The Vegan Growth Port
(77477692)
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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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 shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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.
Started  $100,000  
Buy Power  $344,619  
Cash  $1  
Equity  $1  
Cumulative $  $271,732  
Includes dividends and cashsettled expirations:  $25,765  Itemized 
Total System Equity  $371,732  
Margined  $1  
Open P/L  $8,517  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began11/5/2012

Suggested Minimum Cap$45,000

Strategy Age (days)3240.47

Age108 months ago

What it tradesStocks

# Trades1682

# Profitable692

% Profitable41.10%

Avg trade duration29.6 days

Max peaktovalley drawdown32.47%

drawdown periodFeb 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 ratio1.44:1

Sharpe Ratio0.76

Sortino Ratio1.04

Calmar Ratio0.557
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)32.49%

Correlation to SP5000.25320

Return Percent SP500 (cumu) during strategy life212.79%
 Return Statistics

Ann Return (w trading costs)15.0%
 Slump

Current Slump as Pcnt Equity14.00%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.07%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.150%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)15.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss37.50%

Chance of 20% account loss11.50%

Chance of 30% account loss2.00%

Chance of 40% account loss0.50%

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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)540

Popularity (Last 6 weeks)858
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score269

Popularity (7 days, Percentile 1000 scale)656
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$686

Avg Win$1,336

Sum Trade PL (losers)$678,663.000
 Age

Num Months filled monthly returns table107
 Win / Loss

Sum Trade PL (winners)$924,629.000

# Winners692

Num Months Winners69
 Dividends

Dividends Received in Model Acct25766
 Win / Loss

# Losers990

% Winners41.1%
 Frequency

Avg Position Time (mins)49039.50

Avg Position Time (hrs)817.32

Avg Trade Length34.1 days

Last Trade Ago3
 Leverage

Daily leverage (average)0.95

Daily leverage (max)2.13
 Regression

Alpha0.03

Beta0.22

Treynor Index0.17
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  Winning Trades  this strat Percentile of All Strats34.38

MAE:PL  worst single value for strategy

MAE:PL  Losing Trades  this strat Percentile of All Strats35.60

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.71

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades5.084

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.247

Avg(MAE) / Avg(PL)  Losing trades1.298

HoldandHope Ratio0.197
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.13996

SD0.17848

Sharpe ratio (Glass type estimate)0.78418

Sharpe ratio (Hedges UMVUE)0.77845

df103.00000

t2.30855

p0.35996

Lowerbound of 95% confidence interval for Sharpe Ratio0.10804

Upperbound of 95% confidence interval for Sharpe Ratio1.45664

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.10425

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.45265
 Statistics related to Sortino ratio

Sortino ratio1.37203

Upside Potential Ratio2.98510

Upside part of mean0.30451

Downside part of mean0.16455

Upside SD0.15092

Downside SD0.10201

N nonnegative terms60.00000

N negative terms44.00000
 Statistics related to linear regression on benchmark

N of observations104.00000

Mean of predictor0.11875

Mean of criterion0.13996

SD of predictor0.15533

SD of criterion0.17848

Covariance0.00929

r0.33499

b (slope, estimate of beta)0.38492

a (intercept, estimate of alpha)0.09425

Mean Square Error0.02856

DF error102.00000

t(b)3.59070

p(b)0.33250

t(a)1.60298

p(a)0.42162

Lowerbound of 95% confidence interval for beta0.17229

Upperbound of 95% confidence interval for beta0.59755

Lowerbound of 95% confidence interval for alpha0.02237

Upperbound of 95% confidence interval for alpha0.21088

Treynor index (mean / b)0.36361

Jensen alpha (a)0.09425
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.12347

SD0.17626

Sharpe ratio (Glass type estimate)0.70048

Sharpe ratio (Hedges UMVUE)0.69537

df103.00000

t2.06216

p0.37408

Lowerbound of 95% confidence interval for Sharpe Ratio0.02624

Upperbound of 95% confidence interval for Sharpe Ratio1.37141

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02287

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.36787
 Statistics related to Sortino ratio

Sortino ratio1.15696

Upside Potential Ratio2.74697

Upside part of mean0.29315

Downside part of mean0.16968

Upside SD0.14371

Downside SD0.10672

N nonnegative terms60.00000

N negative terms44.00000
 Statistics related to linear regression on benchmark

N of observations104.00000

Mean of predictor0.10488

Mean of criterion0.12347

SD of predictor0.16707

SD of criterion0.17626

Covariance0.01059

r0.35973

b (slope, estimate of beta)0.37952

a (intercept, estimate of alpha)0.08367

Mean Square Error0.02731

DF error102.00000

t(b)3.89373

p(b)0.32014

t(a)1.46625

p(a)0.42816

Lowerbound of 95% confidence interval for beta0.18619

Upperbound of 95% confidence interval for beta0.57284

Lowerbound of 95% confidence interval for alpha0.02951

Upperbound of 95% confidence interval for alpha0.19685

Treynor index (mean / b)0.32533

Jensen alpha (a)0.08367
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07078

Expected Shortfall on VaR0.09016
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02819

Expected Shortfall on VaR0.05787
 ORDER STATISTICS
 Quartiles of return rates

Number of observations104.00000

Minimum0.85355

Quartile 10.98575

Median1.00965

Quartile 31.04640

Maximum1.17909

Mean of quarter 10.95284

Mean of quarter 20.99805

Mean of quarter 31.02554

Mean of quarter 41.07954

Inter Quartile Range0.06065

Number outliers low1.00000

Percentage of outliers low0.00962

Mean of outliers low0.85355

Number of outliers high1.00000

Percentage of outliers high0.00962

Mean of outliers high1.17909
 Risk estimates for a oneperiod 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 observations16.00000

Minimum0.00378

Quartile 10.01573

Median0.05021

Quartile 30.09437

Maximum0.24948

Mean of quarter 10.01114

Mean of quarter 20.02770

Mean of quarter 30.07489

Mean of quarter 40.15666

Inter Quartile Range0.07864

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.06250

Mean of outliers high0.24948
 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 downs1.04321

Compounded annual return / Expected Shortfall lognormal1.81264

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.13184

SD0.13749

Sharpe ratio (Glass type estimate)0.95886

Sharpe ratio (Hedges UMVUE)0.95854

df2290.00000

t2.83540

p0.00231

Lowerbound of 95% confidence interval for Sharpe Ratio0.29539

Upperbound of 95% confidence interval for Sharpe Ratio1.62216

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.29516

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.62193
 Statistics related to Sortino ratio

Sortino ratio1.32264

Upside Potential Ratio8.50004

Upside part of mean0.84726

Downside part of mean0.71542

Upside SD0.09501

Downside SD0.09968

N nonnegative terms1296.00000

N negative terms995.00000
 Statistics related to linear regression on benchmark

N of observations2291.00000

Mean of predictor0.11674

Mean of criterion0.13184

SD of predictor0.16810

SD of criterion0.13749

Covariance0.00590

r0.25510

b (slope, estimate of beta)0.20865

a (intercept, estimate of alpha)0.10700

Mean Square Error0.01768

DF error2289.00000

t(b)12.62250

p(b)0.00000

t(a)2.38792

p(a)0.00851

Lowerbound of 95% confidence interval for beta0.17624

Upperbound of 95% confidence interval for beta0.24107

Lowerbound of 95% confidence interval for alpha0.01922

Upperbound of 95% confidence interval for alpha0.19574

Treynor index (mean / b)0.63184

Jensen alpha (a)0.10748
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.12231

SD0.13786

Sharpe ratio (Glass type estimate)0.88719

Sharpe ratio (Hedges UMVUE)0.88690

df2290.00000

t2.62347

p0.00438

Lowerbound of 95% confidence interval for Sharpe Ratio0.22380

Upperbound of 95% confidence interval for Sharpe Ratio1.55041

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.22359

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55020
 Statistics related to Sortino ratio

Sortino ratio1.21290

Upside Potential Ratio8.35666

Upside part of mean0.84270

Downside part of mean0.72039

Upside SD0.09427

Downside SD0.10084

N nonnegative terms1296.00000

N negative terms995.00000
 Statistics related to linear regression on benchmark

N of observations2291.00000

Mean of predictor0.10250

Mean of criterion0.12231

SD of predictor0.16881

SD of criterion0.13786

Covariance0.00595

r0.25574

b (slope, estimate of beta)0.20885

a (intercept, estimate of alpha)0.10090

Mean Square Error0.01777

DF error2289.00000

t(b)12.65640

p(b)0.00000

t(a)2.23667

p(a)0.01270

Lowerbound of 95% confidence interval for beta0.17649

Upperbound of 95% confidence interval for beta0.24121

Lowerbound of 95% confidence interval for alpha0.01244

Upperbound of 95% confidence interval for alpha0.18937

Treynor index (mean / b)0.58564

Jensen alpha (a)0.10090
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01345

Expected Shortfall on VaR0.01695
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00568

Expected Shortfall on VaR0.01186
 ORDER STATISTICS
 Quartiles of return rates

Number of observations2291.00000

Minimum0.94474

Quartile 10.99684

Median1.00092

Quartile 31.00513

Maximum1.04143

Mean of quarter 10.99027

Mean of quarter 20.99913

Mean of quarter 31.00281

Mean of quarter 41.01023

Inter Quartile Range0.00829

Number outliers low79.00000

Percentage of outliers low0.03448

Mean of outliers low0.97600

Number of outliers high48.00000

Percentage of outliers high0.02095

Mean of outliers high1.02297
 Risk estimates for a oneperiod 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 observations76.00000

Minimum0.00026

Quartile 10.00506

Median0.01997

Quartile 30.04568

Maximum0.29119

Mean of quarter 10.00248

Mean of quarter 20.01165

Mean of quarter 30.02962

Mean of quarter 40.09230

Inter Quartile Range0.04062

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high4.00000

Percentage of outliers high0.05263

Mean of outliers high0.17902
 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 downs1.75611

Compounded annual return / Expected Shortfall lognormal9.56183

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

Mean0.03524

SD0.09615

Sharpe ratio (Glass type estimate)0.36649

Sharpe ratio (Hedges UMVUE)0.36437

df130.00000

t0.25915

p0.51136

Lowerbound of 95% confidence interval for Sharpe Ratio3.13805

Upperbound of 95% confidence interval for Sharpe Ratio2.40628

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.13653

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.40779
 Statistics related to Sortino ratio

Sortino ratio0.49346

Upside Potential Ratio7.22231

Upside part of mean0.51573

Downside part of mean0.55097

Upside SD0.06387

Downside SD0.07141

N nonnegative terms70.00000

N negative terms61.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.22723

Mean of criterion0.03524

SD of predictor0.10555

SD of criterion0.09615

Covariance0.00259

r0.25503

b (slope, estimate of beta)0.23231

a (intercept, estimate of alpha)0.08802

Mean Square Error0.00871

DF error129.00000

t(b)2.99568

p(b)0.33942

t(a)0.66105

p(a)0.53697

Lowerbound of 95% confidence interval for beta0.07888

Upperbound of 95% confidence interval for beta0.38574

Lowerbound of 95% confidence interval for alpha0.35148

Upperbound of 95% confidence interval for alpha0.17543

Treynor index (mean / b)0.15168

Jensen alpha (a)0.08802
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.03983

SD0.09625

Sharpe ratio (Glass type estimate)0.41383

Sharpe ratio (Hedges UMVUE)0.41144

df130.00000

t0.29262

p0.51283

Lowerbound of 95% confidence interval for Sharpe Ratio3.18537

Upperbound of 95% confidence interval for Sharpe Ratio2.35916

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.18369

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.36082
 Statistics related to Sortino ratio

Sortino ratio0.55426

Upside Potential Ratio7.14789

Upside part of mean0.51365

Downside part of mean0.55348

Upside SD0.06352

Downside SD0.07186

N nonnegative terms70.00000

N negative terms61.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.22158

Mean of criterion0.03983

SD of predictor0.10551

SD of criterion0.09625

Covariance0.00260

r0.25585

b (slope, estimate of beta)0.23338

a (intercept, estimate of alpha)0.09154

Mean Square Error0.00872

DF error129.00000

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 beta0.07977

Upperbound of 95% confidence interval for beta0.38700

Lowerbound of 95% confidence interval for alpha0.35509

Upperbound of 95% confidence interval for alpha0.17201

Treynor index (mean / b)0.17066

Jensen alpha (a)0.09154
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00988

Expected Shortfall on VaR0.01234
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00462

Expected Shortfall on VaR0.00924
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98046

Quartile 10.99773

Median1.00023

Quartile 31.00236

Maximum1.01850

Mean of quarter 10.99258

Mean of quarter 20.99930

Mean of quarter 31.00133

Mean of quarter 41.00672

Inter Quartile Range0.00463

Number outliers low8.00000

Percentage of outliers low0.06107

Mean of outliers low0.98616

Number of outliers high7.00000

Percentage of outliers high0.05344

Mean of outliers high1.01321
 Risk estimates for a oneperiod 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 observations4.00000

Minimum0.00124

Quartile 10.00592

Median0.02253

Quartile 30.04297

Maximum0.05915

Mean of quarter 10.00124

Mean of quarter 20.00749

Mean of quarter 30.03757

Mean of quarter 40.05915

Inter Quartile Range0.03704

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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 Negative0.50%

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 downs0.20035

Compounded annual return / Expected Shortfall lognormal0.96056
Strategy Description
Time horizon for holdings is intermediate to long term. This portfolio is cashonly, no margin, options or futures.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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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.