Optimized Partners II
- hypothetical · Annual Return (Compounded)
- 7.5%
- Max Drawdown
- 51.1%
- Trades
- 946
- Win Trades
- 43.9%
- Profit Factor
- 1.40
- Win Months
- 53.6%
About this strategy
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
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
Trend-following Momentum
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2012 | 2.2 | -9.8 | -1.7 | -9.3 | |||||||||
| 2013 | -3.8 | 4.7 | 9.1 | 5.5 | 0.2 | 1.0 | 9.2 | -4.8 | 5.5 | 4.4 | 18.7 | 8.2 | 72.3 |
| 2014 | 1.0 | 13.4 | 2.3 | 5.6 | -1.8 | 2.0 | -5.8 | 5.2 | -4.1 | 7.2 | 6.0 | 9.7 | 46.7 |
| 2015 | -0.9 | -4.5 | 6.9 | -4.3 | -3.2 | -1.2 | -3.4 | -1.5 | -1.4 | 4.3 | -5.8 | -6.2 | -20.0 |
| 2016 | 2.0 | 4.3 | -2.4 | 6.0 | -13.6 | 8.3 | -3.5 | 6.6 | -3.9 | -5.5 | 2.5 | 6.7 | 5.3 |
| 2017 | 9.4 | -4.7 | 7.9 | 9.3 | 5.3 | -4.9 | 12.0 | 4.0 | 0.2 | 6.9 | 3.8 | -0.7 | 58.6 |
| 2018 | 11.9 | 0.2 | -0.5 | -1.1 | 1.8 | 0.8 | -3.6 | 15.8 | 1.0 | -10.2 | -2.3 | 8.1 | 21.0 |
| 2019 | 7.0 | -3.0 | -0.4 | 1.0 | -3.3 | 10.2 | 3.2 | -5.9 | -4.3 | -5.6 | 0.2 | 2.4 | 0.1 |
| 2020 | 1.5 | -17.9 | -1.0 | -5.4 | -0.7 | 1.8 | -0.6 | -2.2 | -0.9 | 0.1 | 10.6 | 1.8 | -14.5 |
| 2021 | -4.8 | 5.4 | -1.4 | 3.0 | -1.3 | 6.4 | 0.0 | -3.3 | -5.3 | 6.8 | 0.5 | -0.3 | 4.9 |
| 2022 | -7.4 | -3.3 | 1.3 | -7.5 | -0.3 | -7.0 | 9.6 | -4.4 | -10.7 | 4.6 | 6.4 | -3.6 | -21.8 |
| 2023 | 2.6 | -3.4 | 5.5 | -2.3 | 4.2 | 5.2 | 3.9 | -3.0 | -3.4 | 1.2 | 10.4 | 5.1 | 28.1 |
| 2024 | 2.4 | 1.5 | -1.2 | -5.8 | 1.8 | 2.3 | 0.6 | 2.3 | 0.6 | -3.4 | 7.5 | -10.7 | -3.3 |
| 2025 | 5.3 | 1.0 | -4.4 | 7.9 | 3.0 | 0.3 | -4.4 | -1.1 | -5.3 | -2.8 | -3.4 | -1.2 | -5.6 |
| 2026 | -5.9 | -4.5 | -8.7 | 2.1 | 1.9 | -2.8 | 9.9 | 2.7 | -4.3 | -10.4 |
Statistics
Overview
| Strategy began | 10/25/2012 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 169 months |
| C2 Rank | 254 |
| What it trades | Stocks |
| # Trades | 946 |
| # Profitable | 415 |
| % Profitable | 43.9% |
| Avg trade duration | 49.1 days |
| Max peak-to-valley drawdown | 51.1% |
| drawdown period | July 26, 2019 - March 21, 2026 |
| Annual Return (Compounded) | 7.5% |
| Avg win | $569 |
| Avg loss | $349 |
Ratios
| W:L ratio | 1.38 |
|---|---|
| Sharpe Ratio | 0.33 |
| Sortino Ratio | 0.46 |
| Calmar Ratio | 0.31 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.33 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 440.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -268.0% |
Return Statistics
| Ann Return (w trading costs) | 7.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 10.6% |
Slump
| Current Slump as Pcnt Equity | 63.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.5% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 57.5% |
|---|---|
| Chance of 20% account loss | 26.5% |
| Chance of 30% account loss | 13.5% |
| Chance of 40% account loss | 4.0% |
| Chance of 50% account loss | 0.5% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | — |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 502 |
| C2 Score | 254 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $349 |
|---|---|
| Avg Win | $569 |
| # Winners | 415 |
| Sum Trade PL (losers) | $185,508 |
| Sum Trade PL (winners) | $236,215 |
| Num Months Winners | 91 |
| # Losers | 531 |
| % Winners | 43.9% |
Dividends
| Dividends Received in Model Acct | 9921 |
|---|
Age
| Num Months filled monthly returns table | 168 |
|---|
Frequency
| Avg Position Time (mins) | 70734.50 |
|---|---|
| Avg Position Time (hrs) | 1178.91 |
| Avg Trade Length | 49.10 |
| Last Trade Ago | 659 |
Leverage
| Daily leverage (average) | 0.94 |
|---|---|
| Daily leverage (max) | 2.74 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.33 |
| Treynor Index | 0.06 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.01 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 6.86 |
| MAE:PL (avg, all trades) | -0.30 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 35.39 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 48.99 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.30 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.36 |
| Hold-and-Hope Ratio | 0.16 |
RATIO STATISTICS
| Mean | 0.09 |
|---|---|
| SD | 0.16 |
| Sharpe ratio (Glass type estimate) | 0.56 |
| Sharpe ratio (Hedges UMVUE) | 0.56 |
| df | 162 |
| t | 2.07 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.10 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.02 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.09 |
| Sortino ratio | 0.94 |
| Upside Potential Ratio | 2.74 |
| Upside part of mean | 0.26 |
| Downside part of mean | -0.17 |
| Upside SD | 0.13 |
| Downside SD | 0.10 |
| N nonnegative terms | 87 |
| N negative terms | 76 |
| N of observations | 163 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.09 |
| SD of predictor | 0.13 |
| SD of criterion | 0.16 |
| Covariance | 0.01 |
| r | 0.49 |
| b (slope, estimate of beta) | 0.60 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.02 |
| DF error | 161 |
| t(b) | 7.15 |
| p(b) | 0.20 |
| t(a) | 0.68 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.43 |
| Upperbound of 95% confidence interval for beta | 0.76 |
| Lowerbound of 95% confidence interval for alpha | -0.05 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | 0.15 |
| Jensen alpha (a) | 0.03 |
| Mean | 0.08 |
| SD | 0.16 |
| Sharpe ratio (Glass type estimate) | 0.48 |
| Sharpe ratio (Hedges UMVUE) | 0.48 |
| df | 162 |
| t | 1.78 |
| p | 0.43 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.05 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.02 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.05 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.02 |
| Sortino ratio | 0.77 |
| Upside Potential Ratio | 2.54 |
| Upside part of mean | 0.25 |
| Downside part of mean | -0.18 |
| Upside SD | 0.13 |
| Downside SD | 0.10 |
| N nonnegative terms | 87 |
| N negative terms | 76 |
| N of observations | 163 |
| Mean of predictor | 0.10 |
| Mean of criterion | 0.08 |
| SD of predictor | 0.13 |
| SD of criterion | 0.16 |
| Covariance | 0.01 |
| r | 0.51 |
| b (slope, estimate of beta) | 0.61 |
| a (intercept, estimate of alpha) | 0.02 |
| Mean Square Error | 0.02 |
| DF error | 161 |
| t(b) | 7.46 |
| p(b) | 0.19 |
| t(a) | 0.48 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.45 |
| Upperbound of 95% confidence interval for beta | 0.77 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.09 |
| Treynor index (mean / b) | 0.13 |
| Jensen alpha (a) | 0.02 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.08 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 0.08 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 0.60 |
| Sharpe ratio (Hedges UMVUE) | 0.60 |
| df | 3566 |
| t | 2.23 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.07 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.14 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.13 |
| Sortino ratio | 0.84 |
| Upside Potential Ratio | 8.45 |
| Upside part of mean | 0.85 |
| Downside part of mean | -0.76 |
| Upside SD | 0.10 |
| Downside SD | 0.10 |
| N nonnegative terms | 1904 |
| N negative terms | 1663 |
| N of observations | 3567 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.08 |
| SD of predictor | 0.17 |
| SD of criterion | 0.14 |
| Covariance | 0.01 |
| r | 0.32 |
| b (slope, estimate of beta) | 0.26 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.02 |
| DF error | 3565 |
| t(b) | 19.92 |
| p(b) | 0 |
| t(a) | 1.54 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | 0.23 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.13 |
| Treynor index (mean / b) | 0.32 |
| Jensen alpha (a) | 0.06 |
| Mean | 0.07 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 0.53 |
| Sharpe ratio (Hedges UMVUE) | 0.53 |
| df | 3566 |
| t | 1.97 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.00 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.06 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.00 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.06 |
| Sortino ratio | 0.73 |
| Upside Potential Ratio | 8.31 |
| Upside part of mean | 0.84 |
| Downside part of mean | -0.77 |
| Upside SD | 0.10 |
| Downside SD | 0.10 |
| N nonnegative terms | 1904 |
| N negative terms | 1663 |
| N of observations | 3567 |
| Mean of predictor | 0.10 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.17 |
| SD of criterion | 0.14 |
| Covariance | 0.01 |
| r | 0.32 |
| b (slope, estimate of beta) | 0.26 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.02 |
| DF error | 3565 |
| t(b) | 19.94 |
| p(b) | 0 |
| t(a) | 1.37 |
| p(a) | 0.08 |
| Lowerbound of 95% confidence interval for beta | 0.23 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.12 |
| Treynor index (mean / b) | 0.29 |
| Jensen alpha (a) | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.01 |
| SD | 0.12 |
| Sharpe ratio (Glass type estimate) | 0.07 |
| Sharpe ratio (Hedges UMVUE) | 0.07 |
| df | 130 |
| t | 0.05 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.70 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.84 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.70 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.84 |
| Sortino ratio | 0.10 |
| Upside Potential Ratio | 8.87 |
| Upside part of mean | 0.73 |
| Downside part of mean | -0.72 |
| Upside SD | 0.08 |
| Downside SD | 0.08 |
| N nonnegative terms | 66 |
| N negative terms | 65 |
| N of observations | 131 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.14 |
| SD of criterion | 0.12 |
| Covariance | 0.00 |
| r | 0.12 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | -0.02 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 1.43 |
| p(b) | 0.42 |
| t(a) | -0.09 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | -0.04 |
| Upperbound of 95% confidence interval for beta | 0.25 |
| Lowerbound of 95% confidence interval for alpha | -0.34 |
| Upperbound of 95% confidence interval for alpha | 0.31 |
| Treynor index (mean / b) | 0.08 |
| Jensen alpha (a) | -0.02 |
| Mean | 0.00 |
| SD | 0.12 |
| Sharpe ratio (Glass type estimate) | 0.01 |
| Sharpe ratio (Hedges UMVUE) | 0.01 |
| df | 130 |
| t | 0.01 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.76 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.76 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.78 |
| Sortino ratio | 0.02 |
| Upside Potential Ratio | 8.78 |
| Upside part of mean | 0.73 |
| Downside part of mean | -0.72 |
| Upside SD | 0.08 |
| Downside SD | 0.08 |
| N nonnegative terms | 66 |
| N negative terms | 65 |
| N of observations | 131 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.00 |
| SD of predictor | 0.14 |
| SD of criterion | 0.12 |
| Covariance | 0.00 |
| r | 0.13 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | -0.02 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 1.43 |
| p(b) | 0.42 |
| t(a) | -0.13 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | -0.04 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.25 |
| Lowerbound of 95% confidence interval for alpha | -0.34 |
| Upperbound of 95% confidence interval for alpha | 0.30 |
| Treynor index (mean / b) | 0.01 |
| Jensen alpha (a) | -0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 163 |
|---|---|
| Minimum | 0.84 |
| Quartile 1 | 0.98 |
| Median | 1.01 |
| Quartile 3 | 1.04 |
| Maximum | 1.16 |
| Mean of quarter 1 | 0.95 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.01 |
| Mean of outliers low | 0.84 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.16 |
| Extreme Value Index (moments method) | -0.14 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | -0.02 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 3567 |
| Minimum | 0.93 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.04 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 93 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 66 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.24 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.16 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.02 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | -1.17 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.50 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 16 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.04 |
| Quartile 3 | 0.07 |
| Maximum | 0.30 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.16 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 0.23 |
| Extreme Value Index (moments method) | -0.05 |
| VaR(95%) (moments method) | 0.16 |
| Expected Shortfall (moments method) | 0.22 |
| Extreme Value Index (regression method) | 0.83 |
| VaR(95%) (regression method) | 0.24 |
| Expected Shortfall (regression method) | 1.25 |
| Number of observations | 68 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.06 |
| Maximum | 0.34 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 0.22 |
| Extreme Value Index (moments method) | 0.21 |
| VaR(95%) (moments method) | 0.11 |
| Expected Shortfall (moments method) | 0.17 |
| Extreme Value Index (regression method) | 0.42 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0.23 |
| Number of observations | 4 |
| Minimum | 0.02 |
| Quartile 1 | 0.03 |
| Median | 0.04 |
| Quartile 3 | 0.04 |
| Maximum | 0.07 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.07 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 0.07 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -480049536 |
| Max Equity Drawdown (num days) | 2430 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.23 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.11 |
| Calmar ratio (compounded annual return / max draw down) | 0.37 |
| Compounded annual return / average of 25% largest draw downs | 0.69 |
| Compounded annual return / Expected Shortfall lognormal | 1.31 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.22 |
| Compounded annual return (geometric extrapolation) | 0.11 |
| Calmar ratio (compounded annual return / max draw down) | 0.31 |
| Compounded annual return / average of 25% largest draw downs | 0.99 |
| Compounded annual return / Expected Shortfall lognormal | 6.21 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.03 |
| Compounded annual return (geometric extrapolation) | 0.03 |
| Calmar ratio (compounded annual return / max draw down) | 0.43 |
| Compounded annual return / average of 25% largest draw downs | 0.43 |
| Compounded annual return / Expected Shortfall lognormal | 2.03 |
Trading record
Placed 1112 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ANET | long | 25 | Oct 17, 2024 | Nov 20, 2024 | ($753) |
| MSFT | short | 22 | Sep 19, 2024 | Oct 17, 2024 | $517 |
| ADBE | long | 12 | Aug 12, 2020 | Oct 17, 2024 | $619 |
| GOOGL | long | 65 | Sep 19, 2024 | Oct 17, 2024 | ($1) |
| UNH | long | 17 | Aug 11, 2020 | Oct 17, 2024 | $4,170 |
| UNP | long | 30 | Aug 11, 2020 | Oct 17, 2024 | $1,481 |
| AMD | long | 66 | Jul 23, 2020 | Sep 19, 2024 | $6,345 |
| FIVN | long | 40 | Aug 12, 2020 | Sep 19, 2024 | ($3,493) |
| PINS | long | 260 | Aug 3, 2020 | Sep 19, 2024 | ($853) |
| TTWO | long | 20 | Jul 27, 2020 | Aug 12, 2020 | $178 |
| VMC | long | 38 | Aug 11, 2020 | Aug 12, 2020 | ($152) |
| ROM | long | 35 | Jul 23, 2020 | Aug 11, 2020 | $237 |
| ZS | long | 33 | Jul 23, 2020 | Aug 11, 2020 | ($318) |
| DOCU | long | 30 | Jul 23, 2020 | Aug 11, 2020 | ($576) |
| ZM | long | 26 | Aug 3, 2020 | Aug 11, 2020 | ($613) |
| TDOC | long | 20 | Aug 5, 2020 | Aug 7, 2020 | ($462) |
| DDOG | long | 45 | Jul 28, 2020 | Aug 7, 2020 | ($289) |
| LVGO | long | 45 | Aug 3, 2020 | Aug 5, 2020 | ($159) |
| TDOC | long | 27 | Aug 4, 2020 | Aug 5, 2020 | ($1,167) |
| SITE | long | 25 | Jul 23, 2020 | Aug 3, 2020 | $122 |
| SDS | long | 300 | Jun 29, 2020 | Jul 23, 2020 | ($690) |
| RWM | long | 300 | Jun 25, 2020 | Jul 23, 2020 | ($787) |
| SH | long | 700 | Jun 17, 2020 | Jul 23, 2020 | ($845) |
| BWA | long | 135 | May 26, 2020 | Jun 15, 2020 | $294 |
| JPM | long | 50 | May 27, 2020 | Jun 15, 2020 | ($9) |
| PNC | long | 40 | May 27, 2020 | Jun 15, 2020 | ($164) |
| MIDD | long | 65 | May 26, 2020 | Jun 15, 2020 | $779 |
| VTR | long | 125 | May 26, 2020 | Jun 3, 2020 | $627 |
| POOL | long | 20 | May 21, 2020 | May 29, 2020 | $648 |
| VIAC | long | 220 | May 20, 2020 | May 29, 2020 | $157 |
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.