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Foster Capital Growth
(111648302)

Created by: FosterCapital FosterCapital
Started: 05/2017
Stocks
Last trade: Today
Trading style: Equity Sector: Technology

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 $69.00 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
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
30.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(25.4%)
Max Drawdown
613
Num Trades
41.4%
Win Trades
1.7 : 1
Profit Factor
60.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +4.9%(8.5%)+10.8%+7.2%+2.8%+13.5%+4.0%+7.1%+48.2%
2018+2.9%(15.7%)(1.9%)(0.1%)+2.6%+3.4%(2.5%)+26.4%+2.2%(14%)(5.3%)(4.7%)(11.9%)
2019+8.2%+8.8%(1.6%)+8.6%(7.5%)(3.8%)+4.5%(5%)(3.8%)(1.5%)+6.9%+6.9%+20.4%
2020+7.5%+2.2%(0.5%)+8.2%+17.0%+2.6%                                    +42.2%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 164 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/17/20 10:05 MSCI MSCI LONG 13 324.15 5/27 9:57 320.22 0.18%
Trade id #128622336
Max drawdown($169)
Time4/28/20 0:00
Quant open13
Worst price311.14
Drawdown as % of equity-0.18%
($51)
Includes Typical Broker Commissions trade costs of $0.26
4/8/20 14:43 LLY ELI LILLY LONG 54 149.82 5/27 9:48 149.01 0.21%
Trade id #128480135
Max drawdown($212)
Time5/27/20 9:37
Quant open39
Worst price144.36
Drawdown as % of equity-0.21%
($45)
Includes Typical Broker Commissions trade costs of $1.08
5/18/20 11:24 TQQQ PROSHARES ULTRAPRO QQQ LONG 60 77.75 5/22 10:35 78.33 0.08%
Trade id #129069339
Max drawdown($81)
Time5/19/20 0:00
Quant open60
Worst price76.40
Drawdown as % of equity-0.08%
$34
Includes Typical Broker Commissions trade costs of $1.20
4/6/20 15:35 CTXS CITRIX SYSTEMS LONG 49 148.12 5/18 11:29 141.48 0.32%
Trade id #128438886
Max drawdown($300)
Time4/23/20 0:00
Quant open34
Worst price139.29
Drawdown as % of equity-0.32%
($327)
Includes Typical Broker Commissions trade costs of $0.98
4/16/20 10:24 ABT ABBOTT LABORATORIES LONG 25 94.89 5/14 10:27 89.69 0.16%
Trade id #128597016
Max drawdown($153)
Time5/1/20 0:00
Quant open25
Worst price88.75
Drawdown as % of equity-0.16%
($131)
Includes Typical Broker Commissions trade costs of $0.50
4/20/20 10:32 PLMR PALOMAR HOLDINGS INC. COMMON STOCK LONG 22 64.29 5/14 10:26 55.78 0.28%
Trade id #128651726
Max drawdown($258)
Time4/24/20 0:00
Quant open22
Worst price52.53
Drawdown as % of equity-0.28%
($187)
Includes Typical Broker Commissions trade costs of $0.44
4/29/20 13:38 MRCY MERCURY SYSTEMS LONG 15 92.34 5/14 10:26 83.84 0.16%
Trade id #128791610
Max drawdown($145)
Time5/1/20 0:00
Quant open15
Worst price82.62
Drawdown as % of equity-0.16%
($127)
Includes Typical Broker Commissions trade costs of $0.30
4/27/20 12:41 SWCH SWITCH INC LONG 60 18.83 5/8 10:19 17.22 0.11%
Trade id #128755295
Max drawdown($103)
Time4/30/20 0:00
Quant open60
Worst price17.11
Drawdown as % of equity-0.11%
($98)
Includes Typical Broker Commissions trade costs of $1.20
4/20/20 13:16 CIEN CIENA CORPORTION LONG 60 47.80 5/6 12:30 46.25 0.14%
Trade id #128655596
Max drawdown($127)
Time4/30/20 0:00
Quant open60
Worst price45.67
Drawdown as % of equity-0.14%
($94)
Includes Typical Broker Commissions trade costs of $1.20
4/16/20 10:32 DG DOLLAR GENERAL LONG 20 178.83 5/6 12:30 173.85 0.13%
Trade id #128597263
Max drawdown($123)
Time5/1/20 0:00
Quant open20
Worst price172.66
Drawdown as % of equity-0.13%
($100)
Includes Typical Broker Commissions trade costs of $0.40
4/6/20 15:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 310 54.04 5/1 11:55 61.85 0.01%
Trade id #128438897
Max drawdown($6)
Time4/6/20 15:49
Quant open60
Worst price50.18
Drawdown as % of equity-0.01%
$2,416
Includes Typical Broker Commissions trade costs of $6.20
4/8/20 15:02 AMZN AMAZON.COM LONG 6 2212.95 5/1 11:21 2308.12 0.05%
Trade id #128480444
Max drawdown($40)
Time4/9/20 0:00
Quant open2
Worst price2017.66
Drawdown as % of equity-0.05%
$571
Includes Typical Broker Commissions trade costs of $0.12
4/14/20 10:11 ASML ASML HOLDING LONG 8 291.33 5/1 10:31 278.72 0.14%
Trade id #128555268
Max drawdown($130)
Time4/15/20 0:00
Quant open8
Worst price275.05
Drawdown as % of equity-0.14%
($101)
Includes Typical Broker Commissions trade costs of $0.16
4/13/20 12:27 AMD ADVANCED MICRO DEVICES INC. C LONG 85 53.01 5/1 10:18 52.20 0.06%
Trade id #128538359
Max drawdown($56)
Time5/1/20 10:18
Quant open21
Worst price50.32
Drawdown as % of equity-0.06%
($70)
Includes Typical Broker Commissions trade costs of $1.70
4/17/20 11:33 AKAM AKAMAI TECHNOLOGIES LONG 30 104.29 4/29 9:53 93.66 0.34%
Trade id #128625532
Max drawdown($308)
Time4/29/20 9:35
Quant open30
Worst price94.00
Drawdown as % of equity-0.34%
($320)
Includes Typical Broker Commissions trade costs of $0.60
4/14/20 9:58 AMED AMEDISYS LONG 12 201.00 4/21 10:42 187.90 0.16%
Trade id #128554785
Max drawdown($155)
Time4/21/20 10:03
Quant open12
Worst price188.01
Drawdown as % of equity-0.16%
($157)
Includes Typical Broker Commissions trade costs of $0.24
3/31/20 10:39 PLMR PALOMAR HOLDINGS INC. COMMON STOCK LONG 23 60.06 4/1 9:48 55.23 0.18%
Trade id #128338453
Max drawdown($158)
Time4/1/20 0:00
Quant open23
Worst price53.15
Drawdown as % of equity-0.18%
($111)
Includes Typical Broker Commissions trade costs of $0.46
3/26/20 10:06 CTXS CITRIX SYSTEMS LONG 15 133.98 4/1 9:48 139.88 0.02%
Trade id #128264013
Max drawdown($17)
Time3/26/20 10:16
Quant open15
Worst price132.79
Drawdown as % of equity-0.02%
$89
Includes Typical Broker Commissions trade costs of $0.30
3/31/20 10:30 DOCU DOCUSIGN INC. COMMON STOCK LONG 20 97.40 4/1 9:48 89.84 0.2%
Trade id #128338182
Max drawdown($173)
Time4/1/20 0:00
Quant open20
Worst price88.75
Drawdown as % of equity-0.20%
($151)
Includes Typical Broker Commissions trade costs of $0.40
3/23/20 11:33 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 8 148.90 4/1 9:48 139.05 0.12%
Trade id #128193804
Max drawdown($101)
Time3/25/20 0:00
Quant open8
Worst price136.20
Drawdown as % of equity-0.12%
($79)
Includes Typical Broker Commissions trade costs of $0.16
3/26/20 13:01 UDOW PROSHARES ULTRAPRO DOW30 LONG 15 44.74 4/1 9:48 37.65 0.14%
Trade id #128268456
Max drawdown($122)
Time4/1/20 9:32
Quant open15
Worst price36.58
Drawdown as % of equity-0.14%
($106)
Includes Typical Broker Commissions trade costs of $0.30
3/24/20 12:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 60 46.86 4/1 9:48 43.84 0.22%
Trade id #128224465
Max drawdown($193)
Time4/1/20 9:48
Quant open60
Worst price43.64
Drawdown as % of equity-0.22%
($182)
Includes Typical Broker Commissions trade costs of $1.20
3/2/20 12:02 QQQ POWERSHARES QQQ LONG 200 212.97 3/5 12:29 211.07 1.21%
Trade id #127807066
Max drawdown($1,070)
Time3/3/20 0:00
Quant open200
Worst price207.62
Drawdown as % of equity-1.21%
($383)
Includes Typical Broker Commissions trade costs of $4.00
2/24/20 12:17 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 300 19.46 2/24 12:38 19.28 0.05%
Trade id #127681223
Max drawdown($45)
Time2/24/20 12:28
Quant open300
Worst price19.31
Drawdown as % of equity-0.05%
($60)
Includes Typical Broker Commissions trade costs of $6.00
1/7/20 13:42 DXCM DEXCOM LONG 27 236.42 2/24 12:11 290.43 0.18%
Trade id #126902016
Max drawdown($154)
Time1/13/20 0:00
Quant open17
Worst price224.01
Drawdown as % of equity-0.18%
$1,457
Includes Typical Broker Commissions trade costs of $0.54
1/6/20 12:21 CRM SALESFORCE.COM LONG 33 170.00 2/24 12:11 182.35 0.01%
Trade id #126884007
Max drawdown($6)
Time1/6/20 12:27
Quant open33
Worst price169.79
Drawdown as % of equity-0.01%
$407
Includes Typical Broker Commissions trade costs of $0.66
1/7/20 12:58 VRTX VERTEX LONG 23 225.49 2/24 12:11 237.36 0.06%
Trade id #126901475
Max drawdown($57)
Time1/31/20 0:00
Quant open23
Worst price223.01
Drawdown as % of equity-0.06%
$273
Includes Typical Broker Commissions trade costs of $0.46
1/21/20 9:57 RDNT RADNET LONG 166 20.99 2/24 12:11 22.57 0.03%
Trade id #127114687
Max drawdown($29)
Time1/21/20 10:51
Quant open166
Worst price20.81
Drawdown as % of equity-0.03%
$259
Includes Typical Broker Commissions trade costs of $3.32
1/10/20 10:34 AYX ALTERYX INC LONG 25 120.72 2/24 12:11 129.86 0.12%
Trade id #126945841
Max drawdown($103)
Time1/14/20 0:00
Quant open25
Worst price116.58
Drawdown as % of equity-0.12%
$229
Includes Typical Broker Commissions trade costs of $0.50
1/14/20 10:18 PLNT PLANET FITNESS INC LONG 50 79.93 2/24 12:11 84.37 0.15%
Trade id #126984805
Max drawdown($133)
Time1/27/20 0:00
Quant open50
Worst price77.27
Drawdown as % of equity-0.15%
$221
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    5/17/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1111.19
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    613
  • # Profitable
    254
  • % Profitable
    41.40%
  • Avg trade duration
    32.0 days
  • Max peak-to-valley drawdown
    25.35%
  • drawdown period
    Sept 14, 2018 - Jan 14, 2019
  • Annual Return (Compounded)
    30.1%
  • Avg win
    $589.44
  • Avg loss
    $279.11
  • Model Account Values (Raw)
  • Cash
    $3,476
  • Margin Used
    $0
  • Buying Power
    $28,715
  • Ratios
  • W:L ratio
    1.66:1
  • Sharpe Ratio
    0.93
  • Sortino Ratio
    1.28
  • Calmar Ratio
    1.424
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    93.80%
  • Correlation to SP500
    0.25180
  • Return Percent SP500 (cumu) during strategy life
    29.60%
  • Return Statistics
  • Ann Return (w trading costs)
    30.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.301%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.50%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    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)
    757
  • Popularity (Last 6 weeks)
    914
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    925
  • Popularity (7 days, Percentile 1000 scale)
    791
  • 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
    $280
  • Avg Win
    $619
  • Sum Trade PL (losers)
    $100,376.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    38
  • Win / Loss
  • Sum Trade PL (winners)
    $157,272.000
  • # Winners
    254
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    8296
  • AUM
  • AUM (AutoTrader live capital)
    114334
  • Win / Loss
  • # Losers
    359
  • % Winners
    41.4%
  • Frequency
  • Avg Position Time (mins)
    46090.90
  • Avg Position Time (hrs)
    768.18
  • Avg Trade Length
    32.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.56
  • Daily leverage (max)
    2.24
  • Regression
  • Alpha
    0.07
  • Beta
    0.29
  • Treynor Index
    0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    65.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.51
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.56
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -21.922
  • 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
    0.258
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.190
  • Hold-and-Hope Ratio
    0.003
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29868
  • SD
    0.29726
  • Sharpe ratio (Glass type estimate)
    1.00476
  • Sharpe ratio (Hedges UMVUE)
    0.98172
  • df
    33.00000
  • t
    1.69126
  • p
    0.05011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19166
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18665
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20651
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16996
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76995
  • Upside Potential Ratio
    3.37058
  • Upside part of mean
    0.56879
  • Downside part of mean
    -0.27011
  • Upside SD
    0.25441
  • Downside SD
    0.16875
  • N nonnegative terms
    21.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.07641
  • Mean of criterion
    0.29868
  • SD of predictor
    0.21079
  • SD of criterion
    0.29726
  • Covariance
    0.02848
  • r
    0.45451
  • b (slope, estimate of beta)
    0.64097
  • a (intercept, estimate of alpha)
    0.24970
  • Mean Square Error
    0.07230
  • DF error
    32.00000
  • t(b)
    2.88645
  • p(b)
    0.00346
  • t(a)
    1.55438
  • p(a)
    0.06497
  • Lowerbound of 95% confidence interval for beta
    0.18865
  • Upperbound of 95% confidence interval for beta
    1.09329
  • Lowerbound of 95% confidence interval for alpha
    -0.07752
  • Upperbound of 95% confidence interval for alpha
    0.57692
  • Treynor index (mean / b)
    0.46598
  • Jensen alpha (a)
    0.24970
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25291
  • SD
    0.29396
  • Sharpe ratio (Glass type estimate)
    0.86033
  • Sharpe ratio (Hedges UMVUE)
    0.84060
  • df
    33.00000
  • t
    1.44815
  • p
    0.07850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32853
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02252
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39250
  • Upside Potential Ratio
    2.96254
  • Upside part of mean
    0.53806
  • Downside part of mean
    -0.28515
  • Upside SD
    0.23710
  • Downside SD
    0.18162
  • N nonnegative terms
    21.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.05195
  • Mean of criterion
    0.25291
  • SD of predictor
    0.23020
  • SD of criterion
    0.29396
  • Covariance
    0.02927
  • r
    0.43253
  • b (slope, estimate of beta)
    0.55235
  • a (intercept, estimate of alpha)
    0.22421
  • Mean Square Error
    0.07244
  • DF error
    32.00000
  • t(b)
    2.71374
  • p(b)
    0.00531
  • t(a)
    1.39915
  • p(a)
    0.08569
  • Lowerbound of 95% confidence interval for beta
    0.13776
  • Upperbound of 95% confidence interval for beta
    0.96695
  • Lowerbound of 95% confidence interval for alpha
    -0.10220
  • Upperbound of 95% confidence interval for alpha
    0.55063
  • Treynor index (mean / b)
    0.45787
  • Jensen alpha (a)
    0.22421
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11175
  • Expected Shortfall on VaR
    0.14228
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04314
  • Expected Shortfall on VaR
    0.09036
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.80836
  • Quartile 1
    0.96423
  • Median
    1.03945
  • Quartile 3
    1.08035
  • Maximum
    1.23369
  • Mean of quarter 1
    0.92220
  • Mean of quarter 2
    1.00736
  • Mean of quarter 3
    1.05353
  • Mean of quarter 4
    1.12650
  • Inter Quartile Range
    0.11612
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39011
  • VaR(95%) (moments method)
    0.08846
  • Expected Shortfall (moments method)
    0.16129
  • Extreme Value Index (regression method)
    0.79045
  • VaR(95%) (regression method)
    0.09714
  • Expected Shortfall (regression method)
    0.41054
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00411
  • Quartile 1
    0.03219
  • Median
    0.11911
  • Quartile 3
    0.20010
  • Maximum
    0.21039
  • Mean of quarter 1
    0.00411
  • Mean of quarter 2
    0.04155
  • Mean of quarter 3
    0.19667
  • Mean of quarter 4
    0.21039
  • Inter Quartile Range
    0.16791
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42913
  • Compounded annual return (geometric extrapolation)
    0.32421
  • Calmar ratio (compounded annual return / max draw down)
    1.54100
  • Compounded annual return / average of 25% largest draw downs
    1.54100
  • Compounded annual return / Expected Shortfall lognormal
    2.27866
  • 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
    0.29312
  • SD
    0.25026
  • Sharpe ratio (Glass type estimate)
    1.17128
  • Sharpe ratio (Hedges UMVUE)
    1.17011
  • df
    747.00000
  • t
    1.97907
  • p
    0.02409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00941
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33160
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61443
  • Upside Potential Ratio
    8.56343
  • Upside part of mean
    1.55481
  • Downside part of mean
    -1.26168
  • Upside SD
    0.17294
  • Downside SD
    0.18156
  • N nonnegative terms
    397.00000
  • N negative terms
    351.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    748.00000
  • Mean of predictor
    0.08801
  • Mean of criterion
    0.29312
  • SD of predictor
    0.22282
  • SD of criterion
    0.25026
  • Covariance
    0.01417
  • r
    0.25403
  • b (slope, estimate of beta)
    0.28531
  • a (intercept, estimate of alpha)
    0.26800
  • Mean Square Error
    0.05867
  • DF error
    746.00000
  • t(b)
    7.17358
  • p(b)
    0.00000
  • t(a)
    1.86909
  • p(a)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.20723
  • Upperbound of 95% confidence interval for beta
    0.36339
  • Lowerbound of 95% confidence interval for alpha
    -0.01349
  • Upperbound of 95% confidence interval for alpha
    0.54951
  • Treynor index (mean / b)
    1.02738
  • Jensen alpha (a)
    0.26801
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26150
  • SD
    0.25133
  • Sharpe ratio (Glass type estimate)
    1.04051
  • Sharpe ratio (Hedges UMVUE)
    1.03946
  • df
    747.00000
  • t
    1.75811
  • p
    0.03957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20134
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12171
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20063
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41387
  • Upside Potential Ratio
    8.32596
  • Upside part of mean
    1.53995
  • Downside part of mean
    -1.27844
  • Upside SD
    0.17068
  • Downside SD
    0.18496
  • N nonnegative terms
    397.00000
  • N negative terms
    351.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    748.00000
  • Mean of predictor
    0.06303
  • Mean of criterion
    0.26150
  • SD of predictor
    0.22410
  • SD of criterion
    0.25133
  • Covariance
    0.01431
  • r
    0.25401
  • b (slope, estimate of beta)
    0.28487
  • a (intercept, estimate of alpha)
    0.24355
  • Mean Square Error
    0.05917
  • DF error
    746.00000
  • t(b)
    7.17293
  • p(b)
    0.00000
  • t(a)
    1.69153
  • p(a)
    0.04558
  • Lowerbound of 95% confidence interval for beta
    0.20690
  • Upperbound of 95% confidence interval for beta
    0.36283
  • Lowerbound of 95% confidence interval for alpha
    -0.03911
  • Upperbound of 95% confidence interval for alpha
    0.52621
  • Treynor index (mean / b)
    0.91799
  • Jensen alpha (a)
    0.24355
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02424
  • Expected Shortfall on VaR
    0.03054
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01052
  • Expected Shortfall on VaR
    0.02197
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    748.00000
  • Minimum
    0.93200
  • Quartile 1
    0.99581
  • Median
    1.00045
  • Quartile 3
    1.01024
  • Maximum
    1.06462
  • Mean of quarter 1
    0.98181
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00490
  • Mean of quarter 4
    1.01903
  • Inter Quartile Range
    0.01443
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.05348
  • Mean of outliers low
    0.96166
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.01872
  • Mean of outliers high
    1.03993
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05012
  • VaR(95%) (moments method)
    0.01304
  • Expected Shortfall (moments method)
    0.01902
  • Extreme Value Index (regression method)
    -0.13098
  • VaR(95%) (regression method)
    0.01875
  • Expected Shortfall (regression method)
    0.02590
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00869
  • Median
    0.02579
  • Quartile 3
    0.06956
  • Maximum
    0.23577
  • Mean of quarter 1
    0.00298
  • Mean of quarter 2
    0.01935
  • Mean of quarter 3
    0.04183
  • Mean of quarter 4
    0.14012
  • Inter Quartile Range
    0.06088
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07407
  • Mean of outliers high
    0.23199
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.30083
  • VaR(95%) (moments method)
    0.14628
  • Expected Shortfall (moments method)
    0.17716
  • Extreme Value Index (regression method)
    -0.90599
  • VaR(95%) (regression method)
    0.16971
  • Expected Shortfall (regression method)
    0.18398
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45001
  • Compounded annual return (geometric extrapolation)
    0.33564
  • Calmar ratio (compounded annual return / max draw down)
    1.42360
  • Compounded annual return / average of 25% largest draw downs
    2.39546
  • Compounded annual return / Expected Shortfall lognormal
    10.99140
  • 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
    0.79255
  • SD
    0.27929
  • Sharpe ratio (Glass type estimate)
    2.83773
  • Sharpe ratio (Hedges UMVUE)
    2.82133
  • df
    130.00000
  • t
    2.00658
  • p
    0.41334
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03932
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.62557
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.61427
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.26417
  • Upside Potential Ratio
    10.10360
  • Upside part of mean
    1.87789
  • Downside part of mean
    -1.08533
  • Upside SD
    0.21274
  • Downside SD
    0.18586
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00785
  • Mean of criterion
    0.79255
  • SD of predictor
    0.44432
  • SD of criterion
    0.27929
  • Covariance
    0.02136
  • r
    0.17214
  • b (slope, estimate of beta)
    0.10820
  • a (intercept, estimate of alpha)
    0.79170
  • Mean Square Error
    0.07628
  • DF error
    129.00000
  • t(b)
    1.98475
  • p(b)
    0.39096
  • t(a)
    2.02696
  • p(a)
    0.38873
  • Lowerbound of 95% confidence interval for beta
    0.00034
  • Upperbound of 95% confidence interval for beta
    0.21607
  • Lowerbound of 95% confidence interval for alpha
    0.01892
  • Upperbound of 95% confidence interval for alpha
    1.56449
  • Treynor index (mean / b)
    7.32468
  • Jensen alpha (a)
    0.79170
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75257
  • SD
    0.27976
  • Sharpe ratio (Glass type estimate)
    2.69006
  • Sharpe ratio (Hedges UMVUE)
    2.67451
  • df
    130.00000
  • t
    1.90216
  • p
    0.41772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10595
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.47598
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.46531
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.96414
  • Upside Potential Ratio
    9.77410
  • Upside part of mean
    1.85555
  • Downside part of mean
    -1.10298
  • Upside SD
    0.20926
  • Downside SD
    0.18984
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09098
  • Mean of criterion
    0.75257
  • SD of predictor
    0.44750
  • SD of criterion
    0.27976
  • Covariance
    0.02179
  • r
    0.17408
  • b (slope, estimate of beta)
    0.10882
  • a (intercept, estimate of alpha)
    0.76247
  • Mean Square Error
    0.07648
  • DF error
    129.00000
  • t(b)
    2.00776
  • p(b)
    0.38974
  • t(a)
    1.94936
  • p(a)
    0.39283
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.00158
  • Upperbound of 95% confidence interval for beta
    0.21606
  • Lowerbound of 95% confidence interval for alpha
    -0.01141
  • Upperbound of 95% confidence interval for alpha
    1.53634
  • Treynor index (mean / b)
    6.91551
  • Jensen alpha (a)
    0.76247
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02523
  • Expected Shortfall on VaR
    0.03223
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00746
  • Expected Shortfall on VaR
    0.01712
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94334
  • Quartile 1
    0.99920
  • Median
    1.00142
  • Quartile 3
    1.01209
  • Maximum
    1.06058
  • Mean of quarter 1
    0.98378
  • Mean of quarter 2
    1.00020
  • Mean of quarter 3
    1.00573
  • Mean of quarter 4
    1.02290
  • Inter Quartile Range
    0.01288
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.96067
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04274
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02191
  • VaR(95%) (moments method)
    0.00410
  • Expected Shortfall (moments method)
    0.00626
  • Extreme Value Index (regression method)
    -0.15571
  • VaR(95%) (regression method)
    0.01449
  • Expected Shortfall (regression method)
    0.02096
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00040
  • Quartile 1
    0.01030
  • Median
    0.03785
  • Quartile 3
    0.06829
  • Maximum
    0.09767
  • Mean of quarter 1
    0.00347
  • Mean of quarter 2
    0.02096
  • Mean of quarter 3
    0.05515
  • Mean of quarter 4
    0.08548
  • Inter Quartile Range
    0.05799
  • 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)
    -13.18720
  • VaR(95%) (moments method)
    0.09135
  • Expected Shortfall (moments method)
    0.09135
  • Extreme Value Index (regression method)
    -1.86780
  • VaR(95%) (regression method)
    0.10882
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.10991
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -278894000
  • Max Equity Drawdown (num days)
    122
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95466
  • Compounded annual return (geometric extrapolation)
    1.18251
  • Calmar ratio (compounded annual return / max draw down)
    12.10760
  • Compounded annual return / average of 25% largest draw downs
    13.83340
  • Compounded annual return / Expected Shortfall lognormal
    36.69270

Strategy Description

Foster Capital Management

• We trade only the very best growth stocks. Our focus is on quality.
• We look for leading companies in leading industries, the true market leaders. Each company is researched in depth before its stock is purchased.
• Our positions are typically held for 4 to 12 weeks. For the truly great stocks with big institutional demand, we'll hold for even bigger gains.
• Our proprietary position sizing strategy is a core element of our growth fund.
• Each stock is purchased at a carefully selected buy point to maximize profitability.
• We have strict sell rules which ensure losses on every trade are capped and profits are taken off the table when a stock comes under selling pressure. Losses are capped to a maximum of the predefined stop-loss, 1% of account equity.

http://www.fostercapital.co.uk/

Summary Statistics

Strategy began
2017-05-17
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 7.5%
Rank # 
#44
# Trades
613
# Profitable
254
% Profitable
41.4%
Net Dividends
Correlation S&P500
0.252
Sharpe Ratio
0.93
Sortino Ratio
1.28
Beta
0.29
Alpha
0.07
Leverage
1.56 Average
2.24 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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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.