+1.3%+9.2%(4.4%)+5.6%+4.5%+18.4%+8.2%+75.4%
2014+1.2%+13.2%+2.4%+5.6%(1.6%)+2.1%(5.5%)+5.2%(3.8%)+7.1%+5.9%+9.5%+47.6%
2015(0.8%)(4.3%)+6.8%(4%)(3%)(1.1%)(3.1%)(1.3%)(1.2%)+4.2%(5.4%)(5.7%)(17.9%)
2016+2.0%+4.2%(2.1%)+5.8%(12.7%)+7.9%(3.2%)+6.3%(3.5%)(5%)+2.5%+6.4%+6.7%
2017+8.9%(4.3%)+7.5%+8.8%+5.1%(4.5%)+11.3%+4.0%+0.3%+6.6%+3.7%(0.5%)+56.3%
2018+11.3%+0.3%(0.4%)(1%)+1.8%+0.8%(3.3%)+15.0%+1.0%(9.6%)(2.1%)+7.7%+20.9%
2019+6.7%(2.8%)(0.3%)+1.1%(3%)                                          +1.3%

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 911 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/14/19 15:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 900 9.92 5/16 12:40 9.15 0.83%
Trade id #123670085
Max drawdown($745)
Time5/16/19 12:20
Quant open900
Worst price9.09
Drawdown as % of equity-0.83%
($695)
Includes Typical Broker Commissions trade costs of $5.00
5/14/19 15:44 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 500 20.61 5/16 12:40 19.59 0.62%
Trade id #123670091
Max drawdown($552)
Time5/16/19 12:19
Quant open500
Worst price19.50
Drawdown as % of equity-0.62%
($517)
Includes Typical Broker Commissions trade costs of $10.00
4/15/19 10:23 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 100 122.89 5/15 13:23 124.66 0.73%
Trade id #123314227
Max drawdown($655)
Time4/18/19 10:49
Quant open100
Worst price116.33
Drawdown as % of equity-0.73%
$175
Includes Typical Broker Commissions trade costs of $2.00
5/10/19 13:41 TECL DIREXION DAILY TECHNOLOGY BULL LONG 55 147.90 5/14 15:59 139.05 1.04%
Trade id #123625159
Max drawdown($906)
Time5/13/19 15:39
Quant open55
Worst price131.42
Drawdown as % of equity-1.04%
($488)
Includes Typical Broker Commissions trade costs of $1.10
5/7/19 14:18 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,200 9.38 5/10 15:01 9.43 0.26%
Trade id #123562735
Max drawdown($232)
Time5/8/19 4:20
Quant open900
Worst price8.99
Drawdown as % of equity-0.26%
$58
Includes Typical Broker Commissions trade costs of $10.00
5/7/19 14:18 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 400 20.00 5/10 14:52 20.11 0.21%
Trade id #123562747
Max drawdown($191)
Time5/8/19 11:09
Quant open400
Worst price19.52
Drawdown as % of equity-0.21%
$36
Includes Typical Broker Commissions trade costs of $8.00
4/26/19 12:57 COLD AMERICOLD REALTY TRUST LONG 230 32.23 5/9 10:27 30.33 0.51%
Trade id #123445818
Max drawdown($455)
Time5/9/19 10:06
Quant open230
Worst price30.25
Drawdown as % of equity-0.51%
($441)
Includes Typical Broker Commissions trade costs of $4.60
4/29/19 10:49 ADBE ADOBE INC LONG 31 288.24 5/9 10:26 270.83 0.6%
Trade id #123463733
Max drawdown($540)
Time5/9/19 10:26
Quant open0
Worst price270.83
Drawdown as % of equity-0.60%
($541)
Includes Typical Broker Commissions trade costs of $0.62
4/23/19 11:28 AZO AUTOZONE LONG 9 1055.24 5/8 10:56 1007.68 0.55%
Trade id #123401975
Max drawdown($488)
Time5/8/19 9:41
Quant open9
Worst price1001.01
Drawdown as % of equity-0.55%
($428)
Includes Typical Broker Commissions trade costs of $0.18
5/2/19 10:58 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 31 225.39 5/7 14:18 214.39 0.38%
Trade id #123506238
Max drawdown($341)
Time5/7/19 11:04
Quant open31
Worst price214.37
Drawdown as % of equity-0.38%
($342)
Includes Typical Broker Commissions trade costs of $0.62
4/16/19 12:05 CSCO CISCO SYSTEMS LONG 125 57.09 4/29 10:49 56.09 0.24%
Trade id #123330033
Max drawdown($221)
Time4/24/19 18:03
Quant open125
Worst price55.32
Drawdown as % of equity-0.24%
($128)
Includes Typical Broker Commissions trade costs of $2.50
4/1/19 9:41 ANET ARISTA NETWORKS INC LONG 30 322.07 4/26 10:49 320.16 0.27%
Trade id #123150892
Max drawdown($241)
Time4/8/19 9:31
Quant open20
Worst price306.46
Drawdown as % of equity-0.27%
($58)
Includes Typical Broker Commissions trade costs of $0.60
4/1/19 13:56 AMD ADVANCED MICRO DEVICES INC. C LONG 275 26.35 4/26 10:49 27.52 0.08%
Trade id #123156439
Max drawdown($71)
Time4/2/19 9:55
Quant open275
Worst price26.09
Drawdown as % of equity-0.08%
$317
Includes Typical Broker Commissions trade costs of $5.50
4/23/19 11:56 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 750 7.38 4/26 9:38 6.48 0.93%
Trade id #123402839
Max drawdown($845)
Time4/26/19 8:14
Quant open750
Worst price6.25
Drawdown as % of equity-0.93%
($682)
Includes Typical Broker Commissions trade costs of $10.00
4/1/19 9:44 XLNX XILINX LONG 55 130.25 4/26 9:38 112.59 1.07%
Trade id #123150976
Max drawdown($972)
Time4/26/19 9:38
Quant open0
Worst price112.59
Drawdown as % of equity-1.07%
($973)
Includes Typical Broker Commissions trade costs of $1.10
4/15/19 10:12 ACIA ACACIA COMMUNICATIONS INC. COMMON STOCK LONG 110 61.80 4/22 10:39 57.90 0.63%
Trade id #123314011
Max drawdown($574)
Time4/18/19 10:01
Quant open110
Worst price56.58
Drawdown as % of equity-0.63%
($431)
Includes Typical Broker Commissions trade costs of $2.20
4/1/19 9:54 TECL DIREXION DAILY TECHNOLOGY BULL LONG 60 145.06 4/22 10:39 159.64 0.01%
Trade id #123151210
Max drawdown($12)
Time4/1/19 10:12
Quant open28
Worst price140.50
Drawdown as % of equity-0.01%
$874
Includes Typical Broker Commissions trade costs of $1.20
4/1/19 9:42 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 30 113.85 4/16 12:05 114.78 0.24%
Trade id #123150915
Max drawdown($213)
Time4/4/19 12:45
Quant open30
Worst price106.75
Drawdown as % of equity-0.24%
$27
Includes Typical Broker Commissions trade costs of $0.60
4/11/19 10:50 EHTH EHEALTH LONG 85 69.27 4/15 10:23 64.40 0.53%
Trade id #123282326
Max drawdown($480)
Time4/15/19 10:18
Quant open85
Worst price63.62
Drawdown as % of equity-0.53%
($416)
Includes Typical Broker Commissions trade costs of $1.70
4/4/19 15:04 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 75 79.79 4/15 10:11 83.69 0.01%
Trade id #123206859
Max drawdown($8)
Time4/4/19 15:07
Quant open75
Worst price79.68
Drawdown as % of equity-0.01%
$291
Includes Typical Broker Commissions trade costs of $1.50
3/22/19 11:20 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,000 10.19 4/1 9:43 9.91 0.44%
Trade id #123033404
Max drawdown($392)
Time4/1/19 4:01
Quant open1,000
Worst price9.80
Drawdown as % of equity-0.44%
($288)
Includes Typical Broker Commissions trade costs of $8.00
2/28/19 13:00 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 65 107.38 3/25 12:31 109.77 0.56%
Trade id #122736129
Max drawdown($494)
Time3/4/19 11:51
Quant open65
Worst price99.77
Drawdown as % of equity-0.56%
$154
Includes Typical Broker Commissions trade costs of $1.30
3/11/19 12:26 WDAY WORKDAY LONG 33 186.01 3/25 12:31 190.74 0.07%
Trade id #122866101
Max drawdown($60)
Time3/15/19 9:38
Quant open33
Worst price184.17
Drawdown as % of equity-0.07%
$155
Includes Typical Broker Commissions trade costs of $0.66
3/18/19 10:30 XLNX XILINX LONG 60 126.12 3/25 12:31 123.03 0.22%
Trade id #122951999
Max drawdown($196)
Time3/25/19 11:50
Quant open60
Worst price122.85
Drawdown as % of equity-0.22%
($187)
Includes Typical Broker Commissions trade costs of $1.20
2/20/19 10:18 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 120 66.23 3/25 12:23 86.87 0.3%
Trade id #122601298
Max drawdown($267)
Time2/21/19 9:33
Quant open120
Worst price64.00
Drawdown as % of equity-0.30%
$2,475
Includes Typical Broker Commissions trade costs of $2.40
3/12/19 11:42 ZS ZSCALER INC. COMMON STOCK LONG 100 64.25 3/22 13:38 66.20 0.09%
Trade id #122879969
Max drawdown($82)
Time3/12/19 15:56
Quant open100
Worst price63.43
Drawdown as % of equity-0.09%
$193
Includes Typical Broker Commissions trade costs of $2.00
3/18/19 10:30 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 39 113.81 3/22 13:38 113.54 0.08%
Trade id #122952043
Max drawdown($72)
Time3/18/19 15:56
Quant open39
Worst price111.96
Drawdown as % of equity-0.08%
($11)
Includes Typical Broker Commissions trade costs of $0.78
3/20/19 10:10 CGC CANOPY GROWTH CORP LONG 150 47.80 3/22 11:14 45.09 0.45%
Trade id #122989293
Max drawdown($419)
Time3/22/19 9:56
Quant open150
Worst price45.00
Drawdown as % of equity-0.45%
($409)
Includes Typical Broker Commissions trade costs of $3.00
3/12/19 11:42 EHTH EHEALTH LONG 120 58.54 3/19 11:22 56.19 0.68%
Trade id #122879976
Max drawdown($605)
Time3/13/19 14:10
Quant open120
Worst price53.49
Drawdown as % of equity-0.68%
($284)
Includes Typical Broker Commissions trade costs of $2.40
2/19/19 11:10 CIEN CIENA CORPORTION LONG 120 42.11 3/18 10:30 39.68 0.61%
Trade id #122586256
Max drawdown($530)
Time3/8/19 9:31
Quant open120
Worst price37.69
Drawdown as % of equity-0.61%
($293)
Includes Typical Broker Commissions trade costs of $2.40

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2402.84
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    766
  • # Profitable
    348
  • % Profitable
    45.40%
  • Avg trade duration
    35.2 days
  • Max peak-to-valley drawdown
    31.93%
  • drawdown period
    May 24, 2019 - May 25, 2019
  • Annual Return (Compounded)
    23.3%
  • Avg win
    $510.06
  • Avg loss
    $267.61
  • Model Account Values (Raw)
  • Cash
    $46,881
  • Margin Used
    $0
  • Buying Power
    $52,409
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    0.92
  • Sortino Ratio
    1.88
  • Calmar Ratio
    1.837
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.15370
  • Return Statistics
  • Ann Return (w trading costs)
    23.3%
  • Ann Return (Compnd, No Fees)
    25.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    35.00%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    4.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    832
  • Popularity (Last 6 weeks)
    944
  • C2 Score
    97.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $268
  • Avg Win
    $511
  • # Winners
    348
  • # Losers
    418
  • % Winners
    45.4%
  • Frequency
  • Avg Position Time (mins)
    50690.80
  • Avg Position Time (hrs)
    844.85
  • Avg Trade Length
    35.2 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.08
  • Daily leverage (max)
    2.04
  • Unknown
  • Alpha
    0.07
  • Beta
    0.29
  • Treynor Index
    0.26
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22262
  • SD
    0.17932
  • Sharpe ratio (Glass type estimate)
    1.24143
  • Sharpe ratio (Hedges UMVUE)
    1.22914
  • df
    76.00000
  • t
    3.14469
  • p
    0.00119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43918
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43111
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02717
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61248
  • Upside Potential Ratio
    4.41497
  • Upside part of mean
    0.37621
  • Downside part of mean
    -0.15360
  • Upside SD
    0.16914
  • Downside SD
    0.08521
  • N nonnegative terms
    43.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.08862
  • Mean of criterion
    0.22262
  • SD of predictor
    0.10171
  • SD of criterion
    0.17932
  • Covariance
    0.00755
  • r
    0.41381
  • b (slope, estimate of beta)
    0.72956
  • a (intercept, estimate of alpha)
    0.15796
  • Mean Square Error
    0.02701
  • DF error
    75.00000
  • t(b)
    3.93660
  • p(b)
    0.00009
  • t(a)
    2.36048
  • p(a)
    0.01043
  • Lowerbound of 95% confidence interval for beta
    0.36037
  • Upperbound of 95% confidence interval for beta
    1.09875
  • Lowerbound of 95% confidence interval for alpha
    0.02465
  • Upperbound of 95% confidence interval for alpha
    0.29128
  • Treynor index (mean / b)
    0.30514
  • Jensen alpha (a)
    0.15796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20491
  • SD
    0.17511
  • Sharpe ratio (Glass type estimate)
    1.17018
  • Sharpe ratio (Hedges UMVUE)
    1.15859
  • df
    76.00000
  • t
    2.96419
  • p
    0.00203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36323
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95395
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.33986
  • Upside Potential Ratio
    4.13262
  • Upside part of mean
    0.36191
  • Downside part of mean
    -0.15700
  • Upside SD
    0.16154
  • Downside SD
    0.08757
  • N nonnegative terms
    43.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.08304
  • Mean of criterion
    0.20491
  • SD of predictor
    0.10139
  • SD of criterion
    0.17511
  • Covariance
    0.00731
  • r
    0.41158
  • b (slope, estimate of beta)
    0.71081
  • a (intercept, estimate of alpha)
    0.14588
  • Mean Square Error
    0.02581
  • DF error
    75.00000
  • t(b)
    3.91099
  • p(b)
    0.00010
  • t(a)
    2.23780
  • p(a)
    0.01410
  • Lowerbound of 95% confidence interval for beta
    0.34875
  • Upperbound of 95% confidence interval for beta
    1.07287
  • Lowerbound of 95% confidence interval for alpha
    0.01602
  • Upperbound of 95% confidence interval for alpha
    0.27575
  • Treynor index (mean / b)
    0.28828
  • Jensen alpha (a)
    0.14588
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06394
  • Expected Shortfall on VaR
    0.08334
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02745
  • Expected Shortfall on VaR
    0.05284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98616
  • Median
    1.01739
  • Quartile 3
    1.05389
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95882
  • Mean of quarter 2
    0.99842
  • Mean of quarter 3
    1.04110
  • Mean of quarter 4
    1.08844
  • Inter Quartile Range
    0.06774
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01299
  • Mean of outliers high
    1.16460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.73552
  • VaR(95%) (moments method)
    0.03682
  • Expected Shortfall (moments method)
    0.04117
  • Extreme Value Index (regression method)
    -0.49674
  • VaR(95%) (regression method)
    0.04099
  • Expected Shortfall (regression method)
    0.04818
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01523
  • Median
    0.03874
  • Quartile 3
    0.06489
  • Maximum
    0.16208
  • Mean of quarter 1
    0.00870
  • Mean of quarter 2
    0.02880
  • Mean of quarter 3
    0.05209
  • Mean of quarter 4
    0.10461
  • Inter Quartile Range
    0.04967
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.16208
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.49762
  • VaR(95%) (moments method)
    0.11911
  • Expected Shortfall (moments method)
    0.13552
  • Extreme Value Index (regression method)
    0.34639
  • VaR(95%) (regression method)
    0.14327
  • Expected Shortfall (regression method)
    0.23406
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53836
  • Compounded annual return (geometric extrapolation)
    0.26215
  • Calmar ratio (compounded annual return / max draw down)
    1.61737
  • Compounded annual return / average of 25% largest draw downs
    2.50600
  • Compounded annual return / Expected Shortfall lognormal
    3.14552
  • 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
    0.27635
  • SD
    0.22329
  • Sharpe ratio (Glass type estimate)
    1.23759
  • Sharpe ratio (Hedges UMVUE)
    1.23704
  • df
    1692.00000
  • t
    3.14597
  • p
    0.46187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46527
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46489
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00919
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50313
  • Upside Potential Ratio
    9.96782
  • Upside part of mean
    1.10045
  • Downside part of mean
    -0.82411
  • Upside SD
    0.19477
  • Downside SD
    0.11040
  • N nonnegative terms
    948.00000
  • N negative terms
    745.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1693.00000
  • Mean of predictor
    0.08783
  • Mean of criterion
    0.27635
  • SD of predictor
    0.12986
  • SD of criterion
    0.22329
  • Covariance
    0.00432
  • r
    0.14884
  • b (slope, estimate of beta)
    0.25593
  • a (intercept, estimate of alpha)
    0.25400
  • Mean Square Error
    0.04878
  • DF error
    1691.00000
  • t(b)
    6.18934
  • p(b)
    0.40560
  • t(a)
    2.91921
  • p(a)
    0.45496
  • Lowerbound of 95% confidence interval for beta
    0.17483
  • Upperbound of 95% confidence interval for beta
    0.33703
  • Lowerbound of 95% confidence interval for alpha
    0.08330
  • Upperbound of 95% confidence interval for alpha
    0.42444
  • Treynor index (mean / b)
    1.07978
  • Jensen alpha (a)
    0.25387
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25380
  • SD
    0.20661
  • Sharpe ratio (Glass type estimate)
    1.22838
  • Sharpe ratio (Hedges UMVUE)
    1.22783
  • df
    1692.00000
  • t
    3.12255
  • p
    0.46215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00035
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45570
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99997
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27081
  • Upside Potential Ratio
    9.69892
  • Upside part of mean
    1.08401
  • Downside part of mean
    -0.83021
  • Upside SD
    0.17441
  • Downside SD
    0.11177
  • N nonnegative terms
    948.00000
  • N negative terms
    745.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1693.00000
  • Mean of predictor
    0.07937
  • Mean of criterion
    0.25380
  • SD of predictor
    0.13005
  • SD of criterion
    0.20661
  • Covariance
    0.00433
  • r
    0.16115
  • b (slope, estimate of beta)
    0.25602
  • a (intercept, estimate of alpha)
    0.23348
  • Mean Square Error
    0.04161
  • DF error
    1691.00000
  • t(b)
    6.71437
  • p(b)
    0.39786
  • t(a)
    2.90766
  • p(a)
    0.45514
  • Lowerbound of 95% confidence interval for beta
    0.18123
  • Upperbound of 95% confidence interval for beta
    0.33081
  • Lowerbound of 95% confidence interval for alpha
    0.07599
  • Upperbound of 95% confidence interval for alpha
    0.39098
  • Treynor index (mean / b)
    0.99132
  • Jensen alpha (a)
    0.23348
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01983
  • Expected Shortfall on VaR
    0.02503
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00663
  • Expected Shortfall on VaR
    0.01359
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1693.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99601
  • Median
    1.00129
  • Quartile 3
    1.00635
  • Maximum
    1.40100
  • Mean of quarter 1
    0.98896
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00350
  • Mean of quarter 4
    1.01338
  • Inter Quartile Range
    0.01035
  • Number outliers low
    50.00000
  • Percentage of outliers low
    0.02953
  • Mean of outliers low
    0.97297
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.02067
  • Mean of outliers high
    1.03750
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18773
  • VaR(95%) (moments method)
    0.01036
  • Expected Shortfall (moments method)
    0.01600
  • Extreme Value Index (regression method)
    0.07364
  • VaR(95%) (regression method)
    0.01025
  • Expected Shortfall (regression method)
    0.01469
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    63.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00513
  • Median
    0.02784
  • Quartile 3
    0.05608
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00235
  • Mean of quarter 2
    0.01448
  • Mean of quarter 3
    0.03992
  • Mean of quarter 4
    0.09345
  • Inter Quartile Range
    0.05095
  • 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
    0.03175
  • Mean of outliers high
    0.16229
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.28927
  • VaR(95%) (moments method)
    0.10041
  • Expected Shortfall (moments method)
    0.11781
  • Extreme Value Index (regression method)
    -0.01532
  • VaR(95%) (regression method)
    0.10982
  • Expected Shortfall (regression method)
    0.14226
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.80070
  • Compounded annual return (geometric extrapolation)
    0.32539
  • Calmar ratio (compounded annual return / max draw down)
    1.83669
  • Compounded annual return / average of 25% largest draw downs
    3.48190
  • Compounded annual return / Expected Shortfall lognormal
    12.99930
  • 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
    0.96328
  • SD
    0.57968
  • Sharpe ratio (Glass type estimate)
    1.66175
  • Sharpe ratio (Hedges UMVUE)
    1.65214
  • df
    130.00000
  • t
    1.17503
  • p
    0.44874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43776
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12693
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43122
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.34010
  • Upside Potential Ratio
    19.17380
  • Upside part of mean
    1.62870
  • Downside part of mean
    -0.66542
  • Upside SD
    0.57427
  • Downside SD
    0.08494
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12109
  • Mean of criterion
    0.96328
  • SD of predictor
    0.16925
  • SD of criterion
    0.57968
  • Covariance
    0.00494
  • r
    0.05036
  • b (slope, estimate of beta)
    0.17248
  • a (intercept, estimate of alpha)
    0.94239
  • Mean Square Error
    0.33777
  • DF error
    129.00000
  • t(b)
    0.57270
  • p(b)
    0.46795
  • t(a)
    1.14546
  • p(a)
    0.43623
  • Lowerbound of 95% confidence interval for beta
    -0.42339
  • Upperbound of 95% confidence interval for beta
    0.76834
  • Lowerbound of 95% confidence interval for alpha
    -0.68538
  • Upperbound of 95% confidence interval for alpha
    2.57017
  • Treynor index (mean / b)
    5.58494
  • Jensen alpha (a)
    0.94239
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82785
  • SD
    0.49199
  • Sharpe ratio (Glass type estimate)
    1.68265
  • Sharpe ratio (Hedges UMVUE)
    1.67293
  • df
    130.00000
  • t
    1.18982
  • p
    0.44810
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45885
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45218
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.67125
  • Upside Potential Ratio
    17.48670
  • Upside part of mean
    1.49684
  • Downside part of mean
    -0.66899
  • Upside SD
    0.48528
  • Downside SD
    0.08560
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10687
  • Mean of criterion
    0.82785
  • SD of predictor
    0.16900
  • SD of criterion
    0.49199
  • Covariance
    0.00491
  • r
    0.05899
  • b (slope, estimate of beta)
    0.17173
  • a (intercept, estimate of alpha)
    0.80949
  • Mean Square Error
    0.24308
  • DF error
    129.00000
  • t(b)
    0.67120
  • p(b)
    0.46247
  • t(a)
    1.16008
  • p(a)
    0.43542
  • Lowerbound of 95% confidence interval for beta
    -0.33450
  • Upperbound of 95% confidence interval for beta
    0.67797
  • Lowerbound of 95% confidence interval for alpha
    -0.57110
  • Upperbound of 95% confidence interval for alpha
    2.19008
  • Treynor index (mean / b)
    4.82049
  • Jensen alpha (a)
    0.80949
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04576
  • Expected Shortfall on VaR
    0.05774
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00559
  • Expected Shortfall on VaR
    0.01110
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97266
  • Quartile 1
    0.99716
  • Median
    1.00037
  • Quartile 3
    1.00529
  • Maximum
    1.40100
  • Mean of quarter 1
    0.99128
  • Mean of quarter 2
    0.99886
  • Mean of quarter 3
    1.00276
  • Mean of quarter 4
    1.02220
  • Inter Quartile Range
    0.00813
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97842
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.14715
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05638
  • VaR(95%) (moments method)
    0.00745
  • Expected Shortfall (moments method)
    0.01067
  • Extreme Value Index (regression method)
    0.19426
  • VaR(95%) (regression method)
    0.00691
  • Expected Shortfall (regression method)
    0.01055
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00151
  • Quartile 1
    0.00406
  • Median
    0.01396
  • Quartile 3
    0.01478
  • Maximum
    0.08865
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.01014
  • Mean of quarter 3
    0.01418
  • Mean of quarter 4
    0.05201
  • Inter Quartile Range
    0.01071
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.08865
  • 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)
    1.06799
  • Compounded annual return (geometric extrapolation)
    1.35315
  • Calmar ratio (compounded annual return / max draw down)
    15.26350
  • Compounded annual return / average of 25% largest draw downs
    26.01680
  • Compounded annual return / Expected Shortfall lognormal
    23.43540

Strategy Description

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
766
# Profitable
348
% Profitable
45.4%
Net Dividends
Correlation S&P500
0.154
Sharpe Ratio
0.92
Sortino Ratio
1.88
Beta
0.29
Alpha
0.07
Leverage
1.08 Average
2.04 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 nominal 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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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.