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Optimized Partners II
(77331265)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 9 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).
24.5%
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
675
Num Trades
44.9%
Win Trades
1.7 : 1
Profit Factor
60.3%
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%)            +14.6%

Model Account Details

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

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

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

Trading Record

This strategy has placed 671 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/21/18 10:37 LHCG LHC GROUP LONG 45 96.71 10/12 11:48 92.22 0.25%
Trade id #119531164
Max drawdown($205)
Time10/12/18 11:47
Quant open45
Worst price92.13
Drawdown as % of equity-0.25%
($203)
Includes Typical Broker Commissions trade costs of $0.90
7/12/18 11:18 AMZN AMAZON.COM LONG 4 1781.75 10/11 10:25 1717.21 0.45%
Trade id #118895964
Max drawdown($379)
Time10/11/18 9:42
Quant open4
Worst price1687.00
Drawdown as % of equity-0.45%
($258)
Includes Typical Broker Commissions trade costs of $0.08
4/5/18 10:18 SQ SQUARE INC LONG 105 56.11 10/11 10:25 78.02 n/a $2,299
Includes Typical Broker Commissions trade costs of $2.10
5/30/18 10:57 CRM SALESFORCE.COM LONG 27 129.41 10/10 9:49 144.13 n/a $396
Includes Typical Broker Commissions trade costs of $0.54
8/13/18 11:07 ZEN ZENDESK INC LONG 70 63.64 10/10 9:49 61.98 0.15%
Trade id #119409944
Max drawdown($126)
Time10/10/18 9:46
Quant open70
Worst price61.83
Drawdown as % of equity-0.15%
($117)
Includes Typical Broker Commissions trade costs of $1.40
8/10/18 11:59 AMED AMEDISYS LONG 45 114.45 10/5 13:17 113.99 0.05%
Trade id #119382268
Max drawdown($41)
Time8/13/18 9:31
Quant open23
Worst price113.00
Drawdown as % of equity-0.05%
($22)
Includes Typical Broker Commissions trade costs of $0.90
4/17/18 10:47 MSCI MSCI LONG 30 150.02 10/5 13:17 170.52 n/a $614
Includes Typical Broker Commissions trade costs of $0.60
5/17/18 11:00 ALGN ALIGN TECHNOLOGY LONG 15 291.21 10/5 12:16 345.34 0.01%
Trade id #117978980
Max drawdown($11)
Time5/17/18 16:56
Quant open15
Worst price290.43
Drawdown as % of equity-0.01%
$812
Includes Typical Broker Commissions trade costs of $0.30
9/14/18 13:16 GDOT GREEN DOT LONG 50 89.31 10/5 12:15 83.23 0.36%
Trade id #119868997
Max drawdown($304)
Time10/5/18 12:14
Quant open50
Worst price83.23
Drawdown as % of equity-0.36%
($305)
Includes Typical Broker Commissions trade costs of $1.00
8/20/18 11:30 ETSY ETSY INC. COMMON STOCK LONG 78 47.28 10/5 12:15 44.23 0.3%
Trade id #119514236
Max drawdown($254)
Time10/5/18 12:00
Quant open78
Worst price44.01
Drawdown as % of equity-0.30%
($240)
Includes Typical Broker Commissions trade costs of $1.56
8/8/18 12:20 TRHC TABULA RASA HEALTHCARE INC. COMMON STOCK LONG 55 65.59 10/3 11:11 74.16 n/a $470
Includes Typical Broker Commissions trade costs of $1.10
9/27/18 13:03 SPSC SPS COMMERCE LONG 50 97.97 10/2 14:49 95.44 0.16%
Trade id #120070263
Max drawdown($140)
Time10/2/18 11:05
Quant open50
Worst price95.17
Drawdown as % of equity-0.16%
($128)
Includes Typical Broker Commissions trade costs of $1.00
9/14/18 13:16 RP REALPAGE LONG 70 64.34 10/2 11:00 61.34 0.29%
Trade id #119869015
Max drawdown($254)
Time9/20/18 9:36
Quant open70
Worst price60.70
Drawdown as % of equity-0.29%
($211)
Includes Typical Broker Commissions trade costs of $1.40
8/1/18 13:05 CTAS CINTAS LONG 20 206.31 10/2 10:59 205.81 0.06%
Trade id #119231097
Max drawdown($56)
Time9/28/18 9:37
Quant open5
Worst price195.08
Drawdown as % of equity-0.06%
($10)
Includes Typical Broker Commissions trade costs of $0.40
7/25/18 11:49 CSGP COSTAR GROUP LONG 10 444.28 9/14 10:46 435.95 0.22%
Trade id #119117708
Max drawdown($180)
Time8/20/18 10:00
Quant open10
Worst price426.22
Drawdown as % of equity-0.22%
($83)
Includes Typical Broker Commissions trade costs of $0.20
8/21/18 12:22 CGC CANOPY GROWTH CORP LONG 100 38.90 9/14 9:36 42.62 0.51%
Trade id #119535033
Max drawdown($445)
Time8/24/18 13:53
Quant open100
Worst price34.45
Drawdown as % of equity-0.51%
$370
Includes Typical Broker Commissions trade costs of $2.00
8/6/18 10:44 RDWR RADWARE LONG 150 27.05 9/14 9:36 26.20 0.15%
Trade id #119297659
Max drawdown($135)
Time9/12/18 10:33
Quant open150
Worst price26.15
Drawdown as % of equity-0.15%
($131)
Includes Typical Broker Commissions trade costs of $3.00
9/5/18 13:38 FNKO FUNKO INC. CLASS A COMMON STOCK LONG 125 27.33 9/12 9:32 24.66 0.58%
Trade id #119735429
Max drawdown($523)
Time9/12/18 9:32
Quant open100
Worst price22.10
Drawdown as % of equity-0.58%
($338)
Includes Typical Broker Commissions trade costs of $2.50
8/9/18 12:43 EGAN EGAIN CORPORATION COMMON STOCK LONG 250 14.35 8/31 15:45 14.15 0.31%
Trade id #119362933
Max drawdown($254)
Time8/21/18 9:42
Quant open250
Worst price13.33
Drawdown as % of equity-0.31%
($54)
Includes Typical Broker Commissions trade costs of $5.00
8/7/18 9:35 KFY KORN/FERRY INTERNATIONAL LONG 55 68.83 8/24 11:41 66.35 0.3%
Trade id #119316043
Max drawdown($248)
Time8/15/18 14:32
Quant open55
Worst price64.32
Drawdown as % of equity-0.30%
($138)
Includes Typical Broker Commissions trade costs of $1.10
7/12/18 12:43 NEWR NEW RELIC INC LONG 38 109.15 8/13 11:02 105.85 0.6%
Trade id #118898892
Max drawdown($476)
Time7/31/18 10:22
Quant open38
Worst price96.62
Drawdown as % of equity-0.60%
($126)
Includes Typical Broker Commissions trade costs of $0.76
6/5/18 15:30 SPGI S & P GLOBAL INC LONG 26 203.91 8/10 10:43 200.59 0.25%
Trade id #118278960
Max drawdown($204)
Time8/2/18 11:11
Quant open26
Worst price196.03
Drawdown as % of equity-0.25%
($87)
Includes Typical Broker Commissions trade costs of $0.52
7/31/18 11:49 ECHO ECHO GLOBAL LOGISTICS LONG 110 34.26 8/6 10:44 33.48 0.17%
Trade id #119207381
Max drawdown($132)
Time8/1/18 9:46
Quant open110
Worst price33.05
Drawdown as % of equity-0.17%
($87)
Includes Typical Broker Commissions trade costs of $2.20
6/27/18 11:04 TLT ISHARES 20+ YEAR TREASURY BOND LONG 75 121.57 8/1 10:19 118.42 0.33%
Trade id #118673222
Max drawdown($262)
Time8/1/18 9:40
Quant open75
Worst price118.07
Drawdown as % of equity-0.33%
($238)
Includes Typical Broker Commissions trade costs of $1.50
4/11/18 11:20 NFLX NETFLIX LONG 18 307.50 7/20 13:12 373.26 n/a $1,184
Includes Typical Broker Commissions trade costs of $0.36
7/5/18 11:57 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 220 19.80 7/12 12:22 19.70 0.08%
Trade id #118787835
Max drawdown($61)
Time7/10/18 13:10
Quant open220
Worst price19.52
Drawdown as % of equity-0.08%
($26)
Includes Typical Broker Commissions trade costs of $4.40
7/2/18 10:15 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 240 26.51 7/12 12:03 24.34 0.63%
Trade id #118742877
Max drawdown($520)
Time7/12/18 12:03
Quant open0
Worst price24.34
Drawdown as % of equity-0.63%
($525)
Includes Typical Broker Commissions trade costs of $4.80
7/11/18 13:13 VXX IPATH S&P 500 VIX ST FUTURES E LONG 100 33.34 7/12 12:02 32.20 0.16%
Trade id #118873472
Max drawdown($129)
Time7/12/18 6:59
Quant open100
Worst price32.04
Drawdown as % of equity-0.16%
($116)
Includes Typical Broker Commissions trade costs of $2.00
6/27/18 13:21 QID PROSHARES ULTRASHORT QQQ LONG 240 41.57 7/12 11:18 38.55 0.89%
Trade id #118676855
Max drawdown($734)
Time7/12/18 11:14
Quant open240
Worst price38.51
Drawdown as % of equity-0.89%
($729)
Includes Typical Broker Commissions trade costs of $4.80
6/15/18 13:56 EEV PROSHARES ULTRASHORT MSCI EMER LONG 400 44.43 7/6 13:22 45.60 0.15%
Trade id #118460416
Max drawdown($127)
Time6/15/18 16:00
Quant open250
Worst price42.91
Drawdown as % of equity-0.15%
$461
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2186.75
  • Age
    73 months ago
  • What it trades
    Stocks
  • # Trades
    675
  • # Profitable
    303
  • % Profitable
    44.90%
  • Avg trade duration
    37.5 days
  • Max peak-to-valley drawdown
    27.12%
  • drawdown period
    April 06, 2015 - Nov 24, 2015
  • Annual Return (Compounded)
    24.5%
  • Avg win
    $508.30
  • Avg loss
    $252.03
  • Model Account Values (Raw)
  • Cash
    $50,334
  • Margin Used
    $0
  • Buying Power
    $59,474
  • Ratios
  • W:L ratio
    1.70:1
  • Sharpe Ratio
    1.4
  • Sortino Ratio
    2.009
  • Calmar Ratio
    1.541
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.22100
  • Return Statistics
  • Ann Return (w trading costs)
    24.5%
  • Ann Return (Compnd, No Fees)
    26.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    9.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    640
  • Popularity (Last 6 weeks)
    919
  • C2 Score
    96.7
  • 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
    $252
  • Avg Win
    $508
  • # Winners
    303
  • # Losers
    372
  • % Winners
    44.9%
  • Frequency
  • Avg Position Time (mins)
    54044.50
  • Avg Position Time (hrs)
    900.74
  • Avg Trade Length
    37.5 days
  • Last Trade Ago
    4
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24385
  • SD
    0.17905
  • Sharpe ratio (Glass type estimate)
    1.36193
  • Sharpe ratio (Hedges UMVUE)
    1.34707
  • df
    69.00000
  • t
    3.28938
  • p
    0.00079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19995
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18912
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01393
  • Upside Potential Ratio
    4.77998
  • Upside part of mean
    0.38674
  • Downside part of mean
    -0.14289
  • Upside SD
    0.17323
  • Downside SD
    0.08091
  • N nonnegative terms
    40.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.10162
  • Mean of criterion
    0.24385
  • SD of predictor
    0.09198
  • SD of criterion
    0.17905
  • Covariance
    0.00662
  • r
    0.40210
  • b (slope, estimate of beta)
    0.78271
  • a (intercept, estimate of alpha)
    0.16431
  • Mean Square Error
    0.02727
  • DF error
    68.00000
  • t(b)
    3.62149
  • p(b)
    0.00028
  • t(a)
    2.28796
  • p(a)
    0.01263
  • Lowerbound of 95% confidence interval for beta
    0.35143
  • Upperbound of 95% confidence interval for beta
    1.21399
  • Lowerbound of 95% confidence interval for alpha
    0.02101
  • Upperbound of 95% confidence interval for alpha
    0.30761
  • Treynor index (mean / b)
    0.31155
  • Jensen alpha (a)
    0.16431
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22582
  • SD
    0.17442
  • Sharpe ratio (Glass type estimate)
    1.29474
  • Sharpe ratio (Hedges UMVUE)
    1.28061
  • df
    69.00000
  • t
    3.12708
  • p
    0.00129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45070
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11977
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.71698
  • Upside Potential Ratio
    4.47287
  • Upside part of mean
    0.37177
  • Downside part of mean
    -0.14594
  • Upside SD
    0.16531
  • Downside SD
    0.08312
  • N nonnegative terms
    40.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.09685
  • Mean of criterion
    0.22582
  • SD of predictor
    0.09146
  • SD of criterion
    0.17442
  • Covariance
    0.00637
  • r
    0.39917
  • b (slope, estimate of beta)
    0.76123
  • a (intercept, estimate of alpha)
    0.15210
  • Mean Square Error
    0.02595
  • DF error
    68.00000
  • t(b)
    3.59006
  • p(b)
    0.00031
  • t(a)
    2.17939
  • p(a)
    0.01639
  • Lowerbound of 95% confidence interval for beta
    0.33811
  • Upperbound of 95% confidence interval for beta
    1.18435
  • Lowerbound of 95% confidence interval for alpha
    0.01284
  • Upperbound of 95% confidence interval for alpha
    0.29135
  • Treynor index (mean / b)
    0.29666
  • Jensen alpha (a)
    0.15210
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06199
  • Expected Shortfall on VaR
    0.08136
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02499
  • Expected Shortfall on VaR
    0.04889
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    70.00000
  • Minimum
    0.91539
  • Quartile 1
    0.98682
  • Median
    1.01870
  • Quartile 3
    1.05690
  • Maximum
    1.16460
  • Mean of quarter 1
    0.96115
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.04007
  • Mean of quarter 4
    1.08973
  • 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
    0.01429
  • Mean of outliers high
    1.16460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.60149
  • VaR(95%) (moments method)
    0.03489
  • Expected Shortfall (moments method)
    0.04001
  • Extreme Value Index (regression method)
    -0.28154
  • VaR(95%) (regression method)
    0.03957
  • Expected Shortfall (regression method)
    0.04956
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00063
  • Quartile 1
    0.01453
  • Median
    0.02992
  • Quartile 3
    0.05245
  • Maximum
    0.16208
  • Mean of quarter 1
    0.00870
  • Mean of quarter 2
    0.02151
  • Mean of quarter 3
    0.03645
  • Mean of quarter 4
    0.09754
  • Inter Quartile Range
    0.03792
  • 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)
    -0.49251
  • VaR(95%) (moments method)
    0.11069
  • Expected Shortfall (moments method)
    0.12771
  • Extreme Value Index (regression method)
    0.32821
  • VaR(95%) (regression method)
    0.14877
  • Expected Shortfall (regression method)
    0.25525
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58172
  • Compounded annual return (geometric extrapolation)
    0.28882
  • Calmar ratio (compounded annual return / max draw down)
    1.78195
  • Compounded annual return / average of 25% largest draw downs
    2.96106
  • Compounded annual return / Expected Shortfall lognormal
    3.54979
  • 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
    0.22667
  • SD
    0.16184
  • Sharpe ratio (Glass type estimate)
    1.40061
  • Sharpe ratio (Hedges UMVUE)
    1.39993
  • df
    1539.00000
  • t
    3.39568
  • p
    0.44517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59047
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20986
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00884
  • Upside Potential Ratio
    9.46084
  • Upside part of mean
    1.06753
  • Downside part of mean
    -0.84086
  • Upside SD
    0.11678
  • Downside SD
    0.11284
  • N nonnegative terms
    867.00000
  • N negative terms
    673.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1540.00000
  • Mean of predictor
    0.09423
  • Mean of criterion
    0.22667
  • SD of predictor
    0.12423
  • SD of criterion
    0.16184
  • Covariance
    0.00433
  • r
    0.21551
  • b (slope, estimate of beta)
    0.28075
  • a (intercept, estimate of alpha)
    0.20000
  • Mean Square Error
    0.02499
  • DF error
    1538.00000
  • t(b)
    8.65497
  • p(b)
    0.39225
  • t(a)
    3.06715
  • p(a)
    0.46102
  • Lowerbound of 95% confidence interval for beta
    0.21712
  • Upperbound of 95% confidence interval for beta
    0.34438
  • Lowerbound of 95% confidence interval for alpha
    0.07217
  • Upperbound of 95% confidence interval for alpha
    0.32826
  • Treynor index (mean / b)
    0.80738
  • Jensen alpha (a)
    0.20022
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21344
  • SD
    0.16216
  • Sharpe ratio (Glass type estimate)
    1.31621
  • Sharpe ratio (Hedges UMVUE)
    1.31557
  • df
    1539.00000
  • t
    3.19106
  • p
    0.44844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12533
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86795
  • Upside Potential Ratio
    9.28286
  • Upside part of mean
    1.06068
  • Downside part of mean
    -0.84724
  • Upside SD
    0.11574
  • Downside SD
    0.11426
  • N nonnegative terms
    867.00000
  • N negative terms
    673.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1540.00000
  • Mean of predictor
    0.08648
  • Mean of criterion
    0.21344
  • SD of predictor
    0.12445
  • SD of criterion
    0.16216
  • Covariance
    0.00435
  • r
    0.21574
  • b (slope, estimate of beta)
    0.28110
  • a (intercept, estimate of alpha)
    0.18913
  • Mean Square Error
    0.02509
  • DF error
    1538.00000
  • t(b)
    8.66479
  • p(b)
    0.39213
  • t(a)
    2.89220
  • p(a)
    0.46323
  • Lowerbound of 95% confidence interval for beta
    0.21746
  • Upperbound of 95% confidence interval for beta
    0.34473
  • Lowerbound of 95% confidence interval for alpha
    0.06086
  • Upperbound of 95% confidence interval for alpha
    0.31739
  • Treynor index (mean / b)
    0.75929
  • Jensen alpha (a)
    0.18913
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01554
  • Expected Shortfall on VaR
    0.01965
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00673
  • Expected Shortfall on VaR
    0.01382
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1540.00000
  • Minimum
    0.93270
  • Quartile 1
    0.99588
  • Median
    1.00136
  • Quartile 3
    1.00652
  • Maximum
    1.04477
  • Mean of quarter 1
    0.98870
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00364
  • Mean of quarter 4
    1.01271
  • Inter Quartile Range
    0.01064
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.03052
  • Mean of outliers low
    0.97268
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.01753
  • Mean of outliers high
    1.02800
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21446
  • VaR(95%) (moments method)
    0.01078
  • Expected Shortfall (moments method)
    0.01699
  • Extreme Value Index (regression method)
    0.08282
  • VaR(95%) (regression method)
    0.01037
  • Expected Shortfall (regression method)
    0.01487
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    61.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00479
  • Median
    0.02784
  • Quartile 3
    0.05600
  • Maximum
    0.17716
  • Mean of quarter 1
    0.00235
  • Mean of quarter 2
    0.01442
  • Mean of quarter 3
    0.03992
  • Mean of quarter 4
    0.09174
  • Inter Quartile Range
    0.05121
  • 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
    0.03279
  • Mean of outliers high
    0.16229
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00089
  • VaR(95%) (moments method)
    0.09514
  • Expected Shortfall (moments method)
    0.11967
  • Extreme Value Index (regression method)
    0.32832
  • VaR(95%) (regression method)
    0.09437
  • Expected Shortfall (regression method)
    0.13938
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53272
  • Compounded annual return (geometric extrapolation)
    0.27296
  • Calmar ratio (compounded annual return / max draw down)
    1.54073
  • Compounded annual return / average of 25% largest draw downs
    2.97546
  • Compounded annual return / Expected Shortfall lognormal
    13.89260
  • 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
    0.00689
  • SD
    0.15551
  • Sharpe ratio (Glass type estimate)
    0.04432
  • Sharpe ratio (Hedges UMVUE)
    0.04407
  • df
    130.00000
  • t
    0.03134
  • p
    0.49863
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81588
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05624
  • Upside Potential Ratio
    7.54764
  • Upside part of mean
    0.92505
  • Downside part of mean
    -0.91815
  • Upside SD
    0.09475
  • Downside SD
    0.12256
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03265
  • Mean of criterion
    0.00689
  • SD of predictor
    0.10857
  • SD of criterion
    0.15551
  • Covariance
    0.00658
  • r
    0.38961
  • b (slope, estimate of beta)
    0.55806
  • a (intercept, estimate of alpha)
    -0.01133
  • Mean Square Error
    0.02067
  • DF error
    129.00000
  • t(b)
    4.80477
  • p(b)
    0.25839
  • t(a)
    -0.05571
  • p(a)
    0.50312
  • Lowerbound of 95% confidence interval for beta
    0.32826
  • Upperbound of 95% confidence interval for beta
    0.78786
  • Lowerbound of 95% confidence interval for alpha
    -0.41370
  • Upperbound of 95% confidence interval for alpha
    0.39104
  • Treynor index (mean / b)
    0.01235
  • Jensen alpha (a)
    -0.01133
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00518
  • SD
    0.15621
  • Sharpe ratio (Glass type estimate)
    -0.03315
  • Sharpe ratio (Hedges UMVUE)
    -0.03296
  • df
    130.00000
  • t
    -0.02344
  • p
    0.50103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.80496
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73866
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.80476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73885
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04180
  • Upside Potential Ratio
    7.43104
  • Upside part of mean
    0.92050
  • Downside part of mean
    -0.92567
  • Upside SD
    0.09418
  • Downside SD
    0.12387
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02678
  • Mean of criterion
    -0.00518
  • SD of predictor
    0.10889
  • SD of criterion
    0.15621
  • Covariance
    0.00661
  • r
    0.38886
  • b (slope, estimate of beta)
    0.55784
  • a (intercept, estimate of alpha)
    -0.02011
  • Mean Square Error
    0.02087
  • DF error
    129.00000
  • t(b)
    4.79384
  • p(b)
    0.25883
  • t(a)
    -0.09844
  • p(a)
    0.50552
  • Lowerbound of 95% confidence interval for beta
    0.32761
  • Upperbound of 95% confidence interval for beta
    0.78808
  • Lowerbound of 95% confidence interval for alpha
    -0.42439
  • Upperbound of 95% confidence interval for alpha
    0.38416
  • Treynor index (mean / b)
    -0.00928
  • Jensen alpha (a)
    -0.02011
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01577
  • Expected Shortfall on VaR
    0.01972
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00742
  • Expected Shortfall on VaR
    0.01517
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96824
  • Quartile 1
    0.99681
  • Median
    1.00110
  • Quartile 3
    1.00648
  • Maximum
    1.02055
  • Mean of quarter 1
    0.98719
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    1.00358
  • Mean of quarter 4
    1.01056
  • Inter Quartile Range
    0.00966
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97682
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31479
  • VaR(95%) (moments method)
    0.01005
  • Expected Shortfall (moments method)
    0.01249
  • Extreme Value Index (regression method)
    -0.60494
  • VaR(95%) (regression method)
    0.01330
  • Expected Shortfall (regression method)
    0.01556
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01607
  • Quartile 1
    0.02209
  • Median
    0.04756
  • Quartile 3
    0.08571
  • Maximum
    0.10411
  • Mean of quarter 1
    0.01908
  • Mean of quarter 2
    0.04756
  • Mean of quarter 3
    0.08571
  • Mean of quarter 4
    0.10411
  • Inter Quartile Range
    0.06362
  • 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)
    0.02286
  • Compounded annual return (geometric extrapolation)
    0.02299
  • Calmar ratio (compounded annual return / max draw down)
    0.22082
  • Compounded annual return / average of 25% largest draw downs
    0.22082
  • Compounded annual return / Expected Shortfall lognormal
    1.16567

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
675
# Profitable
303
% Profitable
44.9%
Net Dividends
Correlation S&P500
0.221
Sharpe Ratio
1.400

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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Suggested Minimum Capital

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.