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

Optimized Partners II
(77331265)

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.

27.8%
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
599
Num Trades
47.7%
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                                                               +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%+2.7%                                                            +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 504 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 12:03 SQ SQUARE INC LONG 100 40.08 2/14 12:29 41.09 0.43%
Trade id #115721249
Max drawdown($332)
Time2/9/18 12:51
Quant open100
Worst price36.76
Drawdown as % of equity-0.43%
$99
Includes Typical Broker Commissions trade costs of $2.00
2/7/18 10:30 FAS DIREXION DAILY FINANCIAL BULL LONG 70 69.58 2/12 12:19 65.36 1.14%
Trade id #116369516
Max drawdown($872)
Time2/9/18 13:39
Quant open70
Worst price57.11
Drawdown as % of equity-1.14%
($296)
Includes Typical Broker Commissions trade costs of $1.40
2/7/18 12:54 YY YY LONG 34 124.50 2/12 12:14 115.74 0.68%
Trade id #116373346
Max drawdown($524)
Time2/9/18 12:46
Quant open34
Worst price109.06
Drawdown as % of equity-0.68%
($299)
Includes Typical Broker Commissions trade costs of $0.68
2/7/18 11:08 ODFL OLD DOMINION FREIGHT LNS LONG 42 141.92 2/12 10:46 130.04 0.73%
Trade id #116370636
Max drawdown($564)
Time2/9/18 12:10
Quant open42
Worst price128.48
Drawdown as % of equity-0.73%
($500)
Includes Typical Broker Commissions trade costs of $0.84
12/14/17 11:30 BLD TOPBUILD CORP LONG 70 67.88 2/12/18 10:24 69.46 n/a $110
Includes Typical Broker Commissions trade costs of $1.40
6/30/17 13:11 CBOE CBOE GLOBAL MARKETS INC LONG 60 92.93 2/9/18 9:57 109.34 n/a $984
Includes Typical Broker Commissions trade costs of $1.20
2/7/18 10:29 ZIV VELOCITYSHARES DAILY INVERSE V LONG 65 70.08 2/9 9:44 65.16 0.63%
Trade id #116369474
Max drawdown($492)
Time2/8/18 16:00
Quant open65
Worst price62.50
Drawdown as % of equity-0.63%
($321)
Includes Typical Broker Commissions trade costs of $1.30
12/5/17 11:38 DXC DXC TECHNOLOGY CO LONG 40 93.62 2/6/18 14:16 93.45 0.02%
Trade id #115202031
Max drawdown($15)
Time2/6/18 14:10
Quant open40
Worst price93.23
Drawdown as % of equity-0.02%
($8)
Includes Typical Broker Commissions trade costs of $0.80
1/25/18 10:14 VXX IPATH S&P 500 VIX ST FUTURES E LONG 490 28.54 2/6 9:30 41.82 0.13%
Trade id #116095206
Max drawdown($105)
Time1/26/18 7:03
Quant open220
Worst price27.47
Drawdown as % of equity-0.13%
$6,497
Includes Typical Broker Commissions trade costs of $9.80
10/2/17 13:26 PYPL PAYPAL HOLDINGS CORP LONG 72 64.31 2/2/18 10:28 76.88 n/a $904
Includes Typical Broker Commissions trade costs of $1.44
1/2/18 11:57 WUBA 58.COM INC LONG 55 76.16 1/30 10:11 78.88 0.02%
Trade id #115647169
Max drawdown($16)
Time1/2/18 12:54
Quant open55
Worst price75.86
Drawdown as % of equity-0.02%
$149
Includes Typical Broker Commissions trade costs of $1.10
1/2/18 11:57 YY YY LONG 33 119.89 1/30 10:11 127.63 0.09%
Trade id #115647162
Max drawdown($68)
Time1/3/18 11:49
Quant open33
Worst price117.81
Drawdown as % of equity-0.09%
$254
Includes Typical Broker Commissions trade costs of $0.66
12/4/17 10:52 CAT CATERPILLAR LONG 32 143.64 1/29/18 10:46 163.45 n/a $633
Includes Typical Broker Commissions trade costs of $0.64
12/6/17 11:13 FSLR FIRST SOLAR INC LONG 80 64.81 1/29/18 10:45 68.61 n/a $302
Includes Typical Broker Commissions trade costs of $1.60
1/9/18 11:24 IBKR INTERACTIVE BROKERS GROUP LONG 66 62.31 1/29 10:45 64.24 0.27%
Trade id #115774464
Max drawdown($210)
Time1/16/18 16:46
Quant open66
Worst price59.12
Drawdown as % of equity-0.27%
$126
Includes Typical Broker Commissions trade costs of $1.32
12/15/17 11:05 FAS DIREXION DAILY FINANCIAL BULL LONG 80 68.25 1/29/18 10:45 80.76 0.1%
Trade id #115374519
Max drawdown($71)
Time12/15/17 16:02
Quant open60
Worst price66.85
Drawdown as % of equity-0.10%
$999
Includes Typical Broker Commissions trade costs of $1.60
12/1/17 14:08 NVR NVR LONG 2 3499.99 1/25/18 10:13 3327.00 0.56%
Trade id #115149655
Max drawdown($449)
Time1/25/18 9:34
Quant open2
Worst price3275.17
Drawdown as % of equity-0.56%
($346)
Includes Typical Broker Commissions trade costs of $0.04
12/28/17 13:37 APTI APPTIO INC. CLASS A COMMON STOCK LONG 150 23.98 1/9/18 11:24 23.57 0.2%
Trade id #115572224
Max drawdown($147)
Time12/29/17 18:15
Quant open150
Worst price23.00
Drawdown as % of equity-0.20%
($65)
Includes Typical Broker Commissions trade costs of $3.00
12/4/17 10:52 SWK STANLEY BLACK & DECKER LONG 27 169.74 1/3/18 10:00 168.35 0.18%
Trade id #115173915
Max drawdown($130)
Time12/14/17 16:00
Quant open27
Worst price164.89
Drawdown as % of equity-0.18%
($39)
Includes Typical Broker Commissions trade costs of $0.54
12/4/17 10:53 PGR PROGRESSIVE LONG 85 54.30 1/2/18 11:55 55.58 0.03%
Trade id #115173947
Max drawdown($18)
Time12/6/17 9:38
Quant open85
Worst price54.08
Drawdown as % of equity-0.03%
$107
Includes Typical Broker Commissions trade costs of $1.70
11/20/17 11:52 HRS HARRIS LONG 32 141.42 12/28 13:36 142.25 0.15%
Trade id #114942522
Max drawdown($106)
Time12/11/17 9:31
Quant open32
Worst price138.08
Drawdown as % of equity-0.15%
$26
Includes Typical Broker Commissions trade costs of $0.64
12/11/17 11:36 TGS TRANSPORTADORA DE GAS LONG 165 22.85 12/15 10:09 22.64 0.06%
Trade id #115292427
Max drawdown($44)
Time12/15/17 9:40
Quant open165
Worst price22.58
Drawdown as % of equity-0.06%
($38)
Includes Typical Broker Commissions trade costs of $3.30
11/29/17 11:17 CI CIGNA LONG 25 205.93 12/14 12:51 205.24 0.12%
Trade id #115099499
Max drawdown($81)
Time12/6/17 9:51
Quant open25
Worst price202.66
Drawdown as % of equity-0.12%
($18)
Includes Typical Broker Commissions trade costs of $0.50
11/24/17 11:53 LYV LIVE NATION ENTERTAINMENT LONG 96 45.11 12/5 11:35 43.20 0.44%
Trade id #115016028
Max drawdown($298)
Time12/4/17 20:00
Quant open96
Worst price42.00
Drawdown as % of equity-0.44%
($185)
Includes Typical Broker Commissions trade costs of $1.92
10/2/17 13:41 CGNX COGNEX LONG 40 112.50 12/4 11:41 129.06 2.91%
Trade id #113977732
Max drawdown($1,962)
Time12/4/17 11:11
Quant open40
Worst price63.45
Drawdown as % of equity-2.91%
$661
Includes Typical Broker Commissions trade costs of $0.80
10/9/17 11:47 NVDA NVIDIA LONG 22 186.44 12/4 11:41 188.54 0.06%
Trade id #114112527
Max drawdown($42)
Time12/4/17 10:58
Quant open22
Worst price184.50
Drawdown as % of equity-0.06%
$46
Includes Typical Broker Commissions trade costs of $0.44
12/1/17 9:31 TTWO TAKE-TWO INTERACTIVE SFTW LONG 40 111.05 12/4 10:53 101.68 0.56%
Trade id #115139420
Max drawdown($380)
Time12/4/17 10:53
Quant open40
Worst price101.53
Drawdown as % of equity-0.56%
($376)
Includes Typical Broker Commissions trade costs of $0.80
1/9/17 11:38 BABA ALIBABA GROUP HOLDING LIMITED LONG 75 119.86 12/1 9:31 164.78 n/a $3,368
Includes Typical Broker Commissions trade costs of $1.50
11/13/17 11:08 WUBA 58.COM INC LONG 60 72.70 11/29 10:38 73.15 0.35%
Trade id #114827202
Max drawdown($249)
Time11/15/17 9:46
Quant open60
Worst price68.54
Drawdown as % of equity-0.35%
$26
Includes Typical Broker Commissions trade costs of $1.20
10/2/17 13:31 SQ SQUARE INC LONG 125 29.41 11/22 11:17 46.50 n/a $2,134
Includes Typical Broker Commissions trade costs of $2.50

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1947.31
  • Age
    65 months ago
  • What it trades
    Stocks
  • # Trades
    599
  • # Profitable
    286
  • % Profitable
    47.70%
  • Avg trade duration
    35.5 days
  • Max peak-to-valley drawdown
    27.12%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    27.8%
  • Avg win
    $475.00
  • Avg loss
    $249.27
  • Model Account Values (Raw)
  • Cash
    $44,231
  • Margin Used
    $0
  • Buying Power
    $49,866
  • Ratios
  • W:L ratio
    1.80:1
  • Sharpe Ratio
    1.551
  • Sortino Ratio
    2.254
  • Calmar Ratio
    1.727
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19200
  • Return Statistics
  • Ann Return (w trading costs)
    27.8%
  • Ann Return (Compnd, No Fees)
    30.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.50%
  • Chance of 20% account loss
    8.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    843
  • Popularity (Last 6 weeks)
    918
  • C2 Score
    95.8
  • 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
    $249
  • Avg Win
    $481
  • # Winners
    286
  • # Losers
    313
  • % Winners
    47.8%
  • Frequency
  • Avg Position Time (mins)
    51179.40
  • Avg Position Time (hrs)
    852.99
  • Avg Trade Length
    35.5 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
    0.25672
  • SD
    0.18243
  • Sharpe ratio (Glass type estimate)
    1.40723
  • Sharpe ratio (Hedges UMVUE)
    1.38986
  • df
    61.00000
  • t
    3.19868
  • p
    0.00110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50436
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28670
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02526
  • Upside Potential Ratio
    4.78295
  • Upside part of mean
    0.40587
  • Downside part of mean
    -0.14915
  • Upside SD
    0.17616
  • Downside SD
    0.08486
  • N nonnegative terms
    38.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.11061
  • Mean of criterion
    0.25672
  • SD of predictor
    0.08947
  • SD of criterion
    0.18243
  • Covariance
    0.00674
  • r
    0.41299
  • b (slope, estimate of beta)
    0.84210
  • a (intercept, estimate of alpha)
    0.16357
  • Mean Square Error
    0.02806
  • DF error
    60.00000
  • t(b)
    3.51252
  • p(b)
    0.00043
  • t(a)
    2.08832
  • p(a)
    0.02051
  • Lowerbound of 95% confidence interval for beta
    0.36254
  • Upperbound of 95% confidence interval for beta
    1.32166
  • Lowerbound of 95% confidence interval for alpha
    0.00689
  • Upperbound of 95% confidence interval for alpha
    0.32024
  • Treynor index (mean / b)
    0.30485
  • Jensen alpha (a)
    0.16357
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23783
  • SD
    0.17801
  • Sharpe ratio (Glass type estimate)
    1.33606
  • Sharpe ratio (Hedges UMVUE)
    1.31957
  • df
    61.00000
  • t
    3.03691
  • p
    0.00176
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21306
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72682
  • Upside Potential Ratio
    4.47570
  • Upside part of mean
    0.39037
  • Downside part of mean
    -0.15254
  • Upside SD
    0.16817
  • Downside SD
    0.08722
  • N nonnegative terms
    38.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.10598
  • Mean of criterion
    0.23783
  • SD of predictor
    0.08888
  • SD of criterion
    0.17801
  • Covariance
    0.00649
  • r
    0.40997
  • b (slope, estimate of beta)
    0.82111
  • a (intercept, estimate of alpha)
    0.15081
  • Mean Square Error
    0.02680
  • DF error
    60.00000
  • t(b)
    3.48167
  • p(b)
    0.00047
  • t(a)
    1.97820
  • p(a)
    0.02625
  • Lowerbound of 95% confidence interval for beta
    0.34936
  • Upperbound of 95% confidence interval for beta
    1.29286
  • Lowerbound of 95% confidence interval for alpha
    -0.00168
  • Upperbound of 95% confidence interval for alpha
    0.30330
  • Treynor index (mean / b)
    0.28964
  • Jensen alpha (a)
    0.15081
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06266
  • Expected Shortfall on VaR
    0.08240
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02438
  • Expected Shortfall on VaR
    0.04863
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    62.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98682
  • Median
    1.02700
  • Quartile 3
    1.06183
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95848
  • Mean of quarter 2
    1.00318
  • Mean of quarter 3
    1.04295
  • Mean of quarter 4
    1.09020
  • Inter Quartile Range
    0.07502
  • 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)
    -1.56144
  • VaR(95%) (moments method)
    0.03504
  • Expected Shortfall (moments method)
    0.03628
  • Extreme Value Index (regression method)
    -0.20064
  • VaR(95%) (regression method)
    0.03710
  • Expected Shortfall (regression method)
    0.04746
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00063
  • Quartile 1
    0.02023
  • Median
    0.03874
  • Quartile 3
    0.06335
  • Maximum
    0.16208
  • Mean of quarter 1
    0.00700
  • Mean of quarter 2
    0.03286
  • Mean of quarter 3
    0.04827
  • Mean of quarter 4
    0.11118
  • Inter Quartile Range
    0.04311
  • 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
    0.16208
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.21141
  • VaR(95%) (moments method)
    0.12799
  • Expected Shortfall (moments method)
    0.13043
  • Extreme Value Index (regression method)
    -0.04540
  • VaR(95%) (regression method)
    0.16909
  • Expected Shortfall (regression method)
    0.22582
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57040
  • Compounded annual return (geometric extrapolation)
    0.30439
  • Calmar ratio (compounded annual return / max draw down)
    1.87799
  • Compounded annual return / average of 25% largest draw downs
    2.73792
  • Compounded annual return / Expected Shortfall lognormal
    3.69399
  • 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
    0.25248
  • SD
    0.16267
  • Sharpe ratio (Glass type estimate)
    1.55214
  • Sharpe ratio (Hedges UMVUE)
    1.55129
  • df
    1369.00000
  • t
    3.54928
  • p
    0.43930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.69278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41094
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69221
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41037
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25401
  • Upside Potential Ratio
    9.67294
  • Upside part of mean
    1.08349
  • Downside part of mean
    -0.83102
  • Upside SD
    0.11890
  • Downside SD
    0.11201
  • N nonnegative terms
    771.00000
  • N negative terms
    599.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1370.00000
  • Mean of predictor
    0.10687
  • Mean of criterion
    0.25248
  • SD of predictor
    0.12309
  • SD of criterion
    0.16267
  • Covariance
    0.00368
  • r
    0.18382
  • b (slope, estimate of beta)
    0.24292
  • a (intercept, estimate of alpha)
    0.22700
  • Mean Square Error
    0.02558
  • DF error
    1368.00000
  • t(b)
    6.91669
  • p(b)
    0.40809
  • t(a)
    3.23369
  • p(a)
    0.45645
  • Lowerbound of 95% confidence interval for beta
    0.17402
  • Upperbound of 95% confidence interval for beta
    0.31181
  • Lowerbound of 95% confidence interval for alpha
    0.08910
  • Upperbound of 95% confidence interval for alpha
    0.36393
  • Treynor index (mean / b)
    1.03936
  • Jensen alpha (a)
    0.22652
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23909
  • SD
    0.16296
  • Sharpe ratio (Glass type estimate)
    1.46712
  • Sharpe ratio (Hedges UMVUE)
    1.46632
  • df
    1369.00000
  • t
    3.35488
  • p
    0.44259
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60800
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60745
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32519
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10710
  • Upside Potential Ratio
    9.48641
  • Upside part of mean
    1.07640
  • Downside part of mean
    -0.83731
  • Upside SD
    0.11782
  • Downside SD
    0.11347
  • N nonnegative terms
    771.00000
  • N negative terms
    599.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1370.00000
  • Mean of predictor
    0.09925
  • Mean of criterion
    0.23909
  • SD of predictor
    0.12330
  • SD of criterion
    0.16296
  • Covariance
    0.00370
  • r
    0.18408
  • b (slope, estimate of beta)
    0.24328
  • a (intercept, estimate of alpha)
    0.21494
  • Mean Square Error
    0.02568
  • DF error
    1368.00000
  • t(b)
    6.92678
  • p(b)
    0.40796
  • t(a)
    3.06358
  • p(a)
    0.45873
  • Lowerbound of 95% confidence interval for beta
    0.17438
  • Upperbound of 95% confidence interval for beta
    0.31218
  • Lowerbound of 95% confidence interval for alpha
    0.07731
  • Upperbound of 95% confidence interval for alpha
    0.35257
  • Treynor index (mean / b)
    0.98276
  • Jensen alpha (a)
    0.21494
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01553
  • Expected Shortfall on VaR
    0.01965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00665
  • Expected Shortfall on VaR
    0.01368
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1370.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99586
  • Median
    1.00143
  • Quartile 3
    1.00652
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98888
  • Mean of quarter 2
    0.99883
  • Mean of quarter 3
    1.00364
  • Mean of quarter 4
    1.01293
  • Inter Quartile Range
    0.01066
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.02993
  • Mean of outliers low
    0.97244
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.01898
  • Mean of outliers high
    1.02821
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22447
  • VaR(95%) (moments method)
    0.01072
  • Expected Shortfall (moments method)
    0.01700
  • Extreme Value Index (regression method)
    0.10689
  • VaR(95%) (regression method)
    0.01025
  • Expected Shortfall (regression method)
    0.01487
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00473
  • Median
    0.02055
  • Quartile 3
    0.04815
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00219
  • Mean of quarter 2
    0.01266
  • Mean of quarter 3
    0.03561
  • Mean of quarter 4
    0.08842
  • Inter Quartile Range
    0.04342
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    0.14943
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.13576
  • VaR(95%) (moments method)
    0.09047
  • Expected Shortfall (moments method)
    0.11144
  • Extreme Value Index (regression method)
    0.01544
  • VaR(95%) (regression method)
    0.10150
  • Expected Shortfall (regression method)
    0.13490
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58127
  • Compounded annual return (geometric extrapolation)
    0.30603
  • Calmar ratio (compounded annual return / max draw down)
    1.72742
  • Compounded annual return / average of 25% largest draw downs
    3.46118
  • Compounded annual return / Expected Shortfall lognormal
    15.57260
  • 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
    0.43201
  • SD
    0.16180
  • Sharpe ratio (Glass type estimate)
    2.67003
  • Sharpe ratio (Hedges UMVUE)
    2.65460
  • df
    130.00000
  • t
    1.88800
  • p
    0.41832
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.45579
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44512
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.51978
  • Upside Potential Ratio
    8.66931
  • Upside part of mean
    1.06405
  • Downside part of mean
    -0.63204
  • Upside SD
    0.10783
  • Downside SD
    0.12274
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20604
  • Mean of criterion
    0.43201
  • SD of predictor
    0.11670
  • SD of criterion
    0.16180
  • Covariance
    0.00547
  • r
    0.28946
  • b (slope, estimate of beta)
    0.40133
  • a (intercept, estimate of alpha)
    0.34932
  • Mean Square Error
    0.02417
  • DF error
    129.00000
  • t(b)
    3.43474
  • p(b)
    0.31833
  • t(a)
    1.57932
  • p(a)
    0.41260
  • Lowerbound of 95% confidence interval for beta
    0.17015
  • Upperbound of 95% confidence interval for beta
    0.63251
  • Lowerbound of 95% confidence interval for alpha
    -0.08830
  • Upperbound of 95% confidence interval for alpha
    0.78694
  • Treynor index (mean / b)
    1.07645
  • Jensen alpha (a)
    0.34932
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41842
  • SD
    0.16381
  • Sharpe ratio (Glass type estimate)
    2.55435
  • Sharpe ratio (Hedges UMVUE)
    2.53959
  • df
    130.00000
  • t
    1.80620
  • p
    0.42177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23952
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.33864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.32853
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.32550
  • Upside Potential Ratio
    8.41015
  • Upside part of mean
    1.05818
  • Downside part of mean
    -0.63976
  • Upside SD
    0.10708
  • Downside SD
    0.12582
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19911
  • Mean of criterion
    0.41842
  • SD of predictor
    0.11769
  • SD of criterion
    0.16381
  • Covariance
    0.00552
  • r
    0.28614
  • b (slope, estimate of beta)
    0.39827
  • a (intercept, estimate of alpha)
    0.33912
  • Mean Square Error
    0.02483
  • DF error
    129.00000
  • t(b)
    3.39176
  • p(b)
    0.32035
  • t(a)
    1.51358
  • p(a)
    0.41615
  • Lowerbound of 95% confidence interval for beta
    0.16595
  • Upperbound of 95% confidence interval for beta
    0.63059
  • Lowerbound of 95% confidence interval for alpha
    -0.10417
  • Upperbound of 95% confidence interval for alpha
    0.78242
  • Treynor index (mean / b)
    1.05060
  • Jensen alpha (a)
    0.33912
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01494
  • Expected Shortfall on VaR
    0.01909
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00469
  • Expected Shortfall on VaR
    0.01084
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99801
  • Median
    1.00173
  • Quartile 3
    1.00751
  • Maximum
    1.02532
  • Mean of quarter 1
    0.99111
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00412
  • Mean of quarter 4
    1.01199
  • Inter Quartile Range
    0.00950
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96572
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02387
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78147
  • VaR(95%) (moments method)
    0.00881
  • Expected Shortfall (moments method)
    0.04263
  • Extreme Value Index (regression method)
    0.92517
  • VaR(95%) (regression method)
    0.00759
  • Expected Shortfall (regression method)
    0.09551
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00132
  • Quartile 1
    0.00429
  • Median
    0.00770
  • Quartile 3
    0.01748
  • Maximum
    0.09375
  • Mean of quarter 1
    0.00265
  • Mean of quarter 2
    0.00532
  • Mean of quarter 3
    0.01293
  • Mean of quarter 4
    0.04878
  • Inter Quartile Range
    0.01319
  • 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
    0.12500
  • Mean of outliers high
    0.07008
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.91164
  • VaR(95%) (moments method)
    0.04952
  • Expected Shortfall (moments method)
    0.05533
  • Extreme Value Index (regression method)
    0.26915
  • VaR(95%) (regression method)
    0.07657
  • Expected Shortfall (regression method)
    0.13650
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50005
  • Compounded annual return (geometric extrapolation)
    0.56256
  • Calmar ratio (compounded annual return / max draw down)
    6.00042
  • Compounded annual return / average of 25% largest draw downs
    11.53210
  • Compounded annual return / Expected Shortfall lognormal
    29.47500

Strategy Description

Who am I? After my degree in Finance from Northeastern University in Boston I started out at Lehman Brothers in Boston in 1982 as an assistant trader. In 1984 I went to EF Hutton in Los Angeles and became Options Trading Coordinator in Beverly Hills. During this time I placed second in the 1987 US Trading Championship in the Options Writing Category and was featured in Investors Business Daily and Barrons and various radio stations. By 1990 I moved to AG Edwards and Sons and remained there until 1995 when I opened up my own shop. Since all three firms no longer exist I consider this the best move I ever made.

I'm no longer live in the big cities but manage client portfolios and C2 portfolios daily from my ranch near Rocky Mountain National Park in Colorado.

In my 35 years I've explored, tested and traded hundreds of systems and made just about every mistake that can be made and then some. What we provide to subscribers to C2 is the end result of all the years of education and experience of being a professional investor and we hope it makes a difference in your life.

Brad Pappas

Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$15,000
# Trades
599
# Profitable
286
% Profitable
47.7%
Net Dividends
Correlation S&P500
0.192
Sharpe Ratio
1.551

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.