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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 $75.00 per month.

26.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

27.1%
Max Drawdown
620
Num Trades
46.3%
Win Trades
1.7 : 1
Profit Factor
59.7%
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%+6.6%+3.7%(0.5%)+56.3%
2018+11.3%+0.3%(0.4%)(0.2%)                                                +10.9%

Model Account Details

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

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

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

Trading Record

This strategy has placed 529 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/6/18 11:28 VXX IPATH S&P 500 VIX ST FUTURES E LONG 350 48.87 4/12 9:43 47.53 0.62%
Trade id #117405544
Max drawdown($495)
Time4/12/18 9:43
Quant open350
Worst price47.45
Drawdown as % of equity-0.62%
($475)
Includes Typical Broker Commissions trade costs of $7.00
2/23/18 15:29 V VISA LONG 53 122.66 4/9 11:57 120.16 0.44%
Trade id #116703373
Max drawdown($351)
Time3/28/18 10:48
Quant open53
Worst price116.03
Drawdown as % of equity-0.44%
($134)
Includes Typical Broker Commissions trade costs of $1.06
3/9/18 10:14 SPGI S & P GLOBAL INC LONG 36 195.17 4/6 11:49 188.01 0.53%
Trade id #116959244
Max drawdown($411)
Time4/2/18 14:06
Quant open36
Worst price183.75
Drawdown as % of equity-0.53%
($259)
Includes Typical Broker Commissions trade costs of $0.72
1/3/18 10:01 NVDA NVIDIA LONG 22 207.76 4/6 11:27 217.47 n/a $214
Includes Typical Broker Commissions trade costs of $0.44
3/5/18 14:17 TSS TOTAL SYSTEM SERVICES LONG 80 88.15 4/6 11:27 85.12 0.51%
Trade id #116867732
Max drawdown($393)
Time4/4/18 10:04
Quant open80
Worst price83.23
Drawdown as % of equity-0.51%
($244)
Includes Typical Broker Commissions trade costs of $1.60
3/12/18 12:47 MXIM MAXIM INTEGRATED PRODUCTS LONG 55 63.74 4/6 11:27 57.63 0.48%
Trade id #116997956
Max drawdown($376)
Time4/2/18 14:43
Quant open55
Worst price56.89
Drawdown as % of equity-0.48%
($337)
Includes Typical Broker Commissions trade costs of $1.10
3/8/18 11:06 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 55 99.25 4/3 9:52 96.00 0.3%
Trade id #116931765
Max drawdown($233)
Time4/3/18 9:31
Quant open55
Worst price95.00
Drawdown as % of equity-0.30%
($180)
Includes Typical Broker Commissions trade costs of $1.10
3/19/18 11:04 VXX IPATH S&P 500 VIX ST FUTURES E LONG 500 44.33 3/29 14:36 47.53 1.13%
Trade id #117116935
Max drawdown($923)
Time3/21/18 14:01
Quant open300
Worst price39.53
Drawdown as % of equity-1.13%
$1,590
Includes Typical Broker Commissions trade costs of $10.00
3/28/18 15:11 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 350 19.40 3/29 13:54 18.22 0.53%
Trade id #117285863
Max drawdown($423)
Time3/29/18 13:53
Quant open350
Worst price18.19
Drawdown as % of equity-0.53%
($418)
Includes Typical Broker Commissions trade costs of $7.00
3/27/18 10:35 RHT RED HAT LONG 22 159.50 3/28 9:38 148.12 0.31%
Trade id #117253919
Max drawdown($250)
Time3/28/18 9:38
Quant open0
Worst price148.12
Drawdown as % of equity-0.31%
($250)
Includes Typical Broker Commissions trade costs of $0.44
2/26/18 12:48 ACN ACCENTURE LONG 35 164.02 3/22 9:52 152.90 0.48%
Trade id #116727795
Max drawdown($396)
Time3/22/18 9:52
Quant open35
Worst price152.70
Drawdown as % of equity-0.48%
($390)
Includes Typical Broker Commissions trade costs of $0.70
3/12/18 12:47 ANET ARISTA NETWORKS INC LONG 14 300.05 3/19 11:04 278.60 0.47%
Trade id #116997951
Max drawdown($389)
Time3/19/18 9:31
Quant open14
Worst price272.25
Drawdown as % of equity-0.47%
($300)
Includes Typical Broker Commissions trade costs of $0.28
2/23/18 10:51 TAL TAL EDUCATION GROUP LONG 110 37.78 3/16 10:48 37.80 0.54%
Trade id #116691431
Max drawdown($426)
Time3/2/18 9:33
Quant open110
Worst price33.90
Drawdown as % of equity-0.54%
$0
Includes Typical Broker Commissions trade costs of $2.20
2/16/18 13:55 NMIH NMI HOLDINGS INC. CLASS A COMM LONG 450 20.60 3/8 10:46 19.80 1.74%
Trade id #116565663
Max drawdown($1,395)
Time3/1/18 4:01
Quant open450
Worst price17.50
Drawdown as % of equity-1.74%
($369)
Includes Typical Broker Commissions trade costs of $9.00
2/21/18 14:16 YY YY LONG 36 135.27 3/6 11:02 120.15 0.68%
Trade id #116647678
Max drawdown($544)
Time3/6/18 11:02
Quant open0
Worst price120.15
Drawdown as % of equity-0.68%
($545)
Includes Typical Broker Commissions trade costs of $0.72
2/26/18 12:48 ODFL OLD DOMINION FREIGHT LNS LONG 41 141.28 3/5 12:29 137.36 0.36%
Trade id #116727801
Max drawdown($284)
Time3/2/18 11:20
Quant open41
Worst price134.33
Drawdown as % of equity-0.36%
($162)
Includes Typical Broker Commissions trade costs of $0.82
2/14/18 12:29 TREE LENDINGTREE INC. COMMON STOCK LONG 13 370.80 2/22 10:06 337.75 0.57%
Trade id #116508538
Max drawdown($465)
Time2/22/18 9:31
Quant open13
Worst price335.00
Drawdown as % of equity-0.57%
($430)
Includes Typical Broker Commissions trade costs of $0.26
2/20/18 9:31 VXX IPATH S&P 500 VIX ST FUTURES E LONG 250 43.13 2/21 14:13 41.17 0.66%
Trade id #116612356
Max drawdown($546)
Time2/21/18 14:08
Quant open250
Worst price40.94
Drawdown as % of equity-0.66%
($494)
Includes Typical Broker Commissions trade costs of $5.00
6/19/17 11:22 ANET ARISTA NETWORKS INC LONG 55 156.83 2/21/18 10:21 202.68 n/a $2,521
Includes Typical Broker Commissions trade costs of $1.10
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

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2009.34
  • Age
    67 months ago
  • What it trades
    Stocks
  • # Trades
    620
  • # Profitable
    287
  • % Profitable
    46.30%
  • Avg trade duration
    35.8 days
  • Max peak-to-valley drawdown
    27.12%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    26.1%
  • Avg win
    $481.01
  • Avg loss
    $248.60
  • Model Account Values (Raw)
  • Cash
    $38,360
  • Margin Used
    $0
  • Buying Power
    $45,327
  • Ratios
  • W:L ratio
    1.73:1
  • Sharpe Ratio
    1.476
  • Sortino Ratio
    2.139
  • Calmar Ratio
    1.636
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.21200
  • Return Statistics
  • Ann Return (w trading costs)
    26.1%
  • Ann Return (Compnd, No Fees)
    28.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.00%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    779
  • Popularity (Last 6 weeks)
    919
  • C2 Score
    96.3
  • 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
    $489
  • # Winners
    287
  • # Losers
    333
  • % Winners
    46.3%
  • Frequency
  • Avg Position Time (mins)
    51616.20
  • Avg Position Time (hrs)
    860.27
  • Avg Trade Length
    35.8 days
  • Last Trade Ago
    6
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24626
  • SD
    0.18033
  • Sharpe ratio (Glass type estimate)
    1.36560
  • Sharpe ratio (Hedges UMVUE)
    1.34928
  • df
    63.00000
  • t
    3.15372
  • p
    0.00124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47916
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23006
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.94344
  • Upside Potential Ratio
    4.69967
  • Upside part of mean
    0.39319
  • Downside part of mean
    -0.14693
  • Upside SD
    0.17339
  • Downside SD
    0.08366
  • N nonnegative terms
    38.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    64.00000
  • Mean of predictor
    0.09225
  • Mean of criterion
    0.24626
  • SD of predictor
    0.09309
  • SD of criterion
    0.18033
  • Covariance
    0.00702
  • r
    0.41791
  • b (slope, estimate of beta)
    0.80955
  • a (intercept, estimate of alpha)
    0.17158
  • Mean Square Error
    0.02727
  • DF error
    62.00000
  • t(b)
    3.62207
  • p(b)
    0.00030
  • t(a)
    2.30547
  • p(a)
    0.01225
  • Lowerbound of 95% confidence interval for beta
    0.36277
  • Upperbound of 95% confidence interval for beta
    1.25633
  • Lowerbound of 95% confidence interval for alpha
    0.02281
  • Upperbound of 95% confidence interval for alpha
    0.32034
  • Treynor index (mean / b)
    0.30419
  • Jensen alpha (a)
    0.17158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22795
  • SD
    0.17591
  • Sharpe ratio (Glass type estimate)
    1.29584
  • Sharpe ratio (Hedges UMVUE)
    1.28035
  • df
    63.00000
  • t
    2.99261
  • p
    0.00197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41283
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16925
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40271
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15799
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65113
  • Upside Potential Ratio
    4.39813
  • Upside part of mean
    0.37817
  • Downside part of mean
    -0.15021
  • Upside SD
    0.16552
  • Downside SD
    0.08598
  • N nonnegative terms
    38.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    64.00000
  • Mean of predictor
    0.08747
  • Mean of criterion
    0.22795
  • SD of predictor
    0.09263
  • SD of criterion
    0.17591
  • Covariance
    0.00674
  • r
    0.41388
  • b (slope, estimate of beta)
    0.78602
  • a (intercept, estimate of alpha)
    0.15920
  • Mean Square Error
    0.02606
  • DF error
    62.00000
  • t(b)
    3.57991
  • p(b)
    0.00034
  • t(a)
    2.19615
  • p(a)
    0.01592
  • Lowerbound of 95% confidence interval for beta
    0.34712
  • Upperbound of 95% confidence interval for beta
    1.22492
  • Lowerbound of 95% confidence interval for alpha
    0.01429
  • Upperbound of 95% confidence interval for alpha
    0.30410
  • Treynor index (mean / b)
    0.29001
  • Jensen alpha (a)
    0.15920
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06249
  • Expected Shortfall on VaR
    0.08202
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02479
  • Expected Shortfall on VaR
    0.04909
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    64.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98689
  • Median
    1.02262
  • Quartile 3
    1.05922
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95848
  • Mean of quarter 2
    1.00088
  • Mean of quarter 3
    1.04184
  • Mean of quarter 4
    1.09020
  • Inter Quartile Range
    0.07232
  • 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)
    0.03493
  • Expected Shortfall (moments method)
    0.03624
  • Extreme Value Index (regression method)
    -0.20064
  • VaR(95%) (regression method)
    0.03671
  • Expected Shortfall (regression method)
    0.04713
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01076
  • Median
    0.03472
  • Quartile 3
    0.05999
  • Maximum
    0.16208
  • Mean of quarter 1
    0.00613
  • Mean of quarter 2
    0.02372
  • Mean of quarter 3
    0.04509
  • Mean of quarter 4
    0.11118
  • Inter Quartile Range
    0.04923
  • 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
    0.08333
  • 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)
    0.12724
  • Expected Shortfall (moments method)
    0.13019
  • Extreme Value Index (regression method)
    -0.04540
  • VaR(95%) (regression method)
    0.16434
  • Expected Shortfall (regression method)
    0.22127
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54639
  • Compounded annual return (geometric extrapolation)
    0.29157
  • Calmar ratio (compounded annual return / max draw down)
    1.79889
  • Compounded annual return / average of 25% largest draw downs
    2.62261
  • Compounded annual return / Expected Shortfall lognormal
    3.55508
  • 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
    0.23991
  • SD
    0.16248
  • Sharpe ratio (Glass type estimate)
    1.47649
  • Sharpe ratio (Hedges UMVUE)
    1.47571
  • df
    1413.00000
  • t
    3.43008
  • p
    0.44223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32167
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32113
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.13950
  • Upside Potential Ratio
    9.61434
  • Upside part of mean
    1.07808
  • Downside part of mean
    -0.83817
  • Upside SD
    0.11844
  • Downside SD
    0.11213
  • N nonnegative terms
    795.00000
  • N negative terms
    619.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1414.00000
  • Mean of predictor
    0.09773
  • Mean of criterion
    0.23991
  • SD of predictor
    0.12567
  • SD of criterion
    0.16248
  • Covariance
    0.00416
  • r
    0.20395
  • b (slope, estimate of beta)
    0.26370
  • a (intercept, estimate of alpha)
    0.21400
  • Mean Square Error
    0.02532
  • DF error
    1412.00000
  • t(b)
    7.82811
  • p(b)
    0.39803
  • t(a)
    3.12264
  • p(a)
    0.45859
  • Lowerbound of 95% confidence interval for beta
    0.19762
  • Upperbound of 95% confidence interval for beta
    0.32977
  • Lowerbound of 95% confidence interval for alpha
    0.07962
  • Upperbound of 95% confidence interval for alpha
    0.34866
  • Treynor index (mean / b)
    0.90979
  • Jensen alpha (a)
    0.21414
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22656
  • SD
    0.16278
  • Sharpe ratio (Glass type estimate)
    1.39184
  • Sharpe ratio (Hedges UMVUE)
    1.39110
  • df
    1413.00000
  • t
    3.23343
  • p
    0.44551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54639
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23685
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23633
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99491
  • Upside Potential Ratio
    9.43076
  • Upside part of mean
    1.07104
  • Downside part of mean
    -0.84448
  • Upside SD
    0.11737
  • Downside SD
    0.11357
  • N nonnegative terms
    795.00000
  • N negative terms
    619.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1414.00000
  • Mean of predictor
    0.08980
  • Mean of criterion
    0.22656
  • SD of predictor
    0.12589
  • SD of criterion
    0.16278
  • Covariance
    0.00418
  • r
    0.20421
  • b (slope, estimate of beta)
    0.26405
  • a (intercept, estimate of alpha)
    0.20285
  • Mean Square Error
    0.02541
  • DF error
    1412.00000
  • t(b)
    7.83872
  • p(b)
    0.39789
  • t(a)
    2.95344
  • p(a)
    0.46082
  • Lowerbound of 95% confidence interval for beta
    0.19797
  • Upperbound of 95% confidence interval for beta
    0.33013
  • Lowerbound of 95% confidence interval for alpha
    0.06812
  • Upperbound of 95% confidence interval for alpha
    0.33758
  • Treynor index (mean / b)
    0.85802
  • Jensen alpha (a)
    0.20285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01555
  • Expected Shortfall on VaR
    0.01968
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00672
  • Expected Shortfall on VaR
    0.01378
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1414.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99574
  • Median
    1.00131
  • Quartile 3
    1.00650
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98882
  • Mean of quarter 2
    0.99877
  • Mean of quarter 3
    1.00362
  • Mean of quarter 4
    1.01287
  • Inter Quartile Range
    0.01076
  • Number outliers low
    38.00000
  • Percentage of outliers low
    0.02687
  • Mean of outliers low
    0.97187
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.01839
  • Mean of outliers high
    1.02821
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24958
  • VaR(95%) (moments method)
    0.01099
  • Expected Shortfall (moments method)
    0.01776
  • Extreme Value Index (regression method)
    0.12762
  • VaR(95%) (regression method)
    0.01021
  • Expected Shortfall (regression method)
    0.01489
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    58.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00475
  • Median
    0.02419
  • Quartile 3
    0.05087
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00219
  • Mean of quarter 2
    0.01266
  • Mean of quarter 3
    0.03706
  • Mean of quarter 4
    0.08600
  • Inter Quartile Range
    0.04613
  • 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
    0.05172
  • Mean of outliers high
    0.14943
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08102
  • VaR(95%) (moments method)
    0.09251
  • Expected Shortfall (moments method)
    0.12250
  • Extreme Value Index (regression method)
    0.26008
  • VaR(95%) (regression method)
    0.09593
  • Expected Shortfall (regression method)
    0.14092
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54633
  • Compounded annual return (geometric extrapolation)
    0.28977
  • Calmar ratio (compounded annual return / max draw down)
    1.63565
  • Compounded annual return / average of 25% largest draw downs
    3.36933
  • Compounded annual return / Expected Shortfall lognormal
    14.72760
  • 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
    0.28251
  • SD
    0.17731
  • Sharpe ratio (Glass type estimate)
    1.59336
  • Sharpe ratio (Hedges UMVUE)
    1.58415
  • df
    130.00000
  • t
    1.12667
  • p
    0.45083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18823
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19434
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36263
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08417
  • Upside Potential Ratio
    8.28955
  • Upside part of mean
    1.12366
  • Downside part of mean
    -0.84115
  • Upside SD
    0.11458
  • Downside SD
    0.13555
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06252
  • Mean of criterion
    0.28251
  • SD of predictor
    0.15785
  • SD of criterion
    0.17731
  • Covariance
    0.01101
  • r
    0.39325
  • b (slope, estimate of beta)
    0.44173
  • a (intercept, estimate of alpha)
    0.25489
  • Mean Square Error
    0.02678
  • DF error
    129.00000
  • t(b)
    4.85791
  • p(b)
    0.25626
  • t(a)
    1.10102
  • p(a)
    0.43867
  • Lowerbound of 95% confidence interval for beta
    0.26182
  • Upperbound of 95% confidence interval for beta
    0.62163
  • Lowerbound of 95% confidence interval for alpha
    -0.20315
  • Upperbound of 95% confidence interval for alpha
    0.71294
  • Treynor index (mean / b)
    0.63956
  • Jensen alpha (a)
    0.25489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26653
  • SD
    0.17918
  • Sharpe ratio (Glass type estimate)
    1.48750
  • Sharpe ratio (Hedges UMVUE)
    1.47890
  • df
    130.00000
  • t
    1.05182
  • p
    0.45407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25653
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92366
  • Upside Potential Ratio
    8.06229
  • Upside part of mean
    1.11704
  • Downside part of mean
    -0.85052
  • Upside SD
    0.11373
  • Downside SD
    0.13855
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05006
  • Mean of criterion
    0.26653
  • SD of predictor
    0.15873
  • SD of criterion
    0.17918
  • Covariance
    0.01109
  • r
    0.38981
  • b (slope, estimate of beta)
    0.44003
  • a (intercept, estimate of alpha)
    0.24450
  • Mean Square Error
    0.02744
  • DF error
    129.00000
  • t(b)
    4.80773
  • p(b)
    0.25827
  • t(a)
    1.04355
  • p(a)
    0.44183
  • Lowerbound of 95% confidence interval for beta
    0.25895
  • Upperbound of 95% confidence interval for beta
    0.62112
  • Lowerbound of 95% confidence interval for alpha
    -0.21906
  • Upperbound of 95% confidence interval for alpha
    0.70806
  • Treynor index (mean / b)
    0.60569
  • Jensen alpha (a)
    0.24450
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01704
  • Expected Shortfall on VaR
    0.02157
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00650
  • Expected Shortfall on VaR
    0.01431
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99695
  • Median
    1.00119
  • Quartile 3
    1.00771
  • Maximum
    1.02532
  • Mean of quarter 1
    0.98848
  • Mean of quarter 2
    0.99919
  • Mean of quarter 3
    1.00462
  • Mean of quarter 4
    1.01254
  • Inter Quartile Range
    0.01076
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96498
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02532
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56027
  • VaR(95%) (moments method)
    0.01131
  • Expected Shortfall (moments method)
    0.02892
  • Extreme Value Index (regression method)
    0.60559
  • VaR(95%) (regression method)
    0.00950
  • Expected Shortfall (regression method)
    0.02511
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00132
  • Quartile 1
    0.00429
  • Median
    0.00748
  • Quartile 3
    0.04131
  • Maximum
    0.09375
  • Mean of quarter 1
    0.00337
  • Mean of quarter 2
    0.00566
  • Mean of quarter 3
    0.02184
  • Mean of quarter 4
    0.06412
  • Inter Quartile Range
    0.03702
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08697
  • VaR(95%) (moments method)
    0.06765
  • Expected Shortfall (moments method)
    0.08780
  • Extreme Value Index (regression method)
    1.01208
  • VaR(95%) (regression method)
    0.08311
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31721
  • Compounded annual return (geometric extrapolation)
    0.34236
  • Calmar ratio (compounded annual return / max draw down)
    3.65172
  • Compounded annual return / average of 25% largest draw downs
    5.33982
  • Compounded annual return / Expected Shortfall lognormal
    15.87110

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
620
# Profitable
287
% Profitable
46.3%
Net Dividends
Correlation S&P500
0.212
Sharpe Ratio
1.476

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.