Strategy ROC NZ4 Statistics

Owner name: Nimrod Member for: 5 years 11 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: 2017-11-01 Users: 0 Link:
Monthly P&L
Month NovDecJanFebMarAprMayJunJulAugSep
P&L 3.64%0.74%1.15%-0.33%0.02%-0.46%-0.47%-3.92%6.55%2.21%1.13%
Equity Curve
Strategy Statistics
Universe Name P&L 1Y P&L/MDD MDD (end of trade) MDD Days Avg. Exposure (?)
N2 ACTIVE 10.94% 1.69 -6.49% 128 21.00%

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 62 (71.26%) 0 (0.00%) 25 (28.74%) 2.52%
LONG : 87 62 (71.26%) 0 (0.00%) 25 (28.74%) 2.52%
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
-6,491 (-6.49%) 128 2017-03-20 2017-07-26
-6,179 (-6.18%) 20 2017-01-26 2017-02-15
-1,649 (-1.65%) 22 2017-02-23 2017-03-17
-1,295 (-1.30%) 42 2016-12-14 2017-01-25
-926 (-0.93%) 9 2017-09-20 2017-09-29
-874 (-0.87%) 7 2016-11-28 2016-12-05
-661 (-0.66%) 4 2017-08-10 2017-08-14
-534 (-0.53%) 7 2016-11-14 2016-11-21
-491 (-0.49%) 8 2017-07-31 2017-08-08
-412 (-0.41%) 5 2016-11-02 2016-11-07
-291 (-0.29%) 5 2017-02-16 2017-02-21
-282 (-0.28%) 3 2017-08-29 2017-09-01
-231 (-0.23%) 2 2017-08-23 2017-08-25
-184 (-0.18%) 2 2017-08-16 2017-08-18
-158 (-0.16%) 5 2017-10-11 2017-10-16
-118 (-0.12%) 1 2016-12-12 2016-12-13
-111 (-0.11%) 6 2017-10-03 2017-10-09
-101 (-0.10%) 2 2017-09-05 2017-09-07
-91 (-0.09%) 2 2016-11-23 2016-11-25
-81 (-0.08%) 2 2017-09-13 2017-09-15
-42 (-0.04%) 1 2017-10-19 2017-10-20
-34 (-0.03%) 1 2017-08-21 2017-08-22
-24 (-0.02%) 3 2017-09-08 2017-09-11
-12 (-0.01%) Open 2017-10-25 0000-00-00
Trade List
No. Type Buy Date Buy Close Symbol Sell Date Sell Close P&L (%) Profit
1 Long 2016-11-02 39.45 BSFT 2016-11-23 42.20 6.97% $348.50
2 Long 2016-11-02 19.70 CRAY 2016-11-09 20.90 6.09% $304.50
3 Long 2016-11-02 3.85 GRPN 2016-11-23 4.03 4.68% $234.00
4 Long 2016-11-02 4.99 GUID 2016-11-10 5.40 8.22% $411.00
5 Long 2016-11-04 23.41 HSTM 2016-11-28 26.00 11.06% $553.00
6 Long 2016-11-04 67.51 NVDA 2016-11-08 71.54 5.97% $298.50
7 Long 2016-11-04 11.60 OEH 2016-11-10 12.85 10.78% $539.00
8 Long 2016-11-04 14.70 WWWW 2016-11-21 15.70 6.80% $340.00
9 Long 2016-11-14 739.01 AMZN 2016-11-22 788.17 6.65% $332.50
10 Long 2016-11-14 47.51 SO 2016-12-12 47.83 0.67% $33.50
11 Long 2016-11-17 19.25 CRAY 2016-12-08 19.75 2.60% $130.00
12 Long 2016-11-18 23.83 SYMC 2016-11-23 25.06 5.16% $258.00
13 Long 2016-11-30 36.48 CSOD 2016-12-07 36.80 0.88% $44.00
14 Long 2016-12-01 27.81 EBAY 2016-12-08 28.96 4.14% $207.00
15 Long 2016-12-02 66.59 CRM 2017-01-04 71.08 6.74% $337.00
16 Long 2016-12-02 50.90 CVLT 2016-12-08 54.35 6.78% $339.00
17 Long 2016-12-02 83.95 HELE 2016-12-27 84.35 0.48% $24.00
18 Long 2016-12-02 86.25 NVDA 2016-12-07 92.84 7.64% $382.00
19 Long 2016-12-02 192.58 ULTI 2017-01-05 189.00 -1.86% $-93.00
20 Long 2016-12-05 40.30 BSFT 2016-12-09 43.20 7.20% $360.00
21 Long 2016-12-15 3.64 GRPN 2017-01-06 3.69 1.37% $68.50
22 Long 2016-12-29 22.15 GTS 2017-02-24 18.98 -14.31% $-715.50
23 Long 2017-01-18 10.50 LAYN 2017-01-26 11.02 4.95% $247.50
24 Long 2017-01-19 17.60 CRAY 2017-02-08 17.85 1.42% $71.00
25 Long 2017-01-23 41.15 BSFT 2017-01-25 43.70 6.20% $310.00
26 Long 2017-01-23 24.91 DIOD 2017-01-26 25.80 3.57% $178.50
27 Long 2017-01-30 41.30 CALM 2017-03-10 38.90 -5.81% $-290.50
28 Long 2017-01-31 68.72 SPSC 2017-03-14 55.26 -19.59% $-979.50
29 Long 2017-02-01 49.10 CVLT 2017-02-17 51.20 4.28% $214.00
30 Long 2017-02-01 55.22 SBUX 2017-02-15 56.56 2.43% $121.50
31 Long 2017-02-01 55.22 SBUX 2017-02-15 56.56 2.43% $121.50
32 Long 2017-02-10 6.60 GUID 2017-02-14 7.70 16.67% $833.50
33 Long 2017-02-14 107.99 NVDA 2017-03-17 104.52 -3.21% $-160.50
34 Long 2017-02-23 6.78 CROX 2017-03-03 7.21 6.34% $317.00
35 Long 2017-02-24 22.49 RRR 2017-03-20 22.22 -1.20% $-60.00
36 Long 2017-02-28 6.63 GUID 2017-04-06 6.10 -7.99% $-399.50
37 Long 2017-03-01 12.95 OEH 2017-03-31 12.30 -5.02% $-251.00
38 Long 2017-03-06 19.85 CRAY 2017-03-17 20.50 3.27% $163.50
39 Long 2017-03-06 4.00 GRPN 2017-04-21 3.90 -2.50% $-125.00
40 Long 2017-03-07 17.60 GTS 2017-03-31 17.30 -1.70% $-85.00
41 Long 2017-03-07 95.00 HELE 2017-04-20 93.40 -1.68% $-84.00
42 Long 2017-03-07 23.12 HSTM 2017-03-17 23.33 0.91% $45.50
43 Long 2017-03-13 33.13 EBAY 2017-03-20 33.68 1.66% $83.00
44 Long 2017-03-15 6.48 CROX 2017-03-29 6.76 4.32% $216.00
45 Long 2017-03-23 19.25 WWWW 2017-04-25 18.75 -2.60% $-130.00
46 Long 2017-03-30 40.60 BSFT 2017-05-16 37.30 -8.13% $-406.50
47 Long 2017-04-06 19.50 CRAY 2017-06-05 18.15 -6.92% $-346.00
48 Long 2017-04-06 100.03 NVDA 2017-04-25 103.54 3.51% $175.50
49 Long 2017-04-07 6.53 CROX 2017-04-28 6.41 -1.84% $-92.00
50 Long 2017-04-21 32.53 EBAY 2017-05-11 33.70 3.60% $180.00
51 Long 2017-05-12 17.18 GTS 2017-06-05 16.94 -1.40% $-70.00
52 Long 2017-05-12 7.60 LAYN 2017-06-12 8.84 16.32% $816.00
53 Long 2017-05-19 29.61 SYMC 2017-07-11 29.02 -1.99% $-99.50
54 Long 2017-06-12 208.53 ULTI 2017-06-22 217.64 4.37% $218.50
55 Long 2017-06-13 36.75 CSOD 2017-07-12 36.94 0.52% $26.00
56 Long 2017-06-13 61.12 SBUX 2017-07-26 58.80 -3.80% $-190.00
57 Long 2017-06-13 61.12 SBUX 2017-07-26 58.80 -3.80% $-190.00
58 Long 2017-06-14 9.80 EXTR 2017-06-20 10.11 3.16% $158.00
59 Long 2017-06-16 143.78 AAPL 2017-07-11 144.73 0.66% $33.00
60 Long 2017-06-29 48.74 SO 2017-07-24 47.86 -1.81% $-90.50
61 Long 2017-07-03 57.57 ATVI 2017-07-13 61.40 6.65% $332.50
62 Long 2017-07-03 83.30 IRBT 2017-07-24 89.49 7.43% $371.50
63 Long 2017-07-05 9.12 EXTR 2017-07-21 9.66 5.92% $296.00
64 Long 2017-07-10 7.66 ERF 2017-07-13 8.29 8.22% $411.00
65 Long 2017-07-12 36.10 CALM 2017-07-28 38.50 6.65% $332.50
66 Long 2017-07-13 124.62 KMB 2017-09-01 123.50 -0.90% $-45.00
67 Long 2017-07-24 15.62 GTS 2017-08-09 20.30 29.96% $1498.00
68 Long 2017-07-28 9.03 EXTR 2017-08-15 10.31 14.17% $708.50
69 Long 2017-07-31 37.47 FTNT 2017-08-23 37.26 -0.56% $-28.00
70 Long 2017-07-31 22.15 WWWW 2017-08-10 23.30 5.19% $259.50
71 Long 2017-08-03 38.40 CSOD 2017-08-30 35.23 -8.26% $-413.00
72 Long 2017-08-07 29.05 SYMC 2017-08-25 29.51 1.58% $79.00
73 Long 2017-08-14 10.02 LAYN 2017-08-28 10.23 2.10% $105.00
74 Long 2017-08-18 3.82 GRPN 2017-08-23 4.04 5.76% $288.00
75 Long 2017-08-21 97.14 IRBT 2017-09-13 100.25 3.20% $160.00
76 Long 2017-08-28 97.15 HELE 2017-09-13 96.20 -0.98% $-49.00
77 Long 2017-09-08 58.00 SODA 2017-09-13 58.69 1.19% $59.50
78 Long 2017-09-13 37.55 CDNS 2017-09-18 38.50 2.53% $126.50
79 Long 2017-09-18 79.81 IRBT 2017-10-13 78.62 -1.49% $-74.50
80 Long 2017-09-21 57.05 SPSC 2017-10-05 57.84 1.38% $69.00
81 Long 2017-09-21 184.33 ULTI 2017-10-02 189.36 2.73% $136.50
82 Long 2017-09-22 151.54 AAPL 2017-10-10 156.06 2.98% $149.00
83 Long 2017-09-25 949.31 AMZN 2017-10-06 975.64 2.77% $138.50
84 Long 2017-09-25 18.60 CRAY 2017-09-28 19.45 4.57% $228.50
85 Long 2017-09-26 22.95 GTS 2017-10-03 23.96 4.40% $220.00
86 Long 2017-10-12 4.82 GRPN 2017-10-18 5.00 3.73% $186.50
87 Long 2017-10-13 41.55 CALM 2017-10-25 43.05 3.61% $180.50

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 KMB Long 23-Oct-17 112.3056 112.51 0.18% 9.10 5,009.00
2 CRAY Long 20-Oct-17 18.711 20.65 10.36% 518.14 5,518.00
3 SPSC Long 30-Oct-17 47.61 49.16 3.26% 162.78 5,163.00
4 CVLT Long 25-Oct-17 51.975 52.05 0.14% 7.22 5,007.00
5 OEH Long 23-Oct-17 13.4145 13.15 -1.97% -98.59 4,901.50
Subtotal PNL= $ 598.65 Open Positions: $25,598.50
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