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Optimized Partners II (77331265)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 9 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 $60.00 per month.

24.4%
Annual Return (Compounded)
26.6%
Max Drawdown
536
Num Trades
47.2%
Win Trades
1.6 : 1
Profit Factor
59.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +2.9%(9.4%)(1.3%)(8.2%)
2013(3.4%)+5.0%+9.3%+5.7%+0.5%+1.3%+9.2%(4.3%)+5.6%+4.5%+18.3%+8.2%+76.2%
2014+1.2%+13.2%+2.4%+5.6%(1.6%)+2.1%(5.4%)+5.2%(3.7%)+7.1%+5.9%+9.4%+47.8%
2015(0.7%)(4.2%)+6.8%(4%)(2.9%)(1%)(3%)(1.2%)(1.2%)+4.2%(5.3%)(5.6%)(17.4%)
2016+2.1%+4.1%(2.1%)+5.8%(12.5%)+7.8%(3.1%)+6.2%(3.4%)(4.8%)+2.5%+6.3%+7.1%
2017+8.8%(4.2%)+7.4%+8.7%+5.1%+2.5%                                    +31.1%

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 504 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/25/17 14:06 PI IMPINJ INC LONG 80 46.10 6/13 10:58 47.24 0.75%
Trade id #111775702
Max drawdown($456)
Time6/12/17 9:34
Quant open80
Worst price40.40
Drawdown as % of equity-0.75%
$89
Includes Typical Broker Commissions trade costs of $1.60
3/24/17 11:46 MOMO MOMO INC. AMERICAN DEPOSITARY LONG 100 33.47 5/25 14:06 38.31 n/a $482
Includes Typical Broker Commissions trade costs of $2.00
3/24/17 11:49 STM STMICROELECTRONICS LONG 350 15.94 5/22 11:05 16.19 0.5%
Trade id #110423722
Max drawdown($266)
Time4/24/17 10:48
Quant open350
Worst price15.18
Drawdown as % of equity-0.50%
$81
Includes Typical Broker Commissions trade costs of $7.00
3/31/17 14:24 WNC WABASH NATIONAL LONG 200 20.63 5/18 11:32 20.87 0.63%
Trade id #110591536
Max drawdown($324)
Time4/18/17 12:17
Quant open200
Worst price19.01
Drawdown as % of equity-0.63%
$44
Includes Typical Broker Commissions trade costs of $4.00
3/31/17 14:25 GEO GEO GROUP LONG 149 31.20 5/18 11:32 29.94 0.42%
Trade id #110591600
Max drawdown($242)
Time5/18/17 11:03
Quant open149
Worst price29.57
Drawdown as % of equity-0.42%
($190)
Includes Typical Broker Commissions trade costs of $2.98
3/7/17 12:16 AMD ADVANCED MICRO DEVICES INC. C LONG 425 13.26 5/2 10:06 11.04 1.78%
Trade id #110082851
Max drawdown($1,041)
Time5/2/17 9:51
Quant open425
Worst price10.81
Drawdown as % of equity-1.78%
($953)
Includes Typical Broker Commissions trade costs of $8.50
3/24/17 11:48 ANET ARISTA NETWORKS INC LONG 35 131.63 3/31 14:22 132.03 0.11%
Trade id #110423675
Max drawdown($55)
Time3/24/17 15:04
Quant open35
Worst price130.03
Drawdown as % of equity-0.11%
$13
Includes Typical Broker Commissions trade costs of $0.70
2/13/17 15:04 EA ELECTRONIC ARTS LONG 65 86.81 3/31 14:22 89.59 0.09%
Trade id #109504960
Max drawdown($46)
Time3/1/17 9:41
Quant open65
Worst price86.09
Drawdown as % of equity-0.09%
$180
Includes Typical Broker Commissions trade costs of $1.30
2/7/17 11:36 EXTR EXTREME NETWORKS LONG 800 5.61 3/30 11:04 7.55 n/a $1,547
Includes Typical Broker Commissions trade costs of $5.00
2/15/17 11:47 RBS ROYAL BANK OF SCOTLAND LONG 1,000 6.17 3/24 11:41 5.98 1.06%
Trade id #109564932
Max drawdown($530)
Time3/14/17 8:45
Quant open1,000
Worst price5.64
Drawdown as % of equity-1.06%
($195)
Includes Typical Broker Commissions trade costs of $5.00
1/19/17 11:44 CZZ COSAN LONG 600 8.38 3/13 11:45 8.08 1.02%
Trade id #108769737
Max drawdown($516)
Time2/24/17 17:42
Quant open600
Worst price7.52
Drawdown as % of equity-1.02%
($189)
Includes Typical Broker Commissions trade costs of $8.50
2/7/17 11:35 CRNT CERAGON NETWORKS LONG 1,300 3.73 3/13 11:45 3.40 1.4%
Trade id #109360481
Max drawdown($689)
Time3/9/17 11:19
Quant open1,300
Worst price3.20
Drawdown as % of equity-1.40%
($434)
Includes Typical Broker Commissions trade costs of $5.00
2/21/17 12:26 VSLR VIVINT SOLAR INC LONG 2,000 3.35 3/7 12:16 3.00 1.44%
Trade id #109713910
Max drawdown($700)
Time3/7/17 10:49
Quant open2,000
Worst price3.00
Drawdown as % of equity-1.44%
($705)
Includes Typical Broker Commissions trade costs of $5.00
2/21/17 10:16 CSIQ CANADIAN SOLAR LONG 400 15.03 3/7 12:16 13.53 1.29%
Trade id #109708447
Max drawdown($628)
Time3/7/17 10:01
Quant open400
Worst price13.46
Drawdown as % of equity-1.29%
($608)
Includes Typical Broker Commissions trade costs of $8.00
1/24/17 10:41 BEL BELMOND LTD LONG 410 13.80 2/28 11:34 12.95 0.68%
Trade id #108979089
Max drawdown($349)
Time2/28/17 11:34
Quant open0
Worst price12.95
Drawdown as % of equity-0.68%
($357)
Includes Typical Broker Commissions trade costs of $8.20
1/26/17 13:49 CLNS COLONY NORTHSTAR INC LONG 400 14.12 2/15 11:48 14.13 0.32%
Trade id #109060065
Max drawdown($164)
Time1/31/17 9:35
Quant open400
Worst price13.71
Drawdown as % of equity-0.32%
($4)
Includes Typical Broker Commissions trade costs of $8.00
2/7/17 11:38 MPWR MONOLITHIC POWER SYSTEMS LONG 50 89.60 2/14 13:16 85.17 0.74%
Trade id #109360595
Max drawdown($380)
Time2/9/17 16:41
Quant open50
Worst price82.00
Drawdown as % of equity-0.74%
($223)
Includes Typical Broker Commissions trade costs of $1.00
11/11/16 10:19 AGX ARGAN LONG 110 58.90 2/13/17 15:03 70.35 n/a $1,258
Includes Typical Broker Commissions trade costs of $2.20
1/19/17 11:45 FSAM FIFTH STREET ASSET MANAGEMENT LONG 650 7.05 2/10 11:57 5.65 1.78%
Trade id #108772920
Max drawdown($910)
Time2/10/17 11:53
Quant open650
Worst price5.65
Drawdown as % of equity-1.78%
($915)
Includes Typical Broker Commissions trade costs of $5.00
1/9/17 11:38 AMZN AMAZON.COM LONG 6 797.57 2/7 11:36 813.51 0.1%
Trade id #108454203
Max drawdown($48)
Time1/11/17 11:38
Quant open6
Worst price789.51
Drawdown as % of equity-0.10%
$96
Includes Typical Broker Commissions trade costs of $0.12
11/28/16 12:40 EQIX EQUINIX INC. COMMON STOCK REI LONG 23 342.42 2/7/17 11:36 381.22 0.14%
Trade id #107546455
Max drawdown($62)
Time11/29/16 9:31
Quant open18
Worst price338.06
Drawdown as % of equity-0.14%
$892
Includes Typical Broker Commissions trade costs of $0.46
1/11/17 13:06 LEA LEAR LONG 40 143.22 1/26 13:47 145.41 0.24%
Trade id #108539984
Max drawdown($119)
Time1/23/17 10:34
Quant open40
Worst price140.24
Drawdown as % of equity-0.24%
$87
Includes Typical Broker Commissions trade costs of $0.80
12/6/16 11:30 NTIP NETWORK 1 TECHNOLOGIES INC LONG 2,100 3.34 1/26/17 13:46 3.80 1.49%
Trade id #107764004
Max drawdown($720)
Time12/27/16 9:32
Quant open2,100
Worst price3.00
Drawdown as % of equity-1.49%
$953
Includes Typical Broker Commissions trade costs of $7.50
1/5/17 12:29 STLD STEEL DYNAMICS LONG 164 37.81 1/25 11:14 34.01 1.2%
Trade id #108383153
Max drawdown($626)
Time1/25/17 11:12
Quant open164
Worst price33.99
Drawdown as % of equity-1.20%
($626)
Includes Typical Broker Commissions trade costs of $3.28
12/30/16 11:27 ELS EQUITY LIFESTYLE LONG 70 72.02 1/20/17 12:03 73.19 0.14%
Trade id #108271838
Max drawdown($70)
Time1/12/17 9:52
Quant open70
Worst price71.01
Drawdown as % of equity-0.14%
$81
Includes Typical Broker Commissions trade costs of $1.40
12/30/16 11:28 AMX AMERICA MOVIL LONG 425 12.61 1/19/17 11:42 12.45 0.32%
Trade id #108271849
Max drawdown($157)
Time1/18/17 13:26
Quant open425
Worst price12.24
Drawdown as % of equity-0.32%
($77)
Includes Typical Broker Commissions trade costs of $8.50
1/12/17 10:10 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 200 19.78 1/13 11:32 18.76 0.45%
Trade id #108585990
Max drawdown($220)
Time1/13/17 10:01
Quant open200
Worst price18.68
Drawdown as % of equity-0.45%
($208)
Includes Typical Broker Commissions trade costs of $4.00
12/2/16 10:08 BWA BORGWARNER LONG 163 36.62 1/11/17 13:06 39.79 n/a $514
Includes Typical Broker Commissions trade costs of $3.26
12/6/16 12:32 HSII HEIDRICK & STRUGGLES LONG 250 22.00 1/9/17 11:37 23.05 n/a $258
Includes Typical Broker Commissions trade costs of $5.00
12/29/16 12:23 TLT ISHARES 20+ YEAR TREASURY BOND LONG 30 118.95 1/9/17 11:37 121.64 0.06%
Trade id #108249322
Max drawdown($28)
Time1/3/17 8:37
Quant open30
Worst price118.00
Drawdown as % of equity-0.06%
$80
Includes Typical Broker Commissions trade costs of $0.60

Statistics

  • Strategy began
    10/25/2012
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1701.91
  • Age
    57 months ago
  • What it trades
    Stocks
  • # Trades
    536
  • # Profitable
    253
  • % Profitable
    47.20%
  • Avg trade duration
    33.7 days
  • Max peak-to-valley drawdown
    26.62%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    24.4%
  • Avg win
    $425.29
  • Avg loss
    $243.86
  • Model Account Values (Raw)
  • Cash
    $1,703
  • Margin Used
    $0
  • Buying Power
    $16,279
  • Ratios
  • W:L ratio
    1.62:1
  • Sharpe Ratio
    1.431
  • Sortino Ratio
    2.101
  • Calmar Ratio
    1.565
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17400
  • Return Statistics
  • Ann Return (w trading costs)
    24.4%
  • Ann Return (Compnd, No Fees)
    27.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.50%
  • Chance of 20% account loss
    6.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    820
  • C2 Score
    83.2
  • 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
    $244
  • Avg Win
    $429
  • # Winners
    253
  • # Losers
    283
  • % Winners
    47.2%
  • Frequency
  • Avg Position Time (mins)
    48551.90
  • Avg Position Time (hrs)
    809.20
  • Avg Trade Length
    33.7 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23734
  • SD
    0.18761
  • Sharpe ratio (Glass type estimate)
    1.26507
  • Sharpe ratio (Hedges UMVUE)
    1.24708
  • df
    53.00000
  • t
    2.68361
  • p
    0.00485
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20103
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64966
  • Upside Potential Ratio
    4.47225
  • Upside part of mean
    0.40059
  • Downside part of mean
    -0.16325
  • Upside SD
    0.17668
  • Downside SD
    0.08957
  • N nonnegative terms
    32.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.09581
  • Mean of criterion
    0.23734
  • SD of predictor
    0.09316
  • SD of criterion
    0.18761
  • Covariance
    0.00688
  • r
    0.39342
  • b (slope, estimate of beta)
    0.79224
  • a (intercept, estimate of alpha)
    0.16143
  • Mean Square Error
    0.03032
  • DF error
    52.00000
  • t(b)
    3.08579
  • p(b)
    0.00163
  • t(a)
    1.88388
  • p(a)
    0.03259
  • Lowerbound of 95% confidence interval for beta
    0.27706
  • Upperbound of 95% confidence interval for beta
    1.30743
  • Lowerbound of 95% confidence interval for alpha
    -0.01052
  • Upperbound of 95% confidence interval for alpha
    0.33339
  • Treynor index (mean / b)
    0.29957
  • Jensen alpha (a)
    0.16143
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21800
  • SD
    0.18313
  • Sharpe ratio (Glass type estimate)
    1.19042
  • Sharpe ratio (Hedges UMVUE)
    1.17349
  • df
    53.00000
  • t
    2.52526
  • p
    0.00729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13632
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12405
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36697
  • Upside Potential Ratio
    4.18053
  • Upside part of mean
    0.38503
  • Downside part of mean
    -0.16703
  • Upside SD
    0.16850
  • Downside SD
    0.09210
  • N nonnegative terms
    32.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.09101
  • Mean of criterion
    0.21800
  • SD of predictor
    0.09257
  • SD of criterion
    0.18313
  • Covariance
    0.00662
  • r
    0.39031
  • b (slope, estimate of beta)
    0.77210
  • a (intercept, estimate of alpha)
    0.14773
  • Mean Square Error
    0.02897
  • DF error
    52.00000
  • t(b)
    3.05701
  • p(b)
    0.00176
  • t(a)
    1.76987
  • p(a)
    0.04131
  • Lowerbound of 95% confidence interval for beta
    0.26529
  • Upperbound of 95% confidence interval for beta
    1.27891
  • Lowerbound of 95% confidence interval for alpha
    -0.01976
  • Upperbound of 95% confidence interval for alpha
    0.31522
  • Treynor index (mean / b)
    0.28235
  • Jensen alpha (a)
    0.14773
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06648
  • Expected Shortfall on VaR
    0.08670
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02775
  • Expected Shortfall on VaR
    0.05374
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98631
  • Median
    1.02700
  • Quartile 3
    1.06183
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95569
  • Mean of quarter 2
    1.00011
  • Mean of quarter 3
    1.04217
  • Mean of quarter 4
    1.09032
  • Inter Quartile Range
    0.07552
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.89872
  • VaR(95%) (moments method)
    0.03388
  • Expected Shortfall (moments method)
    0.03391
  • Extreme Value Index (regression method)
    -0.44583
  • VaR(95%) (regression method)
    0.04378
  • Expected Shortfall (regression method)
    0.05244
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00903
  • Quartile 1
    0.02913
  • Median
    0.03990
  • Quartile 3
    0.07006
  • Maximum
    0.16208
  • Mean of quarter 1
    0.01650
  • Mean of quarter 2
    0.03932
  • Mean of quarter 3
    0.06335
  • Mean of quarter 4
    0.13173
  • Inter Quartile Range
    0.04093
  • 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
    0.16208
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.21141
  • VaR(95%) (moments method)
    0.12926
  • Expected Shortfall (moments method)
    0.13082
  • Extreme Value Index (regression method)
    -0.04540
  • VaR(95%) (regression method)
    0.17986
  • Expected Shortfall (regression method)
    0.23613
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44978
  • Compounded annual return (geometric extrapolation)
    0.27878
  • Calmar ratio (compounded annual return / max draw down)
    1.71999
  • Compounded annual return / average of 25% largest draw downs
    2.11626
  • Compounded annual return / Expected Shortfall lognormal
    3.21559
  • 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
    0.22989
  • SD
    0.16059
  • Sharpe ratio (Glass type estimate)
    1.43155
  • Sharpe ratio (Hedges UMVUE)
    1.43065
  • df
    1196.00000
  • t
    3.05986
  • p
    0.45593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35001
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34940
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10150
  • Upside Potential Ratio
    9.74190
  • Upside part of mean
    1.06570
  • Downside part of mean
    -0.83581
  • Upside SD
    0.11833
  • Downside SD
    0.10939
  • N nonnegative terms
    669.00000
  • N negative terms
    528.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1197.00000
  • Mean of predictor
    0.09901
  • Mean of criterion
    0.22989
  • SD of predictor
    0.12491
  • SD of criterion
    0.16059
  • Covariance
    0.00328
  • r
    0.16374
  • b (slope, estimate of beta)
    0.21050
  • a (intercept, estimate of alpha)
    0.20900
  • Mean Square Error
    0.02512
  • DF error
    1195.00000
  • t(b)
    5.73767
  • p(b)
    0.39623
  • t(a)
    2.81598
  • p(a)
    0.44837
  • Lowerbound of 95% confidence interval for beta
    0.13852
  • Upperbound of 95% confidence interval for beta
    0.28248
  • Lowerbound of 95% confidence interval for alpha
    0.06340
  • Upperbound of 95% confidence interval for alpha
    0.35470
  • Treynor index (mean / b)
    1.09212
  • Jensen alpha (a)
    0.20905
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21688
  • SD
    0.16072
  • Sharpe ratio (Glass type estimate)
    1.34943
  • Sharpe ratio (Hedges UMVUE)
    1.34859
  • df
    1196.00000
  • t
    2.88435
  • p
    0.45844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26714
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95996
  • Upside Potential Ratio
    9.56744
  • Upside part of mean
    1.05868
  • Downside part of mean
    -0.84180
  • Upside SD
    0.11723
  • Downside SD
    0.11065
  • N nonnegative terms
    669.00000
  • N negative terms
    528.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1197.00000
  • Mean of predictor
    0.09117
  • Mean of criterion
    0.21688
  • SD of predictor
    0.12505
  • SD of criterion
    0.16072
  • Covariance
    0.00330
  • r
    0.16412
  • b (slope, estimate of beta)
    0.21093
  • a (intercept, estimate of alpha)
    0.19765
  • Mean Square Error
    0.02516
  • DF error
    1195.00000
  • t(b)
    5.75132
  • p(b)
    0.39599
  • t(a)
    2.66090
  • p(a)
    0.45119
  • Lowerbound of 95% confidence interval for beta
    0.13897
  • Upperbound of 95% confidence interval for beta
    0.28288
  • Lowerbound of 95% confidence interval for alpha
    0.05192
  • Upperbound of 95% confidence interval for alpha
    0.34338
  • Treynor index (mean / b)
    1.02821
  • Jensen alpha (a)
    0.19765
  • 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
    0.01945
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00676
  • Expected Shortfall on VaR
    0.01369
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1197.00000
  • Minimum
    0.93899
  • Quartile 1
    0.99563
  • Median
    1.00130
  • Quartile 3
    1.00632
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98894
  • Mean of quarter 2
    0.99869
  • Mean of quarter 3
    1.00354
  • Mean of quarter 4
    1.01280
  • Inter Quartile Range
    0.01068
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.02673
  • Mean of outliers low
    0.97253
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.01921
  • Mean of outliers high
    1.02855
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20514
  • VaR(95%) (moments method)
    0.01082
  • Expected Shortfall (moments method)
    0.01675
  • Extreme Value Index (regression method)
    0.12033
  • VaR(95%) (regression method)
    0.01042
  • Expected Shortfall (regression method)
    0.01512
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00945
  • Median
    0.03079
  • Quartile 3
    0.05703
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00251
  • Mean of quarter 2
    0.01848
  • Mean of quarter 3
    0.03985
  • Mean of quarter 4
    0.09097
  • Inter Quartile Range
    0.04759
  • 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
    0.04762
  • Mean of outliers high
    0.16229
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.02861
  • VaR(95%) (moments method)
    0.09710
  • Expected Shortfall (moments method)
    0.12130
  • Extreme Value Index (regression method)
    0.01979
  • VaR(95%) (regression method)
    0.09646
  • Expected Shortfall (regression method)
    0.12128
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45085
  • Compounded annual return (geometric extrapolation)
    0.27735
  • Calmar ratio (compounded annual return / max draw down)
    1.56550
  • Compounded annual return / average of 25% largest draw downs
    3.04873
  • Compounded annual return / Expected Shortfall lognormal
    14.25600
  • 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
    0.47445
  • SD
    0.19211
  • Sharpe ratio (Glass type estimate)
    2.46963
  • Sharpe ratio (Hedges UMVUE)
    2.45536
  • df
    130.00000
  • t
    1.74629
  • p
    0.42430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32299
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.25304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.24318
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.74380
  • Upside Potential Ratio
    11.00190
  • Upside part of mean
    1.39427
  • Downside part of mean
    -0.91981
  • Upside SD
    0.14637
  • Downside SD
    0.12673
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12235
  • Mean of criterion
    0.47445
  • SD of predictor
    0.06822
  • SD of criterion
    0.19211
  • Covariance
    0.00628
  • r
    0.47945
  • b (slope, estimate of beta)
    1.35015
  • a (intercept, estimate of alpha)
    0.30926
  • Mean Square Error
    0.02864
  • DF error
    129.00000
  • t(b)
    6.20521
  • p(b)
    0.20691
  • t(a)
    1.28418
  • p(a)
    0.42863
  • Lowerbound of 95% confidence interval for beta
    0.91966
  • Upperbound of 95% confidence interval for beta
    1.78065
  • Lowerbound of 95% confidence interval for alpha
    -0.16722
  • Upperbound of 95% confidence interval for alpha
    0.78574
  • Treynor index (mean / b)
    0.35141
  • Jensen alpha (a)
    0.30926
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45566
  • SD
    0.19229
  • Sharpe ratio (Glass type estimate)
    2.36962
  • Sharpe ratio (Hedges UMVUE)
    2.35592
  • df
    130.00000
  • t
    1.67557
  • p
    0.42730
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.15186
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43064
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.14248
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.54940
  • Upside Potential Ratio
    10.77730
  • Upside part of mean
    1.38354
  • Downside part of mean
    -0.92788
  • Upside SD
    0.14494
  • Downside SD
    0.12838
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12000
  • Mean of criterion
    0.45566
  • SD of predictor
    0.06823
  • SD of criterion
    0.19229
  • Covariance
    0.00630
  • r
    0.48041
  • b (slope, estimate of beta)
    1.35392
  • a (intercept, estimate of alpha)
    0.29319
  • Mean Square Error
    0.02866
  • DF error
    129.00000
  • t(b)
    6.22137
  • p(b)
    0.20637
  • t(a)
    1.21734
  • p(a)
    0.43228
  • Lowerbound of 95% confidence interval for beta
    0.92334
  • Upperbound of 95% confidence interval for beta
    1.78449
  • Lowerbound of 95% confidence interval for alpha
    -0.18333
  • Upperbound of 95% confidence interval for alpha
    0.76972
  • Treynor index (mean / b)
    0.33655
  • Jensen alpha (a)
    0.29319
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01764
  • Expected Shortfall on VaR
    0.02250
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00688
  • Expected Shortfall on VaR
    0.01450
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95967
  • Quartile 1
    0.99567
  • Median
    1.00180
  • Quartile 3
    1.00841
  • Maximum
    1.03227
  • Mean of quarter 1
    0.98728
  • Mean of quarter 2
    0.99940
  • Mean of quarter 3
    1.00474
  • Mean of quarter 4
    1.01633
  • Inter Quartile Range
    0.01273
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96454
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01853
  • VaR(95%) (moments method)
    0.01085
  • Expected Shortfall (moments method)
    0.01507
  • Extreme Value Index (regression method)
    0.11704
  • VaR(95%) (regression method)
    0.01144
  • Expected Shortfall (regression method)
    0.01690
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00003
  • Quartile 1
    0.01560
  • Median
    0.02055
  • Quartile 3
    0.06139
  • Maximum
    0.08808
  • Mean of quarter 1
    0.00557
  • Mean of quarter 2
    0.01933
  • Mean of quarter 3
    0.05938
  • Mean of quarter 4
    0.08071
  • Inter Quartile Range
    0.04579
  • 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)
    -3.56789
  • VaR(95%) (moments method)
    0.08247
  • Expected Shortfall (moments method)
    0.08255
  • Extreme Value Index (regression method)
    -0.69953
  • VaR(95%) (regression method)
    0.09383
  • Expected Shortfall (regression method)
    0.09916
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54704
  • Compounded annual return (geometric extrapolation)
    0.62185
  • Calmar ratio (compounded annual return / max draw down)
    7.06037
  • Compounded annual return / average of 25% largest draw downs
    7.70441
  • Compounded annual return / Expected Shortfall lognormal
    27.63900

Strategy Description

OP II is not for Vegans only :) Its our example of what can be accomplished with using two time tested strategies: Deep Value with Momentum and Mean Reversion with ETF's.

The time frame for the investments is intermediate (months. This is an aggressive strategy that is only fully invested after sharp market pull backs. The equities can be held long term should their relative value prevail but the ETF's are short to intermediate holds. During sharp market rallies the ETF's are sold and assets held in cash till the next pull back.

The primary objective is capital preservation and capital growth, dividends are secondary.

Dual strategies within a single portfolio offers a degree of diversification unique to long accounts. We are only full invested after market pullbacks, otherwise otherwise the account will have cash on the sidelines.

It is not our intent to buy and hold Value stocks during the entire business or market cycle. While Value stocks typically outperform in the long run by a significant margin they are prone to under performance beginning near peaks in the business cycle.

It is not our intent to ride out a bear market and sustain 30% or more declines, we are not financial masochists. We pay very close attention to monetary policy, employment trends, long lead indicators plus the 200 day moving averages of major indices to determine when to reduce exposure.

If you have more questions please refer to us at Greeninvestment.com

Thanks,
Brad Pappas
[email protected]

Summary Statistics

Strategy began
2012-10-25
Minimum Capital Required
$5,000
# Trades
536
# Profitable
253
% Profitable
47.2%
Net Dividends
Correlation S&P500
0.174
Sharpe Ratio
1.431

Latest Subscribers

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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