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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: 10 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.

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).
33.3%
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
484
Num Trades
44.0%
Win Trades
1.7 : 1
Profit Factor
59.4%
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%)+3.7%                                    +11.2%

Model Account Details

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

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

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

Trading Record

This strategy has placed 831 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/5/18 10:44 SGH SMART GLOBAL HOLDINGS INC. ORDINARY SHARES LONG 70 49.17 6/8 9:59 43.03 0.94%
Trade id #118271651
Max drawdown($525)
Time6/8/18 9:32
Quant open70
Worst price41.66
Drawdown as % of equity-0.94%
($431)
Includes Typical Broker Commissions trade costs of $1.40
5/24/18 10:11 PANW PALO ALTO NETWORKS LONG 20 208.60 6/5 10:43 203.50 0.31%
Trade id #118091543
Max drawdown($174)
Time6/4/18 10:20
Quant open20
Worst price199.87
Drawdown as % of equity-0.31%
($102)
Includes Typical Broker Commissions trade costs of $0.40
2/7/18 10:37 IBKR INTERACTIVE BROKERS GROUP LONG 80 64.95 6/4 10:38 68.54 n/a $285
Includes Typical Broker Commissions trade costs of $1.60
5/22/18 14:12 JP JUPAI HOLDINGS LTD ADS LONG 175 23.79 6/1 10:46 23.03 0.38%
Trade id #118052560
Max drawdown($217)
Time5/25/18 9:33
Quant open175
Worst price22.55
Drawdown as % of equity-0.38%
($137)
Includes Typical Broker Commissions trade costs of $3.50
5/29/18 13:43 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 50 60.14 5/31 11:41 57.60 0.29%
Trade id #118151892
Max drawdown($167)
Time5/30/18 10:35
Quant open50
Worst price56.80
Drawdown as % of equity-0.29%
($128)
Includes Typical Broker Commissions trade costs of $1.00
3/29/18 14:35 GDDY GODADDY INC LONG 65 61.06 5/29 13:44 70.66 n/a $623
Includes Typical Broker Commissions trade costs of $1.30
5/21/18 13:59 FAS DIREXION DAILY FINANCIAL BULL LONG 70 68.82 5/25 9:33 66.92 0.37%
Trade id #118026188
Max drawdown($211)
Time5/24/18 10:57
Quant open70
Worst price65.80
Drawdown as % of equity-0.37%
($134)
Includes Typical Broker Commissions trade costs of $1.40
5/15/18 10:13 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 50 67.00 5/23 11:33 60.49 0.58%
Trade id #117939833
Max drawdown($325)
Time5/23/18 11:33
Quant open0
Worst price60.49
Drawdown as % of equity-0.58%
($326)
Includes Typical Broker Commissions trade costs of $1.00
5/7/18 14:39 RHT RED HAT LONG 20 168.91 5/22 14:27 162.46 0.35%
Trade id #117826260
Max drawdown($197)
Time5/18/18 8:36
Quant open20
Worst price159.02
Drawdown as % of equity-0.35%
($129)
Includes Typical Broker Commissions trade costs of $0.40
5/10/18 11:36 ZEN ZENDESK INC LONG 85 56.78 5/22 14:11 55.19 0.52%
Trade id #117877542
Max drawdown($294)
Time5/15/18 9:35
Quant open85
Worst price53.32
Drawdown as % of equity-0.52%
($138)
Includes Typical Broker Commissions trade costs of $1.70
5/7/18 14:39 PLNT PLANET FITNESS INC LONG 75 41.47 5/9 10:35 37.53 0.55%
Trade id #117826239
Max drawdown($312)
Time5/9/18 9:06
Quant open75
Worst price37.30
Drawdown as % of equity-0.55%
($298)
Includes Typical Broker Commissions trade costs of $1.50
5/2/18 11:56 SDS PROSHARES ULTRASHORT S&P500 LONG 350 40.75 5/7 14:37 39.51 0.79%
Trade id #117758267
Max drawdown($448)
Time5/7/18 14:35
Quant open350
Worst price39.47
Drawdown as % of equity-0.79%
($441)
Includes Typical Broker Commissions trade costs of $7.00
2/7/18 11:07 MTCH MATCH GROUP INC. COMMON STOCK LONG 108 36.71 5/2 14:54 38.53 0.28%
Trade id #116370606
Max drawdown($153)
Time5/2/18 14:52
Quant open75
Worst price34.67
Drawdown as % of equity-0.28%
$194
Includes Typical Broker Commissions trade costs of $2.16
4/27/18 10:38 VXX IPATH S&P 500 VIX ST FUTURES E LONG 260 42.69 5/2 11:56 40.61 1.16%
Trade id #117695695
Max drawdown($644)
Time5/2/18 11:21
Quant open260
Worst price40.21
Drawdown as % of equity-1.16%
($545)
Includes Typical Broker Commissions trade costs of $5.20
4/3/18 9:50 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 70 54.23 5/1 10:30 52.01 0.41%
Trade id #117344621
Max drawdown($232)
Time4/25/18 10:08
Quant open70
Worst price50.90
Drawdown as % of equity-0.41%
($156)
Includes Typical Broker Commissions trade costs of $1.40
4/30/18 14:25 VRNS VARONIS SYSTEMS INC. COMMON S LONG 63 65.43 5/1 10:29 63.43 0.31%
Trade id #117720687
Max drawdown($177)
Time5/1/18 9:53
Quant open63
Worst price62.60
Drawdown as % of equity-0.31%
($127)
Includes Typical Broker Commissions trade costs of $1.26
3/29/18 10:28 SQ SQUARE INC LONG 80 48.74 4/30 14:25 46.60 0.71%
Trade id #117298373
Max drawdown($401)
Time4/25/18 10:05
Quant open80
Worst price43.72
Drawdown as % of equity-0.71%
($173)
Includes Typical Broker Commissions trade costs of $1.60
3/29/18 11:01 NOW SERVICENOW LONG 40 164.82 4/27 10:40 161.60 0.63%
Trade id #117299317
Max drawdown($352)
Time4/4/18 9:31
Quant open40
Worst price156.00
Drawdown as % of equity-0.63%
($130)
Includes Typical Broker Commissions trade costs of $0.80
4/16/18 12:48 HRS HARRIS LONG 26 165.18 4/27 10:39 158.32 0.31%
Trade id #117528971
Max drawdown($178)
Time4/27/18 10:39
Quant open0
Worst price158.32
Drawdown as % of equity-0.31%
($179)
Includes Typical Broker Commissions trade costs of $0.52
4/6/18 10:57 VXX IPATH S&P 500 VIX ST FUTURES E LONG 150 48.30 4/12 9:43 47.55 0.22%
Trade id #117404588
Max drawdown($128)
Time4/12/18 9:43
Quant open150
Worst price47.45
Drawdown as % of equity-0.22%
($116)
Includes Typical Broker Commissions trade costs of $3.00
3/9/18 12:47 SPGI S & P GLOBAL INC LONG 26 195.62 4/11 11:18 189.39 0.55%
Trade id #116965592
Max drawdown($308)
Time4/2/18 14:06
Quant open26
Worst price183.75
Drawdown as % of equity-0.55%
($163)
Includes Typical Broker Commissions trade costs of $0.52
4/3/18 10:22 VXX IPATH S&P 500 VIX ST FUTURES E LONG 150 51.73 4/5 9:48 48.65 1.12%
Trade id #117346068
Max drawdown($634)
Time4/5/18 4:17
Quant open150
Worst price47.50
Drawdown as % of equity-1.12%
($465)
Includes Typical Broker Commissions trade costs of $3.00
3/29/18 10:19 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 220 19.48 4/4 15:03 19.06 0.18%
Trade id #117298159
Max drawdown($100)
Time4/4/18 14:33
Quant open220
Worst price19.02
Drawdown as % of equity-0.18%
($96)
Includes Typical Broker Commissions trade costs of $4.40
3/5/18 13:12 TSS TOTAL SYSTEM SERVICES LONG 50 88.45 4/3 10:22 84.52 0.39%
Trade id #116866505
Max drawdown($221)
Time4/2/18 14:46
Quant open50
Worst price84.02
Drawdown as % of equity-0.39%
($198)
Includes Typical Broker Commissions trade costs of $1.00
3/23/18 11:35 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 42 103.12 4/3 9:49 96.21 0.6%
Trade id #117207823
Max drawdown($340)
Time4/3/18 9:31
Quant open42
Worst price95.00
Drawdown as % of equity-0.60%
($291)
Includes Typical Broker Commissions trade costs of $0.84
3/19/18 11:03 VXX IPATH S&P 500 VIX ST FUTURES E LONG 230 42.78 3/29 14:34 47.55 0.98%
Trade id #117116902
Max drawdown($576)
Time3/21/18 14:01
Quant open200
Worst price39.53
Drawdown as % of equity-0.98%
$1,091
Includes Typical Broker Commissions trade costs of $4.60
3/28/18 15:12 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 220 19.37 3/29 13:55 18.23 0.45%
Trade id #117285897
Max drawdown($259)
Time3/29/18 13:53
Quant open220
Worst price18.19
Drawdown as % of equity-0.45%
($254)
Includes Typical Broker Commissions trade costs of $4.40
3/27/18 10:32 RHT RED HAT LONG 26 159.56 3/28 9:38 148.38 0.5%
Trade id #117253845
Max drawdown($291)
Time3/28/18 9:38
Quant open0
Worst price148.38
Drawdown as % of equity-0.50%
($292)
Includes Typical Broker Commissions trade costs of $0.52
2/23/18 15:29 V VISA LONG 54 122.69 3/27 9:43 119.97 0.56%
Trade id #116703341
Max drawdown($324)
Time3/23/18 17:21
Quant open54
Worst price116.69
Drawdown as % of equity-0.56%
($148)
Includes Typical Broker Commissions trade costs of $1.08
1/3/18 9:58 NVDA NVIDIA LONG 21 207.24 3/23 11:37 238.06 0.01%
Trade id #115665981
Max drawdown($7)
Time1/3/18 10:09
Quant open21
Worst price206.90
Drawdown as % of equity-0.01%
$647
Includes Typical Broker Commissions trade costs of $0.42

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2061.78
  • Age
    69 months ago
  • What it trades
    Stocks
  • # Trades
    484
  • # Profitable
    213
  • % Profitable
    44.00%
  • Avg trade duration
    29.4 days
  • Max peak-to-valley drawdown
    31.75%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    33.3%
  • Avg win
    $539.96
  • Avg loss
    $253.31
  • Model Account Values (Raw)
  • Cash
    $26,299
  • Margin Used
    $0
  • Buying Power
    $30,874
  • Ratios
  • W:L ratio
    1.73:1
  • Sharpe Ratio
    1.581
  • Sortino Ratio
    2.437
  • Calmar Ratio
    1.465
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18900
  • Return Statistics
  • Ann Return (w trading costs)
    33.3%
  • Ann Return (Compnd, No Fees)
    36.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.50%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    772
  • Popularity (Last 6 weeks)
    962
  • C2 Score
    98.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $253
  • Avg Win
    $541
  • # Winners
    213
  • # Losers
    271
  • % Winners
    44.0%
  • Frequency
  • Avg Position Time (mins)
    42297.20
  • Avg Position Time (hrs)
    704.95
  • Avg Trade Length
    29.4 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32072
  • SD
    0.23393
  • Sharpe ratio (Glass type estimate)
    1.37101
  • Sharpe ratio (Hedges UMVUE)
    1.35513
  • df
    65.00000
  • t
    3.21531
  • p
    0.00102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49792
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23433
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48754
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22272
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.93540
  • Upside Potential Ratio
    5.72713
  • Upside part of mean
    0.46674
  • Downside part of mean
    -0.14602
  • Upside SD
    0.23627
  • Downside SD
    0.08150
  • N nonnegative terms
    37.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.09713
  • Mean of criterion
    0.32072
  • SD of predictor
    0.09562
  • SD of criterion
    0.23393
  • Covariance
    0.00366
  • r
    0.16366
  • b (slope, estimate of beta)
    0.40038
  • a (intercept, estimate of alpha)
    0.28183
  • Mean Square Error
    0.05409
  • DF error
    64.00000
  • t(b)
    1.32716
  • p(b)
    0.09459
  • t(a)
    2.72542
  • p(a)
    0.00414
  • Lowerbound of 95% confidence interval for beta
    -0.20230
  • Upperbound of 95% confidence interval for beta
    1.00307
  • Lowerbound of 95% confidence interval for alpha
    0.07525
  • Upperbound of 95% confidence interval for alpha
    0.48841
  • Treynor index (mean / b)
    0.80104
  • Jensen alpha (a)
    0.28183
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29152
  • SD
    0.21953
  • Sharpe ratio (Glass type estimate)
    1.32792
  • Sharpe ratio (Hedges UMVUE)
    1.31254
  • df
    65.00000
  • t
    3.11425
  • p
    0.00137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45695
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17819
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46897
  • Upside Potential Ratio
    5.24362
  • Upside part of mean
    0.44066
  • Downside part of mean
    -0.14913
  • Upside SD
    0.21791
  • Downside SD
    0.08404
  • N nonnegative terms
    37.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.09204
  • Mean of criterion
    0.29152
  • SD of predictor
    0.09576
  • SD of criterion
    0.21953
  • Covariance
    0.00336
  • r
    0.15988
  • b (slope, estimate of beta)
    0.36652
  • a (intercept, estimate of alpha)
    0.25778
  • Mean Square Error
    0.04770
  • DF error
    64.00000
  • t(b)
    1.29571
  • p(b)
    0.09986
  • t(a)
    2.66597
  • p(a)
    0.00485
  • Lowerbound of 95% confidence interval for beta
    -0.19858
  • Upperbound of 95% confidence interval for beta
    0.93163
  • Lowerbound of 95% confidence interval for alpha
    0.06462
  • Upperbound of 95% confidence interval for alpha
    0.45095
  • Treynor index (mean / b)
    0.79536
  • Jensen alpha (a)
    0.25778
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07683
  • Expected Shortfall on VaR
    0.10071
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02600
  • Expected Shortfall on VaR
    0.05025
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    66.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98491
  • Median
    1.01970
  • Quartile 3
    1.05570
  • Maximum
    1.28235
  • Mean of quarter 1
    0.96208
  • Mean of quarter 2
    0.99722
  • Mean of quarter 3
    1.03985
  • Mean of quarter 4
    1.11584
  • Inter Quartile Range
    0.07079
  • 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
    0.03030
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16620
  • VaR(95%) (moments method)
    0.03587
  • Expected Shortfall (moments method)
    0.04557
  • Extreme Value Index (regression method)
    -0.16398
  • VaR(95%) (regression method)
    0.03831
  • Expected Shortfall (regression method)
    0.04887
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00323
  • Quartile 1
    0.01283
  • Median
    0.04429
  • Quartile 3
    0.06658
  • Maximum
    0.21465
  • Mean of quarter 1
    0.00587
  • Mean of quarter 2
    0.03310
  • Mean of quarter 3
    0.04970
  • Mean of quarter 4
    0.12549
  • Inter Quartile Range
    0.05375
  • 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
    0.21465
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.09310
  • VaR(95%) (moments method)
    0.13925
  • Expected Shortfall (moments method)
    0.18170
  • Extreme Value Index (regression method)
    1.58330
  • VaR(95%) (regression method)
    0.25783
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.87166
  • Compounded annual return (geometric extrapolation)
    0.37634
  • Calmar ratio (compounded annual return / max draw down)
    1.75323
  • Compounded annual return / average of 25% largest draw downs
    2.99908
  • Compounded annual return / Expected Shortfall lognormal
    3.73674
  • 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
    0.30965
  • SD
    0.19578
  • Sharpe ratio (Glass type estimate)
    1.58163
  • Sharpe ratio (Hedges UMVUE)
    1.58081
  • df
    1460.00000
  • t
    3.73489
  • p
    0.45136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.74939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74884
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41278
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.43719
  • Upside Potential Ratio
    9.83172
  • Upside part of mean
    1.24914
  • Downside part of mean
    -0.93949
  • Upside SD
    0.15009
  • Downside SD
    0.12705
  • N nonnegative terms
    802.00000
  • N negative terms
    659.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1461.00000
  • Mean of predictor
    0.10120
  • Mean of criterion
    0.30965
  • SD of predictor
    0.12442
  • SD of criterion
    0.19578
  • Covariance
    0.00458
  • r
    0.18812
  • b (slope, estimate of beta)
    0.29601
  • a (intercept, estimate of alpha)
    0.28000
  • Mean Square Error
    0.03700
  • DF error
    1459.00000
  • t(b)
    7.31602
  • p(b)
    0.38095
  • t(a)
    3.42941
  • p(a)
    0.44315
  • Lowerbound of 95% confidence interval for beta
    0.21664
  • Upperbound of 95% confidence interval for beta
    0.37537
  • Lowerbound of 95% confidence interval for alpha
    0.11971
  • Upperbound of 95% confidence interval for alpha
    0.43968
  • Treynor index (mean / b)
    1.04610
  • Jensen alpha (a)
    0.27970
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29036
  • SD
    0.19535
  • Sharpe ratio (Glass type estimate)
    1.48631
  • Sharpe ratio (Hedges UMVUE)
    1.48555
  • df
    1460.00000
  • t
    3.50981
  • p
    0.45426
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31781
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65381
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31729
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25164
  • Upside Potential Ratio
    9.60020
  • Upside part of mean
    1.23798
  • Downside part of mean
    -0.94762
  • Upside SD
    0.14775
  • Downside SD
    0.12895
  • N nonnegative terms
    802.00000
  • N negative terms
    659.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1461.00000
  • Mean of predictor
    0.09342
  • Mean of criterion
    0.29036
  • SD of predictor
    0.12462
  • SD of criterion
    0.19535
  • Covariance
    0.00460
  • r
    0.18916
  • b (slope, estimate of beta)
    0.29654
  • a (intercept, estimate of alpha)
    0.26265
  • Mean Square Error
    0.03682
  • DF error
    1459.00000
  • t(b)
    7.35826
  • p(b)
    0.38030
  • t(a)
    3.22875
  • p(a)
    0.44644
  • Lowerbound of 95% confidence interval for beta
    0.21749
  • Upperbound of 95% confidence interval for beta
    0.37560
  • Lowerbound of 95% confidence interval for alpha
    0.10308
  • Upperbound of 95% confidence interval for alpha
    0.42223
  • Treynor index (mean / b)
    0.97914
  • Jensen alpha (a)
    0.26265
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01857
  • Expected Shortfall on VaR
    0.02350
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00768
  • Expected Shortfall on VaR
    0.01574
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1461.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99542
  • Median
    1.00103
  • Quartile 3
    1.00719
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98737
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00380
  • Mean of quarter 4
    1.01541
  • Inter Quartile Range
    0.01177
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.02738
  • Mean of outliers low
    0.96738
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.02738
  • Mean of outliers high
    1.03631
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14906
  • VaR(95%) (moments method)
    0.01163
  • Expected Shortfall (moments method)
    0.01743
  • Extreme Value Index (regression method)
    0.12998
  • VaR(95%) (regression method)
    0.01166
  • Expected Shortfall (regression method)
    0.01725
  • 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
    0.10361
  • 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
    3.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    0.20689
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.37047
  • VaR(95%) (moments method)
    0.11424
  • Expected Shortfall (moments method)
    0.19868
  • Extreme Value Index (regression method)
    0.32554
  • VaR(95%) (regression method)
    0.09488
  • Expected Shortfall (regression method)
    0.14680
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.87850
  • Compounded annual return (geometric extrapolation)
    0.37474
  • Calmar ratio (compounded annual return / max draw down)
    1.46516
  • Compounded annual return / average of 25% largest draw downs
    3.61695
  • Compounded annual return / Expected Shortfall lognormal
    15.94890
  • 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
    0.20675
  • SD
    0.13439
  • Sharpe ratio (Glass type estimate)
    1.53841
  • Sharpe ratio (Hedges UMVUE)
    1.52952
  • df
    130.00000
  • t
    1.08782
  • p
    0.45251
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.31362
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30755
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28499
  • Upside Potential Ratio
    9.92233
  • Upside part of mean
    0.89781
  • Downside part of mean
    -0.69105
  • Upside SD
    0.09950
  • Downside SD
    0.09048
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06115
  • Mean of criterion
    0.20675
  • SD of predictor
    0.16173
  • SD of criterion
    0.13439
  • Covariance
    0.00906
  • r
    0.41690
  • b (slope, estimate of beta)
    0.34643
  • a (intercept, estimate of alpha)
    0.18557
  • Mean Square Error
    0.01504
  • DF error
    129.00000
  • t(b)
    5.20934
  • p(b)
    0.24250
  • t(a)
    1.06972
  • p(a)
    0.44039
  • Lowerbound of 95% confidence interval for beta
    0.21486
  • Upperbound of 95% confidence interval for beta
    0.47801
  • Lowerbound of 95% confidence interval for alpha
    -0.15765
  • Upperbound of 95% confidence interval for alpha
    0.52879
  • Treynor index (mean / b)
    0.59681
  • Jensen alpha (a)
    0.18557
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19770
  • SD
    0.13437
  • Sharpe ratio (Glass type estimate)
    1.47125
  • Sharpe ratio (Hedges UMVUE)
    1.46275
  • df
    130.00000
  • t
    1.04033
  • p
    0.45457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24025
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16627
  • Upside Potential Ratio
    9.78308
  • Upside part of mean
    0.89282
  • Downside part of mean
    -0.69512
  • Upside SD
    0.09869
  • Downside SD
    0.09126
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04807
  • Mean of criterion
    0.19770
  • SD of predictor
    0.16258
  • SD of criterion
    0.13437
  • Covariance
    0.00911
  • r
    0.41702
  • b (slope, estimate of beta)
    0.34467
  • a (intercept, estimate of alpha)
    0.18113
  • Mean Square Error
    0.01503
  • DF error
    129.00000
  • t(b)
    5.21113
  • p(b)
    0.24243
  • t(a)
    1.04446
  • p(a)
    0.44178
  • Lowerbound of 95% confidence interval for beta
    0.21381
  • Upperbound of 95% confidence interval for beta
    0.47553
  • Lowerbound of 95% confidence interval for alpha
    -0.16198
  • Upperbound of 95% confidence interval for alpha
    0.52424
  • Treynor index (mean / b)
    0.57358
  • Jensen alpha (a)
    0.18113
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01282
  • Expected Shortfall on VaR
    0.01623
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00572
  • Expected Shortfall on VaR
    0.01154
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97042
  • Quartile 1
    0.99679
  • Median
    1.00096
  • Quartile 3
    1.00542
  • Maximum
    1.03076
  • Mean of quarter 1
    0.99090
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00321
  • Mean of quarter 4
    1.01060
  • Inter Quartile Range
    0.00863
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98011
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02838
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22738
  • VaR(95%) (moments method)
    0.00867
  • Expected Shortfall (moments method)
    0.01393
  • Extreme Value Index (regression method)
    -0.13872
  • VaR(95%) (regression method)
    0.00864
  • Expected Shortfall (regression method)
    0.01126
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00433
  • Quartile 1
    0.00501
  • Median
    0.00693
  • Quartile 3
    0.01373
  • Maximum
    0.08015
  • Mean of quarter 1
    0.00467
  • Mean of quarter 2
    0.00693
  • Mean of quarter 3
    0.01373
  • Mean of quarter 4
    0.08015
  • Inter Quartile Range
    0.00872
  • 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
    0.20000
  • Mean of outliers high
    0.08015
  • 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)
    0.23882
  • Compounded annual return (geometric extrapolation)
    0.25308
  • Calmar ratio (compounded annual return / max draw down)
    3.15748
  • Compounded annual return / average of 25% largest draw downs
    3.15748
  • Compounded annual return / Expected Shortfall lognormal
    15.59200

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
$15,000
# Trades
484
# Profitable
213
% Profitable
44.0%
Net Dividends
Correlation S&P500
0.189
Sharpe Ratio
1.581

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.

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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

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