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Optimized Partners I
(77330504)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 9 days ago
Trading style: Equity Trend-following Momentum

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.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
26.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(31.8%)
Max Drawdown
642
Num Trades
42.5%
Win Trades
1.5 : 1
Profit Factor
54.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               (0.5%)+22.2%+2.9%+25.1%
2013+8.5%(2.4%)+4.9%+0.2%+13.6%(4.4%)+9.9%(11.6%)+10.6%+11.4%+11.4%+5.2%+69.3%
2014(3.5%)+13.4%+9.0%+4.9%(0.9%)+0.7%(4.4%)+4.6%(1.2%)+5.5%+7.6%+10.2%+54.3%
2015(3.2%)(1.7%)+8.5%(4.5%)+0.7%(2.6%)(3.9%)+1.5%(3%)(5.5%)(7%)(3.7%)(22.4%)
2016+1.4%+9.5%(2.6%)+11.9%(17.8%)+12.3%(3.6%)+9.5%(5.1%)(5.8%)+13.8%+10.0%+31.8%
2017+1.8%(2%)+0.4%+6.0%+5.8%(4.5%)+16.0%+1.6%+2.6%+6.9%+0.4%(1.6%)+36.9%
2018+9.6%+1.5%(1.1%)(1.8%)(0.8%)(3.8%)(8.7%)+10.0%(0.6%)(11.3%)(2.5%)+8.7%(3.1%)
2019+7.7%(2.7%)(3.5%)(1.2%)(2.5%)+9.6%                                    +6.9%

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 1,216 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/4/19 10:21 NVDA NVIDIA LONG 42 138.66 6/7 9:46 144.42 n/a $241
Includes Typical Broker Commissions trade costs of $0.84
6/4/19 9:34 STT STATE STREET LONG 100 57.02 6/5 10:27 56.18 0.17%
Trade id #123929237
Max drawdown($88)
Time6/5/19 10:27
Quant open100
Worst price56.14
Drawdown as % of equity-0.17%
($86)
Includes Typical Broker Commissions trade costs of $2.00
5/31/19 11:39 ELS EQUITY LIFESTYLE LONG 40 120.27 6/4 10:21 119.69 0.1%
Trade id #123890942
Max drawdown($50)
Time6/4/19 10:04
Quant open40
Worst price119.00
Drawdown as % of equity-0.10%
($24)
Includes Typical Broker Commissions trade costs of $0.80
5/31/19 11:39 ROM PROSHARES ULTRA TECHNOLOGY LONG 60 103.35 5/31 14:32 102.33 0.12%
Trade id #123890909
Max drawdown($61)
Time5/31/19 14:32
Quant open0
Worst price102.33
Drawdown as % of equity-0.12%
($62)
Includes Typical Broker Commissions trade costs of $1.20
5/20/19 13:24 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 300 40.07 5/30 11:44 42.89 11.77%
Trade id #123740811
Max drawdown($6,018)
Time5/21/19 14:31
Quant open200
Worst price9.65
Drawdown as % of equity-11.77%
$840
Includes Typical Broker Commissions trade costs of $6.00
4/15/19 10:34 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 50 122.95 5/29 12:26 131.15 0.39%
Trade id #123314528
Max drawdown($197)
Time5/14/19 7:11
Quant open50
Worst price119.00
Drawdown as % of equity-0.39%
$409
Includes Typical Broker Commissions trade costs of $1.00
2/15/19 11:20 MSFT MICROSOFT LONG 46 107.49 5/29 10:52 125.04 n/a $806
Includes Typical Broker Commissions trade costs of $0.92
4/1/19 11:23 EEFT EURONET WORLDWIDE LONG 30 145.03 5/29 10:51 155.06 n/a $300
Includes Typical Broker Commissions trade costs of $0.60
5/22/19 12:10 PAYC PAYCOM SOFTWARE INC LONG 25 213.92 5/29 10:51 206.35 0.52%
Trade id #123781952
Max drawdown($268)
Time5/29/19 9:41
Quant open25
Worst price203.18
Drawdown as % of equity-0.52%
($190)
Includes Typical Broker Commissions trade costs of $0.50
4/16/19 12:04 PLNT PLANET FITNESS INC LONG 75 74.35 5/23 9:36 74.45 0.98%
Trade id #123330000
Max drawdown($513)
Time5/3/19 9:34
Quant open75
Worst price67.50
Drawdown as % of equity-0.98%
$7
Includes Typical Broker Commissions trade costs of $1.50
5/16/19 12:46 ELS EQUITY LIFESTYLE LONG 55 118.68 5/22 12:09 118.33 0.21%
Trade id #123697834
Max drawdown($108)
Time5/20/19 15:26
Quant open55
Worst price116.70
Drawdown as % of equity-0.21%
($20)
Includes Typical Broker Commissions trade costs of $1.10
5/14/19 15:45 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 300 9.96 5/16 12:39 9.15 0.5%
Trade id #123670118
Max drawdown($260)
Time5/16/19 12:20
Quant open300
Worst price9.09
Drawdown as % of equity-0.50%
($249)
Includes Typical Broker Commissions trade costs of $6.00
5/14/19 15:45 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 150 20.70 5/16 12:39 19.60 0.35%
Trade id #123670127
Max drawdown($179)
Time5/16/19 12:19
Quant open150
Worst price19.50
Drawdown as % of equity-0.35%
($167)
Includes Typical Broker Commissions trade costs of $3.00
5/10/19 13:37 TECL DIREXION DAILY TECHNOLOGY BULL LONG 50 148.41 5/14 15:59 138.93 1.68%
Trade id #123625023
Max drawdown($849)
Time5/13/19 15:39
Quant open50
Worst price131.42
Drawdown as % of equity-1.68%
($475)
Includes Typical Broker Commissions trade costs of $1.00
5/7/19 14:16 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 930 9.35 5/10 15:18 9.46 0.32%
Trade id #123562696
Max drawdown($166)
Time5/8/19 4:20
Quant open700
Worst price8.99
Drawdown as % of equity-0.32%
$85
Includes Typical Broker Commissions trade costs of $14.10
5/7/19 14:16 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 325 19.97 5/10 15:14 20.06 0.28%
Trade id #123562707
Max drawdown($146)
Time5/8/19 11:09
Quant open325
Worst price19.52
Drawdown as % of equity-0.28%
$23
Includes Typical Broker Commissions trade costs of $6.50
4/26/19 12:49 COLD AMERICOLD REALTY TRUST LONG 175 32.17 5/9 10:28 30.33 0.65%
Trade id #123445734
Max drawdown($335)
Time5/9/19 10:06
Quant open175
Worst price30.25
Drawdown as % of equity-0.65%
($326)
Includes Typical Broker Commissions trade costs of $3.50
4/29/19 10:48 ADBE ADOBE INC LONG 25 288.11 5/9 10:28 271.17 0.84%
Trade id #123463713
Max drawdown($432)
Time5/9/19 10:27
Quant open25
Worst price270.80
Drawdown as % of equity-0.84%
($424)
Includes Typical Broker Commissions trade costs of $0.50
4/23/19 11:30 AZO AUTOZONE LONG 6 1053.42 5/8 10:58 1008.02 0.61%
Trade id #123402024
Max drawdown($314)
Time5/8/19 9:41
Quant open6
Worst price1001.01
Drawdown as % of equity-0.61%
($272)
Includes Typical Broker Commissions trade costs of $0.12
5/2/19 10:57 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 30 225.77 5/7 14:19 214.53 0.66%
Trade id #123506205
Max drawdown($342)
Time5/7/19 11:04
Quant open30
Worst price214.37
Drawdown as % of equity-0.66%
($338)
Includes Typical Broker Commissions trade costs of $0.60
4/16/19 12:03 CSCO CISCO SYSTEMS LONG 100 57.11 4/26 12:49 56.02 0.33%
Trade id #123329985
Max drawdown($179)
Time4/24/19 18:03
Quant open100
Worst price55.32
Drawdown as % of equity-0.33%
($111)
Includes Typical Broker Commissions trade costs of $2.00
4/1/19 9:32 ANET ARISTA NETWORKS INC LONG 20 321.35 4/26 10:50 320.11 0.34%
Trade id #123150609
Max drawdown($184)
Time4/8/19 9:31
Quant open15
Worst price306.46
Drawdown as % of equity-0.34%
($25)
Includes Typical Broker Commissions trade costs of $0.40
4/1/19 13:58 AMD ADVANCED MICRO DEVICES INC. C LONG 200 26.37 4/26 10:48 27.53 0.1%
Trade id #123156503
Max drawdown($55)
Time4/2/19 9:55
Quant open200
Worst price26.09
Drawdown as % of equity-0.10%
$228
Includes Typical Broker Commissions trade costs of $4.00
4/1/19 9:32 XLNX XILINX LONG 45 129.81 4/26 9:35 114.41 1.39%
Trade id #123150576
Max drawdown($737)
Time4/26/19 9:32
Quant open45
Worst price113.41
Drawdown as % of equity-1.39%
($694)
Includes Typical Broker Commissions trade costs of $0.90
4/23/19 11:53 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 650 7.35 4/26 9:35 6.46 1.34%
Trade id #123402781
Max drawdown($712)
Time4/26/19 8:14
Quant open650
Worst price6.25
Drawdown as % of equity-1.34%
($585)
Includes Typical Broker Commissions trade costs of $9.00
4/1/19 9:53 TECL DIREXION DAILY TECHNOLOGY BULL LONG 50 145.37 4/22 10:39 159.82 0.06%
Trade id #123151189
Max drawdown($32)
Time4/1/19 10:12
Quant open28
Worst price140.50
Drawdown as % of equity-0.06%
$721
Includes Typical Broker Commissions trade costs of $1.00
4/15/19 9:56 ACIA ACACIA COMMUNICATIONS INC. COMMON STOCK LONG 80 61.71 4/22 10:37 57.96 0.76%
Trade id #123313582
Max drawdown($410)
Time4/18/19 10:01
Quant open80
Worst price56.58
Drawdown as % of equity-0.76%
($302)
Includes Typical Broker Commissions trade costs of $1.60
4/1/19 9:33 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 40 115.12 4/16 12:01 114.74 0.63%
Trade id #123150729
Max drawdown($334)
Time4/4/19 12:45
Quant open40
Worst price106.75
Drawdown as % of equity-0.63%
($16)
Includes Typical Broker Commissions trade costs of $0.80
4/11/19 10:48 EHTH EHEALTH LONG 60 69.07 4/15 10:34 64.79 0.61%
Trade id #123282306
Max drawdown($327)
Time4/15/19 10:18
Quant open60
Worst price63.62
Drawdown as % of equity-0.61%
($258)
Includes Typical Broker Commissions trade costs of $1.20
4/4/19 15:05 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 60 79.88 4/15 10:11 83.56 0.02%
Trade id #123206879
Max drawdown($11)
Time4/4/19 15:07
Quant open60
Worst price79.68
Drawdown as % of equity-0.02%
$220
Includes Typical Broker Commissions trade costs of $1.20

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2424.33
  • Age
    81 months ago
  • What it trades
    Stocks
  • # Trades
    642
  • # Profitable
    273
  • % Profitable
    42.50%
  • Avg trade duration
    26.5 days
  • Max peak-to-valley drawdown
    31.75%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    26.3%
  • Avg win
    $506.99
  • Avg loss
    $255.22
  • Model Account Values (Raw)
  • Cash
    $14,221
  • Margin Used
    $0
  • Buying Power
    $18,703
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    0.95
  • Sortino Ratio
    1.42
  • Calmar Ratio
    1.183
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19460
  • Return Statistics
  • Ann Return (w trading costs)
    26.3%
  • Ann Return (Compnd, No Fees)
    29.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.50%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    318
  • Popularity (Last 6 weeks)
    887
  • C2 Score
    57.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $255
  • Avg Win
    $507
  • # Winners
    273
  • # Losers
    369
  • % Winners
    42.5%
  • Frequency
  • Avg Position Time (mins)
    38196.10
  • Avg Position Time (hrs)
    636.60
  • Avg Trade Length
    26.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.04
  • Daily leverage (max)
    2.31
  • Unknown
  • Alpha
    0.06
  • Beta
    0.32
  • Treynor Index
    0.21
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25271
  • SD
    0.22828
  • Sharpe ratio (Glass type estimate)
    1.10702
  • Sharpe ratio (Hedges UMVUE)
    1.09621
  • df
    77.00000
  • t
    2.82237
  • p
    0.00303
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31529
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89195
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30819
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88422
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80657
  • Upside Potential Ratio
    4.68157
  • Upside part of mean
    0.42155
  • Downside part of mean
    -0.16883
  • Upside SD
    0.22059
  • Downside SD
    0.09004
  • N nonnegative terms
    42.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.08618
  • Mean of criterion
    0.25271
  • SD of predictor
    0.10389
  • SD of criterion
    0.22828
  • Covariance
    0.00400
  • r
    0.16872
  • b (slope, estimate of beta)
    0.37072
  • a (intercept, estimate of alpha)
    0.22076
  • Mean Square Error
    0.05130
  • DF error
    76.00000
  • t(b)
    1.49226
  • p(b)
    0.06989
  • t(a)
    2.41593
  • p(a)
    0.00905
  • Lowerbound of 95% confidence interval for beta
    -0.12407
  • Upperbound of 95% confidence interval for beta
    0.86552
  • Lowerbound of 95% confidence interval for alpha
    0.03877
  • Upperbound of 95% confidence interval for alpha
    0.40276
  • Treynor index (mean / b)
    0.68168
  • Jensen alpha (a)
    0.22076
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22608
  • SD
    0.21554
  • Sharpe ratio (Glass type estimate)
    1.04890
  • Sharpe ratio (Hedges UMVUE)
    1.03865
  • df
    77.00000
  • t
    2.67418
  • p
    0.00457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82472
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.43678
  • Upside Potential Ratio
    4.29771
  • Upside part of mean
    0.39873
  • Downside part of mean
    -0.17265
  • Upside SD
    0.20375
  • Downside SD
    0.09278
  • N nonnegative terms
    42.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.08037
  • Mean of criterion
    0.22608
  • SD of predictor
    0.10402
  • SD of criterion
    0.21554
  • Covariance
    0.00374
  • r
    0.16685
  • b (slope, estimate of beta)
    0.34571
  • a (intercept, estimate of alpha)
    0.19829
  • Mean Square Error
    0.04576
  • DF error
    76.00000
  • t(b)
    1.47524
  • p(b)
    0.07214
  • t(a)
    2.30597
  • p(a)
    0.01192
  • Lowerbound of 95% confidence interval for beta
    -0.12102
  • Upperbound of 95% confidence interval for beta
    0.81245
  • Lowerbound of 95% confidence interval for alpha
    0.02703
  • Upperbound of 95% confidence interval for alpha
    0.36956
  • Treynor index (mean / b)
    0.65394
  • Jensen alpha (a)
    0.19829
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08011
  • Expected Shortfall on VaR
    0.10348
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03116
  • Expected Shortfall on VaR
    0.05813
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98261
  • Median
    1.01124
  • Quartile 3
    1.05166
  • Maximum
    1.28235
  • Mean of quarter 1
    0.95604
  • Mean of quarter 2
    0.99395
  • Mean of quarter 3
    1.03514
  • Mean of quarter 4
    1.10754
  • Inter Quartile Range
    0.06905
  • 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
    0.02564
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.04444
  • VaR(95%) (moments method)
    0.04204
  • Expected Shortfall (moments method)
    0.04495
  • Extreme Value Index (regression method)
    -0.17000
  • VaR(95%) (regression method)
    0.04287
  • Expected Shortfall (regression method)
    0.05429
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00323
  • Quartile 1
    0.01283
  • Median
    0.04970
  • Quartile 3
    0.08605
  • Maximum
    0.21465
  • Mean of quarter 1
    0.00587
  • Mean of quarter 2
    0.03369
  • Mean of quarter 3
    0.06257
  • Mean of quarter 4
    0.16878
  • Inter Quartile Range
    0.07322
  • 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
    0.20000
  • Mean of outliers high
    0.20757
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -288.44600
  • VaR(95%) (moments method)
    0.16641
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.94754
  • VaR(95%) (regression method)
    0.36527
  • Expected Shortfall (regression method)
    0.36554
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64795
  • Compounded annual return (geometric extrapolation)
    0.28915
  • Calmar ratio (compounded annual return / max draw down)
    1.34706
  • Compounded annual return / average of 25% largest draw downs
    1.71318
  • Compounded annual return / Expected Shortfall lognormal
    2.79418
  • 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
    0.25447
  • SD
    0.18927
  • Sharpe ratio (Glass type estimate)
    1.34447
  • Sharpe ratio (Hedges UMVUE)
    1.34388
  • df
    1719.00000
  • t
    3.44480
  • p
    0.44735
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11015
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03935
  • Upside Potential Ratio
    9.45269
  • Upside part of mean
    1.17949
  • Downside part of mean
    -0.92503
  • Upside SD
    0.14311
  • Downside SD
    0.12478
  • N nonnegative terms
    936.00000
  • N negative terms
    784.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1720.00000
  • Mean of predictor
    0.08933
  • Mean of criterion
    0.25447
  • SD of predictor
    0.12936
  • SD of criterion
    0.18927
  • Covariance
    0.00458
  • r
    0.18721
  • b (slope, estimate of beta)
    0.27391
  • a (intercept, estimate of alpha)
    0.23000
  • Mean Square Error
    0.03459
  • DF error
    1718.00000
  • t(b)
    7.89938
  • p(b)
    0.40639
  • t(a)
    3.16579
  • p(a)
    0.46192
  • Lowerbound of 95% confidence interval for beta
    0.20590
  • Upperbound of 95% confidence interval for beta
    0.34192
  • Lowerbound of 95% confidence interval for alpha
    0.08750
  • Upperbound of 95% confidence interval for alpha
    0.37249
  • Treynor index (mean / b)
    0.92901
  • Jensen alpha (a)
    0.23000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23647
  • SD
    0.18893
  • Sharpe ratio (Glass type estimate)
    1.25167
  • Sharpe ratio (Hedges UMVUE)
    1.25112
  • df
    1719.00000
  • t
    3.20703
  • p
    0.45095
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01722
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86817
  • Upside Potential Ratio
    9.23792
  • Upside part of mean
    1.16933
  • Downside part of mean
    -0.93286
  • Upside SD
    0.14094
  • Downside SD
    0.12658
  • N nonnegative terms
    936.00000
  • N negative terms
    784.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1720.00000
  • Mean of predictor
    0.08093
  • Mean of criterion
    0.23647
  • SD of predictor
    0.12953
  • SD of criterion
    0.18893
  • Covariance
    0.00461
  • r
    0.18825
  • b (slope, estimate of beta)
    0.27457
  • a (intercept, estimate of alpha)
    0.21425
  • Mean Square Error
    0.03445
  • DF error
    1718.00000
  • t(b)
    7.94468
  • p(b)
    0.40588
  • t(a)
    2.95550
  • p(a)
    0.46444
  • Lowerbound of 95% confidence interval for beta
    0.20678
  • Upperbound of 95% confidence interval for beta
    0.34236
  • Lowerbound of 95% confidence interval for alpha
    0.07207
  • Upperbound of 95% confidence interval for alpha
    0.35644
  • Treynor index (mean / b)
    0.86125
  • Jensen alpha (a)
    0.21425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01813
  • Expected Shortfall on VaR
    0.02290
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00761
  • Expected Shortfall on VaR
    0.01556
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1720.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99567
  • Median
    1.00086
  • Quartile 3
    1.00658
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98754
  • Mean of quarter 2
    0.99861
  • Mean of quarter 3
    1.00354
  • Mean of quarter 4
    1.01463
  • Inter Quartile Range
    0.01091
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.02965
  • Mean of outliers low
    0.96896
  • Number of outliers high
    53.00000
  • Percentage of outliers high
    0.03081
  • Mean of outliers high
    1.03364
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10593
  • VaR(95%) (moments method)
    0.01108
  • Expected Shortfall (moments method)
    0.01618
  • Extreme Value Index (regression method)
    0.10937
  • VaR(95%) (regression method)
    0.01124
  • Expected Shortfall (regression method)
    0.01649
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00916
  • Median
    0.01907
  • Quartile 3
    0.05031
  • Maximum
    0.25577
  • Mean of quarter 1
    0.00388
  • Mean of quarter 2
    0.01488
  • Mean of quarter 3
    0.03211
  • Mean of quarter 4
    0.11288
  • Inter Quartile Range
    0.04114
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07018
  • Mean of outliers high
    0.20767
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40250
  • VaR(95%) (moments method)
    0.12378
  • Expected Shortfall (moments method)
    0.22840
  • Extreme Value Index (regression method)
    0.37401
  • VaR(95%) (regression method)
    0.09900
  • Expected Shortfall (regression method)
    0.16237
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71174
  • Compounded annual return (geometric extrapolation)
    0.30262
  • Calmar ratio (compounded annual return / max draw down)
    1.18320
  • Compounded annual return / average of 25% largest draw downs
    2.68086
  • Compounded annual return / Expected Shortfall lognormal
    13.21640
  • 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
    0.21097
  • SD
    0.14453
  • Sharpe ratio (Glass type estimate)
    1.45968
  • Sharpe ratio (Hedges UMVUE)
    1.45125
  • df
    130.00000
  • t
    1.03215
  • p
    0.45492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32058
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.32617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.22866
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30011
  • Upside Potential Ratio
    10.18740
  • Upside part of mean
    0.93442
  • Downside part of mean
    -0.72344
  • Upside SD
    0.11175
  • Downside SD
    0.09172
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15556
  • Mean of criterion
    0.21097
  • SD of predictor
    0.15914
  • SD of criterion
    0.14453
  • Covariance
    0.00590
  • r
    0.25636
  • b (slope, estimate of beta)
    0.23283
  • a (intercept, estimate of alpha)
    0.17475
  • Mean Square Error
    0.01967
  • DF error
    129.00000
  • t(b)
    3.01239
  • p(b)
    0.33860
  • t(a)
    0.87950
  • p(a)
    0.45090
  • Lowerbound of 95% confidence interval for beta
    0.07991
  • Upperbound of 95% confidence interval for beta
    0.38575
  • Lowerbound of 95% confidence interval for alpha
    -0.21837
  • Upperbound of 95% confidence interval for alpha
    0.56788
  • Treynor index (mean / b)
    0.90613
  • Jensen alpha (a)
    0.17475
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20055
  • SD
    0.14413
  • Sharpe ratio (Glass type estimate)
    1.39142
  • Sharpe ratio (Hedges UMVUE)
    1.38338
  • df
    130.00000
  • t
    0.98389
  • p
    0.45701
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16028
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16996
  • Upside Potential Ratio
    10.04300
  • Upside part of mean
    0.92816
  • Downside part of mean
    -0.72762
  • Upside SD
    0.11058
  • Downside SD
    0.09242
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14299
  • Mean of criterion
    0.20055
  • SD of predictor
    0.15863
  • SD of criterion
    0.14413
  • Covariance
    0.00590
  • r
    0.25822
  • b (slope, estimate of beta)
    0.23461
  • a (intercept, estimate of alpha)
    0.16700
  • Mean Square Error
    0.01954
  • DF error
    129.00000
  • t(b)
    3.03573
  • p(b)
    0.33746
  • t(a)
    0.84348
  • p(a)
    0.45289
  • Lowerbound of 95% confidence interval for beta
    0.08170
  • Upperbound of 95% confidence interval for beta
    0.38751
  • Lowerbound of 95% confidence interval for alpha
    -0.22472
  • Upperbound of 95% confidence interval for alpha
    0.55872
  • Treynor index (mean / b)
    0.85481
  • Jensen alpha (a)
    0.16700
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01379
  • Expected Shortfall on VaR
    0.01744
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00588
  • Expected Shortfall on VaR
    0.01174
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97729
  • Quartile 1
    0.99713
  • Median
    1.00049
  • Quartile 3
    1.00529
  • Maximum
    1.03814
  • Mean of quarter 1
    0.99033
  • Mean of quarter 2
    0.99898
  • Mean of quarter 3
    1.00311
  • Mean of quarter 4
    1.01130
  • Inter Quartile Range
    0.00817
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98171
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02730
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28977
  • VaR(95%) (moments method)
    0.00799
  • Expected Shortfall (moments method)
    0.00996
  • Extreme Value Index (regression method)
    -0.51865
  • VaR(95%) (regression method)
    0.01022
  • Expected Shortfall (regression method)
    0.01214
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01259
  • Quartile 1
    0.02011
  • Median
    0.02278
  • Quartile 3
    0.04333
  • Maximum
    0.10451
  • Mean of quarter 1
    0.01259
  • Mean of quarter 2
    0.02261
  • Mean of quarter 3
    0.02294
  • Mean of quarter 4
    0.10451
  • Inter Quartile Range
    0.02323
  • 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
    0.25000
  • Mean of outliers high
    0.10451
  • 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)
    0.24201
  • Compounded annual return (geometric extrapolation)
    0.25665
  • Calmar ratio (compounded annual return / max draw down)
    2.45585
  • Compounded annual return / average of 25% largest draw downs
    2.45585
  • Compounded annual return / Expected Shortfall lognormal
    14.71440

Strategy Description

OP I trades the Primary Trend be it up or down and is designed for aggressive investors. If the Primary Trend is up our core holdings will be equities. If the Primary Trend is down I will initiate Bear Market strategies. Since every Bear is different and also because so many new securities with unique characteristics I will determine our Bear Market holdings when the Bear arrives.

Contrary to most systems OP is not purely mechanical as I employ an eye-ball test and a bit of experience to its holdings.

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

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

Brad Pappas

Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$35,000
# Trades
642
# Profitable
273
% Profitable
42.5%
Net Dividends
Correlation S&P500
0.195
Sharpe Ratio
0.95
Sortino Ratio
1.42
Beta
0.32
Alpha
0.06
Leverage
1.04 Average
2.31 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.