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Optimized Partners II
(77331265)

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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
21.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(27.9%)
Max Drawdown
818
Num Trades
45.1%
Win Trades
1.6 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +2.3%(9.6%)(1.5%)(8.8%)
2013(3.6%)+4.8%+9.2%+5.6%+0.3%+1.2%+9.2%(4.6%)+5.6%+4.4%+18.5%+8.2%+74.1%
2014+1.1%+13.3%+2.4%+5.6%(1.7%)+2.1%(5.6%)+5.2%(3.9%)+7.1%+5.9%+9.5%+47.2%
2015(0.8%)(4.4%)+6.8%(4.1%)(3.1%)(1.1%)(3.2%)(1.4%)(1.3%)+4.2%(5.6%)(5.9%)(18.8%)
2016+2.0%+4.2%(2.2%)+5.9%(13.1%)+8.0%(3.3%)+6.4%(3.6%)(5.2%)+2.5%+6.5%+6.1%
2017+9.1%(4.4%)+7.7%+9.0%+5.2%(4.6%)+11.6%+4.0%+0.2%+6.7%+3.8%(0.6%)+57.2%
2018+11.6%+0.3%(0.5%)(1%)+1.8%+0.8%(3.4%)+15.3%+1.0%(9.8%)(2.2%)+7.9%+21.0%
2019+6.8%(2.9%)(0.3%)+1.1%(3.2%)+9.9%+3.1%(5.7%)(6.9%)                  +0.5%

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 1,040 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/23/19 15:57 PSQ PROSHARES SHORT QQQ LONG 700 28.95 9/5 9:45 27.55 1.18%
Trade id #125066568
Max drawdown($979)
Time9/5/19 9:43
Quant open700
Worst price27.55
Drawdown as % of equity-1.18%
($984)
Includes Typical Broker Commissions trade costs of $5.00
8/19/19 9:38 PAYC PAYCOM SOFTWARE INC LONG 30 245.59 9/3 10:29 248.21 0.2%
Trade id #124986672
Max drawdown($163)
Time8/20/19 0:00
Quant open30
Worst price240.13
Drawdown as % of equity-0.20%
$78
Includes Typical Broker Commissions trade costs of $0.60
8/19/19 9:42 SHOP SHOPIFY INC LONG 20 363.41 8/30 14:12 388.89 0.1%
Trade id #124986858
Max drawdown($81)
Time8/20/19 0:00
Quant open20
Worst price359.32
Drawdown as % of equity-0.10%
$510
Includes Typical Broker Commissions trade costs of $0.40
8/19/19 9:38 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 50 139.89 8/28 10:38 138.59 0.26%
Trade id #124986653
Max drawdown($218)
Time8/20/19 0:00
Quant open50
Worst price135.53
Drawdown as % of equity-0.26%
($66)
Includes Typical Broker Commissions trade costs of $1.00
8/19/19 10:59 ENPH ENPHASE ENERGY LONG 200 33.13 8/27 12:11 33.71 0.12%
Trade id #124988510
Max drawdown($97)
Time8/20/19 0:00
Quant open200
Worst price32.64
Drawdown as % of equity-0.12%
$112
Includes Typical Broker Commissions trade costs of $4.00
8/15/19 12:40 FICO FAIR ISAAC LONG 25 337.26 8/27 10:43 351.11 0.04%
Trade id #124952970
Max drawdown($36)
Time8/15/19 13:56
Quant open25
Worst price335.82
Drawdown as % of equity-0.04%
$346
Includes Typical Broker Commissions trade costs of $0.50
8/15/19 12:34 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 50 157.12 8/26 9:54 163.72 0%
Trade id #124952847
Max drawdown($1)
Time8/15/19 12:35
Quant open50
Worst price157.09
Drawdown as % of equity-0.00%
$329
Includes Typical Broker Commissions trade costs of $1.00
8/15/19 12:34 CTAS CINTAS LONG 60 259.84 8/26 9:49 257.70 0.37%
Trade id #124952859
Max drawdown($310)
Time8/23/19 0:00
Quant open60
Worst price254.67
Drawdown as % of equity-0.37%
($129)
Includes Typical Broker Commissions trade costs of $1.20
8/21/19 10:33 AYX ALTERYX INC LONG 50 141.67 8/26 9:49 137.64 0.22%
Trade id #125019072
Max drawdown($181)
Time8/26/19 9:49
Quant open50
Worst price138.03
Drawdown as % of equity-0.22%
($203)
Includes Typical Broker Commissions trade costs of $1.00
8/23/19 12:18 ROM PROSHARES ULTRA TECHNOLOGY LONG 100 115.01 8/23 13:11 113.97 0.1%
Trade id #125062895
Max drawdown($86)
Time8/23/19 13:10
Quant open100
Worst price114.15
Drawdown as % of equity-0.10%
($107)
Includes Typical Broker Commissions trade costs of $2.00
8/19/19 9:40 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 55 100.93 8/23 11:36 87.03 0.88%
Trade id #124986783
Max drawdown($737)
Time8/23/19 11:36
Quant open55
Worst price87.52
Drawdown as % of equity-0.88%
($765)
Includes Typical Broker Commissions trade costs of $1.10
8/15/19 13:14 TZA DIREXION DAILY SMALL CAP BEAR LONG 150 54.74 8/19 9:34 49.57 0.96%
Trade id #124953390
Max drawdown($807)
Time8/19/19 9:32
Quant open150
Worst price49.36
Drawdown as % of equity-0.96%
($779)
Includes Typical Broker Commissions trade costs of $3.00
8/7/19 11:06 SRTY PROSHARES ULTRAPRO SHORT RUSSE LONG 300 26.93 8/14 11:40 27.43 0.87%
Trade id #124814377
Max drawdown($723)
Time8/7/19 11:06
Quant open300
Worst price24.52
Drawdown as % of equity-0.87%
$143
Includes Typical Broker Commissions trade costs of $6.00
8/7/19 11:06 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 150 15.09 8/14 11:40 12.60 0.44%
Trade id #124814361
Max drawdown($371)
Time8/7/19 11:06
Quant open150
Worst price12.61
Drawdown as % of equity-0.44%
($375)
Includes Typical Broker Commissions trade costs of $3.00
8/1/19 11:09 GPN GLOBAL PAYMENTS LONG 40 165.07 8/5 10:21 156.57 0.41%
Trade id #124718299
Max drawdown($358)
Time8/1/19 11:09
Quant open40
Worst price156.11
Drawdown as % of equity-0.41%
($341)
Includes Typical Broker Commissions trade costs of $0.80
8/1/19 11:19 ROM PROSHARES ULTRA TECHNOLOGY LONG 60 133.03 8/5 10:21 114.56 1.29%
Trade id #124718616
Max drawdown($1,145)
Time8/1/19 11:19
Quant open60
Worst price113.94
Drawdown as % of equity-1.29%
($1,109)
Includes Typical Broker Commissions trade costs of $1.20
7/9/19 11:35 OKTA OKTA INC. CL A COMMON STOCK LONG 65 133.01 8/5 9:38 127.98 0.49%
Trade id #124389469
Max drawdown($429)
Time7/9/19 11:35
Quant open65
Worst price126.40
Drawdown as % of equity-0.49%
($328)
Includes Typical Broker Commissions trade costs of $1.30
6/12/19 13:45 TNET TRINET GROUP INC LONG 105 68.30 8/5 9:38 69.90 0.23%
Trade id #124053893
Max drawdown($185)
Time6/12/19 13:45
Quant open105
Worst price66.53
Drawdown as % of equity-0.23%
$166
Includes Typical Broker Commissions trade costs of $2.10
6/5/19 10:06 CTAS CINTAS LONG 55 229.05 8/5 9:30 251.02 0.03%
Trade id #123947731
Max drawdown($24)
Time6/5/19 10:06
Quant open55
Worst price228.61
Drawdown as % of equity-0.03%
$1,208
Includes Typical Broker Commissions trade costs of $1.10
7/25/19 11:08 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 65 147.10 8/5 9:30 124.21 1.74%
Trade id #124614187
Max drawdown($1,488)
Time8/5/19 9:30
Quant open65
Worst price124.21
Drawdown as % of equity-1.74%
($1,489)
Includes Typical Broker Commissions trade costs of $1.30
7/1/19 13:25 OLED UNIVERSAL DISPLAY CORPORATION LONG 35 192.02 8/2 9:40 193.81 0.26%
Trade id #124293410
Max drawdown($220)
Time7/1/19 13:25
Quant open35
Worst price185.71
Drawdown as % of equity-0.26%
$62
Includes Typical Broker Commissions trade costs of $0.70
7/24/19 14:13 PFBC PREFERRED BANK LONG 140 53.99 8/1 11:08 54.10 0.23%
Trade id #124599448
Max drawdown($210)
Time7/24/19 14:13
Quant open140
Worst price52.49
Drawdown as % of equity-0.23%
$12
Includes Typical Broker Commissions trade costs of $2.80
7/26/19 12:16 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 50 144.92 7/31 14:52 133.73 0.63%
Trade id #124636035
Max drawdown($559)
Time7/31/19 14:52
Quant open50
Worst price133.74
Drawdown as % of equity-0.63%
($560)
Includes Typical Broker Commissions trade costs of $1.00
7/15/19 12:21 SHOP SHOPIFY INC LONG 28 320.61 7/30 9:30 312.10 0.27%
Trade id #124463878
Max drawdown($238)
Time7/30/19 9:30
Quant open28
Worst price312.10
Drawdown as % of equity-0.27%
($239)
Includes Typical Broker Commissions trade costs of $0.56
7/25/19 11:08 BYND BEYOND MEAT INC. COMMON STOCK LONG 40 208.67 7/29 10:09 209.00 0.01%
Trade id #124614212
Max drawdown($10)
Time7/25/19 11:08
Quant open40
Worst price208.40
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $0.80
7/18/19 11:36 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 650 32.81 7/24 15:13 30.89 1.4%
Trade id #124518029
Max drawdown($1,251)
Time7/24/19 15:13
Quant open650
Worst price30.89
Drawdown as % of equity-1.40%
($1,260)
Includes Typical Broker Commissions trade costs of $9.00
7/18/19 13:24 CEF CENTRAL FUND OF CANADA LONG 650 13.63 7/22 13:17 13.75 0.05%
Trade id #124520178
Max drawdown($45)
Time7/18/19 13:24
Quant open650
Worst price13.56
Drawdown as % of equity-0.05%
$75
Includes Typical Broker Commissions trade costs of $5.00
6/6/19 10:07 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 70 94.93 7/22 9:46 122.10 0.51%
Trade id #123962779
Max drawdown($407)
Time6/6/19 10:07
Quant open70
Worst price89.10
Drawdown as % of equity-0.51%
$1,901
Includes Typical Broker Commissions trade costs of $1.40
7/1/19 13:26 PAYS PAYSIGN INC LONG 455 13.88 7/22 9:30 16.30 0.71%
Trade id #124293430
Max drawdown($605)
Time7/1/19 13:26
Quant open455
Worst price12.55
Drawdown as % of equity-0.71%
$1,093
Includes Typical Broker Commissions trade costs of $9.10
1/7/19 10:41 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 67 113.69 7/18 11:37 153.33 0.11%
Trade id #121818719
Max drawdown($85)
Time1/7/19 10:41
Quant open37
Worst price109.24
Drawdown as % of equity-0.11%
$2,655
Includes Typical Broker Commissions trade costs of $1.34

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2516.23
  • Age
    84 months ago
  • What it trades
    Stocks
  • # Trades
    818
  • # Profitable
    369
  • % Profitable
    45.10%
  • Avg trade duration
    34.1 days
  • Max peak-to-valley drawdown
    27.93%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    21.6%
  • Avg win
    $521.10
  • Avg loss
    $282.06
  • Model Account Values (Raw)
  • Cash
    $56,141
  • Margin Used
    $0
  • Buying Power
    $53,374
  • Ratios
  • W:L ratio
    1.57:1
  • Sharpe Ratio
    0.91
  • Sortino Ratio
    1.29
  • Calmar Ratio
    1.393
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.21650
  • Return Statistics
  • Ann Return (w trading costs)
    21.6%
  • Ann Return (Compnd, No Fees)
    24.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    572
  • Popularity (Last 6 weeks)
    905
  • C2 Score
    239
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $282
  • Avg Win
    $521
  • # Winners
    369
  • # Losers
    449
  • % Winners
    45.1%
  • Frequency
  • Avg Position Time (mins)
    49173.90
  • Avg Position Time (hrs)
    819.57
  • Avg Trade Length
    34.1 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.10
  • Daily leverage (max)
    2.71
  • Regression
  • Alpha
    0.04
  • Beta
    0.29
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    3.572
  • Avg(MAE) / Avg(PL) - Winning trades
    0.321
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.292
  • Hold-and-Hope Ratio
    0.280
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21741
  • SD
    0.17763
  • Sharpe ratio (Glass type estimate)
    1.22389
  • Sharpe ratio (Hedges UMVUE)
    1.21238
  • df
    80.00000
  • t
    3.17977
  • p
    0.00105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99810
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98981
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.56034
  • Upside Potential Ratio
    4.38035
  • Upside part of mean
    0.37195
  • Downside part of mean
    -0.15454
  • Upside SD
    0.16701
  • Downside SD
    0.08491
  • N nonnegative terms
    45.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.08801
  • Mean of criterion
    0.21741
  • SD of predictor
    0.10024
  • SD of criterion
    0.17763
  • Covariance
    0.00747
  • r
    0.41930
  • b (slope, estimate of beta)
    0.74306
  • a (intercept, estimate of alpha)
    0.15201
  • Mean Square Error
    0.02634
  • DF error
    79.00000
  • t(b)
    4.10509
  • p(b)
    0.00005
  • t(a)
    2.35809
  • p(a)
    0.01042
  • Lowerbound of 95% confidence interval for beta
    0.38277
  • Upperbound of 95% confidence interval for beta
    1.10335
  • Lowerbound of 95% confidence interval for alpha
    0.02370
  • Upperbound of 95% confidence interval for alpha
    0.28032
  • Treynor index (mean / b)
    0.29258
  • Jensen alpha (a)
    0.15201
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20007
  • SD
    0.17353
  • Sharpe ratio (Glass type estimate)
    1.15289
  • Sharpe ratio (Hedges UMVUE)
    1.14204
  • df
    80.00000
  • t
    2.99529
  • p
    0.00182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.37429
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92466
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91691
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29351
  • Upside Potential Ratio
    4.10380
  • Upside part of mean
    0.35798
  • Downside part of mean
    -0.15791
  • Upside SD
    0.15959
  • Downside SD
    0.08723
  • N nonnegative terms
    45.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.08258
  • Mean of criterion
    0.20007
  • SD of predictor
    0.09990
  • SD of criterion
    0.17353
  • Covariance
    0.00723
  • r
    0.41711
  • b (slope, estimate of beta)
    0.72455
  • a (intercept, estimate of alpha)
    0.14023
  • Mean Square Error
    0.02519
  • DF error
    79.00000
  • t(b)
    4.07914
  • p(b)
    0.00005
  • t(a)
    2.23210
  • p(a)
    0.01422
  • Lowerbound of 95% confidence interval for beta
    0.37100
  • Upperbound of 95% confidence interval for beta
    1.07810
  • Lowerbound of 95% confidence interval for alpha
    0.01518
  • Upperbound of 95% confidence interval for alpha
    0.26528
  • Treynor index (mean / b)
    0.27613
  • Jensen alpha (a)
    0.14023
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06361
  • Expected Shortfall on VaR
    0.08285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02777
  • Expected Shortfall on VaR
    0.05308
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98616
  • Median
    1.01739
  • Quartile 3
    1.05389
  • Maximum
    1.16460
  • Mean of quarter 1
    0.95883
  • Mean of quarter 2
    0.99790
  • Mean of quarter 3
    1.04134
  • Mean of quarter 4
    1.08679
  • Inter Quartile Range
    0.06774
  • 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
    0.01235
  • Mean of outliers high
    1.16460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.86395
  • VaR(95%) (moments method)
    0.03667
  • Expected Shortfall (moments method)
    0.04022
  • Extreme Value Index (regression method)
    -0.50067
  • VaR(95%) (regression method)
    0.04094
  • Expected Shortfall (regression method)
    0.04808
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01593
  • Median
    0.03932
  • Quartile 3
    0.06231
  • Maximum
    0.16208
  • Mean of quarter 1
    0.00870
  • Mean of quarter 2
    0.02880
  • Mean of quarter 3
    0.05218
  • Mean of quarter 4
    0.10461
  • Inter Quartile Range
    0.04638
  • 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
    0.06250
  • 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)
    0.11750
  • Expected Shortfall (moments method)
    0.13445
  • Extreme Value Index (regression method)
    0.34639
  • VaR(95%) (regression method)
    0.13971
  • Expected Shortfall (regression method)
    0.22861
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54209
  • Compounded annual return (geometric extrapolation)
    0.25605
  • Calmar ratio (compounded annual return / max draw down)
    1.57975
  • Compounded annual return / average of 25% largest draw downs
    2.44770
  • Compounded annual return / Expected Shortfall lognormal
    3.09041
  • 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
    0.20528
  • SD
    0.15813
  • Sharpe ratio (Glass type estimate)
    1.29816
  • Sharpe ratio (Hedges UMVUE)
    1.29761
  • df
    1772.00000
  • t
    3.37700
  • p
    0.46002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54333
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05225
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85965
  • Upside Potential Ratio
    9.35733
  • Upside part of mean
    1.03293
  • Downside part of mean
    -0.82765
  • Upside SD
    0.11388
  • Downside SD
    0.11039
  • N nonnegative terms
    988.00000
  • N negative terms
    785.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1773.00000
  • Mean of predictor
    0.09229
  • Mean of criterion
    0.20528
  • SD of predictor
    0.13070
  • SD of criterion
    0.15813
  • Covariance
    0.00429
  • r
    0.20737
  • b (slope, estimate of beta)
    0.25089
  • a (intercept, estimate of alpha)
    0.18200
  • Mean Square Error
    0.02394
  • DF error
    1771.00000
  • t(b)
    8.92063
  • p(b)
    0.36894
  • t(a)
    3.05886
  • p(a)
    0.45389
  • Lowerbound of 95% confidence interval for beta
    0.19573
  • Upperbound of 95% confidence interval for beta
    0.30606
  • Lowerbound of 95% confidence interval for alpha
    0.06535
  • Upperbound of 95% confidence interval for alpha
    0.29890
  • Treynor index (mean / b)
    0.81820
  • Jensen alpha (a)
    0.18213
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19266
  • SD
    0.15843
  • Sharpe ratio (Glass type estimate)
    1.21607
  • Sharpe ratio (Hedges UMVUE)
    1.21555
  • df
    1772.00000
  • t
    3.16345
  • p
    0.46253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46143
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46106
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97005
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72421
  • Upside Potential Ratio
    9.18584
  • Upside part of mean
    1.02642
  • Downside part of mean
    -0.83376
  • Upside SD
    0.11288
  • Downside SD
    0.11174
  • N nonnegative terms
    988.00000
  • N negative terms
    785.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1773.00000
  • Mean of predictor
    0.08372
  • Mean of criterion
    0.19266
  • SD of predictor
    0.13091
  • SD of criterion
    0.15843
  • Covariance
    0.00431
  • r
    0.20772
  • b (slope, estimate of beta)
    0.25139
  • a (intercept, estimate of alpha)
    0.17162
  • Mean Square Error
    0.02403
  • DF error
    1771.00000
  • t(b)
    8.93633
  • p(b)
    0.36872
  • t(a)
    2.87766
  • p(a)
    0.45660
  • Lowerbound of 95% confidence interval for beta
    0.19622
  • Upperbound of 95% confidence interval for beta
    0.30656
  • Lowerbound of 95% confidence interval for alpha
    0.05465
  • Upperbound of 95% confidence interval for alpha
    0.28858
  • Treynor index (mean / b)
    0.76638
  • Jensen alpha (a)
    0.17162
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01525
  • Expected Shortfall on VaR
    0.01926
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00669
  • Expected Shortfall on VaR
    0.01367
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1773.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99601
  • Median
    1.00122
  • Quartile 3
    1.00629
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98894
  • Mean of quarter 2
    0.99879
  • Mean of quarter 3
    1.00345
  • Mean of quarter 4
    1.01241
  • Inter Quartile Range
    0.01029
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.03046
  • Mean of outliers low
    0.97324
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.02143
  • Mean of outliers high
    1.02640
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18296
  • VaR(95%) (moments method)
    0.01035
  • Expected Shortfall (moments method)
    0.01593
  • Extreme Value Index (regression method)
    0.08319
  • VaR(95%) (regression method)
    0.01012
  • Expected Shortfall (regression method)
    0.01454
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    68.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00529
  • Median
    0.02419
  • Quartile 3
    0.05604
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.01353
  • Mean of quarter 3
    0.03886
  • Mean of quarter 4
    0.09581
  • Inter Quartile Range
    0.05075
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.04412
  • Mean of outliers high
    0.15268
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.35433
  • VaR(95%) (moments method)
    0.10242
  • Expected Shortfall (moments method)
    0.11898
  • Extreme Value Index (regression method)
    -0.10484
  • VaR(95%) (regression method)
    0.11350
  • Expected Shortfall (regression method)
    0.14340
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50963
  • Compounded annual return (geometric extrapolation)
    0.24679
  • Calmar ratio (compounded annual return / max draw down)
    1.39300
  • Compounded annual return / average of 25% largest draw downs
    2.57588
  • Compounded annual return / Expected Shortfall lognormal
    12.81360
  • 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
    -0.01761
  • SD
    0.14208
  • Sharpe ratio (Glass type estimate)
    -0.12398
  • Sharpe ratio (Hedges UMVUE)
    -0.12326
  • df
    130.00000
  • t
    -0.08767
  • p
    0.50384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89571
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64799
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.89511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64858
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16732
  • Upside Potential Ratio
    7.89571
  • Upside part of mean
    0.83124
  • Downside part of mean
    -0.84885
  • Upside SD
    0.09460
  • Downside SD
    0.10528
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11823
  • Mean of criterion
    -0.01761
  • SD of predictor
    0.13619
  • SD of criterion
    0.14208
  • Covariance
    0.00648
  • r
    0.33484
  • b (slope, estimate of beta)
    0.34932
  • a (intercept, estimate of alpha)
    -0.05892
  • Mean Square Error
    0.01806
  • DF error
    129.00000
  • t(b)
    4.03599
  • p(b)
    0.29089
  • t(a)
    -0.30954
  • p(a)
    0.51734
  • Lowerbound of 95% confidence interval for beta
    0.17808
  • Upperbound of 95% confidence interval for beta
    0.52057
  • Lowerbound of 95% confidence interval for alpha
    -0.43551
  • Upperbound of 95% confidence interval for alpha
    0.31767
  • Treynor index (mean / b)
    -0.05043
  • Jensen alpha (a)
    -0.05892
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02765
  • SD
    0.14235
  • Sharpe ratio (Glass type estimate)
    -0.19428
  • Sharpe ratio (Hedges UMVUE)
    -0.19315
  • df
    130.00000
  • t
    -0.13737
  • p
    0.50602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96582
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.96506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57875
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26026
  • Upside Potential Ratio
    7.78036
  • Upside part of mean
    0.82672
  • Downside part of mean
    -0.85437
  • Upside SD
    0.09392
  • Downside SD
    0.10626
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10895
  • Mean of criterion
    -0.02765
  • SD of predictor
    0.13668
  • SD of criterion
    0.14235
  • Covariance
    0.00653
  • r
    0.33585
  • b (slope, estimate of beta)
    0.34978
  • a (intercept, estimate of alpha)
    -0.06576
  • Mean Square Error
    0.01812
  • DF error
    129.00000
  • t(b)
    4.04979
  • p(b)
    0.29028
  • t(a)
    -0.34507
  • p(a)
    0.51933
  • Lowerbound of 95% confidence interval for beta
    0.17889
  • Upperbound of 95% confidence interval for beta
    0.52066
  • Lowerbound of 95% confidence interval for alpha
    -0.44284
  • Upperbound of 95% confidence interval for alpha
    0.31131
  • Treynor index (mean / b)
    -0.07906
  • Jensen alpha (a)
    -0.06576
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01447
  • Expected Shortfall on VaR
    0.01807
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00737
  • Expected Shortfall on VaR
    0.01432
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97119
  • Quartile 1
    0.99652
  • Median
    1.00019
  • Quartile 3
    1.00523
  • Maximum
    1.02528
  • Mean of quarter 1
    0.98919
  • Mean of quarter 2
    0.99816
  • Mean of quarter 3
    1.00250
  • Mean of quarter 4
    1.01037
  • Inter Quartile Range
    0.00871
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97799
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02421
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08161
  • VaR(95%) (moments method)
    0.00916
  • Expected Shortfall (moments method)
    0.01221
  • Extreme Value Index (regression method)
    0.28454
  • VaR(95%) (regression method)
    0.00797
  • Expected Shortfall (regression method)
    0.01273
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00081
  • Quartile 1
    0.01330
  • Median
    0.02036
  • Quartile 3
    0.03954
  • Maximum
    0.13347
  • Mean of quarter 1
    0.00676
  • Mean of quarter 2
    0.01499
  • Mean of quarter 3
    0.02912
  • Mean of quarter 4
    0.09484
  • Inter Quartile Range
    0.02623
  • 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
    0.12500
  • Mean of outliers high
    0.13347
  • 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)
    0.00025
  • Compounded annual return (geometric extrapolation)
    0.00025
  • Calmar ratio (compounded annual return / max draw down)
    0.00189
  • Compounded annual return / average of 25% largest draw downs
    0.00266
  • Compounded annual return / Expected Shortfall lognormal
    0.01396

Strategy Description

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

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

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

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

Brad Pappas

Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$15,000
# Trades
818
# Profitable
369
% Profitable
45.1%
Net Dividends
Correlation S&P500
0.216
Sharpe Ratio
0.91
Sortino Ratio
1.29
Beta
0.29
Alpha
0.04
Leverage
1.10 Average
2.71 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.