Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

Optimized Partners I
(77330504)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 7 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).
26.7%
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
558
Num Trades
42.5%
Win Trades
1.5 : 1
Profit Factor
56.0%
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%)+5.2%(6.2%)

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 1,027 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/18 12:59 TECL DIREXION DAILY TECHNOLOGY BULL LONG 50 102.17 12/11 13:53 99.65 0.25%
Trade id #121447623
Max drawdown($126)
Time12/11/18 13:53
Quant open0
Worst price99.65
Drawdown as % of equity-0.25%
($127)
Includes Typical Broker Commissions trade costs of $1.00
12/4/18 10:40 SDS PROSHARES ULTRASHORT S&P500 LONG 100 35.86 12/7 13:04 38.76 0.01%
Trade id #121332804
Max drawdown($2)
Time12/4/18 10:42
Quant open100
Worst price35.83
Drawdown as % of equity-0.01%
$288
Includes Typical Broker Commissions trade costs of $2.00
11/29/18 15:46 QID PROSHARES ULTRASHORT QQQ LONG 300 41.26 12/6 15:41 42.34 1.55%
Trade id #121258173
Max drawdown($756)
Time12/3/18 4:55
Quant open300
Worst price38.74
Drawdown as % of equity-1.55%
$318
Includes Typical Broker Commissions trade costs of $6.00
12/4/18 11:13 TZA DIREXION DAILY SMALL CAP BEAR LONG 275 11.03 12/6 14:57 12.30 0%
Trade id #121333872
Max drawdown($2)
Time12/4/18 11:25
Quant open275
Worst price11.02
Drawdown as % of equity-0.00%
$345
Includes Typical Broker Commissions trade costs of $5.50
11/7/18 11:40 EEFT EURONET WORLDWIDE LONG 35 112.66 12/4 13:38 116.46 0.42%
Trade id #120798641
Max drawdown($203)
Time11/20/18 10:16
Quant open35
Worst price106.86
Drawdown as % of equity-0.42%
$132
Includes Typical Broker Commissions trade costs of $0.70
11/21/18 10:29 PLNT PLANET FITNESS INC LONG 60 52.28 12/4 13:29 55.47 0.05%
Trade id #121098447
Max drawdown($22)
Time11/21/18 10:46
Quant open60
Worst price51.90
Drawdown as % of equity-0.05%
$191
Includes Typical Broker Commissions trade costs of $1.20
11/7/18 11:40 VRSK VERISK ANALYTICS LONG 30 121.23 12/4 10:37 124.34 0.14%
Trade id #120798678
Max drawdown($65)
Time11/23/18 9:31
Quant open30
Worst price119.06
Drawdown as % of equity-0.14%
$92
Includes Typical Broker Commissions trade costs of $0.60
11/26/18 15:45 SQ SQUARE INC LONG 45 66.59 12/4 10:37 69.76 0.14%
Trade id #121173596
Max drawdown($66)
Time11/27/18 13:17
Quant open45
Worst price65.12
Drawdown as % of equity-0.14%
$142
Includes Typical Broker Commissions trade costs of $0.90
11/28/18 12:29 OMCL OMNICELL LONG 45 76.12 12/4 10:36 76.34 0.06%
Trade id #121221692
Max drawdown($29)
Time11/28/18 13:13
Quant open45
Worst price75.46
Drawdown as % of equity-0.06%
$9
Includes Typical Broker Commissions trade costs of $0.90
11/26/18 11:00 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 100 65.14 12/4 10:36 69.03 0.12%
Trade id #121166864
Max drawdown($56)
Time11/26/18 12:37
Quant open100
Worst price64.58
Drawdown as % of equity-0.12%
$388
Includes Typical Broker Commissions trade costs of $2.00
11/9/18 12:41 AAP ADVANCE AUTO PARTS LONG 25 173.81 12/3 11:58 174.86 0.46%
Trade id #120856692
Max drawdown($218)
Time11/12/18 16:21
Quant open25
Worst price165.06
Drawdown as % of equity-0.46%
$26
Includes Typical Broker Commissions trade costs of $0.50
11/26/18 14:27 SQ SQUARE INC LONG 45 66.49 11/26 15:42 66.52 0.03%
Trade id #121171971
Max drawdown($13)
Time11/26/18 15:30
Quant open45
Worst price66.19
Drawdown as % of equity-0.03%
$1
Includes Typical Broker Commissions trade costs of $0.90
11/14/18 10:26 QID PROSHARES ULTRASHORT QQQ LONG 120 42.62 11/21 10:25 44.86 0.27%
Trade id #120932610
Max drawdown($126)
Time11/15/18 14:33
Quant open120
Worst price41.56
Drawdown as % of equity-0.27%
$267
Includes Typical Broker Commissions trade costs of $2.40
11/15/18 15:10 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 100 25.39 11/21 10:24 26.66 0.14%
Trade id #120986621
Max drawdown($68)
Time11/16/18 12:49
Quant open100
Worst price24.70
Drawdown as % of equity-0.14%
$125
Includes Typical Broker Commissions trade costs of $2.00
11/7/18 11:41 UNH UNITEDHEALTH GROUP LONG 20 275.74 11/15 15:10 264.71 0.63%
Trade id #120798706
Max drawdown($297)
Time11/15/18 10:38
Quant open20
Worst price260.85
Drawdown as % of equity-0.63%
($221)
Includes Typical Broker Commissions trade costs of $0.40
11/7/18 11:41 MA MASTERCARD LONG 25 205.60 11/14 10:37 200.12 0.43%
Trade id #120798690
Max drawdown($205)
Time11/14/18 7:18
Quant open25
Worst price197.38
Drawdown as % of equity-0.43%
($138)
Includes Typical Broker Commissions trade costs of $0.50
11/7/18 14:16 SPSC SPS COMMERCE LONG 43 96.23 11/14 10:07 91.02 0.55%
Trade id #120804259
Max drawdown($268)
Time11/12/18 11:21
Quant open43
Worst price89.99
Drawdown as % of equity-0.55%
($225)
Includes Typical Broker Commissions trade costs of $0.86
11/7/18 11:41 NSP INSPERITY LONG 35 116.04 11/14 10:07 103.91 0.93%
Trade id #120798724
Max drawdown($448)
Time11/14/18 10:03
Quant open35
Worst price103.21
Drawdown as % of equity-0.93%
($425)
Includes Typical Broker Commissions trade costs of $0.70
11/7/18 13:20 HQY HEALTHEQUITY INC. COMMON STOC LONG 40 100.19 11/14 10:07 87.46 1.08%
Trade id #120802628
Max drawdown($519)
Time11/14/18 10:05
Quant open40
Worst price87.21
Drawdown as % of equity-1.08%
($510)
Includes Typical Broker Commissions trade costs of $0.80
11/7/18 11:42 ADBE ADOBE INC LONG 17 251.95 11/9 12:41 243.68 0.31%
Trade id #120798754
Max drawdown($149)
Time11/9/18 12:16
Quant open17
Worst price243.13
Drawdown as % of equity-0.31%
($141)
Includes Typical Broker Commissions trade costs of $0.34
11/2/18 11:18 QID PROSHARES ULTRASHORT QQQ LONG 75 41.23 11/7 10:39 39.16 0.31%
Trade id #120697875
Max drawdown($155)
Time11/7/18 10:39
Quant open75
Worst price39.15
Drawdown as % of equity-0.31%
($157)
Includes Typical Broker Commissions trade costs of $1.50
11/2/18 11:19 VXX IPATH S&P 500 VIX ST FUTURES E LONG 100 37.11 11/7 10:39 33.27 0.78%
Trade id #120697910
Max drawdown($388)
Time11/7/18 9:39
Quant open100
Worst price33.23
Drawdown as % of equity-0.78%
($386)
Includes Typical Broker Commissions trade costs of $2.00
10/26/18 10:53 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 250 16.46 10/30 11:16 16.11 0.26%
Trade id #120563520
Max drawdown($127)
Time10/30/18 10:00
Quant open250
Worst price15.95
Drawdown as % of equity-0.26%
($92)
Includes Typical Broker Commissions trade costs of $5.00
10/5/18 11:31 QID PROSHARES ULTRASHORT QQQ LONG 100 37.49 10/23 9:59 41.38 0.06%
Trade id #120207349
Max drawdown($32)
Time10/9/18 10:43
Quant open100
Worst price37.16
Drawdown as % of equity-0.06%
$387
Includes Typical Broker Commissions trade costs of $2.00
8/1/18 10:39 CNC CENTENE LONG 35 132.84 10/23 9:59 129.86 0.34%
Trade id #119226796
Max drawdown($169)
Time10/23/18 9:32
Quant open35
Worst price128.01
Drawdown as % of equity-0.34%
($105)
Includes Typical Broker Commissions trade costs of $0.70
10/5/18 11:31 TZA DIREXION DAILY SMALL CAP BEAR LONG 290 9.41 10/22 11:02 10.89 0.05%
Trade id #120207337
Max drawdown($26)
Time10/9/18 10:34
Quant open290
Worst price9.32
Drawdown as % of equity-0.05%
$423
Includes Typical Broker Commissions trade costs of $5.80
10/10/18 14:36 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 100 40.99 10/22 10:35 40.45 0.3%
Trade id #120282461
Max drawdown($149)
Time10/11/18 15:11
Quant open100
Worst price39.49
Drawdown as % of equity-0.30%
($55)
Includes Typical Broker Commissions trade costs of $2.00
10/5/18 11:31 VXX IPATH S&P 500 VIX ST FUTURES E LONG 225 29.99 10/17 9:31 32.28 0.26%
Trade id #120207357
Max drawdown($135)
Time10/5/18 16:14
Quant open150
Worst price27.94
Drawdown as % of equity-0.26%
$512
Includes Typical Broker Commissions trade costs of $4.50
8/9/18 10:45 NSP INSPERITY LONG 35 110.68 10/11 10:27 108.43 0.25%
Trade id #119359669
Max drawdown($127)
Time10/11/18 9:31
Quant open35
Worst price107.03
Drawdown as % of equity-0.25%
($80)
Includes Typical Broker Commissions trade costs of $0.70
8/2/18 10:20 SQ SQUARE INC LONG 75 74.76 10/11 10:26 80.28 0.57%
Trade id #119246582
Max drawdown($288)
Time10/10/18 16:42
Quant open45
Worst price68.35
Drawdown as % of equity-0.57%
$413
Includes Typical Broker Commissions trade costs of $1.50

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2245.44
  • Age
    75 months ago
  • What it trades
    Stocks
  • # Trades
    558
  • # Profitable
    237
  • % Profitable
    42.50%
  • Avg trade duration
    28.3 days
  • Max peak-to-valley drawdown
    31.75%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    26.7%
  • Avg win
    $507.64
  • Avg loss
    $252.91
  • Model Account Values (Raw)
  • Cash
    $43,856
  • Margin Used
    $0
  • Buying Power
    $44,259
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    1.354
  • Sortino Ratio
    2.052
  • Calmar Ratio
    1.212
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18100
  • Return Statistics
  • Ann Return (w trading costs)
    26.7%
  • Ann Return (Compnd, No Fees)
    30.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.50%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    744
  • Popularity (Last 6 weeks)
    879
  • C2 Score
    90.2
  • 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
    $253
  • Avg Win
    $508
  • # Winners
    237
  • # Losers
    321
  • % Winners
    42.5%
  • Frequency
  • Avg Position Time (mins)
    40729.90
  • Avg Position Time (hrs)
    678.83
  • Avg Trade Length
    28.3 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26307
  • SD
    0.23409
  • Sharpe ratio (Glass type estimate)
    1.12379
  • Sharpe ratio (Hedges UMVUE)
    1.11187
  • df
    71.00000
  • t
    2.75271
  • p
    0.00375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29109
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93266
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86878
  • Upside Potential Ratio
    4.75042
  • Upside part of mean
    0.43561
  • Downside part of mean
    -0.17255
  • Upside SD
    0.22670
  • Downside SD
    0.09170
  • N nonnegative terms
    39.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.08152
  • Mean of criterion
    0.26307
  • SD of predictor
    0.09739
  • SD of criterion
    0.23409
  • Covariance
    0.00458
  • r
    0.20109
  • b (slope, estimate of beta)
    0.48336
  • a (intercept, estimate of alpha)
    0.22366
  • Mean Square Error
    0.05333
  • DF error
    70.00000
  • t(b)
    1.71756
  • p(b)
    0.04515
  • t(a)
    2.30503
  • p(a)
    0.01207
  • Lowerbound of 95% confidence interval for beta
    -0.07792
  • Upperbound of 95% confidence interval for beta
    1.04465
  • Lowerbound of 95% confidence interval for alpha
    0.03014
  • Upperbound of 95% confidence interval for alpha
    0.41718
  • Treynor index (mean / b)
    0.54424
  • Jensen alpha (a)
    0.22366
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23506
  • SD
    0.22079
  • Sharpe ratio (Glass type estimate)
    1.06461
  • Sharpe ratio (Hedges UMVUE)
    1.05332
  • df
    71.00000
  • t
    2.60774
  • p
    0.00555
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87201
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48664
  • Upside Potential Ratio
    4.35398
  • Upside part of mean
    0.41157
  • Downside part of mean
    -0.17652
  • Upside SD
    0.20914
  • Downside SD
    0.09453
  • N nonnegative terms
    39.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.07639
  • Mean of criterion
    0.23506
  • SD of predictor
    0.09767
  • SD of criterion
    0.22079
  • Covariance
    0.00430
  • r
    0.19945
  • b (slope, estimate of beta)
    0.45090
  • a (intercept, estimate of alpha)
    0.20061
  • Mean Square Error
    0.04748
  • DF error
    70.00000
  • t(b)
    1.70296
  • p(b)
    0.04651
  • t(a)
    2.19904
  • p(a)
    0.01559
  • Lowerbound of 95% confidence interval for beta
    -0.07718
  • Upperbound of 95% confidence interval for beta
    0.97898
  • Lowerbound of 95% confidence interval for alpha
    0.01867
  • Upperbound of 95% confidence interval for alpha
    0.38255
  • Treynor index (mean / b)
    0.52130
  • Jensen alpha (a)
    0.20061
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08172
  • Expected Shortfall on VaR
    0.10560
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03172
  • Expected Shortfall on VaR
    0.05911
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98108
  • Median
    1.01481
  • Quartile 3
    1.05197
  • Maximum
    1.28235
  • Mean of quarter 1
    0.95454
  • Mean of quarter 2
    0.99381
  • Mean of quarter 3
    1.03628
  • Mean of quarter 4
    1.11238
  • Inter Quartile Range
    0.07089
  • 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
    0.02778
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.45908
  • VaR(95%) (moments method)
    0.04627
  • Expected Shortfall (moments method)
    0.05364
  • Extreme Value Index (regression method)
    -0.02296
  • VaR(95%) (regression method)
    0.04490
  • Expected Shortfall (regression method)
    0.05871
  • 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)
    0.64070
  • Compounded annual return (geometric extrapolation)
    0.30078
  • Calmar ratio (compounded annual return / max draw down)
    1.40122
  • Compounded annual return / average of 25% largest draw downs
    1.78207
  • Compounded annual return / Expected Shortfall lognormal
    2.84819
  • 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
    0.26062
  • SD
    0.19240
  • Sharpe ratio (Glass type estimate)
    1.35459
  • Sharpe ratio (Hedges UMVUE)
    1.35395
  • df
    1591.00000
  • t
    3.33910
  • p
    0.44695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55745
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15045
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05215
  • Upside Potential Ratio
    9.45265
  • Upside part of mean
    1.20049
  • Downside part of mean
    -0.93987
  • Upside SD
    0.14534
  • Downside SD
    0.12700
  • N nonnegative terms
    866.00000
  • N negative terms
    726.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1592.00000
  • Mean of predictor
    0.07711
  • Mean of criterion
    0.26062
  • SD of predictor
    0.12707
  • SD of criterion
    0.19240
  • Covariance
    0.00443
  • r
    0.18120
  • b (slope, estimate of beta)
    0.27437
  • a (intercept, estimate of alpha)
    0.23900
  • Mean Square Error
    0.03583
  • DF error
    1590.00000
  • t(b)
    7.34701
  • p(b)
    0.40940
  • t(a)
    3.11649
  • p(a)
    0.46104
  • Lowerbound of 95% confidence interval for beta
    0.20112
  • Upperbound of 95% confidence interval for beta
    0.34762
  • Lowerbound of 95% confidence interval for alpha
    0.08875
  • Upperbound of 95% confidence interval for alpha
    0.39018
  • Treynor index (mean / b)
    0.94991
  • Jensen alpha (a)
    0.23947
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24203
  • SD
    0.19206
  • Sharpe ratio (Glass type estimate)
    1.26016
  • Sharpe ratio (Hedges UMVUE)
    1.25957
  • df
    1591.00000
  • t
    3.10633
  • p
    0.45062
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05588
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87807
  • Upside Potential Ratio
    9.23417
  • Upside part of mean
    1.19002
  • Downside part of mean
    -0.94799
  • Upside SD
    0.14311
  • Downside SD
    0.12887
  • N nonnegative terms
    866.00000
  • N negative terms
    726.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1592.00000
  • Mean of predictor
    0.06901
  • Mean of criterion
    0.24203
  • SD of predictor
    0.12732
  • SD of criterion
    0.19206
  • Covariance
    0.00445
  • r
    0.18213
  • b (slope, estimate of beta)
    0.27475
  • a (intercept, estimate of alpha)
    0.22307
  • Mean Square Error
    0.03569
  • DF error
    1590.00000
  • t(b)
    7.38589
  • p(b)
    0.40894
  • t(a)
    2.90914
  • p(a)
    0.46362
  • Lowerbound of 95% confidence interval for beta
    0.20179
  • Upperbound of 95% confidence interval for beta
    0.34772
  • Lowerbound of 95% confidence interval for alpha
    0.07267
  • Upperbound of 95% confidence interval for alpha
    0.37347
  • Treynor index (mean / b)
    0.88090
  • Jensen alpha (a)
    0.22307
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01842
  • Expected Shortfall on VaR
    0.02327
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00774
  • Expected Shortfall on VaR
    0.01583
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1592.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99554
  • Median
    1.00094
  • Quartile 3
    1.00675
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98734
  • Mean of quarter 2
    0.99859
  • Mean of quarter 3
    1.00360
  • Mean of quarter 4
    1.01488
  • Inter Quartile Range
    0.01121
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.03015
  • Mean of outliers low
    0.96840
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.03015
  • Mean of outliers high
    1.03428
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15942
  • VaR(95%) (moments method)
    0.01165
  • Expected Shortfall (moments method)
    0.01762
  • Extreme Value Index (regression method)
    0.11520
  • VaR(95%) (regression method)
    0.01161
  • Expected Shortfall (regression method)
    0.01706
  • 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)
    0.68402
  • Compounded annual return (geometric extrapolation)
    0.30988
  • Calmar ratio (compounded annual return / max draw down)
    1.21158
  • Compounded annual return / average of 25% largest draw downs
    2.74516
  • Compounded annual return / Expected Shortfall lognormal
    13.31850
  • 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
    -0.31196
  • SD
    0.14459
  • Sharpe ratio (Glass type estimate)
    -2.15758
  • Sharpe ratio (Hedges UMVUE)
    -2.14510
  • df
    130.00000
  • t
    -1.52564
  • p
    0.56631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.93764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.92915
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63894
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.46748
  • Upside Potential Ratio
    5.00000
  • Upside part of mean
    0.63214
  • Downside part of mean
    -0.94411
  • Upside SD
    0.07165
  • Downside SD
    0.12643
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    -0.31196
  • SD of predictor
    0.15311
  • SD of criterion
    0.14459
  • Covariance
    0.00218
  • r
    0.09851
  • b (slope, estimate of beta)
    0.09303
  • a (intercept, estimate of alpha)
    -0.29452
  • Mean Square Error
    0.02086
  • DF error
    129.00000
  • t(b)
    1.12430
  • p(b)
    0.43739
  • t(a)
    -1.43767
  • p(a)
    0.57974
  • Lowerbound of 95% confidence interval for beta
    -0.07068
  • Upperbound of 95% confidence interval for beta
    0.25673
  • Lowerbound of 95% confidence interval for alpha
    -0.69984
  • Upperbound of 95% confidence interval for alpha
    0.11080
  • Treynor index (mean / b)
    -3.35349
  • Jensen alpha (a)
    -0.29452
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.32260
  • SD
    0.14566
  • Sharpe ratio (Glass type estimate)
    -2.21475
  • Sharpe ratio (Hedges UMVUE)
    -2.20194
  • df
    130.00000
  • t
    -1.56606
  • p
    0.56804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.99535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57423
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.98664
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58276
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.52115
  • Upside Potential Ratio
    4.91988
  • Upside part of mean
    0.62953
  • Downside part of mean
    -0.95213
  • Upside SD
    0.07127
  • Downside SD
    0.12796
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    -0.32260
  • SD of predictor
    0.15382
  • SD of criterion
    0.14566
  • Covariance
    0.00221
  • r
    0.09874
  • b (slope, estimate of beta)
    0.09350
  • a (intercept, estimate of alpha)
    -0.30397
  • Mean Square Error
    0.02117
  • DF error
    129.00000
  • t(b)
    1.12699
  • p(b)
    0.43724
  • t(a)
    -1.47242
  • p(a)
    0.58162
  • Lowerbound of 95% confidence interval for beta
    -0.07065
  • Upperbound of 95% confidence interval for beta
    0.25766
  • Lowerbound of 95% confidence interval for alpha
    -0.71242
  • Upperbound of 95% confidence interval for alpha
    0.10448
  • Treynor index (mean / b)
    -3.45011
  • Jensen alpha (a)
    -0.30397
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01591
  • Expected Shortfall on VaR
    0.01959
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00838
  • Expected Shortfall on VaR
    0.01680
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96240
  • Quartile 1
    0.99659
  • Median
    1.00004
  • Quartile 3
    1.00387
  • Maximum
    1.01745
  • Mean of quarter 1
    0.98734
  • Mean of quarter 2
    0.99857
  • Mean of quarter 3
    1.00189
  • Mean of quarter 4
    1.00796
  • Inter Quartile Range
    0.00728
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97696
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01647
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15716
  • VaR(95%) (moments method)
    0.01046
  • Expected Shortfall (moments method)
    0.01632
  • Extreme Value Index (regression method)
    -0.02716
  • VaR(95%) (regression method)
    0.01636
  • Expected Shortfall (regression method)
    0.02396
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00266
  • Quartile 1
    0.05154
  • Median
    0.10043
  • Quartile 3
    0.14931
  • Maximum
    0.19819
  • Mean of quarter 1
    0.00266
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.19819
  • Inter Quartile Range
    0.09777
  • 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)
    -0.27401
  • Compounded annual return (geometric extrapolation)
    -0.25524
  • Calmar ratio (compounded annual return / max draw down)
    -1.28782
  • Compounded annual return / average of 25% largest draw downs
    -1.28782
  • Compounded annual return / Expected Shortfall lognormal
    -13.02680

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
558
# Profitable
237
% Profitable
42.5%
Net Dividends
Correlation S&P500
0.181
Sharpe Ratio
1.354

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.