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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.

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).
20.3%
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
1074
Num Trades
44.7%
Win Trades
1.8 : 1
Profit Factor
67.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      (8.1%)(0.4%)(8.5%)
2013+6.7%+4.0%+4.1%+1.2%+4.6%+0.4%+11.2%(2.1%)+9.4%(0.7%)+10.8%+0.9%+62.5%
2014+4.9%+7.7%+1.9%(1.9%)(0.4%)+0.3%(4.4%)+4.5%(4.2%)+6.8%+10.7%+4.7%+33.5%
2015(1.7%)(1.3%)+2.8%(1.3%)+0.5%(1.4%)(0.8%)(0.7%)(4.2%)+2.0%+1.4%(7%)(11.4%)
2016+2.6%+1.7%(0.8%)+1.4%(9.1%)+3.2%+2.2%+1.1%+1.3%(6.5%)+3.1%+6.5%+5.9%
2017+4.8%(0.2%)+2.3%+7.2%+8.5%(6.9%)+10.2%+3.7%+2.6%+7.8%+4.0%(2.4%)+48.5%
2018+9.9%+1.0%+0.2%+0.1%+3.7%+0.2%(3.1%)+11.2%+1.8%(7.5%)(2.7%)+4.0%+18.8%
2019+2.8%+0.6%+0.2%+1.0%(0.9%)+3.7%+0.1%(0.6%)                        +7.1%

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 1,230 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/1/19 11:58 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 55 271.91 8/12 12:09 261.00 0.41%
Trade id #124720254
Max drawdown($1,463)
Time8/1/19 11:58
Quant open55
Worst price245.31
Drawdown as % of equity-0.41%
($601)
Includes Typical Broker Commissions trade costs of $1.10
8/1/19 11:58 CDW CDW CORPORATION COMMON STOCK LONG 130 120.42 8/7 9:44 106.58 0.52%
Trade id #124720241
Max drawdown($1,847)
Time8/1/19 11:58
Quant open130
Worst price106.21
Drawdown as % of equity-0.52%
($1,802)
Includes Typical Broker Commissions trade costs of $2.60
8/1/19 11:10 GPN GLOBAL PAYMENTS LONG 100 165.12 8/6 10:23 153.39 0.4%
Trade id #124718367
Max drawdown($1,418)
Time8/1/19 11:10
Quant open100
Worst price150.94
Drawdown as % of equity-0.40%
($1,176)
Includes Typical Broker Commissions trade costs of $2.00
7/26/19 11:08 COUP COUPA SOFTWARE INCORPORATED COMMON STOCK LONG 100 145.57 8/5 14:47 130.05 0.44%
Trade id #124633553
Max drawdown($1,587)
Time7/26/19 11:08
Quant open100
Worst price129.69
Drawdown as % of equity-0.44%
($1,554)
Includes Typical Broker Commissions trade costs of $2.00
7/11/19 11:33 INTU INTUIT LONG 62 277.27 8/5 14:45 263.57 0.24%
Trade id #124420244
Max drawdown($858)
Time7/11/19 11:33
Quant open62
Worst price263.42
Drawdown as % of equity-0.24%
($850)
Includes Typical Broker Commissions trade costs of $1.24
8/1/19 11:59 TNET TRINET GROUP INC LONG 200 74.92 8/5 12:58 68.63 0.36%
Trade id #124720266
Max drawdown($1,257)
Time8/5/19 12:58
Quant open200
Worst price68.63
Drawdown as % of equity-0.36%
($1,261)
Includes Typical Broker Commissions trade costs of $4.00
6/10/19 11:06 MSFT MICROSOFT LONG 120 133.54 8/5 11:07 133.42 0.1%
Trade id #124004118
Max drawdown($339)
Time6/10/19 11:06
Quant open120
Worst price130.71
Drawdown as % of equity-0.10%
($16)
Includes Typical Broker Commissions trade costs of $2.40
6/7/19 11:01 VRSN VERISIGN LONG 75 207.90 8/5 10:42 203.87 0.11%
Trade id #123980092
Max drawdown($372)
Time6/7/19 11:01
Quant open75
Worst price202.93
Drawdown as % of equity-0.11%
($304)
Includes Typical Broker Commissions trade costs of $1.50
6/10/19 11:07 MA MASTERCARD LONG 64 267.82 8/5 10:25 260.34 0.23%
Trade id #124004133
Max drawdown($816)
Time6/10/19 11:07
Quant open64
Worst price255.07
Drawdown as % of equity-0.23%
($480)
Includes Typical Broker Commissions trade costs of $1.28
7/2/19 10:30 OLED UNIVERSAL DISPLAY CORPORATION LONG 75 190.81 8/5 9:53 198.28 0.11%
Trade id #124308572
Max drawdown($382)
Time7/2/19 10:30
Quant open75
Worst price185.71
Drawdown as % of equity-0.11%
$560
Includes Typical Broker Commissions trade costs of $1.50
6/18/19 14:25 NOW SERVICENOW LONG 60 284.26 8/2 12:14 268.32 0.38%
Trade id #124130877
Max drawdown($1,342)
Time6/18/19 14:25
Quant open60
Worst price261.88
Drawdown as % of equity-0.38%
($957)
Includes Typical Broker Commissions trade costs of $1.20
7/24/19 14:14 PFBC PREFERRED BANK LONG 290 54.01 8/1 14:41 52.03 0.16%
Trade id #124599467
Max drawdown($574)
Time7/24/19 14:14
Quant open290
Worst price52.03
Drawdown as % of equity-0.16%
($579)
Includes Typical Broker Commissions trade costs of $5.80
7/17/19 10:38 ADBE ADOBE INC LONG 60 309.98 7/30 11:57 303.51 0.14%
Trade id #124497157
Max drawdown($510)
Time7/17/19 10:38
Quant open60
Worst price301.48
Drawdown as % of equity-0.14%
($390)
Includes Typical Broker Commissions trade costs of $1.20
7/25/19 11:20 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 100 147.61 7/30 11:57 142.39 0.36%
Trade id #124614589
Max drawdown($1,301)
Time7/25/19 11:20
Quant open100
Worst price134.60
Drawdown as % of equity-0.36%
($524)
Includes Typical Broker Commissions trade costs of $2.00
7/15/19 12:55 SHOP SHOPIFY INC LONG 44 321.30 7/30 11:57 316.85 0.13%
Trade id #124464292
Max drawdown($481)
Time7/15/19 12:55
Quant open44
Worst price310.36
Drawdown as % of equity-0.13%
($197)
Includes Typical Broker Commissions trade costs of $0.88
7/25/19 10:52 BYND BEYOND MEAT INC. COMMON STOCK LONG 70 209.38 7/29 10:09 209.00 0.02%
Trade id #124613730
Max drawdown($68)
Time7/25/19 10:52
Quant open70
Worst price208.40
Drawdown as % of equity-0.02%
($28)
Includes Typical Broker Commissions trade costs of $1.40
7/19/19 15:42 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,200 17.57 7/26 14:56 16.88 0.23%
Trade id #124544259
Max drawdown($833)
Time7/19/19 15:42
Quant open1,200
Worst price16.87
Drawdown as % of equity-0.23%
($837)
Includes Typical Broker Commissions trade costs of $5.00
5/24/19 9:48 AMT AMERICAN TOWER LONG 80 204.33 7/25 9:57 204.24 0.12%
Trade id #123810744
Max drawdown($387)
Time5/24/19 9:48
Quant open80
Worst price199.48
Drawdown as % of equity-0.12%
($9)
Includes Typical Broker Commissions trade costs of $1.60
7/18/19 11:34 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 850 32.76 7/24 15:14 30.86 0.45%
Trade id #124518000
Max drawdown($1,616)
Time7/24/19 15:14
Quant open850
Worst price30.86
Drawdown as % of equity-0.45%
($1,624)
Includes Typical Broker Commissions trade costs of $7.75
7/9/19 10:27 PAYS PAYSIGN INC LONG 750 15.00 7/22 9:30 16.32 0.04%
Trade id #124387955
Max drawdown($156)
Time7/9/19 10:27
Quant open750
Worst price14.79
Drawdown as % of equity-0.04%
$983
Includes Typical Broker Commissions trade costs of $5.00
1/7/19 10:30 BFAM BRIGHT HORIZONS FAMILY SOLUTIO LONG 170 115.99 7/19 11:31 145.33 0.05%
Trade id #121818150
Max drawdown($155)
Time1/7/19 10:30
Quant open90
Worst price109.24
Drawdown as % of equity-0.05%
$4,985
Includes Typical Broker Commissions trade costs of $3.40
7/11/19 11:39 CHGG CHEGG INC LONG 375 44.58 7/18 11:59 43.46 0.13%
Trade id #124420390
Max drawdown($473)
Time7/11/19 11:39
Quant open375
Worst price43.31
Drawdown as % of equity-0.13%
($428)
Includes Typical Broker Commissions trade costs of $7.50
6/4/19 9:53 ROM PROSHARES ULTRA TECHNOLOGY LONG 160 98.13 7/18 10:47 126.37 n/a $4,516
Includes Typical Broker Commissions trade costs of $3.20
7/15/19 14:21 CTAS CINTAS LONG 59 243.78 7/15 14:40 243.30 0.01%
Trade id #124465710
Max drawdown($28)
Time7/15/19 14:40
Quant open59
Worst price243.29
Drawdown as % of equity-0.01%
($29)
Includes Typical Broker Commissions trade costs of $1.18
6/4/19 9:39 ERIE ERIE INDEMNITY LONG 70 217.85 7/15 12:53 264.02 0.03%
Trade id #123929553
Max drawdown($86)
Time6/4/19 9:39
Quant open70
Worst price216.62
Drawdown as % of equity-0.03%
$3,231
Includes Typical Broker Commissions trade costs of $1.40
5/21/19 10:15 HYD VANECK VECTORS HIGH-YIELD MUNI LONG 300 63.37 7/15 12:34 63.66 0.01%
Trade id #123752779
Max drawdown($34)
Time5/21/19 10:15
Quant open300
Worst price63.26
Drawdown as % of equity-0.01%
$81
Includes Typical Broker Commissions trade costs of $6.00
6/12/19 15:08 TNET TRINET GROUP INC LONG 225 68.42 7/11 11:41 70.31 0.12%
Trade id #124055083
Max drawdown($425)
Time6/12/19 15:08
Quant open225
Worst price66.53
Drawdown as % of equity-0.12%
$420
Includes Typical Broker Commissions trade costs of $4.50
6/4/19 10:25 NVDA NVIDIA LONG 105 139.71 7/5 10:26 158.11 0.02%
Trade id #123932133
Max drawdown($53)
Time6/4/19 10:25
Quant open90
Worst price138.69
Drawdown as % of equity-0.02%
$1,930
Includes Typical Broker Commissions trade costs of $2.10
6/5/19 9:53 OKTA OKTA INC. CL A COMMON STOCK LONG 130 115.68 6/26 15:26 119.89 0.04%
Trade id #123947294
Max drawdown($140)
Time6/5/19 9:53
Quant open130
Worst price114.60
Drawdown as % of equity-0.04%
$544
Includes Typical Broker Commissions trade costs of $2.60
5/10/19 12:20 TRI THOMSON REUTERS LONG 225 63.25 6/26 10:45 63.74 0.01%
Trade id #123623252
Max drawdown($49)
Time5/10/19 12:20
Quant open225
Worst price63.03
Drawdown as % of equity-0.01%
$107
Includes Typical Broker Commissions trade costs of $4.50

Statistics

  • Strategy began
    11/5/2012
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    2481.17
  • Age
    83 months ago
  • What it trades
    Stocks
  • # Trades
    1074
  • # Profitable
    480
  • % Profitable
    44.70%
  • Avg trade duration
    45.0 days
  • Max peak-to-valley drawdown
    17.69%
  • drawdown period
    April 16, 2015 - May 24, 2016
  • Annual Return (Compounded)
    20.3%
  • Avg win
    $1,293
  • Avg loss
    $618.74
  • Model Account Values (Raw)
  • Cash
    $238,970
  • Margin Used
    $0
  • Buying Power
    $248,854
  • Ratios
  • W:L ratio
    1.81:1
  • Sharpe Ratio
    1.06
  • Sortino Ratio
    1.51
  • Calmar Ratio
    1.533
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.28440
  • Return Statistics
  • Ann Return (w trading costs)
    20.3%
  • Ann Return (Compnd, No Fees)
    21.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    21.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    761
  • Popularity (Last 6 weeks)
    956
  • C2 Score
    356
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $619
  • Avg Win
    $1,293
  • # Winners
    480
  • # Losers
    594
  • % Winners
    44.7%
  • Frequency
  • Avg Position Time (mins)
    64855.30
  • Avg Position Time (hrs)
    1080.92
  • Avg Trade Length
    45.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.04
  • Daily leverage (max)
    2.13
  • Regression
  • Alpha
    0.04
  • Beta
    0.30
  • Treynor Index
    0.16
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    2.800
  • Avg(MAE) / Avg(PL) - Winning trades
    0.241
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.363
  • Hold-and-Hope Ratio
    0.360
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18330
  • SD
    0.16334
  • Sharpe ratio (Glass type estimate)
    1.12222
  • Sharpe ratio (Hedges UMVUE)
    1.11153
  • df
    79.00000
  • t
    2.89755
  • p
    0.00243
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33290
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89015
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.22494
  • Upside Potential Ratio
    3.75511
  • Upside part of mean
    0.30937
  • Downside part of mean
    -0.12606
  • Upside SD
    0.14953
  • Downside SD
    0.08239
  • N nonnegative terms
    50.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.08686
  • Mean of criterion
    0.18330
  • SD of predictor
    0.10539
  • SD of criterion
    0.16334
  • Covariance
    0.00659
  • r
    0.38262
  • b (slope, estimate of beta)
    0.59301
  • a (intercept, estimate of alpha)
    0.13179
  • Mean Square Error
    0.02307
  • DF error
    78.00000
  • t(b)
    3.65749
  • p(b)
    0.00023
  • t(a)
    2.17899
  • p(a)
    0.01618
  • Lowerbound of 95% confidence interval for beta
    0.27022
  • Upperbound of 95% confidence interval for beta
    0.91580
  • Lowerbound of 95% confidence interval for alpha
    0.01138
  • Upperbound of 95% confidence interval for alpha
    0.25221
  • Treynor index (mean / b)
    0.30910
  • Jensen alpha (a)
    0.13179
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16887
  • SD
    0.15967
  • Sharpe ratio (Glass type estimate)
    1.05763
  • Sharpe ratio (Hedges UMVUE)
    1.04756
  • df
    79.00000
  • t
    2.73079
  • p
    0.00389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27769
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27109
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82402
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.98083
  • Upside Potential Ratio
    3.49768
  • Upside part of mean
    0.29819
  • Downside part of mean
    -0.12932
  • Upside SD
    0.14242
  • Downside SD
    0.08525
  • N nonnegative terms
    50.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.08085
  • Mean of criterion
    0.16887
  • SD of predictor
    0.10617
  • SD of criterion
    0.15967
  • Covariance
    0.00627
  • r
    0.36960
  • b (slope, estimate of beta)
    0.55584
  • a (intercept, estimate of alpha)
    0.12394
  • Mean Square Error
    0.02229
  • DF error
    78.00000
  • t(b)
    3.51291
  • p(b)
    0.00037
  • t(a)
    2.09256
  • p(a)
    0.01982
  • Lowerbound of 95% confidence interval for beta
    0.24083
  • Upperbound of 95% confidence interval for beta
    0.87084
  • Lowerbound of 95% confidence interval for alpha
    0.00602
  • Upperbound of 95% confidence interval for alpha
    0.24185
  • Treynor index (mean / b)
    0.30382
  • Jensen alpha (a)
    0.12394
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05988
  • Expected Shortfall on VaR
    0.07768
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01973
  • Expected Shortfall on VaR
    0.04227
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.89617
  • Quartile 1
    0.99247
  • Median
    1.01144
  • Quartile 3
    1.04640
  • Maximum
    1.17909
  • Mean of quarter 1
    0.96265
  • Mean of quarter 2
    1.00221
  • Mean of quarter 3
    1.02763
  • Mean of quarter 4
    1.07792
  • Inter Quartile Range
    0.05393
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01250
  • Mean of outliers low
    0.89617
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01250
  • Mean of outliers high
    1.17909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14936
  • VaR(95%) (moments method)
    0.02938
  • Expected Shortfall (moments method)
    0.04612
  • Extreme Value Index (regression method)
    -0.17477
  • VaR(95%) (regression method)
    0.04129
  • Expected Shortfall (regression method)
    0.05594
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00378
  • Quartile 1
    0.01492
  • Median
    0.02988
  • Quartile 3
    0.06962
  • Maximum
    0.12760
  • Mean of quarter 1
    0.01114
  • Mean of quarter 2
    0.02060
  • Mean of quarter 3
    0.04392
  • Mean of quarter 4
    0.09710
  • Inter Quartile Range
    0.05470
  • 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)
    -0.54776
  • VaR(95%) (moments method)
    0.11131
  • Expected Shortfall (moments method)
    0.12165
  • Extreme Value Index (regression method)
    0.18596
  • VaR(95%) (regression method)
    0.12009
  • Expected Shortfall (regression method)
    0.15800
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40696
  • Compounded annual return (geometric extrapolation)
    0.21748
  • Calmar ratio (compounded annual return / max draw down)
    1.70430
  • Compounded annual return / average of 25% largest draw downs
    2.23979
  • Compounded annual return / Expected Shortfall lognormal
    2.79979
  • 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
    0.17861
  • SD
    0.13155
  • Sharpe ratio (Glass type estimate)
    1.35770
  • Sharpe ratio (Hedges UMVUE)
    1.35712
  • df
    1753.00000
  • t
    3.51292
  • p
    0.44683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59829
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11595
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93106
  • Upside Potential Ratio
    9.39516
  • Upside part of mean
    0.86898
  • Downside part of mean
    -0.69037
  • Upside SD
    0.09414
  • Downside SD
    0.09249
  • N nonnegative terms
    1019.00000
  • N negative terms
    735.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1754.00000
  • Mean of predictor
    0.08873
  • Mean of criterion
    0.17861
  • SD of predictor
    0.13022
  • SD of criterion
    0.13155
  • Covariance
    0.00480
  • r
    0.28041
  • b (slope, estimate of beta)
    0.28328
  • a (intercept, estimate of alpha)
    0.15300
  • Mean Square Error
    0.01595
  • DF error
    1752.00000
  • t(b)
    12.22770
  • p(b)
    0.35979
  • t(a)
    3.14103
  • p(a)
    0.46258
  • Lowerbound of 95% confidence interval for beta
    0.23784
  • Upperbound of 95% confidence interval for beta
    0.32872
  • Lowerbound of 95% confidence interval for alpha
    0.05764
  • Upperbound of 95% confidence interval for alpha
    0.24930
  • Treynor index (mean / b)
    0.63050
  • Jensen alpha (a)
    0.15347
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16987
  • SD
    0.13173
  • Sharpe ratio (Glass type estimate)
    1.28957
  • Sharpe ratio (Hedges UMVUE)
    1.28902
  • df
    1753.00000
  • t
    3.33664
  • p
    0.44948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04809
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04772
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81934
  • Upside Potential Ratio
    9.25895
  • Upside part of mean
    0.86450
  • Downside part of mean
    -0.69463
  • Upside SD
    0.09346
  • Downside SD
    0.09337
  • N nonnegative terms
    1019.00000
  • N negative terms
    735.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1754.00000
  • Mean of predictor
    0.08022
  • Mean of criterion
    0.16987
  • SD of predictor
    0.13041
  • SD of criterion
    0.13173
  • Covariance
    0.00482
  • r
    0.28054
  • b (slope, estimate of beta)
    0.28338
  • a (intercept, estimate of alpha)
    0.14714
  • Mean Square Error
    0.01600
  • DF error
    1752.00000
  • t(b)
    12.23390
  • p(b)
    0.35973
  • t(a)
    3.00801
  • p(a)
    0.46416
  • Lowerbound of 95% confidence interval for beta
    0.23795
  • Upperbound of 95% confidence interval for beta
    0.32881
  • Lowerbound of 95% confidence interval for alpha
    0.05120
  • Upperbound of 95% confidence interval for alpha
    0.24308
  • Treynor index (mean / b)
    0.59945
  • Jensen alpha (a)
    0.14714
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01266
  • Expected Shortfall on VaR
    0.01600
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00538
  • Expected Shortfall on VaR
    0.01110
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1754.00000
  • Minimum
    0.95485
  • Quartile 1
    0.99676
  • Median
    1.00118
  • Quartile 3
    1.00533
  • Maximum
    1.04143
  • Mean of quarter 1
    0.99065
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00309
  • Mean of quarter 4
    1.01021
  • Inter Quartile Range
    0.00857
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.02794
  • Mean of outliers low
    0.97695
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.01653
  • Mean of outliers high
    1.02290
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12924
  • VaR(95%) (moments method)
    0.00840
  • Expected Shortfall (moments method)
    0.01248
  • Extreme Value Index (regression method)
    0.02906
  • VaR(95%) (regression method)
    0.00868
  • Expected Shortfall (regression method)
    0.01224
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    72.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00488
  • Median
    0.01791
  • Quartile 3
    0.04274
  • Maximum
    0.14264
  • Mean of quarter 1
    0.00234
  • Mean of quarter 2
    0.01043
  • Mean of quarter 3
    0.02803
  • Mean of quarter 4
    0.07234
  • Inter Quartile Range
    0.03786
  • 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
    0.04167
  • Mean of outliers high
    0.12534
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.05445
  • VaR(95%) (moments method)
    0.07636
  • Expected Shortfall (moments method)
    0.09991
  • Extreme Value Index (regression method)
    0.15849
  • VaR(95%) (regression method)
    0.07556
  • Expected Shortfall (regression method)
    0.10283
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.41206
  • Compounded annual return (geometric extrapolation)
    0.21869
  • Calmar ratio (compounded annual return / max draw down)
    1.53318
  • Compounded annual return / average of 25% largest draw downs
    3.02309
  • Compounded annual return / Expected Shortfall lognormal
    13.66470
  • 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
    0.09250
  • SD
    0.09884
  • Sharpe ratio (Glass type estimate)
    0.93583
  • Sharpe ratio (Hedges UMVUE)
    0.93042
  • df
    130.00000
  • t
    0.66173
  • p
    0.47103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70453
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34135
  • Upside Potential Ratio
    9.48168
  • Upside part of mean
    0.65382
  • Downside part of mean
    -0.56133
  • Upside SD
    0.07051
  • Downside SD
    0.06896
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07738
  • Mean of criterion
    0.09250
  • SD of predictor
    0.12958
  • SD of criterion
    0.09884
  • Covariance
    0.00561
  • r
    0.43804
  • b (slope, estimate of beta)
    0.33412
  • a (intercept, estimate of alpha)
    0.06664
  • Mean Square Error
    0.00796
  • DF error
    129.00000
  • t(b)
    5.53438
  • p(b)
    0.23033
  • t(a)
    0.52794
  • p(a)
    0.47045
  • Lowerbound of 95% confidence interval for beta
    0.21467
  • Upperbound of 95% confidence interval for beta
    0.45356
  • Lowerbound of 95% confidence interval for alpha
    -0.18310
  • Upperbound of 95% confidence interval for alpha
    0.31638
  • Treynor index (mean / b)
    0.27683
  • Jensen alpha (a)
    0.06664
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08762
  • SD
    0.09884
  • Sharpe ratio (Glass type estimate)
    0.88656
  • Sharpe ratio (Hedges UMVUE)
    0.88144
  • df
    130.00000
  • t
    0.62689
  • p
    0.47255
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65877
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65531
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26417
  • Upside Potential Ratio
    9.39634
  • Upside part of mean
    0.65129
  • Downside part of mean
    -0.56366
  • Upside SD
    0.07013
  • Downside SD
    0.06931
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06900
  • Mean of criterion
    0.08762
  • SD of predictor
    0.12998
  • SD of criterion
    0.09884
  • Covariance
    0.00563
  • r
    0.43800
  • b (slope, estimate of beta)
    0.33306
  • a (intercept, estimate of alpha)
    0.06464
  • Mean Square Error
    0.00796
  • DF error
    129.00000
  • t(b)
    5.53385
  • p(b)
    0.23035
  • t(a)
    0.51219
  • p(a)
    0.47133
  • Lowerbound of 95% confidence interval for beta
    0.21398
  • Upperbound of 95% confidence interval for beta
    0.45214
  • Lowerbound of 95% confidence interval for alpha
    -0.18506
  • Upperbound of 95% confidence interval for alpha
    0.31435
  • Treynor index (mean / b)
    0.26308
  • Jensen alpha (a)
    0.06464
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00966
  • Expected Shortfall on VaR
    0.01218
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00448
  • Expected Shortfall on VaR
    0.00884
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98455
  • Quartile 1
    0.99747
  • Median
    1.00075
  • Quartile 3
    1.00421
  • Maximum
    1.01967
  • Mean of quarter 1
    0.99252
  • Mean of quarter 2
    0.99933
  • Mean of quarter 3
    1.00236
  • Mean of quarter 4
    1.00769
  • Inter Quartile Range
    0.00674
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98611
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01839
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.41145
  • VaR(95%) (moments method)
    0.00666
  • Expected Shortfall (moments method)
    0.00796
  • Extreme Value Index (regression method)
    -0.37628
  • VaR(95%) (regression method)
    0.00727
  • Expected Shortfall (regression method)
    0.00881
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00376
  • Median
    0.01207
  • Quartile 3
    0.03158
  • Maximum
    0.04562
  • Mean of quarter 1
    0.00199
  • Mean of quarter 2
    0.00762
  • Mean of quarter 3
    0.01875
  • Mean of quarter 4
    0.04074
  • Inter Quartile Range
    0.02782
  • 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)
    -27.50350
  • VaR(95%) (moments method)
    0.04315
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.49556
  • VaR(95%) (regression method)
    0.05262
  • Expected Shortfall (regression method)
    0.05282
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11893
  • Compounded annual return (geometric extrapolation)
    0.12247
  • Calmar ratio (compounded annual return / max draw down)
    2.68463
  • Compounded annual return / average of 25% largest draw downs
    3.00619
  • Compounded annual return / Expected Shortfall lognormal
    10.05220

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
$60,000
# Trades
1074
# Profitable
480
% Profitable
44.7%
Net Dividends
Correlation S&P500
0.284
Sharpe Ratio
1.06
Sortino Ratio
1.51
Beta
0.30
Alpha
0.04
Leverage
1.04 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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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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