Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

The ACE
(127764619)

Created by: D_Financial D_Financial
Started: 02/2020
Stocks, Futures
Last trade: 3 days ago
Trading style: Futures Short Term Financials / Indexes

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 $180.00 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: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
67.4%
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
106
Num Trades
70.8%
Win Trades
2.1 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +3.5%+5.4%+16.9%+18.5%+7.8%+4.2%(1.5%)                        +67.4%

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 248 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/28/20 10:09 AYX ALTERYX INC LONG 35 113.01 8/7 14:10 127.05 1.98%
Trade id #127765266
Max drawdown($986)
Time3/17/20 0:00
Quant open24
Worst price75.17
Drawdown as % of equity-1.98%
$491
Includes Typical Broker Commissions trade costs of $0.70
7/28/20 10:18 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 150 12.86 8/7 13:21 13.30 0.21%
Trade id #130317627
Max drawdown($172)
Time7/30/20 0:00
Quant open150
Worst price11.71
Drawdown as % of equity-0.21%
$62
Includes Typical Broker Commissions trade costs of $3.00
4/17/20 15:55 LVGO LIVONGO HEALTH INC LONG 58 52.21 8/5 9:40 109.35 0.02%
Trade id #128630573
Max drawdown($13)
Time4/20/20 0:00
Quant open25
Worst price37.02
Drawdown as % of equity-0.02%
$3,313
Includes Typical Broker Commissions trade costs of $1.16
7/23/20 20:01 @ADU0 AUSTRALIAN DOLLAR SHORT 3 0.7108 7/29 3:42 0.7189 2.99%
Trade id #130249504
Max drawdown($2,460)
Time7/29/20 3:42
Quant open3
Worst price0.7190
Drawdown as % of equity-2.99%
($2,454)
Includes Typical Broker Commissions trade costs of $24.00
6/10/20 15:49 NEM NEWMONT CORP LONG 35 58.83 7/27 13:40 65.43 0.19%
Trade id #129477368
Max drawdown($138)
Time6/15/20 0:00
Quant open25
Worst price53.16
Drawdown as % of equity-0.19%
$230
Includes Typical Broker Commissions trade costs of $0.70
7/1/20 9:59 DOCU DOCUSIGN INC. COMMON STOCK LONG 12 175.41 7/22 15:24 201.14 0.01%
Trade id #129843480
Max drawdown($5)
Time7/1/20 10:15
Quant open10
Worst price172.77
Drawdown as % of equity-0.01%
$309
Includes Typical Broker Commissions trade costs of $0.24
7/9/20 15:54 SLV ISHARES SILVER TRUST LONG 100 17.37 7/22 11:09 19.79 0.01%
Trade id #130000497
Max drawdown($7)
Time7/10/20 0:00
Quant open100
Worst price17.30
Drawdown as % of equity-0.01%
$240
Includes Typical Broker Commissions trade costs of $2.00
7/14/20 15:43 NET CLOUDFLARE INC LONG 40 36.70 7/22 10:25 38.67 0.1%
Trade id #130078922
Max drawdown($85)
Time7/16/20 0:00
Quant open40
Worst price34.55
Drawdown as % of equity-0.10%
$78
Includes Typical Broker Commissions trade costs of $0.80
5/14/20 9:57 NVDA NVIDIA LONG 13 326.77 7/21 15:38 389.22 0.03%
Trade id #129019804
Max drawdown($18)
Time5/14/20 10:31
Quant open8
Worst price307.50
Drawdown as % of equity-0.03%
$812
Includes Typical Broker Commissions trade costs of $0.26
6/18/20 13:22 WORK SLACK TECHNOLOGIES INC LONG 50 33.97 7/21 12:56 32.99 0.23%
Trade id #129640094
Max drawdown($194)
Time7/2/20 0:00
Quant open50
Worst price30.09
Drawdown as % of equity-0.23%
($50)
Includes Typical Broker Commissions trade costs of $1.00
6/30/20 12:19 PLD PROLOGIS LONG 15 93.92 7/21 10:27 98.47 0.03%
Trade id #129824232
Max drawdown($27)
Time7/16/20 0:00
Quant open15
Worst price92.06
Drawdown as % of equity-0.03%
$68
Includes Typical Broker Commissions trade costs of $0.30
7/16/20 10:37 TSLA TESLA INC. LONG 2 1492.73 7/17 15:54 1499.90 0.05%
Trade id #130115902
Max drawdown($38)
Time7/16/20 11:09
Quant open2
Worst price1473.62
Drawdown as % of equity-0.05%
$14
Includes Typical Broker Commissions trade costs of $0.04
7/14/20 20:08 @EUU0 EUROFX SHORT 3 1.14400 7/15 3:44 1.14500 0.47%
Trade id #130082522
Max drawdown($393)
Time7/15/20 3:44
Quant open3
Worst price1.14505
Drawdown as % of equity-0.47%
($399)
Includes Typical Broker Commissions trade costs of $24.00
7/14/20 18:24 @MEU0 E-MINI EURO FX SHORT 3 1.1428 7/14 20:09 1.1438 0.22%
Trade id #130081458
Max drawdown($187)
Time7/14/20 20:09
Quant open3
Worst price1.1438
Drawdown as % of equity-0.22%
($212)
Includes Typical Broker Commissions trade costs of $24.00
7/14/20 6:57 @EUU0 EUROFX SHORT 2 1.13910 7/14 10:05 1.14110 0.62%
Trade id #130066357
Max drawdown($525)
Time7/14/20 10:05
Quant open2
Worst price1.14120
Drawdown as % of equity-0.62%
($516)
Includes Typical Broker Commissions trade costs of $16.00
7/14/20 4:46 @MEU0 E-MINI EURO FX SHORT 2 1.1374 7/14 7:35 1.1394 0.33%
Trade id #130064855
Max drawdown($281)
Time7/14/20 7:35
Quant open2
Worst price1.1397
Drawdown as % of equity-0.33%
($260)
Includes Typical Broker Commissions trade costs of $16.00
7/10/20 9:05 @MEU0 E-MINI EURO FX SHORT 1 1.1324 7/10 9:12 1.1319 0.01%
Trade id #130013820
Max drawdown($6)
Time7/10/20 9:08
Quant open1
Worst price1.1325
Drawdown as % of equity-0.01%
$23
Includes Typical Broker Commissions trade costs of $8.00
7/9/20 18:42 @QMQ0 MINY CRUDE OIL SHORT 1 39.575 7/10 0:23 39.200 0.11%
Trade id #130002872
Max drawdown($100)
Time7/9/20 20:41
Quant open1
Worst price39.775
Drawdown as % of equity-0.11%
$180
Includes Typical Broker Commissions trade costs of $8.00
7/2/20 12:52 CHGG CHEGG INC LONG 15 70.46 7/8 13:20 71.95 0.01%
Trade id #129881764
Max drawdown($12)
Time7/7/20 0:00
Quant open15
Worst price69.64
Drawdown as % of equity-0.01%
$22
Includes Typical Broker Commissions trade costs of $0.30
7/7/20 20:18 @QMQ0 MINY CRUDE OIL SHORT 1 40.525 7/8 10:40 40.625 0.18%
Trade id #129956549
Max drawdown($150)
Time7/8/20 9:59
Quant open1
Worst price40.825
Drawdown as % of equity-0.18%
($58)
Includes Typical Broker Commissions trade costs of $8.00
7/8/20 3:19 @EUU0 EUROFX SHORT 2 1.13126 7/8 9:30 1.13270 0.44%
Trade id #129961141
Max drawdown($371)
Time7/8/20 9:30
Quant open2
Worst price1.13275
Drawdown as % of equity-0.44%
($375)
Includes Typical Broker Commissions trade costs of $16.00
7/7/20 19:44 @MEU0 E-MINI EURO FX SHORT 2 1.1301 7/8 9:09 1.1315 0.23%
Trade id #129956200
Max drawdown($190)
Time7/8/20 9:09
Quant open2
Worst price1.1316
Drawdown as % of equity-0.23%
($194)
Includes Typical Broker Commissions trade costs of $16.00
7/6/20 19:33 @QMQ0 MINY CRUDE OIL SHORT 1 40.725 7/7 2:12 40.000 0.03%
Trade id #129934391
Max drawdown($25)
Time7/6/20 20:16
Quant open1
Worst price40.775
Drawdown as % of equity-0.03%
$355
Includes Typical Broker Commissions trade costs of $8.00
7/5/20 20:08 @EUU0 EUROFX SHORT 3 1.12952 7/6 7:14 1.13270 1.61%
Trade id #129912563
Max drawdown($1,343)
Time7/6/20 7:14
Quant open3
Worst price1.13310
Drawdown as % of equity-1.61%
($1,218)
Includes Typical Broker Commissions trade costs of $24.00
6/30/20 19:14 @QMQ0 MINY CRUDE OIL LONG 1 39.600 7/1 3:29 40.350 0.03%
Trade id #129831546
Max drawdown($25)
Time6/30/20 20:01
Quant open1
Worst price39.550
Drawdown as % of equity-0.03%
$367
Includes Typical Broker Commissions trade costs of $8.00
6/19/20 11:19 UPWK UPWORK INC. COMMON STOCK LONG 75 12.71 6/29 9:38 14.04 0.06%
Trade id #129661532
Max drawdown($48)
Time6/19/20 13:56
Quant open75
Worst price12.06
Drawdown as % of equity-0.06%
$99
Includes Typical Broker Commissions trade costs of $1.50
6/28/20 18:01 @QMQ0 MINY CRUDE OIL LONG 2 37.725 6/29 5:41 38.325 0.25%
Trade id #129791592
Max drawdown($200)
Time6/29/20 1:52
Quant open2
Worst price37.525
Drawdown as % of equity-0.25%
$584
Includes Typical Broker Commissions trade costs of $16.00
6/26/20 4:45 @EUU0 EUROFX SHORT 1 1.12570 6/26 7:33 1.12330 0.03%
Trade id #129769717
Max drawdown($25)
Time6/26/20 4:59
Quant open1
Worst price1.12590
Drawdown as % of equity-0.03%
$292
Includes Typical Broker Commissions trade costs of $8.00
6/24/20 13:38 BYND BEYOND MEAT INC. COMMON STOCK LONG 8 150.86 6/25 10:01 136.93 0.15%
Trade id #129731929
Max drawdown($114)
Time6/25/20 10:01
Quant open8
Worst price136.50
Drawdown as % of equity-0.15%
($111)
Includes Typical Broker Commissions trade costs of $0.16
6/24/20 20:01 @EUU0 EUROFX LONG 2 1.12615 6/25 3:13 1.12490 0.55%
Trade id #129736838
Max drawdown($437)
Time6/25/20 3:13
Quant open2
Worst price1.12440
Drawdown as % of equity-0.55%
($329)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    2/28/2020
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    167.37
  • Age
    167 days ago
  • What it trades
    Stocks, Futures
  • # Trades
    106
  • # Profitable
    75
  • % Profitable
    70.80%
  • Avg trade duration
    20.7 days
  • Max peak-to-valley drawdown
    16.51%
  • drawdown period
    March 11, 2020 - March 18, 2020
  • Cumul. Return
    67.4%
  • Avg win
    $576.51
  • Avg loss
    $656.16
  • Model Account Values (Raw)
  • Cash
    $46,031
  • Margin Used
    $5,540
  • Buying Power
    $62,510
  • Ratios
  • W:L ratio
    2.13:1
  • Sharpe Ratio
    2.62
  • Sortino Ratio
    3.98
  • Calmar Ratio
    17.37
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    53.18%
  • Correlation to SP500
    0.40560
  • Return Percent SP500 (cumu) during strategy life
    14.19%
  • Return Statistics
  • Ann Return (w trading costs)
    200.9%
  • Slump
  • Current Slump as Pcnt Equity
    6.10%
  • Instruments
  • Percent Trades Futures
    0.32%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.674%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    0.68%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    222.7%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    904
  • Popularity (Last 6 weeks)
    993
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    963
  • Popularity (7 days, Percentile 1000 scale)
    945
  • 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
    $657
  • Avg Win
    $749
  • Sum Trade PL (losers)
    $20,354.000
  • AUM
  • AUM (AutoTrader num accounts)
    7
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $56,152.000
  • # Winners
    75
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    37
  • AUM
  • AUM (AutoTrader live capital)
    639760
  • Win / Loss
  • # Losers
    31
  • % Winners
    70.8%
  • Frequency
  • Avg Position Time (mins)
    29805.80
  • Avg Position Time (hrs)
    496.76
  • Avg Trade Length
    20.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.10
  • Daily leverage (max)
    17.13
  • Regression
  • Alpha
    0.27
  • Beta
    0.30
  • Treynor Index
    1.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.19
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.931
  • 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
    0.505
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.175
  • Hold-and-Hope Ratio
    0.413
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.28094
  • SD
    0.22144
  • Sharpe ratio (Glass type estimate)
    5.78450
  • Sharpe ratio (Hedges UMVUE)
    4.61536
  • df
    4.00000
  • t
    3.73388
  • p
    0.01011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.77175
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.58370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20536
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.02536
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.28094
  • Downside part of mean
    0.00000
  • Upside SD
    0.41948
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.24225
  • Mean of criterion
    1.28094
  • SD of predictor
    0.31965
  • SD of criterion
    0.22144
  • Covariance
    0.02178
  • r
    0.30764
  • b (slope, estimate of beta)
    0.21313
  • a (intercept, estimate of alpha)
    1.22931
  • Mean Square Error
    0.05919
  • DF error
    3.00000
  • t(b)
    0.56001
  • p(b)
    0.30728
  • t(a)
    3.16807
  • p(a)
    0.02528
  • Lowerbound of 95% confidence interval for beta
    -0.99803
  • Upperbound of 95% confidence interval for beta
    1.42428
  • Lowerbound of 95% confidence interval for alpha
    -0.00558
  • Upperbound of 95% confidence interval for alpha
    2.46419
  • Treynor index (mean / b)
    6.01023
  • Jensen alpha (a)
    1.22931
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.19858
  • SD
    0.19837
  • Sharpe ratio (Glass type estimate)
    6.04197
  • Sharpe ratio (Hedges UMVUE)
    4.82079
  • df
    4.00000
  • t
    3.90007
  • p
    0.00877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89828
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.97970
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.33510
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.19858
  • Downside part of mean
    0.00000
  • Upside SD
    0.38884
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.19831
  • Mean of criterion
    1.19858
  • SD of predictor
    0.32396
  • SD of criterion
    0.19837
  • Covariance
    0.01852
  • r
    0.28824
  • b (slope, estimate of beta)
    0.17650
  • a (intercept, estimate of alpha)
    1.16358
  • Mean Square Error
    0.04811
  • DF error
    3.00000
  • t(b)
    0.52137
  • p(b)
    0.31907
  • t(a)
    3.35933
  • p(a)
    0.02188
  • Lowerbound of 95% confidence interval for beta
    -0.90086
  • Upperbound of 95% confidence interval for beta
    1.25386
  • Lowerbound of 95% confidence interval for alpha
    0.06127
  • Upperbound of 95% confidence interval for alpha
    2.26589
  • Treynor index (mean / b)
    6.79079
  • Jensen alpha (a)
    1.16358
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.00570
  • Expected Shortfall on VaR
    0.01786
  • 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
    5.00000
  • Minimum
    1.03759
  • Quartile 1
    1.06732
  • Median
    1.09453
  • Quartile 3
    1.14933
  • Maximum
    1.19659
  • Mean of quarter 1
    1.05245
  • Mean of quarter 2
    1.09453
  • Mean of quarter 3
    1.14933
  • Mean of quarter 4
    1.19659
  • Inter Quartile Range
    0.08201
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.60084
  • Compounded annual return (geometric extrapolation)
    2.40922
  • 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
    134.92200
  • 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
    1.14786
  • SD
    0.34322
  • Sharpe ratio (Glass type estimate)
    3.34437
  • Sharpe ratio (Hedges UMVUE)
    3.32307
  • df
    118.00000
  • t
    2.25391
  • p
    0.39842
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.27673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38412
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26201
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.31107
  • Upside Potential Ratio
    12.45200
  • Upside part of mean
    2.69121
  • Downside part of mean
    -1.54335
  • Upside SD
    0.27410
  • Downside SD
    0.21613
  • N nonnegative terms
    78.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    119.00000
  • Mean of predictor
    0.37616
  • Mean of criterion
    1.14786
  • SD of predictor
    0.47234
  • SD of criterion
    0.34322
  • Covariance
    0.06261
  • r
    0.38620
  • b (slope, estimate of beta)
    0.28063
  • a (intercept, estimate of alpha)
    1.04200
  • Mean Square Error
    0.10109
  • DF error
    117.00000
  • t(b)
    4.52882
  • p(b)
    0.26039
  • t(a)
    2.20666
  • p(a)
    0.37360
  • Lowerbound of 95% confidence interval for beta
    0.15791
  • Upperbound of 95% confidence interval for beta
    0.40335
  • Lowerbound of 95% confidence interval for alpha
    0.10685
  • Upperbound of 95% confidence interval for alpha
    1.97775
  • Treynor index (mean / b)
    4.09028
  • Jensen alpha (a)
    1.04230
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.08714
  • SD
    0.34263
  • Sharpe ratio (Glass type estimate)
    3.17291
  • Sharpe ratio (Hedges UMVUE)
    3.15270
  • df
    118.00000
  • t
    2.13836
  • p
    0.40343
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.10258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21681
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.08859
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.93379
  • Upside Potential Ratio
    12.04600
  • Upside part of mean
    2.65429
  • Downside part of mean
    -1.56715
  • Upside SD
    0.26902
  • Downside SD
    0.22035
  • N nonnegative terms
    78.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    119.00000
  • Mean of predictor
    0.26425
  • Mean of criterion
    1.08714
  • SD of predictor
    0.47606
  • SD of criterion
    0.34263
  • Covariance
    0.06443
  • r
    0.39499
  • b (slope, estimate of beta)
    0.28429
  • a (intercept, estimate of alpha)
    1.01202
  • Mean Square Error
    0.09993
  • DF error
    117.00000
  • t(b)
    4.65065
  • p(b)
    0.25524
  • t(a)
    2.15631
  • p(a)
    0.37634
  • Lowerbound of 95% confidence interval for beta
    0.16322
  • Upperbound of 95% confidence interval for beta
    0.40535
  • Lowerbound of 95% confidence interval for alpha
    0.08254
  • Upperbound of 95% confidence interval for alpha
    1.94151
  • Treynor index (mean / b)
    3.82413
  • Jensen alpha (a)
    1.01202
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03020
  • Expected Shortfall on VaR
    0.03871
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01041
  • Expected Shortfall on VaR
    0.02265
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    119.00000
  • Minimum
    0.94657
  • Quartile 1
    0.99552
  • Median
    1.00617
  • Quartile 3
    1.01559
  • Maximum
    1.06266
  • Mean of quarter 1
    0.97770
  • Mean of quarter 2
    1.00090
  • Mean of quarter 3
    1.01020
  • Mean of quarter 4
    1.02934
  • Inter Quartile Range
    0.02008
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.95569
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03361
  • Mean of outliers high
    1.05502
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.54411
  • VaR(95%) (moments method)
    0.01537
  • Expected Shortfall (moments method)
    0.01812
  • Extreme Value Index (regression method)
    -0.07033
  • VaR(95%) (regression method)
    0.01889
  • Expected Shortfall (regression method)
    0.02668
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00220
  • Quartile 1
    0.01242
  • Median
    0.03149
  • Quartile 3
    0.06006
  • Maximum
    0.11800
  • Mean of quarter 1
    0.00650
  • Mean of quarter 2
    0.02402
  • Mean of quarter 3
    0.04758
  • Mean of quarter 4
    0.10090
  • Inter Quartile Range
    0.04765
  • 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)
    -2.28646
  • VaR(95%) (moments method)
    0.10197
  • Expected Shortfall (moments method)
    0.10288
  • Extreme Value Index (regression method)
    -1.66779
  • VaR(95%) (regression method)
    0.12371
  • Expected Shortfall (regression method)
    0.12601
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.45178
  • Compounded annual return (geometric extrapolation)
    2.04972
  • Calmar ratio (compounded annual return / max draw down)
    17.37040
  • Compounded annual return / average of 25% largest draw downs
    20.31460
  • Compounded annual return / Expected Shortfall lognormal
    52.94540
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.03000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -255103000
  • Max Equity Drawdown (num days)
    7

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:
Futures – 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.
Equities and ETF's – High growth, recurring revenue equities 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 a very successful, time-tested algorithm.

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
$80,000
Rank at C2 %
Top 3.7%
Rank # 
#24
# Trades
106
# Profitable
75
% Profitable
70.8%
Net Dividends
Correlation S&P500
0.406
Sharpe Ratio
2.62
Sortino Ratio
3.98
Beta
0.30
Alpha
0.27
Leverage
2.10 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.