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Optimized Partners II
(77331265)

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).
24.7%
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.

(27.1%)
Max Drawdown
728
Num Trades
45.9%
Win Trades
1.7 : 1
Profit Factor
59.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +2.5%(9.5%)(1.3%)(8.5%)
2013(3.5%)+4.9%+9.3%+5.7%+0.4%+1.3%+9.2%(4.4%)+5.6%+4.5%+18.4%+8.2%+75.4%
2014+1.2%+13.2%+2.4%+5.6%(1.6%)+2.1%(5.5%)+5.2%(3.8%)+7.1%+5.9%+9.5%+47.6%
2015(0.8%)(4.3%)+6.8%(4%)(3%)(1.1%)(3.1%)(1.3%)(1.2%)+4.2%(5.4%)(5.7%)(17.9%)
2016+2.0%+4.2%(2.1%)+5.8%(12.7%)+7.9%(3.2%)+6.3%(3.5%)(5%)+2.5%+6.4%+6.7%
2017+8.9%(4.3%)+7.5%+8.8%+5.1%(4.5%)+11.3%+4.0%+0.3%+6.6%+3.7%(0.5%)+56.3%
2018+11.3%+0.3%(0.4%)(1%)+1.8%+0.8%(3.3%)+15.0%+1.0%(9.6%)(2.1%)+7.7%+20.9%
2019+6.7%(3%)                                                            +3.4%

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 812 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 10:57 TCEHY TENCENT HOLDINGS ADR LONG 180 42.19 2/13 11:48 43.69 0.03%
Trade id #121819474
Max drawdown($27)
Time1/8/19 8:09
Quant open80
Worst price40.20
Drawdown as % of equity-0.03%
$266
Includes Typical Broker Commissions trade costs of $3.60
1/7/19 10:42 TWLO TWILIO INC LONG 55 97.84 2/13 11:48 106.09 0.95%
Trade id #121818807
Max drawdown($889)
Time2/4/19 11:55
Quant open55
Worst price81.68
Drawdown as % of equity-0.95%
$453
Includes Typical Broker Commissions trade costs of $1.10
2/4/19 11:26 ACB AURORA CANNABIS INC LONG 500 8.04 2/11 11:28 7.18 0.5%
Trade id #122344756
Max drawdown($454)
Time2/11/19 9:48
Quant open500
Worst price7.13
Drawdown as % of equity-0.50%
($439)
Includes Typical Broker Commissions trade costs of $10.00
1/17/19 11:38 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 85 72.92 2/8 10:23 92.67 0.03%
Trade id #122033708
Max drawdown($29)
Time1/17/19 11:58
Quant open60
Worst price71.12
Drawdown as % of equity-0.03%
$1,676
Includes Typical Broker Commissions trade costs of $1.70
1/7/19 10:41 CRM SALESFORCE.COM LONG 28 142.14 2/8 10:23 154.17 n/a $336
Includes Typical Broker Commissions trade costs of $0.56
2/4/19 9:58 DATA TABLEAU SOFTWARE INC LONG 50 132.75 2/8 10:23 119.52 0.77%
Trade id #122341437
Max drawdown($703)
Time2/8/19 9:49
Quant open50
Worst price118.69
Drawdown as % of equity-0.77%
($663)
Includes Typical Broker Commissions trade costs of $1.00
2/4/19 10:47 NBEV NEW AGE BEVERAGES CORPORATION COMMON LONG 650 7.70 2/8 10:07 6.36 1.02%
Trade id #122343175
Max drawdown($929)
Time2/8/19 9:47
Quant open650
Worst price6.27
Drawdown as % of equity-1.02%
($874)
Includes Typical Broker Commissions trade costs of $5.00
1/15/19 12:33 EHTH EHEALTH LONG 180 44.67 1/24 11:39 55.14 0.34%
Trade id #121987830
Max drawdown($296)
Time1/22/19 16:31
Quant open180
Worst price43.02
Drawdown as % of equity-0.34%
$1,881
Includes Typical Broker Commissions trade costs of $3.60
1/14/19 11:23 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 700 14.83 1/17 14:46 13.60 0.98%
Trade id #121955149
Max drawdown($867)
Time1/17/19 14:46
Quant open700
Worst price13.59
Drawdown as % of equity-0.98%
($864)
Includes Typical Broker Commissions trade costs of $5.00
1/7/19 10:42 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 36 93.65 1/17 11:36 93.16 0.14%
Trade id #121818790
Max drawdown($123)
Time1/15/19 8:12
Quant open36
Worst price90.23
Drawdown as % of equity-0.14%
($19)
Includes Typical Broker Commissions trade costs of $0.72
1/9/19 12:40 POOL POOL LONG 31 153.16 1/15 12:33 149.77 0.15%
Trade id #121877445
Max drawdown($135)
Time1/15/19 10:59
Quant open31
Worst price148.78
Drawdown as % of equity-0.15%
($106)
Includes Typical Broker Commissions trade costs of $0.62
1/10/19 10:38 CGC CANOPY GROWTH CORP LONG 110 36.13 1/14 14:39 41.34 0.72%
Trade id #121897586
Max drawdown($628)
Time1/11/19 17:20
Quant open110
Worst price30.42
Drawdown as % of equity-0.72%
$571
Includes Typical Broker Commissions trade costs of $2.20
11/23/18 9:53 TLT ISHARES 20+ YEAR TREASURY BOND LONG 200 115.99 1/4/19 11:12 121.81 0.22%
Trade id #121134794
Max drawdown($181)
Time11/28/18 12:59
Quant open145
Worst price114.36
Drawdown as % of equity-0.22%
$1,159
Includes Typical Broker Commissions trade costs of $4.00
1/2/19 10:32 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 300 31.73 1/2 13:08 30.58 0.4%
Trade id #121744946
Max drawdown($345)
Time1/2/19 13:08
Quant open0
Worst price30.58
Drawdown as % of equity-0.40%
($351)
Includes Typical Broker Commissions trade costs of $6.00
12/31/18 11:38 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 500 17.12 1/2/19 13:08 16.34 0.44%
Trade id #121722411
Max drawdown($388)
Time1/2/19 13:08
Quant open0
Worst price16.34
Drawdown as % of equity-0.44%
($398)
Includes Typical Broker Commissions trade costs of $10.00
12/31/18 11:08 TZA DIREXION DAILY SMALL CAP BEAR LONG 725 15.73 1/2/19 13:08 14.97 0.77%
Trade id #121721753
Max drawdown($670)
Time1/2/19 11:46
Quant open725
Worst price14.81
Drawdown as % of equity-0.77%
($560)
Includes Typical Broker Commissions trade costs of $6.75
12/19/18 15:00 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 800 17.47 12/24 10:43 19.76 0.11%
Trade id #121580661
Max drawdown($94)
Time12/20/18 10:08
Quant open550
Worst price16.98
Drawdown as % of equity-0.11%
$1,827
Includes Typical Broker Commissions trade costs of $7.50
12/19/18 15:00 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 225 31.63 12/24 10:43 35.87 0.07%
Trade id #121580632
Max drawdown($56)
Time12/19/18 15:25
Quant open225
Worst price31.38
Drawdown as % of equity-0.07%
$949
Includes Typical Broker Commissions trade costs of $4.50
12/14/18 13:29 TZA DIREXION DAILY SMALL CAP BEAR LONG 450 13.61 12/18 10:53 14.25 0.02%
Trade id #121506091
Max drawdown($17)
Time12/14/18 13:47
Quant open300
Worst price13.36
Drawdown as % of equity-0.02%
$279
Includes Typical Broker Commissions trade costs of $9.00
12/14/18 11:19 SDS PROSHARES ULTRASHORT S&P500 LONG 260 39.97 12/18 10:53 41.70 0%
Trade id #121502612
Max drawdown($1)
Time12/14/18 11:21
Quant open175
Worst price39.86
Drawdown as % of equity-0.00%
$444
Includes Typical Broker Commissions trade costs of $5.20
12/14/18 11:18 QID PROSHARES ULTRASHORT QQQ LONG 220 44.11 12/18 10:53 45.92 n/a $394
Includes Typical Broker Commissions trade costs of $4.40
12/11/18 13:00 TECL DIREXION DAILY TECHNOLOGY BULL LONG 65 102.32 12/11 13:53 99.65 0.21%
Trade id #121447713
Max drawdown($174)
Time12/11/18 13:53
Quant open0
Worst price99.65
Drawdown as % of equity-0.21%
($175)
Includes Typical Broker Commissions trade costs of $1.30
12/4/18 10:41 SDS PROSHARES ULTRASHORT S&P500 LONG 150 35.85 12/7 13:05 38.80 n/a $440
Includes Typical Broker Commissions trade costs of $3.00
11/29/18 15:45 QID PROSHARES ULTRASHORT QQQ LONG 310 41.25 12/6 15:41 42.27 0.96%
Trade id #121258151
Max drawdown($778)
Time12/3/18 4:55
Quant open310
Worst price38.74
Drawdown as % of equity-0.96%
$311
Includes Typical Broker Commissions trade costs of $6.20
11/21/18 10:28 PLNT PLANET FITNESS INC LONG 70 52.28 12/6 14:57 55.50 0.03%
Trade id #121098389
Max drawdown($26)
Time11/21/18 10:46
Quant open70
Worst price51.90
Drawdown as % of equity-0.03%
$225
Includes Typical Broker Commissions trade costs of $1.40
12/4/18 11:12 TZA DIREXION DAILY SMALL CAP BEAR LONG 300 11.03 12/6 14:57 12.31 0%
Trade id #121333840
Max drawdown($3)
Time12/4/18 11:14
Quant open300
Worst price11.02
Drawdown as % of equity-0.00%
$378
Includes Typical Broker Commissions trade costs of $6.00
11/7/18 12:23 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 45 117.74 12/6 9:30 119.48 0.1%
Trade id #120800691
Max drawdown($78)
Time11/15/18 10:43
Quant open45
Worst price116.00
Drawdown as % of equity-0.10%
$78
Includes Typical Broker Commissions trade costs of $0.90
11/7/18 11:47 VRSK VERISK ANALYTICS LONG 40 121.24 12/4 10:35 124.18 0.11%
Trade id #120799310
Max drawdown($87)
Time11/23/18 9:31
Quant open40
Worst price119.06
Drawdown as % of equity-0.11%
$117
Includes Typical Broker Commissions trade costs of $0.80
11/26/18 14:27 SQ SQUARE INC LONG 55 66.54 12/4 10:34 69.60 0.1%
Trade id #121171995
Max drawdown($77)
Time11/27/18 13:17
Quant open55
Worst price65.12
Drawdown as % of equity-0.10%
$167
Includes Typical Broker Commissions trade costs of $1.10
11/26/18 11:01 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 110 65.15 12/4 10:34 68.94 0.08%
Trade id #121166909
Max drawdown($63)
Time11/26/18 12:37
Quant open110
Worst price64.58
Drawdown as % of equity-0.08%
$415
Includes Typical Broker Commissions trade costs of $2.20

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2310.37
  • Age
    77 months ago
  • What it trades
    Stocks
  • # Trades
    728
  • # Profitable
    334
  • % Profitable
    45.90%
  • Avg trade duration
    35.8 days
  • Max peak-to-valley drawdown
    27.12%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    24.7%
  • Avg win
    $504.42
  • Avg loss
    $258.03
  • Model Account Values (Raw)
  • Cash
    $56,956
  • Margin Used
    $0
  • Buying Power
    $59,280
  • Ratios
  • W:L ratio
    1.71:1
  • Sharpe Ratio
    1.423
  • Sortino Ratio
    2.046
  • Calmar Ratio
    1.544
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.20300
  • Return Statistics
  • Ann Return (w trading costs)
    24.7%
  • Ann Return (Compnd, No Fees)
    26.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.00%
  • Chance of 20% account loss
    6.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    629
  • Popularity (Last 6 weeks)
    963
  • C2 Score
    96.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $258
  • Avg Win
    $506
  • # Winners
    334
  • # Losers
    394
  • % Winners
    45.9%
  • Frequency
  • Avg Position Time (mins)
    51622.10
  • Avg Position Time (hrs)
    860.37
  • Avg Trade Length
    35.8 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
    0.23743
  • SD
    0.17908
  • Sharpe ratio (Glass type estimate)
    1.32584
  • Sharpe ratio (Hedges UMVUE)
    1.31217
  • df
    73.00000
  • t
    3.29243
  • p
    0.00077
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13957
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12963
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86236
  • Upside Potential Ratio
    4.63331
  • Upside part of mean
    0.38434
  • Downside part of mean
    -0.14690
  • Upside SD
    0.17162
  • Downside SD
    0.08295
  • N nonnegative terms
    42.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.08457
  • Mean of criterion
    0.23743
  • SD of predictor
    0.10205
  • SD of criterion
    0.17908
  • Covariance
    0.00754
  • r
    0.41281
  • b (slope, estimate of beta)
    0.72439
  • a (intercept, estimate of alpha)
    0.17617
  • Mean Square Error
    0.02697
  • DF error
    72.00000
  • t(b)
    3.84579
  • p(b)
    0.00013
  • t(a)
    2.58965
  • p(a)
    0.00581
  • Lowerbound of 95% confidence interval for beta
    0.34890
  • Upperbound of 95% confidence interval for beta
    1.09988
  • Lowerbound of 95% confidence interval for alpha
    0.04056
  • Upperbound of 95% confidence interval for alpha
    0.31179
  • Treynor index (mean / b)
    0.32777
  • Jensen alpha (a)
    0.17617
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21950
  • SD
    0.17469
  • Sharpe ratio (Glass type estimate)
    1.25645
  • Sharpe ratio (Hedges UMVUE)
    1.24350
  • df
    73.00000
  • t
    3.12012
  • p
    0.00129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05813
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57490
  • Upside Potential Ratio
    4.33598
  • Upside part of mean
    0.36962
  • Downside part of mean
    -0.15012
  • Upside SD
    0.16387
  • Downside SD
    0.08524
  • N nonnegative terms
    42.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.07899
  • Mean of criterion
    0.21950
  • SD of predictor
    0.10180
  • SD of criterion
    0.17469
  • Covariance
    0.00731
  • r
    0.41087
  • b (slope, estimate of beta)
    0.70510
  • a (intercept, estimate of alpha)
    0.16380
  • Mean Square Error
    0.02572
  • DF error
    72.00000
  • t(b)
    3.82406
  • p(b)
    0.00014
  • t(a)
    2.47425
  • p(a)
    0.00785
  • Lowerbound of 95% confidence interval for beta
    0.33753
  • Upperbound of 95% confidence interval for beta
    1.07266
  • Lowerbound of 95% confidence interval for alpha
    0.03183
  • Upperbound of 95% confidence interval for alpha
    0.29577
  • Treynor index (mean / b)
    0.31130
  • Jensen alpha (a)
    0.16380
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06261
  • Expected Shortfall on VaR
    0.08200
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02585
  • Expected Shortfall on VaR
    0.05043
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    74.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98682
  • Median
    1.01870
  • Quartile 3
    1.05690
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95991
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.04081
  • Mean of quarter 4
    1.08844
  • Inter Quartile Range
    0.07009
  • 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
    0.01351
  • Mean of outliers high
    1.16460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.67776
  • VaR(95%) (moments method)
    0.03547
  • Expected Shortfall (moments method)
    0.04015
  • Extreme Value Index (regression method)
    -0.37078
  • VaR(95%) (regression method)
    0.04071
  • Expected Shortfall (regression method)
    0.04972
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01453
  • Median
    0.03472
  • Quartile 3
    0.06671
  • Maximum
    0.16208
  • Mean of quarter 1
    0.00870
  • Mean of quarter 2
    0.02549
  • Mean of quarter 3
    0.04509
  • Mean of quarter 4
    0.10461
  • Inter Quartile Range
    0.05218
  • 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
    0.07143
  • 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)
    0.12078
  • Expected Shortfall (moments method)
    0.13663
  • Extreme Value Index (regression method)
    0.34639
  • VaR(95%) (regression method)
    0.14714
  • Expected Shortfall (regression method)
    0.23998
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58348
  • Compounded annual return (geometric extrapolation)
    0.28070
  • Calmar ratio (compounded annual return / max draw down)
    1.73179
  • Compounded annual return / average of 25% largest draw downs
    2.68328
  • Compounded annual return / Expected Shortfall lognormal
    3.42313
  • 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
    0.22668
  • SD
    0.15924
  • Sharpe ratio (Glass type estimate)
    1.42355
  • Sharpe ratio (Hedges UMVUE)
    1.42289
  • df
    1626.00000
  • t
    3.54744
  • p
    0.45618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21092
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04636
  • Upside Potential Ratio
    9.47038
  • Upside part of mean
    1.04908
  • Downside part of mean
    -0.82239
  • Upside SD
    0.11518
  • Downside SD
    0.11077
  • N nonnegative terms
    915.00000
  • N negative terms
    712.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1627.00000
  • Mean of predictor
    0.08934
  • Mean of criterion
    0.22668
  • SD of predictor
    0.13059
  • SD of criterion
    0.15924
  • Covariance
    0.00405
  • r
    0.19479
  • b (slope, estimate of beta)
    0.23752
  • a (intercept, estimate of alpha)
    0.20500
  • Mean Square Error
    0.02441
  • DF error
    1625.00000
  • t(b)
    8.00540
  • p(b)
    0.37678
  • t(a)
    3.27424
  • p(a)
    0.44852
  • Lowerbound of 95% confidence interval for beta
    0.17932
  • Upperbound of 95% confidence interval for beta
    0.29571
  • Lowerbound of 95% confidence interval for alpha
    0.08238
  • Upperbound of 95% confidence interval for alpha
    0.32855
  • Treynor index (mean / b)
    0.95439
  • Jensen alpha (a)
    0.20547
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21387
  • SD
    0.15954
  • Sharpe ratio (Glass type estimate)
    1.34049
  • Sharpe ratio (Hedges UMVUE)
    1.33987
  • df
    1626.00000
  • t
    3.34046
  • p
    0.45872
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.55244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12773
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90680
  • Upside Potential Ratio
    9.29387
  • Upside part of mean
    1.04241
  • Downside part of mean
    -0.82854
  • Upside SD
    0.11416
  • Downside SD
    0.11216
  • N nonnegative terms
    915.00000
  • N negative terms
    712.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1627.00000
  • Mean of predictor
    0.08078
  • Mean of criterion
    0.21387
  • SD of predictor
    0.13078
  • SD of criterion
    0.15954
  • Covariance
    0.00407
  • r
    0.19510
  • b (slope, estimate of beta)
    0.23802
  • a (intercept, estimate of alpha)
    0.19464
  • Mean Square Error
    0.02450
  • DF error
    1625.00000
  • t(b)
    8.01878
  • p(b)
    0.37659
  • t(a)
    3.09652
  • p(a)
    0.45129
  • Lowerbound of 95% confidence interval for beta
    0.17980
  • Upperbound of 95% confidence interval for beta
    0.29624
  • Lowerbound of 95% confidence interval for alpha
    0.07135
  • Upperbound of 95% confidence interval for alpha
    0.31793
  • Treynor index (mean / b)
    0.89854
  • Jensen alpha (a)
    0.19464
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01528
  • Expected Shortfall on VaR
    0.01932
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00659
  • Expected Shortfall on VaR
    0.01354
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1627.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99600
  • Median
    1.00130
  • Quartile 3
    1.00636
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98895
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00354
  • Mean of quarter 4
    1.01253
  • Inter Quartile Range
    0.01036
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.03012
  • Mean of outliers low
    0.97297
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.02090
  • Mean of outliers high
    1.02680
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21735
  • VaR(95%) (moments method)
    0.01051
  • Expected Shortfall (moments method)
    0.01662
  • Extreme Value Index (regression method)
    0.08951
  • VaR(95%) (regression method)
    0.01013
  • Expected Shortfall (regression method)
    0.01462
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    63.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00513
  • Median
    0.02784
  • Quartile 3
    0.05389
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00235
  • Mean of quarter 2
    0.01448
  • Mean of quarter 3
    0.03912
  • Mean of quarter 4
    0.09141
  • Inter Quartile Range
    0.04876
  • 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
    0.03175
  • Mean of outliers high
    0.16229
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01950
  • VaR(95%) (moments method)
    0.09628
  • Expected Shortfall (moments method)
    0.12122
  • Extreme Value Index (regression method)
    0.28217
  • VaR(95%) (regression method)
    0.10058
  • Expected Shortfall (regression method)
    0.14859
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56168
  • Compounded annual return (geometric extrapolation)
    0.27351
  • Calmar ratio (compounded annual return / max draw down)
    1.54384
  • Compounded annual return / average of 25% largest draw downs
    2.99206
  • Compounded annual return / Expected Shortfall lognormal
    14.15710
  • 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
    0.14026
  • SD
    0.12878
  • Sharpe ratio (Glass type estimate)
    1.08908
  • Sharpe ratio (Hedges UMVUE)
    1.08278
  • df
    130.00000
  • t
    0.77009
  • p
    0.46631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68794
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85771
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52291
  • Upside Potential Ratio
    8.97208
  • Upside part of mean
    0.82630
  • Downside part of mean
    -0.68605
  • Upside SD
    0.08973
  • Downside SD
    0.09210
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06819
  • Mean of criterion
    0.14026
  • SD of predictor
    0.19090
  • SD of criterion
    0.12878
  • Covariance
    0.00134
  • r
    0.05440
  • b (slope, estimate of beta)
    0.03670
  • a (intercept, estimate of alpha)
    0.14276
  • Mean Square Error
    0.01666
  • DF error
    129.00000
  • t(b)
    0.61884
  • p(b)
    0.46538
  • t(a)
    0.78178
  • p(a)
    0.45632
  • Lowerbound of 95% confidence interval for beta
    -0.08064
  • Upperbound of 95% confidence interval for beta
    0.15405
  • Lowerbound of 95% confidence interval for alpha
    -0.21853
  • Upperbound of 95% confidence interval for alpha
    0.50405
  • Treynor index (mean / b)
    3.82146
  • Jensen alpha (a)
    0.14276
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13196
  • SD
    0.12898
  • Sharpe ratio (Glass type estimate)
    1.02314
  • Sharpe ratio (Hedges UMVUE)
    1.01722
  • df
    130.00000
  • t
    0.72347
  • p
    0.46834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79179
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.42094
  • Upside Potential Ratio
    8.85360
  • Upside part of mean
    0.82222
  • Downside part of mean
    -0.69026
  • Upside SD
    0.08916
  • Downside SD
    0.09287
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08627
  • Mean of criterion
    0.13196
  • SD of predictor
    0.19088
  • SD of criterion
    0.12898
  • Covariance
    0.00135
  • r
    0.05478
  • b (slope, estimate of beta)
    0.03702
  • a (intercept, estimate of alpha)
    0.13515
  • Mean Square Error
    0.01671
  • DF error
    129.00000
  • t(b)
    0.62317
  • p(b)
    0.46514
  • t(a)
    0.73894
  • p(a)
    0.45870
  • Lowerbound of 95% confidence interval for beta
    -0.08051
  • Upperbound of 95% confidence interval for beta
    0.15454
  • Lowerbound of 95% confidence interval for alpha
    -0.22673
  • Upperbound of 95% confidence interval for alpha
    0.49704
  • Treynor index (mean / b)
    3.56489
  • Jensen alpha (a)
    0.13515
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01252
  • Expected Shortfall on VaR
    0.01580
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00561
  • Expected Shortfall on VaR
    0.01145
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97699
  • Quartile 1
    0.99743
  • Median
    1.00094
  • Quartile 3
    1.00549
  • Maximum
    1.02003
  • Mean of quarter 1
    0.99076
  • Mean of quarter 2
    0.99915
  • Mean of quarter 3
    1.00275
  • Mean of quarter 4
    1.00997
  • Inter Quartile Range
    0.00806
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98001
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01918
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19917
  • VaR(95%) (moments method)
    0.00780
  • Expected Shortfall (moments method)
    0.01259
  • Extreme Value Index (regression method)
    -0.06428
  • VaR(95%) (regression method)
    0.00864
  • Expected Shortfall (regression method)
    0.01200
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00027
  • Quartile 1
    0.01159
  • Median
    0.02968
  • Quartile 3
    0.06205
  • Maximum
    0.11624
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.01537
  • Mean of quarter 3
    0.04399
  • Mean of quarter 4
    0.11624
  • Inter Quartile Range
    0.05046
  • 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)
    0.16643
  • Compounded annual return (geometric extrapolation)
    0.17336
  • Calmar ratio (compounded annual return / max draw down)
    1.49139
  • Compounded annual return / average of 25% largest draw downs
    1.49139
  • Compounded annual return / Expected Shortfall lognormal
    10.97060

Strategy Description

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
728
# Profitable
334
% Profitable
45.9%
Net Dividends
Correlation S&P500
0.203
Sharpe Ratio
1.423

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.