Collective2 Collective2
Featured Strategy Cryptoverse +50.9% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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BlackAce
(106004078)

Created by: RobertPalfrey RobertPalfrey
Started: 09/2016
Stocks
Last trade: 653 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
4.2%
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.

(50.5%)
Max Drawdown
74
Num Trades
52.7%
Win Trades
1.2 : 1
Profit Factor
39.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +1.0%(3.3%)+1.5%(1.6%)(2.5%)
2017+3.5%+8.9%(0.1%)(0.3%)+4.6%(0.9%)+9.0%+1.0%(8%)+4.7%+3.5%(3.4%)+23.5%
2018+31.6%(9.6%)+4.6%+1.3%+4.9%+1.7%+4.9%+11.0%(7.2%)(2.2%)(7.8%)  -  +31.2%
2019+2.6%+6.3%+1.6%+8.1%(1.1%)+2.3%(1.5%)  -  (5.6%)  -  +2.7%+7.7%+24.5%
2020+7.0%(2.5%)(0.7%)+5.0%+1.0%+2.8%+4.0%+2.4%(1.9%)+6.8%(6.4%)+2.8%+21.2%
2021(0.4%)+2.8%(13.8%)+8.6%(3.1%)+11.4%(2.6%)+1.3%(2.6%)+9.2%+2.4%(17.8%)(8.4%)
2022(9.4%)(4.7%)+1.5%(10%)  -  (12.2%)+1.1%  -    -    -    -  (3.5%)(32.3%)
2023  -    -  (4.8%)  -    -    -    -    -    -    -    -    -  (4.8%)
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.

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

Trading Record

This strategy has placed 126 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 986 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/3/23 15:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 23.52 3/10 10:23 21.20 6.17%
Trade id #143771899
Max drawdown($756)
Time3/10/23 9:48
Quant open300
Worst price21.00
Drawdown as % of equity-6.17%
 ($702)
Includes Typical Broker Commissions trade costs of $6.00
12/1/22 15:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 23.85 12/6 10:07 21.19 4.23%
Trade id #142739915
Max drawdown($546)
Time12/6/22 10:07
Quant open200
Worst price21.12
Drawdown as % of equity-4.23%
 ($536)
Includes Typical Broker Commissions trade costs of $4.00
7/8/22 15:07 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 28.02 7/25 10:27 28.61 10.51%
Trade id #141007275
Max drawdown($1,320)
Time7/14/22 0:00
Quant open300
Worst price23.62
Drawdown as % of equity-10.51%
 $171
Includes Typical Broker Commissions trade costs of $6.00
6/2/22 15:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 34.53 6/10 9:59 27.55 14.81%
Trade id #140666354
Max drawdown($2,100)
Time6/10/22 9:59
Quant open300
Worst price27.53
Drawdown as % of equity-14.81%
 ($2,100)
Includes Typical Broker Commissions trade costs of $6.00
3/24/22 15:28 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 56.71 4/11 10:50 48.59 10.31%
Trade id #139910704
Max drawdown($1,639)
Time4/11/22 10:50
Quant open200
Worst price48.51
Drawdown as % of equity-10.31%
 ($1,626)
Includes Typical Broker Commissions trade costs of $4.00
2/16/22 15:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 57.66 2/17 14:47 53.08 5.29%
Trade id #139424572
Max drawdown($922)
Time2/17/22 14:47
Quant open200
Worst price53.05
Drawdown as % of equity-5.29%
 ($921)
Includes Typical Broker Commissions trade costs of $4.00
12/27/21 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 172.89 1/6/22 10:04 145.86 14.94%
Trade id #138720383
Max drawdown($2,744)
Time1/6/22 10:04
Quant open100
Worst price145.45
Drawdown as % of equity-14.94%
 ($2,705)
Includes Typical Broker Commissions trade costs of $2.00
12/10/21 15:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 125 166.51 12/20 11:16 143.03 13.37%
Trade id #138542471
Max drawdown($2,938)
Time12/20/21 11:16
Quant open125
Worst price143.00
Drawdown as % of equity-13.37%
 ($2,938)
Includes Typical Broker Commissions trade costs of $2.50
10/18/21 15:23 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 139.75 12/3 11:20 151.06 0.28%
Trade id #137861499
Max drawdown($61)
Time10/18/21 15:35
Quant open150
Worst price139.34
Drawdown as % of equity-0.28%
 $1,693
Includes Typical Broker Commissions trade costs of $3.00
8/23/21 14:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 75 142.60 9/20 10:25 141.02 1.78%
Trade id #137086102
Max drawdown($404)
Time9/20/21 10:25
Quant open45
Worst price133.60
Drawdown as % of equity-1.78%
 ($120)
Includes Typical Broker Commissions trade costs of $1.50
7/23/21 11:32 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 135.83 8/18 15:38 131.47 5.13%
Trade id #136652816
Max drawdown($1,199)
Time7/27/21 0:00
Quant open150
Worst price127.83
Drawdown as % of equity-5.13%
 ($657)
Includes Typical Broker Commissions trade costs of $3.00
5/24/21 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 101.82 7/19 9:56 114.30 4.27%
Trade id #135754157
Max drawdown($889)
Time6/3/21 0:00
Quant open200
Worst price97.38
Drawdown as % of equity-4.27%
 $2,493
Includes Typical Broker Commissions trade costs of $4.00
4/1/21 15:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 95.75 5/4 10:12 100.57 0.16%
Trade id #134976179
Max drawdown($32)
Time4/1/21 15:52
Quant open200
Worst price95.58
Drawdown as % of equity-0.16%
 $960
Includes Typical Broker Commissions trade costs of $4.00
3/22/21 15:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 91.49 3/25 10:51 82.72 8.5%
Trade id #134773768
Max drawdown($1,793)
Time3/25/21 10:51
Quant open200
Worst price82.52
Drawdown as % of equity-8.50%
 ($1,756)
Includes Typical Broker Commissions trade costs of $4.00
3/16/21 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 93.33 3/18 15:49 85.31 7.25%
Trade id #134657089
Max drawdown($1,626)
Time3/18/21 15:49
Quant open200
Worst price85.19
Drawdown as % of equity-7.25%
 ($1,608)
Includes Typical Broker Commissions trade costs of $4.00
2/1/21 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 97.74 2/9 15:57 104.53 0.35%
Trade id #133772632
Max drawdown($79)
Time2/1/21 16:00
Quant open100
Worst price96.95
Drawdown as % of equity-0.35%
 $677
Includes Typical Broker Commissions trade costs of $2.00
1/20/21 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 99.22 1/22 15:55 101.12 0.34%
Trade id #133495678
Max drawdown($75)
Time1/20/21 16:00
Quant open200
Worst price98.84
Drawdown as % of equity-0.34%
 $376
Includes Typical Broker Commissions trade costs of $4.00
1/7/21 15:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 184.43 1/12 12:04 179.69 2.3%
Trade id #133252644
Max drawdown($513)
Time1/12/21 12:04
Quant open100
Worst price179.30
Drawdown as % of equity-2.30%
 ($476)
Includes Typical Broker Commissions trade costs of $2.00
12/28/20 15:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 180.01 12/31 14:53 180.19 0.74%
Trade id #133054006
Max drawdown($168)
Time12/31/20 11:58
Quant open100
Worst price178.33
Drawdown as % of equity-0.74%
 $16
Includes Typical Broker Commissions trade costs of $2.00
12/14/20 15:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 165.67 12/21 10:14 169.96 0.6%
Trade id #132807629
Max drawdown($133)
Time12/14/20 15:59
Quant open100
Worst price164.34
Drawdown as % of equity-0.60%
 $427
Includes Typical Broker Commissions trade costs of $2.00
11/24/20 15:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 150.53 12/9 15:25 159.63 0.25%
Trade id #132436212
Max drawdown($52)
Time11/24/20 15:50
Quant open100
Worst price150.00
Drawdown as % of equity-0.25%
 $909
Includes Typical Broker Commissions trade costs of $2.00
11/13/20 15:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 145.98 11/23 11:11 141.43 2.11%
Trade id #132254875
Max drawdown($458)
Time11/23/20 11:11
Quant open100
Worst price141.39
Drawdown as % of equity-2.11%
 ($456)
Includes Typical Broker Commissions trade costs of $2.00
11/5/20 10:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 152.03 11/10 10:22 133.72 8.45%
Trade id #132092651
Max drawdown($1,864)
Time11/10/20 10:22
Quant open100
Worst price133.39
Drawdown as % of equity-8.45%
 ($1,833)
Includes Typical Broker Commissions trade costs of $2.00
10/8/20 9:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 120 135.40 10/16 15:54 148.61 1.01%
Trade id #131589393
Max drawdown($222)
Time10/8/20 10:25
Quant open120
Worst price133.54
Drawdown as % of equity-1.01%
 $1,583
Includes Typical Broker Commissions trade costs of $2.40
8/13/20 11:07 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 130.82 9/3 15:24 141.25 2.59%
Trade id #130603250
Max drawdown($540)
Time8/14/20 0:00
Quant open100
Worst price125.41
Drawdown as % of equity-2.59%
 $1,041
Includes Typical Broker Commissions trade costs of $2.00
8/5/20 10:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 140 126.90 8/11 15:18 120.18 4.32%
Trade id #130468890
Max drawdown($1,001)
Time8/11/20 15:18
Quant open140
Worst price119.75
Drawdown as % of equity-4.32%
 ($944)
Includes Typical Broker Commissions trade costs of $2.80
7/20/20 10:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 115.56 7/23 15:57 109.25 5.02%
Trade id #130166746
Max drawdown($1,198)
Time7/23/20 14:17
Quant open150
Worst price107.57
Drawdown as % of equity-5.02%
 ($950)
Includes Typical Broker Commissions trade costs of $3.00
6/30/20 15:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 98.08 7/15 11:48 109.97 0.55%
Trade id #129828760
Max drawdown($126)
Time7/1/20 0:00
Quant open150
Worst price97.24
Drawdown as % of equity-0.55%
 $1,780
Includes Typical Broker Commissions trade costs of $3.00
5/28/20 13:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 83.12 6/11 15:24 87.22 3.31%
Trade id #129242892
Max drawdown($719)
Time5/29/20 0:00
Quant open150
Worst price78.32
Drawdown as % of equity-3.31%
 $612
Includes Typical Broker Commissions trade costs of $3.00
4/6/20 15:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 51.25 5/27 10:40 69.79 0.12%
Trade id #128439463
Max drawdown($24)
Time4/7/20 0:00
Quant open100
Worst price51.00
Drawdown as % of equity-0.12%
 $1,853
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    9/21/2016
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3013.61
  • Age
    100 months ago
  • What it trades
    Stocks
  • # Trades
    74
  • # Profitable
    39
  • % Profitable
    52.70%
  • Avg trade duration
    15.6 days
  • Max peak-to-valley drawdown
    50.5%
  • drawdown period
    Nov 22, 2021 - July 14, 2022
  • Annual Return (Compounded)
    4.2%
  • Avg win
    $891.28
  • Avg loss
    $852.77
  • Model Account Values (Raw)
  • Cash
    $14,923
  • Margin Used
    $0
  • Buying Power
    $14,923
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.26
  • Calmar Ratio
    0.131
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -133.53%
  • Correlation to SP500
    0.22280
  • Return Percent SP500 (cumu) during strategy life
    174.18%
  • Return Statistics
  • Ann Return (w trading costs)
    4.2%
  • Slump
  • Current Slump as Pcnt Equity
    98.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.37%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.042%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.00%
  • Chance of 20% account loss
    24.00%
  • Chance of 30% account loss
    8.00%
  • 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
  • Chance of 100% 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)
    456
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $853
  • Avg Win
    $891
  • Sum Trade PL (losers)
    $29,847.000
  • Age
  • Num Months filled monthly returns table
    100
  • Win / Loss
  • Sum Trade PL (winners)
    $34,760.000
  • # Winners
    39
  • Num Months Winners
    39
  • Dividends
  • Dividends Received in Model Acct
    9
  • Win / Loss
  • # Losers
    35
  • % Winners
    52.7%
  • Frequency
  • Avg Position Time (mins)
    22436.50
  • Avg Position Time (hrs)
    373.94
  • Avg Trade Length
    15.6 days
  • Last Trade Ago
    653
  • Leverage
  • Daily leverage (average)
    1.96
  • Daily leverage (max)
    3.50
  • Regression
  • Alpha
    0.00
  • Beta
    0.17
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    4.69
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    19.11
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.33
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    8.395
  • 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
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    0.245
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.096
  • Hold-and-Hope Ratio
    0.119
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05392
  • SD
    0.20881
  • Sharpe ratio (Glass type estimate)
    0.25825
  • Sharpe ratio (Hedges UMVUE)
    0.25576
  • df
    78.00000
  • t
    0.66261
  • p
    0.25477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50752
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02239
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50918
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02069
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41409
  • Upside Potential Ratio
    2.09731
  • Upside part of mean
    0.27312
  • Downside part of mean
    -0.21919
  • Upside SD
    0.16228
  • Downside SD
    0.13022
  • N nonnegative terms
    36.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.14371
  • Mean of criterion
    0.05392
  • SD of predictor
    0.20705
  • SD of criterion
    0.20881
  • Covariance
    0.01177
  • r
    0.27232
  • b (slope, estimate of beta)
    0.27463
  • a (intercept, estimate of alpha)
    0.01446
  • Mean Square Error
    0.04089
  • DF error
    77.00000
  • t(b)
    2.48341
  • p(b)
    0.00759
  • t(a)
    0.17983
  • p(a)
    0.42888
  • Lowerbound of 95% confidence interval for beta
    0.05442
  • Upperbound of 95% confidence interval for beta
    0.49483
  • Lowerbound of 95% confidence interval for alpha
    -0.14564
  • Upperbound of 95% confidence interval for alpha
    0.17455
  • Treynor index (mean / b)
    0.19636
  • Jensen alpha (a)
    0.01446
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03263
  • SD
    0.20636
  • Sharpe ratio (Glass type estimate)
    0.15812
  • Sharpe ratio (Hedges UMVUE)
    0.15660
  • df
    78.00000
  • t
    0.40571
  • p
    0.34303
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60666
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92191
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92087
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.23499
  • Upside Potential Ratio
    1.87627
  • Upside part of mean
    0.26053
  • Downside part of mean
    -0.22790
  • Upside SD
    0.15117
  • Downside SD
    0.13886
  • N nonnegative terms
    36.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    79.00000
  • Mean of predictor
    0.12302
  • Mean of criterion
    0.03263
  • SD of predictor
    0.19655
  • SD of criterion
    0.20636
  • Covariance
    0.01139
  • r
    0.28091
  • b (slope, estimate of beta)
    0.29493
  • a (intercept, estimate of alpha)
    -0.00365
  • Mean Square Error
    0.03973
  • DF error
    77.00000
  • t(b)
    2.56842
  • p(b)
    0.00608
  • t(a)
    -0.04625
  • p(a)
    0.51839
  • Lowerbound of 95% confidence interval for beta
    0.06628
  • Upperbound of 95% confidence interval for beta
    0.52358
  • Lowerbound of 95% confidence interval for alpha
    -0.16089
  • Upperbound of 95% confidence interval for alpha
    0.15358
  • Treynor index (mean / b)
    0.11064
  • Jensen alpha (a)
    -0.00365
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09087
  • Expected Shortfall on VaR
    0.11301
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04435
  • Expected Shortfall on VaR
    0.08602
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    79.00000
  • Minimum
    0.79779
  • Quartile 1
    0.97545
  • Median
    1.00000
  • Quartile 3
    1.03634
  • Maximum
    1.26223
  • Mean of quarter 1
    0.94057
  • Mean of quarter 2
    0.99228
  • Mean of quarter 3
    1.01423
  • Mean of quarter 4
    1.08058
  • Inter Quartile Range
    0.06088
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02532
  • Mean of outliers low
    0.84095
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01266
  • Mean of outliers high
    1.26223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10251
  • VaR(95%) (moments method)
    0.05678
  • Expected Shortfall (moments method)
    0.08150
  • Extreme Value Index (regression method)
    0.27181
  • VaR(95%) (regression method)
    0.05833
  • Expected Shortfall (regression method)
    0.09386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.01502
  • Quartile 1
    0.03530
  • Median
    0.05980
  • Quartile 3
    0.08239
  • Maximum
    0.45123
  • Mean of quarter 1
    0.02401
  • Mean of quarter 2
    0.04023
  • Mean of quarter 3
    0.07410
  • Mean of quarter 4
    0.23521
  • Inter Quartile Range
    0.04709
  • 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
    0.16667
  • Mean of outliers high
    0.30294
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.18071
  • VaR(95%) (moments method)
    0.22386
  • Expected Shortfall (moments method)
    0.30201
  • Extreme Value Index (regression method)
    1.43328
  • VaR(95%) (regression method)
    0.44056
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07438
  • Compounded annual return (geometric extrapolation)
    0.06241
  • Calmar ratio (compounded annual return / max draw down)
    0.13831
  • Compounded annual return / average of 25% largest draw downs
    0.26532
  • Compounded annual return / Expected Shortfall lognormal
    0.55224
  • 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
    0.04417
  • SD
    0.15249
  • Sharpe ratio (Glass type estimate)
    0.28968
  • Sharpe ratio (Hedges UMVUE)
    0.28956
  • df
    1727.00000
  • t
    0.74395
  • p
    0.48861
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47360
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05280
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40404
  • Upside Potential Ratio
    6.18294
  • Upside part of mean
    0.67600
  • Downside part of mean
    -0.63183
  • Upside SD
    0.10628
  • Downside SD
    0.10933
  • N nonnegative terms
    532.00000
  • N negative terms
    1196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1728.00000
  • Mean of predictor
    0.14940
  • Mean of criterion
    0.04417
  • SD of predictor
    0.20183
  • SD of criterion
    0.15249
  • Covariance
    0.00699
  • r
    0.22704
  • b (slope, estimate of beta)
    0.17154
  • a (intercept, estimate of alpha)
    0.01900
  • Mean Square Error
    0.02207
  • DF error
    1726.00000
  • t(b)
    9.68547
  • p(b)
    0.38648
  • t(a)
    0.32029
  • p(a)
    0.49615
  • Lowerbound of 95% confidence interval for beta
    0.13681
  • Upperbound of 95% confidence interval for beta
    0.20628
  • Lowerbound of 95% confidence interval for alpha
    -0.09503
  • Upperbound of 95% confidence interval for alpha
    0.13212
  • Treynor index (mean / b)
    0.25751
  • Jensen alpha (a)
    0.01855
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03252
  • SD
    0.15279
  • Sharpe ratio (Glass type estimate)
    0.21283
  • Sharpe ratio (Hedges UMVUE)
    0.21274
  • df
    1727.00000
  • t
    0.54658
  • p
    0.49163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55040
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55047
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.97595
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29297
  • Upside Potential Ratio
    6.03947
  • Upside part of mean
    0.67038
  • Downside part of mean
    -0.63786
  • Upside SD
    0.10495
  • Downside SD
    0.11100
  • N nonnegative terms
    532.00000
  • N negative terms
    1196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1728.00000
  • Mean of predictor
    0.12889
  • Mean of criterion
    0.03252
  • SD of predictor
    0.20262
  • SD of criterion
    0.15279
  • Covariance
    0.00703
  • r
    0.22691
  • b (slope, estimate of beta)
    0.17111
  • a (intercept, estimate of alpha)
    0.01047
  • Mean Square Error
    0.02216
  • DF error
    1726.00000
  • t(b)
    9.67950
  • p(b)
    0.38655
  • t(a)
    0.18042
  • p(a)
    0.49783
  • Lowerbound of 95% confidence interval for beta
    0.13644
  • Upperbound of 95% confidence interval for beta
    0.20578
  • Lowerbound of 95% confidence interval for alpha
    -0.10330
  • Upperbound of 95% confidence interval for alpha
    0.12423
  • Treynor index (mean / b)
    0.19005
  • Jensen alpha (a)
    0.01047
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01528
  • Expected Shortfall on VaR
    0.01915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00670
  • Expected Shortfall on VaR
    0.01411
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1728.00000
  • Minimum
    0.93042
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00198
  • Maximum
    1.05822
  • Mean of quarter 1
    0.99065
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00022
  • Mean of quarter 4
    1.01024
  • Inter Quartile Range
    0.00198
  • Number outliers low
    320.00000
  • Percentage of outliers low
    0.18518
  • Mean of outliers low
    0.98782
  • Number of outliers high
    301.00000
  • Percentage of outliers high
    0.17419
  • Mean of outliers high
    1.01319
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03410
  • VaR(95%) (moments method)
    0.00396
  • Expected Shortfall (moments method)
    0.00585
  • Extreme Value Index (regression method)
    0.02043
  • VaR(95%) (regression method)
    0.00930
  • Expected Shortfall (regression method)
    0.01509
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00096
  • Quartile 1
    0.00746
  • Median
    0.02714
  • Quartile 3
    0.04991
  • Maximum
    0.47465
  • Mean of quarter 1
    0.00275
  • Mean of quarter 2
    0.01743
  • Mean of quarter 3
    0.03811
  • Mean of quarter 4
    0.13943
  • Inter Quartile Range
    0.04245
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.19215
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.13633
  • VaR(95%) (moments method)
    0.12140
  • Expected Shortfall (moments method)
    0.15866
  • Extreme Value Index (regression method)
    0.48902
  • VaR(95%) (regression method)
    0.11440
  • Expected Shortfall (regression method)
    0.22819
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07424
  • Compounded annual return (geometric extrapolation)
    0.06229
  • Calmar ratio (compounded annual return / max draw down)
    0.13123
  • Compounded annual return / average of 25% largest draw downs
    0.44675
  • Compounded annual return / Expected Shortfall lognormal
    3.25183
  • 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
    -0.11784
  • SD
    0.04918
  • Sharpe ratio (Glass type estimate)
    -2.39595
  • Sharpe ratio (Hedges UMVUE)
    -2.38210
  • df
    130.00000
  • t
    -1.69419
  • p
    0.57349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.17852
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.39561
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.16898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40479
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.45208
  • Upside Potential Ratio
    0.37332
  • Upside part of mean
    0.01794
  • Downside part of mean
    -0.13578
  • Upside SD
    0.01200
  • Downside SD
    0.04806
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.80612
  • Mean of criterion
    -0.11784
  • SD of predictor
    0.22024
  • SD of criterion
    0.04918
  • Covariance
    0.00163
  • r
    0.15080
  • b (slope, estimate of beta)
    0.03368
  • a (intercept, estimate of alpha)
    -0.14499
  • Mean Square Error
    0.00238
  • DF error
    129.00000
  • t(b)
    1.73253
  • p(b)
    0.40436
  • t(a)
    -2.04835
  • p(a)
    0.61239
  • Lowerbound of 95% confidence interval for beta
    -0.00478
  • Upperbound of 95% confidence interval for beta
    0.07213
  • Lowerbound of 95% confidence interval for alpha
    -0.28504
  • Upperbound of 95% confidence interval for alpha
    -0.00494
  • Treynor index (mean / b)
    -3.49932
  • Jensen alpha (a)
    -0.14499
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11908
  • SD
    0.04974
  • Sharpe ratio (Glass type estimate)
    -2.39373
  • Sharpe ratio (Hedges UMVUE)
    -2.37989
  • df
    130.00000
  • t
    -1.69262
  • p
    0.57342
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.17628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.39780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.16675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40697
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.44751
  • Upside Potential Ratio
    0.36726
  • Upside part of mean
    0.01787
  • Downside part of mean
    -0.13694
  • Upside SD
    0.01195
  • Downside SD
    0.04865
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78090
  • Mean of criterion
    -0.11908
  • SD of predictor
    0.21937
  • SD of criterion
    0.04974
  • Covariance
    0.00166
  • r
    0.15175
  • b (slope, estimate of beta)
    0.03441
  • a (intercept, estimate of alpha)
    -0.14595
  • Mean Square Error
    0.00244
  • DF error
    129.00000
  • t(b)
    1.74372
  • p(b)
    0.40377
  • t(a)
    -2.04164
  • p(a)
    0.61204
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.00463
  • Upperbound of 95% confidence interval for beta
    0.07345
  • Lowerbound of 95% confidence interval for alpha
    -0.28738
  • Upperbound of 95% confidence interval for alpha
    -0.00451
  • Treynor index (mean / b)
    -3.46051
  • Jensen alpha (a)
    -0.14595
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00549
  • Expected Shortfall on VaR
    0.00677
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00179
  • Expected Shortfall on VaR
    0.00398
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97230
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00858
  • Mean of quarter 1
    0.99836
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00028
  • Inter Quartile Range
    0.00000
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98917
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00459
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07802
  • VaR(95%) (moments method)
    -0.00007
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.92603
  • VaR(95%) (regression method)
    0.00029
  • Expected Shortfall (regression method)
    0.02905
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00096
  • Quartile 1
    0.01366
  • Median
    0.02637
  • Quartile 3
    0.03907
  • Maximum
    0.05178
  • Mean of quarter 1
    0.00096
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05178
  • Inter Quartile Range
    0.02541
  • 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?
    -438373000
  • Max Equity Drawdown (num days)
    234
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08912
  • Compounded annual return (geometric extrapolation)
    -0.08714
  • Calmar ratio (compounded annual return / max draw down)
    -1.68295
  • Compounded annual return / average of 25% largest draw downs
    -1.68295
  • Compounded annual return / Expected Shortfall lognormal
    -12.87090

Strategy Description

BlackAce now focuses trades on NASDAQ leverage ETF TQQQ, BlackAce employs analytical quantitative and directional analysis of markets along with liquidity, and alternative strategies to make its trades and investments.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-09-21
Suggested Minimum Capital
$15,000
# Trades
74
# Profitable
39
% Profitable
52.7%
Net Dividends
$9
Correlation S&P500
0.223
Sharpe Ratio
0.19
Sortino Ratio
0.26
Beta
0.17
Alpha
0.00
Leverage
1.96 Average
3.50 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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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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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.