Strategy ROC NZ4 Statistics

Owner name: Nimrod Member for: 5 years 7 months Since: Sat, 2011-12-24 16:15
Strategy Allocation: 100% Position Size: 5.00% Max positions: 3
Paired Universe: N2 ACTIVE Total Securities: 50
Comment: This strategy is basing its buy decision on ROC while combining various mechanisms in order to identify an upward direction. The aim of the strategy is to enter into positions while been able to maximize the upward ride while reducing risk.
Published: 2012-02-20 Refreshed: 2017-07-01 Users: 0 Link:
Monthly P&L
Month JulAugSepOctNovDecJanFebMarAprMay
P&L -0.40%1.50%1.81%0.18%2.83%0.72%1.12%-0.32%0.02%-0.45%-0.57%
Equity Curve
Strategy Statistics
Universe Name P&L 1Y P&L/MDD MDD (end of trade) MDD Days Avg. Exposure (?)
N2 ACTIVE 8.20% 1.33 -6.18% 20 24.00%

Strategy data
Allocation Position size Max position Position Priority Entry Entry deep
100% ($100,000.00) 5.00% 3 None Limit 1
Trade Statistics
Trades Wins Even Loses Trade Average P&L
ALL : 87 61 (70.11%) 0 (0.00%) 26 (29.89%) 1.88%
LONG : 87 61 (70.11%) 0 (0.00%) 26 (29.89%) 1.88%
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
-6,179 (-6.18%) 20 2017-01-26 2017-02-15
-5,692 (-5.69%) 34 2016-07-21 2016-08-24
-2,496 (-2.50%) Open 2017-03-20 0000-00-00
-1,649 (-1.65%) 22 2017-02-23 2017-03-17
-1,584 (-1.58%) 14 2016-10-26 2016-11-09
-1,295 (-1.30%) 42 2016-12-14 2017-01-25
-874 (-0.87%) 7 2016-11-28 2016-12-05
-633 (-0.63%) 21 2016-10-03 2016-10-24
-608 (-0.61%) 7 2016-09-23 2016-09-30
-548 (-0.55%) 4 2016-11-17 2016-11-21
-371 (-0.37%) 2 2016-11-14 2016-11-16
-295 (-0.29%) 2 2016-09-13 2016-09-15
-291 (-0.29%) 5 2017-02-16 2017-02-21
-233 (-0.23%) 7 2016-08-26 2016-09-02
-217 (-0.22%) 3 2016-09-09 2016-09-12
-118 (-0.12%) 1 2016-12-12 2016-12-13
-97 (-0.10%) 1 2016-09-20 2016-09-21
-90 (-0.09%) 2 2016-11-23 2016-11-25
-30 (-0.03%) 3 2016-09-16 2016-09-19
Trade List
No. Type Buy Date Buy Close Symbol Sell Date Sell Close P&L (%) Profit
1 Long 2016-07-21 41.30 CALM 2016-08-05 42.85 3.75% $187.50
2 Long 2016-07-21 25.95 HSTM 2016-08-23 25.12 -3.20% $-160.00
3 Long 2016-07-25 8.20 LAYN 2016-08-09 8.34 1.71% $85.50
4 Long 2016-07-26 5.95 ERF 2016-08-05 6.18 3.87% $193.50
5 Long 2016-07-28 102.09 CVX 2016-08-16 102.77 0.67% $33.50
6 Long 2016-07-29 40.27 ATVI 2016-08-10 41.14 2.16% $108.00
7 Long 2016-07-29 77.70 CHKP 2016-08-29 77.02 -0.88% $-44.00
8 Long 2016-07-29 119.14 MCD 2016-09-07 117.27 -1.57% $-78.50
9 Long 2016-08-01 24.85 GTS 2016-09-08 22.73 -8.53% $-426.50
10 Long 2016-08-02 28.41 HBHC 2016-08-08 30.40 7.00% $350.00
11 Long 2016-08-03 42.24 BSFT 2016-08-23 43.77 3.62% $181.00
12 Long 2016-08-03 96.87 HELE 2016-09-09 91.74 -5.30% $-265.00
13 Long 2016-08-04 55.94 SBUX 2016-08-24 57.00 1.89% $94.50
14 Long 2016-08-04 55.94 SBUX 2016-08-24 57.00 1.89% $94.50
15 Long 2016-08-05 20.96 CRAY 2016-08-30 23.46 11.93% $596.50
16 Long 2016-08-16 21.47 RRR 2016-08-17 23.06 7.41% $370.50
17 Long 2016-08-17 50.09 SO 2016-09-07 52.16 4.13% $206.50
18 Long 2016-08-30 7.12 ERF 2016-09-07 7.21 1.26% $63.00
19 Long 2016-09-09 26.77 SODA 2016-09-23 27.30 1.98% $99.00
20 Long 2016-09-12 116.08 PX 2016-10-03 120.36 3.69% $184.50
21 Long 2016-09-12 21.41 RRR 2016-09-22 22.04 2.94% $147.00
22 Long 2016-09-13 21.82 CRAY 2016-09-20 23.47 7.56% $378.00
23 Long 2016-09-14 6.09 ERF 2016-10-03 6.45 5.91% $295.50
24 Long 2016-09-15 44.03 CSOD 2016-09-22 45.95 4.36% $218.00
25 Long 2016-09-16 86.90 HELE 2016-11-10 83.70 -3.68% $-184.00
26 Long 2016-10-03 51.21 SO 2016-10-26 50.96 -0.49% $-24.50
27 Long 2016-10-11 5.67 GUID 2016-10-26 5.70 0.53% $26.50
28 Long 2016-10-12 20.26 DIOD 2016-10-25 20.57 1.53% $76.50
29 Long 2016-10-12 11.77 ONNN 2016-10-25 12.08 2.63% $131.50
30 Long 2016-10-13 21.45 CRAY 2016-11-09 20.90 -2.56% $-128.00
31 Long 2016-10-13 4.96 GRPN 2016-10-25 5.21 5.04% $252.00
32 Long 2016-10-14 24.28 SYMC 2016-10-25 24.79 2.10% $105.00
33 Long 2016-10-17 4.10 EXTR 2016-11-14 4.60 12.20% $610.00
34 Long 2016-10-17 22.40 RRR 2016-11-08 21.32 -4.82% $-241.00
35 Long 2016-11-01 113.46 AAPL 2016-11-22 111.95 -1.33% $-66.50
36 Long 2016-11-01 3.99 GRPN 2016-11-23 4.03 1.00% $50.00
37 Long 2016-11-01 5.16 GUID 2016-11-10 5.40 4.65% $232.50
38 Long 2016-11-02 39.45 BSFT 2016-11-23 42.20 6.97% $348.50
39 Long 2016-11-04 23.41 HSTM 2016-11-28 26.00 11.06% $553.00
40 Long 2016-11-04 67.51 NVDA 2016-11-08 71.54 5.97% $298.50
41 Long 2016-11-04 11.60 OEH 2016-11-10 12.85 10.78% $539.00
42 Long 2016-11-04 14.70 WWWW 2016-11-21 15.70 6.80% $340.00
43 Long 2016-11-14 47.51 SO 2016-12-12 47.83 0.67% $33.50
44 Long 2016-11-17 19.25 CRAY 2016-12-08 19.75 2.60% $130.00
45 Long 2016-11-18 23.83 SYMC 2016-11-23 25.06 5.16% $258.00
46 Long 2016-11-30 36.48 CSOD 2016-12-07 36.80 0.88% $44.00
47 Long 2016-12-01 27.81 EBAY 2016-12-08 28.96 4.14% $207.00
48 Long 2016-12-02 66.59 CRM 2017-01-04 71.08 6.74% $337.00
49 Long 2016-12-02 50.90 CVLT 2016-12-08 54.35 6.78% $339.00
50 Long 2016-12-02 83.95 HELE 2016-12-27 84.35 0.48% $24.00
51 Long 2016-12-02 86.25 NVDA 2016-12-07 92.84 7.64% $382.00
52 Long 2016-12-02 192.58 ULTI 2017-01-05 189.00 -1.86% $-93.00
53 Long 2016-12-05 40.30 BSFT 2016-12-09 43.20 7.20% $360.00
54 Long 2016-12-15 3.64 GRPN 2017-01-06 3.69 1.37% $68.50
55 Long 2016-12-29 22.15 GTS 2017-02-24 18.98 -14.31% $-715.50
56 Long 2017-01-18 10.50 LAYN 2017-01-26 11.02 4.95% $247.50
57 Long 2017-01-19 17.60 CRAY 2017-02-08 17.85 1.42% $71.00
58 Long 2017-01-23 41.15 BSFT 2017-01-25 43.70 6.20% $310.00
59 Long 2017-01-23 24.91 DIOD 2017-01-26 25.80 3.57% $178.50
60 Long 2017-01-30 41.30 CALM 2017-03-10 38.90 -5.81% $-290.50
61 Long 2017-01-31 68.72 SPSC 2017-03-14 55.26 -19.59% $-979.50
62 Long 2017-02-01 49.10 CVLT 2017-02-17 51.20 4.28% $214.00
63 Long 2017-02-01 55.22 SBUX 2017-02-15 56.56 2.43% $121.50
64 Long 2017-02-01 55.22 SBUX 2017-02-15 56.56 2.43% $121.50
65 Long 2017-02-10 6.60 GUID 2017-02-14 7.70 16.67% $833.50
66 Long 2017-02-14 107.99 NVDA 2017-03-17 104.52 -3.21% $-160.50
67 Long 2017-02-23 6.78 CROX 2017-03-03 7.21 6.34% $317.00
68 Long 2017-02-24 22.49 RRR 2017-03-20 22.22 -1.20% $-60.00
69 Long 2017-02-28 6.63 GUID 2017-04-06 6.10 -7.99% $-399.50
70 Long 2017-03-01 12.95 OEH 2017-03-31 12.30 -5.02% $-251.00
71 Long 2017-03-06 19.85 CRAY 2017-03-17 20.50 3.27% $163.50
72 Long 2017-03-06 4.00 GRPN 2017-04-21 3.90 -2.50% $-125.00
73 Long 2017-03-07 17.60 GTS 2017-03-31 17.30 -1.70% $-85.00
74 Long 2017-03-07 95.00 HELE 2017-04-20 93.40 -1.68% $-84.00
75 Long 2017-03-07 23.12 HSTM 2017-03-17 23.33 0.91% $45.50
76 Long 2017-03-13 33.13 EBAY 2017-03-20 33.68 1.66% $83.00
77 Long 2017-03-15 6.48 CROX 2017-03-29 6.76 4.32% $216.00
78 Long 2017-03-23 19.25 WWWW 2017-04-25 18.75 -2.60% $-130.00
79 Long 2017-03-30 40.60 BSFT 2017-05-16 37.30 -8.13% $-406.50
80 Long 2017-04-06 19.50 CRAY 2017-06-05 18.15 -6.92% $-346.00
81 Long 2017-04-06 100.03 NVDA 2017-04-25 103.54 3.51% $175.50
82 Long 2017-04-07 6.53 CROX 2017-04-28 6.41 -1.84% $-92.00
83 Long 2017-04-21 32.53 EBAY 2017-05-11 33.70 3.60% $180.00
84 Long 2017-05-12 17.18 GTS 2017-06-05 16.94 -1.40% $-70.00
85 Long 2017-05-12 7.60 LAYN 2017-06-12 8.84 16.32% $816.00
86 Long 2017-06-12 208.53 ULTI 2017-06-22 217.64 4.37% $218.50
87 Long 2017-06-14 9.80 EXTR 2017-06-20 10.11 3.16% $158.00

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 CSOD Long 13-Jun-17 36.3825 35.75 -1.74% -86.92 4,913.00
2 AAPL Long 16-Jun-17 142.8471 144.02 0.82% 41.05 5,041.00
3 SBUX Long 13-Jun-17 60.6771 58.31 -3.90% -195.06 4,805.00
4 SO Long 29-Jun-17 48.6585 47.88 -1.60% -80.00 4,920.00
5 SYMC Long 19-May-17 29.4426 28.25 -4.05% -202.53 4,797.50
Subtotal PNL= $ -523.45 Open Positions: $24,476.50
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