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The Vegan Growth Port (77477692)

Created by: BradPappas BradPappas
Started: 11/2012
Stocks
Last trade: 8 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $168.00 per month.

21.9%
Annual Return (Compounded)
17.6%
Max Drawdown
823
Num Trades
45.2%
Win Trades
1.8 : 1
Profit Factor
64.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      (8.1%)(0.4%)(8.5%)
2013+6.7%+4.0%+4.1%+1.3%+4.6%+0.4%+11.2%(2.1%)+9.4%(0.7%)+10.8%+1.0%+62.6%
2014+4.9%+7.6%+1.9%(1.9%)(0.4%)+0.3%(4.4%)+4.5%(4.2%)+6.8%+10.7%+4.7%+33.5%
2015(1.7%)(1.3%)+2.8%(1.3%)+0.5%(1.4%)(0.8%)(0.7%)(4.1%)+2.0%+1.4%(7%)(11.3%)
2016+2.6%+1.7%(0.8%)+1.4%(9.1%)+3.2%+2.2%+1.1%+1.3%(6.5%)+3.1%+6.5%+5.9%
2017+4.7%(0.2%)+2.3%+7.2%+8.5%(6.9%)+10.2%+3.7%+2.6%+7.7%+4.0%(3%)+47.4%

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 510 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/24/17 11:50 LYV LIVE NATION ENTERTAINMENT LONG 230 45.10 12/6 11:06 43.07 0.25%
Trade id #115015968
Max drawdown($712)
Time12/4/17 20:00
Quant open230
Worst price42.00
Drawdown as % of equity-0.25%
($472)
Includes Typical Broker Commissions trade costs of $4.60
8/31/17 12:27 NVDA NVIDIA LONG 60 169.45 12/4 10:09 187.31 0.02%
Trade id #113473025
Max drawdown($58)
Time8/31/17 15:07
Quant open50
Worst price168.39
Drawdown as % of equity-0.02%
$1,071
Includes Typical Broker Commissions trade costs of $1.20
11/13/17 11:15 WUBA 58.COM INC LONG 135 72.68 12/4 10:03 70.62 0.19%
Trade id #114827310
Max drawdown($558)
Time11/15/17 9:46
Quant open135
Worst price68.54
Drawdown as % of equity-0.19%
($281)
Includes Typical Broker Commissions trade costs of $2.70
11/21/17 11:07 MU MICRON TECHNOLOGY LONG 150 48.84 12/1 11:25 40.81 0.42%
Trade id #114961723
Max drawdown($1,274)
Time12/1/17 9:57
Quant open150
Worst price40.34
Drawdown as % of equity-0.42%
($1,207)
Includes Typical Broker Commissions trade costs of $3.00
1/9/17 11:24 BABA ALIBABA GROUP HOLDING LIMITED LONG 170 96.69 12/1 9:30 159.56 0.23%
Trade id #108453524
Max drawdown($478)
Time3/9/17 8:43
Quant open150
Worst price92.30
Drawdown as % of equity-0.23%
$10,684
Includes Typical Broker Commissions trade costs of $3.40
9/7/17 13:54 SQ SQUARE INC LONG 440 27.08 11/22 11:17 46.35 0.04%
Trade id #113586345
Max drawdown($112)
Time9/7/17 15:45
Quant open340
Worst price26.27
Drawdown as % of equity-0.04%
$8,468
Includes Typical Broker Commissions trade costs of $8.80
3/15/17 11:31 APO APOLLO GLOBAL MANAGEMENT LONG 650 23.52 11/15 13:17 28.88 n/a $3,474
Includes Typical Broker Commissions trade costs of $9.00
11/1/17 11:45 GBTC BITCOIN INVT TR COMMON STOCK LONG 7 920.79 11/14 9:59 860.58 0.2%
Trade id #114631356
Max drawdown($565)
Time11/1/17 15:23
Quant open7
Worst price840.00
Drawdown as % of equity-0.20%
($421)
Includes Typical Broker Commissions trade costs of $0.14
10/30/17 12:02 GLUU GLU MOBILE LONG 3,000 3.94 11/7 11:03 3.81 0.23%
Trade id #114596299
Max drawdown($667)
Time11/2/17 9:36
Quant open1,500
Worst price3.50
Drawdown as % of equity-0.23%
($413)
Includes Typical Broker Commissions trade costs of $10.00
10/5/17 13:25 LPSN LIVEPERSON LONG 600 14.80 11/1 11:46 13.75 0.25%
Trade id #114044563
Max drawdown($720)
Time10/31/17 5:10
Quant open600
Worst price13.60
Drawdown as % of equity-0.25%
($635)
Includes Typical Broker Commissions trade costs of $5.00
9/20/17 11:21 CHGG CHEGG INC LONG 600 15.26 10/31 12:17 15.00 0.21%
Trade id #113765604
Max drawdown($606)
Time10/31/17 9:33
Quant open600
Worst price14.25
Drawdown as % of equity-0.21%
($161)
Includes Typical Broker Commissions trade costs of $5.00
9/18/17 14:13 BCOR BLUCORA LONG 450 24.20 10/30 12:01 22.60 0.27%
Trade id #113728390
Max drawdown($787)
Time10/30/17 11:55
Quant open450
Worst price22.45
Drawdown as % of equity-0.27%
($729)
Includes Typical Broker Commissions trade costs of $9.00
8/22/17 10:50 EDU NEW ORIENTAL LONG 150 84.49 10/25 11:03 89.26 0.58%
Trade id #113276759
Max drawdown($1,474)
Time8/29/17 9:42
Quant open150
Worst price74.66
Drawdown as % of equity-0.58%
$713
Includes Typical Broker Commissions trade costs of $3.00
7/27/17 13:48 TREE LENDINGTREE INC. COMMON STOCK LONG 50 211.25 10/19 14:48 228.70 n/a $872
Includes Typical Broker Commissions trade costs of $1.00
3/27/17 11:27 SHOP SHOPIFY INC LONG 175 82.65 10/4 11:59 111.22 n/a $4,995
Includes Typical Broker Commissions trade costs of $3.50
8/30/17 11:45 ATVI ACTIVISION BLIZZARD LONG 200 64.63 10/4 11:59 63.05 0.19%
Trade id #113447595
Max drawdown($496)
Time9/25/17 12:21
Quant open150
Worst price61.32
Drawdown as % of equity-0.19%
($321)
Includes Typical Broker Commissions trade costs of $4.00
9/12/17 13:52 TSLA TESLA INC. LONG 29 368.57 9/28 11:27 336.96 0.36%
Trade id #113647679
Max drawdown($961)
Time9/28/17 9:59
Quant open29
Worst price335.40
Drawdown as % of equity-0.36%
($918)
Includes Typical Broker Commissions trade costs of $0.58
1/18/17 15:51 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 81 184.89 9/19 12:46 249.03 n/a $5,194
Includes Typical Broker Commissions trade costs of $1.62
9/13/17 10:45 JD JD.COM INC LONG 200 44.77 9/19 11:21 44.31 0.07%
Trade id #113661156
Max drawdown($188)
Time9/19/17 9:32
Quant open200
Worst price43.83
Drawdown as % of equity-0.07%
($96)
Includes Typical Broker Commissions trade costs of $4.00
12/28/16 13:07 AMZN AMAZON.COM LONG 20 771.55 9/18/17 14:13 980.71 n/a $4,183
Includes Typical Broker Commissions trade costs of $0.40
8/24/17 13:24 AMT AMERICAN TOWER LONG 100 144.13 9/12 12:26 144.58 0.02%
Trade id #113323039
Max drawdown($44)
Time8/24/17 13:45
Quant open100
Worst price143.69
Drawdown as % of equity-0.02%
$43
Includes Typical Broker Commissions trade costs of $2.00
8/22/17 15:22 SPGI S & P GLOBAL INC LONG 80 152.68 9/11 11:55 152.84 0.08%
Trade id #113281979
Max drawdown($216)
Time8/29/17 9:32
Quant open80
Worst price149.97
Drawdown as % of equity-0.08%
$11
Includes Typical Broker Commissions trade costs of $1.60
9/1/17 13:08 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 300 27.25 9/11 11:46 24.95 0.28%
Trade id #113496630
Max drawdown($735)
Time9/11/17 11:21
Quant open300
Worst price24.80
Drawdown as % of equity-0.28%
($696)
Includes Typical Broker Commissions trade costs of $6.00
8/16/17 10:31 PLUS EPLUS LONG 115 82.25 9/8 11:41 78.75 0.16%
Trade id #113173947
Max drawdown($414)
Time9/8/17 9:55
Quant open115
Worst price78.65
Drawdown as % of equity-0.16%
($405)
Includes Typical Broker Commissions trade costs of $2.30
8/22/17 12:08 PGR PROGRESSIVE LONG 290 48.74 9/1 13:47 46.24 0.28%
Trade id #113279107
Max drawdown($736)
Time8/31/17 16:47
Quant open290
Worst price46.20
Drawdown as % of equity-0.28%
($731)
Includes Typical Broker Commissions trade costs of $5.80
7/3/17 9:50 RE EVEREST RE GROUP LONG 61 261.92 8/22 12:07 262.66 0.11%
Trade id #112384009
Max drawdown($295)
Time7/27/17 11:20
Quant open61
Worst price257.08
Drawdown as % of equity-0.11%
$44
Includes Typical Broker Commissions trade costs of $1.22
7/20/17 11:59 MOMO MOMO INC. AMERICAN DEPOSITARY LONG 425 43.58 8/22 10:50 37.03 1.1%
Trade id #112703299
Max drawdown($2,835)
Time8/22/17 9:58
Quant open425
Worst price36.91
Drawdown as % of equity-1.10%
($2,793)
Includes Typical Broker Commissions trade costs of $8.50
3/27/17 15:22 SQ SQUARE INC LONG 450 17.14 8/21 11:28 24.45 n/a $3,281
Includes Typical Broker Commissions trade costs of $9.00
7/19/17 11:02 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 200 52.86 8/10 12:40 50.26 0.2%
Trade id #112682433
Max drawdown($520)
Time8/10/17 12:40
Quant open0
Worst price50.26
Drawdown as % of equity-0.20%
($524)
Includes Typical Broker Commissions trade costs of $4.00
4/7/17 12:12 PCLN THE PRICELINE GROUP INC. COMMO LONG 7 1769.26 8/10 11:09 1877.51 n/a $758
Includes Typical Broker Commissions trade costs of $0.14

Statistics

  • Strategy began
    11/5/2012
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1864.77
  • Age
    62 months ago
  • What it trades
    Stocks
  • # Trades
    823
  • # Profitable
    372
  • % Profitable
    45.20%
  • Avg trade duration
    46.1 days
  • Max peak-to-valley drawdown
    17.63%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    21.9%
  • Avg win
    $1,100
  • Avg loss
    $555.48
  • Model Account Values (Raw)
  • Cash
    $113,652
  • Margin Used
    $0
  • Buying Power
    $151,339
  • Ratios
  • W:L ratio
    1.78:1
  • Sharpe Ratio
    1.421
  • Sortino Ratio
    2.04
  • Calmar Ratio
    1.675
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27300
  • Return Statistics
  • Ann Return (w trading costs)
    21.9%
  • Ann Return (Compnd, No Fees)
    23.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • 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)
    508
  • Popularity (Last 6 weeks)
    852
  • C2 Score
    85.9
  • 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
    $555
  • Avg Win
    $1,145
  • # Winners
    372
  • # Losers
    451
  • % Winners
    45.2%
  • Frequency
  • Avg Position Time (mins)
    66353.00
  • Avg Position Time (hrs)
    1105.88
  • Avg Trade Length
    46.1 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
    0.20041
  • SD
    0.17854
  • Sharpe ratio (Glass type estimate)
    1.12248
  • Sharpe ratio (Hedges UMVUE)
    1.10815
  • df
    59.00000
  • t
    2.50995
  • p
    0.00742
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21847
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20912
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00719
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20598
  • Upside Potential Ratio
    3.71537
  • Upside part of mean
    0.33753
  • Downside part of mean
    -0.13712
  • Upside SD
    0.16260
  • Downside SD
    0.09085
  • N nonnegative terms
    39.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.10249
  • Mean of criterion
    0.20041
  • SD of predictor
    0.10414
  • SD of criterion
    0.17854
  • Covariance
    0.00701
  • r
    0.37681
  • b (slope, estimate of beta)
    0.64598
  • a (intercept, estimate of alpha)
    0.13420
  • Mean Square Error
    0.02782
  • DF error
    58.00000
  • t(b)
    3.09804
  • p(b)
    0.00150
  • t(a)
    1.72952
  • p(a)
    0.04452
  • Lowerbound of 95% confidence interval for beta
    0.22860
  • Upperbound of 95% confidence interval for beta
    1.06337
  • Lowerbound of 95% confidence interval for alpha
    -0.02112
  • Upperbound of 95% confidence interval for alpha
    0.28953
  • Treynor index (mean / b)
    0.31024
  • Jensen alpha (a)
    0.13420
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18330
  • SD
    0.17445
  • Sharpe ratio (Glass type estimate)
    1.05069
  • Sharpe ratio (Hedges UMVUE)
    1.03727
  • df
    59.00000
  • t
    2.34940
  • p
    0.01109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94315
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14099
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93355
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94575
  • Upside Potential Ratio
    3.44388
  • Upside part of mean
    0.32443
  • Downside part of mean
    -0.14113
  • Upside SD
    0.15444
  • Downside SD
    0.09420
  • N nonnegative terms
    39.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.09646
  • Mean of criterion
    0.18330
  • SD of predictor
    0.10506
  • SD of criterion
    0.17445
  • Covariance
    0.00660
  • r
    0.35990
  • b (slope, estimate of beta)
    0.59764
  • a (intercept, estimate of alpha)
    0.12565
  • Mean Square Error
    0.02695
  • DF error
    58.00000
  • t(b)
    2.93775
  • p(b)
    0.00237
  • t(a)
    1.65343
  • p(a)
    0.05182
  • Lowerbound of 95% confidence interval for beta
    0.19042
  • Upperbound of 95% confidence interval for beta
    1.00485
  • Lowerbound of 95% confidence interval for alpha
    -0.02647
  • Upperbound of 95% confidence interval for alpha
    0.27777
  • Treynor index (mean / b)
    0.30671
  • Jensen alpha (a)
    0.12565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06533
  • Expected Shortfall on VaR
    0.08463
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02038
  • Expected Shortfall on VaR
    0.04445
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    60.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99293
  • Median
    1.01257
  • Quartile 3
    1.04888
  • Maximum
    1.17909
  • Mean of quarter 1
    0.95835
  • Mean of quarter 2
    1.00326
  • Mean of quarter 3
    1.02938
  • Mean of quarter 4
    1.08513
  • Inter Quartile Range
    0.05595
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01667
  • Mean of outliers low
    0.89617
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01667
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26602
  • VaR(95%) (moments method)
    0.03293
  • Expected Shortfall (moments method)
    0.05810
  • Extreme Value Index (regression method)
    -0.27256
  • VaR(95%) (regression method)
    0.04513
  • Expected Shortfall (regression method)
    0.05913
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00378
  • Quartile 1
    0.01614
  • Median
    0.05142
  • Quartile 3
    0.08126
  • Maximum
    0.12760
  • Mean of quarter 1
    0.01135
  • Mean of quarter 2
    0.03433
  • Mean of quarter 3
    0.07848
  • Mean of quarter 4
    0.11572
  • Inter Quartile Range
    0.06513
  • 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)
    -4.85499
  • VaR(95%) (moments method)
    0.11536
  • Expected Shortfall (moments method)
    0.11538
  • Extreme Value Index (regression method)
    -0.92489
  • VaR(95%) (regression method)
    0.13873
  • Expected Shortfall (regression method)
    0.14523
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37498
  • Compounded annual return (geometric extrapolation)
    0.23517
  • Calmar ratio (compounded annual return / max draw down)
    1.84293
  • Compounded annual return / average of 25% largest draw downs
    2.03224
  • Compounded annual return / Expected Shortfall lognormal
    2.77860
  • 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
    0.19587
  • SD
    0.13779
  • Sharpe ratio (Glass type estimate)
    1.42151
  • Sharpe ratio (Hedges UMVUE)
    1.42070
  • df
    1317.00000
  • t
    3.18828
  • p
    0.44436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29624
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03952
  • Upside Potential Ratio
    9.52740
  • Upside part of mean
    0.91501
  • Downside part of mean
    -0.71913
  • Upside SD
    0.09948
  • Downside SD
    0.09604
  • N nonnegative terms
    762.00000
  • N negative terms
    556.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1318.00000
  • Mean of predictor
    0.10472
  • Mean of criterion
    0.19587
  • SD of predictor
    0.12019
  • SD of criterion
    0.13779
  • Covariance
    0.00445
  • r
    0.26855
  • b (slope, estimate of beta)
    0.30790
  • a (intercept, estimate of alpha)
    0.16400
  • Mean Square Error
    0.01763
  • DF error
    1316.00000
  • t(b)
    10.11380
  • p(b)
    0.36572
  • t(a)
    2.75999
  • p(a)
    0.46207
  • Lowerbound of 95% confidence interval for beta
    0.24818
  • Upperbound of 95% confidence interval for beta
    0.36762
  • Lowerbound of 95% confidence interval for alpha
    0.04732
  • Upperbound of 95% confidence interval for alpha
    0.27994
  • Treynor index (mean / b)
    0.63616
  • Jensen alpha (a)
    0.16363
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18628
  • SD
    0.13797
  • Sharpe ratio (Glass type estimate)
    1.35023
  • Sharpe ratio (Hedges UMVUE)
    1.34946
  • df
    1317.00000
  • t
    3.02841
  • p
    0.44712
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47461
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22537
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47408
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22484
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.92051
  • Upside Potential Ratio
    9.38180
  • Upside part of mean
    0.91001
  • Downside part of mean
    -0.72373
  • Upside SD
    0.09871
  • Downside SD
    0.09700
  • N nonnegative terms
    762.00000
  • N negative terms
    556.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1318.00000
  • Mean of predictor
    0.09746
  • Mean of criterion
    0.18628
  • SD of predictor
    0.12030
  • SD of criterion
    0.13797
  • Covariance
    0.00446
  • r
    0.26867
  • b (slope, estimate of beta)
    0.30812
  • a (intercept, estimate of alpha)
    0.15625
  • Mean Square Error
    0.01767
  • DF error
    1316.00000
  • t(b)
    10.11840
  • p(b)
    0.36567
  • t(a)
    2.63287
  • p(a)
    0.46381
  • Lowerbound of 95% confidence interval for beta
    0.24838
  • Upperbound of 95% confidence interval for beta
    0.36786
  • Lowerbound of 95% confidence interval for alpha
    0.03983
  • Upperbound of 95% confidence interval for alpha
    0.27268
  • Treynor index (mean / b)
    0.60457
  • Jensen alpha (a)
    0.15625
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01322
  • Expected Shortfall on VaR
    0.01672
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00563
  • Expected Shortfall on VaR
    0.01159
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1318.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99644
  • Median
    1.00131
  • Quartile 3
    1.00563
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99033
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00320
  • Mean of quarter 4
    1.01079
  • Inter Quartile Range
    0.00919
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.02656
  • Mean of outliers low
    0.97533
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.01669
  • Mean of outliers high
    1.02423
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18812
  • VaR(95%) (moments method)
    0.00913
  • Expected Shortfall (moments method)
    0.01408
  • Extreme Value Index (regression method)
    0.07755
  • VaR(95%) (regression method)
    0.00910
  • Expected Shortfall (regression method)
    0.01307
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    53.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00488
  • Median
    0.01872
  • Quartile 3
    0.04562
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00267
  • Mean of quarter 2
    0.01142
  • Mean of quarter 3
    0.03006
  • Mean of quarter 4
    0.07571
  • Inter Quartile Range
    0.04074
  • 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
    0.03774
  • Mean of outliers high
    0.13606
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.16976
  • VaR(95%) (moments method)
    0.08216
  • Expected Shortfall (moments method)
    0.11374
  • Extreme Value Index (regression method)
    0.45241
  • VaR(95%) (regression method)
    0.07260
  • Expected Shortfall (regression method)
    0.11506
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38511
  • Compounded annual return (geometric extrapolation)
    0.23886
  • Calmar ratio (compounded annual return / max draw down)
    1.67458
  • Compounded annual return / average of 25% largest draw downs
    3.15491
  • Compounded annual return / Expected Shortfall lognormal
    14.28240
  • 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
    0.33376
  • SD
    0.15765
  • Sharpe ratio (Glass type estimate)
    2.11712
  • Sharpe ratio (Hedges UMVUE)
    2.10488
  • df
    130.00000
  • t
    1.49703
  • p
    0.43491
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89684
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88847
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88823
  • Upside Potential Ratio
    9.50124
  • Upside part of mean
    1.09794
  • Downside part of mean
    -0.76418
  • Upside SD
    0.10833
  • Downside SD
    0.11556
  • N nonnegative terms
    87.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15085
  • Mean of criterion
    0.33376
  • SD of predictor
    0.06651
  • SD of criterion
    0.15765
  • Covariance
    0.00538
  • r
    0.51328
  • b (slope, estimate of beta)
    1.21668
  • a (intercept, estimate of alpha)
    0.15022
  • Mean Square Error
    0.01845
  • DF error
    129.00000
  • t(b)
    6.79276
  • p(b)
    0.18821
  • t(a)
    0.77445
  • p(a)
    0.45672
  • Lowerbound of 95% confidence interval for beta
    0.86230
  • Upperbound of 95% confidence interval for beta
    1.57106
  • Lowerbound of 95% confidence interval for alpha
    -0.23355
  • Upperbound of 95% confidence interval for alpha
    0.53399
  • Treynor index (mean / b)
    0.27432
  • Jensen alpha (a)
    0.15022
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32112
  • SD
    0.15833
  • Sharpe ratio (Glass type estimate)
    2.02815
  • Sharpe ratio (Hedges UMVUE)
    2.01643
  • df
    130.00000
  • t
    1.43412
  • p
    0.43760
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.80702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.79905
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74386
  • Upside Potential Ratio
    9.33091
  • Upside part of mean
    1.09201
  • Downside part of mean
    -0.77089
  • Upside SD
    0.10758
  • Downside SD
    0.11703
  • N nonnegative terms
    87.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14860
  • Mean of criterion
    0.32112
  • SD of predictor
    0.06654
  • SD of criterion
    0.15833
  • Covariance
    0.00539
  • r
    0.51155
  • b (slope, estimate of beta)
    1.21722
  • a (intercept, estimate of alpha)
    0.14024
  • Mean Square Error
    0.01865
  • DF error
    129.00000
  • t(b)
    6.76174
  • p(b)
    0.18916
  • t(a)
    0.71924
  • p(a)
    0.45979
  • Lowerbound of 95% confidence interval for beta
    0.86106
  • Upperbound of 95% confidence interval for beta
    1.57339
  • Lowerbound of 95% confidence interval for alpha
    -0.24554
  • Upperbound of 95% confidence interval for alpha
    0.52603
  • Treynor index (mean / b)
    0.26381
  • Jensen alpha (a)
    0.14024
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01475
  • Expected Shortfall on VaR
    0.01877
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00500
  • Expected Shortfall on VaR
    0.01124
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95896
  • Quartile 1
    0.99752
  • Median
    1.00220
  • Quartile 3
    1.00724
  • Maximum
    1.02295
  • Mean of quarter 1
    0.98894
  • Mean of quarter 2
    1.00040
  • Mean of quarter 3
    1.00426
  • Mean of quarter 4
    1.01201
  • Inter Quartile Range
    0.00972
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97332
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02295
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30068
  • VaR(95%) (moments method)
    0.00920
  • Expected Shortfall (moments method)
    0.01654
  • Extreme Value Index (regression method)
    0.21091
  • VaR(95%) (regression method)
    0.01183
  • Expected Shortfall (regression method)
    0.02028
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00129
  • Quartile 1
    0.00512
  • Median
    0.01380
  • Quartile 3
    0.03300
  • Maximum
    0.08792
  • Mean of quarter 1
    0.00303
  • Mean of quarter 2
    0.00890
  • Mean of quarter 3
    0.02899
  • Mean of quarter 4
    0.06729
  • Inter Quartile Range
    0.02788
  • 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
    0.07692
  • Mean of outliers high
    0.08792
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.96340
  • VaR(95%) (moments method)
    0.06505
  • Expected Shortfall (moments method)
    0.06616
  • Extreme Value Index (regression method)
    -0.66504
  • VaR(95%) (regression method)
    0.08933
  • Expected Shortfall (regression method)
    0.09961
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38133
  • Compounded annual return (geometric extrapolation)
    0.41768
  • Calmar ratio (compounded annual return / max draw down)
    4.75069
  • Compounded annual return / average of 25% largest draw downs
    6.20754
  • Compounded annual return / Expected Shortfall lognormal
    22.25720

Strategy Description

This account represents the model portfolio of Rocky Mountain Humane Investing, Corp. an RIA based in Allenspark Colorado.

Our management style is an "All Weather" Trend Following system where we adapt our holdings to the current US monetary environment and market technicals. When monetary policy and technicals are positive we will generally be invested in 20-30 stocks. When the technicals and monetary policy are negative we will swap to Treasuries for safety.

Time horizon for holdings is intermediate to long term.

Summary Statistics

Strategy began
2012-11-05
Minimum Capital Required
$5,000
# Trades
823
# Profitable
372
% Profitable
45.2%
Net Dividends
Correlation S&P500
0.273
Sharpe Ratio
1.421

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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