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

The Vegan Growth Port
(77477692)

Created by: BradPappas BradPappas
Started: 11/2012
Stocks
Last trade: 7 days ago

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 $175.00 per month.

23.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

17.7%
Max Drawdown
847
Num Trades
46.0%
Win Trades
1.9 : 1
Profit Factor
65.6%
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%+1.2%+4.6%+0.4%+11.2%(2.1%)+9.4%(0.7%)+10.8%+0.9%+62.5%
2014+4.9%+7.7%+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%)(4.2%)+2.0%+1.4%(7%)(11.4%)
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+4.8%(0.2%)+2.3%+7.2%+8.5%(6.9%)+10.2%+3.7%+2.6%+7.8%+4.0%(2.4%)+48.5%
2018+9.9%+2.4%                                                            +12.5%

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 584 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/7/18 10:28 ZIV VELOCITYSHARES DAILY INVERSE V LONG 160 70.26 2/13 12:45 65.47 0.48%
Trade id #116369448
Max drawdown($1,482)
Time2/9/18 13:40
Quant open160
Worst price61.00
Drawdown as % of equity-0.48%
($770)
Includes Typical Broker Commissions trade costs of $3.20
2/7/18 10:27 FAS DIREXION DAILY FINANCIAL BULL LONG 220 69.59 2/12 12:28 65.32 0.88%
Trade id #116369408
Max drawdown($2,745)
Time2/9/18 13:39
Quant open220
Worst price57.11
Drawdown as % of equity-0.88%
($943)
Includes Typical Broker Commissions trade costs of $4.40
2/7/18 11:06 ODFL OLD DOMINION FREIGHT LNS LONG 110 141.66 2/12 10:27 129.71 0.46%
Trade id #116370566
Max drawdown($1,450)
Time2/9/18 12:10
Quant open110
Worst price128.48
Drawdown as % of equity-0.46%
($1,317)
Includes Typical Broker Commissions trade costs of $2.20
6/30/17 13:06 CBOE CBOE GLOBAL MARKETS INC LONG 260 101.92 2/9/18 9:57 107.53 0%
Trade id #112307491
Max drawdown($15)
Time2/9/18 9:33
Quant open80
Worst price101.73
Drawdown as % of equity-0.00%
$1,453
Includes Typical Broker Commissions trade costs of $5.20
1/2/18 11:43 YY YY LONG 110 120.00 2/6 12:51 124.57 0.1%
Trade id #115646489
Max drawdown($308)
Time2/6/18 9:32
Quant open55
Worst price114.40
Drawdown as % of equity-0.10%
$500
Includes Typical Broker Commissions trade costs of $2.20
1/25/18 10:15 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,320 28.47 2/6 9:30 42.62 0.05%
Trade id #116095335
Max drawdown($169)
Time1/26/18 7:03
Quant open550
Worst price27.47
Drawdown as % of equity-0.05%
$18,650
Includes Typical Broker Commissions trade costs of $23.40
9/19/17 11:21 PYPL PAYPAL HOLDINGS CORP LONG 250 65.68 2/2/18 11:28 76.13 n/a $2,608
Includes Typical Broker Commissions trade costs of $5.00
1/2/18 11:09 WUBA 58.COM INC LONG 160 74.93 2/2 10:39 76.23 0.07%
Trade id #115645422
Max drawdown($228)
Time2/2/18 10:10
Quant open80
Worst price72.07
Drawdown as % of equity-0.07%
$204
Includes Typical Broker Commissions trade costs of $3.20
1/24/18 10:32 BABA ALIBABA GROUP HOLDING LIMITED LONG 60 198.60 2/1 9:30 193.00 0.14%
Trade id #116070124
Max drawdown($453)
Time2/1/18 9:21
Quant open60
Worst price191.05
Drawdown as % of equity-0.14%
($337)
Includes Typical Broker Commissions trade costs of $1.20
11/21/17 11:07 GDOT GREEN DOT LONG 225 63.60 1/29/18 9:35 63.17 0.35%
Trade id #114961711
Max drawdown($1,044)
Time1/2/18 14:59
Quant open225
Worst price58.96
Drawdown as % of equity-0.35%
($102)
Includes Typical Broker Commissions trade costs of $4.50
12/15/17 11:04 FAS DIREXION DAILY FINANCIAL BULL LONG 200 68.26 1/29/18 9:34 81.65 0.06%
Trade id #115374490
Max drawdown($181)
Time12/15/17 16:02
Quant open150
Worst price66.85
Drawdown as % of equity-0.06%
$2,675
Includes Typical Broker Commissions trade costs of $4.00
12/6/17 11:06 FSLR FIRST SOLAR INC LONG 130 64.61 1/29/18 9:33 69.32 n/a $609
Includes Typical Broker Commissions trade costs of $2.60
12/4/17 10:10 CAT CATERPILLAR LONG 105 144.80 1/29/18 9:33 165.51 0.73%
Trade id #115172431
Max drawdown($2,143)
Time12/12/17 16:34
Quant open105
Worst price124.39
Drawdown as % of equity-0.73%
$2,172
Includes Typical Broker Commissions trade costs of $2.10
12/14/17 11:29 BLD TOPBUILD CORP LONG 200 67.73 1/25/18 10:49 75.74 n/a $1,598
Includes Typical Broker Commissions trade costs of $4.00
6/13/17 10:49 NVR NVR LONG 5 2415.00 1/25/18 10:49 3373.06 n/a $4,790
Includes Typical Broker Commissions trade costs of $0.10
12/1/17 9:30 SGMS SCIENTIFIC GAMES LONG 215 52.50 1/24/18 10:32 53.27 0.27%
Trade id #115139230
Max drawdown($795)
Time12/26/17 9:30
Quant open215
Worst price48.80
Drawdown as % of equity-0.27%
$161
Includes Typical Broker Commissions trade costs of $4.30
12/28/17 13:39 APTI APPTIO INC. CLASS A COMMON STOCK LONG 400 23.96 1/9/18 11:35 23.54 0.13%
Trade id #115572248
Max drawdown($385)
Time12/29/17 18:15
Quant open400
Worst price23.00
Drawdown as % of equity-0.13%
($176)
Includes Typical Broker Commissions trade costs of $8.00
12/4/17 10:10 SWK STANLEY BLACK & DECKER LONG 85 170.18 1/3/18 13:17 168.20 0.15%
Trade id #115172456
Max drawdown($449)
Time12/14/17 16:00
Quant open85
Worst price164.89
Drawdown as % of equity-0.15%
($170)
Includes Typical Broker Commissions trade costs of $1.70
12/4/17 12:50 PGR PROGRESSIVE LONG 310 54.45 1/3/18 13:17 55.35 0.04%
Trade id #115176756
Max drawdown($113)
Time12/6/17 9:38
Quant open310
Worst price54.08
Drawdown as % of equity-0.04%
$273
Includes Typical Broker Commissions trade costs of $6.20
8/30/17 11:51 CTRL CONTROL4 CORPORATION COMMON ST LONG 320 24.73 1/2/18 11:43 29.54 n/a $1,532
Includes Typical Broker Commissions trade costs of $6.40
1/26/17 12:26 MTN VAIL RESORTS LONG 85 169.46 1/2/18 10:25 212.15 n/a $3,627
Includes Typical Broker Commissions trade costs of $1.70
11/20/17 11:54 HRS HARRIS LONG 100 141.40 12/28 13:38 142.27 0.11%
Trade id #114942549
Max drawdown($331)
Time12/11/17 9:31
Quant open100
Worst price138.08
Drawdown as % of equity-0.11%
$85
Includes Typical Broker Commissions trade costs of $2.00
8/22/17 11:27 ALGN ALIGN TECHNOLOGY LONG 58 171.62 12/21 11:10 240.61 n/a $4,001
Includes Typical Broker Commissions trade costs of $1.16
3/24/17 12:00 CGNX COGNEX LONG 400 40.55 12/14 12:50 59.89 n/a $7,726
Includes Typical Broker Commissions trade costs of $8.00
12/1/17 9:30 CI CIGNA LONG 80 211.62 12/14 11:28 205.98 0.25%
Trade id #115139180
Max drawdown($716)
Time12/6/17 9:51
Quant open80
Worst price202.66
Drawdown as % of equity-0.25%
($453)
Includes Typical Broker Commissions trade costs of $1.60
11/29/17 12:05 KMPR KEMPER LONG 135 70.45 12/11 11:53 67.65 0.18%
Trade id #115101363
Max drawdown($540)
Time12/1/17 11:34
Quant open135
Worst price66.45
Drawdown as % of equity-0.18%
($381)
Includes Typical Broker Commissions trade costs of $2.70
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

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    1936.24
  • Age
    65 months ago
  • What it trades
    Stocks
  • # Trades
    847
  • # Profitable
    390
  • % Profitable
    46.00%
  • Avg trade duration
    46.4 days
  • Max peak-to-valley drawdown
    17.69%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    23.8%
  • Avg win
    $1,173
  • Avg loss
    $559.89
  • Model Account Values (Raw)
  • Cash
    $181,872
  • Margin Used
    $0
  • Buying Power
    $209,238
  • Ratios
  • W:L ratio
    1.94:1
  • Sharpe Ratio
    1.523
  • Sortino Ratio
    2.194
  • Calmar Ratio
    1.793
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27700
  • Return Statistics
  • Ann Return (w trading costs)
    23.8%
  • Ann Return (Compnd, No Fees)
    25.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.00%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    816
  • Popularity (Last 6 weeks)
    932
  • C2 Score
    94.0
  • 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
    $560
  • Avg Win
    $1,199
  • # Winners
    390
  • # Losers
    457
  • % Winners
    46.0%
  • Frequency
  • Avg Position Time (mins)
    66828.50
  • Avg Position Time (hrs)
    1113.81
  • Avg Trade Length
    46.4 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21848
  • SD
    0.17796
  • Sharpe ratio (Glass type estimate)
    1.22766
  • Sharpe ratio (Hedges UMVUE)
    1.21250
  • df
    61.00000
  • t
    2.79051
  • p
    0.00351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10121
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44463
  • Upside Potential Ratio
    3.92948
  • Upside part of mean
    0.35118
  • Downside part of mean
    -0.13270
  • Upside SD
    0.16478
  • Downside SD
    0.08937
  • N nonnegative terms
    41.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.10250
  • Mean of criterion
    0.21848
  • SD of predictor
    0.10396
  • SD of criterion
    0.17796
  • Covariance
    0.00672
  • r
    0.36331
  • b (slope, estimate of beta)
    0.62194
  • a (intercept, estimate of alpha)
    0.15473
  • Mean Square Error
    0.02795
  • DF error
    60.00000
  • t(b)
    3.02062
  • p(b)
    0.00185
  • t(a)
    2.02220
  • p(a)
    0.02381
  • Lowerbound of 95% confidence interval for beta
    0.21008
  • Upperbound of 95% confidence interval for beta
    1.03379
  • Lowerbound of 95% confidence interval for alpha
    0.00168
  • Upperbound of 95% confidence interval for alpha
    0.30779
  • Treynor index (mean / b)
    0.35129
  • Jensen alpha (a)
    0.15473
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20111
  • SD
    0.17393
  • Sharpe ratio (Glass type estimate)
    1.15629
  • Sharpe ratio (Hedges UMVUE)
    1.14202
  • df
    61.00000
  • t
    2.62829
  • p
    0.00542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26557
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03807
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25626
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02778
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17017
  • Upside Potential Ratio
    3.64395
  • Upside part of mean
    0.33769
  • Downside part of mean
    -0.13658
  • Upside SD
    0.15667
  • Downside SD
    0.09267
  • N nonnegative terms
    41.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.09649
  • Mean of criterion
    0.20111
  • SD of predictor
    0.10481
  • SD of criterion
    0.17393
  • Covariance
    0.00633
  • r
    0.34721
  • b (slope, estimate of beta)
    0.57618
  • a (intercept, estimate of alpha)
    0.14552
  • Mean Square Error
    0.02705
  • DF error
    60.00000
  • t(b)
    2.86791
  • p(b)
    0.00285
  • t(a)
    1.94268
  • p(a)
    0.02838
  • Lowerbound of 95% confidence interval for beta
    0.17431
  • Upperbound of 95% confidence interval for beta
    0.97805
  • Lowerbound of 95% confidence interval for alpha
    -0.00432
  • Upperbound of 95% confidence interval for alpha
    0.29535
  • Treynor index (mean / b)
    0.34905
  • Jensen alpha (a)
    0.14552
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06371
  • Expected Shortfall on VaR
    0.08299
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01921
  • Expected Shortfall on VaR
    0.04241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    62.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99428
  • Median
    1.01488
  • Quartile 3
    1.05158
  • Maximum
    1.17909
  • Mean of quarter 1
    0.96056
  • Mean of quarter 2
    1.00458
  • Mean of quarter 3
    1.03177
  • Mean of quarter 4
    1.08493
  • Inter Quartile Range
    0.05730
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01613
  • Mean of outliers low
    0.89617
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01613
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04973
  • VaR(95%) (moments method)
    0.02235
  • Expected Shortfall (moments method)
    0.03171
  • Extreme Value Index (regression method)
    -0.33221
  • VaR(95%) (regression method)
    0.04488
  • Expected Shortfall (regression method)
    0.05834
  • 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)
    0.43840
  • Compounded annual return (geometric extrapolation)
    0.25737
  • Calmar ratio (compounded annual return / max draw down)
    2.01695
  • Compounded annual return / average of 25% largest draw downs
    2.22413
  • Compounded annual return / Expected Shortfall lognormal
    3.10125
  • 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
    0.20938
  • SD
    0.13740
  • Sharpe ratio (Glass type estimate)
    1.52385
  • Sharpe ratio (Hedges UMVUE)
    1.52301
  • df
    1366.00000
  • t
    3.48077
  • p
    0.45312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66306
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38296
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19352
  • Upside Potential Ratio
    9.67175
  • Upside part of mean
    0.92320
  • Downside part of mean
    -0.71382
  • Upside SD
    0.09961
  • Downside SD
    0.09545
  • N nonnegative terms
    791.00000
  • N negative terms
    576.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1367.00000
  • Mean of predictor
    0.10652
  • Mean of criterion
    0.20938
  • SD of predictor
    0.12268
  • SD of criterion
    0.13740
  • Covariance
    0.00461
  • r
    0.27345
  • b (slope, estimate of beta)
    0.30626
  • a (intercept, estimate of alpha)
    0.17700
  • Mean Square Error
    0.01748
  • DF error
    1365.00000
  • t(b)
    10.50330
  • p(b)
    0.32811
  • t(a)
    3.04938
  • p(a)
    0.44769
  • Lowerbound of 95% confidence interval for beta
    0.24906
  • Upperbound of 95% confidence interval for beta
    0.36346
  • Lowerbound of 95% confidence interval for alpha
    0.06305
  • Upperbound of 95% confidence interval for alpha
    0.29047
  • Treynor index (mean / b)
    0.68366
  • Jensen alpha (a)
    0.17676
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19983
  • SD
    0.13757
  • Sharpe ratio (Glass type estimate)
    1.45259
  • Sharpe ratio (Hedges UMVUE)
    1.45179
  • df
    1366.00000
  • t
    3.31800
  • p
    0.45529
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59201
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31157
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07294
  • Upside Potential Ratio
    9.52485
  • Upside part of mean
    0.91819
  • Downside part of mean
    -0.71836
  • Upside SD
    0.09885
  • Downside SD
    0.09640
  • N nonnegative terms
    791.00000
  • N negative terms
    576.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1367.00000
  • Mean of predictor
    0.09895
  • Mean of criterion
    0.19983
  • SD of predictor
    0.12288
  • SD of criterion
    0.13757
  • Covariance
    0.00462
  • r
    0.27346
  • b (slope, estimate of beta)
    0.30614
  • a (intercept, estimate of alpha)
    0.16954
  • Mean Square Error
    0.01752
  • DF error
    1365.00000
  • t(b)
    10.50350
  • p(b)
    0.32811
  • t(a)
    2.92186
  • p(a)
    0.44986
  • Lowerbound of 95% confidence interval for beta
    0.24897
  • Upperbound of 95% confidence interval for beta
    0.36332
  • Lowerbound of 95% confidence interval for alpha
    0.05571
  • Upperbound of 95% confidence interval for alpha
    0.28336
  • Treynor index (mean / b)
    0.65273
  • Jensen alpha (a)
    0.16954
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01313
  • Expected Shortfall on VaR
    0.01662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00558
  • Expected Shortfall on VaR
    0.01150
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1367.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99646
  • Median
    1.00138
  • Quartile 3
    1.00568
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99039
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00328
  • Mean of quarter 4
    1.01083
  • Inter Quartile Range
    0.00923
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.02634
  • Mean of outliers low
    0.97544
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.01609
  • Mean of outliers high
    1.02423
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20077
  • VaR(95%) (moments method)
    0.00914
  • Expected Shortfall (moments method)
    0.01423
  • Extreme Value Index (regression method)
    0.11980
  • VaR(95%) (regression method)
    0.00889
  • Expected Shortfall (regression method)
    0.01304
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    59.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00488
  • Median
    0.01637
  • Quartile 3
    0.04038
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00266
  • Mean of quarter 2
    0.01016
  • Mean of quarter 3
    0.02681
  • Mean of quarter 4
    0.07154
  • Inter Quartile Range
    0.03550
  • 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
    0.05085
  • Mean of outliers high
    0.12534
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13556
  • VaR(95%) (moments method)
    0.07780
  • Expected Shortfall (moments method)
    0.10630
  • Extreme Value Index (regression method)
    0.33208
  • VaR(95%) (regression method)
    0.07072
  • Expected Shortfall (regression method)
    0.10376
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43723
  • Compounded annual return (geometric extrapolation)
    0.25576
  • Calmar ratio (compounded annual return / max draw down)
    1.79304
  • Compounded annual return / average of 25% largest draw downs
    3.57508
  • Compounded annual return / Expected Shortfall lognormal
    15.38510
  • 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
    0.46011
  • SD
    0.12942
  • Sharpe ratio (Glass type estimate)
    3.55523
  • Sharpe ratio (Hedges UMVUE)
    3.53468
  • df
    130.00000
  • t
    2.51392
  • p
    0.39234
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.74334
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.35380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.33958
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.00053
  • Upside Potential Ratio
    10.92820
  • Upside part of mean
    1.00553
  • Downside part of mean
    -0.54542
  • Upside SD
    0.09467
  • Downside SD
    0.09201
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20604
  • Mean of criterion
    0.46011
  • SD of predictor
    0.11670
  • SD of criterion
    0.12942
  • Covariance
    0.00521
  • r
    0.34474
  • b (slope, estimate of beta)
    0.38231
  • a (intercept, estimate of alpha)
    0.38134
  • Mean Square Error
    0.01487
  • DF error
    129.00000
  • t(b)
    4.17124
  • p(b)
    0.28496
  • t(a)
    2.19792
  • p(a)
    0.37978
  • Lowerbound of 95% confidence interval for beta
    0.20097
  • Upperbound of 95% confidence interval for beta
    0.56365
  • Lowerbound of 95% confidence interval for alpha
    0.03806
  • Upperbound of 95% confidence interval for alpha
    0.72461
  • Treynor index (mean / b)
    1.20349
  • Jensen alpha (a)
    0.38134
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45130
  • SD
    0.13003
  • Sharpe ratio (Glass type estimate)
    3.47089
  • Sharpe ratio (Hedges UMVUE)
    3.45082
  • df
    130.00000
  • t
    2.45429
  • p
    0.39478
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.26815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.25419
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.84100
  • Upside Potential Ratio
    10.73710
  • Upside part of mean
    1.00097
  • Downside part of mean
    -0.54967
  • Upside SD
    0.09415
  • Downside SD
    0.09323
  • N nonnegative terms
    86.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19911
  • Mean of criterion
    0.45130
  • SD of predictor
    0.11769
  • SD of criterion
    0.13003
  • Covariance
    0.00522
  • r
    0.34132
  • b (slope, estimate of beta)
    0.37710
  • a (intercept, estimate of alpha)
    0.37622
  • Mean Square Error
    0.01505
  • DF error
    129.00000
  • t(b)
    4.12439
  • p(b)
    0.28700
  • t(a)
    2.15646
  • p(a)
    0.38194
  • Lowerbound of 95% confidence interval for beta
    0.19620
  • Upperbound of 95% confidence interval for beta
    0.55800
  • Lowerbound of 95% confidence interval for alpha
    0.03104
  • Upperbound of 95% confidence interval for alpha
    0.72140
  • Treynor index (mean / b)
    1.19677
  • Jensen alpha (a)
    0.37622
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01142
  • Expected Shortfall on VaR
    0.01473
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00358
  • Expected Shortfall on VaR
    0.00828
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95896
  • Quartile 1
    0.99851
  • Median
    1.00232
  • Quartile 3
    1.00662
  • Maximum
    1.01735
  • Mean of quarter 1
    0.99213
  • Mean of quarter 2
    1.00073
  • Mean of quarter 3
    1.00411
  • Mean of quarter 4
    1.01055
  • Inter Quartile Range
    0.00811
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97631
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35285
  • VaR(95%) (moments method)
    0.00584
  • Expected Shortfall (moments method)
    0.01132
  • Extreme Value Index (regression method)
    0.39726
  • VaR(95%) (regression method)
    0.00810
  • Expected Shortfall (regression method)
    0.01727
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00129
  • Quartile 1
    0.00440
  • Median
    0.00645
  • Quartile 3
    0.01526
  • Maximum
    0.06831
  • Mean of quarter 1
    0.00242
  • Mean of quarter 2
    0.00524
  • Mean of quarter 3
    0.01226
  • Mean of quarter 4
    0.03881
  • Inter Quartile Range
    0.01086
  • 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
    0.18750
  • Mean of outliers high
    0.04629
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.35872
  • VaR(95%) (moments method)
    0.03708
  • Expected Shortfall (moments method)
    0.03727
  • Extreme Value Index (regression method)
    -0.20318
  • VaR(95%) (regression method)
    0.05392
  • Expected Shortfall (regression method)
    0.07106
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54149
  • Compounded annual return (geometric extrapolation)
    0.61480
  • Calmar ratio (compounded annual return / max draw down)
    8.99956
  • Compounded annual return / average of 25% largest draw downs
    15.84270
  • Compounded annual return / Expected Shortfall lognormal
    41.72890

Strategy Description

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

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

Time horizon for holdings is intermediate to long term.

Summary Statistics

Strategy began
2012-11-05
Suggested Minimum Capital
$45,000
# Trades
847
# Profitable
390
% Profitable
46.0%
Net Dividends
Correlation S&P500
0.277
Sharpe Ratio
1.523

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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