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The Vegan Growth Port (77477692)

Created by: BradPappas BradPappas
Started: 11/2012
Stocks
Last trade: 5 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 $100.00 per month.

20.0%
Annual Return (Compounded)
17.0%
Max Drawdown
770
Num Trades
46.0%
Win Trades
1.7 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      (7.9%)(0.3%)(8.4%)
2013+6.8%+4.1%+4.1%+1.3%+4.7%+0.5%+11.2%(2%)+9.4%(0.6%)+10.8%+1.0%+63.4%
2014+4.9%+7.6%+2.0%(1.8%)(0.4%)+0.3%(4.4%)+4.5%(4.1%)+6.7%+10.6%+4.7%+33.8%
2015(1.6%)(1.3%)+2.9%(1.2%)+0.5%(1.3%)(0.7%)(0.6%)(4.1%)+2.1%+1.4%(6.9%)(10.8%)
2016+2.6%+1.8%(0.8%)+1.4%(8.9%)+3.2%+2.2%+1.1%+1.3%(6.3%)+3.1%+6.4%+6.3%
2017+4.7%(0.2%)+2.3%+7.1%+5.3%                                          +20.6%

Model Account Details

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

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System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 461 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/31/17 14:13 WNC WABASH NATIONAL LONG 420 20.57 5/18 11:33 20.89 0.31%
Trade id #110591024
Max drawdown($655)
Time4/18/17 12:17
Quant open420
Worst price19.01
Drawdown as % of equity-0.31%
$126
Includes Typical Broker Commissions trade costs of $8.40
3/8/17 11:34 AMD ADVANCED MICRO DEVICES INC. C LONG 1,250 13.47 5/2 10:05 11.95 0.85%
Trade id #110111114
Max drawdown($1,996)
Time5/2/17 9:51
Quant open750
Worst price10.81
Drawdown as % of equity-0.85%
($1,917)
Includes Typical Broker Commissions trade costs of $11.50
4/17/17 15:15 STX SEAGATE TECHNOLOGY LONG 140 48.17 4/26 14:25 42.32 0.39%
Trade id #111063086
Max drawdown($897)
Time4/26/17 10:27
Quant open140
Worst price41.76
Drawdown as % of equity-0.39%
($822)
Includes Typical Broker Commissions trade costs of $2.80
3/23/17 11:54 EQIX EQUINIX INC. COMMON STOCK REI LONG 40 391.94 4/26 13:05 407.28 0.2%
Trade id #110403108
Max drawdown($411)
Time3/27/17 10:16
Quant open40
Worst price381.65
Drawdown as % of equity-0.20%
$613
Includes Typical Broker Commissions trade costs of $0.80
3/6/17 12:46 NOK NOKIA LONG 3,000 5.27 4/11 12:24 5.28 0.16%
Trade id #110054058
Max drawdown($330)
Time3/8/17 14:33
Quant open3,000
Worst price5.16
Drawdown as % of equity-0.16%
$10
Includes Typical Broker Commissions trade costs of $10.00
11/9/16 11:22 FAS DIREXION DAILY FINANCIAL BULL LONG 500 31.02 4/11/17 12:24 42.77 n/a $5,866
Includes Typical Broker Commissions trade costs of $10.00
3/31/17 14:11 GEO GEO GROUP LONG 180 46.63 4/7 12:08 47.00 0.11%
Trade id #110590917
Max drawdown($239)
Time4/4/17 9:31
Quant open180
Worst price45.30
Drawdown as % of equity-0.11%
$63
Includes Typical Broker Commissions trade costs of $3.60
3/31/17 14:15 CC CHEMOURS CO LONG 165 38.53 4/5 15:25 37.49 0.11%
Trade id #110591076
Max drawdown($235)
Time4/3/17 11:07
Quant open165
Worst price37.10
Drawdown as % of equity-0.11%
($175)
Includes Typical Broker Commissions trade costs of $3.30
3/24/17 11:58 ANET ARISTA NETWORKS INC LONG 110 131.71 3/31 14:12 131.97 0.09%
Trade id #110423925
Max drawdown($184)
Time3/24/17 15:04
Quant open110
Worst price130.03
Drawdown as % of equity-0.09%
$27
Includes Typical Broker Commissions trade costs of $2.20
1/26/17 12:23 MS MORGAN STANLEY LONG 350 44.21 3/27 11:26 40.88 0.69%
Trade id #109057777
Max drawdown($1,452)
Time3/27/17 9:32
Quant open350
Worst price40.06
Drawdown as % of equity-0.69%
($1,173)
Includes Typical Broker Commissions trade costs of $7.00
1/30/17 12:12 MKTX MARKETAXESS HOLDINGS LONG 85 179.91 3/27 11:25 182.82 n/a $245
Includes Typical Broker Commissions trade costs of $1.70
1/11/17 13:03 LEA LEAR LONG 115 143.18 3/24 11:53 138.87 0.4%
Trade id #108539705
Max drawdown($818)
Time3/22/17 9:34
Quant open115
Worst price136.06
Drawdown as % of equity-0.40%
($498)
Includes Typical Broker Commissions trade costs of $2.30
11/11/16 12:11 WCG WELLCARE HEALTH PLANS LONG 135 127.83 3/24/17 11:53 138.04 0.19%
Trade id #107139194
Max drawdown($351)
Time11/11/16 15:59
Quant open100
Worst price120.71
Drawdown as % of equity-0.19%
$1,375
Includes Typical Broker Commissions trade costs of $2.70
11/10/16 12:09 CS CREDIT SUISSE GROUP LONG 1,200 13.93 3/23/17 11:23 14.54 0.36%
Trade id #107096005
Max drawdown($701)
Time11/28/16 15:52
Quant open900
Worst price13.06
Drawdown as % of equity-0.36%
$727
Includes Typical Broker Commissions trade costs of $8.00
2/21/17 10:12 CSIQ CANADIAN SOLAR LONG 1,100 14.97 3/21 11:03 12.11 1.48%
Trade id #109708216
Max drawdown($3,146)
Time3/21/17 11:03
Quant open1,100
Worst price12.11
Drawdown as % of equity-1.48%
($3,151)
Includes Typical Broker Commissions trade costs of $5.00
2/15/17 11:43 RBS ROYAL BANK OF SCOTLAND LONG 2,500 6.18 3/15 11:30 5.83 0.63%
Trade id #109564685
Max drawdown($1,350)
Time3/14/17 8:45
Quant open2,500
Worst price5.64
Drawdown as % of equity-0.63%
($880)
Includes Typical Broker Commissions trade costs of $5.00
2/21/17 13:01 VSLR VIVINT SOLAR INC LONG 5,000 3.37 3/8 11:33 2.95 1.1%
Trade id #109714881
Max drawdown($2,330)
Time3/8/17 11:23
Quant open5,000
Worst price2.90
Drawdown as % of equity-1.10%
($2,088)
Includes Typical Broker Commissions trade costs of $7.50
1/26/17 12:25 IBTX INDEPENDENT BANK GROUP INC CO LONG 250 63.40 3/6 12:46 62.25 0.21%
Trade id #109057809
Max drawdown($450)
Time3/2/17 9:31
Quant open250
Worst price61.60
Drawdown as % of equity-0.21%
($293)
Includes Typical Broker Commissions trade costs of $5.00
1/24/17 10:45 BEL BELMOND LTD LONG 1,000 13.75 2/28 11:33 13.00 0.37%
Trade id #108979274
Max drawdown($800)
Time2/28/17 9:31
Quant open1,000
Worst price12.95
Drawdown as % of equity-0.37%
($755)
Includes Typical Broker Commissions trade costs of $5.00
1/26/17 13:51 CLNS COLONY NORTHSTAR INC LONG 1,100 14.12 2/23 11:40 13.93 0.32%
Trade id #109060094
Max drawdown($682)
Time2/17/17 8:41
Quant open1,100
Worst price13.50
Drawdown as % of equity-0.32%
($214)
Includes Typical Broker Commissions trade costs of $5.00
11/28/16 12:34 EQIX EQUINIX INC. COMMON STOCK REI LONG 45 342.57 2/21/17 10:13 371.66 0.07%
Trade id #107546314
Max drawdown($132)
Time11/29/16 9:31
Quant open35
Worst price338.06
Drawdown as % of equity-0.07%
$1,308
Includes Typical Broker Commissions trade costs of $0.90
1/18/17 15:53 MPWR MONOLITHIC POWER SYSTEMS LONG 355 86.16 2/14 13:15 85.12 0.69%
Trade id #108733264
Max drawdown($1,475)
Time2/9/17 16:41
Quant open355
Worst price82.00
Drawdown as % of equity-0.69%
($375)
Includes Typical Broker Commissions trade costs of $7.10
11/11/16 10:18 AGX ARGAN LONG 200 58.95 2/13/17 14:50 70.60 n/a $2,326
Includes Typical Broker Commissions trade costs of $4.00
1/18/17 12:26 FSAM FIFTH STREET ASSET MANAGEMENT LONG 2,000 7.05 2/10 11:57 5.65 1.32%
Trade id #108726520
Max drawdown($2,800)
Time2/10/17 11:53
Quant open2,000
Worst price5.65
Drawdown as % of equity-1.32%
($2,805)
Includes Typical Broker Commissions trade costs of $5.00
11/22/16 11:32 HA HAWAIIAN HOLDINGS LONG 210 52.25 2/2/17 11:09 51.25 0.21%
Trade id #107401334
Max drawdown($451)
Time2/2/17 9:05
Quant open210
Worst price50.10
Drawdown as % of equity-0.21%
($214)
Includes Typical Broker Commissions trade costs of $4.20
12/29/16 12:40 DLR DIGITAL REALTY TRUST LONG 150 98.41 1/26/17 12:25 107.82 0.07%
Trade id #108249865
Max drawdown($151)
Time12/30/16 9:36
Quant open150
Worst price97.40
Drawdown as % of equity-0.07%
$1,409
Includes Typical Broker Commissions trade costs of $3.00
1/19/17 12:33 AMAT APPLIED MATERIALS LONG 500 33.98 1/26 12:24 33.92 0.1%
Trade id #108801528
Max drawdown($210)
Time1/23/17 10:34
Quant open500
Worst price33.56
Drawdown as % of equity-0.10%
($40)
Includes Typical Broker Commissions trade costs of $10.00
11/11/16 12:10 SAVE SPIRIT AIRLINES LONG 210 51.42 1/26/17 12:18 56.55 n/a $1,073
Includes Typical Broker Commissions trade costs of $4.20
1/5/17 12:28 STLD STEEL DYNAMICS LONG 405 37.83 1/25 11:13 34.01 0.72%
Trade id #108383117
Max drawdown($1,555)
Time1/25/17 11:12
Quant open405
Worst price33.99
Drawdown as % of equity-0.72%
($1,555)
Includes Typical Broker Commissions trade costs of $8.10
12/5/16 10:05 RAIL FREIGHTCAR AMERICA LONG 900 15.44 1/24/17 10:43 14.64 0.45%
Trade id #107731863
Max drawdown($922)
Time1/18/17 13:54
Quant open900
Worst price14.42
Drawdown as % of equity-0.45%
($730)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    11/5/2012
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    1659.4
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    770
  • # Profitable
    354
  • % Profitable
    46.00%
  • Avg trade duration
    43.3 days
  • Max peak-to-valley drawdown
    16.98%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    20.0%
  • Avg win
    $996.49
  • Avg loss
    $551.52
  • Model Account Values (Raw)
  • Cash
    $26,780
  • Margin Used
    $0
  • Buying Power
    $85,209
  • Ratios
  • W:L ratio
    1.68:1
  • Sharpe Ratio
    1.335
  • Sortino Ratio
    1.953
  • Calmar Ratio
    1.525
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.26300
  • Return Statistics
  • Ann Return (w trading costs)
    20.0%
  • Ann Return (Compnd, No Fees)
    21.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.00%
  • Chance of 20% account loss
    9.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    322
  • Popularity (Last 6 weeks)
    793
  • C2 Score
    80.8
  • 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
    $552
  • Avg Win
    $1,004
  • # Winners
    354
  • # Losers
    416
  • % Winners
    46.0%
  • Frequency
  • Avg Position Time (mins)
    62343.90
  • Avg Position Time (hrs)
    1039.06
  • Avg Trade Length
    43.3 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17862
  • SD
    0.16764
  • Sharpe ratio (Glass type estimate)
    1.06547
  • Sharpe ratio (Hedges UMVUE)
    1.05003
  • df
    52.00000
  • t
    2.23919
  • p
    0.01472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09584
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00423
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16876
  • Upside Potential Ratio
    3.74496
  • Upside part of mean
    0.30844
  • Downside part of mean
    -0.12982
  • Upside SD
    0.15313
  • Downside SD
    0.08236
  • N nonnegative terms
    34.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.09681
  • Mean of criterion
    0.17862
  • SD of predictor
    0.11006
  • SD of criterion
    0.16764
  • Covariance
    0.00713
  • r
    0.38657
  • b (slope, estimate of beta)
    0.58881
  • a (intercept, estimate of alpha)
    0.12162
  • Mean Square Error
    0.02437
  • DF error
    51.00000
  • t(b)
    2.99335
  • p(b)
    0.00212
  • t(a)
    1.58583
  • p(a)
    0.05948
  • Lowerbound of 95% confidence interval for beta
    0.19391
  • Upperbound of 95% confidence interval for beta
    0.98371
  • Lowerbound of 95% confidence interval for alpha
    -0.03234
  • Upperbound of 95% confidence interval for alpha
    0.27558
  • Treynor index (mean / b)
    0.30336
  • Jensen alpha (a)
    0.12162
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16376
  • SD
    0.16317
  • Sharpe ratio (Glass type estimate)
    1.00362
  • Sharpe ratio (Hedges UMVUE)
    0.98908
  • df
    52.00000
  • t
    2.10920
  • p
    0.01988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95128
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94086
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92982
  • Upside Potential Ratio
    3.49766
  • Upside part of mean
    0.29679
  • Downside part of mean
    -0.13304
  • Upside SD
    0.14545
  • Downside SD
    0.08486
  • N nonnegative terms
    34.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.09023
  • Mean of criterion
    0.16376
  • SD of predictor
    0.11104
  • SD of criterion
    0.16317
  • Covariance
    0.00666
  • r
    0.36778
  • b (slope, estimate of beta)
    0.54044
  • a (intercept, estimate of alpha)
    0.11499
  • Mean Square Error
    0.02347
  • DF error
    51.00000
  • t(b)
    2.82440
  • p(b)
    0.00337
  • t(a)
    1.53487
  • p(a)
    0.06550
  • Lowerbound of 95% confidence interval for beta
    0.15629
  • Upperbound of 95% confidence interval for beta
    0.92458
  • Lowerbound of 95% confidence interval for alpha
    -0.03541
  • Upperbound of 95% confidence interval for alpha
    0.26540
  • Treynor index (mean / b)
    0.30301
  • Jensen alpha (a)
    0.11499
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06183
  • Expected Shortfall on VaR
    0.07998
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01976
  • Expected Shortfall on VaR
    0.04216
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.92431
  • Quartile 1
    0.99042
  • Median
    1.01126
  • Quartile 3
    1.04607
  • Maximum
    1.17909
  • Mean of quarter 1
    0.96279
  • Mean of quarter 2
    1.00316
  • Mean of quarter 3
    1.02650
  • Mean of quarter 4
    1.08058
  • Inter Quartile Range
    0.05565
  • 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
    0.01887
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21312
  • VaR(95%) (moments method)
    0.03126
  • Expected Shortfall (moments method)
    0.05168
  • Extreme Value Index (regression method)
    -0.73340
  • VaR(95%) (regression method)
    0.04143
  • Expected Shortfall (regression method)
    0.04718
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01413
  • Quartile 1
    0.01669
  • Median
    0.05142
  • Quartile 3
    0.07848
  • Maximum
    0.12760
  • Mean of quarter 1
    0.01513
  • Mean of quarter 2
    0.03433
  • Mean of quarter 3
    0.07569
  • Mean of quarter 4
    0.10443
  • Inter Quartile Range
    0.06179
  • 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)
    0.30147
  • Compounded annual return (geometric extrapolation)
    0.21126
  • Calmar ratio (compounded annual return / max draw down)
    1.65561
  • Compounded annual return / average of 25% largest draw downs
    2.02293
  • Compounded annual return / Expected Shortfall lognormal
    2.64146
  • 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
    0.17790
  • SD
    0.13319
  • Sharpe ratio (Glass type estimate)
    1.33565
  • Sharpe ratio (Hedges UMVUE)
    1.33480
  • df
    1169.00000
  • t
    2.82252
  • p
    0.44768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40632
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26445
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40574
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26386
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95321
  • Upside Potential Ratio
    9.72018
  • Upside part of mean
    0.88532
  • Downside part of mean
    -0.70742
  • Upside SD
    0.09773
  • Downside SD
    0.09108
  • N nonnegative terms
    662.00000
  • N negative terms
    508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1170.00000
  • Mean of predictor
    0.09739
  • Mean of criterion
    0.17790
  • SD of predictor
    0.12551
  • SD of criterion
    0.13319
  • Covariance
    0.00435
  • r
    0.26024
  • b (slope, estimate of beta)
    0.27616
  • a (intercept, estimate of alpha)
    0.15100
  • Mean Square Error
    0.01655
  • DF error
    1168.00000
  • t(b)
    9.21119
  • p(b)
    0.36988
  • t(a)
    2.47736
  • p(a)
    0.46385
  • Lowerbound of 95% confidence interval for beta
    0.21734
  • Upperbound of 95% confidence interval for beta
    0.33499
  • Lowerbound of 95% confidence interval for alpha
    0.03141
  • Upperbound of 95% confidence interval for alpha
    0.27059
  • Treynor index (mean / b)
    0.64418
  • Jensen alpha (a)
    0.15100
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16896
  • SD
    0.13323
  • Sharpe ratio (Glass type estimate)
    1.26822
  • Sharpe ratio (Hedges UMVUE)
    1.26741
  • df
    1169.00000
  • t
    2.68002
  • p
    0.45030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33907
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19686
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33851
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19631
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83905
  • Upside Potential Ratio
    9.58387
  • Upside part of mean
    0.88050
  • Downside part of mean
    -0.71154
  • Upside SD
    0.09696
  • Downside SD
    0.09187
  • N nonnegative terms
    662.00000
  • N negative terms
    508.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1170.00000
  • Mean of predictor
    0.08949
  • Mean of criterion
    0.16896
  • SD of predictor
    0.12563
  • SD of criterion
    0.13323
  • Covariance
    0.00436
  • r
    0.26063
  • b (slope, estimate of beta)
    0.27639
  • a (intercept, estimate of alpha)
    0.14423
  • Mean Square Error
    0.01656
  • DF error
    1168.00000
  • t(b)
    9.22607
  • p(b)
    0.36969
  • t(a)
    2.36629
  • p(a)
    0.46546
  • Lowerbound of 95% confidence interval for beta
    0.21761
  • Upperbound of 95% confidence interval for beta
    0.33516
  • Lowerbound of 95% confidence interval for alpha
    0.02464
  • Upperbound of 95% confidence interval for alpha
    0.26381
  • Treynor index (mean / b)
    0.61131
  • Jensen alpha (a)
    0.14423
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01281
  • Expected Shortfall on VaR
    0.01620
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00567
  • Expected Shortfall on VaR
    0.01143
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1170.00000
  • Minimum
    0.96037
  • Quartile 1
    0.99637
  • Median
    1.00106
  • Quartile 3
    1.00541
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99063
  • Mean of quarter 2
    0.99893
  • Mean of quarter 3
    1.00304
  • Mean of quarter 4
    1.01055
  • Inter Quartile Range
    0.00904
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.02308
  • Mean of outliers low
    0.97653
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.01624
  • Mean of outliers high
    1.02443
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11223
  • VaR(95%) (moments method)
    0.00877
  • Expected Shortfall (moments method)
    0.01271
  • Extreme Value Index (regression method)
    0.00046
  • VaR(95%) (regression method)
    0.00898
  • Expected Shortfall (regression method)
    0.01231
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00624
  • Median
    0.01997
  • Quartile 3
    0.04724
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00269
  • Mean of quarter 2
    0.01366
  • Mean of quarter 3
    0.03077
  • Mean of quarter 4
    0.07406
  • Inter Quartile Range
    0.04100
  • 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
    0.02500
  • Mean of outliers high
    0.14264
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.30276
  • VaR(95%) (moments method)
    0.08467
  • Expected Shortfall (moments method)
    0.12415
  • Extreme Value Index (regression method)
    0.84603
  • VaR(95%) (regression method)
    0.07262
  • Expected Shortfall (regression method)
    0.23040
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31548
  • Compounded annual return (geometric extrapolation)
    0.21758
  • Calmar ratio (compounded annual return / max draw down)
    1.52541
  • Compounded annual return / average of 25% largest draw downs
    2.93795
  • Compounded annual return / Expected Shortfall lognormal
    13.43480
  • 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
    0.43101
  • SD
    0.17019
  • Sharpe ratio (Glass type estimate)
    2.53254
  • Sharpe ratio (Hedges UMVUE)
    2.51790
  • df
    130.00000
  • t
    1.79078
  • p
    0.42242
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.31666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.30655
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.13606
  • Upside Potential Ratio
    12.16630
  • Upside part of mean
    1.26783
  • Downside part of mean
    -0.83682
  • Upside SD
    0.13636
  • Downside SD
    0.10421
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16028
  • Mean of criterion
    0.43101
  • SD of predictor
    0.07192
  • SD of criterion
    0.17019
  • Covariance
    0.00790
  • r
    0.64545
  • b (slope, estimate of beta)
    1.52736
  • a (intercept, estimate of alpha)
    0.18621
  • Mean Square Error
    0.01703
  • DF error
    129.00000
  • t(b)
    9.59786
  • p(b)
    0.11975
  • t(a)
    0.99949
  • p(a)
    0.44427
  • Lowerbound of 95% confidence interval for beta
    1.21251
  • Upperbound of 95% confidence interval for beta
    1.84221
  • Lowerbound of 95% confidence interval for alpha
    -0.18239
  • Upperbound of 95% confidence interval for alpha
    0.55480
  • Treynor index (mean / b)
    0.28219
  • Jensen alpha (a)
    0.18621
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41630
  • SD
    0.16980
  • Sharpe ratio (Glass type estimate)
    2.45166
  • Sharpe ratio (Hedges UMVUE)
    2.43748
  • df
    130.00000
  • t
    1.73358
  • p
    0.42484
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34074
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.23483
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35011
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.22508
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95816
  • Upside Potential Ratio
    11.96600
  • Upside part of mean
    1.25852
  • Downside part of mean
    -0.84223
  • Upside SD
    0.13495
  • Downside SD
    0.10518
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15765
  • Mean of criterion
    0.41630
  • SD of predictor
    0.07191
  • SD of criterion
    0.16980
  • Covariance
    0.00788
  • r
    0.64507
  • b (slope, estimate of beta)
    1.52321
  • a (intercept, estimate of alpha)
    0.17617
  • Mean Square Error
    0.01697
  • DF error
    129.00000
  • t(b)
    9.58831
  • p(b)
    0.11993
  • t(a)
    0.94765
  • p(a)
    0.44713
  • Lowerbound of 95% confidence interval for beta
    1.20890
  • Upperbound of 95% confidence interval for beta
    1.83752
  • Lowerbound of 95% confidence interval for alpha
    -0.19164
  • Upperbound of 95% confidence interval for alpha
    0.54397
  • Treynor index (mean / b)
    0.27330
  • Jensen alpha (a)
    0.17617
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01554
  • Expected Shortfall on VaR
    0.01984
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00682
  • Expected Shortfall on VaR
    0.01348
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96998
  • Quartile 1
    0.99552
  • Median
    1.00217
  • Quartile 3
    1.00790
  • Maximum
    1.04143
  • Mean of quarter 1
    0.98918
  • Mean of quarter 2
    0.99864
  • Mean of quarter 3
    1.00441
  • Mean of quarter 4
    1.01486
  • Inter Quartile Range
    0.01238
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97067
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04143
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03730
  • VaR(95%) (moments method)
    0.01015
  • Expected Shortfall (moments method)
    0.01395
  • Extreme Value Index (regression method)
    -0.02363
  • VaR(95%) (regression method)
    0.01162
  • Expected Shortfall (regression method)
    0.01585
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00334
  • Quartile 1
    0.01715
  • Median
    0.02670
  • Quartile 3
    0.04214
  • Maximum
    0.05634
  • Mean of quarter 1
    0.00790
  • Mean of quarter 2
    0.02403
  • Mean of quarter 3
    0.02926
  • Mean of quarter 4
    0.05062
  • Inter Quartile Range
    0.02499
  • 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)
    -1.93810
  • VaR(95%) (moments method)
    0.05512
  • Expected Shortfall (moments method)
    0.05556
  • Extreme Value Index (regression method)
    -0.19800
  • VaR(95%) (regression method)
    0.05779
  • Expected Shortfall (regression method)
    0.06273
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49740
  • Compounded annual return (geometric extrapolation)
    0.55925
  • Calmar ratio (compounded annual return / max draw down)
    9.92655
  • Compounded annual return / average of 25% largest draw downs
    11.04800
  • Compounded annual return / Expected Shortfall lognormal
    28.18410

Strategy Description

The Vegan Growth Portfolio is not for Vegans only :) Its our example of what can be accomplished with using a time tested strategy that utilizes proper risk control, position sizing and factor analysis.

It is not our intent to ride out a bear market and sustain 30% or more declines, we are not financial masochists. We pay very close attention to monetary policy, employment trends, long lead indicators plus the 200 day moving averages of major indices to determine when to reduce exposure.

If you have more questions please refer to us at Greeninvestment.com

Thanks,
Brad Pappas
[email protected]




Summary Statistics

Strategy began
2012-11-05
Minimum Capital Required
$25,000
# Trades
770
# Profitable
354
% Profitable
46.0%
Net Dividends
Correlation S&P500
0.263
Sharpe Ratio
1.335

Latest Subscribers

#PERSONNAME#
subscribed on #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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