Strategy RSI_ROC_M1 Statistics

Owner name: Marcio Lempert Member for: 5 years 7 months Since: Thu, 2011-10-27 14:51
Strategy Allocation: 100% Position Size: 5.00% Max positions: 2
Paired Universe: Small_Mid_High_tech_from4_to_8 - 26-5-12 Total Securities: 45
Comment:
Published: 2012-05-16 Refreshed: 2017-04-01 Users: 0 Link:
Monthly P&L
Month AprMayJunJulAugSepOctNovDecJanFeb
P&L 1.75%0.86%-1.85%5.67%0.18%1.17%0.07%6.46%1.26%4.22%3.10%
Equity Curve
Strategy Statistics
Universe Name P&L 1Y P&L/MDD MDD (end of trade) MDD Days Avg. Exposure (?)
Small_Mid_High_tech_from4_to_8 - 26-5-12 26.01% 2.25 -11.55% 36 59.00%

Strategy data
Allocation Position size Max position Position Priority Entry Entry deep
100% ($100,000.00) 5.00% 2 None Limit 0
Trade Statistics
Trades Wins Even Loses Trade Average P&L
ALL : 162 109 (67.28%) 2 (1.23%) 51 (31.48%) 3.21%
LONG : 162 109 (67.28%) 2 (1.23%) 51 (31.48%) 3.21%
SHORT: 0 0 (0.00%) 0 (0.00%) 0 (0.00%) 0.00%
Note: only one trade per day is displayed. You may miss few trades in the map.

Max Drawdown Data
MDD MDD Days Start Date End Date
-11,546 (-11.55%) 36 2016-04-28 2016-06-03
-7,730 (-7.73%) 40 2016-06-10 2016-07-20
-6,534 (-6.53%) 7 2016-04-06 2016-04-13
-6,218 (-6.22%) 13 2016-08-02 2016-08-15
-6,130 (-6.13%) 7 2016-08-16 2016-08-23
-4,938 (-4.94%) 19 2016-12-16 2017-01-04
-4,013 (-4.01%) 39 2016-09-23 2016-11-01
-3,626 (-3.63%) 29 2017-02-28 2017-03-29
-2,795 (-2.79%) 24 2016-08-29 2016-09-22
-2,406 (-2.41%) 12 2016-11-24 2016-12-06
-1,491 (-1.49%) 12 2017-01-12 2017-01-24
-1,415 (-1.42%) 11 2016-04-15 2016-04-26
-1,408 (-1.41%) 4 2017-01-30 2017-02-03
-876 (-0.88%) 2 2017-02-14 2017-02-16
-862 (-0.86%) 3 2017-02-07 2017-02-10
-593 (-0.59%) 1 2016-04-04 2016-04-05
-426 (-0.43%) 1 2016-07-25 2016-07-26
-408 (-0.41%) 4 2016-11-03 2016-11-07
-339 (-0.34%) 5 2017-01-05 2017-01-10
-322 (-0.32%) 1 2016-11-08 2016-11-09
-298 (-0.30%) 3 2016-11-18 2016-11-21
-285 (-0.28%) 4 2016-07-28 2016-08-01
-234 (-0.23%) 1 2016-11-15 2016-11-16
-61 (-0.06%) 1 2016-12-12 2016-12-13
-42 (-0.04%) 1 2017-01-26 2017-01-27
-7 (-0.01%) 1 2016-06-06 2016-06-07
-2 (-0.00%) 1 2016-11-10 2016-11-11
-1 (-0.00%) 1 2017-02-23 2017-02-24
Trade List
No. Type Buy Date Buy Close Symbol Sell Date Sell Close P&L (%) Profit
1 Long 2016-04-04 13.72 ALOT 2016-05-05 15.29 11.44% $572.00
2 Long 2016-04-04 4.00 CRDS 2016-04-06 3.80 -5.00% $-250.00
3 Long 2016-04-04 2.52 IMI 2016-08-11 1.25 -50.40% $-2520.00
4 Long 2016-04-04 5.59 LSCC 2016-04-14 6.34 13.42% $671.00
5 Long 2016-04-04 4.75 PCTI 2016-05-09 4.66 -1.89% $-94.50
6 Long 2016-04-04 3.28 WSCI 2016-04-14 3.15 -3.96% $-198.00
7 Long 2016-04-05 5.62 AMKR 2016-05-24 6.12 8.90% $445.00
8 Long 2016-04-05 5.65 ASX 2016-05-24 4.81 -14.87% $-743.50
9 Long 2016-04-05 9.02 BRCD 2016-05-25 8.47 -6.10% $-305.00
10 Long 2016-04-05 5.53 EXAR 2016-04-14 5.70 3.07% $153.50
11 Long 2016-04-06 6.34 AMCC 2016-05-24 6.34 0.00% $0.00
12 Long 2016-04-06 19.20 DSGX 2016-05-25 20.48 6.67% $333.50
13 Long 2016-04-06 11.79 FLEX 2016-07-11 12.60 6.87% $343.50
14 Long 2016-04-06 20.04 IDTI 2016-04-14 20.66 3.09% $154.50
15 Long 2016-04-06 6.50 MGIC 2016-07-27 7.43 14.31% $715.50
16 Long 2016-04-06 13.45 RMBS 2016-07-01 12.05 -10.41% $-520.50
17 Long 2016-04-07 3.84 CRDS 2016-04-13 4.00 4.17% $208.50
18 Long 2016-04-08 2.45 ENPH 2016-04-14 2.55 4.08% $204.00
19 Long 2016-04-11 3.63 AWRE 2016-04-22 4.20 15.70% $785.00
20 Long 2016-04-13 10.49 CLS 2016-07-25 10.88 3.72% $186.00
21 Long 2016-04-13 2.50 TCCO 2016-04-18 2.66 6.40% $320.00
22 Long 2016-04-14 3.76 CRDS 2016-04-26 3.97 5.59% $279.50
23 Long 2016-04-20 19.78 IDTI 2016-05-04 20.50 3.64% $182.00
24 Long 2016-04-21 80.00 CTP 2017-03-08 67.00 -16.25% $-812.50
25 Long 2016-04-22 3.02 WSCI 2016-06-16 2.94 -2.65% $-132.50
26 Long 2016-04-26 5.53 LSCC 2016-05-11 5.62 1.63% $81.50
27 Long 2016-04-29 7.24 SPIL 2016-05-17 7.05 -2.62% $-131.00
28 Long 2016-05-02 2.51 ENPH 2016-05-24 2.00 -20.32% $-1016.00
29 Long 2016-05-02 6.09 EXAR 2016-06-06 8.00 31.36% $1568.00
30 Long 2016-05-02 10.57 PLAB 2016-09-09 10.35 -2.08% $-104.00
31 Long 2016-05-06 4.90 CRDS 2016-05-13 5.40 10.20% $510.00
32 Long 2016-05-06 4.75 IVAC 2016-05-20 4.82 1.47% $73.50
33 Long 2016-05-09 2.51 TCCO 2016-05-16 2.55 1.59% $79.50
34 Long 2016-05-13 4.04 AWRE 2016-06-30 4.24 4.95% $247.50
35 Long 2016-05-13 5.21 LSCC 2016-05-24 5.57 6.91% $345.50
36 Long 2016-05-18 4.20 CRDS 2016-05-24 4.58 9.05% $452.50
37 Long 2016-05-18 2.56 TCCO 2016-05-24 2.51 -1.95% $-97.50
38 Long 2016-05-20 5.00 ASUR 2016-06-24 4.62 -7.60% $-380.00
39 Long 2016-05-27 4.00 CRDS 2016-06-01 4.60 15.00% $750.00
40 Long 2016-06-08 4.80 CRDS 2016-06-13 5.44 13.33% $666.50
41 Long 2016-06-10 2.09 ENPH 2016-06-16 2.05 -1.91% $-95.50
42 Long 2016-06-13 6.53 AMCC 2016-07-01 6.43 -1.53% $-76.50
43 Long 2016-06-13 6.07 AMKR 2016-07-11 6.01 -0.99% $-49.50
44 Long 2016-06-13 19.84 DSGX 2017-01-26 22.65 14.16% $708.00
45 Long 2016-06-13 8.02 EXAR 2016-07-01 7.97 -0.62% $-31.00
46 Long 2016-06-13 5.63 LSCC 2016-07-11 5.66 0.53% $26.50
47 Long 2016-06-14 5.41 ASX 2016-08-03 6.06 12.01% $600.50
48 Long 2016-06-14 4.45 RIMG 2016-06-16 4.72 6.07% $303.50
49 Long 2016-06-16 22.38 IDTI 2016-07-12 21.04 -5.99% $-299.50
50 Long 2016-06-16 5.35 IVAC 2016-07-15 6.18 15.51% $775.50
51 Long 2016-06-21 5.35 CRDS 2016-06-30 4.17 -22.06% $-1103.00
52 Long 2016-06-27 8.76 BRCD 2016-06-30 9.07 3.54% $177.00
53 Long 2016-06-27 4.55 RIMG 2016-06-30 4.64 1.98% $99.00
54 Long 2016-07-06 7.57 EXAR 2016-07-12 8.07 6.61% $330.50
55 Long 2016-07-06 11.60 RMBS 2016-07-21 13.60 17.24% $862.00
56 Long 2016-07-07 2.35 INOD 2016-09-19 2.31 -1.70% $-85.00
57 Long 2016-07-11 5.14 EVOL 2016-07-13 5.68 10.51% $525.50
58 Long 2016-07-12 1.60 OIIM 2016-08-02 1.62 1.25% $62.50
59 Long 2016-07-14 1.96 ENPH 2016-08-08 1.88 -4.08% $-204.00
60 Long 2016-07-15 9.09 BRCD 2016-08-22 10.24 12.65% $632.50
61 Long 2016-07-20 3.07 WSCI 2016-07-22 3.29 7.17% $358.50
62 Long 2016-07-22 4.33 AWRE 2016-07-28 4.68 8.08% $404.00
63 Long 2016-07-22 5.22 EVOL 2016-09-07 4.38 -16.09% $-804.50
64 Long 2016-07-25 5.60 CRDS 2016-08-05 4.99 -10.89% $-544.50
65 Long 2016-07-26 3.12 WSCI 2016-08-24 3.42 9.62% $481.00
66 Long 2016-07-28 5.75 RCMT 2016-09-07 5.90 2.61% $130.50
67 Long 2016-07-29 6.63 AMCC 2016-10-31 7.05 6.33% $316.50
68 Long 2016-08-01 3.28 TCCO 2016-08-09 3.44 4.88% $244.00
69 Long 2016-08-03 8.00 EXAR 2016-08-05 8.68 8.50% $425.00
70 Long 2016-08-03 19.56 IDTI 2016-08-22 20.29 3.73% $186.50
71 Long 2016-08-03 4.92 PCTI 2017-01-23 6.22 26.42% $1321.00
72 Long 2016-08-03 3.35 RIMG 2016-09-07 2.73 -18.51% $-925.50
73 Long 2016-08-03 13.16 RMBS 2016-10-26 12.45 -5.40% $-270.00
74 Long 2016-08-05 5.73 IVAC 2016-08-09 6.07 5.93% $296.50
75 Long 2016-08-09 4.79 ASUR 2016-08-16 5.60 16.91% $845.50
76 Long 2016-08-11 1.82 ENPH 2016-08-16 1.78 -2.20% $-110.00
77 Long 2016-08-11 2.95 TCCO 2016-08-23 2.63 -10.85% $-542.50
78 Long 2016-08-16 5.93 ASX 2017-01-27 5.80 -2.19% $-109.50
79 Long 2016-08-16 1.19 IMI 2016-09-19 1.10 -7.56% $-378.00
80 Long 2016-08-18 4.70 ASUR 2016-08-24 5.26 11.91% $595.50
81 Long 2016-08-24 1.72 OIIM 2016-09-30 1.69 -1.74% $-87.00
82 Long 2016-08-26 1.84 ENPH 2016-09-23 1.17 -36.41% $-1820.50
83 Long 2016-08-26 2.49 TCCO 2016-09-16 2.56 2.81% $140.50
84 Long 2016-08-29 9.24 BRCD 2016-11-01 10.68 15.58% $779.00
85 Long 2016-09-07 4.16 CRDS 2016-09-26 4.32 3.85% $192.50
86 Long 2016-09-12 8.62 AMKR 2016-09-23 9.29 7.77% $388.50
87 Long 2016-09-12 10.60 CLS 2016-10-24 11.52 8.68% $434.00
88 Long 2016-09-12 4.28 EVOL 2016-11-08 4.15 -3.04% $-152.00
89 Long 2016-09-12 8.93 EXAR 2016-09-16 9.14 2.35% $117.50
90 Long 2016-09-12 12.51 FLEX 2016-10-31 14.53 16.15% $807.50
91 Long 2016-09-12 19.56 IDTI 2016-09-23 21.93 12.12% $606.00
92 Long 2016-09-13 5.67 IVAC 2016-09-20 6.09 7.41% $370.50
93 Long 2016-09-26 1.20 ENPH 2016-11-03 1.21 0.83% $41.50
94 Long 2016-10-05 3.99 CRDS 2016-10-20 3.78 -5.26% $-263.00
95 Long 2016-10-05 2.46 TCCO 2016-10-18 2.35 -4.47% $-223.50
96 Long 2016-10-10 22.57 IDTI 2016-11-02 22.89 1.42% $71.00
97 Long 2016-10-11 5.85 IVAC 2016-11-15 6.20 5.98% $299.00
98 Long 2016-10-12 9.40 AMKR 2016-11-02 10.33 9.89% $494.50
99 Long 2016-10-12 9.03 EXAR 2016-11-09 9.00 -0.33% $-16.50
100 Long 2016-10-12 6.22 LSCC 2016-10-19 6.41 3.05% $152.50
101 Long 2016-10-14 10.26 PLAB 2016-11-10 10.75 4.78% $239.00
102 Long 2016-10-19 3.35 WSCI 2016-11-17 3.04 -9.25% $-462.50
103 Long 2016-10-24 3.42 CRDS 2016-10-25 4.48 30.99% $1549.50
104 Long 2016-10-27 6.27 LSCC 2016-11-04 7.46 18.98% $949.00
105 Long 2016-10-27 3.21 RIMG 2016-11-11 2.83 -11.84% $-592.00
106 Long 2016-10-28 6.66 ASUR 2016-11-14 7.63 14.56% $728.00
107 Long 2016-10-28 12.01 RMBS 2016-12-07 13.40 11.57% $578.50
108 Long 2016-10-31 1.75 OIIM 2016-11-03 2.06 17.71% $885.50
109 Long 2016-11-02 0.94 IMI 2016-11-14 0.88 -6.38% $-319.00
110 Long 2016-11-08 6.59 RCMT 2016-12-09 6.97 5.77% $288.50
111 Long 2016-11-09 1.86 OIIM 2016-11-17 2.12 13.98% $699.00
112 Long 2016-11-09 2.30 TCCO 2016-11-17 2.60 13.04% $652.00
113 Long 2016-11-10 1.09 ENPH 2016-11-25 1.14 4.59% $229.50
114 Long 2016-11-10 3.80 EVOL 2016-12-08 4.20 10.53% $526.50
115 Long 2016-11-14 9.40 PLAB 2016-11-23 10.50 11.70% $585.00
116 Long 2016-11-16 2.58 RIMG 2016-11-18 2.97 15.12% $756.00
117 Long 2016-11-18 7.25 AMCC 2016-11-22 8.15 12.41% $620.50
118 Long 2016-11-22 4.85 CRDS 2016-12-07 5.29 9.07% $453.50
119 Long 2016-11-22 6.20 IVAC 2016-12-09 6.85 10.48% $524.00
120 Long 2016-11-22 1.97 OIIM 2016-12-12 1.97 0.00% $0.00
121 Long 2016-11-29 10.25 PLAB 2016-12-07 10.40 1.46% $73.00
122 Long 2016-11-29 2.85 RIMG 2017-01-04 2.33 -18.25% $-912.50
123 Long 2016-11-29 2.70 TCCO 2017-01-03 2.40 -11.11% $-555.50
124 Long 2016-12-01 8.90 ASUR 2016-12-14 9.65 8.43% $421.50
125 Long 2016-12-01 23.40 IDTI 2017-01-26 26.28 12.31% $615.50
126 Long 2016-12-02 8.20 AMCC 2016-12-06 8.65 5.49% $274.50
127 Long 2016-12-02 10.70 AMKR 2017-02-03 9.99 -6.64% $-332.00
128 Long 2016-12-02 11.75 CLS 2017-01-27 13.21 12.43% $621.50
129 Long 2016-12-02 9.75 EXAR 2016-12-07 10.18 4.41% $220.50
130 Long 2016-12-02 13.98 FLEX 2017-01-30 16.00 14.45% $722.50
131 Long 2016-12-13 3.95 EVOL 2017-02-24 4.85 22.78% $1139.00
132 Long 2016-12-15 4.49 CRDS 2016-12-28 4.53 0.89% $44.50
133 Long 2016-12-22 1.21 ENPH 2017-01-04 1.09 -9.92% $-496.00
134 Long 2016-12-22 1.03 IMI 2017-01-11 1.05 1.94% $97.00
135 Long 2016-12-27 8.88 ASUR 2017-01-05 9.01 1.46% $73.00
136 Long 2016-12-29 13.70 ALOT 2017-03-15 13.60 -0.73% $-36.50
137 Long 2016-12-30 1.90 OIIM 2017-01-05 2.38 25.26% $1263.00
138 Long 2017-01-03 4.26 CRDS 2017-01-20 3.59 -15.73% $-786.50
139 Long 2017-01-10 8.55 IVAC 2017-01-25 9.95 16.37% $818.50
140 Long 2017-01-17 2.50 TCCO 2017-02-06 2.80 12.00% $600.00
141 Long 2017-01-24 1.00 IMI 2017-02-13 1.15 15.00% $750.00
142 Long 2017-01-25 2.50 RIMG 2017-02-17 2.34 -6.40% $-320.00
143 Long 2017-01-26 2.49 OIIM 2017-02-03 2.50 0.40% $20.00
144 Long 2017-01-27 3.57 CRDS 2017-02-06 3.75 5.04% $252.00
145 Long 2017-01-30 10.86 ASUR 2017-02-06 11.39 4.88% $244.00
146 Long 2017-02-07 5.64 PCTI 2017-03-10 5.68 0.71% $35.50
147 Long 2017-02-08 9.60 AMKR 2017-02-14 9.35 -2.60% $-130.00
148 Long 2017-02-09 3.55 CRDS 2017-02-14 3.85 8.45% $422.50
149 Long 2017-02-10 2.38 OIIM 2017-03-16 2.30 -3.36% $-168.00
150 Long 2017-02-14 1.51 ENPH 2017-02-16 1.61 6.62% $331.00
151 Long 2017-02-14 2.50 TCCO 2017-02-17 2.60 4.00% $200.00
152 Long 2017-02-16 11.75 ASUR 2017-03-14 10.84 -7.74% $-387.00
153 Long 2017-02-17 3.52 CRDS 2017-03-29 3.06 -13.07% $-653.50
154 Long 2017-02-21 10.35 IVAC 2017-02-23 11.00 6.28% $314.00
155 Long 2017-02-22 2.15 RIMG 2017-03-14 2.29 6.51% $325.50
156 Long 2017-02-24 9.95 IVAC 2017-03-02 10.60 6.53% $326.50
157 Long 2017-02-27 10.80 EXAR 2017-03-30 12.99 20.28% $1014.00
158 Long 2017-03-02 1.59 ENPH 2017-03-13 1.34 -15.72% $-786.00
159 Long 2017-03-10 10.50 IVAC 2017-03-14 11.30 7.62% $381.00
160 Long 2017-03-20 5.81 PCTI 2017-03-28 6.00 3.27% $163.50
161 Long 2017-03-21 10.66 ASUR 2017-03-28 10.76 0.94% $47.00
162 Long 2017-03-22 1.25 ENPH 2017-03-31 1.36 8.80% $440.00

End of Period Holdings
Note: the trades below represent the maximum possible holding at the end of the period. These trades list is subjected to available allocation to enter into these positions. In reality you will find fewer open trades.
No. Symbol Long/Short Entry Date Entry price Last Price P&L (%) P&L ($) Holdings
1 FLEX Long 02-Feb-17 15.48 16.80 8.53% 426.36 5,426.50
2 RMBS Long 01-Feb-17 12.98 13.14 1.23% 61.63 5,061.50
3 EVOL Long 22-Mar-17 4.60 4.85 5.43% 271.74 5,271.50
4 DSGX Long 31-Jan-17 21.90 22.90 4.57% 228.31 5,228.50
5 IDTI Long 01-Feb-17 25.19 23.67 -6.03% -301.71 4,698.50
6 CLS Long 28-Feb-17 13.56 14.53 7.15% 357.67 5,357.50
7 IMI Long 23-Feb-17 1.07 0.93 -13.08% -654.21 4,346.00
8 AWRE Long 27-Sep-16 5.49 4.70 -14.39% -719.49 4,280.50
9 OIIM Long 29-Mar-17 2.30 2.29 -0.43% -21.74 4,978.50
10 AMKR Long 15-Feb-17 9.55 11.59 21.36% 1,068.06 6,068.00
11 SPIL Long 14-Jun-16 7.8 8.09 3.72% 185.90 5,186.00
12 XRX Long 26-Apr-16 9.56 7.34 -23.22% -1,161.09 3,839.00
13 RCMT Long 23-Dec-16 6.62 4.76 -28.10% -1,404.83 3,595.00
14 PLAB Long 31-Jan-17 11.35 10.70 -5.73% -286.34 4,713.50
Subtotal PNL= $ -1,949.74 Open Positions: $68,050.50
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