Small Cap Fundamental Value
- hypothetical · Annual Return (Compounded)
- 14.3%
- Max Drawdown
- —
- Trades
- 79
- Win Trades
- 43.0%
- Profit Factor
- 1.30
- Win Months
- 34.2%
About this strategy
Invests in profitable small cap companies with strong fundamentals. Companies often exhibit significant upward momentum due to increasing institutional interest. Portfolio is targeted for 6-10 stocks. Most stocks are held for several weeks to months.
The system is predominantly mechanical, relying upon private buy and sell criteria to determine weekly selections. Criteria are primarily profitability, momentum, and value-based. Occasionally non-system trades are made depending on market conditions (e.g., for hedging purposes).
This system is designed to be simple to follow. Since the system trades only stocks, slippage is usually minimal particularly in comparison to forex or futures trading.
Trade signals are usually generated each week on MONDAY MORNING, although on rare occasions trades may be placed later in the week.
OF COURSE, PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
The system is predominantly mechanical, relying upon private buy and sell criteria to determine weekly selections. Criteria are primarily profitability, momentum, and value-based. Occasionally non-system trades are made depending on market conditions (e.g., for hedging purposes).
This system is designed to be simple to follow. Since the system trades only stocks, slippage is usually minimal particularly in comparison to forex or futures trading.
Trade signals are usually generated each week on MONDAY MORNING, although on rare occasions trades may be placed later in the week.
OF COURSE, PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 3.6 | 17.0 | 9.8 | 11.9 | -0.8 | 6.2 | 6.4 | -6.3 | 5.6 | 65.1 | |||
| 2008 | -6.5 | 7.4 | -6.2 | -2.0 | 7.3 | 7.4 | -13.8 | 2.4 | -14.8 | -10.1 | -8.6 | 4.4 | -31.4 |
| 2009 | -9.6 | -0.4 | 11.9 | 14.8 | 5.1 | 6.2 | 7.0 | 2.1 | 10.8 | 0.4 | 0.0 | 6.8 | 67.7 |
| 2010 | -0.0 | -0.9 | 9.9 | 7.3 | -10.2 | -7.4 | -1.1 | -4.6 | 15.5 | -2.3 | -0.9 | 4.3 | 6.9 |
| 2011 | -6.1 | -3.8 | -4.3 | -5.1 | 1.2 | -6.1 | -1.0 | -4.5 | -0.8 | 12.7 | 1.9 | 3.2 | -13.3 |
| 2012 | 9.1 | 2.0 | -3.4 | -4.0 | -9.3 | -0.4 | 1.2 | 0.3 | -5.6 | -2.3 | 1.0 | 5.3 | -7.2 |
| 2013 | 3.4 | 0.9 | 2.4 | 0.2 | 2.5 | -2.3 | 3.0 | -1.0 | 8.1 | -1.7 | -0.5 | 8.0 | 24.5 |
| 2014 | -0.2 | -0.2 | -3.4 | 0.2 | -1.4 | -0.4 | -0.2 | -0.1 | -0.5 | -0.4 | -0.2 | -0.7 | -7.3 |
| 2015 | 0.1 | 0.3 | -0.4 | 0.6 | -0.7 | 2.7 | -0.2 | -1.7 | -0.1 | 0.5 | 0.3 | -0.3 | 0.8 |
| 2016 | -0.0 | 0.3 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | -0.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 | -0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 |
| 2021 | -0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 7.8 | -3.4 | -2.0 | 2.1 | |||
| 2022 | -6.5 | 6.1 | -7.0 | -5.1 | -4.3 | 10.0 | -6.2 | 3.0 | -7.4 | -7.5 | 0.1 | 7.8 | -17.8 |
| 2023 | 5.2 | -2.7 | -4.4 | -0.4 | -6.7 | 2.1 | 4.1 | -5.0 | 1.1 | -0.9 | 1.8 | -0.8 | -7.0 |
| 2024 | -2.9 | 4.1 | 2.3 | 2.4 | 2.0 | -3.8 | -6.9 | -2.0 | 0.0 | 3.6 | -2.2 | 0.4 | -3.5 |
| 2025 | 2.2 | 1.1 | 5.9 | -7.8 | 3.9 | 1.2 | 3.0 | 4.0 | 1.0 | -1.6 | -2.4 | 0.0 | 10.3 |
| 2026 | -1.7 | -2.8 | -5.9 | 0.7 | -0.2 | -0.7 | 2.9 | 1.0 | -0.9 | -7.5 |
Statistics
Overview
| Strategy began | 4/22/2007 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 236 months |
| What it trades | Stocks |
| # Trades | 79 |
| # Profitable | 34 |
| % Profitable | 43.0% |
| Avg trade duration | 547.9 days |
| Max peak-to-valley drawdown | — |
| drawdown period | — |
| Annual return (compounded) | 2.1% |
| Avg win | $5,257 |
| Avg loss | $3,319 |
Ratios
| W:L ratio | 1.33 |
|---|---|
| Sharpe Ratio | 0.07 |
| Sortino Ratio | 0.10 |
| Calmar Ratio | 0.08 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.22 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 414.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 77.5% |
Return Statistics
| Ann Return (w trading costs) | 14.3% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.1% |
Slump
| Current Slump as Pcnt Equity | 55.5% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 37.5% |
|---|---|
| Chance of 20% account loss | 5.9% |
| Chance of 30% account loss | 11.1% |
| Chance of 40% account loss | 5.3% |
| Chance of 50% account loss | 0.0% |
| 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 Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $3,319 |
|---|---|
| Avg Win | $5,257 |
| # Winners | 34 |
| Sum Trade PL (losers) | $149,347 |
| Sum Trade PL (winners) | $178,737 |
| Num Months Winners | 94 |
| # Losers | 45 |
| % Winners | 43.0% |
Dividends
| Dividends Received in Model Acct | 19322 |
|---|
Age
| Num Months filled monthly returns table | 231 |
|---|
Frequency
| Avg Position Time (mins) | 788909.50 |
|---|---|
| Avg Position Time (hrs) | 13148.49 |
| Avg Trade Length | 547.90 |
| Last Trade Ago | 6147 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.19 |
| Treynor Index | 0.02 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.10 |
| MAE:Equity, average, losing trades | 0.03 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -521.24 |
| MAE:PL (avg, all trades) | -0.92 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 58.12 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 38.58 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.27 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.55 |
| Hold-and-Hope Ratio | -0.02 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.03 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.06 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 251 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.5% |
Trading record
Placed 17 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| DK | long | 1100 | Aug 11, 2009 | Nov 16, 2009 | ($1,237) |
| DAN | long | 600 | Oct 19, 2009 | Nov 2, 2009 | ($737) |
| MDF | long | 5500 | Sep 15, 2008 | Oct 26, 2009 | ($445) |
| APAC | long | 3000 | Jul 13, 2009 | Sep 29, 2009 | $3,475 |
| GLP | long | 575 | May 11, 2009 | Aug 31, 2009 | $3,991 |
| ADY | long | 350 | Aug 3, 2009 | Aug 24, 2009 | $1,127 |
| DK | long | 900 | May 4, 2009 | Aug 3, 2009 | ($1,787) |
| CFK | long | 2900 | Apr 13, 2009 | Jul 13, 2009 | $1,648 |
| APAC | long | 4000 | Feb 23, 2009 | Jul 6, 2009 | $13,875 |
| MOV | long | 1200 | Dec 11, 2008 | Jun 15, 2009 | $3,559 |
| ALJ | long | 700 | Apr 20, 2009 | May 11, 2009 | ($152) |
| SMCI | long | 1750 | May 12, 2008 | May 4, 2009 | ($3,365) |
| CDII | long | 2500 | Aug 18, 2008 | May 4, 2009 | ($13,905) |
| GLP | long | 884 | Mar 16, 2009 | Apr 13, 2009 | $711 |
| SIG | long | 2700 | Nov 24, 2008 | Mar 16, 2009 | $4,634 |
| MEA | long | 4000 | Feb 23, 2009 | Mar 16, 2009 | ($1,965) |
| AIQ | long | 80 | Dec 22, 2008 | Mar 9, 2009 | ($18) |
| WNR | long | 500 | Feb 9, 2009 | Mar 9, 2009 | $180 |
| CRD.B | long | 1000 | Feb 17, 2009 | Feb 23, 2009 | $855 |
| INMD | long | 1750 | Jan 5, 2009 | Jan 26, 2009 | $170 |
| NOVN | long | 200 | Dec 22, 2008 | Dec 29, 2008 | ($12) |
| GPIC | long | 1800 | Oct 27, 2008 | Nov 12, 2008 | ($725) |
| UFPT | long | 1600 | Jun 23, 2008 | Nov 12, 2008 | ($7,573) |
| FRD | long | 700 | Sep 2, 2008 | Oct 13, 2008 | ($3,323) |
| INXI | long | 1050 | May 12, 2008 | Aug 18, 2008 | ($2,578) |
| RIC | long | 3000 | Jun 16, 2008 | Aug 11, 2008 | ($1,625) |
| TBSI | long | 360 | Jun 16, 2008 | Jul 28, 2008 | ($738) |
| SKF | long | 25 | Jul 17, 2008 | Jul 21, 2008 | ($4,197) |
| LEH | short | 1000 | Jul 15, 2008 | Jul 21, 2008 | ($7,405) |
| WB | short | 1500 | Jul 15, 2008 | Jul 21, 2008 | ($8,090) |
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.