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Foster Capital Growth
(111648302)

Created by: FosterCapital FosterCapital
Started: 05/2017
Stocks
Last trade: 11 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.
35.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(42.7%)
Max Drawdown
1501
Num Trades
34.2%
Win Trades
1.4 : 1
Profit Factor
60.4%
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%)+2.7%+18.4%+20.4%+146.5%
2021+11.3%+12.6%(10.8%)(11.1%)(2.3%)+8.6%(1.6%)(4.6%)+1.1%                  +0.1%

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 3,903 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 114 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/30/21 11:01 SNAP SNAP INC LONG 60 75.43 9/7 10:10 74.78 0.18%
Trade id #136757993
Max drawdown($331)
Time8/16/21 0:00
Quant open60
Worst price69.90
Drawdown as % of equity-0.18%
($40)
Includes Typical Broker Commissions trade costs of $1.20
6/21/21 11:31 DOMO DOMO INC. CLASS B COMMON STOCK LONG 283 83.94 9/7 10:10 83.00 0.22%
Trade id #136144275
Max drawdown($416)
Time6/23/21 0:00
Quant open175
Worst price78.03
Drawdown as % of equity-0.22%
($271)
Includes Typical Broker Commissions trade costs of $5.66
8/2/21 11:11 SQ SQUARE INC LONG 90 280.16 9/7 10:10 264.58 0.73%
Trade id #136786055
Max drawdown($1,353)
Time8/16/21 0:00
Quant open60
Worst price257.60
Drawdown as % of equity-0.73%
($1,404)
Includes Typical Broker Commissions trade costs of $1.80
8/26/21 12:23 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 66 281.37 9/7 10:10 270.08 0.46%
Trade id #137136900
Max drawdown($862)
Time9/7/21 10:07
Quant open66
Worst price268.31
Drawdown as % of equity-0.46%
($746)
Includes Typical Broker Commissions trade costs of $1.32
6/15/21 10:28 NVDA NVIDIA LONG 93 196.91 8/19 9:38 189.81 0.15%
Trade id #136062893
Max drawdown($267)
Time8/19/21 9:38
Quant open31
Worst price188.29
Drawdown as % of equity-0.15%
($662)
Includes Typical Broker Commissions trade costs of $1.86
8/4/21 13:06 FIVN FIVE9 INC. COMMON STOCK LONG 55 207.41 8/18 15:59 182.29 0.76%
Trade id #136828448
Max drawdown($1,419)
Time8/16/21 0:00
Quant open55
Worst price181.60
Drawdown as % of equity-0.76%
($1,383)
Includes Typical Broker Commissions trade costs of $1.10
6/14/21 11:20 FRHC FREEDOM HOLDING CORP. COMMON STOCK LONG 596 62.52 8/16 13:34 63.09 0.07%
Trade id #136048440
Max drawdown($127)
Time6/17/21 0:00
Quant open46
Worst price58.12
Drawdown as % of equity-0.07%
$329
Includes Typical Broker Commissions trade costs of $11.92
6/18/21 9:48 ENPH ENPHASE ENERGY LONG 170 178.68 8/16 11:02 169.06 1.15%
Trade id #136113514
Max drawdown($2,049)
Time7/19/21 0:00
Quant open120
Worst price155.25
Drawdown as % of equity-1.15%
($1,638)
Includes Typical Broker Commissions trade costs of $3.40
6/18/21 10:02 RVLV REVOLVE GROUP INC LONG 240 63.09 8/16 10:56 59.97 0.88%
Trade id #136114109
Max drawdown($1,744)
Time8/5/21 0:00
Quant open240
Worst price55.82
Drawdown as % of equity-0.88%
($754)
Includes Typical Broker Commissions trade costs of $4.80
6/18/21 11:53 ROKU ROKU INC. CLASS A COMMON STOCK LONG 65 380.25 8/16 10:54 372.78 0.58%
Trade id #136118365
Max drawdown($1,081)
Time8/16/21 10:20
Quant open32
Worst price346.45
Drawdown as % of equity-0.58%
($487)
Includes Typical Broker Commissions trade costs of $1.30
6/18/21 9:41 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A COMMON STOCK LONG 136 251.41 8/16 10:18 232.58 1.24%
Trade id #136113035
Max drawdown($2,386)
Time8/11/21 0:00
Quant open136
Worst price233.86
Drawdown as % of equity-1.24%
($2,564)
Includes Typical Broker Commissions trade costs of $2.72
6/18/21 11:56 FVRR FIVERR INTERNATIONAL LTD LONG 56 228.87 8/5 9:30 180.54 1.47%
Trade id #136118439
Max drawdown($2,910)
Time8/5/21 9:30
Quant open56
Worst price176.90
Drawdown as % of equity-1.47%
($2,708)
Includes Typical Broker Commissions trade costs of $1.12
6/18/21 11:10 SE SEA LTD ADS LONG 50 295.42 8/2 11:11 283.02 0.33%
Trade id #136116448
Max drawdown($628)
Time6/25/21 0:00
Quant open50
Worst price282.85
Drawdown as % of equity-0.33%
($621)
Includes Typical Broker Commissions trade costs of $1.00
6/18/21 9:45 FIGS FIGS INC LONG 30 37.36 8/2 11:11 36.58 0.03%
Trade id #136113405
Max drawdown($58)
Time7/27/21 0:00
Quant open30
Worst price35.42
Drawdown as % of equity-0.03%
($24)
Includes Typical Broker Commissions trade costs of $0.60
6/18/21 10:05 PYPL PAYPAL HOLDINGS CORP LONG 110 285.31 7/30 11:00 275.19 0.59%
Trade id #136114240
Max drawdown($1,159)
Time7/30/21 11:00
Quant open110
Worst price274.77
Drawdown as % of equity-0.59%
($1,115)
Includes Typical Broker Commissions trade costs of $2.20
6/14/21 10:37 GNRC GENERAC HOLDINGS LONG 137 381.04 7/29 12:13 426.18 0%
Trade id #136047582
Max drawdown($7)
Time6/14/21 10:48
Quant open6
Worst price351.10
Drawdown as % of equity-0.00%
$6,181
Includes Typical Broker Commissions trade costs of $2.74
6/21/21 13:34 CPE CALLON PETROLEUM LONG 75 53.26 7/19 11:31 41.46 0.53%
Trade id #136147539
Max drawdown($949)
Time7/16/21 0:00
Quant open75
Worst price40.60
Drawdown as % of equity-0.53%
($887)
Includes Typical Broker Commissions trade costs of $1.50
6/24/21 11:02 SNAP SNAP INC LONG 190 68.97 7/16 11:10 64.91 0.32%
Trade id #136194511
Max drawdown($610)
Time6/28/21 0:00
Quant open190
Worst price65.76
Drawdown as % of equity-0.32%
($775)
Includes Typical Broker Commissions trade costs of $3.80
6/24/21 11:04 ZIM ZIM INTEGRATED SHIPPING SERVICES LTD LONG 200 47.97 7/7 12:32 43.85 0.5%
Trade id #136194540
Max drawdown($954)
Time6/28/21 0:00
Quant open200
Worst price43.20
Drawdown as % of equity-0.50%
($828)
Includes Typical Broker Commissions trade costs of $4.00
6/25/21 9:39 KLIC KULICKE & SOFFA LONG 700 61.47 7/7 12:32 54.36 2.7%
Trade id #136208973
Max drawdown($5,261)
Time7/6/21 0:00
Quant open700
Worst price53.95
Drawdown as % of equity-2.70%
($4,990)
Includes Typical Broker Commissions trade costs of $14.00
6/18/21 10:57 DOCU DOCUSIGN INC. COMMON STOCK LONG 3 273.99 6/28 10:16 283.41 0.01%
Trade id #136115996
Max drawdown($25)
Time6/21/21 0:00
Quant open3
Worst price265.50
Drawdown as % of equity-0.01%
$28
Includes Typical Broker Commissions trade costs of $0.06
6/21/21 11:04 MSFT MICROSOFT LONG 162 263.61 6/25 9:39 266.15 0.05%
Trade id #136143582
Max drawdown($91)
Time6/21/21 13:05
Quant open72
Worst price261.68
Drawdown as % of equity-0.05%
$408
Includes Typical Broker Commissions trade costs of $3.24
6/21/21 11:12 TEAM ATLASSIAN CORPORATION PLC CLASS A ORDINARY SHARES LONG 64 268.12 6/24 11:02 268.25 0.1%
Trade id #136143809
Max drawdown($194)
Time6/23/21 0:00
Quant open64
Worst price265.08
Drawdown as % of equity-0.10%
$7
Includes Typical Broker Commissions trade costs of $1.28
6/21/21 11:08 SHOP SHOPIFY INC LONG 4 1541.77 6/24 10:58 1517.96 0.17%
Trade id #136143699
Max drawdown($299)
Time6/22/21 0:00
Quant open4
Worst price1466.97
Drawdown as % of equity-0.17%
($95)
Includes Typical Broker Commissions trade costs of $0.08
6/18/21 9:56 IDXX IDEXX LABORATORIES LONG 4 606.15 6/24 10:56 611.75 0.03%
Trade id #136113851
Max drawdown($55)
Time6/21/21 0:00
Quant open4
Worst price592.40
Drawdown as % of equity-0.03%
$22
Includes Typical Broker Commissions trade costs of $0.08
6/17/21 15:49 INMD INMODE LTD. ORDINARY SHARES LONG 80 94.31 6/24 10:55 94.07 0.27%
Trade id #136103603
Max drawdown($490)
Time6/21/21 0:00
Quant open80
Worst price88.18
Drawdown as % of equity-0.27%
($21)
Includes Typical Broker Commissions trade costs of $1.60
6/15/21 10:10 ZDGE ZEDGE INC LONG 336 18.30 6/24 10:18 17.28 0.43%
Trade id #136062577
Max drawdown($772)
Time6/21/21 0:00
Quant open336
Worst price16.00
Drawdown as % of equity-0.43%
($350)
Includes Typical Broker Commissions trade costs of $6.72
6/14/21 11:12 TIGR UP FINTECH HOLDING LTD AMERICAN DEPOSITARY SHARE R LONG 30 28.96 6/24 9:57 24.42 0.1%
Trade id #136048283
Max drawdown($189)
Time6/16/21 0:00
Quant open30
Worst price22.65
Drawdown as % of equity-0.10%
($137)
Includes Typical Broker Commissions trade costs of $0.60
6/21/21 11:56 MNDY MONDAY.COM LTD. ORDINARY SHARES LONG 25 219.80 6/24 9:57 219.84 0.08%
Trade id #136145440
Max drawdown($141)
Time6/21/21 15:03
Quant open13
Worst price208.91
Drawdown as % of equity-0.08%
$1
Includes Typical Broker Commissions trade costs of $0.50
6/14/21 10:52 CROX CROCS LONG 45 112.78 6/24 9:39 111.73 0.23%
Trade id #136047887
Max drawdown($424)
Time6/18/21 0:00
Quant open45
Worst price103.35
Drawdown as % of equity-0.23%
($48)
Includes Typical Broker Commissions trade costs of $0.90

Statistics

  • Strategy began
    5/17/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1585.18
  • Age
    53 months ago
  • What it trades
    Stocks
  • # Trades
    1501
  • # Profitable
    514
  • % Profitable
    34.20%
  • Avg trade duration
    19.9 days
  • Max peak-to-valley drawdown
    42.66%
  • drawdown period
    Feb 16, 2021 - Aug 08, 2021
  • Annual Return (Compounded)
    35.4%
  • Avg win
    $1,025
  • Avg loss
    $400.30
  • Model Account Values (Raw)
  • Cash
    $139,441
  • Margin Used
    $0
  • Buying Power
    $161,354
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    0.93
  • Sortino Ratio
    1.33
  • Calmar Ratio
    1.072
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    186.04%
  • Correlation to SP500
    0.22970
  • Return Percent SP500 (cumu) during strategy life
    88.08%
  • Return Statistics
  • Ann Return (w trading costs)
    35.4%
  • Slump
  • Current Slump as Pcnt Equity
    59.10%
  • Instruments
  • Percent Trades Futures
    0.03%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.354%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.97%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    50.00%
  • Chance of 20% account loss
    30.50%
  • Chance of 30% account loss
    11.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    749
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    794
  • Popularity (7 days, Percentile 1000 scale)
    407
  • 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
    $391
  • Avg Win
    $1,044
  • Sum Trade PL (losers)
    $385,678.000
  • Age
  • Num Months filled monthly returns table
    53
  • Win / Loss
  • Sum Trade PL (winners)
    $536,679.000
  • # Winners
    514
  • Num Months Winners
    32
  • Dividends
  • Dividends Received in Model Acct
    8729
  • Win / Loss
  • # Losers
    986
  • % Winners
    34.3%
  • Frequency
  • Avg Position Time (mins)
    28715.70
  • Avg Position Time (hrs)
    478.60
  • Avg Trade Length
    19.9 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    1.47
  • Daily leverage (max)
    5.32
  • Regression
  • Alpha
    0.08
  • Beta
    0.34
  • Treynor Index
    0.27
  • 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)
    0.51
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.714
  • 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
    0.202
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.140
  • Hold-and-Hope Ratio
    0.085
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36798
  • SD
    0.32290
  • Sharpe ratio (Glass type estimate)
    1.13960
  • Sharpe ratio (Hedges UMVUE)
    1.12168
  • df
    48.00000
  • t
    2.30282
  • p
    0.01283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12614
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11723
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24551
  • Upside Potential Ratio
    3.90868
  • Upside part of mean
    0.64053
  • Downside part of mean
    -0.27255
  • Upside SD
    0.29422
  • Downside SD
    0.16387
  • N nonnegative terms
    30.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.15254
  • Mean of criterion
    0.36798
  • SD of predictor
    0.18734
  • SD of criterion
    0.32290
  • Covariance
    0.02236
  • r
    0.36967
  • b (slope, estimate of beta)
    0.63718
  • a (intercept, estimate of alpha)
    0.27079
  • Mean Square Error
    0.09193
  • DF error
    47.00000
  • t(b)
    2.72756
  • p(b)
    0.00447
  • t(a)
    1.75584
  • p(a)
    0.04282
  • Lowerbound of 95% confidence interval for beta
    0.16722
  • Upperbound of 95% confidence interval for beta
    1.10713
  • Lowerbound of 95% confidence interval for alpha
    -0.03946
  • Upperbound of 95% confidence interval for alpha
    0.58104
  • Treynor index (mean / b)
    0.57751
  • Jensen alpha (a)
    0.27079
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31402
  • SD
    0.31175
  • Sharpe ratio (Glass type estimate)
    1.00731
  • Sharpe ratio (Hedges UMVUE)
    0.99147
  • df
    48.00000
  • t
    2.03549
  • p
    0.02367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00147
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98147
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79231
  • Upside Potential Ratio
    3.42789
  • Upside part of mean
    0.60059
  • Downside part of mean
    -0.28657
  • Upside SD
    0.26967
  • Downside SD
    0.17521
  • N nonnegative terms
    30.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.13238
  • Mean of criterion
    0.31402
  • SD of predictor
    0.20259
  • SD of criterion
    0.31175
  • Covariance
    0.02281
  • r
    0.36122
  • b (slope, estimate of beta)
    0.55583
  • a (intercept, estimate of alpha)
    0.24044
  • Mean Square Error
    0.08630
  • DF error
    47.00000
  • t(b)
    2.65571
  • p(b)
    0.00539
  • t(a)
    1.62464
  • p(a)
    0.05546
  • Lowerbound of 95% confidence interval for beta
    0.13478
  • Upperbound of 95% confidence interval for beta
    0.97689
  • Lowerbound of 95% confidence interval for alpha
    -0.05729
  • Upperbound of 95% confidence interval for alpha
    0.53817
  • Treynor index (mean / b)
    0.56496
  • Jensen alpha (a)
    0.24044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11472
  • Expected Shortfall on VaR
    0.14693
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04421
  • Expected Shortfall on VaR
    0.09074
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.80836
  • Quartile 1
    0.96317
  • Median
    1.03999
  • Quartile 3
    1.08479
  • Maximum
    1.32178
  • Mean of quarter 1
    0.92257
  • Mean of quarter 2
    1.00823
  • Mean of quarter 3
    1.06331
  • Mean of quarter 4
    1.14708
  • Inter Quartile Range
    0.12162
  • 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
    0.02041
  • Mean of outliers high
    1.32178
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28611
  • VaR(95%) (moments method)
    0.08542
  • Expected Shortfall (moments method)
    0.13873
  • Extreme Value Index (regression method)
    0.29592
  • VaR(95%) (regression method)
    0.08927
  • Expected Shortfall (regression method)
    0.14637
  • 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
    0.21464
  • Mean of quarter 1
    0.02283
  • Mean of quarter 2
    0.06053
  • Mean of quarter 3
    0.19667
  • Mean of quarter 4
    0.21251
  • 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
    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)
    0.74447
  • Compounded annual return (geometric extrapolation)
    0.40766
  • Calmar ratio (compounded annual return / max draw down)
    1.89932
  • Compounded annual return / average of 25% largest draw downs
    1.91831
  • Compounded annual return / Expected Shortfall lognormal
    2.77458
  • 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
    0.35098
  • SD
    0.28682
  • Sharpe ratio (Glass type estimate)
    1.22370
  • Sharpe ratio (Hedges UMVUE)
    1.22285
  • df
    1078.00000
  • t
    2.48334
  • p
    0.46229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19003
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75575
  • Upside Potential Ratio
    8.78690
  • Upside part of mean
    1.75654
  • Downside part of mean
    -1.40556
  • Upside SD
    0.20663
  • Downside SD
    0.19990
  • N nonnegative terms
    561.00000
  • N negative terms
    518.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1079.00000
  • Mean of predictor
    0.14678
  • Mean of criterion
    0.35098
  • SD of predictor
    0.20559
  • SD of criterion
    0.28682
  • Covariance
    0.01384
  • r
    0.23464
  • b (slope, estimate of beta)
    0.32736
  • a (intercept, estimate of alpha)
    0.30300
  • Mean Square Error
    0.07781
  • DF error
    1077.00000
  • t(b)
    7.92164
  • p(b)
    0.35200
  • t(a)
    2.20175
  • p(a)
    0.45742
  • Lowerbound of 95% confidence interval for beta
    0.24627
  • Upperbound of 95% confidence interval for beta
    0.40845
  • Lowerbound of 95% confidence interval for alpha
    0.03296
  • Upperbound of 95% confidence interval for alpha
    0.57290
  • Treynor index (mean / b)
    1.07216
  • Jensen alpha (a)
    0.30293
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30957
  • SD
    0.28727
  • Sharpe ratio (Glass type estimate)
    1.07763
  • Sharpe ratio (Hedges UMVUE)
    1.07688
  • df
    1078.00000
  • t
    2.18690
  • p
    0.46677
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04427
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11001
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04375
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51743
  • Upside Potential Ratio
    8.50689
  • Upside part of mean
    1.73551
  • Downside part of mean
    -1.42594
  • Upside SD
    0.20296
  • Downside SD
    0.20401
  • N nonnegative terms
    561.00000
  • N negative terms
    518.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1079.00000
  • Mean of predictor
    0.12547
  • Mean of criterion
    0.30957
  • SD of predictor
    0.20673
  • SD of criterion
    0.28727
  • Covariance
    0.01398
  • r
    0.23541
  • b (slope, estimate of beta)
    0.32712
  • a (intercept, estimate of alpha)
    0.26853
  • Mean Square Error
    0.07803
  • DF error
    1077.00000
  • t(b)
    7.94912
  • p(b)
    0.35153
  • t(a)
    1.94952
  • p(a)
    0.46227
  • Lowerbound of 95% confidence interval for beta
    0.24638
  • Upperbound of 95% confidence interval for beta
    0.40787
  • Lowerbound of 95% confidence interval for alpha
    -0.00174
  • Upperbound of 95% confidence interval for alpha
    0.53880
  • Treynor index (mean / b)
    0.94635
  • Jensen alpha (a)
    0.26853
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02762
  • Expected Shortfall on VaR
    0.03479
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01191
  • Expected Shortfall on VaR
    0.02469
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1079.00000
  • Minimum
    0.90963
  • Quartile 1
    0.99504
  • Median
    1.00036
  • Quartile 3
    1.01072
  • Maximum
    1.09021
  • Mean of quarter 1
    0.97993
  • Mean of quarter 2
    0.99886
  • Mean of quarter 3
    1.00499
  • Mean of quarter 4
    1.02203
  • Inter Quartile Range
    0.01568
  • Number outliers low
    62.00000
  • Percentage of outliers low
    0.05746
  • Mean of outliers low
    0.95874
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.02688
  • Mean of outliers high
    1.04869
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13348
  • VaR(95%) (moments method)
    0.01546
  • Expected Shortfall (moments method)
    0.02382
  • Extreme Value Index (regression method)
    -0.01727
  • VaR(95%) (regression method)
    0.01912
  • Expected Shortfall (regression method)
    0.02763
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    43.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00869
  • Median
    0.03044
  • Quartile 3
    0.07985
  • Maximum
    0.37446
  • Mean of quarter 1
    0.00330
  • Mean of quarter 2
    0.02216
  • Mean of quarter 3
    0.05317
  • Mean of quarter 4
    0.16162
  • 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
    0.26500
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43391
  • VaR(95%) (moments method)
    0.18926
  • Expected Shortfall (moments method)
    0.35124
  • Extreme Value Index (regression method)
    0.48468
  • VaR(95%) (regression method)
    0.15683
  • Expected Shortfall (regression method)
    0.27912
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73192
  • Compounded annual return (geometric extrapolation)
    0.40141
  • Calmar ratio (compounded annual return / max draw down)
    1.07198
  • Compounded annual return / average of 25% largest draw downs
    2.48364
  • Compounded annual return / Expected Shortfall lognormal
    11.53950
  • 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
    -0.40725
  • SD
    0.24551
  • Sharpe ratio (Glass type estimate)
    -1.65878
  • Sharpe ratio (Hedges UMVUE)
    -1.64919
  • df
    130.00000
  • t
    -1.17294
  • p
    0.55117
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.43477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.42824
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12985
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.06090
  • Upside Potential Ratio
    5.32820
  • Upside part of mean
    1.05289
  • Downside part of mean
    -1.46014
  • Upside SD
    0.14629
  • Downside SD
    0.19761
  • 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
    0.21412
  • Mean of criterion
    -0.40725
  • SD of predictor
    0.10810
  • SD of criterion
    0.24551
  • Covariance
    0.00392
  • r
    0.14776
  • b (slope, estimate of beta)
    0.33559
  • a (intercept, estimate of alpha)
    -0.47911
  • Mean Square Error
    0.05942
  • DF error
    129.00000
  • t(b)
    1.69689
  • p(b)
    0.40627
  • t(a)
    -1.37946
  • p(a)
    0.57657
  • Lowerbound of 95% confidence interval for beta
    -0.05570
  • Upperbound of 95% confidence interval for beta
    0.72688
  • Lowerbound of 95% confidence interval for alpha
    -1.16627
  • Upperbound of 95% confidence interval for alpha
    0.20806
  • Treynor index (mean / b)
    -1.21353
  • Jensen alpha (a)
    -0.47911
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.43769
  • SD
    0.24694
  • Sharpe ratio (Glass type estimate)
    -1.77248
  • Sharpe ratio (Hedges UMVUE)
    -1.76223
  • df
    130.00000
  • t
    -1.25333
  • p
    0.55463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.54926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.54230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01784
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.17764
  • Upside Potential Ratio
    5.18561
  • Upside part of mean
    1.04227
  • Downside part of mean
    -1.47995
  • Upside SD
    0.14438
  • Downside SD
    0.20099
  • 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
    0.20822
  • Mean of criterion
    -0.43769
  • SD of predictor
    0.10808
  • SD of criterion
    0.24694
  • Covariance
    0.00392
  • r
    0.14700
  • b (slope, estimate of beta)
    0.33585
  • a (intercept, estimate of alpha)
    -0.50762
  • Mean Square Error
    0.06012
  • DF error
    129.00000
  • t(b)
    1.68793
  • p(b)
    0.40675
  • t(a)
    -1.45354
  • p(a)
    0.58060
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    -0.05782
  • Upperbound of 95% confidence interval for beta
    0.72951
  • Lowerbound of 95% confidence interval for alpha
    -1.19858
  • Upperbound of 95% confidence interval for alpha
    0.18334
  • Treynor index (mean / b)
    -1.30325
  • Jensen alpha (a)
    -0.50762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02641
  • Expected Shortfall on VaR
    0.03258
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01424
  • Expected Shortfall on VaR
    0.02813
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95494
  • Quartile 1
    0.99543
  • Median
    0.99986
  • Quartile 3
    1.00395
  • Maximum
    1.04011
  • Mean of quarter 1
    0.97968
  • Mean of quarter 2
    0.99846
  • Mean of quarter 3
    1.00095
  • Mean of quarter 4
    1.01519
  • Inter Quartile Range
    0.00852
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.96879
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.02721
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31990
  • VaR(95%) (moments method)
    0.01729
  • Expected Shortfall (moments method)
    0.03184
  • Extreme Value Index (regression method)
    -0.30979
  • VaR(95%) (regression method)
    0.01734
  • Expected Shortfall (regression method)
    0.02186
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.24460
  • Quartile 1
    0.24460
  • Median
    0.24460
  • Quartile 3
    0.24460
  • Maximum
    0.24460
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -325509000
  • Max Equity Drawdown (num days)
    173
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.37053
  • Compounded annual return (geometric extrapolation)
    -0.33620
  • Calmar ratio (compounded annual return / max draw down)
    -1.37453
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -10.31930

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
Rank at C2 
#156
# Trades
1501
# Profitable
514
% Profitable
34.2%
Net Dividends
Correlation S&P500
0.230
Sharpe Ratio
0.93
Sortino Ratio
1.33
Beta
0.34
Alpha
0.08
Leverage
1.47 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.