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The Vegan Growth Port (77477692)

Created by: BradPappas BradPappas
Started: 11/2012
Stocks
Last trade: 17 days ago

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 $168.00 per month.

21.8%
Annual Return (Compounded)
17.6%
Max Drawdown
808
Num Trades
45.8%
Win Trades
1.8 : 1
Profit Factor
65.0%
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%+1.3%+4.6%+0.4%+11.2%(2.1%)+9.4%(0.7%)+10.8%+1.0%+62.6%
2014+4.9%+7.6%+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%)(4.1%)+2.0%+1.4%(7%)(11.3%)
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+4.7%(0.2%)+2.3%+7.2%+8.5%(6.9%)+10.2%+3.7%+2.6%+5.2%            +42.7%

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 467 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/27/17 11:27 SHOP SHOPIFY INC LONG 175 82.65 10/4 11:59 111.22 n/a $4,995
Includes Typical Broker Commissions trade costs of $3.50
8/30/17 11:45 ATVI ACTIVISION BLIZZARD LONG 200 64.63 10/4 11:59 63.05 0.19%
Trade id #113447595
Max drawdown($496)
Time9/25/17 12:21
Quant open150
Worst price61.32
Drawdown as % of equity-0.19%
($321)
Includes Typical Broker Commissions trade costs of $4.00
9/12/17 13:52 TSLA TESLA INC. LONG 29 368.57 9/28 11:27 336.96 0.36%
Trade id #113647679
Max drawdown($961)
Time9/28/17 9:59
Quant open29
Worst price335.40
Drawdown as % of equity-0.36%
($918)
Includes Typical Broker Commissions trade costs of $0.58
1/18/17 15:51 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 81 184.89 9/19 12:46 249.03 n/a $5,194
Includes Typical Broker Commissions trade costs of $1.62
9/13/17 10:45 JD JD.COM INC LONG 200 44.77 9/19 11:21 44.31 0.07%
Trade id #113661156
Max drawdown($188)
Time9/19/17 9:32
Quant open200
Worst price43.83
Drawdown as % of equity-0.07%
($96)
Includes Typical Broker Commissions trade costs of $4.00
12/28/16 13:07 AMZN AMAZON.COM LONG 20 771.55 9/18/17 14:13 980.71 n/a $4,183
Includes Typical Broker Commissions trade costs of $0.40
8/24/17 13:24 AMT AMERICAN TOWER LONG 100 144.13 9/12 12:26 144.58 0.02%
Trade id #113323039
Max drawdown($44)
Time8/24/17 13:45
Quant open100
Worst price143.69
Drawdown as % of equity-0.02%
$43
Includes Typical Broker Commissions trade costs of $2.00
8/22/17 15:22 SPGI S & P GLOBAL INC LONG 80 152.68 9/11 11:55 152.84 0.08%
Trade id #113281979
Max drawdown($216)
Time8/29/17 9:32
Quant open80
Worst price149.97
Drawdown as % of equity-0.08%
$11
Includes Typical Broker Commissions trade costs of $1.60
9/1/17 13:08 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 300 27.25 9/11 11:46 24.95 0.28%
Trade id #113496630
Max drawdown($735)
Time9/11/17 11:21
Quant open300
Worst price24.80
Drawdown as % of equity-0.28%
($696)
Includes Typical Broker Commissions trade costs of $6.00
8/16/17 10:31 PLUS EPLUS LONG 115 82.25 9/8 11:41 78.75 0.16%
Trade id #113173947
Max drawdown($414)
Time9/8/17 9:55
Quant open115
Worst price78.65
Drawdown as % of equity-0.16%
($405)
Includes Typical Broker Commissions trade costs of $2.30
8/22/17 12:08 PGR PROGRESSIVE LONG 290 48.74 9/1 13:47 46.24 0.28%
Trade id #113279107
Max drawdown($736)
Time8/31/17 16:47
Quant open290
Worst price46.20
Drawdown as % of equity-0.28%
($731)
Includes Typical Broker Commissions trade costs of $5.80
7/3/17 9:50 RE EVEREST RE GROUP LONG 61 261.92 8/22 12:07 262.66 0.11%
Trade id #112384009
Max drawdown($295)
Time7/27/17 11:20
Quant open61
Worst price257.08
Drawdown as % of equity-0.11%
$44
Includes Typical Broker Commissions trade costs of $1.22
7/20/17 11:59 MOMO MOMO INC. AMERICAN DEPOSITARY LONG 425 43.58 8/22 10:50 37.03 1.1%
Trade id #112703299
Max drawdown($2,835)
Time8/22/17 9:58
Quant open425
Worst price36.91
Drawdown as % of equity-1.10%
($2,793)
Includes Typical Broker Commissions trade costs of $8.50
3/27/17 15:22 SQ SQUARE INC LONG 450 17.14 8/21 11:28 24.45 n/a $3,281
Includes Typical Broker Commissions trade costs of $9.00
7/19/17 11:02 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 200 52.86 8/10 12:40 50.26 0.2%
Trade id #112682433
Max drawdown($520)
Time8/10/17 12:40
Quant open0
Worst price50.26
Drawdown as % of equity-0.20%
($524)
Includes Typical Broker Commissions trade costs of $4.00
4/7/17 12:12 PCLN THE PRICELINE GROUP INC. COMMO LONG 7 1769.26 8/10 11:09 1877.51 n/a $758
Includes Typical Broker Commissions trade costs of $0.14
7/10/17 13:32 ZIV VELOCITYSHARES DAILY INVERSE V LONG 223 69.83 8/10 11:08 70.81 0.08%
Trade id #112500457
Max drawdown($203)
Time7/11/17 11:27
Quant open223
Worst price68.92
Drawdown as % of equity-0.08%
$215
Includes Typical Broker Commissions trade costs of $4.46
6/30/17 13:05 TVTY TIVITY HEALTH INC LONG 240 40.00 8/10 11:08 37.55 0.27%
Trade id #112307467
Max drawdown($684)
Time8/2/17 12:31
Quant open240
Worst price37.15
Drawdown as % of equity-0.27%
($593)
Includes Typical Broker Commissions trade costs of $4.80
8/8/17 11:46 NOVT NOVANTA INC. COMMON STOCK LONG 330 39.35 8/10 11:08 37.20 0.3%
Trade id #113039149
Max drawdown($775)
Time8/10/17 11:04
Quant open330
Worst price37.00
Drawdown as % of equity-0.30%
($717)
Includes Typical Broker Commissions trade costs of $6.60
6/28/17 11:22 MDC M.D.C. HOLDINGS LONG 300 36.75 8/8 11:46 34.30 0.49%
Trade id #112262470
Max drawdown($1,257)
Time8/1/17 9:31
Quant open300
Worst price32.56
Drawdown as % of equity-0.49%
($741)
Includes Typical Broker Commissions trade costs of $6.00
11/22/16 10:59 WDC WESTERN DIGITAL LONG 260 61.16 8/4/17 14:07 80.68 0.04%
Trade id #107400067
Max drawdown($78)
Time11/23/16 13:12
Quant open200
Worst price60.30
Drawdown as % of equity-0.04%
$5,071
Includes Typical Broker Commissions trade costs of $5.20
2/14/17 13:16 MU MICRON TECHNOLOGY LONG 700 23.19 7/31 14:06 28.20 n/a $3,504
Includes Typical Broker Commissions trade costs of $6.00
7/7/17 12:45 HRC HILL-ROM HOLDINGS LONG 155 81.67 7/28 10:55 73.81 0.58%
Trade id #112472530
Max drawdown($1,498)
Time7/28/17 9:37
Quant open155
Worst price72.00
Drawdown as % of equity-0.58%
($1,221)
Includes Typical Broker Commissions trade costs of $3.10
3/31/17 14:11 SGMS SCIENTIFIC GAMES LONG 300 23.70 7/25 13:25 38.20 n/a $4,344
Includes Typical Broker Commissions trade costs of $6.00
7/7/17 11:45 WD WALKER & DUNLOP LONG 153 52.76 7/20 11:59 49.65 0.28%
Trade id #112470580
Max drawdown($706)
Time7/17/17 15:43
Quant open153
Worst price48.14
Drawdown as % of equity-0.28%
($479)
Includes Typical Broker Commissions trade costs of $3.06
6/22/17 11:35 AAOI APPLIED OPTOELECTRONICS INC. LONG 238 63.15 7/18 12:33 90.39 0.72%
Trade id #112173083
Max drawdown($1,722)
Time6/28/17 5:54
Quant open238
Worst price55.91
Drawdown as % of equity-0.72%
$6,478
Includes Typical Broker Commissions trade costs of $4.76
6/2/17 13:26 TLT ISHARES 20+ YEAR TREASURY BOND LONG 240 125.65 7/6 10:30 123.21 0.27%
Trade id #111896194
Max drawdown($620)
Time7/6/17 10:29
Quant open240
Worst price123.07
Drawdown as % of equity-0.27%
($591)
Includes Typical Broker Commissions trade costs of $4.80
6/20/17 10:46 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 900 22.28 7/6 10:30 20.08 0.86%
Trade id #112135888
Max drawdown($2,005)
Time7/6/17 10:29
Quant open900
Worst price20.05
Drawdown as % of equity-0.86%
($1,991)
Includes Typical Broker Commissions trade costs of $11.50
1/9/17 11:34 NFLX NETFLIX LONG 120 131.51 7/3 11:57 147.39 n/a $1,904
Includes Typical Broker Commissions trade costs of $2.40
6/14/17 10:37 ZROZ PIMCO 25+ YR ZERO CPN U.S. TRS LONG 140 118.32 6/30 13:04 117.33 0.08%
Trade id #112052923
Max drawdown($180)
Time6/30/17 10:03
Quant open140
Worst price117.03
Drawdown as % of equity-0.08%
($142)
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    11/5/2012
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1810.47
  • Age
    60 months ago
  • What it trades
    Stocks
  • # Trades
    808
  • # Profitable
    370
  • % Profitable
    45.80%
  • Avg trade duration
    45.6 days
  • Max peak-to-valley drawdown
    17.63%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    21.8%
  • Avg win
    $1,110
  • Avg loss
    $558.13
  • Model Account Values (Raw)
  • Cash
    $113,180
  • Margin Used
    $0
  • Buying Power
    $160,983
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    1.42
  • Sortino Ratio
    2.056
  • Calmar Ratio
    1.668
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27300
  • Return Statistics
  • Ann Return (w trading costs)
    21.8%
  • Ann Return (Compnd, No Fees)
    23.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.00%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    879
  • C2 Score
    86.5
  • 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
    $558
  • Avg Win
    $1,110
  • # Winners
    370
  • # Losers
    438
  • % Winners
    45.8%
  • Frequency
  • Avg Position Time (mins)
    65670.70
  • Avg Position Time (hrs)
    1094.51
  • Avg Trade Length
    45.6 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19782
  • SD
    0.18062
  • Sharpe ratio (Glass type estimate)
    1.09525
  • Sharpe ratio (Hedges UMVUE)
    1.08077
  • df
    57.00000
  • t
    2.40788
  • p
    0.00965
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00448
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99409
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14185
  • Upside Potential Ratio
    3.66406
  • Upside part of mean
    0.33841
  • Downside part of mean
    -0.14059
  • Upside SD
    0.16368
  • Downside SD
    0.09236
  • N nonnegative terms
    38.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.09851
  • Mean of criterion
    0.19782
  • SD of predictor
    0.10575
  • SD of criterion
    0.18062
  • Covariance
    0.00726
  • r
    0.37999
  • b (slope, estimate of beta)
    0.64900
  • a (intercept, estimate of alpha)
    0.13389
  • Mean Square Error
    0.02841
  • DF error
    56.00000
  • t(b)
    3.07419
  • p(b)
    0.00163
  • t(a)
    1.68541
  • p(a)
    0.04874
  • Lowerbound of 95% confidence interval for beta
    0.22609
  • Upperbound of 95% confidence interval for beta
    1.07191
  • Lowerbound of 95% confidence interval for alpha
    -0.02525
  • Upperbound of 95% confidence interval for alpha
    0.29302
  • Treynor index (mean / b)
    0.30481
  • Jensen alpha (a)
    0.13389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18041
  • SD
    0.17647
  • Sharpe ratio (Glass type estimate)
    1.02233
  • Sharpe ratio (Hedges UMVUE)
    1.00882
  • df
    57.00000
  • t
    2.24758
  • p
    0.01424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91936
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88374
  • Upside Potential Ratio
    3.39492
  • Upside part of mean
    0.32515
  • Downside part of mean
    -0.14473
  • Upside SD
    0.15539
  • Downside SD
    0.09577
  • N nonnegative terms
    38.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.09236
  • Mean of criterion
    0.18041
  • SD of predictor
    0.10667
  • SD of criterion
    0.17647
  • Covariance
    0.00683
  • r
    0.36272
  • b (slope, estimate of beta)
    0.60008
  • a (intercept, estimate of alpha)
    0.12499
  • Mean Square Error
    0.02753
  • DF error
    56.00000
  • t(b)
    2.91274
  • p(b)
    0.00257
  • t(a)
    1.60592
  • p(a)
    0.05696
  • Lowerbound of 95% confidence interval for beta
    0.18737
  • Upperbound of 95% confidence interval for beta
    1.01278
  • Lowerbound of 95% confidence interval for alpha
    -0.03092
  • Upperbound of 95% confidence interval for alpha
    0.28090
  • Treynor index (mean / b)
    0.30065
  • Jensen alpha (a)
    0.12499
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06645
  • Expected Shortfall on VaR
    0.08595
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02070
  • Expected Shortfall on VaR
    0.04512
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    58.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99125
  • Median
    1.01257
  • Quartile 3
    1.04804
  • Maximum
    1.17909
  • Mean of quarter 1
    0.95835
  • Mean of quarter 2
    1.00377
  • Mean of quarter 3
    1.02800
  • Mean of quarter 4
    1.08475
  • Inter Quartile Range
    0.05679
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01724
  • Mean of outliers low
    0.89617
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01724
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26602
  • VaR(95%) (moments method)
    0.03356
  • Expected Shortfall (moments method)
    0.05896
  • Extreme Value Index (regression method)
    -0.27256
  • VaR(95%) (regression method)
    0.04572
  • Expected Shortfall (regression method)
    0.05959
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01413
  • Quartile 1
    0.01696
  • Median
    0.06355
  • Quartile 3
    0.08691
  • Maximum
    0.12760
  • Mean of quarter 1
    0.01513
  • Mean of quarter 2
    0.03433
  • Mean of quarter 3
    0.07848
  • Mean of quarter 4
    0.11572
  • Inter Quartile Range
    0.06994
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35939
  • Compounded annual return (geometric extrapolation)
    0.23161
  • Calmar ratio (compounded annual return / max draw down)
    1.81506
  • Compounded annual return / average of 25% largest draw downs
    2.00151
  • Compounded annual return / Expected Shortfall lognormal
    2.69470
  • 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
    0.19506
  • SD
    0.13728
  • Sharpe ratio (Glass type estimate)
    1.42091
  • Sharpe ratio (Hedges UMVUE)
    1.42008
  • df
    1278.00000
  • t
    3.13944
  • p
    0.45626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30887
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05563
  • Upside Potential Ratio
    9.65327
  • Upside part of mean
    0.91602
  • Downside part of mean
    -0.72096
  • Upside SD
    0.09986
  • Downside SD
    0.09489
  • N nonnegative terms
    736.00000
  • N negative terms
    543.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1279.00000
  • Mean of predictor
    0.10185
  • Mean of criterion
    0.19506
  • SD of predictor
    0.12157
  • SD of criterion
    0.13728
  • Covariance
    0.00449
  • r
    0.26899
  • b (slope, estimate of beta)
    0.30376
  • a (intercept, estimate of alpha)
    0.16400
  • Mean Square Error
    0.01750
  • DF error
    1277.00000
  • t(b)
    9.98040
  • p(b)
    0.33084
  • t(a)
    2.73785
  • p(a)
    0.45142
  • Lowerbound of 95% confidence interval for beta
    0.24405
  • Upperbound of 95% confidence interval for beta
    0.36347
  • Lowerbound of 95% confidence interval for alpha
    0.04652
  • Upperbound of 95% confidence interval for alpha
    0.28173
  • Treynor index (mean / b)
    0.64216
  • Jensen alpha (a)
    0.16413
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18555
  • SD
    0.13740
  • Sharpe ratio (Glass type estimate)
    1.35045
  • Sharpe ratio (Hedges UMVUE)
    1.34965
  • df
    1278.00000
  • t
    2.98375
  • p
    0.45841
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23828
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93689
  • Upside Potential Ratio
    9.50952
  • Upside part of mean
    0.91099
  • Downside part of mean
    -0.72544
  • Upside SD
    0.09909
  • Downside SD
    0.09580
  • N nonnegative terms
    736.00000
  • N negative terms
    543.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1279.00000
  • Mean of predictor
    0.09443
  • Mean of criterion
    0.18555
  • SD of predictor
    0.12168
  • SD of criterion
    0.13740
  • Covariance
    0.00450
  • r
    0.26922
  • b (slope, estimate of beta)
    0.30399
  • a (intercept, estimate of alpha)
    0.15685
  • Mean Square Error
    0.01752
  • DF error
    1277.00000
  • t(b)
    9.98953
  • p(b)
    0.33070
  • t(a)
    2.61480
  • p(a)
    0.45358
  • Lowerbound of 95% confidence interval for beta
    0.24429
  • Upperbound of 95% confidence interval for beta
    0.36369
  • Lowerbound of 95% confidence interval for alpha
    0.03917
  • Upperbound of 95% confidence interval for alpha
    0.27452
  • Treynor index (mean / b)
    0.61038
  • Jensen alpha (a)
    0.15685
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01317
  • Expected Shortfall on VaR
    0.01666
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00568
  • Expected Shortfall on VaR
    0.01160
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1279.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99642
  • Median
    1.00130
  • Quartile 3
    1.00563
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99035
  • Mean of quarter 2
    0.99905
  • Mean of quarter 3
    1.00320
  • Mean of quarter 4
    1.01082
  • Inter Quartile Range
    0.00921
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.02424
  • Mean of outliers low
    0.97538
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.01720
  • Mean of outliers high
    1.02423
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13438
  • VaR(95%) (moments method)
    0.00895
  • Expected Shortfall (moments method)
    0.01324
  • Extreme Value Index (regression method)
    0.03993
  • VaR(95%) (regression method)
    0.00921
  • Expected Shortfall (regression method)
    0.01297
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00579
  • Median
    0.02005
  • Quartile 3
    0.04574
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00264
  • Mean of quarter 2
    0.01420
  • Mean of quarter 3
    0.03190
  • Mean of quarter 4
    0.07633
  • Inter Quartile Range
    0.03995
  • 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
    0.04255
  • Mean of outliers high
    0.13606
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.09578
  • VaR(95%) (moments method)
    0.08218
  • Expected Shortfall (moments method)
    0.11018
  • Extreme Value Index (regression method)
    0.27855
  • VaR(95%) (regression method)
    0.07469
  • Expected Shortfall (regression method)
    0.10551
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37589
  • Compounded annual return (geometric extrapolation)
    0.23795
  • Calmar ratio (compounded annual return / max draw down)
    1.66821
  • Compounded annual return / average of 25% largest draw downs
    3.11752
  • Compounded annual return / Expected Shortfall lognormal
    14.28620
  • 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
    0.54425
  • SD
    0.17899
  • Sharpe ratio (Glass type estimate)
    3.04061
  • Sharpe ratio (Hedges UMVUE)
    3.02304
  • df
    130.00000
  • t
    2.15004
  • p
    0.40735
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23867
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.83123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22698
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.81909
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.26915
  • Upside Potential Ratio
    10.78580
  • Upside part of mean
    1.37501
  • Downside part of mean
    -0.83076
  • Upside SD
    0.12912
  • Downside SD
    0.12748
  • N nonnegative terms
    92.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15265
  • Mean of criterion
    0.54425
  • SD of predictor
    0.06992
  • SD of criterion
    0.17899
  • Covariance
    0.00706
  • r
    0.56412
  • b (slope, estimate of beta)
    1.44405
  • a (intercept, estimate of alpha)
    0.32381
  • Mean Square Error
    0.02201
  • DF error
    129.00000
  • t(b)
    7.75970
  • p(b)
    0.16095
  • t(a)
    1.52932
  • p(a)
    0.41530
  • Lowerbound of 95% confidence interval for beta
    1.07586
  • Upperbound of 95% confidence interval for beta
    1.81225
  • Lowerbound of 95% confidence interval for alpha
    -0.09511
  • Upperbound of 95% confidence interval for alpha
    0.74273
  • Treynor index (mean / b)
    0.37689
  • Jensen alpha (a)
    0.32381
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52766
  • SD
    0.17974
  • Sharpe ratio (Glass type estimate)
    2.93577
  • Sharpe ratio (Hedges UMVUE)
    2.91880
  • df
    130.00000
  • t
    2.07590
  • p
    0.41044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.72485
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12438
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.71322
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.08226
  • Upside Potential Ratio
    10.57280
  • Upside part of mean
    1.36661
  • Downside part of mean
    -0.83895
  • Upside SD
    0.12812
  • Downside SD
    0.12926
  • N nonnegative terms
    92.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15016
  • Mean of criterion
    0.52766
  • SD of predictor
    0.07004
  • SD of criterion
    0.17974
  • Covariance
    0.00709
  • r
    0.56279
  • b (slope, estimate of beta)
    1.44416
  • a (intercept, estimate of alpha)
    0.31081
  • Mean Square Error
    0.02224
  • DF error
    129.00000
  • t(b)
    7.73297
  • p(b)
    0.16165
  • t(a)
    1.46071
  • p(a)
    0.41902
  • Lowerbound of 95% confidence interval for beta
    1.07466
  • Upperbound of 95% confidence interval for beta
    1.81366
  • Lowerbound of 95% confidence interval for alpha
    -0.11018
  • Upperbound of 95% confidence interval for alpha
    0.73179
  • Treynor index (mean / b)
    0.36538
  • Jensen alpha (a)
    0.31081
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01612
  • Expected Shortfall on VaR
    0.02067
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00494
  • Expected Shortfall on VaR
    0.01145
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99724
  • Median
    1.00279
  • Quartile 3
    1.00862
  • Maximum
    1.02521
  • Mean of quarter 1
    0.98782
  • Mean of quarter 2
    1.00120
  • Mean of quarter 3
    1.00572
  • Mean of quarter 4
    1.01411
  • Inter Quartile Range
    0.01138
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97050
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39984
  • VaR(95%) (moments method)
    0.01032
  • Expected Shortfall (moments method)
    0.02101
  • Extreme Value Index (regression method)
    0.35653
  • VaR(95%) (regression method)
    0.01152
  • Expected Shortfall (regression method)
    0.02261
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00129
  • Quartile 1
    0.00386
  • Median
    0.02211
  • Quartile 3
    0.04247
  • Maximum
    0.12948
  • Mean of quarter 1
    0.00272
  • Mean of quarter 2
    0.00934
  • Mean of quarter 3
    0.03172
  • Mean of quarter 4
    0.07365
  • Inter Quartile Range
    0.03861
  • 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
    0.10000
  • Mean of outliers high
    0.12948
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51451
  • VaR(95%) (moments method)
    0.09398
  • Expected Shortfall (moments method)
    0.19447
  • Extreme Value Index (regression method)
    7.54171
  • VaR(95%) (regression method)
    1.05260
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64040
  • Compounded annual return (geometric extrapolation)
    0.74293
  • Calmar ratio (compounded annual return / max draw down)
    5.73772
  • Compounded annual return / average of 25% largest draw downs
    10.08710
  • Compounded annual return / Expected Shortfall lognormal
    35.95020

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.

Time horizon for holdings is intermediate to long term.

Summary Statistics

Strategy began
2012-11-05
Minimum Capital Required
$5,000
# Trades
808
# Profitable
370
% Profitable
45.8%
Net Dividends
Correlation S&P500
0.273
Sharpe Ratio
1.420

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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