This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Alpha Attractor

Created by:
FelixFoerster
FelixFoerster
Started:   11/2012
Stocks
Last trade:   988 days ago

Subscription terms. Subscriptions to this system cost $77.00 per month.

17.7%
Annual Return (Compounded)
6.0%
Max Drawdown
553
Num Trades
61.5%
Win Trades
1.7 : 1
Profit Factor
26.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                                      +1.1%+2.3%+3.4%
2013+2.6%+0.7%+0.7%+0.5%+1.4%+2.6%(1%)+1.4%+2.6%+1.6%+0.3%  -  +14.3%
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -                                0.0

Model Account Details

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Open positions are hidden from non-subscribers.

Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV Show More detailsShow fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/8/13 9:30 VOD VODAFONE GROUP PLC AMERICAN DE LONG 60 400.40 11/12 11:43 405.13 0.28%
Trade id #83969976
Max drawdown($170)
Time11/11/13 12:59
Quant open657
Worst price36.14
Drawdown as % of equity-0.28%
$281
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
11/8/13 9:30 SPLS STAPLES LONG 774 15.58 11/12 11:43 15.80 0.09%
Trade id #83970005
Max drawdown($54)
Time11/8/13 10:00
Quant open774
Worst price15.51
Drawdown as % of equity-0.09%
$155
Includes Typical Commission and AutoTrade Fees trade costs of $15.48
11/5/13 9:30 GILD GILEAD SCIENCES LONG 345 69.57 11/12 11:43 67.34 2.26%
Trade id #83896012
Max drawdown($1,395)
Time11/7/13 15:59
Quant open345
Worst price65.53
Drawdown as % of equity-2.26%
($778)
Includes Typical Commission and AutoTrade Fees trade costs of $6.90
11/8/13 9:30 MCHP MICROCHIP TECHNOLOGY LONG 284 42.32 11/12 9:30 42.71 0.11%
Trade id #83969998
Max drawdown($65)
Time11/8/13 10:00
Quant open284
Worst price42.09
Drawdown as % of equity-0.11%
$105
Includes Typical Commission and AutoTrade Fees trade costs of $5.68
10/28/13 9:30 VOD VODAFONE GROUP PLC AMERICAN DE LONG 60 399.85 11/7 9:30 406.78 0.45%
Trade id #83736128
Max drawdown($275)
Time10/31/13 10:43
Quant open657
Worst price35.93
Drawdown as % of equity-0.45%
$413
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
11/4/13 9:30 PX PRAXAIR LONG 192 124.22 11/6 9:30 125.00 0.29%
Trade id #83868933
Max drawdown($182)
Time11/5/13 10:16
Quant open192
Worst price123.27
Drawdown as % of equity-0.29%
$146
Includes Typical Commission and AutoTrade Fees trade costs of $3.92
10/31/13 9:30 UTX UNITED TECHNOLOGIES LONG 113 106.15 11/4 9:30 108.31 0.08%
Trade id #83810658
Max drawdown($47)
Time10/31/13 9:35
Quant open113
Worst price105.73
Drawdown as % of equity-0.08%
$242
Includes Typical Commission and AutoTrade Fees trade costs of $2.26
10/29/13 9:30 UTX UNITED TECHNOLOGIES LONG 113 106.10 10/30 9:30 106.62 0.06%
Trade id #83760411
Max drawdown($38)
Time10/29/13 10:56
Quant open113
Worst price105.76
Drawdown as % of equity-0.06%
$57
Includes Typical Commission and AutoTrade Fees trade costs of $2.26
10/24/13 9:30 MCHP MICROCHIP TECHNOLOGY LONG 615 39.14 10/30 9:30 40.35 0.6%
Trade id #83687256
Max drawdown($362)
Time10/25/13 13:33
Quant open615
Worst price38.55
Drawdown as % of equity-0.60%
$732
Includes Typical Commission and AutoTrade Fees trade costs of $12.30
10/24/13 9:30 LRCX LAM RESEARCH LONG 229 54.94 10/29 9:30 54.11 0.97%
Trade id #83687243
Max drawdown($583)
Time10/25/13 9:55
Quant open229
Worst price52.39
Drawdown as % of equity-0.97%
($195)
Includes Typical Commission and AutoTrade Fees trade costs of $4.58
10/24/13 9:30 PX PRAXAIR LONG 96 123.98 10/25 9:30 124.28 0.08%
Trade id #83687199
Max drawdown($50)
Time10/24/13 12:44
Quant open96
Worst price123.45
Drawdown as % of equity-0.08%
$27
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
10/24/13 9:30 SPLS STAPLES LONG 762 15.81 10/25 9:30 16.05 0.06%
Trade id #83687187
Max drawdown($38)
Time10/24/13 9:41
Quant open762
Worst price15.76
Drawdown as % of equity-0.06%
$168
Includes Typical Commission and AutoTrade Fees trade costs of $15.24
10/21/13 9:30 BBBY BED BATH & BEYOND LONG 157 76.55 10/22 9:30 76.62 0.06%
Trade id #83607235
Max drawdown($36)
Time10/21/13 9:32
Quant open157
Worst price76.32
Drawdown as % of equity-0.06%
$8
Includes Typical Commission and AutoTrade Fees trade costs of $3.14
10/16/13 9:30 BBBY BED BATH & BEYOND LONG 157 76.95 10/18 9:30 76.66 0.14%
Trade id #83529911
Max drawdown($87)
Time10/17/13 15:50
Quant open157
Worst price76.39
Drawdown as % of equity-0.14%
($49)
Includes Typical Commission and AutoTrade Fees trade costs of $3.14
10/16/13 9:30 MCHP MICROCHIP TECHNOLOGY LONG 303 39.92 10/17 9:30 39.51 0.23%
Trade id #83529877
Max drawdown($139)
Time10/16/13 9:50
Quant open303
Worst price39.46
Drawdown as % of equity-0.23%
($130)
Includes Typical Commission and AutoTrade Fees trade costs of $6.06
10/8/13 9:30 VOD VODAFONE GROUP PLC AMERICAN DE LONG 62 381.53 10/14 9:30 390.28 0.68%
Trade id #83357276
Max drawdown($399)
Time10/9/13 11:23
Quant open686
Worst price34.10
Drawdown as % of equity-0.68%
$539
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
10/9/13 9:30 LRCX LAM RESEARCH LONG 236 51.00 10/14 9:30 52.75 0.43%
Trade id #83389775
Max drawdown($252)
Time10/9/13 11:22
Quant open236
Worst price49.93
Drawdown as % of equity-0.43%
$408
Includes Typical Commission and AutoTrade Fees trade costs of $4.72
10/8/13 9:30 BBBY BED BATH & BEYOND LONG 314 76.51 10/11 9:31 75.96 0.89%
Trade id #83357290
Max drawdown($523)
Time10/9/13 11:52
Quant open314
Worst price74.84
Drawdown as % of equity-0.89%
($178)
Includes Typical Commission and AutoTrade Fees trade costs of $6.28
10/9/13 9:30 SPLS STAPLES LONG 831 14.48 10/11 9:30 14.83 0.37%
Trade id #83389831
Max drawdown($216)
Time10/9/13 11:29
Quant open831
Worst price14.22
Drawdown as % of equity-0.37%
$274
Includes Typical Commission and AutoTrade Fees trade costs of $16.62
10/8/13 9:30 PX PRAXAIR LONG 100 119.67 10/11 9:30 120.20 0.36%
Trade id #83357315
Max drawdown($213)
Time10/9/13 11:20
Quant open100
Worst price117.54
Drawdown as % of equity-0.36%
$51
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
9/26/13 9:30 UTX UNITED TECHNOLOGIES LONG 220 108.90 10/11 9:30 105.68 2.51%
Trade id #83178908
Max drawdown($1,472)
Time10/9/13 11:11
Quant open220
Worst price102.21
Drawdown as % of equity-2.51%
($713)
Includes Typical Commission and AutoTrade Fees trade costs of $4.40
9/30/13 9:30 MCHP MICROCHIP TECHNOLOGY LONG 597 39.89 10/9 9:48 38.91 1.2%
Trade id #83219313
Max drawdown($715)
Time10/8/13 14:17
Quant open597
Worst price38.69
Drawdown as % of equity-1.20%
($597)
Includes Typical Commission and AutoTrade Fees trade costs of $11.94
10/4/13 9:30 GILD GILEAD SCIENCES LONG 194 61.63 10/7 9:31 62.15 n/a $97
Includes Typical Commission and AutoTrade Fees trade costs of $3.88
9/24/13 9:30 PX PRAXAIR LONG 198 120.74 10/2 9:30 120.28 0.68%
Trade id #83105934
Max drawdown($418)
Time9/30/13 9:31
Quant open198
Worst price118.62
Drawdown as % of equity-0.68%
($94)
Includes Typical Commission and AutoTrade Fees trade costs of $3.98
9/30/13 9:30 SPLS STAPLES LONG 823 14.48 10/2 9:30 14.69 0.15%
Trade id #83219355
Max drawdown($90)
Time9/30/13 9:54
Quant open823
Worst price14.37
Drawdown as % of equity-0.15%
$157
Includes Typical Commission and AutoTrade Fees trade costs of $16.46
9/23/13 9:30 BBBY BED BATH & BEYOND LONG 159 74.76 9/30 9:30 76.44 0.3%
Trade id #83085542
Max drawdown($182)
Time9/24/13 9:31
Quant open159
Worst price73.61
Drawdown as % of equity-0.30%
$264
Includes Typical Commission and AutoTrade Fees trade costs of $3.18
9/24/13 9:30 GILD GILEAD SCIENCES LONG 382 62.73 9/30 9:30 62.21 0.64%
Trade id #83105816
Max drawdown($387)
Time9/25/13 16:00
Quant open382
Worst price61.71
Drawdown as % of equity-0.64%
($205)
Includes Typical Commission and AutoTrade Fees trade costs of $7.64
9/24/13 9:30 UTX UNITED TECHNOLOGIES LONG 109 109.58 9/25 9:30 109.61 0.09%
Trade id #83105871
Max drawdown($52)
Time9/24/13 9:33
Quant open109
Worst price109.10
Drawdown as % of equity-0.09%
$1
Includes Typical Commission and AutoTrade Fees trade costs of $2.18
9/23/13 9:30 LRCX LAM RESEARCH LONG 243 49.45 9/25 9:30 51.09 0.33%
Trade id #83085566
Max drawdown($196)
Time9/24/13 9:31
Quant open243
Worst price48.64
Drawdown as % of equity-0.33%
$394
Includes Typical Commission and AutoTrade Fees trade costs of $4.86
9/20/13 9:30 SPLS STAPLES LONG 1,622 14.82 9/24 9:30 14.80 0.63%
Trade id #83064169
Max drawdown($381)
Time9/23/13 11:19
Quant open1,622
Worst price14.58
Drawdown as % of equity-0.63%
($56)
Includes Typical Commission and AutoTrade Fees trade costs of $32.44

Statistics

  • Strategy began
    11/11/2012
  • Starting Unit Size
    $50,000
  • Strategy Age (days)
    1351.7
  • Age
    45 months ago
  • What it trades
    Stocks
  • # Trades
    553
  • # Profitable
    340
  • % Profitable
    61.50%
  • Avg trade duration
    4.7 days
  • Max peak-to-valley drawdown
    5.98%
  • drawdown period
    June 18, 2013 - June 24, 2013
  • Annual Return (Compounded)
    17.7%
  • Avg win
    $85.47
  • Avg loss
    $80.96
  • Model Account Values (Raw)
  • Cash
    $62,196
  • Margin Used
    $0
  • Buying Power
    $62,196
  • Ratios
  • W:L ratio
    1.71:1
  • Sharpe Ratio
    1.488
  • Sortino Ratio
    2.69
  • Calmar Ratio
    2.296
  • Daily Change
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    $11,824
  • Closed PL (start day)
    $12,196
  • Closed PL Change $
    ($371.22)
  • Closed PL Change %
    -3.04%
  • Equity
    $62,196
  • Equity (start day)
    $62,196
  • Equity Change $
    $0.46
  • Equity Change %
    n/a
  • Return Statistics
  • Ann Return (w trading costs)
    17.7%
  • Ann Return (Compnd, No Fees)
    6.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Win
    $85
  • Avg Loss
    $81
  • # Winners
    340
  • # Losers
    213
  • % Winners
    61.5%
  • Frequency
  • Avg Position Time (mins)
    6715.73
  • Avg Position Time (hrs)
    111.93
  • Avg Trade Length
    4.7 days
  • Last Trade Ago
    986

Strategy Description

Alpha Reversion is an algorithm-driven system based on the mean reversion of stock prices. It trades a selection blue-chip stocks from the S&P500 Index.

All entries and exits are dynamically managed by the trading system.

Past performance does not guarantee future results and only time will show how the system performs. While no system can guarantee risk-free trading, we do make an effort to control risk as good as possible.

Assumption:

If stock prices are the estimated value of something (discounted corporate earnings, dividends, etc.) then they are too volatile in relation to the tangible manifestation of that something .

Stock prices swing more than the fundamentals they are supposed to reflect.

In situations when a price does not reflect the long term value of a security and overshoots in different directions, the trading system exploits the differential in order to generate a return.

Statistics

Strategy began
2012-11-11
Minimum Capital Required
$50,000
# Trades
553
# Profitable
340
% Profitable
61.5%
Net Dividends
Correlation S&P500
0.310
Sharpe Ratio
1.488

Latest

#PERSONNAME#
subscribed on #SUBSCRIBEDDATE#

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.

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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