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Foster Capital Growth
(111648302)

Created by: FosterCapital FosterCapital
Started: 05/2017
Stocks
Last trade: 18 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 $90.00 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.
17.4%
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.

(25.6%)
Max Drawdown
404
Num Trades
38.9%
Win Trades
1.4 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +4.9%(8.6%)+10.8%+7.2%+2.8%+13.5%+4.0%+7.1%+47.9%
2018+2.8%(15.8%)(1.9%)(0.1%)+2.6%+3.4%(2.5%)+26.5%+2.2%(14.1%)(5.4%)(4.7%)(12.2%)
2019+8.2%+8.8%(1.6%)+8.6%(7.6%)(3.9%)+4.5%(5%)                        +10.9%

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
6/10/19 9:52 ZS ZSCALER INC. COMMON STOCK LONG 39 78.43 8/5 9:38 80.11 0.28%
Trade id #124002494
Max drawdown($209)
Time6/10/19 9:52
Quant open39
Worst price73.05
Drawdown as % of equity-0.28%
$65
Includes Typical Broker Commissions trade costs of $0.78
6/18/19 9:51 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 11 99.23 8/5 9:38 91.55 0.23%
Trade id #124124881
Max drawdown($177)
Time6/18/19 9:51
Quant open11
Worst price83.10
Drawdown as % of equity-0.23%
($84)
Includes Typical Broker Commissions trade costs of $0.22
6/7/19 10:40 TTD THE TRADE DESK INC. CLASS A COMMON STOCK LONG 15 247.39 8/5 9:38 255.12 0.47%
Trade id #123979339
Max drawdown($354)
Time6/7/19 10:40
Quant open15
Worst price223.77
Drawdown as % of equity-0.47%
$116
Includes Typical Broker Commissions trade costs of $0.30
6/7/19 10:42 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 36 130.73 8/5 9:38 134.41 0.35%
Trade id #123979423
Max drawdown($262)
Time6/7/19 10:42
Quant open36
Worst price123.43
Drawdown as % of equity-0.35%
$131
Includes Typical Broker Commissions trade costs of $0.72
7/26/19 14:50 RNG RINGCENTRAL INC. LONG 38 127.91 8/5 9:38 136.35 0.25%
Trade id #124639476
Max drawdown($197)
Time7/26/19 14:50
Quant open38
Worst price122.72
Drawdown as % of equity-0.25%
$320
Includes Typical Broker Commissions trade costs of $0.76
6/10/19 10:40 PCTY PAYLOCITY HOLDING CORPORATION LONG 47 100.74 8/5 9:38 95.70 0.53%
Trade id #124003599
Max drawdown($404)
Time6/10/19 10:40
Quant open47
Worst price92.14
Drawdown as % of equity-0.53%
($238)
Includes Typical Broker Commissions trade costs of $0.94
6/19/19 11:42 PAYS PAYSIGN INC LONG 104 11.79 8/5 9:38 12.62 0.07%
Trade id #124144957
Max drawdown($53)
Time6/19/19 11:42
Quant open104
Worst price11.28
Drawdown as % of equity-0.07%
$84
Includes Typical Broker Commissions trade costs of $2.08
6/7/19 10:34 PAYC PAYCOM SOFTWARE INC LONG 24 222.17 8/5 9:38 230.35 0.39%
Trade id #123979156
Max drawdown($291)
Time6/7/19 10:34
Quant open24
Worst price210.01
Drawdown as % of equity-0.39%
$196
Includes Typical Broker Commissions trade costs of $0.48
6/7/19 10:51 KL KIRKLAND LAKE GOLD LTD LONG 113 38.07 8/5 9:37 45.38 0.34%
Trade id #123979787
Max drawdown($254)
Time6/7/19 10:51
Quant open113
Worst price35.82
Drawdown as % of equity-0.34%
$824
Includes Typical Broker Commissions trade costs of $2.26
6/10/19 10:21 MTCH MATCH GROUP INC. COMMON STOCK LONG 57 72.27 8/5 9:37 73.52 0.51%
Trade id #124003198
Max drawdown($388)
Time6/10/19 10:21
Quant open57
Worst price65.46
Drawdown as % of equity-0.51%
$70
Includes Typical Broker Commissions trade costs of $1.14
6/7/19 11:23 MSFT MICROSOFT LONG 76 131.87 8/5 9:37 134.32 0.12%
Trade id #123980788
Max drawdown($88)
Time6/7/19 11:23
Quant open76
Worst price130.71
Drawdown as % of equity-0.12%
$185
Includes Typical Broker Commissions trade costs of $1.52
7/26/19 15:05 HEI HEICO CORP LONG 16 138.78 8/5 9:37 134.72 0.09%
Trade id #124639901
Max drawdown($65)
Time8/5/19 9:37
Quant open8
Worst price133.42
Drawdown as % of equity-0.09%
($65)
Includes Typical Broker Commissions trade costs of $0.32
6/13/19 11:02 GPN GLOBAL PAYMENTS LONG 53 159.17 8/5 9:37 159.21 0.12%
Trade id #124067625
Max drawdown($86)
Time6/13/19 11:02
Quant open53
Worst price157.54
Drawdown as % of equity-0.12%
$1
Includes Typical Broker Commissions trade costs of $1.06
7/26/19 15:03 GLOB GLOBANT SA LONG 25 110.56 8/5 9:37 103.98 0.23%
Trade id #124639861
Max drawdown($182)
Time7/26/19 15:03
Quant open25
Worst price103.25
Drawdown as % of equity-0.23%
($165)
Includes Typical Broker Commissions trade costs of $0.50
6/10/19 10:23 CSGP COSTAR GROUP LONG 13 549.09 8/5 9:37 588.77 0.32%
Trade id #124003235
Max drawdown($245)
Time6/10/19 10:23
Quant open13
Worst price530.18
Drawdown as % of equity-0.32%
$516
Includes Typical Broker Commissions trade costs of $0.26
7/26/19 14:42 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 12 94.94 8/5 9:36 87.71 0.18%
Trade id #124639260
Max drawdown($147)
Time7/26/19 14:42
Quant open12
Worst price82.65
Drawdown as % of equity-0.18%
($87)
Includes Typical Broker Commissions trade costs of $0.24
6/17/19 12:41 LULU LULULEMON ATHLETICA LONG 35 181.90 8/5 9:36 177.86 0.32%
Trade id #124111779
Max drawdown($235)
Time6/17/19 12:41
Quant open35
Worst price175.17
Drawdown as % of equity-0.32%
($142)
Includes Typical Broker Commissions trade costs of $0.70
6/10/19 10:16 CHGG CHEGG INC LONG 125 40.02 8/5 9:36 37.55 0.57%
Trade id #124003124
Max drawdown($435)
Time6/10/19 10:16
Quant open125
Worst price36.54
Drawdown as % of equity-0.57%
($312)
Includes Typical Broker Commissions trade costs of $2.50
7/10/19 9:40 EPAM EPAM SYSTEMS LONG 36 191.35 8/5 9:36 183.71 0.38%
Trade id #124400849
Max drawdown($275)
Time8/5/19 9:36
Quant open18
Worst price179.76
Drawdown as % of equity-0.38%
($276)
Includes Typical Broker Commissions trade costs of $0.72
7/26/19 15:00 CHDN CHURCHILL DOWNS LONG 25 120.36 8/5 9:36 119.28 0.07%
Trade id #124639711
Max drawdown($54)
Time7/26/19 15:00
Quant open13
Worst price116.16
Drawdown as % of equity-0.07%
($28)
Includes Typical Broker Commissions trade costs of $0.50
7/19/19 10:22 INTU INTUIT LONG 33 282.50 8/5 9:30 270.86 0.52%
Trade id #124533869
Max drawdown($384)
Time8/5/19 9:30
Quant open17
Worst price266.99
Drawdown as % of equity-0.52%
($385)
Includes Typical Broker Commissions trade costs of $0.66
6/18/19 9:44 VCYT VERACYTE INC. COMMON STOCK LONG 106 29.31 8/5 9:30 25.73 0.55%
Trade id #124124632
Max drawdown($401)
Time6/18/19 9:44
Quant open106
Worst price25.52
Drawdown as % of equity-0.55%
($382)
Includes Typical Broker Commissions trade costs of $2.12
7/15/19 11:45 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 37 142.64 8/5 9:30 129.74 0.65%
Trade id #124462955
Max drawdown($477)
Time8/5/19 9:30
Quant open19
Worst price127.51
Drawdown as % of equity-0.65%
($478)
Includes Typical Broker Commissions trade costs of $0.74
8/2/19 10:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 235 35.13 8/2 11:16 34.91 0.08%
Trade id #124740051
Max drawdown($58)
Time8/2/19 10:57
Quant open235
Worst price34.88
Drawdown as % of equity-0.08%
($57)
Includes Typical Broker Commissions trade costs of $4.70
6/7/19 10:54 NOW SERVICENOW LONG 22 276.12 8/2 9:30 267.46 0.36%
Trade id #123979843
Max drawdown($267)
Time6/7/19 10:54
Quant open22
Worst price263.95
Drawdown as % of equity-0.36%
($191)
Includes Typical Broker Commissions trade costs of $0.44
6/7/19 11:21 AMD ADVANCED MICRO DEVICES INC. C LONG 107 32.19 7/31 10:09 30.84 0.5%
Trade id #123980748
Max drawdown($376)
Time6/7/19 11:21
Quant open107
Worst price28.67
Drawdown as % of equity-0.50%
($146)
Includes Typical Broker Commissions trade costs of $2.14
6/10/19 9:59 ZEN ZENDESK INC LONG 54 93.33 7/31 10:06 87.54 0.54%
Trade id #124002626
Max drawdown($405)
Time6/10/19 9:59
Quant open54
Worst price85.83
Drawdown as % of equity-0.54%
($314)
Includes Typical Broker Commissions trade costs of $1.08
6/10/19 9:57 DAVA ENDAVA PLC LONG 86 40.77 7/31 10:00 36.70 0.6%
Trade id #124002592
Max drawdown($448)
Time6/10/19 9:57
Quant open86
Worst price35.55
Drawdown as % of equity-0.60%
($352)
Includes Typical Broker Commissions trade costs of $1.72
6/10/19 9:45 TWLO TWILIO INC LONG 26 147.86 7/31 9:59 136.96 0.5%
Trade id #124002270
Max drawdown($372)
Time6/10/19 9:45
Quant open26
Worst price133.55
Drawdown as % of equity-0.50%
($284)
Includes Typical Broker Commissions trade costs of $0.52
7/10/19 10:17 AMZN AMAZON.COM LONG 4 2014.63 7/29 12:16 1893.89 0.63%
Trade id #124402365
Max drawdown($483)
Time7/29/19 12:16
Quant open4
Worst price1893.89
Drawdown as % of equity-0.63%
($483)
Includes Typical Broker Commissions trade costs of $0.08

Statistics

  • Strategy began
    5/17/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    827.51
  • Age
    28 months ago
  • What it trades
    Stocks
  • # Trades
    404
  • # Profitable
    157
  • % Profitable
    38.90%
  • Avg trade duration
    33.9 days
  • Max peak-to-valley drawdown
    25.56%
  • drawdown period
    Sept 14, 2018 - Jan 15, 2019
  • Annual Return (Compounded)
    17.4%
  • Avg win
    $606.68
  • Avg loss
    $316.49
  • Model Account Values (Raw)
  • Cash
    $75,084
  • Margin Used
    $0
  • Buying Power
    $75,084
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    0.59
  • Sortino Ratio
    0.79
  • Calmar Ratio
    0.917
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.38140
  • Return Statistics
  • Ann Return (w trading costs)
    17.4%
  • Ann Return (Compnd, No Fees)
    19.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.50%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    703
  • C2 Score
    364
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $316
  • Avg Win
    $607
  • # Winners
    157
  • # Losers
    247
  • % Winners
    38.9%
  • Frequency
  • Avg Position Time (mins)
    48847.10
  • Avg Position Time (hrs)
    814.12
  • Avg Trade Length
    33.9 days
  • Last Trade Ago
    18
  • Leverage
  • Daily leverage (average)
    1.63
  • Daily leverage (max)
    2.14
  • Regression
  • Alpha
    0.03
  • Beta
    0.71
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    -2.653
  • Avg(MAE) / Avg(PL) - Winning trades
    0.340
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.170
  • Hold-and-Hope Ratio
    -0.377
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21862
  • SD
    0.31726
  • Sharpe ratio (Glass type estimate)
    0.68910
  • Sharpe ratio (Hedges UMVUE)
    0.66730
  • df
    24.00000
  • t
    0.99463
  • p
    0.16492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68956
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05381
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03826
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13552
  • Upside Potential Ratio
    2.83513
  • Upside part of mean
    0.54585
  • Downside part of mean
    -0.32722
  • Upside SD
    0.25208
  • Downside SD
    0.19253
  • N nonnegative terms
    15.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.07771
  • Mean of criterion
    0.21862
  • SD of predictor
    0.10751
  • SD of criterion
    0.31726
  • Covariance
    0.02111
  • r
    0.61891
  • b (slope, estimate of beta)
    1.82638
  • a (intercept, estimate of alpha)
    0.07670
  • Mean Square Error
    0.06480
  • DF error
    23.00000
  • t(b)
    3.77889
  • p(b)
    0.00049
  • t(a)
    0.42534
  • p(a)
    0.33727
  • Lowerbound of 95% confidence interval for beta
    0.82657
  • Upperbound of 95% confidence interval for beta
    2.82618
  • Lowerbound of 95% confidence interval for alpha
    -0.29632
  • Upperbound of 95% confidence interval for alpha
    0.44971
  • Treynor index (mean / b)
    0.11970
  • Jensen alpha (a)
    0.07670
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16893
  • SD
    0.31546
  • Sharpe ratio (Glass type estimate)
    0.53551
  • Sharpe ratio (Hedges UMVUE)
    0.51857
  • df
    24.00000
  • t
    0.77294
  • p
    0.22355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89629
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84723
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88437
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81336
  • Upside Potential Ratio
    2.48374
  • Upside part of mean
    0.51586
  • Downside part of mean
    -0.34693
  • Upside SD
    0.23404
  • Downside SD
    0.20769
  • N nonnegative terms
    15.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.07169
  • Mean of criterion
    0.16893
  • SD of predictor
    0.10866
  • SD of criterion
    0.31546
  • Covariance
    0.02159
  • r
    0.62976
  • b (slope, estimate of beta)
    1.82822
  • a (intercept, estimate of alpha)
    0.03787
  • Mean Square Error
    0.06266
  • DF error
    23.00000
  • t(b)
    3.88812
  • p(b)
    0.00037
  • t(a)
    0.21438
  • p(a)
    0.41607
  • Lowerbound of 95% confidence interval for beta
    0.85553
  • Upperbound of 95% confidence interval for beta
    2.80092
  • Lowerbound of 95% confidence interval for alpha
    -0.32759
  • Upperbound of 95% confidence interval for alpha
    0.40334
  • Treynor index (mean / b)
    0.09240
  • Jensen alpha (a)
    0.03787
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12690
  • Expected Shortfall on VaR
    0.15903
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05438
  • Expected Shortfall on VaR
    0.10985
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.80836
  • Quartile 1
    0.95915
  • Median
    1.03890
  • Quartile 3
    1.07282
  • Maximum
    1.23369
  • Mean of quarter 1
    0.91117
  • Mean of quarter 2
    1.00658
  • Mean of quarter 3
    1.05434
  • Mean of quarter 4
    1.12833
  • Inter Quartile Range
    0.11367
  • 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)
    0.12031
  • VaR(95%) (moments method)
    0.09288
  • Expected Shortfall (moments method)
    0.13426
  • Extreme Value Index (regression method)
    0.39501
  • VaR(95%) (regression method)
    0.12936
  • Expected Shortfall (regression method)
    0.24834
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00411
  • Quartile 1
    0.10039
  • Median
    0.19667
  • Quartile 3
    0.20353
  • Maximum
    0.21039
  • Mean of quarter 1
    0.00411
  • Mean of quarter 2
    0.19667
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21039
  • Inter Quartile Range
    0.10314
  • 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)
    0.24333
  • Compounded annual return (geometric extrapolation)
    0.21755
  • Calmar ratio (compounded annual return / max draw down)
    1.03402
  • Compounded annual return / average of 25% largest draw downs
    1.03402
  • Compounded annual return / Expected Shortfall lognormal
    1.36796
  • 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
    0.20021
  • SD
    0.25366
  • Sharpe ratio (Glass type estimate)
    0.78926
  • Sharpe ratio (Hedges UMVUE)
    0.78818
  • df
    548.00000
  • t
    1.14249
  • p
    0.12687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14296
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06411
  • Upside Potential Ratio
    8.35743
  • Upside part of mean
    1.57241
  • Downside part of mean
    -1.37220
  • Upside SD
    0.17024
  • Downside SD
    0.18815
  • N nonnegative terms
    283.00000
  • N negative terms
    266.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    549.00000
  • Mean of predictor
    0.08443
  • Mean of criterion
    0.20021
  • SD of predictor
    0.13868
  • SD of criterion
    0.25366
  • Covariance
    0.01346
  • r
    0.38254
  • b (slope, estimate of beta)
    0.69972
  • a (intercept, estimate of alpha)
    0.14100
  • Mean Square Error
    0.05503
  • DF error
    547.00000
  • t(b)
    9.68343
  • p(b)
    -0.00000
  • t(a)
    0.87024
  • p(a)
    0.19228
  • Lowerbound of 95% confidence interval for beta
    0.55778
  • Upperbound of 95% confidence interval for beta
    0.84166
  • Lowerbound of 95% confidence interval for alpha
    -0.17742
  • Upperbound of 95% confidence interval for alpha
    0.45968
  • Treynor index (mean / b)
    0.28612
  • Jensen alpha (a)
    0.14113
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16779
  • SD
    0.25497
  • Sharpe ratio (Glass type estimate)
    0.65809
  • Sharpe ratio (Hedges UMVUE)
    0.65719
  • df
    548.00000
  • t
    0.95263
  • p
    0.17060
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01235
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01173
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87574
  • Upside Potential Ratio
    8.13132
  • Upside part of mean
    1.55798
  • Downside part of mean
    -1.39019
  • Upside SD
    0.16819
  • Downside SD
    0.19160
  • N nonnegative terms
    283.00000
  • N negative terms
    266.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    549.00000
  • Mean of predictor
    0.07479
  • Mean of criterion
    0.16779
  • SD of predictor
    0.13896
  • SD of criterion
    0.25497
  • Covariance
    0.01358
  • r
    0.38329
  • b (slope, estimate of beta)
    0.70328
  • a (intercept, estimate of alpha)
    0.11520
  • Mean Square Error
    0.05556
  • DF error
    547.00000
  • t(b)
    9.70557
  • p(b)
    -0.00000
  • t(a)
    0.70705
  • p(a)
    0.23992
  • Lowerbound of 95% confidence interval for beta
    0.56094
  • Upperbound of 95% confidence interval for beta
    0.84561
  • Lowerbound of 95% confidence interval for alpha
    -0.20484
  • Upperbound of 95% confidence interval for alpha
    0.43524
  • Treynor index (mean / b)
    0.23859
  • Jensen alpha (a)
    0.11520
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02495
  • Expected Shortfall on VaR
    0.03133
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01174
  • Expected Shortfall on VaR
    0.02394
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    549.00000
  • Minimum
    0.93200
  • Quartile 1
    0.99427
  • Median
    1.00044
  • Quartile 3
    1.01066
  • Maximum
    1.06462
  • Mean of quarter 1
    0.98062
  • Mean of quarter 2
    0.99876
  • Mean of quarter 3
    1.00530
  • Mean of quarter 4
    1.01895
  • Inter Quartile Range
    0.01639
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.03461
  • Mean of outliers low
    0.95605
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.00546
  • Mean of outliers high
    1.04630
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05974
  • VaR(95%) (moments method)
    0.01549
  • Expected Shortfall (moments method)
    0.02095
  • Extreme Value Index (regression method)
    -0.10314
  • VaR(95%) (regression method)
    0.01911
  • Expected Shortfall (regression method)
    0.02602
  • 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
    0.23577
  • Mean of quarter 1
    0.00208
  • Mean of quarter 2
    0.01397
  • Mean of quarter 3
    0.02671
  • Mean of quarter 4
    0.13801
  • 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
    0.18109
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.52018
  • VaR(95%) (moments method)
    0.10272
  • Expected Shortfall (moments method)
    0.10380
  • Extreme Value Index (regression method)
    -1.81129
  • VaR(95%) (regression method)
    0.23349
  • Expected Shortfall (regression method)
    0.24023
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24193
  • Compounded annual return (geometric extrapolation)
    0.21616
  • Calmar ratio (compounded annual return / max draw down)
    0.91684
  • Compounded annual return / average of 25% largest draw downs
    1.56631
  • Compounded annual return / Expected Shortfall lognormal
    6.89884
  • 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
    -0.08838
  • SD
    0.25191
  • Sharpe ratio (Glass type estimate)
    -0.35086
  • Sharpe ratio (Hedges UMVUE)
    -0.34883
  • df
    130.00000
  • t
    -0.24809
  • p
    0.51088
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.12239
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.12096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42330
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46157
  • Upside Potential Ratio
    7.72912
  • Upside part of mean
    1.48001
  • Downside part of mean
    -1.56840
  • Upside SD
    0.16229
  • Downside SD
    0.19148
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08101
  • Mean of criterion
    -0.08838
  • SD of predictor
    0.13015
  • SD of criterion
    0.25191
  • Covariance
    0.01590
  • r
    0.48484
  • b (slope, estimate of beta)
    0.93842
  • a (intercept, estimate of alpha)
    -0.16440
  • Mean Square Error
    0.04892
  • DF error
    129.00000
  • t(b)
    6.29619
  • p(b)
    0.20390
  • t(a)
    -0.52522
  • p(a)
    0.52940
  • Lowerbound of 95% confidence interval for beta
    0.64353
  • Upperbound of 95% confidence interval for beta
    1.23331
  • Lowerbound of 95% confidence interval for alpha
    -0.78372
  • Upperbound of 95% confidence interval for alpha
    0.45491
  • Treynor index (mean / b)
    -0.09418
  • Jensen alpha (a)
    -0.16440
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12002
  • SD
    0.25274
  • Sharpe ratio (Glass type estimate)
    -0.47487
  • Sharpe ratio (Hedges UMVUE)
    -0.47212
  • df
    130.00000
  • t
    -0.33578
  • p
    0.51472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.24643
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29839
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.24452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30028
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61810
  • Upside Potential Ratio
    7.55445
  • Upside part of mean
    1.46689
  • Downside part of mean
    -1.58691
  • Upside SD
    0.16045
  • Downside SD
    0.19417
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07255
  • Mean of criterion
    -0.12002
  • SD of predictor
    0.13056
  • SD of criterion
    0.25274
  • Covariance
    0.01598
  • r
    0.48423
  • b (slope, estimate of beta)
    0.93739
  • a (intercept, estimate of alpha)
    -0.18803
  • Mean Square Error
    0.04928
  • DF error
    129.00000
  • t(b)
    6.28585
  • p(b)
    0.20424
  • t(a)
    -0.59857
  • p(a)
    0.53349
  • Lowerbound of 95% confidence interval for beta
    0.64234
  • Upperbound of 95% confidence interval for beta
    1.23244
  • Lowerbound of 95% confidence interval for alpha
    -0.80954
  • Upperbound of 95% confidence interval for alpha
    0.43349
  • Treynor index (mean / b)
    -0.12804
  • Jensen alpha (a)
    -0.18803
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02580
  • Expected Shortfall on VaR
    0.03212
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01403
  • Expected Shortfall on VaR
    0.02686
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95682
  • Quartile 1
    0.99313
  • Median
    1.00000
  • Quartile 3
    1.00963
  • Maximum
    1.03723
  • Mean of quarter 1
    0.97836
  • Mean of quarter 2
    0.99809
  • Mean of quarter 3
    1.00494
  • Mean of quarter 4
    1.01784
  • Inter Quartile Range
    0.01649
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96287
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03723
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.77006
  • VaR(95%) (moments method)
    0.01817
  • Expected Shortfall (moments method)
    0.01862
  • Extreme Value Index (regression method)
    -0.58473
  • VaR(95%) (regression method)
    0.02187
  • Expected Shortfall (regression method)
    0.02535
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00838
  • Quartile 1
    0.02101
  • Median
    0.05888
  • Quartile 3
    0.08873
  • Maximum
    0.12904
  • Mean of quarter 1
    0.01093
  • Mean of quarter 2
    0.04361
  • Mean of quarter 3
    0.07415
  • Mean of quarter 4
    0.11131
  • Inter Quartile Range
    0.06772
  • 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)
    -0.09002
  • Compounded annual return (geometric extrapolation)
    -0.08800
  • Calmar ratio (compounded annual return / max draw down)
    -0.68195
  • Compounded annual return / average of 25% largest draw downs
    -0.79054
  • Compounded annual return / Expected Shortfall lognormal
    -2.73944

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
404
# Profitable
157
% Profitable
38.9%
Net Dividends
Correlation S&P500
0.381
Sharpe Ratio
0.59
Sortino Ratio
0.79
Beta
0.71
Alpha
0.03
Leverage
1.63 Average
2.14 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.