CANSLIM w/Market-Timing (PFC)

Holdings protected for Charter members only

Performance
0304050607080910111213141516171819
Model (%) 11213772382048639-123610030292728-1017
Benchmark (%) 3593144-382313-0133011-11019-615
Excess (%) 77128692416436326-1222711929188-42

Risk Measurements Since Inception Trailing 3 Year
  Model S&P 500 ($SP500)   Model S&P 500 ($SP500)
Total Return 26,300.63% 251.43%   68.70% 32.62%
Annualized Return 40.31% 7.93%   19.04% 9.87%
Max Drawdown -34.81% -56.78%   -31.25% -19.78%
Standard Deviation 24.40% 13.57%   20.73% 12.25%
Sharpe Ratio 1.46 0.54   0.83 0.83
Sortino Ratio 2.23 0.70   1.12 1.03
Correlation with S&P 500 ($SP500) 0.58 -   0.67 -
R-Squared 0.34 -   0.45 -
Beta 1.04 -   1.14 -
Alpha (annualized) 31.84% -   5.76% -

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) 40.31%
Alpha 31.84%
Rebalance Frequency Every Week
Last Rebalance 08/12/19
% Cash Invested 95.27%

Trading Stats
Average Days Held 60
Average Annual Turnover 514.85 %
Average Return 2.98%
Average Return Winners 15.67%
Average Return Losers -9.35%
Winners 52.13%