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BlackAce
(106004078)

Created by: RobertPalfrey RobertPalfrey
Started: 09/2016
Stocks
Last trade: 5 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.
28.2%
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.

(16.7%)
Max Drawdown
37
Num Trades
62.2%
Win Trades
2.6 : 1
Profit Factor
65.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +1.3%(3%)+1.8%(1.3%)(1.2%)
2017+3.8%+9.1%+0.2%  -  +4.8%(0.6%)+9.1%+1.2%(7.5%)+4.8%+3.6%(3%)+27.2%
2018+30.6%(9%)+4.6%+1.3%+4.7%+1.6%+4.7%+10.6%(7%)(2.1%)(7.6%)  -  +30.6%
2019+2.5%+6.0%+1.5%+7.8%(1%)+2.2%+2.4%                              +23.1%

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 44 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/10/19 11:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 59.34 6/25 14:33 62.17 1.82%
Trade id #124004308
Max drawdown($352)
Time6/10/19 11:15
Quant open150
Worst price56.99
Drawdown as % of equity-1.82%
$422
Includes Typical Broker Commissions trade costs of $3.00
4/1/19 15:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 250 58.87 5/2 11:47 63.74 0.33%
Trade id #123158409
Max drawdown($59)
Time4/2/19 10:04
Quant open250
Worst price58.63
Drawdown as % of equity-0.33%
$1,213
Includes Typical Broker Commissions trade costs of $5.00
3/13/19 14:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 150 54.86 3/27 11:13 56.81 0.89%
Trade id #122897122
Max drawdown($159)
Time3/14/19 16:16
Quant open150
Worst price53.80
Drawdown as % of equity-0.89%
$290
Includes Typical Broker Commissions trade costs of $3.00
1/31/19 11:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 47.29 3/7 10:17 50.33 3%
Trade id #122293516
Max drawdown($507)
Time2/8/19 8:01
Quant open300
Worst price45.60
Drawdown as % of equity-3.00%
$906
Includes Typical Broker Commissions trade costs of $6.00
1/7/19 11:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 39.78 1/23 11:49 41.44 1.6%
Trade id #121821675
Max drawdown($263)
Time1/8/19 10:54
Quant open300
Worst price38.90
Drawdown as % of equity-1.60%
$492
Includes Typical Broker Commissions trade costs of $6.00
11/7/18 15:14 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 57.07 11/9 13:47 52.61 8.01%
Trade id #120806069
Max drawdown($1,337)
Time11/9/18 13:47
Quant open0
Worst price52.61
Drawdown as % of equity-8.01%
($1,343)
Includes Typical Broker Commissions trade costs of $6.00
9/27/18 10:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 130 71.61 10/4 10:24 68.22 2.46%
Trade id #120064292
Max drawdown($441)
Time10/4/18 10:24
Quant open0
Worst price68.22
Drawdown as % of equity-2.46%
($444)
Includes Typical Broker Commissions trade costs of $2.60
9/13/18 11:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 260 69.72 9/19 10:18 66.28 6.83%
Trade id #119845461
Max drawdown($1,245)
Time9/17/18 19:51
Quant open260
Worst price64.93
Drawdown as % of equity-6.83%
($899)
Includes Typical Broker Commissions trade costs of $5.20
8/22/18 11:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 260 66.31 9/5 10:02 69.55 1.1%
Trade id #119552475
Max drawdown($201)
Time8/23/18 4:03
Quant open260
Worst price65.54
Drawdown as % of equity-1.10%
$835
Includes Typical Broker Commissions trade costs of $5.20
8/2/18 11:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 250 63.61 8/10 14:29 66.18 0.48%
Trade id #119249126
Max drawdown($85)
Time8/2/18 12:01
Quant open250
Worst price63.27
Drawdown as % of equity-0.48%
$637
Includes Typical Broker Commissions trade costs of $5.00
7/6/18 15:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 250 61.07 7/27 12:31 64.29 0.61%
Trade id #118809323
Max drawdown($103)
Time7/6/18 15:51
Quant open250
Worst price60.66
Drawdown as % of equity-0.61%
$798
Includes Typical Broker Commissions trade costs of $5.00
5/23/18 14:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 54.84 6/25 10:20 56.59 2.02%
Trade id #118074909
Max drawdown($329)
Time5/24/18 11:01
Quant open300
Worst price53.74
Drawdown as % of equity-2.02%
$521
Includes Typical Broker Commissions trade costs of $6.00
5/4/18 10:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 148.08 5/18 9:31 158.04 0.13%
Trade id #117797206
Max drawdown($20)
Time5/4/18 10:23
Quant open50
Worst price147.66
Drawdown as % of equity-0.13%
$497
Includes Typical Broker Commissions trade costs of $1.00
4/16/18 13:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 150.06 4/20 10:10 152.05 1.37%
Trade id #117529527
Max drawdown($214)
Time4/16/18 15:23
Quant open100
Worst price147.92
Drawdown as % of equity-1.37%
$197
Includes Typical Broker Commissions trade costs of $2.00
3/7/18 15:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 170.78 3/15 14:15 180.70 0.65%
Trade id #116913470
Max drawdown($96)
Time3/7/18 18:18
Quant open100
Worst price169.82
Drawdown as % of equity-0.65%
$990
Includes Typical Broker Commissions trade costs of $2.00
2/26/18 9:38 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 173.62 3/1 12:21 163.27 8.08%
Trade id #116721166
Max drawdown($1,210)
Time3/1/18 10:01
Quant open100
Worst price161.52
Drawdown as % of equity-8.08%
($1,037)
Includes Typical Broker Commissions trade costs of $2.00
12/8/17 12:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 136.76 2/2/18 9:48 169.73 1.42%
Trade id #115261972
Max drawdown($176)
Time12/8/17 12:19
Quant open100
Worst price135.00
Drawdown as % of equity-1.42%
$3,295
Includes Typical Broker Commissions trade costs of $2.00
11/3/17 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 132.56 12/1 11:29 131.29 3.02%
Trade id #114680687
Max drawdown($380)
Time11/15/17 9:41
Quant open100
Worst price128.76
Drawdown as % of equity-3.02%
($129)
Includes Typical Broker Commissions trade costs of $2.00
9/29/17 11:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 105 113.84 10/23 15:23 119.74 0.7%
Trade id #113943258
Max drawdown($84)
Time10/2/17 12:02
Quant open105
Worst price113.04
Drawdown as % of equity-0.70%
$618
Includes Typical Broker Commissions trade costs of $2.10
9/12/17 13:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 105 115.29 9/25 10:35 108.93 5.52%
Trade id #113647248
Max drawdown($675)
Time9/25/17 10:35
Quant open105
Worst price108.86
Drawdown as % of equity-5.52%
($670)
Includes Typical Broker Commissions trade costs of $2.10
8/29/17 14:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 115 108.59 9/8 10:15 112.57 0.23%
Trade id #113417687
Max drawdown($27)
Time8/29/17 15:59
Quant open115
Worst price108.35
Drawdown as % of equity-0.23%
$456
Includes Typical Broker Commissions trade costs of $2.30
8/7/17 11:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 110 112.40 8/10 12:01 106.65 5.03%
Trade id #113018968
Max drawdown($639)
Time8/10/17 11:51
Quant open110
Worst price106.59
Drawdown as % of equity-5.03%
($635)
Includes Typical Broker Commissions trade costs of $2.20
7/10/17 14:07 TQQQ PROSHARES ULTRAPRO QQQ LONG 110 100.32 7/31 11:25 109.96 1.73%
Trade id #112501367
Max drawdown($203)
Time7/11/17 11:27
Quant open110
Worst price98.47
Drawdown as % of equity-1.73%
$1,058
Includes Typical Broker Commissions trade costs of $2.20
6/21/17 12:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 110 104.44 6/27 13:02 101.72 2.61%
Trade id #112155870
Max drawdown($311)
Time6/27/17 12:56
Quant open110
Worst price101.61
Drawdown as % of equity-2.61%
($301)
Includes Typical Broker Commissions trade costs of $2.20
5/24/17 15:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 110 102.86 6/9 12:28 108.38 0.06%
Trade id #111756358
Max drawdown($6)
Time5/24/17 15:48
Quant open110
Worst price102.80
Drawdown as % of equity-0.06%
$605
Includes Typical Broker Commissions trade costs of $2.20
4/24/17 15:18 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 91.77 5/17 14:21 97.00 0.53%
Trade id #111235443
Max drawdown($57)
Time4/24/17 18:02
Quant open100
Worst price91.20
Drawdown as % of equity-0.53%
$521
Includes Typical Broker Commissions trade costs of $2.00
3/28/17 12:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 86.33 4/11 11:28 84.66 1.7%
Trade id #110483617
Max drawdown($190)
Time4/11/17 10:55
Quant open100
Worst price84.43
Drawdown as % of equity-1.70%
($169)
Includes Typical Broker Commissions trade costs of $2.00
3/1/17 10:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 85.33 3/21 13:55 83.70 1.58%
Trade id #109950809
Max drawdown($176)
Time3/9/17 14:17
Quant open100
Worst price83.57
Drawdown as % of equity-1.58%
($165)
Includes Typical Broker Commissions trade costs of $2.00
2/3/17 10:04 TQQQ PROSHARES ULTRAPRO QQQ LONG 120 75.36 2/28 12:22 83.17 0.57%
Trade id #109264876
Max drawdown($58)
Time2/6/17 8:35
Quant open120
Worst price74.87
Drawdown as % of equity-0.57%
$935
Includes Typical Broker Commissions trade costs of $2.40
1/6/17 11:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 68.97 1/31 11:02 72.72 0.44%
Trade id #108417859
Max drawdown($43)
Time1/12/17 11:05
Quant open100
Worst price68.53
Drawdown as % of equity-0.44%
$374
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    9/21/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1031.72
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    37
  • # Profitable
    23
  • % Profitable
    62.20%
  • Avg trade duration
    16.3 days
  • Max peak-to-valley drawdown
    16.73%
  • drawdown period
    Aug 30, 2018 - Jan 07, 2019
  • Annual Return (Compounded)
    28.2%
  • Avg win
    $722.61
  • Avg loss
    $449.07
  • Model Account Values (Raw)
  • Cash
    $20,336
  • Margin Used
    $0
  • Buying Power
    $20,336
  • Ratios
  • W:L ratio
    2.64:1
  • Sharpe Ratio
    1.3
  • Sortino Ratio
    2.01
  • Calmar Ratio
    1.818
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31370
  • Return Statistics
  • Ann Return (w trading costs)
    28.2%
  • Ann Return (Compnd, No Fees)
    28.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.00%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    928
  • Popularity (Last 6 weeks)
    993
  • C2 Score
    98.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $449
  • Avg Win
    $723
  • # Winners
    23
  • # Losers
    14
  • % Winners
    62.2%
  • Frequency
  • Avg Position Time (mins)
    23450.90
  • Avg Position Time (hrs)
    390.85
  • Avg Trade Length
    16.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.53
  • Daily leverage (max)
    3.50
  • Unknown
  • Alpha
    0.06
  • Beta
    0.39
  • Treynor Index
    0.17
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27641
  • SD
    0.21584
  • Sharpe ratio (Glass type estimate)
    1.28064
  • Sharpe ratio (Hedges UMVUE)
    1.25034
  • df
    32.00000
  • t
    2.12369
  • p
    0.02076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04878
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47130
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39528
  • Upside Potential Ratio
    4.94171
  • Upside part of mean
    0.40230
  • Downside part of mean
    -0.12589
  • Upside SD
    0.21193
  • Downside SD
    0.08141
  • N nonnegative terms
    23.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.12707
  • Mean of criterion
    0.27641
  • SD of predictor
    0.12800
  • SD of criterion
    0.21584
  • Covariance
    0.01232
  • r
    0.44601
  • b (slope, estimate of beta)
    0.75205
  • a (intercept, estimate of alpha)
    0.18085
  • Mean Square Error
    0.03852
  • DF error
    31.00000
  • t(b)
    2.77451
  • p(b)
    0.00464
  • t(a)
    1.46714
  • p(a)
    0.07621
  • Lowerbound of 95% confidence interval for beta
    0.19922
  • Upperbound of 95% confidence interval for beta
    1.30487
  • Lowerbound of 95% confidence interval for alpha
    -0.07055
  • Upperbound of 95% confidence interval for alpha
    0.43225
  • Treynor index (mean / b)
    0.36754
  • Jensen alpha (a)
    0.18085
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25282
  • SD
    0.20284
  • Sharpe ratio (Glass type estimate)
    1.24642
  • Sharpe ratio (Hedges UMVUE)
    1.21694
  • df
    32.00000
  • t
    2.06695
  • p
    0.02345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45776
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43586
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00398
  • Upside Potential Ratio
    4.54099
  • Upside part of mean
    0.38218
  • Downside part of mean
    -0.12936
  • Upside SD
    0.19529
  • Downside SD
    0.08416
  • N nonnegative terms
    23.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.11842
  • Mean of criterion
    0.25282
  • SD of predictor
    0.12907
  • SD of criterion
    0.20284
  • Covariance
    0.01154
  • r
    0.44078
  • b (slope, estimate of beta)
    0.69272
  • a (intercept, estimate of alpha)
    0.17078
  • Mean Square Error
    0.03422
  • DF error
    31.00000
  • t(b)
    2.73409
  • p(b)
    0.00512
  • t(a)
    1.47848
  • p(a)
    0.07468
  • Lowerbound of 95% confidence interval for beta
    0.17598
  • Upperbound of 95% confidence interval for beta
    1.20946
  • Lowerbound of 95% confidence interval for alpha
    -0.06481
  • Upperbound of 95% confidence interval for alpha
    0.40638
  • Treynor index (mean / b)
    0.36497
  • Jensen alpha (a)
    0.17078
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07248
  • Expected Shortfall on VaR
    0.09469
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01687
  • Expected Shortfall on VaR
    0.03751
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.92508
  • Quartile 1
    0.98498
  • Median
    1.01451
  • Quartile 3
    1.04871
  • Maximum
    1.26223
  • Mean of quarter 1
    0.96215
  • Mean of quarter 2
    1.00494
  • Mean of quarter 3
    1.03366
  • Mean of quarter 4
    1.09900
  • Inter Quartile Range
    0.06373
  • 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
    0.03030
  • Mean of outliers high
    1.26223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38301
  • VaR(95%) (moments method)
    0.04162
  • Expected Shortfall (moments method)
    0.07801
  • Extreme Value Index (regression method)
    -0.43854
  • VaR(95%) (regression method)
    0.03489
  • Expected Shortfall (regression method)
    0.04051
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01502
  • Quartile 1
    0.02550
  • Median
    0.03643
  • Quartile 3
    0.06420
  • Maximum
    0.15466
  • Mean of quarter 1
    0.01876
  • Mean of quarter 2
    0.03450
  • Mean of quarter 3
    0.03836
  • Mean of quarter 4
    0.11374
  • Inter Quartile Range
    0.03870
  • 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
    0.16667
  • Mean of outliers high
    0.15466
  • 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)
    0.36517
  • Compounded annual return (geometric extrapolation)
    0.28765
  • Calmar ratio (compounded annual return / max draw down)
    1.85995
  • Compounded annual return / average of 25% largest draw downs
    2.52907
  • Compounded annual return / Expected Shortfall lognormal
    3.03783
  • 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
    0.26556
  • SD
    0.15506
  • Sharpe ratio (Glass type estimate)
    1.71261
  • Sharpe ratio (Hedges UMVUE)
    1.71085
  • df
    731.00000
  • t
    2.86261
  • p
    0.00216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53618
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88670
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68057
  • Upside Potential Ratio
    8.82590
  • Upside part of mean
    0.87438
  • Downside part of mean
    -0.60881
  • Upside SD
    0.12028
  • Downside SD
    0.09907
  • N nonnegative terms
    524.00000
  • N negative terms
    208.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    732.00000
  • Mean of predictor
    0.12212
  • Mean of criterion
    0.26556
  • SD of predictor
    0.12512
  • SD of criterion
    0.15506
  • Covariance
    0.00621
  • r
    0.32013
  • b (slope, estimate of beta)
    0.39676
  • a (intercept, estimate of alpha)
    0.21700
  • Mean Square Error
    0.02161
  • DF error
    730.00000
  • t(b)
    9.12995
  • p(b)
    0.00000
  • t(a)
    2.46415
  • p(a)
    0.00698
  • Lowerbound of 95% confidence interval for beta
    0.31144
  • Upperbound of 95% confidence interval for beta
    0.48207
  • Lowerbound of 95% confidence interval for alpha
    0.04414
  • Upperbound of 95% confidence interval for alpha
    0.39008
  • Treynor index (mean / b)
    0.66933
  • Jensen alpha (a)
    0.21711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25345
  • SD
    0.15484
  • Sharpe ratio (Glass type estimate)
    1.63685
  • Sharpe ratio (Hedges UMVUE)
    1.63517
  • df
    731.00000
  • t
    2.73599
  • p
    0.00319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81191
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81075
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.52648
  • Upside Potential Ratio
    8.64501
  • Upside part of mean
    0.86726
  • Downside part of mean
    -0.61380
  • Upside SD
    0.11885
  • Downside SD
    0.10032
  • N nonnegative terms
    524.00000
  • N negative terms
    208.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    732.00000
  • Mean of predictor
    0.11426
  • Mean of criterion
    0.25345
  • SD of predictor
    0.12533
  • SD of criterion
    0.15484
  • Covariance
    0.00621
  • r
    0.31997
  • b (slope, estimate of beta)
    0.39532
  • a (intercept, estimate of alpha)
    0.20828
  • Mean Square Error
    0.02155
  • DF error
    730.00000
  • t(b)
    9.12473
  • p(b)
    0.00000
  • t(a)
    2.36777
  • p(a)
    0.00908
  • Lowerbound of 95% confidence interval for beta
    0.31027
  • Upperbound of 95% confidence interval for beta
    0.48037
  • Lowerbound of 95% confidence interval for alpha
    0.03559
  • Upperbound of 95% confidence interval for alpha
    0.38098
  • Treynor index (mean / b)
    0.64114
  • Jensen alpha (a)
    0.20828
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01466
  • Expected Shortfall on VaR
    0.01858
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00346
  • Expected Shortfall on VaR
    0.00824
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    732.00000
  • Minimum
    0.94501
  • Quartile 1
    0.99898
  • Median
    1.00000
  • Quartile 3
    1.00388
  • Maximum
    1.05438
  • Mean of quarter 1
    0.99078
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    1.01224
  • Inter Quartile Range
    0.00490
  • Number outliers low
    69.00000
  • Percentage of outliers low
    0.09426
  • Mean of outliers low
    0.98306
  • Number of outliers high
    74.00000
  • Percentage of outliers high
    0.10109
  • Mean of outliers high
    1.01981
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33882
  • VaR(95%) (moments method)
    0.00424
  • Expected Shortfall (moments method)
    0.00537
  • Extreme Value Index (regression method)
    0.01578
  • VaR(95%) (regression method)
    0.00798
  • Expected Shortfall (regression method)
    0.01242
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00096
  • Quartile 1
    0.00821
  • Median
    0.02348
  • Quartile 3
    0.04573
  • Maximum
    0.15866
  • Mean of quarter 1
    0.00351
  • Mean of quarter 2
    0.01564
  • Mean of quarter 3
    0.03293
  • Mean of quarter 4
    0.08043
  • Inter Quartile Range
    0.03752
  • 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
    0.06452
  • Mean of outliers high
    0.14136
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34792
  • VaR(95%) (moments method)
    0.09310
  • Expected Shortfall (moments method)
    0.15427
  • Extreme Value Index (regression method)
    0.97660
  • VaR(95%) (regression method)
    0.08424
  • Expected Shortfall (regression method)
    2.08185
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36872
  • Compounded annual return (geometric extrapolation)
    0.28847
  • Calmar ratio (compounded annual return / max draw down)
    1.81819
  • Compounded annual return / average of 25% largest draw downs
    3.58678
  • Compounded annual return / Expected Shortfall lognormal
    15.52260
  • 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
    0.34113
  • SD
    0.13290
  • Sharpe ratio (Glass type estimate)
    2.56690
  • Sharpe ratio (Hedges UMVUE)
    2.55207
  • df
    130.00000
  • t
    1.81507
  • p
    0.42139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22715
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34118
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.47687
  • Upside Potential Ratio
    10.68720
  • Upside part of mean
    0.81436
  • Downside part of mean
    -0.47322
  • Upside SD
    0.11029
  • Downside SD
    0.07620
  • N nonnegative terms
    88.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24913
  • Mean of criterion
    0.34113
  • SD of predictor
    0.10933
  • SD of criterion
    0.13290
  • Covariance
    0.00573
  • r
    0.39443
  • b (slope, estimate of beta)
    0.47945
  • a (intercept, estimate of alpha)
    0.22169
  • Mean Square Error
    0.01503
  • DF error
    129.00000
  • t(b)
    4.87511
  • p(b)
    0.25557
  • t(a)
    1.26609
  • p(a)
    0.42962
  • Lowerbound of 95% confidence interval for beta
    0.28487
  • Upperbound of 95% confidence interval for beta
    0.67403
  • Lowerbound of 95% confidence interval for alpha
    -0.12474
  • Upperbound of 95% confidence interval for alpha
    0.56813
  • Treynor index (mean / b)
    0.71151
  • Jensen alpha (a)
    0.22169
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33218
  • SD
    0.13262
  • Sharpe ratio (Glass type estimate)
    2.50468
  • Sharpe ratio (Hedges UMVUE)
    2.49020
  • df
    130.00000
  • t
    1.77107
  • p
    0.42325
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.28842
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27848
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.30792
  • Upside Potential Ratio
    10.48320
  • Upside part of mean
    0.80835
  • Downside part of mean
    -0.47617
  • Upside SD
    0.10923
  • Downside SD
    0.07711
  • N nonnegative terms
    88.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24308
  • Mean of criterion
    0.33218
  • SD of predictor
    0.10939
  • SD of criterion
    0.13262
  • Covariance
    0.00572
  • r
    0.39424
  • b (slope, estimate of beta)
    0.47796
  • a (intercept, estimate of alpha)
    0.21600
  • Mean Square Error
    0.01497
  • DF error
    129.00000
  • t(b)
    4.87226
  • p(b)
    0.25568
  • t(a)
    1.23662
  • p(a)
    0.43123
  • Lowerbound of 95% confidence interval for beta
    0.28387
  • Upperbound of 95% confidence interval for beta
    0.67204
  • Lowerbound of 95% confidence interval for alpha
    -0.12959
  • Upperbound of 95% confidence interval for alpha
    0.56159
  • Treynor index (mean / b)
    0.69500
  • Jensen alpha (a)
    0.21600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01214
  • Expected Shortfall on VaR
    0.01551
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00302
  • Expected Shortfall on VaR
    0.00695
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96257
  • Quartile 1
    0.99825
  • Median
    1.00000
  • Quartile 3
    1.00333
  • Maximum
    1.02981
  • Mean of quarter 1
    0.99311
  • Mean of quarter 2
    0.99972
  • Mean of quarter 3
    1.00102
  • Mean of quarter 4
    1.01135
  • Inter Quartile Range
    0.00507
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97984
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.01915
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32199
  • VaR(95%) (moments method)
    0.00516
  • Expected Shortfall (moments method)
    0.00640
  • Extreme Value Index (regression method)
    0.18851
  • VaR(95%) (regression method)
    0.00595
  • Expected Shortfall (regression method)
    0.00966
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00092
  • Quartile 1
    0.00307
  • Median
    0.01042
  • Quartile 3
    0.02403
  • Maximum
    0.04291
  • Mean of quarter 1
    0.00139
  • Mean of quarter 2
    0.00669
  • Mean of quarter 3
    0.01539
  • Mean of quarter 4
    0.03454
  • Inter Quartile Range
    0.02096
  • 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)
    -1.23777
  • VaR(95%) (moments method)
    0.03964
  • Expected Shortfall (moments method)
    0.04111
  • Extreme Value Index (regression method)
    -1.14115
  • VaR(95%) (regression method)
    0.04169
  • Expected Shortfall (regression method)
    0.04312
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36136
  • Compounded annual return (geometric extrapolation)
    0.39400
  • Calmar ratio (compounded annual return / max draw down)
    9.18194
  • Compounded annual return / average of 25% largest draw downs
    11.40850
  • Compounded annual return / Expected Shortfall lognormal
    25.40830

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.

Summary Statistics

Strategy began
2016-09-21
Suggested Minimum Capital
$15,000
# Trades
37
# Profitable
23
% Profitable
62.2%
Net Dividends
Correlation S&P500
0.314
Sharpe Ratio
1.30
Sortino Ratio
2.01
Beta
0.39
Alpha
0.06
Leverage
2.53 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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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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