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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. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

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

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
14.7%
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.

(31.6%)
Max Drawdown
1343
Num Trades
41.6%
Win Trades
1.4 : 1
Profit Factor
63.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      (8%)(0.3%)(8.2%)
2013+6.8%+4.1%+4.2%+1.4%+4.7%+0.5%+11.2%(2%)+9.4%(0.6%)+10.8%+1.1%+64.3%
2014+4.9%+7.5%+2.1%(1.8%)(0.3%)+0.4%(4.3%)+4.5%(4.1%)+6.7%+10.5%+4.7%+34.2%
2015(1.6%)(1.2%)+2.9%(1.2%)+0.5%(1.3%)(0.7%)(0.6%)(4%)+2.1%+1.4%(6.7%)(10.3%)
2016+2.6%+1.8%(0.7%)+1.4%(8.8%)+3.2%+2.2%+1.1%+1.3%(6.2%)+3.0%+6.4%+6.6%
2017+4.7%(0.2%)+2.3%+7.0%+8.3%(6.6%)+9.9%+3.7%+2.5%+7.6%+3.9%(2.2%)+47.6%
2018+9.6%+1.0%+0.3%+0.1%+3.6%+0.2%(2.9%)+10.9%+1.8%(7.3%)(2.5%)+3.9%+18.8%
2019+2.7%+0.6%+0.2%+1.0%(0.8%)+3.6%+0.2%(1.3%)(2.7%)(4.7%)+2.7%+1.7%+3.0%
2020+5.0%(12.7%)+0.3%(4.2%)(4.6%)(2.9%)(0.7%)+4.9%(3.3%)+4.6%            (14%)

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 1,751 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/21/20 10:33 TSLA TESLA INC. LONG 41 428.55 10/23 10:06 412.21 0.25%
Trade id #131818597
Max drawdown($754)
Time10/23/20 10:03
Quant open41
Worst price410.15
Drawdown as % of equity-0.25%
($671)
Includes Typical Broker Commissions trade costs of $0.82
9/23/20 10:36 SQ SQUARE INC LONG 114 167.51 10/23 9:35 175.11 0.13%
Trade id #131315621
Max drawdown($376)
Time9/23/20 15:06
Quant open40
Worst price147.80
Drawdown as % of equity-0.13%
$864
Includes Typical Broker Commissions trade costs of $2.28
9/30/20 12:11 LOW LOWE'S COMPANIES LONG 99 172.31 10/22 10:48 171.14 0.05%
Trade id #131440187
Max drawdown($159)
Time10/2/20 0:00
Quant open54
Worst price164.05
Drawdown as % of equity-0.05%
($118)
Includes Typical Broker Commissions trade costs of $1.98
9/29/20 10:01 BYND BEYOND MEAT INC. COMMON STOCK LONG 124 171.10 10/22 10:25 172.47 0.11%
Trade id #131413805
Max drawdown($330)
Time10/2/20 0:00
Quant open82
Worst price164.81
Drawdown as % of equity-0.11%
$169
Includes Typical Broker Commissions trade costs of $2.48
9/29/20 10:07 APPS DIGITAL TURBINE INC LONG 500 33.79 10/22 10:10 35.06 0.07%
Trade id #131414009
Max drawdown($205)
Time9/30/20 0:00
Quant open230
Worst price32.03
Drawdown as % of equity-0.07%
$629
Includes Typical Broker Commissions trade costs of $10.00
10/9/20 10:12 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 38 503.09 10/21 11:03 526.67 0.05%
Trade id #131613887
Max drawdown($154)
Time10/9/20 15:10
Quant open25
Worst price488.21
Drawdown as % of equity-0.05%
$895
Includes Typical Broker Commissions trade costs of $0.76
10/2/20 14:57 FVRR FIVERR INTERNATIONAL LTD LONG 84 157.29 10/21 10:39 168.05 0.06%
Trade id #131493544
Max drawdown($182)
Time10/6/20 0:00
Quant open62
Worst price151.15
Drawdown as % of equity-0.06%
$902
Includes Typical Broker Commissions trade costs of $1.68
9/28/20 10:21 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 127 143.57 10/21 9:40 141.00 0.14%
Trade id #131393955
Max drawdown($413)
Time10/21/20 9:40
Quant open127
Worst price140.31
Drawdown as % of equity-0.14%
($329)
Includes Typical Broker Commissions trade costs of $2.54
9/30/20 12:18 PFSI PENNYMAC FINANCIAL SERVICES IN LONG 245 61.48 10/20 15:07 63.30 0.08%
Trade id #131440327
Max drawdown($226)
Time10/7/20 0:00
Quant open165
Worst price58.34
Drawdown as % of equity-0.08%
$441
Includes Typical Broker Commissions trade costs of $4.90
9/28/20 10:35 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 113 130.34 10/20 10:28 129.47 0.11%
Trade id #131394460
Max drawdown($340)
Time10/16/20 0:00
Quant open113
Worst price127.33
Drawdown as % of equity-0.11%
($101)
Includes Typical Broker Commissions trade costs of $2.26
9/23/20 10:30 TSLA TESLA INC. LONG 47 425.62 10/20 9:31 427.80 0.23%
Trade id #131315306
Max drawdown($662)
Time9/24/20 0:00
Quant open13
Worst price351.30
Drawdown as % of equity-0.23%
$102
Includes Typical Broker Commissions trade costs of $0.94
10/6/20 10:02 SE SEA LTD ADS LONG 100 166.08 10/19 15:39 162.67 0.14%
Trade id #131539590
Max drawdown($423)
Time10/15/20 0:00
Quant open100
Worst price161.84
Drawdown as % of equity-0.14%
($343)
Includes Typical Broker Commissions trade costs of $2.00
9/29/20 12:50 NVDA NVIDIA LONG 33 541.38 10/19 15:00 542.02 0.15%
Trade id #131418806
Max drawdown($432)
Time10/2/20 0:00
Quant open28
Worst price522.04
Drawdown as % of equity-0.15%
$20
Includes Typical Broker Commissions trade costs of $0.66
10/16/20 9:48 LEN LENNAR LONG 81 85.99 10/19 14:50 82.65 0.09%
Trade id #131735481
Max drawdown($274)
Time10/19/20 14:50
Quant open81
Worst price82.60
Drawdown as % of equity-0.09%
($273)
Includes Typical Broker Commissions trade costs of $1.62
10/8/20 10:12 LMND LEMONADE INC LONG 210 61.52 10/16 11:23 60.92 0.11%
Trade id #131590348
Max drawdown($339)
Time10/16/20 11:23
Quant open160
Worst price59.40
Drawdown as % of equity-0.11%
($129)
Includes Typical Broker Commissions trade costs of $4.20
9/30/20 12:30 LVGO LIVONGO HEALTH INC LONG 111 145.94 10/16 10:34 144.31 0.19%
Trade id #131440625
Max drawdown($574)
Time10/15/20 0:00
Quant open111
Worst price140.77
Drawdown as % of equity-0.19%
($183)
Includes Typical Broker Commissions trade costs of $2.22
10/8/20 10:35 WKHS WORKHORSE GROUP INC. COMMON STOCK LONG 340 25.56 10/13 10:53 24.05 0.19%
Trade id #131591618
Max drawdown($563)
Time10/13/20 10:02
Quant open340
Worst price23.90
Drawdown as % of equity-0.19%
($519)
Includes Typical Broker Commissions trade costs of $6.80
10/5/20 13:42 GRWG GROWGENERATION CORP. COMMON STOCK LONG 570 16.96 10/13 9:40 17.02 0.05%
Trade id #131522628
Max drawdown($146)
Time10/6/20 0:00
Quant open325
Worst price15.55
Drawdown as % of equity-0.05%
$28
Includes Typical Broker Commissions trade costs of $8.20
10/1/20 13:43 SEDG SOLAREDGE TECHNOLOGIES INC. C LONG 52 259.29 10/12 11:26 291.09 0.07%
Trade id #131466356
Max drawdown($200)
Time10/2/20 0:00
Quant open24
Worst price239.50
Drawdown as % of equity-0.07%
$1,652
Includes Typical Broker Commissions trade costs of $1.04
10/1/20 10:37 DDOG DATADOG INC. LONG 160 105.38 10/8 12:49 104.11 0.14%
Trade id #131460515
Max drawdown($430)
Time10/8/20 10:25
Quant open160
Worst price102.69
Drawdown as % of equity-0.14%
($206)
Includes Typical Broker Commissions trade costs of $3.20
9/30/20 12:06 AAPL APPLE LONG 56 116.67 10/7 10:23 114.36 0.09%
Trade id #131440010
Max drawdown($249)
Time10/2/20 0:00
Quant open56
Worst price112.22
Drawdown as % of equity-0.09%
($130)
Includes Typical Broker Commissions trade costs of $1.12
9/30/20 12:17 AMZN AMAZON.COM LONG 3 3206.26 10/7 10:23 3154.43 0.12%
Trade id #131440300
Max drawdown($348)
Time10/6/20 0:00
Quant open3
Worst price3090.00
Drawdown as % of equity-0.12%
($155)
Includes Typical Broker Commissions trade costs of $0.06
9/28/20 10:39 TAN INVESCO SOLAR PORTFOLIO LONG 242 62.87 10/5 11:45 68.91 n/a $1,456
Includes Typical Broker Commissions trade costs of $4.84
9/22/20 12:11 SAM BOSTON BEER COMPANY LONG 12 921.50 10/2 13:35 866.82 0.26%
Trade id #131296371
Max drawdown($742)
Time9/24/20 0:00
Quant open12
Worst price859.64
Drawdown as % of equity-0.26%
($656)
Includes Typical Broker Commissions trade costs of $0.24
8/11/20 13:07 CPRT COPART LONG 120 102.37 9/24 10:41 101.82 0.03%
Trade id #130563355
Max drawdown($68)
Time9/24/20 10:41
Quant open120
Worst price101.81
Drawdown as % of equity-0.03%
($68)
Includes Typical Broker Commissions trade costs of $2.40
9/22/20 13:56 FVRR FIVERR INTERNATIONAL LTD LONG 87 136.26 9/24 10:38 125.74 0.35%
Trade id #131299288
Max drawdown($937)
Time9/24/20 10:38
Quant open87
Worst price125.49
Drawdown as % of equity-0.35%
($918)
Includes Typical Broker Commissions trade costs of $1.74
7/27/20 13:26 BOTZ GLOBAL X ROBOTICS & ARTIFICIAL INTELLIGENCE LONG 200 25.87 9/24 9:43 26.58 0.06%
Trade id #130298082
Max drawdown($151)
Time7/31/20 0:00
Quant open200
Worst price25.11
Drawdown as % of equity-0.06%
$138
Includes Typical Broker Commissions trade costs of $4.00
9/15/20 11:47 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 100 126.60 9/24 9:40 116.79 0.36%
Trade id #131183557
Max drawdown($981)
Time9/24/20 9:40
Quant open100
Worst price116.79
Drawdown as % of equity-0.36%
($983)
Includes Typical Broker Commissions trade costs of $2.00
9/15/20 9:35 PINS PINTEREST INC LONG 486 37.46 9/24 9:38 38.43 0.34%
Trade id #131178950
Max drawdown($957)
Time9/17/20 0:00
Quant open486
Worst price35.49
Drawdown as % of equity-0.34%
$461
Includes Typical Broker Commissions trade costs of $9.72
9/15/20 9:37 BYND BEYOND MEAT INC. COMMON STOCK LONG 115 146.52 9/24 9:37 147.10 0.26%
Trade id #131179073
Max drawdown($714)
Time9/21/20 0:00
Quant open115
Worst price140.31
Drawdown as % of equity-0.26%
$64
Includes Typical Broker Commissions trade costs of $2.30

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2917.04
  • Age
    97 months ago
  • What it trades
    Stocks
  • # Trades
    1343
  • # Profitable
    559
  • % Profitable
    41.60%
  • Avg trade duration
    37.0 days
  • Max peak-to-valley drawdown
    31.57%
  • drawdown period
    Feb 19, 2020 - Aug 31, 2020
  • Annual Return (Compounded)
    14.7%
  • Avg win
    $1,302
  • Avg loss
    $687.93
  • Model Account Values (Raw)
  • Cash
    $313,948
  • Margin Used
    $0
  • Buying Power
    $313,948
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    0.78
  • Sortino Ratio
    1.08
  • Calmar Ratio
    0.539
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    69.59%
  • Correlation to SP500
    0.25820
  • Return Percent SP500 (cumu) during strategy life
    130.72%
  • Return Statistics
  • Ann Return (w trading costs)
    14.7%
  • Slump
  • Current Slump as Pcnt Equity
    32.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.147%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.50%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 100% 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 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    672
  • Popularity (Last 6 weeks)
    916
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    882
  • Popularity (7 days, Percentile 1000 scale)
    870
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $688
  • Avg Win
    $1,303
  • Sum Trade PL (losers)
    $539,339.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    96
  • Win / Loss
  • Sum Trade PL (winners)
    $728,276.000
  • # Winners
    559
  • Num Months Winners
    61
  • Dividends
  • Dividends Received in Model Acct
    25011
  • AUM
  • AUM (AutoTrader live capital)
    30355
  • Win / Loss
  • # Losers
    784
  • % Winners
    41.6%
  • Frequency
  • Avg Position Time (mins)
    57652.90
  • Avg Position Time (hrs)
    960.88
  • Avg Trade Length
    40.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.98
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.03
  • Beta
    0.21
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    34.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.60
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.27
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.450
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.250
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.320
  • Hold-and-Hope Ratio
    0.183
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13453
  • SD
    0.16870
  • Sharpe ratio (Glass type estimate)
    0.79750
  • Sharpe ratio (Hedges UMVUE)
    0.79105
  • df
    93.00000
  • t
    2.23205
  • p
    0.01401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08160
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50050
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38117
  • Upside Potential Ratio
    2.95019
  • Upside part of mean
    0.28737
  • Downside part of mean
    -0.15283
  • Upside SD
    0.14204
  • Downside SD
    0.09741
  • N nonnegative terms
    55.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.10169
  • Mean of criterion
    0.13453
  • SD of predictor
    0.16162
  • SD of criterion
    0.16870
  • Covariance
    0.01018
  • r
    0.37352
  • b (slope, estimate of beta)
    0.38988
  • a (intercept, estimate of alpha)
    0.09489
  • Mean Square Error
    0.02475
  • DF error
    92.00000
  • t(b)
    3.86226
  • p(b)
    0.00010
  • t(a)
    1.66053
  • p(a)
    0.05011
  • Lowerbound of 95% confidence interval for beta
    0.18939
  • Upperbound of 95% confidence interval for beta
    0.59036
  • Lowerbound of 95% confidence interval for alpha
    -0.01860
  • Upperbound of 95% confidence interval for alpha
    0.20838
  • Treynor index (mean / b)
    0.34507
  • Jensen alpha (a)
    0.09489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11974
  • SD
    0.16686
  • Sharpe ratio (Glass type estimate)
    0.71761
  • Sharpe ratio (Hedges UMVUE)
    0.71180
  • df
    93.00000
  • t
    2.00844
  • p
    0.02375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42355
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41952
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17447
  • Upside Potential Ratio
    2.71942
  • Upside part of mean
    0.27725
  • Downside part of mean
    -0.15751
  • Upside SD
    0.13545
  • Downside SD
    0.10195
  • N nonnegative terms
    55.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.08691
  • Mean of criterion
    0.11974
  • SD of predictor
    0.17408
  • SD of criterion
    0.16686
  • Covariance
    0.01164
  • r
    0.40060
  • b (slope, estimate of beta)
    0.38398
  • a (intercept, estimate of alpha)
    0.08637
  • Mean Square Error
    0.02363
  • DF error
    92.00000
  • t(b)
    4.19363
  • p(b)
    0.00003
  • t(a)
    1.55632
  • p(a)
    0.06153
  • Lowerbound of 95% confidence interval for beta
    0.20213
  • Upperbound of 95% confidence interval for beta
    0.56583
  • Lowerbound of 95% confidence interval for alpha
    -0.02385
  • Upperbound of 95% confidence interval for alpha
    0.19658
  • Treynor index (mean / b)
    0.31184
  • Jensen alpha (a)
    0.08637
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06691
  • Expected Shortfall on VaR
    0.08536
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02575
  • Expected Shortfall on VaR
    0.05367
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    94.00000
  • Minimum
    0.85355
  • Quartile 1
    0.98638
  • Median
    1.00965
  • Quartile 3
    1.04345
  • Maximum
    1.17909
  • Mean of quarter 1
    0.95623
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.02448
  • Mean of quarter 4
    1.07372
  • Inter Quartile Range
    0.05707
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02128
  • Mean of outliers low
    0.87486
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01064
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02549
  • VaR(95%) (moments method)
    0.03659
  • Expected Shortfall (moments method)
    0.05140
  • Extreme Value Index (regression method)
    0.33209
  • VaR(95%) (regression method)
    0.03561
  • Expected Shortfall (regression method)
    0.06127
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00378
  • Quartile 1
    0.01532
  • Median
    0.04900
  • Quartile 3
    0.08624
  • Maximum
    0.24948
  • Mean of quarter 1
    0.01114
  • Mean of quarter 2
    0.02770
  • Mean of quarter 3
    0.06946
  • Mean of quarter 4
    0.14303
  • Inter Quartile Range
    0.07091
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.24948
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.13153
  • VaR(95%) (moments method)
    0.15925
  • Expected Shortfall (moments method)
    0.22107
  • Extreme Value Index (regression method)
    1.09583
  • VaR(95%) (regression method)
    0.20327
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27816
  • Compounded annual return (geometric extrapolation)
    0.15910
  • Calmar ratio (compounded annual return / max draw down)
    0.63774
  • Compounded annual return / average of 25% largest draw downs
    1.11236
  • Compounded annual return / Expected Shortfall lognormal
    1.86400
  • 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
    0.12682
  • SD
    0.13358
  • Sharpe ratio (Glass type estimate)
    0.94937
  • Sharpe ratio (Hedges UMVUE)
    0.94903
  • df
    2061.00000
  • t
    2.66336
  • p
    0.00390
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24979
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64827
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30784
  • Upside Potential Ratio
    8.58147
  • Upside part of mean
    0.83211
  • Downside part of mean
    -0.70530
  • Upside SD
    0.09216
  • Downside SD
    0.09697
  • N nonnegative terms
    1169.00000
  • N negative terms
    893.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2062.00000
  • Mean of predictor
    0.09322
  • Mean of criterion
    0.12682
  • SD of predictor
    0.17204
  • SD of criterion
    0.13358
  • Covariance
    0.00600
  • r
    0.26117
  • b (slope, estimate of beta)
    0.20279
  • a (intercept, estimate of alpha)
    0.10800
  • Mean Square Error
    0.01663
  • DF error
    2060.00000
  • t(b)
    12.28020
  • p(b)
    0.00000
  • t(a)
    2.34595
  • p(a)
    0.00954
  • Lowerbound of 95% confidence interval for beta
    0.17040
  • Upperbound of 95% confidence interval for beta
    0.23517
  • Lowerbound of 95% confidence interval for alpha
    0.01770
  • Upperbound of 95% confidence interval for alpha
    0.19812
  • Treynor index (mean / b)
    0.62537
  • Jensen alpha (a)
    0.10791
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11783
  • SD
    0.13392
  • Sharpe ratio (Glass type estimate)
    0.87985
  • Sharpe ratio (Hedges UMVUE)
    0.87953
  • df
    2061.00000
  • t
    2.46832
  • p
    0.00683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18060
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57869
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20188
  • Upside Potential Ratio
    8.44398
  • Upside part of mean
    0.82782
  • Downside part of mean
    -0.70999
  • Upside SD
    0.09147
  • Downside SD
    0.09804
  • N nonnegative terms
    1169.00000
  • N negative terms
    893.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2062.00000
  • Mean of predictor
    0.07832
  • Mean of criterion
    0.11783
  • SD of predictor
    0.17282
  • SD of criterion
    0.13392
  • Covariance
    0.00606
  • r
    0.26196
  • b (slope, estimate of beta)
    0.20299
  • a (intercept, estimate of alpha)
    0.10193
  • Mean Square Error
    0.01671
  • DF error
    2060.00000
  • t(b)
    12.31970
  • p(b)
    0.00000
  • t(a)
    2.21113
  • p(a)
    0.01357
  • Lowerbound of 95% confidence interval for beta
    0.17068
  • Upperbound of 95% confidence interval for beta
    0.23530
  • Lowerbound of 95% confidence interval for alpha
    0.01153
  • Upperbound of 95% confidence interval for alpha
    0.19234
  • Treynor index (mean / b)
    0.58046
  • Jensen alpha (a)
    0.10193
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01307
  • Expected Shortfall on VaR
    0.01647
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00560
  • Expected Shortfall on VaR
    0.01163
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2062.00000
  • Minimum
    0.94474
  • Quartile 1
    0.99682
  • Median
    1.00096
  • Quartile 3
    1.00508
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99044
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00284
  • Mean of quarter 4
    1.00995
  • Inter Quartile Range
    0.00827
  • Number outliers low
    66.00000
  • Percentage of outliers low
    0.03201
  • Mean of outliers low
    0.97636
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.01794
  • Mean of outliers high
    1.02258
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17699
  • VaR(95%) (moments method)
    0.00861
  • Expected Shortfall (moments method)
    0.01332
  • Extreme Value Index (regression method)
    0.09126
  • VaR(95%) (regression method)
    0.00876
  • Expected Shortfall (regression method)
    0.01286
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    74.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00494
  • Median
    0.01930
  • Quartile 3
    0.04502
  • Maximum
    0.29119
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.01120
  • Mean of quarter 3
    0.02837
  • Mean of quarter 4
    0.08666
  • Inter Quartile Range
    0.04008
  • 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
    0.04054
  • Mean of outliers high
    0.18777
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34830
  • VaR(95%) (moments method)
    0.09767
  • Expected Shortfall (moments method)
    0.16332
  • Extreme Value Index (regression method)
    0.52489
  • VaR(95%) (regression method)
    0.08389
  • Expected Shortfall (regression method)
    0.15763
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27301
  • Compounded annual return (geometric extrapolation)
    0.15689
  • Calmar ratio (compounded annual return / max draw down)
    0.53879
  • Compounded annual return / average of 25% largest draw downs
    1.81041
  • Compounded annual return / Expected Shortfall lognormal
    9.52332
  • 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
    -0.08235
  • SD
    0.15252
  • Sharpe ratio (Glass type estimate)
    -0.53994
  • Sharpe ratio (Hedges UMVUE)
    -0.53682
  • df
    130.00000
  • t
    -0.38180
  • p
    0.51673
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.31156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23361
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.30939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23575
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.71022
  • Upside Potential Ratio
    6.44706
  • Upside part of mean
    0.74755
  • Downside part of mean
    -0.82990
  • Upside SD
    0.09831
  • Downside SD
    0.11595
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20762
  • Mean of criterion
    -0.08235
  • SD of predictor
    0.21132
  • SD of criterion
    0.15252
  • Covariance
    0.01570
  • r
    0.48698
  • b (slope, estimate of beta)
    0.35148
  • a (intercept, estimate of alpha)
    -0.15533
  • Mean Square Error
    0.01788
  • DF error
    129.00000
  • t(b)
    6.33267
  • p(b)
    0.20271
  • t(a)
    -0.81979
  • p(a)
    0.54579
  • Lowerbound of 95% confidence interval for beta
    0.24167
  • Upperbound of 95% confidence interval for beta
    0.46130
  • Lowerbound of 95% confidence interval for alpha
    -0.53020
  • Upperbound of 95% confidence interval for alpha
    0.21954
  • Treynor index (mean / b)
    -0.23430
  • Jensen alpha (a)
    -0.15533
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09396
  • SD
    0.15310
  • Sharpe ratio (Glass type estimate)
    -0.61368
  • Sharpe ratio (Hedges UMVUE)
    -0.61013
  • df
    130.00000
  • t
    -0.43394
  • p
    0.51902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16022
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.38293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16267
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.79867
  • Upside Potential Ratio
    6.31327
  • Upside part of mean
    0.74271
  • Downside part of mean
    -0.83666
  • Upside SD
    0.09724
  • Downside SD
    0.11764
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18516
  • Mean of criterion
    -0.09396
  • SD of predictor
    0.21282
  • SD of criterion
    0.15310
  • Covariance
    0.01606
  • r
    0.49290
  • b (slope, estimate of beta)
    0.35460
  • a (intercept, estimate of alpha)
    -0.15962
  • Mean Square Error
    0.01788
  • DF error
    129.00000
  • t(b)
    6.43409
  • p(b)
    0.19943
  • t(a)
    -0.84275
  • p(a)
    0.54707
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.24556
  • Upperbound of 95% confidence interval for beta
    0.46364
  • Lowerbound of 95% confidence interval for alpha
    -0.53434
  • Upperbound of 95% confidence interval for alpha
    0.21511
  • Treynor index (mean / b)
    -0.26497
  • Jensen alpha (a)
    -0.15962
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01579
  • Expected Shortfall on VaR
    0.01967
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00705
  • Expected Shortfall on VaR
    0.01451
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94996
  • Quartile 1
    0.99669
  • Median
    1.00033
  • Quartile 3
    1.00373
  • Maximum
    1.03990
  • Mean of quarter 1
    0.98897
  • Mean of quarter 2
    0.99868
  • Mean of quarter 3
    1.00182
  • Mean of quarter 4
    1.00976
  • Inter Quartile Range
    0.00704
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97503
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02470
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19846
  • VaR(95%) (moments method)
    0.00971
  • Expected Shortfall (moments method)
    0.01548
  • Extreme Value Index (regression method)
    0.05426
  • VaR(95%) (regression method)
    0.01066
  • Expected Shortfall (regression method)
    0.01562
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11003
  • Quartile 1
    0.11003
  • Median
    0.11003
  • Quartile 3
    0.11003
  • Maximum
    0.11003
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -296411000
  • Max Equity Drawdown (num days)
    194
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06497
  • Compounded annual return (geometric extrapolation)
    -0.06392
  • Calmar ratio (compounded annual return / max draw down)
    -0.58088
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.24987

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. This portfolio is cash-only, no margin, options or futures utilized

Summary Statistics

Strategy began
2012-11-05
Suggested Minimum Capital
$35,000
Rank at C2 
#79
# Trades
1343
# Profitable
559
% Profitable
41.6%
Net Dividends
Correlation S&P500
0.258
Sharpe Ratio
0.78
Sortino Ratio
1.08
Beta
0.21
Alpha
0.03
Leverage
0.98 Average
2.13 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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