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Investing on Steroids

Equity · Stocks · Started Aug 2017

hypothetical · Annual Return (Compounded)
9.4%
Max Drawdown
32.5%
Trades
58
Win Trades
89.7%
Profit Factor
5.40
Win Months
59.5%

About this strategy

The classic value investor buys undervalued stocks and waits until they appreciate in value. It usually takes between 3 and 5 years for average trade. I apply value investing to growths stocks. This is what allows me to make much more frequent trades and to possibly increase my returns. Growths stocks are much more volatile. This is what gives me an opportunity to make 2 to 6 trades a year, harvesting a target of 10 to 15% profits for each trade and an annual return of 20 to 50%.

Of course, these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.

It took me 10 years of investing/trading to develop and test this strategy. My background in technology and lifetime hobby of being an investor allows me to find undervalued tech companies with strong growth prospects and wide moats mostly. Most analysts can't understand the business behind such companies, i.e. what makes them often undervalued and fluctuate under fundamental values. But the prices almost always quickly return back as businesses report strong growth or bring a portion of good news.

The strategy works best in growing markets. If the economy stagnates or market falls, trades occur much less frequently, and returns diminish. I can't guaranty the strategy will work each and every year, but I must say that I invest most of my own wealth in the same stocks and my family's future depends on my investing abilities, risks, and some luck.

To learn more about my investing approach, check out my article on Medium: https://medium.com/@alexeylevin_73209/no-value-investing-isnt-dead-f165f5414792

Non-hedged Equity Sector: Technology

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20173.0-4.2-0.4-3.0-5.3-9.7
20183.711.60.25.07.114.6-0.24.4-5.1-13.3-2.3-11.011.4
201917.70.75.02.5-7.67.23.3-1.33.64.511.82.159.1
2020-0.56.1-4.28.66.11.1-0.62.80.3-0.41.80.322.8
20210.01.60.91.30.4-0.50.30.9-0.40.8-0.5-0.14.8
20221.20.1-0.3-1.6-0.1-1.10.70.1-0.81.30.5-1.5-1.5
20231.20.2-2.41.10.2-0.11.2-1.0-0.2-0.30.91.52.3
20240.31.00.70.60.10.0-0.2-0.70.02.03.0-1.55.5
20251.60.2-1.3-0.70.91.4-0.41.00.60.5-0.72.45.7
2026-1.6-1.1-0.30.3-0.91.60.40.2-1.50.2-2.6

Statistics

Overview

Strategy began8/29/2017
Suggested Minimum Capital$50,000
Age111 months
What it tradesStocks
# Trades58
# Profitable52
% Profitable89.7%
Avg trade duration131.0 days
Max peak-to-valley drawdown32.5%
drawdown periodAug 27, 2018 - Dec 26, 2018
Annual Return (Compounded)9.4%
Avg win$1,672
Avg loss$2,748

Ratios

W:L ratio5.41
Sharpe Ratio0.52
Sortino Ratio0.78
Calmar Ratio0.89

CORRELATION STATISTICS

Correlation to SP5000.42
Return Percent SP500 (cumu) during strategy life213.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-88.0%

Return Statistics

Ann Return (w trading costs)9.4%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)10.3%

Slump

Current Slump as Pcnt Equity2.8%
Current Slump, time of slump as pcnt of strategy life0.1%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss33.0%
Chance of 20% account loss7.0%
Chance of 30% account loss0.0%
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%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,748
Avg Win$1,672
# Winners52
Sum Trade PL (losers)$16,487
Sum Trade PL (winners)$86,941
Num Months Winners68
# Losers6
% Winners89.7%

Dividends

Dividends Received in Model Acct2205

Age

Num Months filled monthly returns table111

Frequency

Avg Position Time (mins)188613.56
Avg Position Time (hrs)3143.56
Avg Trade Length131
Last Trade Ago2234

Leverage

Daily leverage (average)0.93
Daily leverage (max)1.78

Regression

Alpha0.01
Beta0.30
Treynor Index0.07

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.10
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades1.46
MAE:PL (avg, all trades)0.62
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats39.72
MAE:PL - Winning Trades - this strat Percentile of All Strats15.60
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.67
Avg(MAE) / Avg(PL) - Losing trades-1.81
Hold-and-Hope Ratio0.70

RATIO STATISTICS

Mean0.22
SD0.19
Sharpe ratio (Glass type estimate)1.16
Sharpe ratio (Hedges UMVUE)1.14
df45
t2.28
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.13
Upperbound of 95% confidence interval for Sharpe Ratio2.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.17
Sortino ratio2.12
Upside Potential Ratio3.48
Upside part of mean0.37
Downside part of mean-0.14
Upside SD0.17
Downside SD0.11
N nonnegative terms29
N negative terms17
N of observations46
Mean of predictor0.28
Mean of criterion0.22
SD of predictor0.32
SD of criterion0.19
Covariance0.03
r0.51
b (slope, estimate of beta)0.31
a (intercept, estimate of alpha)0.14
Mean Square Error0.03
DF error44
t(b)3.88
p(b)0.00
t(a)1.54
p(a)0.07
Lowerbound of 95% confidence interval for beta0.15
Upperbound of 95% confidence interval for beta0.47
Lowerbound of 95% confidence interval for alpha-0.04
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)0.73
Jensen alpha (a)0.14
Mean0.20
SD0.19
Sharpe ratio (Glass type estimate)1.07
Sharpe ratio (Hedges UMVUE)1.05
df45
t2.09
p0.02
Lowerbound of 95% confidence interval for Sharpe Ratio0.04
Upperbound of 95% confidence interval for Sharpe Ratio2.09
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.02
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.07
Sortino ratio1.82
Upside Potential Ratio3.15
Upside part of mean0.35
Downside part of mean-0.15
Upside SD0.16
Downside SD0.11
N nonnegative terms29
N negative terms17
N of observations46
Mean of predictor0.23
Mean of criterion0.20
SD of predictor0.32
SD of criterion0.19
Covariance0.03
r0.54
b (slope, estimate of beta)0.32
a (intercept, estimate of alpha)0.13
Mean Square Error0.03
DF error44
t(b)4.29
p(b)0.00
t(a)1.53
p(a)0.07
Lowerbound of 95% confidence interval for beta0.17
Upperbound of 95% confidence interval for beta0.47
Lowerbound of 95% confidence interval for alpha-0.04
Upperbound of 95% confidence interval for alpha0.30
Treynor index (mean / b)0.63
Jensen alpha (a)0.13
VaR(95%)0.07
Expected Shortfall on VaR0.09
VaR(95%)0.02
Expected Shortfall on VaR0.05
Mean0.22
SD0.18
Sharpe ratio (Glass type estimate)1.20
Sharpe ratio (Hedges UMVUE)1.20
df1013
t2.37
p0.45
Lowerbound of 95% confidence interval for Sharpe Ratio0.20
Upperbound of 95% confidence interval for Sharpe Ratio2.20
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.20
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.20
Sortino ratio1.83
Upside Potential Ratio8.92
Upside part of mean1.06
Downside part of mean-0.85
Upside SD0.14
Downside SD0.12
N nonnegative terms546
N negative terms468
N of observations1014
Mean of predictor0.30
Mean of criterion0.22
SD of predictor0.27
SD of criterion0.18
Covariance0.02
r0.42
b (slope, estimate of beta)0.28
a (intercept, estimate of alpha)0.13
Mean Square Error0.03
DF error1012
t(b)14.81
p(b)0.29
t(a)1.58
p(a)0.48
Lowerbound of 95% confidence interval for beta0.24
Upperbound of 95% confidence interval for beta0.32
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.30
Treynor index (mean / b)0.77
Jensen alpha (a)0.13
Mean0.20
SD0.18
Sharpe ratio (Glass type estimate)1.12
Sharpe ratio (Hedges UMVUE)1.11
df1013
t2.19
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio0.12
Upperbound of 95% confidence interval for Sharpe Ratio2.11
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.12
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.11
Sortino ratio1.67
Upside Potential Ratio8.73
Upside part of mean1.05
Downside part of mean-0.85
Upside SD0.13
Downside SD0.12
N nonnegative terms546
N negative terms468
N of observations1014
Mean of predictor0.27
Mean of criterion0.20
SD of predictor0.27
SD of criterion0.18
Covariance0.02
r0.42
b (slope, estimate of beta)0.28
a (intercept, estimate of alpha)0.13
Mean Square Error0.03
DF error1012
t(b)14.87
p(b)0.29
t(a)1.51
p(a)0.48
Lowerbound of 95% confidence interval for beta0.24
Upperbound of 95% confidence interval for beta0.32
Lowerbound of 95% confidence interval for alpha-0.04
Upperbound of 95% confidence interval for alpha0.29
Treynor index (mean / b)0.72
Jensen alpha (a)0.13
VaR(95%)0.02
Expected Shortfall on VaR0.02
VaR(95%)0.01
Expected Shortfall on VaR0.01
Mean0.16
SD0.12
Sharpe ratio (Glass type estimate)1.40
Sharpe ratio (Hedges UMVUE)1.40
df130
t0.99
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.38
Upperbound of 95% confidence interval for Sharpe Ratio4.18
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.38
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.17
Sortino ratio1.94
Upside Potential Ratio8.65
Upside part of mean0.73
Downside part of mean-0.57
Upside SD0.08
Downside SD0.08
N nonnegative terms68
N negative terms63
N of observations131
Mean of predictor1.23
Mean of criterion0.16
SD of predictor0.44
SD of criterion0.12
Covariance0.02
r0.48
b (slope, estimate of beta)0.13
a (intercept, estimate of alpha)0.01
Mean Square Error0.01
DF error129
t(b)6.26
p(b)0.21
t(a)0.04
p(a)0.50
Lowerbound of 95% confidence interval for beta0.09
Upperbound of 95% confidence interval for beta0.17
Lowerbound of 95% confidence interval for alpha-0.29
Upperbound of 95% confidence interval for alpha0.30
Treynor index (mean / b)1.28
Jensen alpha (a)0.01
Mean0.16
SD0.12
Sharpe ratio (Glass type estimate)1.34
Sharpe ratio (Hedges UMVUE)1.33
df130
t0.95
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.44
Upperbound of 95% confidence interval for Sharpe Ratio4.12
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.44
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.11
Sortino ratio1.84
Upside Potential Ratio8.53
Upside part of mean0.73
Downside part of mean-0.57
Upside SD0.08
Downside SD0.09
N nonnegative terms68
N negative terms63
N of observations131
Mean of predictor1.13
Mean of criterion0.16
SD of predictor0.44
SD of criterion0.12
Covariance0.03
r0.49
b (slope, estimate of beta)0.13
a (intercept, estimate of alpha)0.01
Mean Square Error0.01
DF error129
t(b)6.32
p(b)0.20
t(a)0.07
p(a)0.50
Lowerbound of 95% confidence interval for beta0.09
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0.17
Lowerbound of 95% confidence interval for alpha-0.28
Upperbound of 95% confidence interval for alpha0.30
Treynor index (mean / b)1.21
Jensen alpha (a)0.01
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.01

ORDER STATISTICS

Number of observations46
Minimum0.87
Quartile 10.99
Median1.02
Quartile 31.05
Maximum1.14
Mean of quarter 10.96
Mean of quarter 21.00
Mean of quarter 31.03
Mean of quarter 41.09
Inter Quartile Range0.06
Number outliers low2
Percentage of outliers low0.04
Mean of outliers low0.87
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0.70
VaR(95%) (moments method)0.04
Expected Shortfall (moments method)0.15
Extreme Value Index (regression method)0.23
VaR(95%) (regression method)0.04
Expected Shortfall (regression method)0.07
Number of observations1014
Minimum0.95
Quartile 11.00
Median1.00
Quartile 31.01
Maximum1.09
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.01
Number outliers low60
Percentage of outliers low0.06
Mean of outliers low0.98
Number of outliers high41
Percentage of outliers high0.04
Mean of outliers high1.03
Extreme Value Index (moments method)0.36
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0.15
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations131
Minimum0.98
Quartile 11.00
Median1.00
Quartile 31.01
Maximum1.02
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.01
Number outliers low7
Percentage of outliers low0.05
Mean of outliers low0.98
Number of outliers high3
Percentage of outliers high0.02
Mean of outliers high1.02
Extreme Value Index (moments method)0.66
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)-0.00
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01

DRAW DOWN STATISTICS

Number of observations6
Minimum0.01
Quartile 10.02
Median0.05
Quartile 30.11
Maximum0.21
Mean of quarter 10.01
Mean of quarter 20.03
Mean of quarter 30.06
Mean of quarter 40.17
Inter Quartile Range0.09
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations64
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.02
Maximum0.29
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.07
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high6
Percentage of outliers high0.09
Mean of outliers high0.13
Extreme Value Index (moments method)0.58
VaR(95%) (moments method)0.07
Expected Shortfall (moments method)0.19
Extreme Value Index (regression method)0.93
VaR(95%) (regression method)0.07
Expected Shortfall (regression method)0.85
Number of observations17
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.01
Maximum0.04
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.01
Mean of quarter 40.03
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.12
Mean of outliers high0.04
Extreme Value Index (moments method)-2.42
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)-1.28
VaR(95%) (regression method)0.04
Expected Shortfall (regression method)0.04
Strat Max DD how much worse than SP500 max DD during strat life?-423361280
Max Equity Drawdown (num days)121
Last 4 Months - Pcnt Negative0.2%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.37
Compounded annual return (geometric extrapolation)0.26
Calmar ratio (compounded annual return / max draw down)1.23
Compounded annual return / average of 25% largest draw downs1.55
Compounded annual return / Expected Shortfall lognormal2.83
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.37
Compounded annual return (geometric extrapolation)0.26
Calmar ratio (compounded annual return / max draw down)0.89
Compounded annual return / average of 25% largest draw downs3.74
Compounded annual return / Expected Shortfall lognormal11.72
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.19
Compounded annual return (geometric extrapolation)0.20
Calmar ratio (compounded annual return / max draw down)5.25
Compounded annual return / average of 25% largest draw downs6.88
Compounded annual return / Expected Shortfall lognormal14.30

Trading record

Placed 81 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
WORK long600Jul 1, 2020Sep 2, 2020$1,697
DIS long80Feb 28, 2020Aug 5, 2020$1,056
SFIX long300Feb 28, 2020Jul 1, 2020$698
YEXT long600Feb 28, 2020Jun 4, 2020$1,538
NEWR long200Feb 28, 2020May 7, 2020$494
WORK long500Apr 29, 2020May 7, 2020$1,666
ZM long100Apr 2, 2020Apr 13, 2020$1,615
RDFN long900Mar 20, 2020Mar 24, 2020$2,847
WORK long500Mar 13, 2020Mar 24, 2020$5,230
WORK long500Mar 2, 2020Mar 5, 2020$1,670
WORK long1000Oct 3, 2019Feb 19, 2020$4,263
AYX long150Dec 12, 2019Dec 26, 2019$1,657
FB long70Aug 5, 2019Nov 27, 2019$1,359
YEXT long600Oct 17, 2019Nov 26, 2019$1,069
ZS long200Oct 28, 2019Nov 26, 2019$1,543
AYX long130Nov 5, 2019Nov 20, 2019$2,031
RDFN long800Jul 16, 2019Nov 4, 2019$1,022
Z long350Sep 4, 2019Oct 28, 2019$995
GOOG long10May 1, 2019Oct 28, 2019$1,073
WORK short300Sep 6, 2019Oct 3, 2019$768
DOCU long300Aug 5, 2019Sep 6, 2019$3,220
NVDA long75Aug 5, 2019Aug 20, 2019$1,306
FB long75May 31, 2019Jul 10, 2019$1,780
RDFN long1000May 31, 2019Jun 10, 2019$2,355
FB short150May 31, 2019May 31, 2019($24)
ZG long250Mar 20, 2019May 31, 2019$1,565
AYX long200Mar 5, 2019Mar 11, 2019$1,861
RDFN long600Aug 21, 2018Mar 5, 2019$1,124
CRTO long100Aug 21, 2018Feb 13, 2019$101
WIX long230Jul 31, 2018Aug 9, 2018$1,702

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.