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Foster Capital Growth
(111648302)

Created by: FosterCapital FosterCapital
Started: 05/2017
Stocks
Last trade: 12 days ago
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 $99.00 per month.

Trading Category: Equity
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
17.5%
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.

(24.9%)
Max Drawdown
278
Num Trades
39.6%
Win Trades
1.5 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +4.8%(8.6%)+10.7%+7.1%+2.8%+13.5%+4.0%+7.1%+47.8%
2018+2.8%(15.8%)(1.9%)(0.2%)+2.6%+3.4%(2.6%)+26.6%+2.2%(14.1%)(5.4%)(4.7%)(12.4%)

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 106 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/29/18 12:12 REGN REGENERON PHARMACEUTICALS LONG 16 360.03 12/6 11:32 367.82 0.02%
Trade id #121249174
Max drawdown($16)
Time11/29/18 16:01
Quant open16
Worst price359.00
Drawdown as % of equity-0.02%
$125
Includes Typical Broker Commissions trade costs of $0.32
12/3/18 10:06 MEDP MEDPACE HOLDINGS INC. COMMON STOCK LONG 77 64.03 12/6 11:32 58.81 0.64%
Trade id #121309615
Max drawdown($446)
Time12/6/18 9:31
Quant open77
Worst price58.23
Drawdown as % of equity-0.64%
($404)
Includes Typical Broker Commissions trade costs of $1.54
11/29/18 12:07 LHCG LHC GROUP LONG 51 106.09 12/6 11:31 100.29 0.48%
Trade id #121248906
Max drawdown($323)
Time12/6/18 11:30
Quant open51
Worst price99.74
Drawdown as % of equity-0.48%
($297)
Includes Typical Broker Commissions trade costs of $1.02
12/3/18 10:12 HCA HCA HEALTHCARE INC LONG 53 145.17 12/6 11:31 136.92 0.68%
Trade id #121309750
Max drawdown($460)
Time12/6/18 11:28
Quant open53
Worst price136.49
Drawdown as % of equity-0.68%
($438)
Includes Typical Broker Commissions trade costs of $1.06
12/4/18 10:18 ETSY ETSY INC. COMMON STOCK LONG 67 57.56 12/6 11:31 52.38 0.54%
Trade id #121331847
Max drawdown($367)
Time12/6/18 11:31
Quant open67
Worst price52.08
Drawdown as % of equity-0.54%
($348)
Includes Typical Broker Commissions trade costs of $1.34
11/29/18 11:58 BEAT BIOTELEMETRY INC. COMMON STOC LONG 60 70.83 12/6 11:31 65.72 0.61%
Trade id #121248200
Max drawdown($420)
Time12/6/18 9:32
Quant open60
Worst price63.83
Drawdown as % of equity-0.61%
($308)
Includes Typical Broker Commissions trade costs of $1.20
11/29/18 12:01 AMED AMEDISYS LONG 37 135.13 12/6 11:31 129.80 0.32%
Trade id #121248440
Max drawdown($218)
Time12/6/18 11:08
Quant open37
Worst price129.23
Drawdown as % of equity-0.32%
($198)
Includes Typical Broker Commissions trade costs of $0.74
11/29/18 12:05 ADUS ADDUS HOMECARE LONG 58 74.80 12/6 11:31 74.06 0.11%
Trade id #121248669
Max drawdown($78)
Time11/30/18 9:41
Quant open58
Worst price73.45
Drawdown as % of equity-0.11%
($44)
Includes Typical Broker Commissions trade costs of $1.16
12/3/18 10:17 NXST NEXSTAR MEDIA GROUP LONG 62 84.91 12/6 11:31 84.63 0.23%
Trade id #121309883
Max drawdown($162)
Time12/6/18 9:31
Quant open62
Worst price82.29
Drawdown as % of equity-0.23%
($18)
Includes Typical Broker Commissions trade costs of $1.24
12/3/18 10:08 GOOS CANADA GOOSE HOLDINGS INC LONG 68 69.60 12/6 11:08 62.16 0.74%
Trade id #121309655
Max drawdown($506)
Time12/6/18 11:08
Quant open0
Worst price62.16
Drawdown as % of equity-0.74%
($507)
Includes Typical Broker Commissions trade costs of $1.36
11/29/18 12:03 UNH UNITEDHEALTH GROUP LONG 34 285.31 12/6 10:36 270.55 0.72%
Trade id #121248523
Max drawdown($502)
Time12/6/18 10:36
Quant open0
Worst price270.55
Drawdown as % of equity-0.72%
($503)
Includes Typical Broker Commissions trade costs of $0.68
11/30/18 9:55 VEEV VEEVA SYSTEMS INC LONG 60 99.48 12/4 13:50 91.00 0.72%
Trade id #121271039
Max drawdown($509)
Time12/4/18 13:50
Quant open0
Worst price91.00
Drawdown as % of equity-0.72%
($510)
Includes Typical Broker Commissions trade costs of $1.20
11/8/18 11:18 ULTA ULTA BEAUTY INC LONG 24 297.79 11/19 12:31 309.31 0.01%
Trade id #120829125
Max drawdown($6)
Time11/8/18 11:20
Quant open24
Worst price297.53
Drawdown as % of equity-0.01%
$277
Includes Typical Broker Commissions trade costs of $0.48
11/8/18 10:13 ATTU ATTUNITY LONG 162 22.98 11/19 12:31 21.35 0.37%
Trade id #120827132
Max drawdown($264)
Time11/19/18 12:31
Quant open81
Worst price20.81
Drawdown as % of equity-0.37%
($267)
Includes Typical Broker Commissions trade costs of $3.24
11/7/18 10:34 TWLO TWILIO INC LONG 39 91.55 11/19 10:33 83.33 0.45%
Trade id #120795541
Max drawdown($321)
Time11/19/18 10:33
Quant open20
Worst price81.70
Drawdown as % of equity-0.45%
($322)
Includes Typical Broker Commissions trade costs of $0.78
11/8/18 9:51 ADUS ADDUS HOMECARE LONG 56 76.69 11/15 9:30 69.27 0.59%
Trade id #120826324
Max drawdown($416)
Time11/15/18 9:30
Quant open28
Worst price66.93
Drawdown as % of equity-0.59%
($417)
Includes Typical Broker Commissions trade costs of $1.12
11/8/18 12:05 ROST ROSS STORES LONG 83 103.89 11/15 9:30 99.50 0.51%
Trade id #120830887
Max drawdown($364)
Time11/15/18 9:30
Quant open42
Worst price96.97
Drawdown as % of equity-0.51%
($366)
Includes Typical Broker Commissions trade costs of $1.66
11/8/18 10:00 UNH UNITEDHEALTH GROUP LONG 35 277.17 11/14 11:44 271.25 0.29%
Trade id #120826652
Max drawdown($207)
Time11/14/18 11:44
Quant open18
Worst price266.65
Drawdown as % of equity-0.29%
($208)
Includes Typical Broker Commissions trade costs of $0.70
11/8/18 11:47 ETSY ETSY INC. COMMON STOCK LONG 72 54.17 11/13 14:22 49.24 0.5%
Trade id #120830475
Max drawdown($355)
Time11/13/18 14:22
Quant open36
Worst price47.10
Drawdown as % of equity-0.50%
($356)
Includes Typical Broker Commissions trade costs of $1.44
11/7/18 10:03 BEAT BIOTELEMETRY INC. COMMON STOC LONG 62 68.37 11/13 13:11 62.70 0.49%
Trade id #120794217
Max drawdown($351)
Time11/13/18 13:11
Quant open31
Worst price59.96
Drawdown as % of equity-0.49%
($352)
Includes Typical Broker Commissions trade costs of $1.24
11/8/18 10:34 HQY HEALTHEQUITY INC. COMMON STOC LONG 48 101.20 11/13 10:03 91.96 0.62%
Trade id #120827640
Max drawdown($444)
Time11/13/18 10:03
Quant open24
Worst price90.48
Drawdown as % of equity-0.62%
($445)
Includes Typical Broker Commissions trade costs of $0.96
11/8/18 10:06 PLNT PLANET FITNESS INC LONG 102 56.40 11/12 10:49 51.42 0.7%
Trade id #120826894
Max drawdown($508)
Time11/12/18 10:49
Quant open0
Worst price51.42
Drawdown as % of equity-0.70%
($510)
Includes Typical Broker Commissions trade costs of $2.04
11/8/18 11:54 NVEE NV5 GLOBAL INC. COMMON STOC LONG 48 94.60 11/12 9:43 83.67 0.72%
Trade id #120830647
Max drawdown($525)
Time11/12/18 9:43
Quant open0
Worst price83.67
Drawdown as % of equity-0.72%
($526)
Includes Typical Broker Commissions trade costs of $0.96
10/16/18 9:47 WING WINGSTOP INC. COMMON STOCK LONG 70 73.02 10/24 13:03 66.97 0.59%
Trade id #120378369
Max drawdown($434)
Time10/24/18 12:52
Quant open70
Worst price66.82
Drawdown as % of equity-0.59%
($425)
Includes Typical Broker Commissions trade costs of $1.40
10/16/18 10:29 ULTA ULTA BEAUTY INC LONG 26 282.05 10/18 11:12 278.84 0.11%
Trade id #120379993
Max drawdown($83)
Time10/18/18 11:10
Quant open26
Worst price278.84
Drawdown as % of equity-0.11%
($84)
Includes Typical Broker Commissions trade costs of $0.52
10/16/18 10:09 PCTY PAYLOCITY HOLDING CORPORATION LONG 64 68.27 10/18 11:12 66.30 0.17%
Trade id #120379253
Max drawdown($129)
Time10/18/18 10:53
Quant open64
Worst price66.24
Drawdown as % of equity-0.17%
($127)
Includes Typical Broker Commissions trade costs of $1.28
10/16/18 10:13 PAYC PAYCOM SOFTWARE INC LONG 36 132.40 10/18 11:12 133.89 0.04%
Trade id #120379425
Max drawdown($29)
Time10/16/18 10:20
Quant open36
Worst price131.59
Drawdown as % of equity-0.04%
$53
Includes Typical Broker Commissions trade costs of $0.72
10/16/18 10:04 FFTY ACADEMY FUNDS INNOVATOR IBD 50 LONG 620 33.70 10/18 11:12 33.89 0.12%
Trade id #120379023
Max drawdown($86)
Time10/16/18 10:11
Quant open620
Worst price33.56
Drawdown as % of equity-0.12%
$113
Includes Typical Broker Commissions trade costs of $5.00
10/16/18 10:07 ALRM ALARM.COM HOLDINGS INC. COMMON STOCK LONG 102 47.39 10/18 11:12 46.74 0.1%
Trade id #120379209
Max drawdown($75)
Time10/16/18 10:29
Quant open102
Worst price46.65
Drawdown as % of equity-0.10%
($68)
Includes Typical Broker Commissions trade costs of $2.04
10/16/18 10:06 PAYC PAYCOM SOFTWARE INC LONG 36 133.11 10/16 10:06 132.83 0.01%
Trade id #120379178
Max drawdown($10)
Time10/16/18 10:06
Quant open0
Worst price132.83
Drawdown as % of equity-0.01%
($11)
Includes Typical Broker Commissions trade costs of $0.72

Statistics

  • Strategy began
    5/17/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    580.27
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    278
  • # Profitable
    110
  • % Profitable
    39.60%
  • Avg trade duration
    31.2 days
  • Max peak-to-valley drawdown
    24.92%
  • drawdown period
    Jan 22, 2018 - March 02, 2018
  • Annual Return (Compounded)
    17.5%
  • Avg win
    $577.99
  • Avg loss
    $324.10
  • Model Account Values (Raw)
  • Cash
    $67,114
  • Margin Used
    $0
  • Buying Power
    $67,114
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.811
  • Sortino Ratio
    1.084
  • Calmar Ratio
    0.977
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.34800
  • Return Statistics
  • Ann Return (w trading costs)
    17.5%
  • Ann Return (Compnd, No Fees)
    20.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.00%
  • Chance of 20% account loss
    19.50%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    665
  • C2 Score
    64.3
  • 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
    $324
  • Avg Win
    $578
  • # Winners
    110
  • # Losers
    168
  • % Winners
    39.6%
  • Frequency
  • Avg Position Time (mins)
    44926.90
  • Avg Position Time (hrs)
    748.78
  • Avg Trade Length
    31.2 days
  • Last Trade Ago
    12
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27727
  • SD
    0.34835
  • Sharpe ratio (Glass type estimate)
    0.79595
  • Sharpe ratio (Hedges UMVUE)
    0.75795
  • df
    16.00000
  • t
    0.94738
  • p
    0.38477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88528
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45323
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42546
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27152
  • Upside Potential Ratio
    2.92580
  • Upside part of mean
    0.63801
  • Downside part of mean
    -0.36073
  • Upside SD
    0.27031
  • Downside SD
    0.21806
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.08390
  • Mean of criterion
    0.27727
  • SD of predictor
    0.10838
  • SD of criterion
    0.34835
  • Covariance
    0.02186
  • r
    0.57904
  • b (slope, estimate of beta)
    1.86116
  • a (intercept, estimate of alpha)
    0.12113
  • Mean Square Error
    0.08604
  • DF error
    15.00000
  • t(b)
    2.75069
  • p(b)
    0.15315
  • t(a)
    0.47896
  • p(a)
    0.42206
  • Lowerbound of 95% confidence interval for beta
    0.41898
  • Upperbound of 95% confidence interval for beta
    3.30333
  • Lowerbound of 95% confidence interval for alpha
    -0.41790
  • Upperbound of 95% confidence interval for alpha
    0.66016
  • Treynor index (mean / b)
    0.14898
  • Jensen alpha (a)
    0.12113
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21713
  • SD
    0.34970
  • Sharpe ratio (Glass type estimate)
    0.62089
  • Sharpe ratio (Hedges UMVUE)
    0.59125
  • df
    16.00000
  • t
    0.73901
  • p
    0.40916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25064
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91701
  • Upside Potential Ratio
    2.54885
  • Upside part of mean
    0.60351
  • Downside part of mean
    -0.38638
  • Upside SD
    0.25092
  • Downside SD
    0.23678
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.07780
  • Mean of criterion
    0.21713
  • SD of predictor
    0.11013
  • SD of criterion
    0.34970
  • Covariance
    0.02298
  • r
    0.59669
  • b (slope, estimate of beta)
    1.89478
  • a (intercept, estimate of alpha)
    0.06971
  • Mean Square Error
    0.08400
  • DF error
    15.00000
  • t(b)
    2.87980
  • p(b)
    0.14407
  • t(a)
    0.28016
  • p(a)
    0.45411
  • Lowerbound of 95% confidence interval for beta
    0.49238
  • Upperbound of 95% confidence interval for beta
    3.29718
  • Lowerbound of 95% confidence interval for alpha
    -0.46065
  • Upperbound of 95% confidence interval for alpha
    0.60008
  • Treynor index (mean / b)
    0.11459
  • Jensen alpha (a)
    0.06971
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13753
  • Expected Shortfall on VaR
    0.17258
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05475
  • Expected Shortfall on VaR
    0.11460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.80836
  • Quartile 1
    0.96739
  • Median
    1.04678
  • Quartile 3
    1.08479
  • Maximum
    1.23369
  • Mean of quarter 1
    0.90141
  • Mean of quarter 2
    1.03053
  • Mean of quarter 3
    1.07088
  • Mean of quarter 4
    1.12993
  • Inter Quartile Range
    0.11740
  • 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)
    -0.87082
  • VaR(95%) (moments method)
    0.09185
  • Expected Shortfall (moments method)
    0.10152
  • Extreme Value Index (regression method)
    -0.16620
  • VaR(95%) (regression method)
    0.16292
  • Expected Shortfall (regression method)
    0.21923
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00411
  • Quartile 1
    0.08564
  • Median
    0.16717
  • Quartile 3
    0.18192
  • Maximum
    0.19667
  • Mean of quarter 1
    0.00411
  • Mean of quarter 2
    0.16717
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.19667
  • Inter Quartile Range
    0.09628
  • 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)
    0.29294
  • Compounded annual return (geometric extrapolation)
    0.27766
  • Calmar ratio (compounded annual return / max draw down)
    1.41183
  • Compounded annual return / average of 25% largest draw downs
    1.41183
  • Compounded annual return / Expected Shortfall lognormal
    1.60888
  • 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
    0.20858
  • SD
    0.25675
  • Sharpe ratio (Glass type estimate)
    0.81239
  • Sharpe ratio (Hedges UMVUE)
    0.81080
  • df
    383.00000
  • t
    0.98351
  • p
    0.16299
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43076
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08429
  • Upside Potential Ratio
    8.13764
  • Upside part of mean
    1.56541
  • Downside part of mean
    -1.35683
  • Upside SD
    0.17003
  • Downside SD
    0.19237
  • N nonnegative terms
    196.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    384.00000
  • Mean of predictor
    0.03406
  • Mean of criterion
    0.20858
  • SD of predictor
    0.13620
  • SD of criterion
    0.25675
  • Covariance
    0.01255
  • r
    0.35890
  • b (slope, estimate of beta)
    0.67656
  • a (intercept, estimate of alpha)
    0.18600
  • Mean Square Error
    0.05758
  • DF error
    382.00000
  • t(b)
    7.51535
  • p(b)
    0.00000
  • t(a)
    0.93596
  • p(a)
    0.17494
  • Lowerbound of 95% confidence interval for beta
    0.49955
  • Upperbound of 95% confidence interval for beta
    0.85356
  • Lowerbound of 95% confidence interval for alpha
    -0.20423
  • Upperbound of 95% confidence interval for alpha
    0.57530
  • Treynor index (mean / b)
    0.30830
  • Jensen alpha (a)
    0.18554
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17534
  • SD
    0.25840
  • Sharpe ratio (Glass type estimate)
    0.67857
  • Sharpe ratio (Hedges UMVUE)
    0.67724
  • df
    383.00000
  • t
    0.82150
  • p
    0.20594
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29690
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89353
  • Upside Potential Ratio
    7.90383
  • Upside part of mean
    1.55103
  • Downside part of mean
    -1.37569
  • Upside SD
    0.16795
  • Downside SD
    0.19624
  • N nonnegative terms
    196.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    384.00000
  • Mean of predictor
    0.02475
  • Mean of criterion
    0.17534
  • SD of predictor
    0.13679
  • SD of criterion
    0.25840
  • Covariance
    0.01270
  • r
    0.35927
  • b (slope, estimate of beta)
    0.67868
  • a (intercept, estimate of alpha)
    0.15854
  • Mean Square Error
    0.05831
  • DF error
    382.00000
  • t(b)
    7.52422
  • p(b)
    0.00000
  • t(a)
    0.79484
  • p(a)
    0.21360
  • Lowerbound of 95% confidence interval for beta
    0.50133
  • Upperbound of 95% confidence interval for beta
    0.85603
  • Lowerbound of 95% confidence interval for alpha
    -0.23364
  • Upperbound of 95% confidence interval for alpha
    0.55073
  • Treynor index (mean / b)
    0.25836
  • Jensen alpha (a)
    0.15854
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02526
  • Expected Shortfall on VaR
    0.03173
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01165
  • Expected Shortfall on VaR
    0.02405
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    384.00000
  • Minimum
    0.93200
  • Quartile 1
    0.99424
  • Median
    1.00043
  • Quartile 3
    1.01076
  • Maximum
    1.06462
  • Mean of quarter 1
    0.98073
  • Mean of quarter 2
    0.99878
  • Mean of quarter 3
    1.00520
  • Mean of quarter 4
    1.01890
  • Inter Quartile Range
    0.01652
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.03906
  • Mean of outliers low
    0.95423
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.00521
  • Mean of outliers high
    1.05084
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14795
  • VaR(95%) (moments method)
    0.01637
  • Expected Shortfall (moments method)
    0.02507
  • Extreme Value Index (regression method)
    0.02939
  • VaR(95%) (regression method)
    0.01858
  • Expected Shortfall (regression method)
    0.02696
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00487
  • Median
    0.02212
  • Quartile 3
    0.03471
  • Maximum
    0.23066
  • Mean of quarter 1
    0.00208
  • Mean of quarter 2
    0.01397
  • Mean of quarter 3
    0.02671
  • Mean of quarter 4
    0.13716
  • Inter Quartile Range
    0.02984
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.17981
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.58354
  • VaR(95%) (moments method)
    0.10217
  • Expected Shortfall (moments method)
    0.10316
  • Extreme Value Index (regression method)
    -2.47900
  • VaR(95%) (regression method)
    0.24419
  • Expected Shortfall (regression method)
    0.24672
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23677
  • Compounded annual return (geometric extrapolation)
    0.22538
  • Calmar ratio (compounded annual return / max draw down)
    0.97710
  • Compounded annual return / average of 25% largest draw downs
    1.64322
  • Compounded annual return / Expected Shortfall lognormal
    7.10342
  • 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
    -0.23121
  • SD
    0.23942
  • Sharpe ratio (Glass type estimate)
    -0.96570
  • Sharpe ratio (Hedges UMVUE)
    -0.96012
  • df
    130.00000
  • t
    -0.68285
  • p
    0.52989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.73818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81041
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73438
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81415
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.17479
  • Upside Potential Ratio
    5.67157
  • Upside part of mean
    1.11621
  • Downside part of mean
    -1.34742
  • Upside SD
    0.13548
  • Downside SD
    0.19681
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    -0.23121
  • SD of predictor
    0.15311
  • SD of criterion
    0.23942
  • Covariance
    0.01059
  • r
    0.28877
  • b (slope, estimate of beta)
    0.45156
  • a (intercept, estimate of alpha)
    -0.14656
  • Mean Square Error
    0.05295
  • DF error
    129.00000
  • t(b)
    3.42576
  • p(b)
    0.31875
  • t(a)
    -0.44906
  • p(a)
    0.52514
  • Lowerbound of 95% confidence interval for beta
    0.19076
  • Upperbound of 95% confidence interval for beta
    0.71236
  • Lowerbound of 95% confidence interval for alpha
    -0.79227
  • Upperbound of 95% confidence interval for alpha
    0.49915
  • Treynor index (mean / b)
    -0.51202
  • Jensen alpha (a)
    -0.14656
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.26016
  • SD
    0.24204
  • Sharpe ratio (Glass type estimate)
    -1.07486
  • Sharpe ratio (Hedges UMVUE)
    -1.06865
  • df
    130.00000
  • t
    -0.76004
  • p
    0.53326
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.84770
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84350
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70620
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.29457
  • Upside Potential Ratio
    5.50874
  • Upside part of mean
    1.10703
  • Downside part of mean
    -1.36719
  • Upside SD
    0.13419
  • Downside SD
    0.20096
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    -0.26016
  • SD of predictor
    0.15382
  • SD of criterion
    0.24204
  • Covariance
    0.01068
  • r
    0.28698
  • b (slope, estimate of beta)
    0.45157
  • a (intercept, estimate of alpha)
    -0.17019
  • Mean Square Error
    0.05417
  • DF error
    129.00000
  • t(b)
    3.40256
  • p(b)
    0.31984
  • t(a)
    -0.51539
  • p(a)
    0.52885
  • Lowerbound of 95% confidence interval for beta
    0.18899
  • Upperbound of 95% confidence interval for beta
    0.71414
  • Lowerbound of 95% confidence interval for alpha
    -0.82355
  • Upperbound of 95% confidence interval for alpha
    0.48316
  • Treynor index (mean / b)
    -0.57612
  • Jensen alpha (a)
    -0.17019
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02526
  • Expected Shortfall on VaR
    0.03132
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01340
  • Expected Shortfall on VaR
    0.02716
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93620
  • Quartile 1
    0.99642
  • Median
    1.00000
  • Quartile 3
    1.00800
  • Maximum
    1.02826
  • Mean of quarter 1
    0.98094
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00154
  • Mean of quarter 4
    1.01558
  • Inter Quartile Range
    0.01158
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.96265
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02689
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17619
  • VaR(95%) (moments method)
    0.01209
  • Expected Shortfall (moments method)
    0.01602
  • Extreme Value Index (regression method)
    0.14189
  • VaR(95%) (regression method)
    0.01604
  • Expected Shortfall (regression method)
    0.02611
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00749
  • Median
    0.02211
  • Quartile 3
    0.10304
  • Maximum
    0.23066
  • Mean of quarter 1
    0.00421
  • Mean of quarter 2
    0.00900
  • Mean of quarter 3
    0.03523
  • Mean of quarter 4
    0.17815
  • Inter Quartile Range
    0.09555
  • 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)
    -0.21927
  • Compounded annual return (geometric extrapolation)
    -0.20725
  • Calmar ratio (compounded annual return / max draw down)
    -0.89851
  • Compounded annual return / average of 25% largest draw downs
    -1.16336
  • Compounded annual return / Expected Shortfall lognormal
    -6.61713

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
# Trades
278
# Profitable
110
% Profitable
39.6%
Net Dividends
Correlation S&P500
0.348
Sharpe Ratio
0.811

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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