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The ACE
(127764619)

Created by: D_Financial D_Financial
Started: 02/2020
Stocks
Last trade: 5 days ago
Trading style: Equity Momentum Sector Rotation

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $195.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
87.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(17.7%)
Max Drawdown
302
Num Trades
61.9%
Win Trades
2.3 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +3.4%+5.3%+16.9%+18.5%+7.8%+4.2%+5.7%+2.1%(3.1%)+18.7%+7.0%+125.0%
2021+5.4%  -  +0.4%+7.6%+0.7%+2.2%(2.3%)+6.7%(1.2%)                  +20.7%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 1,291 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/14/21 9:45 UWM PROSHARES ULTRA RUSSELL2000 LONG 34 55.91 9/21 14:31 53.15 0.11%
Trade id #137363996
Max drawdown($145)
Time9/20/21 0:00
Quant open34
Worst price51.64
Drawdown as % of equity-0.11%
($95)
Includes Typical Broker Commissions trade costs of $0.68
9/14/21 9:43 SSO PROSHARES ULTRA S&P500 LONG 181 129.79 9/21 14:31 122.84 1.33%
Trade id #137363935
Max drawdown($1,807)
Time9/20/21 0:00
Quant open181
Worst price119.80
Drawdown as % of equity-1.33%
($1,261)
Includes Typical Broker Commissions trade costs of $3.62
9/8/21 9:47 EEM ISHARES MSCI EMERGING MARKETS LONG 30 52.92 9/21 14:30 50.37 0.07%
Trade id #137286739
Max drawdown($100)
Time9/20/21 0:00
Quant open30
Worst price49.57
Drawdown as % of equity-0.07%
($77)
Includes Typical Broker Commissions trade costs of $0.60
9/16/21 15:24 AMD ADVANCED MICRO DEVICES INC. C LONG 40 106.47 9/20 11:09 101.37 0.17%
Trade id #137404905
Max drawdown($230)
Time9/20/21 9:30
Quant open40
Worst price100.70
Drawdown as % of equity-0.17%
($205)
Includes Typical Broker Commissions trade costs of $0.80
8/31/21 9:32 IWM ISHARES RUSSELL 2000 INDEX LONG 19 225.66 9/14 9:45 222.80 0.08%
Trade id #137190550
Max drawdown($102)
Time9/13/21 0:00
Quant open19
Worst price220.25
Drawdown as % of equity-0.08%
($54)
Includes Typical Broker Commissions trade costs of $0.38
8/31/21 9:32 UUP INVESCO DB US DOLLAR INDEX LONG 286 24.90 9/14 9:44 24.82 0.02%
Trade id #137190517
Max drawdown($30)
Time9/14/21 9:30
Quant open286
Worst price24.79
Drawdown as % of equity-0.02%
($26)
Includes Typical Broker Commissions trade costs of $5.72
5/25/21 9:55 TLT ISHARES 20+ YEAR TREASURY BOND LONG 216 146.03 9/14 9:43 148.41 0.04%
Trade id #135764115
Max drawdown($46)
Time6/1/21 0:00
Quant open30
Worst price137.25
Drawdown as % of equity-0.04%
$510
Includes Typical Broker Commissions trade costs of $4.32
5/25/21 9:54 SPY SPDR S&P 500 LONG 99 434.33 9/14 9:42 440.35 0.1%
Trade id #135764057
Max drawdown($135)
Time6/18/21 0:00
Quant open24
Worst price414.70
Drawdown as % of equity-0.10%
$594
Includes Typical Broker Commissions trade costs of $1.98
7/20/21 15:35 XLRE SELECT SECTOR SPDR REAL ESTATE FUND LONG 75 46.40 8/24 13:53 46.49 0.05%
Trade id #136598064
Max drawdown($58)
Time7/22/21 0:00
Quant open75
Worst price45.62
Drawdown as % of equity-0.05%
$6
Includes Typical Broker Commissions trade costs of $1.50
8/10/21 9:46 IWM ISHARES RUSSELL 2000 INDEX LONG 11 220.59 8/24 9:38 220.68 0.08%
Trade id #136899673
Max drawdown($108)
Time8/19/21 0:00
Quant open11
Worst price210.68
Drawdown as % of equity-0.08%
$1
Includes Typical Broker Commissions trade costs of $0.22
7/30/21 10:59 TSLA TESLA INC. LONG 7 690.38 8/20 9:41 691.85 0.19%
Trade id #136757882
Max drawdown($249)
Time8/17/21 0:00
Quant open6
Worst price648.84
Drawdown as % of equity-0.19%
$10
Includes Typical Broker Commissions trade costs of $0.14
7/20/21 9:40 UUP INVESCO DB US DOLLAR INDEX LONG 768 25.03 8/17 9:38 24.84 0.15%
Trade id #136587165
Max drawdown($192)
Time7/29/21 0:00
Quant open567
Worst price24.69
Drawdown as % of equity-0.15%
($160)
Includes Typical Broker Commissions trade costs of $12.72
12/29/20 11:03 SAVE SPIRIT AIRLINES LONG 250 29.69 8/9/21 9:35 30.19 0.5%
Trade id #133070856
Max drawdown($633)
Time7/19/21 0:00
Quant open125
Worst price24.62
Drawdown as % of equity-0.50%
$121
Includes Typical Broker Commissions trade costs of $5.00
2/23/21 10:30 DUFRY DUFRY AG LONG 500 6.06 8/3 9:58 5.51 0.34%
Trade id #134226832
Max drawdown($436)
Time7/19/21 0:00
Quant open400
Worst price4.97
Drawdown as % of equity-0.34%
($287)
Includes Typical Broker Commissions trade costs of $10.00
7/28/21 11:04 GILD GILEAD SCIENCES LONG 50 69.55 7/30 9:46 68.47 0.05%
Trade id #136715637
Max drawdown($65)
Time7/30/21 9:38
Quant open50
Worst price68.24
Drawdown as % of equity-0.05%
($55)
Includes Typical Broker Commissions trade costs of $1.00
12/22/20 13:08 UBER UBER TECHNOLOGIES INC LONG 55 54.62 7/28/21 11:05 48.76 0.42%
Trade id #132967561
Max drawdown($515)
Time5/12/21 0:00
Quant open45
Worst price43.17
Drawdown as % of equity-0.42%
($323)
Includes Typical Broker Commissions trade costs of $1.10
3/3/21 12:39 FAS DIREXION DAILY FINANCIAL BULL LONG 58 94.42 7/26 13:45 104.51 0.24%
Trade id #134394057
Max drawdown($284)
Time3/4/21 0:00
Quant open30
Worst price78.82
Drawdown as % of equity-0.24%
$584
Includes Typical Broker Commissions trade costs of $1.16
5/25/21 9:57 IWM ISHARES RUSSELL 2000 INDEX LONG 31 223.90 7/20 9:38 221.00 0.14%
Trade id #135764201
Max drawdown($178)
Time7/19/21 0:00
Quant open12
Worst price209.05
Drawdown as % of equity-0.14%
($91)
Includes Typical Broker Commissions trade costs of $0.62
5/19/21 13:17 NEM NEWMONT CORP LONG 53 73.58 7/19 10:20 60.83 0.55%
Trade id #135684997
Max drawdown($684)
Time7/19/21 10:20
Quant open53
Worst price60.66
Drawdown as % of equity-0.55%
($676)
Includes Typical Broker Commissions trade costs of $1.06
5/18/21 13:02 JETS US GLOBAL JETS ETF LONG 125 26.77 7/19 10:19 21.20 0.56%
Trade id #135668053
Max drawdown($697)
Time7/19/21 10:17
Quant open125
Worst price21.19
Drawdown as % of equity-0.56%
($700)
Includes Typical Broker Commissions trade costs of $2.50
6/24/21 9:44 RBLX ROBLOX CORP LONG 50 84.65 7/19 9:33 76.47 0.35%
Trade id #136192085
Max drawdown($440)
Time7/19/21 9:33
Quant open47
Worst price75.28
Drawdown as % of equity-0.35%
($410)
Includes Typical Broker Commissions trade costs of $1.00
5/11/21 14:27 Z ZILLOW GROUP INC. CLASS C CAPITAL STOCK LONG 32 115.69 7/19 9:32 100.98 0.38%
Trade id #135563314
Max drawdown($479)
Time7/19/21 9:32
Quant open32
Worst price100.70
Drawdown as % of equity-0.38%
($472)
Includes Typical Broker Commissions trade costs of $0.64
7/7/21 9:33 UUP INVESCO DB US DOLLAR INDEX LONG 84 24.90 7/13 9:43 24.91 0.01%
Trade id #136358380
Max drawdown($11)
Time7/9/21 0:00
Quant open84
Worst price24.76
Drawdown as % of equity-0.01%
($1)
Includes Typical Broker Commissions trade costs of $1.68
5/25/21 9:58 EEM ISHARES MSCI EMERGING MARKETS LONG 84 54.28 7/7 9:31 54.44 0.03%
Trade id #135764221
Max drawdown($33)
Time7/6/21 0:00
Quant open51
Worst price53.62
Drawdown as % of equity-0.03%
$11
Includes Typical Broker Commissions trade costs of $1.68
5/25/21 9:56 GLD SPDR GOLD SHARES LONG 81 176.77 6/29 9:39 169.25 0.5%
Trade id #135764162
Max drawdown($642)
Time6/18/21 0:00
Quant open54
Worst price164.87
Drawdown as % of equity-0.50%
($611)
Includes Typical Broker Commissions trade costs of $1.62
5/5/21 9:42 URNM NORTHSHORE GLOBAL URANIUM MINING ETF LONG 55 63.85 6/28 15:02 62.98 0.13%
Trade id #135459271
Max drawdown($163)
Time6/21/21 0:00
Quant open51
Worst price60.65
Drawdown as % of equity-0.13%
($49)
Includes Typical Broker Commissions trade costs of $1.10
5/10/21 14:13 PLCE CHILDRENS PLACE INC. LONG 44 79.63 6/18 9:39 89.16 0.35%
Trade id #135542683
Max drawdown($419)
Time5/13/21 0:00
Quant open44
Worst price70.10
Drawdown as % of equity-0.35%
$418
Includes Typical Broker Commissions trade costs of $0.88
6/2/21 9:44 UGL PROSHARES ULTRA GOLD LONG 50 67.00 6/10 9:48 65.75 0.12%
Trade id #135873163
Max drawdown($157)
Time6/3/21 0:00
Quant open50
Worst price63.85
Drawdown as % of equity-0.12%
($63)
Includes Typical Broker Commissions trade costs of $1.00
5/5/21 9:52 CLF CLEVELAND-CLIFFS INC LONG 175 20.02 6/10 9:46 22.38 0.33%
Trade id #135459749
Max drawdown($407)
Time5/24/21 0:00
Quant open150
Worst price17.65
Drawdown as % of equity-0.33%
$410
Includes Typical Broker Commissions trade costs of $3.50
5/11/21 10:54 V VISA LONG 14 224.25 6/7 10:40 231.14 0.04%
Trade id #135559021
Max drawdown($55)
Time5/12/21 0:00
Quant open14
Worst price220.31
Drawdown as % of equity-0.04%
$97
Includes Typical Broker Commissions trade costs of $0.28

Statistics

  • Strategy began
    2/28/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    575.65
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    302
  • # Profitable
    187
  • % Profitable
    61.90%
  • Avg trade duration
    34.5 days
  • Max peak-to-valley drawdown
    17.67%
  • drawdown period
    Feb 10, 2021 - March 05, 2021
  • Annual Return (Compounded)
    87.8%
  • Avg win
    $546.12
  • Avg loss
    $387.70
  • Model Account Values (Raw)
  • Cash
    $62,008
  • Margin Used
    $0
  • Buying Power
    $106,413
  • Ratios
  • W:L ratio
    2.31:1
  • Sharpe Ratio
    2
  • Sortino Ratio
    3
  • Calmar Ratio
    6.907
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    120.71%
  • Correlation to SP500
    0.44110
  • Return Percent SP500 (cumu) during strategy life
    50.82%
  • Return Statistics
  • Ann Return (w trading costs)
    87.8%
  • Slump
  • Current Slump as Pcnt Equity
    3.30%
  • Instruments
  • Percent Trades Futures
    0.15%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.878%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    0.85%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    93.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    924
  • Popularity (Last 6 weeks)
    978
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    982
  • Popularity (7 days, Percentile 1000 scale)
    961
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $390
  • Avg Win
    $730
  • Sum Trade PL (losers)
    $44,858.000
  • AUM
  • AUM (AutoTrader num accounts)
    8
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $136,529.000
  • # Winners
    187
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    466
  • AUM
  • AUM (AutoTrader live capital)
    854576
  • Win / Loss
  • # Losers
    115
  • % Winners
    61.9%
  • Frequency
  • Avg Position Time (mins)
    49682.20
  • Avg Position Time (hrs)
    828.04
  • Avg Trade Length
    34.5 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.46
  • Daily leverage (max)
    17.13
  • Regression
  • Alpha
    0.14
  • Beta
    0.42
  • Treynor Index
    0.42
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.618
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.381
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.309
  • Hold-and-Hope Ratio
    0.865
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70810
  • SD
    0.23463
  • Sharpe ratio (Glass type estimate)
    3.01795
  • Sharpe ratio (Hedges UMVUE)
    2.88248
  • df
    17.00000
  • t
    3.69622
  • p
    0.10915
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.09567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.87675
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01172
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.75323
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.61480
  • Upside Potential Ratio
    13.92310
  • Upside part of mean
    0.78154
  • Downside part of mean
    -0.07344
  • Upside SD
    0.30104
  • Downside SD
    0.05613
  • N nonnegative terms
    15.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.28063
  • Mean of criterion
    0.70810
  • SD of predictor
    0.20250
  • SD of criterion
    0.23463
  • Covariance
    0.02247
  • r
    0.47287
  • b (slope, estimate of beta)
    0.54790
  • a (intercept, estimate of alpha)
    0.55434
  • Mean Square Error
    0.04541
  • DF error
    16.00000
  • t(b)
    2.14665
  • p(b)
    0.26356
  • t(a)
    2.94607
  • p(a)
    0.20348
  • Lowerbound of 95% confidence interval for beta
    0.00683
  • Upperbound of 95% confidence interval for beta
    1.08898
  • Lowerbound of 95% confidence interval for alpha
    0.15546
  • Upperbound of 95% confidence interval for alpha
    0.95324
  • Treynor index (mean / b)
    1.29239
  • Jensen alpha (a)
    0.55434
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66364
  • SD
    0.21919
  • Sharpe ratio (Glass type estimate)
    3.02763
  • Sharpe ratio (Hedges UMVUE)
    2.89173
  • df
    17.00000
  • t
    3.70808
  • p
    0.10859
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.10359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.88815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76409
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.56080
  • Upside Potential Ratio
    12.86540
  • Upside part of mean
    0.73852
  • Downside part of mean
    -0.07489
  • Upside SD
    0.28068
  • Downside SD
    0.05740
  • N nonnegative terms
    15.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.25788
  • Mean of criterion
    0.66364
  • SD of predictor
    0.20134
  • SD of criterion
    0.21919
  • Covariance
    0.01962
  • r
    0.44461
  • b (slope, estimate of beta)
    0.48402
  • a (intercept, estimate of alpha)
    0.53882
  • Mean Square Error
    0.04096
  • DF error
    16.00000
  • t(b)
    1.98546
  • p(b)
    0.27770
  • t(a)
    3.04764
  • p(a)
    0.19698
  • Lowerbound of 95% confidence interval for beta
    -0.03278
  • Upperbound of 95% confidence interval for beta
    1.00082
  • Lowerbound of 95% confidence interval for alpha
    0.16402
  • Upperbound of 95% confidence interval for alpha
    0.91361
  • Treynor index (mean / b)
    1.37109
  • Jensen alpha (a)
    0.53882
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04761
  • Expected Shortfall on VaR
    0.07220
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00558
  • Expected Shortfall on VaR
    0.01569
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.94505
  • Quartile 1
    1.02649
  • Median
    1.06526
  • Quartile 3
    1.08888
  • Maximum
    1.19659
  • Mean of quarter 1
    0.98852
  • Mean of quarter 2
    1.03981
  • Mean of quarter 3
    1.06911
  • Mean of quarter 4
    1.14516
  • Inter Quartile Range
    0.06240
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.19057
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.17799
  • VaR(95%) (regression method)
    0.04865
  • Expected Shortfall (regression method)
    0.05699
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01924
  • Quartile 1
    0.02411
  • Median
    0.02898
  • Quartile 3
    0.04197
  • Maximum
    0.05495
  • Mean of quarter 1
    0.01924
  • Mean of quarter 2
    0.02898
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05495
  • Inter Quartile Range
    0.01786
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.21442
  • Compounded annual return (geometric extrapolation)
    0.99680
  • Calmar ratio (compounded annual return / max draw down)
    18.14010
  • Compounded annual return / average of 25% largest draw downs
    18.14010
  • Compounded annual return / Expected Shortfall lognormal
    13.80530
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65721
  • SD
    0.25726
  • Sharpe ratio (Glass type estimate)
    2.55463
  • Sharpe ratio (Hedges UMVUE)
    2.54992
  • df
    407.00000
  • t
    3.18792
  • p
    0.00077
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.97272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96957
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13027
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91864
  • Upside Potential Ratio
    11.13360
  • Upside part of mean
    1.86725
  • Downside part of mean
    -1.21004
  • Upside SD
    0.19885
  • Downside SD
    0.16771
  • N nonnegative terms
    257.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    408.00000
  • Mean of predictor
    0.27626
  • Mean of criterion
    0.65721
  • SD of predictor
    0.28258
  • SD of criterion
    0.25726
  • Covariance
    0.03128
  • r
    0.43028
  • b (slope, estimate of beta)
    0.39172
  • a (intercept, estimate of alpha)
    0.54900
  • Mean Square Error
    0.05406
  • DF error
    406.00000
  • t(b)
    9.60443
  • p(b)
    0.00000
  • t(a)
    2.94103
  • p(a)
    0.00173
  • Lowerbound of 95% confidence interval for beta
    0.31154
  • Upperbound of 95% confidence interval for beta
    0.47190
  • Lowerbound of 95% confidence interval for alpha
    0.18204
  • Upperbound of 95% confidence interval for alpha
    0.91594
  • Treynor index (mean / b)
    1.67774
  • Jensen alpha (a)
    0.54899
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62341
  • SD
    0.25699
  • Sharpe ratio (Glass type estimate)
    2.42585
  • Sharpe ratio (Hedges UMVUE)
    2.42138
  • df
    407.00000
  • t
    3.02722
  • p
    0.00131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00077
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65910
  • Upside Potential Ratio
    10.84500
  • Upside part of mean
    1.84768
  • Downside part of mean
    -1.22427
  • Upside SD
    0.19580
  • Downside SD
    0.17037
  • N nonnegative terms
    257.00000
  • N negative terms
    151.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    408.00000
  • Mean of predictor
    0.23595
  • Mean of criterion
    0.62341
  • SD of predictor
    0.28447
  • SD of criterion
    0.25699
  • Covariance
    0.03175
  • r
    0.43425
  • b (slope, estimate of beta)
    0.39229
  • a (intercept, estimate of alpha)
    0.53085
  • Mean Square Error
    0.05372
  • DF error
    406.00000
  • t(b)
    9.71353
  • p(b)
    0.00000
  • t(a)
    2.85436
  • p(a)
    0.00227
  • Lowerbound of 95% confidence interval for beta
    0.31290
  • Upperbound of 95% confidence interval for beta
    0.47169
  • Lowerbound of 95% confidence interval for alpha
    0.16525
  • Upperbound of 95% confidence interval for alpha
    0.89645
  • Treynor index (mean / b)
    1.58914
  • Jensen alpha (a)
    0.53085
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02346
  • Expected Shortfall on VaR
    0.02990
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00860
  • Expected Shortfall on VaR
    0.01841
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    408.00000
  • Minimum
    0.94657
  • Quartile 1
    0.99557
  • Median
    1.00361
  • Quartile 3
    1.01041
  • Maximum
    1.06266
  • Mean of quarter 1
    0.98275
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00692
  • Mean of quarter 4
    1.02099
  • Inter Quartile Range
    0.01484
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.96309
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.03186
  • Mean of outliers high
    1.04432
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04708
  • VaR(95%) (moments method)
    0.01291
  • Expected Shortfall (moments method)
    0.01774
  • Extreme Value Index (regression method)
    -0.06625
  • VaR(95%) (regression method)
    0.01553
  • Expected Shortfall (regression method)
    0.02162
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00802
  • Median
    0.02171
  • Quartile 3
    0.05082
  • Maximum
    0.13291
  • Mean of quarter 1
    0.00306
  • Mean of quarter 2
    0.01338
  • Mean of quarter 3
    0.03259
  • Mean of quarter 4
    0.08640
  • Inter Quartile Range
    0.04281
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    0.12546
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.33749
  • VaR(95%) (moments method)
    0.09439
  • Expected Shortfall (moments method)
    0.11035
  • Extreme Value Index (regression method)
    -0.66465
  • VaR(95%) (regression method)
    0.09191
  • Expected Shortfall (regression method)
    0.10021
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.12849
  • Compounded annual return (geometric extrapolation)
    0.91807
  • Calmar ratio (compounded annual return / max draw down)
    6.90731
  • Compounded annual return / average of 25% largest draw downs
    10.62540
  • Compounded annual return / Expected Shortfall lognormal
    30.70850
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34523
  • SD
    0.16551
  • Sharpe ratio (Glass type estimate)
    2.08586
  • Sharpe ratio (Hedges UMVUE)
    2.07380
  • df
    130.00000
  • t
    1.47492
  • p
    0.43585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70140
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70945
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85704
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.16127
  • Upside Potential Ratio
    10.75720
  • Upside part of mean
    1.17475
  • Downside part of mean
    -0.82952
  • Upside SD
    0.12535
  • Downside SD
    0.10921
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23954
  • Mean of criterion
    0.34523
  • SD of predictor
    0.10886
  • SD of criterion
    0.16551
  • Covariance
    0.01068
  • r
    0.59291
  • b (slope, estimate of beta)
    0.90146
  • a (intercept, estimate of alpha)
    0.12929
  • Mean Square Error
    0.01790
  • DF error
    129.00000
  • t(b)
    8.36261
  • p(b)
    0.14600
  • t(a)
    0.67702
  • p(a)
    0.46214
  • Lowerbound of 95% confidence interval for beta
    0.68818
  • Upperbound of 95% confidence interval for beta
    1.11474
  • Lowerbound of 95% confidence interval for alpha
    -0.24855
  • Upperbound of 95% confidence interval for alpha
    0.50713
  • Treynor index (mean / b)
    0.38297
  • Jensen alpha (a)
    0.12929
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33139
  • SD
    0.16544
  • Sharpe ratio (Glass type estimate)
    2.00308
  • Sharpe ratio (Hedges UMVUE)
    1.99150
  • df
    130.00000
  • t
    1.41639
  • p
    0.43836
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79086
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.77385
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00630
  • Upside Potential Ratio
    10.58540
  • Upside part of mean
    1.16686
  • Downside part of mean
    -0.83547
  • Upside SD
    0.12422
  • Downside SD
    0.11023
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23353
  • Mean of criterion
    0.33139
  • SD of predictor
    0.10884
  • SD of criterion
    0.16544
  • Covariance
    0.01067
  • r
    0.59263
  • b (slope, estimate of beta)
    0.90081
  • a (intercept, estimate of alpha)
    0.12102
  • Mean Square Error
    0.01790
  • DF error
    129.00000
  • t(b)
    8.35661
  • p(b)
    0.14614
  • t(a)
    0.63412
  • p(a)
    0.46453
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.68753
  • Upperbound of 95% confidence interval for beta
    1.11409
  • Lowerbound of 95% confidence interval for alpha
    -0.25658
  • Upperbound of 95% confidence interval for alpha
    0.49863
  • Treynor index (mean / b)
    0.36788
  • Jensen alpha (a)
    0.12102
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01543
  • Expected Shortfall on VaR
    0.01962
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00632
  • Expected Shortfall on VaR
    0.01303
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97447
  • Quartile 1
    0.99568
  • Median
    1.00180
  • Quartile 3
    1.00717
  • Maximum
    1.02877
  • Mean of quarter 1
    0.98861
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.00436
  • Mean of quarter 4
    1.01348
  • Inter Quartile Range
    0.01148
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97607
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02622
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12315
  • VaR(95%) (moments method)
    0.01067
  • Expected Shortfall (moments method)
    0.01568
  • Extreme Value Index (regression method)
    -0.43993
  • VaR(95%) (regression method)
    0.01144
  • Expected Shortfall (regression method)
    0.01354
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00022
  • Quartile 1
    0.01009
  • Median
    0.02317
  • Quartile 3
    0.04711
  • Maximum
    0.07791
  • Mean of quarter 1
    0.00368
  • Mean of quarter 2
    0.01599
  • Mean of quarter 3
    0.03029
  • Mean of quarter 4
    0.06138
  • Inter Quartile Range
    0.03702
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.32376
  • VaR(95%) (moments method)
    0.06999
  • Expected Shortfall (moments method)
    0.07820
  • Extreme Value Index (regression method)
    1.41132
  • VaR(95%) (regression method)
    0.08492
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -311628000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39360
  • Compounded annual return (geometric extrapolation)
    0.43233
  • Calmar ratio (compounded annual return / max draw down)
    5.54898
  • Compounded annual return / average of 25% largest draw downs
    7.04375
  • Compounded annual return / Expected Shortfall lognormal
    22.03940

Strategy Description

The ACE leverages a diverse set of successful strategies to create outsized returns with low drawdowns. No forced trades, patience and discretion is key to long-term, high profitability with low drawdowns. All futures and equities traded are highly liquid and the portfolio is designed to scale up.

Markets:

Equities and ETF's – High growth, recurring revenue companies and a select group of leveraged ETF’s are traded to utilize available cash and increase portfolio returns. All entries and exits are completely automated based on two very successful, time-tested algorithms.

Futures – Using a much smaller portion of the total account, this is a rule-based strategy including strict filtering which leverages significant pivot patterns and turning points. Risk management measures are always in place and there is a constant respect towards the overall trend. Futures symbols include currency pairs, gold, crude oil, and S&P 500 futures. These trades will be infrequent in nature and a much smaller portion of the overall account and returns.

Disclosure:
Past performance is not a guarantee of future results. You should not act on the ideas shared until you have consulted with your financial, investment, tax, and legal adviser.

Summary Statistics

Strategy began
2020-02-28
Suggested Minimum Capital
$25,000
Rank at C2 %
Top 1.8%
Rank # 
#14
# Trades
302
# Profitable
187
% Profitable
61.9%
Net Dividends
Correlation S&P500
0.441
Sharpe Ratio
2.00
Sortino Ratio
3.00
Beta
0.42
Alpha
0.14
Leverage
1.46 Average
17.13 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.