Stocksubuy-1
- hypothetical · Annual Return (Compounded)
- -13.7%
- Max Drawdown
- —
- Trades
- 28
- Win Trades
- 46.4%
- Profit Factor
- 26.60
- Win Months
- 62.3%
About this strategy
The system consists of two components, market timing and individual stock selection.
Market Timing
This is based on the weekly equity curve performance of the three hypothetical stock portfolios. These three portfolios include a portfolio of long stocks, a portfolio of short stocks, and a portfolio of stocks that are considered leading indicators of the economy.
To determine the likely direction of the market for the coming week, an average performance of the three hypothetical stock portfolios over the previous two weeks is calculated. The result determines if the portfolio will be long or short for the coming week.
Stock Selection
Stocks are selected strictly by a software program. The stock screens are largely based on the fundamental data but also use recent price behavior. The screens only include tradable stocks.
The signals are generated on Sundays and, if there are any trades, they are executed on Monday morning. Under certain circumstances, there may be intra-week trading.
Core System
The core system usually will be invested in the two stocks (long or short) and usually will have some percentage in cash.
As an alternate for the IRA account, one can be long SH (contra fund for S&P 500) as a substitute for shorting individual stocks.
Alternate Systems
Also as an alternative to the core system, one can use one of two market neutral approaches, one with market timing and one without market timing.
Combined with Market Timing
During a Bullish Period
-50% long in select long stocks and 50% long SH (contra ETF for S&P 500)
During a Bearish Period
-50% short in select short stocks and 50% long SPY (S&P 500 ETF)
Without Market Timing
-50% long in select long stocks and 50% short in select short stocks.
-For the IRA accounts, one can buy 50% EFZ or 25% EFU as a substitute for 50% short select stocks. 50% long SH is another possibility.
I will provide a list of both long and short stocks for those who want to use the market neutral approach. It will be at their own discretion.
All the backtest results and further information are available at my yahoo group,
Market Timing
This is based on the weekly equity curve performance of the three hypothetical stock portfolios. These three portfolios include a portfolio of long stocks, a portfolio of short stocks, and a portfolio of stocks that are considered leading indicators of the economy.
To determine the likely direction of the market for the coming week, an average performance of the three hypothetical stock portfolios over the previous two weeks is calculated. The result determines if the portfolio will be long or short for the coming week.
Stock Selection
Stocks are selected strictly by a software program. The stock screens are largely based on the fundamental data but also use recent price behavior. The screens only include tradable stocks.
The signals are generated on Sundays and, if there are any trades, they are executed on Monday morning. Under certain circumstances, there may be intra-week trading.
Core System
The core system usually will be invested in the two stocks (long or short) and usually will have some percentage in cash.
As an alternate for the IRA account, one can be long SH (contra fund for S&P 500) as a substitute for shorting individual stocks.
Alternate Systems
Also as an alternative to the core system, one can use one of two market neutral approaches, one with market timing and one without market timing.
Combined with Market Timing
During a Bullish Period
-50% long in select long stocks and 50% long SH (contra ETF for S&P 500)
During a Bearish Period
-50% short in select short stocks and 50% long SPY (S&P 500 ETF)
Without Market Timing
-50% long in select long stocks and 50% short in select short stocks.
-For the IRA accounts, one can buy 50% EFZ or 25% EFU as a substitute for 50% short select stocks. 50% long SH is another possibility.
I will provide a list of both long and short stocks for those who want to use the market neutral approach. It will be at their own discretion.
All the backtest results and further information are available at my yahoo group,
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -2.2 | -22.8 | -17.8 | -7.1 | 4.8 | -5.6 | -3.2 | -0.9 | -1.5 | -46.2 | |||
| 2010 | -0.3 | 1.4 | 0.1 | -0.2 | -4.8 | -3.5 | 5.4 | -4.3 | 7.3 | 3.6 | -0.2 | 3.6 | 7.7 |
| 2011 | 2.2 | -0.1 | 0.3 | 1.9 | -1.2 | -1.5 | 2.4 | -4.8 | -1.9 | 6.3 | -5.0 | 2.1 | 0.2 |
| 2012 | 5.0 | 6.2 | 3.6 | -1.1 | -8.1 | 5.0 | 0.7 | 4.5 | 0.8 | -4.9 | 0.2 | -0.7 | 10.6 |
| 2013 | 3.6 | -0.1 | 2.5 | 0.2 | 5.4 | -2.6 | 4.4 | 0.8 | 5.3 | 4.9 | 1.4 | 5.3 | 35.6 |
| 2014 | -2.1 | 5.7 | -3.9 | -0.1 | 5.4 | 3.3 | 1.1 | 6.6 | -3.1 | 5.1 | 4.8 | -2.2 | 21.7 |
| 2015 | -2.8 | 9.4 | -3.3 | 4.2 | 1.5 | -3.8 | 5.9 | -13.0 | 3.5 | 11.9 | 1.0 | -2.0 | 10.4 |
| 2016 | -10.3 | -1.2 | 8.0 | -4.6 | 4.6 | -3.8 | 11.2 | 1.5 | 2.5 | -1.9 | 2.0 | 1.1 | 7.5 |
| 2017 | 6.0 | 6.2 | 2.6 | 5.2 | 6.8 | -6.1 | 7.2 | 1.7 | -2.8 | 8.5 | 3.2 | 4.2 | 50.8 |
| 2018 | 11.4 | -2.0 | -8.0 | 1.4 | 8.2 | 0.9 | 3.2 | 10.5 | -0.1 | -17.3 | -4.5 | 6.4 | 6.3 |
| 2019 | -2.6 | 4.5 | 6.2 | 10.0 | 0.3 | 0.0 | -5.0 | 5.3 | 6.5 | 8.1 | 6.1 | 39.3 | |
| 2020 | 7.7 | 0.0 | -4.6 | 3.1 | 14.7 | 17.4 | -6.4 | -3.4 | 16.4 | 9.0 | 74.3 | ||
| 2021 | 6.7 | 0.2 | -4.8 | 13.6 | -3.8 | 12.6 | 5.2 | 5.9 | -1.4 | 6.2 | 0.1 | 7.0 | 56.3 |
| 2022 | -10.3 | -17.9 | -11.1 | 12.0 | -20.5 | -10.4 | 10.0 | -3.7 | -16.9 | 0.1 | 0.3 | -8.8 | -58.0 |
| 2023 | 19.5 | -4.0 | 10.8 | 1.4 | 20.4 | 8.2 | 9.1 | -3.6 | -9.6 | -7.5 | 24.1 | 9.5 | 101.3 |
| 2024 | 5.0 | 6.0 | 2.7 | -6.1 | 10.7 | 9.4 | -4.3 | 2.7 | 1.9 | 2.6 | 3.5 | 6.5 | 47.2 |
| 2025 | 1.3 | -7.2 | -16.0 | -12.1 | 28.3 | 14.4 | 6.4 | 0.3 | 9.4 | 9.0 | -10.0 | 9.1 | 27.4 |
| 2026 | 0.5 | -6.7 | -10.4 | 30.2 | 15.5 | 3.9 | -14.1 | 6.9 | 2.3 | 23.2 |
Statistics
Overview
| Strategy began | 4/24/2009 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 212 months |
| What it trades | Stocks |
| # Trades | 28 |
| # Profitable | 13 |
| % Profitable | 46.4% |
| Avg trade duration | 222.7 days |
| Max peak-to-valley drawdown | — |
| drawdown period | — |
| Annual return (compounded) | 16.8% |
| Avg win | $11,165 |
| Avg loss | $366 |
Ratios
| W:L ratio | 26.60 |
|---|---|
| Sharpe Ratio | 0.55 |
| Sortino Ratio | 0.84 |
| Calmar Ratio | 1.40 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.68 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 781.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -111.9% |
Return Statistics
| Ann Return (w trading costs) | -13.7% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 16.8% |
Slump
| Current Slump as Pcnt Equity | 7.7% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
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 | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 31.6% |
| 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 | $366 |
|---|---|
| Avg Win | $11,165 |
| # Winners | 13 |
| Sum Trade PL (losers) | $5,486 |
| Sum Trade PL (winners) | $145,139 |
| Num Months Winners | 129 |
| # Losers | 15 |
| % Winners | 46.4% |
Dividends
| Dividends Received in Model Acct | 765 |
|---|
Age
| Num Months filled monthly returns table | 210 |
|---|
Frequency
| Avg Position Time (mins) | 320659.44 |
|---|---|
| Avg Position Time (hrs) | 5344.32 |
| Avg Trade Length | 222.70 |
| Last Trade Ago | 5986 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 1.22 |
| Treynor Index | 0.04 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.07 |
| MAE:Equity, average, losing trades | 0.07 |
| 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 | 0.06 |
| MAE:PL (avg, all trades) | 0.19 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 37.85 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 69.08 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.01 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.40 |
| Hold-and-Hope Ratio | 16.18 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.26 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.06 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 147 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.2% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QLD | long | 100 | Mar 26, 2010 | Apr 19, 2010 | $79 |
| QLD | long | 100 | Feb 25, 2010 | Mar 4, 2010 | $94 |
| QLD | long | 100 | Feb 8, 2010 | Feb 24, 2010 | $86 |
| QLD | long | 100 | Jan 5, 2010 | Jan 15, 2010 | $1 |
| QLD | long | 100 | Dec 31, 2009 | Jan 4, 2010 | $1 |
| UWM | long | 230 | Oct 1, 2009 | Oct 6, 2009 | ($138) |
| UWM | long | 220 | Sep 24, 2009 | Sep 29, 2009 | ($63) |
| UWM | long | 255 | Aug 31, 2009 | Sep 4, 2009 | ($288) |
| UWM | long | 190 | Aug 26, 2009 | Aug 28, 2009 | $116 |
| UWM | long | 208 | Aug 17, 2009 | Aug 18, 2009 | $63 |
| UWM | long | 200 | Aug 12, 2009 | Aug 14, 2009 | $204 |
| AIG | long | 165 | Jul 20, 2009 | Jul 27, 2009 | ($153) |
| DRYS | short | 20 | Jul 14, 2009 | Jul 20, 2009 | ($295) |
| PG | short | 51 | Jul 13, 2009 | Jul 20, 2009 | ($194) |
| PFG | short | 129 | Jun 29, 2009 | Jul 13, 2009 | $237 |
| MON | short | 33 | Jun 29, 2009 | Jul 13, 2009 | $134 |
| BDN | short | 330 | Jun 22, 2009 | Jun 29, 2009 | ($126) |
| SLM | short | 270 | Jun 22, 2009 | Jun 29, 2009 | ($313) |
| SKS | long | 578 | Jun 15, 2009 | Jun 22, 2009 | ($80) |
| TUES | long | 710 | Jun 5, 2009 | Jun 22, 2009 | ($218) |
| XLNX | long | 120 | Jun 1, 2009 | Jun 15, 2009 | ($36) |
| MEE | short | 208 | May 26, 2009 | Jun 1, 2009 | ($944) |
| YGE | short | 44 | May 26, 2009 | Jun 1, 2009 | ($1,801) |
| CBM | long | 1215 | May 11, 2009 | May 26, 2009 | ($430) |
| MYL | long | 280 | Apr 27, 2009 | May 26, 2009 | ($465) |
| SFN | long | 1092 | May 4, 2009 | May 11, 2009 | $617 |
| ADPT | long | 1440 | Apr 27, 2009 | May 4, 2009 | $125 |
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.