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

The Vegan Growth Port
(77477692)

Created by: BradPappas BradPappas
Started: 11/2012
Stocks
Last trade: 7 days ago
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).
20.9%
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
1004
Num Trades
44.7%
Win Trades
1.8 : 1
Profit Factor
67.9%
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%)+4.0%+18.8%
2019+2.8%+0.6%+0.2%+0.5%                                                +4.1%

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 1,040 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/1/19 11:39 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 115 108.97 4/18 10:50 102.90 0.32%
Trade id #122751688
Max drawdown($1,145)
Time4/17/19 16:48
Quant open115
Worst price99.01
Drawdown as % of equity-0.32%
($700)
Includes Typical Broker Commissions trade costs of $2.30
4/5/19 11:00 EHTH EHEALTH LONG 205 67.91 4/17 11:22 52.50 0.87%
Trade id #123220245
Max drawdown($3,158)
Time4/17/19 11:22
Quant open205
Worst price52.50
Drawdown as % of equity-0.87%
($3,162)
Includes Typical Broker Commissions trade costs of $4.10
3/12/19 12:49 IEF ISHARES BARCLAYS 7-10 YEAR TRE LONG 555 105.02 4/16 12:07 105.29 0.02%
Trade id #122881533
Max drawdown($62)
Time3/14/19 12:09
Quant open320
Worst price104.65
Drawdown as % of equity-0.02%
$143
Includes Typical Broker Commissions trade costs of $11.10
3/12/19 13:56 TLT ISHARES 20+ YEAR TREASURY BOND LONG 365 123.48 4/16 12:07 122.65 0.08%
Trade id #122882502
Max drawdown($305)
Time4/16/19 12:07
Quant open125
Worst price122.21
Drawdown as % of equity-0.08%
($312)
Includes Typical Broker Commissions trade costs of $7.30
4/2/19 12:46 FISV FISERV LONG 185 89.63 4/11 13:55 85.48 0.22%
Trade id #123171246
Max drawdown($793)
Time4/11/19 12:09
Quant open185
Worst price85.34
Drawdown as % of equity-0.22%
($772)
Includes Typical Broker Commissions trade costs of $3.70
3/22/19 11:22 SDS PROSHARES ULTRASHORT S&P500 LONG 1,000 33.54 4/1 10:05 32.72 0.23%
Trade id #123033505
Max drawdown($825)
Time4/1/19 10:05
Quant open0
Worst price32.72
Drawdown as % of equity-0.23%
($830)
Includes Typical Broker Commissions trade costs of $5.00
3/22/19 15:49 QID PROSHARES ULTRASHORT QQQ LONG 1,000 35.02 4/1 10:05 33.75 0.38%
Trade id #123041172
Max drawdown($1,389)
Time4/1/19 4:46
Quant open1,000
Worst price33.63
Drawdown as % of equity-0.38%
($1,283)
Includes Typical Broker Commissions trade costs of $12.50
2/20/19 10:31 AMD ADVANCED MICRO DEVICES INC. C LONG 600 24.59 3/27 10:07 25.62 0.48%
Trade id #122601568
Max drawdown($1,651)
Time3/8/19 9:32
Quant open500
Worst price21.04
Drawdown as % of equity-0.48%
$606
Includes Typical Broker Commissions trade costs of $12.00
3/1/19 12:46 CRM SALESFORCE.COM LONG 76 163.61 3/25 12:48 160.49 0.29%
Trade id #122753701
Max drawdown($1,015)
Time3/8/19 9:32
Quant open76
Worst price150.25
Drawdown as % of equity-0.29%
($239)
Includes Typical Broker Commissions trade costs of $1.52
2/20/19 10:30 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 225 66.26 3/25 12:37 86.49 0.14%
Trade id #122601548
Max drawdown($508)
Time2/21/19 9:33
Quant open225
Worst price64.00
Drawdown as % of equity-0.14%
$4,548
Includes Typical Broker Commissions trade costs of $4.50
3/18/19 10:28 XLNX XILINX LONG 90 125.54 3/25 12:36 122.67 0.07%
Trade id #122951961
Max drawdown($270)
Time3/25/19 12:36
Quant open90
Worst price122.53
Drawdown as % of equity-0.07%
($260)
Includes Typical Broker Commissions trade costs of $1.80
2/4/19 10:02 DATA TABLEAU SOFTWARE INC LONG 85 132.60 3/22 13:42 129.39 0.31%
Trade id #122341624
Max drawdown($1,060)
Time3/8/19 9:31
Quant open85
Worst price120.12
Drawdown as % of equity-0.31%
($275)
Includes Typical Broker Commissions trade costs of $1.70
2/25/19 10:36 GLOB GLOBANT SA LONG 155 73.65 3/22 11:22 70.99 0.27%
Trade id #122667937
Max drawdown($938)
Time3/7/19 9:54
Quant open155
Worst price67.60
Drawdown as % of equity-0.27%
($416)
Includes Typical Broker Commissions trade costs of $3.10
3/20/19 10:11 CGC CANOPY GROWTH CORP LONG 235 47.96 3/22 11:20 45.21 0.19%
Trade id #122989312
Max drawdown($696)
Time3/22/19 9:56
Quant open235
Worst price45.00
Drawdown as % of equity-0.19%
($651)
Includes Typical Broker Commissions trade costs of $4.70
2/5/19 9:43 ETSY ETSY INC. COMMON STOCK LONG 235 57.57 3/22 10:57 67.96 0.49%
Trade id #122363875
Max drawdown($1,746)
Time2/7/19 11:35
Quant open235
Worst price50.14
Drawdown as % of equity-0.49%
$2,435
Includes Typical Broker Commissions trade costs of $4.70
3/13/19 11:06 EHTH EHEALTH LONG 200 60.46 3/19 10:56 55.95 0.39%
Trade id #122893600
Max drawdown($1,393)
Time3/13/19 14:10
Quant open200
Worst price53.49
Drawdown as % of equity-0.39%
($906)
Includes Typical Broker Commissions trade costs of $4.00
2/19/19 12:09 CIEN CIENA CORPORTION LONG 300 42.19 3/19 10:56 39.18 0.39%
Trade id #122587821
Max drawdown($1,349)
Time3/8/19 9:31
Quant open300
Worst price37.69
Drawdown as % of equity-0.39%
($908)
Includes Typical Broker Commissions trade costs of $6.00
2/4/19 11:03 ADBE ADOBE INC LONG 60 255.33 3/15 13:58 255.81 0.11%
Trade id #122343880
Max drawdown($374)
Time3/8/19 9:31
Quant open60
Worst price249.09
Drawdown as % of equity-0.11%
$28
Includes Typical Broker Commissions trade costs of $1.20
3/4/19 9:42 TAL TAL EDUCATION GROUP LONG 366 35.88 3/12 11:55 32.72 0.33%
Trade id #122771313
Max drawdown($1,158)
Time3/12/19 11:55
Quant open0
Worst price32.72
Drawdown as % of equity-0.33%
($1,165)
Includes Typical Broker Commissions trade costs of $7.32
2/4/19 15:38 LHCG LHC GROUP LONG 250 110.58 3/11 13:04 107.92 0.73%
Trade id #122351281
Max drawdown($2,649)
Time2/28/19 9:32
Quant open250
Worst price99.98
Drawdown as % of equity-0.73%
($669)
Includes Typical Broker Commissions trade costs of $5.00
2/26/19 11:17 ANTM ANTHEM INC LONG 55 315.51 3/11 12:23 294.09 0.45%
Trade id #122687647
Max drawdown($1,578)
Time3/7/19 11:24
Quant open55
Worst price286.81
Drawdown as % of equity-0.45%
($1,179)
Includes Typical Broker Commissions trade costs of $1.10
2/22/19 11:26 TECL DIREXION DAILY TECHNOLOGY BULL LONG 100 121.35 3/8 9:34 112.46 0.3%
Trade id #122644212
Max drawdown($1,034)
Time3/8/19 9:11
Quant open100
Worst price111.00
Drawdown as % of equity-0.30%
($891)
Includes Typical Broker Commissions trade costs of $2.00
1/7/19 10:33 SQ SQUARE INC LONG 197 66.89 3/8 9:34 71.41 0.01%
Trade id #121818296
Max drawdown($20)
Time1/7/19 10:37
Quant open100
Worst price59.87
Drawdown as % of equity-0.01%
$888
Includes Typical Broker Commissions trade costs of $3.94
3/1/19 10:01 ALGN ALIGN TECHNOLOGY LONG 50 261.93 3/5 9:54 234.03 0.39%
Trade id #122748636
Max drawdown($1,396)
Time3/5/19 9:54
Quant open50
Worst price234.00
Drawdown as % of equity-0.39%
($1,396)
Includes Typical Broker Commissions trade costs of $1.00
10/26/18 10:51 TLT ISHARES 20+ YEAR TREASURY BOND LONG 1,060 117.53 3/1/19 9:59 119.82 0.14%
Trade id #120563444
Max drawdown($494)
Time11/2/18 16:39
Quant open150
Worst price111.88
Drawdown as % of equity-0.14%
$2,400
Includes Typical Broker Commissions trade costs of $21.20
2/28/19 12:28 UNH UNITEDHEALTH GROUP LONG 45 243.61 2/28 12:29 243.77 n/a $6
Includes Typical Broker Commissions trade costs of $0.90
2/28/19 12:00 UNH UNITEDHEALTH GROUP SHORT 55 245.57 2/28 12:28 243.61 0%
Trade id #122735252
Max drawdown($5)
Time2/28/19 12:02
Quant open-55
Worst price245.68
Drawdown as % of equity-0.00%
$107
Includes Typical Broker Commissions trade costs of $1.10
1/15/19 11:17 UNH UNITEDHEALTH GROUP LONG 55 254.97 2/28 12:00 245.59 0.14%
Trade id #121984185
Max drawdown($517)
Time2/28/19 12:00
Quant open55
Worst price245.57
Drawdown as % of equity-0.14%
($517)
Includes Typical Broker Commissions trade costs of $1.10
1/7/19 10:30 AMED AMEDISYS LONG 110 119.66 2/26 11:16 125.22 0.01%
Trade id #121818105
Max drawdown($22)
Time1/11/19 9:31
Quant open85
Worst price117.17
Drawdown as % of equity-0.01%
$610
Includes Typical Broker Commissions trade costs of $2.20
2/19/19 10:53 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 66 164.91 2/20 10:41 150.57 0.28%
Trade id #122585862
Max drawdown($994)
Time2/20/19 10:39
Quant open66
Worst price149.85
Drawdown as % of equity-0.28%
($948)
Includes Typical Broker Commissions trade costs of $1.32

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2362.07
  • Age
    79 months ago
  • What it trades
    Stocks
  • # Trades
    1004
  • # Profitable
    449
  • % Profitable
    44.70%
  • Avg trade duration
    46.3 days
  • Max peak-to-valley drawdown
    17.69%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    20.9%
  • Avg win
    $1,292
  • Avg loss
    $611.96
  • Model Account Values (Raw)
  • Cash
    $218,147
  • Margin Used
    $0
  • Buying Power
    $242,305
  • Ratios
  • W:L ratio
    1.83:1
  • Sharpe Ratio
    1.383
  • Sortino Ratio
    1.969
  • Calmar Ratio
    1.581
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27900
  • Return Statistics
  • Ann Return (w trading costs)
    20.9%
  • Ann Return (Compnd, No Fees)
    22.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    929
  • Popularity (Last 6 weeks)
    979
  • 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
    $612
  • Avg Win
    $1,298
  • # Winners
    449
  • # Losers
    555
  • % Winners
    44.7%
  • Frequency
  • Avg Position Time (mins)
    66733.00
  • Avg Position Time (hrs)
    1112.22
  • Avg Trade Length
    46.3 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19148
  • SD
    0.16494
  • Sharpe ratio (Glass type estimate)
    1.16094
  • Sharpe ratio (Hedges UMVUE)
    1.14929
  • df
    75.00000
  • t
    2.92164
  • p
    0.00230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35669
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34906
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94953
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31929
  • Upside Potential Ratio
    3.80338
  • Upside part of mean
    0.31401
  • Downside part of mean
    -0.12253
  • Upside SD
    0.15194
  • Downside SD
    0.08256
  • N nonnegative terms
    48.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.09050
  • Mean of criterion
    0.19148
  • SD of predictor
    0.10488
  • SD of criterion
    0.16494
  • Covariance
    0.00622
  • r
    0.35952
  • b (slope, estimate of beta)
    0.56540
  • a (intercept, estimate of alpha)
    0.14031
  • Mean Square Error
    0.02401
  • DF error
    74.00000
  • t(b)
    3.31428
  • p(b)
    0.00071
  • t(a)
    2.21049
  • p(a)
    0.01508
  • Lowerbound of 95% confidence interval for beta
    0.22548
  • Upperbound of 95% confidence interval for beta
    0.90532
  • Lowerbound of 95% confidence interval for alpha
    0.01383
  • Upperbound of 95% confidence interval for alpha
    0.26679
  • Treynor index (mean / b)
    0.33867
  • Jensen alpha (a)
    0.14031
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17668
  • SD
    0.16117
  • Sharpe ratio (Glass type estimate)
    1.09627
  • Sharpe ratio (Hedges UMVUE)
    1.08527
  • df
    75.00000
  • t
    2.75888
  • p
    0.00364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88321
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.06605
  • Upside Potential Ratio
    3.53722
  • Upside part of mean
    0.30249
  • Downside part of mean
    -0.12581
  • Upside SD
    0.14464
  • Downside SD
    0.08552
  • N nonnegative terms
    48.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    76.00000
  • Mean of predictor
    0.08451
  • Mean of criterion
    0.17668
  • SD of predictor
    0.10574
  • SD of criterion
    0.16117
  • Covariance
    0.00589
  • r
    0.34545
  • b (slope, estimate of beta)
    0.52651
  • a (intercept, estimate of alpha)
    0.13219
  • Mean Square Error
    0.02318
  • DF error
    74.00000
  • t(b)
    3.16661
  • p(b)
    0.00112
  • t(a)
    2.12819
  • p(a)
    0.01833
  • Lowerbound of 95% confidence interval for beta
    0.19521
  • Upperbound of 95% confidence interval for beta
    0.85781
  • Lowerbound of 95% confidence interval for alpha
    0.00843
  • Upperbound of 95% confidence interval for alpha
    0.25595
  • Treynor index (mean / b)
    0.33557
  • Jensen alpha (a)
    0.13219
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05993
  • Expected Shortfall on VaR
    0.07789
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01885
  • Expected Shortfall on VaR
    0.04100
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    76.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99361
  • Median
    1.01144
  • Quartile 3
    1.04673
  • Maximum
    1.17909
  • Mean of quarter 1
    0.96347
  • Mean of quarter 2
    1.00269
  • Mean of quarter 3
    1.02746
  • Mean of quarter 4
    1.07952
  • Inter Quartile Range
    0.05311
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01316
  • Mean of outliers low
    0.89617
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02632
  • Mean of outliers high
    1.15275
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03980
  • VaR(95%) (moments method)
    0.02281
  • Expected Shortfall (moments method)
    0.03383
  • Extreme Value Index (regression method)
    -0.20550
  • VaR(95%) (regression method)
    0.04078
  • Expected Shortfall (regression method)
    0.05568
  • 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)
    0.41900
  • Compounded annual return (geometric extrapolation)
    0.22702
  • Calmar ratio (compounded annual return / max draw down)
    1.77911
  • Compounded annual return / average of 25% largest draw downs
    2.17802
  • Compounded annual return / Expected Shortfall lognormal
    2.91446
  • 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
    0.18441
  • SD
    0.13328
  • Sharpe ratio (Glass type estimate)
    1.38364
  • Sharpe ratio (Hedges UMVUE)
    1.38302
  • df
    1668.00000
  • t
    3.49221
  • p
    0.45740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.60548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60505
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16098
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96886
  • Upside Potential Ratio
    9.43391
  • Upside part of mean
    0.88360
  • Downside part of mean
    -0.69919
  • Upside SD
    0.09544
  • Downside SD
    0.09366
  • N nonnegative terms
    971.00000
  • N negative terms
    698.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1669.00000
  • Mean of predictor
    0.09463
  • Mean of criterion
    0.18441
  • SD of predictor
    0.12941
  • SD of criterion
    0.13328
  • Covariance
    0.00476
  • r
    0.27616
  • b (slope, estimate of beta)
    0.28443
  • a (intercept, estimate of alpha)
    0.15700
  • Mean Square Error
    0.01642
  • DF error
    1667.00000
  • t(b)
    11.73180
  • p(b)
    0.32645
  • t(a)
    3.09912
  • p(a)
    0.45186
  • Lowerbound of 95% confidence interval for beta
    0.23688
  • Upperbound of 95% confidence interval for beta
    0.33198
  • Lowerbound of 95% confidence interval for alpha
    0.05782
  • Upperbound of 95% confidence interval for alpha
    0.25717
  • Treynor index (mean / b)
    0.64835
  • Jensen alpha (a)
    0.15749
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17544
  • SD
    0.13346
  • Sharpe ratio (Glass type estimate)
    1.31455
  • Sharpe ratio (Hedges UMVUE)
    1.31396
  • df
    1668.00000
  • t
    3.31783
  • p
    0.45952
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53653
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09179
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85528
  • Upside Potential Ratio
    9.29561
  • Upside part of mean
    0.87900
  • Downside part of mean
    -0.70356
  • Upside SD
    0.09474
  • Downside SD
    0.09456
  • N nonnegative terms
    971.00000
  • N negative terms
    698.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1669.00000
  • Mean of predictor
    0.08622
  • Mean of criterion
    0.17544
  • SD of predictor
    0.12958
  • SD of criterion
    0.13346
  • Covariance
    0.00478
  • r
    0.27627
  • b (slope, estimate of beta)
    0.28455
  • a (intercept, estimate of alpha)
    0.15090
  • Mean Square Error
    0.01646
  • DF error
    1667.00000
  • t(b)
    11.73670
  • p(b)
    0.32638
  • t(a)
    2.96603
  • p(a)
    0.45392
  • Lowerbound of 95% confidence interval for beta
    0.23700
  • Upperbound of 95% confidence interval for beta
    0.33210
  • Lowerbound of 95% confidence interval for alpha
    0.05111
  • Upperbound of 95% confidence interval for alpha
    0.25069
  • Treynor index (mean / b)
    0.61654
  • Jensen alpha (a)
    0.15090
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01281
  • Expected Shortfall on VaR
    0.01620
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00544
  • Expected Shortfall on VaR
    0.01123
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1669.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99666
  • Median
    1.00128
  • Quartile 3
    1.00544
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99055
  • Mean of quarter 2
    0.99919
  • Mean of quarter 3
    1.00316
  • Mean of quarter 4
    1.01037
  • Inter Quartile Range
    0.00878
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.02756
  • Mean of outliers low
    0.97651
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.01498
  • Mean of outliers high
    1.02362
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17069
  • VaR(95%) (moments method)
    0.00872
  • Expected Shortfall (moments method)
    0.01334
  • Extreme Value Index (regression method)
    0.05300
  • VaR(95%) (regression method)
    0.00870
  • Expected Shortfall (regression method)
    0.01238
  • 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)
    0.41635
  • Compounded annual return (geometric extrapolation)
    0.22549
  • Calmar ratio (compounded annual return / max draw down)
    1.58088
  • Compounded annual return / average of 25% largest draw downs
    3.04502
  • Compounded annual return / Expected Shortfall lognormal
    13.91910
  • 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
    0.08218
  • SD
    0.08636
  • Sharpe ratio (Glass type estimate)
    0.95155
  • Sharpe ratio (Hedges UMVUE)
    0.94605
  • df
    130.00000
  • t
    0.67285
  • p
    0.47054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72396
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72024
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37210
  • Upside Potential Ratio
    9.35497
  • Upside part of mean
    0.56030
  • Downside part of mean
    -0.47812
  • Upside SD
    0.06197
  • Downside SD
    0.05989
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11273
  • Mean of criterion
    0.08218
  • SD of predictor
    0.18308
  • SD of criterion
    0.08636
  • Covariance
    0.00086
  • r
    0.05425
  • b (slope, estimate of beta)
    0.02559
  • a (intercept, estimate of alpha)
    0.07929
  • Mean Square Error
    0.00749
  • DF error
    129.00000
  • t(b)
    0.61711
  • p(b)
    0.46548
  • t(a)
    0.64721
  • p(a)
    0.46380
  • Lowerbound of 95% confidence interval for beta
    -0.05646
  • Upperbound of 95% confidence interval for beta
    0.10764
  • Lowerbound of 95% confidence interval for alpha
    -0.16311
  • Upperbound of 95% confidence interval for alpha
    0.32170
  • Treynor index (mean / b)
    3.21113
  • Jensen alpha (a)
    0.07929
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07846
  • SD
    0.08636
  • Sharpe ratio (Glass type estimate)
    0.90853
  • Sharpe ratio (Hedges UMVUE)
    0.90327
  • df
    130.00000
  • t
    0.64242
  • p
    0.47187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.68084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87071
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67725
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30361
  • Upside Potential Ratio
    9.27691
  • Upside part of mean
    0.55833
  • Downside part of mean
    -0.47987
  • Upside SD
    0.06166
  • Downside SD
    0.06019
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09608
  • Mean of criterion
    0.07846
  • SD of predictor
    0.18293
  • SD of criterion
    0.08636
  • Covariance
    0.00085
  • r
    0.05384
  • b (slope, estimate of beta)
    0.02541
  • a (intercept, estimate of alpha)
    0.07602
  • Mean Square Error
    0.00749
  • DF error
    129.00000
  • t(b)
    0.61234
  • p(b)
    0.46574
  • t(a)
    0.62060
  • p(a)
    0.46528
  • Lowerbound of 95% confidence interval for beta
    -0.05670
  • Upperbound of 95% confidence interval for beta
    0.10753
  • Lowerbound of 95% confidence interval for alpha
    -0.16633
  • Upperbound of 95% confidence interval for alpha
    0.31836
  • Treynor index (mean / b)
    3.08722
  • Jensen alpha (a)
    0.07602
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00844
  • Expected Shortfall on VaR
    0.01065
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00385
  • Expected Shortfall on VaR
    0.00765
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98455
  • Quartile 1
    0.99758
  • Median
    1.00071
  • Quartile 3
    1.00358
  • Maximum
    1.01967
  • Mean of quarter 1
    0.99366
  • Mean of quarter 2
    0.99940
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.00673
  • Inter Quartile Range
    0.00600
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98647
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.01967
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02208
  • VaR(95%) (moments method)
    0.00586
  • Expected Shortfall (moments method)
    0.00784
  • Extreme Value Index (regression method)
    -0.18966
  • VaR(95%) (regression method)
    0.00608
  • Expected Shortfall (regression method)
    0.00763
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00303
  • Median
    0.01195
  • Quartile 3
    0.02229
  • Maximum
    0.04562
  • Mean of quarter 1
    0.00085
  • Mean of quarter 2
    0.00736
  • Mean of quarter 3
    0.01650
  • Mean of quarter 4
    0.03414
  • Inter Quartile Range
    0.01927
  • 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)
    -5.17968
  • VaR(95%) (moments method)
    0.03765
  • Expected Shortfall (moments method)
    0.03767
  • Extreme Value Index (regression method)
    -0.84695
  • VaR(95%) (regression method)
    0.04888
  • Expected Shortfall (regression method)
    0.05335
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10924
  • Compounded annual return (geometric extrapolation)
    0.11223
  • Calmar ratio (compounded annual return / max draw down)
    2.46014
  • Compounded annual return / average of 25% largest draw downs
    3.28763
  • Compounded annual return / Expected Shortfall lognormal
    10.54130

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
$35,000
# Trades
1004
# Profitable
449
% Profitable
44.7%
Net Dividends
Correlation S&P500
0.279
Sharpe Ratio
1.383

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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