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Author Topic: Statistics about our portfolios performances  (Read 49946 times)
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« Reply #15 on: October 15, 2008, 02:38:11 PM »

Hello,

Please find below our portfolios' statistics updated on the 15th of October, 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: 57 %
Winning periods to losing periods: 117/85
Average number of stocks on hold: 8.378099
Minimum number of stocks on hold: 2
Maximum number of stocks on hold: 19
Average holding time of a stock: 8.173267 weeks
Average number of orders per period: 2.0148516
Average losing period: -2.8692527 %
Largest losing period: -20.612524 %
Average winning period: 2.2774425 %
Largest winning period: 7.311385 %
Maximum drawdown: -55.189228 %
Average losing stretch: 1.7346939 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.34 weeks
Best winning stretch: 8 weeks

Portfolio: Low PEG Ratio updated monthly.
Win ratio: 64 %
Winning periods to losing periods: 27/15
Average number of stocks on hold: 8.753129
Minimum number of stocks on hold: 3
Maximum number of stocks on hold: 16
Average holding time of a stock: 8.119047 months
Average number of orders per period: 1.9285715
Average losing period: -6.6787515 %
Largest losing period: -17.981108 %
Average winning period: 7.676215 %
Largest winning period: 21.716322 %
Maximum drawdown: -50.67319 %
Average losing stretch: 1.25 months
Worst losing stretch: 3 months
Average winning stretch: 2.25 months
Best winning stretch: 4 months

Portfolio: Price Momentum Weekly updated weekly.
Win ratio: 55 %
Winning periods to losing periods: 120/96
Average number of stocks on hold: 6.288889
Minimum number of stocks on hold: 3
Maximum number of stocks on hold: 9
Average holding time of a stock: 6.2314816 weeks
Average number of orders per period: 1.2546296
Average losing period: -4.7529674 %
Largest losing period: -20.964754 %
Average winning period: 5.484456 %
Largest winning period: 18.224487 %
Maximum drawdown: -66.83753 %
Average losing stretch: 1.882353 weeks
Worst losing stretch: 7 weeks
Average winning stretch: 2.3529413 weeks
Best winning stretch: 7 weeks

Portfolio: Ultimate Price Momentum v1 updated weekly.
Win ratio: 56 %
Winning periods to losing periods: 121/93
Average number of stocks on hold: 5.007782
Minimum number of stocks on hold: 2
Maximum number of stocks on hold: 8
Average holding time of a stock: 4.9719625 weeks
Average number of orders per period: 0.8551402
Average losing period: -5.340939 %
Largest losing period: -23.461409 %
Average winning period: 5.6567492 %
Largest winning period: 20.48581 %
Maximum drawdown: -76.78522 %
Average losing stretch: 1.8979592 weeks
Worst losing stretch: 6 weeks
Average winning stretch: 2.4693878 weeks
Best winning stretch: 9 weeks

Portfolio: Ultimate Price Momentum v2 updated weekly.
Win ratio: 60 %
Winning periods to losing periods: 128/85
Average number of stocks on hold: 4.16129
Minimum number of stocks on hold: 1
Maximum number of stocks on hold: 7
Average holding time of a stock: 4.1361504 weeks
Average number of orders per period: 0.7089202
Average losing period: -6.220489 %
Largest losing period: -25.274725 %
Average winning period: 5.5597205 %
Largest winning period: 23.667784 %
Maximum drawdown: -82.519554 %
Average losing stretch: 1.7 weeks
Worst losing stretch: 5 weeks
Average winning stretch: 2.509804 weeks
Best winning stretch: 9 weeks

Portfolio: Ultimate Price Momentum v3 updated weekly.
Win ratio: 59 %
Winning periods to losing periods: 126/86
Average number of stocks on hold: 3.4577603
Minimum number of stocks on hold: 0
Maximum number of stocks on hold: 7
Average holding time of a stock: 3.4433963 weeks
Average number of orders per period: 0.5613208
Average losing period: -5.714974 %
Largest losing period: -31.467152 %
Average winning period: 5.9030466 %
Largest winning period: 24.958475 %
Maximum drawdown: -75.872185 %
Average losing stretch: 1.755102 weeks
Worst losing stretch: 6 weeks
Average winning stretch: 2.52 weeks
Best winning stretch: 8 weeks

Portfolio: Ultimate Price Momentum v4 updated weekly.
Win ratio: 58 %
Winning periods to losing periods: 124/87
Average number of stocks on hold: 2.9091806
Minimum number of stocks on hold: 0
Maximum number of stocks on hold: 6
Average holding time of a stock: 2.9004738 weeks
Average number of orders per period: 0.47393364
Average losing period: -5.695493 %
Largest losing period: -31.066307 %
Average winning period: 6.5536065 %
Largest winning period: 30.469658 %
Maximum drawdown: -68.92834 %
Average losing stretch: 1.8125 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.4313726 weeks
Best winning stretch: 8 weeks

Portfolio: Ultimate Price Momentum v5 updated weekly.
Win ratio: 58 %
Winning periods to losing periods: 122/88
Average number of stocks on hold: 2.4484127
Minimum number of stocks on hold: 0
Maximum number of stocks on hold: 5
Average holding time of a stock: 2.4380953 weeks
Average number of orders per period: 0.4
Average losing period: -6.238963 %
Largest losing period: -31.529953 %
Average winning period: 6.6452394 %
Largest winning period: 25.714287 %
Maximum drawdown: -72.37431 %
Average losing stretch: 1.7254902 weeks
Worst losing stretch: 4 weeks
Average winning stretch: 2.2592592 weeks
Best winning stretch: 9 weeks

* portfolio_stats.csv (1.56 KB - downloaded 1011 times.)
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