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The ACE
(127764619)

Created by: D_Financial D_Financial
Started: 02/2020
Stocks
Last trade: 4 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.
149.4%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(16.5%)
Max Drawdown
196
Num Trades
72.4%
Win Trades
3.0 : 1
Profit Factor
91.7%
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+10.9%                                                                  +10.9%

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 630 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
1/19/21 10:14 BRZU DIREXION DAILY BRAZIL BULL 2X LONG 35 113.59 1/22 9:34 103.54 0.3%
Trade id #133455514
Max drawdown($374)
Time1/22/21 9:30
Quant open35
Worst price102.89
Drawdown as % of equity-0.30%
($353)
Includes Typical Broker Commissions trade costs of $0.70
1/15/21 10:39 EOSE EOS ENERGY ENTERPRISES INC LONG 100 23.29 1/21 10:59 25.28 0.06%
Trade id #133403832
Max drawdown($68)
Time1/15/21 12:50
Quant open100
Worst price22.61
Drawdown as % of equity-0.06%
$197
Includes Typical Broker Commissions trade costs of $2.00
1/15/21 10:41 CPRI CAPRI HOLDINGS LTD LONG 50 42.78 1/21 9:44 45.00 0.05%
Trade id #133403904
Max drawdown($64)
Time1/19/21 0:00
Quant open50
Worst price41.50
Drawdown as % of equity-0.05%
$110
Includes Typical Broker Commissions trade costs of $1.00
1/19/21 11:02 STZ CONSTELLATION BRANDS LONG 15 222.80 1/21 9:35 226.85 0.01%
Trade id #133457359
Max drawdown($12)
Time1/19/21 11:58
Quant open15
Worst price222.00
Drawdown as % of equity-0.01%
$61
Includes Typical Broker Commissions trade costs of $0.30
12/28/20 13:36 AMLP ALPS ALERIAN MLP ETF LONG 135 25.70 1/20/21 11:32 28.94 0.06%
Trade id #133050989
Max drawdown($63)
Time1/4/21 0:00
Quant open135
Worst price25.23
Drawdown as % of equity-0.06%
$435
Includes Typical Broker Commissions trade costs of $2.70
1/15/21 9:34 V VISA LONG 10 202.04 1/20 11:13 205.47 0.02%
Trade id #133399467
Max drawdown($19)
Time1/19/21 0:00
Quant open10
Worst price200.07
Drawdown as % of equity-0.02%
$34
Includes Typical Broker Commissions trade costs of $0.20
1/6/21 11:50 PTON PELOTON INTERACTIVE INC. CLASS A COMMON STOCK LONG 25 142.86 1/19 9:32 153.32 0.04%
Trade id #133216970
Max drawdown($45)
Time1/6/21 13:08
Quant open25
Worst price141.05
Drawdown as % of equity-0.04%
$262
Includes Typical Broker Commissions trade costs of $0.50
12/8/20 9:45 XOM EXXON MOBIL LONG 50 41.58 1/15/21 11:48 48.76 0.05%
Trade id #132694860
Max drawdown($52)
Time12/21/20 0:00
Quant open50
Worst price40.53
Drawdown as % of equity-0.05%
$358
Includes Typical Broker Commissions trade costs of $1.00
1/12/21 14:53 MRNA MODERNA INC. COMMON STOCK LONG 20 121.69 1/14 14:38 128.27 0.02%
Trade id #133334788
Max drawdown($19)
Time1/13/21 0:00
Quant open20
Worst price120.74
Drawdown as % of equity-0.02%
$131
Includes Typical Broker Commissions trade costs of $0.40
1/8/21 10:27 ETSY ETSY INC. COMMON STOCK LONG 20 176.03 1/14 14:25 204.50 0.08%
Trade id #133273429
Max drawdown($100)
Time1/11/21 0:00
Quant open20
Worst price171.02
Drawdown as % of equity-0.08%
$569
Includes Typical Broker Commissions trade costs of $0.40
12/8/20 9:44 FANG DIAMONDBACK ENERGY INC LONG 40 45.96 1/14/21 13:52 57.80 0.14%
Trade id #132694819
Max drawdown($158)
Time12/21/20 0:00
Quant open40
Worst price42.00
Drawdown as % of equity-0.14%
$473
Includes Typical Broker Commissions trade costs of $0.80
1/12/21 13:54 CRSR CORSAIR GAMING INC. COMMON STOCK LONG 75 41.93 1/14 10:54 40.72 0.09%
Trade id #133333710
Max drawdown($107)
Time1/14/21 10:48
Quant open75
Worst price40.50
Drawdown as % of equity-0.09%
($93)
Includes Typical Broker Commissions trade costs of $1.50
1/6/21 13:12 IFRA US INFRASTRUCTURE ETF LONG 100 31.51 1/13 10:45 31.40 0.06%
Trade id #133220919
Max drawdown($67)
Time1/8/21 0:00
Quant open100
Worst price30.84
Drawdown as % of equity-0.06%
($13)
Includes Typical Broker Commissions trade costs of $2.00
1/11/21 10:24 PLTR PALANTIR TECHNOLOGIES INC LONG 100 25.95 1/13 9:44 26.84 0.04%
Trade id #133305269
Max drawdown($52)
Time1/11/21 15:29
Quant open100
Worst price25.43
Drawdown as % of equity-0.04%
$87
Includes Typical Broker Commissions trade costs of $2.00
1/8/21 9:37 NVDA NVIDIA LONG 5 529.00 1/12 13:28 540.03 0.03%
Trade id #133271126
Max drawdown($36)
Time1/8/21 13:44
Quant open5
Worst price521.68
Drawdown as % of equity-0.03%
$55
Includes Typical Broker Commissions trade costs of $0.10
1/5/21 9:35 TLT ISHARES 20+ YEAR TREASURY BOND LONG 12 156.71 1/12 9:33 150.81 0.06%
Trade id #133178191
Max drawdown($74)
Time1/11/21 0:00
Quant open12
Worst price150.49
Drawdown as % of equity-0.06%
($71)
Includes Typical Broker Commissions trade costs of $0.24
1/6/21 9:35 UNVR UNIVAR SOLUTIONS INC LONG 175 19.72 1/8 10:27 20.57 0.02%
Trade id #133207339
Max drawdown($25)
Time1/6/21 9:53
Quant open175
Worst price19.57
Drawdown as % of equity-0.02%
$147
Includes Typical Broker Commissions trade costs of $3.50
12/29/20 14:53 BBBY BED BATH & BEYOND LONG 200 18.95 1/6/21 13:31 21.02 0.24%
Trade id #133077002
Max drawdown($267)
Time12/31/20 0:00
Quant open200
Worst price17.61
Drawdown as % of equity-0.24%
$410
Includes Typical Broker Commissions trade costs of $4.00
1/5/21 9:34 GLD SPDR GOLD SHARES LONG 20 182.54 1/6 10:47 179.25 0.06%
Trade id #133178169
Max drawdown($69)
Time1/6/21 10:46
Quant open20
Worst price179.04
Drawdown as % of equity-0.06%
($66)
Includes Typical Broker Commissions trade costs of $0.40
1/6/21 9:30 UNVR UNIVAR SOLUTIONS INC LONG 150 19.72 1/6 9:33 19.67 0.01%
Trade id #133206689
Max drawdown($9)
Time1/6/21 9:33
Quant open150
Worst price19.66
Drawdown as % of equity-0.01%
($11)
Includes Typical Broker Commissions trade costs of $3.00
2/28/20 10:07 CURE DIREXION DAILY HEALTHCARE BULL LONG 270 42.07 1/6/21 9:32 61.35 5.99%
Trade id #127765173
Max drawdown($3,183)
Time3/23/20 0:00
Quant open156
Worst price23.55
Drawdown as % of equity-5.99%
$5,202
Includes Typical Broker Commissions trade costs of $5.40
12/3/20 12:02 AMZN AMAZON.COM LONG 3 3191.00 12/30 11:30 3318.02 0.21%
Trade id #132620987
Max drawdown($227)
Time12/11/20 0:00
Quant open2
Worst price3072.82
Drawdown as % of equity-0.21%
$381
Includes Typical Broker Commissions trade costs of $0.06
12/14/20 10:47 ATVI ACTIVISION BLIZZARD LONG 35 85.92 12/29 10:55 91.47 0.01%
Trade id #132798007
Max drawdown($11)
Time12/14/20 13:10
Quant open35
Worst price85.58
Drawdown as % of equity-0.01%
$193
Includes Typical Broker Commissions trade costs of $0.70
10/12/20 15:14 DOCU DOCUSIGN INC. COMMON STOCK LONG 22 217.44 12/28 11:06 238.48 0.57%
Trade id #131653933
Max drawdown($555)
Time11/10/20 0:00
Quant open14
Worst price185.36
Drawdown as % of equity-0.57%
$463
Includes Typical Broker Commissions trade costs of $0.44
10/29/20 13:23 NVDA NVIDIA LONG 10 518.45 12/28 11:04 523.70 0.17%
Trade id #131973919
Max drawdown($155)
Time10/30/20 0:00
Quant open5
Worst price492.00
Drawdown as % of equity-0.17%
$53
Includes Typical Broker Commissions trade costs of $0.20
3/30/20 13:53 ZM ZOOM VIDEO COMMUNICATIONS INC. CLASS A COMMON STO LONG 45 187.47 12/9 15:19 263.36 1.87%
Trade id #128320644
Max drawdown($982)
Time4/6/20 0:00
Quant open30
Worst price108.53
Drawdown as % of equity-1.87%
$3,414
Includes Typical Broker Commissions trade costs of $0.90
12/1/20 9:39 TLT ISHARES 20+ YEAR TREASURY BOND LONG 5 158.61 12/8 9:36 157.63 0.02%
Trade id #132566942
Max drawdown($19)
Time12/4/20 0:00
Quant open5
Worst price154.77
Drawdown as % of equity-0.02%
($5)
Includes Typical Broker Commissions trade costs of $0.10
11/25/20 13:18 DKNG DRAFTKINGS INC. CLASS A COMMON STOCK LONG 40 50.81 12/7 13:26 48.13 0.1%
Trade id #132461392
Max drawdown($109)
Time12/7/20 13:26
Quant open40
Worst price48.06
Drawdown as % of equity-0.10%
($108)
Includes Typical Broker Commissions trade costs of $0.80
11/30/20 10:23 PTON PELOTON INTERACTIVE INC. CLASS A COMMON STOCK LONG 18 109.71 12/7 11:28 115.65 0.07%
Trade id #132529133
Max drawdown($72)
Time11/30/20 10:45
Quant open18
Worst price105.69
Drawdown as % of equity-0.07%
$107
Includes Typical Broker Commissions trade costs of $0.36
11/30/20 13:20 CRSR CORSAIR GAMING INC. COMMON STOCK LONG 50 38.35 12/4 11:12 34.54 0.24%
Trade id #132534554
Max drawdown($250)
Time12/2/20 0:00
Quant open50
Worst price33.33
Drawdown as % of equity-0.24%
($191)
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    2/28/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    332.71
  • Age
    11 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    196
  • # Profitable
    142
  • % Profitable
    72.40%
  • Avg trade duration
    24.6 days
  • Max peak-to-valley drawdown
    16.53%
  • drawdown period
    March 10, 2020 - March 18, 2020
  • Cumul. Return
    149.4%
  • Avg win
    $513.04
  • Avg loss
    $448.35
  • Model Account Values (Raw)
  • Cash
    $52,395
  • Margin Used
    $0
  • Buying Power
    $96,033
  • Ratios
  • W:L ratio
    3.03:1
  • Sharpe Ratio
    2.83
  • Sortino Ratio
    4.34
  • Calmar Ratio
    15.119
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    118.89%
  • Correlation to SP500
    0.43230
  • Return Percent SP500 (cumu) during strategy life
    30.50%
  • Return Statistics
  • Ann Return (w trading costs)
    170.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.50%
  • Instruments
  • Percent Trades Futures
    0.27%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.494%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    0.73%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    182.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    976
  • Popularity (Last 6 weeks)
    994
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    989
  • Popularity (7 days, Percentile 1000 scale)
    986
  • 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
    $448
  • Avg Win
    $725
  • Sum Trade PL (losers)
    $24,211.000
  • AUM
  • AUM (AutoTrader num accounts)
    21
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $102,996.000
  • # Winners
    142
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    237
  • AUM
  • AUM (AutoTrader live capital)
    2206250
  • Win / Loss
  • # Losers
    54
  • % Winners
    72.5%
  • Frequency
  • Avg Position Time (mins)
    35438.10
  • Avg Position Time (hrs)
    590.63
  • Avg Trade Length
    24.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.69
  • Daily leverage (max)
    17.13
  • Regression
  • Alpha
    0.24
  • Beta
    0.36
  • Treynor Index
    0.76
  • 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)
    0.18
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.125
  • 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
    0.398
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.193
  • Hold-and-Hope Ratio
    1.235
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01459
  • SD
    0.24686
  • Sharpe ratio (Glass type estimate)
    4.11003
  • Sharpe ratio (Hedges UMVUE)
    3.75605
  • df
    9.00000
  • t
    3.75192
  • p
    0.00227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.20041
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.89398
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.51659
  • Statistics related to Sortino ratio
  • Sortino ratio
    29.57860
  • Upside Potential Ratio
    30.67410
  • Upside part of mean
    1.05216
  • Downside part of mean
    -0.03758
  • Upside SD
    0.37343
  • Downside SD
    0.03430
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.29552
  • Mean of criterion
    1.01459
  • SD of predictor
    0.26538
  • SD of criterion
    0.24686
  • Covariance
    0.03366
  • r
    0.51375
  • b (slope, estimate of beta)
    0.47789
  • a (intercept, estimate of alpha)
    0.87336
  • Mean Square Error
    0.05046
  • DF error
    8.00000
  • t(b)
    1.69370
  • p(b)
    0.06439
  • t(a)
    3.36141
  • p(a)
    0.00496
  • Lowerbound of 95% confidence interval for beta
    -0.17277
  • Upperbound of 95% confidence interval for beta
    1.12855
  • Lowerbound of 95% confidence interval for alpha
    0.27421
  • Upperbound of 95% confidence interval for alpha
    1.47250
  • Treynor index (mean / b)
    2.12304
  • Jensen alpha (a)
    0.87336
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.94868
  • SD
    0.22648
  • Sharpe ratio (Glass type estimate)
    4.18884
  • Sharpe ratio (Hedges UMVUE)
    3.82808
  • df
    9.00000
  • t
    3.82387
  • p
    0.00203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.25552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.99635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04650
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.60965
  • Statistics related to Sortino ratio
  • Sortino ratio
    27.28620
  • Upside Potential Ratio
    28.38170
  • Upside part of mean
    0.98676
  • Downside part of mean
    -0.03809
  • Upside SD
    0.34634
  • Downside SD
    0.03477
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.26026
  • Mean of criterion
    0.94868
  • SD of predictor
    0.26470
  • SD of criterion
    0.22648
  • Covariance
    0.02931
  • r
    0.48888
  • b (slope, estimate of beta)
    0.41829
  • a (intercept, estimate of alpha)
    0.83981
  • Mean Square Error
    0.04391
  • DF error
    8.00000
  • t(b)
    1.58509
  • p(b)
    0.07580
  • t(a)
    3.50496
  • p(a)
    0.00401
  • Lowerbound of 95% confidence interval for beta
    -0.19024
  • Upperbound of 95% confidence interval for beta
    1.02682
  • Lowerbound of 95% confidence interval for alpha
    0.28728
  • Upperbound of 95% confidence interval for alpha
    1.39235
  • Treynor index (mean / b)
    2.26798
  • Jensen alpha (a)
    0.83981
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02808
  • Expected Shortfall on VaR
    0.05400
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00141
  • Expected Shortfall on VaR
    0.00567
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.97102
  • Quartile 1
    1.04478
  • Median
    1.06963
  • Quartile 3
    1.13563
  • Maximum
    1.19659
  • Mean of quarter 1
    1.01272
  • Mean of quarter 2
    1.06684
  • Mean of quarter 3
    1.08324
  • Mean of quarter 4
    1.17682
  • Inter Quartile Range
    0.09085
  • 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 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02898
  • Quartile 1
    0.02898
  • Median
    0.02898
  • Quartile 3
    0.02898
  • Maximum
    0.02898
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    1.50781
  • Compounded annual return (geometric extrapolation)
    1.65537
  • Calmar ratio (compounded annual return / max draw down)
    57.11240
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    30.65710
  • 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
    1.03856
  • SD
    0.28556
  • Sharpe ratio (Glass type estimate)
    3.63692
  • Sharpe ratio (Hedges UMVUE)
    3.62525
  • df
    234.00000
  • t
    3.44443
  • p
    0.00034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.53761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.72867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72065
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.76166
  • Upside Potential Ratio
    12.60490
  • Upside part of mean
    2.27208
  • Downside part of mean
    -1.23352
  • Upside SD
    0.22983
  • Downside SD
    0.18025
  • N nonnegative terms
    160.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.33286
  • Mean of criterion
    1.03856
  • SD of predictor
    0.35622
  • SD of criterion
    0.28556
  • Covariance
    0.04248
  • r
    0.41759
  • b (slope, estimate of beta)
    0.33476
  • a (intercept, estimate of alpha)
    0.92700
  • Mean Square Error
    0.06761
  • DF error
    233.00000
  • t(b)
    7.01516
  • p(b)
    -0.00000
  • t(a)
    3.37118
  • p(a)
    0.00044
  • Lowerbound of 95% confidence interval for beta
    0.24074
  • Upperbound of 95% confidence interval for beta
    0.42877
  • Lowerbound of 95% confidence interval for alpha
    0.38529
  • Upperbound of 95% confidence interval for alpha
    1.46897
  • Treynor index (mean / b)
    3.10242
  • Jensen alpha (a)
    0.92713
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.99599
  • SD
    0.28511
  • Sharpe ratio (Glass type estimate)
    3.49340
  • Sharpe ratio (Hedges UMVUE)
    3.48219
  • df
    234.00000
  • t
    3.30851
  • p
    0.00054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.39624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.58329
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.57560
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.42945
  • Upside Potential Ratio
    12.24370
  • Upside part of mean
    2.24601
  • Downside part of mean
    -1.25002
  • Upside SD
    0.22600
  • Downside SD
    0.18344
  • N nonnegative terms
    160.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.26891
  • Mean of criterion
    0.99599
  • SD of predictor
    0.35883
  • SD of criterion
    0.28511
  • Covariance
    0.04337
  • r
    0.42397
  • b (slope, estimate of beta)
    0.33687
  • a (intercept, estimate of alpha)
    0.90541
  • Mean Square Error
    0.06696
  • DF error
    233.00000
  • t(b)
    7.14569
  • p(b)
    -0.00000
  • t(a)
    3.31016
  • p(a)
    0.00054
  • Lowerbound of 95% confidence interval for beta
    0.24399
  • Upperbound of 95% confidence interval for beta
    0.42975
  • Lowerbound of 95% confidence interval for alpha
    0.36651
  • Upperbound of 95% confidence interval for alpha
    1.44430
  • Treynor index (mean / b)
    2.95660
  • Jensen alpha (a)
    0.90541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02486
  • Expected Shortfall on VaR
    0.03199
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00780
  • Expected Shortfall on VaR
    0.01753
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    235.00000
  • Minimum
    0.94657
  • Quartile 1
    0.99659
  • Median
    1.00576
  • Quartile 3
    1.01285
  • Maximum
    1.06266
  • Mean of quarter 1
    0.98201
  • Mean of quarter 2
    1.00163
  • Mean of quarter 3
    1.00863
  • Mean of quarter 4
    1.02409
  • Inter Quartile Range
    0.01626
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.05106
  • Mean of outliers low
    0.96089
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04255
  • Mean of outliers high
    1.04680
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01329
  • VaR(95%) (moments method)
    0.01123
  • Expected Shortfall (moments method)
    0.01600
  • Extreme Value Index (regression method)
    -0.01279
  • VaR(95%) (regression method)
    0.01630
  • Expected Shortfall (regression method)
    0.02412
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00220
  • Quartile 1
    0.00802
  • Median
    0.01597
  • Quartile 3
    0.04788
  • Maximum
    0.11800
  • Mean of quarter 1
    0.00376
  • Mean of quarter 2
    0.01123
  • Mean of quarter 3
    0.02790
  • Mean of quarter 4
    0.08412
  • Inter Quartile Range
    0.03987
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    0.11200
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.01078
  • VaR(95%) (moments method)
    0.09316
  • Expected Shortfall (moments method)
    0.09899
  • Extreme Value Index (regression method)
    -1.50634
  • VaR(95%) (regression method)
    0.09325
  • Expected Shortfall (regression method)
    0.09560
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.67818
  • Compounded annual return (geometric extrapolation)
    1.78403
  • Calmar ratio (compounded annual return / max draw down)
    15.11880
  • Compounded annual return / average of 25% largest draw downs
    21.20780
  • Compounded annual return / Expected Shortfall lognormal
    55.77380
  • 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
    0.77721
  • SD
    0.21282
  • Sharpe ratio (Glass type estimate)
    3.65187
  • Sharpe ratio (Hedges UMVUE)
    3.63076
  • df
    130.00000
  • t
    2.58226
  • p
    0.38956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83803
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.45216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82404
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.43748
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.68131
  • Upside Potential Ratio
    12.89590
  • Upside part of mean
    1.76417
  • Downside part of mean
    -0.98696
  • Upside SD
    0.16894
  • Downside SD
    0.13680
  • N nonnegative terms
    90.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33639
  • Mean of criterion
    0.77721
  • SD of predictor
    0.16518
  • SD of criterion
    0.21282
  • Covariance
    0.01980
  • r
    0.56332
  • b (slope, estimate of beta)
    0.72579
  • a (intercept, estimate of alpha)
    0.53306
  • Mean Square Error
    0.03116
  • DF error
    129.00000
  • t(b)
    7.74356
  • p(b)
    0.16137
  • t(a)
    2.11846
  • p(a)
    0.38393
  • Lowerbound of 95% confidence interval for beta
    0.54035
  • Upperbound of 95% confidence interval for beta
    0.91124
  • Lowerbound of 95% confidence interval for alpha
    0.03521
  • Upperbound of 95% confidence interval for alpha
    1.03091
  • Treynor index (mean / b)
    1.07084
  • Jensen alpha (a)
    0.53306
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75357
  • SD
    0.21266
  • Sharpe ratio (Glass type estimate)
    3.54347
  • Sharpe ratio (Hedges UMVUE)
    3.52299
  • df
    130.00000
  • t
    2.50561
  • p
    0.39268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73193
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.34183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71830
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.32768
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.44140
  • Upside Potential Ratio
    12.63600
  • Upside part of mean
    1.74993
  • Downside part of mean
    -0.99636
  • Upside SD
    0.16694
  • Downside SD
    0.13849
  • N nonnegative terms
    90.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32256
  • Mean of criterion
    0.75357
  • SD of predictor
    0.16567
  • SD of criterion
    0.21266
  • Covariance
    0.01980
  • r
    0.56191
  • b (slope, estimate of beta)
    0.72129
  • a (intercept, estimate of alpha)
    0.52091
  • Mean Square Error
    0.03119
  • DF error
    129.00000
  • t(b)
    7.71534
  • p(b)
    0.16211
  • t(a)
    2.07074
  • p(a)
    0.38643
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.53633
  • Upperbound of 95% confidence interval for beta
    0.90626
  • Lowerbound of 95% confidence interval for alpha
    0.02320
  • Upperbound of 95% confidence interval for alpha
    1.01862
  • Treynor index (mean / b)
    1.04475
  • Jensen alpha (a)
    0.52091
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01856
  • Expected Shortfall on VaR
    0.02392
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00621
  • Expected Shortfall on VaR
    0.01372
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95954
  • Quartile 1
    0.99672
  • Median
    1.00558
  • Quartile 3
    1.01013
  • Maximum
    1.04956
  • Mean of quarter 1
    0.98577
  • Mean of quarter 2
    1.00172
  • Mean of quarter 3
    1.00735
  • Mean of quarter 4
    1.01757
  • Inter Quartile Range
    0.01341
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96952
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04184
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.41685
  • VaR(95%) (moments method)
    0.01054
  • Expected Shortfall (moments method)
    0.01278
  • Extreme Value Index (regression method)
    -0.06449
  • VaR(95%) (regression method)
    0.01409
  • Expected Shortfall (regression method)
    0.02002
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00295
  • Quartile 1
    0.00598
  • Median
    0.01290
  • Quartile 3
    0.03197
  • Maximum
    0.10876
  • Mean of quarter 1
    0.00337
  • Mean of quarter 2
    0.01017
  • Mean of quarter 3
    0.01986
  • Mean of quarter 4
    0.06906
  • Inter Quartile Range
    0.02598
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.10876
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.70473
  • VaR(95%) (moments method)
    0.07698
  • Expected Shortfall (moments method)
    0.07937
  • Extreme Value Index (regression method)
    -0.13546
  • VaR(95%) (regression method)
    0.09762
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.12561
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -299298000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95614
  • Compounded annual return (geometric extrapolation)
    1.18470
  • Calmar ratio (compounded annual return / max draw down)
    10.89300
  • Compounded annual return / average of 25% largest draw downs
    17.15380
  • Compounded annual return / Expected Shortfall lognormal
    49.52340

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
$100,000
Rank at C2 %
Top 1.1%
Rank # 
#8
# Trades
196
# Profitable
142
% Profitable
72.4%
Net Dividends
Correlation S&P500
0.432
Sharpe Ratio
2.83
Sortino Ratio
4.34
Beta
0.36
Alpha
0.24
Leverage
1.69 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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Suggested Minimum Capital

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.