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

Optimized Partners I (77330504)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 8 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $60.00 per month.

35.5%
Annual Return (Compounded)
31.0%
Max Drawdown
391
Num Trades
46.0%
Win Trades
1.8 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               (0.4%)+22.3%+3.0%+25.5%
2013+8.6%(2.3%)+5.0%+0.3%+13.6%(4.3%)+9.9%(11.4%)+10.6%+11.3%+11.3%+5.2%+70.5%
2014(3.4%)+13.3%+9.0%+4.9%(0.8%)+0.8%(4.3%)+4.6%(1.1%)+5.5%+7.6%+10.1%+54.6%
2015(3.1%)(1.7%)+8.4%(4.4%)+0.7%(2.5%)(3.7%)+1.6%(2.9%)(5.4%)(6.8%)(3.5%)(21.6%)
2016+1.4%+9.3%(2.5%)+11.7%(17.4%)+12.0%(3.5%)+9.3%(5%)(5.6%)+13.5%+9.8%+31.8%
2017+1.8%(1.9%)+0.4%+5.9%+5.7%(4.4%)+15.7%+1.6%+3.3%                  +30.3%

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 614 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/12/17 15:12 IRBT IROBOT LONG 35 100.45 9/13 10:33 92.05 0.59%
Trade id #113648724
Max drawdown($294)
Time9/13/17 10:33
Quant open35
Worst price92.03
Drawdown as % of equity-0.59%
($295)
Includes Typical Broker Commissions trade costs of $0.70
6/19/17 11:24 ANET ARISTA NETWORKS INC LONG 45 156.81 9/12 15:11 173.30 n/a $741
Includes Typical Broker Commissions trade costs of $0.90
8/16/17 10:28 PLUS EPLUS LONG 55 81.98 9/7 11:48 80.85 0.27%
Trade id #113173846
Max drawdown($128)
Time8/17/17 10:15
Quant open55
Worst price79.65
Drawdown as % of equity-0.27%
($63)
Includes Typical Broker Commissions trade costs of $1.10
7/24/17 10:51 MOMO MOMO INC. AMERICAN DEPOSITARY LONG 95 44.20 8/22 10:47 37.06 1.45%
Trade id #112747817
Max drawdown($692)
Time8/22/17 9:58
Quant open95
Worst price36.91
Drawdown as % of equity-1.45%
($680)
Includes Typical Broker Commissions trade costs of $1.90
7/11/17 11:29 SQ SQUARE INC LONG 160 24.97 8/21 10:33 24.47 0.33%
Trade id #112522622
Max drawdown($155)
Time8/11/17 6:46
Quant open160
Worst price24.00
Drawdown as % of equity-0.33%
($83)
Includes Typical Broker Commissions trade costs of $3.20
7/3/17 12:04 RE EVEREST RE GROUP LONG 20 267.08 8/18 12:22 262.03 0.41%
Trade id #112388149
Max drawdown($200)
Time7/27/17 11:20
Quant open20
Worst price257.08
Drawdown as % of equity-0.41%
($101)
Includes Typical Broker Commissions trade costs of $0.40
6/13/17 10:59 JD JD.COM INC LONG 145 39.15 8/15 14:07 43.49 n/a $626
Includes Typical Broker Commissions trade costs of $2.90
7/19/17 11:03 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 90 52.93 8/10 12:40 50.32 0.49%
Trade id #112682470
Max drawdown($235)
Time8/10/17 12:40
Quant open0
Worst price50.32
Drawdown as % of equity-0.49%
($237)
Includes Typical Broker Commissions trade costs of $1.80
6/30/17 13:08 TVTY TIVITY HEALTH INC LONG 100 39.95 8/10 11:02 37.50 0.58%
Trade id #112307569
Max drawdown($280)
Time8/2/17 12:31
Quant open100
Worst price37.15
Drawdown as % of equity-0.58%
($247)
Includes Typical Broker Commissions trade costs of $2.00
7/10/17 13:25 ZIV VELOCITYSHARES DAILY INVERSE V LONG 72 69.81 8/10 11:01 70.65 0.15%
Trade id #112500251
Max drawdown($64)
Time7/11/17 11:27
Quant open72
Worst price68.92
Drawdown as % of equity-0.15%
$59
Includes Typical Broker Commissions trade costs of $1.44
8/8/17 11:43 NOVT NOVANTA INC. COMMON STOCK LONG 110 39.30 8/10 11:01 37.15 0.49%
Trade id #113038761
Max drawdown($237)
Time8/10/17 11:01
Quant open0
Worst price37.15
Drawdown as % of equity-0.49%
($239)
Includes Typical Broker Commissions trade costs of $2.20
3/31/17 14:19 SGMS SCIENTIFIC GAMES LONG 200 23.70 7/25 13:24 38.36 n/a $2,927
Includes Typical Broker Commissions trade costs of $4.00
7/7/17 11:46 WD WALKER & DUNLOP LONG 75 52.52 7/20 11:36 49.70 0.74%
Trade id #112470877
Max drawdown($328)
Time7/17/17 15:43
Quant open75
Worst price48.14
Drawdown as % of equity-0.74%
($214)
Includes Typical Broker Commissions trade costs of $1.50
6/22/17 11:37 AAOI APPLIED OPTOELECTRONICS INC. LONG 50 63.12 7/18 12:35 90.04 0.83%
Trade id #112173125
Max drawdown($360)
Time6/28/17 5:54
Quant open50
Worst price55.91
Drawdown as % of equity-0.83%
$1,345
Includes Typical Broker Commissions trade costs of $1.00
1/19/17 12:09 EDD MORGAN STANLEY EMRGNG MKTS DOM LONG 700 7.40 7/6 10:33 7.81 n/a $282
Includes Typical Broker Commissions trade costs of $5.00
6/14/17 10:43 TLT ISHARES 20+ YEAR TREASURY BOND LONG 50 126.23 7/6 10:32 123.18 0.38%
Trade id #112053111
Max drawdown($158)
Time7/6/17 10:29
Quant open50
Worst price123.07
Drawdown as % of equity-0.38%
($154)
Includes Typical Broker Commissions trade costs of $1.00
6/20/17 10:53 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 255 22.22 7/3 12:04 20.57 1.02%
Trade id #112136132
Max drawdown($432)
Time7/3/17 11:18
Quant open255
Worst price20.53
Drawdown as % of equity-1.02%
($427)
Includes Typical Broker Commissions trade costs of $5.10
3/27/17 11:28 SHOP SHOPIFY INC LONG 100 70.01 7/3 12:03 86.09 n/a $1,606
Includes Typical Broker Commissions trade costs of $2.00
3/31/17 14:20 CGNX COGNEX LONG 50 83.99 6/30 13:07 85.44 n/a $72
Includes Typical Broker Commissions trade costs of $1.00
6/13/17 11:00 TECL DIREXION DAILY TECHNOLOGY BULL LONG 85 75.35 6/29 12:38 72.16 0.74%
Trade id #112032222
Max drawdown($328)
Time6/29/17 11:33
Quant open85
Worst price71.49
Drawdown as % of equity-0.74%
($273)
Includes Typical Broker Commissions trade costs of $1.70
3/31/17 14:19 BRKS BROOKS AUTOMATION LONG 200 22.38 6/26 14:25 24.89 n/a $498
Includes Typical Broker Commissions trade costs of $4.00
3/31/17 14:19 CC CHEMOURS CO LONG 120 38.57 6/20 10:54 37.64 0.76%
Trade id #110591304
Max drawdown($316)
Time6/15/17 10:38
Quant open120
Worst price35.93
Drawdown as % of equity-0.76%
($114)
Includes Typical Broker Commissions trade costs of $2.40
2/2/17 11:01 AEIS ADVANCED ENERGY INDS LONG 85 61.46 6/19 11:23 71.95 n/a $890
Includes Typical Broker Commissions trade costs of $1.70
5/25/17 14:05 PI IMPINJ INC LONG 100 46.04 6/13 10:59 47.20 1.26%
Trade id #111775635
Max drawdown($564)
Time6/12/17 9:34
Quant open100
Worst price40.40
Drawdown as % of equity-1.26%
$114
Includes Typical Broker Commissions trade costs of $2.00
4/26/17 13:11 TMUS T-MOBILE US INC. COMMON STOCK LONG 100 67.73 6/13 10:55 64.55 1.06%
Trade id #111276778
Max drawdown($498)
Time6/9/17 14:00
Quant open100
Worst price62.75
Drawdown as % of equity-1.06%
($320)
Includes Typical Broker Commissions trade costs of $2.00
3/7/17 12:14 AMD ADVANCED MICRO DEVICES INC. C LONG 400 13.26 5/2 10:05 11.04 2.3%
Trade id #110082805
Max drawdown($980)
Time5/2/17 9:51
Quant open400
Worst price10.81
Drawdown as % of equity-2.30%
($896)
Includes Typical Broker Commissions trade costs of $8.00
3/31/17 14:20 WNC WABASH NATIONAL LONG 200 20.61 4/19 11:18 19.22 0.84%
Trade id #110591408
Max drawdown($320)
Time4/18/17 12:17
Quant open200
Worst price19.01
Drawdown as % of equity-0.84%
($282)
Includes Typical Broker Commissions trade costs of $4.00
3/24/17 11:38 ANET ARISTA NETWORKS INC LONG 35 131.61 3/31 14:18 132.00 0.15%
Trade id #110423374
Max drawdown($55)
Time3/24/17 15:04
Quant open35
Worst price130.03
Drawdown as % of equity-0.15%
$13
Includes Typical Broker Commissions trade costs of $0.70
3/24/17 11:40 AMAT APPLIED MATERIALS LONG 120 39.15 3/31 14:18 38.67 0.27%
Trade id #110423436
Max drawdown($102)
Time3/27/17 9:50
Quant open120
Worst price38.30
Drawdown as % of equity-0.27%
($60)
Includes Typical Broker Commissions trade costs of $2.40
2/6/17 13:57 EXTR EXTREME NETWORKS LONG 1,300 5.59 3/30 11:03 7.55 n/a $2,543
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    10/25/2012
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1791.85
  • Age
    60 months ago
  • What it trades
    Stocks
  • # Trades
    391
  • # Profitable
    180
  • % Profitable
    46.00%
  • Avg trade duration
    30.5 days
  • Max peak-to-valley drawdown
    30.98%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    35.5%
  • Avg win
    $513.19
  • Avg loss
    $258.01
  • Model Account Values (Raw)
  • Cash
    $24,944
  • Margin Used
    $0
  • Buying Power
    $30,225
  • Ratios
  • W:L ratio
    1.76:1
  • Sharpe Ratio
    1.612
  • Sortino Ratio
    2.493
  • Calmar Ratio
    1.559
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17000
  • Return Statistics
  • Ann Return (w trading costs)
    35.5%
  • Ann Return (Compnd, No Fees)
    38.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    794
  • Popularity (Last 6 weeks)
    946
  • C2 Score
    97.6
  • 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
    $258
  • Avg Win
    $513
  • # Winners
    180
  • # Losers
    211
  • % Winners
    46.0%
  • Frequency
  • Avg Position Time (mins)
    43940.60
  • Avg Position Time (hrs)
    732.34
  • Avg Trade Length
    30.5 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34043
  • SD
    0.24437
  • Sharpe ratio (Glass type estimate)
    1.39307
  • Sharpe ratio (Hedges UMVUE)
    1.37466
  • df
    57.00000
  • t
    3.06264
  • p
    0.00167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31473
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30119
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.01123
  • Upside Potential Ratio
    5.78369
  • Upside part of mean
    0.49086
  • Downside part of mean
    -0.15043
  • Upside SD
    0.24727
  • Downside SD
    0.08487
  • N nonnegative terms
    33.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.09577
  • Mean of criterion
    0.34043
  • SD of predictor
    0.09799
  • SD of criterion
    0.24437
  • Covariance
    0.00451
  • r
    0.18849
  • b (slope, estimate of beta)
    0.47010
  • a (intercept, estimate of alpha)
    0.29541
  • Mean Square Error
    0.05863
  • DF error
    56.00000
  • t(b)
    1.43632
  • p(b)
    0.07824
  • t(a)
    2.57983
  • p(a)
    0.00627
  • Lowerbound of 95% confidence interval for beta
    -0.18555
  • Upperbound of 95% confidence interval for beta
    1.12576
  • Lowerbound of 95% confidence interval for alpha
    0.06602
  • Upperbound of 95% confidence interval for alpha
    0.52479
  • Treynor index (mean / b)
    0.72416
  • Jensen alpha (a)
    0.29541
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30857
  • SD
    0.22903
  • Sharpe ratio (Glass type estimate)
    1.34726
  • Sharpe ratio (Hedges UMVUE)
    1.32946
  • df
    57.00000
  • t
    2.96194
  • p
    0.00223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26681
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40515
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25376
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.52239
  • Upside Potential Ratio
    5.27836
  • Upside part of mean
    0.46240
  • Downside part of mean
    -0.15383
  • Upside SD
    0.22762
  • Downside SD
    0.08760
  • N nonnegative terms
    33.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.09047
  • Mean of criterion
    0.30857
  • SD of predictor
    0.09823
  • SD of criterion
    0.22903
  • Covariance
    0.00416
  • r
    0.18492
  • b (slope, estimate of beta)
    0.43114
  • a (intercept, estimate of alpha)
    0.26957
  • Mean Square Error
    0.05157
  • DF error
    56.00000
  • t(b)
    1.40807
  • p(b)
    0.08232
  • t(a)
    2.52068
  • p(a)
    0.00729
  • Lowerbound of 95% confidence interval for beta
    -0.18224
  • Upperbound of 95% confidence interval for beta
    1.04451
  • Lowerbound of 95% confidence interval for alpha
    0.05534
  • Upperbound of 95% confidence interval for alpha
    0.48380
  • Treynor index (mean / b)
    0.71571
  • Jensen alpha (a)
    0.26957
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07968
  • Expected Shortfall on VaR
    0.10450
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02642
  • Expected Shortfall on VaR
    0.05154
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    58.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98601
  • Median
    1.01970
  • Quartile 3
    1.05646
  • Maximum
    1.28235
  • Mean of quarter 1
    0.96034
  • Mean of quarter 2
    0.99803
  • Mean of quarter 3
    1.04112
  • Mean of quarter 4
    1.12182
  • Inter Quartile Range
    0.07045
  • 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
    0.03448
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.42424
  • VaR(95%) (moments method)
    0.03613
  • Expected Shortfall (moments method)
    0.04305
  • Extreme Value Index (regression method)
    -0.23208
  • VaR(95%) (regression method)
    0.03822
  • Expected Shortfall (regression method)
    0.04815
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00323
  • Quartile 1
    0.00840
  • Median
    0.04970
  • Quartile 3
    0.07575
  • Maximum
    0.21465
  • Mean of quarter 1
    0.00401
  • Mean of quarter 2
    0.02724
  • Mean of quarter 3
    0.06257
  • Mean of quarter 4
    0.15293
  • Inter Quartile Range
    0.06735
  • 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
    0.12500
  • Mean of outliers high
    0.21465
  • 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)
    0.84519
  • Compounded annual return (geometric extrapolation)
    0.40001
  • Calmar ratio (compounded annual return / max draw down)
    1.86350
  • Compounded annual return / average of 25% largest draw downs
    2.61568
  • Compounded annual return / Expected Shortfall lognormal
    3.82801
  • 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
    0.32859
  • SD
    0.20373
  • Sharpe ratio (Glass type estimate)
    1.61287
  • Sharpe ratio (Hedges UMVUE)
    1.61192
  • df
    1268.00000
  • t
    3.54960
  • p
    0.45040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50469
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.49341
  • Upside Potential Ratio
    9.91121
  • Upside part of mean
    1.30614
  • Downside part of mean
    -0.97755
  • Upside SD
    0.15659
  • Downside SD
    0.13178
  • N nonnegative terms
    699.00000
  • N negative terms
    570.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1269.00000
  • Mean of predictor
    0.09810
  • Mean of criterion
    0.32859
  • SD of predictor
    0.12243
  • SD of criterion
    0.20373
  • Covariance
    0.00420
  • r
    0.16847
  • b (slope, estimate of beta)
    0.28035
  • a (intercept, estimate of alpha)
    0.30100
  • Mean Square Error
    0.04036
  • DF error
    1267.00000
  • t(b)
    6.08377
  • p(b)
    0.39326
  • t(a)
    3.29433
  • p(a)
    0.44141
  • Lowerbound of 95% confidence interval for beta
    0.18994
  • Upperbound of 95% confidence interval for beta
    0.37075
  • Lowerbound of 95% confidence interval for alpha
    0.12179
  • Upperbound of 95% confidence interval for alpha
    0.48040
  • Treynor index (mean / b)
    1.17209
  • Jensen alpha (a)
    0.30109
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30770
  • SD
    0.20326
  • Sharpe ratio (Glass type estimate)
    1.51380
  • Sharpe ratio (Hedges UMVUE)
    1.51291
  • df
    1268.00000
  • t
    3.33157
  • p
    0.45342
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.62099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40542
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29943
  • Upside Potential Ratio
    9.67004
  • Upside part of mean
    1.29401
  • Downside part of mean
    -0.98631
  • Upside SD
    0.15407
  • Downside SD
    0.13382
  • N nonnegative terms
    699.00000
  • N negative terms
    570.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1269.00000
  • Mean of predictor
    0.09058
  • Mean of criterion
    0.30770
  • SD of predictor
    0.12255
  • SD of criterion
    0.20326
  • Covariance
    0.00422
  • r
    0.16957
  • b (slope, estimate of beta)
    0.28126
  • a (intercept, estimate of alpha)
    0.28222
  • Mean Square Error
    0.04016
  • DF error
    1267.00000
  • t(b)
    6.12438
  • p(b)
    0.39257
  • t(a)
    3.09618
  • p(a)
    0.44490
  • Lowerbound of 95% confidence interval for beta
    0.19116
  • Upperbound of 95% confidence interval for beta
    0.37135
  • Lowerbound of 95% confidence interval for alpha
    0.10340
  • Upperbound of 95% confidence interval for alpha
    0.46105
  • Treynor index (mean / b)
    1.09402
  • Jensen alpha (a)
    0.28222
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01929
  • Expected Shortfall on VaR
    0.02441
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00797
  • Expected Shortfall on VaR
    0.01632
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1269.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99498
  • Median
    1.00110
  • Quartile 3
    1.00760
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98686
  • Mean of quarter 2
    0.99854
  • Mean of quarter 3
    1.00395
  • Mean of quarter 4
    1.01613
  • Inter Quartile Range
    0.01262
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.02758
  • Mean of outliers low
    0.96623
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.02443
  • Mean of outliers high
    1.03918
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19343
  • VaR(95%) (moments method)
    0.01260
  • Expected Shortfall (moments method)
    0.01940
  • Extreme Value Index (regression method)
    0.15800
  • VaR(95%) (regression method)
    0.01207
  • Expected Shortfall (regression method)
    0.01796
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00898
  • Median
    0.01995
  • Quartile 3
    0.04926
  • Maximum
    0.25577
  • Mean of quarter 1
    0.00365
  • Mean of quarter 2
    0.01386
  • Mean of quarter 3
    0.03080
  • Mean of quarter 4
    0.10492
  • Inter Quartile Range
    0.04028
  • 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
    0.06000
  • Mean of outliers high
    0.20689
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35470
  • VaR(95%) (moments method)
    0.11732
  • Expected Shortfall (moments method)
    0.20364
  • Extreme Value Index (regression method)
    0.26973
  • VaR(95%) (regression method)
    0.09821
  • Expected Shortfall (regression method)
    0.14797
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.84258
  • Compounded annual return (geometric extrapolation)
    0.39879
  • Calmar ratio (compounded annual return / max draw down)
    1.55920
  • Compounded annual return / average of 25% largest draw downs
    3.80104
  • Compounded annual return / Expected Shortfall lognormal
    16.33410
  • 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
    0.56991
  • SD
    0.21239
  • Sharpe ratio (Glass type estimate)
    2.68333
  • Sharpe ratio (Hedges UMVUE)
    2.66782
  • df
    130.00000
  • t
    1.89740
  • p
    0.41792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11259
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.46916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.45853
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.01609
  • Upside Potential Ratio
    11.03640
  • Upside part of mean
    1.56613
  • Downside part of mean
    -0.99622
  • Upside SD
    0.16083
  • Downside SD
    0.14191
  • N nonnegative terms
    85.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10638
  • Mean of criterion
    0.56991
  • SD of predictor
    0.07239
  • SD of criterion
    0.21239
  • Covariance
    0.00770
  • r
    0.50086
  • b (slope, estimate of beta)
    1.46954
  • a (intercept, estimate of alpha)
    0.41358
  • Mean Square Error
    0.03406
  • DF error
    129.00000
  • t(b)
    6.57244
  • p(b)
    0.19503
  • t(a)
    1.57817
  • p(a)
    0.41266
  • Lowerbound of 95% confidence interval for beta
    1.02716
  • Upperbound of 95% confidence interval for beta
    1.91192
  • Lowerbound of 95% confidence interval for alpha
    -0.10492
  • Upperbound of 95% confidence interval for alpha
    0.93207
  • Treynor index (mean / b)
    0.38781
  • Jensen alpha (a)
    0.41358
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54684
  • SD
    0.21269
  • Sharpe ratio (Glass type estimate)
    2.57106
  • Sharpe ratio (Hedges UMVUE)
    2.55620
  • df
    130.00000
  • t
    1.81802
  • p
    0.42127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22304
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35557
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34537
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.79925
  • Upside Potential Ratio
    10.79120
  • Upside part of mean
    1.55322
  • Downside part of mean
    -1.00638
  • Upside SD
    0.15911
  • Downside SD
    0.14393
  • N nonnegative terms
    85.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10375
  • Mean of criterion
    0.54684
  • SD of predictor
    0.07249
  • SD of criterion
    0.21269
  • Covariance
    0.00774
  • r
    0.50187
  • b (slope, estimate of beta)
    1.47250
  • a (intercept, estimate of alpha)
    0.39408
  • Mean Square Error
    0.03411
  • DF error
    129.00000
  • t(b)
    6.59019
  • p(b)
    0.19447
  • t(a)
    1.50297
  • p(a)
    0.41673
  • Lowerbound of 95% confidence interval for beta
    1.03042
  • Upperbound of 95% confidence interval for beta
    1.91458
  • Lowerbound of 95% confidence interval for alpha
    -0.12469
  • Upperbound of 95% confidence interval for alpha
    0.91284
  • Treynor index (mean / b)
    0.37137
  • Jensen alpha (a)
    0.39408
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01934
  • Expected Shortfall on VaR
    0.02470
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00679
  • Expected Shortfall on VaR
    0.01483
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95704
  • Quartile 1
    0.99486
  • Median
    1.00249
  • Quartile 3
    1.01011
  • Maximum
    1.03323
  • Mean of quarter 1
    0.98589
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00599
  • Mean of quarter 4
    1.01753
  • Inter Quartile Range
    0.01525
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96570
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03314
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40415
  • VaR(95%) (moments method)
    0.01484
  • Expected Shortfall (moments method)
    0.02836
  • Extreme Value Index (regression method)
    0.22576
  • VaR(95%) (regression method)
    0.01256
  • Expected Shortfall (regression method)
    0.01940
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00467
  • Median
    0.02474
  • Quartile 3
    0.05210
  • Maximum
    0.12834
  • Mean of quarter 1
    0.00200
  • Mean of quarter 2
    0.01240
  • Mean of quarter 3
    0.03748
  • Mean of quarter 4
    0.08006
  • Inter Quartile Range
    0.04743
  • 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
    0.12834
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32961
  • VaR(95%) (moments method)
    0.09784
  • Expected Shortfall (moments method)
    0.15576
  • Extreme Value Index (regression method)
    3.78926
  • VaR(95%) (regression method)
    0.23520
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66584
  • Compounded annual return (geometric extrapolation)
    0.77668
  • Calmar ratio (compounded annual return / max draw down)
    6.05187
  • Compounded annual return / average of 25% largest draw downs
    9.70111
  • Compounded annual return / Expected Shortfall lognormal
    31.45090

Strategy Description

OP I is primarily a long-only Trend Following stock portfolio designed for aggressive investors. 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
Minimum Capital Required
$5,000
# Trades
391
# Profitable
180
% Profitable
46.0%
Net Dividends
Correlation S&P500
0.170
Sharpe Ratio
1.612

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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