Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

These are hypothetical performance results that have certain inherent limitations. Learn more

The Vegan Growth Port
(77477692)

Created by: BradPappas BradPappas
Started: 11/2012
Stocks
Last trade: 10 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
15.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(32.5%)
Max Drawdown
1682
Num Trades
41.1%
Win Trades
1.4 : 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%)(8.4%)
2013+6.7%+4.0%+4.1%+1.3%+4.7%+0.5%+11.2%(2.1%)+9.4%(0.7%)+10.8%+1.0%+63.0%
2014+4.9%+7.6%+2.0%(1.8%)(0.4%)+0.3%(4.4%)+4.5%(4.2%)+6.7%+10.6%+4.7%+33.7%
2015(1.7%)(1.3%)+2.8%(1.3%)+0.5%(1.3%)(0.8%)(0.6%)(4.1%)+2.0%+1.4%(6.9%)(11.1%)
2016+2.6%+1.7%(0.8%)+1.4%(9%)+3.2%+2.2%+1.1%+1.3%(6.4%)+3.1%+6.5%+6.1%
2017+4.7%(0.2%)+2.3%+7.2%+8.4%(6.8%)+10.1%+3.7%+2.6%+7.7%+4.0%(2.3%)+48.2%
2018+9.8%+1.0%+0.2%+0.1%+3.7%+0.2%(3%)+11.1%+1.8%(7.5%)(2.6%)+3.9%+18.8%
2019+2.8%+0.6%+0.2%+1.0%(0.8%)+3.6%+0.2%(1.4%)(2.8%)(4.9%)+2.8%+1.7%+2.7%
2020+5.1%(13%)+0.3%(4.4%)(4.8%)(3%)(0.7%)+5.0%(3.5%)+4.7%+1.0%+9.7%(5.4%)
2021+5.7%+6.1%(8.6%)+0.5%+1.6%+5.4%(1.7%)+0.8%(2%)                  +7.3%

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 2,638 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 142 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/7/21 10:50 TSLA TESLA INC. LONG 20 756.37 9/10 15:59 735.98 0.12%
Trade id #137273764
Max drawdown($436)
Time9/10/21 15:51
Quant open20
Worst price734.52
Drawdown as % of equity-0.12%
($408)
Includes Typical Broker Commissions trade costs of $0.40
8/23/21 10:24 GOOGL ALPHABET INC CLASS A LONG 15 2809.06 9/10 15:38 2822.13 0%
Trade id #137079781
Max drawdown($9)
Time8/23/21 10:29
Quant open6
Worst price2784.79
Drawdown as % of equity-0.00%
$196
Includes Typical Broker Commissions trade costs of $0.30
8/24/21 12:17 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 98 240.51 9/10 12:33 238.53 0.12%
Trade id #137100582
Max drawdown($421)
Time8/26/21 0:00
Quant open98
Worst price236.21
Drawdown as % of equity-0.12%
($196)
Includes Typical Broker Commissions trade costs of $1.96
8/24/21 12:17 ZS ZSCALER INC. COMMON STOCK LONG 150 261.18 9/10 9:51 277.67 0.04%
Trade id #137100574
Max drawdown($145)
Time8/25/21 0:00
Quant open60
Worst price256.97
Drawdown as % of equity-0.04%
$2,471
Includes Typical Broker Commissions trade costs of $3.00
8/24/21 10:06 PAYC PAYCOM SOFTWARE INC LONG 50 489.76 9/8 15:49 477.46 0.18%
Trade id #137096416
Max drawdown($621)
Time9/8/21 9:34
Quant open50
Worst price477.33
Drawdown as % of equity-0.18%
($616)
Includes Typical Broker Commissions trade costs of $1.00
8/23/21 10:07 NOW SERVICENOW LONG 46 620.50 9/8 9:30 659.30 0.02%
Trade id #137079203
Max drawdown($78)
Time8/23/21 11:08
Quant open23
Worst price611.71
Drawdown as % of equity-0.02%
$1,784
Includes Typical Broker Commissions trade costs of $0.92
9/3/21 12:57 DOCU DOCUSIGN INC. COMMON STOCK LONG 50 310.67 9/7 15:56 291.78 0.27%
Trade id #137244187
Max drawdown($981)
Time9/7/21 15:56
Quant open50
Worst price291.05
Drawdown as % of equity-0.27%
($946)
Includes Typical Broker Commissions trade costs of $1.00
8/23/21 10:32 MTD METTLER-TOLEDO INTL LONG 9 1558.24 9/3 12:56 1571.29 0.11%
Trade id #137080070
Max drawdown($377)
Time8/24/21 0:00
Quant open9
Worst price1516.25
Drawdown as % of equity-0.11%
$117
Includes Typical Broker Commissions trade costs of $0.18
8/25/21 15:01 CPRT COPART LONG 105 144.07 9/2 11:25 144.67 0.04%
Trade id #137123609
Max drawdown($143)
Time8/26/21 0:00
Quant open105
Worst price142.70
Drawdown as % of equity-0.04%
$61
Includes Typical Broker Commissions trade costs of $2.10
8/23/21 11:56 TRMB TRIMBLE INC LONG 340 92.61 9/1 15:20 94.00 0.01%
Trade id #137082740
Max drawdown($32)
Time8/24/21 0:00
Quant open160
Worst price91.96
Drawdown as % of equity-0.01%
$467
Includes Typical Broker Commissions trade costs of $6.80
8/24/21 10:17 RSG REPUBLIC SERVICES LONG 120 122.36 8/30 10:12 123.68 0.01%
Trade id #137096860
Max drawdown($36)
Time8/24/21 10:34
Quant open120
Worst price122.06
Drawdown as % of equity-0.01%
$156
Includes Typical Broker Commissions trade costs of $2.40
8/10/21 10:10 COF CAPITAL ONE FINANCIAL LONG 213 170.64 8/19 9:30 172.88 0.06%
Trade id #136900337
Max drawdown($195)
Time8/19/21 9:30
Quant open78
Worst price168.13
Drawdown as % of equity-0.06%
$474
Includes Typical Broker Commissions trade costs of $4.26
8/11/21 10:31 FIVE FIVE BELOW INC LONG 125 223.55 8/18 11:33 221.31 0.18%
Trade id #136919279
Max drawdown($612)
Time8/17/21 0:00
Quant open125
Worst price218.65
Drawdown as % of equity-0.18%
($283)
Includes Typical Broker Commissions trade costs of $2.50
8/12/21 13:25 ODFL OLD DOMINION FREIGHT LNS LONG 60 279.48 8/18 11:06 277.18 0.07%
Trade id #136942298
Max drawdown($255)
Time8/17/21 0:00
Quant open60
Worst price275.21
Drawdown as % of equity-0.07%
($139)
Includes Typical Broker Commissions trade costs of $1.20
8/11/21 10:02 PWR QUANTA SERVICES LONG 370 96.58 8/17 12:44 93.84 0.28%
Trade id #136918056
Max drawdown($954)
Time8/17/21 11:25
Quant open370
Worst price94.00
Drawdown as % of equity-0.28%
($1,019)
Includes Typical Broker Commissions trade costs of $7.40
8/12/21 10:57 BLDR BUILDERS FIRSTSOURCE LONG 280 52.17 8/17 11:56 50.07 0.18%
Trade id #136938697
Max drawdown($644)
Time8/17/21 10:05
Quant open280
Worst price49.87
Drawdown as % of equity-0.18%
($594)
Includes Typical Broker Commissions trade costs of $5.60
8/10/21 10:55 MS MORGAN STANLEY LONG 275 102.86 8/17 11:31 102.87 0.05%
Trade id #136901783
Max drawdown($183)
Time8/16/21 0:00
Quant open275
Worst price102.19
Drawdown as % of equity-0.05%
($2)
Includes Typical Broker Commissions trade costs of $5.50
8/9/21 14:24 FAS DIREXION DAILY FINANCIAL BULL LONG 260 122.33 8/17 11:15 121.39 0.22%
Trade id #136888923
Max drawdown($776)
Time8/16/21 0:00
Quant open260
Worst price119.35
Drawdown as % of equity-0.22%
($251)
Includes Typical Broker Commissions trade costs of $5.20
8/6/21 11:33 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 140 229.19 8/17 11:03 224.38 0.23%
Trade id #136861098
Max drawdown($791)
Time8/17/21 11:03
Quant open140
Worst price223.53
Drawdown as % of equity-0.23%
($676)
Includes Typical Broker Commissions trade costs of $2.80
8/10/21 10:11 NUE NUCOR LONG 215 113.92 8/16 9:35 122.50 0.01%
Trade id #136900370
Max drawdown($27)
Time8/10/21 10:14
Quant open125
Worst price112.40
Drawdown as % of equity-0.01%
$1,842
Includes Typical Broker Commissions trade costs of $4.30
8/5/21 10:02 SQ SQUARE INC LONG 86 282.87 8/12 9:37 267.51 0.4%
Trade id #136841662
Max drawdown($1,387)
Time8/12/21 9:37
Quant open86
Worst price266.73
Drawdown as % of equity-0.40%
($1,323)
Includes Typical Broker Commissions trade costs of $1.72
7/20/21 14:25 NET CLOUDFLARE INC LONG 370 114.16 8/11 11:45 118.12 0.1%
Trade id #136596992
Max drawdown($332)
Time7/21/21 0:00
Quant open115
Worst price105.61
Drawdown as % of equity-0.10%
$1,458
Includes Typical Broker Commissions trade costs of $7.40
7/29/21 9:48 ALGN ALIGN TECHNOLOGY LONG 49 676.65 8/10 9:45 681.57 0.05%
Trade id #136730718
Max drawdown($160)
Time7/29/21 10:15
Quant open23
Worst price650.00
Drawdown as % of equity-0.05%
$240
Includes Typical Broker Commissions trade costs of $0.98
7/20/21 14:27 NDAQ NASDAQ INC COMMON STOCK LONG 220 185.00 8/9 14:22 187.77 0.02%
Trade id #136597046
Max drawdown($56)
Time7/20/21 15:59
Quant open72
Worst price180.82
Drawdown as % of equity-0.02%
$605
Includes Typical Broker Commissions trade costs of $4.40
8/5/21 10:13 ZI ZOOMINFO TECHNOLOGIES INC. CLASS A COMMON STOCK LONG 170 62.81 8/5 14:49 66.06 0%
Trade id #136841985
Max drawdown($8)
Time8/5/21 10:16
Quant open170
Worst price62.76
Drawdown as % of equity-0.00%
$550
Includes Typical Broker Commissions trade costs of $3.40
7/29/21 10:58 QCOM QUALCOMM LONG 166 151.41 8/3 11:30 147.22 0.23%
Trade id #136733135
Max drawdown($805)
Time8/3/21 10:10
Quant open166
Worst price146.56
Drawdown as % of equity-0.23%
($699)
Includes Typical Broker Commissions trade costs of $3.32
8/2/21 11:15 SQ SQUARE INC LONG 93 277.26 8/3 11:30 263.41 0.41%
Trade id #136786131
Max drawdown($1,442)
Time8/3/21 11:30
Quant open93
Worst price261.75
Drawdown as % of equity-0.41%
($1,290)
Includes Typical Broker Commissions trade costs of $1.86
7/29/21 10:26 NVDA NVIDIA LONG 127 197.58 8/3 11:25 192.52 0.2%
Trade id #136732257
Max drawdown($683)
Time8/3/21 11:25
Quant open127
Worst price192.20
Drawdown as % of equity-0.20%
($645)
Includes Typical Broker Commissions trade costs of $2.54
7/23/21 10:38 SNAP SNAP INC LONG 284 76.15 8/3 11:04 72.80 0.34%
Trade id #136651179
Max drawdown($1,226)
Time7/27/21 0:00
Quant open284
Worst price71.83
Drawdown as % of equity-0.34%
($957)
Includes Typical Broker Commissions trade costs of $5.68
7/20/21 14:13 DOCU DOCUSIGN INC. COMMON STOCK LONG 80 307.10 8/2 9:36 292.24 0.37%
Trade id #136596871
Max drawdown($1,281)
Time8/2/21 9:36
Quant open80
Worst price291.08
Drawdown as % of equity-0.37%
($1,191)
Includes Typical Broker Commissions trade costs of $1.60

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    3240.47
  • Age
    108 months ago
  • What it trades
    Stocks
  • # Trades
    1682
  • # Profitable
    692
  • % Profitable
    41.10%
  • Avg trade duration
    29.6 days
  • Max peak-to-valley drawdown
    32.47%
  • drawdown period
    Feb 19, 2020 - Aug 31, 2020
  • Annual Return (Compounded)
    15.0%
  • Avg win
    $1,336
  • Avg loss
    $685.52
  • Model Account Values (Raw)
  • Cash
    $343,676
  • Margin Used
    $0
  • Buying Power
    $344,619
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    0.76
  • Sortino Ratio
    1.04
  • Calmar Ratio
    0.557
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    32.49%
  • Correlation to SP500
    0.25320
  • Return Percent SP500 (cumu) during strategy life
    212.79%
  • Return Statistics
  • Ann Return (w trading costs)
    15.0%
  • Slump
  • Current Slump as Pcnt Equity
    14.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.150%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.50%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    540
  • Popularity (Last 6 weeks)
    858
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    269
  • Popularity (7 days, Percentile 1000 scale)
    656
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $686
  • Avg Win
    $1,336
  • Sum Trade PL (losers)
    $678,663.000
  • Age
  • Num Months filled monthly returns table
    107
  • Win / Loss
  • Sum Trade PL (winners)
    $924,629.000
  • # Winners
    692
  • Num Months Winners
    69
  • Dividends
  • Dividends Received in Model Acct
    25766
  • Win / Loss
  • # Losers
    990
  • % Winners
    41.1%
  • Frequency
  • Avg Position Time (mins)
    49039.50
  • Avg Position Time (hrs)
    817.32
  • Avg Trade Length
    34.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    0.95
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.03
  • Beta
    0.22
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    34.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.60
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.71
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.084
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.247
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.298
  • Hold-and-Hope Ratio
    0.197
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13996
  • SD
    0.17848
  • Sharpe ratio (Glass type estimate)
    0.78418
  • Sharpe ratio (Hedges UMVUE)
    0.77845
  • df
    103.00000
  • t
    2.30855
  • p
    0.35996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45664
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10425
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45265
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37203
  • Upside Potential Ratio
    2.98510
  • Upside part of mean
    0.30451
  • Downside part of mean
    -0.16455
  • Upside SD
    0.15092
  • Downside SD
    0.10201
  • N nonnegative terms
    60.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    104.00000
  • Mean of predictor
    0.11875
  • Mean of criterion
    0.13996
  • SD of predictor
    0.15533
  • SD of criterion
    0.17848
  • Covariance
    0.00929
  • r
    0.33499
  • b (slope, estimate of beta)
    0.38492
  • a (intercept, estimate of alpha)
    0.09425
  • Mean Square Error
    0.02856
  • DF error
    102.00000
  • t(b)
    3.59070
  • p(b)
    0.33250
  • t(a)
    1.60298
  • p(a)
    0.42162
  • Lowerbound of 95% confidence interval for beta
    0.17229
  • Upperbound of 95% confidence interval for beta
    0.59755
  • Lowerbound of 95% confidence interval for alpha
    -0.02237
  • Upperbound of 95% confidence interval for alpha
    0.21088
  • Treynor index (mean / b)
    0.36361
  • Jensen alpha (a)
    0.09425
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12347
  • SD
    0.17626
  • Sharpe ratio (Glass type estimate)
    0.70048
  • Sharpe ratio (Hedges UMVUE)
    0.69537
  • df
    103.00000
  • t
    2.06216
  • p
    0.37408
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37141
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02287
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36787
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15696
  • Upside Potential Ratio
    2.74697
  • Upside part of mean
    0.29315
  • Downside part of mean
    -0.16968
  • Upside SD
    0.14371
  • Downside SD
    0.10672
  • N nonnegative terms
    60.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    104.00000
  • Mean of predictor
    0.10488
  • Mean of criterion
    0.12347
  • SD of predictor
    0.16707
  • SD of criterion
    0.17626
  • Covariance
    0.01059
  • r
    0.35973
  • b (slope, estimate of beta)
    0.37952
  • a (intercept, estimate of alpha)
    0.08367
  • Mean Square Error
    0.02731
  • DF error
    102.00000
  • t(b)
    3.89373
  • p(b)
    0.32014
  • t(a)
    1.46625
  • p(a)
    0.42816
  • Lowerbound of 95% confidence interval for beta
    0.18619
  • Upperbound of 95% confidence interval for beta
    0.57284
  • Lowerbound of 95% confidence interval for alpha
    -0.02951
  • Upperbound of 95% confidence interval for alpha
    0.19685
  • Treynor index (mean / b)
    0.32533
  • Jensen alpha (a)
    0.08367
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07078
  • Expected Shortfall on VaR
    0.09016
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02819
  • Expected Shortfall on VaR
    0.05787
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    104.00000
  • Minimum
    0.85355
  • Quartile 1
    0.98575
  • Median
    1.00965
  • Quartile 3
    1.04640
  • Maximum
    1.17909
  • Mean of quarter 1
    0.95284
  • Mean of quarter 2
    0.99805
  • Mean of quarter 3
    1.02554
  • Mean of quarter 4
    1.07954
  • Inter Quartile Range
    0.06065
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00962
  • Mean of outliers low
    0.85355
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00962
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24549
  • VaR(95%) (moments method)
    0.03906
  • Expected Shortfall (moments method)
    0.04936
  • Extreme Value Index (regression method)
    0.13264
  • VaR(95%) (regression method)
    0.03798
  • Expected Shortfall (regression method)
    0.05674
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00378
  • Quartile 1
    0.01573
  • Median
    0.05021
  • Quartile 3
    0.09437
  • Maximum
    0.24948
  • Mean of quarter 1
    0.01114
  • Mean of quarter 2
    0.02770
  • Mean of quarter 3
    0.07489
  • Mean of quarter 4
    0.15666
  • Inter Quartile Range
    0.07864
  • 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
    0.06250
  • Mean of outliers high
    0.24948
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.36303
  • VaR(95%) (moments method)
    0.17425
  • Expected Shortfall (moments method)
    0.20470
  • Extreme Value Index (regression method)
    0.46749
  • VaR(95%) (regression method)
    0.20524
  • Expected Shortfall (regression method)
    0.37804
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31308
  • Compounded annual return (geometric extrapolation)
    0.16343
  • Calmar ratio (compounded annual return / max draw down)
    0.65511
  • Compounded annual return / average of 25% largest draw downs
    1.04321
  • Compounded annual return / Expected Shortfall lognormal
    1.81264
  • 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
    0.13184
  • SD
    0.13749
  • Sharpe ratio (Glass type estimate)
    0.95886
  • Sharpe ratio (Hedges UMVUE)
    0.95854
  • df
    2290.00000
  • t
    2.83540
  • p
    0.00231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62193
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32264
  • Upside Potential Ratio
    8.50004
  • Upside part of mean
    0.84726
  • Downside part of mean
    -0.71542
  • Upside SD
    0.09501
  • Downside SD
    0.09968
  • N nonnegative terms
    1296.00000
  • N negative terms
    995.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2291.00000
  • Mean of predictor
    0.11674
  • Mean of criterion
    0.13184
  • SD of predictor
    0.16810
  • SD of criterion
    0.13749
  • Covariance
    0.00590
  • r
    0.25510
  • b (slope, estimate of beta)
    0.20865
  • a (intercept, estimate of alpha)
    0.10700
  • Mean Square Error
    0.01768
  • DF error
    2289.00000
  • t(b)
    12.62250
  • p(b)
    -0.00000
  • t(a)
    2.38792
  • p(a)
    0.00851
  • Lowerbound of 95% confidence interval for beta
    0.17624
  • Upperbound of 95% confidence interval for beta
    0.24107
  • Lowerbound of 95% confidence interval for alpha
    0.01922
  • Upperbound of 95% confidence interval for alpha
    0.19574
  • Treynor index (mean / b)
    0.63184
  • Jensen alpha (a)
    0.10748
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12231
  • SD
    0.13786
  • Sharpe ratio (Glass type estimate)
    0.88719
  • Sharpe ratio (Hedges UMVUE)
    0.88690
  • df
    2290.00000
  • t
    2.62347
  • p
    0.00438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22380
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55041
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22359
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55020
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21290
  • Upside Potential Ratio
    8.35666
  • Upside part of mean
    0.84270
  • Downside part of mean
    -0.72039
  • Upside SD
    0.09427
  • Downside SD
    0.10084
  • N nonnegative terms
    1296.00000
  • N negative terms
    995.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2291.00000
  • Mean of predictor
    0.10250
  • Mean of criterion
    0.12231
  • SD of predictor
    0.16881
  • SD of criterion
    0.13786
  • Covariance
    0.00595
  • r
    0.25574
  • b (slope, estimate of beta)
    0.20885
  • a (intercept, estimate of alpha)
    0.10090
  • Mean Square Error
    0.01777
  • DF error
    2289.00000
  • t(b)
    12.65640
  • p(b)
    -0.00000
  • t(a)
    2.23667
  • p(a)
    0.01270
  • Lowerbound of 95% confidence interval for beta
    0.17649
  • Upperbound of 95% confidence interval for beta
    0.24121
  • Lowerbound of 95% confidence interval for alpha
    0.01244
  • Upperbound of 95% confidence interval for alpha
    0.18937
  • Treynor index (mean / b)
    0.58564
  • Jensen alpha (a)
    0.10090
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01345
  • Expected Shortfall on VaR
    0.01695
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00568
  • Expected Shortfall on VaR
    0.01186
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2291.00000
  • Minimum
    0.94474
  • Quartile 1
    0.99684
  • Median
    1.00092
  • Quartile 3
    1.00513
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99027
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00281
  • Mean of quarter 4
    1.01023
  • Inter Quartile Range
    0.00829
  • Number outliers low
    79.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.97600
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.02095
  • Mean of outliers high
    1.02297
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19635
  • VaR(95%) (moments method)
    0.00873
  • Expected Shortfall (moments method)
    0.01375
  • Extreme Value Index (regression method)
    0.09541
  • VaR(95%) (regression method)
    0.00901
  • Expected Shortfall (regression method)
    0.01334
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    76.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00506
  • Median
    0.01997
  • Quartile 3
    0.04568
  • Maximum
    0.29119
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.01165
  • Mean of quarter 3
    0.02962
  • Mean of quarter 4
    0.09230
  • Inter Quartile Range
    0.04062
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    0.17902
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.25997
  • VaR(95%) (moments method)
    0.09880
  • Expected Shortfall (moments method)
    0.15472
  • Extreme Value Index (regression method)
    0.36307
  • VaR(95%) (regression method)
    0.09205
  • Expected Shortfall (regression method)
    0.15193
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31099
  • Compounded annual return (geometric extrapolation)
    0.16209
  • Calmar ratio (compounded annual return / max draw down)
    0.55664
  • Compounded annual return / average of 25% largest draw downs
    1.75611
  • Compounded annual return / Expected Shortfall lognormal
    9.56183
  • 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
    -0.03524
  • SD
    0.09615
  • Sharpe ratio (Glass type estimate)
    -0.36649
  • Sharpe ratio (Hedges UMVUE)
    -0.36437
  • df
    130.00000
  • t
    -0.25915
  • p
    0.51136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40628
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40779
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49346
  • Upside Potential Ratio
    7.22231
  • Upside part of mean
    0.51573
  • Downside part of mean
    -0.55097
  • Upside SD
    0.06387
  • Downside SD
    0.07141
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22723
  • Mean of criterion
    -0.03524
  • SD of predictor
    0.10555
  • SD of criterion
    0.09615
  • Covariance
    0.00259
  • r
    0.25503
  • b (slope, estimate of beta)
    0.23231
  • a (intercept, estimate of alpha)
    -0.08802
  • Mean Square Error
    0.00871
  • DF error
    129.00000
  • t(b)
    2.99568
  • p(b)
    0.33942
  • t(a)
    -0.66105
  • p(a)
    0.53697
  • Lowerbound of 95% confidence interval for beta
    0.07888
  • Upperbound of 95% confidence interval for beta
    0.38574
  • Lowerbound of 95% confidence interval for alpha
    -0.35148
  • Upperbound of 95% confidence interval for alpha
    0.17543
  • Treynor index (mean / b)
    -0.15168
  • Jensen alpha (a)
    -0.08802
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03983
  • SD
    0.09625
  • Sharpe ratio (Glass type estimate)
    -0.41383
  • Sharpe ratio (Hedges UMVUE)
    -0.41144
  • df
    130.00000
  • t
    -0.29262
  • p
    0.51283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.18537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36082
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55426
  • Upside Potential Ratio
    7.14789
  • Upside part of mean
    0.51365
  • Downside part of mean
    -0.55348
  • Upside SD
    0.06352
  • Downside SD
    0.07186
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22158
  • Mean of criterion
    -0.03983
  • SD of predictor
    0.10551
  • SD of criterion
    0.09625
  • Covariance
    0.00260
  • r
    0.25585
  • b (slope, estimate of beta)
    0.23338
  • a (intercept, estimate of alpha)
    -0.09154
  • Mean Square Error
    0.00872
  • DF error
    129.00000
  • t(b)
    3.00593
  • p(b)
    0.33892
  • t(a)
    -0.68723
  • p(a)
    0.53843
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.07977
  • Upperbound of 95% confidence interval for beta
    0.38700
  • Lowerbound of 95% confidence interval for alpha
    -0.35509
  • Upperbound of 95% confidence interval for alpha
    0.17201
  • Treynor index (mean / b)
    -0.17066
  • Jensen alpha (a)
    -0.09154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00988
  • Expected Shortfall on VaR
    0.01234
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00462
  • Expected Shortfall on VaR
    0.00924
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98046
  • Quartile 1
    0.99773
  • Median
    1.00023
  • Quartile 3
    1.00236
  • Maximum
    1.01850
  • Mean of quarter 1
    0.99258
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    1.00133
  • Mean of quarter 4
    1.00672
  • Inter Quartile Range
    0.00463
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98616
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01321
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22165
  • VaR(95%) (moments method)
    0.00645
  • Expected Shortfall (moments method)
    0.00814
  • Extreme Value Index (regression method)
    -0.15943
  • VaR(95%) (regression method)
    0.00744
  • Expected Shortfall (regression method)
    0.00975
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00124
  • Quartile 1
    0.00592
  • Median
    0.02253
  • Quartile 3
    0.04297
  • Maximum
    0.05915
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00749
  • Mean of quarter 3
    0.03757
  • Mean of quarter 4
    0.05915
  • Inter Quartile Range
    0.03704
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365967000
  • Max Equity Drawdown (num days)
    194
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01189
  • Compounded annual return (geometric extrapolation)
    -0.01185
  • Calmar ratio (compounded annual return / max draw down)
    -0.20035
  • Compounded annual return / average of 25% largest draw downs
    -0.20035
  • Compounded annual return / Expected Shortfall lognormal
    -0.96056

Strategy Description

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

Time horizon for holdings is intermediate to long term. This portfolio is cash-only, no margin, options or futures.

Summary Statistics

Strategy began
2012-11-05
Suggested Minimum Capital
$45,000
# Trades
1682
# Profitable
692
% Profitable
41.1%
Net Dividends
Correlation S&P500
0.253
Sharpe Ratio
0.76
Sortino Ratio
1.04
Beta
0.22
Alpha
0.03
Leverage
0.95 Average
2.13 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.