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These are hypothetical performance results that have certain inherent limitations. Learn more

Foster Capital Growth
(111648302)

Created by: FosterCapital FosterCapital
Started: 05/2017
Stocks
Last trade: 43 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 $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.
17.0%
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.

(62.1%)
Max Drawdown
1627
Num Trades
32.4%
Win Trades
1.2 : 1
Profit Factor
50.6%
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%)(13.5%)
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%+17.6%+10.4%+11.8%+13.8%(14.2%)+2.7%+18.4%+20.4%+146.0%
2021+11.3%+12.6%(10.9%)(11.2%)(2.3%)+8.7%(1.6%)(4.6%)(0.6%)+1.8%+0.1%(0.6%)(0.7%)
2022(0.1%)  -  (0.2%)(13.9%)+1.8%(10.4%)+0.6%(17.9%)(0.8%)(0.1%)(0.1%)(0.1%)(36%)
2023(0.1%)(0.1%)(0.1%)(0.1%)+39.0%+12.8%+10.3%(20%)(9.8%)(16.5%)+12.9%(3.2%)+13.3%
2024+5.8%+3.3%+0.1%                                                      +9.3%

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 3,868 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1035 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/7/23 11:04 AAPL APPLE LONG 55 181.30 2/14/24 15:56 184.00 0.39%
Trade id #146356769
Max drawdown($112)
Time2/2/24 0:00
Quant open55
Worst price179.25
Drawdown as % of equity-0.39%
$148
Includes Typical Broker Commissions trade costs of $1.10
11/7/23 11:02 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 27 194.19 2/14/24 15:56 334.37 0.56%
Trade id #146356735
Max drawdown($136)
Time11/9/23 0:00
Quant open27
Worst price189.12
Drawdown as % of equity-0.56%
$3,784
Includes Typical Broker Commissions trade costs of $0.54
11/7/23 10:55 MSFT MICROSOFT LONG 27 361.84 2/14/24 15:55 409.32 0.21%
Trade id #146356632
Max drawdown($51)
Time11/7/23 15:56
Quant open27
Worst price359.94
Drawdown as % of equity-0.21%
$1,281
Includes Typical Broker Commissions trade costs of $0.54
11/7/23 10:51 ADBE ADOBE INC LONG 27 587.87 2/14/24 15:55 604.80 2.65%
Trade id #146356555
Max drawdown($662)
Time1/5/24 0:00
Quant open27
Worst price563.34
Drawdown as % of equity-2.65%
$456
Includes Typical Broker Commissions trade costs of $0.54
11/7/23 12:28 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 140 35.65 12/18 13:50 35.34 0.73%
Trade id #146358478
Max drawdown($183)
Time11/14/23 0:00
Quant open140
Worst price34.34
Drawdown as % of equity-0.73%
($46)
Includes Typical Broker Commissions trade costs of $2.80
11/7/23 10:54 PLTR PALANTIR TECHNOLOGIES INC LONG 250 19.16 12/18 13:50 17.99 1.96%
Trade id #146356611
Max drawdown($527)
Time12/6/23 0:00
Quant open250
Worst price17.05
Drawdown as % of equity-1.96%
($298)
Includes Typical Broker Commissions trade costs of $5.00
8/29/23 13:44 NVDA NVIDIA LONG 20 489.62 10/31 9:35 415.89 5.54%
Trade id #145680270
Max drawdown($1,596)
Time9/21/23 0:00
Quant open20
Worst price409.80
Drawdown as % of equity-5.54%
($1,475)
Includes Typical Broker Commissions trade costs of $0.40
8/30/23 11:27 PLTR PALANTIR TECHNOLOGIES INC LONG 375 16.10 10/30 10:44 14.64 3.15%
Trade id #145689117
Max drawdown($907)
Time9/21/23 0:00
Quant open375
Worst price13.68
Drawdown as % of equity-3.15%
($556)
Includes Typical Broker Commissions trade costs of $7.50
8/31/23 15:16 ADBE ADOBE INC LONG 18 560.19 10/27 10:19 509.76 4.05%
Trade id #145704922
Max drawdown($1,106)
Time9/27/23 0:00
Quant open18
Worst price498.69
Drawdown as % of equity-4.05%
($908)
Includes Typical Broker Commissions trade costs of $0.36
10/10/23 10:30 MMYT MAKEMYTRIP LONG 120 42.31 10/26 12:57 37.38 2.36%
Trade id #146087964
Max drawdown($594)
Time10/26/23 12:57
Quant open120
Worst price37.36
Drawdown as % of equity-2.36%
($594)
Includes Typical Broker Commissions trade costs of $2.40
9/18/23 13:37 DUOL DUOLINGO INC. CLASS A COMMON STOCK LONG 60 170.18 10/26 9:39 145.62 5.73%
Trade id #145858738
Max drawdown($1,494)
Time10/26/23 9:39
Quant open60
Worst price145.28
Drawdown as % of equity-5.73%
($1,475)
Includes Typical Broker Commissions trade costs of $1.20
9/11/23 13:42 CLS CELESTICA LONG 136 24.12 10/26 9:31 23.19 1.13%
Trade id #145789964
Max drawdown($325)
Time9/21/23 0:00
Quant open136
Worst price21.73
Drawdown as % of equity-1.13%
($129)
Includes Typical Broker Commissions trade costs of $2.72
10/10/23 10:28 SMCI SUPER MICRO COMPUTER LONG 15 314.93 10/20 10:40 252.00 3.48%
Trade id #146087927
Max drawdown($945)
Time10/20/23 10:40
Quant open15
Worst price251.87
Drawdown as % of equity-3.48%
($944)
Includes Typical Broker Commissions trade costs of $0.30
10/10/23 10:30 VRT VERTIV HOLDINGS LLC LONG 120 42.07 10/19 15:27 37.00 2.14%
Trade id #146087978
Max drawdown($613)
Time10/19/23 15:27
Quant open120
Worst price36.96
Drawdown as % of equity-2.14%
($610)
Includes Typical Broker Commissions trade costs of $2.40
8/30/23 11:28 LI LI AUTO INC LONG 150 41.24 9/25 9:30 36.80 2.84%
Trade id #145689126
Max drawdown($793)
Time9/25/23 9:30
Quant open150
Worst price35.95
Drawdown as % of equity-2.84%
($669)
Includes Typical Broker Commissions trade costs of $3.00
8/30/23 11:29 NVMI NOVA LTD LONG 146 129.92 9/15 10:14 124.54 2.37%
Trade id #145689148
Max drawdown($738)
Time9/15/23 10:14
Quant open46
Worst price113.87
Drawdown as % of equity-2.37%
($788)
Includes Typical Broker Commissions trade costs of $2.92
7/12/23 10:01 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 16 905.63 8/16 13:01 853.17 2.36%
Trade id #145193210
Max drawdown($910)
Time8/9/23 0:00
Quant open16
Worst price848.72
Drawdown as % of equity-2.36%
($839)
Includes Typical Broker Commissions trade costs of $0.32
8/15/23 9:42 NVDA NVIDIA LONG 50 449.73 8/16 13:01 436.92 2.36%
Trade id #145531414
Max drawdown($783)
Time8/16/23 0:00
Quant open50
Worst price434.06
Drawdown as % of equity-2.36%
($642)
Includes Typical Broker Commissions trade costs of $1.00
7/12/23 9:58 NVDA NVIDIA LONG 98 436.65 8/14 9:30 403.75 9.6%
Trade id #145193058
Max drawdown($3,286)
Time8/14/23 9:30
Quant open98
Worst price403.11
Drawdown as % of equity-9.60%
($3,226)
Includes Typical Broker Commissions trade costs of $1.96
7/12/23 10:00 PLTR PALANTIR TECHNOLOGIES INC LONG 235 16.77 7/25 13:42 16.72 0.46%
Trade id #145193180
Max drawdown($181)
Time7/21/23 0:00
Quant open235
Worst price16.00
Drawdown as % of equity-0.46%
($18)
Includes Typical Broker Commissions trade costs of $4.70
7/12/23 9:55: Rescaled downward to 20% of previous Model Account size
5/2/23 9:30 NVDA NVIDIA LONG 82.800000000 286.54 7/12 9:50 434.35 1.02%
Trade id #144499051
Max drawdown($1,170)
Time5/4/23 0:00
Quant open83
Worst price272.40
Drawdown as % of equity-1.02%
$12,237
Includes Typical Broker Commissions trade costs of $1.65
6/6/23 14:46 AI C3.AI INC LONG 100 38.80 7/12 9:50 41.31 0.41%
Trade id #144851371
Max drawdown($723)
Time6/27/23 0:00
Quant open100
Worst price31.57
Drawdown as % of equity-0.41%
$249
Includes Typical Broker Commissions trade costs of $2.00
6/6/23 13:54 SHOP SHOPIFY INC LONG 400 63.77 7/12 9:50 63.79 1.46%
Trade id #144850280
Max drawdown($2,276)
Time6/8/23 0:00
Quant open400
Worst price58.08
Drawdown as % of equity-1.46%
$1
Includes Typical Broker Commissions trade costs of $8.00
5/2/23 9:30 MSFT MICROSOFT LONG 78 307.56 6/6 15:12 333.45 0.28%
Trade id #144498974
Max drawdown($64)
Time5/4/23 0:00
Quant open16
Worst price303.40
Drawdown as % of equity-0.28%
$2,018
Includes Typical Broker Commissions trade costs of $1.56
9/9/22 9:46 AXNX AXONICS MODULATION TECHNOLOGIES INC LONG 6 77.24 9/16 13:24 73.86 0.02%
Trade id #141722524
Max drawdown($4)
Time9/16/22 13:24
Quant open1
Worst price73.83
Drawdown as % of equity-0.02%
($20)
Includes Typical Broker Commissions trade costs of $0.12
9/9/22 15:32 CLFD CLEARFIELD LONG 40 102.52 9/13 9:30 99.00 0.12%
Trade id #141728455
Max drawdown($28)
Time9/13/22 9:30
Quant open8
Worst price99.00
Drawdown as % of equity-0.12%
($142)
Includes Typical Broker Commissions trade costs of $0.80
9/2/22 15:49 ASLE AERSALE CORP LONG 60 21.12 9/13 9:30 20.41 0.03%
Trade id #141646316
Max drawdown($8)
Time9/13/22 9:30
Quant open12
Worst price20.41
Drawdown as % of equity-0.03%
($43)
Includes Typical Broker Commissions trade costs of $1.20
9/1/22 11:05 PLMR PALOMAR HOLDINGS INC. COMMON STOCK LONG 17.400000000 80.42 9/7 9:45 86.02 0%
Trade id #141623065
Max drawdown($0)
Time9/1/22 12:00
Quant open3
Worst price80.27
Drawdown as % of equity-0.00%
$97
Includes Typical Broker Commissions trade costs of $0.34
9/2/22 10:10 GTHX G1 THERAPEUTICS INC. COMMON STOCK LONG 40 15.27 9/6 9:35 14.17 0.04%
Trade id #141636461
Max drawdown($9)
Time9/6/22 9:35
Quant open8
Worst price14.06
Drawdown as % of equity-0.04%
($45)
Includes Typical Broker Commissions trade costs of $0.80
8/22/22 10:30 SGML SIGMA LITHIUM CORPORATION COMMON SHARES LONG 160 20.72 8/30 10:38 22.73 0.01%
Trade id #141494306
Max drawdown($2)
Time8/22/22 10:51
Quant open24
Worst price20.49
Drawdown as % of equity-0.01%
$319
Includes Typical Broker Commissions trade costs of $3.20

Statistics

  • Strategy began
    5/17/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2504.45
  • Age
    84 months ago
  • What it trades
    Stocks
  • # Trades
    1627
  • # Profitable
    527
  • % Profitable
    32.40%
  • Avg trade duration
    19.8 days
  • Max peak-to-valley drawdown
    62.07%
  • drawdown period
    Feb 16, 2021 - May 04, 2023
  • Annual Return (Compounded)
    17.0%
  • Avg win
    $246.38
  • Avg loss
    $95.88
  • Model Account Values (Raw)
  • Cash
    $34,449
  • Margin Used
    $0
  • Buying Power
    $34,449
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    0.52
  • Sortino Ratio
    0.77
  • Calmar Ratio
    0.425
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    72.00%
  • Correlation to SP500
    0.24790
  • Return Percent SP500 (cumu) during strategy life
    122.67%
  • Return Statistics
  • Ann Return (w trading costs)
    17.0%
  • Slump
  • Current Slump as Pcnt Equity
    101.80%
  • Instruments
  • Percent Trades Futures
    0.03%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.45%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.170%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.97%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.50%
  • Chance of 20% account loss
    42.50%
  • Chance of 30% account loss
    22.00%
  • Chance of 40% account loss
    12.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.01%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    446
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $96
  • Avg Win
    $246
  • Sum Trade PL (losers)
    $105,464.000
  • Age
  • Num Months filled monthly returns table
    83
  • Win / Loss
  • Sum Trade PL (winners)
    $129,840.000
  • # Winners
    527
  • Num Months Winners
    42
  • Dividends
  • Dividends Received in Model Acct
    1950
  • Win / Loss
  • # Losers
    1100
  • % Winners
    32.4%
  • Frequency
  • Avg Position Time (mins)
    28494.00
  • Avg Position Time (hrs)
    474.90
  • Avg Trade Length
    19.8 days
  • Last Trade Ago
    40
  • Leverage
  • Daily leverage (average)
    1.36
  • Daily leverage (max)
    5.32
  • Regression
  • Alpha
    0.04
  • Beta
    0.37
  • Treynor Index
    0.13
  • 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)
    0.03
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    9.403
  • 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
    0.079
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.342
  • Hold-and-Hope Ratio
    0.064
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25133
  • SD
    0.37107
  • Sharpe ratio (Glass type estimate)
    0.67731
  • Sharpe ratio (Hedges UMVUE)
    0.66981
  • df
    68.00000
  • t
    1.62414
  • p
    0.05449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50011
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49489
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37533
  • Upside Potential Ratio
    3.17801
  • Upside part of mean
    0.58075
  • Downside part of mean
    -0.32942
  • Upside SD
    0.32797
  • Downside SD
    0.18274
  • N nonnegative terms
    38.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.12250
  • Mean of criterion
    0.25133
  • SD of predictor
    0.18737
  • SD of criterion
    0.37107
  • Covariance
    0.02709
  • r
    0.38957
  • b (slope, estimate of beta)
    0.77150
  • a (intercept, estimate of alpha)
    0.15682
  • Mean Square Error
    0.11854
  • DF error
    67.00000
  • t(b)
    3.46226
  • p(b)
    0.00047
  • t(a)
    1.07298
  • p(a)
    0.14356
  • Lowerbound of 95% confidence interval for beta
    0.32672
  • Upperbound of 95% confidence interval for beta
    1.21626
  • Lowerbound of 95% confidence interval for alpha
    -0.13490
  • Upperbound of 95% confidence interval for alpha
    0.44854
  • Treynor index (mean / b)
    0.32577
  • Jensen alpha (a)
    0.15682
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18772
  • SD
    0.34526
  • Sharpe ratio (Glass type estimate)
    0.54369
  • Sharpe ratio (Hedges UMVUE)
    0.53767
  • df
    68.00000
  • t
    1.30372
  • p
    0.09836
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28071
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28467
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36001
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96155
  • Upside Potential Ratio
    2.73828
  • Upside part of mean
    0.53458
  • Downside part of mean
    -0.34686
  • Upside SD
    0.28689
  • Downside SD
    0.19522
  • N nonnegative terms
    38.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.10307
  • Mean of criterion
    0.18772
  • SD of predictor
    0.19882
  • SD of criterion
    0.34526
  • Covariance
    0.02700
  • r
    0.39339
  • b (slope, estimate of beta)
    0.68315
  • a (intercept, estimate of alpha)
    0.11730
  • Mean Square Error
    0.10226
  • DF error
    67.00000
  • t(b)
    3.50241
  • p(b)
    0.00041
  • t(a)
    0.86974
  • p(a)
    0.19377
  • Lowerbound of 95% confidence interval for beta
    0.29383
  • Upperbound of 95% confidence interval for beta
    1.07247
  • Lowerbound of 95% confidence interval for alpha
    -0.15190
  • Upperbound of 95% confidence interval for alpha
    0.38650
  • Treynor index (mean / b)
    0.27478
  • Jensen alpha (a)
    0.11730
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13783
  • Expected Shortfall on VaR
    0.17244
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05952
  • Expected Shortfall on VaR
    0.11426
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    69.00000
  • Minimum
    0.80835
  • Quartile 1
    0.95915
  • Median
    1.01759
  • Quartile 3
    1.07283
  • Maximum
    1.50621
  • Mean of quarter 1
    0.91040
  • Mean of quarter 2
    0.99005
  • Mean of quarter 3
    1.04651
  • Mean of quarter 4
    1.15277
  • Inter Quartile Range
    0.11368
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02899
  • Mean of outliers high
    1.41400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04923
  • VaR(95%) (moments method)
    0.08787
  • Expected Shortfall (moments method)
    0.11488
  • Extreme Value Index (regression method)
    -0.13736
  • VaR(95%) (regression method)
    0.10196
  • Expected Shortfall (regression method)
    0.13121
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00411
  • Quartile 1
    0.04630
  • Median
    0.12860
  • Quartile 3
    0.20696
  • Maximum
    0.44818
  • Mean of quarter 1
    0.02283
  • Mean of quarter 2
    0.06053
  • Mean of quarter 3
    0.19668
  • Mean of quarter 4
    0.32928
  • Inter Quartile Range
    0.16066
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.44818
  • 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)
    0.42696
  • Compounded annual return (geometric extrapolation)
    0.24063
  • Calmar ratio (compounded annual return / max draw down)
    0.53692
  • Compounded annual return / average of 25% largest draw downs
    0.73079
  • Compounded annual return / Expected Shortfall lognormal
    1.39548
  • 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
    0.22808
  • SD
    0.28662
  • Sharpe ratio (Glass type estimate)
    0.79577
  • Sharpe ratio (Hedges UMVUE)
    0.79537
  • df
    1510.00000
  • t
    1.91103
  • p
    0.47544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61201
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16504
  • Upside Potential Ratio
    8.11596
  • Upside part of mean
    1.58887
  • Downside part of mean
    -1.36079
  • Upside SD
    0.20968
  • Downside SD
    0.19577
  • N nonnegative terms
    734.00000
  • N negative terms
    777.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1511.00000
  • Mean of predictor
    0.12809
  • Mean of criterion
    0.22808
  • SD of predictor
    0.21049
  • SD of criterion
    0.28662
  • Covariance
    0.01484
  • r
    0.24599
  • b (slope, estimate of beta)
    0.33496
  • a (intercept, estimate of alpha)
    0.18500
  • Mean Square Error
    0.07723
  • DF error
    1509.00000
  • t(b)
    9.85847
  • p(b)
    0.34499
  • t(a)
    1.59906
  • p(a)
    0.47382
  • Lowerbound of 95% confidence interval for beta
    0.26831
  • Upperbound of 95% confidence interval for beta
    0.40160
  • Lowerbound of 95% confidence interval for alpha
    -0.04198
  • Upperbound of 95% confidence interval for alpha
    0.41233
  • Treynor index (mean / b)
    0.68092
  • Jensen alpha (a)
    0.18518
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18718
  • SD
    0.28544
  • Sharpe ratio (Glass type estimate)
    0.65573
  • Sharpe ratio (Hedges UMVUE)
    0.65541
  • df
    1510.00000
  • t
    1.57474
  • p
    0.47975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47213
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16107
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47189
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93712
  • Upside Potential Ratio
    7.84793
  • Upside part of mean
    1.56750
  • Downside part of mean
    -1.38033
  • Upside SD
    0.20412
  • Downside SD
    0.19973
  • N nonnegative terms
    734.00000
  • N negative terms
    777.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1511.00000
  • Mean of predictor
    0.10580
  • Mean of criterion
    0.18718
  • SD of predictor
    0.21139
  • SD of criterion
    0.28544
  • Covariance
    0.01496
  • r
    0.24796
  • b (slope, estimate of beta)
    0.33483
  • a (intercept, estimate of alpha)
    0.15175
  • Mean Square Error
    0.07652
  • DF error
    1509.00000
  • t(b)
    9.94278
  • p(b)
    0.34378
  • t(a)
    1.31680
  • p(a)
    0.47844
  • Lowerbound of 95% confidence interval for beta
    0.26877
  • Upperbound of 95% confidence interval for beta
    0.40088
  • Lowerbound of 95% confidence interval for alpha
    -0.07430
  • Upperbound of 95% confidence interval for alpha
    0.37780
  • Treynor index (mean / b)
    0.55902
  • Jensen alpha (a)
    0.15175
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02790
  • Expected Shortfall on VaR
    0.03501
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01205
  • Expected Shortfall on VaR
    0.02485
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1511.00000
  • Minimum
    0.90963
  • Quartile 1
    0.99526
  • Median
    1.00000
  • Quartile 3
    1.00880
  • Maximum
    1.18702
  • Mean of quarter 1
    0.98052
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00332
  • Mean of quarter 4
    1.02113
  • Inter Quartile Range
    0.01354
  • Number outliers low
    104.00000
  • Percentage of outliers low
    0.06883
  • Mean of outliers low
    0.96162
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.03905
  • Mean of outliers high
    1.04453
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26059
  • VaR(95%) (moments method)
    0.01589
  • Expected Shortfall (moments method)
    0.02735
  • Extreme Value Index (regression method)
    -0.06165
  • VaR(95%) (regression method)
    0.01855
  • Expected Shortfall (regression method)
    0.02622
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    43.00000
  • Minimum
    0.00044
  • Quartile 1
    0.00869
  • Median
    0.03044
  • Quartile 3
    0.07985
  • Maximum
    0.56486
  • Mean of quarter 1
    0.00330
  • Mean of quarter 2
    0.02216
  • Mean of quarter 3
    0.05318
  • Mean of quarter 4
    0.17893
  • Inter Quartile Range
    0.07116
  • 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
    0.09302
  • Mean of outliers high
    0.31259
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57191
  • VaR(95%) (moments method)
    0.21108
  • Expected Shortfall (moments method)
    0.49586
  • Extreme Value Index (regression method)
    0.75540
  • VaR(95%) (regression method)
    0.16417
  • Expected Shortfall (regression method)
    0.50556
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42604
  • Compounded annual return (geometric extrapolation)
    0.23996
  • Calmar ratio (compounded annual return / max draw down)
    0.42482
  • Compounded annual return / average of 25% largest draw downs
    1.34110
  • Compounded annual return / Expected Shortfall lognormal
    6.85376
  • 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
    -0.14961
  • SD
    0.24299
  • Sharpe ratio (Glass type estimate)
    -0.61569
  • Sharpe ratio (Hedges UMVUE)
    -0.61214
  • df
    130.00000
  • t
    -0.43536
  • p
    0.51908
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38743
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.38494
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16067
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77704
  • Upside Potential Ratio
    6.61404
  • Upside part of mean
    1.27344
  • Downside part of mean
    -1.42305
  • Upside SD
    0.14700
  • Downside SD
    0.19254
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27412
  • Mean of criterion
    -0.14961
  • SD of predictor
    0.12674
  • SD of criterion
    0.24299
  • Covariance
    0.01611
  • r
    0.52316
  • b (slope, estimate of beta)
    1.00300
  • a (intercept, estimate of alpha)
    -0.42455
  • Mean Square Error
    0.04322
  • DF error
    129.00000
  • t(b)
    6.97225
  • p(b)
    0.18283
  • t(a)
    -1.43127
  • p(a)
    0.57939
  • Lowerbound of 95% confidence interval for beta
    0.71837
  • Upperbound of 95% confidence interval for beta
    1.28762
  • Lowerbound of 95% confidence interval for alpha
    -1.01144
  • Upperbound of 95% confidence interval for alpha
    0.16233
  • Treynor index (mean / b)
    -0.14916
  • Jensen alpha (a)
    -0.42455
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17925
  • SD
    0.24491
  • Sharpe ratio (Glass type estimate)
    -0.73190
  • Sharpe ratio (Hedges UMVUE)
    -0.72767
  • df
    130.00000
  • t
    -0.51753
  • p
    0.52267
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.50381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04266
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.50089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04555
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.91398
  • Upside Potential Ratio
    6.43821
  • Upside part of mean
    1.26265
  • Downside part of mean
    -1.44189
  • Upside SD
    0.14554
  • Downside SD
    0.19612
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26601
  • Mean of criterion
    -0.17925
  • SD of predictor
    0.12651
  • SD of criterion
    0.24491
  • Covariance
    0.01629
  • r
    0.52563
  • b (slope, estimate of beta)
    1.01757
  • a (intercept, estimate of alpha)
    -0.44993
  • Mean Square Error
    0.04374
  • DF error
    129.00000
  • t(b)
    7.01773
  • p(b)
    0.18149
  • t(a)
    -1.50836
  • p(a)
    0.58357
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    0.73068
  • Upperbound of 95% confidence interval for beta
    1.30446
  • Lowerbound of 95% confidence interval for alpha
    -1.04010
  • Upperbound of 95% confidence interval for alpha
    0.14024
  • Treynor index (mean / b)
    -0.17615
  • Jensen alpha (a)
    -0.44993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02525
  • Expected Shortfall on VaR
    0.03138
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01321
  • Expected Shortfall on VaR
    0.02634
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94784
  • Quartile 1
    0.99454
  • Median
    1.00000
  • Quartile 3
    1.00686
  • Maximum
    1.02813
  • Mean of quarter 1
    0.98086
  • Mean of quarter 2
    0.99781
  • Mean of quarter 3
    1.00271
  • Mean of quarter 4
    1.01686
  • Inter Quartile Range
    0.01232
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.96319
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02719
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26107
  • VaR(95%) (moments method)
    0.01690
  • Expected Shortfall (moments method)
    0.02873
  • Extreme Value Index (regression method)
    -0.19634
  • VaR(95%) (regression method)
    0.02163
  • Expected Shortfall (regression method)
    0.02874
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00047
  • Quartile 1
    0.05767
  • Median
    0.11486
  • Quartile 3
    0.17206
  • Maximum
    0.22926
  • Mean of quarter 1
    0.00047
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22926
  • Inter Quartile Range
    0.11439
  • 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
  • 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?
    -524144000
  • Max Equity Drawdown (num days)
    807
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.14576
  • Compounded annual return (geometric extrapolation)
    -0.14044
  • Calmar ratio (compounded annual return / max draw down)
    -0.61261
  • Compounded annual return / average of 25% largest draw downs
    -0.61261
  • Compounded annual return / Expected Shortfall lognormal
    -4.47628

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
1627
# Profitable
527
% Profitable
32.4%
Net Dividends
Correlation S&P500
0.248
Sharpe Ratio
0.52
Sortino Ratio
0.77
Beta
0.37
Alpha
0.04
Leverage
1.36 Average
5.32 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.