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GSK

By PeterBerdi

Stocks · Started Dec 2004

hypothetical · Annual Return (Compounded)
-1.6%
Max Drawdown
—
Trades
205
Win Trades
81.0%
Profit Factor
0.90
Win Months
10.7%

About this strategy

As of Nov 7th, the system has been changed. Swingtrading GSK stocks based on technical analysis.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2004-0.3-0.3
20051.31.50.4-0.0-0.1-0.1-0.0-0.01.73.40.71.710.9
2006-0.00.60.40.1-0.00.41.30.5-1.1-3.6-1.20.9-1.7
20070.91.84.2-1.22.20.12.8-0.61.00.5-3.42.110.6
2008-17.4-0.01.04.30.40.3-0.41.8-0.5-6.1-12.70.0-27.7
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.0-0.00.00.00.00.0-0.00.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began12/31/2004
Suggested Minimum Capital$100,000
Age264 months
What it tradesStocks
# Trades205
# Profitable166
% Profitable81.0%
Avg trade duration4.0 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)-0.2%
Avg win$332
Avg loss$942

Ratios

W:L ratio0.85
Sharpe Ratio-0.37
Sortino Ratio-0.43
Calmar Ratio-0.12

CORRELATION STATISTICS

Correlation to SP5000.08
Return Percent SP500 (cumu) during strategy life530.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-46.0%

Return Statistics

Ann Return (w trading costs)-1.6%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-0.2%

Slump

Current Slump as Pcnt Equity40.5%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss66.7%
Chance of 20% account loss13.3%
Chance of 30% account loss13.3%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$942
Avg Win$332
# Winners166
Sum Trade PL (losers)$36,756
Sum Trade PL (winners)$55,180
Num Months Winners31
# Losers39
% Winners81.0%

Dividends

Dividends Received in Model Acct-23774

Age

Num Months filled monthly returns table262

Frequency

Avg Position Time (mins)5758.25
Avg Position Time (hrs)95.97
Avg Trade Length4
Last Trade Ago6500

Regression

Alpha-0.01
Beta0.03
Treynor Index-0.26

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.16
MAE:Equity, average, losing trades0.05
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades22.70
MAE:PL (avg, all trades)-1.71
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats99.31
MAE:PL - Winning Trades - this strat Percentile of All Strats77.90
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.78
Avg(MAE) / Avg(PL) - Losing trades-1.82
Hold-and-Hope Ratio0.04

RATIO STATISTICS

a (intercept, estimate of alpha)-0.08
VAR (95 Confidence Intrvl)0.04

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)682
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 41 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
CPB long1000Oct 6, 2008Nov 26, 2008($8,575)
GSK long1000Sep 4, 2008Nov 26, 2008($12,295)
GSK short1000Sep 2, 2008Sep 3, 2008$1,105
GSK long1000Aug 19, 2008Sep 2, 2008$795
GSK short1000Aug 18, 2008Aug 19, 2008$395
GSK short2000Jul 31, 2008Aug 15, 2008$8
APP long1000Aug 14, 2008Aug 15, 2008$605
APP short1000Aug 12, 2008Aug 13, 2008$195
APP long1000Aug 11, 2008Aug 12, 2008$235
GSK short500Jul 30, 2008Jul 30, 2008$335
GSK long1000Jul 29, 2008Jul 29, 2008$205
GSK short2000Jun 24, 2008Jul 29, 2008($1,110)
GSK long1000Jun 20, 2008Jun 23, 2008$655
GSK short1000May 20, 2008May 21, 2008$525
GSK short500Apr 22, 2008May 16, 2008($120)
GSK short1000Apr 21, 2008Apr 21, 2008$355
GSK long1000Apr 14, 2008Apr 18, 2008$575
GSK short1000Apr 10, 2008Apr 14, 2008$1,305
GSK short1000Apr 1, 2008Apr 9, 2008$375
GSK long1000Mar 13, 2008Apr 1, 2008$2,845
GSK short1100Jan 2, 2008Jan 14, 2008$595
GSK short1000Nov 28, 2007Dec 31, 2007$395
GSK short1000Nov 23, 2007Nov 27, 2007$255
GSK long500Nov 7, 2007Nov 23, 2007$60
GSK short1000Oct 23, 2007Oct 23, 2007$345
GSK long1000Oct 12, 2007Oct 23, 2007$285
GSK short1000Oct 1, 2007Oct 9, 2007$35
GSK short7500Aug 17, 2007Sep 28, 2007($55)
GSK long2000Aug 14, 2007Aug 17, 2007$573
GSK short2000Jul 31, 2007Aug 14, 2007$250

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.