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.

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: 8 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 $175.00 per month.

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).
23.1%
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
897
Num Trades
45.2%
Win Trades
1.9 : 1
Profit Factor
68.1%
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%+1.0%+0.2%+0.1%+3.7%+0.2%+2.6%                              +18.7%

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 738 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/5/18 10:26 RNG RINGCENTRAL INC. LONG 220 65.14 6/28 10:05 69.53 n/a $961
Includes Typical Broker Commissions trade costs of $4.40
12/27/17 12:40 XPO XPO LOGISTICS LONG 170 92.20 6/28/18 9:38 99.77 0.26%
Trade id #115544760
Max drawdown($829)
Time2/6/18 7:32
Quant open135
Worst price85.94
Drawdown as % of equity-0.26%
$1,284
Includes Typical Broker Commissions trade costs of $3.40
6/20/18 15:51 CGC CANOPY GROWTH CORP LONG 500 33.77 6/27 13:14 28.77 1.75%
Trade id #118547802
Max drawdown($6,020)
Time6/26/18 16:34
Quant open500
Worst price21.73
Drawdown as % of equity-1.75%
($2,510)
Includes Typical Broker Commissions trade costs of $10.00
4/5/18 10:26 SPLK SPLUNK INC LONG 145 98.80 6/27 11:50 100.58 0.07%
Trade id #117383860
Max drawdown($237)
Time6/25/18 10:21
Quant open145
Worst price97.16
Drawdown as % of equity-0.07%
$256
Includes Typical Broker Commissions trade costs of $2.90
6/5/18 12:20 AKAM AKAMAI TECHNOLOGIES LONG 140 79.06 6/27 10:55 73.61 0.25%
Trade id #118275075
Max drawdown($848)
Time6/26/18 8:02
Quant open140
Worst price73.00
Drawdown as % of equity-0.25%
($766)
Includes Typical Broker Commissions trade costs of $2.80
5/10/18 11:40 ZEN ZENDESK INC LONG 195 56.89 6/25 12:08 52.32 0.26%
Trade id #117877611
Max drawdown($900)
Time6/25/18 10:20
Quant open195
Worst price52.27
Drawdown as % of equity-0.26%
($894)
Includes Typical Broker Commissions trade costs of $3.90
6/12/18 10:28 PRLB PROTO LABS LONG 100 129.58 6/25 12:08 119.04 0.3%
Trade id #118389525
Max drawdown($1,063)
Time6/25/18 11:40
Quant open100
Worst price118.95
Drawdown as % of equity-0.30%
($1,056)
Includes Typical Broker Commissions trade costs of $2.00
5/7/18 14:48 RHT RED HAT LONG 60 168.76 6/21 10:40 166.35 0.17%
Trade id #117826470
Max drawdown($585)
Time5/23/18 8:01
Quant open60
Worst price159.00
Drawdown as % of equity-0.17%
($145)
Includes Typical Broker Commissions trade costs of $1.20
6/8/18 11:30 EDZ DIREXION DAILY EMRG MKTS BEAR 3X LONG 500 43.64 6/19 9:41 49.84 0.11%
Trade id #118335960
Max drawdown($363)
Time6/8/18 14:15
Quant open400
Worst price42.55
Drawdown as % of equity-0.11%
$3,092
Includes Typical Broker Commissions trade costs of $10.00
4/16/18 13:09 EPAY BOTTOMLINE TECHNOLOGIES LONG 250 40.17 6/15 13:37 48.43 n/a $2,059
Includes Typical Broker Commissions trade costs of $5.00
5/22/18 15:11 TCF TCF FINANCIAL LONG 550 26.47 6/14 11:27 26.15 0.14%
Trade id #118054199
Max drawdown($478)
Time5/24/18 11:01
Quant open550
Worst price25.60
Drawdown as % of equity-0.14%
($180)
Includes Typical Broker Commissions trade costs of $5.00
6/4/18 11:07 CGC CANOPY GROWTH CORP LONG 320 30.11 6/12 10:27 29.68 0.15%
Trade id #118251300
Max drawdown($515)
Time6/8/18 9:35
Quant open320
Worst price28.50
Drawdown as % of equity-0.15%
($143)
Includes Typical Broker Commissions trade costs of $6.40
5/24/18 10:12 PANW PALO ALTO NETWORKS LONG 67 208.91 6/8 11:30 198.02 0.26%
Trade id #118091592
Max drawdown($880)
Time6/7/18 13:41
Quant open67
Worst price195.78
Drawdown as % of equity-0.26%
($731)
Includes Typical Broker Commissions trade costs of $1.34
5/22/18 14:53 JP JUPAI HOLDINGS LTD ADS LONG 400 23.84 6/5 10:41 22.97 0.15%
Trade id #118053767
Max drawdown($515)
Time5/25/18 9:33
Quant open400
Worst price22.55
Drawdown as % of equity-0.15%
($355)
Includes Typical Broker Commissions trade costs of $8.00
2/7/18 10:38 IBKR INTERACTIVE BROKERS GROUP LONG 210 65.00 6/4 10:39 68.47 n/a $724
Includes Typical Broker Commissions trade costs of $4.20
2/23/18 12:18 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 265 57.06 6/1 10:22 54.65 0.19%
Trade id #116695424
Max drawdown($639)
Time6/1/18 10:22
Quant open0
Worst price54.65
Drawdown as % of equity-0.19%
($644)
Includes Typical Broker Commissions trade costs of $5.30
5/22/18 14:16 FAS DIREXION DAILY FINANCIAL BULL LONG 200 69.78 5/29 11:43 63.08 0.4%
Trade id #118052709
Max drawdown($1,340)
Time5/29/18 11:43
Quant open0
Worst price63.08
Drawdown as % of equity-0.40%
($1,344)
Includes Typical Broker Commissions trade costs of $4.00
5/7/18 14:51 BABA ALIBABA GROUP HOLDING LIMITED LONG 60 195.74 5/23 10:56 194.92 0.05%
Trade id #117826538
Max drawdown($176)
Time5/23/18 9:35
Quant open60
Worst price192.80
Drawdown as % of equity-0.05%
($50)
Includes Typical Broker Commissions trade costs of $1.20
12/11/17 11:53 DXC DXC TECHNOLOGY CO LONG 185 95.73 5/22/18 14:36 98.04 0.1%
Trade id #115293007
Max drawdown($315)
Time2/6/18 14:21
Quant open110
Worst price93.17
Drawdown as % of equity-0.10%
$423
Includes Typical Broker Commissions trade costs of $3.70
5/10/18 11:33 NOW SERVICENOW LONG 61 181.94 5/17 10:57 170.00 0.24%
Trade id #117877469
Max drawdown($802)
Time5/15/18 9:32
Quant open61
Worst price168.79
Drawdown as % of equity-0.24%
($729)
Includes Typical Broker Commissions trade costs of $1.22
5/3/18 9:32 SDS PROSHARES ULTRASHORT S&P500 LONG 1,050 41.41 5/9 10:24 39.51 0.63%
Trade id #117773081
Max drawdown($2,091)
Time5/9/18 4:57
Quant open1,050
Worst price39.42
Drawdown as % of equity-0.63%
($2,004)
Includes Typical Broker Commissions trade costs of $6.50
4/30/18 12:05 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 600 17.61 5/7 11:21 15.89 0.32%
Trade id #117717238
Max drawdown($1,040)
Time5/7/18 11:16
Quant open600
Worst price15.88
Drawdown as % of equity-0.32%
($1,039)
Includes Typical Broker Commissions trade costs of $5.00
3/16/18 10:50 ASGN ON ASSIGNMENT LONG 155 85.17 5/3 10:29 80.25 0.53%
Trade id #117093931
Max drawdown($1,713)
Time4/26/18 9:34
Quant open155
Worst price74.11
Drawdown as % of equity-0.53%
($766)
Includes Typical Broker Commissions trade costs of $3.10
2/7/18 11:05 MTCH MATCH GROUP INC. COMMON STOCK LONG 350 36.78 5/2 14:55 37.20 0.18%
Trade id #116370542
Max drawdown($592)
Time5/2/18 14:52
Quant open280
Worst price34.67
Drawdown as % of equity-0.18%
$138
Includes Typical Broker Commissions trade costs of $7.00
4/27/18 11:03 VXX IPATH S&P 500 VIX ST FUTURES E LONG 800 42.52 5/2 12:28 40.01 0.67%
Trade id #117696512
Max drawdown($2,159)
Time5/2/18 12:27
Quant open800
Worst price39.82
Drawdown as % of equity-0.67%
($2,015)
Includes Typical Broker Commissions trade costs of $5.00
3/8/18 10:56 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 125 99.10 4/27 10:57 95.12 0.16%
Trade id #116931334
Max drawdown($512)
Time4/3/18 9:31
Quant open125
Worst price95.00
Drawdown as % of equity-0.16%
($501)
Includes Typical Broker Commissions trade costs of $2.50
3/29/18 13:21 TLT ISHARES 20+ YEAR TREASURY BOND LONG 300 121.71 4/20 10:40 118.74 0.27%
Trade id #117302252
Max drawdown($895)
Time4/20/18 10:36
Quant open300
Worst price118.73
Drawdown as % of equity-0.27%
($898)
Includes Typical Broker Commissions trade costs of $6.00
4/6/18 12:03 VXX IPATH S&P 500 VIX ST FUTURES E LONG 1,150 48.61 4/13 14:48 46.41 0.77%
Trade id #117406507
Max drawdown($2,532)
Time4/13/18 14:48
Quant open575
Worst price45.26
Drawdown as % of equity-0.77%
($2,542)
Includes Typical Broker Commissions trade costs of $9.50
7/3/17 11:59 UNH UNITEDHEALTH GROUP LONG 80 187.24 4/9/18 12:46 231.86 n/a $3,568
Includes Typical Broker Commissions trade costs of $1.60
3/9/18 10:13 SPGI S & P GLOBAL INC LONG 72 195.17 4/6 11:50 187.85 0.26%
Trade id #116959193
Max drawdown($822)
Time4/2/18 14:06
Quant open72
Worst price183.75
Drawdown as % of equity-0.26%
($528)
Includes Typical Broker Commissions trade costs of $1.44

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    2080.41
  • Age
    69 months ago
  • What it trades
    Stocks
  • # Trades
    897
  • # Profitable
    405
  • % Profitable
    45.20%
  • Avg trade duration
    47.1 days
  • Max peak-to-valley drawdown
    17.69%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    23.1%
  • Avg win
    $1,232
  • Avg loss
    $587.45
  • Model Account Values (Raw)
  • Cash
    $160,040
  • Margin Used
    $0
  • Buying Power
    $218,436
  • Ratios
  • W:L ratio
    1.86:1
  • Sharpe Ratio
    1.492
  • Sortino Ratio
    2.141
  • Calmar Ratio
    1.747
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.29900
  • Return Statistics
  • Ann Return (w trading costs)
    23.1%
  • Ann Return (Compnd, No Fees)
    24.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    578
  • Popularity (Last 6 weeks)
    898
  • C2 Score
    96.3
  • 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
    $587
  • Avg Win
    $1,280
  • # Winners
    405
  • # Losers
    492
  • % Winners
    45.1%
  • Frequency
  • Avg Position Time (mins)
    67759.70
  • Avg Position Time (hrs)
    1129.33
  • Avg Trade Length
    47.1 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
    0.20919
  • SD
    0.17241
  • Sharpe ratio (Glass type estimate)
    1.21336
  • Sharpe ratio (Hedges UMVUE)
    1.19952
  • df
    66.00000
  • t
    2.86705
  • p
    0.00278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35423
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34518
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05386
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42250
  • Upside Potential Ratio
    3.89850
  • Upside part of mean
    0.33665
  • Downside part of mean
    -0.12746
  • Upside SD
    0.15959
  • Downside SD
    0.08635
  • N nonnegative terms
    44.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.09896
  • Mean of criterion
    0.20919
  • SD of predictor
    0.10355
  • SD of criterion
    0.17241
  • Covariance
    0.00669
  • r
    0.37488
  • b (slope, estimate of beta)
    0.62415
  • a (intercept, estimate of alpha)
    0.14742
  • Mean Square Error
    0.02594
  • DF error
    65.00000
  • t(b)
    3.26011
  • p(b)
    0.00089
  • t(a)
    2.08386
  • p(a)
    0.02055
  • Lowerbound of 95% confidence interval for beta
    0.24180
  • Upperbound of 95% confidence interval for beta
    1.00651
  • Lowerbound of 95% confidence interval for alpha
    0.00614
  • Upperbound of 95% confidence interval for alpha
    0.28871
  • Treynor index (mean / b)
    0.33516
  • Jensen alpha (a)
    0.14742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19291
  • SD
    0.16848
  • Sharpe ratio (Glass type estimate)
    1.14501
  • Sharpe ratio (Hedges UMVUE)
    1.13195
  • df
    66.00000
  • t
    2.70556
  • p
    0.00433
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28883
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99300
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28030
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98360
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15490
  • Upside Potential Ratio
    3.61901
  • Upside part of mean
    0.32397
  • Downside part of mean
    -0.13107
  • Upside SD
    0.15181
  • Downside SD
    0.08952
  • N nonnegative terms
    44.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.09303
  • Mean of criterion
    0.19291
  • SD of predictor
    0.10439
  • SD of criterion
    0.16848
  • Covariance
    0.00632
  • r
    0.35946
  • b (slope, estimate of beta)
    0.58015
  • a (intercept, estimate of alpha)
    0.13894
  • Mean Square Error
    0.02510
  • DF error
    65.00000
  • t(b)
    3.10566
  • p(b)
    0.00141
  • t(a)
    2.00602
  • p(a)
    0.02451
  • Lowerbound of 95% confidence interval for beta
    0.20707
  • Upperbound of 95% confidence interval for beta
    0.95322
  • Lowerbound of 95% confidence interval for alpha
    0.00062
  • Upperbound of 95% confidence interval for alpha
    0.27726
  • Treynor index (mean / b)
    0.33252
  • Jensen alpha (a)
    0.13894
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06192
  • Expected Shortfall on VaR
    0.08064
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01861
  • Expected Shortfall on VaR
    0.04109
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    67.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99346
  • Median
    1.01352
  • Quartile 3
    1.04906
  • Maximum
    1.17909
  • Mean of quarter 1
    0.96199
  • Mean of quarter 2
    1.00423
  • Mean of quarter 3
    1.03061
  • Mean of quarter 4
    1.08284
  • Inter Quartile Range
    0.05560
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01493
  • Mean of outliers low
    0.89617
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01493
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16535
  • VaR(95%) (moments method)
    0.02495
  • Expected Shortfall (moments method)
    0.04069
  • Extreme Value Index (regression method)
    -0.19414
  • VaR(95%) (regression method)
    0.04023
  • Expected Shortfall (regression method)
    0.05502
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00378
  • Quartile 1
    0.01432
  • Median
    0.01724
  • Quartile 3
    0.07848
  • Maximum
    0.12760
  • Mean of quarter 1
    0.00825
  • Mean of quarter 2
    0.01596
  • Mean of quarter 3
    0.06355
  • Mean of quarter 4
    0.10423
  • Inter Quartile Range
    0.06415
  • 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)
    0.11532
  • Expected Shortfall (moments method)
    0.11537
  • Extreme Value Index (regression method)
    -0.92489
  • VaR(95%) (regression method)
    0.13624
  • Expected Shortfall (regression method)
    0.14394
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43542
  • Compounded annual return (geometric extrapolation)
    0.24709
  • Calmar ratio (compounded annual return / max draw down)
    1.93639
  • Compounded annual return / average of 25% largest draw downs
    2.37058
  • Compounded annual return / Expected Shortfall lognormal
    3.06397
  • 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
    0.20407
  • SD
    0.13675
  • Sharpe ratio (Glass type estimate)
    1.49227
  • Sharpe ratio (Hedges UMVUE)
    1.49151
  • df
    1468.00000
  • t
    3.53353
  • p
    0.45408
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.66255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32152
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32100
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14086
  • Upside Potential Ratio
    9.62230
  • Upside part of mean
    0.91722
  • Downside part of mean
    -0.71315
  • Upside SD
    0.09880
  • Downside SD
    0.09532
  • N nonnegative terms
    852.00000
  • N negative terms
    617.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1469.00000
  • Mean of predictor
    0.10189
  • Mean of criterion
    0.20407
  • SD of predictor
    0.12423
  • SD of criterion
    0.13675
  • Covariance
    0.00503
  • r
    0.29598
  • b (slope, estimate of beta)
    0.32582
  • a (intercept, estimate of alpha)
    0.17100
  • Mean Square Error
    0.01707
  • DF error
    1467.00000
  • t(b)
    11.86810
  • p(b)
    0.31436
  • t(a)
    3.09243
  • p(a)
    0.44882
  • Lowerbound of 95% confidence interval for beta
    0.27197
  • Upperbound of 95% confidence interval for beta
    0.37967
  • Lowerbound of 95% confidence interval for alpha
    0.06248
  • Upperbound of 95% confidence interval for alpha
    0.27926
  • Treynor index (mean / b)
    0.62632
  • Jensen alpha (a)
    0.17087
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19462
  • SD
    0.13693
  • Sharpe ratio (Glass type estimate)
    1.42132
  • Sharpe ratio (Hedges UMVUE)
    1.42059
  • df
    1468.00000
  • t
    3.36552
  • p
    0.45625
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59178
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25043
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24992
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02182
  • Upside Potential Ratio
    9.47756
  • Upside part of mean
    0.91229
  • Downside part of mean
    -0.71767
  • Upside SD
    0.09806
  • Downside SD
    0.09626
  • N nonnegative terms
    852.00000
  • N negative terms
    617.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1469.00000
  • Mean of predictor
    0.09414
  • Mean of criterion
    0.19462
  • SD of predictor
    0.12442
  • SD of criterion
    0.13693
  • Covariance
    0.00504
  • r
    0.29597
  • b (slope, estimate of beta)
    0.32572
  • a (intercept, estimate of alpha)
    0.16395
  • Mean Square Error
    0.01712
  • DF error
    1467.00000
  • t(b)
    11.86790
  • p(b)
    0.31437
  • t(a)
    2.96400
  • p(a)
    0.45093
  • Lowerbound of 95% confidence interval for beta
    0.27188
  • Upperbound of 95% confidence interval for beta
    0.37955
  • Lowerbound of 95% confidence interval for alpha
    0.05545
  • Upperbound of 95% confidence interval for alpha
    0.27246
  • Treynor index (mean / b)
    0.59750
  • Jensen alpha (a)
    0.16395
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01309
  • Expected Shortfall on VaR
    0.01656
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00556
  • Expected Shortfall on VaR
    0.01147
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1469.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99648
  • Median
    1.00135
  • Quartile 3
    1.00568
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99039
  • Mean of quarter 2
    0.99914
  • Mean of quarter 3
    1.00327
  • Mean of quarter 4
    1.01077
  • Inter Quartile Range
    0.00920
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.02723
  • Mean of outliers low
    0.97582
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.01498
  • Mean of outliers high
    1.02423
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19979
  • VaR(95%) (moments method)
    0.00911
  • Expected Shortfall (moments method)
    0.01420
  • Extreme Value Index (regression method)
    0.10626
  • VaR(95%) (regression method)
    0.00885
  • Expected Shortfall (regression method)
    0.01288
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00487
  • Median
    0.01629
  • Quartile 3
    0.04322
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.00998
  • Mean of quarter 3
    0.02805
  • Mean of quarter 4
    0.07098
  • Inter Quartile Range
    0.03835
  • 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
    0.04615
  • Mean of outliers high
    0.12534
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.16895
  • VaR(95%) (moments method)
    0.07712
  • Expected Shortfall (moments method)
    0.10631
  • Extreme Value Index (regression method)
    0.28989
  • VaR(95%) (regression method)
    0.06982
  • Expected Shortfall (regression method)
    0.09854
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44270
  • Compounded annual return (geometric extrapolation)
    0.24922
  • Calmar ratio (compounded annual return / max draw down)
    1.74724
  • Compounded annual return / average of 25% largest draw downs
    3.51098
  • Compounded annual return / Expected Shortfall lognormal
    15.04730
  • 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
    0.17861
  • SD
    0.13093
  • Sharpe ratio (Glass type estimate)
    1.36414
  • Sharpe ratio (Hedges UMVUE)
    1.35626
  • df
    130.00000
  • t
    0.96459
  • p
    0.45785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13296
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88892
  • Upside Potential Ratio
    9.47824
  • Upside part of mean
    0.89624
  • Downside part of mean
    -0.71763
  • Upside SD
    0.09052
  • Downside SD
    0.09456
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00227
  • Mean of criterion
    0.17861
  • SD of predictor
    0.16451
  • SD of criterion
    0.13093
  • Covariance
    0.01101
  • r
    0.51122
  • b (slope, estimate of beta)
    0.40689
  • a (intercept, estimate of alpha)
    0.17769
  • Mean Square Error
    0.01276
  • DF error
    129.00000
  • t(b)
    6.75583
  • p(b)
    0.18934
  • t(a)
    1.11222
  • p(a)
    0.43805
  • Lowerbound of 95% confidence interval for beta
    0.28773
  • Upperbound of 95% confidence interval for beta
    0.52605
  • Lowerbound of 95% confidence interval for alpha
    -0.13840
  • Upperbound of 95% confidence interval for alpha
    0.49377
  • Treynor index (mean / b)
    0.43897
  • Jensen alpha (a)
    0.17769
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17001
  • SD
    0.13119
  • Sharpe ratio (Glass type estimate)
    1.29586
  • Sharpe ratio (Hedges UMVUE)
    1.28837
  • df
    130.00000
  • t
    0.91631
  • p
    0.45995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06459
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78317
  • Upside Potential Ratio
    9.35678
  • Upside part of mean
    0.89208
  • Downside part of mean
    -0.72207
  • Upside SD
    0.09000
  • Downside SD
    0.09534
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01124
  • Mean of criterion
    0.17001
  • SD of predictor
    0.16534
  • SD of criterion
    0.13119
  • Covariance
    0.01106
  • r
    0.50967
  • b (slope, estimate of beta)
    0.40441
  • a (intercept, estimate of alpha)
    0.17455
  • Mean Square Error
    0.01284
  • DF error
    129.00000
  • t(b)
    6.72814
  • p(b)
    0.19019
  • t(a)
    1.08928
  • p(a)
    0.43932
  • Lowerbound of 95% confidence interval for beta
    0.28549
  • Upperbound of 95% confidence interval for beta
    0.52333
  • Lowerbound of 95% confidence interval for alpha
    -0.14250
  • Upperbound of 95% confidence interval for alpha
    0.49161
  • Treynor index (mean / b)
    0.42038
  • Jensen alpha (a)
    0.17455
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01260
  • Expected Shortfall on VaR
    0.01594
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00540
  • Expected Shortfall on VaR
    0.01116
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97182
  • Quartile 1
    0.99690
  • Median
    1.00104
  • Quartile 3
    1.00652
  • Maximum
    1.01761
  • Mean of quarter 1
    0.99014
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00364
  • Mean of quarter 4
    1.01008
  • Inter Quartile Range
    0.00962
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97841
  • 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)
    -0.14962
  • VaR(95%) (moments method)
    0.00826
  • Expected Shortfall (moments method)
    0.01076
  • Extreme Value Index (regression method)
    -0.17572
  • VaR(95%) (regression method)
    0.00966
  • Expected Shortfall (regression method)
    0.01265
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00497
  • Median
    0.01241
  • Quartile 3
    0.03385
  • Maximum
    0.05693
  • Mean of quarter 1
    0.00219
  • Mean of quarter 2
    0.00959
  • Mean of quarter 3
    0.02174
  • Mean of quarter 4
    0.04781
  • Inter Quartile Range
    0.02888
  • 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)
    -9.34709
  • VaR(95%) (moments method)
    0.05171
  • Expected Shortfall (moments method)
    0.05171
  • Extreme Value Index (regression method)
    -1.51560
  • VaR(95%) (regression method)
    0.06295
  • Expected Shortfall (regression method)
    0.06441
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20804
  • Compounded annual return (geometric extrapolation)
    0.21886
  • Calmar ratio (compounded annual return / max draw down)
    3.84415
  • Compounded annual return / average of 25% largest draw downs
    4.57772
  • Compounded annual return / Expected Shortfall lognormal
    13.73290

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
897
# Profitable
405
% Profitable
45.2%
Net Dividends
Correlation S&P500
0.299
Sharpe Ratio
1.492

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?

Strategy is now visible

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

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.