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Optimized Partners II
(77331265)

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).
24.1%
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.

(27.1%)
Max Drawdown
697
Num Trades
45.5%
Win Trades
1.7 : 1
Profit Factor
60.0%
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%)+4.2%+16.9%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

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

Trading Record

This strategy has placed 738 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 13:00 TECL DIREXION DAILY TECHNOLOGY BULL LONG 65 102.32 12/11 13:53 99.65 0.21%
Trade id #121447713
Max drawdown($174)
Time12/11/18 13:53
Quant open0
Worst price99.65
Drawdown as % of equity-0.21%
($175)
Includes Typical Broker Commissions trade costs of $1.30
12/4/18 10:41 SDS PROSHARES ULTRASHORT S&P500 LONG 150 35.85 12/7 13:05 38.80 n/a $440
Includes Typical Broker Commissions trade costs of $3.00
11/29/18 15:45 QID PROSHARES ULTRASHORT QQQ LONG 310 41.25 12/6 15:41 42.27 0.96%
Trade id #121258151
Max drawdown($778)
Time12/3/18 4:55
Quant open310
Worst price38.74
Drawdown as % of equity-0.96%
$311
Includes Typical Broker Commissions trade costs of $6.20
11/21/18 10:28 PLNT PLANET FITNESS INC LONG 70 52.28 12/6 14:57 55.50 0.03%
Trade id #121098389
Max drawdown($26)
Time11/21/18 10:46
Quant open70
Worst price51.90
Drawdown as % of equity-0.03%
$225
Includes Typical Broker Commissions trade costs of $1.40
12/4/18 11:12 TZA DIREXION DAILY SMALL CAP BEAR LONG 300 11.03 12/6 14:57 12.31 0%
Trade id #121333840
Max drawdown($3)
Time12/4/18 11:14
Quant open300
Worst price11.02
Drawdown as % of equity-0.00%
$378
Includes Typical Broker Commissions trade costs of $6.00
11/7/18 12:23 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 45 117.74 12/6 9:30 119.48 0.1%
Trade id #120800691
Max drawdown($78)
Time11/15/18 10:43
Quant open45
Worst price116.00
Drawdown as % of equity-0.10%
$78
Includes Typical Broker Commissions trade costs of $0.90
11/7/18 11:47 VRSK VERISK ANALYTICS LONG 40 121.24 12/4 10:35 124.18 0.11%
Trade id #120799310
Max drawdown($87)
Time11/23/18 9:31
Quant open40
Worst price119.06
Drawdown as % of equity-0.11%
$117
Includes Typical Broker Commissions trade costs of $0.80
11/26/18 14:27 SQ SQUARE INC LONG 55 66.54 12/4 10:34 69.60 0.1%
Trade id #121171995
Max drawdown($77)
Time11/27/18 13:17
Quant open55
Worst price65.12
Drawdown as % of equity-0.10%
$167
Includes Typical Broker Commissions trade costs of $1.10
11/26/18 11:01 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 110 65.15 12/4 10:34 68.94 0.08%
Trade id #121166909
Max drawdown($63)
Time11/26/18 12:37
Quant open110
Worst price64.58
Drawdown as % of equity-0.08%
$415
Includes Typical Broker Commissions trade costs of $2.20
11/9/18 12:42 AAP ADVANCE AUTO PARTS LONG 30 173.75 12/3 11:58 174.86 0.32%
Trade id #120856713
Max drawdown($260)
Time11/12/18 16:21
Quant open30
Worst price165.06
Drawdown as % of equity-0.32%
$32
Includes Typical Broker Commissions trade costs of $0.60
11/15/18 15:11 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 100 25.37 11/21 10:25 26.65 0.08%
Trade id #120986649
Max drawdown($66)
Time11/16/18 12:49
Quant open100
Worst price24.70
Drawdown as % of equity-0.08%
$127
Includes Typical Broker Commissions trade costs of $2.00
11/14/18 10:25 QID PROSHARES ULTRASHORT QQQ LONG 200 42.73 11/21 10:25 44.84 0.29%
Trade id #120932540
Max drawdown($234)
Time11/15/18 14:33
Quant open200
Worst price41.56
Drawdown as % of equity-0.29%
$418
Includes Typical Broker Commissions trade costs of $4.00
11/7/18 10:41 UNH UNITEDHEALTH GROUP LONG 20 273.45 11/15 14:03 264.97 0.31%
Trade id #120796074
Max drawdown($251)
Time11/15/18 10:38
Quant open20
Worst price260.85
Drawdown as % of equity-0.31%
($169)
Includes Typical Broker Commissions trade costs of $0.40
11/7/18 11:47 MA MASTERCARD LONG 27 205.40 11/15 14:03 199.83 0.37%
Trade id #120799330
Max drawdown($298)
Time11/15/18 10:38
Quant open27
Worst price194.33
Drawdown as % of equity-0.37%
($151)
Includes Typical Broker Commissions trade costs of $0.54
11/7/18 13:17 SPSC SPS COMMERCE LONG 38 95.99 11/14 10:08 91.09 0.28%
Trade id #120802538
Max drawdown($228)
Time11/12/18 11:21
Quant open38
Worst price89.99
Drawdown as % of equity-0.28%
($187)
Includes Typical Broker Commissions trade costs of $0.76
7/26/18 10:13 NSP INSPERITY LONG 55 101.35 11/14 10:08 104.01 0.4%
Trade id #119136011
Max drawdown($318)
Time7/31/18 13:20
Quant open43
Worst price94.10
Drawdown as % of equity-0.40%
$145
Includes Typical Broker Commissions trade costs of $1.10
11/7/18 11:46 HQY HEALTHEQUITY INC. COMMON STOC LONG 50 98.47 11/14 10:08 87.28 0.7%
Trade id #120799175
Max drawdown($562)
Time11/14/18 10:05
Quant open50
Worst price87.21
Drawdown as % of equity-0.70%
($560)
Includes Typical Broker Commissions trade costs of $1.00
11/7/18 11:47 ADBE ADOBE INC LONG 20 251.91 11/9 12:42 243.41 0.21%
Trade id #120799320
Max drawdown($175)
Time11/9/18 12:16
Quant open20
Worst price243.13
Drawdown as % of equity-0.21%
($170)
Includes Typical Broker Commissions trade costs of $0.40
10/11/18 13:22 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 210 24.65 11/7 10:44 24.36 0.32%
Trade id #120305454
Max drawdown($266)
Time10/17/18 13:07
Quant open210
Worst price23.38
Drawdown as % of equity-0.32%
($66)
Includes Typical Broker Commissions trade costs of $4.20
10/5/18 11:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 600 9.63 11/7 10:41 11.19 0.04%
Trade id #120207283
Max drawdown($34)
Time10/9/18 10:34
Quant open500
Worst price9.32
Drawdown as % of equity-0.04%
$924
Includes Typical Broker Commissions trade costs of $12.00
10/5/18 11:30 QID PROSHARES ULTRASHORT QQQ LONG 225 38.61 11/7 10:41 39.52 0.07%
Trade id #120207313
Max drawdown($60)
Time10/9/18 10:43
Quant open160
Worst price37.16
Drawdown as % of equity-0.07%
$201
Includes Typical Broker Commissions trade costs of $4.50
10/26/18 10:52 TLT ISHARES 20+ YEAR TREASURY BOND LONG 70 115.23 11/2 12:59 112.51 0.25%
Trade id #120563472
Max drawdown($202)
Time11/2/18 12:01
Quant open70
Worst price112.33
Drawdown as % of equity-0.25%
($191)
Includes Typical Broker Commissions trade costs of $1.40
4/20/17 11:06 ADBE ADOBE INC LONG 57 146.24 11/2/18 12:59 205.31 n/a $3,366
Includes Typical Broker Commissions trade costs of $1.14
11/17/17 11:14 MA MASTERCARD LONG 44 153.11 10/30/18 11:17 181.31 n/a $1,240
Includes Typical Broker Commissions trade costs of $0.88
8/1/18 13:09 CNC CENTENE LONG 33 133.00 10/23 9:59 129.88 0.2%
Trade id #119231137
Max drawdown($164)
Time10/23/18 9:32
Quant open33
Worst price128.01
Drawdown as % of equity-0.20%
($104)
Includes Typical Broker Commissions trade costs of $0.66
2/23/18 11:27 INTU INTUIT LONG 35 175.08 10/22 10:38 210.77 n/a $1,248
Includes Typical Broker Commissions trade costs of $0.70
5/10/18 11:39 PLNT PLANET FITNESS INC LONG 90 39.54 10/22 10:38 47.80 n/a $742
Includes Typical Broker Commissions trade costs of $1.80
10/10/18 14:35 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 120 41.00 10/17 9:33 39.87 0.22%
Trade id #120282446
Max drawdown($181)
Time10/11/18 15:11
Quant open120
Worst price39.49
Drawdown as % of equity-0.22%
($137)
Includes Typical Broker Commissions trade costs of $2.40
10/5/18 11:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 450 30.06 10/17 9:33 32.41 0.33%
Trade id #120207302
Max drawdown($279)
Time10/5/18 16:14
Quant open300
Worst price27.94
Drawdown as % of equity-0.33%
$1,047
Includes Typical Broker Commissions trade costs of $9.00
8/21/18 10:37 LHCG LHC GROUP LONG 45 96.71 10/12 11:48 92.22 0.25%
Trade id #119531164
Max drawdown($205)
Time10/12/18 11:47
Quant open45
Worst price92.13
Drawdown as % of equity-0.25%
($203)
Includes Typical Broker Commissions trade costs of $0.90

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2245.45
  • Age
    75 months ago
  • What it trades
    Stocks
  • # Trades
    697
  • # Profitable
    317
  • % Profitable
    45.50%
  • Avg trade duration
    36.8 days
  • Max peak-to-valley drawdown
    27.12%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    24.1%
  • Avg win
    $496.39
  • Avg loss
    $251.36
  • Model Account Values (Raw)
  • Cash
    $72,276
  • Margin Used
    $0
  • Buying Power
    $72,997
  • Ratios
  • W:L ratio
    1.71:1
  • Sharpe Ratio
    1.396
  • Sortino Ratio
    2.004
  • Calmar Ratio
    1.521
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.21000
  • Return Statistics
  • Ann Return (w trading costs)
    24.1%
  • Ann Return (Compnd, No Fees)
    26.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.50%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    723
  • Popularity (Last 6 weeks)
    923
  • C2 Score
    98.2
  • 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
    $251
  • Avg Win
    $496
  • # Winners
    317
  • # Losers
    380
  • % Winners
    45.5%
  • Frequency
  • Avg Position Time (mins)
    52987.90
  • Avg Position Time (hrs)
    883.13
  • Avg Trade Length
    36.8 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
    0.22501
  • SD
    0.18022
  • Sharpe ratio (Glass type estimate)
    1.24854
  • Sharpe ratio (Hedges UMVUE)
    1.23530
  • df
    71.00000
  • t
    3.05828
  • p
    0.00157
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07040
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40976
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06085
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.67570
  • Upside Potential Ratio
    4.47108
  • Upside part of mean
    0.37600
  • Downside part of mean
    -0.15098
  • Upside SD
    0.17081
  • Downside SD
    0.08409
  • N nonnegative terms
    40.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.08508
  • Mean of criterion
    0.22501
  • SD of predictor
    0.09666
  • SD of criterion
    0.18022
  • Covariance
    0.00765
  • r
    0.43915
  • b (slope, estimate of beta)
    0.81877
  • a (intercept, estimate of alpha)
    0.15535
  • Mean Square Error
    0.02659
  • DF error
    70.00000
  • t(b)
    4.08963
  • p(b)
    0.00006
  • t(a)
    2.26073
  • p(a)
    0.01344
  • Lowerbound of 95% confidence interval for beta
    0.41947
  • Upperbound of 95% confidence interval for beta
    1.21806
  • Lowerbound of 95% confidence interval for alpha
    0.01830
  • Upperbound of 95% confidence interval for alpha
    0.29240
  • Treynor index (mean / b)
    0.27482
  • Jensen alpha (a)
    0.15535
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20715
  • SD
    0.17576
  • Sharpe ratio (Glass type estimate)
    1.17859
  • Sharpe ratio (Hedges UMVUE)
    1.16610
  • df
    71.00000
  • t
    2.88695
  • p
    0.00258
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98891
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39696
  • Upside Potential Ratio
    4.18233
  • Upside part of mean
    0.36144
  • Downside part of mean
    -0.15429
  • Upside SD
    0.16300
  • Downside SD
    0.08642
  • N nonnegative terms
    40.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.08002
  • Mean of criterion
    0.20715
  • SD of predictor
    0.09646
  • SD of criterion
    0.17576
  • Covariance
    0.00743
  • r
    0.43845
  • b (slope, estimate of beta)
    0.79888
  • a (intercept, estimate of alpha)
    0.14322
  • Mean Square Error
    0.02531
  • DF error
    70.00000
  • t(b)
    4.08162
  • p(b)
    0.00006
  • t(a)
    2.14369
  • p(a)
    0.01777
  • Lowerbound of 95% confidence interval for beta
    0.40852
  • Upperbound of 95% confidence interval for beta
    1.18924
  • Lowerbound of 95% confidence interval for alpha
    0.00997
  • Upperbound of 95% confidence interval for alpha
    0.27646
  • Treynor index (mean / b)
    0.25930
  • Jensen alpha (a)
    0.14322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06405
  • Expected Shortfall on VaR
    0.08352
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02708
  • Expected Shortfall on VaR
    0.05220
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98662
  • Median
    1.01681
  • Quartile 3
    1.05490
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95842
  • Mean of quarter 2
    0.99737
  • Mean of quarter 3
    1.03881
  • Mean of quarter 4
    1.08973
  • Inter Quartile Range
    0.06828
  • 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
    0.01389
  • Mean of outliers high
    1.16460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.25853
  • VaR(95%) (moments method)
    0.03614
  • Expected Shortfall (moments method)
    0.03819
  • Extreme Value Index (regression method)
    -0.43262
  • VaR(95%) (regression method)
    0.04190
  • Expected Shortfall (regression method)
    0.05042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01453
  • Median
    0.03472
  • Quartile 3
    0.06671
  • Maximum
    0.16208
  • Mean of quarter 1
    0.00870
  • Mean of quarter 2
    0.02549
  • Mean of quarter 3
    0.04509
  • Mean of quarter 4
    0.10461
  • Inter Quartile Range
    0.05218
  • 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
    0.07143
  • 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)
    0.12078
  • Expected Shortfall (moments method)
    0.13663
  • Extreme Value Index (regression method)
    0.34639
  • VaR(95%) (regression method)
    0.14714
  • Expected Shortfall (regression method)
    0.23998
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51621
  • Compounded annual return (geometric extrapolation)
    0.26498
  • Calmar ratio (compounded annual return / max draw down)
    1.63481
  • Compounded annual return / average of 25% largest draw downs
    2.53301
  • Compounded annual return / Expected Shortfall lognormal
    3.17253
  • 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
    0.22358
  • SD
    0.16011
  • Sharpe ratio (Glass type estimate)
    1.39642
  • Sharpe ratio (Hedges UMVUE)
    1.39576
  • df
    1581.00000
  • t
    3.43138
  • p
    0.44533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19532
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59666
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19486
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00362
  • Upside Potential Ratio
    9.43143
  • Upside part of mean
    1.05242
  • Downside part of mean
    -0.82885
  • Upside SD
    0.11557
  • Downside SD
    0.11159
  • N nonnegative terms
    890.00000
  • N negative terms
    692.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1582.00000
  • Mean of predictor
    0.07779
  • Mean of criterion
    0.22358
  • SD of predictor
    0.12754
  • SD of criterion
    0.16011
  • Covariance
    0.00415
  • r
    0.20318
  • b (slope, estimate of beta)
    0.25506
  • a (intercept, estimate of alpha)
    0.20400
  • Mean Square Error
    0.02459
  • DF error
    1580.00000
  • t(b)
    8.24843
  • p(b)
    0.39841
  • t(a)
    3.19020
  • p(a)
    0.46000
  • Lowerbound of 95% confidence interval for beta
    0.19441
  • Upperbound of 95% confidence interval for beta
    0.31571
  • Lowerbound of 95% confidence interval for alpha
    0.07847
  • Upperbound of 95% confidence interval for alpha
    0.32900
  • Treynor index (mean / b)
    0.87657
  • Jensen alpha (a)
    0.20374
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21062
  • SD
    0.16042
  • Sharpe ratio (Glass type estimate)
    1.31293
  • Sharpe ratio (Hedges UMVUE)
    1.31231
  • df
    1581.00000
  • t
    3.22622
  • p
    0.44857
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51380
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11166
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11124
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86407
  • Upside Potential Ratio
    9.25477
  • Upside part of mean
    1.04571
  • Downside part of mean
    -0.83509
  • Upside SD
    0.11455
  • Downside SD
    0.11299
  • N nonnegative terms
    890.00000
  • N negative terms
    692.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1582.00000
  • Mean of predictor
    0.06962
  • Mean of criterion
    0.21062
  • SD of predictor
    0.12781
  • SD of criterion
    0.16042
  • Covariance
    0.00417
  • r
    0.20333
  • b (slope, estimate of beta)
    0.25521
  • a (intercept, estimate of alpha)
    0.19286
  • Mean Square Error
    0.02469
  • DF error
    1580.00000
  • t(b)
    8.25451
  • p(b)
    0.39834
  • t(a)
    3.01442
  • p(a)
    0.46219
  • Lowerbound of 95% confidence interval for beta
    0.19457
  • Upperbound of 95% confidence interval for beta
    0.31586
  • Lowerbound of 95% confidence interval for alpha
    0.06737
  • Upperbound of 95% confidence interval for alpha
    0.31835
  • Treynor index (mean / b)
    0.82529
  • Jensen alpha (a)
    0.19286
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01538
  • Expected Shortfall on VaR
    0.01944
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00664
  • Expected Shortfall on VaR
    0.01365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1582.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99596
  • Median
    1.00130
  • Quartile 3
    1.00638
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98887
  • Mean of quarter 2
    0.99887
  • Mean of quarter 3
    1.00355
  • Mean of quarter 4
    1.01256
  • Inter Quartile Range
    0.01042
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.03034
  • Mean of outliers low
    0.97284
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.02086
  • Mean of outliers high
    1.02695
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21626
  • VaR(95%) (moments method)
    0.01059
  • Expected Shortfall (moments method)
    0.01674
  • Extreme Value Index (regression method)
    0.07721
  • VaR(95%) (regression method)
    0.01027
  • Expected Shortfall (regression method)
    0.01472
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    61.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00479
  • Median
    0.02784
  • Quartile 3
    0.05600
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00235
  • Mean of quarter 2
    0.01442
  • Mean of quarter 3
    0.03992
  • Mean of quarter 4
    0.09377
  • Inter Quartile Range
    0.05121
  • 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
    0.03279
  • Mean of outliers high
    0.16229
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01950
  • VaR(95%) (moments method)
    0.09710
  • Expected Shortfall (moments method)
    0.12202
  • Extreme Value Index (regression method)
    0.28217
  • VaR(95%) (regression method)
    0.10168
  • Expected Shortfall (regression method)
    0.15012
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53359
  • Compounded annual return (geometric extrapolation)
    0.26938
  • Calmar ratio (compounded annual return / max draw down)
    1.52055
  • Compounded annual return / average of 25% largest draw downs
    2.87275
  • Compounded annual return / Expected Shortfall lognormal
    13.85620
  • 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
    -0.07553
  • SD
    0.13659
  • Sharpe ratio (Glass type estimate)
    -0.55292
  • Sharpe ratio (Hedges UMVUE)
    -0.54973
  • df
    130.00000
  • t
    -0.39097
  • p
    0.51714
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.32458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.32234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22289
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67349
  • Upside Potential Ratio
    6.36840
  • Upside part of mean
    0.71415
  • Downside part of mean
    -0.78968
  • Upside SD
    0.07721
  • Downside SD
    0.11214
  • 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
    -0.18747
  • Mean of criterion
    -0.07553
  • SD of predictor
    0.15311
  • SD of criterion
    0.13659
  • Covariance
    0.00286
  • r
    0.13671
  • b (slope, estimate of beta)
    0.12197
  • a (intercept, estimate of alpha)
    -0.05266
  • Mean Square Error
    0.01845
  • DF error
    129.00000
  • t(b)
    1.56748
  • p(b)
    0.41324
  • t(a)
    -0.27335
  • p(a)
    0.51532
  • Lowerbound of 95% confidence interval for beta
    -0.03198
  • Upperbound of 95% confidence interval for beta
    0.27592
  • Lowerbound of 95% confidence interval for alpha
    -0.43383
  • Upperbound of 95% confidence interval for alpha
    0.32851
  • Treynor index (mean / b)
    -0.61923
  • Jensen alpha (a)
    -0.05266
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08486
  • SD
    0.13737
  • Sharpe ratio (Glass type estimate)
    -0.61773
  • Sharpe ratio (Hedges UMVUE)
    -0.61416
  • df
    130.00000
  • t
    -0.43680
  • p
    0.51914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38947
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15618
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.38697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15865
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74837
  • Upside Potential Ratio
    6.27142
  • Upside part of mean
    0.71112
  • Downside part of mean
    -0.79597
  • Upside SD
    0.07679
  • Downside SD
    0.11339
  • 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
    -0.19922
  • Mean of criterion
    -0.08486
  • SD of predictor
    0.15382
  • SD of criterion
    0.13737
  • Covariance
    0.00288
  • r
    0.13642
  • b (slope, estimate of beta)
    0.12183
  • a (intercept, estimate of alpha)
    -0.06059
  • Mean Square Error
    0.01866
  • DF error
    129.00000
  • t(b)
    1.56400
  • p(b)
    0.41342
  • t(a)
    -0.31259
  • p(a)
    0.51751
  • Lowerbound of 95% confidence interval for beta
    -0.03229
  • Upperbound of 95% confidence interval for beta
    0.27595
  • Lowerbound of 95% confidence interval for alpha
    -0.44407
  • Upperbound of 95% confidence interval for alpha
    0.32289
  • Treynor index (mean / b)
    -0.69653
  • Jensen alpha (a)
    -0.06059
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01418
  • Expected Shortfall on VaR
    0.01767
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00656
  • Expected Shortfall on VaR
    0.01365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96824
  • Quartile 1
    0.99746
  • Median
    1.00094
  • Quartile 3
    1.00519
  • Maximum
    1.01832
  • Mean of quarter 1
    0.98906
  • Mean of quarter 2
    0.99927
  • Mean of quarter 3
    1.00229
  • Mean of quarter 4
    1.00872
  • Inter Quartile Range
    0.00773
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97701
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01832
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13182
  • VaR(95%) (moments method)
    0.00815
  • Expected Shortfall (moments method)
    0.01264
  • Extreme Value Index (regression method)
    -0.26146
  • VaR(95%) (regression method)
    0.01043
  • Expected Shortfall (regression method)
    0.01355
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.10411
  • Quartile 1
    0.10714
  • Median
    0.11017
  • Quartile 3
    0.11321
  • Maximum
    0.11624
  • Mean of quarter 1
    0.10411
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11624
  • Inter Quartile Range
    0.00606
  • 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)
    -0.05615
  • Compounded annual return (geometric extrapolation)
    -0.05536
  • Calmar ratio (compounded annual return / max draw down)
    -0.47626
  • Compounded annual return / average of 25% largest draw downs
    -0.47626
  • Compounded annual return / Expected Shortfall lognormal
    -3.13352

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
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Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$15,000
# Trades
697
# Profitable
317
% Profitable
45.5%
Net Dividends
Correlation S&P500
0.210
Sharpe Ratio
1.396

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.

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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.