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Foster Capital Growth
(111648302)

Created by: FosterCapital FosterCapital
Started: 05/2017
Stocks
Last trade: Yesterday
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 $125.00 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.
31.9%
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.

(26.2%)
Max Drawdown
748
Num Trades
38.8%
Win Trades
1.7 : 1
Profit Factor
59.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +4.7%(8.7%)+10.6%+7.1%+2.7%+13.5%+3.9%+7.1%+46.8%
2018+2.8%(16%)(2.1%)(0.3%)+2.5%+3.3%(2.7%)+26.8%+2.1%(14.4%)(5.6%)(4.9%)(13.4%)
2019+8.3%+8.9%(1.7%)+8.7%(7.8%)(4.1%)+4.5%(5.3%)(4%)(1.7%)+7.1%+7.1%+19.3%
2020+7.7%+2.2%(0.6%)+8.4%+17.5%+10.5%+11.9%+13.8%(14.1%)  -              +68.4%

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 526 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/28/20 10:20 WKHS WORKHORSE GROUP INC. COMMON STOCK LONG 60 27.06 9/30 11:49 25.68 0.04%
Trade id #131393867
Max drawdown($45)
Time9/29/20 0:00
Quant open60
Worst price26.30
Drawdown as % of equity-0.04%
($83)
Includes Typical Broker Commissions trade costs of $0.90
9/23/20 10:11 GSX GSX TECHEDU INC LONG 16 108.34 9/30 9:42 97.17 0.18%
Trade id #131314452
Max drawdown($223)
Time9/25/20 0:00
Quant open16
Worst price94.37
Drawdown as % of equity-0.18%
($179)
Includes Typical Broker Commissions trade costs of $0.32
9/23/20 14:57 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 5 10842.00 9/24 9:51 10864.75 0.25%
Trade id #131323195
Max drawdown($315)
Time9/23/20 15:40
Quant open5
Worst price10873.50
Drawdown as % of equity-0.25%
($233)
Includes Typical Broker Commissions trade costs of $4.70
9/21/20 10:32 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,500 29.20 9/21 11:06 28.69 0.68%
Trade id #131271263
Max drawdown($872)
Time9/21/20 11:05
Quant open1,500
Worst price28.62
Drawdown as % of equity-0.68%
($787)
Includes Typical Broker Commissions trade costs of $12.50
9/9/20 10:05 TSLA TESLA INC. LONG 16 391.88 9/21 10:30 428.83 0.09%
Trade id #131086162
Max drawdown($125)
Time9/9/20 11:19
Quant open7
Worst price341.51
Drawdown as % of equity-0.09%
$591
Includes Typical Broker Commissions trade costs of $0.32
9/10/20 9:58 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 18 403.56 9/21 10:30 443.54 0.18%
Trade id #131107855
Max drawdown($231)
Time9/17/20 0:00
Quant open14
Worst price387.00
Drawdown as % of equity-0.18%
$720
Includes Typical Broker Commissions trade costs of $0.36
9/10/20 9:48 APPS DIGITAL TURBINE INC LONG 152 28.62 9/21 10:30 32.04 0.08%
Trade id #131107520
Max drawdown($111)
Time9/11/20 0:00
Quant open40
Worst price23.42
Drawdown as % of equity-0.08%
$516
Includes Typical Broker Commissions trade costs of $3.04
9/10/20 10:10 HZNP HORIZON THERAPIES PUBLIC LTD LONG 115 76.13 9/21 10:30 77.44 0.08%
Trade id #131108231
Max drawdown($100)
Time9/11/20 0:00
Quant open30
Worst price69.88
Drawdown as % of equity-0.08%
$149
Includes Typical Broker Commissions trade costs of $2.30
9/17/20 10:11 PEIX PACIFIC ETHANOL INC. COMMON S LONG 184 6.11 9/21 10:30 6.91 0.04%
Trade id #131221145
Max drawdown($50)
Time9/17/20 13:48
Quant open184
Worst price5.83
Drawdown as % of equity-0.04%
$144
Includes Typical Broker Commissions trade costs of $3.68
9/15/20 11:50 WKHS WORKHORSE GROUP INC. COMMON STOCK LONG 105 27.55 9/21 10:29 28.55 0.04%
Trade id #131183727
Max drawdown($57)
Time9/17/20 0:00
Quant open45
Worst price25.06
Drawdown as % of equity-0.04%
$103
Includes Typical Broker Commissions trade costs of $2.10
9/10/20 10:06 PTON PELOTON INTERACTIVE INC. CLASS A COMMON STOCK LONG 39 91.09 9/21 10:29 92.03 0.22%
Trade id #131108131
Max drawdown($290)
Time9/17/20 0:00
Quant open26
Worst price79.02
Drawdown as % of equity-0.22%
$35
Includes Typical Broker Commissions trade costs of $0.78
9/15/20 11:43 GSX GSX TECHEDU INC LONG 28 102.33 9/21 10:29 102.92 0.01%
Trade id #131183041
Max drawdown($12)
Time9/16/20 0:00
Quant open7
Worst price95.72
Drawdown as % of equity-0.01%
$15
Includes Typical Broker Commissions trade costs of $0.56
9/15/20 9:43 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 110 50.54 9/21 10:29 50.48 0.05%
Trade id #131179338
Max drawdown($72)
Time9/15/20 10:20
Quant open50
Worst price46.76
Drawdown as % of equity-0.05%
($9)
Includes Typical Broker Commissions trade costs of $2.20
9/17/20 10:10 GRWG GROWGENERATION CORP. COMMON STOCK LONG 62 16.19 9/21 10:29 15.96 0.05%
Trade id #131221099
Max drawdown($60)
Time9/17/20 12:46
Quant open62
Worst price15.21
Drawdown as % of equity-0.05%
($15)
Includes Typical Broker Commissions trade costs of $1.24
9/17/20 11:11 IIPR INNOVATIVE INDUSTRIAL PROPERTIES INC LONG 12 126.90 9/21 10:29 121.06 0.06%
Trade id #131223052
Max drawdown($76)
Time9/21/20 9:47
Quant open12
Worst price120.52
Drawdown as % of equity-0.06%
($70)
Includes Typical Broker Commissions trade costs of $0.24
9/16/20 11:36 ZG ZILLOW GROUP INC. CLASS A COMMON STOCK LONG 12 94.95 9/21 10:29 91.89 0.04%
Trade id #131202112
Max drawdown($49)
Time9/21/20 9:40
Quant open12
Worst price90.80
Drawdown as % of equity-0.04%
($37)
Includes Typical Broker Commissions trade costs of $0.24
9/15/20 9:40 VSLR VIVINT SOLAR INC LONG 80 33.98 9/21 10:29 31.92 0.15%
Trade id #131179191
Max drawdown($194)
Time9/21/20 9:30
Quant open80
Worst price31.55
Drawdown as % of equity-0.15%
($167)
Includes Typical Broker Commissions trade costs of $1.60
9/14/20 10:48 FDX FEDEX LONG 24 241.02 9/21 10:29 234.10 0.13%
Trade id #131160859
Max drawdown($175)
Time9/21/20 9:40
Quant open24
Worst price233.69
Drawdown as % of equity-0.13%
($166)
Includes Typical Broker Commissions trade costs of $0.48
9/10/20 9:43 PFSI PENNYMAC FINANCIAL SERVICES IN LONG 175 57.24 9/21 10:29 57.03 0.05%
Trade id #131107294
Max drawdown($68)
Time9/11/20 0:00
Quant open30
Worst price51.70
Drawdown as % of equity-0.05%
($42)
Includes Typical Broker Commissions trade costs of $3.50
9/15/20 11:41 NLS NAUTILUS GROUP LONG 45 16.96 9/21 10:28 15.96 0.06%
Trade id #131183022
Max drawdown($82)
Time9/17/20 0:00
Quant open45
Worst price15.13
Drawdown as % of equity-0.06%
($46)
Includes Typical Broker Commissions trade costs of $0.90
9/10/20 10:02 KL KIRKLAND LAKE GOLD LTD LONG 30 55.17 9/21 10:28 50.04 0.12%
Trade id #131108002
Max drawdown($164)
Time9/21/20 9:30
Quant open30
Worst price49.68
Drawdown as % of equity-0.12%
($155)
Includes Typical Broker Commissions trade costs of $0.60
9/14/20 10:52 GRBK GREEN BRICK ENERGY INC LONG 128 18.09 9/21 10:28 16.61 0.15%
Trade id #131160939
Max drawdown($199)
Time9/21/20 10:03
Quant open128
Worst price16.53
Drawdown as % of equity-0.15%
($192)
Includes Typical Broker Commissions trade costs of $2.56
9/10/20 10:08 FVRR FIVERR INTERNATIONAL LTD LONG 18 126.04 9/21 10:28 120.81 0.13%
Trade id #131108173
Max drawdown($171)
Time9/17/20 0:00
Quant open18
Worst price116.52
Drawdown as % of equity-0.13%
($94)
Includes Typical Broker Commissions trade costs of $0.36
9/18/20 9:46 CELH CELSIUS HOLDINGS INC. COMMON STOCK LONG 42 23.60 9/21 10:28 21.20 0.09%
Trade id #131241052
Max drawdown($114)
Time9/21/20 9:41
Quant open42
Worst price20.88
Drawdown as % of equity-0.09%
($102)
Includes Typical Broker Commissions trade costs of $0.84
9/15/20 11:48 TSM TAIWAN SEMICONDUCTOR LONG 45 85.25 9/21 10:28 80.02 0.18%
Trade id #131183570
Max drawdown($231)
Time9/18/20 0:00
Quant open45
Worst price80.11
Drawdown as % of equity-0.18%
($236)
Includes Typical Broker Commissions trade costs of $0.90
9/15/20 9:53 NIO NIO INC LONG 70 19.73 9/21 10:28 18.11 0.09%
Trade id #131179951
Max drawdown($115)
Time9/17/20 0:00
Quant open70
Worst price18.08
Drawdown as % of equity-0.09%
($115)
Includes Typical Broker Commissions trade costs of $1.40
9/10/20 10:12 LVGO LIVONGO HEALTH INC LONG 15 131.31 9/21 10:28 127.64 0.13%
Trade id #131108308
Max drawdown($176)
Time9/17/20 0:00
Quant open15
Worst price119.54
Drawdown as % of equity-0.13%
($55)
Includes Typical Broker Commissions trade costs of $0.30
9/10/20 10:14 SAIL SAILPOINT TECHNOLOGIES HOLDINGS INC LONG 50 39.32 9/21 10:28 37.03 0.12%
Trade id #131108409
Max drawdown($153)
Time9/11/20 0:00
Quant open50
Worst price36.25
Drawdown as % of equity-0.12%
($116)
Includes Typical Broker Commissions trade costs of $1.00
9/10/20 9:46 DOYU DOUYU INTERNATIONAL HOLDINGS ADR LONG 200 16.18 9/21 10:28 15.01 0.2%
Trade id #131107427
Max drawdown($265)
Time9/21/20 9:38
Quant open200
Worst price14.85
Drawdown as % of equity-0.20%
($238)
Includes Typical Broker Commissions trade costs of $4.00
9/10/20 10:13 JD JD.COM INC LONG 90 78.05 9/21 10:27 73.56 0.24%
Trade id #131108345
Max drawdown($317)
Time9/17/20 0:00
Quant open60
Worst price72.76
Drawdown as % of equity-0.24%
($406)
Includes Typical Broker Commissions trade costs of $1.80

Statistics

  • Strategy began
    5/17/2017
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1232.58
  • Age
    41 months ago
  • What it trades
    Stocks
  • # Trades
    748
  • # Profitable
    290
  • % Profitable
    38.80%
  • Avg trade duration
    31.4 days
  • Max peak-to-valley drawdown
    26.23%
  • drawdown period
    Sept 14, 2018 - Jan 15, 2019
  • Annual Return (Compounded)
    31.9%
  • Avg win
    $715.09
  • Avg loss
    $284.08
  • Model Account Values (Raw)
  • Cash
    $77,912
  • Margin Used
    $0
  • Buying Power
    $78,230
  • Ratios
  • W:L ratio
    1.73:1
  • Sharpe Ratio
    0.92
  • Sortino Ratio
    1.26
  • Calmar Ratio
    1.561
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    112.57%
  • Correlation to SP500
    0.26010
  • Return Percent SP500 (cumu) during strategy life
    42.68%
  • Return Statistics
  • Ann Return (w trading costs)
    31.9%
  • Slump
  • Current Slump as Pcnt Equity
    24.90%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.319%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    34.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.50%
  • Chance of 20% account loss
    25.00%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    847
  • Popularity (Last 6 weeks)
    967
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    142
  • Popularity (7 days, Percentile 1000 scale)
    865
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $285
  • Avg Win
    $715
  • Sum Trade PL (losers)
    $130,468.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $207,377.000
  • # Winners
    290
  • Num Months Winners
    25
  • Dividends
  • Dividends Received in Model Acct
    8542
  • AUM
  • AUM (AutoTrader live capital)
    40277
  • Win / Loss
  • # Losers
    458
  • % Winners
    38.8%
  • Frequency
  • Avg Position Time (mins)
    45242.90
  • Avg Position Time (hrs)
    754.05
  • Avg Trade Length
    31.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.51
  • Daily leverage (max)
    3.52
  • Regression
  • Alpha
    0.07
  • Beta
    0.33
  • Treynor Index
    0.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    65.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.51
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.58
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.808
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.203
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.304
  • Hold-and-Hope Ratio
    0.101
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33435
  • SD
    0.29314
  • Sharpe ratio (Glass type estimate)
    1.14059
  • Sharpe ratio (Hedges UMVUE)
    1.11729
  • df
    37.00000
  • t
    2.02970
  • p
    0.02481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01315
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24773
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04517
  • Upside Potential Ratio
    3.64487
  • Upside part of mean
    0.59588
  • Downside part of mean
    -0.26152
  • Upside SD
    0.25741
  • Downside SD
    0.16348
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.09595
  • Mean of criterion
    0.33435
  • SD of predictor
    0.20708
  • SD of criterion
    0.29314
  • Covariance
    0.02984
  • r
    0.49159
  • b (slope, estimate of beta)
    0.69588
  • a (intercept, estimate of alpha)
    0.26758
  • Mean Square Error
    0.06697
  • DF error
    36.00000
  • t(b)
    3.38707
  • p(b)
    0.00086
  • t(a)
    1.82329
  • p(a)
    0.03829
  • Lowerbound of 95% confidence interval for beta
    0.27920
  • Upperbound of 95% confidence interval for beta
    1.11255
  • Lowerbound of 95% confidence interval for alpha
    -0.03006
  • Upperbound of 95% confidence interval for alpha
    0.56523
  • Treynor index (mean / b)
    0.48047
  • Jensen alpha (a)
    0.26758
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28869
  • SD
    0.28975
  • Sharpe ratio (Glass type estimate)
    0.99634
  • Sharpe ratio (Hedges UMVUE)
    0.97598
  • df
    37.00000
  • t
    1.77300
  • p
    0.04223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13449
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11431
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09961
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64396
  • Upside Potential Ratio
    3.21329
  • Upside part of mean
    0.56428
  • Downside part of mean
    -0.27559
  • Upside SD
    0.24053
  • Downside SD
    0.17561
  • N nonnegative terms
    24.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.07227
  • Mean of criterion
    0.28869
  • SD of predictor
    0.22482
  • SD of criterion
    0.28975
  • Covariance
    0.03053
  • r
    0.46868
  • b (slope, estimate of beta)
    0.60406
  • a (intercept, estimate of alpha)
    0.24504
  • Mean Square Error
    0.06734
  • DF error
    36.00000
  • t(b)
    3.18340
  • p(b)
    0.00150
  • t(a)
    1.67304
  • p(a)
    0.05149
  • Lowerbound of 95% confidence interval for beta
    0.21922
  • Upperbound of 95% confidence interval for beta
    0.98890
  • Lowerbound of 95% confidence interval for alpha
    -0.05200
  • Upperbound of 95% confidence interval for alpha
    0.54208
  • Treynor index (mean / b)
    0.47792
  • Jensen alpha (a)
    0.24504
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10732
  • Expected Shortfall on VaR
    0.13757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04069
  • Expected Shortfall on VaR
    0.08582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.80836
  • Quartile 1
    0.96423
  • Median
    1.04027
  • Quartile 3
    1.08431
  • Maximum
    1.23369
  • Mean of quarter 1
    0.92393
  • Mean of quarter 2
    1.01098
  • Mean of quarter 3
    1.05972
  • Mean of quarter 4
    1.12716
  • Inter Quartile Range
    0.12008
  • 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)
    0.33103
  • VaR(95%) (moments method)
    0.08486
  • Expected Shortfall (moments method)
    0.14392
  • Extreme Value Index (regression method)
    0.65573
  • VaR(95%) (regression method)
    0.09617
  • Expected Shortfall (regression method)
    0.26802
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00411
  • Quartile 1
    0.04155
  • Median
    0.06053
  • Quartile 3
    0.19667
  • Maximum
    0.21039
  • Mean of quarter 1
    0.02283
  • Mean of quarter 2
    0.06053
  • Mean of quarter 3
    0.19667
  • Mean of quarter 4
    0.21039
  • Inter Quartile Range
    0.15512
  • 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)
    0.54483
  • Compounded annual return (geometric extrapolation)
    0.37246
  • Calmar ratio (compounded annual return / max draw down)
    1.77032
  • Compounded annual return / average of 25% largest draw downs
    1.77032
  • Compounded annual return / Expected Shortfall lognormal
    2.70738
  • 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
    0.32090
  • SD
    0.26443
  • Sharpe ratio (Glass type estimate)
    1.21354
  • Sharpe ratio (Hedges UMVUE)
    1.21245
  • df
    835.00000
  • t
    2.16773
  • p
    0.01523
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31196
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31121
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66473
  • Upside Potential Ratio
    8.51844
  • Upside part of mean
    1.64203
  • Downside part of mean
    -1.32113
  • Upside SD
    0.18187
  • Downside SD
    0.19276
  • N nonnegative terms
    450.00000
  • N negative terms
    386.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    836.00000
  • Mean of predictor
    0.10813
  • Mean of criterion
    0.32090
  • SD of predictor
    0.22119
  • SD of criterion
    0.26443
  • Covariance
    0.01530
  • r
    0.26165
  • b (slope, estimate of beta)
    0.31279
  • a (intercept, estimate of alpha)
    0.28700
  • Mean Square Error
    0.06521
  • DF error
    834.00000
  • t(b)
    7.82891
  • p(b)
    0.00000
  • t(a)
    2.00712
  • p(a)
    0.02253
  • Lowerbound of 95% confidence interval for beta
    0.23437
  • Upperbound of 95% confidence interval for beta
    0.39122
  • Lowerbound of 95% confidence interval for alpha
    0.00634
  • Upperbound of 95% confidence interval for alpha
    0.56781
  • Treynor index (mean / b)
    1.02590
  • Jensen alpha (a)
    0.28707
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28553
  • SD
    0.26586
  • Sharpe ratio (Glass type estimate)
    1.07399
  • Sharpe ratio (Hedges UMVUE)
    1.07303
  • df
    835.00000
  • t
    1.91846
  • p
    0.02770
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17146
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45071
  • Upside Potential Ratio
    8.25940
  • Upside part of mean
    1.62562
  • Downside part of mean
    -1.34009
  • Upside SD
    0.17936
  • Downside SD
    0.19682
  • N nonnegative terms
    450.00000
  • N negative terms
    386.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    836.00000
  • Mean of predictor
    0.08348
  • Mean of criterion
    0.28553
  • SD of predictor
    0.22254
  • SD of criterion
    0.26586
  • Covariance
    0.01551
  • r
    0.26216
  • b (slope, estimate of beta)
    0.31318
  • a (intercept, estimate of alpha)
    0.25938
  • Mean Square Error
    0.06590
  • DF error
    834.00000
  • t(b)
    7.84516
  • p(b)
    0.00000
  • t(a)
    1.80439
  • p(a)
    0.03577
  • Lowerbound of 95% confidence interval for beta
    0.23482
  • Upperbound of 95% confidence interval for beta
    0.39153
  • Lowerbound of 95% confidence interval for alpha
    -0.02277
  • Upperbound of 95% confidence interval for alpha
    0.54154
  • Treynor index (mean / b)
    0.91172
  • Jensen alpha (a)
    0.25938
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02559
  • Expected Shortfall on VaR
    0.03224
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01088
  • Expected Shortfall on VaR
    0.02290
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    836.00000
  • Minimum
    0.90963
  • Quartile 1
    0.99564
  • Median
    1.00077
  • Quartile 3
    1.01076
  • Maximum
    1.06594
  • Mean of quarter 1
    0.98095
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00532
  • Mean of quarter 4
    1.01992
  • Inter Quartile Range
    0.01512
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.05383
  • Mean of outliers low
    0.95927
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.01435
  • Mean of outliers high
    1.04533
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09244
  • VaR(95%) (moments method)
    0.01378
  • Expected Shortfall (moments method)
    0.02072
  • Extreme Value Index (regression method)
    -0.01562
  • VaR(95%) (regression method)
    0.01865
  • Expected Shortfall (regression method)
    0.02727
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00835
  • Median
    0.02613
  • Quartile 3
    0.07460
  • Maximum
    0.23577
  • Mean of quarter 1
    0.00254
  • Mean of quarter 2
    0.01875
  • Mean of quarter 3
    0.04564
  • Mean of quarter 4
    0.14149
  • Inter Quartile Range
    0.06625
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.21686
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.25664
  • VaR(95%) (moments method)
    0.15930
  • Expected Shortfall (moments method)
    0.23842
  • Extreme Value Index (regression method)
    -0.07865
  • VaR(95%) (regression method)
    0.14663
  • Expected Shortfall (regression method)
    0.17977
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53861
  • Compounded annual return (geometric extrapolation)
    0.36812
  • Calmar ratio (compounded annual return / max draw down)
    1.56135
  • Compounded annual return / average of 25% largest draw downs
    2.60172
  • Compounded annual return / Expected Shortfall lognormal
    11.41810
  • 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
    0.88625
  • SD
    0.37601
  • Sharpe ratio (Glass type estimate)
    2.35699
  • Sharpe ratio (Hedges UMVUE)
    2.34337
  • df
    130.00000
  • t
    1.66665
  • p
    0.42768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43395
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.13908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.12977
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33950
  • Upside Potential Ratio
    9.95964
  • Upside part of mean
    2.64313
  • Downside part of mean
    -1.75688
  • Upside SD
    0.26995
  • Downside SD
    0.26538
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61970
  • Mean of criterion
    0.88625
  • SD of predictor
    0.24628
  • SD of criterion
    0.37601
  • Covariance
    0.02621
  • r
    0.28301
  • b (slope, estimate of beta)
    0.43208
  • a (intercept, estimate of alpha)
    0.61849
  • Mean Square Error
    0.13107
  • DF error
    129.00000
  • t(b)
    3.35139
  • p(b)
    0.32227
  • t(a)
    1.19356
  • p(a)
    0.43359
  • Lowerbound of 95% confidence interval for beta
    0.17700
  • Upperbound of 95% confidence interval for beta
    0.68716
  • Lowerbound of 95% confidence interval for alpha
    -0.40675
  • Upperbound of 95% confidence interval for alpha
    1.64373
  • Treynor index (mean / b)
    2.05112
  • Jensen alpha (a)
    0.61849
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81405
  • SD
    0.37855
  • Sharpe ratio (Glass type estimate)
    2.15048
  • Sharpe ratio (Hedges UMVUE)
    2.13805
  • df
    130.00000
  • t
    1.52062
  • p
    0.43390
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93047
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64591
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92201
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98327
  • Upside Potential Ratio
    9.55496
  • Upside part of mean
    2.60729
  • Downside part of mean
    -1.79323
  • Upside SD
    0.26509
  • Downside SD
    0.27287
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58892
  • Mean of criterion
    0.81405
  • SD of predictor
    0.24594
  • SD of criterion
    0.37855
  • Covariance
    0.02694
  • r
    0.28940
  • b (slope, estimate of beta)
    0.44544
  • a (intercept, estimate of alpha)
    0.55173
  • Mean Square Error
    0.13231
  • DF error
    129.00000
  • t(b)
    3.43392
  • p(b)
    0.31837
  • t(a)
    1.06089
  • p(a)
    0.44088
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.18879
  • Upperbound of 95% confidence interval for beta
    0.70209
  • Lowerbound of 95% confidence interval for alpha
    -0.47722
  • Upperbound of 95% confidence interval for alpha
    1.58067
  • Treynor index (mean / b)
    1.82752
  • Jensen alpha (a)
    0.55173
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03474
  • Expected Shortfall on VaR
    0.04409
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01226
  • Expected Shortfall on VaR
    0.02712
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90963
  • Quartile 1
    0.99629
  • Median
    1.00510
  • Quartile 3
    1.01561
  • Maximum
    1.06594
  • Mean of quarter 1
    0.97423
  • Mean of quarter 2
    1.00061
  • Mean of quarter 3
    1.00998
  • Mean of quarter 4
    1.02934
  • Inter Quartile Range
    0.01931
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.94698
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.05769
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33081
  • VaR(95%) (moments method)
    0.01862
  • Expected Shortfall (moments method)
    0.03555
  • Extreme Value Index (regression method)
    0.13272
  • VaR(95%) (regression method)
    0.02382
  • Expected Shortfall (regression method)
    0.03908
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00099
  • Quartile 1
    0.00827
  • Median
    0.03938
  • Quartile 3
    0.08640
  • Maximum
    0.18659
  • Mean of quarter 1
    0.00430
  • Mean of quarter 2
    0.03028
  • Mean of quarter 3
    0.06892
  • Mean of quarter 4
    0.12166
  • Inter Quartile Range
    0.07813
  • 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)
    0.45938
  • VaR(95%) (moments method)
    0.13964
  • Expected Shortfall (moments method)
    0.22928
  • Extreme Value Index (regression method)
    2.86479
  • VaR(95%) (regression method)
    0.15513
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -296344000
  • Max Equity Drawdown (num days)
    123
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.04691
  • Compounded annual return (geometric extrapolation)
    1.32091
  • Calmar ratio (compounded annual return / max draw down)
    7.07930
  • Compounded annual return / average of 25% largest draw downs
    10.85740
  • Compounded annual return / Expected Shortfall lognormal
    29.95720

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
$100,000
# Trades
748
# Profitable
290
% Profitable
38.8%
Net Dividends
Correlation S&P500
0.260
Sharpe Ratio
0.92
Sortino Ratio
1.26
Beta
0.33
Alpha
0.07
Leverage
1.51 Average
3.52 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.