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A strategic, methodical investment approach based on assessing reward vs. risk opportunities.
Harnessing the power of institutional algorithms in your portfolio.

We employ our proprietary algorithmic platform to rehabilitate individual investment portfolios. Our core desire — the goal that drives all of our algorithmic work: Making sure you avoid re-experiencing the trauma of 2008. To do this we focus on dramatically reducing the drawdowns experienced in the “buy and hope” portfolio while still capturing the upside.

Managing capital on a one-on-one basis through our affiliation with Interactive Brokers we design and employ flexible algorithms tailored to the risk tolerance of the investor. Read the full overview…

rcmSwingStrategy Applied to the S&P500 (SPY)

Our flagship strategy concentrates on improving the quality of returns for assets committed to any form of S&P500 indexing. We believe that the Buy & Hold style of stock market investing exposes a portfolio to undo and unnecessary risk.

At Rosenthal Capital Management our proprietary algorithmic platform enables us to dramatically reduce draw vs. Buy & Hold without sacrificing returns. In fact, during certain market environments our research indicates that our algorithm will be able to significantly outperform on the upside while still reducing draw. Read the full analysis….

Performance Summary

The best way to understand how the Rosenthal Capital Management portfolio rehabilitation approach yields results comes from seeing the numbers. Specifically, a back-tested profile for the ten-year period 2006 – 2016 (including all long and short trades), plus max drawdown for intra-day peak valley, and trade close to trade close illustrates the full picture. Read the full summary…

Trade Like A Professional: Secrets of Successful Traders

Author and podcast host, Steve Cawiezell, interviews our head trader, Bret Rosenthal.

Audio interview by Steven Cawiezell, host of the Secrets of Successful Trading Systems Podcast.

Before Bret was featured in Cawiezell’s book, Expert Trading Systems: Expert Traders Share Their Secrets!, he was interviewed for a lengthy conversation.

Creating a consistent trading strategy requires looking at the trading process from a host of different perspectives, and then adding as much edge (information, tools, etc.) to get that so often elusive one more great trade per day.

Bret and Steven covered many relevant points on the quest for consistency, including:

  • Bret’s personal history of almost thirty years of being a part of the professional trading community
  • The #1 most important aspect of trading success
  • The biggest and most frequent mistake traders make
  • The importance of knowing your trader DNA
  • The function of Volume Weighted Average Price (VWAP) trading in the strategy mix
  • Techniques of risk management
  • How location trading improves the probability of each trade’s success
  • How diversification through styles of management differs from diversification through segments
  • The Livermore Rule
  • Book/Gain rules
  • The top two biggest problems for individual investors


Our proprietary volatility enhanced trading algorithm.

Designed and built by Bret Rosenthal, Principal and Head Trader, and Bill Jacobs, our Lead Quant Developer and Trader.

About the Price Movement Profiler…

tradestationdevAs accredited TradeStation developers Bret and Bill have created a unique trading algorithm. Built and refined over a series of years our Price Movement Profiler trading app (rcmPMP) contains five main components:

1. rcmOpeningRange (rcmOR) – High, Low & Mid-point (or user specified sub-session)

2. rcmFibonacciExtensions (rcmFIB) – Automatic & dynamic 4 levels both above& below rcmOR

3. rcmVolumeWeightedAveragePrice (rcmVWAP) calculations with 3 standard deviation envelopes above and below the average

4. rcmAverageTrueRange (rcmATR) – Proprietary & self-adjusting

5. rcmPercentageMove (rcmPM) – Multiple levels both above & below rcmOR

Unlike the limitations of other apps, the rcmPMP pushes past the limits of traditional indicators by including:

Combined single indicator aggregation with user defined settings

Dynamic volatility function that provides asset specific adaptive technology incorporating near term and top day price action

Find out how the RCM Index Swing Strategy Platform can reduce downside risks in your portfolio.


Around the Web

Market Commentary by Head Trader, Bret Rosenthal

RCM Commentary

Investing education published on

Bret Rosenthal writes about investment algorithms on

RCM Podcast

Weekly in-depth portfolio rehabilitation analysis.

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