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The Vegan Growth Port

Created by:
BradPappas
BradPappas
Started:   11/2012
Stocks
Last trade:   Yesterday

Subscription terms. Subscriptions to this system cost $70.00 per month.

17.5%
Annual Return (Compounded)
16.7%
Max Drawdown
747
Num Trades
45.2%
Win Trades
1.5 : 1
Profit Factor
63.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      (7.9%)(0.3%)(8.3%)
2013+6.8%+4.1%+4.2%+1.3%+4.7%+0.5%+11.2%(2%)+9.4%(0.6%)+10.8%+1.1%+63.8%
2014+4.9%+7.6%+2.0%(1.8%)(0.3%)+0.3%(4.3%)+4.5%(4.1%)+6.7%+10.6%+4.7%+34.0%
2015(1.6%)(1.3%)+2.9%(1.2%)+0.5%(1.3%)(0.7%)(0.6%)(4%)+2.1%+1.4%(6.8%)(10.6%)
2016+2.6%+1.8%(0.7%)+1.4%(8.9%)+3.2%+2.2%+1.1%+1.3%(6.3%)+3.1%+6.4%+6.4%
2017+4.7%+0.1%                                                            +4.8%

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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Open positions are hidden from non-subscribers.

This strategy has placed 461 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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%
($231)
Includes Typical Commission and AutoTrade Fees trade costs of $22.00
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%
$1,306
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
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 Commission and AutoTrade Fees 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 Commission and AutoTrade Fees 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%
($2,840)
Includes Typical Commission and AutoTrade Fees trade costs of $40.00
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 Commission and AutoTrade Fees 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 Commission and AutoTrade Fees 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 Commission and AutoTrade Fees 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 Commission and AutoTrade Fees 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 Commission and AutoTrade Fees 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%
($742)
Includes Typical Commission and AutoTrade Fees trade costs of $18.00
12/6/16 12:31 HSII HEIDRICK & STRUGGLES LONG 700 21.95 1/19/17 12:33 22.30 n/a $231
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
12/2/16 10:06 JBLU JETBLUE AIRWAYS LONG 700 20.89 1/19/17 12:32 21.39 0.01%
Trade id #107694504
Max drawdown($10)
Time1/18/17 13:34
Quant open700
Worst price20.87
Drawdown as % of equity-0.01%
$336
Includes Typical Commission and AutoTrade Fees trade costs of $14.00
12/30/16 11:25 AMX AMERICA MOVIL LONG 1,250 12.62 1/18/17 12:25 12.40 0.17%
Trade id #108271789
Max drawdown($350)
Time1/18/17 9:31
Quant open1,250
Worst price12.34
Drawdown as % of equity-0.17%
($300)
Includes Typical Commission and AutoTrade Fees trade costs of $25.00
12/2/16 10:05 BWA BORGWARNER LONG 475 36.94 1/11/17 13:03 39.76 0.19%
Trade id #107694426
Max drawdown($352)
Time12/2/16 12:33
Quant open400
Worst price35.74
Drawdown as % of equity-0.19%
$1,331
Includes Typical Commission and AutoTrade Fees trade costs of $9.75
12/29/16 12:20 TLT ISHARES 20+ YEAR TREASURY BOND LONG 210 118.93 1/10/17 11:45 121.78 0.1%
Trade id #108249176
Max drawdown($195)
Time1/3/17 8:37
Quant open210
Worst price118.00
Drawdown as % of equity-0.10%
$595
Includes Typical Commission and AutoTrade Fees trade costs of $4.20
12/7/16 11:23 LKSD LSC COMMUNICATIONS INC LONG 650 23.95 1/9/17 11:35 27.43 0.47%
Trade id #107789819
Max drawdown($942)
Time12/14/16 15:29
Quant open650
Worst price22.50
Drawdown as % of equity-0.47%
$2,252
Includes Typical Commission and AutoTrade Fees trade costs of $13.00
11/30/16 13:21 UNP UNION PACIFIC LONG 150 102.30 1/9/17 10:51 102.90 0.08%
Trade id #107629755
Max drawdown($165)
Time1/6/17 9:36
Quant open150
Worst price101.20
Drawdown as % of equity-0.08%
$86
Includes Typical Commission and AutoTrade Fees trade costs of $3.75
12/19/16 13:12 KODK EASTMAN KODAK COMPANY LONG 800 17.15 1/6/17 13:09 15.90 0.7%
Trade id #108055438
Max drawdown($1,420)
Time12/30/16 14:57
Quant open800
Worst price15.38
Drawdown as % of equity-0.70%
($1,016)
Includes Typical Commission and AutoTrade Fees trade costs of $16.00
11/29/16 12:39 CABO CABLE ONE INC LONG 21 607.00 1/6/17 13:09 576.00 0.37%
Trade id #107583393
Max drawdown($769)
Time1/6/17 12:15
Quant open21
Worst price570.34
Drawdown as % of equity-0.37%
($653)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
12/13/16 11:22 AWK AMERICAN WATER WORKS LONG 175 74.28 1/5/17 12:27 72.85 0.24%
Trade id #107909302
Max drawdown($484)
Time12/15/16 9:57
Quant open175
Worst price71.51
Drawdown as % of equity-0.24%
($254)
Includes Typical Commission and AutoTrade Fees trade costs of $3.50
12/6/16 12:11 RPXC RPX LONG 1,400 10.84 12/29 12:40 10.88 0.04%
Trade id #107765110
Max drawdown($84)
Time12/29/16 9:35
Quant open1,400
Worst price10.78
Drawdown as % of equity-0.04%
$28
Includes Typical Commission and AutoTrade Fees trade costs of $28.00
11/7/16 10:16 AOS A.O.SMITH CORP LONG 320 47.06 12/29 12:19 47.45 0.05%
Trade id #106964252
Max drawdown($101)
Time11/7/16 14:31
Quant open220
Worst price45.35
Drawdown as % of equity-0.05%
$120
Includes Typical Commission and AutoTrade Fees trade costs of $6.40
12/5/16 10:08 HPE HEWLETT PACKARD ENTERPRISE CO LONG 600 24.09 12/29 12:19 23.19 0.27%
Trade id #107732046
Max drawdown($546)
Time12/29/16 12:12
Quant open600
Worst price23.18
Drawdown as % of equity-0.27%
($552)
Includes Typical Commission and AutoTrade Fees trade costs of $12.00
11/7/16 10:40 FDX FEDEX LONG 60 178.34 12/28 11:35 189.66 n/a $677
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/4/16 13:31 TECL DIREXION DAILY TECHNOLOGY BULL LONG 450 44.58 12/5 10:18 45.86 0.52%
Trade id #106934227
Max drawdown($981)
Time11/14/16 12:38
Quant open450
Worst price42.40
Drawdown as % of equity-0.52%
$567
Includes Typical Commission and AutoTrade Fees trade costs of $9.00
11/7/16 10:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 122.03 12/5 10:18 120.66 0.36%
Trade id #106963940
Max drawdown($676)
Time11/9/16 6:33
Quant open100
Worst price111.61
Drawdown as % of equity-0.36%
($209)
Includes Typical Commission and AutoTrade Fees trade costs of $3.50
11/11/16 10:18 SSD SIMPSON MANUFACTURING LONG 235 46.06 12/5 10:07 46.78 0.19%
Trade id #107134349
Max drawdown($366)
Time11/15/16 12:05
Quant open235
Worst price44.50
Drawdown as % of equity-0.19%
$164
Includes Typical Commission and AutoTrade Fees trade costs of $4.70
11/22/16 11:17 NEE NEXTERA ENERGY LONG 100 114.37 12/5 10:04 113.50 0.09%
Trade id #107400733
Max drawdown($174)
Time12/1/16 13:29
Quant open100
Worst price112.63
Drawdown as % of equity-0.09%
($89)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/7/16 10:11 STMP STAMPS.COM LONG 100 102.60 12/2 10:02 106.25 0.25%
Trade id #106963902
Max drawdown($460)
Time11/9/16 9:31
Quant open100
Worst price98.00
Drawdown as % of equity-0.25%
$363
Includes Typical Commission and AutoTrade Fees trade costs of $2.00

Statistics

  • Strategy began
    11/5/2012
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    1573.14
  • Age
    52 months ago
  • What it trades
    Stocks
  • # Trades
    747
  • # Profitable
    338
  • % Profitable
    45.20%
  • Avg trade duration
    41.9 days
  • Max peak-to-valley drawdown
    16.7%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    17.5%
  • Avg win
    $931.84
  • Avg loss
    $535.47
  • Model Account Values (Raw)
  • Cash
    $1,513
  • Margin Used
    $0
  • Buying Power
    $46,393
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    1.248
  • Sortino Ratio
    1.807
  • Calmar Ratio
    1.286
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.25100
  • Return Statistics
  • Ann Return (w trading costs)
    17.5%
  • Ann Return (Compnd, No Fees)
    19.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.50%
  • Chance of 20% account loss
    2.50%
  • 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)
    826
  • C2 Score
    74.1
  • 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
    $535
  • Avg Win
    $932
  • # Winners
    338
  • # Losers
    409
  • % Winners
    45.2%
  • Frequency
  • Avg Position Time (mins)
    60326.10
  • Avg Position Time (hrs)
    1005.43
  • Avg Trade Length
    41.9 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17411
  • SD
    0.15801
  • Sharpe ratio (Glass type estimate)
    1.10188
  • Sharpe ratio (Hedges UMVUE)
    1.08591
  • df
    52.00000
  • t
    2.31570
  • p
    0.01228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14062
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13023
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04159
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26183
  • Upside Potential Ratio
    3.79088
  • Upside part of mean
    0.29182
  • Downside part of mean
    -0.11770
  • Upside SD
    0.14525
  • Downside SD
    0.07698
  • N nonnegative terms
    32.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.10744
  • Mean of criterion
    0.17411
  • SD of predictor
    0.11426
  • SD of criterion
    0.15801
  • Covariance
    0.00867
  • r
    0.48028
  • b (slope, estimate of beta)
    0.66420
  • a (intercept, estimate of alpha)
    0.10275
  • Mean Square Error
    0.01959
  • DF error
    51.00000
  • t(b)
    3.91046
  • p(b)
    0.00014
  • t(a)
    1.48820
  • p(a)
    0.07143
  • Lowerbound of 95% confidence interval for beta
    0.32321
  • Upperbound of 95% confidence interval for beta
    1.00519
  • Lowerbound of 95% confidence interval for alpha
    -0.03586
  • Upperbound of 95% confidence interval for alpha
    0.24137
  • Treynor index (mean / b)
    0.26214
  • Jensen alpha (a)
    0.10275
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16101
  • SD
    0.15398
  • Sharpe ratio (Glass type estimate)
    1.04571
  • Sharpe ratio (Hedges UMVUE)
    1.03055
  • df
    52.00000
  • t
    2.19765
  • p
    0.01623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99483
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07714
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98396
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02574
  • Upside Potential Ratio
    3.54425
  • Upside part of mean
    0.28171
  • Downside part of mean
    -0.12070
  • Upside SD
    0.13822
  • Downside SD
    0.07948
  • N nonnegative terms
    32.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.10050
  • Mean of criterion
    0.16101
  • SD of predictor
    0.11431
  • SD of criterion
    0.15398
  • Covariance
    0.00819
  • r
    0.46554
  • b (slope, estimate of beta)
    0.62707
  • a (intercept, estimate of alpha)
    0.09799
  • Mean Square Error
    0.01893
  • DF error
    51.00000
  • t(b)
    3.75654
  • p(b)
    0.00022
  • t(a)
    1.44976
  • p(a)
    0.07662
  • Lowerbound of 95% confidence interval for beta
    0.29195
  • Upperbound of 95% confidence interval for beta
    0.96219
  • Lowerbound of 95% confidence interval for alpha
    -0.03770
  • Upperbound of 95% confidence interval for alpha
    0.23368
  • Treynor index (mean / b)
    0.25677
  • Jensen alpha (a)
    0.09799
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05795
  • Expected Shortfall on VaR
    0.07516
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01915
  • Expected Shortfall on VaR
    0.04064
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.91436
  • Quartile 1
    0.99331
  • Median
    1.01108
  • Quartile 3
    1.03084
  • Maximum
    1.16921
  • Mean of quarter 1
    0.96490
  • Mean of quarter 2
    1.00342
  • Mean of quarter 3
    1.02357
  • Mean of quarter 4
    1.07334
  • Inter Quartile Range
    0.03753
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03774
  • Mean of outliers low
    0.91820
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.05660
  • Mean of outliers high
    1.12756
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.40392
  • VaR(95%) (moments method)
    0.02323
  • Expected Shortfall (moments method)
    0.02852
  • Extreme Value Index (regression method)
    -0.32440
  • VaR(95%) (regression method)
    0.04177
  • Expected Shortfall (regression method)
    0.05395
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00054
  • Quartile 1
    0.01481
  • Median
    0.03777
  • Quartile 3
    0.08005
  • Maximum
    0.14105
  • Mean of quarter 1
    0.00311
  • Mean of quarter 2
    0.03085
  • Mean of quarter 3
    0.07796
  • Mean of quarter 4
    0.11160
  • Inter Quartile Range
    0.06524
  • 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)
    0.25535
  • Compounded annual return (geometric extrapolation)
    0.18645
  • Calmar ratio (compounded annual return / max draw down)
    1.32183
  • Compounded annual return / average of 25% largest draw downs
    1.67071
  • Compounded annual return / Expected Shortfall lognormal
    2.48075
  • 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
    0.16655
  • SD
    0.12693
  • Sharpe ratio (Glass type estimate)
    1.31220
  • Sharpe ratio (Hedges UMVUE)
    1.31156
  • df
    1534.00000
  • t
    2.77188
  • p
    0.46470
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38256
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24056
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91501
  • Upside Potential Ratio
    9.94148
  • Upside part of mean
    0.86462
  • Downside part of mean
    -0.69807
  • Upside SD
    0.09282
  • Downside SD
    0.08697
  • N nonnegative terms
    761.00000
  • N negative terms
    774.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1535.00000
  • Mean of predictor
    0.11280
  • Mean of criterion
    0.16655
  • SD of predictor
    0.12442
  • SD of criterion
    0.12693
  • Covariance
    0.00394
  • r
    0.24958
  • b (slope, estimate of beta)
    0.25460
  • a (intercept, estimate of alpha)
    0.13800
  • Mean Square Error
    0.01512
  • DF error
    1533.00000
  • t(b)
    10.09110
  • p(b)
    0.34278
  • t(a)
    2.36529
  • p(a)
    0.46164
  • Lowerbound of 95% confidence interval for beta
    0.20511
  • Upperbound of 95% confidence interval for beta
    0.30409
  • Lowerbound of 95% confidence interval for alpha
    0.02353
  • Upperbound of 95% confidence interval for alpha
    0.25214
  • Treynor index (mean / b)
    0.65416
  • Jensen alpha (a)
    0.13783
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15846
  • SD
    0.12694
  • Sharpe ratio (Glass type estimate)
    1.24829
  • Sharpe ratio (Hedges UMVUE)
    1.24768
  • df
    1534.00000
  • t
    2.63688
  • p
    0.46641
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31921
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17699
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17657
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80682
  • Upside Potential Ratio
    9.80999
  • Upside part of mean
    0.86033
  • Downside part of mean
    -0.70188
  • Upside SD
    0.09211
  • Downside SD
    0.08770
  • N nonnegative terms
    761.00000
  • N negative terms
    774.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1535.00000
  • Mean of predictor
    0.10503
  • Mean of criterion
    0.15846
  • SD of predictor
    0.12453
  • SD of criterion
    0.12694
  • Covariance
    0.00395
  • r
    0.24990
  • b (slope, estimate of beta)
    0.25474
  • a (intercept, estimate of alpha)
    0.13170
  • Mean Square Error
    0.01512
  • DF error
    1533.00000
  • t(b)
    10.10500
  • p(b)
    0.34258
  • t(a)
    2.26037
  • p(a)
    0.46333
  • Lowerbound of 95% confidence interval for beta
    0.20529
  • Upperbound of 95% confidence interval for beta
    0.30419
  • Lowerbound of 95% confidence interval for alpha
    0.01741
  • Upperbound of 95% confidence interval for alpha
    0.24599
  • Treynor index (mean / b)
    0.62204
  • Jensen alpha (a)
    0.13170
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01074
  • Expected Shortfall on VaR
    0.01356
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00465
  • Expected Shortfall on VaR
    0.00959
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1535.00000
  • Minimum
    0.96084
  • Quartile 1
    0.99781
  • Median
    1.00002
  • Quartile 3
    1.00387
  • Maximum
    1.04144
  • Mean of quarter 1
    0.99245
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00165
  • Mean of quarter 4
    1.00846
  • Inter Quartile Range
    0.00606
  • Number outliers low
    70.00000
  • Percentage of outliers low
    0.04560
  • Mean of outliers low
    0.98321
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.03518
  • Mean of outliers high
    1.01823
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12806
  • VaR(95%) (moments method)
    0.00625
  • Expected Shortfall (moments method)
    0.00945
  • Extreme Value Index (regression method)
    0.04490
  • VaR(95%) (regression method)
    0.00701
  • Expected Shortfall (regression method)
    0.01026
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00142
  • Median
    0.01247
  • Quartile 3
    0.02986
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00694
  • Mean of quarter 3
    0.02280
  • Mean of quarter 4
    0.07011
  • Inter Quartile Range
    0.02844
  • 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
    0.06667
  • Mean of outliers high
    0.11406
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.72170
  • VaR(95%) (moments method)
    0.06743
  • Expected Shortfall (moments method)
    0.07478
  • Extreme Value Index (regression method)
    -0.03458
  • VaR(95%) (regression method)
    0.07892
  • Expected Shortfall (regression method)
    0.10681
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25102
  • Compounded annual return (geometric extrapolation)
    0.18342
  • Calmar ratio (compounded annual return / max draw down)
    1.28594
  • Compounded annual return / average of 25% largest draw downs
    2.61605
  • Compounded annual return / Expected Shortfall lognormal
    13.52570
  • 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
    0.14225
  • SD
    0.15251
  • Sharpe ratio (Glass type estimate)
    0.93273
  • Sharpe ratio (Hedges UMVUE)
    0.92863
  • df
    171.00000
  • t
    0.65954
  • p
    0.46795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84211
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70503
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84492
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70218
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47052
  • Upside Potential Ratio
    10.41920
  • Upside part of mean
    1.00789
  • Downside part of mean
    -0.86564
  • Upside SD
    0.11758
  • Downside SD
    0.09673
  • N nonnegative terms
    79.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15866
  • Mean of criterion
    0.14225
  • SD of predictor
    0.08942
  • SD of criterion
    0.15251
  • Covariance
    0.00903
  • r
    0.66238
  • b (slope, estimate of beta)
    1.12969
  • a (intercept, estimate of alpha)
    -0.03699
  • Mean Square Error
    0.01313
  • DF error
    170.00000
  • t(b)
    11.52780
  • p(b)
    0.16881
  • t(a)
    -0.22721
  • p(a)
    0.50871
  • Lowerbound of 95% confidence interval for beta
    0.93625
  • Upperbound of 95% confidence interval for beta
    1.32314
  • Lowerbound of 95% confidence interval for alpha
    -0.35836
  • Upperbound of 95% confidence interval for alpha
    0.28438
  • Treynor index (mean / b)
    0.12592
  • Jensen alpha (a)
    -0.03699
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13070
  • SD
    0.15204
  • Sharpe ratio (Glass type estimate)
    0.85966
  • Sharpe ratio (Hedges UMVUE)
    0.85588
  • df
    171.00000
  • t
    0.60787
  • p
    0.47045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91741
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62917
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34111
  • Upside Potential Ratio
    10.27140
  • Upside part of mean
    1.00104
  • Downside part of mean
    -0.87034
  • Upside SD
    0.11633
  • Downside SD
    0.09746
  • N nonnegative terms
    79.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15465
  • Mean of criterion
    0.13070
  • SD of predictor
    0.08942
  • SD of criterion
    0.15204
  • Covariance
    0.00901
  • r
    0.66282
  • b (slope, estimate of beta)
    1.12698
  • a (intercept, estimate of alpha)
    -0.04358
  • Mean Square Error
    0.01304
  • DF error
    170.00000
  • t(b)
    11.54160
  • p(b)
    0.16859
  • t(a)
    -0.26871
  • p(a)
    0.51030
  • Lowerbound of 95% confidence interval for beta
    0.93422
  • Upperbound of 95% confidence interval for beta
    1.31973
  • Lowerbound of 95% confidence interval for alpha
    -0.36372
  • Upperbound of 95% confidence interval for alpha
    0.27657
  • Treynor index (mean / b)
    0.11598
  • Jensen alpha (a)
    -0.04358
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01302
  • Expected Shortfall on VaR
    0.01639
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00608
  • Expected Shortfall on VaR
    0.01185
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97710
  • Quartile 1
    0.99643
  • Median
    1.00000
  • Quartile 3
    1.00383
  • Maximum
    1.04144
  • Mean of quarter 1
    0.99117
  • Mean of quarter 2
    0.99883
  • Mean of quarter 3
    1.00135
  • Mean of quarter 4
    1.01043
  • Inter Quartile Range
    0.00740
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03488
  • Mean of outliers low
    0.98013
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.04651
  • Mean of outliers high
    1.02242
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16597
  • VaR(95%) (moments method)
    0.00859
  • Expected Shortfall (moments method)
    0.01290
  • Extreme Value Index (regression method)
    -0.06020
  • VaR(95%) (regression method)
    0.00886
  • Expected Shortfall (regression method)
    0.01182
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00142
  • Quartile 1
    0.01546
  • Median
    0.02322
  • Quartile 3
    0.02864
  • Maximum
    0.08725
  • Mean of quarter 1
    0.00844
  • Mean of quarter 2
    0.02322
  • Mean of quarter 3
    0.02864
  • Mean of quarter 4
    0.08725
  • Inter Quartile Range
    0.01317
  • 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
    0.20000
  • Mean of outliers high
    0.08725
  • 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)
    0.14572
  • Compounded annual return (geometric extrapolation)
    0.15103
  • Calmar ratio (compounded annual return / max draw down)
    1.73106
  • Compounded annual return / average of 25% largest draw downs
    1.73106
  • Compounded annual return / Expected Shortfall lognormal
    9.21524

Strategy Description

The Vegan Growth Portfolio is not for Vegans only :) Its our example of what can be accomplished with using a time tested Deep Value with Momentum strategy.

The time frame for the investments is intermediate (months) to long term (years) and is appropriate for long term Value oriented investors in either IRA or taxable accounts.

The primary objective is capital preservation and capital growth, dividends are secondary.

It is not our intent to buy and hold Value stocks during the entire business or market cycle. While Value stocks typically outperform in the long run by a significant margin they are prone to under performance beginning near peaks in the business cycle.

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]




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No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Statistics

Strategy began
2012-11-05
Minimum Capital Required
$25,000
# Trades
747
# Profitable
338
% Profitable
45.2%
Net Dividends
Correlation S&P500
0.251
Sharpe Ratio
1.248

Latest

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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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