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Foster Capital Growth
(111648302)

Created by: FosterCapital FosterCapital
Started: 05/2017
Stocks
Last trade: 2 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.
22.5%
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.

(25.6%)
Max Drawdown
337
Num Trades
41.5%
Win Trades
1.5 : 1
Profit Factor
60.9%
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%)
2019+8.2%+8.8%(4.4%)                                                      +12.7%

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
3/19/19 11:23 ESNT ESSENT GROUP LTD LONG 141 47.30 3/22 12:00 43.70 0.63%
Trade id #122971770
Max drawdown($508)
Time3/22/19 12:00
Quant open0
Worst price43.70
Drawdown as % of equity-0.63%
($511)
Includes Typical Broker Commissions trade costs of $2.82
2/21/19 12:52 NEWR NEW RELIC INC LONG 48 102.68 3/20 15:15 103.28 0.24%
Trade id #122625568
Max drawdown($184)
Time3/4/19 11:49
Quant open48
Worst price98.83
Drawdown as % of equity-0.24%
$28
Includes Typical Broker Commissions trade costs of $0.96
2/12/19 9:50 MLNX MELLANOX TECHNOLOGIES LONG 50 100.34 3/14 13:29 118.07 0.29%
Trade id #122475648
Max drawdown($229)
Time2/15/19 19:33
Quant open50
Worst price95.75
Drawdown as % of equity-0.29%
$886
Includes Typical Broker Commissions trade costs of $1.00
3/4/19 9:47 SPR SPIRIT AEROSYSTEMS HLDNGS LONG 79 100.07 3/11 9:30 87.96 1.41%
Trade id #122771443
Max drawdown($1,031)
Time3/11/19 9:30
Quant open79
Worst price87.01
Drawdown as % of equity-1.41%
($959)
Includes Typical Broker Commissions trade costs of $1.58
1/15/19 9:54 OKTA OKTA INC. CL A COMMON STOCK LONG 51 72.13 3/8 9:41 72.12 0%
Trade id #121978941
Max drawdown($1)
Time3/8/19 9:41
Quant open0
Worst price72.12
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commissions trade costs of $1.02
2/26/19 12:36 SSNC SS&C TECHNOLOGIES HOLDING LONG 64 61.44 3/8 9:30 54.75 0.58%
Trade id #122689498
Max drawdown($428)
Time3/8/19 9:30
Quant open0
Worst price54.75
Drawdown as % of equity-0.58%
($429)
Includes Typical Broker Commissions trade costs of $1.28
2/25/19 10:39 PCTY PAYLOCITY HOLDING CORPORATION LONG 51 90.09 3/8 9:30 78.77 0.78%
Trade id #122668047
Max drawdown($577)
Time3/8/19 9:30
Quant open0
Worst price78.77
Drawdown as % of equity-0.78%
($578)
Includes Typical Broker Commissions trade costs of $1.02
2/27/19 13:59 FTNT FORTINET LONG 73 87.92 3/8 9:30 81.01 0.68%
Trade id #122719730
Max drawdown($505)
Time3/8/19 9:08
Quant open73
Worst price81.00
Drawdown as % of equity-0.68%
($505)
Includes Typical Broker Commissions trade costs of $1.46
1/8/19 11:59 CIEN CIENA CORPORTION LONG 173 36.07 3/7 9:41 38.84 n/a $476
Includes Typical Broker Commissions trade costs of $3.46
2/27/19 14:01 PANW PALO ALTO NETWORKS LONG 24 252.00 3/6 11:41 231.20 0.67%
Trade id #122719812
Max drawdown($499)
Time3/6/19 11:41
Quant open0
Worst price231.20
Drawdown as % of equity-0.67%
($499)
Includes Typical Broker Commissions trade costs of $0.48
1/10/19 13:25 ALRM ALARM.COM HOLDINGS INC. COMMON STOCK LONG 83 54.59 3/4 9:39 58.05 n/a $285
Includes Typical Broker Commissions trade costs of $1.66
1/15/19 11:53 VEEV VEEVA SYSTEMS INC LONG 58 100.91 2/27 13:57 115.65 n/a $854
Includes Typical Broker Commissions trade costs of $1.16
1/16/19 10:14 LHCG LHC GROUP LONG 52 104.23 2/27 13:47 105.49 0.08%
Trade id #122005006
Max drawdown($59)
Time2/1/19 14:11
Quant open52
Worst price103.09
Drawdown as % of equity-0.08%
$65
Includes Typical Broker Commissions trade costs of $1.04
2/14/19 10:18 MEDP MEDPACE HOLDINGS INC. COMMON STOCK LONG 70 68.27 2/26 9:30 58.51 0.9%
Trade id #122524714
Max drawdown($718)
Time2/26/19 9:09
Quant open70
Worst price58.00
Drawdown as % of equity-0.90%
($684)
Includes Typical Broker Commissions trade costs of $1.40
1/25/19 11:24 FIVE FIVE BELOW INC LONG 42 126.05 2/25 10:24 123.41 0.32%
Trade id #122181497
Max drawdown($217)
Time1/30/19 10:19
Quant open42
Worst price120.86
Drawdown as % of equity-0.32%
($112)
Includes Typical Broker Commissions trade costs of $0.84
1/10/19 12:56 BEAT BIOTELEMETRY INC. COMMON STOC LONG 63 66.88 2/22 10:18 63.51 0.3%
Trade id #121903422
Max drawdown($238)
Time2/22/19 10:16
Quant open63
Worst price63.10
Drawdown as % of equity-0.30%
($213)
Includes Typical Broker Commissions trade costs of $1.26
1/8/19 12:17 FIVN FIVE9 INC. COMMON STOCK LONG 89 46.11 2/20 9:50 52.80 0.14%
Trade id #121847920
Max drawdown($92)
Time1/23/19 12:02
Quant open89
Worst price45.07
Drawdown as % of equity-0.14%
$593
Includes Typical Broker Commissions trade costs of $1.78
2/12/19 10:16 LULU LULULEMON ATHLETICA LONG 39 155.56 2/19 10:39 145.56 0.49%
Trade id #122476533
Max drawdown($390)
Time2/19/19 10:39
Quant open0
Worst price145.56
Drawdown as % of equity-0.49%
($391)
Includes Typical Broker Commissions trade costs of $0.78
1/15/19 9:41 TWLO TWILIO INC LONG 34 100.28 2/14 9:46 105.64 0.13%
Trade id #121978130
Max drawdown($91)
Time1/16/19 10:42
Quant open34
Worst price97.59
Drawdown as % of equity-0.13%
$181
Includes Typical Broker Commissions trade costs of $0.68
1/17/19 9:53 AMED AMEDISYS LONG 39 128.24 2/12 10:13 131.53 0.26%
Trade id #122029542
Max drawdown($176)
Time1/22/19 15:38
Quant open39
Worst price123.72
Drawdown as % of equity-0.26%
$127
Includes Typical Broker Commissions trade costs of $0.78
1/9/19 10:05 PLNT PLANET FITNESS INC LONG 96 58.64 2/12 9:48 58.13 0.29%
Trade id #121869068
Max drawdown($204)
Time1/28/19 9:31
Quant open96
Worst price56.51
Drawdown as % of equity-0.29%
($51)
Includes Typical Broker Commissions trade costs of $1.92
2/1/19 10:12 MEDP MEDPACE HOLDINGS INC. COMMON STOCK LONG 57 65.20 2/12 9:44 62.65 0.33%
Trade id #122314894
Max drawdown($242)
Time2/8/19 9:31
Quant open57
Worst price60.95
Drawdown as % of equity-0.33%
($146)
Includes Typical Broker Commissions trade costs of $1.14
1/10/19 12:45 QNST QUINSTREET LONG 168 18.44 2/8 9:30 15.41 0.79%
Trade id #121903071
Max drawdown($577)
Time2/7/19 17:38
Quant open168
Worst price15.00
Drawdown as % of equity-0.79%
($512)
Includes Typical Broker Commissions trade costs of $3.36
2/4/19 10:02 NEWR NEW RELIC INC LONG 46 105.75 2/7 9:36 95.12 0.66%
Trade id #122341617
Max drawdown($489)
Time2/7/19 9:36
Quant open0
Worst price95.12
Drawdown as % of equity-0.66%
($490)
Includes Typical Broker Commissions trade costs of $0.92
1/16/19 10:20 FN FABRINET LONG 93 55.78 2/6 12:09 53.53 0.28%
Trade id #122005383
Max drawdown($209)
Time2/6/19 12:09
Quant open0
Worst price53.53
Drawdown as % of equity-0.28%
($211)
Includes Typical Broker Commissions trade costs of $1.86
1/16/19 10:12 ATTU ATTUNITY LONG 160 22.85 2/1 14:50 21.73 0.71%
Trade id #122004929
Max drawdown($497)
Time1/22/19 9:55
Quant open160
Worst price19.74
Drawdown as % of equity-0.71%
($182)
Includes Typical Broker Commissions trade costs of $3.20
1/15/19 9:59 PYPL PAYPAL HOLDINGS CORP LONG 76 91.27 2/1 11:21 89.89 0.5%
Trade id #121979192
Max drawdown($353)
Time1/31/19 9:37
Quant open76
Worst price86.62
Drawdown as % of equity-0.50%
($107)
Includes Typical Broker Commissions trade costs of $1.52
1/15/19 9:44 SEND SENDGRID INC LONG 60 48.69 1/31 16:00 54.02 0.12%
Trade id #121978347
Max drawdown($84)
Time1/16/19 10:43
Quant open60
Worst price47.29
Drawdown as % of equity-0.12%
$319
Includes Typical Broker Commissions trade costs of $1.20
1/9/19 10:10 INVA INNOVIVA INC. COMMON STOCK LONG 218 19.14 1/31 9:42 16.84 0.71%
Trade id #121869348
Max drawdown($501)
Time1/31/19 9:42
Quant open0
Worst price16.84
Drawdown as % of equity-0.71%
($505)
Includes Typical Broker Commissions trade costs of $4.36
1/9/19 9:48 CROX CROCS LONG 140 30.61 1/30 12:26 28.51 0.51%
Trade id #121868284
Max drawdown($352)
Time1/29/19 14:50
Quant open140
Worst price28.09
Drawdown as % of equity-0.51%
($297)
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    5/17/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    675.55
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    337
  • # Profitable
    140
  • % Profitable
    41.50%
  • Avg trade duration
    31.3 days
  • Max peak-to-valley drawdown
    25.64%
  • drawdown period
    Sept 14, 2018 - Jan 15, 2019
  • Annual Return (Compounded)
    22.5%
  • Avg win
    $564.82
  • Avg loss
    $319.53
  • Model Account Values (Raw)
  • Cash
    $3,017
  • Margin Used
    $0
  • Buying Power
    $15,304
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    1.069
  • Sortino Ratio
    1.456
  • Calmar Ratio
    1.306
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.35900
  • Return Statistics
  • Ann Return (w trading costs)
    22.5%
  • Ann Return (Compnd, No Fees)
    25.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    744
  • C2 Score
    62.3
  • 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
    $320
  • Avg Win
    $577
  • # Winners
    140
  • # Losers
    197
  • % Winners
    41.5%
  • Frequency
  • Avg Position Time (mins)
    45006.60
  • Avg Position Time (hrs)
    750.11
  • Avg Trade Length
    31.3 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29970
  • SD
    0.34454
  • Sharpe ratio (Glass type estimate)
    0.86987
  • Sharpe ratio (Hedges UMVUE)
    0.83500
  • df
    19.00000
  • t
    1.12300
  • p
    0.34284
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40169
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70622
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37622
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45920
  • Upside Potential Ratio
    3.11691
  • Upside part of mean
    0.64018
  • Downside part of mean
    -0.34048
  • Upside SD
    0.27941
  • Downside SD
    0.20539
  • N nonnegative terms
    12.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.08937
  • Mean of criterion
    0.29970
  • SD of predictor
    0.11543
  • SD of criterion
    0.34454
  • Covariance
    0.02453
  • r
    0.61688
  • b (slope, estimate of beta)
    1.84131
  • a (intercept, estimate of alpha)
    0.13515
  • Mean Square Error
    0.07762
  • DF error
    18.00000
  • t(b)
    3.32533
  • p(b)
    0.19156
  • t(a)
    0.61044
  • p(a)
    0.42879
  • Lowerbound of 95% confidence interval for beta
    0.67798
  • Upperbound of 95% confidence interval for beta
    3.00464
  • Lowerbound of 95% confidence interval for alpha
    -0.33000
  • Upperbound of 95% confidence interval for alpha
    0.60031
  • Treynor index (mean / b)
    0.16277
  • Jensen alpha (a)
    0.13515
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24034
  • SD
    0.34314
  • Sharpe ratio (Glass type estimate)
    0.70042
  • Sharpe ratio (Hedges UMVUE)
    0.67234
  • df
    19.00000
  • t
    0.90424
  • p
    0.37158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22570
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86081
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20550
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08014
  • Upside Potential Ratio
    2.71200
  • Upside part of mean
    0.60346
  • Downside part of mean
    -0.36311
  • Upside SD
    0.25916
  • Downside SD
    0.22251
  • N nonnegative terms
    12.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.08244
  • Mean of criterion
    0.24034
  • SD of predictor
    0.11682
  • SD of criterion
    0.34314
  • Covariance
    0.02518
  • r
    0.62824
  • b (slope, estimate of beta)
    1.84534
  • a (intercept, estimate of alpha)
    0.08821
  • Mean Square Error
    0.07523
  • DF error
    18.00000
  • t(b)
    3.42591
  • p(b)
    0.18588
  • t(a)
    0.40642
  • p(a)
    0.45232
  • Lowerbound of 95% confidence interval for beta
    0.71369
  • Upperbound of 95% confidence interval for beta
    2.97698
  • Lowerbound of 95% confidence interval for alpha
    -0.36780
  • Upperbound of 95% confidence interval for alpha
    0.54422
  • Treynor index (mean / b)
    0.13024
  • Jensen alpha (a)
    0.08821
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13316
  • Expected Shortfall on VaR
    0.16776
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05638
  • Expected Shortfall on VaR
    0.11531
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.80836
  • Quartile 1
    0.96372
  • Median
    1.04367
  • Quartile 3
    1.08577
  • Maximum
    1.23369
  • Mean of quarter 1
    0.89755
  • Mean of quarter 2
    1.00857
  • Mean of quarter 3
    1.06606
  • Mean of quarter 4
    1.13703
  • Inter Quartile Range
    0.12205
  • 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)
    -0.10687
  • VaR(95%) (moments method)
    0.10080
  • Expected Shortfall (moments method)
    0.13317
  • Extreme Value Index (regression method)
    0.49127
  • VaR(95%) (regression method)
    0.13492
  • Expected Shortfall (regression method)
    0.29299
  • 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)
    0.33825
  • Compounded annual return (geometric extrapolation)
    0.30768
  • Calmar ratio (compounded annual return / max draw down)
    1.46242
  • Compounded annual return / average of 25% largest draw downs
    1.46242
  • Compounded annual return / Expected Shortfall lognormal
    1.83405
  • 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
    0.27349
  • SD
    0.25540
  • Sharpe ratio (Glass type estimate)
    1.07082
  • Sharpe ratio (Hedges UMVUE)
    1.06899
  • df
    440.00000
  • t
    1.38926
  • p
    0.08273
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44336
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58135
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45597
  • Upside Potential Ratio
    8.57684
  • Upside part of mean
    1.61107
  • Downside part of mean
    -1.33758
  • Upside SD
    0.17345
  • Downside SD
    0.18784
  • N nonnegative terms
    232.00000
  • N negative terms
    209.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    441.00000
  • Mean of predictor
    0.08436
  • Mean of criterion
    0.27349
  • SD of predictor
    0.13988
  • SD of criterion
    0.25540
  • Covariance
    0.01322
  • r
    0.37007
  • b (slope, estimate of beta)
    0.67569
  • a (intercept, estimate of alpha)
    0.21600
  • Mean Square Error
    0.05642
  • DF error
    439.00000
  • t(b)
    8.34640
  • p(b)
    -0.00000
  • t(a)
    1.18158
  • p(a)
    0.11901
  • Lowerbound of 95% confidence interval for beta
    0.51658
  • Upperbound of 95% confidence interval for beta
    0.83479
  • Lowerbound of 95% confidence interval for alpha
    -0.14361
  • Upperbound of 95% confidence interval for alpha
    0.57658
  • Treynor index (mean / b)
    0.40476
  • Jensen alpha (a)
    0.21649
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24057
  • SD
    0.25679
  • Sharpe ratio (Glass type estimate)
    0.93682
  • Sharpe ratio (Hedges UMVUE)
    0.93523
  • df
    440.00000
  • t
    1.21542
  • p
    0.11243
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44719
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25637
  • Upside Potential Ratio
    8.33568
  • Upside part of mean
    1.59610
  • Downside part of mean
    -1.35553
  • Upside SD
    0.17132
  • Downside SD
    0.19148
  • N nonnegative terms
    232.00000
  • N negative terms
    209.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    441.00000
  • Mean of predictor
    0.07456
  • Mean of criterion
    0.24057
  • SD of predictor
    0.14012
  • SD of criterion
    0.25679
  • Covariance
    0.01335
  • r
    0.37104
  • b (slope, estimate of beta)
    0.67999
  • a (intercept, estimate of alpha)
    0.18987
  • Mean Square Error
    0.05699
  • DF error
    439.00000
  • t(b)
    8.37185
  • p(b)
    -0.00000
  • t(a)
    1.03128
  • p(a)
    0.15149
  • Lowerbound of 95% confidence interval for beta
    0.52035
  • Upperbound of 95% confidence interval for beta
    0.83962
  • Lowerbound of 95% confidence interval for alpha
    -0.17198
  • Upperbound of 95% confidence interval for alpha
    0.55171
  • Treynor index (mean / b)
    0.35378
  • Jensen alpha (a)
    0.18987
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02486
  • Expected Shortfall on VaR
    0.03129
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01125
  • Expected Shortfall on VaR
    0.02325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    441.00000
  • Minimum
    0.93200
  • Quartile 1
    0.99427
  • Median
    1.00075
  • Quartile 3
    1.01080
  • Maximum
    1.06462
  • Mean of quarter 1
    0.98108
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00550
  • Mean of quarter 4
    1.01933
  • Inter Quartile Range
    0.01654
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.03628
  • Mean of outliers low
    0.95504
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.00680
  • Mean of outliers high
    1.04630
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09275
  • VaR(95%) (moments method)
    0.01577
  • Expected Shortfall (moments method)
    0.02318
  • Extreme Value Index (regression method)
    0.01031
  • VaR(95%) (regression method)
    0.01826
  • Expected Shortfall (regression method)
    0.02617
  • 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)
    0.33941
  • Compounded annual return (geometric extrapolation)
    0.30797
  • Calmar ratio (compounded annual return / max draw down)
    1.30622
  • Compounded annual return / average of 25% largest draw downs
    2.23151
  • Compounded annual return / Expected Shortfall lognormal
    9.84280
  • 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
    -0.08513
  • SD
    0.21622
  • Sharpe ratio (Glass type estimate)
    -0.39373
  • Sharpe ratio (Hedges UMVUE)
    -0.39145
  • df
    130.00000
  • t
    -0.27841
  • p
    0.51221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.16523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.16367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38076
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53445
  • Upside Potential Ratio
    7.05083
  • Upside part of mean
    1.12311
  • Downside part of mean
    -1.20825
  • Upside SD
    0.14508
  • Downside SD
    0.15929
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07374
  • Mean of criterion
    -0.08513
  • SD of predictor
    0.17942
  • SD of criterion
    0.21622
  • Covariance
    0.01215
  • r
    0.31307
  • b (slope, estimate of beta)
    0.37728
  • a (intercept, estimate of alpha)
    -0.05731
  • Mean Square Error
    0.04250
  • DF error
    129.00000
  • t(b)
    3.74401
  • p(b)
    0.30400
  • t(a)
    -0.19652
  • p(a)
    0.51101
  • Lowerbound of 95% confidence interval for beta
    0.17791
  • Upperbound of 95% confidence interval for beta
    0.57666
  • Lowerbound of 95% confidence interval for alpha
    -0.63430
  • Upperbound of 95% confidence interval for alpha
    0.51968
  • Treynor index (mean / b)
    -0.22564
  • Jensen alpha (a)
    -0.05731
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10841
  • SD
    0.21673
  • Sharpe ratio (Glass type estimate)
    -0.50020
  • Sharpe ratio (Hedges UMVUE)
    -0.49731
  • df
    130.00000
  • t
    -0.35369
  • p
    0.51550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.27183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.26977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27516
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67100
  • Upside Potential Ratio
    6.88673
  • Upside part of mean
    1.11264
  • Downside part of mean
    -1.22104
  • Upside SD
    0.14337
  • Downside SD
    0.16156
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08970
  • Mean of criterion
    -0.10841
  • SD of predictor
    0.17932
  • SD of criterion
    0.21673
  • Covariance
    0.01217
  • r
    0.31307
  • b (slope, estimate of beta)
    0.37838
  • a (intercept, estimate of alpha)
    -0.07447
  • Mean Square Error
    0.04270
  • DF error
    129.00000
  • t(b)
    3.74399
  • p(b)
    0.30400
  • t(a)
    -0.25470
  • p(a)
    0.51427
  • Lowerbound of 95% confidence interval for beta
    0.17842
  • Upperbound of 95% confidence interval for beta
    0.57834
  • Lowerbound of 95% confidence interval for alpha
    -0.65291
  • Upperbound of 95% confidence interval for alpha
    0.50398
  • Treynor index (mean / b)
    -0.28651
  • Jensen alpha (a)
    -0.07447
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02219
  • Expected Shortfall on VaR
    0.02763
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01180
  • Expected Shortfall on VaR
    0.02303
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95430
  • Quartile 1
    0.99504
  • Median
    1.00000
  • Quartile 3
    1.00547
  • Maximum
    1.03723
  • Mean of quarter 1
    0.98314
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00147
  • Mean of quarter 4
    1.01576
  • Inter Quartile Range
    0.01044
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96997
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02841
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.46949
  • VaR(95%) (moments method)
    0.01411
  • Expected Shortfall (moments method)
    0.01672
  • Extreme Value Index (regression method)
    -0.21996
  • VaR(95%) (regression method)
    0.01578
  • Expected Shortfall (regression method)
    0.02031
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00728
  • Quartile 1
    0.00814
  • Median
    0.00900
  • Quartile 3
    0.12238
  • Maximum
    0.23577
  • Mean of quarter 1
    0.00728
  • Mean of quarter 2
    0.00900
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23577
  • Inter Quartile Range
    0.11424
  • 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)
    -0.07890
  • Compounded annual return (geometric extrapolation)
    -0.07735
  • Calmar ratio (compounded annual return / max draw down)
    -0.32806
  • Compounded annual return / average of 25% largest draw downs
    -0.32806
  • Compounded annual return / Expected Shortfall lognormal
    -2.79921

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
337
# Profitable
140
% Profitable
41.5%
Net Dividends
Correlation S&P500
0.359
Sharpe Ratio
1.069

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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