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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).
27.2%
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
531
Num Trades
41.6%
Win Trades
1.5 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               (0.5%)+22.2%+2.9%+25.1%
2013+8.5%(2.4%)+4.9%+0.2%+13.6%(4.4%)+9.9%(11.6%)+10.6%+11.4%+11.4%+5.2%+69.3%
2014(3.5%)+13.4%+9.0%+4.9%(0.9%)+0.7%(4.4%)+4.6%(1.2%)+5.5%+7.6%+10.2%+54.3%
2015(3.2%)(1.7%)+8.5%(4.5%)+0.7%(2.6%)(3.9%)+1.5%(3%)(5.5%)(7%)(3.7%)(22.4%)
2016+1.4%+9.5%(2.6%)+11.9%(17.8%)+12.3%(3.6%)+9.5%(5.1%)(5.8%)+13.8%+10.0%+31.8%
2017+1.8%(2%)+0.4%+6.0%+5.8%(4.5%)+16.0%+1.6%+2.6%+6.9%+0.4%(1.6%)+36.9%
2018+9.6%+1.5%(1.1%)(1.8%)(0.8%)(3.8%)(8.7%)+10.0%(0.6%)(10.1%)            (7.4%)

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 963 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/9/18 10:45 NSP INSPERITY LONG 35 110.68 10/11 10:27 108.43 0.25%
Trade id #119359669
Max drawdown($127)
Time10/11/18 9:31
Quant open35
Worst price107.03
Drawdown as % of equity-0.25%
($80)
Includes Typical Broker Commissions trade costs of $0.70
8/2/18 10:20 SQ SQUARE INC LONG 75 74.76 10/11 10:26 80.28 0.57%
Trade id #119246582
Max drawdown($288)
Time10/10/18 16:42
Quant open45
Worst price68.35
Drawdown as % of equity-0.57%
$413
Includes Typical Broker Commissions trade costs of $1.50
9/14/18 9:31 MA MASTERCARD LONG 30 218.31 10/11 10:26 197.11 1.51%
Trade id #119859280
Max drawdown($765)
Time10/11/18 4:01
Quant open30
Worst price192.80
Drawdown as % of equity-1.51%
($637)
Includes Typical Broker Commissions trade costs of $0.60
7/12/18 11:17 AMZN AMAZON.COM LONG 3 1781.66 10/10 14:52 1794.30 n/a $38
Includes Typical Broker Commissions trade costs of $0.06
8/2/18 11:21 NTAP NETAPP LONG 40 81.74 10/10 14:36 76.36 0.46%
Trade id #119248512
Max drawdown($233)
Time10/10/18 14:11
Quant open40
Worst price75.90
Drawdown as % of equity-0.46%
($216)
Includes Typical Broker Commissions trade costs of $0.80
8/24/18 10:54 ZEN ZENDESK INC LONG 45 66.39 10/10 9:45 61.86 0.4%
Trade id #119584935
Max drawdown($204)
Time10/10/18 9:45
Quant open0
Worst price61.86
Drawdown as % of equity-0.40%
($205)
Includes Typical Broker Commissions trade costs of $0.90
5/30/18 10:59 CRM SALESFORCE.COM LONG 31 130.00 10/10 9:44 143.31 0.04%
Trade id #118169163
Max drawdown($24)
Time6/1/18 10:18
Quant open27
Worst price128.35
Drawdown as % of equity-0.04%
$412
Includes Typical Broker Commissions trade costs of $0.62
9/14/18 10:13 ADBE ADOBE INC LONG 20 276.77 10/5 12:17 261.27 0.75%
Trade id #119860956
Max drawdown($394)
Time9/24/18 9:34
Quant open20
Worst price257.07
Drawdown as % of equity-0.75%
($310)
Includes Typical Broker Commissions trade costs of $0.40
9/14/18 13:18 GDOT GREEN DOT LONG 45 89.50 10/5 12:17 83.12 0.55%
Trade id #119869067
Max drawdown($287)
Time10/5/18 12:17
Quant open0
Worst price83.12
Drawdown as % of equity-0.55%
($288)
Includes Typical Broker Commissions trade costs of $0.90
9/26/18 10:06 ROKU ROKU INC. CLASS A COMMON STOCK LONG 56 75.62 10/5 11:32 66.08 1.06%
Trade id #120042231
Max drawdown($556)
Time10/5/18 11:19
Quant open56
Worst price65.68
Drawdown as % of equity-1.06%
($535)
Includes Typical Broker Commissions trade costs of $1.12
8/20/18 11:26 ETSY ETSY INC. COMMON STOCK LONG 80 47.14 10/5 10:32 45.71 0.3%
Trade id #119514046
Max drawdown($166)
Time9/7/18 9:07
Quant open80
Worst price45.06
Drawdown as % of equity-0.30%
($117)
Includes Typical Broker Commissions trade costs of $1.60
9/14/18 9:57 MSCI MSCI LONG 32 182.33 10/2 14:50 177.64 0.58%
Trade id #119860319
Max drawdown($305)
Time9/20/18 9:40
Quant open32
Worst price172.79
Drawdown as % of equity-0.58%
($151)
Includes Typical Broker Commissions trade costs of $0.64
8/21/18 10:33 LHCG LHC GROUP LONG 37 96.63 10/2 14:49 96.34 0.15%
Trade id #119531091
Max drawdown($79)
Time9/12/18 12:25
Quant open37
Worst price94.47
Drawdown as % of equity-0.15%
($12)
Includes Typical Broker Commissions trade costs of $0.74
9/7/18 11:04 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 50 76.95 9/17 10:57 73.42 0.36%
Trade id #119761901
Max drawdown($192)
Time9/17/18 10:49
Quant open50
Worst price73.11
Drawdown as % of equity-0.36%
($178)
Includes Typical Broker Commissions trade costs of $1.00
8/20/18 12:50 TRHC TABULA RASA HEALTHCARE INC. COMMON STOCK LONG 55 75.26 9/14 13:17 82.40 0.08%
Trade id #119516493
Max drawdown($41)
Time8/20/18 15:30
Quant open55
Worst price74.50
Drawdown as % of equity-0.08%
$392
Includes Typical Broker Commissions trade costs of $1.10
8/10/18 11:58 AMED AMEDISYS LONG 32 115.93 9/14 9:58 118.80 0.07%
Trade id #119382247
Max drawdown($38)
Time8/13/18 9:31
Quant open22
Worst price113.00
Drawdown as % of equity-0.07%
$91
Includes Typical Broker Commissions trade costs of $0.64
8/6/18 10:25 RDWR RADWARE LONG 165 26.98 9/14 9:31 26.20 0.25%
Trade id #119296738
Max drawdown($137)
Time9/12/18 10:33
Quant open165
Worst price26.15
Drawdown as % of equity-0.25%
($132)
Includes Typical Broker Commissions trade costs of $3.30
8/27/18 11:10 CGC CANOPY GROWTH CORP LONG 75 46.25 9/13 13:48 45.90 0.82%
Trade id #119606830
Max drawdown($442)
Time8/27/18 17:17
Quant open75
Worst price40.35
Drawdown as % of equity-0.82%
($28)
Includes Typical Broker Commissions trade costs of $1.50
9/5/18 13:34 FNKO FUNKO INC. CLASS A COMMON STOCK LONG 100 27.39 9/12 9:32 25.02 0.71%
Trade id #119735366
Max drawdown($396)
Time9/12/18 9:32
Quant open75
Worst price22.10
Drawdown as % of equity-0.71%
($239)
Includes Typical Broker Commissions trade costs of $2.00
8/6/18 10:11 CTAS CINTAS LONG 16 209.61 9/7 11:02 216.90 0.04%
Trade id #119296083
Max drawdown($18)
Time8/14/18 9:38
Quant open16
Worst price208.46
Drawdown as % of equity-0.04%
$117
Includes Typical Broker Commissions trade costs of $0.32
8/21/18 12:22 CGC CANOPY GROWTH CORP LONG 80 38.86 8/22 10:14 37.34 0.34%
Trade id #119535009
Max drawdown($176)
Time8/22/18 9:56
Quant open80
Worst price36.65
Drawdown as % of equity-0.34%
($124)
Includes Typical Broker Commissions trade costs of $1.60
8/9/18 12:49 EGAN EGAIN CORPORATION COMMON STOCK LONG 270 14.50 8/21 10:32 13.65 0.61%
Trade id #119363039
Max drawdown($316)
Time8/21/18 9:42
Quant open270
Worst price13.33
Drawdown as % of equity-0.61%
($234)
Includes Typical Broker Commissions trade costs of $5.40
8/13/18 10:55 ZEN ZENDESK INC LONG 55 64.09 8/20 12:50 61.63 0.35%
Trade id #119409320
Max drawdown($181)
Time8/15/18 10:33
Quant open55
Worst price60.80
Drawdown as % of equity-0.35%
($136)
Includes Typical Broker Commissions trade costs of $1.10
7/12/18 12:23 INTU INTUIT LONG 20 212.49 8/20 11:25 207.17 0.42%
Trade id #118898239
Max drawdown($212)
Time7/31/18 10:19
Quant open20
Worst price201.85
Drawdown as % of equity-0.42%
($106)
Includes Typical Broker Commissions trade costs of $0.40
8/6/18 10:13 LPSN LIVEPERSON LONG 140 24.15 8/13 10:55 24.00 0.18%
Trade id #119296150
Max drawdown($91)
Time8/6/18 10:51
Quant open140
Worst price23.50
Drawdown as % of equity-0.18%
($25)
Includes Typical Broker Commissions trade costs of $2.80
6/1/18 12:17 MA MASTERCARD LONG 36 197.29 8/10 11:37 201.71 0.2%
Trade id #118215721
Max drawdown($112)
Time6/25/18 14:55
Quant open31
Worst price193.71
Drawdown as % of equity-0.20%
$158
Includes Typical Broker Commissions trade costs of $0.72
7/24/18 10:16 MSCI MSCI LONG 25 174.89 8/6 10:24 167.13 0.59%
Trade id #119090910
Max drawdown($301)
Time8/1/18 15:55
Quant open25
Worst price162.81
Drawdown as % of equity-0.59%
($195)
Includes Typical Broker Commissions trade costs of $0.50
7/31/18 11:48 ECHO ECHO GLOBAL LOGISTICS LONG 110 34.19 8/6 10:11 33.56 0.25%
Trade id #119207371
Max drawdown($125)
Time8/1/18 9:46
Quant open110
Worst price33.05
Drawdown as % of equity-0.25%
($72)
Includes Typical Broker Commissions trade costs of $2.20
7/24/18 10:23 ALGN ALIGN TECHNOLOGY LONG 11 384.49 8/6 10:10 367.15 0.91%
Trade id #119091125
Max drawdown($475)
Time7/30/18 12:45
Quant open11
Worst price341.24
Drawdown as % of equity-0.91%
($191)
Includes Typical Broker Commissions trade costs of $0.22
7/12/18 12:36 NEWR NEW RELIC INC LONG 35 108.93 7/31 10:23 96.93 0.85%
Trade id #118898654
Max drawdown($430)
Time7/31/18 10:22
Quant open35
Worst price96.62
Drawdown as % of equity-0.85%
($421)
Includes Typical Broker Commissions trade costs of $0.70

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2187.46
  • Age
    73 months ago
  • What it trades
    Stocks
  • # Trades
    531
  • # Profitable
    221
  • % Profitable
    41.60%
  • Avg trade duration
    29.3 days
  • Max peak-to-valley drawdown
    31.75%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    27.2%
  • Avg win
    $530.00
  • Avg loss
    $253.75
  • Model Account Values (Raw)
  • Cash
    $40,859
  • Margin Used
    $0
  • Buying Power
    $41,901
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    1.366
  • Sortino Ratio
    2.071
  • Calmar Ratio
    1.236
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19000
  • Return Statistics
  • Ann Return (w trading costs)
    27.2%
  • Ann Return (Compnd, No Fees)
    30.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.00%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    873
  • C2 Score
    88.4
  • 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
    $254
  • Avg Win
    $530
  • # Winners
    221
  • # Losers
    310
  • % Winners
    41.6%
  • Frequency
  • Avg Position Time (mins)
    42174.50
  • Avg Position Time (hrs)
    702.91
  • Avg Trade Length
    29.3 days
  • Last Trade Ago
    5
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28779
  • SD
    0.23350
  • Sharpe ratio (Glass type estimate)
    1.23248
  • Sharpe ratio (Hedges UMVUE)
    1.21904
  • df
    69.00000
  • t
    2.97673
  • p
    0.00201
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05564
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26189
  • Upside Potential Ratio
    5.07842
  • Upside part of mean
    0.44806
  • Downside part of mean
    -0.16027
  • Upside SD
    0.22992
  • Downside SD
    0.08823
  • N nonnegative terms
    39.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.10071
  • Mean of criterion
    0.28779
  • SD of predictor
    0.09294
  • SD of criterion
    0.23350
  • Covariance
    0.00327
  • r
    0.15079
  • b (slope, estimate of beta)
    0.37885
  • a (intercept, estimate of alpha)
    0.24963
  • Mean Square Error
    0.05407
  • DF error
    68.00000
  • t(b)
    1.25786
  • p(b)
    0.10637
  • t(a)
    2.47311
  • p(a)
    0.00795
  • Lowerbound of 95% confidence interval for beta
    -0.22216
  • Upperbound of 95% confidence interval for beta
    0.97986
  • Lowerbound of 95% confidence interval for alpha
    0.04821
  • Upperbound of 95% confidence interval for alpha
    0.45106
  • Treynor index (mean / b)
    0.75964
  • Jensen alpha (a)
    0.24963
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25938
  • SD
    0.21991
  • Sharpe ratio (Glass type estimate)
    1.17952
  • Sharpe ratio (Hedges UMVUE)
    1.16665
  • df
    69.00000
  • t
    2.84881
  • p
    0.00289
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01044
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33213
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00117
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84977
  • Upside Potential Ratio
    4.65100
  • Upside part of mean
    0.42333
  • Downside part of mean
    -0.16395
  • Upside SD
    0.21211
  • Downside SD
    0.09102
  • N nonnegative terms
    39.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.09582
  • Mean of criterion
    0.25938
  • SD of predictor
    0.09309
  • SD of criterion
    0.21991
  • Covariance
    0.00299
  • r
    0.14587
  • b (slope, estimate of beta)
    0.34459
  • a (intercept, estimate of alpha)
    0.22637
  • Mean Square Error
    0.04803
  • DF error
    68.00000
  • t(b)
    1.21584
  • p(b)
    0.11413
  • t(a)
    2.39001
  • p(a)
    0.00981
  • Lowerbound of 95% confidence interval for beta
    -0.22096
  • Upperbound of 95% confidence interval for beta
    0.91013
  • Lowerbound of 95% confidence interval for alpha
    0.03737
  • Upperbound of 95% confidence interval for alpha
    0.41536
  • Treynor index (mean / b)
    0.75274
  • Jensen alpha (a)
    0.22637
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07947
  • Expected Shortfall on VaR
    0.10332
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02872
  • Expected Shortfall on VaR
    0.05501
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    70.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98426
  • Median
    1.01613
  • Quartile 3
    1.05299
  • Maximum
    1.28235
  • Mean of quarter 1
    0.95798
  • Mean of quarter 2
    0.99632
  • Mean of quarter 3
    1.03753
  • Mean of quarter 4
    1.11238
  • Inter Quartile Range
    0.06873
  • 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
    0.02857
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.60066
  • VaR(95%) (moments method)
    0.03931
  • Expected Shortfall (moments method)
    0.04487
  • Extreme Value Index (regression method)
    -0.17360
  • VaR(95%) (regression method)
    0.04429
  • Expected Shortfall (regression method)
    0.05722
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00323
  • Quartile 1
    0.01283
  • Median
    0.04970
  • Quartile 3
    0.08605
  • Maximum
    0.21465
  • Mean of quarter 1
    0.00587
  • Mean of quarter 2
    0.03369
  • Mean of quarter 3
    0.06257
  • Mean of quarter 4
    0.14552
  • Inter Quartile Range
    0.07322
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    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)
    -1.89774
  • VaR(95%) (moments method)
    0.16977
  • Expected Shortfall (moments method)
    0.17376
  • Extreme Value Index (regression method)
    0.08655
  • VaR(95%) (regression method)
    0.23066
  • Expected Shortfall (regression method)
    0.32742
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74459
  • Compounded annual return (geometric extrapolation)
    0.33281
  • Calmar ratio (compounded annual return / max draw down)
    1.55046
  • Compounded annual return / average of 25% largest draw downs
    2.28697
  • Compounded annual return / Expected Shortfall lognormal
    3.22125
  • 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
    0.26571
  • SD
    0.19439
  • Sharpe ratio (Glass type estimate)
    1.36694
  • Sharpe ratio (Hedges UMVUE)
    1.36628
  • df
    1549.00000
  • t
    3.32479
  • p
    0.44648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55949
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17398
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17352
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07126
  • Upside Potential Ratio
    9.49495
  • Upside part of mean
    1.21806
  • Downside part of mean
    -0.95235
  • Upside SD
    0.14688
  • Downside SD
    0.12829
  • N nonnegative terms
    847.00000
  • N negative terms
    703.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1550.00000
  • Mean of predictor
    0.09344
  • Mean of criterion
    0.26571
  • SD of predictor
    0.12375
  • SD of criterion
    0.19439
  • Covariance
    0.00458
  • r
    0.19032
  • b (slope, estimate of beta)
    0.29896
  • a (intercept, estimate of alpha)
    0.23800
  • Mean Square Error
    0.03644
  • DF error
    1548.00000
  • t(b)
    7.62757
  • p(b)
    0.40484
  • t(a)
    3.02639
  • p(a)
    0.46165
  • Lowerbound of 95% confidence interval for beta
    0.22208
  • Upperbound of 95% confidence interval for beta
    0.37584
  • Lowerbound of 95% confidence interval for alpha
    0.08367
  • Upperbound of 95% confidence interval for alpha
    0.39189
  • Treynor index (mean / b)
    0.88879
  • Jensen alpha (a)
    0.23778
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24673
  • SD
    0.19404
  • Sharpe ratio (Glass type estimate)
    1.27153
  • Sharpe ratio (Hedges UMVUE)
    1.27092
  • df
    1549.00000
  • t
    3.09274
  • p
    0.45018
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07838
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46387
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07797
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89526
  • Upside Potential Ratio
    9.27443
  • Upside part of mean
    1.20737
  • Downside part of mean
    -0.96064
  • Upside SD
    0.14461
  • Downside SD
    0.13018
  • N nonnegative terms
    847.00000
  • N negative terms
    703.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1550.00000
  • Mean of predictor
    0.08574
  • Mean of criterion
    0.24673
  • SD of predictor
    0.12396
  • SD of criterion
    0.19404
  • Covariance
    0.00460
  • r
    0.19137
  • b (slope, estimate of beta)
    0.29957
  • a (intercept, estimate of alpha)
    0.22104
  • Mean Square Error
    0.03630
  • DF error
    1548.00000
  • t(b)
    7.67108
  • p(b)
    0.40432
  • t(a)
    2.81946
  • p(a)
    0.46426
  • Lowerbound of 95% confidence interval for beta
    0.22297
  • Upperbound of 95% confidence interval for beta
    0.37617
  • Lowerbound of 95% confidence interval for alpha
    0.06726
  • Upperbound of 95% confidence interval for alpha
    0.37483
  • Treynor index (mean / b)
    0.82363
  • Jensen alpha (a)
    0.22104
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01860
  • Expected Shortfall on VaR
    0.02350
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00781
  • Expected Shortfall on VaR
    0.01598
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1550.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99540
  • Median
    1.00101
  • Quartile 3
    1.00691
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98721
  • Mean of quarter 2
    0.99856
  • Mean of quarter 3
    1.00368
  • Mean of quarter 4
    1.01503
  • Inter Quartile Range
    0.01151
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.02968
  • Mean of outliers low
    0.96798
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.02839
  • Mean of outliers high
    1.03522
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15401
  • VaR(95%) (moments method)
    0.01177
  • Expected Shortfall (moments method)
    0.01773
  • Extreme Value Index (regression method)
    0.10903
  • VaR(95%) (regression method)
    0.01176
  • Expected Shortfall (regression method)
    0.01720
  • 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
    0.11031
  • Inter Quartile Range
    0.04114
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07018
  • Mean of outliers high
    0.19868
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36965
  • VaR(95%) (moments method)
    0.12023
  • Expected Shortfall (moments method)
    0.21242
  • Extreme Value Index (regression method)
    0.44345
  • VaR(95%) (regression method)
    0.09999
  • Expected Shortfall (regression method)
    0.17649
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68918
  • Compounded annual return (geometric extrapolation)
    0.31605
  • Calmar ratio (compounded annual return / max draw down)
    1.23571
  • Compounded annual return / average of 25% largest draw downs
    2.86506
  • Compounded annual return / Expected Shortfall lognormal
    13.45160
  • 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
    -0.32721
  • SD
    0.15524
  • Sharpe ratio (Glass type estimate)
    -2.10774
  • Sharpe ratio (Hedges UMVUE)
    -2.09555
  • df
    130.00000
  • t
    -1.49040
  • p
    0.56481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.88736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67976
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.87904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68793
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.44873
  • Upside Potential Ratio
    5.48688
  • Upside part of mean
    0.73318
  • Downside part of mean
    -1.06040
  • Upside SD
    0.08043
  • Downside SD
    0.13362
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03265
  • Mean of criterion
    -0.32721
  • SD of predictor
    0.10857
  • SD of criterion
    0.15524
  • Covariance
    0.00484
  • r
    0.28739
  • b (slope, estimate of beta)
    0.41094
  • a (intercept, estimate of alpha)
    -0.34063
  • Mean Square Error
    0.02228
  • DF error
    129.00000
  • t(b)
    3.40792
  • p(b)
    0.31959
  • t(a)
    -1.61333
  • p(a)
    0.58923
  • Lowerbound of 95% confidence interval for beta
    0.17236
  • Upperbound of 95% confidence interval for beta
    0.64952
  • Lowerbound of 95% confidence interval for alpha
    -0.75836
  • Upperbound of 95% confidence interval for alpha
    0.07711
  • Treynor index (mean / b)
    -0.79625
  • Jensen alpha (a)
    -0.34063
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.33945
  • SD
    0.15627
  • Sharpe ratio (Glass type estimate)
    -2.17226
  • Sharpe ratio (Hedges UMVUE)
    -2.15971
  • df
    130.00000
  • t
    -1.53602
  • p
    0.56676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.95250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61609
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.94392
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62450
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.51089
  • Upside Potential Ratio
    5.39894
  • Upside part of mean
    0.72990
  • Downside part of mean
    -1.06935
  • Upside SD
    0.07997
  • Downside SD
    0.13519
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02678
  • Mean of criterion
    -0.33945
  • SD of predictor
    0.10889
  • SD of criterion
    0.15627
  • Covariance
    0.00489
  • r
    0.28743
  • b (slope, estimate of beta)
    0.41250
  • a (intercept, estimate of alpha)
    -0.35050
  • Mean Square Error
    0.02258
  • DF error
    129.00000
  • t(b)
    3.40837
  • p(b)
    0.31957
  • t(a)
    -1.64930
  • p(a)
    0.59117
  • Lowerbound of 95% confidence interval for beta
    0.17305
  • Upperbound of 95% confidence interval for beta
    0.65195
  • Lowerbound of 95% confidence interval for alpha
    -0.77096
  • Upperbound of 95% confidence interval for alpha
    0.06996
  • Treynor index (mean / b)
    -0.82292
  • Jensen alpha (a)
    -0.35050
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01703
  • Expected Shortfall on VaR
    0.02098
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00928
  • Expected Shortfall on VaR
    0.01815
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96240
  • Quartile 1
    0.99532
  • Median
    1.00048
  • Quartile 3
    1.00492
  • Maximum
    1.01747
  • Mean of quarter 1
    0.98618
  • Mean of quarter 2
    0.99798
  • Mean of quarter 3
    1.00244
  • Mean of quarter 4
    1.00895
  • Inter Quartile Range
    0.00961
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97420
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18383
  • VaR(95%) (moments method)
    0.01287
  • Expected Shortfall (moments method)
    0.02003
  • Extreme Value Index (regression method)
    0.05754
  • VaR(95%) (regression method)
    0.01538
  • Expected Shortfall (regression method)
    0.02267
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00266
  • Quartile 1
    0.02871
  • Median
    0.05477
  • Quartile 3
    0.10822
  • Maximum
    0.16168
  • Mean of quarter 1
    0.00266
  • Mean of quarter 2
    0.05477
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16168
  • Inter Quartile Range
    0.07951
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • 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)
    -0.28849
  • Compounded annual return (geometric extrapolation)
    -0.26769
  • Calmar ratio (compounded annual return / max draw down)
    -1.65569
  • Compounded annual return / average of 25% largest draw downs
    -1.65569
  • Compounded annual return / Expected Shortfall lognormal
    -12.75920

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
531
# Profitable
221
% Profitable
41.6%
Net Dividends
Correlation S&P500
0.190
Sharpe Ratio
1.366

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

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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