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The Vegan Growth Port
(77477692)

Created by: BradPappas BradPappas
Started: 11/2012
Stocks
Last trade: 12 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).
21.1%
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
935
Num Trades
44.6%
Win Trades
1.9 : 1
Profit Factor
66.2%
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%(3.1%)+11.2%+1.8%(7.5%)(2.7%)+2.6%+17.2%

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 874 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/18 12:26 SDS PROSHARES ULTRASHORT S&P500 LONG 300 36.82 12/7 13:04 38.79 0%
Trade id #121336824
Max drawdown($8)
Time12/4/18 12:28
Quant open300
Worst price36.79
Drawdown as % of equity-0.00%
$585
Includes Typical Broker Commissions trade costs of $6.00
11/29/18 15:44 QID PROSHARES ULTRASHORT QQQ LONG 1,200 41.29 12/7 13:03 42.93 0.91%
Trade id #121258116
Max drawdown($3,055)
Time12/3/18 4:55
Quant open1,200
Worst price38.74
Drawdown as % of equity-0.91%
$1,958
Includes Typical Broker Commissions trade costs of $11.50
8/1/18 10:36 ANTM ANTHEM INC LONG 70 259.76 12/7 11:04 278.67 n/a $1,323
Includes Typical Broker Commissions trade costs of $1.40
5/10/18 11:33 PLNT PLANET FITNESS INC LONG 335 42.19 12/7 11:04 52.98 n/a $3,609
Includes Typical Broker Commissions trade costs of $6.70
11/7/18 14:55 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 120 118.04 12/7 10:30 118.85 0.07%
Trade id #120805531
Max drawdown($244)
Time11/15/18 10:43
Quant open120
Worst price116.00
Drawdown as % of equity-0.07%
$96
Includes Typical Broker Commissions trade costs of $2.40
12/4/18 11:11 TZA DIREXION DAILY SMALL CAP BEAR LONG 850 11.05 12/6 14:04 12.26 0.01%
Trade id #121333814
Max drawdown($25)
Time12/4/18 11:13
Quant open850
Worst price11.02
Drawdown as % of equity-0.01%
$1,024
Includes Typical Broker Commissions trade costs of $5.00
11/7/18 11:38 EEFT EURONET WORLDWIDE LONG 75 112.67 12/6 13:58 110.16 0.19%
Trade id #120798589
Max drawdown($643)
Time12/6/18 9:31
Quant open75
Worst price104.10
Drawdown as % of equity-0.19%
($191)
Includes Typical Broker Commissions trade costs of $1.50
11/7/18 11:37 VRSK VERISK ANALYTICS LONG 90 121.20 12/4 10:32 124.40 0.06%
Trade id #120798577
Max drawdown($192)
Time11/23/18 9:31
Quant open90
Worst price119.06
Drawdown as % of equity-0.06%
$286
Includes Typical Broker Commissions trade costs of $1.80
11/27/18 11:05 SQ SQUARE INC LONG 130 66.41 12/4 10:31 69.89 0.05%
Trade id #121192297
Max drawdown($167)
Time11/27/18 13:17
Quant open130
Worst price65.12
Drawdown as % of equity-0.05%
$449
Includes Typical Broker Commissions trade costs of $2.60
11/14/18 10:21 QID PROSHARES ULTRASHORT QQQ LONG 700 42.66 11/27 11:01 44.59 0.23%
Trade id #120932335
Max drawdown($771)
Time11/15/18 14:33
Quant open700
Worst price41.56
Drawdown as % of equity-0.23%
$1,336
Includes Typical Broker Commissions trade costs of $14.00
2/23/18 15:26 V VISA LONG 155 123.98 11/23 13:13 132.52 0%
Trade id #116703246
Max drawdown($5)
Time2/23/18 15:28
Quant open120
Worst price122.60
Drawdown as % of equity-0.00%
$1,320
Includes Typical Broker Commissions trade costs of $3.10
10/12/18 11:49 MA MASTERCARD LONG 100 201.48 11/19 11:57 192.02 0.51%
Trade id #120325086
Max drawdown($1,773)
Time10/30/18 13:35
Quant open100
Worst price183.75
Drawdown as % of equity-0.51%
($948)
Includes Typical Broker Commissions trade costs of $2.00
2/23/18 11:26 INTU INTUIT LONG 130 177.65 11/19 10:25 207.88 n/a $3,928
Includes Typical Broker Commissions trade costs of $2.60
11/7/18 10:49 UNH UNITEDHEALTH GROUP LONG 51 275.04 11/15 15:12 264.65 0.22%
Trade id #120796313
Max drawdown($723)
Time11/15/18 10:38
Quant open51
Worst price260.85
Drawdown as % of equity-0.22%
($531)
Includes Typical Broker Commissions trade costs of $1.02
11/7/18 13:19 SPSC SPS COMMERCE LONG 110 96.08 11/15 14:02 95.87 0.02%
Trade id #120802596
Max drawdown($71)
Time11/7/18 13:55
Quant open110
Worst price95.43
Drawdown as % of equity-0.02%
($25)
Includes Typical Broker Commissions trade costs of $2.20
7/26/18 10:11 NSP INSPERITY LONG 170 100.76 11/14 10:09 103.98 0.32%
Trade id #119135955
Max drawdown($1,055)
Time7/31/18 13:20
Quant open145
Worst price94.10
Drawdown as % of equity-0.32%
$545
Includes Typical Broker Commissions trade costs of $3.40
11/7/18 13:19 HQY HEALTHEQUITY INC. COMMON STOC LONG 100 100.30 11/14 10:09 87.50 0.39%
Trade id #120802580
Max drawdown($1,309)
Time11/14/18 10:05
Quant open100
Worst price87.21
Drawdown as % of equity-0.39%
($1,282)
Includes Typical Broker Commissions trade costs of $2.00
10/5/18 11:21 TZA DIREXION DAILY SMALL CAP BEAR LONG 2,250 9.76 11/7 14:14 10.92 0.04%
Trade id #120206995
Max drawdown($150)
Time10/9/18 10:34
Quant open1,700
Worst price9.32
Drawdown as % of equity-0.04%
$2,594
Includes Typical Broker Commissions trade costs of $20.40
10/11/18 13:20 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 550 24.68 11/7 13:40 24.33 0.21%
Trade id #120305429
Max drawdown($715)
Time10/17/18 13:07
Quant open550
Worst price23.38
Drawdown as % of equity-0.21%
($202)
Includes Typical Broker Commissions trade costs of $8.00
10/5/18 11:21 QID PROSHARES ULTRASHORT QQQ LONG 840 39.11 11/7 13:40 39.06 0.05%
Trade id #120207003
Max drawdown($167)
Time10/9/18 10:43
Quant open400
Worst price37.16
Drawdown as % of equity-0.05%
($59)
Includes Typical Broker Commissions trade costs of $16.80
10/5/18 11:29 VXX IPATH S&P 500 VIX ST FUTURES E LONG 900 31.16 11/7 13:40 34.36 0.13%
Trade id #120207245
Max drawdown($458)
Time10/5/18 16:14
Quant open550
Worst price27.94
Drawdown as % of equity-0.13%
$2,869
Includes Typical Broker Commissions trade costs of $18.00
8/2/18 13:26 EPAY BOTTOMLINE TECHNOLOGIES LONG 200 56.24 11/5 11:20 64.88 n/a $1,724
Includes Typical Broker Commissions trade costs of $4.00
4/19/17 11:13 ADBE ADOBE INC LONG 160 143.30 11/5/18 10:14 214.87 n/a $11,448
Includes Typical Broker Commissions trade costs of $3.20
6/26/18 10:42 AMZN AMAZON.COM LONG 10 1680.16 10/26 9:35 1620.59 0.27%
Trade id #118652624
Max drawdown($941)
Time10/26/18 5:34
Quant open10
Worst price1586.00
Drawdown as % of equity-0.27%
($596)
Includes Typical Broker Commissions trade costs of $0.20
8/8/18 12:16 TRHC TABULA RASA HEALTHCARE INC. COMMON STOCK LONG 150 65.54 10/25 10:40 70.47 n/a $737
Includes Typical Broker Commissions trade costs of $3.00
8/1/18 10:35 CNC CENTENE LONG 115 132.65 10/23 10:01 129.40 0.15%
Trade id #119226561
Max drawdown($533)
Time10/23/18 9:32
Quant open115
Worst price128.01
Drawdown as % of equity-0.15%
($376)
Includes Typical Broker Commissions trade costs of $2.30
10/10/18 14:33 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 400 41.02 10/22 10:38 40.49 0.18%
Trade id #120282424
Max drawdown($611)
Time10/11/18 15:11
Quant open400
Worst price39.49
Drawdown as % of equity-0.18%
($218)
Includes Typical Broker Commissions trade costs of $8.00
8/21/18 10:32 LHCG LHC GROUP LONG 135 96.60 10/12 11:49 92.30 0.18%
Trade id #119531067
Max drawdown($603)
Time10/12/18 11:47
Quant open135
Worst price92.13
Drawdown as % of equity-0.18%
($584)
Includes Typical Broker Commissions trade costs of $2.70
9/1/17 13:50 MA MASTERCARD LONG 175 149.36 10/12/18 11:49 187.09 0.07%
Trade id #113497781
Max drawdown($183)
Time9/5/17 13:16
Quant open121
Worst price131.68
Drawdown as % of equity-0.07%
$6,600
Includes Typical Broker Commissions trade costs of $3.50
8/10/18 12:01 AMED AMEDISYS LONG 175 115.15 10/12 11:48 111.61 0.19%
Trade id #119382485
Max drawdown($660)
Time10/12/18 11:41
Quant open175
Worst price111.37
Drawdown as % of equity-0.19%
($623)
Includes Typical Broker Commissions trade costs of $3.50

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    2234.7
  • Age
    75 months ago
  • What it trades
    Stocks
  • # Trades
    935
  • # Profitable
    417
  • % Profitable
    44.60%
  • Avg trade duration
    47.8 days
  • Max peak-to-valley drawdown
    17.69%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    21.1%
  • Avg win
    $1,275
  • Avg loss
    $591.07
  • Model Account Values (Raw)
  • Cash
    $305,772
  • Margin Used
    $0
  • Buying Power
    $308,740
  • Ratios
  • W:L ratio
    1.87:1
  • Sharpe Ratio
    1.386
  • Sortino Ratio
    1.972
  • Calmar Ratio
    1.602
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.29100
  • Return Statistics
  • Ann Return (w trading costs)
    21.1%
  • Ann Return (Compnd, No Fees)
    22.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.50%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    893
  • Popularity (Last 6 weeks)
    963
  • C2 Score
    99.8
  • 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
    $591
  • Avg Win
    $1,275
  • # Winners
    417
  • # Losers
    518
  • % Winners
    44.6%
  • Frequency
  • Avg Position Time (mins)
    68867.70
  • Avg Position Time (hrs)
    1147.79
  • Avg Trade Length
    47.8 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19256
  • SD
    0.16926
  • Sharpe ratio (Glass type estimate)
    1.13765
  • Sharpe ratio (Hedges UMVUE)
    1.12559
  • df
    71.00000
  • t
    2.78667
  • p
    0.00341
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95553
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94688
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27011
  • Upside Potential Ratio
    3.79465
  • Upside part of mean
    0.32188
  • Downside part of mean
    -0.12932
  • Upside SD
    0.15539
  • Downside SD
    0.08482
  • N nonnegative terms
    45.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.08132
  • Mean of criterion
    0.19256
  • SD of predictor
    0.10560
  • SD of criterion
    0.16926
  • Covariance
    0.00667
  • r
    0.37334
  • b (slope, estimate of beta)
    0.59841
  • a (intercept, estimate of alpha)
    0.14389
  • Mean Square Error
    0.02501
  • DF error
    70.00000
  • t(b)
    3.36708
  • p(b)
    0.00062
  • t(a)
    2.17503
  • p(a)
    0.01650
  • Lowerbound of 95% confidence interval for beta
    0.24395
  • Upperbound of 95% confidence interval for beta
    0.95287
  • Lowerbound of 95% confidence interval for alpha
    0.01195
  • Upperbound of 95% confidence interval for alpha
    0.27584
  • Treynor index (mean / b)
    0.32178
  • Jensen alpha (a)
    0.14389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17707
  • SD
    0.16539
  • Sharpe ratio (Glass type estimate)
    1.07059
  • Sharpe ratio (Hedges UMVUE)
    1.05924
  • df
    71.00000
  • t
    2.62241
  • p
    0.00534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88624
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87814
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01532
  • Upside Potential Ratio
    3.52659
  • Upside part of mean
    0.30985
  • Downside part of mean
    -0.13278
  • Upside SD
    0.14788
  • Downside SD
    0.08786
  • N nonnegative terms
    45.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.07533
  • Mean of criterion
    0.17707
  • SD of predictor
    0.10655
  • SD of criterion
    0.16539
  • Covariance
    0.00631
  • r
    0.35808
  • b (slope, estimate of beta)
    0.55583
  • a (intercept, estimate of alpha)
    0.13520
  • Mean Square Error
    0.02419
  • DF error
    70.00000
  • t(b)
    3.20864
  • p(b)
    0.00101
  • t(a)
    2.08572
  • p(a)
    0.02033
  • Lowerbound of 95% confidence interval for beta
    0.21034
  • Upperbound of 95% confidence interval for beta
    0.90133
  • Lowerbound of 95% confidence interval for alpha
    0.00592
  • Upperbound of 95% confidence interval for alpha
    0.26447
  • Treynor index (mean / b)
    0.31856
  • Jensen alpha (a)
    0.13520
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06179
  • Expected Shortfall on VaR
    0.08017
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02023
  • Expected Shortfall on VaR
    0.04340
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99247
  • Median
    1.01144
  • Quartile 3
    1.04888
  • Maximum
    1.17909
  • Mean of quarter 1
    0.96182
  • Mean of quarter 2
    1.00183
  • Mean of quarter 3
    1.02861
  • Mean of quarter 4
    1.08124
  • Inter Quartile Range
    0.05641
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01389
  • Mean of outliers low
    0.89617
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01389
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30235
  • VaR(95%) (moments method)
    0.03202
  • Expected Shortfall (moments method)
    0.05799
  • Extreme Value Index (regression method)
    -0.14271
  • VaR(95%) (regression method)
    0.04147
  • Expected Shortfall (regression method)
    0.05704
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00378
  • Quartile 1
    0.01442
  • Median
    0.03312
  • Quartile 3
    0.07708
  • Maximum
    0.12760
  • Mean of quarter 1
    0.01002
  • Mean of quarter 2
    0.01596
  • Mean of quarter 3
    0.05870
  • Mean of quarter 4
    0.10423
  • Inter Quartile Range
    0.06267
  • 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)
    0.11528
  • Expected Shortfall (moments method)
    0.11537
  • Extreme Value Index (regression method)
    -0.92489
  • VaR(95%) (regression method)
    0.13501
  • Expected Shortfall (regression method)
    0.14330
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40345
  • Compounded annual return (geometric extrapolation)
    0.22749
  • Calmar ratio (compounded annual return / max draw down)
    1.78280
  • Compounded annual return / average of 25% largest draw downs
    2.18255
  • Compounded annual return / Expected Shortfall lognormal
    2.83747
  • 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
    0.18714
  • SD
    0.13500
  • Sharpe ratio (Glass type estimate)
    1.38623
  • Sharpe ratio (Hedges UMVUE)
    1.38558
  • df
    1579.00000
  • t
    3.40419
  • p
    0.44573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18516
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97195
  • Upside Potential Ratio
    9.42997
  • Upside part of mean
    0.89490
  • Downside part of mean
    -0.70777
  • Upside SD
    0.09665
  • Downside SD
    0.09490
  • N nonnegative terms
    917.00000
  • N negative terms
    663.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1580.00000
  • Mean of predictor
    0.07736
  • Mean of criterion
    0.18714
  • SD of predictor
    0.12717
  • SD of criterion
    0.13500
  • Covariance
    0.00494
  • r
    0.28797
  • b (slope, estimate of beta)
    0.30570
  • a (intercept, estimate of alpha)
    0.16300
  • Mean Square Error
    0.01672
  • DF error
    1578.00000
  • t(b)
    11.94550
  • p(b)
    0.35601
  • t(a)
    3.10238
  • p(a)
    0.46107
  • Lowerbound of 95% confidence interval for beta
    0.25550
  • Upperbound of 95% confidence interval for beta
    0.35589
  • Lowerbound of 95% confidence interval for alpha
    0.06012
  • Upperbound of 95% confidence interval for alpha
    0.26686
  • Treynor index (mean / b)
    0.61217
  • Jensen alpha (a)
    0.16349
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17793
  • SD
    0.13519
  • Sharpe ratio (Glass type estimate)
    1.31622
  • Sharpe ratio (Hedges UMVUE)
    1.31559
  • df
    1579.00000
  • t
    3.23225
  • p
    0.44844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51615
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11503
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85692
  • Upside Potential Ratio
    9.28999
  • Upside part of mean
    0.89019
  • Downside part of mean
    -0.71225
  • Upside SD
    0.09593
  • Downside SD
    0.09582
  • N nonnegative terms
    917.00000
  • N negative terms
    663.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1580.00000
  • Mean of predictor
    0.06924
  • Mean of criterion
    0.17793
  • SD of predictor
    0.12742
  • SD of criterion
    0.13519
  • Covariance
    0.00496
  • r
    0.28788
  • b (slope, estimate of beta)
    0.30542
  • a (intercept, estimate of alpha)
    0.15679
  • Mean Square Error
    0.01677
  • DF error
    1578.00000
  • t(b)
    11.94130
  • p(b)
    0.35606
  • t(a)
    2.97137
  • p(a)
    0.46270
  • Lowerbound of 95% confidence interval for beta
    0.25525
  • Upperbound of 95% confidence interval for beta
    0.35559
  • Lowerbound of 95% confidence interval for alpha
    0.05329
  • Upperbound of 95% confidence interval for alpha
    0.26028
  • Treynor index (mean / b)
    0.58258
  • Jensen alpha (a)
    0.15679
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01297
  • Expected Shortfall on VaR
    0.01641
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00552
  • Expected Shortfall on VaR
    0.01139
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1580.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99662
  • Median
    1.00129
  • Quartile 3
    1.00561
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99042
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00319
  • Mean of quarter 4
    1.01051
  • Inter Quartile Range
    0.00899
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.02848
  • Mean of outliers low
    0.97636
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.01392
  • Mean of outliers high
    1.02423
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18416
  • VaR(95%) (moments method)
    0.00889
  • Expected Shortfall (moments method)
    0.01374
  • Extreme Value Index (regression method)
    0.05692
  • VaR(95%) (regression method)
    0.00891
  • Expected Shortfall (regression method)
    0.01272
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    68.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00488
  • Median
    0.01791
  • Quartile 3
    0.04382
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.01040
  • Mean of quarter 3
    0.02829
  • Mean of quarter 4
    0.07405
  • Inter Quartile Range
    0.03894
  • 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
    0.04412
  • Mean of outliers high
    0.12534
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.10405
  • VaR(95%) (moments method)
    0.07978
  • Expected Shortfall (moments method)
    0.10643
  • Extreme Value Index (regression method)
    0.23919
  • VaR(95%) (regression method)
    0.07642
  • Expected Shortfall (regression method)
    0.10695
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40796
  • Compounded annual return (geometric extrapolation)
    0.22856
  • Calmar ratio (compounded annual return / max draw down)
    1.60236
  • Compounded annual return / average of 25% largest draw downs
    3.08639
  • Compounded annual return / Expected Shortfall lognormal
    13.93020
  • 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
    -0.09104
  • SD
    0.11366
  • Sharpe ratio (Glass type estimate)
    -0.80102
  • Sharpe ratio (Hedges UMVUE)
    -0.79639
  • df
    130.00000
  • t
    -0.56641
  • p
    0.52481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.57309
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97395
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.56988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97711
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.94378
  • Upside Potential Ratio
    5.96317
  • Upside part of mean
    0.57524
  • Downside part of mean
    -0.66628
  • Upside SD
    0.05954
  • Downside SD
    0.09646
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.17932
  • Mean of criterion
    -0.09104
  • SD of predictor
    0.15303
  • SD of criterion
    0.11366
  • Covariance
    0.00389
  • r
    0.22384
  • b (slope, estimate of beta)
    0.16624
  • a (intercept, estimate of alpha)
    -0.06123
  • Mean Square Error
    0.01237
  • DF error
    129.00000
  • t(b)
    2.60846
  • p(b)
    0.35870
  • t(a)
    -0.38833
  • p(a)
    0.52175
  • Lowerbound of 95% confidence interval for beta
    0.04015
  • Upperbound of 95% confidence interval for beta
    0.29234
  • Lowerbound of 95% confidence interval for alpha
    -0.37320
  • Upperbound of 95% confidence interval for alpha
    0.25074
  • Treynor index (mean / b)
    -0.54764
  • Jensen alpha (a)
    -0.06123
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09751
  • SD
    0.11428
  • Sharpe ratio (Glass type estimate)
    -0.85320
  • Sharpe ratio (Hedges UMVUE)
    -0.84826
  • df
    130.00000
  • t
    -0.60330
  • p
    0.52642
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.62537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.62199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92546
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.00142
  • Upside Potential Ratio
    5.88919
  • Upside part of mean
    0.57341
  • Downside part of mean
    -0.67092
  • Upside SD
    0.05930
  • Downside SD
    0.09737
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19106
  • Mean of criterion
    -0.09751
  • SD of predictor
    0.15374
  • SD of criterion
    0.11428
  • Covariance
    0.00393
  • r
    0.22349
  • b (slope, estimate of beta)
    0.16613
  • a (intercept, estimate of alpha)
    -0.06577
  • Mean Square Error
    0.01250
  • DF error
    129.00000
  • t(b)
    2.60427
  • p(b)
    0.35891
  • t(a)
    -0.41463
  • p(a)
    0.52322
  • Lowerbound of 95% confidence interval for beta
    0.03992
  • Upperbound of 95% confidence interval for beta
    0.29234
  • Lowerbound of 95% confidence interval for alpha
    -0.37958
  • Upperbound of 95% confidence interval for alpha
    0.24805
  • Treynor index (mean / b)
    -0.58692
  • Jensen alpha (a)
    -0.06577
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01191
  • Expected Shortfall on VaR
    0.01482
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00508
  • Expected Shortfall on VaR
    0.01085
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97182
  • Quartile 1
    0.99742
  • Median
    1.00056
  • Quartile 3
    1.00394
  • Maximum
    1.01412
  • Mean of quarter 1
    0.99064
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00232
  • Mean of quarter 4
    1.00658
  • Inter Quartile Range
    0.00652
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98218
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01412
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56033
  • VaR(95%) (moments method)
    0.00946
  • Expected Shortfall (moments method)
    0.02429
  • Extreme Value Index (regression method)
    0.21313
  • VaR(95%) (regression method)
    0.00865
  • Expected Shortfall (regression method)
    0.01429
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02122
  • Quartile 1
    0.02637
  • Median
    0.05567
  • Quartile 3
    0.08665
  • Maximum
    0.09683
  • Mean of quarter 1
    0.02122
  • Mean of quarter 2
    0.02808
  • Mean of quarter 3
    0.08326
  • Mean of quarter 4
    0.09683
  • Inter Quartile Range
    0.06029
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06840
  • Compounded annual return (geometric extrapolation)
    -0.06723
  • Calmar ratio (compounded annual return / max draw down)
    -0.69435
  • Compounded annual return / average of 25% largest draw downs
    -0.69435
  • Compounded annual return / Expected Shortfall lognormal
    -4.53614

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.
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Summary Statistics

Strategy began
2012-11-05
Suggested Minimum Capital
$45,000
# Trades
935
# Profitable
417
% Profitable
44.6%
Net Dividends
Correlation S&P500
0.291
Sharpe Ratio
1.386

Latest Activity

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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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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.