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Optimized Partners II
(77331265)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 15 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 $99.00 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).
25.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(27.9%)
Max Drawdown
786
Num Trades
45.8%
Win Trades
1.7 : 1
Profit Factor
59.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +2.3%(9.6%)(1.5%)(8.8%)
2013(3.6%)+4.8%+9.2%+5.6%+0.3%+1.2%+9.2%(4.6%)+5.6%+4.4%+18.5%+8.2%+74.1%
2014+1.1%+13.3%+2.4%+5.6%(1.7%)+2.1%(5.6%)+5.2%(3.9%)+7.1%+5.9%+9.5%+47.2%
2015(0.8%)(4.4%)+6.8%(4.1%)(3.1%)(1.1%)(3.2%)(1.4%)(1.3%)+4.2%(5.6%)(5.9%)(18.8%)
2016+2.0%+4.2%(2.2%)+5.9%(13.1%)+8.0%(3.3%)+6.4%(3.6%)(5.2%)+2.5%+6.5%+6.1%
2017+9.1%(4.4%)+7.7%+9.0%+5.2%(4.6%)+11.6%+4.0%+0.2%+6.7%+3.8%(0.6%)+57.2%
2018+11.6%+0.3%(0.5%)(1%)+1.8%+0.8%(3.4%)+15.3%+1.0%(9.8%)(2.2%)+7.9%+21.0%
2019+6.8%(2.9%)(0.3%)+1.1%(3.2%)+9.9%+5.9%                              +17.6%

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 956 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/17/19 11:01 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 200 12.33 6/27 12:42 14.26 0.26%
Trade id #124109430
Max drawdown($222)
Time6/17/19 11:01
Quant open200
Worst price11.22
Drawdown as % of equity-0.26%
$382
Includes Typical Broker Commissions trade costs of $4.00
5/15/19 13:24 AMT AMERICAN TOWER LONG 36 200.81 6/26 10:09 208.31 0.15%
Trade id #123684010
Max drawdown($123)
Time5/15/19 13:24
Quant open36
Worst price197.39
Drawdown as % of equity-0.15%
$269
Includes Typical Broker Commissions trade costs of $0.72
5/8/19 10:57 TRI THOMSON REUTERS LONG 110 62.52 6/26 9:56 64.04 0.03%
Trade id #123574318
Max drawdown($22)
Time5/8/19 10:57
Quant open110
Worst price62.32
Drawdown as % of equity-0.03%
$166
Includes Typical Broker Commissions trade costs of $2.20
6/5/19 12:56 MSCI MSCI LONG 32 231.76 6/26 9:56 229.87 0.07%
Trade id #123951752
Max drawdown($60)
Time6/26/19 9:56
Quant open32
Worst price229.87
Drawdown as % of equity-0.07%
($61)
Includes Typical Broker Commissions trade costs of $0.64
6/5/19 9:54 OKTA OKTA INC. CL A COMMON STOCK LONG 55 115.51 6/25 11:01 122.18 0.06%
Trade id #123947311
Max drawdown($50)
Time6/5/19 9:54
Quant open55
Worst price114.60
Drawdown as % of equity-0.06%
$366
Includes Typical Broker Commissions trade costs of $1.10
6/19/19 12:54 SHOP SHOPIFY INC LONG 25 319.38 6/25 11:00 298.00 0.61%
Trade id #124146467
Max drawdown($535)
Time6/25/19 11:00
Quant open25
Worst price298.00
Drawdown as % of equity-0.61%
($536)
Includes Typical Broker Commissions trade costs of $0.50
6/4/19 10:22 UPS UNITED PARCEL SERVICE LONG 65 95.01 6/24 15:00 100.10 0%
Trade id #123932040
Max drawdown($3)
Time6/4/19 10:22
Quant open65
Worst price94.95
Drawdown as % of equity-0.00%
$330
Includes Typical Broker Commissions trade costs of $1.30
6/4/19 9:38 PLNT PLANET FITNESS INC LONG 175 77.11 6/21 15:37 76.40 0.14%
Trade id #123929513
Max drawdown($125)
Time6/21/19 15:37
Quant open95
Worst price75.87
Drawdown as % of equity-0.14%
($129)
Includes Typical Broker Commissions trade costs of $3.50
6/13/19 12:17 RCII RENT-A-CENTER LONG 250 25.58 6/19 12:54 25.12 0.14%
Trade id #124069768
Max drawdown($122)
Time6/13/19 12:17
Quant open250
Worst price25.09
Drawdown as % of equity-0.14%
($119)
Includes Typical Broker Commissions trade costs of $5.00
6/4/19 10:22 NVDA NVIDIA LONG 45 138.86 6/14 9:30 144.57 0.01%
Trade id #123932016
Max drawdown($7)
Time6/4/19 10:47
Quant open45
Worst price138.69
Drawdown as % of equity-0.01%
$256
Includes Typical Broker Commissions trade costs of $0.90
6/5/19 10:06 PAYC PAYCOM SOFTWARE INC LONG 30 212.73 6/11 11:27 211.09 0.12%
Trade id #123947725
Max drawdown($103)
Time6/5/19 10:37
Quant open30
Worst price209.28
Drawdown as % of equity-0.12%
($50)
Includes Typical Broker Commissions trade costs of $0.60
6/4/19 9:35 STT STATE STREET LONG 105 57.08 6/5 10:05 56.70 0.09%
Trade id #123929333
Max drawdown($83)
Time6/5/19 9:51
Quant open105
Worst price56.28
Drawdown as % of equity-0.09%
($42)
Includes Typical Broker Commissions trade costs of $2.10
5/31/19 11:45 ELS EQUITY LIFESTYLE LONG 50 120.13 6/4 10:22 119.69 0.06%
Trade id #123891025
Max drawdown($56)
Time6/4/19 10:04
Quant open50
Worst price119.00
Drawdown as % of equity-0.06%
($23)
Includes Typical Broker Commissions trade costs of $1.00
5/6/19 9:58 MA MASTERCARD LONG 30 246.10 6/3 10:02 245.65 0.21%
Trade id #123541363
Max drawdown($184)
Time5/9/19 9:55
Quant open30
Worst price239.96
Drawdown as % of equity-0.21%
($15)
Includes Typical Broker Commissions trade costs of $0.60
5/20/19 13:26 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 600 41.32 5/30 11:44 42.65 10.3%
Trade id #123740951
Max drawdown($9,103)
Time5/21/19 14:31
Quant open300
Worst price9.65
Drawdown as % of equity-10.30%
$792
Includes Typical Broker Commissions trade costs of $8.50
2/19/19 11:10 TWLO TWILIO INC LONG 95 117.89 5/30 9:30 127.75 0.2%
Trade id #122586273
Max drawdown($181)
Time3/5/19 9:49
Quant open60
Worst price110.60
Drawdown as % of equity-0.20%
$934
Includes Typical Broker Commissions trade costs of $1.90
5/22/19 12:03 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 45 136.45 5/29 10:53 133.77 0.34%
Trade id #123781868
Max drawdown($301)
Time5/23/19 12:25
Quant open45
Worst price129.74
Drawdown as % of equity-0.34%
($121)
Includes Typical Broker Commissions trade costs of $0.90
4/1/19 11:25 EEFT EURONET WORLDWIDE LONG 34 145.05 5/29 10:53 155.09 0.25%
Trade id #123153234
Max drawdown($205)
Time4/1/19 11:25
Quant open34
Worst price139.02
Drawdown as % of equity-0.25%
$340
Includes Typical Broker Commissions trade costs of $0.68
2/15/19 11:24 MSFT MICROSOFT LONG 70 107.47 5/29 10:53 125.02 0.1%
Trade id #122545504
Max drawdown($82)
Time2/15/19 11:24
Quant open70
Worst price106.29
Drawdown as % of equity-0.10%
$1,228
Includes Typical Broker Commissions trade costs of $1.40
4/11/19 14:16 PLNT PLANET FITNESS INC LONG 100 71.35 5/23 9:30 74.53 0.43%
Trade id #123285946
Max drawdown($385)
Time5/3/19 9:34
Quant open100
Worst price67.50
Drawdown as % of equity-0.43%
$315
Includes Typical Broker Commissions trade costs of $2.00
5/16/19 12:48 ELS EQUITY LIFESTYLE LONG 65 118.70 5/22 12:04 118.37 0.15%
Trade id #123697850
Max drawdown($130)
Time5/20/19 15:26
Quant open65
Worst price116.70
Drawdown as % of equity-0.15%
($23)
Includes Typical Broker Commissions trade costs of $1.30
5/14/19 15:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 900 9.92 5/16 12:40 9.15 0.83%
Trade id #123670085
Max drawdown($745)
Time5/16/19 12:20
Quant open900
Worst price9.09
Drawdown as % of equity-0.83%
($695)
Includes Typical Broker Commissions trade costs of $5.00
5/14/19 15:44 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 500 20.61 5/16 12:40 19.59 0.62%
Trade id #123670091
Max drawdown($552)
Time5/16/19 12:19
Quant open500
Worst price19.50
Drawdown as % of equity-0.62%
($517)
Includes Typical Broker Commissions trade costs of $10.00
4/15/19 10:23 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 100 122.89 5/15 13:23 124.66 0.73%
Trade id #123314227
Max drawdown($655)
Time4/18/19 10:49
Quant open100
Worst price116.33
Drawdown as % of equity-0.73%
$175
Includes Typical Broker Commissions trade costs of $2.00
5/10/19 13:41 TECL DIREXION DAILY TECHNOLOGY BULL LONG 55 147.90 5/14 15:59 139.05 1.04%
Trade id #123625159
Max drawdown($906)
Time5/13/19 15:39
Quant open55
Worst price131.42
Drawdown as % of equity-1.04%
($488)
Includes Typical Broker Commissions trade costs of $1.10
5/7/19 14:18 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,200 9.38 5/10 15:01 9.43 0.26%
Trade id #123562735
Max drawdown($232)
Time5/8/19 4:20
Quant open900
Worst price8.99
Drawdown as % of equity-0.26%
$58
Includes Typical Broker Commissions trade costs of $10.00
5/7/19 14:18 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 400 20.00 5/10 14:52 20.11 0.21%
Trade id #123562747
Max drawdown($191)
Time5/8/19 11:09
Quant open400
Worst price19.52
Drawdown as % of equity-0.21%
$36
Includes Typical Broker Commissions trade costs of $8.00
4/26/19 12:57 COLD AMERICOLD REALTY TRUST LONG 230 32.23 5/9 10:27 30.33 0.51%
Trade id #123445818
Max drawdown($455)
Time5/9/19 10:06
Quant open230
Worst price30.25
Drawdown as % of equity-0.51%
($441)
Includes Typical Broker Commissions trade costs of $4.60
4/29/19 10:49 ADBE ADOBE INC LONG 31 288.24 5/9 10:26 270.83 0.6%
Trade id #123463733
Max drawdown($540)
Time5/9/19 10:26
Quant open0
Worst price270.83
Drawdown as % of equity-0.60%
($541)
Includes Typical Broker Commissions trade costs of $0.62
4/23/19 11:28 AZO AUTOZONE LONG 9 1055.24 5/8 10:56 1007.68 0.55%
Trade id #123401975
Max drawdown($488)
Time5/8/19 9:41
Quant open9
Worst price1001.01
Drawdown as % of equity-0.55%
($428)
Includes Typical Broker Commissions trade costs of $0.18

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2454.46
  • Age
    82 months ago
  • What it trades
    Stocks
  • # Trades
    786
  • # Profitable
    360
  • % Profitable
    45.80%
  • Avg trade duration
    34.9 days
  • Max peak-to-valley drawdown
    27.93%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    25.0%
  • Avg win
    $531.88
  • Avg loss
    $264.85
  • Model Account Values (Raw)
  • Cash
    $50,153
  • Margin Used
    $0
  • Buying Power
    $62,374
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    1.04
  • Sortino Ratio
    1.49
  • Calmar Ratio
    1.568
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.22190
  • Return Statistics
  • Ann Return (w trading costs)
    25.0%
  • Ann Return (Compnd, No Fees)
    27.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.50%
  • Chance of 20% account loss
    8.00%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    817
  • Popularity (Last 6 weeks)
    967
  • C2 Score
    99.5
  • 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
    $265
  • Avg Win
    $532
  • # Winners
    360
  • # Losers
    426
  • % Winners
    45.8%
  • Frequency
  • Avg Position Time (mins)
    50325.30
  • Avg Position Time (hrs)
    838.75
  • Avg Trade Length
    34.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.11
  • Daily leverage (max)
    2.71
  • Unknown
  • Alpha
    0.05
  • Beta
    0.30
  • Treynor Index
    0.20
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23166
  • SD
    0.17778
  • Sharpe ratio (Glass type estimate)
    1.30308
  • Sharpe ratio (Hedges UMVUE)
    1.29051
  • df
    78.00000
  • t
    3.34345
  • p
    0.00064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50025
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08078
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75366
  • Upside Potential Ratio
    4.53319
  • Upside part of mean
    0.38137
  • Downside part of mean
    -0.14971
  • Upside SD
    0.16911
  • Downside SD
    0.08413
  • N nonnegative terms
    45.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.09097
  • Mean of criterion
    0.23166
  • SD of predictor
    0.10107
  • SD of criterion
    0.17778
  • Covariance
    0.00745
  • r
    0.41470
  • b (slope, estimate of beta)
    0.72942
  • a (intercept, estimate of alpha)
    0.16531
  • Mean Square Error
    0.02651
  • DF error
    77.00000
  • t(b)
    3.99912
  • p(b)
    0.00007
  • t(a)
    2.52032
  • p(a)
    0.00690
  • Lowerbound of 95% confidence interval for beta
    0.36622
  • Upperbound of 95% confidence interval for beta
    1.09261
  • Lowerbound of 95% confidence interval for alpha
    0.03470
  • Upperbound of 95% confidence interval for alpha
    0.29591
  • Treynor index (mean / b)
    0.31760
  • Jensen alpha (a)
    0.16531
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21402
  • SD
    0.17365
  • Sharpe ratio (Glass type estimate)
    1.23250
  • Sharpe ratio (Hedges UMVUE)
    1.22061
  • df
    78.00000
  • t
    3.16236
  • p
    0.00111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00814
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.47543
  • Upside Potential Ratio
    4.24535
  • Upside part of mean
    0.36704
  • Downside part of mean
    -0.15302
  • Upside SD
    0.16160
  • Downside SD
    0.08646
  • N nonnegative terms
    45.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.08543
  • Mean of criterion
    0.21402
  • SD of predictor
    0.10074
  • SD of criterion
    0.17365
  • Covariance
    0.00722
  • r
    0.41258
  • b (slope, estimate of beta)
    0.71114
  • a (intercept, estimate of alpha)
    0.15327
  • Mean Square Error
    0.02535
  • DF error
    77.00000
  • t(b)
    3.97437
  • p(b)
    0.00008
  • t(a)
    2.39849
  • p(a)
    0.00944
  • Lowerbound of 95% confidence interval for beta
    0.35484
  • Upperbound of 95% confidence interval for beta
    1.06744
  • Lowerbound of 95% confidence interval for alpha
    0.02602
  • Upperbound of 95% confidence interval for alpha
    0.28052
  • Treynor index (mean / b)
    0.30095
  • Jensen alpha (a)
    0.15327
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06257
  • Expected Shortfall on VaR
    0.08185
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02628
  • Expected Shortfall on VaR
    0.05116
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98647
  • Median
    1.02002
  • Quartile 3
    1.05463
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95882
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.04246
  • Mean of quarter 4
    1.08679
  • Inter Quartile Range
    0.06817
  • 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
    0.01266
  • Mean of outliers high
    1.16460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.73552
  • VaR(95%) (moments method)
    0.03662
  • Expected Shortfall (moments method)
    0.04106
  • Extreme Value Index (regression method)
    -0.49674
  • VaR(95%) (regression method)
    0.04071
  • Expected Shortfall (regression method)
    0.04800
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01523
  • Median
    0.03874
  • Quartile 3
    0.06489
  • Maximum
    0.16208
  • Mean of quarter 1
    0.00870
  • Mean of quarter 2
    0.02880
  • Mean of quarter 3
    0.05209
  • Mean of quarter 4
    0.10461
  • Inter Quartile Range
    0.04967
  • 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
    0.06667
  • Mean of outliers high
    0.16208
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.49762
  • VaR(95%) (moments method)
    0.11911
  • Expected Shortfall (moments method)
    0.13552
  • Extreme Value Index (regression method)
    0.34639
  • VaR(95%) (regression method)
    0.14327
  • Expected Shortfall (regression method)
    0.23406
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59498
  • Compounded annual return (geometric extrapolation)
    0.27370
  • Calmar ratio (compounded annual return / max draw down)
    1.68864
  • Compounded annual return / average of 25% largest draw downs
    2.61642
  • Compounded annual return / Expected Shortfall lognormal
    3.34404
  • 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
    0.22993
  • SD
    0.15815
  • Sharpe ratio (Glass type estimate)
    1.45387
  • Sharpe ratio (Hedges UMVUE)
    1.45324
  • df
    1728.00000
  • t
    3.73485
  • p
    0.45526
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68919
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21819
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68875
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21774
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09809
  • Upside Potential Ratio
    9.55191
  • Upside part of mean
    1.04679
  • Downside part of mean
    -0.81686
  • Upside SD
    0.11484
  • Downside SD
    0.10959
  • N nonnegative terms
    970.00000
  • N negative terms
    759.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1729.00000
  • Mean of predictor
    0.09531
  • Mean of criterion
    0.22993
  • SD of predictor
    0.12939
  • SD of criterion
    0.15815
  • Covariance
    0.00435
  • r
    0.21261
  • b (slope, estimate of beta)
    0.25987
  • a (intercept, estimate of alpha)
    0.20500
  • Mean Square Error
    0.02389
  • DF error
    1727.00000
  • t(b)
    9.04224
  • p(b)
    0.36567
  • t(a)
    3.40598
  • p(a)
    0.44806
  • Lowerbound of 95% confidence interval for beta
    0.20350
  • Upperbound of 95% confidence interval for beta
    0.31624
  • Lowerbound of 95% confidence interval for alpha
    0.08702
  • Upperbound of 95% confidence interval for alpha
    0.32330
  • Treynor index (mean / b)
    0.88477
  • Jensen alpha (a)
    0.20516
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21728
  • SD
    0.15843
  • Sharpe ratio (Glass type estimate)
    1.37148
  • Sharpe ratio (Hedges UMVUE)
    1.37089
  • df
    1728.00000
  • t
    3.52319
  • p
    0.45777
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60697
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13521
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95858
  • Upside Potential Ratio
    9.37589
  • Upside part of mean
    1.04016
  • Downside part of mean
    -0.82287
  • Upside SD
    0.11383
  • Downside SD
    0.11094
  • N nonnegative terms
    970.00000
  • N negative terms
    759.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1729.00000
  • Mean of predictor
    0.08691
  • Mean of criterion
    0.21728
  • SD of predictor
    0.12957
  • SD of criterion
    0.15843
  • Covariance
    0.00437
  • r
    0.21291
  • b (slope, estimate of beta)
    0.26033
  • a (intercept, estimate of alpha)
    0.19466
  • Mean Square Error
    0.02398
  • DF error
    1727.00000
  • t(b)
    9.05543
  • p(b)
    0.36549
  • t(a)
    3.22671
  • p(a)
    0.45077
  • Lowerbound of 95% confidence interval for beta
    0.20394
  • Upperbound of 95% confidence interval for beta
    0.31672
  • Lowerbound of 95% confidence interval for alpha
    0.07634
  • Upperbound of 95% confidence interval for alpha
    0.31298
  • Treynor index (mean / b)
    0.83465
  • Jensen alpha (a)
    0.19466
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01515
  • Expected Shortfall on VaR
    0.01917
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00656
  • Expected Shortfall on VaR
    0.01346
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1729.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99606
  • Median
    1.00130
  • Quartile 3
    1.00638
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98905
  • Mean of quarter 2
    0.99887
  • Mean of quarter 3
    1.00354
  • Mean of quarter 4
    1.01250
  • Inter Quartile Range
    0.01032
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.02950
  • Mean of outliers low
    0.97311
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.02082
  • Mean of outliers high
    1.02666
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17977
  • VaR(95%) (moments method)
    0.01021
  • Expected Shortfall (moments method)
    0.01569
  • Extreme Value Index (regression method)
    0.07819
  • VaR(95%) (regression method)
    0.01013
  • Expected Shortfall (regression method)
    0.01456
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    66.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00496
  • Median
    0.02419
  • Quartile 3
    0.05495
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.01353
  • Mean of quarter 3
    0.03778
  • Mean of quarter 4
    0.09125
  • Inter Quartile Range
    0.04999
  • 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
    0.16229
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.08481
  • VaR(95%) (moments method)
    0.09720
  • Expected Shortfall (moments method)
    0.11969
  • Extreme Value Index (regression method)
    0.22721
  • VaR(95%) (regression method)
    0.10105
  • Expected Shortfall (regression method)
    0.14397
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61270
  • Compounded annual return (geometric extrapolation)
    0.27786
  • Calmar ratio (compounded annual return / max draw down)
    1.56843
  • Compounded annual return / average of 25% largest draw downs
    3.04513
  • Compounded annual return / Expected Shortfall lognormal
    14.49670
  • 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
    0.27249
  • SD
    0.14041
  • Sharpe ratio (Glass type estimate)
    1.94072
  • Sharpe ratio (Hedges UMVUE)
    1.92950
  • df
    130.00000
  • t
    1.37230
  • p
    0.44025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.71891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85221
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71121
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04915
  • Upside Potential Ratio
    11.29800
  • Upside part of mean
    1.00967
  • Downside part of mean
    -0.73717
  • Upside SD
    0.10891
  • Downside SD
    0.08937
  • 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
    0.27683
  • Mean of criterion
    0.27249
  • SD of predictor
    0.10971
  • SD of criterion
    0.14041
  • Covariance
    0.00932
  • r
    0.60517
  • b (slope, estimate of beta)
    0.77451
  • a (intercept, estimate of alpha)
    0.05808
  • Mean Square Error
    0.01259
  • DF error
    129.00000
  • t(b)
    8.63396
  • p(b)
    0.13975
  • t(a)
    0.36162
  • p(a)
    0.47974
  • Lowerbound of 95% confidence interval for beta
    0.59703
  • Upperbound of 95% confidence interval for beta
    0.95199
  • Lowerbound of 95% confidence interval for alpha
    -0.25971
  • Upperbound of 95% confidence interval for alpha
    0.37587
  • Treynor index (mean / b)
    0.35182
  • Jensen alpha (a)
    0.05808
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26256
  • SD
    0.14026
  • Sharpe ratio (Glass type estimate)
    1.87197
  • Sharpe ratio (Hedges UMVUE)
    1.86115
  • df
    130.00000
  • t
    1.32368
  • p
    0.44234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91268
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64959
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.64217
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91624
  • Upside Potential Ratio
    11.14790
  • Upside part of mean
    1.00369
  • Downside part of mean
    -0.74113
  • Upside SD
    0.10807
  • Downside SD
    0.09003
  • 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
    0.27068
  • Mean of criterion
    0.26256
  • SD of predictor
    0.10977
  • SD of criterion
    0.14026
  • Covariance
    0.00934
  • r
    0.60641
  • b (slope, estimate of beta)
    0.77487
  • a (intercept, estimate of alpha)
    0.05282
  • Mean Square Error
    0.01253
  • DF error
    129.00000
  • t(b)
    8.66180
  • p(b)
    0.13912
  • t(a)
    0.32974
  • p(a)
    0.48153
  • Lowerbound of 95% confidence interval for beta
    0.59787
  • Upperbound of 95% confidence interval for beta
    0.95186
  • Lowerbound of 95% confidence interval for alpha
    -0.26410
  • Upperbound of 95% confidence interval for alpha
    0.36973
  • Treynor index (mean / b)
    0.33885
  • Jensen alpha (a)
    0.05282
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01316
  • Expected Shortfall on VaR
    0.01673
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00616
  • Expected Shortfall on VaR
    0.01193
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97266
  • Quartile 1
    0.99669
  • Median
    1.00131
  • Quartile 3
    1.00642
  • Maximum
    1.02528
  • Mean of quarter 1
    0.99052
  • Mean of quarter 2
    0.99863
  • Mean of quarter 3
    1.00359
  • Mean of quarter 4
    1.01193
  • Inter Quartile Range
    0.00973
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97607
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02421
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.44381
  • VaR(95%) (moments method)
    0.00859
  • Expected Shortfall (moments method)
    0.01015
  • Extreme Value Index (regression method)
    0.15573
  • VaR(95%) (regression method)
    0.00797
  • Expected Shortfall (regression method)
    0.01178
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00081
  • Quartile 1
    0.00798
  • Median
    0.01396
  • Quartile 3
    0.02468
  • Maximum
    0.08865
  • Mean of quarter 1
    0.00202
  • Mean of quarter 2
    0.01334
  • Mean of quarter 3
    0.01537
  • Mean of quarter 4
    0.06132
  • Inter Quartile Range
    0.01670
  • 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
    0.14286
  • Mean of outliers high
    0.08865
  • 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)
    0.31262
  • Compounded annual return (geometric extrapolation)
    0.33705
  • Calmar ratio (compounded annual return / max draw down)
    3.80195
  • Compounded annual return / average of 25% largest draw downs
    5.49685
  • Compounded annual return / Expected Shortfall lognormal
    20.15240

Strategy Description

How is OP II managed? All of my portfolios are geared to be flexible to the markets. At heart I'm a Trend trader and OP II is a combination of OP and our VGP. OP II has less volatility than OP I but more than the VGP. People frequently ask for specifics and expect a rigidly defined strategy. But in my 30 years experience, rigid strategies are almost excessively curve-fitted which leads to inevitable failure. These failures led me to an evolving trend following discipline in combination with my experience with bull and bear markets. In other words, I employ no single methodology but I do factor in Monetary policy along with technical and fundamental analysis.

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

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

In my 35 years I've explored, tested and traded hundreds of systems and made just about every mistake that can be made and then some. What we provide to subscribers to C2 is the end result of all the years of education and experience of being a professional investor and we hope it makes a difference in your life.

Brad Pappas

Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$15,000
# Trades
786
# Profitable
360
% Profitable
45.8%
Net Dividends
Correlation S&P500
0.222
Sharpe Ratio
1.04
Sortino Ratio
1.49
Beta
0.30
Alpha
0.05
Leverage
1.11 Average
2.71 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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