Statistics about our portfolios performances

[Super Stock Picker]

Hello,

We have extracted the following statistics about our portfolios on September 13th, 2006:

Portfolio: Earnings Estimate Upgrades Weekly updated weekly.
Win ratio: 62 %
Winning periods to losing periods: 58/35
Average losing period: -2.090506 %
Largest losing period: -7.9144635 %
Average winning period: 2.229515 %
Largest winning period: 7.311385 %
Maximum drawdown: -13.917902 %
Average losing stretch: 1.5217391 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.5217392 weeks
Best winning stretch: 8 weeks
 
Portfolio: Low PEG Ratio updated monthly.
Win ratio: 76 %
Winning periods to losing periods: 13/4
Average losing period: -2.9077582 %
Largest losing period: -9.210248 %
Average winning period: 7.7102284 %
Largest winning period: 21.716322 %
Maximum drawdown: -25.676529 %
Average losing stretch: 1.0 months
Worst losing stretch: 1 months
Average winning stretch: 2.6 months
Best winning stretch: 3 months
 
Portfolio: Price Momentum Weekly updated weekly.
Win ratio: 57 %
Winning periods to losing periods: 61/46
Average losing period: -3.6577218 %
Largest losing period: -14.801299 %
Average winning period: 4.6394815 %
Largest winning period: 16.605349 %
Maximum drawdown: -38.553593 %
Average losing stretch: 1.6428572 weeks
Worst losing stretch: 3 weeks
Average winning stretch: 2.1785715 weeks
Best winning stretch: 5 weeks
 
Portfolio: Ultimate Price Momentum v1 updated weekly.
Win ratio: 58 %
Winning periods to losing periods: 61/44
Average losing period: -3.8434334 %
Largest losing period: -15.458204 %
Average winning period: 4.9523835 %
Largest winning period: 18.152815 %
Maximum drawdown: -36.642258 %
Average losing stretch: 1.6923077 weeks
Worst losing stretch: 3 weeks
Average winning stretch: 2.44 weeks
Best winning stretch: 6 weeks
 
Portfolio: Ultimate Price Momentum v2 updated weekly.
Win ratio: 61 %
Winning periods to losing periods: 64/40
Average losing period: -4.4408064 %
Largest losing period: -15.699252 %
Average winning period: 4.6176367 %
Largest winning period: 17.111916 %
Maximum drawdown: -40.973446 %
Average losing stretch: 1.4814814 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.3703704 weeks
Best winning stretch: 5 weeks
 
Portfolio: Ultimate Price Momentum v3 updated weekly.
Win ratio: 59 %
Winning periods to losing periods: 61/42
Average losing period: -3.8341715 %
Largest losing period: -16.45717 %
Average winning period: 5.0692244 %
Largest winning period: 17.481203 %
Maximum drawdown: -39.173656 %
Average losing stretch: 1.5555556 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.1785715 weeks
Best winning stretch: 8 weeks
 
Portfolio: Ultimate Price Momentum v4 updated weekly.
Win ratio: 55 %
Winning periods to losing periods: 57/45
Average losing period: -3.8774712 %
Largest losing period: -16.460976 %
Average winning period: 5.713153 %
Largest winning period: 18.35061 %
Maximum drawdown: -37.872646 %
Average losing stretch: 1.7307693 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.1111112 weeks
Best winning stretch: 8 weeks
 
Portfolio: Ultimate Price Momentum v5 updated weekly.
Win ratio: 53 %
Winning periods to losing periods: 54/47
Average losing period: -4.321115 %
Largest losing period: -16.884445 %
Average winning period: 6.0392356 %
Largest winning period: 20.13407 %
Maximum drawdown: -39.408062 %
Average losing stretch: 1.6206896 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 1.862069 weeks
Best winning stretch: 5 weeks

[jeff]

very useful statistics. are you going to update those statistics from time to time? and do you also have statistics about the average holding time for the stocks?

thanks for your effort and have a good weekend.

jeff

[Super Stock Picker]

Hi jeff,

Yes, we will update those stats from times to times, and actually, it should be in not so long...

Also, we will try to add the average holding time for the stocks and also to break those stats in periods, like per year.

[bryanmcn]

Could you explain the "drawdown" term and its importance?

[Super Stock Picker]

From Wikipedia,

Drawdown is the measure of the decline from a historical peak in some variable (e.g., the variable of interest might be the cumulative profit since inception from the purchase of a share of common stock).

It is a very important metric because it gives the maximum loss one would take if he would start following the portfolio on the day the value is peaking.

This metric is the main reason why we need to break those stats in periods because smaller values are now masked by the -40% we had during the last spring bad run.

[Super Stock Picker]

Hello,

Please find below the statistics about our portfolios on the 8th of January, 2007 (The attached csv files holds the same values).
The new metrics added into this version are:
- Average holding time of a stock.
- Average order number per period.

Portfolio: Earnings Estimate Upgrades Weekly updated weekly.
Win ratio: 61 %
Winning periods to losing periods: 67/42
Average holding time of a stock: 8.091743 weeks
Average order number per period: 2.0183487
Average losing period: -2.144393 %
Largest losing period: -7.9144635 %
Average winning period: 2.1964414 %
Largest winning period: 7.311385 %
Maximum drawdown: -19.328207 %
Average losing stretch: 1.6153846 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.4814816 weeks
Best winning stretch: 8 weeks

Portfolio: Low PEG Ratio updated monthly.
Win ratio: 76 %
Winning periods to losing periods: 16/5
Average holding time of a stock: 5.904762 months
Average order number per period: 2.1904762
Average losing period: -3.866054 %
Largest losing period: -9.210248 %
Average winning period: 7.642632 %
Largest winning period: 21.716322 %
Maximum drawdown: -25.676529 %
Average losing stretch: 1.0 months
Worst losing stretch: 1 months
Average winning stretch: 2.6666667 months
Best winning stretch: 3 months

Portfolio: Price Momentum Weekly updated weekly.
Win ratio: 57 %
Winning periods to losing periods: 71/52
Average holding time of a stock: 6.0487804 weeks
Average order number per period: 1.2682927
Average losing period: -3.544478 %
Largest losing period: -14.801299 %
Average winning period: 4.9521003 %
Largest winning period: 18.224487 %
Maximum drawdown: -38.553593 %
Average losing stretch: 1.625 weeks
Worst losing stretch: 3 weeks
Average winning stretch: 2.1515152 weeks
Best winning stretch: 5 weeks

Portfolio: Ultimate Price Momentum v1 updated weekly.
Win ratio: 58 %
Winning periods to losing periods: 71/50
Average holding time of a stock: 4.768595 weeks
Average order number per period: 0.8264463
Average losing period: -3.69403 %
Largest losing period: -15.458204 %
Average winning period: 5.3443966 %
Largest winning period: 20.48581 %
Maximum drawdown: -36.642258 %
Average losing stretch: 1.6666666 weeks
Worst losing stretch: 3 weeks
Average winning stretch: 2.3666666 weeks
Best winning stretch: 6 weeks

Portfolio: Ultimate Price Momentum v2 updated weekly.
Win ratio: 61 %
Winning periods to losing periods: 74/46
Average holding time of a stock: 3.975 weeks
Average order number per period: 0.7083333
Average losing period: -4.3284287 %
Largest losing period: -15.699252 %
Average winning period: 4.9689326 %
Largest winning period: 23.667784 %
Maximum drawdown: -40.973446 %
Average losing stretch: 1.483871 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.3125 weeks
Best winning stretch: 5 weeks

Portfolio: Ultimate Price Momentum v3 updated weekly.
Win ratio: 59 %
Winning periods to losing periods: 71/48
Average holding time of a stock: 3.2941177 weeks
Average order number per period: 0.5714286
Average losing period: -3.8515625 %
Largest losing period: -16.45717 %
Average winning period: 5.337697 %
Largest winning period: 24.958475 %
Maximum drawdown: -39.173656 %
Average losing stretch: 1.548387 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.21875 weeks
Best winning stretch: 8 weeks

Portfolio: Ultimate Price Momentum v4 updated weekly.
Win ratio: 56 %
Winning periods to losing periods: 67/51
Average holding time of a stock: 2.7542372 weeks
Average order number per period: 0.5
Average losing period: -3.8627765 %
Largest losing period: -16.460976 %
Average winning period: 6.031865 %
Largest winning period: 30.469658 %
Maximum drawdown: -37.872646 %
Average losing stretch: 1.7586207 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.2333333 weeks
Best winning stretch: 8 weeks

Portfolio: Ultimate Price Momentum v5 updated weekly.
Win ratio: 53 %
Winning periods to losing periods: 63/54
Average holding time of a stock: 2.2735043 weeks
Average order number per period: 0.41880342
Average losing period: -4.3123236 %
Largest losing period: -16.884445 %
Average winning period: 5.641803 %
Largest winning period: 20.13407 %
Maximum drawdown: -46.48897 %
Average losing stretch: 1.6363636 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 1.8529412 weeks
Best winning stretch: 5 weeks

Next, we will have to cut those statistics by years...

[patbib]

Hello,
I live in Europe and i'd like ti know if your software could also work european shares. If it's possible, have you got any statistics on its performance.
Thanks,
Patrick.

[Super Stock Picker]

Hello Patrick,

At that time, our software only deals with Canadian stocks. We could add other markets in the future, but we have no deadlines set for that yet.

If you are interested in following our advice from Europe, here is a post in which a French user explains how he uses an American broker to do this:
http://www.superstockpicker.com/forum/index.php?topic=107.msg189#msg189

[Super Stock Picker]

Hello,

Please find below our portfolios' statistics updated on the 30th of April, 2007 (The attached csv files holds the same values).
New metrics are available in this version:
- Average number of stocks on hold
- Minimum number of stocks on hold
- Maximum number of stocks on hold

Portfolio: Earnings Estimate Upgrades Weekly updated weekly.
Win ratio: 63 %
Winning periods to losing periods: 79/46
Average number of stocks on hold: 8.001664
Minimum number of stocks on hold: 3
Maximum number of stocks on hold: 15
Average holding time of a stock: 7.736 weeks
Average number of orders per period: 1.92
Average losing period: -2.1187484 %
Largest losing period: -7.9144635 %
Average winning period: 2.1926796 %
Largest winning period: 7.311385 %
Maximum drawdown: -19.328207 %
Average losing stretch: 1.6428572 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.724138 weeks
Best winning stretch: 8 weeks

Portfolio: Low PEG Ratio updated monthly.
Win ratio: 72 %
Winning periods to losing periods: 18/7
Average number of stocks on hold: 9.494141
Minimum number of stocks on hold: 3
Maximum number of stocks on hold: 16
Average holding time of a stock: 7.56 months
Average number of orders per period: 2.44
Average losing period: -3.008701 %
Largest losing period: -9.210248 %
Average winning period: 7.8175693 %
Largest winning period: 21.716322 %
Maximum drawdown: -25.676529 %
Average losing stretch: 1.0 months
Worst losing stretch: 1 months
Average winning stretch: 2.25 months
Best winning stretch: 3 months

Portfolio: Price Momentum Weekly updated weekly.
Win ratio: 58 %
Winning periods to losing periods: 81/58
Average number of stocks on hold: 6.405689
Minimum number of stocks on hold: 3
Maximum number of stocks on hold: 9
Average holding time of a stock: 6.1870503 weeks
Average number of orders per period: 1.2517985
Average losing period: -3.5750961 %
Largest losing period: -14.801299 %
Average winning period: 4.8932395 %
Largest winning period: 18.224487 %
Maximum drawdown: -38.553593 %
Average losing stretch: 1.7058823 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.3142858 weeks
Best winning stretch: 7 weeks

Portfolio: Ultimate Price Momentum v1 updated weekly.
Win ratio: 60 %
Winning periods to losing periods: 83/54
Average number of stocks on hold: 5.086233
Minimum number of stocks on hold: 2
Maximum number of stocks on hold: 8
Average holding time of a stock: 4.927007 weeks
Average number of orders per period: 0.82481754
Average losing period: -3.8850408 %
Largest losing period: -15.458204 %
Average winning period: 5.0976405 %
Largest winning period: 20.48581 %
Maximum drawdown: -36.642258 %
Average losing stretch: 1.6875 weeks
Worst losing stretch: 3 weeks
Average winning stretch: 2.59375 weeks
Best winning stretch: 9 weeks

Portfolio: Ultimate Price Momentum v2 updated weekly.
Win ratio: 63 %
Winning periods to losing periods: 86/50
Average number of stocks on hold: 4.2515244
Minimum number of stocks on hold: 2
Maximum number of stocks on hold: 7
Average holding time of a stock: 4.132353 weeks
Average number of orders per period: 0.6985294
Average losing period: -4.419403 %
Largest losing period: -15.699252 %
Average winning period: 4.7954164 %
Largest winning period: 23.667784 %
Maximum drawdown: -40.973446 %
Average losing stretch: 1.5151515 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.5294118 weeks
Best winning stretch: 9 weeks

Portfolio: Ultimate Price Momentum v3 updated weekly.
Win ratio: 60 %
Winning periods to losing periods: 81/54
Average number of stocks on hold: 3.5560677
Minimum number of stocks on hold: 1
Maximum number of stocks on hold: 7
Average holding time of a stock: 3.4592593 weeks
Average number of orders per period: 0.5703704
Average losing period: -3.8959584 %
Largest losing period: -16.45717 %
Average winning period: 5.297533 %
Largest winning period: 24.958475 %
Maximum drawdown: -39.173656 %
Average losing stretch: 1.6875 weeks
Worst losing stretch: 6 weeks
Average winning stretch: 2.4545455 weeks
Best winning stretch: 8 weeks

Portfolio: Ultimate Price Momentum v4 updated weekly.
Win ratio: 58 %
Winning periods to losing periods: 78/56
Average number of stocks on hold: 2.9907122
Minimum number of stocks on hold: 1
Maximum number of stocks on hold: 6
Average holding time of a stock: 2.9179103 weeks
Average number of orders per period: 0.5074627
Average losing period: -4.0633597 %
Largest losing period: -16.460976 %
Average winning period: 5.8015714 %
Largest winning period: 30.469658 %
Maximum drawdown: -37.872646 %
Average losing stretch: 1.8064516 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.4375 weeks
Best winning stretch: 8 weeks

Portfolio: Ultimate Price Momentum v5 updated weekly.
Win ratio: 55 %
Winning periods to losing periods: 74/59
Average number of stocks on hold: 2.4929798
Minimum number of stocks on hold: 0
Maximum number of stocks on hold: 5
Average holding time of a stock: 2.4285715 weeks
Average number of orders per period: 0.42105263
Average losing period: -4.6139846 %
Largest losing period: -16.884445 %
Average winning period: 5.4280257 %
Largest winning period: 20.13407 %
Maximum drawdown: -46.48897 %
Average losing stretch: 1.6857142 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.0555556 weeks
Best winning stretch: 8 weeks

[bryanmcn]

Are these stats from inception?

[Super Stock Picker]

bryanmcn,

Yes, they are.

[bryanmcn]

Is it possible to get stats from the last quarter or last year or last six months?

[Super Stock Picker]

Yes,

We had in mind to release those stats also on a yearly basis.

But that brings this problem: How do we account for the positions that were already open before the analysis window starts?

Let's say we want to generate the stats for 2006, but on the January 1st, some stocks were already on hold for a few weeks? Should those extra weeks be accounted for in the 2006 stats? Or do we publish stats with shorter holding time that the actual ones?

Don't know if there is a good answer to this question?

[bryanmcn]

You can do it in a number of ways but whatever way you choose just be consistent. Set the rules and stick by them. Do it the same every time. Thats the way the SSP works anyways right?

[Super Stock Picker]

Hello,

Please find below our portfolios' statistics updated on the 23rd of July, 2008 (The attached csv file holds the same values. Do not forget to log in to have access to the attached files on the forum).

Portfolio: Earnings Estimate Upgrades Weekly updated weekly.
Win ratio: 59 %
Winning periods to losing periods: 113/77
Average number of stocks on hold: 8.459934
Minimum number of stocks on hold: 3
Maximum number of stocks on hold: 19
Average holding time of a stock: 7.936842 weeks
Average number of orders per period: 2.031579
Average losing period: -2.2862868 %
Largest losing period: -7.9144635 %
Average winning period: 2.2695565 %
Largest winning period: 7.311385 %
Maximum drawdown: -21.639984 %
Average losing stretch: 1.6382979 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.4042554 weeks
Best winning stretch: 8 weeks


Portfolio: Low PEG Ratio updated monthly.
Win ratio: 67 %
Winning periods to losing periods: 27/13
Average number of stocks on hold: 9.062044
Minimum number of stocks on hold: 3
Maximum number of stocks on hold: 16
Average holding time of a stock: 8.175 months
Average number of orders per period: 1.975
Average losing period: -5.860371 %
Largest losing period: -17.981108 %
Average winning period: 7.676215 %
Largest winning period: 21.716322 %
Maximum drawdown: -29.245731 %
Average losing stretch: 1.0833334 months
Worst losing stretch: 2 months
Average winning stretch: 2.25 months
Best winning stretch: 4 months


Portfolio: Price Momentum Weekly updated weekly.
Win ratio: 58 %
Winning periods to losing periods: 119/85
Average number of stocks on hold: 6.3006134
Minimum number of stocks on hold: 3
Maximum number of stocks on hold: 9
Average holding time of a stock: 6.0931373 weeks
Average number of orders per period: 1.2107843
Average losing period: -4.6048865 %
Largest losing period: -20.964754 %
Average winning period: 5.500549 %
Largest winning period: 18.224487 %
Maximum drawdown: -38.553593 %
Average losing stretch: 1.7 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.38 weeks
Best winning stretch: 7 weeks


Portfolio: Ultimate Price Momentum v1 updated weekly.
Win ratio: 58 %
Winning periods to losing periods: 119/83
Average number of stocks on hold: 5.0422244
Minimum number of stocks on hold: 2
Maximum number of stocks on hold: 8
Average holding time of a stock: 4.8762374 weeks
Average number of orders per period: 0.8267327
Average losing period: -4.781569 %
Largest losing period: -20.811804 %
Average winning period: 5.6739597 %
Largest winning period: 20.48581 %
Maximum drawdown: -36.642258 %
Average losing stretch: 1.7291666 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.531915 weeks
Best winning stretch: 9 weeks


Portfolio: Ultimate Price Momentum v2 updated weekly.
Win ratio: 62 %
Winning periods to losing periods: 125/76
Average number of stocks on hold: 4.20911
Minimum number of stocks on hold: 2
Maximum number of stocks on hold: 7
Average holding time of a stock: 4.0696516 weeks
Average number of orders per period: 0.6766169
Average losing period: -5.366295 %
Largest losing period: -21.579597 %
Average winning period: 5.612017 %
Largest winning period: 23.667784 %
Maximum drawdown: -40.973446 %
Average losing stretch: 1.5510204 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.5510204 weeks
Best winning stretch: 9 weeks


Portfolio: Ultimate Price Momentum v3 updated weekly.
Win ratio: 61 %
Winning periods to losing periods: 122/78
Average number of stocks on hold: 3.528616
Minimum number of stocks on hold: 1
Maximum number of stocks on hold: 7
Average holding time of a stock: 3.41 weeks
Average number of orders per period: 0.545
Average losing period: -5.192258 %
Largest losing period: -31.467152 %
Average winning period: 6.0484953 %
Largest winning period: 24.958475 %
Maximum drawdown: -46.9935 %
Average losing stretch: 1.6595745 weeks
Worst losing stretch: 6 weeks
Average winning stretch: 2.5957446 weeks
Best winning stretch: 8 weeks


Portfolio: Ultimate Price Momentum v4 updated weekly.
Win ratio: 59 %
Winning periods to losing periods: 119/80
Average number of stocks on hold: 2.9822176
Minimum number of stocks on hold: 1
Maximum number of stocks on hold: 6
Average holding time of a stock: 2.884422 weeks
Average number of orders per period: 0.46231157
Average losing period: -5.1553655 %
Largest losing period: -31.066307 %
Average winning period: 6.73195 %
Largest winning period: 30.469658 %
Maximum drawdown: -47.12354 %
Average losing stretch: 1.7391304 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.5869565 weeks
Best winning stretch: 8 weeks


Portfolio: Ultimate Price Momentum v5 updated weekly.
Win ratio: 59 %
Winning periods to losing periods: 117/81
Average number of stocks on hold: 2.5226078
Minimum number of stocks on hold: 0
Maximum number of stocks on hold: 5
Average holding time of a stock: 2.4343433 weeks
Average number of orders per period: 0.3939394
Average losing period: -5.652348 %
Largest losing period: -31.529953 %
Average winning period: 6.824052 %
Largest winning period: 25.714287 %
Maximum drawdown: -48.037647 %
Average losing stretch: 1.6530613 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.3877552 weeks
Best winning stretch: 9 weeks