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Optimized Partners I
(77330504)

Created by: BradPappas BradPappas
Started: 10/2012
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $50.00 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).
20.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(31.0%)
Max Drawdown
720
Num Trades
41.7%
Win Trades
1.3 : 1
Profit Factor
53.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               (0.3%)+22.4%+3.1%+25.8%
2013+8.6%(2.2%)+5.1%+0.4%+13.6%(4.2%)+9.9%(11.3%)+10.5%+11.3%+11.3%+5.2%+71.3%
2014(3.3%)+13.2%+8.9%+4.9%(0.8%)+0.8%(4.3%)+4.6%(1.1%)+5.5%+7.5%+10.1%+54.8%
2015(3%)(1.6%)+8.3%(4.3%)+0.7%(2.4%)(3.7%)+1.6%(2.8%)(5.3%)(6.7%)(3.4%)(21.1%)
2016+1.4%+9.2%(2.4%)+11.6%(17.1%)+11.9%(3.4%)+9.2%(4.9%)(5.5%)+13.3%+9.7%+31.7%
2017+1.8%(1.9%)+0.4%+5.9%+5.6%(4.3%)+15.5%+1.7%+2.6%+6.7%+0.4%(1.5%)+36.5%
2018+9.4%+1.5%(1%)(1.6%)(0.7%)(3.6%)(8.3%)+9.7%(0.5%)(10.8%)(2.3%)+8.4%(2.3%)
2019+7.5%(2.5%)(3.3%)(1.1%)(2.4%)+9.0%+2.7%(6.2%)(3.7%)(6.3%)+0.2%+4.2%(3.3%)
2020+2.5%(16.1%)                                                            (14.1%)

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 1,301 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/30/20 10:04 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,295 12.88 2/4 10:45 12.35 1.57%
Trade id #127287460
Max drawdown($712)
Time2/4/20 10:38
Quant open1,295
Worst price12.33
Drawdown as % of equity-1.57%
($702)
Includes Typical Broker Commissions trade costs of $15.45
12/13/19 12:24 SHOP SHOPIFY INC LONG 13 389.61 2/3/20 13:47 459.01 0.27%
Trade id #126618277
Max drawdown($116)
Time12/17/19 0:00
Quant open13
Worst price380.63
Drawdown as % of equity-0.27%
$902
Includes Typical Broker Commissions trade costs of $0.26
1/15/20 10:27 V VISA LONG 27 197.70 1/31 15:15 199.11 0.01%
Trade id #127012929
Max drawdown($4)
Time1/15/20 10:33
Quant open27
Worst price197.52
Drawdown as % of equity-0.01%
$37
Includes Typical Broker Commissions trade costs of $0.54
1/28/20 12:05 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 35 149.30 1/31 15:15 147.19 0.25%
Trade id #127252838
Max drawdown($108)
Time1/30/20 0:00
Quant open35
Worst price146.21
Drawdown as % of equity-0.25%
($75)
Includes Typical Broker Commissions trade costs of $0.70
1/29/20 13:41 SITE SITEONE LANDSCAPE SUPPLY INC LONG 50 100.44 1/31 15:14 96.27 0.58%
Trade id #127272464
Max drawdown($252)
Time1/31/20 13:23
Quant open50
Worst price95.40
Drawdown as % of equity-0.58%
($210)
Includes Typical Broker Commissions trade costs of $1.00
12/11/19 10:56 AUDC AUDIOCODES LONG 200 24.17 1/28/20 9:53 24.81 0.06%
Trade id #126578160
Max drawdown($24)
Time1/6/20 0:00
Quant open200
Worst price24.05
Drawdown as % of equity-0.06%
$124
Includes Typical Broker Commissions trade costs of $4.00
1/23/20 11:46 TECL DIREXION DAILY TECHNOLOGY BULL LONG 20 287.99 1/27 15:36 268.21 1.22%
Trade id #127183171
Max drawdown($548)
Time1/27/20 9:31
Quant open20
Worst price260.55
Drawdown as % of equity-1.22%
($396)
Includes Typical Broker Commissions trade costs of $0.40
1/17/20 12:46 IPHI INPHI LONG 46 84.16 1/27 15:36 80.31 0.6%
Trade id #127073592
Max drawdown($270)
Time1/27/20 9:31
Quant open46
Worst price78.27
Drawdown as % of equity-0.60%
($178)
Includes Typical Broker Commissions trade costs of $0.92
12/6/19 10:37 CDW CDW CORPORATION COMMON STOCK LONG 35 136.50 1/23/20 11:44 137.65 0.22%
Trade id #126516004
Max drawdown($87)
Time12/10/19 0:00
Quant open35
Worst price134.00
Drawdown as % of equity-0.22%
$39
Includes Typical Broker Commissions trade costs of $0.70
1/15/20 10:27 CGC CANOPY GROWTH CORP LONG 200 24.46 1/21 14:03 24.08 0.36%
Trade id #127012971
Max drawdown($162)
Time1/17/20 0:00
Quant open200
Worst price23.65
Drawdown as % of equity-0.36%
($80)
Includes Typical Broker Commissions trade costs of $4.00
12/26/19 13:19 AMZN AMAZON.COM LONG 3 1861.57 1/15/20 10:23 1869.59 0.21%
Trade id #126758575
Max drawdown($88)
Time12/31/19 0:00
Quant open3
Worst price1832.23
Drawdown as % of equity-0.21%
$24
Includes Typical Broker Commissions trade costs of $0.06
12/19/19 10:54 SE SEA LTD ADS LONG 125 38.74 1/15/20 10:23 40.12 0.21%
Trade id #126686968
Max drawdown($85)
Time12/20/19 0:00
Quant open125
Worst price38.05
Drawdown as % of equity-0.21%
$171
Includes Typical Broker Commissions trade costs of $2.50
11/13/19 11:01 AMD ADVANCED MICRO DEVICES INC. C LONG 125 37.69 1/8/20 11:32 47.10 0.17%
Trade id #126190250
Max drawdown($67)
Time12/3/19 0:00
Quant open125
Worst price37.15
Drawdown as % of equity-0.17%
$1,174
Includes Typical Broker Commissions trade costs of $2.50
12/9/19 9:43 GTES GATES INDUSTRIAL CORP PLC LONG 750 12.59 1/7/20 15:39 12.96 0.56%
Trade id #126541839
Max drawdown($225)
Time12/11/19 0:00
Quant open750
Worst price12.29
Drawdown as % of equity-0.56%
$266
Includes Typical Broker Commissions trade costs of $15.00
12/26/19 13:19 NMIH NMI HOLDINGS INC. CLASS A COMM LONG 2 33.54 12/26 13:19 33.41 n/a $0
Includes Typical Broker Commissions trade costs of $0.04
10/22/19 11:25 WRK WESTROCK CO LONG 110 37.36 12/24 11:31 42.67 0.15%
Trade id #125896343
Max drawdown($60)
Time10/31/19 0:00
Quant open110
Worst price36.81
Drawdown as % of equity-0.15%
$582
Includes Typical Broker Commissions trade costs of $2.20
12/5/19 10:51 PHM PULTEGROUP LONG 125 40.00 12/18 10:45 39.18 0.24%
Trade id #126498771
Max drawdown($101)
Time12/18/19 10:45
Quant open125
Worst price39.19
Drawdown as % of equity-0.24%
($106)
Includes Typical Broker Commissions trade costs of $2.50
12/6/19 10:35 APPS DIGITAL TURBINE INC LONG 300 8.46 12/13 12:23 7.43 0.81%
Trade id #126515924
Max drawdown($324)
Time12/12/19 0:00
Quant open300
Worst price7.38
Drawdown as % of equity-0.81%
($315)
Includes Typical Broker Commissions trade costs of $6.00
11/11/19 12:16 FICO FAIR ISAAC LONG 16 337.67 12/11 10:48 349.21 0.34%
Trade id #126156785
Max drawdown($135)
Time11/12/19 0:00
Quant open16
Worst price329.20
Drawdown as % of equity-0.34%
$185
Includes Typical Broker Commissions trade costs of $0.32
11/14/19 10:35 GPN GLOBAL PAYMENTS LONG 28 175.47 12/9 9:40 176.25 0.22%
Trade id #126209397
Max drawdown($86)
Time12/3/19 0:00
Quant open28
Worst price172.38
Drawdown as % of equity-0.22%
$21
Includes Typical Broker Commissions trade costs of $0.56
11/18/19 11:15 NOW SERVICENOW LONG 19 266.27 12/6 10:36 272.69 0.02%
Trade id #126254530
Max drawdown($8)
Time11/18/19 13:48
Quant open19
Worst price265.84
Drawdown as % of equity-0.02%
$122
Includes Typical Broker Commissions trade costs of $0.38
10/28/19 11:54 TER TERADYNE LONG 80 64.89 11/19 10:56 64.09 0.84%
Trade id #125975627
Max drawdown($347)
Time10/31/19 0:00
Quant open80
Worst price60.55
Drawdown as % of equity-0.84%
($66)
Includes Typical Broker Commissions trade costs of $1.60
11/11/19 12:15 RNG RINGCENTRAL INC. LONG 35 171.15 11/18 11:14 169.49 0.48%
Trade id #126156767
Max drawdown($189)
Time11/13/19 0:00
Quant open35
Worst price165.75
Drawdown as % of equity-0.48%
($59)
Includes Typical Broker Commissions trade costs of $0.70
11/8/19 9:56 PAYS PAYSIGN INC LONG 350 12.04 11/15 10:39 10.69 1.56%
Trade id #126129585
Max drawdown($619)
Time11/15/19 9:34
Quant open350
Worst price10.27
Drawdown as % of equity-1.56%
($480)
Includes Typical Broker Commissions trade costs of $7.00
11/5/19 11:27 C CITIGROUP LONG 70 75.35 11/14 10:34 73.60 0.33%
Trade id #126078034
Max drawdown($130)
Time11/14/19 10:03
Quant open70
Worst price73.48
Drawdown as % of equity-0.33%
($124)
Includes Typical Broker Commissions trade costs of $1.40
11/7/19 10:38 KRE SPDR S&P REGIONAL BANKING ETF LONG 75 57.08 11/14 10:34 55.71 0.29%
Trade id #126112018
Max drawdown($114)
Time11/14/19 10:00
Quant open75
Worst price55.55
Drawdown as % of equity-0.29%
($105)
Includes Typical Broker Commissions trade costs of $1.50
11/5/19 13:45 FHN FIRST HORIZON NATIONAL LONG 350 17.19 11/13 11:00 16.54 0.66%
Trade id #126080768
Max drawdown($262)
Time11/13/19 9:33
Quant open350
Worst price16.44
Drawdown as % of equity-0.66%
($235)
Includes Typical Broker Commissions trade costs of $7.00
10/23/19 12:30 BBBY BED BATH & BEYOND LONG 350 13.95 11/12 13:51 13.50 0.55%
Trade id #125919200
Max drawdown($220)
Time11/4/19 0:00
Quant open350
Worst price13.32
Drawdown as % of equity-0.55%
($165)
Includes Typical Broker Commissions trade costs of $7.00
10/22/19 11:36 COLD AMERICOLD REALTY TRUST LONG 110 38.34 11/8 9:56 35.22 0.96%
Trade id #125896768
Max drawdown($383)
Time11/8/19 9:46
Quant open110
Worst price34.85
Drawdown as % of equity-0.96%
($345)
Includes Typical Broker Commissions trade costs of $2.20
10/22/19 11:22 RDN RADIAN GROUP LONG 165 24.77 11/7 11:48 25.02 0.13%
Trade id #125896238
Max drawdown($56)
Time10/23/19 0:00
Quant open165
Worst price24.43
Drawdown as % of equity-0.13%
$38
Includes Typical Broker Commissions trade costs of $3.30

Statistics

  • Strategy began
    10/25/2012
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2680.11
  • Age
    89 months ago
  • What it trades
    Stocks
  • # Trades
    720
  • # Profitable
    300
  • % Profitable
    41.70%
  • Avg trade duration
    26.2 days
  • Max peak-to-valley drawdown
    31%
  • drawdown period
    Feb 07, 2018 - Feb 25, 2020
  • Annual Return (Compounded)
    20.1%
  • Avg win
    $498.54
  • Avg loss
    $277.24
  • Model Account Values (Raw)
  • Cash
    $21,490
  • Margin Used
    $0
  • Buying Power
    $16,767
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.76
  • Sortino Ratio
    1.11
  • Calmar Ratio
    0.919
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    161.35%
  • Correlation to SP500
    0.21490
  • Return Percent SP500 (cumu) during strategy life
    122.63%
  • Return Statistics
  • Ann Return (w trading costs)
    20.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.28%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.201%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.00%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    898
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    130
  • Popularity (7 days, Percentile 1000 scale)
    749
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $277
  • Avg Win
    $499
  • Sum Trade PL (losers)
    $116,162.000
  • Age
  • Num Months filled monthly returns table
    89
  • Win / Loss
  • Sum Trade PL (winners)
    $149,653.000
  • # Winners
    300
  • Num Months Winners
    49
  • Dividends
  • Dividends Received in Model Acct
    2264
  • Win / Loss
  • # Losers
    420
  • % Winners
    41.7%
  • Frequency
  • Avg Position Time (mins)
    37772.30
  • Avg Position Time (hrs)
    629.54
  • Avg Trade Length
    26.2 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    1.11
  • Daily leverage (max)
    3.58
  • Regression
  • Alpha
    0.04
  • Beta
    0.34
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.40
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.33
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.77
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    6.453
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.277
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.298
  • Hold-and-Hope Ratio
    0.159
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22158
  • SD
    0.23057
  • Sharpe ratio (Glass type estimate)
    0.96098
  • Sharpe ratio (Hedges UMVUE)
    0.95258
  • df
    86.00000
  • t
    2.58753
  • p
    0.00567
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21640
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21088
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69428
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23332
  • Upside Potential Ratio
    4.15219
  • Upside part of mean
    0.41196
  • Downside part of mean
    -0.19038
  • Upside SD
    0.21633
  • Downside SD
    0.09921
  • N nonnegative terms
    46.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.09160
  • Mean of criterion
    0.22158
  • SD of predictor
    0.10169
  • SD of criterion
    0.23057
  • Covariance
    0.00474
  • r
    0.20225
  • b (slope, estimate of beta)
    0.45856
  • a (intercept, estimate of alpha)
    0.17957
  • Mean Square Error
    0.05159
  • DF error
    85.00000
  • t(b)
    1.90396
  • p(b)
    0.03015
  • t(a)
    2.05952
  • p(a)
    0.02125
  • Lowerbound of 95% confidence interval for beta
    -0.02030
  • Upperbound of 95% confidence interval for beta
    0.93743
  • Lowerbound of 95% confidence interval for alpha
    0.00621
  • Upperbound of 95% confidence interval for alpha
    0.35293
  • Treynor index (mean / b)
    0.48320
  • Jensen alpha (a)
    0.17957
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19489
  • SD
    0.21893
  • Sharpe ratio (Glass type estimate)
    0.89018
  • Sharpe ratio (Hedges UMVUE)
    0.88240
  • df
    86.00000
  • t
    2.39689
  • p
    0.00935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14776
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62762
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62216
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90340
  • Upside Potential Ratio
    3.80850
  • Upside part of mean
    0.38995
  • Downside part of mean
    -0.19506
  • Upside SD
    0.20015
  • Downside SD
    0.10239
  • N nonnegative terms
    46.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    87.00000
  • Mean of predictor
    0.08596
  • Mean of criterion
    0.19489
  • SD of predictor
    0.10179
  • SD of criterion
    0.21893
  • Covariance
    0.00450
  • r
    0.20202
  • b (slope, estimate of beta)
    0.43453
  • a (intercept, estimate of alpha)
    0.15754
  • Mean Square Error
    0.04651
  • DF error
    85.00000
  • t(b)
    1.90175
  • p(b)
    0.03030
  • t(a)
    1.91019
  • p(a)
    0.02974
  • Lowerbound of 95% confidence interval for beta
    -0.01977
  • Upperbound of 95% confidence interval for beta
    0.88882
  • Lowerbound of 95% confidence interval for alpha
    -0.00644
  • Upperbound of 95% confidence interval for alpha
    0.32151
  • Treynor index (mean / b)
    0.44850
  • Jensen alpha (a)
    0.15754
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08398
  • Expected Shortfall on VaR
    0.10761
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03567
  • Expected Shortfall on VaR
    0.06531
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    87.00000
  • Minimum
    0.89555
  • Quartile 1
    0.97704
  • Median
    1.00795
  • Quartile 3
    1.05159
  • Maximum
    1.28235
  • Mean of quarter 1
    0.95054
  • Mean of quarter 2
    0.99194
  • Mean of quarter 3
    1.03447
  • Mean of quarter 4
    1.10684
  • Inter Quartile Range
    0.07455
  • 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
    0.02299
  • Mean of outliers high
    1.26389
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.91969
  • VaR(95%) (moments method)
    0.04995
  • Expected Shortfall (moments method)
    0.05386
  • Extreme Value Index (regression method)
    -0.05361
  • VaR(95%) (regression method)
    0.04805
  • Expected Shortfall (regression method)
    0.06196
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00323
  • Quartile 1
    0.01283
  • Median
    0.04970
  • Quartile 3
    0.08605
  • Maximum
    0.21465
  • Mean of quarter 1
    0.00587
  • Mean of quarter 2
    0.03369
  • Mean of quarter 3
    0.06257
  • Mean of quarter 4
    0.16878
  • Inter Quartile Range
    0.07322
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.20757
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -288.44600
  • VaR(95%) (moments method)
    0.16641
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.94754
  • VaR(95%) (regression method)
    0.36527
  • Expected Shortfall (regression method)
    0.36554
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55575
  • Compounded annual return (geometric extrapolation)
    0.24956
  • Calmar ratio (compounded annual return / max draw down)
    1.16263
  • Compounded annual return / average of 25% largest draw downs
    1.47863
  • Compounded annual return / Expected Shortfall lognormal
    2.31920
  • 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
    0.20089
  • SD
    0.18771
  • Sharpe ratio (Glass type estimate)
    1.07021
  • Sharpe ratio (Hedges UMVUE)
    1.06979
  • df
    1900.00000
  • t
    2.88276
  • p
    0.46701
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34165
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79821
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57364
  • Upside Potential Ratio
    8.88362
  • Upside part of mean
    1.13409
  • Downside part of mean
    -0.93320
  • Upside SD
    0.13811
  • Downside SD
    0.12766
  • N nonnegative terms
    1043.00000
  • N negative terms
    858.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1901.00000
  • Mean of predictor
    0.09083
  • Mean of criterion
    0.20089
  • SD of predictor
    0.12961
  • SD of criterion
    0.18771
  • Covariance
    0.00509
  • r
    0.20903
  • b (slope, estimate of beta)
    0.30273
  • a (intercept, estimate of alpha)
    0.17300
  • Mean Square Error
    0.03371
  • DF error
    1899.00000
  • t(b)
    9.31468
  • p(b)
    0.36790
  • t(a)
    2.54133
  • p(a)
    0.46296
  • Lowerbound of 95% confidence interval for beta
    0.23899
  • Upperbound of 95% confidence interval for beta
    0.36647
  • Lowerbound of 95% confidence interval for alpha
    0.03958
  • Upperbound of 95% confidence interval for alpha
    0.30721
  • Treynor index (mean / b)
    0.66360
  • Jensen alpha (a)
    0.17339
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18321
  • SD
    0.18760
  • Sharpe ratio (Glass type estimate)
    0.97661
  • Sharpe ratio (Hedges UMVUE)
    0.97622
  • df
    1900.00000
  • t
    2.63063
  • p
    0.46988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70451
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41381
  • Upside Potential Ratio
    8.67848
  • Upside part of mean
    1.12462
  • Downside part of mean
    -0.94141
  • Upside SD
    0.13605
  • Downside SD
    0.12959
  • N nonnegative terms
    1043.00000
  • N negative terms
    858.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1901.00000
  • Mean of predictor
    0.08240
  • Mean of criterion
    0.18321
  • SD of predictor
    0.12983
  • SD of criterion
    0.18760
  • Covariance
    0.00514
  • r
    0.21087
  • b (slope, estimate of beta)
    0.30470
  • a (intercept, estimate of alpha)
    0.15811
  • Mean Square Error
    0.03365
  • DF error
    1899.00000
  • t(b)
    9.40055
  • p(b)
    0.36676
  • t(a)
    2.31998
  • p(a)
    0.46617
  • Lowerbound of 95% confidence interval for beta
    0.24113
  • Upperbound of 95% confidence interval for beta
    0.36827
  • Lowerbound of 95% confidence interval for alpha
    0.02445
  • Upperbound of 95% confidence interval for alpha
    0.29176
  • Treynor index (mean / b)
    0.60129
  • Jensen alpha (a)
    0.15811
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01820
  • Expected Shortfall on VaR
    0.02293
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00762
  • Expected Shortfall on VaR
    0.01569
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1901.00000
  • Minimum
    0.91301
  • Quartile 1
    0.99568
  • Median
    1.00088
  • Quartile 3
    1.00635
  • Maximum
    1.09747
  • Mean of quarter 1
    0.98740
  • Mean of quarter 2
    0.99866
  • Mean of quarter 3
    1.00340
  • Mean of quarter 4
    1.01406
  • Inter Quartile Range
    0.01066
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.03419
  • Mean of outliers low
    0.96939
  • Number of outliers high
    57.00000
  • Percentage of outliers high
    0.02998
  • Mean of outliers high
    1.03286
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16190
  • VaR(95%) (moments method)
    0.01139
  • Expected Shortfall (moments method)
    0.01736
  • Extreme Value Index (regression method)
    0.14644
  • VaR(95%) (regression method)
    0.01140
  • Expected Shortfall (regression method)
    0.01718
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    57.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00916
  • Median
    0.01907
  • Quartile 3
    0.05031
  • Maximum
    0.25577
  • Mean of quarter 1
    0.00388
  • Mean of quarter 2
    0.01488
  • Mean of quarter 3
    0.03211
  • Mean of quarter 4
    0.11510
  • Inter Quartile Range
    0.04114
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07018
  • Mean of outliers high
    0.21545
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43206
  • VaR(95%) (moments method)
    0.12686
  • Expected Shortfall (moments method)
    0.24396
  • Extreme Value Index (regression method)
    0.08682
  • VaR(95%) (regression method)
    0.09372
  • Expected Shortfall (regression method)
    0.12477
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49983
  • Compounded annual return (geometric extrapolation)
    0.23506
  • Calmar ratio (compounded annual return / max draw down)
    0.91904
  • Compounded annual return / average of 25% largest draw downs
    2.04212
  • Compounded annual return / Expected Shortfall lognormal
    10.25060
  • 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
    -0.36484
  • SD
    0.16951
  • Sharpe ratio (Glass type estimate)
    -2.15230
  • Sharpe ratio (Hedges UMVUE)
    -2.13986
  • df
    130.00000
  • t
    -1.52191
  • p
    0.56615
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.93231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.92384
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64412
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.32606
  • Upside Potential Ratio
    4.04776
  • Upside part of mean
    0.63488
  • Downside part of mean
    -0.99972
  • Upside SD
    0.06649
  • Downside SD
    0.15685
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17871
  • Mean of criterion
    -0.36484
  • SD of predictor
    0.11939
  • SD of criterion
    0.16951
  • Covariance
    0.00902
  • r
    0.44570
  • b (slope, estimate of beta)
    0.63282
  • a (intercept, estimate of alpha)
    -0.47793
  • Mean Square Error
    0.02320
  • DF error
    129.00000
  • t(b)
    5.65488
  • p(b)
    0.22596
  • t(a)
    -2.20903
  • p(a)
    0.62080
  • Lowerbound of 95% confidence interval for beta
    0.41141
  • Upperbound of 95% confidence interval for beta
    0.85423
  • Lowerbound of 95% confidence interval for alpha
    -0.90599
  • Upperbound of 95% confidence interval for alpha
    -0.04987
  • Treynor index (mean / b)
    -0.57653
  • Jensen alpha (a)
    -0.47793
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.37965
  • SD
    0.17240
  • Sharpe ratio (Glass type estimate)
    -2.20217
  • Sharpe ratio (Hedges UMVUE)
    -2.18944
  • df
    130.00000
  • t
    -1.55717
  • p
    0.56766
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.98275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58665
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.97400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59511
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.36976
  • Upside Potential Ratio
    3.94883
  • Upside part of mean
    0.63262
  • Downside part of mean
    -1.01227
  • Upside SD
    0.06617
  • Downside SD
    0.16020
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17152
  • Mean of criterion
    -0.37965
  • SD of predictor
    0.11998
  • SD of criterion
    0.17240
  • Covariance
    0.00939
  • r
    0.45406
  • b (slope, estimate of beta)
    0.65240
  • a (intercept, estimate of alpha)
    -0.49155
  • Mean Square Error
    0.02378
  • DF error
    129.00000
  • t(b)
    5.78817
  • p(b)
    0.22120
  • t(a)
    -2.24533
  • p(a)
    0.62269
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.42940
  • Upperbound of 95% confidence interval for beta
    0.87541
  • Lowerbound of 95% confidence interval for alpha
    -0.92468
  • Upperbound of 95% confidence interval for alpha
    -0.05841
  • Treynor index (mean / b)
    -0.58192
  • Jensen alpha (a)
    -0.49155
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01879
  • Expected Shortfall on VaR
    0.02314
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00756
  • Expected Shortfall on VaR
    0.01658
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93873
  • Quartile 1
    0.99632
  • Median
    1.00102
  • Quartile 3
    1.00404
  • Maximum
    1.01807
  • Mean of quarter 1
    0.98606
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00253
  • Mean of quarter 4
    1.00722
  • Inter Quartile Range
    0.00772
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97146
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01807
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36944
  • VaR(95%) (moments method)
    0.01230
  • Expected Shortfall (moments method)
    0.02360
  • Extreme Value Index (regression method)
    0.34728
  • VaR(95%) (regression method)
    0.01283
  • Expected Shortfall (regression method)
    0.02412
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00252
  • Quartile 1
    0.05950
  • Median
    0.11647
  • Quartile 3
    0.14755
  • Maximum
    0.17862
  • Mean of quarter 1
    0.00252
  • Mean of quarter 2
    0.11647
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17862
  • Inter Quartile Range
    0.08805
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -276387000
  • Max Equity Drawdown (num days)
    748
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.32255
  • Compounded annual return (geometric extrapolation)
    -0.29654
  • Calmar ratio (compounded annual return / max draw down)
    -1.66011
  • Compounded annual return / average of 25% largest draw downs
    -1.66011
  • Compounded annual return / Expected Shortfall lognormal
    -12.81570

Strategy Description

The new version of OP I is a long/short strategy using either TQQQ or SQQQ. I expect it to be 100% invested at all times. You should expect frequent moves in excess of 1% or more on a daily basis. This is not a suitable strategy for new or inexperienced investors or those investing a majority of their trading capital.

Summary Statistics

Strategy began
2012-10-25
Suggested Minimum Capital
$15,000
# Trades
720
# Profitable
300
% Profitable
41.7%
Net Dividends
Correlation S&P500
0.215
Sharpe Ratio
0.76
Sortino Ratio
1.11
Beta
0.34
Alpha
0.04
Leverage
1.11 Average
3.58 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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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.