Collective2 Collective2
Featured Strategy Lazy Trading ES +43.4% Cumul. Return since Sep 25, 2024 Hypothetical

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The ACE
(127764619)

Created by: D_Financial D_Financial
Started: 02/2020
Stocks
Last trade: 8 days ago
Trading style: Equity Momentum Sector Rotation
Subscriptions not currently available.

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.
24.1%
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.

(33.6%)
Max Drawdown
446
Num Trades
55.2%
Win Trades
1.7 : 1
Profit Factor
60.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +3.4%+5.3%+16.9%+18.5%+7.8%+4.2%+5.7%+2.1%(3.1%)+18.7%+7.0%+125.0%
2021+5.4%  -  +0.4%+7.6%+0.7%+2.2%(2.3%)+6.7%(4.7%)+7.6%(3.8%)(1.4%)+18.8%
2022(9.8%)+3.7%+2.6%(1.3%)+0.9%(4.5%)+5.1%(2.5%)(1.5%)(1%)(6.2%)(0.7%)(14.9%)
2023+9.9%(7.9%)+1.7%+3.5%+0.5%+0.9%+2.7%(3%)(7.9%)(3%)(4.4%)+5.8%(2.9%)
2024(6%)+3.0%+9.1%(8%)+8.6%(2.6%)+10.0%(8.8%)+0.8%+6.9%+13.7%      +26.4%

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 2,068 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/1/24 10:36 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 2,476 28.80 11/11 15:47 29.25 0%
Trade id #149549994
Max drawdown($3)
Time10/1/24 10:40
Quant open365
Worst price28.27
Drawdown as % of equity-0.00%
 $1,104
Includes Typical Broker Commissions trade costs of $21.06
11/4/24 15:37 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 155 47.80 11/11 15:47 47.45 0.5%
Trade id #149965936
Max drawdown($619)
Time11/6/24 0:00
Quant open155
Worst price43.80
Drawdown as % of equity-0.50%
 ($57)
Includes Typical Broker Commissions trade costs of $3.10
9/17/24 9:35 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 299 50.71 10/28 15:54 52.50 0.41%
Trade id #149417989
Max drawdown($468)
Time10/10/24 0:00
Quant open177
Worst price47.54
Drawdown as % of equity-0.41%
 $528
Includes Typical Broker Commissions trade costs of $5.98
10/15/24 10:41 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 306 48.93 10/28 15:54 47.24 0.62%
Trade id #149663338
Max drawdown($745)
Time10/28/24 12:02
Quant open306
Worst price46.49
Drawdown as % of equity-0.62%
 ($521)
Includes Typical Broker Commissions trade costs of $6.12
9/17/24 9:35 EEM ISHARES MSCI EMERGING MARKETS LONG 417 45.11 10/22 9:37 45.56 0.01%
Trade id #149418002
Max drawdown($11)
Time9/18/24 0:00
Quant open35
Worst price42.80
Drawdown as % of equity-0.01%
 $179
Includes Typical Broker Commissions trade costs of $8.34
9/24/24 9:37 UPRO PROSHARES ULTRAPRO S&P 500 LONG 420 84.71 10/15 10:40 86.09 0.91%
Trade id #149491937
Max drawdown($1,032)
Time10/2/24 0:00
Quant open420
Worst price82.25
Drawdown as % of equity-0.91%
 $571
Includes Typical Broker Commissions trade costs of $8.40
7/29/24 15:26 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,889 57.62 10/7 15:43 58.17 0.22%
Trade id #148767891
Max drawdown($276)
Time7/30/24 0:00
Quant open680
Worst price50.61
Drawdown as % of equity-0.22%
 $1,029
Includes Typical Broker Commissions trade costs of $18.16
8/19/24 15:23 UPRO PROSHARES ULTRAPRO S&P 500 LONG 427 80.30 9/9 15:51 74.20 3.34%
Trade id #148960129
Max drawdown($3,661)
Time9/6/24 0:00
Quant open427
Worst price71.72
Drawdown as % of equity-3.34%
 ($2,610)
Includes Typical Broker Commissions trade costs of $8.54
8/19/24 15:23 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 65 48.88 9/9 15:51 44.01 0.34%
Trade id #148960132
Max drawdown($369)
Time9/6/24 0:00
Quant open65
Worst price43.20
Drawdown as % of equity-0.34%
 ($318)
Includes Typical Broker Commissions trade costs of $1.30
8/13/24 9:35 EEM ISHARES MSCI EMERGING MARKETS LONG 472 43.25 9/9 15:51 42.10 0.65%
Trade id #148901927
Max drawdown($708)
Time9/6/24 0:00
Quant open472
Worst price41.75
Drawdown as % of equity-0.65%
 ($550)
Includes Typical Broker Commissions trade costs of $9.44
6/24/24 15:26 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 687 48.87 8/5 15:06 42.38 5.57%
Trade id #148487194
Max drawdown($6,706)
Time8/5/24 9:30
Quant open598
Worst price37.66
Drawdown as % of equity-5.57%
 ($4,467)
Includes Typical Broker Commissions trade costs of $10.26
4/15/24 15:53 EEM ISHARES MSCI EMERGING MARKETS LONG 1,895 42.71 7/29 15:26 42.47 0.14%
Trade id #147913684
Max drawdown($171)
Time7/29/24 15:26
Quant open360
Worst price42.23
Drawdown as % of equity-0.14%
 ($478)
Includes Typical Broker Commissions trade costs of $26.00
7/23/24 9:33 UPRO PROSHARES ULTRAPRO S&P 500 LONG 61 80.33 7/29 15:26 76.18 0.37%
Trade id #148717854
Max drawdown($443)
Time7/25/24 0:00
Quant open61
Worst price73.06
Drawdown as % of equity-0.37%
 ($254)
Includes Typical Broker Commissions trade costs of $1.22
7/23/24 9:33 TLT ISHARES 20+ YEAR TREASURY BOND LONG 358 92.73 7/29 15:25 93.53 0.37%
Trade id #148717861
Max drawdown($452)
Time7/24/24 0:00
Quant open358
Worst price91.47
Drawdown as % of equity-0.37%
 $279
Includes Typical Broker Commissions trade costs of $7.16
6/12/24 9:31 UPRO PROSHARES ULTRAPRO S&P 500 LONG 462 76.11 7/16 10:11 80.48 0.24%
Trade id #148388324
Max drawdown($277)
Time6/13/24 0:00
Quant open337
Worst price74.86
Drawdown as % of equity-0.24%
 $2,010
Includes Typical Broker Commissions trade costs of $9.24
6/12/24 9:31 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 1,905 28.71 7/8 15:37 28.96 0.08%
Trade id #148388344
Max drawdown($97)
Time6/13/24 0:00
Quant open1,625
Worst price28.57
Drawdown as % of equity-0.08%
 $471
Includes Typical Broker Commissions trade costs of $10.30
3/4/24 15:38 UGL PROSHARES ULTRA GOLD LONG 1,610 76.07 6/12 9:30 77.29 0.01%
Trade id #147531942
Max drawdown($9)
Time3/4/24 16:00
Quant open218
Worst price66.07
Drawdown as % of equity-0.01%
 $1,934
Includes Typical Broker Commissions trade costs of $26.87
2/26/24 15:35 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 730 45.10 6/4 11:26 45.45 1.6%
Trade id #147454822
Max drawdown($1,797)
Time4/25/24 0:00
Quant open329
Worst price38.75
Drawdown as % of equity-1.60%
 $238
Includes Typical Broker Commissions trade costs of $14.60
5/13/24 15:23 UPRO PROSHARES ULTRAPRO S&P 500 LONG 640 68.17 6/4 11:26 70.92 0.17%
Trade id #148157244
Max drawdown($202)
Time5/31/24 0:00
Quant open133
Worst price66.65
Drawdown as % of equity-0.17%
 $1,745
Includes Typical Broker Commissions trade costs of $8.90
4/1/24 15:43 UPRO PROSHARES ULTRAPRO S&P 500 LONG 58 65.53 4/23 11:07 63.63 0.29%
Trade id #147776479
Max drawdown($326)
Time4/19/24 0:00
Quant open48
Worst price58.74
Drawdown as % of equity-0.29%
 ($111)
Includes Typical Broker Commissions trade costs of $1.16
3/18/24 15:50 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 1,827 28.20 4/23 11:06 28.76 0.04%
Trade id #147676332
Max drawdown($47)
Time3/20/24 0:00
Quant open829
Worst price27.98
Drawdown as % of equity-0.04%
 $1,006
Includes Typical Broker Commissions trade costs of $15.97
3/18/24 15:51 EEM ISHARES MSCI EMERGING MARKETS LONG 290 40.82 4/9 9:33 41.36 0.1%
Trade id #147676476
Max drawdown($115)
Time3/19/24 0:00
Quant open290
Worst price40.42
Drawdown as % of equity-0.10%
 $151
Includes Typical Broker Commissions trade costs of $5.80
2/26/24 15:34 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,600 64.50 3/25 15:33 67.19 1.05%
Trade id #147454817
Max drawdown($1,112)
Time2/27/24 0:00
Quant open1,600
Worst price63.80
Drawdown as % of equity-1.05%
 $4,298
Includes Typical Broker Commissions trade costs of $15.71
3/4/24 15:38 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 174 55.28 3/25 15:33 51.85 0.58%
Trade id #147531938
Max drawdown($649)
Time3/18/24 0:00
Quant open174
Worst price51.54
Drawdown as % of equity-0.58%
 ($599)
Includes Typical Broker Commissions trade costs of $3.48
3/4/24 15:39 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 29 28.04 3/12 9:32 27.87 0.01%
Trade id #147531949
Max drawdown($9)
Time3/8/24 0:00
Quant open29
Worst price27.70
Drawdown as % of equity-0.01%
 ($6)
Includes Typical Broker Commissions trade costs of $0.58
1/8/24 15:16 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 3,845 54.56 2/26 15:33 54.41 7.05%
Trade id #146940687
Max drawdown($7,359)
Time2/21/24 0:00
Quant open2,000
Worst price50.88
Drawdown as % of equity-7.05%
 ($583)
Includes Typical Broker Commissions trade costs of $20.33
1/29/24 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 829 61.07 2/20 15:15 60.82 1.39%
Trade id #147153192
Max drawdown($1,480)
Time2/13/24 0:00
Quant open712
Worst price58.99
Drawdown as % of equity-1.39%
 ($221)
Includes Typical Broker Commissions trade costs of $11.96
2/12/24 15:42 EEM ISHARES MSCI EMERGING MARKETS LONG 1,012 39.94 2/20 15:15 40.10 0.93%
Trade id #147293956
Max drawdown($996)
Time2/13/24 0:00
Quant open1,012
Worst price38.95
Drawdown as % of equity-0.93%
 $165
Includes Typical Broker Commissions trade costs of $5.00
1/29/24 15:58 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 286 45.91 2/20 15:15 42.96 1.55%
Trade id #147152974
Max drawdown($1,653)
Time2/13/24 0:00
Quant open273
Worst price39.85
Drawdown as % of equity-1.55%
 ($850)
Includes Typical Broker Commissions trade costs of $5.72
1/29/24 15:58 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 2,492 27.80 2/12 15:41 28.03 0.3%
Trade id #147152984
Max drawdown($320)
Time1/31/24 0:00
Quant open2,373
Worst price27.65
Drawdown as % of equity-0.30%
 $556
Includes Typical Broker Commissions trade costs of $6.19
Next

Statistics

  • Strategy began
    2/28/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1725.82
  • Age
    58 months ago
  • What it trades
    Stocks
  • # Trades
    446
  • # Profitable
    246
  • % Profitable
    55.20%
  • Avg trade duration
    37.7 days
  • Max peak-to-valley drawdown
    33.63%
  • drawdown period
    Nov 09, 2021 - Dec 12, 2023
  • Annual Return (Compounded)
    24.1%
  • Avg win
    $1,013
  • Avg loss
    $738.27
  • Model Account Values (Raw)
  • Cash
    $63,684
  • Margin Used
    $0
  • Buying Power
    $89,614
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    0.82
  • Sortino Ratio
    1.2
  • Calmar Ratio
    0.971
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    78.85%
  • Correlation to SP500
    0.39160
  • Return Percent SP500 (cumu) during strategy life
    99.50%
  • Return Statistics
  • Ann Return (w trading costs)
    24.1%
  • Slump
  • Current Slump as Pcnt Equity
    6.00%
  • Instruments
  • Percent Trades Futures
    0.10%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.64%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.241%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    0.90%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    27.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    6.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    587
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    477
  • Popularity (7 days, Percentile 1000 scale)
    534
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $738
  • Avg Win
    $1,013
  • Sum Trade PL (losers)
    $147,655.000
  • Age
  • Num Months filled monthly returns table
    58
  • Win / Loss
  • Sum Trade PL (winners)
    $249,254.000
  • # Winners
    246
  • Num Months Winners
    36
  • Dividends
  • Dividends Received in Model Acct
    4060
  • AUM
  • AUM (AutoTrader live capital)
    152796
  • Win / Loss
  • # Losers
    200
  • % Winners
    55.2%
  • Frequency
  • Avg Position Time (mins)
    54248.40
  • Avg Position Time (hrs)
    904.14
  • Avg Trade Length
    37.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.47
  • Daily leverage (max)
    17.13
  • Regression
  • Alpha
    0.04
  • Beta
    0.40
  • Treynor Index
    0.15
  • 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)
    -0.02
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.376
  • 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
    0.390
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.442
  • Hold-and-Hope Ratio
    0.300
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23460
  • SD
    0.22109
  • Sharpe ratio (Glass type estimate)
    1.06109
  • Sharpe ratio (Hedges UMVUE)
    1.04655
  • df
    55.00000
  • t
    2.29221
  • p
    0.01287
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98509
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11843
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97468
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40363
  • Upside Potential Ratio
    4.26690
  • Upside part of mean
    0.41646
  • Downside part of mean
    -0.18186
  • Upside SD
    0.20753
  • Downside SD
    0.09760
  • N nonnegative terms
    33.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.13899
  • Mean of criterion
    0.23460
  • SD of predictor
    0.17316
  • SD of criterion
    0.22109
  • Covariance
    0.01594
  • r
    0.41625
  • b (slope, estimate of beta)
    0.53148
  • a (intercept, estimate of alpha)
    0.16073
  • Mean Square Error
    0.04116
  • DF error
    54.00000
  • t(b)
    3.36414
  • p(b)
    0.00071
  • t(a)
    1.66649
  • p(a)
    0.05070
  • Lowerbound of 95% confidence interval for beta
    0.21474
  • Upperbound of 95% confidence interval for beta
    0.84821
  • Lowerbound of 95% confidence interval for alpha
    -0.03264
  • Upperbound of 95% confidence interval for alpha
    0.35410
  • Treynor index (mean / b)
    0.44141
  • Jensen alpha (a)
    0.16073
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20943
  • SD
    0.21209
  • Sharpe ratio (Glass type estimate)
    0.98743
  • Sharpe ratio (Hedges UMVUE)
    0.97391
  • df
    55.00000
  • t
    2.13310
  • p
    0.01870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89927
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08200
  • Upside Potential Ratio
    3.93493
  • Upside part of mean
    0.39581
  • Downside part of mean
    -0.18639
  • Upside SD
    0.19421
  • Downside SD
    0.10059
  • N nonnegative terms
    33.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.12335
  • Mean of criterion
    0.20943
  • SD of predictor
    0.17263
  • SD of criterion
    0.21209
  • Covariance
    0.01480
  • r
    0.40410
  • b (slope, estimate of beta)
    0.49649
  • a (intercept, estimate of alpha)
    0.14819
  • Mean Square Error
    0.03833
  • DF error
    54.00000
  • t(b)
    3.24638
  • p(b)
    0.00101
  • t(a)
    1.60070
  • p(a)
    0.05764
  • Lowerbound of 95% confidence interval for beta
    0.18987
  • Upperbound of 95% confidence interval for beta
    0.80310
  • Lowerbound of 95% confidence interval for alpha
    -0.03742
  • Upperbound of 95% confidence interval for alpha
    0.33379
  • Treynor index (mean / b)
    0.42182
  • Jensen alpha (a)
    0.14819
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07988
  • Expected Shortfall on VaR
    0.10290
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03118
  • Expected Shortfall on VaR
    0.05947
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    56.00000
  • Minimum
    0.91107
  • Quartile 1
    0.98028
  • Median
    1.01543
  • Quartile 3
    1.05998
  • Maximum
    1.19659
  • Mean of quarter 1
    0.95111
  • Mean of quarter 2
    0.99458
  • Mean of quarter 3
    1.03521
  • Mean of quarter 4
    1.10661
  • Inter Quartile Range
    0.07969
  • 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
    0.05357
  • Mean of outliers high
    1.18733
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.82676
  • VaR(95%) (moments method)
    0.04829
  • Expected Shortfall (moments method)
    0.05309
  • Extreme Value Index (regression method)
    -0.35107
  • VaR(95%) (regression method)
    0.04492
  • Expected Shortfall (regression method)
    0.05316
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01924
  • Quartile 1
    0.02898
  • Median
    0.05337
  • Quartile 3
    0.05495
  • Maximum
    0.23873
  • Mean of quarter 1
    0.02411
  • Mean of quarter 2
    0.05337
  • Mean of quarter 3
    0.05495
  • Mean of quarter 4
    0.23873
  • Inter Quartile Range
    0.02597
  • 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
    0.20000
  • Mean of outliers high
    0.23873
  • 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)
    0.43435
  • Compounded annual return (geometric extrapolation)
    0.26787
  • Calmar ratio (compounded annual return / max draw down)
    1.12203
  • Compounded annual return / average of 25% largest draw downs
    1.12203
  • Compounded annual return / Expected Shortfall lognormal
    2.60327
  • 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
    0.22850
  • SD
    0.20437
  • Sharpe ratio (Glass type estimate)
    1.11808
  • Sharpe ratio (Hedges UMVUE)
    1.11739
  • df
    1227.00000
  • t
    2.42058
  • p
    0.45615
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02427
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02379
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64669
  • Upside Potential Ratio
    8.99257
  • Upside part of mean
    1.24783
  • Downside part of mean
    -1.01934
  • Upside SD
    0.15059
  • Downside SD
    0.13876
  • N nonnegative terms
    681.00000
  • N negative terms
    547.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1228.00000
  • Mean of predictor
    0.14299
  • Mean of criterion
    0.22850
  • SD of predictor
    0.21637
  • SD of criterion
    0.20437
  • Covariance
    0.01707
  • r
    0.38606
  • b (slope, estimate of beta)
    0.36464
  • a (intercept, estimate of alpha)
    0.17600
  • Mean Square Error
    0.03557
  • DF error
    1226.00000
  • t(b)
    14.65350
  • p(b)
    0.30697
  • t(a)
    2.02272
  • p(a)
    0.47116
  • Lowerbound of 95% confidence interval for beta
    0.31582
  • Upperbound of 95% confidence interval for beta
    0.41346
  • Lowerbound of 95% confidence interval for alpha
    0.00530
  • Upperbound of 95% confidence interval for alpha
    0.34741
  • Treynor index (mean / b)
    0.62664
  • Jensen alpha (a)
    0.17636
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20754
  • SD
    0.20425
  • Sharpe ratio (Glass type estimate)
    1.01611
  • Sharpe ratio (Hedges UMVUE)
    1.01549
  • df
    1227.00000
  • t
    2.19984
  • p
    0.46012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10929
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92170
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47446
  • Upside Potential Ratio
    8.78522
  • Upside part of mean
    1.23658
  • Downside part of mean
    -1.02904
  • Upside SD
    0.14844
  • Downside SD
    0.14076
  • N nonnegative terms
    681.00000
  • N negative terms
    547.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1228.00000
  • Mean of predictor
    0.11944
  • Mean of criterion
    0.20754
  • SD of predictor
    0.21723
  • SD of criterion
    0.20425
  • Covariance
    0.01725
  • r
    0.38886
  • b (slope, estimate of beta)
    0.36562
  • a (intercept, estimate of alpha)
    0.16387
  • Mean Square Error
    0.03544
  • DF error
    1226.00000
  • t(b)
    14.77870
  • p(b)
    0.30557
  • t(a)
    1.88348
  • p(a)
    0.47314
  • Lowerbound of 95% confidence interval for beta
    0.31708
  • Upperbound of 95% confidence interval for beta
    0.41415
  • Lowerbound of 95% confidence interval for alpha
    -0.00682
  • Upperbound of 95% confidence interval for alpha
    0.33456
  • Treynor index (mean / b)
    0.56765
  • Jensen alpha (a)
    0.16387
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01977
  • Expected Shortfall on VaR
    0.02491
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00825
  • Expected Shortfall on VaR
    0.01700
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1228.00000
  • Minimum
    0.94657
  • Quartile 1
    0.99547
  • Median
    1.00088
  • Quartile 3
    1.00676
  • Maximum
    1.07128
  • Mean of quarter 1
    0.98612
  • Mean of quarter 2
    0.99861
  • Mean of quarter 3
    1.00359
  • Mean of quarter 4
    1.01559
  • Inter Quartile Range
    0.01129
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.04153
  • Mean of outliers low
    0.96822
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.03176
  • Mean of outliers high
    1.03539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20583
  • VaR(95%) (moments method)
    0.01256
  • Expected Shortfall (moments method)
    0.01995
  • Extreme Value Index (regression method)
    0.06738
  • VaR(95%) (regression method)
    0.01280
  • Expected Shortfall (regression method)
    0.01861
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00802
  • Median
    0.02171
  • Quartile 3
    0.05402
  • Maximum
    0.27342
  • Mean of quarter 1
    0.00289
  • Mean of quarter 2
    0.01334
  • Mean of quarter 3
    0.03224
  • Mean of quarter 4
    0.10639
  • Inter Quartile Range
    0.04600
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    0.20317
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.23905
  • VaR(95%) (moments method)
    0.11681
  • Expected Shortfall (moments method)
    0.17910
  • Extreme Value Index (regression method)
    0.32928
  • VaR(95%) (regression method)
    0.11030
  • Expected Shortfall (regression method)
    0.17523
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42988
  • Compounded annual return (geometric extrapolation)
    0.26548
  • Calmar ratio (compounded annual return / max draw down)
    0.97094
  • Compounded annual return / average of 25% largest draw downs
    2.49527
  • Compounded annual return / Expected Shortfall lognormal
    10.65740
  • 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
    0.25198
  • SD
    0.20322
  • Sharpe ratio (Glass type estimate)
    1.23993
  • Sharpe ratio (Hedges UMVUE)
    1.23277
  • df
    130.00000
  • t
    0.87677
  • p
    0.46166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53826
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00862
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81776
  • Upside Potential Ratio
    9.51776
  • Upside part of mean
    1.31936
  • Downside part of mean
    -1.06738
  • Upside SD
    0.14836
  • Downside SD
    0.13862
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19057
  • Mean of criterion
    0.25198
  • SD of predictor
    0.13555
  • SD of criterion
    0.20322
  • Covariance
    0.01520
  • r
    0.55171
  • b (slope, estimate of beta)
    0.82715
  • a (intercept, estimate of alpha)
    0.09435
  • Mean Square Error
    0.02895
  • DF error
    129.00000
  • t(b)
    7.51318
  • p(b)
    0.16750
  • t(a)
    0.39061
  • p(a)
    0.47812
  • Lowerbound of 95% confidence interval for beta
    0.60933
  • Upperbound of 95% confidence interval for beta
    1.04498
  • Lowerbound of 95% confidence interval for alpha
    -0.38354
  • Upperbound of 95% confidence interval for alpha
    0.57224
  • Treynor index (mean / b)
    0.30463
  • Jensen alpha (a)
    0.09435
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23131
  • SD
    0.20353
  • Sharpe ratio (Glass type estimate)
    1.13652
  • Sharpe ratio (Hedges UMVUE)
    1.12995
  • df
    130.00000
  • t
    0.80364
  • p
    0.46485
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90516
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64549
  • Upside Potential Ratio
    9.30729
  • Upside part of mean
    1.30837
  • Downside part of mean
    -1.07705
  • Upside SD
    0.14680
  • Downside SD
    0.14057
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18135
  • Mean of criterion
    0.23131
  • SD of predictor
    0.13572
  • SD of criterion
    0.20353
  • Covariance
    0.01532
  • r
    0.55453
  • b (slope, estimate of beta)
    0.83155
  • a (intercept, estimate of alpha)
    0.08051
  • Mean Square Error
    0.02891
  • DF error
    129.00000
  • t(b)
    7.56843
  • p(b)
    0.16601
  • t(a)
    0.33368
  • p(a)
    0.48131
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.61417
  • Upperbound of 95% confidence interval for beta
    1.04894
  • Lowerbound of 95% confidence interval for alpha
    -0.39686
  • Upperbound of 95% confidence interval for alpha
    0.55788
  • Treynor index (mean / b)
    0.27817
  • Jensen alpha (a)
    0.08051
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01960
  • Expected Shortfall on VaR
    0.02473
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00895
  • Expected Shortfall on VaR
    0.01792
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94942
  • Quartile 1
    0.99401
  • Median
    1.00025
  • Quartile 3
    1.00868
  • Maximum
    1.03741
  • Mean of quarter 1
    0.98595
  • Mean of quarter 2
    0.99811
  • Mean of quarter 3
    1.00365
  • Mean of quarter 4
    1.01665
  • Inter Quartile Range
    0.01467
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96044
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03741
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24088
  • VaR(95%) (moments method)
    0.01434
  • Expected Shortfall (moments method)
    0.02268
  • Extreme Value Index (regression method)
    0.29718
  • VaR(95%) (regression method)
    0.01270
  • Expected Shortfall (regression method)
    0.02015
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02935
  • Quartile 1
    0.02944
  • Median
    0.04902
  • Quartile 3
    0.08231
  • Maximum
    0.12350
  • Mean of quarter 1
    0.02935
  • Mean of quarter 2
    0.02946
  • Mean of quarter 3
    0.06858
  • Mean of quarter 4
    0.12350
  • Inter Quartile Range
    0.05287
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -382139000
  • Max Equity Drawdown (num days)
    763
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27677
  • Compounded annual return (geometric extrapolation)
    0.29592
  • Calmar ratio (compounded annual return / max draw down)
    2.39605
  • Compounded annual return / average of 25% largest draw downs
    2.39605
  • Compounded annual return / Expected Shortfall lognormal
    11.96520

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.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-02-28
Suggested Minimum Capital
$25,000
# Trades
446
# Profitable
246
% Profitable
55.2%
Net Dividends
$4,060
Correlation S&P500
0.392
Sharpe Ratio
0.82
Sortino Ratio
1.20
Beta
0.40
Alpha
0.04
Leverage
1.47 Average
17.13 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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