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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

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.

36.3%
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.

31.8%
Max Drawdown
437
Num Trades
46.5%
Win Trades
1.8 : 1
Profit Factor
61.5%
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%+4.3%                                                            +14.4%

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 723 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/5/18 12:01 SQ SQUARE INC LONG 100 40.09 2/14 12:28 42.51 0.41%
Trade id #115721181
Max drawdown($232)
Time2/9/18 12:51
Quant open70
Worst price36.76
Drawdown as % of equity-0.41%
$241
Includes Typical Broker Commissions trade costs of $2.00
2/7/18 10:25 FAS DIREXION DAILY FINANCIAL BULL LONG 85 69.70 2/12 12:18 63.37 1.34%
Trade id #116369337
Max drawdown($781)
Time2/8/18 15:59
Quant open85
Worst price60.50
Drawdown as % of equity-1.34%
($540)
Includes Typical Broker Commissions trade costs of $1.70
2/7/18 12:52 YY YY LONG 32 124.28 2/12 12:13 115.74 0.85%
Trade id #116373303
Max drawdown($487)
Time2/9/18 12:46
Quant open32
Worst price109.06
Drawdown as % of equity-0.85%
($274)
Includes Typical Broker Commissions trade costs of $0.64
2/7/18 11:07 ODFL OLD DOMINION FREIGHT LNS LONG 35 141.80 2/12 10:25 129.96 0.81%
Trade id #116370583
Max drawdown($466)
Time2/9/18 12:10
Quant open35
Worst price128.48
Drawdown as % of equity-0.81%
($415)
Includes Typical Broker Commissions trade costs of $0.70
2/7/18 10:26 ZIV VELOCITYSHARES DAILY INVERSE V LONG 60 70.24 2/9 9:40 64.60 0.8%
Trade id #116369362
Max drawdown($464)
Time2/8/18 16:00
Quant open60
Worst price62.50
Drawdown as % of equity-0.80%
($339)
Includes Typical Broker Commissions trade costs of $1.20
12/5/17 11:40 DXC DXC TECHNOLOGY CO LONG 40 93.67 2/6/18 14:16 93.51 0.03%
Trade id #115202053
Max drawdown($17)
Time2/6/18 14:10
Quant open40
Worst price93.23
Drawdown as % of equity-0.03%
($8)
Includes Typical Broker Commissions trade costs of $0.80
1/25/18 10:12 VXX IPATH S&P 500 VIX ST FUTURES E LONG 350 28.01 2/6 9:30 41.54 0.13%
Trade id #116095167
Max drawdown($71)
Time1/26/18 7:03
Quant open200
Worst price27.47
Drawdown as % of equity-0.13%
$4,729
Includes Typical Broker Commissions trade costs of $7.00
1/2/18 11:36 YY YY LONG 35 119.88 1/30 10:10 127.34 0.14%
Trade id #115646325
Max drawdown($72)
Time1/3/18 11:49
Quant open35
Worst price117.81
Drawdown as % of equity-0.14%
$260
Includes Typical Broker Commissions trade costs of $0.70
1/2/18 10:56 WUBA 58.COM INC LONG 52 74.50 1/30 10:10 78.63 0.01%
Trade id #115645009
Max drawdown($3)
Time1/2/18 11:01
Quant open52
Worst price74.43
Drawdown as % of equity-0.01%
$214
Includes Typical Broker Commissions trade costs of $1.04
12/13/17 11:01 PYPL PAYPAL HOLDINGS CORP LONG 55 74.67 1/29/18 9:39 84.55 0.13%
Trade id #115332737
Max drawdown($68)
Time1/2/18 9:37
Quant open55
Worst price73.43
Drawdown as % of equity-0.13%
$543
Includes Typical Broker Commissions trade costs of $1.10
1/9/18 11:16 IBKR INTERACTIVE BROKERS GROUP LONG 66 62.22 1/29 9:32 64.30 0.38%
Trade id #115774103
Max drawdown($204)
Time1/16/18 16:46
Quant open66
Worst price59.12
Drawdown as % of equity-0.38%
$136
Includes Typical Broker Commissions trade costs of $1.32
1/4/18 11:47 MA MASTERCARD LONG 26 157.01 1/29 9:32 169.87 0.07%
Trade id #115696858
Max drawdown($39)
Time1/4/18 12:54
Quant open26
Worst price155.48
Drawdown as % of equity-0.07%
$333
Includes Typical Broker Commissions trade costs of $0.52
1/4/18 11:51 FAS DIREXION DAILY FINANCIAL BULL LONG 69 70.83 1/29 9:32 81.66 0.07%
Trade id #115696991
Max drawdown($37)
Time1/5/18 9:40
Quant open55
Worst price69.80
Drawdown as % of equity-0.07%
$746
Includes Typical Broker Commissions trade costs of $1.38
12/14/17 12:01 BLD TOPBUILD CORP LONG 60 68.00 1/25/18 10:12 75.94 n/a $476
Includes Typical Broker Commissions trade costs of $1.20
12/27/17 12:39 APTI APPTIO INC. CLASS A COMMON STOCK LONG 155 23.77 1/9/18 11:15 23.56 0.23%
Trade id #115544689
Max drawdown($119)
Time12/29/17 18:15
Quant open155
Worst price23.00
Drawdown as % of equity-0.23%
($36)
Includes Typical Broker Commissions trade costs of $3.10
12/8/17 11:39 AQUA EVOQUA WATER TECHNOLOGIES CORP LONG 140 23.72 1/5/18 12:00 23.62 0.25%
Trade id #115260810
Max drawdown($131)
Time12/19/17 15:31
Quant open140
Worst price22.78
Drawdown as % of equity-0.25%
($17)
Includes Typical Broker Commissions trade costs of $2.80
12/6/17 11:12 FSLR FIRST SOLAR INC LONG 65 64.75 1/4/18 11:45 66.48 0.22%
Trade id #115221763
Max drawdown($114)
Time12/6/17 15:53
Quant open65
Worst price62.98
Drawdown as % of equity-0.22%
$112
Includes Typical Broker Commissions trade costs of $1.30
12/1/17 9:30 SGMS SCIENTIFIC GAMES LONG 80 52.50 1/3/18 9:59 51.11 0.56%
Trade id #115139229
Max drawdown($296)
Time12/26/17 9:30
Quant open80
Worst price48.80
Drawdown as % of equity-0.56%
($113)
Includes Typical Broker Commissions trade costs of $1.60
12/15/17 11:00 FAS DIREXION DAILY FINANCIAL BULL LONG 55 68.19 1/3/18 9:59 68.32 0.1%
Trade id #115374410
Max drawdown($52)
Time12/15/17 16:02
Quant open45
Worst price66.85
Drawdown as % of equity-0.10%
$6
Includes Typical Broker Commissions trade costs of $1.10
12/4/17 10:08 CAT CATERPILLAR LONG 32 144.95 1/2/18 11:36 156.74 1.26%
Trade id #115172299
Max drawdown($657)
Time12/12/17 16:34
Quant open32
Worst price124.39
Drawdown as % of equity-1.26%
$376
Includes Typical Broker Commissions trade costs of $0.64
12/27/17 12:39 XPO XPO LOGISTICS LONG 40 92.07 1/2/18 10:55 91.17 0.16%
Trade id #115544673
Max drawdown($82)
Time12/29/17 11:22
Quant open40
Worst price90.00
Drawdown as % of equity-0.16%
($37)
Includes Typical Broker Commissions trade costs of $0.80
11/20/17 11:15 HRS HARRIS LONG 30 141.60 12/21 10:37 142.42 0.2%
Trade id #114941432
Max drawdown($105)
Time12/11/17 9:31
Quant open30
Worst price138.08
Drawdown as % of equity-0.20%
$24
Includes Typical Broker Commissions trade costs of $0.60
12/11/17 11:34 TGS TRANSPORTADORA DE GAS LONG 140 22.83 12/15 10:08 22.65 0.07%
Trade id #115292398
Max drawdown($35)
Time12/15/17 9:40
Quant open140
Worst price22.58
Drawdown as % of equity-0.07%
($28)
Includes Typical Broker Commissions trade costs of $2.80
12/4/17 10:08 SWK STANLEY BLACK & DECKER LONG 27 170.24 12/13 11:00 166.68 0.18%
Trade id #115172315
Max drawdown($96)
Time12/13/17 11:00
Quant open0
Worst price166.68
Drawdown as % of equity-0.18%
($97)
Includes Typical Broker Commissions trade costs of $0.54
12/4/17 10:57 PGR PROGRESSIVE LONG 85 54.35 12/11 11:33 54.53 0.04%
Trade id #115174111
Max drawdown($22)
Time12/6/17 9:38
Quant open85
Worst price54.08
Drawdown as % of equity-0.04%
$13
Includes Typical Broker Commissions trade costs of $1.70
11/24/17 11:07 LYV LIVE NATION ENTERTAINMENT LONG 100 45.11 12/5 11:32 43.22 0.6%
Trade id #115014756
Max drawdown($311)
Time12/4/17 20:00
Quant open100
Worst price42.00
Drawdown as % of equity-0.60%
($191)
Includes Typical Broker Commissions trade costs of $2.00
9/18/17 12:04 IPGP IPG PHOTONICS LONG 24 182.59 12/4 11:02 214.19 n/a $758
Includes Typical Broker Commissions trade costs of $0.48
11/27/17 12:49 MA MASTERCARD LONG 39 153.21 12/4 10:57 145.41 0.58%
Trade id #115063394
Max drawdown($309)
Time11/29/17 12:01
Quant open39
Worst price145.28
Drawdown as % of equity-0.58%
($305)
Includes Typical Broker Commissions trade costs of $0.78
10/9/17 11:22 NVDA NVIDIA LONG 25 186.49 12/4 10:07 187.22 n/a $18
Includes Typical Broker Commissions trade costs of $0.50
8/22/17 11:24 ALGN ALIGN TECHNOLOGY LONG 30 171.62 12/4 10:06 249.52 n/a $2,336
Includes Typical Broker Commissions trade costs of $0.60

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1947.3
  • Age
    65 months ago
  • What it trades
    Stocks
  • # Trades
    437
  • # Profitable
    203
  • % Profitable
    46.50%
  • Avg trade duration
    30.1 days
  • Max peak-to-valley drawdown
    31.75%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    36.3%
  • Avg win
    $532.88
  • Avg loss
    $259.28
  • Model Account Values (Raw)
  • Cash
    $40,888
  • Margin Used
    $0
  • Buying Power
    $42,742
  • Ratios
  • W:L ratio
    1.84:1
  • Sharpe Ratio
    1.663
  • Sortino Ratio
    2.571
  • Calmar Ratio
    1.578
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17700
  • Return Statistics
  • Ann Return (w trading costs)
    36.3%
  • Ann Return (Compnd, No Fees)
    39.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    960
  • Popularity (Last 6 weeks)
    977
  • C2 Score
    98.9
  • 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
    $259
  • Avg Win
    $534
  • # Winners
    203
  • # Losers
    234
  • % Winners
    46.5%
  • Frequency
  • Avg Position Time (mins)
    43349.30
  • Avg Position Time (hrs)
    722.49
  • Avg Trade Length
    30.1 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
    0.34575
  • SD
    0.23698
  • Sharpe ratio (Glass type estimate)
    1.45897
  • Sharpe ratio (Hedges UMVUE)
    1.44125
  • df
    62.00000
  • t
    3.34292
  • p
    0.00070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33347
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.20880
  • Upside Potential Ratio
    5.95218
  • Upside part of mean
    0.48897
  • Downside part of mean
    -0.14322
  • Upside SD
    0.24183
  • Downside SD
    0.08215
  • N nonnegative terms
    37.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.10300
  • Mean of criterion
    0.34575
  • SD of predictor
    0.09725
  • SD of criterion
    0.23698
  • Covariance
    0.00361
  • r
    0.15645
  • b (slope, estimate of beta)
    0.38123
  • a (intercept, estimate of alpha)
    0.30648
  • Mean Square Error
    0.05568
  • DF error
    61.00000
  • t(b)
    1.23713
  • p(b)
    0.11039
  • t(a)
    2.84389
  • p(a)
    0.00303
  • Lowerbound of 95% confidence interval for beta
    -0.23497
  • Upperbound of 95% confidence interval for beta
    0.99743
  • Lowerbound of 95% confidence interval for alpha
    0.09099
  • Upperbound of 95% confidence interval for alpha
    0.52198
  • Treynor index (mean / b)
    0.90693
  • Jensen alpha (a)
    0.30648
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31524
  • SD
    0.22234
  • Sharpe ratio (Glass type estimate)
    1.41787
  • Sharpe ratio (Hedges UMVUE)
    1.40064
  • df
    62.00000
  • t
    3.24874
  • p
    0.00094
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51043
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29086
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71903
  • Upside Potential Ratio
    5.44614
  • Upside part of mean
    0.46164
  • Downside part of mean
    -0.14640
  • Upside SD
    0.22304
  • Downside SD
    0.08476
  • N nonnegative terms
    37.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.09770
  • Mean of criterion
    0.31524
  • SD of predictor
    0.09742
  • SD of criterion
    0.22234
  • Covariance
    0.00332
  • r
    0.15307
  • b (slope, estimate of beta)
    0.34934
  • a (intercept, estimate of alpha)
    0.28111
  • Mean Square Error
    0.04907
  • DF error
    61.00000
  • t(b)
    1.20982
  • p(b)
    0.11551
  • t(a)
    2.79141
  • p(a)
    0.00350
  • Lowerbound of 95% confidence interval for beta
    -0.22806
  • Upperbound of 95% confidence interval for beta
    0.92674
  • Lowerbound of 95% confidence interval for alpha
    0.07974
  • Upperbound of 95% confidence interval for alpha
    0.48249
  • Treynor index (mean / b)
    0.90239
  • Jensen alpha (a)
    0.28111
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07624
  • Expected Shortfall on VaR
    0.10043
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02439
  • Expected Shortfall on VaR
    0.04836
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    63.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98606
  • Median
    1.02224
  • Quartile 3
    1.05645
  • Maximum
    1.28235
  • Mean of quarter 1
    0.96141
  • Mean of quarter 2
    1.00106
  • Mean of quarter 3
    1.04330
  • Mean of quarter 4
    1.11955
  • Inter Quartile Range
    0.07039
  • 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
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.34101
  • VaR(95%) (moments method)
    0.03521
  • Expected Shortfall (moments method)
    0.04287
  • Extreme Value Index (regression method)
    -0.18103
  • VaR(95%) (regression method)
    0.03692
  • Expected Shortfall (regression method)
    0.04729
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00323
  • Quartile 1
    0.00961
  • Median
    0.04487
  • Quartile 3
    0.07060
  • 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
    0.15293
  • Inter Quartile Range
    0.06099
  • 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
    0.11111
  • Mean of outliers high
    0.21465
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.09310
  • VaR(95%) (moments method)
    0.14412
  • Expected Shortfall (moments method)
    0.18615
  • Extreme Value Index (regression method)
    1.58330
  • VaR(95%) (regression method)
    0.29056
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.96360
  • Compounded annual return (geometric extrapolation)
    0.40938
  • Calmar ratio (compounded annual return / max draw down)
    1.90715
  • Compounded annual return / average of 25% largest draw downs
    2.67695
  • Compounded annual return / Expected Shortfall lognormal
    4.07623
  • 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
    0.33102
  • SD
    0.19893
  • Sharpe ratio (Glass type estimate)
    1.66401
  • Sharpe ratio (Hedges UMVUE)
    1.66310
  • df
    1379.00000
  • t
    3.81895
  • p
    0.43499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.80748
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51936
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57112
  • Upside Potential Ratio
    9.92706
  • Upside part of mean
    1.27805
  • Downside part of mean
    -0.94703
  • Upside SD
    0.15293
  • Downside SD
    0.12874
  • N nonnegative terms
    763.00000
  • N negative terms
    617.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1380.00000
  • Mean of predictor
    0.10588
  • Mean of criterion
    0.33102
  • SD of predictor
    0.12256
  • SD of criterion
    0.19893
  • Covariance
    0.00427
  • r
    0.17507
  • b (slope, estimate of beta)
    0.28416
  • a (intercept, estimate of alpha)
    0.30100
  • Mean Square Error
    0.03839
  • DF error
    1378.00000
  • t(b)
    6.60066
  • p(b)
    0.41247
  • t(a)
    3.52000
  • p(a)
    0.45280
  • Lowerbound of 95% confidence interval for beta
    0.19971
  • Upperbound of 95% confidence interval for beta
    0.36861
  • Lowerbound of 95% confidence interval for alpha
    0.13322
  • Upperbound of 95% confidence interval for alpha
    0.46864
  • Treynor index (mean / b)
    1.16489
  • Jensen alpha (a)
    0.30093
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31108
  • SD
    0.19849
  • Sharpe ratio (Glass type estimate)
    1.56725
  • Sharpe ratio (Hedges UMVUE)
    1.56640
  • df
    1379.00000
  • t
    3.59689
  • p
    0.43872
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42298
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42240
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38007
  • Upside Potential Ratio
    9.68974
  • Upside part of mean
    1.26646
  • Downside part of mean
    -0.95539
  • Upside SD
    0.15052
  • Downside SD
    0.13070
  • N nonnegative terms
    763.00000
  • N negative terms
    617.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1380.00000
  • Mean of predictor
    0.09833
  • Mean of criterion
    0.31108
  • SD of predictor
    0.12275
  • SD of criterion
    0.19849
  • Covariance
    0.00429
  • r
    0.17610
  • b (slope, estimate of beta)
    0.28476
  • a (intercept, estimate of alpha)
    0.28308
  • Mean Square Error
    0.03820
  • DF error
    1378.00000
  • t(b)
    6.64097
  • p(b)
    0.41195
  • t(a)
    3.31982
  • p(a)
    0.45546
  • Lowerbound of 95% confidence interval for beta
    0.20064
  • Upperbound of 95% confidence interval for beta
    0.36888
  • Lowerbound of 95% confidence interval for alpha
    0.11581
  • Upperbound of 95% confidence interval for alpha
    0.45035
  • Treynor index (mean / b)
    1.09242
  • Jensen alpha (a)
    0.28308
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01880
  • Expected Shortfall on VaR
    0.02381
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00769
  • Expected Shortfall on VaR
    0.01582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1380.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99539
  • Median
    1.00113
  • Quartile 3
    1.00745
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98720
  • Mean of quarter 2
    0.99866
  • Mean of quarter 3
    1.00391
  • Mean of quarter 4
    1.01572
  • Inter Quartile Range
    0.01206
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.02899
  • Mean of outliers low
    0.96738
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.02681
  • Mean of outliers high
    1.03719
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13876
  • VaR(95%) (moments method)
    0.01170
  • Expected Shortfall (moments method)
    0.01742
  • Extreme Value Index (regression method)
    0.12302
  • VaR(95%) (regression method)
    0.01185
  • Expected Shortfall (regression method)
    0.01750
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00916
  • Median
    0.01907
  • Quartile 3
    0.04612
  • Maximum
    0.25577
  • Mean of quarter 1
    0.00388
  • Mean of quarter 2
    0.01488
  • Mean of quarter 3
    0.03134
  • Mean of quarter 4
    0.10147
  • Inter Quartile Range
    0.03696
  • 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
    0.18133
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35986
  • VaR(95%) (moments method)
    0.10950
  • Expected Shortfall (moments method)
    0.19121
  • Extreme Value Index (regression method)
    0.29288
  • VaR(95%) (regression method)
    0.08971
  • Expected Shortfall (regression method)
    0.13697
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.94217
  • Compounded annual return (geometric extrapolation)
    0.40352
  • Calmar ratio (compounded annual return / max draw down)
    1.57771
  • Compounded annual return / average of 25% largest draw downs
    3.97660
  • Compounded annual return / Expected Shortfall lognormal
    16.94870
  • 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
    0.37813
  • SD
    0.12829
  • Sharpe ratio (Glass type estimate)
    2.94744
  • Sharpe ratio (Hedges UMVUE)
    2.93040
  • df
    130.00000
  • t
    2.08415
  • p
    0.41009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.73671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72500
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.58257
  • Upside Potential Ratio
    11.52080
  • Upside part of mean
    0.95064
  • Downside part of mean
    -0.57251
  • Upside SD
    0.10035
  • Downside SD
    0.08252
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21710
  • Mean of criterion
    0.37813
  • SD of predictor
    0.11647
  • SD of criterion
    0.12829
  • Covariance
    0.00466
  • r
    0.31165
  • b (slope, estimate of beta)
    0.34327
  • a (intercept, estimate of alpha)
    0.30361
  • Mean Square Error
    0.01498
  • DF error
    129.00000
  • t(b)
    3.72519
  • p(b)
    0.30486
  • t(a)
    1.74272
  • p(a)
    0.40382
  • Lowerbound of 95% confidence interval for beta
    0.16095
  • Upperbound of 95% confidence interval for beta
    0.52560
  • Lowerbound of 95% confidence interval for alpha
    -0.04108
  • Upperbound of 95% confidence interval for alpha
    0.64830
  • Treynor index (mean / b)
    1.10154
  • Jensen alpha (a)
    0.30361
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36966
  • SD
    0.12828
  • Sharpe ratio (Glass type estimate)
    2.88160
  • Sharpe ratio (Hedges UMVUE)
    2.86494
  • df
    130.00000
  • t
    2.03760
  • p
    0.41204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08240
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.66998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.65854
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.43879
  • Upside Potential Ratio
    11.35400
  • Upside part of mean
    0.94556
  • Downside part of mean
    -0.57589
  • Upside SD
    0.09958
  • Downside SD
    0.08328
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21018
  • Mean of criterion
    0.36966
  • SD of predictor
    0.11747
  • SD of criterion
    0.12828
  • Covariance
    0.00468
  • r
    0.31058
  • b (slope, estimate of beta)
    0.33919
  • a (intercept, estimate of alpha)
    0.29837
  • Mean Square Error
    0.01498
  • DF error
    129.00000
  • t(b)
    3.71109
  • p(b)
    0.30550
  • t(a)
    1.71303
  • p(a)
    0.40541
  • Lowerbound of 95% confidence interval for beta
    0.15835
  • Upperbound of 95% confidence interval for beta
    0.52002
  • Lowerbound of 95% confidence interval for alpha
    -0.04624
  • Upperbound of 95% confidence interval for alpha
    0.64299
  • Treynor index (mean / b)
    1.08985
  • Jensen alpha (a)
    0.29837
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01156
  • Expected Shortfall on VaR
    0.01482
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00442
  • Expected Shortfall on VaR
    0.00941
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97042
  • Quartile 1
    0.99778
  • Median
    1.00153
  • Quartile 3
    1.00654
  • Maximum
    1.03076
  • Mean of quarter 1
    0.99216
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00357
  • Mean of quarter 4
    1.01085
  • Inter Quartile Range
    0.00876
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97771
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02656
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26267
  • VaR(95%) (moments method)
    0.00682
  • Expected Shortfall (moments method)
    0.01163
  • Extreme Value Index (regression method)
    0.18387
  • VaR(95%) (regression method)
    0.00868
  • Expected Shortfall (regression method)
    0.01436
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00144
  • Quartile 1
    0.00811
  • Median
    0.01373
  • Quartile 3
    0.02432
  • Maximum
    0.05674
  • Mean of quarter 1
    0.00297
  • Mean of quarter 2
    0.01281
  • Mean of quarter 3
    0.01872
  • Mean of quarter 4
    0.04194
  • Inter Quartile Range
    0.01621
  • 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
    0.09091
  • Mean of outliers high
    0.05674
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.40333
  • VaR(95%) (moments method)
    0.04839
  • Expected Shortfall (moments method)
    0.04902
  • Extreme Value Index (regression method)
    -0.20311
  • VaR(95%) (regression method)
    0.05916
  • Expected Shortfall (regression method)
    0.07207
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43984
  • Compounded annual return (geometric extrapolation)
    0.48820
  • Calmar ratio (compounded annual return / max draw down)
    8.60484
  • Compounded annual return / average of 25% largest draw downs
    11.64160
  • Compounded annual return / Expected Shortfall lognormal
    32.93850

Strategy Description

OP I is primarily a long-only Trend Following stock portfolio designed for aggressive investors. 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
437
# Profitable
203
% Profitable
46.5%
Net Dividends
Correlation S&P500
0.177
Sharpe Ratio
1.663

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

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