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The Vegan Growth Port (77477692)

Created by: BradPappas BradPappas
Started: 11/2012
Stocks
Last trade: 9 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 $280.00 per month.

19.3%
Annual Return (Compounded)
18.7%
Max Drawdown
790
Num Trades
45.4%
Win Trades
1.7 : 1
Profit Factor
63.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      (7.9%)(0.5%)(8.7%)
2013+6.6%+3.9%+4.0%+1.2%+4.6%+0.3%+11.2%(2.2%)+9.3%(0.8%)+10.8%+0.8%+61.1%
2014+4.8%+7.7%+1.8%(2%)(0.5%)+0.2%(4.6%)+4.5%(4.3%)+6.8%+10.8%+4.7%+33.0%
2015(1.8%)(1.4%)+2.8%(1.4%)+0.4%(1.5%)(0.9%)(0.7%)(4.3%)+2.0%+1.3%(7.2%)(12.2%)
2016+2.6%+1.7%(0.9%)+1.3%(9.4%)+3.2%+2.2%+1.1%+1.3%(6.7%)+3.1%+6.7%+5.3%
2017+4.8%(0.3%)+2.3%+7.4%+8.7%(7.2%)+10.4%+0.6%                        +28.8%

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 461 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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
5/22/17 10:57 IRBT IROBOT LONG 85 95.14 6/29 12:35 87.80 0.28%
Trade id #111711054
Max drawdown($646)
Time6/29/17 12:27
Quant open85
Worst price87.53
Drawdown as % of equity-0.28%
($626)
Includes Typical Broker Commissions trade costs of $1.70
4/17/17 15:17 LRCX LAM RESEARCH LONG 100 126.96 6/29 11:41 142.91 n/a $1,593
Includes Typical Broker Commissions trade costs of $2.00
3/30/17 13:55 BRKS BROOKS AUTOMATION LONG 380 22.05 6/27 13:57 23.38 n/a $497
Includes Typical Broker Commissions trade costs of $7.60
8/19/16 13:19 MKSI MKS INSTRUMENTS LONG 234 48.77 6/27/17 10:16 71.25 n/a $5,255
Includes Typical Broker Commissions trade costs of $4.68
4/7/17 12:09 SWKS SKYWORKS SOLUTIONS LONG 100 102.19 6/26 13:54 102.02 0.07%
Trade id #110818818
Max drawdown($163)
Time6/15/17 9:36
Quant open100
Worst price100.56
Drawdown as % of equity-0.07%
($19)
Includes Typical Broker Commissions trade costs of $2.00
5/5/17 12:20 KLAC KLA-TENCOR LONG 110 100.29 6/23 10:35 97.33 0.19%
Trade id #111433477
Max drawdown($453)
Time6/15/17 9:14
Quant open110
Worst price96.17
Drawdown as % of equity-0.19%
($328)
Includes Typical Broker Commissions trade costs of $2.20
2/23/17 11:40 AMX AMERICA MOVIL LONG 1,200 12.91 6/20 11:39 15.74 n/a $3,391
Includes Typical Broker Commissions trade costs of $5.00
2/2/17 11:10 AEIS ADVANCED ENERGY INDS LONG 250 61.47 6/19 11:20 72.01 n/a $2,630
Includes Typical Broker Commissions trade costs of $5.00
4/26/17 13:06 TMUS T-MOBILE US INC. COMMON STOCK LONG 190 67.68 6/13 10:46 64.81 0.37%
Trade id #111276712
Max drawdown($936)
Time6/9/17 14:00
Quant open190
Worst price62.75
Drawdown as % of equity-0.37%
($549)
Includes Typical Broker Commissions trade costs of $3.80
5/25/17 14:28 KLIC KULICKE & SOFFA LONG 410 22.15 6/13 10:46 21.15 0.2%
Trade id #111776166
Max drawdown($479)
Time6/12/17 14:58
Quant open410
Worst price20.98
Drawdown as % of equity-0.20%
($418)
Includes Typical Broker Commissions trade costs of $8.20
4/17/17 15:18 DXC DXC TECHNOLOGY CO LONG 100 76.96 6/13 10:46 75.32 0.12%
Trade id #111063286
Max drawdown($302)
Time6/12/17 9:53
Quant open100
Worst price73.94
Drawdown as % of equity-0.12%
($166)
Includes Typical Broker Commissions trade costs of $2.00
3/24/17 12:25 STM STMICROELECTRONICS LONG 950 15.94 5/22 10:57 16.19 0.33%
Trade id #110424640
Max drawdown($722)
Time4/24/17 10:48
Quant open950
Worst price15.18
Drawdown as % of equity-0.33%
$233
Includes Typical Broker Commissions trade costs of $5.00
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

Statistics

  • Strategy began
    11/5/2012
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1747.77
  • Age
    58 months ago
  • What it trades
    Stocks
  • # Trades
    790
  • # Profitable
    359
  • % Profitable
    45.40%
  • Avg trade duration
    44.9 days
  • Max peak-to-valley drawdown
    18.72%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    19.3%
  • Avg win
    $1,053
  • Avg loss
    $553.26
  • Model Account Values (Raw)
  • Cash
    $85,257
  • Margin Used
    $0
  • Buying Power
    $132,519
  • Ratios
  • W:L ratio
    1.66:1
  • Sharpe Ratio
    1.318
  • Sortino Ratio
    1.901
  • Calmar Ratio
    1.557
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27000
  • Return Statistics
  • Ann Return (w trading costs)
    19.3%
  • Ann Return (Compnd, No Fees)
    21.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    6.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    807
  • C2 Score
    84.2
  • 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
    $553
  • Avg Win
    $1,054
  • # Winners
    359
  • # Losers
    431
  • % Winners
    45.4%
  • Frequency
  • Avg Position Time (mins)
    64649.80
  • Avg Position Time (hrs)
    1077.50
  • Avg Trade Length
    44.9 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19323
  • SD
    0.18371
  • Sharpe ratio (Glass type estimate)
    1.05183
  • Sharpe ratio (Hedges UMVUE)
    1.03742
  • df
    55.00000
  • t
    2.27222
  • p
    0.01350
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11905
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97553
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96519
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05580
  • Upside Potential Ratio
    3.60495
  • Upside part of mean
    0.33884
  • Downside part of mean
    -0.14561
  • Upside SD
    0.16560
  • Downside SD
    0.09399
  • N nonnegative terms
    36.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.09762
  • Mean of criterion
    0.19323
  • SD of predictor
    0.10741
  • SD of criterion
    0.18371
  • Covariance
    0.00749
  • r
    0.37971
  • b (slope, estimate of beta)
    0.64945
  • a (intercept, estimate of alpha)
    0.12983
  • Mean Square Error
    0.02942
  • DF error
    54.00000
  • t(b)
    3.01622
  • p(b)
    0.00195
  • t(a)
    1.58075
  • p(a)
    0.05989
  • Lowerbound of 95% confidence interval for beta
    0.21776
  • Upperbound of 95% confidence interval for beta
    1.08113
  • Lowerbound of 95% confidence interval for alpha
    -0.03484
  • Upperbound of 95% confidence interval for alpha
    0.29450
  • Treynor index (mean / b)
    0.29753
  • Jensen alpha (a)
    0.12983
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17539
  • SD
    0.17946
  • Sharpe ratio (Glass type estimate)
    0.97732
  • Sharpe ratio (Hedges UMVUE)
    0.96393
  • df
    55.00000
  • t
    2.11125
  • p
    0.01965
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89846
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88893
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79944
  • Upside Potential Ratio
    3.33737
  • Upside part of mean
    0.32529
  • Downside part of mean
    -0.14990
  • Upside SD
    0.15715
  • Downside SD
    0.09747
  • N nonnegative terms
    36.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.09131
  • Mean of criterion
    0.17539
  • SD of predictor
    0.10835
  • SD of criterion
    0.17946
  • Covariance
    0.00705
  • r
    0.36231
  • b (slope, estimate of beta)
    0.60009
  • a (intercept, estimate of alpha)
    0.12059
  • Mean Square Error
    0.02850
  • DF error
    54.00000
  • t(b)
    2.85647
  • p(b)
    0.00303
  • t(a)
    1.49874
  • p(a)
    0.06988
  • Lowerbound of 95% confidence interval for beta
    0.17890
  • Upperbound of 95% confidence interval for beta
    1.02127
  • Lowerbound of 95% confidence interval for alpha
    -0.04073
  • Upperbound of 95% confidence interval for alpha
    0.28192
  • Treynor index (mean / b)
    0.29228
  • Jensen alpha (a)
    0.12059
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06816
  • Expected Shortfall on VaR
    0.08795
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02205
  • Expected Shortfall on VaR
    0.04741
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    56.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99004
  • Median
    1.01144
  • Quartile 3
    1.04888
  • Maximum
    1.17909
  • Mean of quarter 1
    0.95606
  • Mean of quarter 2
    1.00225
  • Mean of quarter 3
    1.02809
  • Mean of quarter 4
    1.08732
  • Inter Quartile Range
    0.05884
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01786
  • Mean of outliers low
    0.89617
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01786
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15188
  • VaR(95%) (moments method)
    0.03448
  • Expected Shortfall (moments method)
    0.05463
  • Extreme Value Index (regression method)
    -0.30577
  • VaR(95%) (regression method)
    0.04683
  • Expected Shortfall (regression method)
    0.06019
  • 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)
    0.33909
  • Compounded annual return (geometric extrapolation)
    0.22544
  • Calmar ratio (compounded annual return / max draw down)
    1.76670
  • Compounded annual return / average of 25% largest draw downs
    1.94818
  • Compounded annual return / Expected Shortfall lognormal
    2.56322
  • 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
    0.18230
  • SD
    0.13827
  • Sharpe ratio (Glass type estimate)
    1.31844
  • Sharpe ratio (Hedges UMVUE)
    1.31764
  • df
    1233.00000
  • t
    2.86133
  • p
    0.44835
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22279
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22225
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90122
  • Upside Potential Ratio
    9.54403
  • Upside part of mean
    0.91516
  • Downside part of mean
    -0.73286
  • Upside SD
    0.10018
  • Downside SD
    0.09589
  • N nonnegative terms
    703.00000
  • N negative terms
    531.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1234.00000
  • Mean of predictor
    0.09381
  • Mean of criterion
    0.18230
  • SD of predictor
    0.12335
  • SD of criterion
    0.13827
  • Covariance
    0.00454
  • r
    0.26622
  • b (slope, estimate of beta)
    0.29843
  • a (intercept, estimate of alpha)
    0.15400
  • Mean Square Error
    0.01778
  • DF error
    1232.00000
  • t(b)
    9.69426
  • p(b)
    0.36689
  • t(a)
    2.50879
  • p(a)
    0.46435
  • Lowerbound of 95% confidence interval for beta
    0.23804
  • Upperbound of 95% confidence interval for beta
    0.35883
  • Lowerbound of 95% confidence interval for alpha
    0.03364
  • Upperbound of 95% confidence interval for alpha
    0.27498
  • Treynor index (mean / b)
    0.61088
  • Jensen alpha (a)
    0.15431
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17266
  • SD
    0.13840
  • Sharpe ratio (Glass type estimate)
    1.24760
  • Sharpe ratio (Hedges UMVUE)
    1.24684
  • df
    1233.00000
  • t
    2.70759
  • p
    0.45110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34239
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15129
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78356
  • Upside Potential Ratio
    9.40103
  • Upside part of mean
    0.91010
  • Downside part of mean
    -0.73744
  • Upside SD
    0.09940
  • Downside SD
    0.09681
  • N nonnegative terms
    703.00000
  • N negative terms
    531.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1234.00000
  • Mean of predictor
    0.08618
  • Mean of criterion
    0.17266
  • SD of predictor
    0.12347
  • SD of criterion
    0.13840
  • Covariance
    0.00455
  • r
    0.26647
  • b (slope, estimate of beta)
    0.29869
  • a (intercept, estimate of alpha)
    0.14692
  • Mean Square Error
    0.01781
  • DF error
    1232.00000
  • t(b)
    9.70387
  • p(b)
    0.36677
  • t(a)
    2.38719
  • p(a)
    0.46607
  • Lowerbound of 95% confidence interval for beta
    0.23830
  • Upperbound of 95% confidence interval for beta
    0.35907
  • Lowerbound of 95% confidence interval for alpha
    0.02618
  • Upperbound of 95% confidence interval for alpha
    0.26767
  • Treynor index (mean / b)
    0.57808
  • Jensen alpha (a)
    0.14692
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01332
  • Expected Shortfall on VaR
    0.01683
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00583
  • Expected Shortfall on VaR
    0.01185
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1234.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99633
  • Median
    1.00116
  • Quartile 3
    1.00563
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99024
  • Mean of quarter 2
    0.99895
  • Mean of quarter 3
    1.00318
  • Mean of quarter 4
    1.01084
  • Inter Quartile Range
    0.00931
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.02512
  • Mean of outliers low
    0.97538
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.01702
  • Mean of outliers high
    1.02446
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13692
  • VaR(95%) (moments method)
    0.00912
  • Expected Shortfall (moments method)
    0.01348
  • Extreme Value Index (regression method)
    0.04748
  • VaR(95%) (regression method)
    0.00928
  • Expected Shortfall (regression method)
    0.01307
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00624
  • Median
    0.02112
  • Quartile 3
    0.04724
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00276
  • Mean of quarter 2
    0.01424
  • Mean of quarter 3
    0.03307
  • Mean of quarter 4
    0.07910
  • 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
    2.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    0.13606
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27620
  • VaR(95%) (moments method)
    0.08988
  • Expected Shortfall (moments method)
    0.13282
  • Extreme Value Index (regression method)
    0.54231
  • VaR(95%) (regression method)
    0.07651
  • Expected Shortfall (regression method)
    0.12804
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33376
  • Compounded annual return (geometric extrapolation)
    0.22210
  • Calmar ratio (compounded annual return / max draw down)
    1.55709
  • Compounded annual return / average of 25% largest draw downs
    2.80793
  • Compounded annual return / Expected Shortfall lognormal
    13.19730
  • 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
    0.36413
  • SD
    0.19343
  • Sharpe ratio (Glass type estimate)
    1.88255
  • Sharpe ratio (Hedges UMVUE)
    1.87166
  • df
    130.00000
  • t
    1.33116
  • p
    0.44202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66027
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90946
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65279
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.60684
  • Upside Potential Ratio
    10.12550
  • Upside part of mean
    1.41436
  • Downside part of mean
    -1.05023
  • Upside SD
    0.13462
  • Downside SD
    0.13968
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04055
  • Mean of criterion
    0.36413
  • SD of predictor
    0.07507
  • SD of criterion
    0.19343
  • Covariance
    0.00813
  • r
    0.55998
  • b (slope, estimate of beta)
    1.44288
  • a (intercept, estimate of alpha)
    0.30562
  • Mean Square Error
    0.02588
  • DF error
    129.00000
  • t(b)
    7.67663
  • p(b)
    0.16313
  • t(a)
    1.34256
  • p(a)
    0.42544
  • Lowerbound of 95% confidence interval for beta
    1.07100
  • Upperbound of 95% confidence interval for beta
    1.81475
  • Lowerbound of 95% confidence interval for alpha
    -0.14477
  • Upperbound of 95% confidence interval for alpha
    0.75600
  • Treynor index (mean / b)
    0.25237
  • Jensen alpha (a)
    0.30562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34520
  • SD
    0.19419
  • Sharpe ratio (Glass type estimate)
    1.77763
  • Sharpe ratio (Hedges UMVUE)
    1.76735
  • df
    130.00000
  • t
    1.25697
  • p
    0.44521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55445
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54747
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.43864
  • Upside Potential Ratio
    9.92729
  • Upside part of mean
    1.40524
  • Downside part of mean
    -1.06004
  • Upside SD
    0.13356
  • Downside SD
    0.14155
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03775
  • Mean of criterion
    0.34520
  • SD of predictor
    0.07517
  • SD of criterion
    0.19419
  • Covariance
    0.00815
  • r
    0.55840
  • b (slope, estimate of beta)
    1.44249
  • a (intercept, estimate of alpha)
    0.29075
  • Mean Square Error
    0.02615
  • DF error
    129.00000
  • t(b)
    7.64521
  • p(b)
    0.16396
  • t(a)
    1.27068
  • p(a)
    0.42936
  • Lowerbound of 95% confidence interval for beta
    1.06918
  • Upperbound of 95% confidence interval for beta
    1.81579
  • Lowerbound of 95% confidence interval for alpha
    -0.16196
  • Upperbound of 95% confidence interval for alpha
    0.74346
  • Treynor index (mean / b)
    0.23931
  • Jensen alpha (a)
    0.29075
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01825
  • Expected Shortfall on VaR
    0.02315
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00799
  • Expected Shortfall on VaR
    0.01655
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99460
  • Median
    1.00289
  • Quartile 3
    1.00970
  • Maximum
    1.02521
  • Mean of quarter 1
    0.98583
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00641
  • Mean of quarter 4
    1.01467
  • Inter Quartile Range
    0.01509
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96621
  • 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)
    0.28123
  • VaR(95%) (moments method)
    0.01426
  • Expected Shortfall (moments method)
    0.02378
  • Extreme Value Index (regression method)
    0.33597
  • VaR(95%) (regression method)
    0.01373
  • Expected Shortfall (regression method)
    0.02370
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00334
  • Quartile 1
    0.00440
  • Median
    0.03043
  • Quartile 3
    0.04574
  • Maximum
    0.12948
  • Mean of quarter 1
    0.00359
  • Mean of quarter 2
    0.01620
  • Mean of quarter 3
    0.03831
  • Mean of quarter 4
    0.07722
  • Inter Quartile Range
    0.04134
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.12948
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00432
  • VaR(95%) (moments method)
    0.08277
  • Expected Shortfall (moments method)
    0.11158
  • Extreme Value Index (regression method)
    1.80167
  • VaR(95%) (regression method)
    0.14214
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41018
  • Compounded annual return (geometric extrapolation)
    0.45224
  • Calmar ratio (compounded annual return / max draw down)
    3.49264
  • Compounded annual return / average of 25% largest draw downs
    5.85621
  • Compounded annual return / Expected Shortfall lognormal
    19.53750

Strategy Description

This portfolio is meant to represent the performance and risk analytics for the Vegan Growth Portfolio managed by Optimized Partners. [email protected]

Summary Statistics

Strategy began
2012-11-05
Minimum Capital Required
$5,000
# Trades
790
# Profitable
359
% Profitable
45.4%
Net Dividends
Correlation S&P500
0.270
Sharpe Ratio
1.318

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.

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