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: 7 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. You can subscribe to this system for free.

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).
14.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(31.6%)
Max Drawdown
1377
Num Trades
41.8%
Win Trades
1.4 : 1
Profit Factor
63.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      (8%)(0.3%)(8.2%)
2013+6.8%+4.1%+4.2%+1.4%+4.7%+0.5%+11.2%(2%)+9.4%(0.6%)+10.8%+1.1%+64.3%
2014+4.9%+7.5%+2.1%(1.8%)(0.3%)+0.4%(4.3%)+4.5%(4.1%)+6.7%+10.5%+4.7%+34.2%
2015(1.6%)(1.2%)+2.9%(1.2%)+0.5%(1.3%)(0.7%)(0.6%)(4%)+2.1%+1.4%(6.7%)(10.3%)
2016+2.6%+1.8%(0.7%)+1.4%(8.8%)+3.2%+2.2%+1.1%+1.3%(6.2%)+3.0%+6.4%+6.6%
2017+4.7%(0.2%)+2.3%+7.0%+8.3%(6.6%)+9.9%+3.7%+2.5%+7.6%+3.9%(2.2%)+47.6%
2018+9.6%+1.0%+0.3%+0.1%+3.6%+0.2%(2.9%)+10.9%+1.8%(7.3%)(2.5%)+3.9%+18.8%
2019+2.7%+0.6%+0.2%+1.0%(0.8%)+3.6%+0.2%(1.3%)(2.7%)(4.7%)+2.7%+1.7%+3.0%
2020+5.0%(12.7%)+0.3%(4.2%)(4.6%)(2.9%)(0.7%)+4.9%(3.3%)+4.6%+1.7%      (12.6%)

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 1,909 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/20 9:39 Z ZILLOW GROUP INC. CLASS C CAPITAL STOCK LONG 263 106.91 11/18 14:00 100.53 0.68%
Trade id #132090373
Max drawdown($1,948)
Time11/10/20 0:00
Quant open156
Worst price95.45
Drawdown as % of equity-0.68%
($1,681)
Includes Typical Broker Commissions trade costs of $5.26
11/4/20 10:08 SE SEA LTD ADS LONG 100 179.91 11/17 13:40 171.96 0.86%
Trade id #132070058
Max drawdown($2,481)
Time11/10/20 0:00
Quant open100
Worst price155.10
Drawdown as % of equity-0.86%
($797)
Includes Typical Broker Commissions trade costs of $2.00
11/4/20 15:36 POOL POOL LONG 47 383.14 11/12 15:04 337.38 0.95%
Trade id #132080325
Max drawdown($2,924)
Time11/9/20 0:00
Quant open47
Worst price320.92
Drawdown as % of equity-0.95%
($2,151)
Includes Typical Broker Commissions trade costs of $0.94
11/4/20 15:47 ALGN ALIGN TECHNOLOGY LONG 34 484.48 11/10 14:48 460.37 0.33%
Trade id #132080460
Max drawdown($911)
Time11/10/20 10:42
Quant open34
Worst price457.66
Drawdown as % of equity-0.33%
($821)
Includes Typical Broker Commissions trade costs of $0.68
11/4/20 10:03 FVRR FIVERR INTERNATIONAL LTD LONG 88 167.62 11/10 10:23 135.86 1.01%
Trade id #132069832
Max drawdown($2,807)
Time11/10/20 10:23
Quant open88
Worst price135.72
Drawdown as % of equity-1.01%
($2,797)
Includes Typical Broker Commissions trade costs of $1.76
11/5/20 9:38 PTON PELOTON INTERACTIVE INC. CLASS A COMMON STOCK LONG 141 122.60 11/10 10:12 102.42 1.3%
Trade id #132090312
Max drawdown($4,015)
Time11/9/20 0:00
Quant open141
Worst price94.12
Drawdown as % of equity-1.30%
($2,849)
Includes Typical Broker Commissions trade costs of $2.82
11/5/20 10:39 JD JD.COM INC LONG 144 89.65 11/10 9:54 81.78 0.38%
Trade id #132093785
Max drawdown($1,099)
Time11/10/20 9:30
Quant open144
Worst price82.01
Drawdown as % of equity-0.38%
($1,136)
Includes Typical Broker Commissions trade costs of $2.88
11/5/20 9:30 QCOM QUALCOMM LONG 155 145.37 11/10 9:39 141.41 0.19%
Trade id #132088981
Max drawdown($549)
Time11/10/20 9:39
Quant open93
Worst price139.46
Drawdown as % of equity-0.19%
($617)
Includes Typical Broker Commissions trade costs of $3.10
11/5/20 9:38 GNRC GENERAC HOLDINGS LONG 69 231.28 11/9 9:43 219.53 0.32%
Trade id #132090279
Max drawdown($983)
Time11/9/20 9:43
Quant open69
Worst price217.03
Drawdown as % of equity-0.32%
($812)
Includes Typical Broker Commissions trade costs of $1.38
11/4/20 10:19 VRT VERTIV HOLDINGS LLC LONG 405 18.49 11/5 15:50 17.35 0.17%
Trade id #132070404
Max drawdown($506)
Time11/4/20 16:00
Quant open405
Worst price17.24
Drawdown as % of equity-0.17%
($470)
Includes Typical Broker Commissions trade costs of $8.10
9/30/20 15:42 PINS PINTEREST INC LONG 410 42.62 10/30 15:11 59.18 0.01%
Trade id #131445609
Max drawdown($18)
Time9/30/20 16:00
Quant open150
Worst price41.41
Drawdown as % of equity-0.01%
$6,782
Includes Typical Broker Commissions trade costs of $8.20
10/1/20 13:01 SNAP SNAP INC LONG 647 31.68 10/30 15:05 39.30 0.07%
Trade id #131465024
Max drawdown($204)
Time10/6/20 0:00
Quant open337
Worst price26.51
Drawdown as % of equity-0.07%
$4,920
Includes Typical Broker Commissions trade costs of $12.94
10/26/20 15:46 TSLA TESLA INC. LONG 27 420.22 10/30 9:44 401.00 0.18%
Trade id #131905750
Max drawdown($539)
Time10/30/20 9:44
Quant open27
Worst price400.25
Drawdown as % of equity-0.18%
($520)
Includes Typical Broker Commissions trade costs of $0.54
10/6/20 10:00 ROKU ROKU INC. CLASS A COMMON STOCK LONG 63 213.90 10/29 10:06 216.24 0.05%
Trade id #131539533
Max drawdown($159)
Time10/6/20 15:07
Quant open30
Worst price202.66
Drawdown as % of equity-0.05%
$146
Includes Typical Broker Commissions trade costs of $1.26
10/23/20 13:33 GRWG GROWGENERATION CORP. COMMON STOCK LONG 245 20.16 10/29 10:00 16.87 0.32%
Trade id #131871459
Max drawdown($956)
Time10/28/20 0:00
Quant open245
Worst price16.25
Drawdown as % of equity-0.32%
($810)
Includes Typical Broker Commissions trade costs of $4.90
10/23/20 14:24 SPOT SPOTIFY TECHNOLOGY SA LONG 26 278.61 10/29 9:30 259.32 0.17%
Trade id #131872457
Max drawdown($505)
Time10/29/20 9:30
Quant open26
Worst price259.16
Drawdown as % of equity-0.17%
($503)
Includes Typical Broker Commissions trade costs of $0.52
10/16/20 13:04 ARRY ARRAY TECHNOLOGIES INC. COMMON STOCK LONG 220 39.80 10/28 9:30 36.82 0.24%
Trade id #131742993
Max drawdown($722)
Time10/28/20 9:30
Quant open170
Worst price35.55
Drawdown as % of equity-0.24%
($660)
Includes Typical Broker Commissions trade costs of $4.40
10/21/20 10:33 TSLA TESLA INC. LONG 41 428.55 10/23 10:06 412.21 0.25%
Trade id #131818597
Max drawdown($754)
Time10/23/20 10:03
Quant open41
Worst price410.15
Drawdown as % of equity-0.25%
($671)
Includes Typical Broker Commissions trade costs of $0.82
9/23/20 10:36 SQ SQUARE INC LONG 114 167.51 10/23 9:35 175.11 0.13%
Trade id #131315621
Max drawdown($376)
Time9/23/20 15:06
Quant open40
Worst price147.80
Drawdown as % of equity-0.13%
$864
Includes Typical Broker Commissions trade costs of $2.28
9/30/20 12:11 LOW LOWE'S COMPANIES LONG 99 172.31 10/22 10:48 171.14 0.05%
Trade id #131440187
Max drawdown($159)
Time10/2/20 0:00
Quant open54
Worst price164.05
Drawdown as % of equity-0.05%
($118)
Includes Typical Broker Commissions trade costs of $1.98
9/29/20 10:01 BYND BEYOND MEAT INC. COMMON STOCK LONG 124 171.10 10/22 10:25 172.47 0.11%
Trade id #131413805
Max drawdown($330)
Time10/2/20 0:00
Quant open82
Worst price164.81
Drawdown as % of equity-0.11%
$169
Includes Typical Broker Commissions trade costs of $2.48
9/29/20 10:07 APPS DIGITAL TURBINE INC LONG 500 33.79 10/22 10:10 35.06 0.07%
Trade id #131414009
Max drawdown($205)
Time9/30/20 0:00
Quant open230
Worst price32.03
Drawdown as % of equity-0.07%
$629
Includes Typical Broker Commissions trade costs of $10.00
10/9/20 10:12 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 38 503.09 10/21 11:03 526.67 0.05%
Trade id #131613887
Max drawdown($154)
Time10/9/20 15:10
Quant open25
Worst price488.21
Drawdown as % of equity-0.05%
$895
Includes Typical Broker Commissions trade costs of $0.76
10/2/20 14:57 FVRR FIVERR INTERNATIONAL LTD LONG 84 157.29 10/21 10:39 168.05 0.06%
Trade id #131493544
Max drawdown($182)
Time10/6/20 0:00
Quant open62
Worst price151.15
Drawdown as % of equity-0.06%
$902
Includes Typical Broker Commissions trade costs of $1.68
9/28/20 10:21 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 127 143.57 10/21 9:40 141.00 0.14%
Trade id #131393955
Max drawdown($413)
Time10/21/20 9:40
Quant open127
Worst price140.31
Drawdown as % of equity-0.14%
($329)
Includes Typical Broker Commissions trade costs of $2.54
9/30/20 12:18 PFSI PENNYMAC FINANCIAL SERVICES IN LONG 245 61.48 10/20 15:07 63.30 0.08%
Trade id #131440327
Max drawdown($226)
Time10/7/20 0:00
Quant open165
Worst price58.34
Drawdown as % of equity-0.08%
$441
Includes Typical Broker Commissions trade costs of $4.90
9/28/20 10:35 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 113 130.34 10/20 10:28 129.47 0.11%
Trade id #131394460
Max drawdown($340)
Time10/16/20 0:00
Quant open113
Worst price127.33
Drawdown as % of equity-0.11%
($101)
Includes Typical Broker Commissions trade costs of $2.26
9/23/20 10:30 TSLA TESLA INC. LONG 47 425.62 10/20 9:31 427.80 0.23%
Trade id #131315306
Max drawdown($662)
Time9/24/20 0:00
Quant open13
Worst price351.30
Drawdown as % of equity-0.23%
$102
Includes Typical Broker Commissions trade costs of $0.94
10/6/20 10:02 SE SEA LTD ADS LONG 100 166.08 10/19 15:39 162.67 0.14%
Trade id #131539590
Max drawdown($423)
Time10/15/20 0:00
Quant open100
Worst price161.84
Drawdown as % of equity-0.14%
($343)
Includes Typical Broker Commissions trade costs of $2.00
9/29/20 12:50 NVDA NVIDIA LONG 33 541.38 10/19 15:00 542.02 0.15%
Trade id #131418806
Max drawdown($432)
Time10/2/20 0:00
Quant open28
Worst price522.04
Drawdown as % of equity-0.15%
$20
Includes Typical Broker Commissions trade costs of $0.66

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2943.85
  • Age
    98 months ago
  • What it trades
    Stocks
  • # Trades
    1377
  • # Profitable
    575
  • % Profitable
    41.80%
  • Avg trade duration
    36.1 days
  • Max peak-to-valley drawdown
    31.57%
  • drawdown period
    Feb 19, 2020 - Aug 31, 2020
  • Annual Return (Compounded)
    14.8%
  • Avg win
    $1,299
  • Avg loss
    $692.78
  • Model Account Values (Raw)
  • Cash
    $191,203
  • Margin Used
    $0
  • Buying Power
    $212,559
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.77
  • Sortino Ratio
    1.05
  • Calmar Ratio
    0.541
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    49.20%
  • Correlation to SP500
    0.25290
  • Return Percent SP500 (cumu) during strategy life
    156.10%
  • Return Statistics
  • Ann Return (w trading costs)
    14.8%
  • Slump
  • Current Slump as Pcnt Equity
    30.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.148%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.50%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    647
  • Popularity (Last 6 weeks)
    933
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    185
  • Popularity (7 days, Percentile 1000 scale)
    838
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $694
  • Avg Win
    $1,301
  • Sum Trade PL (losers)
    $555,598.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    97
  • Win / Loss
  • Sum Trade PL (winners)
    $749,580.000
  • # Winners
    576
  • Num Months Winners
    62
  • Dividends
  • Dividends Received in Model Acct
    25098
  • AUM
  • AUM (AutoTrader live capital)
    30909
  • Win / Loss
  • # Losers
    801
  • % Winners
    41.8%
  • Frequency
  • Avg Position Time (mins)
    56634.60
  • Avg Position Time (hrs)
    943.91
  • Avg Trade Length
    39.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.03
  • Beta
    0.20
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    34.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.60
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.61
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.477
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.259
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.323
  • Hold-and-Hope Ratio
    0.182
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12626
  • SD
    0.16940
  • Sharpe ratio (Glass type estimate)
    0.74535
  • Sharpe ratio (Hedges UMVUE)
    0.73939
  • df
    94.00000
  • t
    2.09716
  • p
    0.01933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03875
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44809
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03483
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44395
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27806
  • Upside Potential Ratio
    2.87816
  • Upside part of mean
    0.28434
  • Downside part of mean
    -0.15808
  • Upside SD
    0.14129
  • Downside SD
    0.09879
  • N nonnegative terms
    55.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.10488
  • Mean of criterion
    0.12626
  • SD of predictor
    0.16101
  • SD of criterion
    0.16940
  • Covariance
    0.00987
  • r
    0.36174
  • b (slope, estimate of beta)
    0.38060
  • a (intercept, estimate of alpha)
    0.08635
  • Mean Square Error
    0.02521
  • DF error
    93.00000
  • t(b)
    3.74188
  • p(b)
    0.00016
  • t(a)
    1.50351
  • p(a)
    0.06805
  • Lowerbound of 95% confidence interval for beta
    0.17861
  • Upperbound of 95% confidence interval for beta
    0.58258
  • Lowerbound of 95% confidence interval for alpha
    -0.02770
  • Upperbound of 95% confidence interval for alpha
    0.20039
  • Treynor index (mean / b)
    0.33175
  • Jensen alpha (a)
    0.08635
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11145
  • SD
    0.16760
  • Sharpe ratio (Glass type estimate)
    0.66496
  • Sharpe ratio (Hedges UMVUE)
    0.65964
  • df
    94.00000
  • t
    1.87097
  • p
    0.03223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.03979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04330
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36258
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07861
  • Upside Potential Ratio
    2.65503
  • Upside part of mean
    0.27433
  • Downside part of mean
    -0.16288
  • Upside SD
    0.13473
  • Downside SD
    0.10333
  • N nonnegative terms
    55.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.09018
  • Mean of criterion
    0.11145
  • SD of predictor
    0.17340
  • SD of criterion
    0.16760
  • Covariance
    0.01130
  • r
    0.38876
  • b (slope, estimate of beta)
    0.37576
  • a (intercept, estimate of alpha)
    0.07756
  • Mean Square Error
    0.02410
  • DF error
    93.00000
  • t(b)
    4.06912
  • p(b)
    0.00005
  • t(a)
    1.38998
  • p(a)
    0.08393
  • Lowerbound of 95% confidence interval for beta
    0.19238
  • Upperbound of 95% confidence interval for beta
    0.55913
  • Lowerbound of 95% confidence interval for alpha
    -0.03325
  • Upperbound of 95% confidence interval for alpha
    0.18837
  • Treynor index (mean / b)
    0.29659
  • Jensen alpha (a)
    0.07756
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06788
  • Expected Shortfall on VaR
    0.08639
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02697
  • Expected Shortfall on VaR
    0.05560
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    95.00000
  • Minimum
    0.85355
  • Quartile 1
    0.98568
  • Median
    1.00949
  • Quartile 3
    1.04272
  • Maximum
    1.17909
  • Mean of quarter 1
    0.95466
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.02448
  • Mean of quarter 4
    1.07372
  • Inter Quartile Range
    0.05704
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02105
  • Mean of outliers low
    0.87486
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01053
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23496
  • VaR(95%) (moments method)
    0.03836
  • Expected Shortfall (moments method)
    0.04847
  • Extreme Value Index (regression method)
    0.30404
  • VaR(95%) (regression method)
    0.03838
  • Expected Shortfall (regression method)
    0.06532
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00378
  • Quartile 1
    0.01532
  • Median
    0.04900
  • Quartile 3
    0.08624
  • Maximum
    0.24948
  • Mean of quarter 1
    0.01114
  • Mean of quarter 2
    0.02770
  • Mean of quarter 3
    0.06946
  • Mean of quarter 4
    0.14303
  • Inter Quartile Range
    0.07091
  • 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
    0.06667
  • Mean of outliers high
    0.24948
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13153
  • VaR(95%) (moments method)
    0.15925
  • Expected Shortfall (moments method)
    0.22107
  • Extreme Value Index (regression method)
    1.09583
  • VaR(95%) (regression method)
    0.20327
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25438
  • Compounded annual return (geometric extrapolation)
    0.14953
  • Calmar ratio (compounded annual return / max draw down)
    0.59938
  • Compounded annual return / average of 25% largest draw downs
    1.04545
  • Compounded annual return / Expected Shortfall lognormal
    1.73090
  • 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
    0.12770
  • SD
    0.13542
  • Sharpe ratio (Glass type estimate)
    0.94299
  • Sharpe ratio (Hedges UMVUE)
    0.94265
  • df
    2081.00000
  • t
    2.65825
  • p
    0.00396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63877
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63852
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28992
  • Upside Potential Ratio
    8.46573
  • Upside part of mean
    0.83806
  • Downside part of mean
    -0.71037
  • Upside SD
    0.09269
  • Downside SD
    0.09899
  • N nonnegative terms
    1182.00000
  • N negative terms
    900.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2082.00000
  • Mean of predictor
    0.10534
  • Mean of criterion
    0.12770
  • SD of predictor
    0.17208
  • SD of criterion
    0.13542
  • Covariance
    0.00595
  • r
    0.25522
  • b (slope, estimate of beta)
    0.20084
  • a (intercept, estimate of alpha)
    0.10700
  • Mean Square Error
    0.01715
  • DF error
    2080.00000
  • t(b)
    12.03830
  • p(b)
    0.00000
  • t(a)
    2.29159
  • p(a)
    0.01101
  • Lowerbound of 95% confidence interval for beta
    0.16812
  • Upperbound of 95% confidence interval for beta
    0.23355
  • Lowerbound of 95% confidence interval for alpha
    0.01536
  • Upperbound of 95% confidence interval for alpha
    0.19771
  • Treynor index (mean / b)
    0.63581
  • Jensen alpha (a)
    0.10654
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11845
  • SD
    0.13582
  • Sharpe ratio (Glass type estimate)
    0.87213
  • Sharpe ratio (Hedges UMVUE)
    0.87181
  • df
    2081.00000
  • t
    2.45850
  • p
    0.00702
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17625
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56759
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18281
  • Upside Potential Ratio
    8.32504
  • Upside part of mean
    0.83372
  • Downside part of mean
    -0.71527
  • Upside SD
    0.09199
  • Downside SD
    0.10015
  • N nonnegative terms
    1182.00000
  • N negative terms
    900.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2082.00000
  • Mean of predictor
    0.09043
  • Mean of criterion
    0.11845
  • SD of predictor
    0.17285
  • SD of criterion
    0.13582
  • Covariance
    0.00601
  • r
    0.25583
  • b (slope, estimate of beta)
    0.20103
  • a (intercept, estimate of alpha)
    0.10027
  • Mean Square Error
    0.01725
  • DF error
    2080.00000
  • t(b)
    12.06930
  • p(b)
    0.00000
  • t(a)
    2.15117
  • p(a)
    0.01579
  • Lowerbound of 95% confidence interval for beta
    0.16837
  • Upperbound of 95% confidence interval for beta
    0.23370
  • Lowerbound of 95% confidence interval for alpha
    0.00886
  • Upperbound of 95% confidence interval for alpha
    0.19169
  • Treynor index (mean / b)
    0.58923
  • Jensen alpha (a)
    0.10027
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01326
  • Expected Shortfall on VaR
    0.01671
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00562
  • Expected Shortfall on VaR
    0.01175
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2082.00000
  • Minimum
    0.94474
  • Quartile 1
    0.99685
  • Median
    1.00097
  • Quartile 3
    1.00514
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99034
  • Mean of quarter 2
    0.99915
  • Mean of quarter 3
    1.00287
  • Mean of quarter 4
    1.01002
  • Inter Quartile Range
    0.00828
  • Number outliers low
    68.00000
  • Percentage of outliers low
    0.03266
  • Mean of outliers low
    0.97577
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.01777
  • Mean of outliers high
    1.02273
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20203
  • VaR(95%) (moments method)
    0.00871
  • Expected Shortfall (moments method)
    0.01377
  • Extreme Value Index (regression method)
    0.10516
  • VaR(95%) (regression method)
    0.00883
  • Expected Shortfall (regression method)
    0.01311
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    74.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00494
  • Median
    0.01930
  • Quartile 3
    0.04502
  • Maximum
    0.29119
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.01120
  • Mean of quarter 3
    0.02837
  • Mean of quarter 4
    0.08666
  • Inter Quartile Range
    0.04008
  • 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
    0.04054
  • Mean of outliers high
    0.18777
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34830
  • VaR(95%) (moments method)
    0.09767
  • Expected Shortfall (moments method)
    0.16332
  • Extreme Value Index (regression method)
    0.52489
  • VaR(95%) (regression method)
    0.08389
  • Expected Shortfall (regression method)
    0.15763
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27681
  • Compounded annual return (geometric extrapolation)
    0.15761
  • Calmar ratio (compounded annual return / max draw down)
    0.54127
  • Compounded annual return / average of 25% largest draw downs
    1.81875
  • Compounded annual return / Expected Shortfall lognormal
    9.43216
  • 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
    0.06421
  • SD
    0.17790
  • Sharpe ratio (Glass type estimate)
    0.36094
  • Sharpe ratio (Hedges UMVUE)
    0.35885
  • df
    130.00000
  • t
    0.25522
  • p
    0.48881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.41182
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13249
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.41330
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13100
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46188
  • Upside Potential Ratio
    6.47783
  • Upside part of mean
    0.90055
  • Downside part of mean
    -0.83634
  • Upside SD
    0.10998
  • Downside SD
    0.13902
  • 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
    0.34998
  • Mean of criterion
    0.06421
  • SD of predictor
    0.20241
  • SD of criterion
    0.17790
  • Covariance
    0.01471
  • r
    0.40850
  • b (slope, estimate of beta)
    0.35904
  • a (intercept, estimate of alpha)
    -0.06144
  • Mean Square Error
    0.02657
  • DF error
    129.00000
  • t(b)
    5.08307
  • p(b)
    0.24737
  • t(a)
    -0.26502
  • p(a)
    0.51485
  • Lowerbound of 95% confidence interval for beta
    0.21929
  • Upperbound of 95% confidence interval for beta
    0.49879
  • Lowerbound of 95% confidence interval for alpha
    -0.52017
  • Upperbound of 95% confidence interval for alpha
    0.39728
  • Treynor index (mean / b)
    0.17884
  • Jensen alpha (a)
    -0.06144
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04834
  • SD
    0.17927
  • Sharpe ratio (Glass type estimate)
    0.26962
  • Sharpe ratio (Hedges UMVUE)
    0.26806
  • df
    130.00000
  • t
    0.19065
  • p
    0.49164
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04114
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04006
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34130
  • Upside Potential Ratio
    6.31598
  • Upside part of mean
    0.89449
  • Downside part of mean
    -0.84616
  • Upside SD
    0.10883
  • Downside SD
    0.14162
  • 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
    0.32920
  • Mean of criterion
    0.04834
  • SD of predictor
    0.20391
  • SD of criterion
    0.17927
  • Covariance
    0.01503
  • r
    0.41127
  • b (slope, estimate of beta)
    0.36158
  • a (intercept, estimate of alpha)
    -0.07070
  • Mean Square Error
    0.02691
  • DF error
    129.00000
  • t(b)
    5.12455
  • p(b)
    0.24576
  • t(a)
    -0.30322
  • p(a)
    0.51699
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.22198
  • Upperbound of 95% confidence interval for beta
    0.50119
  • Lowerbound of 95% confidence interval for alpha
    -0.53199
  • Upperbound of 95% confidence interval for alpha
    0.39060
  • Treynor index (mean / b)
    0.13368
  • Jensen alpha (a)
    -0.07070
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01787
  • Expected Shortfall on VaR
    0.02240
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00661
  • Expected Shortfall on VaR
    0.01459
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94996
  • Quartile 1
    0.99770
  • Median
    1.00055
  • Quartile 3
    1.00497
  • Maximum
    1.03990
  • Mean of quarter 1
    0.98822
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00246
  • Mean of quarter 4
    1.01141
  • Inter Quartile Range
    0.00727
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97095
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02438
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69886
  • VaR(95%) (moments method)
    0.01080
  • Expected Shortfall (moments method)
    0.04008
  • Extreme Value Index (regression method)
    0.31393
  • VaR(95%) (regression method)
    0.01104
  • Expected Shortfall (regression method)
    0.02107
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00940
  • Quartile 1
    0.03448
  • Median
    0.05955
  • Quartile 3
    0.08463
  • Maximum
    0.10971
  • Mean of quarter 1
    0.00940
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10971
  • Inter Quartile Range
    0.05016
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -299801000
  • Max Equity Drawdown (num days)
    194
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07772
  • Compounded annual return (geometric extrapolation)
    0.07922
  • Calmar ratio (compounded annual return / max draw down)
    0.72214
  • Compounded annual return / average of 25% largest draw downs
    0.72214
  • Compounded annual return / Expected Shortfall lognormal
    3.53714

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
1377
# Profitable
575
% Profitable
41.8%
Net Dividends
Correlation S&P500
0.253
Sharpe Ratio
0.77
Sortino Ratio
1.05
Beta
0.20
Alpha
0.03
Leverage
0.98 Average
2.13 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.