CANSLIM w/Market-Timing (PFC)

Holdings protected for Charter members only

Performance
0304050607080910111213141516171819
Model (%) 11213772382048639-123610030292728-1030
Benchmark (%) 3593144-382313-0133011-11019-625
Excess (%) 77128692416436326-1222711929188-45

Risk Measurements Since Inception Trailing 3 Year
  Model S&P 500 ($SP500)   Model S&P 500 ($SP500)
Total Return 29,287.60% 282.20%   54.02% 39.04%
Annualized Return 40.30% 8.32%   15.48% 11.61%
Max Drawdown -34.81% -56.78%   -31.25% -19.78%
Standard Deviation 24.19% 13.47%   18.95% 12.23%
Sharpe Ratio 1.46 0.56   0.72 0.88
Sortino Ratio 2.23 0.72   0.94 1.09
Correlation with S&P 500 ($SP500) 0.58 -   0.69 -
R-Squared 0.34 -   0.48 -
Beta 1.04 -   1.07 -
Alpha (annualized) 31.35% -   2.10% -

This system is inspired by William O'Neil and his CANSLIM trading system. It inlcudes buy rules that only allow the investor to purchase new holdings when an uptrend is probable. To lower volatility risk, this portfolio holds a preferred 20 stocks when market conditions warrant it.

Key Stats
Annualized Return (CAGR) 40.30%
Alpha 31.35%
Rebalance Frequency Every Week
Last Rebalance 12/09/19
% Cash Invested 99.80%

Trading Stats
Average Days Held 60
Average Annual Turnover 518.83 %
Average Return 3.16%
Average Return Winners 15.64%
Average Return Losers -9.19%
Winners 52.24%