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Optimized Partners II (77331265)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 12 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.

25.0%
Annual Return (Compounded)
27.1%
Max Drawdown
561
Num Trades
46.9%
Win Trades
1.7 : 1
Profit Factor
60.7%
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%+3.6%            +47.2%

Model Account Details

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

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

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

Trading Record

This strategy has placed 504 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/3/17 12:01 UNH UNITEDHEALTH GROUP LONG 31 188.57 10/10 11:35 194.55 0.01%
Trade id #112388060
Max drawdown($9)
Time9/22/17 13:24
Quant open31
Worst price188.25
Drawdown as % of equity-0.01%
$184
Includes Typical Broker Commissions trade costs of $0.62
3/24/17 11:47 SHOP SHOPIFY INC LONG 60 69.78 10/4 11:58 111.57 n/a $2,506
Includes Typical Broker Commissions trade costs of $1.20
8/22/17 10:49 EDU NEW ORIENTAL LONG 49 84.33 10/2 13:41 88.53 0.74%
Trade id #113276705
Max drawdown($473)
Time8/29/17 9:42
Quant open49
Worst price74.66
Drawdown as % of equity-0.74%
$205
Includes Typical Broker Commissions trade costs of $0.98
8/30/17 11:56 ATVI ACTIVISION BLIZZARD LONG 60 64.71 10/2 13:06 63.30 0.3%
Trade id #113448222
Max drawdown($203)
Time9/25/17 12:21
Quant open60
Worst price61.32
Drawdown as % of equity-0.30%
($86)
Includes Typical Broker Commissions trade costs of $1.20
9/14/17 13:20 TSLA TESLA INC. LONG 12 374.23 9/28 11:27 336.98 0.71%
Trade id #113686672
Max drawdown($465)
Time9/28/17 9:59
Quant open12
Worst price335.40
Drawdown as % of equity-0.71%
($447)
Includes Typical Broker Commissions trade costs of $0.24
3/7/17 12:18 AMX AMERICA MOVIL LONG 420 13.52 9/28 9:30 17.93 n/a $1,846
Includes Typical Broker Commissions trade costs of $8.40
1/20/17 12:04 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 27 191.47 9/20 11:20 242.81 n/a $1,385
Includes Typical Broker Commissions trade costs of $0.54
8/24/17 10:56 PAYC PAYCOM SOFTWARE INC LONG 60 74.28 9/14 13:20 74.83 0.27%
Trade id #113317878
Max drawdown($172)
Time8/29/17 10:12
Quant open60
Worst price71.40
Drawdown as % of equity-0.27%
$32
Includes Typical Broker Commissions trade costs of $1.20
8/24/17 13:26 AMT AMERICAN TOWER LONG 35 144.13 9/12 12:25 144.49 0.02%
Trade id #113323088
Max drawdown($15)
Time8/24/17 13:45
Quant open35
Worst price143.69
Drawdown as % of equity-0.02%
$12
Includes Typical Broker Commissions trade costs of $0.70
8/22/17 15:23 SPGI S & P GLOBAL INC LONG 33 152.65 9/7 14:22 151.27 0.14%
Trade id #113282001
Max drawdown($88)
Time8/29/17 9:32
Quant open33
Worst price149.97
Drawdown as % of equity-0.14%
($47)
Includes Typical Broker Commissions trade costs of $0.66
8/16/17 10:27 PLUS EPLUS LONG 65 81.95 9/7 14:22 80.75 0.23%
Trade id #113173810
Max drawdown($149)
Time8/17/17 10:15
Quant open65
Worst price79.65
Drawdown as % of equity-0.23%
($79)
Includes Typical Broker Commissions trade costs of $1.30
7/24/17 10:50 MOMO MOMO INC. AMERICAN DEPOSITARY LONG 95 44.19 8/22 10:48 37.01 1.07%
Trade id #112747799
Max drawdown($691)
Time8/22/17 9:58
Quant open95
Worst price36.91
Drawdown as % of equity-1.07%
($684)
Includes Typical Broker Commissions trade costs of $1.90
6/13/17 10:58 JD JD.COM INC LONG 125 39.18 8/15 14:08 43.48 n/a $536
Includes Typical Broker Commissions trade costs of $2.50
7/19/17 11:03 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 100 52.97 8/10 12:39 50.31 0.42%
Trade id #112682494
Max drawdown($266)
Time8/10/17 12:39
Quant open0
Worst price50.31
Drawdown as % of equity-0.42%
($268)
Includes Typical Broker Commissions trade costs of $2.00
7/10/17 13:26 ZIV VELOCITYSHARES DAILY INVERSE V LONG 75 69.81 8/10 11:06 70.72 0.11%
Trade id #112500285
Max drawdown($66)
Time7/11/17 11:27
Quant open75
Worst price68.92
Drawdown as % of equity-0.11%
$67
Includes Typical Broker Commissions trade costs of $1.50
6/30/17 13:09 TVTY TIVITY HEALTH INC LONG 100 40.00 8/10 11:06 37.50 0.44%
Trade id #112307623
Max drawdown($285)
Time8/2/17 12:31
Quant open100
Worst price37.15
Drawdown as % of equity-0.44%
($252)
Includes Typical Broker Commissions trade costs of $2.00
8/8/17 11:45 NOVT NOVANTA INC. COMMON STOCK LONG 120 39.35 8/10 11:06 37.20 0.43%
Trade id #113038969
Max drawdown($282)
Time8/10/17 11:04
Quant open120
Worst price37.00
Drawdown as % of equity-0.43%
($260)
Includes Typical Broker Commissions trade costs of $2.40
6/28/17 11:33 MDC M.D.C. HOLDINGS LONG 122 36.90 8/4 14:33 34.47 0.83%
Trade id #112262829
Max drawdown($529)
Time8/1/17 9:31
Quant open122
Worst price32.56
Drawdown as % of equity-0.83%
($298)
Includes Typical Broker Commissions trade costs of $2.44
11/22/16 11:33 WDC WESTERN DIGITAL LONG 130 61.48 8/4/17 14:08 81.35 0.18%
Trade id #107401381
Max drawdown($82)
Time11/23/16 13:12
Quant open100
Worst price60.30
Drawdown as % of equity-0.18%
$2,579
Includes Typical Broker Commissions trade costs of $2.60
7/7/17 12:48 HRC HILL-ROM HOLDINGS LONG 60 81.49 8/4 14:08 74.82 0.88%
Trade id #112472670
Max drawdown($569)
Time7/28/17 9:37
Quant open60
Worst price72.00
Drawdown as % of equity-0.88%
($401)
Includes Typical Broker Commissions trade costs of $1.20
3/31/17 14:24 SGMS SCIENTIFIC GAMES LONG 200 23.65 7/25 13:25 38.35 n/a $2,936
Includes Typical Broker Commissions trade costs of $4.00
7/7/17 11:50 WD WALKER & DUNLOP LONG 80 52.66 7/20 11:38 49.60 0.59%
Trade id #112470993
Max drawdown($361)
Time7/17/17 15:43
Quant open80
Worst price48.14
Drawdown as % of equity-0.59%
($247)
Includes Typical Broker Commissions trade costs of $1.60
6/22/17 11:38 AAOI APPLIED OPTOELECTRONICS INC. LONG 55 63.15 7/18 12:35 90.33 0.67%
Trade id #112173140
Max drawdown($398)
Time6/28/17 5:54
Quant open55
Worst price55.91
Drawdown as % of equity-0.67%
$1,494
Includes Typical Broker Commissions trade costs of $1.10
6/20/17 10:56 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 360 22.24 7/6 10:33 20.07 1.37%
Trade id #112136247
Max drawdown($787)
Time7/6/17 10:29
Quant open360
Worst price20.05
Drawdown as % of equity-1.37%
($788)
Includes Typical Broker Commissions trade costs of $7.20
6/14/17 10:44 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 126.27 7/6 10:33 123.13 0.56%
Trade id #112053141
Max drawdown($320)
Time7/6/17 10:29
Quant open100
Worst price123.07
Drawdown as % of equity-0.56%
($316)
Includes Typical Broker Commissions trade costs of $2.00
2/14/17 13:17 MU MICRON TECHNOLOGY LONG 200 23.19 7/3 12:00 28.99 n/a $1,156
Includes Typical Broker Commissions trade costs of $4.00
3/27/17 11:30 CGNX COGNEX LONG 50 79.71 6/30 13:09 85.42 n/a $285
Includes Typical Broker Commissions trade costs of $1.00
1/9/17 11:39 NFLX NETFLIX LONG 40 131.47 6/28 11:32 152.90 n/a $856
Includes Typical Broker Commissions trade costs of $0.80
3/31/17 14:25 BRKS BROOKS AUTOMATION LONG 195 22.40 6/26 14:27 24.92 n/a $487
Includes Typical Broker Commissions trade costs of $3.90
3/31/17 14:24 CC CHEMOURS CO LONG 100 38.71 6/22 11:21 36.74 0.51%
Trade id #110591555
Max drawdown($313)
Time6/22/17 9:45
Quant open100
Worst price35.58
Drawdown as % of equity-0.51%
($199)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    10/25/2012
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1822.77
  • Age
    61 months ago
  • What it trades
    Stocks
  • # Trades
    561
  • # Profitable
    263
  • % Profitable
    46.90%
  • Avg trade duration
    35.1 days
  • Max peak-to-valley drawdown
    27.12%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    25.0%
  • Avg win
    $455.34
  • Avg loss
    $246.84
  • Model Account Values (Raw)
  • Cash
    $34,549
  • Margin Used
    $0
  • Buying Power
    $41,919
  • Ratios
  • W:L ratio
    1.66:1
  • Sharpe Ratio
    1.463
  • Sortino Ratio
    2.153
  • Calmar Ratio
    1.607
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18700
  • Return Statistics
  • Ann Return (w trading costs)
    25.0%
  • Ann Return (Compnd, No Fees)
    28.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.00%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    471
  • Popularity (Last 6 weeks)
    868
  • C2 Score
    88.0
  • 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
    $247
  • Avg Win
    $455
  • # Winners
    263
  • # Losers
    298
  • % Winners
    46.9%
  • Frequency
  • Avg Position Time (mins)
    50520.40
  • Avg Position Time (hrs)
    842.01
  • Avg Trade Length
    35.1 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23702
  • SD
    0.18475
  • Sharpe ratio (Glass type estimate)
    1.28293
  • Sharpe ratio (Hedges UMVUE)
    1.26597
  • df
    57.00000
  • t
    2.82050
  • p
    0.00329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35571
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18727
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70183
  • Upside Potential Ratio
    4.51237
  • Upside part of mean
    0.39585
  • Downside part of mean
    -0.15883
  • Upside SD
    0.17472
  • Downside SD
    0.08772
  • N nonnegative terms
    35.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.09554
  • Mean of criterion
    0.23702
  • SD of predictor
    0.09045
  • SD of criterion
    0.18475
  • Covariance
    0.00662
  • r
    0.39595
  • b (slope, estimate of beta)
    0.80872
  • a (intercept, estimate of alpha)
    0.15976
  • Mean Square Error
    0.02929
  • DF error
    56.00000
  • t(b)
    3.22675
  • p(b)
    0.00105
  • t(a)
    1.96138
  • p(a)
    0.02741
  • Lowerbound of 95% confidence interval for beta
    0.30665
  • Upperbound of 95% confidence interval for beta
    1.31079
  • Lowerbound of 95% confidence interval for alpha
    -0.00341
  • Upperbound of 95% confidence interval for alpha
    0.32292
  • Treynor index (mean / b)
    0.29308
  • Jensen alpha (a)
    0.15976
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21817
  • SD
    0.18031
  • Sharpe ratio (Glass type estimate)
    1.20994
  • Sharpe ratio (Hedges UMVUE)
    1.19395
  • df
    57.00000
  • t
    2.66004
  • p
    0.00506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28632
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12359
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11200
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41963
  • Upside Potential Ratio
    4.22124
  • Upside part of mean
    0.38061
  • Downside part of mean
    -0.16244
  • Upside SD
    0.16670
  • Downside SD
    0.09017
  • N nonnegative terms
    35.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.09098
  • Mean of criterion
    0.21817
  • SD of predictor
    0.08988
  • SD of criterion
    0.18031
  • Covariance
    0.00637
  • r
    0.39283
  • b (slope, estimate of beta)
    0.78810
  • a (intercept, estimate of alpha)
    0.14647
  • Mean Square Error
    0.02799
  • DF error
    56.00000
  • t(b)
    3.19667
  • p(b)
    0.00114
  • t(a)
    1.84629
  • p(a)
    0.03507
  • Lowerbound of 95% confidence interval for beta
    0.29423
  • Upperbound of 95% confidence interval for beta
    1.28198
  • Lowerbound of 95% confidence interval for alpha
    -0.01245
  • Upperbound of 95% confidence interval for alpha
    0.30539
  • Treynor index (mean / b)
    0.27683
  • Jensen alpha (a)
    0.14647
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06521
  • Expected Shortfall on VaR
    0.08516
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02650
  • Expected Shortfall on VaR
    0.05176
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    58.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98631
  • Median
    1.02262
  • Quartile 3
    1.06183
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95659
  • Mean of quarter 2
    1.00070
  • Mean of quarter 3
    1.04096
  • Mean of quarter 4
    1.08989
  • 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)
    -3.68418
  • VaR(95%) (moments method)
    0.03365
  • Expected Shortfall (moments method)
    0.03370
  • Extreme Value Index (regression method)
    -0.27081
  • VaR(95%) (regression method)
    0.03872
  • Expected Shortfall (regression method)
    0.04830
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00903
  • Quartile 1
    0.02952
  • Median
    0.03932
  • Quartile 3
    0.06671
  • Maximum
    0.16208
  • Mean of quarter 1
    0.01650
  • Mean of quarter 2
    0.03472
  • Mean of quarter 3
    0.04827
  • Mean of quarter 4
    0.11118
  • Inter Quartile Range
    0.03718
  • 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
    0.10000
  • 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)
    0.12866
  • Expected Shortfall (moments method)
    0.13064
  • Extreme Value Index (regression method)
    -0.04540
  • VaR(95%) (regression method)
    0.17424
  • Expected Shortfall (regression method)
    0.23075
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47276
  • Compounded annual return (geometric extrapolation)
    0.27900
  • Calmar ratio (compounded annual return / max draw down)
    1.72131
  • Compounded annual return / average of 25% largest draw downs
    2.50950
  • Compounded annual return / Expected Shortfall lognormal
    3.27628
  • 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
    0.23575
  • SD
    0.16103
  • Sharpe ratio (Glass type estimate)
    1.46400
  • Sharpe ratio (Hedges UMVUE)
    1.46315
  • df
    1281.00000
  • t
    3.23844
  • p
    0.44271
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35159
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35100
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15290
  • Upside Potential Ratio
    9.81041
  • Upside part of mean
    1.07427
  • Downside part of mean
    -0.83852
  • Upside SD
    0.11888
  • Downside SD
    0.10950
  • N nonnegative terms
    720.00000
  • N negative terms
    562.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1282.00000
  • Mean of predictor
    0.10224
  • Mean of criterion
    0.23575
  • SD of predictor
    0.12201
  • SD of criterion
    0.16103
  • Covariance
    0.00348
  • r
    0.17694
  • b (slope, estimate of beta)
    0.23352
  • a (intercept, estimate of alpha)
    0.21200
  • Mean Square Error
    0.02514
  • DF error
    1280.00000
  • t(b)
    6.43182
  • p(b)
    0.41153
  • t(a)
    2.95202
  • p(a)
    0.45888
  • Lowerbound of 95% confidence interval for beta
    0.16229
  • Upperbound of 95% confidence interval for beta
    0.30475
  • Lowerbound of 95% confidence interval for alpha
    0.07107
  • Upperbound of 95% confidence interval for alpha
    0.35268
  • Treynor index (mean / b)
    1.00953
  • Jensen alpha (a)
    0.21187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22266
  • SD
    0.16115
  • Sharpe ratio (Glass type estimate)
    1.38173
  • Sharpe ratio (Hedges UMVUE)
    1.38093
  • df
    1281.00000
  • t
    3.05645
  • p
    0.44590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49383
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26914
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26858
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01057
  • Upside Potential Ratio
    9.63638
  • Upside part of mean
    1.06717
  • Downside part of mean
    -0.84451
  • Upside SD
    0.11778
  • Downside SD
    0.11074
  • N nonnegative terms
    720.00000
  • N negative terms
    562.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1282.00000
  • Mean of predictor
    0.09476
  • Mean of criterion
    0.22266
  • SD of predictor
    0.12215
  • SD of criterion
    0.16115
  • Covariance
    0.00349
  • r
    0.17734
  • b (slope, estimate of beta)
    0.23397
  • a (intercept, estimate of alpha)
    0.20049
  • Mean Square Error
    0.02517
  • DF error
    1280.00000
  • t(b)
    6.44697
  • p(b)
    0.41133
  • t(a)
    2.79214
  • p(a)
    0.46110
  • Lowerbound of 95% confidence interval for beta
    0.16277
  • Upperbound of 95% confidence interval for beta
    0.30516
  • Lowerbound of 95% confidence interval for alpha
    0.05962
  • Upperbound of 95% confidence interval for alpha
    0.34136
  • Treynor index (mean / b)
    0.95167
  • Jensen alpha (a)
    0.20049
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01541
  • Expected Shortfall on VaR
    0.01949
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00675
  • Expected Shortfall on VaR
    0.01368
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1282.00000
  • Minimum
    0.93899
  • Quartile 1
    0.99564
  • Median
    1.00142
  • Quartile 3
    1.00633
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98887
  • Mean of quarter 2
    0.99872
  • Mean of quarter 3
    1.00355
  • Mean of quarter 4
    1.01289
  • Inter Quartile Range
    0.01069
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.02730
  • Mean of outliers low
    0.97291
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.01950
  • Mean of outliers high
    1.02832
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20172
  • VaR(95%) (moments method)
    0.01085
  • Expected Shortfall (moments method)
    0.01677
  • Extreme Value Index (regression method)
    0.10095
  • VaR(95%) (regression method)
    0.01049
  • Expected Shortfall (regression method)
    0.01507
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00884
  • Median
    0.03105
  • Quartile 3
    0.05600
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00241
  • Mean of quarter 2
    0.01962
  • Mean of quarter 3
    0.04086
  • Mean of quarter 4
    0.09421
  • Inter Quartile Range
    0.04716
  • 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
    0.04444
  • Mean of outliers high
    0.16229
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.07866
  • VaR(95%) (moments method)
    0.09917
  • Expected Shortfall (moments method)
    0.13057
  • Extreme Value Index (regression method)
    0.19779
  • VaR(95%) (regression method)
    0.10127
  • Expected Shortfall (regression method)
    0.14131
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49207
  • Compounded annual return (geometric extrapolation)
    0.28475
  • Calmar ratio (compounded annual return / max draw down)
    1.60731
  • Compounded annual return / average of 25% largest draw downs
    3.02250
  • Compounded annual return / Expected Shortfall lognormal
    14.61290
  • 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
    0.51770
  • SD
    0.19671
  • Sharpe ratio (Glass type estimate)
    2.63177
  • Sharpe ratio (Hedges UMVUE)
    2.61655
  • df
    130.00000
  • t
    1.86094
  • p
    0.41946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.41699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17344
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.40655
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.81786
  • Upside Potential Ratio
    10.84570
  • Upside part of mean
    1.47066
  • Downside part of mean
    -0.95297
  • Upside SD
    0.14504
  • Downside SD
    0.13560
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15265
  • Mean of criterion
    0.51770
  • SD of predictor
    0.06992
  • SD of criterion
    0.19671
  • Covariance
    0.00728
  • r
    0.52925
  • b (slope, estimate of beta)
    1.48890
  • a (intercept, estimate of alpha)
    0.29041
  • Mean Square Error
    0.02807
  • DF error
    129.00000
  • t(b)
    7.08467
  • p(b)
    0.17954
  • t(a)
    1.21455
  • p(a)
    0.43244
  • Lowerbound of 95% confidence interval for beta
    1.07310
  • Upperbound of 95% confidence interval for beta
    1.90471
  • Lowerbound of 95% confidence interval for alpha
    -0.18267
  • Upperbound of 95% confidence interval for alpha
    0.76350
  • Treynor index (mean / b)
    0.34770
  • Jensen alpha (a)
    0.29041
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49790
  • SD
    0.19718
  • Sharpe ratio (Glass type estimate)
    2.52506
  • Sharpe ratio (Hedges UMVUE)
    2.51047
  • df
    130.00000
  • t
    1.78549
  • p
    0.42264
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26842
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27809
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29902
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.62402
  • Upside Potential Ratio
    10.62770
  • Upside part of mean
    1.46012
  • Downside part of mean
    -0.96222
  • Upside SD
    0.14372
  • Downside SD
    0.13739
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15016
  • Mean of criterion
    0.49790
  • SD of predictor
    0.07004
  • SD of criterion
    0.19718
  • Covariance
    0.00732
  • r
    0.53004
  • b (slope, estimate of beta)
    1.49214
  • a (intercept, estimate of alpha)
    0.27384
  • Mean Square Error
    0.02817
  • DF error
    129.00000
  • t(b)
    7.09938
  • p(b)
    0.17911
  • t(a)
    1.14352
  • p(a)
    0.43633
  • Lowerbound of 95% confidence interval for beta
    1.07629
  • Upperbound of 95% confidence interval for beta
    1.90798
  • Lowerbound of 95% confidence interval for alpha
    -0.19995
  • Upperbound of 95% confidence interval for alpha
    0.74763
  • Treynor index (mean / b)
    0.33368
  • Jensen alpha (a)
    0.27384
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01797
  • Expected Shortfall on VaR
    0.02295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00660
  • Expected Shortfall on VaR
    0.01435
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95967
  • Quartile 1
    0.99688
  • Median
    1.00292
  • Quartile 3
    1.00906
  • Maximum
    1.03227
  • Mean of quarter 1
    0.98645
  • Mean of quarter 2
    1.00014
  • Mean of quarter 3
    1.00580
  • Mean of quarter 4
    1.01605
  • Inter Quartile Range
    0.01218
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97145
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03227
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25752
  • VaR(95%) (moments method)
    0.01149
  • Expected Shortfall (moments method)
    0.01967
  • Extreme Value Index (regression method)
    0.03859
  • VaR(95%) (regression method)
    0.01389
  • Expected Shortfall (regression method)
    0.02076
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00138
  • Quartile 1
    0.02388
  • Median
    0.04102
  • Quartile 3
    0.05808
  • Maximum
    0.12372
  • Mean of quarter 1
    0.01096
  • Mean of quarter 2
    0.03389
  • Mean of quarter 3
    0.04815
  • Mean of quarter 4
    0.09256
  • Inter Quartile Range
    0.03420
  • 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
    0.16667
  • Mean of outliers high
    0.12372
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60140
  • Compounded annual return (geometric extrapolation)
    0.69182
  • Calmar ratio (compounded annual return / max draw down)
    5.59190
  • Compounded annual return / average of 25% largest draw downs
    7.47460
  • Compounded annual return / Expected Shortfall lognormal
    30.14480

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
Minimum Capital Required
$5,000
# Trades
561
# Profitable
263
% Profitable
46.9%
Net Dividends
Correlation S&P500
0.187
Sharpe Ratio
1.463

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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