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These are hypothetical performance results that have certain inherent limitations. Learn more

Black Water Fund
(86568789)

Created by: RanbirMore RanbirMore
Started: 03/2014
Stocks
Last trade: 3,468 days ago

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 $99.00 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.

-0.1%
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.

(8.3%)
Max Drawdown
30
Num Trades
40.0%
Win Trades
1.3 : 1
Profit Factor
6.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014              +2.6%+0.2%+2.0%(0.7%)(2.3%)+3.9%(6.3%)(0.2%)(0.1%)  -  (1.3%)
2015+0.1%  -    -  (0.1%)+0.1%  -  +0.1%  -    -    -    -  +0.1%+0.2%
2016  -    -  (0.1%)  -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/21/14 9:30 XOM EXXON MOBIL LONG 100 95.10 9/29 13:46 94.50 0.26%
Trade id #86606050
Max drawdown($130)
Time9/26/14 9:42
Quant open100
Worst price93.80
Drawdown as % of equity-0.26%
($62)
Includes Typical Broker Commissions trade costs of $2.00
7/24/14 9:30 TSX.DOL DOLLARAMA INC LONG 50 CAD 45.00 9/29 13:45 CAD 47.50 1.97%
Trade id #88734264
Max drawdown($1,007)
Time9/29/14 9:42
Quant open25
Worst price49.72
Drawdown as % of equity-1.97%
$89
Includes Typical Broker Commissions trade costs of $4.63
3/20/14 9:33 TSX.AGF.B AGF MANAGEMENT LTD LONG 1,000 CAD 11.92 9/29 13:45 CAD 11.65 0.48%
Trade id #86582136
Max drawdown($242)
Time9/29/14 13:45
Quant open0
Worst price11.65
Drawdown as % of equity-0.48%
($226)
Includes Typical Broker Commissions trade costs of $23.57
6/11/14 9:30 TRP TC ENERGY CORP LONG 100 46.37 9/29 13:45 51.79 0.04%
Trade id #88050609
Max drawdown($19)
Time6/12/14 11:00
Quant open100
Worst price46.18
Drawdown as % of equity-0.04%
$540
Includes Typical Broker Commissions trade costs of $2.00
6/11/14 9:30 TD TORONTO-DOMINION BANK LONG 100 50.46 9/29 13:45 49.25 0.33%
Trade id #88050541
Max drawdown($170)
Time9/29/14 9:51
Quant open100
Worst price48.76
Drawdown as % of equity-0.33%
($123)
Includes Typical Broker Commissions trade costs of $2.00
3/21/14 9:30 SAN SANTANDER FINANCE SA UNIPERSON LONG 1,200 9.22 9/29 13:45 9.46 0.06%
Trade id #86606115
Max drawdown($30)
Time3/25/14 12:17
Quant open1,000
Worst price9.00
Drawdown as % of equity-0.06%
$279
Includes Typical Broker Commissions trade costs of $7.00
7/24/14 9:30 MSFT MICROSOFT LONG 20 44.93 9/29 13:45 46.27 0.01%
Trade id #88734254
Max drawdown($8)
Time9/3/14 9:31
Quant open20
Worst price44.53
Drawdown as % of equity-0.01%
$27
Includes Typical Broker Commissions trade costs of $0.40
7/24/14 9:30 IRE BANK OF IRELAND LONG 100 13.95 9/29 13:45 15.80 n/a $183
Includes Typical Broker Commissions trade costs of $2.00
7/24/14 12:12 BNS BANK OF NOVA LONG 200 68.15 9/29 13:45 62.02 2.74%
Trade id #88738250
Max drawdown($1,384)
Time9/26/14 9:34
Quant open200
Worst price61.23
Drawdown as % of equity-2.74%
($1,230)
Includes Typical Broker Commissions trade costs of $4.00
7/24/14 12:48 ALL ALLSTATE LONG 100 58.38 9/29 13:45 61.30 0.05%
Trade id #88738950
Max drawdown($26)
Time8/4/14 10:36
Quant open100
Worst price58.12
Drawdown as % of equity-0.05%
$290
Includes Typical Broker Commissions trade costs of $2.00
6/11/14 9:30 AAPL APPLE LONG 300 92.84 9/29 13:45 94.63 1.84%
Trade id #88050584
Max drawdown($956)
Time6/25/14 9:33
Quant open300
Worst price89.65
Drawdown as % of equity-1.84%
$532
Includes Typical Broker Commissions trade costs of $6.00
6/11/14 9:30 AGNC AGNC INVESTMENT CORP LONG 50 23.57 9/11 13:34 23.28 0.04%
Trade id #88050562
Max drawdown($23)
Time9/10/14 9:38
Quant open50
Worst price23.10
Drawdown as % of equity-0.04%
($16)
Includes Typical Broker Commissions trade costs of $1.00
7/24/14 9:30 GOOGL ALPHABET INC CLASS A LONG 5 605.53 9/11 13:33 587.37 0.35%
Trade id #88734196
Max drawdown($178)
Time8/12/14 14:32
Quant open5
Worst price569.91
Drawdown as % of equity-0.35%
($91)
Includes Typical Broker Commissions trade costs of $0.10
7/24/14 9:30 JNK SPDR BLOOMBERG HIGH YIELD BOND LONG 30 41.29 9/11 13:33 40.61 0.04%
Trade id #88734274
Max drawdown($21)
Time9/11/14 9:33
Quant open30
Worst price40.58
Drawdown as % of equity-0.04%
($21)
Includes Typical Broker Commissions trade costs of $0.60
7/24/14 9:30 PHB INVESCO FUNDAMENTAL HIGH Y LONG 40 19.39 9/11 13:33 19.28 0.01%
Trade id #88734308
Max drawdown($5)
Time9/11/14 9:31
Quant open40
Worst price19.26
Drawdown as % of equity-0.01%
($5)
Includes Typical Broker Commissions trade costs of $0.80
7/24/14 9:30 TSX.ZHY BMO HIGH YLD CORP BND HEDGED LONG 100 CAD 16.16 9/11 13:33 CAD 15.94 0.07%
Trade id #88734183
Max drawdown($34)
Time8/1/14 12:02
Quant open100
Worst price15.70
Drawdown as % of equity-0.07%
($19)
Includes Typical Broker Commissions trade costs of $3.21
7/24/14 9:30 TSX.TWD TWEED MARIJUANA INC LONG 100 CAD 2.73 9/11 13:33 CAD 2.68 0.01%
Trade id #88734299
Max drawdown($4)
Time9/11/14 13:33
Quant open0
Worst price2.68
Drawdown as % of equity-0.01%
($5)
Includes Typical Broker Commissions trade costs of $0.54
7/30/14 9:30 PGF INVESCO FINANCIAL PFD LONG 150 18.19 8/22 10:32 18.16 0.08%
Trade id #88829686
Max drawdown($43)
Time8/5/14 9:31
Quant open150
Worst price17.90
Drawdown as % of equity-0.08%
($8)
Includes Typical Broker Commissions trade costs of $3.00
7/25/14 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 13 113.92 8/22 10:32 111.12 0.68%
Trade id #88761226
Max drawdown($338)
Time8/7/14 15:23
Quant open-50
Worst price35.25
Drawdown as % of equity-0.68%
$36
Includes Typical Broker Commissions trade costs of $0.26
7/24/14 9:30 INTC INTEL LONG 25 34.38 8/20 11:54 34.38 0.1%
Trade id #88734237
Max drawdown($49)
Time8/6/14 9:31
Quant open25
Worst price32.39
Drawdown as % of equity-0.10%
($1)
Includes Typical Broker Commissions trade costs of $0.50
6/11/14 9:30 BKD BROOKDALE SENIOR LIVING LONG 100 33.52 8/20 11:54 34.03 0.25%
Trade id #88050595
Max drawdown($126)
Time8/13/14 9:51
Quant open100
Worst price32.26
Drawdown as % of equity-0.25%
$49
Includes Typical Broker Commissions trade costs of $2.00
6/11/14 9:33 PG PROCTER & GAMBLE LONG 20 80.00 8/20 11:54 82.75 0.1%
Trade id #88050798
Max drawdown($54)
Time7/31/14 15:15
Quant open20
Worst price77.29
Drawdown as % of equity-0.10%
$55
Includes Typical Broker Commissions trade costs of $0.40
6/11/14 9:30 NFLX NETFLIX LONG 36 59.53 7/24 9:30 60.13 0%
Trade id #88050620
Max drawdown($0)
Time7/22/14 13:10
Quant open5
Worst price425.06
Drawdown as % of equity-0.00%
$20
Includes Typical Broker Commissions trade costs of $0.72
6/11/14 9:30 TSX.BAD BADGEER DAYLIGHTING LTD LONG 100 CAD 37.08 7/17 13:35 CAD 33.29 0.67%
Trade id #88050611
Max drawdown($353)
Time7/17/14 13:35
Quant open0
Worst price33.29
Drawdown as % of equity-0.67%
($291)
Includes Typical Broker Commissions trade costs of $7.04
6/11/14 9:30 CMO CAPSTEAD MORTGAGE LONG 400 13.24 7/3 13:56 12.90 0.28%
Trade id #88050572
Max drawdown($148)
Time7/3/14 10:13
Quant open400
Worst price12.87
Drawdown as % of equity-0.28%
($144)
Includes Typical Broker Commissions trade costs of $8.00
6/11/14 9:31 CYS CYS INVESTMENTS LONG 100 9.12 6/25 9:30 8.81 0.07%
Trade id #88050654
Max drawdown($35)
Time6/20/14 12:26
Quant open100
Worst price8.77
Drawdown as % of equity-0.07%
($33)
Includes Typical Broker Commissions trade costs of $2.00
6/11/14 9:30 H HYATT HOTELS LONG 100 60.83 6/25 9:30 60.27 0.35%
Trade id #88050578
Max drawdown($188)
Time6/13/14 10:07
Quant open100
Worst price58.95
Drawdown as % of equity-0.35%
($58)
Includes Typical Broker Commissions trade costs of $2.00
6/11/14 9:31 TSX.DOL DOLLARAMA INC LONG 100 CAD 47.51 6/25 9:30 CAD 44.33 3.99%
Trade id #88050714
Max drawdown($2,081)
Time6/24/14 15:46
Quant open50
Worst price53.38
Drawdown as % of equity-3.99%
($247)
Includes Typical Broker Commissions trade costs of $9.18
3/21/14 9:31 BAC BANK OF AMERICA CORPORATION LONG 400 16.86 6/11 12:36 15.65 1.4%
Trade id #86606138
Max drawdown($732)
Time5/16/14 10:09
Quant open200
Worst price14.37
Drawdown as % of equity-1.40%
($492)
Includes Typical Broker Commissions trade costs of $8.00
3/21/14 9:30 BNS BANK OF NOVA LONG 100 57.79 6/11 9:30 64.95 0.07%
Trade id #86606018
Max drawdown($37)
Time3/28/14 14:20
Quant open100
Worst price57.42
Drawdown as % of equity-0.07%
$714
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    3/19/2014
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3659.93
  • Age
    122 months ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    12
  • % Profitable
    40.00%
  • Avg trade duration
    70.3 days
  • Max peak-to-valley drawdown
    8.32%
  • drawdown period
    June 11, 2014 - Aug 07, 2014
  • Annual Return (Compounded)
    -0.1%
  • Avg win
    $236.92
  • Avg loss
    $166.28
  • Model Account Values (Raw)
  • Cash
    $50,779
  • Margin Used
    $0
  • Buying Power
    $50,779
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    -0.78
  • Sortino Ratio
    -0.99
  • Calmar Ratio
    0.094
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -180.70%
  • Correlation to SP500
    0.05020
  • Return Percent SP500 (cumu) during strategy life
    182.06%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.1%
  • Slump
  • Current Slump as Pcnt Equity
    8.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.001%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $166
  • Avg Win
    $237
  • Sum Trade PL (losers)
    $2,993.000
  • Age
  • Num Months filled monthly returns table
    121
  • Win / Loss
  • Sum Trade PL (winners)
    $2,843.000
  • # Winners
    12
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    929
  • Win / Loss
  • # Losers
    18
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    101164.00
  • Avg Position Time (hrs)
    1686.06
  • Avg Trade Length
    70.3 days
  • Last Trade Ago
    3466
  • Regression
  • Alpha
    -0.01
  • Beta
    0.01
  • Treynor Index
    -0.85
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    42.86
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.36
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.53
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -25.004
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.979
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.929
  • Hold-and-Hope Ratio
    -0.040
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02045
  • SD
    0.04219
  • Sharpe ratio (Glass type estimate)
    -0.48471
  • Sharpe ratio (Hedges UMVUE)
    -0.47110
  • df
    27.00000
  • t
    -0.74040
  • p
    0.76728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76984
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80923
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76033
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81814
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61080
  • Upside Potential Ratio
    0.88650
  • Upside part of mean
    0.02968
  • Downside part of mean
    -0.05013
  • Upside SD
    0.02510
  • Downside SD
    0.03348
  • N nonnegative terms
    4.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.40934
  • Mean of criterion
    -0.02045
  • SD of predictor
    0.38638
  • SD of criterion
    0.04219
  • Covariance
    0.00070
  • r
    0.04314
  • b (slope, estimate of beta)
    0.00471
  • a (intercept, estimate of alpha)
    -0.02238
  • Mean Square Error
    0.00184
  • DF error
    26.00000
  • t(b)
    0.22016
  • p(b)
    0.41373
  • t(a)
    -0.75981
  • p(a)
    0.77290
  • Lowerbound of 95% confidence interval for beta
    -0.03926
  • Upperbound of 95% confidence interval for beta
    0.04868
  • Lowerbound of 95% confidence interval for alpha
    -0.08291
  • Upperbound of 95% confidence interval for alpha
    0.03816
  • Treynor index (mean / b)
    -4.34165
  • Jensen alpha (a)
    -0.02238
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02128
  • SD
    0.04241
  • Sharpe ratio (Glass type estimate)
    -0.50182
  • Sharpe ratio (Hedges UMVUE)
    -0.48773
  • df
    27.00000
  • t
    -0.76655
  • p
    0.77500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80194
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.62499
  • Upside Potential Ratio
    0.86047
  • Upside part of mean
    0.02930
  • Downside part of mean
    -0.05058
  • Upside SD
    0.02475
  • Downside SD
    0.03405
  • N nonnegative terms
    4.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.33685
  • Mean of criterion
    -0.02128
  • SD of predictor
    0.36431
  • SD of criterion
    0.04241
  • Covariance
    0.00078
  • r
    0.05057
  • b (slope, estimate of beta)
    0.00589
  • a (intercept, estimate of alpha)
    -0.02326
  • Mean Square Error
    0.00186
  • DF error
    26.00000
  • t(b)
    0.25818
  • p(b)
    0.39915
  • t(a)
    -0.79453
  • p(a)
    0.78296
  • Lowerbound of 95% confidence interval for beta
    -0.04098
  • Upperbound of 95% confidence interval for beta
    0.05275
  • Lowerbound of 95% confidence interval for alpha
    -0.08345
  • Upperbound of 95% confidence interval for alpha
    0.03692
  • Treynor index (mean / b)
    -3.61533
  • Jensen alpha (a)
    -0.02326
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02167
  • Expected Shortfall on VaR
    0.02665
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01325
  • Expected Shortfall on VaR
    0.02573
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.95810
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00079
  • Maximum
    1.03139
  • Mean of quarter 1
    0.99062
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00018
  • Mean of quarter 4
    1.01170
  • Inter Quartile Range
    0.00079
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.10714
  • Mean of outliers low
    0.97854
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.01964
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.39753
  • VaR(95%) (moments method)
    0.00382
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.72328
  • VaR(95%) (regression method)
    0.00947
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.05216
  • Quartile 1
    0.05216
  • Median
    0.05216
  • Quartile 3
    0.05216
  • Maximum
    0.05216
  • 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)
    0.00668
  • Compounded annual return (geometric extrapolation)
    0.00665
  • Calmar ratio (compounded annual return / max draw down)
    0.12745
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.24941
  • 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
    -0.02048
  • SD
    0.04273
  • Sharpe ratio (Glass type estimate)
    -0.47928
  • Sharpe ratio (Hedges UMVUE)
    -0.47870
  • df
    621.00000
  • t
    -0.73847
  • p
    0.76975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79363
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60740
  • Upside Potential Ratio
    3.73694
  • Upside part of mean
    0.12601
  • Downside part of mean
    -0.14649
  • Upside SD
    0.02623
  • Downside SD
    0.03372
  • N nonnegative terms
    115.00000
  • N negative terms
    507.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    622.00000
  • Mean of predictor
    0.46127
  • Mean of criterion
    -0.02048
  • SD of predictor
    0.33143
  • SD of criterion
    0.04273
  • Covariance
    0.00074
  • r
    0.05249
  • b (slope, estimate of beta)
    0.00677
  • a (intercept, estimate of alpha)
    -0.02400
  • Mean Square Error
    0.00182
  • DF error
    620.00000
  • t(b)
    1.30871
  • p(b)
    0.09556
  • t(a)
    -0.84837
  • p(a)
    0.80172
  • Lowerbound of 95% confidence interval for beta
    -0.00339
  • Upperbound of 95% confidence interval for beta
    0.01692
  • Lowerbound of 95% confidence interval for alpha
    -0.07824
  • Upperbound of 95% confidence interval for alpha
    0.03103
  • Treynor index (mean / b)
    -3.02648
  • Jensen alpha (a)
    -0.02360
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02139
  • SD
    0.04284
  • Sharpe ratio (Glass type estimate)
    -0.49940
  • Sharpe ratio (Hedges UMVUE)
    -0.49880
  • df
    621.00000
  • t
    -0.76947
  • p
    0.77905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77311
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77355
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.63057
  • Upside Potential Ratio
    3.70344
  • Upside part of mean
    0.12565
  • Downside part of mean
    -0.14705
  • Upside SD
    0.02613
  • Downside SD
    0.03393
  • N nonnegative terms
    115.00000
  • N negative terms
    507.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    622.00000
  • Mean of predictor
    0.40526
  • Mean of criterion
    -0.02139
  • SD of predictor
    0.33526
  • SD of criterion
    0.04284
  • Covariance
    0.00075
  • r
    0.05224
  • b (slope, estimate of beta)
    0.00668
  • a (intercept, estimate of alpha)
    -0.02410
  • Mean Square Error
    0.00183
  • DF error
    620.00000
  • t(b)
    1.30266
  • p(b)
    0.09659
  • t(a)
    -0.86485
  • p(a)
    0.80627
  • Lowerbound of 95% confidence interval for beta
    -0.00339
  • Upperbound of 95% confidence interval for beta
    0.01674
  • Lowerbound of 95% confidence interval for alpha
    -0.07882
  • Upperbound of 95% confidence interval for alpha
    0.03062
  • Treynor index (mean / b)
    -3.20469
  • Jensen alpha (a)
    -0.02410
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00443
  • Expected Shortfall on VaR
    0.00553
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00171
  • Expected Shortfall on VaR
    0.00374
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    622.00000
  • Minimum
    0.97740
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00002
  • Maximum
    1.01090
  • Mean of quarter 1
    0.99810
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00201
  • Inter Quartile Range
    0.00002
  • Number outliers low
    118.00000
  • Percentage of outliers low
    0.18971
  • Mean of outliers low
    0.99749
  • Number of outliers high
    141.00000
  • Percentage of outliers high
    0.22669
  • Mean of outliers high
    1.00222
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05234
  • VaR(95%) (moments method)
    0.00155
  • Expected Shortfall (moments method)
    0.00295
  • Extreme Value Index (regression method)
    0.00581
  • VaR(95%) (regression method)
    0.00215
  • Expected Shortfall (regression method)
    0.00493
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00090
  • Quartile 1
    0.00481
  • Median
    0.01083
  • Quartile 3
    0.04823
  • Maximum
    0.06914
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.00841
  • Mean of quarter 3
    0.02738
  • Mean of quarter 4
    0.06911
  • Inter Quartile Range
    0.04343
  • 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)
    0.00656
  • Compounded annual return (geometric extrapolation)
    0.00653
  • Calmar ratio (compounded annual return / max draw down)
    0.09449
  • Compounded annual return / average of 25% largest draw downs
    0.09453
  • Compounded annual return / Expected Shortfall lognormal
    1.18243
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.08805
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43851
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.98871
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44493
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6802320000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    145744000000000004658972216786944.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -346436000
  • Max Equity Drawdown (num days)
    57
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Strategy:
The fund focuses on investing majority of the assets in conservative equities with high dividend yields and a small portion focuses on identifying value/growth stocks that will experience exceptional capital gains in the long term.

Targeted Asset Allocation:
60-80% - Invested in high dividend yield REITs/Cyclical and Non Cyclical Consumer Goods/Financials/Energy sectors
10-20% - Invested in US growth Equities
10-20% - Invested in US undervalued Equities
5-10% - Invested in high risk speculative/Hedge Fund Index ETFs

Please be advised, that actual asset allocation may deter from targeted asset allocation for various reasons including market timing, market value fluctuations, slight deviation from portfolio strategy and capitalization on short term arbitrages/high return strategies.

Management Feedback:
Black Water Fund is managed by a group of highly skilled and analytical individuals. Immense amount of time and resources are utilized for security selection that will impact the portfolio's over-all return and risk characteristics. Security selection is based on total portfolio impact and individual securities should not be analyzed on a stand-alone basis.





Summary Statistics

Strategy began
2014-03-19
Suggested Minimum Capital
$50,000
# Trades
30
# Profitable
12
% Profitable
40.0%
Net Dividends
Correlation S&P500
0.050
Sharpe Ratio
-0.78
Sortino Ratio
-0.99
Beta
0.01
Alpha
-0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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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