Zynga (ZNGA)

BUY signal the week of 2.4.13 at $3.43. My first stop was $2.20, so my risk (R)/share was $1.23. 

Closed Friday at $3.40 with a $2.56 stop. My new stop for this week is $2.63.  

The percentage loss on this trade is -0.9%, and the reward-to-risk ratio is -$0.03/$1.23 = -0.02.

History (beginning in 2013):

Winning Trades: 0 | 0.0% | +$0.00/share avg.

Losing Trades: 1 | 100.0% | -$0.03/share avg.

Average Trade: -0.9% | -$0.03/share | Reward-to-Risk (R): -0.02
Compound Annual Growth Rate (CAGR): -2.8% 
Alpha% (weekly): -0.26%
Sharpe Ratio (weekly): +0.0091

Alpha% and Sharpe Ratio calculations:
Total # of weeks (1 trade): 16
Mean Trade Returns (weekly): +0.04%
Mean S&P 500 Returns (weekly): +0.46%
Standard Deviation (weekly): +4.52%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): +0.66
Alpha (calculation): -0.26%
Sharpe Ratio (calculation): +0.0091

Precision Castparts (PCP)

BUY signal the week of 9.13.10 at $126.68. My first stop was $103.19, so my risk (R)/share was $23.49. 

Closed Friday at $213.92 with a $187.91 stop. My new stop for this week is $188.73. 

The percentage gain on this trade is +68.9%, and the reward-to-risk ratio is +$87.24/$23.49 = +3.71.

History (beginning in 2003):

Winning Trades: 3 | 100.0% | +$73.43/share avg.

Losing Trades: 0 | 0.0% | -$0.00/share avg.

Average Trade: +218.9% | +$73.43/share | Reward-to-Risk (R): +13.89
Compound Annual Growth Rate (CAGR): +33.0%
Alpha% (weekly): +0.46%
Sharpe Ratio (weekly): +0.1987

Alpha and Sharpe Ratio calculations:
Total # of weeks (3 trades): 427
Mean Trade Returns (weekly): +0.71%
Mean S&P 500 Returns (weekly): +0.22%
Standard Deviation (weekly): +3.58%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): +1.16
Alpha (calculation): +0.46%
Sharpe Ratio (calculation): +0.1987

Mastercard (MA)

BUY signal the week of 10.18.10 at $242.64. My first stop was $202.75, so my risk (R)/share was $39.89. 

Closed Friday at $570.25 with a $519.79 stop. My new stop for this week is $522.37.  

The percentage gain on this trade is +135.0%, and the reward-to-risk ratio is +$327.61/$39.89 = +8.21.

History (beginning in 2006):

Winning Trades: 4 | 80.0% | +$117.35/share avg.

Losing Trades: 1 | 20.0% | -$35.79/share avg.

Average Trade: +57.8% | +$86.72/share | Reward-to-Risk (R): +3.02
Compound Annual Growth Rate (CAGR): +32.0%
Alpha% (weekly): +0.67%
Sharpe Ratio (weekly): +0.1638

Alpha and Sharpe Ratio calculations:
Total # of weeks (5 trades): 271
Mean Trade Returns (weekly): +0.82%
Mean S&P 500 Returns (weekly): +0.13%
Standard Deviation (weekly): +4.98%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): +1.15
Alpha (calculation): +0.67%
Sharpe Ratio (calculation): +0.1638

LinkedIn (LNKD)

BUY signal the week of 1.7.13 at $118.00. My first stop was $96.40, so my risk (R)/share was $21.60. 

Closed Friday at $167.53 with a $139.69 stop. My new stop for the coming week is $141.22.

The percentage gain on this trade is +42.0%, and the reward-to-risk ratio is +$49.53/$21.60 = +2.29.

History (beginning in 2013):

Winning Trades: 1 | 100.0% | +$49.53/share avg.

Losing Trades: 0 | 0.0% | -$0.00/share avg.

Average Trade: +42.0% | +$49.53/share | Reward-to-Risk (R): +2.29
Compound Annual Growth Rate (CAGR): +148.7%
Alpha% (weekly): +1.14%
Sharpe Ratio (weekly): +0.3039

Alpha% and Sharpe Ratio calculations:
Total # of weeks (1 trade): 20
Mean Trade Returns (weekly): +1.95%
Mean S&P 500 Returns (weekly): +0.52%
Standard Deviation (weekly): +6.42%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): +1.56
Alpha (calculation): +1.14%
Sharpe Ratio (calculation): +0.3039

Deckers Outdoor (DECK)

BUY signal the week of 2.4.13 at $43.56. My first stop was $29.97, so my risk (R)/share was $13.59. 

Closed Friday at $53.68 with a $45.81 stop. My new stop for the coming week is $46.52.

The percentage gain on this trade is +23.2%, and the reward-to-risk ratio is +$10.12/$13.59 = +0.74.

History (beginning in 2005):

Winning Trades: 3 | 75.0% | +$29.55/share avg.

Losing Trades: 1 | 25.0% | -$16.82/share avg.

Average Trade: +117.3% | +$17.96/share | Reward-to-Risk (R): +3.44
Compound Annual Growth Rate (CAGR): +34.2%
Alpha% (weekly): +0.83%
Sharpe Ratio (weekly): +0.1539

Alpha and Sharpe Ratio calculations:
Total # of weeks (4 trades): 280
Mean Trade Returns (weekly): +1.00%
Mean S&P 500 Returns (weekly): +0.11%
Standard Deviation (weekly): +6.49%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): 1.60
Alpha (calculation): +0.83%
Sharpe Ratio (calculation): +0.1539

Crocs (CROX)

BUY signal the week of 2.19.13 at $15.43. My first stop was $12.46, so my risk (R)/share was $2.97. 

Closed Friday at $17.64 with a $14.08 stop. My new stop for this week is $14.50. 

The percentage gain on this trade is +14.3%, and the reward-to-risk ratio is +$2.21/$2.97 = +0.74.

History (beginning in 2006):

Winning Trades: 3 | 75.0% | +$14.34/share avg.

Losing Trades: 1 | 25.0% | -$5.43/share avg.

Average Trade: +159.5% | +$9.40/share | Reward-to-Risk (R): +2.88
Compound Annual Growth Rate (CAGR): +46.2%
Alpha% (weekly): +1.35%
Sharpe Ratio (weekly): +0.1778

Alpha% and Sharpe Ratio calculations:
Total # of weeks (4 trades): 204
Mean Trade Returns (weekly): +1.70%
Mean S&P 500 Returns (weekly): +0.21%
Standard Deviation (weekly): +9.57%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): +1.68
Alpha (calculation): +1.35%
Sharpe Ratio (calculation): +0.1778

Salesforce.com (CRM)

BUY signal the week of 2.21.12 at $35.91 (adjusted for 4.18.13 4:1 stock split). My first stop was $27.13, so my risk (R)/share was $8.78. 

Closed Friday at $42.33 with a $38.00 stop. My new stop for the coming week is $38.10.  

The percentage gain on this trade is +17.9%, and the reward-to-risk ratio is +$6.42/$8.78 = +0.73.

History (beginning in 2004 and adjusted for 4.18.13 4:1 stock split):

Winning Trades: 4 | 80.0% | +$8.12/share avg.

Losing Trades: 1 | 20.0% | -$0.17/share avg.

Average Trade: +66.9% | +$6.46/share | Reward-to-Risk (R): +1.96
Compound Annual Growth Rate (CAGR): +28.2%
Alpha% (weekly): +0.52%
Sharpe Ratio (weekly): +0.1312

More bells and whistles! 

I added alpha% calculations the last time around because I want to compare the weekly performance of my trades against the benchmark S&P 500 Index.

Now I'm adding a weekly Sharpe Ratio (which I've actually calculated for years) because I like to objectively rank all of the stocks that I trade and/or follow from first to worst in terms of reward and risk. Basic portfolio optimization.

I've started to factor Sortino Ratios into the mix as well (differs from Sharpe in that it only calculates standard deviation below a minimum required rate of return), but let's stick with one new thing at a time for the sake of this blog.

Here are my calculations for alpha% and the Sharpe Ratio:

Total # of weeks (5 trades): 368
Mean Trade Returns (weekly): +0.75%
Mean S&P 500 Returns (weekly): +0.16%
Standard Deviation (weekly): 5.74%
Risk-Free Rate (baseline assumption): 0.0%
Beta (calculation): +1.39
Alpha% (calculation): +0.52%
Sharpe Ratio (calculation): +0.1312