Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

The Vegan Growth Port
(77477692)

Created by: BradPappas BradPappas
Started: 11/2012
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 $175.00 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).
20.9%
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.

(17.7%)
Max Drawdown
1038
Num Trades
45.3%
Win Trades
1.8 : 1
Profit Factor
67.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      (8.1%)(0.4%)(8.5%)
2013+6.7%+4.0%+4.1%+1.2%+4.6%+0.4%+11.2%(2.1%)+9.4%(0.7%)+10.8%+0.9%+62.5%
2014+4.9%+7.7%+1.9%(1.9%)(0.4%)+0.3%(4.4%)+4.5%(4.2%)+6.8%+10.7%+4.7%+33.5%
2015(1.7%)(1.3%)+2.8%(1.3%)+0.5%(1.4%)(0.8%)(0.7%)(4.2%)+2.0%+1.4%(7%)(11.4%)
2016+2.6%+1.7%(0.8%)+1.4%(9.1%)+3.2%+2.2%+1.1%+1.3%(6.5%)+3.1%+6.5%+5.9%
2017+4.8%(0.2%)+2.3%+7.2%+8.5%(6.9%)+10.2%+3.7%+2.6%+7.8%+4.0%(2.4%)+48.5%
2018+9.9%+1.0%+0.2%+0.1%+3.7%+0.2%(3.1%)+11.2%+1.8%(7.5%)(2.7%)+4.0%+18.8%
2019+2.8%+0.6%+0.2%+1.0%(0.9%)+3.1%                                    +7.0%

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 1,135 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/28/19 10:00 TLT ISHARES 20+ YEAR TREASURY BOND LONG 165 128.16 6/4 14:24 130.55 0%
Trade id #123843510
Max drawdown($12)
Time5/28/19 10:07
Quant open165
Worst price128.09
Drawdown as % of equity-0.00%
$391
Includes Typical Broker Commissions trade costs of $3.30
5/29/19 11:24 SDS PROSHARES ULTRASHORT S&P500 LONG 550 34.65 6/3 10:44 35.01 0.08%
Trade id #123861203
Max drawdown($296)
Time5/30/19 10:35
Quant open550
Worst price34.11
Drawdown as % of equity-0.08%
$195
Includes Typical Broker Commissions trade costs of $5.00
5/6/19 10:04 MA MASTERCARD LONG 67 245.56 6/3 9:46 249.57 0.1%
Trade id #123541525
Max drawdown($375)
Time5/9/19 9:55
Quant open67
Worst price239.96
Drawdown as % of equity-0.10%
$267
Includes Typical Broker Commissions trade costs of $1.34
3/18/19 10:34 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 130 115.61 6/3 9:45 128.13 0.15%
Trade id #122952119
Max drawdown($544)
Time3/25/19 9:31
Quant open100
Worst price108.35
Drawdown as % of equity-0.15%
$1,625
Includes Typical Broker Commissions trade costs of $2.60
5/20/19 13:23 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,125 40.63 5/31 15:04 43.24 5.27%
Trade id #123740772
Max drawdown($18,990)
Time5/21/19 14:31
Quant open625
Worst price9.65
Drawdown as % of equity-5.27%
$2,919
Includes Typical Broker Commissions trade costs of $15.75
5/22/19 12:33 EDV VANGUARD EXTENDED DUR TRS IDX LONG 197 120.31 5/31 11:05 125.65 0.01%
Trade id #123782290
Max drawdown($51)
Time5/22/19 15:01
Quant open130
Worst price119.25
Drawdown as % of equity-0.01%
$1,048
Includes Typical Broker Commissions trade costs of $3.94
1/7/19 10:31 V VISA LONG 100 135.96 5/31 9:30 160.77 0%
Trade id #121818174
Max drawdown($4)
Time1/7/19 10:35
Quant open74
Worst price135.25
Drawdown as % of equity-0.00%
$2,479
Includes Typical Broker Commissions trade costs of $2.00
1/7/19 10:31 TWLO TWILIO INC LONG 150 104.15 5/30 9:30 127.55 0.05%
Trade id #121818206
Max drawdown($186)
Time1/8/19 10:54
Quant open100
Worst price92.58
Drawdown as % of equity-0.05%
$3,507
Includes Typical Broker Commissions trade costs of $3.00
1/18/19 11:15 MSCI MSCI LONG 102 173.50 5/29 10:46 213.73 n/a $4,101
Includes Typical Broker Commissions trade costs of $2.04
1/17/19 15:01 TREE LENDINGTREE INC. COMMON STOCK LONG 50 288.46 5/29 10:15 375.45 0.07%
Trade id #122039256
Max drawdown($242)
Time1/22/19 11:56
Quant open39
Worst price276.58
Drawdown as % of equity-0.07%
$4,348
Includes Typical Broker Commissions trade costs of $1.00
4/3/19 12:44 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 225 79.12 5/29 9:58 83.19 0.01%
Trade id #123189374
Max drawdown($38)
Time4/3/19 12:47
Quant open125
Worst price77.30
Drawdown as % of equity-0.01%
$913
Includes Typical Broker Commissions trade costs of $4.50
4/11/19 14:15 PLNT PLANET FITNESS INC LONG 190 71.36 5/24 11:11 75.12 0.2%
Trade id #123285935
Max drawdown($733)
Time5/3/19 9:34
Quant open190
Worst price67.50
Drawdown as % of equity-0.20%
$710
Includes Typical Broker Commissions trade costs of $3.80
5/15/19 12:26 AMT AMERICAN TOWER LONG 80 200.92 5/24 9:47 204.19 0.08%
Trade id #123683293
Max drawdown($282)
Time5/20/19 11:02
Quant open80
Worst price197.39
Drawdown as % of equity-0.08%
$260
Includes Typical Broker Commissions trade costs of $1.60
5/6/19 10:07 DELL DELL TECHNOLOGIES INC LONG 200 67.73 5/23 14:07 65.49 0.23%
Trade id #123541604
Max drawdown($806)
Time5/13/19 16:00
Quant open200
Worst price63.70
Drawdown as % of equity-0.23%
($452)
Includes Typical Broker Commissions trade costs of $4.00
4/5/19 10:26 AMZN AMAZON.COM LONG 10 1832.23 5/21 12:44 1854.32 0.05%
Trade id #123219831
Max drawdown($164)
Time5/14/19 9:52
Quant open10
Worst price1815.75
Drawdown as % of equity-0.05%
$221
Includes Typical Broker Commissions trade costs of $0.20
2/15/19 11:12 MSFT MICROSOFT LONG 195 109.73 5/21 10:54 126.00 0.06%
Trade id #122545148
Max drawdown($226)
Time2/20/19 12:31
Quant open165
Worst price106.29
Drawdown as % of equity-0.06%
$3,169
Includes Typical Broker Commissions trade costs of $3.90
4/16/19 13:42 CDNS CADENCE DESIGN SYSTEMS LONG 250 65.28 5/20 11:31 65.97 0.14%
Trade id #123331291
Max drawdown($506)
Time4/22/19 9:36
Quant open250
Worst price63.25
Drawdown as % of equity-0.14%
$169
Includes Typical Broker Commissions trade costs of $5.00
5/7/19 14:07 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,665 9.33 5/16 12:38 9.31 0.22%
Trade id #123562531
Max drawdown($774)
Time5/8/19 4:20
Quant open3,065
Worst price8.99
Drawdown as % of equity-0.22%
($85)
Includes Typical Broker Commissions trade costs of $15.50
5/7/19 14:07 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,500 19.97 5/16 12:38 19.88 0.19%
Trade id #123562508
Max drawdown($673)
Time5/8/19 11:09
Quant open1,500
Worst price19.52
Drawdown as % of equity-0.19%
($150)
Includes Typical Broker Commissions trade costs of $12.50
5/10/19 13:39 TECL DIREXION DAILY TECHNOLOGY BULL LONG 90 147.32 5/15 12:27 142.54 0.4%
Trade id #123625100
Max drawdown($1,431)
Time5/13/19 15:39
Quant open90
Worst price131.42
Drawdown as % of equity-0.40%
($432)
Includes Typical Broker Commissions trade costs of $1.80
4/23/19 11:25 AZO AUTOZONE LONG 17 1054.12 5/14 11:32 989.16 0.36%
Trade id #123401865
Max drawdown($1,265)
Time5/14/19 10:06
Quant open17
Worst price979.70
Drawdown as % of equity-0.36%
($1,104)
Includes Typical Broker Commissions trade costs of $0.34
4/29/19 10:50 ADBE ADOBE INC LONG 60 288.41 5/9 10:25 270.96 0.29%
Trade id #123463765
Max drawdown($1,052)
Time5/9/19 9:51
Quant open60
Worst price270.87
Drawdown as % of equity-0.29%
($1,048)
Includes Typical Broker Commissions trade costs of $1.20
4/1/19 13:54 AMD ADVANCED MICRO DEVICES INC. C LONG 500 26.35 5/7 15:42 26.33 0.01%
Trade id #123156410
Max drawdown($52)
Time5/7/19 14:50
Quant open375
Worst price26.21
Drawdown as % of equity-0.01%
($22)
Includes Typical Broker Commissions trade costs of $10.00
3/11/19 12:21 WDAY WORKDAY LONG 65 185.85 5/6 10:07 198.95 0.06%
Trade id #122866035
Max drawdown($217)
Time4/8/19 9:44
Quant open65
Worst price182.50
Drawdown as % of equity-0.06%
$850
Includes Typical Broker Commissions trade costs of $1.30
4/1/19 10:02 ANET ARISTA NETWORKS INC LONG 45 317.40 5/3 10:45 259.26 0.82%
Trade id #123151421
Max drawdown($2,988)
Time5/3/19 9:32
Quant open45
Worst price251.00
Drawdown as % of equity-0.82%
($2,617)
Includes Typical Broker Commissions trade costs of $0.90
4/1/19 10:46 XLNX XILINX LONG 100 129.58 4/26 9:42 111.62 0.51%
Trade id #123152361
Max drawdown($1,843)
Time4/26/19 9:42
Quant open100
Worst price111.14
Drawdown as % of equity-0.51%
($1,798)
Includes Typical Broker Commissions trade costs of $2.00
4/23/19 11:55 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 1,500 7.37 4/26 9:41 6.44 0.46%
Trade id #123402825
Max drawdown($1,680)
Time4/26/19 8:14
Quant open1,500
Worst price6.25
Drawdown as % of equity-0.46%
($1,405)
Includes Typical Broker Commissions trade costs of $10.00
4/1/19 10:02 TECL DIREXION DAILY TECHNOLOGY BULL LONG 100 144.96 4/22 10:41 159.78 0.04%
Trade id #123151407
Max drawdown($129)
Time4/1/19 10:12
Quant open80
Worst price140.50
Drawdown as % of equity-0.04%
$1,480
Includes Typical Broker Commissions trade costs of $2.00
3/1/19 11:39 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 115 108.97 4/18 10:50 102.90 0.32%
Trade id #122751688
Max drawdown($1,145)
Time4/17/19 16:48
Quant open115
Worst price99.01
Drawdown as % of equity-0.32%
($700)
Includes Typical Broker Commissions trade costs of $2.30
4/5/19 11:00 EHTH EHEALTH LONG 205 67.91 4/17 11:22 52.50 0.87%
Trade id #123220245
Max drawdown($3,158)
Time4/17/19 11:22
Quant open205
Worst price52.50
Drawdown as % of equity-0.87%
($3,162)
Includes Typical Broker Commissions trade costs of $4.10

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2413.44
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    1038
  • # Profitable
    470
  • % Profitable
    45.30%
  • Avg trade duration
    45.7 days
  • Max peak-to-valley drawdown
    17.69%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    20.9%
  • Avg win
    $1,277
  • Avg loss
    $612.63
  • Model Account Values (Raw)
  • Cash
    $186,286
  • Margin Used
    $0
  • Buying Power
    $202,948
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    1.09
  • Sortino Ratio
    1.54
  • Calmar Ratio
    1.575
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.28480
  • Return Statistics
  • Ann Return (w trading costs)
    20.9%
  • Ann Return (Compnd, No Fees)
    22.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.00%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    951
  • Popularity (Last 6 weeks)
    980
  • C2 Score
    99.7
  • 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
    $613
  • Avg Win
    $1,278
  • # Winners
    470
  • # Losers
    568
  • % Winners
    45.3%
  • Frequency
  • Avg Position Time (mins)
    65779.30
  • Avg Position Time (hrs)
    1096.32
  • Avg Trade Length
    45.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    1.80
  • Unknown
  • Alpha
    0.04
  • Beta
    0.31
  • Treynor Index
    0.16
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18878
  • SD
    0.16422
  • Sharpe ratio (Glass type estimate)
    1.14951
  • Sharpe ratio (Hedges UMVUE)
    1.13828
  • df
    77.00000
  • t
    2.93070
  • p
    0.00222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35615
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34878
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92778
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29145
  • Upside Potential Ratio
    3.79802
  • Upside part of mean
    0.31289
  • Downside part of mean
    -0.12412
  • Upside SD
    0.15102
  • Downside SD
    0.08238
  • N nonnegative terms
    49.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.08711
  • Mean of criterion
    0.18878
  • SD of predictor
    0.10465
  • SD of criterion
    0.16422
  • Covariance
    0.00639
  • r
    0.37161
  • b (slope, estimate of beta)
    0.58318
  • a (intercept, estimate of alpha)
    0.13797
  • Mean Square Error
    0.02355
  • DF error
    76.00000
  • t(b)
    3.48949
  • p(b)
    0.00040
  • t(a)
    2.22794
  • p(a)
    0.01442
  • Lowerbound of 95% confidence interval for beta
    0.25032
  • Upperbound of 95% confidence interval for beta
    0.91604
  • Lowerbound of 95% confidence interval for alpha
    0.01463
  • Upperbound of 95% confidence interval for alpha
    0.26132
  • Treynor index (mean / b)
    0.32370
  • Jensen alpha (a)
    0.13797
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17413
  • SD
    0.16050
  • Sharpe ratio (Glass type estimate)
    1.08488
  • Sharpe ratio (Hedges UMVUE)
    1.07428
  • df
    77.00000
  • t
    2.76591
  • p
    0.00355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86154
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04149
  • Upside Potential Ratio
    3.53488
  • Upside part of mean
    0.30150
  • Downside part of mean
    -0.12738
  • Upside SD
    0.14381
  • Downside SD
    0.08529
  • N nonnegative terms
    49.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.08117
  • Mean of criterion
    0.17413
  • SD of predictor
    0.10549
  • SD of criterion
    0.16050
  • Covariance
    0.00606
  • r
    0.35784
  • b (slope, estimate of beta)
    0.54448
  • a (intercept, estimate of alpha)
    0.12993
  • Mean Square Error
    0.02276
  • DF error
    76.00000
  • t(b)
    3.34084
  • p(b)
    0.00065
  • t(a)
    2.14293
  • p(a)
    0.01766
  • Lowerbound of 95% confidence interval for beta
    0.21988
  • Upperbound of 95% confidence interval for beta
    0.86907
  • Lowerbound of 95% confidence interval for alpha
    0.00917
  • Upperbound of 95% confidence interval for alpha
    0.25069
  • Treynor index (mean / b)
    0.31980
  • Jensen alpha (a)
    0.12993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05984
  • Expected Shortfall on VaR
    0.07773
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01926
  • Expected Shortfall on VaR
    0.04158
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99331
  • Median
    1.01144
  • Quartile 3
    1.04706
  • Maximum
    1.17909
  • Mean of quarter 1
    0.96387
  • Mean of quarter 2
    1.00269
  • Mean of quarter 3
    1.02746
  • Mean of quarter 4
    1.07792
  • Inter Quartile Range
    0.05375
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01282
  • Mean of outliers low
    0.89617
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01282
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06354
  • VaR(95%) (moments method)
    0.02276
  • Expected Shortfall (moments method)
    0.03175
  • Extreme Value Index (regression method)
    -0.22421
  • VaR(95%) (regression method)
    0.04189
  • Expected Shortfall (regression method)
    0.05652
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00378
  • Quartile 1
    0.01451
  • Median
    0.02841
  • Quartile 3
    0.07569
  • Maximum
    0.12760
  • Mean of quarter 1
    0.01114
  • Mean of quarter 2
    0.02060
  • Mean of quarter 3
    0.05870
  • Mean of quarter 4
    0.10423
  • Inter Quartile Range
    0.06118
  • 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)
    -0.54776
  • VaR(95%) (moments method)
    0.11247
  • Expected Shortfall (moments method)
    0.12240
  • Extreme Value Index (regression method)
    0.18596
  • VaR(95%) (regression method)
    0.12223
  • Expected Shortfall (regression method)
    0.16064
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41817
  • Compounded annual return (geometric extrapolation)
    0.22389
  • Calmar ratio (compounded annual return / max draw down)
    1.75455
  • Compounded annual return / average of 25% largest draw downs
    2.14796
  • Compounded annual return / Expected Shortfall lognormal
    2.88042
  • 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
    0.18368
  • SD
    0.13261
  • Sharpe ratio (Glass type estimate)
    1.38512
  • Sharpe ratio (Hedges UMVUE)
    1.38451
  • df
    1704.00000
  • t
    3.53346
  • p
    0.45736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61522
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15466
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61480
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15423
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97097
  • Upside Potential Ratio
    9.43383
  • Upside part of mean
    0.87917
  • Downside part of mean
    -0.69549
  • Upside SD
    0.09497
  • Downside SD
    0.09319
  • N nonnegative terms
    992.00000
  • N negative terms
    713.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1705.00000
  • Mean of predictor
    0.08985
  • Mean of criterion
    0.18368
  • SD of predictor
    0.12958
  • SD of criterion
    0.13261
  • Covariance
    0.00483
  • r
    0.28101
  • b (slope, estimate of beta)
    0.28758
  • a (intercept, estimate of alpha)
    0.15800
  • Mean Square Error
    0.01621
  • DF error
    1703.00000
  • t(b)
    12.08360
  • p(b)
    0.32348
  • t(a)
    3.16006
  • p(a)
    0.45144
  • Lowerbound of 95% confidence interval for beta
    0.24090
  • Upperbound of 95% confidence interval for beta
    0.33425
  • Lowerbound of 95% confidence interval for alpha
    0.05987
  • Upperbound of 95% confidence interval for alpha
    0.25581
  • Treynor index (mean / b)
    0.63872
  • Jensen alpha (a)
    0.15784
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17480
  • SD
    0.13279
  • Sharpe ratio (Glass type estimate)
    1.31638
  • Sharpe ratio (Hedges UMVUE)
    1.31580
  • df
    1704.00000
  • t
    3.35809
  • p
    0.45946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54661
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54622
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08538
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85794
  • Upside Potential Ratio
    9.29623
  • Upside part of mean
    0.87461
  • Downside part of mean
    -0.69981
  • Upside SD
    0.09427
  • Downside SD
    0.09408
  • N nonnegative terms
    992.00000
  • N negative terms
    713.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1705.00000
  • Mean of predictor
    0.08142
  • Mean of criterion
    0.17480
  • SD of predictor
    0.12976
  • SD of criterion
    0.13279
  • Covariance
    0.00484
  • r
    0.28114
  • b (slope, estimate of beta)
    0.28771
  • a (intercept, estimate of alpha)
    0.15137
  • Mean Square Error
    0.01625
  • DF error
    1703.00000
  • t(b)
    12.08930
  • p(b)
    0.32341
  • t(a)
    3.02710
  • p(a)
    0.45347
  • Lowerbound of 95% confidence interval for beta
    0.24103
  • Upperbound of 95% confidence interval for beta
    0.33438
  • Lowerbound of 95% confidence interval for alpha
    0.05329
  • Upperbound of 95% confidence interval for alpha
    0.24945
  • Treynor index (mean / b)
    0.60756
  • Jensen alpha (a)
    0.15137
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01274
  • Expected Shortfall on VaR
    0.01612
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00541
  • Expected Shortfall on VaR
    0.01117
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1705.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99671
  • Median
    1.00127
  • Quartile 3
    1.00542
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99059
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00314
  • Mean of quarter 4
    1.01032
  • Inter Quartile Range
    0.00871
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.02757
  • Mean of outliers low
    0.97666
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.01525
  • Mean of outliers high
    1.02342
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15454
  • VaR(95%) (moments method)
    0.00859
  • Expected Shortfall (moments method)
    0.01299
  • Extreme Value Index (regression method)
    0.04076
  • VaR(95%) (regression method)
    0.00870
  • Expected Shortfall (regression method)
    0.01231
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    69.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00488
  • Median
    0.01710
  • Quartile 3
    0.04322
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00259
  • Mean of quarter 2
    0.01075
  • Mean of quarter 3
    0.02829
  • Mean of quarter 4
    0.07405
  • Inter Quartile Range
    0.03833
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    0.12534
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.05445
  • VaR(95%) (moments method)
    0.07731
  • Expected Shortfall (moments method)
    0.10091
  • Extreme Value Index (regression method)
    0.15849
  • VaR(95%) (regression method)
    0.07653
  • Expected Shortfall (regression method)
    0.10398
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42107
  • Compounded annual return (geometric extrapolation)
    0.22471
  • Calmar ratio (compounded annual return / max draw down)
    1.57540
  • Compounded annual return / average of 25% largest draw downs
    3.03448
  • Compounded annual return / Expected Shortfall lognormal
    13.94110
  • 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
    0.15043
  • SD
    0.09612
  • Sharpe ratio (Glass type estimate)
    1.56509
  • Sharpe ratio (Hedges UMVUE)
    1.55604
  • df
    130.00000
  • t
    1.10668
  • p
    0.45170
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21614
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.22221
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33429
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26298
  • Upside Potential Ratio
    10.09000
  • Upside part of mean
    0.67075
  • Downside part of mean
    -0.52031
  • Upside SD
    0.06954
  • Downside SD
    0.06648
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16600
  • Mean of criterion
    0.15043
  • SD of predictor
    0.15928
  • SD of criterion
    0.09612
  • Covariance
    0.00295
  • r
    0.19269
  • b (slope, estimate of beta)
    0.11628
  • a (intercept, estimate of alpha)
    0.13113
  • Mean Square Error
    0.00896
  • DF error
    129.00000
  • t(b)
    2.23028
  • p(b)
    0.37810
  • t(a)
    0.97728
  • p(a)
    0.44549
  • Lowerbound of 95% confidence interval for beta
    0.01313
  • Upperbound of 95% confidence interval for beta
    0.21943
  • Lowerbound of 95% confidence interval for alpha
    -0.13435
  • Upperbound of 95% confidence interval for alpha
    0.39661
  • Treynor index (mean / b)
    1.29376
  • Jensen alpha (a)
    0.13113
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14579
  • SD
    0.09614
  • Sharpe ratio (Glass type estimate)
    1.51652
  • Sharpe ratio (Hedges UMVUE)
    1.50775
  • df
    130.00000
  • t
    1.07234
  • p
    0.45318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.29155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27011
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28561
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18180
  • Upside Potential Ratio
    10.00080
  • Upside part of mean
    0.66827
  • Downside part of mean
    -0.52248
  • Upside SD
    0.06919
  • Downside SD
    0.06682
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15340
  • Mean of criterion
    0.14579
  • SD of predictor
    0.15878
  • SD of criterion
    0.09614
  • Covariance
    0.00296
  • r
    0.19377
  • b (slope, estimate of beta)
    0.11732
  • a (intercept, estimate of alpha)
    0.12779
  • Mean Square Error
    0.00896
  • DF error
    129.00000
  • t(b)
    2.24332
  • p(b)
    0.37742
  • t(a)
    0.95272
  • p(a)
    0.44685
  • Lowerbound of 95% confidence interval for beta
    0.01385
  • Upperbound of 95% confidence interval for beta
    0.22080
  • Lowerbound of 95% confidence interval for alpha
    -0.13760
  • Upperbound of 95% confidence interval for alpha
    0.39319
  • Treynor index (mean / b)
    1.24264
  • Jensen alpha (a)
    0.12779
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00917
  • Expected Shortfall on VaR
    0.01162
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00398
  • Expected Shortfall on VaR
    0.00809
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98455
  • Quartile 1
    0.99778
  • Median
    1.00102
  • Quartile 3
    1.00432
  • Maximum
    1.01967
  • Mean of quarter 1
    0.99290
  • Mean of quarter 2
    0.99966
  • Mean of quarter 3
    1.00258
  • Mean of quarter 4
    1.00763
  • Inter Quartile Range
    0.00654
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98600
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01967
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23933
  • VaR(95%) (moments method)
    0.00602
  • Expected Shortfall (moments method)
    0.00760
  • Extreme Value Index (regression method)
    -0.19451
  • VaR(95%) (regression method)
    0.00628
  • Expected Shortfall (regression method)
    0.00808
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00165
  • Quartile 1
    0.00570
  • Median
    0.01093
  • Quartile 3
    0.01866
  • Maximum
    0.04562
  • Mean of quarter 1
    0.00233
  • Mean of quarter 2
    0.00987
  • Mean of quarter 3
    0.01374
  • Mean of quarter 4
    0.03423
  • Inter Quartile Range
    0.01296
  • 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
    0.09091
  • Mean of outliers high
    0.04562
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.63138
  • VaR(95%) (moments method)
    0.03759
  • Expected Shortfall (moments method)
    0.03760
  • Extreme Value Index (regression method)
    -0.91845
  • VaR(95%) (regression method)
    0.04980
  • Expected Shortfall (regression method)
    0.05358
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18146
  • Compounded annual return (geometric extrapolation)
    0.18970
  • Calmar ratio (compounded annual return / max draw down)
    4.15833
  • Compounded annual return / average of 25% largest draw downs
    5.54192
  • Compounded annual return / Expected Shortfall lognormal
    16.31930

Strategy Description

This account represents the model portfolio of Rocky Mountain Humane Investing, Corp. an RIA based in Allenspark Colorado.

Our management style is an "All Weather" Trend Following system where we adapt our holdings to the current US monetary environment and market technicals. When monetary policy and technicals are positive we will generally be invested in 20-30 stocks. When the technicals and monetary policy are negative we will swap to Treasuries for safety. Hedges will also be employed as the situation dictates.

Time horizon for holdings is intermediate to long term. This portfolio is cash-only, no margin, options or futures utilized

Summary Statistics

Strategy began
2012-11-05
Suggested Minimum Capital
$35,000
# Trades
1038
# Profitable
470
% Profitable
45.3%
Net Dividends
Correlation S&P500
0.285
Sharpe Ratio
1.09
Sortino Ratio
1.54
Beta
0.31
Alpha
0.04
Leverage
0.98 Average
1.80 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

#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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.