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

Optimized Partners I
(77330504)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 8 days ago
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
592
Num Trades
42.7%
Win Trades
1.5 : 1
Profit Factor
55.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               (0.5%)+22.2%+2.9%+25.1%
2013+8.5%(2.4%)+4.9%+0.2%+13.6%(4.4%)+9.9%(11.6%)+10.6%+11.4%+11.4%+5.2%+69.3%
2014(3.5%)+13.4%+9.0%+4.9%(0.9%)+0.7%(4.4%)+4.6%(1.2%)+5.5%+7.6%+10.2%+54.3%
2015(3.2%)(1.7%)+8.5%(4.5%)+0.7%(2.6%)(3.9%)+1.5%(3%)(5.5%)(7%)(3.7%)(22.4%)
2016+1.4%+9.5%(2.6%)+11.9%(17.8%)+12.3%(3.6%)+9.5%(5.1%)(5.8%)+13.8%+10.0%+31.8%
2017+1.8%(2%)+0.4%+6.0%+5.8%(4.5%)+16.0%+1.6%+2.6%+6.9%+0.4%(1.6%)+36.9%
2018+9.6%+1.5%(1.1%)(1.8%)(0.8%)(3.8%)(8.7%)+10.0%(0.6%)(11.3%)(2.5%)+8.7%(3.1%)
2019+7.7%(4%)                                                            +3.5%

Model Account Details

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

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

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

Trading Record

This strategy has placed 1,098 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/7/19 10:52 TCEHY TENCENT HOLDINGS ADR LONG 85 41.15 2/13 11:48 43.67 0.04%
Trade id #121819267
Max drawdown($20)
Time1/8/19 8:09
Quant open60
Worst price40.20
Drawdown as % of equity-0.04%
$212
Includes Typical Broker Commissions trade costs of $1.70
1/7/19 10:50 TWLO TWILIO INC LONG 45 98.55 2/13 11:43 106.40 0.12%
Trade id #121819168
Max drawdown($60)
Time1/8/19 10:54
Quant open25
Worst price92.58
Drawdown as % of equity-0.12%
$353
Includes Typical Broker Commissions trade costs of $0.90
2/4/19 11:22 ACB AURORA CANNABIS INC LONG 500 8.07 2/11 11:28 7.18 0.85%
Trade id #122344587
Max drawdown($469)
Time2/11/19 9:48
Quant open500
Worst price7.13
Drawdown as % of equity-0.85%
($453)
Includes Typical Broker Commissions trade costs of $10.00
1/17/19 14:58 TREE LENDINGTREE INC. COMMON STOCK LONG 18 282.51 2/8 11:57 292.66 0.2%
Trade id #122039041
Max drawdown($106)
Time1/22/19 11:56
Quant open18
Worst price276.58
Drawdown as % of equity-0.20%
$183
Includes Typical Broker Commissions trade costs of $0.36
1/7/19 10:51 ETSY ETSY INC. COMMON STOCK LONG 87 53.37 2/8 10:23 51.32 0.32%
Trade id #121819252
Max drawdown($178)
Time2/8/19 10:23
Quant open0
Worst price51.32
Drawdown as % of equity-0.32%
($180)
Includes Typical Broker Commissions trade costs of $1.74
1/17/19 11:36 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 50 71.67 2/8 10:06 93.09 0.05%
Trade id #122033662
Max drawdown($27)
Time1/17/19 11:58
Quant open50
Worst price71.12
Drawdown as % of equity-0.05%
$1,070
Includes Typical Broker Commissions trade costs of $1.00
2/4/19 11:22 NBEV NEW AGE BEVERAGES CORPORATION COMMON LONG 600 7.60 2/8 10:05 6.31 1.44%
Trade id #122344592
Max drawdown($798)
Time2/8/19 9:47
Quant open600
Worst price6.27
Drawdown as % of equity-1.44%
($779)
Includes Typical Broker Commissions trade costs of $5.00
1/7/19 10:50 CRM SALESFORCE.COM LONG 25 142.39 2/5 11:14 158.71 0.04%
Trade id #121819131
Max drawdown($18)
Time1/7/19 14:46
Quant open25
Worst price141.65
Drawdown as % of equity-0.04%
$408
Includes Typical Broker Commissions trade costs of $0.50
1/24/19 12:09 EVTC EVERTEC INC LONG 150 28.37 2/4 9:52 27.76 0.32%
Trade id #122160831
Max drawdown($174)
Time1/29/19 16:00
Quant open150
Worst price27.20
Drawdown as % of equity-0.32%
($95)
Includes Typical Broker Commissions trade costs of $3.00
1/15/19 12:32 EHTH EHEALTH LONG 95 43.61 1/24 11:39 55.29 0.11%
Trade id #121987742
Max drawdown($56)
Time1/22/19 16:31
Quant open95
Worst price43.02
Drawdown as % of equity-0.11%
$1,108
Includes Typical Broker Commissions trade costs of $1.90
1/15/19 12:30 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 50 80.30 1/23 11:44 76.74 0.52%
Trade id #121987678
Max drawdown($272)
Time1/22/19 15:36
Quant open50
Worst price74.86
Drawdown as % of equity-0.52%
($179)
Includes Typical Broker Commissions trade costs of $1.00
1/14/19 11:24 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 600 14.83 1/17 14:45 13.61 1.37%
Trade id #121955243
Max drawdown($731)
Time1/17/19 14:45
Quant open0
Worst price13.61
Drawdown as % of equity-1.37%
($736)
Includes Typical Broker Commissions trade costs of $5.00
1/7/19 10:50 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 25 94.07 1/17 11:34 93.10 0.18%
Trade id #121819140
Max drawdown($95)
Time1/15/19 8:12
Quant open25
Worst price90.23
Drawdown as % of equity-0.18%
($25)
Includes Typical Broker Commissions trade costs of $0.50
1/9/19 12:42 POOL POOL LONG 26 153.18 1/15 12:31 149.84 0.22%
Trade id #121877590
Max drawdown($114)
Time1/15/19 10:59
Quant open26
Worst price148.78
Drawdown as % of equity-0.22%
($88)
Includes Typical Broker Commissions trade costs of $0.52
1/10/19 10:37 CGC CANOPY GROWTH CORP LONG 100 36.02 1/14 14:38 41.25 1.06%
Trade id #121897577
Max drawdown($560)
Time1/11/19 17:20
Quant open100
Worst price30.42
Drawdown as % of equity-1.06%
$521
Includes Typical Broker Commissions trade costs of $2.00
1/7/19 10:51 MDB MONGODB INC. CLASS A COMMON STOCK LONG 30 86.50 1/10 12:40 78.13 0.89%
Trade id #121819222
Max drawdown($468)
Time1/10/19 8:28
Quant open30
Worst price70.87
Drawdown as % of equity-0.89%
($252)
Includes Typical Broker Commissions trade costs of $0.60
11/23/18 9:54 TLT ISHARES 20+ YEAR TREASURY BOND LONG 115 116.09 1/4/19 11:11 121.89 0.19%
Trade id #121134831
Max drawdown($93)
Time11/28/18 12:59
Quant open75
Worst price114.36
Drawdown as % of equity-0.19%
$664
Includes Typical Broker Commissions trade costs of $2.30
12/31/18 11:37 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 275 17.07 1/2/19 13:07 16.36 0.38%
Trade id #121722393
Max drawdown($200)
Time1/2/19 13:06
Quant open275
Worst price16.34
Drawdown as % of equity-0.38%
($201)
Includes Typical Broker Commissions trade costs of $5.50
12/31/18 11:08 TZA DIREXION DAILY SMALL CAP BEAR LONG 400 15.78 1/2/19 13:07 14.99 0.73%
Trade id #121721730
Max drawdown($386)
Time1/2/19 11:46
Quant open400
Worst price14.81
Drawdown as % of equity-0.73%
($322)
Includes Typical Broker Commissions trade costs of $8.00
1/2/19 10:33 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 200 31.83 1/2 13:07 30.62 0.48%
Trade id #121744965
Max drawdown($249)
Time1/2/19 13:07
Quant open200
Worst price30.58
Drawdown as % of equity-0.48%
($246)
Includes Typical Broker Commissions trade costs of $4.00
12/19/18 14:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 450 17.45 12/24 10:43 19.75 0.05%
Trade id #121580541
Max drawdown($26)
Time12/20/18 10:08
Quant open300
Worst price16.98
Drawdown as % of equity-0.05%
$1,029
Includes Typical Broker Commissions trade costs of $9.00
12/19/18 14:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 135 31.46 12/24 10:43 35.84 0.04%
Trade id #121580525
Max drawdown($20)
Time12/19/18 15:00
Quant open135
Worst price31.30
Drawdown as % of equity-0.04%
$589
Includes Typical Broker Commissions trade costs of $2.70
12/14/18 11:18 SDS PROSHARES ULTRASHORT S&P500 LONG 150 40.03 12/18 10:52 41.71 0.01%
Trade id #121502560
Max drawdown($4)
Time12/14/18 11:20
Quant open100
Worst price39.85
Drawdown as % of equity-0.01%
$250
Includes Typical Broker Commissions trade costs of $3.00
12/14/18 13:28 TZA DIREXION DAILY SMALL CAP BEAR LONG 300 13.59 12/18 10:52 14.25 0.01%
Trade id #121506079
Max drawdown($5)
Time12/14/18 13:47
Quant open200
Worst price13.36
Drawdown as % of equity-0.01%
$194
Includes Typical Broker Commissions trade costs of $6.00
12/14/18 11:18 QID PROSHARES ULTRASHORT QQQ LONG 150 44.25 12/18 10:52 45.88 n/a $242
Includes Typical Broker Commissions trade costs of $3.00
12/11/18 12:59 TECL DIREXION DAILY TECHNOLOGY BULL LONG 50 102.17 12/11 13:53 99.65 0.25%
Trade id #121447623
Max drawdown($126)
Time12/11/18 13:53
Quant open0
Worst price99.65
Drawdown as % of equity-0.25%
($127)
Includes Typical Broker Commissions trade costs of $1.00
12/4/18 10:40 SDS PROSHARES ULTRASHORT S&P500 LONG 100 35.86 12/7 13:04 38.76 0.01%
Trade id #121332804
Max drawdown($2)
Time12/4/18 10:42
Quant open100
Worst price35.83
Drawdown as % of equity-0.01%
$288
Includes Typical Broker Commissions trade costs of $2.00
11/29/18 15:46 QID PROSHARES ULTRASHORT QQQ LONG 300 41.26 12/6 15:41 42.34 1.55%
Trade id #121258173
Max drawdown($756)
Time12/3/18 4:55
Quant open300
Worst price38.74
Drawdown as % of equity-1.55%
$318
Includes Typical Broker Commissions trade costs of $6.00
12/4/18 11:13 TZA DIREXION DAILY SMALL CAP BEAR LONG 275 11.03 12/6 14:57 12.30 0%
Trade id #121333872
Max drawdown($2)
Time12/4/18 11:25
Quant open275
Worst price11.02
Drawdown as % of equity-0.00%
$345
Includes Typical Broker Commissions trade costs of $5.50
11/7/18 11:40 EEFT EURONET WORLDWIDE LONG 35 112.66 12/4 13:38 116.46 0.42%
Trade id #120798641
Max drawdown($203)
Time11/20/18 10:16
Quant open35
Worst price106.86
Drawdown as % of equity-0.42%
$132
Includes Typical Broker Commissions trade costs of $0.70

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2310.46
  • Age
    77 months ago
  • What it trades
    Stocks
  • # Trades
    592
  • # Profitable
    253
  • % Profitable
    42.70%
  • Avg trade duration
    27.4 days
  • Max peak-to-valley drawdown
    31.75%
  • drawdown period
    April 15, 2015 - Dec 14, 2015
  • Annual Return (Compounded)
    27.2%
  • Avg win
    $507.43
  • Avg loss
    $253.76
  • Model Account Values (Raw)
  • Cash
    $34,608
  • Margin Used
    $0
  • Buying Power
    $36,562
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    1.372
  • Sortino Ratio
    2.081
  • Calmar Ratio
    1.221
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17700
  • Return Statistics
  • Ann Return (w trading costs)
    27.2%
  • Ann Return (Compnd, No Fees)
    30.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.50%
  • Chance of 20% account loss
    9.00%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    366
  • Popularity (Last 6 weeks)
    921
  • C2 Score
    91.2
  • 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
    $507
  • # Winners
    253
  • # Losers
    339
  • % Winners
    42.7%
  • Frequency
  • Avg Position Time (mins)
    39422.60
  • Avg Position Time (hrs)
    657.04
  • Avg Trade Length
    27.4 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27258
  • SD
    0.23064
  • Sharpe ratio (Glass type estimate)
    1.18186
  • Sharpe ratio (Hedges UMVUE)
    1.16984
  • df
    74.00000
  • t
    2.95465
  • p
    0.00210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97616
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.03386
  • Upside Potential Ratio
    4.87748
  • Upside part of mean
    0.43823
  • Downside part of mean
    -0.16564
  • Upside SD
    0.22495
  • Downside SD
    0.08985
  • N nonnegative terms
    42.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.08629
  • Mean of criterion
    0.27258
  • SD of predictor
    0.10511
  • SD of criterion
    0.23064
  • Covariance
    0.00398
  • r
    0.16435
  • b (slope, estimate of beta)
    0.36064
  • a (intercept, estimate of alpha)
    0.24146
  • Mean Square Error
    0.05247
  • DF error
    73.00000
  • t(b)
    1.42360
  • p(b)
    0.07941
  • t(a)
    2.56345
  • p(a)
    0.00621
  • Lowerbound of 95% confidence interval for beta
    -0.14425
  • Upperbound of 95% confidence interval for beta
    0.86553
  • Lowerbound of 95% confidence interval for alpha
    0.05373
  • Upperbound of 95% confidence interval for alpha
    0.42919
  • Treynor index (mean / b)
    0.75582
  • Jensen alpha (a)
    0.24146
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24504
  • SD
    0.21766
  • Sharpe ratio (Glass type estimate)
    1.12578
  • Sharpe ratio (Hedges UMVUE)
    1.11433
  • df
    74.00000
  • t
    2.81445
  • p
    0.00313
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31005
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91861
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64575
  • Upside Potential Ratio
    4.47536
  • Upside part of mean
    0.41450
  • Downside part of mean
    -0.16945
  • Upside SD
    0.20778
  • Downside SD
    0.09262
  • N nonnegative terms
    42.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.08036
  • Mean of criterion
    0.24504
  • SD of predictor
    0.10525
  • SD of criterion
    0.21766
  • Covariance
    0.00372
  • r
    0.16217
  • b (slope, estimate of beta)
    0.33539
  • a (intercept, estimate of alpha)
    0.21809
  • Mean Square Error
    0.04676
  • DF error
    73.00000
  • t(b)
    1.40417
  • p(b)
    0.08225
  • t(a)
    2.46141
  • p(a)
    0.00810
  • Lowerbound of 95% confidence interval for beta
    -0.14064
  • Upperbound of 95% confidence interval for beta
    0.81142
  • Lowerbound of 95% confidence interval for alpha
    0.04150
  • Upperbound of 95% confidence interval for alpha
    0.39468
  • Treynor index (mean / b)
    0.73062
  • Jensen alpha (a)
    0.21809
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07959
  • Expected Shortfall on VaR
    0.10320
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02962
  • Expected Shortfall on VaR
    0.05627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    75.00000
  • Minimum
    0.89555
  • Quartile 1
    0.98312
  • Median
    1.01508
  • Quartile 3
    1.05261
  • Maximum
    1.28235
  • Mean of quarter 1
    0.95599
  • Mean of quarter 2
    0.99609
  • Mean of quarter 3
    1.03832
  • Mean of quarter 4
    1.11048
  • Inter Quartile Range
    0.06948
  • 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
    0.02667
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.91318
  • VaR(95%) (moments method)
    0.04218
  • Expected Shortfall (moments method)
    0.04581
  • Extreme Value Index (regression method)
    -0.14977
  • VaR(95%) (regression method)
    0.04369
  • Expected Shortfall (regression method)
    0.05601
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00323
  • Quartile 1
    0.01283
  • Median
    0.04970
  • Quartile 3
    0.08605
  • Maximum
    0.21465
  • Mean of quarter 1
    0.00587
  • Mean of quarter 2
    0.03369
  • Mean of quarter 3
    0.06257
  • Mean of quarter 4
    0.16878
  • Inter Quartile Range
    0.07322
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.20757
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -288.44600
  • VaR(95%) (moments method)
    0.16641
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.94754
  • VaR(95%) (regression method)
    0.36527
  • Expected Shortfall (regression method)
    0.36554
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72105
  • Compounded annual return (geometric extrapolation)
    0.31383
  • Calmar ratio (compounded annual return / max draw down)
    1.46205
  • Compounded annual return / average of 25% largest draw downs
    1.85942
  • Compounded annual return / Expected Shortfall lognormal
    3.04110
  • 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
    0.26229
  • SD
    0.19112
  • Sharpe ratio (Glass type estimate)
    1.37238
  • Sharpe ratio (Hedges UMVUE)
    1.37176
  • df
    1638.00000
  • t
    3.43253
  • p
    0.45775
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58716
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58672
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15679
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08127
  • Upside Potential Ratio
    9.47441
  • Upside part of mean
    1.19400
  • Downside part of mean
    -0.93171
  • Upside SD
    0.14452
  • Downside SD
    0.12602
  • N nonnegative terms
    892.00000
  • N negative terms
    747.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1639.00000
  • Mean of predictor
    0.08847
  • Mean of criterion
    0.26229
  • SD of predictor
    0.13004
  • SD of criterion
    0.19112
  • Covariance
    0.00436
  • r
    0.17545
  • b (slope, estimate of beta)
    0.25786
  • a (intercept, estimate of alpha)
    0.23900
  • Mean Square Error
    0.03542
  • DF error
    1637.00000
  • t(b)
    7.21076
  • p(b)
    0.38888
  • t(a)
    3.17959
  • p(a)
    0.45017
  • Lowerbound of 95% confidence interval for beta
    0.18772
  • Upperbound of 95% confidence interval for beta
    0.32800
  • Lowerbound of 95% confidence interval for alpha
    0.09175
  • Upperbound of 95% confidence interval for alpha
    0.38720
  • Treynor index (mean / b)
    1.01716
  • Jensen alpha (a)
    0.23948
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24394
  • SD
    0.19078
  • Sharpe ratio (Glass type estimate)
    1.27862
  • Sharpe ratio (Hedges UMVUE)
    1.27803
  • df
    1638.00000
  • t
    3.19800
  • p
    0.46061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06288
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90772
  • Upside Potential Ratio
    9.25674
  • Upside part of mean
    1.18364
  • Downside part of mean
    -0.93971
  • Upside SD
    0.14231
  • Downside SD
    0.12787
  • N nonnegative terms
    892.00000
  • N negative terms
    747.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1639.00000
  • Mean of predictor
    0.07998
  • Mean of criterion
    0.24394
  • SD of predictor
    0.13021
  • SD of criterion
    0.19078
  • Covariance
    0.00438
  • r
    0.17649
  • b (slope, estimate of beta)
    0.25858
  • a (intercept, estimate of alpha)
    0.22325
  • Mean Square Error
    0.03529
  • DF error
    1637.00000
  • t(b)
    7.25444
  • p(b)
    0.38823
  • t(a)
    2.97050
  • p(a)
    0.45343
  • Lowerbound of 95% confidence interval for beta
    0.18867
  • Upperbound of 95% confidence interval for beta
    0.32850
  • Lowerbound of 95% confidence interval for alpha
    0.07584
  • Upperbound of 95% confidence interval for alpha
    0.37067
  • Treynor index (mean / b)
    0.94336
  • Jensen alpha (a)
    0.22325
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01829
  • Expected Shortfall on VaR
    0.02310
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00767
  • Expected Shortfall on VaR
    0.01569
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1639.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99562
  • Median
    1.00089
  • Quartile 3
    1.00667
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98745
  • Mean of quarter 2
    0.99861
  • Mean of quarter 3
    1.00358
  • Mean of quarter 4
    1.01480
  • Inter Quartile Range
    0.01105
  • Number outliers low
    50.00000
  • Percentage of outliers low
    0.03051
  • Mean of outliers low
    0.96880
  • Number of outliers high
    50.00000
  • Percentage of outliers high
    0.03051
  • Mean of outliers high
    1.03391
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12218
  • VaR(95%) (moments method)
    0.01124
  • Expected Shortfall (moments method)
    0.01660
  • Extreme Value Index (regression method)
    0.11314
  • VaR(95%) (regression method)
    0.01140
  • Expected Shortfall (regression method)
    0.01678
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00916
  • Median
    0.01907
  • Quartile 3
    0.05031
  • Maximum
    0.25577
  • Mean of quarter 1
    0.00388
  • Mean of quarter 2
    0.01488
  • Mean of quarter 3
    0.03211
  • Mean of quarter 4
    0.11288
  • Inter Quartile Range
    0.04114
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07018
  • Mean of outliers high
    0.20767
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.40250
  • VaR(95%) (moments method)
    0.12378
  • Expected Shortfall (moments method)
    0.22840
  • Extreme Value Index (regression method)
    0.37401
  • VaR(95%) (regression method)
    0.09900
  • Expected Shortfall (regression method)
    0.16237
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71568
  • Compounded annual return (geometric extrapolation)
    0.31238
  • Calmar ratio (compounded annual return / max draw down)
    1.22135
  • Compounded annual return / average of 25% largest draw downs
    2.76730
  • Compounded annual return / Expected Shortfall lognormal
    13.52270
  • 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
    0.04122
  • SD
    0.13710
  • Sharpe ratio (Glass type estimate)
    0.30065
  • Sharpe ratio (Hedges UMVUE)
    0.29891
  • df
    130.00000
  • t
    0.21259
  • p
    0.49068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07096
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41547
  • Upside Potential Ratio
    8.23082
  • Upside part of mean
    0.81658
  • Downside part of mean
    -0.77536
  • Upside SD
    0.09390
  • Downside SD
    0.09921
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07153
  • Mean of criterion
    0.04122
  • SD of predictor
    0.19087
  • SD of criterion
    0.13710
  • Covariance
    0.00132
  • r
    0.05059
  • b (slope, estimate of beta)
    0.03634
  • a (intercept, estimate of alpha)
    0.04382
  • Mean Square Error
    0.01889
  • DF error
    129.00000
  • t(b)
    0.57538
  • p(b)
    0.46780
  • t(a)
    0.22536
  • p(a)
    0.48737
  • Lowerbound of 95% confidence interval for beta
    -0.08862
  • Upperbound of 95% confidence interval for beta
    0.16130
  • Lowerbound of 95% confidence interval for alpha
    -0.34089
  • Upperbound of 95% confidence interval for alpha
    0.42853
  • Treynor index (mean / b)
    1.13423
  • Jensen alpha (a)
    0.04382
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03187
  • SD
    0.13725
  • Sharpe ratio (Glass type estimate)
    0.23223
  • Sharpe ratio (Hedges UMVUE)
    0.23089
  • df
    130.00000
  • t
    0.16421
  • p
    0.49280
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.54008
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.54106
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00284
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31860
  • Upside Potential Ratio
    8.11795
  • Upside part of mean
    0.81213
  • Downside part of mean
    -0.78026
  • Upside SD
    0.09321
  • Downside SD
    0.10004
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08961
  • Mean of criterion
    0.03187
  • SD of predictor
    0.19086
  • SD of criterion
    0.13725
  • Covariance
    0.00133
  • r
    0.05095
  • b (slope, estimate of beta)
    0.03664
  • a (intercept, estimate of alpha)
    0.03516
  • Mean Square Error
    0.01893
  • DF error
    129.00000
  • t(b)
    0.57947
  • p(b)
    0.46758
  • t(a)
    0.18059
  • p(a)
    0.48988
  • Lowerbound of 95% confidence interval for beta
    -0.08846
  • Upperbound of 95% confidence interval for beta
    0.16175
  • Lowerbound of 95% confidence interval for alpha
    -0.35002
  • Upperbound of 95% confidence interval for alpha
    0.42033
  • Treynor index (mean / b)
    0.86989
  • Jensen alpha (a)
    0.03516
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01373
  • Expected Shortfall on VaR
    0.01721
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00665
  • Expected Shortfall on VaR
    0.01315
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97581
  • Quartile 1
    0.99670
  • Median
    1.00026
  • Quartile 3
    1.00525
  • Maximum
    1.02669
  • Mean of quarter 1
    0.98966
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00244
  • Mean of quarter 4
    1.01021
  • Inter Quartile Range
    0.00855
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97925
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02669
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05166
  • VaR(95%) (moments method)
    0.00875
  • Expected Shortfall (moments method)
    0.01251
  • Extreme Value Index (regression method)
    -0.33775
  • VaR(95%) (regression method)
    0.01036
  • Expected Shortfall (regression method)
    0.01282
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00483
  • Quartile 1
    0.02480
  • Median
    0.04477
  • Quartile 3
    0.09632
  • Maximum
    0.14788
  • Mean of quarter 1
    0.00483
  • Mean of quarter 2
    0.04477
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14788
  • Inter Quartile Range
    0.07152
  • 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)
    0.06068
  • Compounded annual return (geometric extrapolation)
    0.06160
  • Calmar ratio (compounded annual return / max draw down)
    0.41659
  • Compounded annual return / average of 25% largest draw downs
    0.41659
  • Compounded annual return / Expected Shortfall lognormal
    3.57876

Strategy Description

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

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

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

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

Brad Pappas

Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$35,000
# Trades
592
# Profitable
253
% Profitable
42.7%
Net Dividends
Correlation S&P500
0.177
Sharpe Ratio
1.372

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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