All Reports / Report #221

Simulation Report

Momentum + Quality (proxy)

The simulation finished up 8.85% versus contributed principal.
Created at 2026-07-15 08:37:40 / v2 / Updated by Colin ZHao

Simulation Report

Momentum + Quality (proxy)

The simulation finished up 8.85% versus contributed principal.

Created at 2026-07-15 08:37:40 / Updated by Colin ZHao

Thesis

No forward-looking thesis was provided.

Goal

Test the Momentum + Quality (proxy) factor on a rolling window

Primary metric: Annualized return and edge vs equal-weight S&P 500, drawdown-aware

Period

Simulation range
2001-07-03 -> 2006-07-12
Starting value
202,500.00
Principal contributed
350,000.00
Ending cash
380,961.52

Strategy Rules

Momentum + Quality (proxy) momqlc-x01-2001

  • Top-12 equal-weight, monthly rebalance, no look-ahead
  • Proxy factor from available data (see summary)

Result

Ending value
380,961.52Portfolio value at the final available date
Total gain/loss
+30,961.52+8.85%
Avg yearly gain
+2.15%Money-weighted annualized return using the recorded deposit schedule
S&P 500 (EW) yearly gain
+14.81%S&P 500 (EW) ending value: 617,343.59
Max drawdown
+0.00%0 open positions at the end of the run

Run Facts

Largest position
0.00%
Cash position
380,961.52 (100.00%)
Unique stocks traded
0

Tax Profile

Unrealized gain exposure
+0.00
Long-term tax
0.00
Short-term tax
0.00
Dividend tax
0.00
Total estimated tax
7,430.76

Strategy Check

  • The strategy followed the trading-universe rule: 0 user-selected stocks were traded, with 0 buys and 0 sells.
  • The strategy met the capital-growth goal in absolute terms, finishing with a 8.85% return on contributed principal.
  • The strategy followed the no-sell rule for the full run.
  • The path was volatile: maximum drawdown reached 0.00%.
  • Cash usage drifted higher than intended at the end of the run, finishing at 100.00% of the portfolio.

Note

Factor-rank engine; mom-quality; CLI-executed; proxy factors (12-1 momentum + TTM-EPS-growth quality proxy (no ROE/margin/FCF in data), profitable cap>=floor.).

Positions At Report Date

—

As of 2006-07-12

Show types
Date Action Symbol Qty Price Acquired Term Cash Note
2006-07-03 INTEREST — — — — — +1563.33 —
2006-06-01 DEPOSIT — — — — — +5000.00 Monthly contribution x2
2006-06-01 INTEREST — — — — — +1488.57 —
2006-05-01 INTEREST — — — — — +1331.67 —
2006-04-28 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2006-04-03 INTEREST — — — — — +1555.60 —
2006-03-20 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2006-03-01 INTEREST — — — — — +1303.01 —
2006-02-27 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2006-02-01 INTEREST — — — — — +1339.05 —
2006-01-18 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2006-01-03 INTEREST — — — — — +954.31 —
2005-12-20 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-12-01 INTEREST — — — — — +809.97 —
2005-11-15 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-11-01 INTEREST — — — — — +777.89 —
2005-10-05 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-10-03 INTEREST — — — — — +849.60 —
2005-09-06 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-09-01 INTEREST — — — — — +816.09 —
2005-08-01 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-08-01 INTEREST — — — — — +807.46 —
2005-07-05 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-07-01 INTEREST — — — — — +773.09 —
2005-06-09 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-06-01 INTEREST — — — — — +765.96 —
2005-05-05 DEPOSIT — — — — — +5000.00 Monthly contribution x2
2005-05-02 INTEREST — — — — — +778.93 —
2005-04-01 INTEREST — — — — — +776.89 —
2005-03-02 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-03-01 INTEREST — — — — — +693.68 —
2005-02-08 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-02-01 INTEREST — — — — — +712.70 —
2005-01-03 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2005-01-03 INTEREST — — — — — +333.58 —
2004-12-08 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-12-01 INTEREST — — — — — +257.76 —
2004-11-08 DEPOSIT — — — — — +5000.00 Monthly contribution x2
2004-11-01 INTEREST — — — — — +262.87 —
2004-10-01 INTEREST — — — — — +254.18 —
2004-09-01 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-09-01 INTEREST — — — — — +251.44 —
2004-08-09 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-08-02 INTEREST — — — — — +265.06 —
2004-07-19 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-07-01 INTEREST — — — — — +246.84 —
2004-06-09 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-06-01 INTEREST — — — — — +236.49 —
2004-05-10 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-05-03 INTEREST — — — — — +257.83 —
2004-04-19 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-04-01 INTEREST — — — — — +247.06 —
2004-03-24 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-03-01 INTEREST — — — — — +221.80 —
2004-02-12 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-02-02 INTEREST — — — — — +243.52 —
2004-01-09 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2004-01-02 INTEREST — — — — — +225.84 —
2003-12-05 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2003-12-01 INTEREST — — — — — +194.05 —
2003-11-12 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2003-11-03 INTEREST — — — — — +226.21 —
2003-10-16 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2003-10-01 INTEREST — — — — — +197.31 —
2003-09-05 DEPOSIT — — — — — +5000.00 Monthly contribution x2
2003-09-02 INTEREST — — — — — +214.01 —
2003-08-01 INTEREST — — — — — +205.44 —
2003-07-29 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2003-07-01 INTEREST — — — — — +190.15 —
2003-06-30 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2003-06-02 INTEREST — — — — — +209.59 —
2003-05-01 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2003-05-01 INTEREST — — — — — +194.31 —
2003-04-04 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2003-04-01 INTEREST — — — — — +185.54 —
2003-03-12 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2003-03-03 INTEREST — — — — — +177.70 —
2003-02-04 DEPOSIT — — — — — +5000.00 Monthly contribution x2
2003-02-03 INTEREST — — — — — +199.13 —
2003-01-02 INTEREST — — — — — +290.14 —
2002-12-30 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-12-02 INTEREST — — — — — +293.91 —
2002-11-27 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-11-01 INTEREST — — — — — +291.07 —
2002-10-22 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-10-01 INTEREST — — — — — +259.84 —
2002-09-23 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-09-03 INTEREST — — — — — +303.52 —
2002-08-16 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-08-01 INTEREST — — — — — +281.54 —
2002-07-18 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-07-01 INTEREST — — — — — +251.37 —
2002-06-18 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-06-03 INTEREST — — — — — +292.21 —
2002-05-24 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-05-01 INTEREST — — — — — +262.08 —
2002-04-26 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-04-01 INTEREST — — — — — +267.60 —
2002-03-26 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-03-01 INTEREST — — — — — +238.34 —
2002-02-28 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2002-02-01 INTEREST — — — — — +254.01 —
2002-01-07 DEPOSIT — — — — — +5000.00 Monthly contribution x2
2002-01-02 INTEREST — — — — — +662.54 —
2001-12-03 INTEREST — — — — — +730.42 —
2001-11-21 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2001-11-01 INTEREST — — — — — +695.78 —
2001-10-25 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2001-10-01 INTEREST — — — — — +598.90 —
2001-09-18 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2001-09-04 INTEREST — — — — — +743.63 —
2001-08-14 DEPOSIT — — — — — +2500.00 Monthly contribution x1
2001-08-01 INTEREST — — — — — +649.11 —
2001-07-02 DEPOSIT — — — — — +2500.00 Monthly contribution (first month)
2001-07-02 DEPOSIT — — — — — +200000.00 Initial capital
storage/stock-reports/221/values.log
Snapshots
1,262
First value
202,500
Latest value
380,961.52
Net change
178,461.52
Total Value 380,961.52
+178,461.52 (+88.13%) 2001-07-03 -> 2006-07-12