K12 Inc (LRN)
Update 12/27/2015
The above plots have been corrected for an error in the short side calculations. Below are updated equity curves and tables up until Dec 2015. The algorithm lost 13.6% over this time. The underlying stock dropped by 37.2%.
Update 10/19/2016
Since first publication in Feb 2015, this strategy has outperformed both buy-hold and short-hold. Here are the performance table and equity curve for the period since publication:
LRN Trading Strategy Update
LRN Trading Strategy Equity Since Inception
Update 5/26/2015:
Since 1/26/2015 the strategy has increased by 64% (341% annualized). The underlying stock LRN has increased 20.42% (74.6% annualized). There were 5 signals, 3 trades of which 2 were successful. Drawdown over the period was 5.8% vs. 19.4% for buy/hold.
Update 8/28/15:
Since 1/26/15 (original backtest end date), this algorithm has gained around 6% in value. LRN has lost around 10% in the same time.